Name of Fund: | (BKT) |
Fund Address: | 100 Bellevue Parkway, Wilmington, DE 19809 |
Item 1 – | Report to Stockholders |
|
JUNE 30, 2022 |
|
2022 Semi-Annual Report (Unaudited) |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
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Total Cumulative Distributions for the Fiscal Period |
% Breakdown of the Total Cumulative Distributions for the Fiscal Period |
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Fund Name |
Net Income |
Net Realized Capital Gains Short-Term |
Net Realized Capital Gains Long-Term |
Return of Capital |
(a) |
Total Per Common Share |
Net Income |
Net Realized Capital Gains Short-Term |
Net Realized Capital Gains Long-Term |
Return of Capital |
Total Per Common Share |
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DSU |
$ | 0.290020 | $ | — | $ | — | $ | 0.012480 | $ | 0.302500 | 96 | % | — | % | — | % | 4 | % | 100% | ||||||||||||||||||||||||||
FRA |
0.315017 | — | — | 0.018483 | 0.333500 | 94 | — | — | 6 | 100 | ||||||||||||||||||||||||||||||||||||
BKT |
0.095496 | — | — | 0.071504 | 0.167000 | 57 | — | — | 43 | 100 | ||||||||||||||||||||||||||||||||||||
BLW |
0.461596 | — | — | 0.028904 | 0.490500 | 94 | — | — | 6 | 100 | ||||||||||||||||||||||||||||||||||||
|
(a) |
Each Fund estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Fund is returned to the shareholder. A return of capital does not necessarily reflect a Fund’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce a Fund’s net asset value per share. |
Exchange Symbol |
Amount Per Common Share |
|||
DSU |
$ | 0.0605 | ||
FRA |
0.0667 | |||
BLW |
0.0981 |
2 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
S U P P L E M E N T A L I N F O R M A T I O N |
3 |
Total Returns as of June 30, 2022 | ||||
6-Month |
12-Month | |||
U.S. large cap equities (S&P 500 ® Index) |
(19.96)% | (10.62)% | ||
U.S. small cap equities (Russell 2000 ® Index) |
(23.43) | (25.20) | ||
International equities (MSCI Europe, Australasia, Far East Index) |
(19.57) | (17.77) | ||
Emerging market equities (MSCI Emerging Markets Index) |
(17.63) | (25.28) | ||
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) |
0.15 | 0.18 | ||
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) |
(11.34) | (10.94) | ||
U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) |
(10.35) | (10.29) | ||
Tax-exempt municipal bonds (Bloomberg Municipal Bond Index) |
(8.98) | (8.57) | ||
U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) |
(14.19) | (12.82) | ||
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
4 |
T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T |
Page | ||
2 | ||
4 | ||
Semi-Annual Report: |
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6 | ||
6 | ||
7 | ||
Financial Statements: |
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15 | ||
111 | ||
113 | ||
114 | ||
116 | ||
118 | ||
122 | ||
136 | ||
140 | ||
143 |
5 |
6 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Summary as of June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) |
Symbol on New York Stock Exchange |
DSU | |
Initial Offering Date |
March 27, 1998 | |
Current Distribution Rate on Closing Market Price as of June 30, 2022 ($9.14) (a) |
7.94% | |
Current Monthly Distribution per Common Share (b) |
$0.0605 | |
Current Annualized Distribution per Common Share (b) |
$0.7260 | |
Leverage as of June 30, 2022 (c) |
32% |
(a) |
Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) |
The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) |
Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
06/30/22 |
12/31/21 |
Change |
High |
Low |
||||||||||||||||
Closing Market Price |
$ | 9.14 | $ | 11.70 | (21.88 | )% | $ | 11.75 | $ | 8.88 | ||||||||||
Net Asset Value |
10.21 | 11.56 | (11.68 | ) | 11.62 | 10.21 |
Average Annual Total Returns | ||||||||||||||||
6-month |
1 Year |
5 Years |
10 Years |
|||||||||||||
Fund at NAV (a)(b) |
(8.97 | )% | (6.85 | )% | 3.16 | % | 5.78 | % | ||||||||
Fund at Market Price (a)(b) |
(19.48 | ) | (14.65 | ) | 2.77 | 4.54 | ||||||||||
Reference Benchmark (c) |
(9.43 | ) | (7.87 | ) | 2.52 | 4.12 | ||||||||||
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (d) |
(14.19 | ) | (12.82 | ) | 2.09 | 4.47 | ||||||||||
S&P/LSTA Leveraged Loan Index (e) |
(4.55 | ) | (2.78 | ) | 2.91 | 3.74 |
(a) |
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage. |
(b) |
The Fund moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) |
The Reference Benchmark is comprised of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (50%) and the S&P/LSTA Leveraged Loan Index (50%). The Reference Benchmark’s index content and weightings may have varied over past periods. |
(d) |
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index, an unmanaged index comprised of issues that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
(e) |
An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |
F U N D S U M M A R Y |
7 |
Fund Summary as of June 30, 2022 (continued) |
BlackRock Debt Strategies Fund, Inc. (DSU) |
PORTFOLIO COMPOSITION | ||
Asset Type |
06/30/22 | |
Floating Rate Loan Interests |
84.8% | |
Corporate Bonds |
14.4 | |
Other* |
0.8 |
CREDIT QUALITY ALLOCATION |
||||
Credit Rating (a)(b) |
06/30/22 |
|||
A |
—% | (c) | ||
BBB/Baa |
4.5 | |||
BB/Ba |
28.1 | |||
B |
58.6 | |||
CCC/Caa |
7.3 | |||
N/R |
1.5 | |||
(a) |
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(b) |
Excludes short-term securities. |
(c) |
Rounds to less than 0.1% of total investments. |
* | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
8 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Summary as of June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Symbol on New York Stock Exchange |
FRA | |
Initial Offering Date |
October 31, 2003 | |
Current Distribution Rate on Closing Market Price as of June 30, 2022 ($11.39) (a) |
7.03% | |
Current Monthly Distribution per Common Share (b) |
$0.0667 | |
Current Annualized Distribution per Common Share (b) |
$0.8004 | |
Leverage as of June 30, 2022 (c) |
32% |
(a) |
Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) |
The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) |
Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
06/30/22 |
12/31/21 |
Change |
High |
Low |
||||||||||||||||
Closing Market Price |
$ | 11.39 | $ | 13.43 | (15.19 | )% | $ | 13.90 | $ | 11.01 | ||||||||||
Net Asset Value |
12.46 | 13.85 | (10.04 | ) | 13.97 | 12.46 |
Average Annual Total Returns | ||||||||||||||||
6-month |
1 Year |
5 Years |
10 Years |
|||||||||||||
Fund at NAV (a)(b) |
(7.58 | )% | (5.44 | )% | 2.90 | % | 4.72 | % | ||||||||
Fund at Market Price (a)(b) |
(12.88 | ) | (8.60 | ) | 2.27 | 4.02 | ||||||||||
S&P/LSTA Leveraged Loan Index (c) |
(4.55 | ) | (2.78 | ) | 2.91 | 3.74 |
(a) |
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage. |
(b) |
The Fund’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) |
An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |
F U N D S U M M A R Y |
9 |
Fund Summary as of June 30, 2022 (continued) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
PORTFOLIO COMPOSITION |
||||
Asset Type |
06/30/22 |
|||
Floating Rate Loan Interests |
98.2 | % | ||
Corporate Bonds |
1.5 | |||
Other* |
0.3 |
CREDIT QUALITY ALLOCATION |
||||
Credit Rating (a)(b) |
06/30/22 |
|||
BBB/Baa |
4.4 | % | ||
BB/Ba |
26.2 | |||
B |
62.1 | |||
CCC/Caa |
5.5 | |||
N/R |
1.8 |
(a) |
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(b) |
Excludes short-term securities. |
* | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
10 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Summary as of June 30, 2022 |
BlackRock Income Trust, Inc. (BKT) |
Symbol on New York Stock Exchange |
BKT | |||
Initial Offering Date |
July 22, 1988 | |||
Current Distribution Rate on Closing Market Price as of June 30, 2022 ($4.54) (a) |
7.77% | |||
Current Monthly Distribution per Common Share (b) |
$0.0294 | |||
Current Annualized Distribution per Common Share (b) |
$0.3528 | |||
Leverage as of June 30, 2022 (c) |
30% |
(a) |
Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) |
The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) |
Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
06/30/22 |
12/31/21 |
Change |
High |
Low |
||||||||||||||||
Closing Market Price |
$ | $ | (19.65 | )% | $ | |
$ | |
||||||||||||
Net Asset Value |
(14.16 | ) |
Average Annual Total Returns | ||||||||||||||||
6-month |
1 Year |
5 Years |
10 Years |
|||||||||||||
Fund at NAV (a)(b) |
(11.15 | )% | (12.67 | )% | 0.12 | % | 1.44 | % | ||||||||
Fund at Market Price (a)(b) |
(16.83 | ) | (22.76 | ) | (0.14 | ) | 1.32 | |||||||||
FTSE Mortgage Index (c) |
(9.09 | ) | (9.45 | ) | 0.34 | 1.15 |
(a) |
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage. |
(b) |
The Fund moved from neither a premium nor discount to a discount to NAV during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) |
An unmanaged index that includes all outstanding government sponsored fixed rate mortgage-backed securities, weighted in proportion to their current market capitalization. |
F U N D S U M M A R Y |
11 |
Fund Summary as of June 30, 2022 (continued) |
BlackRock Income Trust, Inc. (BKT) |
Asset Type (a) |
06/30/22 |
|||
U.S. Government Sponsored Agency Securities |
95.2 | % | ||
Non-Agency Mortgage-Backed Securities |
4.8 | |||
Asset-Backed Securities |
— | (b) |
Credit Rating (a)(c) |
06/30/22 |
|||||||
AAA/Aaa (d) |
99.9 | % | ||||||
AA/Aa |
0.1 | |||||||
CCC/Caa |
— | (b) | ||||||
N/R |
— | (b) |
(a) |
Excludes short-term securities. |
(b) |
Rounds to less than 0.1% of total investments. |
(c) |
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(d) |
Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment adviser. |
12 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Summary as of June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
• | intermediate duration, investment grade corporate bonds, mortgage-related securities, asset-backed securities and U.S. Government and agency securities; |
• | senior, secured floating rate loans made to corporate and other business entities; and |
• | U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade at the time of investment or unrated and deemed by the investment adviser to be of comparable quality and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade or unrated and deemed by the investment adviser to be of comparable quality. |
Symbol on New York Stock Exchange |
BLW | |||
Initial Offering Date |
July 30, 2003 | |||
Current Distribution Rate on Closing Market Price as of June 30, 2022 ($12.65) (a) |
9.31% | |||
Current Monthly Distribution per Common Share (b) |
$0.0981 | |||
Current Annualized Distribution per Common Share (b) |
$1.1772 | |||
Leverage as of June 30, 2022 (c) |
38% |
(a) |
Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) |
The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) |
Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
06/30/22 |
12/31/21 |
Change |
High |
Low |
||||||||||||||||
Closing Market Price |
$ | 12.65 | $ | 16.85 | (24.93 | )% | $ | 16.85 | $ | 12.16 | ||||||||||
Net Asset Value |
13.49 | 16.44 | (17.94 | ) | 16.44 | 13.49 |
Average Annual Total Returns | ||||||||||||||||
6-month |
1 Year |
5 Years |
10 Years |
|||||||||||||
Fund at NAV (a)(b) |
(15.00 | )% | (15.04 | )% | 2.51 | % | 5.35 | % | ||||||||
Fund at Market Price (a)(b) |
(22.23 | ) | (19.77 | ) | 2.65 | 4.25 | ||||||||||
Reference Benchmark (c) |
(7.75 | ) | (6.84 | ) | 2.18 | 3.30 | ||||||||||
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (d) |
(14.19 | ) | (12.82 | ) | 2.09 | 4.47 | ||||||||||
S&P/LSTA Leveraged Loan Index (e) |
(4.55 | ) | (2.78 | ) | 2.91 | 3.74 | ||||||||||
BATS S Benchmark (f) |
(4.34 | ) | (4.82 | ) | 1.35 | 1.57 |
(a) |
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage. |
(b) |
The Fund moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) |
The Reference Benchmark is comprised of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (33.33%), the S&P/LSTA Leveraged Loan Index (33.33%), and the BATS S Benchmark (33.34%). The Reference Benchmark’s index content and weightings may have varied over past periods. |
(d) |
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index, an unmanaged index comprised of issues that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
(e) |
An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |
(f) |
A composite index comprised of Bloomberg ABS 1-3 Year AAA Rated ex Home Equity Index, Bloomberg Corporate 1-5 Year Index, Bloomberg CMBS Investment Grade 1-3.5 Year Index, Bloomberg MBS 15 Year Index and Bloomberg Credit Ex-Corporate 1-5 Year Index. |
F U N D S U M M A R Y |
13 |
Fund Summary as of June 30, 2022 (continued) |
BlackRock Limited Duration Income Trust (BLW) |
Asset Type (a) |
06/30/22 |
|||
Corporate Bonds |
49.3 | % | ||
Floating Rate Loan Interests |
35.4 | |||
U.S. Government Sponsored Agency Securities |
5.7 | |||
Preferred Securities |
4.4 | |||
Asset-Backed Securities |
3.0 | |||
Non-Agency Mortgage-Backed Securities |
1.0 | |||
Other* |
1.2 |
Credit Rating (a)(b) |
06/30/22 |
|||||||
AAA/Aaa (c) |
5.6 | % | ||||||
AA/Aa |
0.4 | |||||||
A |
2.8 | |||||||
BBB/Baa |
13.5 | |||||||
BB/Ba |
31.8 | |||||||
B |
36.4 | |||||||
CCC/Caa |
6.7 | |||||||
CC |
0.4 | |||||||
C |
— | (d) | ||||||
N/R (e) |
2.4 |
(a) |
Excludes short-term securities. |
(b) |
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(c) |
The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
(d) |
Rounds to less than 0.1% of total investments. |
(e) |
The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of June 30, 2022, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of the Fund’s total investments. |
* | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
14 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Asset-Backed Securities |
| |||||||||||
Unique Pub Finance Co. PLC (a) |
||||||||||||
Series A4, 5.66%, 06/30/27 |
GBP | 38 | $ | 48,974 | ||||||||
Series N, 6.46%, 03/30/32 |
100 | 139,397 | ||||||||||
|
|
|||||||||||
Total Asset-Backed Securities — 0.0% (Cost: $199,333) |
|
188,371 | ||||||||||
|
|
|||||||||||
Shares |
||||||||||||
Common Stocks |
| |||||||||||
Construction & Engineering — 0.0% |
||||||||||||
McDermott International Ltd. (b) |
141,483 | 80,645 | ||||||||||
|
|
|||||||||||
Diversified Financial Services — 0.0% |
| |||||||||||
Kcad Holdings I Ltd. (b)(c) |
1,075,282,733 | 10,753 | ||||||||||
|
|
|||||||||||
Metals & Mining (b) — 0.0% |
||||||||||||
Ameriforge Group, Inc. |
1,664 | 1,664 | ||||||||||
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $255,714) (c)(d) |
14,576 | 1,210 | ||||||||||
|
|
|||||||||||
2,874 | ||||||||||||
Oil, Gas & Consumable Fuels — 0.0% |
||||||||||||
Chesapeake Energy Corp. |
2,756 | 223,529 | ||||||||||
|
|
|||||||||||
Semiconductors & Semiconductor Equipment (b) — 0.0% |
| |||||||||||
Maxeon Solar Technologies Ltd. |
213 | 2,831 | ||||||||||
SunPower Corp. |
1,707 | 26,987 | ||||||||||
|
|
|||||||||||
29,818 | ||||||||||||
Specialty Retail — 0.1% |
||||||||||||
NMG Parent LLC (b) |
1,477 | 256,998 | ||||||||||
|
|
|||||||||||
Total Common Stocks — 0.1% (Cost: $13,892,941) |
604,617 | |||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
Corporate Bonds |
| |||||||||||
Aerospace & Defense — 0.7% |
||||||||||||
Bombardier, Inc. (e) |
||||||||||||
7.50%, 03/15/25 |
USD | 12 | 10,845 | |||||||||
7.13%, 06/15/26 |
361 | 297,637 | ||||||||||
7.88%, 04/15/27 |
83 | 69,090 | ||||||||||
6.00%, 02/15/28 |
145 | 108,663 | ||||||||||
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, |
||||||||||||
7.38%, 08/15/26 (e) |
200 | 159,296 | ||||||||||
Rolls-Royce PLC, 5.75%, 10/15/27 (e) |
200 | 180,260 | ||||||||||
Spirit AeroSystems, Inc. (e) |
||||||||||||
5.50%, 01/15/25 |
55 | 50,875 | ||||||||||
7.50%, 04/15/25 |
10 | 9,288 | ||||||||||
TransDigm, Inc. |
||||||||||||
8.00%, 12/15/25 (e) |
656 | 663,373 | ||||||||||
6.25%, 03/15/26 (e) |
1,077 | 1,037,959 | ||||||||||
6.38%, 06/15/26 |
15 | 14,025 | ||||||||||
7.50%, 03/15/27 |
33 | 31,133 | ||||||||||
4.63%, 01/15/29 |
151 | 121,558 |
Security |
Par (000) |
Value |
||||||||||
Aerospace & Defense (continued) |
||||||||||||
TransDigm, Inc. (continued) 4.88%, 05/01/29 |
USD | 96 | $ | 78,148 | ||||||||
Triumph Group, Inc., 8.88%, 06/01/24 (e) |
231 | 232,702 | ||||||||||
|
|
|||||||||||
3,064,852 | ||||||||||||
Airlines — 0.7% |
||||||||||||
Air Canada, 3.88%, 08/15/26 (e) |
101 | 85,435 | ||||||||||
Air France-KLM, 3.88%, 07/01/26 (a) |
EUR | 100 | 84,884 | |||||||||
Allegiant Travel Co., 8.50%, 02/05/24 (e) |
USD | 1,065 | 1,051,687 | |||||||||
American Airlines, Inc., 11.75%, 07/15/25 (e) |
405 | 419,134 | ||||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. (e) |
||||||||||||
5.50%, 04/20/26 |
167 | 153,171 | ||||||||||
5.75%, 04/20/29 |
326 | 278,448 | ||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28 (e) |
169 | 159,351 | ||||||||||
Deutsche Lufthansa AG, 3.75%, 02/11/28 (a) |
EUR | 100 | 84,098 | |||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26 (e) |
USD | 101 | 90,516 | |||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27 (e) |
301 | 296,314 | ||||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25 (e) |
13 | 13,701 | ||||||||||
United Airlines Pass-Through Trust |
||||||||||||
Series 2020-1, Class A, 5.88%, 04/15/29 |
190 | 186,371 | ||||||||||
Series 2020-1, Class B, 4.88%, 07/15/27 |
17 | 15,764 | ||||||||||
United Airlines, Inc. (e) |
||||||||||||
4.38%, 04/15/26 |
235 | 207,075 | ||||||||||
4.63%, 04/15/29 |
302 | 256,178 | ||||||||||
|
|
|||||||||||
3,382,127 | ||||||||||||
Auto Components — 0.5% |
||||||||||||
Clarios Global LP, 6.75%, 05/15/25 (e) |
721 | 714,114 | ||||||||||
Clarios Global LP/Clarios U.S. Finance Co. |
||||||||||||
4.38%, 05/15/26 (a) |
EUR | 100 | 91,242 | |||||||||
6.25%, 05/15/26 (e) |
USD | 271 | 260,837 | |||||||||
8.50%, 05/15/27 (e) |
930 | 898,822 | ||||||||||
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28 (e) |
22 | 19,006 | ||||||||||
Dornoch Debt Merger Sub, Inc., 6.63%, 10/15/29 (e) |
36 | 26,586 | ||||||||||
Goodyear Tire & Rubber Co. |
||||||||||||
9.50%, 05/31/25 |
65 | 67,221 | ||||||||||
5.00%, 07/15/29 |
42 | 34,783 | ||||||||||
5.63%, 04/30/33 |
66 | 52,858 | ||||||||||
Meritor, Inc., 4.50%, 12/15/28 (e) |
24 | 23,108 | ||||||||||
NM Holdings Co. LLC, 12.00%, 07/01/49 (b)(c)(f) |
5,150 | — | ||||||||||
Titan International, Inc., 7.00%, 04/30/28 |
18 | 16,909 | ||||||||||
|
|
|||||||||||
2,205,486 | ||||||||||||
Automobiles — 0.4% |
||||||||||||
Allison Transmission, Inc., 5.88%, 06/01/29 (e) |
145 | 134,850 | ||||||||||
Asbury Automotive Group, Inc. |
||||||||||||
4.50%, 03/01/28 |
35 | 30,363 | ||||||||||
4.75%, 03/01/30 |
73 | 60,024 | ||||||||||
5.00%, 02/15/32 (e) |
51 | 41,692 |
S C H E D U L E O F I N V E S T M E N T S |
15 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Automobiles (continued) |
| |||||||||||
Carvana Co. (e) |
||||||||||||
5.50%, 04/15/27 |
USD | 88 | $ | 56,790 | ||||||||
4.88%, 09/01/29 |
72 | 40,940 | ||||||||||
Constellation Automotive Financing PLC, 4.88%, 07/15/27 (a) |
GBP | 100 | 95,558 | |||||||||
Ford Motor Co. |
||||||||||||
4.35%, 12/08/26 |
USD | 9 | 8,341 | |||||||||
3.25%, 02/12/32 |
199 | 148,832 | ||||||||||
4.75%, 01/15/43 |
176 | 125,371 | ||||||||||
5.29%, 12/08/46 |
78 | 59,819 | ||||||||||
Ford Motor Credit Co. LLC |
||||||||||||
3.81%, 01/09/24 |
200 | 194,039 | ||||||||||
4.69%, 06/09/25 |
200 | 189,002 | ||||||||||
5.13%, 06/16/25 |
200 | 190,984 | ||||||||||
5.11%, 05/03/29 |
200 | 179,295 | ||||||||||
4.00%, 11/13/30 |
200 | 162,051 | ||||||||||
Group 1 Automotive, Inc., 4.00%, 08/15/28 (e) |
15 | 12,537 | ||||||||||
Ken Garff Automotive LLC, 4.88%, 09/15/28 (e) |
39 | 31,797 | ||||||||||
LCM Investments Holdings II LLC, 4.88%, 05/01/29 (e) |
90 | 68,499 | ||||||||||
Lithia Motors, Inc., 3.88%, 06/01/29 (e) |
42 | 35,674 | ||||||||||
MajorDrive Holdings IV LLC, 6.38%, 06/01/29 (e) |
59 | 40,415 | ||||||||||
Penske Automotive Group, Inc. |
||||||||||||
3.50%, 09/01/25 |
59 | 55,312 | ||||||||||
3.75%, 06/15/29 |
22 | 18,319 | ||||||||||
Sonic Automotive, Inc., 4.63%, 11/15/29 (e) |
20 | 15,496 | ||||||||||
Wabash National Corp., 4.50%, 10/15/28 (e) |
70 | 53,550 | ||||||||||
|
|
|||||||||||
2,049,550 | ||||||||||||
Banks — 0.0% |
||||||||||||
Banco Espirito Santo SA (a)(b)(f) |
||||||||||||
4.75%, 01/15/22 |
EUR | 200 | 30,391 | |||||||||
4.00%, 01/21/22 (c) |
100 | 15,195 | ||||||||||
2.63%, 05/08/49 (c) |
100 | 15,195 | ||||||||||
Wells Fargo & Co., Series BB, (5 year CMT + 3.45%), 3.90% (g)(h) |
USD | 115 | 99,044 | |||||||||
|
|
|||||||||||
159,825 | ||||||||||||
Beverages — 0.4% |
||||||||||||
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27 (e)(i) |
441 | 327,116 | ||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 4.00%, 09/01/29 (e) |
485 | 389,213 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.25%, 08/15/27 (e) |
208 | 148,317 | ||||||||||
Ball Corp. |
||||||||||||
2.88%, 08/15/30 |
12 | 9,659 | ||||||||||
3.13%, 09/15/31 |
157 | 126,642 | ||||||||||
Silgan Holdings, Inc., 4.13%, 02/01/28 |
8 | 7,174 | ||||||||||
Triton Water Holdings, Inc., 6.25%, 04/01/29 (e) |
362 | 257,020 | ||||||||||
Trivium Packaging Finance BV, 8.50%, 08/15/27 (e) |
814 | 763,209 | ||||||||||
|
|
|||||||||||
2,028,350 | ||||||||||||
Biotechnology — 0.0% |
||||||||||||
Cidron Aida Finco SARL, 5.00%, 04/01/28 (a) |
EUR | 100 | 87,049 | |||||||||
|
|
|||||||||||
Building Materials (e) — 0.2% |
| |||||||||||
Cornerstone Building Brands, Inc., 6.13%, 01/15/29 |
USD | 55 | 35,334 | |||||||||
CP Atlas Buyer, Inc., 7.00%, 12/01/28 |
21 | 15,166 |
Security |
Par (000) |
Value |
||||||||||
Building Materials (continued) |
||||||||||||
Jeld-Wen, Inc., 4.63%, 12/15/25 |
USD | 10 | $ | 8,500 | ||||||||
Masonite International Corp. |
||||||||||||
Class C, 5.38%, 02/01/28 |
45 | 40,725 | ||||||||||
Class C, 3.50%, 02/15/30 |
69 | 54,922 | ||||||||||
New Enterprise Stone & Lime Co., Inc. |
||||||||||||
5.25%, 07/15/28 |
26 | 21,373 | ||||||||||
9.75%, 07/15/28 |
38 | 32,490 | ||||||||||
SRM Escrow Issuer LLC, 6.00%, 11/01/28 |
267 | 225,677 | ||||||||||
Standard Industries, Inc. |
||||||||||||
5.00%, 02/15/27 |
34 | 30,347 | ||||||||||
4.38%, 07/15/30 |
167 | 131,721 | ||||||||||
3.38%, 01/15/31 |
99 | 73,024 | ||||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29 |
168 | 146,580 | ||||||||||
|
|
|||||||||||
815,859 | ||||||||||||
Building Products (e) — 0.3% |
||||||||||||
Advanced Drainage Systems, Inc., 6.38%, 06/15/30 |
133 | 129,884 | ||||||||||
Beacon Roofing Supply, Inc., 4.13%, 05/15/29 |
32 | 26,023 | ||||||||||
Foundation Building Materials, Inc., 6.00%, 03/01/29 |
52 | 38,090 | ||||||||||
GYP Holdings III Corp., 4.63%, 05/01/29 |
76 | 59,259 | ||||||||||
LBM Acquisition LLC, 6.25%, 01/15/29 |
71 | 45,711 | ||||||||||
Patrick Industries, Inc., 4.75%, 05/01/29 |
20 | 14,885 | ||||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 |
79 | 64,228 | ||||||||||
SRS Distribution, Inc. |
||||||||||||
4.63%, 07/01/28 |
259 | 226,625 | ||||||||||
6.13%, 07/01/29 |
127 | 100,200 | ||||||||||
6.00%, 12/01/29 |
203 | 159,402 | ||||||||||
White Cap Buyer LLC, 6.88%, 10/15/28 |
497 | 397,600 | ||||||||||
White Cap Parent LLC, (8.25% PIK), 8.25%, 03/15/26 (i) |
67 | 55,777 | ||||||||||
|
|
|||||||||||
1,317,684 | ||||||||||||
Capital Markets — 0.3% |
||||||||||||
Aretec Escrow Issuer, Inc., 7.50%, 04/01/29 (e) |
36 | 30,679 | ||||||||||
Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00% (g)(h) |
265 | 203,984 | ||||||||||
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29 (e) |
65 | 53,625 | ||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |
||||||||||||
4.75%, 09/15/24 |
101 | 94,264 | ||||||||||
5.25%, 05/15/27 |
175 | 155,022 | ||||||||||
4.38%, 02/01/29 |
182 | 147,085 | ||||||||||
NFP Corp. (e) |
||||||||||||
4.88%, 08/15/28 |
176 | 150,739 | ||||||||||
6.88%, 08/15/28 |
699 | 576,703 | ||||||||||
OWL Rock Core Income Corp., 5.50%, 03/21/25 (e) |
55 | 52,801 | ||||||||||
|
|
|||||||||||
1,464,902 | ||||||||||||
Chemicals — 0.6% |
||||||||||||
Ashland LLC, 3.38%, 09/01/31 (e) |
89 | 72,390 | ||||||||||
Axalta Coating Systems LLC, 3.38%, 02/15/29 (e) |
300 | 244,911 | ||||||||||
Chemours Co., 5.75%, 11/15/28 (e) |
38 | 32,385 | ||||||||||
Diamond BC BV, 4.63%, 10/01/29 (e) |
226 | 180,732 | ||||||||||
Element Solutions, Inc., 3.88%, 09/01/28 (e) |
552 | 455,472 | ||||||||||
EverArc Escrow SARL, 5.00%, 10/30/29 (e) |
176 | 148,142 |
16 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Chemicals (continued) |
||||||||||||
GCP Applied Technologies, Inc., 5.50%, 04/15/26 (e) |
USD | 134 | $ | 133,330 | ||||||||
HB Fuller Co., 4.25%, 10/15/28 |
35 | 29,367 | ||||||||||
Herens Holdco SARL, 4.75%, 05/15/28 (e) |
200 | 166,160 | ||||||||||
Herens Midco SARL, 5.25%, 05/15/29 (a) |
EUR | 100 | 68,377 | |||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28 (e) |
USD | 188 | 148,520 | |||||||||
Ingevity Corp., 3.88%, 11/01/28 (e) |
23 | 19,262 | ||||||||||
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26 (e)(i) |
73 | 66,769 | ||||||||||
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29 (e) |
36 | 30,330 | ||||||||||
Lune Holdings SARL, 5.63%, 11/15/28 (a) |
EUR | 100 | 84,142 | |||||||||
Minerals Technologies, Inc., 5.00%, 07/01/28 (e) |
USD | 55 | 47,866 | |||||||||
Scotts Miracle-Gro Co. |
||||||||||||
4.00%, 04/01/31 |
57 | 42,607 | ||||||||||
4.38%, 02/01/32 |
8 | 6,082 | ||||||||||
WESCO Distribution, Inc. (e) |
||||||||||||
7.13%, 06/15/25 |
49 | 48,894 | ||||||||||
7.25%, 06/15/28 |
146 | 144,394 | ||||||||||
WR Grace Holdings LLC, 5.63%, 08/15/29 (e) |
916 | 674,405 | ||||||||||
|
|
|||||||||||
2,844,537 | ||||||||||||
Commercial Services & Supplies — 0.3% |
||||||||||||
ADT Security Corp. (e) |
||||||||||||
4.13%, 08/01/29 |
9 | 7,304 | ||||||||||
4.88%, 07/15/32 |
12 | 9,552 | ||||||||||
AMN Healthcare, Inc., 4.00%, 04/15/29 (e) |
28 | 23,660 | ||||||||||
APX Group, Inc. (e) |
||||||||||||
6.75%, 02/15/27 |
64 | 59,354 | ||||||||||
5.75%, 07/15/29 |
86 | 66,581 | ||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 03/01/29 (e) |
13 | 10,814 | ||||||||||
EC Finance PLC, 3.00%, 10/15/26 (a) |
EUR | 100 | 91,409 | |||||||||
Fortress Transportation & Infrastructure Investors LLC (e) |
||||||||||||
6.50%, 10/01/25 |
USD | 24 | 22,644 | |||||||||
9.75%, 08/01/27 |
17 | 16,616 | ||||||||||
5.50%, 05/01/28 |
95 | 78,414 | ||||||||||
Herc Holdings, Inc., 5.50%, 07/15/27 (e) |
121 | 110,461 | ||||||||||
Hertz Corp. (e) |
||||||||||||
4.63%, 12/01/26 |
40 | 33,443 | ||||||||||
5.00%, 12/01/29 |
33 | 25,410 | ||||||||||
Metis Merger Sub LLC, 6.50%, 05/15/29 (e) |
68 | 54,036 | ||||||||||
NESCO Holdings II, Inc., 5.50%, 04/15/29 (e) |
74 | 61,975 | ||||||||||
PECF USS Intermediate Holding III Corp., 8.00%, 11/15/29 (e) |
3 | 2,378 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 01/15/28 (e) |
211 | 176,522 | ||||||||||
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29 (e) |
202 | 173,380 | ||||||||||
Team Health Holdings, Inc., 6.38%, 02/01/25 (e) |
103 | 71,923 | ||||||||||
United Rentals North America, Inc., 5.25%, 01/15/30 |
2 | 1,855 | ||||||||||
Williams Scotsman International, Inc., 4.63%, 08/15/28 (e) |
74 | 63,085 | ||||||||||
|
|
|||||||||||
1,160,816 | ||||||||||||
Communications Equipment (e) — 0.1% |
||||||||||||
Avaya, Inc., 6.13%, 09/15/28 |
223 | 145,507 | ||||||||||
Ciena Corp., 4.00%, 01/31/30 |
34 | 29,346 |
Security |
Par (000) |
Value |
||||||||||
Communications Equipment (continued) |
||||||||||||
CommScope Technologies LLC, 6.00%, 06/15/25 |
USD | 139 | $ | 120,235 | ||||||||
CommScope, Inc. |
||||||||||||
6.00%, 03/01/26 |
24 | 22,105 | ||||||||||
8.25%, 03/01/27 |
11 | 8,696 | ||||||||||
7.13%, 07/01/28 |
58 | 44,085 | ||||||||||
4.75%, 09/01/29 |
89 | 71,796 | ||||||||||
Viasat, Inc. |
||||||||||||
5.63%, 09/15/25 |
77 | 62,280 | ||||||||||
5.63%, 04/15/27 |
21 | 18,158 | ||||||||||
6.50%, 07/15/28 |
48 | 33,063 | ||||||||||
Viavi Solutions, Inc., 3.75%, 10/01/29 |
95 | 79,564 | ||||||||||
|
|
|||||||||||
634,835 | ||||||||||||
Construction Materials (e) — 0.1% |
||||||||||||
American Builders & Contractors Supply Co., Inc. 4.00%, 01/15/28 |
148 | 126,763 | ||||||||||
3.88%, 11/15/29 |
18 | 14,391 | ||||||||||
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 |
35 | 28,493 | ||||||||||
H&E Equipment Services, Inc., 3.88%, 12/15/28 |
20 | 16,175 | ||||||||||
IAA, Inc., 5.50%, 06/15/27 |
159 | 148,099 | ||||||||||
Picasso Finance Sub, Inc., 6.13%, 06/15/25 |
82 | 79,950 | ||||||||||
Thor Industries, Inc., 4.00%, 10/15/29 |
54 | 42,768 | ||||||||||
Winnebago Industries, Inc., 6.25%, 07/15/28 |
37 | 33,883 | ||||||||||
|
|
|||||||||||
490,522 | ||||||||||||
Consumer Discretionary (e) — 0.4% |
||||||||||||
APi Escrow Corp., 4.75%, 10/15/29 |
32 | 25,840 | ||||||||||
APi Group DE, Inc., 4.13%, 07/15/29 |
67 | 53,211 | ||||||||||
Carnival Corp. |
||||||||||||
10.50%, 02/01/26 |
314 | 312,578 | ||||||||||
5.75%, 03/01/27 |
300 | 216,684 | ||||||||||
9.88%, 08/01/27 |
140 | 136,500 | ||||||||||
4.00%, 08/01/28 |
326 | 267,320 | ||||||||||
6.00%, 05/01/29 |
125 | 87,826 | ||||||||||
CoreLogic, Inc., 4.50%, 05/01/28 |
138 | 106,260 | ||||||||||
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/26 |
52 | 43,576 | ||||||||||
Life Time, Inc. |
||||||||||||
5.75%, 01/15/26 |
80 | 71,718 | ||||||||||
8.00%, 04/15/26 |
69 | 61,496 | ||||||||||
NCL Corp. Ltd., 5.88%, 03/15/26 |
91 | 71,425 | ||||||||||
NCL Finance Ltd., 6.13%, 03/15/28 |
46 | 33,465 | ||||||||||
Nielsen Finance LLC/Nielsen Finance Co. |
||||||||||||
5.63%, 10/01/28 |
60 | 55,722 | ||||||||||
5.88%, 10/01/30 |
66 | 60,599 | ||||||||||
Royal Caribbean Cruises Ltd. |
||||||||||||
10.88%, 06/01/23 |
42 | 42,140 | ||||||||||
9.13%, 06/15/23 |
54 | 53,404 | ||||||||||
11.50%, 06/01/25 |
57 | 58,567 | ||||||||||
5.50%, 08/31/26 |
28 | 20,790 | ||||||||||
5.50%, 04/01/28 |
170 | 118,150 | ||||||||||
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29 |
59 | 46,522 | ||||||||||
|
|
|||||||||||
1,943,793 | ||||||||||||
Consumer Finance — 0.6% |
||||||||||||
American Express Co., (5 year CMT + 2.85%), 3.55% (g)(h) |
235 | 191,198 | ||||||||||
Block, Inc., 3.50%, 06/01/31 (e) |
399 | 317,947 | ||||||||||
HealthEquity, Inc., 4.50%, 10/01/29 (e) |
312 | 273,000 |
S C H E D U L E O F I N V E S T M E N T S |
17 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Consumer Finance (continued) |
| |||||||||||
MPH Acquisition Holdings LLC, 5.50%, 09/01/28 (e) |
USD | 66 | $ | 58,740 | ||||||||
Navient Corp. |
||||||||||||
7.25%, 09/25/23 |
3 | 2,968 | ||||||||||
6.13%, 03/25/24 |
93 | 88,177 | ||||||||||
5.88%, 10/25/24 |
77 | 70,778 | ||||||||||
5.50%, 03/15/29 |
87 | 67,069 | ||||||||||
OneMain Finance Corp. |
||||||||||||
6.88%, 03/15/25 |
151 | 143,112 | ||||||||||
3.50%, 01/15/27 |
156 | 124,800 | ||||||||||
6.63%, 01/15/28 |
8 | 7,150 | ||||||||||
5.38%, 11/15/29 |
18 | 14,586 | ||||||||||
4.00%, 09/15/30 |
93 | 68,936 | ||||||||||
Sabre Global, Inc. (e) |
||||||||||||
9.25%, 04/15/25 |
78 | 75,157 | ||||||||||
7.38%, 09/01/25 |
81 | 75,128 | ||||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26 (e) |
184 | 162,838 | ||||||||||
SLM Corp., 3.13%, 11/02/26 |
56 | 45,218 | ||||||||||
Verscend Escrow Corp., 9.75%, 08/15/26 (e) |
851 | 827,598 | ||||||||||
|
|
|||||||||||
2,614,400 | ||||||||||||
Containers & Packaging (e) — 0.1% |
||||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 3.25%, 09/01/28 |
200 | 170,714 | ||||||||||
Clydesdale Acquisition Holdings, Inc. |
||||||||||||
6.63%, 04/15/29 |
218 | 204,839 | ||||||||||
8.75%, 04/15/30 |
178 | 153,537 | ||||||||||
LABL, Inc., 5.88%, 11/01/28 |
84 | 67,824 | ||||||||||
Sealed Air Corp., 4.00%, 12/01/27 |
61 | 54,992 | ||||||||||
|
|
|||||||||||
651,906 | ||||||||||||
Diversified Consumer Services — 0.5% |
||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. (e) |
||||||||||||
6.63%, 07/15/26 |
655 | 601,048 | ||||||||||
9.75%, 07/15/27 |
101 | 85,480 | ||||||||||
6.00%, 06/01/29 |
600 | 435,703 | ||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28 (e) |
400 | 326,783 | ||||||||||
Brink’s Co., 5.50%, 07/15/25 (e) |
15 | 14,433 | ||||||||||
Clarivate Science Holdings Corp. (e) |
||||||||||||
3.88%, 07/01/28 |
352 | 294,099 | ||||||||||
4.88%, 07/01/29 |
167 | 137,107 | ||||||||||
Garda World Security Corp., 4.63%, 02/15/27 (e) |
11 | 9,460 | ||||||||||
Rekeep SpA, 7.25%, 02/01/26 (a) |
EUR | 100 | 90,293 | |||||||||
Service Corp. International, 4.00%, 05/15/31 |
USD | 192 | 163,920 | |||||||||
Sotheby’s, 7.38%, 10/15/27 (e) |
200 | 185,355 | ||||||||||
|
|
|||||||||||
2,343,681 | ||||||||||||
Diversified Financial Services — 0.2% |
||||||||||||
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28 (e) |
200 | 165,964 | ||||||||||
Castlelake Aviation Finance DAC, 5.00%, 04/15/27 (e) |
24 | 19,924 | ||||||||||
Central Garden & Pet Co. |
||||||||||||
4.13%, 10/15/30 |
63 | 51,692 | ||||||||||
4.13%, 04/30/31 (e) |
55 | 44,152 | ||||||||||
Citigroup, Inc. (g)(h) |
||||||||||||
Series W, (5 year CMT + 3.60%), 4.00% |
50 | 43,250 |
Security |
Par (000) |
Value |
||||||||||
Diversified Financial Services (continued) |
||||||||||||
Citigroup, Inc. (g)(h) (continued) |
||||||||||||
Series Y, (5 year CMT + 3.00%), 4.15% |
USD | 10 | $ | 8,025 | ||||||||
Garfunkelux Holdco 3 SA, 7.75%, 11/01/25 (a) |
GBP | 100 | 108,948 | |||||||||
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24 (e)(i) |
USD | 25 | 18,707 | |||||||||
Intrum AB, 4.88%, 08/15/25 (a) |
EUR | 100 | 94,773 | |||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.00%, 08/15/28 (e) |
USD | 200 | 164,500 | |||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, 06/15/29 (e) |
22 | 16,928 | ||||||||||
Spectrum Brands, Inc. (e) |
||||||||||||
5.00%, 10/01/29 |
8 | 6,918 | ||||||||||
5.50%, 07/15/30 |
50 | 44,998 | ||||||||||
UBS Group AG, (5 year CMT + 3.31%), 4.38% (e)(g)(h) |
345 | 252,402 | ||||||||||
VistaJet Malta Finance PLC/XO Management Holding, Inc., 6.38%, 02/01/30 (e) |
52 | 41,600 | ||||||||||
|
|
|||||||||||
1,082,781 | ||||||||||||
Diversified Telecommunication Services — 0.9% |
||||||||||||
Consolidated Communications, Inc., 6.50%, 10/01/28 (e) |
157 | 133,541 | ||||||||||
Frontier Communications Holdings LLC, 8.75%, 05/15/30 (e) |
187 | 189,055 | ||||||||||
Level 3 Financing, Inc. (e) |
||||||||||||
3.40%, 03/01/27 |
28 | 24,117 | ||||||||||
4.25%, 07/01/28 |
153 | 122,591 | ||||||||||
3.63%, 01/15/29 |
66 | 50,889 | ||||||||||
3.75%, 07/15/29 |
116 | 89,692 | ||||||||||
Lumen Technologies, Inc. |
||||||||||||
5.13%, 12/15/26 (e) |
439 | 369,559 | ||||||||||
4.00%, 02/15/27 (e) |
62 | 52,436 | ||||||||||
4.50%, 01/15/29 (e) |
181 | 134,735 | ||||||||||
5.38%, 06/15/29 (e) |
498 | 394,304 | ||||||||||
Series U, 7.65%, 03/15/42 |
38 | 29,165 | ||||||||||
SoftBank Group Corp., 5.00%, 04/15/28 (a) |
EUR | 100 | 83,123 | |||||||||
Sprint Capital Corp. |
||||||||||||
6.88%, 11/15/28 |
USD | 324 | 340,692 | |||||||||
8.75%, 03/15/32 |
522 | 628,217 | ||||||||||
Switch Ltd. (e) |
||||||||||||
3.75%, 09/15/28 |
99 | 97,926 | ||||||||||
4.13%, 06/15/29 |
202 | 199,948 | ||||||||||
Telecom Italia Capital SA |
||||||||||||
6.38%, 11/15/33 |
58 | 44,788 | ||||||||||
6.00%, 09/30/34 |
134 | 101,072 | ||||||||||
7.20%, 07/18/36 |
14 | 10,629 | ||||||||||
7.72%, 06/04/38 |
23 | 17,745 | ||||||||||
Telecom Italia SpA, 2.88%, 01/28/26 (a) |
EUR | 100 | 94,011 | |||||||||
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 01/15/30 (e) |
USD | 45 | 31,131 | |||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 04/15/28 (e) |
81 | 66,614 | ||||||||||
Zayo Group Holdings, Inc. (e) |
||||||||||||
4.00%, 03/01/27 |
645 | 535,086 | ||||||||||
6.13%, 03/01/28 |
746 | 538,694 | ||||||||||
|
|
|||||||||||
4,379,760 | ||||||||||||
Electric Utilities — 0.1% |
||||||||||||
Edison International, Series A, (5 year CMT + 4.70%), 5.38% (g)(h) |
100 | 81,250 | ||||||||||
FirstEnergy Corp. |
||||||||||||
2.65%, 03/01/30 |
85 | 70,125 |
18 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Electric Utilities (continued) |
| |||||||||||
FirstEnergy Corp. (continued) |
||||||||||||
Series B, 2.25%, 09/01/30 |
USD | 6 | $ | 4,755 | ||||||||
Series C, 3.40%, 03/01/50 |
230 | 155,917 | ||||||||||
FirstEnergy Transmission LLC (e) |
||||||||||||
5.45%, 07/15/44 |
139 | 129,925 | ||||||||||
4.55%, 04/01/49 |
51 | 41,036 | ||||||||||
Pike Corp., 5.50%, 09/01/28 (e) |
130 | 105,535 | ||||||||||
Texas Competitive Electric Holdings, 1.00%, 11/10/21 (c)(h) |
2,375 | — | ||||||||||
|
|
|||||||||||
588,543 | ||||||||||||
Electrical Equipment — 0.1% |
||||||||||||
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 (e) |
322 | 298,655 | ||||||||||
GrafTech Finance, Inc., 4.63%, 12/15/28 (e) |
66 | 53,426 | ||||||||||
NM Holdings Co. LLC, Series B, 9.50%, 07/01/05 (b)(c)(f) |
5,125 | 1 | ||||||||||
|
|
|||||||||||
352,082 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.3% |
||||||||||||
BWX Technologies, Inc. (e) |
||||||||||||
4.13%, 06/30/28 |
86 | 76,540 | ||||||||||
4.13%, 04/15/29 |
107 | 93,893 | ||||||||||
Energizer Holdings, Inc. (e) |
||||||||||||
4.75%, 06/15/28 |
17 | 13,493 | ||||||||||
4.38%, 03/31/29 |
6 | 4,606 | ||||||||||
Imola Merger Corp., 4.75%, 05/15/29 (e) |
203 | 169,842 | ||||||||||
Vertiv Group Corp., 4.13%, 11/15/28 (e) |
1,049 | 851,704 | ||||||||||
Xerox Corp., 4.80%, 03/01/35 |
48 | 36,833 | ||||||||||
|
|
|||||||||||
1,246,911 | ||||||||||||
Energy Equipment & Services — 0.1% |
||||||||||||
Archrock Partners LP/Archrock Partners Finance Corp. (e) |
||||||||||||
6.88%, 04/01/27 |
106 | 96,658 | ||||||||||
6.25%, 04/01/28 |
166 | 146,960 | ||||||||||
USA Compression Partners LP/USA Compression Finance Corp. |
||||||||||||
6.88%, 04/01/26 |
45 | 40,937 | ||||||||||
6.88%, 09/01/27 |
229 | 203,238 | ||||||||||
Vallourec SA, 8.50%, 06/30/26 (a) |
EUR | 8 | 7,742 | |||||||||
Weatherford International Ltd. (e) |
||||||||||||
6.50%, 09/15/28 |
USD | 4 | 3,590 | |||||||||
8.63%, 04/30/30 |
68 | 56,425 | ||||||||||
|
|
|||||||||||
555,550 | ||||||||||||
Entertainment (e) — 0.0% |
||||||||||||
AMC Entertainment Holdings, Inc., 7.50%, 02/15/29 |
104 | 87,880 | ||||||||||
Lindblad Expeditions LLC, 6.75%, 02/15/27 |
83 | 71,172 | ||||||||||
NCL Corp. Ltd., 7.75%, 02/15/29 |
35 | 26,775 | ||||||||||
|
|
|||||||||||
185,827 | ||||||||||||
Environmental, Maintenance & Security Service — 0.2% |
||||||||||||
Covanta Holding Corp. |
||||||||||||
4.88%, 12/01/29 (e) |
78 | 63,470 | ||||||||||
5.00%, 09/01/30 |
13 | 10,612 | ||||||||||
GFL Environmental, Inc. (e) |
||||||||||||
3.75%, 08/01/25 |
45 | 41,737 | ||||||||||
5.13%, 12/15/26 |
109 | 104,237 | ||||||||||
4.00%, 08/01/28 |
150 | 123,750 | ||||||||||
3.50%, 09/01/28 |
65 | 55,737 | ||||||||||
4.75%, 06/15/29 |
111 | 91,852 |
Security |
Par (000) |
Value |
||||||||||
Environmental, Maintenance & Security Service (continued) |
||||||||||||
GFL Environmental, Inc. (e) (continued) |
||||||||||||
4.38%, 08/15/29 |
USD | 126 | $ | 101,430 | ||||||||
Stericycle, Inc., 3.88%, 01/15/29 (e) |
49 | 40,058 | ||||||||||
Tervita Corp., 11.00%, 12/01/25 (e) |
25 | 27,188 | ||||||||||
Waste Pro USA, Inc., 5.50%, 02/15/26 (e) |
104 | 92,383 | ||||||||||
|
|
|||||||||||
752,454 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.3% |
||||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 4.50%, 04/01/27 (e) |
57 | 47,267 | ||||||||||
CTR Partnership LP/CareTrust Capital Corp., 3.88%, 06/30/28 (e) |
52 | 44,408 | ||||||||||
Diversified Healthcare Trust, 9.75%, 06/15/25 |
19 | 18,739 | ||||||||||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27 (e) |
46 | 38,442 | ||||||||||
HAT Holdings I LLC/HAT Holdings II LLC, 3.38%, 06/15/26 (e) |
59 | 50,740 | ||||||||||
Iron Mountain, Inc. (e) |
||||||||||||
5.25%, 07/15/30 |
43 | 37,384 | ||||||||||
5.63%, 07/15/32 |
66 | 55,808 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp. |
||||||||||||
4.63%, 08/01/29 |
306 | 268,515 | ||||||||||
3.50%, 03/15/31 |
371 | 292,407 | ||||||||||
RHP Hotel Properties LP/RHP Finance Corp. |
||||||||||||
4.75%, 10/15/27 |
311 | 275,891 | ||||||||||
4.50%, 02/15/29 (e) |
77 | 65,288 | ||||||||||
RLJ Lodging Trust LP (e) |
||||||||||||
3.75%, 07/01/26 |
40 | 34,663 | ||||||||||
4.00%, 09/15/29 |
31 | 25,464 | ||||||||||
Service Properties Trust |
||||||||||||
4.35%, 10/01/24 |
7 | 5,688 | ||||||||||
7.50%, 09/15/25 |
29 | 26,571 | ||||||||||
|
|
|||||||||||
1,287,275 | ||||||||||||
Food & Staples Retailing — 0.3% |
||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC (e) |
||||||||||||
3.25%, 03/15/26 |
146 | 127,159 | ||||||||||
4.63%, 01/15/27 |
11 | 9,826 | ||||||||||
4.88%, 02/15/30 |
68 | 58,333 | ||||||||||
Darling Ingredients, Inc., 6.00%, 06/15/30 (e) |
96 | 95,678 | ||||||||||
Kraft Heinz Foods Co. |
||||||||||||
6.50%, 02/09/40 |
35 | 37,821 | ||||||||||
4.88%, 10/01/49 |
61 | 53,878 | ||||||||||
5.50%, 06/01/50 |
253 | 242,858 | ||||||||||
Lamb Weston Holdings, Inc. (e) |
||||||||||||
4.88%, 05/15/28 |
18 | 16,940 | ||||||||||
4.13%, 01/31/30 |
94 | 81,363 | ||||||||||
4.38%, 01/31/32 |
145 | 126,150 | ||||||||||
Market Bidco Finco PLC, 5.50%, 11/04/27 (a) |
GBP | 100 | 92,515 | |||||||||
Ocado Group PLC, 3.88%, 10/08/26 (a) |
100 | 97,624 | ||||||||||
Performance Food Group, Inc., 4.25%, 08/01/29 (e) |
USD | 168 | 140,280 | |||||||||
Post Holdings, Inc. (e) |
||||||||||||
5.50%, 12/15/29 |
11 | 9,834 | ||||||||||
4.63%, 04/15/30 |
45 | 37,970 | ||||||||||
4.50%, 09/15/31 |
21 | 17,175 | ||||||||||
U.S. Foods, Inc. (e) |
||||||||||||
6.25%, 04/15/25 |
51 | 50,872 |
S C H E D U L E O F I N V E S T M E N T S |
19 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Food & Staples Retailing (continued) |
||||||||||||
U.S. Foods, Inc. (e) (continued) |
||||||||||||
4.75%, 02/15/29 |
USD | 121 | $ | 105,777 | ||||||||
United Natural Foods, Inc., 6.75%, 10/15/28 (e) |
15 | 14,018 | ||||||||||
|
|
|||||||||||
1,416,071 | ||||||||||||
Food Products (e) — 0.2% |
||||||||||||
Aramark Services, Inc. |
||||||||||||
6.38%, 05/01/25 |
110 | 107,618 | ||||||||||
5.00%, 02/01/28 |
211 | 191,210 | ||||||||||
Chobani LLC/Chobani Finance Corp., Inc. |
||||||||||||
7.50%, 04/15/25 |
352 | 323,266 | ||||||||||
4.63%, 11/15/28 |
256 | 216,320 | ||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/01/31 |
89 | 73,015 | ||||||||||
Pilgrim’s Pride Corp., 3.50%, 03/01/32 |
57 | 44,531 | ||||||||||
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29 |
110 | 92,994 | ||||||||||
|
|
|||||||||||
1,048,954 | ||||||||||||
Gas Utilities — 0.0% |
||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31 (e) |
29 | 24,661 | ||||||||||
|
|
|||||||||||
Health Care Equipment & Supplies (e) — 0.2% |
||||||||||||
Avantor Funding, Inc. |
||||||||||||
4.63%, 07/15/28 |
359 | 329,095 | ||||||||||
3.88%, 11/01/29 |
387 | 338,490 | ||||||||||
Embecta Corp., 6.75%, 02/15/30 |
49 | 44,116 | ||||||||||
Hologic, Inc., 3.25%, 02/15/29 |
15 | 12,821 | ||||||||||
|
|
|||||||||||
724,522 | ||||||||||||
Health Care Providers & Services — 0.9% |
||||||||||||
Acadia Healthcare Co., Inc. (e) |
||||||||||||
5.50%, 07/01/28 |
37 | 34,569 | ||||||||||
5.00%, 04/15/29 |
17 | 15,261 | ||||||||||
AdaptHealth LLC (e) |
||||||||||||
6.13%, 08/01/28 |
24 | 21,228 | ||||||||||
5.13%, 03/01/30 |
9 | 7,586 | ||||||||||
AHP Health Partners, Inc., 5.75%, 07/15/29 (e) |
105 | 77,144 | ||||||||||
Cano Health LLC, 6.25%, 10/01/28 (e) |
40 | 32,712 | ||||||||||
Centene Corp. |
||||||||||||
2.45%, 07/15/28 |
200 | 166,808 | ||||||||||
3.00%, 10/15/30 |
480 | 397,800 | ||||||||||
2.50%, 03/01/31 |
409 | 324,648 | ||||||||||
2.63%, 08/01/31 |
107 | 85,119 | ||||||||||
CHS/Community Health Systems, Inc. (e) |
||||||||||||
8.00%, 03/15/26 |
370 | 336,955 | ||||||||||
5.63%, 03/15/27 |
153 | 129,495 | ||||||||||
6.00%, 01/15/29 |
136 | 112,665 | ||||||||||
6.88%, 04/15/29 |
34 | 21,930 | ||||||||||
6.13%, 04/01/30 |
91 | 55,510 | ||||||||||
Encompass Health Corp. |
||||||||||||
4.50%, 02/01/28 |
16 | 13,698 | ||||||||||
4.75%, 02/01/30 |
123 | 103,079 | ||||||||||
4.63%, 04/01/31 |
66 | 53,442 | ||||||||||
Legacy LifePoint Health LLC (e) |
||||||||||||
6.75%, 04/15/25 |
116 | 112,127 | ||||||||||
4.38%, 02/15/27 |
44 | 37,700 | ||||||||||
LifePoint Health, Inc., 5.38%, 01/15/29 (e) |
71 | 52,185 | ||||||||||
Medline Borrower LP (e) |
||||||||||||
3.88%, 04/01/29 |
81 | 68,989 |
Security |
Par (000) |
Value |
||||||||||
Health Care Providers & Services (continued) |
||||||||||||
Medline Borrower LP (e) (continued) |
||||||||||||
5.25%, 10/01/29 |
USD | 761 | $ | 625,009 | ||||||||
ModivCare, Inc., 5.88%, 11/15/25 (e) |
23 | 21,160 | ||||||||||
Molina Healthcare, Inc. (e) |
||||||||||||
4.38%, 06/15/28 |
12 | 10,719 | ||||||||||
3.88%, 11/15/30 |
174 | 148,732 | ||||||||||
3.88%, 05/15/32 |
77 | 64,571 | ||||||||||
Owens & Minor, Inc., 6.63%, 04/01/30 (e) |
46 | 42,020 | ||||||||||
Prime Healthcare Services, Inc., 7.25%, 11/01/25 (e) |
149 | 127,171 | ||||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26 (e) |
17 | 16,533 | ||||||||||
Surgery Center Holdings, Inc. (e) |
||||||||||||
6.75%, 07/01/25 |
145 | 132,898 | ||||||||||
10.00%, 04/15/27 |
256 | 247,973 | ||||||||||
Teleflex, Inc. |
||||||||||||
4.63%, 11/15/27 |
6 | 5,535 | ||||||||||
4.25%, 06/01/28 (e) |
42 | 37,948 | ||||||||||
Tenet Healthcare Corp. (e) |
||||||||||||
4.88%, 01/01/26 |
214 | 196,880 | ||||||||||
6.25%, 02/01/27 |
30 | 27,612 | ||||||||||
5.13%, 11/01/27 |
343 | 308,700 | ||||||||||
4.63%, 06/15/28 |
26 | 22,640 | ||||||||||
6.13%, 10/01/28 |
55 | 47,068 | ||||||||||
4.25%, 06/01/29 |
14 | 11,791 | ||||||||||
6.13%, 06/15/30 |
91 | 83,955 | ||||||||||
|
|
|||||||||||
4,439,565 | ||||||||||||
Health Care Technology — 0.2% |
||||||||||||
Catalent Pharma Solutions, Inc. (e) |
||||||||||||
5.00%, 07/15/27 |
41 | 38,595 | ||||||||||
3.13%, 02/15/29 |
52 | 42,663 | ||||||||||
3.50%, 04/01/30 |
139 | 113,414 | ||||||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25 (e) |
212 | 206,422 | ||||||||||
Charles River Laboratories International, Inc. (e) |
||||||||||||
4.25%, 05/01/28 |
46 | 41,322 | ||||||||||
3.75%, 03/15/29 |
11 | 9,546 | ||||||||||
4.00%, 03/15/31 |
31 | 26,426 | ||||||||||
Chrome Bidco SASU, 3.50%, 05/31/28 (a) |
EUR | 100 | 85,755 | |||||||||
Minerva Merger Sub, Inc., 6.50%, 02/15/30 (e) |
USD | 343 | 285,235 | |||||||||
Syneos Health, Inc., 3.63%, 01/15/29 (e) |
291 | 246,427 | ||||||||||
|
|
|||||||||||
1,095,805 | ||||||||||||
Hotels, Restaurants & Leisure — 1.0% |
||||||||||||
1011778 BC ULC/New Red Finance, Inc. (e) |
||||||||||||
3.88%, 01/15/28 |
73 | 63,358 | ||||||||||
4.38%, 01/15/28 |
234 | 204,586 | ||||||||||
4.00%, 10/15/30 |
46 | 36,915 | ||||||||||
Affinity Gaming, 6.88%, 12/15/27 (e) |
8 | 6,720 | ||||||||||
Boyd Gaming Corp. |
||||||||||||
4.75%, 12/01/27 |
58 | 52,490 | ||||||||||
4.75%, 06/15/31 (e) |
160 | 135,203 | ||||||||||
Boyne USA, Inc., 4.75%, 05/15/29 (e) |
94 | 81,398 | ||||||||||
Caesars Entertainment, Inc. (e) |
||||||||||||
6.25%, 07/01/25 |
533 | 513,668 | ||||||||||
8.13%, 07/01/27 |
409 | 395,196 | ||||||||||
4.63%, 10/15/29 |
534 | 415,185 | ||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25 (e) |
151 | 144,403 | ||||||||||
Carnival Corp., 7.63%, 03/01/26 (e) |
29 | 22,462 |
20 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||||||
Hotels, Restaurants & Leisure (continued) |
||||||||||||||||
CCM Merger, Inc., 6.38%, 05/01/26 (e) |
USD | 53 | $ | 48,253 | ||||||||||||
CDI Escrow Issuer, Inc., 5.75%, 04/01/30 (e) |
323 | 293,930 | ||||||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op |
||||||||||||||||
5.50%, 05/01/25 (e) |
318 | 308,460 | ||||||||||||||
6.50%, 10/01/28 |
19 | 18,033 | ||||||||||||||
Churchill Downs, Inc., 4.75%, 01/15/28 (e) |
152 | 135,280 | ||||||||||||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc. (e) |
||||||||||||||||
4.63%, 01/15/29 |
195 | 166,237 | ||||||||||||||
6.75%, 01/15/30 |
376 | 288,580 | ||||||||||||||
Hilton Domestic Operating Co., Inc. |
||||||||||||||||
5.75%, 05/01/28 (e) |
108 | 102,690 | ||||||||||||||
3.75%, 05/01/29 (e) |
35 | 29,685 | ||||||||||||||
4.88%, 01/15/30 |
199 | 179,846 | ||||||||||||||
4.00%, 05/01/31 (e) |
92 | 76,452 | ||||||||||||||
3.63%, 02/15/32 (e) |
35 | 27,803 | ||||||||||||||
MGM Resorts International, 5.75%, 06/15/25 |
73 | 69,532 | ||||||||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29 (e) |
71 | 57,865 | ||||||||||||||
Peninsula Pacific Entertainment LLC/Peninsula Pacific Entertainment Finance, Inc., 8.50%, 11/15/27 (e) |
76 | 79,770 | ||||||||||||||
Powdr Corp., 6.00%, 08/01/25 (e) |
67 | 66,498 | ||||||||||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. (e) |
||||||||||||||||
5.63%, 09/01/29 |
34 | 24,207 | ||||||||||||||
5.88%, 09/01/31 |
37 | 25,678 | ||||||||||||||
Raptor Acquisition Corp./Raptor Co-Issuer LLC, 4.88%, 11/01/26 (e) |
57 | 49,875 | ||||||||||||||
Royal Caribbean Cruises Ltd., 5.38%, 07/15/27 (e) |
92 | 66,872 | ||||||||||||||
Scientific Games International, Inc., 8.63%, 07/01/25 (e) |
65 | 66,632 | ||||||||||||||
Six Flags Theme Parks, Inc., 7.00%, 07/01/25 (e)(j) |
96 | 97,184 | ||||||||||||||
Station Casinos LLC (e) |
||||||||||||||||
4.50%, 02/15/28 |
69 | 58,278 | ||||||||||||||
4.63%, 12/01/31 |
89 | 69,420 | ||||||||||||||
Vail Resorts, Inc., 6.25%, 05/15/25 (e) |
89 | 88,891 | ||||||||||||||
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28 (e) |
44 | 38,485 | ||||||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29 (e) |
198 | 155,945 | ||||||||||||||
Yum! Brands, Inc. |
||||||||||||||||
4.75%, 01/15/30 (e) |
24 | 21,780 | ||||||||||||||
5.35%, 11/01/43 |
14 | 11,603 | ||||||||||||||
|
|
|||||||||||||||
4,795,348 | ||||||||||||||||
Household Durables — 0.2% |
| |||||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co. (e) |
||||||||||||||||
4.63%, 08/01/29 |
32 | 24,000 | ||||||||||||||
4.63%, 04/01/30 |
46 | 33,780 | ||||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC (e) |
||||||||||||||||
5.00%, 06/15/29 |
67 | 50,657 | ||||||||||||||
4.88%, 02/15/30 |
256 | 185,984 | ||||||||||||||
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25 (e) |
104 | 91,944 | ||||||||||||||
K Hovnanian Enterprises, Inc., 10.00%, 11/15/25 (e) |
20 | 21,204 | ||||||||||||||
KB Home, 7.25%, 07/15/30 |
21 | 19,898 |
Security |
Par (000) |
Value |
||||||||||||||
Household Durables (continued) |
||||||||||||||||
Mattamy Group Corp., 4.63%, 03/01/30 (e) |
USD | 72 | $ | 52,619 | ||||||||||||
NCR Corp. (e) |
||||||||||||||||
5.75%, 09/01/27 |
20 | 17,751 | ||||||||||||||
5.00%, 10/01/28 |
57 | 48,330 | ||||||||||||||
5.13%, 04/15/29 |
30 | 25,372 | ||||||||||||||
6.13%, 09/01/29 |
78 | 67,459 | ||||||||||||||
SWF Escrow Issuer Corp., 6.50%, 10/01/29 (e) |
105 | 70,612 | ||||||||||||||
Taylor Morrison Communities, Inc., 5.13%, 08/01/30 (e) |
20 | 16,610 | ||||||||||||||
Tempur Sealy International, Inc. (e) |
||||||||||||||||
4.00%, 04/15/29 |
73 | 58,804 | ||||||||||||||
3.88%, 10/15/31 |
96 | 72,000 | ||||||||||||||
Tri Pointe Homes, Inc., 5.70%, 06/15/28 |
18 | 15,534 | ||||||||||||||
|
|
|||||||||||||||
872,558 | ||||||||||||||||
Household Products — 0.0% |
||||||||||||||||
Energizer Holdings, Inc., 6.50%, 12/31/27 (e) |
38 | 33,297 | ||||||||||||||
|
|
|||||||||||||||
Independent Power and Renewable Electricity Producers (e) — 0.1% |
||||||||||||||||
Calpine Corp. |
||||||||||||||||
5.25%, 06/01/26 |
28 | 26,600 | ||||||||||||||
5.13%, 03/15/28 |
380 | 334,514 | ||||||||||||||
4.63%, 02/01/29 |
22 | 18,310 | ||||||||||||||
5.00%, 02/01/31 |
14 | 11,318 | ||||||||||||||
3.75%, 03/01/31 |
4 | 3,254 | ||||||||||||||
Clearway Energy Operating LLC |
||||||||||||||||
4.75%, 03/15/28 |
20 | 17,994 | ||||||||||||||
3.75%, 01/15/32 |
82 | 64,985 | ||||||||||||||
NRG Energy, Inc. |
||||||||||||||||
3.63%, 02/15/31 |
91 | 71,343 | ||||||||||||||
3.88%, 02/15/32 |
78 | 61,954 | ||||||||||||||
TerraForm Power Operating LLC, 4.75%, 01/15/30 |
74 | 63,380 | ||||||||||||||
|
|
|||||||||||||||
673,652 | ||||||||||||||||
Insurance (e) — 0.5% |
||||||||||||||||
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29 |
71 | 55,578 | ||||||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer |
||||||||||||||||
4.25%, 10/15/27 |
388 | 335,841 | ||||||||||||||
6.75%, 10/15/27 |
1,083 | 961,032 | ||||||||||||||
5.88%, 11/01/29 |
376 | 312,009 | ||||||||||||||
AmWINS Group, Inc., 4.88%, 06/30/29 |
82 | 67,152 | ||||||||||||||
GTCR AP Finance, Inc., 8.00%, 05/15/27 |
4 | 3,745 | ||||||||||||||
HUB International Ltd. |
||||||||||||||||
7.00%, 05/01/26 |
416 | 391,206 | ||||||||||||||
5.63%, 12/01/29 |
16 | 13,217 | ||||||||||||||
Ryan Specialty Group LLC, 4.38%, 02/01/30 |
43 | 37,410 | ||||||||||||||
|
|
|||||||||||||||
2,177,190 | ||||||||||||||||
Interactive Media & Services — 0.1% |
||||||||||||||||
Arches Buyer, Inc., 4.25%, 06/01/28 (e) |
36 | 29,311 | ||||||||||||||
Iliad SA, 2.38%, 06/17/26 (a) |
EUR | 100 | 91,696 | |||||||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. (e) |
||||||||||||||||
4.75%, 04/30/27 |
USD | 152 | 125,180 | |||||||||||||
6.00%, 02/15/28 |
71 | 51,021 | ||||||||||||||
10.75%, 06/01/28 |
30 | 26,694 |
S C H E D U L E O F I N V E S T M E N T S |
21 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Interactive Media & Services (continued) |
||||||||||||
Twitter, Inc. (e) |
||||||||||||
3.88%, 12/15/27 |
USD | 103 | $ | 97,104 | ||||||||
5.00%, 03/01/30 |
71 | 67,361 | ||||||||||
|
|
|||||||||||
488,367 | ||||||||||||
Internet Software & Services (e) — 0.4% |
||||||||||||
ANGI Group LLC, 3.88%, 08/15/28 |
106 | 80,708 | ||||||||||
Endurance International Group Holdings, Inc., 6.00%, 02/15/29 |
34 | 24,535 | ||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.50%, 03/01/29 |
55 | 46,370 | ||||||||||
Match Group Holdings II LLC |
||||||||||||
4.63%, 06/01/28 |
81 | 73,435 | ||||||||||
4.13%, 08/01/30 |
65 | 54,282 | ||||||||||
3.63%, 10/01/31 |
51 | 40,162 | ||||||||||
Uber Technologies, Inc. |
||||||||||||
7.50%, 05/15/25 |
242 | 239,694 | ||||||||||
8.00%, 11/01/26 |
92 | 91,586 | ||||||||||
7.50%, 09/15/27 |
282 | 273,196 | ||||||||||
6.25%, 01/15/28 |
341 | 315,370 | ||||||||||
4.50%, 08/15/29 |
656 | 539,560 | ||||||||||
|
|
|||||||||||
1,778,898 | ||||||||||||
IT Services — 0.6% |
||||||||||||
Ahead DB Holdings LLC, 6.63%, 05/01/28 (e) |
50 | 41,450 | ||||||||||
Booz Allen Hamilton, Inc. (e) |
||||||||||||
3.88%, 09/01/28 |
75 | 66,375 | ||||||||||
4.00%, 07/01/29 |
138 | 120,326 | ||||||||||
CA Magnum Holdings, 5.38%, 10/31/26 (e) |
201 | 173,865 | ||||||||||
Camelot Finance SA, 4.50%, 11/01/26 (e) |
56 | 51,078 | ||||||||||
Condor Merger Sub, Inc., 7.38%, 02/15/30 (e) |
279 | 226,763 | ||||||||||
Dun & Bradstreet Corp., 5.00%, 12/15/29 (e) |
252 | 217,665 | ||||||||||
Fair Isaac Corp., 4.00%, 06/15/28 (e) |
63 | 55,808 | ||||||||||
Fiserv, Inc., 2.25%, 06/01/27 |
1,385 | 1,238,718 | ||||||||||
Gartner, Inc. (e) |
||||||||||||
4.50%, 07/01/28 |
91 | 83,557 | ||||||||||
3.63%, 06/15/29 |
55 | 47,650 | ||||||||||
3.75%, 10/01/30 |
45 | 38,306 | ||||||||||
KBR, Inc., 4.75%, 09/30/28 (e) |
66 | 58,168 | ||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25 (e) |
190 | 178,740 | ||||||||||
Twilio, Inc., 3.88%, 03/15/31 |
161 | 132,466 | ||||||||||
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29 (e) |
337 | 282,286 | ||||||||||
|
|
|||||||||||
3,013,221 | ||||||||||||
Leisure Products — 0.0% |
||||||||||||
Mattel, Inc. |
||||||||||||
3.75%, 04/01/29 (e) |
45 | 40,437 | ||||||||||
6.20%, 10/01/40 |
60 | 57,300 | ||||||||||
5.45%, 11/01/41 |
119 | 104,452 | ||||||||||
|
|
|||||||||||
202,189 | ||||||||||||
Machinery — 0.5% |
||||||||||||
ATS Automation Tooling Systems, Inc., 4.13%, 12/15/28 (e) |
35 | 29,225 | ||||||||||
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25 (e)(i) |
445 | 431,650 | ||||||||||
Madison IAQ LLC, 5.88%, 06/30/29 (e) |
1,142 | 875,137 | ||||||||||
Mueller Water Products, Inc., 4.00%, 06/15/29 (e) |
34 | 29,660 | ||||||||||
OT Merger Corp., 7.88%, 10/15/29 (e) |
37 | 21,251 | ||||||||||
Schenck Process Holding GmbH/Darmstadt, 5.38%, 06/15/23 (a) |
EUR | 100 | 100,819 |
Security |
Par (000) |
Value |
||||||||||
Machinery (continued) |
||||||||||||
Terex Corp., 5.00%, 05/15/29 (e) |
USD | 102 | $ | 86,700 | ||||||||
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26 (e) |
171 | 157,183 | ||||||||||
TK Elevator Holdco GmbH, 7.63%, 07/15/28 (e) |
200 | 179,500 | ||||||||||
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27 (e) |
400 | 356,626 | ||||||||||
|
|
|||||||||||
2,267,751 | ||||||||||||
Media — 2.5% |
||||||||||||
Adelphia Communications Corp., 10.50%, 12/31/49 (b)(c)(f)(g) |
400 | — | ||||||||||
Altice Financing SA (e) |
||||||||||||
5.00%, 01/15/28 |
204 | 164,391 | ||||||||||
5.75%, 08/15/29 |
251 | 201,428 | ||||||||||
Altice France Holding SA, 10.50%, 05/15/27 (e) |
742 | 622,642 | ||||||||||
AMC Networks, Inc., 4.25%, 02/15/29 |
39 | 31,540 | ||||||||||
Cable One, Inc. |
||||||||||||
1.13%, 03/15/28 (k) |
66 | 55,308 | ||||||||||
4.00%, 11/15/30 (e) |
88 | 72,290 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
||||||||||||
5.13%, 05/01/27 (e) |
38 | 35,863 | ||||||||||
5.00%, 02/01/28 (e) |
62 | 57,207 | ||||||||||
5.38%, 06/01/29 (e) |
117 | 104,579 | ||||||||||
4.75%, 03/01/30 (e) |
22 | 18,816 | ||||||||||
4.50%, 08/15/30 (e) |
144 | 119,560 | ||||||||||
4.25%, 02/01/31 (e) |
257 | 209,455 | ||||||||||
4.75%, 02/01/32 (e) |
172 | 140,834 | ||||||||||
4.50%, 05/01/32 |
279 | 225,906 | ||||||||||
4.50%, 06/01/33 (e) |
128 | 100,867 | ||||||||||
4.25%, 01/15/34 (e) |
289 | 223,253 | ||||||||||
Clear Channel International BV, 6.63%, 08/01/25 (e) |
200 | 186,000 | ||||||||||
Clear Channel Outdoor Holdings, Inc. (e) |
||||||||||||
5.13%, 08/15/27 |
562 | 474,513 | ||||||||||
7.75%, 04/15/28 |
358 | 260,470 | ||||||||||
7.50%, 06/01/29 |
252 | 181,203 | ||||||||||
CMG Media Corp., 8.88%, 12/15/27 (e) |
100 | 79,001 | ||||||||||
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26 (e) |
738 | 663,189 | ||||||||||
CSC Holdings LLC |
||||||||||||
5.25%, 06/01/24 |
344 | 321,640 | ||||||||||
4.13%, 12/01/30 (e) |
223 | 173,940 | ||||||||||
3.38%, 02/15/31 (e) |
205 | 151,559 | ||||||||||
Directv Financing LLC/Directv Financing Co.- Obligor, Inc., 5.88%, 08/15/27 (e) |
155 | 132,226 | ||||||||||
DISH DBS Corp. |
||||||||||||
5.88%, 07/15/22 |
582 | 578,700 | ||||||||||
5.25%, 12/01/26 (e) |
463 | 362,918 | ||||||||||
5.75%, 12/01/28 (e) |
270 | 199,911 | ||||||||||
5.13%, 06/01/29 |
107 | 65,017 | ||||||||||
Frontier Communications Holdings LLC (e) |
||||||||||||
5.88%, 10/15/27 |
144 | 129,471 | ||||||||||
5.00%, 05/01/28 |
165 | 140,250 | ||||||||||
6.75%, 05/01/29 |
146 | 120,085 | ||||||||||
6.00%, 01/15/30 |
86 | 66,173 | ||||||||||
GCI LLC, 4.75%, 10/15/28 (e) |
64 | 55,453 | ||||||||||
Iliad Holding SASU (e) |
||||||||||||
6.50%, 10/15/26 |
200 | 179,994 | ||||||||||
7.00%, 10/15/28 |
200 | 173,987 | ||||||||||
Kaixo Bondsco Telecom SA, 5.13%, 09/30/29 (a) |
EUR | 100 | 79,382 | |||||||||
Lamar Media Corp., 4.00%, 02/15/30 |
USD | 57 | 47,860 | |||||||||
LCPR Senior Secured Financing DAC (e) |
||||||||||||
6.75%, 10/15/27 |
180 | 167,909 |
22 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||||||
Media (continued) |
||||||||||||||||
LCPR Senior Secured Financing DAC (e) (continued) |
||||||||||||||||
5.13%, 07/15/29 |
USD | 200 | $ | 167,000 | ||||||||||||
Liberty Broadband Corp., 2.75%, 09/30/50 (e)(k) |
481 | 457,518 | ||||||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23 (e)(i) |
89 | 45,413 | ||||||||||||||
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29 (e) |
244 | 190,320 | ||||||||||||||
Live Nation Entertainment, Inc. (e) |
||||||||||||||||
4.88%, 11/01/24 |
9 | 8,595 | ||||||||||||||
6.50%, 05/15/27 |
452 | 444,506 | ||||||||||||||
4.75%, 10/15/27 |
52 | 46,099 | ||||||||||||||
3.75%, 01/15/28 |
62 | 53,475 | ||||||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp. (e) |
||||||||||||||||
5.00%, 08/15/27 |
215 | 187,856 | ||||||||||||||
4.25%, 01/15/29 |
43 | 34,255 | ||||||||||||||
4.63%, 03/15/30 |
4 | 3,151 | ||||||||||||||
Radiate Holdco LLC/Radiate Finance, Inc. (e) |
||||||||||||||||
4.50%, 09/15/26 |
815 | 702,758 | ||||||||||||||
6.50%, 09/15/28 |
414 | 319,970 | ||||||||||||||
Scripps Escrow II, Inc., 3.88%, 01/15/29 (e) |
5 | 4,190 | ||||||||||||||
Sinclair Television Group, Inc., 4.13%, 12/01/30 (e) |
229 | 181,635 | ||||||||||||||
Sirius XM Radio, Inc. (e) |
| |||||||||||||||
3.13%, 09/01/26 |
212 | 189,153 | ||||||||||||||
5.00%, 08/01/27 |
55 | 51,014 | ||||||||||||||
4.00%, 07/15/28 |
99 | 85,635 | ||||||||||||||
4.13%, 07/01/30 |
28 | 23,385 | ||||||||||||||
3.88%, 09/01/31 |
151 | 120,234 | ||||||||||||||
Stagwell Global LLC, 5.63%, 08/15/29 (e) |
32 | 25,713 | ||||||||||||||
United Group BV, 5.25%, 02/01/30 (a) |
EUR | 100 | 77,275 | |||||||||||||
Univision Communications, Inc. (e) |
||||||||||||||||
5.13%, 02/15/25 |
USD | 107 | 100,687 | |||||||||||||
6.63%, 06/01/27 |
39 | 37,132 | ||||||||||||||
7.38%, 06/30/30 |
42 | 41,055 | ||||||||||||||
UPC Broadband Finco BV, 4.88%, 07/15/31 (e) |
200 | 163,000 | ||||||||||||||
Videotron Ltd., 3.63%, 06/15/29 (e) |
85 | 69,000 | ||||||||||||||
Virgin Media Secured Finance PLC, 4.50%, 08/15/30 (e) |
200 | 164,342 | ||||||||||||||
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28 (e) |
242 | 200,247 | ||||||||||||||
WMG Acquisition Corp., 3.88%, 07/15/30 (e) |
7 | 5,821 | ||||||||||||||
Ziggo Bonds Co. BV, 5.13%, 02/28/30 (e) |
200 | 156,882 | ||||||||||||||
|
|
|||||||||||||||
11,732,106 | ||||||||||||||||
Metals & Mining — 0.5% |
||||||||||||||||
Allegheny Technologies, Inc. |
||||||||||||||||
4.88%, 10/01/29 |
32 | 25,520 | ||||||||||||||
5.13%, 10/01/31 |
88 | 67,412 | ||||||||||||||
Arconic Corp. (e) |
||||||||||||||||
6.00%, 05/15/25 |
13 | 12,679 | ||||||||||||||
6.13%, 02/15/28 |
183 | 170,882 | ||||||||||||||
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29 (e) |
341 | 316,429 | ||||||||||||||
Carpenter Technology Corp. |
||||||||||||||||
6.38%, 07/15/28 |
14 | 12,496 | ||||||||||||||
7.63%, 03/15/30 |
64 | 58,771 | ||||||||||||||
Commercial Metals Co. |
||||||||||||||||
4.13%, 01/15/30 |
23 | 19,366 | ||||||||||||||
4.38%, 03/15/32 |
24 | 19,658 | ||||||||||||||
Constellium SE, 3.75%, 04/15/29 (e) |
500 | 396,536 |
Security |
Par (000) |
Value |
||||||||||||||
Metals & Mining (continued) |
||||||||||||||||
ERO Copper Corp., 6.50%, 02/15/30 (e) |
USD | 50 | $ | 40,125 | ||||||||||||
FMG Resources August 2006 Pty. Ltd., 6.13%, 04/15/32 (e) |
130 | 117,000 | ||||||||||||||
Joseph T Ryerson & Son, Inc., 8.50%, 08/01/28 (e) |
|
9 | 9,293 | |||||||||||||
Kaiser Aluminum Corp. (e) |
||||||||||||||||
4.63%, 03/01/28 |
169 | 140,696 | ||||||||||||||
4.50%, 06/01/31 |
192 | 145,321 | ||||||||||||||
Mineral Resources Ltd. (e) |
||||||||||||||||
8.00%, 11/01/27 |
41 | 39,975 | ||||||||||||||
8.50%, 05/01/30 |
41 | 40,385 | ||||||||||||||
New Gold, Inc., 7.50%, 07/15/27 (e) |
170 | 147,900 | ||||||||||||||
Novelis Corp. (e) |
||||||||||||||||
3.25%, 11/15/26 |
148 | 125,101 | ||||||||||||||
4.75%, 01/30/30 |
381 | 316,679 | ||||||||||||||
3.88%, 08/15/31 |
148 | 113,988 | ||||||||||||||
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29 (e) |
39 | 33,186 | ||||||||||||||
U.S. Steel Corp., 6.88%, 03/01/29 |
90 | 78,533 | ||||||||||||||
|
|
|||||||||||||||
2,447,931 | ||||||||||||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.0% |
||||||||||||||||
Starwood Property Trust, Inc., 5.50%, 11/01/23 (e) |
|
9 | 8,899 | |||||||||||||
|
|
|||||||||||||||
Multiline Retail — 0.0% |
||||||||||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26 (e) |
123 | 113,354 | ||||||||||||||
|
|
|||||||||||||||
Offshore Drilling & Other Services (e) — 0.0% |
||||||||||||||||
Entegris, Inc. |
||||||||||||||||
4.38%, 04/15/28 |
29 | 25,593 | ||||||||||||||
3.63%, 05/01/29 |
10 | 8,362 | ||||||||||||||
|
|
|||||||||||||||
33,955 | ||||||||||||||||
Oil, Gas & Consumable Fuels — 2.7% |
||||||||||||||||
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26 (e) |
186 | 180,745 | ||||||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. (e) |
||||||||||||||||
5.75%, 03/01/27 |
80 | 74,400 | ||||||||||||||
5.75%, 01/15/28 |
15 | 13,656 | ||||||||||||||
5.38%, 06/15/29 |
66 | 59,107 | ||||||||||||||
Antero Resources Corp., 7.63%, 02/01/29 (e) |
38 | 38,656 | ||||||||||||||
Apache Corp. |
| |||||||||||||||
4.25%, 01/15/30 |
68 | 60,265 | ||||||||||||||
5.10%, 09/01/40 |
130 | 109,769 | ||||||||||||||
5.25%, 02/01/42 |
18 | 15,057 | ||||||||||||||
5.35%, 07/01/49 |
41 | 32,396 | ||||||||||||||
Arcosa, Inc., 4.38%, 04/15/29 (e) |
117 | 99,281 | ||||||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. (e) |
||||||||||||||||
9.00%, 11/01/27 |
298 | 374,045 | ||||||||||||||
5.88%, 06/30/29 |
71 | 62,480 | ||||||||||||||
Buckeye Partners LP |
||||||||||||||||
5.85%, 11/15/43 |
16 | 11,360 | ||||||||||||||
5.60%, 10/15/44 |
1 | 696 | ||||||||||||||
Callon Petroleum Co. |
||||||||||||||||
6.13%, 10/01/24 |
33 | 33,508 | ||||||||||||||
9.00%, 04/01/25 (e) |
237 | 251,220 | ||||||||||||||
6.38%, 07/01/26 |
38 | 35,055 | ||||||||||||||
8.00%, 08/01/28 (e) |
250 | 240,150 | ||||||||||||||
7.50%, 06/15/30 (e) |
279 | 256,719 |
S C H E D U L E O F I N V E S T M E N T S |
23 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||||||
Oil, Gas & Consumable Fuels (continued) |
||||||||||||||||
Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31 (a)(k) |
EUR | 100 | $ | 71,367 | ||||||||||||
Centennial Resource Production LLC, 6.88%, 04/01/27 (e) |
USD | 36 | 34,187 | |||||||||||||
Central Parent, Inc./Central Merger Sub, Inc., 7.25%, 06/15/29 (e) |
179 | 172,287 | ||||||||||||||
Cheniere Energy Partners LP |
||||||||||||||||
4.50%, 10/01/29 |
211 | 188,360 | ||||||||||||||
4.00%, 03/01/31 |
201 | 170,910 | ||||||||||||||
3.25%, 01/31/32 (e) |
163 | 128,362 | ||||||||||||||
Cheniere Energy, Inc., 4.63%, 10/15/28 |
616 | 554,751 | ||||||||||||||
Chesapeake Energy Corp. (e) |
||||||||||||||||
5.88%, 02/01/29 |
5 | 4,715 | ||||||||||||||
6.75%, 04/15/29 |
166 | 160,527 | ||||||||||||||
CITGO Petroleum Corp. (e) |
||||||||||||||||
7.00%, 06/15/25 |
90 | 87,075 | ||||||||||||||
6.38%, 06/15/26 |
74 | 68,315 | ||||||||||||||
Civitas Resources, Inc., 5.00%, 10/15/26 (e) |
28 | 25,130 | ||||||||||||||
CNX Midstream Partners LP, 4.75%, 04/15/30 (e) |
30 | 25,200 | ||||||||||||||
CNX Resources Corp., 6.00%, 01/15/29 (e) |
33 | 30,829 | ||||||||||||||
Colgate Energy Partners III LLC (e) |
||||||||||||||||
7.75%, 02/15/26 |
38 | 36,124 | ||||||||||||||
5.88%, 07/01/29 |
129 | 113,036 | ||||||||||||||
Comstock Resources, Inc. (e) |
||||||||||||||||
6.75%, 03/01/29 |
137 | 122,674 | ||||||||||||||
5.88%, 01/15/30 |
220 | 189,200 | ||||||||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31 (e) |
250 | 212,885 | ||||||||||||||
Crescent Energy Finance LLC, 7.25%, 05/01/26 (e) |
222 | 202,020 | ||||||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. (e) |
||||||||||||||||
5.63%, 05/01/27 |
16 | 14,240 | ||||||||||||||
6.00%, 02/01/29 |
13 | 11,344 | ||||||||||||||
8.00%, 04/01/29 |
27 | 25,077 | ||||||||||||||
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25 (e) |
441 | 414,540 | ||||||||||||||
DCP Midstream Operating LP (e) |
||||||||||||||||
6.45%, 11/03/36 |
179 | 175,420 | ||||||||||||||
6.75%, 09/15/37 |
6 | 5,708 | ||||||||||||||
DT Midstream, Inc. (e) |
||||||||||||||||
4.13%, 06/15/29 |
132 | 111,870 | ||||||||||||||
4.38%, 06/15/31 |
152 | 127,300 | ||||||||||||||
Dycom Industries, Inc., 4.50%, 04/15/29 (e) |
33 | 28,813 | ||||||||||||||
Earthstone Energy Holdings LLC, 8.00%, 04/15/27 (e) |
93 | 88,001 | ||||||||||||||
eG Global Finance PLC |
||||||||||||||||
6.75%, 02/07/25 (e) |
200 | 188,577 | ||||||||||||||
6.25%, 10/30/25 (a) |
EUR | 142 | 133,360 | |||||||||||||
Energy Transfer LP, Series H, (5 year CMT + 5.69%), 6.50% (g)(h) |
USD | 204 | 180,319 | |||||||||||||
EnLink Midstream LLC |
||||||||||||||||
5.63%, 01/15/28 (e) |
93 | 85,306 | ||||||||||||||
5.38%, 06/01/29 |
122 | 106,775 | ||||||||||||||
EnLink Midstream Partners LP |
||||||||||||||||
4.40%, 04/01/24 |
136 | 132,756 | ||||||||||||||
4.85%, 07/15/26 |
39 | 35,978 | ||||||||||||||
5.60%, 04/01/44 |
82 | 58,073 | ||||||||||||||
5.45%, 06/01/47 |
18 | 12,739 |
Security |
Par (000) |
Value |
||||||||||||||
Oil, Gas & Consumable Fuels (continued) |
||||||||||||||||
EQM Midstream Partners LP |
||||||||||||||||
6.00%, 07/01/25 (e) |
USD | 33 | $ | 31,636 | ||||||||||||
4.13%, 12/01/26 |
17 | 14,684 | ||||||||||||||
6.50%, 07/01/27 (e) |
117 | 108,787 | ||||||||||||||
4.50%, 01/15/29 (e) |
8 | 6,495 | ||||||||||||||
7.50%, 06/01/30 (e) |
27 | 25,937 | ||||||||||||||
4.75%, 01/15/31 (e) |
199 | 158,702 | ||||||||||||||
Gulfport Energy Corp., 8.00%, 05/17/26 (e) |
11 | 11,313 | ||||||||||||||
Harvest Midstream I LP, 7.50%, 09/01/28 (e) |
20 | 18,785 | ||||||||||||||
Hess Midstream Operations LP, 4.25%, 02/15/30 (e) |
77 | 64,485 | ||||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., 6.25%, 11/01/28 (e) |
10 | 9,425 | ||||||||||||||
ITT Holdings LLC, 6.50%, 08/01/29 (e) |
109 | 87,200 | ||||||||||||||
Kinetik Holdings LP, 5.88%, 06/15/30 (e) |
177 | 168,613 | ||||||||||||||
MasTec, Inc., 4.50%, 08/15/28 (e) |
56 | 50,382 | ||||||||||||||
Matador Resources Co., 5.88%, 09/15/26 |
233 | 223,978 | ||||||||||||||
Murphy Oil Corp. |
||||||||||||||||
5.75%, 08/15/25 |
35 | 34,633 | ||||||||||||||
5.88%, 12/01/27 |
20 | 18,665 | ||||||||||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 |
109 | 98,107 | ||||||||||||||
Nabors Industries Ltd. (e) |
||||||||||||||||
7.25%, 01/15/26 |
27 | 23,945 | ||||||||||||||
7.50%, 01/15/28 |
44 | 37,840 | ||||||||||||||
Nabors Industries, Inc., 7.38%, 05/15/27 (e) |
104 | 98,800 | ||||||||||||||
New Fortress Energy, Inc. (e) |
||||||||||||||||
6.75%, 09/15/25 |
383 | 361,935 | ||||||||||||||
6.50%, 09/30/26 |
309 | 279,880 | ||||||||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26 (e) |
80 | 72,000 | ||||||||||||||
NGPL PipeCo LLC, 7.77%, 12/15/37 (e) |
186 | 202,412 | ||||||||||||||
Northern Oil & Gas, Inc., 8.13%, 03/01/28 (e) |
280 | 263,900 | ||||||||||||||
NuStar Logistics LP |
||||||||||||||||
5.75%, 10/01/25 |
41 | 38,335 | ||||||||||||||
6.00%, 06/01/26 |
124 | 115,940 | ||||||||||||||
6.38%, 10/01/30 |
2 | 1,738 | ||||||||||||||
Occidental Petroleum Corp. |
||||||||||||||||
6.95%, 07/01/24 |
19 | 19,570 | ||||||||||||||
8.00%, 07/15/25 |
11 | 11,578 | ||||||||||||||
5.88%, 09/01/25 |
38 | 37,835 | ||||||||||||||
5.50%, 12/01/25 |
49 | 48,265 | ||||||||||||||
8.88%, 07/15/30 |
23 | 26,406 | ||||||||||||||
6.63%, 09/01/30 |
743 | 765,290 | ||||||||||||||
6.13%, 01/01/31 |
25 | 25,336 | ||||||||||||||
7.50%, 05/01/31 |
27 | 29,025 | ||||||||||||||
6.45%, 09/15/36 |
32 | 32,800 | ||||||||||||||
6.20%, 03/15/40 |
302 | 297,470 | ||||||||||||||
6.60%, 03/15/46 |
18 | 19,116 | ||||||||||||||
PDC Energy, Inc., 6.13%, 09/15/24 |
68 | 67,537 | ||||||||||||||
Range Resources Corp., 4.88%, 05/15/25 |
39 | 38,041 | ||||||||||||||
Rockcliff Energy II LLC, 5.50%, 10/15/29 (e) |
149 | 135,586 | ||||||||||||||
SM Energy Co. |
||||||||||||||||
5.63%, 06/01/25 |
22 | 20,790 | ||||||||||||||
6.75%, 09/15/26 |
46 | 43,395 | ||||||||||||||
6.63%, 01/15/27 |
10 | 9,350 | ||||||||||||||
6.50%, 07/15/28 |
52 | 47,825 | ||||||||||||||
Southwestern Energy Co. |
||||||||||||||||
5.38%, 02/01/29 |
92 | 85,339 | ||||||||||||||
4.75%, 02/01/32 |
52 | 44,435 |
24 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||||||
Oil, Gas & Consumable Fuels (continued) |
||||||||||||||||
Sunoco LP/Sunoco Finance Corp., 5.88%, 03/15/28 |
USD | 151 | $ | 137,675 | ||||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (e) |
||||||||||||||||
6.00%, 03/01/27 |
14 | 12,495 | ||||||||||||||
6.00%, 12/31/30 |
10 | 8,300 | ||||||||||||||
6.00%, 09/01/31 |
41 | 33,825 | ||||||||||||||
Tap Rock Resources LLC, 7.00%, 10/01/26 (e) |
245 | 231,333 | ||||||||||||||
Transocean, Inc., 11.50%, 01/30/27 (e) |
167 | 156,751 | ||||||||||||||
Venture Global Calcasieu Pass LLC (e) |
||||||||||||||||
3.88%, 08/15/29 |
265 | 231,802 | ||||||||||||||
4.13%, 08/15/31 |
224 | 191,412 | ||||||||||||||
3.88%, 11/01/33 |
581 | 479,325 | ||||||||||||||
Vermilion Energy, Inc., 6.88%, 05/01/30 (e) |
51 | 45,645 | ||||||||||||||
Western Midstream Operating LP |
||||||||||||||||
4.75%, 08/15/28 |
95 | 86,794 | ||||||||||||||
5.45%, 04/01/44 |
217 | 180,357 | ||||||||||||||
5.30%, 03/01/48 |
39 | 31,440 | ||||||||||||||
5.50%, 08/15/48 |
17 | 13,855 | ||||||||||||||
5.75%, 02/01/50 |
156 | 125,277 | ||||||||||||||
|
|
|||||||||||||||
12,882,542 | ||||||||||||||||
Pharmaceuticals — 0.3% |
||||||||||||||||
Bausch Health Cos., Inc. (e) |
||||||||||||||||
9.00%, 12/15/25 |
55 | 40,637 | ||||||||||||||
6.13%, 02/01/27 |
21 | 17,850 | ||||||||||||||
7.00%, 01/15/28 |
36 | 20,610 | ||||||||||||||
5.00%, 02/15/29 |
55 | 28,600 | ||||||||||||||
6.25%, 02/15/29 |
2 | 1,064 | ||||||||||||||
Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28 (a) |
EUR | 100 | 89,040 | |||||||||||||
Elanco Animal Health, Inc., 6.40%, 08/28/28 |
USD | 57 | 54,258 | |||||||||||||
Gruenenthal GmbH, 4.13%, 05/15/28 (a) |
EUR | 100 | 89,600 | |||||||||||||
Nidda Healthcare Holding GmbH, 3.50%, 09/30/24 (a) |
200 | 185,174 | ||||||||||||||
Option Care Health, Inc., 4.38%, 10/31/29 (e) |
USD | 67 | 57,453 | |||||||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV (e) |
||||||||||||||||
4.13%, 04/30/28 |
200 | 177,000 | ||||||||||||||
5.13%, 04/30/31 |
200 | 172,566 | ||||||||||||||
P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25 (e) |
88 | 61,604 | ||||||||||||||
PRA Health Sciences, Inc., 2.88%, 07/15/26 (e) |
200 | 178,000 | ||||||||||||||
Prestige Brands, Inc., 3.75%, 04/01/31 (e) |
70 | 58,044 | ||||||||||||||
Teva Pharmaceutical Finance Netherlands II BV, 3.75%, 05/09/27 |
EUR | 100 | 88,604 | |||||||||||||
|
|
|||||||||||||||
1,320,104 | ||||||||||||||||
Real Estate Management & Development — 0.1% |
||||||||||||||||
Cushman & Wakefield U.S. Borrower LLC, 6.75%, 05/15/28 (e) |
USD | 90 | 83,587 | |||||||||||||
DIC Asset AG, 2.25%, 09/22/26 (a) |
EUR | 100 | 69,689 | |||||||||||||
Howard Hughes Corp. (e) |
||||||||||||||||
5.38%, 08/01/28 |
USD | 8 | 6,700 | |||||||||||||
4.13%, 02/01/29 |
51 | 39,336 | ||||||||||||||
4.38%, 02/01/31 |
63 | 46,625 | ||||||||||||||
Realogy Group LLC/Realogy Co-Issuer Corp. (e) |
||||||||||||||||
5.75%, 01/15/29 |
321 | 243,421 |
Security |
Par (000) |
Value |
||||||||||||||
Real Estate Management & Development (continued) |
||||||||||||||||
Realogy Group LLC/Realogy Co-Issuer Corp. (e) (continued) |
|
|||||||||||||||
5.25%, 04/15/30 |
USD | 43 | $ | 31,820 | ||||||||||||
Starwood Property Trust, Inc., 4.38%, 01/15/27 (e) |
25 | 21,702 | ||||||||||||||
WeWork Cos. LLC/WW Co.-Obligor, Inc., 5.00%, 07/10/25 (e) |
70 | 45,209 | ||||||||||||||
|
|
|||||||||||||||
588,089 | ||||||||||||||||
Road & Rail — 0.0% |
||||||||||||||||
Autostrade per l’Italia SpA, 2.00%, 01/15/30 (a) |
EUR | 100 | 82,002 | |||||||||||||
Seaspan Corp., 5.50%, 08/01/29 (e) |
USD | 101 | 81,261 | |||||||||||||
|
|
|||||||||||||||
163,263 | ||||||||||||||||
Semiconductors & Semiconductor Equipment (e) — 0.2% |
||||||||||||||||
Entegris Escrow Corp., 4.75%, 04/15/29 |
398 | 370,629 | ||||||||||||||
Sensata Technologies BV, 4.00%, 04/15/29 |
36 | 30,531 | ||||||||||||||
Sensata Technologies, Inc. |
||||||||||||||||
4.38%, 02/15/30 |
223 | 189,813 | ||||||||||||||
3.75%, 02/15/31 |
49 | 39,271 | ||||||||||||||
Synaptics, Inc., 4.00%, 06/15/29 |
112 | 90,942 | ||||||||||||||
|
|
|||||||||||||||
721,186 | ||||||||||||||||
Software (e) — 0.4% |
||||||||||||||||
Black Knight InfoServ LLC, 3.63%, 09/01/28 |
122 | 105,530 | ||||||||||||||
Boxer Parent Co., Inc. |
||||||||||||||||
7.13%, 10/02/25 |
148 | 141,719 | ||||||||||||||
9.13%, 03/01/26 |
215 | 200,856 | ||||||||||||||
Elastic NV, 4.13%, 07/15/29 |
120 | 100,174 | ||||||||||||||
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32 |
73 | 58,919 | ||||||||||||||
Maxar Technologies, Inc., 7.75%, 06/15/27 |
27 | 26,744 | ||||||||||||||
MicroStrategy, Inc., 6.13%, 06/15/28 |
144 | 114,672 | ||||||||||||||
MSCI, Inc. |
||||||||||||||||
3.63%, 09/01/30 |
64 | 53,355 | ||||||||||||||
3.88%, 02/15/31 |
11 | 9,405 | ||||||||||||||
3.63%, 11/01/31 |
41 | 33,749 | ||||||||||||||
3.25%, 08/15/33 |
58 | 46,231 | ||||||||||||||
Open Text Corp. |
||||||||||||||||
3.88%, 02/15/28 |
2 | 1,779 | ||||||||||||||
3.88%, 12/01/29 |
177 | 148,972 | ||||||||||||||
Playtika Holding Corp., 4.25%, 03/15/29 |
174 | 143,550 | ||||||||||||||
PTC, Inc., 4.00%, 02/15/28 |
80 | 72,293 | ||||||||||||||
SS&C Technologies, Inc., 5.50%, 09/30/27 |
393 | 366,496 | ||||||||||||||
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25 |
260 | 195,116 | ||||||||||||||
|
|
|||||||||||||||
1,819,560 | ||||||||||||||||
Specialty Retail — 0.1% |
||||||||||||||||
Arko Corp., 5.13%, 11/15/29 (e) |
58 | 43,937 | ||||||||||||||
Bath & Body Works, Inc., 7.60%, 07/15/37 |
96 | 77,392 | ||||||||||||||
Carvana Co., 10.25%, 05/01/30 (e) |
53 | 43,460 | ||||||||||||||
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 02/15/29 (e) |
253 | 227,829 | ||||||||||||||
Staples, Inc., 7.50%, 04/15/26 (e) |
90 | 74,598 | ||||||||||||||
|
|
|||||||||||||||
467,216 | ||||||||||||||||
Technology Hardware, Storage & Peripherals — 0.0% |
||||||||||||||||
II-VI, Inc., 5.00%, 12/15/29 (e) |
164 | 143,090 | ||||||||||||||
|
|
S C H E D U L E O F I N V E S T M E N T S |
25 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Textiles, Apparel & Luxury Goods (e) — 0.0% |
||||||||||||
Crocs, Inc. |
||||||||||||
4.25%, 03/15/29 |
USD | 11 | $ | 8,136 | ||||||||
4.13%, 08/15/31 |
49 | 34,680 | ||||||||||
Kontoor Brands, Inc., 4.13%, 11/15/29 |
32 | 25,412 | ||||||||||
Levi Strauss & Co., 3.50%, 03/01/31 |
57 | 46,598 | ||||||||||
|
|
|||||||||||
114,826 | ||||||||||||
Thrifts & Mortgage Finance — 0.1% |
||||||||||||
Enact Holdings, Inc., 6.50%, 08/15/25 (e) |
129 | 121,663 | ||||||||||
Home Point Capital, Inc., 5.00%, 02/01/26 (e) |
58 | 40,020 | ||||||||||
MGIC Investment Corp., 5.25%, 08/15/28 |
47 | 42,086 | ||||||||||
Nationstar Mortgage Holdings, Inc. (e) |
||||||||||||
6.00%, 01/15/27 |
54 | 46,842 | ||||||||||
5.13%, 12/15/30 |
34 | 25,416 | ||||||||||
5.75%, 11/15/31 |
32 | 24,502 | ||||||||||
Rocket Mortgage LLC/Rocket Mortgage Co- Issuer, Inc., 2.88%, 10/15/26 (e) |
59 | 48,758 | ||||||||||
|
|
|||||||||||
349,287 | ||||||||||||
Utilities (e) — 0.1% |
||||||||||||
Consensus Cloud Solutions, Inc. |
||||||||||||
6.00%, 10/15/26 |
23 | 19,787 | ||||||||||
6.50%, 10/15/28 |
20 | 16,504 | ||||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28 |
51 | 44,370 | ||||||||||
Vistra Operations Co. LLC |
||||||||||||
5.63%, 02/15/27 |
99 | 93,086 | ||||||||||
4.38%, 05/01/29 |
73 | 61,074 | ||||||||||
|
|
|||||||||||
234,821 | ||||||||||||
Wireless Telecommunication Services — 0.4% |
||||||||||||
Altice France SA (e) |
||||||||||||
8.13%, 02/01/27 |
334 | 307,410 | ||||||||||
5.50%, 01/15/28 |
229 | 184,542 | ||||||||||
5.13%, 07/15/29 |
351 | 265,005 | ||||||||||
5.50%, 10/15/29 |
200 | 152,782 | ||||||||||
SBA Communications Corp. |
||||||||||||
3.13%, 02/01/29 |
8 | 6,548 | ||||||||||
3.88%, 02/15/27 |
410 | 374,244 | ||||||||||
T-Mobile USA, Inc. |
||||||||||||
2.63%, 02/15/29 |
45 | 37,880 | ||||||||||
3.38%, 04/15/29 |
116 | 101,500 | ||||||||||
2.88%, 02/15/31 |
71 | 58,946 | ||||||||||
3.50%, 04/15/31 |
146 | 126,061 | ||||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 02/15/29 (e) |
146 | 106,945 | ||||||||||
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25 (e) |
147 | 139,834 | ||||||||||
Vmed O2 U.K. Financing I PLC, 4.75%, 07/15/31 (e) |
200 | 161,570 | ||||||||||
|
|
|||||||||||
2,023,267 | ||||||||||||
|
|
|||||||||||
Total Corporate Bonds — 21.0% (Cost: $124,569,715) |
99,906,902 | |||||||||||
|
|
|||||||||||
Floating Rate Loan Interests (h) |
||||||||||||
Aerospace & Defense — 4.4% |
||||||||||||
Atlas CC Acquisition Corp. |
||||||||||||
Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.82%, 05/25/28 |
4,698 | 4,330,576 |
Security |
Par (000) |
Value |
||||||||||
Aerospace & Defense (continued) |
||||||||||||
Atlas CC Acquisition Corp. (continued) |
||||||||||||
Term Loan C, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.82%, 05/25/28 |
USD | 955 | $ | 880,795 | ||||||||
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 6.25%, 10/31/26 |
812 | 786,061 | ||||||||||
Cobham Ultra U.S. Co-Borrower LLC, USD Term Loan B, 11/17/28 (l) |
326 | 309,429 | ||||||||||
Dynasty Acquisition Co., Inc. |
||||||||||||
2020 CAD Term Loan B2, (1 mo. LIBOR + 3.50%), 5.17%, 04/06/26 |
1,777 | 1,633,953 | ||||||||||
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 5.17%, 04/06/26 |
3,305 | 3,039,152 | ||||||||||
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 7.19%, 04/09/26 |
766 | 632,931 | ||||||||||
Peraton Corp. |
||||||||||||
2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%, 0.75% Floor), 9.00%, 02/01/29 |
1,474 | 1,367,262 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 02/01/28 |
5,074 | 4,754,311 | ||||||||||
Spirit Aerosystems, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 01/15/25 |
880 | 855,685 | ||||||||||
TransDigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 3.92%, 12/09/25 |
2,382 | 2,253,110 | ||||||||||
|
|
|||||||||||
20,843,265 | ||||||||||||
Air Freight & Logistics — 0.3% |
||||||||||||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.72%, 04/06/28 |
512 | 462,622 | ||||||||||
Kestrel Bidco, Inc., Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.03%, 12/11/26 |
366 | 326,789 | ||||||||||
PECF USS Intermediate Holding III Corp., Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 12/15/28 |
840 | 755,498 | ||||||||||
|
|
|||||||||||
1,544,909 | ||||||||||||
Airlines — 2.4% |
||||||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.81%, 04/20/28 |
1,434 | 1,365,123 | ||||||||||
Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/11/28 (c) |
1,802 | 1,653,702 | ||||||||||
American Airlines, Inc. |
||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 3.40%, 01/29/27 |
571 | 501,586 | ||||||||||
2017 Incremental Term Loan, (6 mo. LIBOR + 2.00%), 2.84%, 12/15/23 |
1,785 | 1,723,384 | ||||||||||
2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.37%, 06/27/25 |
436 | 385,291 | ||||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.31%, 06/21/27 |
3,013 | 2,970,986 | ||||||||||
United Airlines, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.39%, 04/21/28 |
3,279 | 3,038,776 | ||||||||||
|
|
|||||||||||
11,638,848 | ||||||||||||
Auto Components — 2.5% |
||||||||||||
Adient U.S. LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/10/28 |
721 | 669,066 | ||||||||||
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/30/26 |
3,217 | 2,995,511 |
26 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Auto Components (continued) |
||||||||||||
Truck Hero, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 01/31/28 |
USD | 1,755 | $ | 1,565,644 | ||||||||
USI, Inc. |
||||||||||||
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 5.25%, 05/16/24 |
4,325 | 4,138,505 | ||||||||||
2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 12/02/26 (c) |
247 | 227,563 | ||||||||||
Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 02/05/26 |
2,290 | 2,121,329 | ||||||||||
|
|
|||||||||||
11,717,618 | ||||||||||||
Banks — 0.7% |
||||||||||||
Directv Financing LLC, Term Loan, (1 mo. LIBOR + 5.00%, 0.75% Floor), 6.67%, 08/02/27 |
2,162 | 1,984,738 | ||||||||||
LABL, Inc., 2021 USD 1st Lien Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 10/29/28 |
1,412 | 1,301,310 | ||||||||||
|
|
|||||||||||
3,286,048 | ||||||||||||
Beverages — 0.6% |
||||||||||||
Naked Juice LLC |
||||||||||||
2nd Lien Term Loan, (SOFR + 6.00%), 8.15%, 01/24/30 (c) |
1,030 | 926,781 | ||||||||||
Term Loan, (SOFR + 3.25%), 5.40%, 01/24/29 |
2,204 | 2,047,432 | ||||||||||
|
|
|||||||||||
2,974,213 | ||||||||||||
Building Materials — 0.1% |
||||||||||||
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%,), 4.57%, 04/12/28 |
515 | 424,934 | ||||||||||
|
|
|||||||||||
Building Products — 1.7% |
||||||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 11/23/27 |
1,280 | 1,120,846 | ||||||||||
CPG International LLC, 2022 Term Loan B, (SOFR + 2.50%), 4.09%, 04/28/29 (c) |
707 | 653,975 | ||||||||||
Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 07/28/28 |
723 | 684,975 | ||||||||||
LSF10 XL Bidco SCA, 2021 EUR Term Loan, (EURIBOR + 3.67%), 3.68%, 04/12/28 |
EUR | 854 | 762,891 | |||||||||
New AMI I LLC, 2022 Term Loan B, (SOFR + 6.00%), 7.52%, 03/08/29 |
USD | 739 | 671,483 | |||||||||
Standard Industries, Inc., 2021 Term Loan B, (6 mo. LIBOR + 2.50%), 3.79%, 09/22/28 |
1,426 | 1,375,209 | ||||||||||
Wilsonart LLC, 2021 Term Loan E, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.51%, 12/31/26 |
3,038 | 2,683,128 | ||||||||||
|
|
|||||||||||
7,952,507 | ||||||||||||
Capital Markets — 2.5% |
||||||||||||
AqGen Ascensus, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%), 7.50%, 08/02/29 (c) |
2,373 | 2,206,518 | ||||||||||
Deerfield Dakota Holding LLC |
||||||||||||
2020 USD Term Loan B, (SOFR + 3.75%, 1.00% Floor), 5.28%, 04/09/27 |
5,665 | 5,289,546 | ||||||||||
2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 8.42%, 04/07/28 |
1,594 | 1,546,180 | ||||||||||
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.31%, 11/12/27 |
1,338 | 1,258,095 |
Security |
Par (000) |
Value |
||||||||||
Capital Markets (continued) |
||||||||||||
FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 06/27/25 |
USD | — | (m) |
$ | 234 | |||||||
Focus Financial Partners LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.17%, 06/30/28 |
1,300 | 1,242,492 | ||||||||||
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/12/24 |
520 | 510,434 | ||||||||||
|
|
|||||||||||
12,053,499 | ||||||||||||
Chemicals — 4.8% |
||||||||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 7.00%, 08/27/26 |
2,914 | 2,834,052 | ||||||||||
Atotech BV, 2021 USD Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 03/18/28 |
3,060 | 2,917,276 | ||||||||||
Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 4.00%, 06/01/24 |
602 | 586,834 | ||||||||||
CPC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 12/29/27 |
647 | 563,263 | ||||||||||
Element Materials Technology Group U.S. Holdings, Inc., 2017 USD Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.09%, 06/28/24 |
1,329 | 1,278,073 | ||||||||||
Element Solutions, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.67%, 01/31/26 |
1,755 | 1,726,637 | ||||||||||
Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 06/30/27 |
1,233 | 1,136,560 | ||||||||||
Lonza Group AG, USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 6.25%, 07/03/28 |
949 | 844,289 | ||||||||||
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 4.75%, 03/02/26 |
2,807 | 2,673,832 | ||||||||||
Minerals Technologies, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.87%, 02/14/24 |
378 | 376,984 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/15/24 |
1,330 | 1,282,048 | ||||||||||
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (1 mo. LIBOR + 3.25%), 4.38%, 10/14/24 |
1,524 | 1,406,912 | ||||||||||
PQ Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 3.74%, 06/09/28 |
1,530 | 1,459,753 | ||||||||||
Pregis TopCo Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 07/31/26 |
620 | 583,461 | ||||||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (6 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 03/16/27 |
937 | 833,545 | ||||||||||
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.62%, 08/02/28 (c) |
1,440 | 1,371,857 | ||||||||||
Starfruit Finco BV, 2018 USD Term Loan B, (3 mo. LIBOR + 3.00%), 5.25%, 10/01/25 |
330 | 311,367 | ||||||||||
WR Grace Holdings LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 6.06%, 09/22/28 |
473 | 447,340 | ||||||||||
|
|
|||||||||||
22,634,083 |
S C H E D U L E O F I N V E S T M E N T S |
27 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Commercial Services & Supplies — 5.1% |
||||||||||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 05/12/28 |
USD | 2,316 | $ | 2,117,936 | ||||||||
Amentum Government Services Holdings LLC, 2022 Term Loan, (SOFR + 4.00%), 5.30%, 02/15/29 |
689 | 654,123 | ||||||||||
Asurion LLC |
||||||||||||
2018 Term Loan B6, (1 mo. LIBOR + 3.12%), 4.79%, 11/03/23 |
1,208 | 1,158,095 | ||||||||||
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 4.67%, 11/03/24 |
911 | 852,656 | ||||||||||
2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 4.92%, 12/23/26 |
693 | 627,068 | ||||||||||
2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 6.92%, 01/31/28 |
985 | 837,576 | ||||||||||
2021 2nd Lien Term Loan B4, (1 mo. LIBOR + 5.25%), 6.92%, 01/20/29 |
1,402 | 1,184,690 | ||||||||||
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 10/08/28 |
615 | 608,761 | ||||||||||
Covanta Holding Corp. |
||||||||||||
2021 Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 11/30/28 |
997 | 940,020 | ||||||||||
2021 Term Loan C, (1 mo. LIBOR + 2.50%), 4.17%, 11/30/28 |
75 | 70,590 | ||||||||||
Creative Artists Agency LLC, 2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.88%, 11/27/26 |
1,702 | 1,610,050 | ||||||||||
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 12/12/25 |
2,667 | 2,539,007 | ||||||||||
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.00%, 05/09/25 |
434 | 401,706 | ||||||||||
Packers Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.44%, 03/09/28 |
1,475 | 1,346,762 | ||||||||||
Prime Security Services Borrower LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.75% Floor), 3.65%, 09/23/26 |
1,487 | 1,384,857 | ||||||||||
Tempo Acquisition LLC, 2022 Term Loan B, (SOFR + 3.00%), 4.53%, 08/31/28 |
4,230 | 4,003,009 | ||||||||||
Vericast Corp., 2021 Term Loan, (3 mo. LIBOR + 7.75%, 1.00% Floor), 10.00%, 06/16/26 |
383 | 296,554 | ||||||||||
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 5.67%, 08/27/25 |
3,247 | 3,100,438 | ||||||||||
Viad Corp., Initial Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 07/30/28 |
691 | 645,879 | ||||||||||
|
|
|||||||||||
24,379,777 | ||||||||||||
Communications Equipment — 0.4% |
||||||||||||
ViaSat, Inc., Term Loan, (SOFR + 4.50%), 6.14%, 03/02/29 |
2,198 | 2,041,296 | ||||||||||
|
|
|||||||||||
Construction & Engineering — 1.8% |
||||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.40%, 06/21/24 |
3,562 | 3,064,106 | ||||||||||
New Arclin U.S. Holding Corp., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 8.67%, 09/30/29 (c) |
815 | 768,138 |
Security |
Par (000) |
Value |
||||||||||
Construction & Engineering (continued) |
||||||||||||
Pike Corp., 2021 Incremental Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 01/21/28 |
USD | 925 | $ | 877,276 | ||||||||
SRS Distribution, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.02%, 06/02/28 |
2,422 | 2,229,127 | ||||||||||
USIC Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 05/12/28 |
1,553 | 1,441,516 | ||||||||||
|
|
|||||||||||
8,380,163 | ||||||||||||
Construction Materials — 1.3% |
||||||||||||
Core & Main LP, 2021 Term Loan B, (1 mo. LIBOR + 2.50%), 4.12%, 07/27/28 |
3,577 | 3,400,017 | ||||||||||
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 03/29/25 |
2,111 | 1,995,048 | ||||||||||
Tamko Building Products LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 4.33%, 06/01/26 |
766 | 715,423 | ||||||||||
|
|
|||||||||||
6,110,488 | ||||||||||||
Containers & Packaging — 1.3% |
||||||||||||
BWAY Holding Co., 2017 Term Loan B, (1 Week LIBOR + 3.25%), 4.31%, 04/03/24 |
2,219 | 2,087,788 | ||||||||||
Charter Next Generation, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/01/27 |
1,990 | 1,868,876 | ||||||||||
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 07/31/26 |
543 | 512,294 | ||||||||||
Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 08/18/27 |
1,033 | 916,477 | ||||||||||
Trident TPI Holdings, Inc. |
||||||||||||
2021 Delayed Draw Term Loan, (3 mo. LIBOR + 4.00%), 5.60%, 09/15/28 |
79 | 74,167 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%), 6.25%, 09/15/28 |
889 | 831,843 | ||||||||||
|
|
|||||||||||
6,291,445 | ||||||||||||
Distributors — 0.9% |
||||||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 01/15/27 |
1,062 | 1,001,814 | ||||||||||
TMK Hawk Parent Corp. (c) |
||||||||||||
2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 10.50%, 1.00% Floor), 11.17%, 05/30/24 |
1,005 | 934,978 | ||||||||||
2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.11%, 08/28/24 |
3,229 | 2,454,358 | ||||||||||
|
|
|||||||||||
4,391,150 | ||||||||||||
Diversified Consumer Services — 3.1% |
||||||||||||
2U, Inc., Term Loan, (3 mo. LIBOR + 5.75%), 8.00%, 12/30/24 |
1,264 | 1,206,290 | ||||||||||
Ascend Learning LLC |
||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 7.42%, 12/10/29 (c) |
681 | 623,115 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 12/11/28 |
1,696 | 1,562,878 | ||||||||||
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 11/24/28 (c) |
816 | 777,145 |
28 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Diversified Consumer Services (continued) |
||||||||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 07/11/25 |
USD | 2,596 | $ | 2,463,760 | ||||||||
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (PRIME + 5.75%), 10.50%, 12/22/25 |
2,737 | 2,550,658 | ||||||||||
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (3 mo. LIBOR + 2.25%), 3.66%, 05/15/24 |
1,098 | 1,054,268 | ||||||||||
Okta, Inc., Term Loan, (SOFR + 6.25%), 7.63%, 12/15/26 |
763 | 644,241 | ||||||||||
PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.99%, 10/28/27 |
680 | 640,456 | ||||||||||
Serta Simmons Bedding LLC |
||||||||||||
2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 9.01%, 08/10/23 |
415 | 401,664 | ||||||||||
2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 9.01%, 08/10/23 |
850 | 593,013 | ||||||||||
Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%), 5.54%, 01/15/27 |
1,667 | 1,591,488 | ||||||||||
Voyage Australia Pty. Ltd., USD Term Loan B, (3 mo. LIBOR + 3.50%), 4.56%, 07/20/28 |
654 | 610,321 | ||||||||||
|
|
|||||||||||
14,719,297 | ||||||||||||
Diversified Financial Services — 6.9% |
||||||||||||
Advisor Group, Inc., 2021 Term Loan, (1 mo. LIBOR + 4.50%), 6.17%, 07/31/26 |
919 | 872,075 | ||||||||||
Alchemy Copyrights LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 4.06%, 03/10/28 (c) |
750 | 721,563 | ||||||||||
AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 02/04/28 |
1,532 | 1,452,840 | ||||||||||
AqGen Island Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 5.81%, 08/02/28 (c) |
3,115 | 2,896,923 | ||||||||||
Castlelake Aviation Ltd., Term Loan B, (3 mo. LIBOR + 2.75%), 4.58%, 10/22/26 |
2,048 | 1,953,904 | ||||||||||
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 09/01/28 |
1,390 | 1,324,153 | ||||||||||
Delta TopCo, Inc. |
||||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 9.34%, 12/01/28 (c) |
595 | 505,750 | ||||||||||
2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 5.84%, 12/01/27 |
1,509 | 1,362,521 | ||||||||||
EG America LLC, 2018 USD Term Loan, (3 mo. LIBOR + 4.00%), 6.25%, 02/07/25 |
1,143 | 1,071,687 | ||||||||||
Gainwell Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 6.25%, 10/01/27 |
2,836 | 2,676,664 | ||||||||||
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (SOFR + 4.00%), 6.20%, 02/16/28 |
380 | 357,355 | ||||||||||
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 07/03/24 |
1,321 | 1,258,137 | ||||||||||
KKR Apple Bidco LLC |
||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 7.42%, 09/21/29 |
218 | 207,917 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 09/23/28 |
531 | 500,555 |
Security |
Par (000) |
Value |
||||||||||
Diversified Financial Services (continued) |
||||||||||||
LBM Acquisition LLC, Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/18/27 |
USD | 2,034 | $ | 1,661,835 | ||||||||
LEB Holdings USA, Inc., Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 11/02/27 |
425 | 416,815 | ||||||||||
Oscar Acquisitionco LLC, Term Loan B, (SOFR + 4.50%), 6.11%, 04/29/29 |
961 | 852,887 | ||||||||||
Radiate Holdco LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.92%, 09/25/26 |
1,906 | 1,767,575 | ||||||||||
RVR Dealership Holdings LLC, Term Loan B, (SOFR + 3.75%), 5.17%, 02/08/28 |
643 | 539,039 | ||||||||||
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3 mo. LIBOR + 2.00%), 4.25%, 11/05/28 |
1,175 | 1,115,275 | ||||||||||
SMG U.S. Midco 2, Inc., 2020 Term Loan, (1 mo. LIBOR + 2.50%), 4.17%, 01/23/25 |
1,708 | 1,588,596 | ||||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 6.50%, 07/30/25 |
921 | 854,762 | ||||||||||
Veritas U.S., Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.25%, 09/01/25 |
3,335 | 2,720,802 | ||||||||||
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 02/28/27 |
1,299 | 1,219,452 | ||||||||||
White Cap Buyer LLC, Term Loan B, (SOFR + 3.75%), 5.28%, 10/19/27 |
1,094 | 1,005,452 | ||||||||||
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 3.82%, 04/30/28 |
1,876 | 1,745,262 | ||||||||||
|
|
|||||||||||
32,649,796 | ||||||||||||
Diversified Telecommunication Services — 1.9% |
||||||||||||
Cablevision Lightpath LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.57%, 11/30/27 |
502 | 472,525 | ||||||||||
Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 5.19%, 10/02/27 |
713 | 628,257 | ||||||||||
Frontier Communications Corp., 2021 DIP Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.06%, 05/01/28 |
1,762 | 1,644,663 | ||||||||||
Intelsat Jackson Holdings SA, 2017 Term Loan B3, (PRIME + 4.75%), 9.50%, 11/27/23 |
— | (m) |
1 | |||||||||
Iridium Satellite LLC, 2021 Term Loan B2, (1 mo. LIBOR + 2.50%, 0.75% Floor), 4.17%, 11/04/26 |
1,698 | 1,625,335 | ||||||||||
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 03/01/27 |
1,676 | 1,549,242 | ||||||||||
Meridian Adhesives Group, Inc., Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 07/24/28 |
1,774 | 1,674,293 | ||||||||||
Virgin Media SFA Finance Ltd., GBP Term Loan L, 4.19%, 01/15/27 |
GBP | 1,400 | 1,538,332 | |||||||||
|
|
|||||||||||
9,132,648 |
S C H E D U L E O F I N V E S T M E N T S |
29 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Electric Utilities — 0.7% |
||||||||||||
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.08%, 12/15/27 |
USD | 1,110 | $ | 1,067,566 | ||||||||
Triton Water Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 5.75%, 03/31/28 |
2,812 | 2,479,645 | ||||||||||
|
|
|||||||||||
3,547,211 | ||||||||||||
Electrical Equipment — 1.1% |
||||||||||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (6 mo. LIBOR + 4.75%, 0.75% Floor), 7.63%, 06/23/28 (c) |
1,344 | 1,259,855 | ||||||||||
AZZ, Inc., Term Loan B, (SOFR + 4.25%), 5.88%, 05/13/29 (c) |
286 | 272,415 | ||||||||||
Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%, 0.75% Floor), 4.17%, 03/31/27 |
2,146 | 2,020,652 | ||||||||||
II-VI, Inc., 2021 Bridge Term Loan B, 07/02/29 (l) |
1,519 | 1,452,544 | ||||||||||
|
|
|||||||||||
5,005,466 | ||||||||||||
Environmental, Maintenance & Security Service — 0.6% |
||||||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 09/07/27 |
1,744 | 1,679,987 | ||||||||||
TruGreen LP, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 11/02/27 |
1,073 | 1,017,538 | ||||||||||
|
|
|||||||||||
2,697,525 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% |
||||||||||||
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 05/11/24 |
271 | 262,737 | ||||||||||
|
|
|||||||||||
Food & Staples Retailing — 0.3% |
||||||||||||
U.S. Foods, Inc. |
||||||||||||
2019 Term Loan B, (3 mo. LIBOR + 2.00%), 3.57%, 09/13/26 |
735 | 691,754 | ||||||||||
2021 Term Loan B, (3 mo. LIBOR + 2.75%), 4.32%, 11/22/28 |
967 | 918,747 | ||||||||||
|
|
|||||||||||
1,610,501 | ||||||||||||
Food Products — 2.3% |
||||||||||||
8th Avenue Food & Provisions, Inc. |
||||||||||||
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/01/25 |
1,184 | 992,826 | ||||||||||
2021 Incremental Term Loan, (1 mo. LIBOR + 4.75%), 6.42%, 10/01/25 |
1,342 | 1,133,587 | ||||||||||
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 10/25/27 |
2,451 | 2,216,988 | ||||||||||
Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 3.92%, 01/29/27 |
3,272 | 3,003,230 | ||||||||||
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 4.92%, 02/05/26 |
1,677 | 1,561,090 | ||||||||||
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 06/08/28 |
1,345 | 1,266,671 | ||||||||||
UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 01/20/28 |
606 | 576,437 | ||||||||||
|
|
|||||||||||
10,750,829 | ||||||||||||
Gas Utilities — 0.5% |
||||||||||||
Freeport LNG Investments LLLP, Term Loan B, (3 mo. LIBOR + 3.50%), 4.56%, 12/21/28 |
2,908 | 2,505,313 | ||||||||||
|
|
Security |
Par (000) |
Value |
||||||||||
Health Care Equipment & Supplies — 1.4% |
||||||||||||
Electron BidCo, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 11/01/28 |
USD | 1,929 | $ | 1,801,871 | ||||||||
Insulet Corp., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/04/28 |
678 | 642,547 | ||||||||||
Medline Borrower LP, USD Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 10/23/28 |
3,771 | 3,491,415 | ||||||||||
Venga Finance SARL, 2021 USD Term Loan B, 12/04/28 (c)(l) |
570 | 529,864 | ||||||||||
|
|
|||||||||||
6,465,697 | ||||||||||||
Health Care Providers & Services — 2.7% |
||||||||||||
CCRR Parent, Inc., Term Loan B, (3 mo. LIBOR + 3.75%), 6.01%, 03/06/28 |
1,405 | 1,329,651 | ||||||||||
CHG Healthcare Services, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.75%, 09/29/28 |
903 | 852,146 | ||||||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.25%, 01/08/27 |
1,414 | 1,336,630 | ||||||||||
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/10/25 |
1,699 | 558,913 | ||||||||||
EyeCare Partners LLC |
||||||||||||
2020 Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 02/18/27 |
1,945 | 1,794,061 | ||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 9.00%, 11/15/29 |
508 | 476,057 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 11/15/28 |
376 | 345,311 | ||||||||||
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 6.75%, 03/05/26 |
932 | 810,977 | ||||||||||
Orbcomm, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 09/01/28 |
767 | 707,071 | ||||||||||
PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%), 5.17%, 02/14/25 |
46 | 43,547 | ||||||||||
Sotera Health Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 12/11/26 |
2,247 | 2,131,841 | ||||||||||
Vizient, Inc., 2022 Term Loan B, (SOFR + 2.25%), 3.68%, 04/28/29 |
294 | 291,428 | ||||||||||
WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 12/22/28 |
2,469 | 2,320,953 | ||||||||||
|
|
|||||||||||
12,998,586 | ||||||||||||
Health Care Services — 0.3% |
||||||||||||
Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 4.74%, 07/24/26 |
849 | 792,969 | ||||||||||
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 9.88%, 11/01/29 |
536 | 493,120 | ||||||||||
|
|
|||||||||||
1,286,089 | ||||||||||||
Health Care Technology — 2.9% |
||||||||||||
Athenahealth, Inc., 2022 Term Loan B, (SOFR + 3.50%), 5.01%, 02/15/29 |
2,524 | 2,317,125 | ||||||||||
Change Healthcare Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.17%, 03/01/24 |
2,996 | 2,910,060 | ||||||||||
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 10/10/25 |
830 | 756,073 | ||||||||||
IQVIA, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 3.42%, 03/07/24 |
266 | 260,300 |
30 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Health Care Technology (continued) |
||||||||||||
Polaris Newco LLC, USD Term Loan B, (1 mo. LIBOR + 4.00%), 5.67%, 06/02/28 |
USD | 3,272 | $ | 3,014,665 | ||||||||
Press Ganey Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.99%, 07/24/26 (c) |
2,322 | 2,200,145 | ||||||||||
Verscend Holding Corp., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 8.67%, 04/02/29 (c) |
2,740 | 2,575,600 | ||||||||||
|
|
|||||||||||
14,033,968 | ||||||||||||
Hotels, Restaurants & Leisure — 5.9% |
||||||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 11/19/26 |
2,722 | 2,593,442 | ||||||||||
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 02/02/26 |
241 | 213,875 | ||||||||||
Aristocrat Technologies, Inc., 2022 Term Loan B, (SOFR + 2.25%), 4.40%, 05/24/29 |
175 | 168,613 | ||||||||||
Caesars Resort Collection LLC |
||||||||||||
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 12/23/24 |
1,571 | 1,509,922 | ||||||||||
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 5.17%, 07/20/25 |
1,063 | 1,022,755 | ||||||||||
Carnival Corp., (6 mo. LIBOR + 3.00%, 0.75% Floor), 5.88%, 06/30/25 |
620 | 574,682 | ||||||||||
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 3.67%, 03/17/28 |
687 | 646,632 | ||||||||||
ECL Entertainment LLC, Term Loan, (3 mo. LIBOR + 7.50%, 0.75% Floor), 9.75%, 05/01/28 |
812 | 791,002 | ||||||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.25%, 03/08/24 |
4,157 | 3,060,254 | ||||||||||
Fertitta Entertainment LLC, 2022 Term Loan B, (SOFR + 4.00%), 5.53%, 01/27/29 |
3,201 | 2,943,831 | ||||||||||
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 11/30/23 |
873 | 862,087 | ||||||||||
IRB Holding Corp., 2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 4.42%, 02/05/25 |
1,378 | 1,303,758 | ||||||||||
Penn National Gaming, Inc., 2022 Term Loan B, (SOFR + 2.75%), 4.38%, 05/03/29 |
1,288 | 1,232,215 | ||||||||||
Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 03/13/28 |
1,513 | 1,422,980 | ||||||||||
Scientific Games International, Inc., 2022 USD Term Loan, (SOFR + 3.00%), 4.36%, 04/14/29 |
711 | 673,672 | ||||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 4.50%, 07/21/26 |
1,050 | 996,778 | ||||||||||
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 02/08/27 |
1,968 | 1,847,519 | ||||||||||
Travelport Finance Luxembourg SARL |
||||||||||||
2020 Super Priority Term Loan, (3 mo. LIBOR + 1.50%, 1.00% Floor), 3.75%, 02/28/25 |
1,638 | 1,616,168 | ||||||||||
2021 Consented Term Loan, (3 mo. LIBOR + 5.00%), 7.25%, 05/29/26 |
2,166 | 1,666,454 |
Security |
Par (000) |
Value |
||||||||||
Hotels, Restaurants & Leisure (continued) |
||||||||||||
Twin River Worldwide Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.37%, 10/02/28 |
USD | 793 | $ | 733,789 | ||||||||
Whatabrands LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 08/03/28 |
1,996 | 1,866,232 | ||||||||||
Wyndham Hotels & Resorts, Inc., Term Loan B, 05/30/25 (l) |
173 | 166,426 | ||||||||||
|
|
|||||||||||
27,913,086 | ||||||||||||
Household Durables — 1.1% |
||||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.25%), 6.97%, 05/17/28 |
1,433 | 1,103,661 | ||||||||||
Snap One Holdings Corp., Term Loan B, (6 mo. LIBOR + 4.50%), 7.38%, 12/08/28 |
943 | 854,974 | ||||||||||
Solis IV BV, USD Term Loan B1, (SOFR + 3.50%), 4.84%, 02/26/29 |
1,958 | 1,680,219 | ||||||||||
Springs Windows Fashions LLC, 2021 Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.60%, 10/06/28 |
727 | 595,377 | ||||||||||
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.92%, 10/30/27 |
906 | 819,481 | ||||||||||
|
|
|||||||||||
5,053,712 | ||||||||||||
Household Products — 0.1% |
||||||||||||
Spectrum Brands, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 03/03/28 |
474 | 455,633 | ||||||||||
|
|
|||||||||||
Independent Power and Renewable Electricity Producers — 0.7% |
||||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 01/15/25 |
658 | 630,826 | ||||||||||
Calpine Corp. |
||||||||||||
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 3.67%, 08/12/26 |
1,045 | 989,137 | ||||||||||
Term Loan B9, (1 mo. LIBOR + 2.00%), 3.67%, 04/05/26 |
1,894 | 1,779,833 | ||||||||||
|
|
|||||||||||
3,399,796 | ||||||||||||
Industrial Conglomerates — 2.4% |
||||||||||||
AVSC Holding Corp. (i) |
||||||||||||
2020 Term Loan B1, (0.25% PIK), 5.11%, 03/03/25 |
3,181 | 2,728,252 | ||||||||||
2020 Term Loan B3, (10.00% PIK), 7.50%, 10/15/26 |
1,515 | 1,597,852 | ||||||||||
Diamond BC BV, 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.99%, 09/29/28 |
1,527 | 1,406,851 | ||||||||||
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 8.30%, 11/28/23 |
736 | 729,477 | ||||||||||
Stitch Aquisition Corp., Term Loan B, (3 mo. LIBOR + 6.75%), 9.00%, 07/28/28 |
961 | 853,262 | ||||||||||
Vertical U.S. Newco, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 4.02%, 07/30/27 |
1,682 | 1,567,072 | ||||||||||
Vertiv Group Corp., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 3.87%, 03/02/27 |
2,588 | 2,400,381 | ||||||||||
|
|
|||||||||||
11,283,147 |
S C H E D U L E O F I N V E S T M E N T S |
31 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Insurance — 4.1% |
||||||||||||
Alliant Holdings Intermediate LLC |
||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/09/25 |
USD | 2,403 | $ | 2,256,856 | ||||||||
2021 Term Loan B4, (1 mo. LIBOR + 3.50%), 5.01%, 11/06/27 |
3,299 | 3,060,832 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/09/25 |
1,172 | 1,105,725 | ||||||||||
AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 02/19/28 |
2,969 | 2,799,967 | ||||||||||
AssuredPartners, Inc. |
||||||||||||
2020 Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 |
1,288 | 1,204,082 | ||||||||||
2021 Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 |
768 | 717,952 | ||||||||||
Hub International Ltd. |
||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 3.00%), 4.21%, 04/25/25 |
2,351 | 2,221,520 | ||||||||||
2021 Term Loan B, (3 mo. LIBOR + 3.25%), 4.35%, 04/25/25 |
2,986 | 2,826,640 | ||||||||||
NFP Corp., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 4.92%, 02/15/27 |
164 | 150,972 | ||||||||||
Ryan Specialty Group LLC, Term Loan, (SOFR + 3.00%, 0.75% Floor), 4.63%, 09/01/27 (c) |
1,011 | 970,511 | ||||||||||
Sedgwick Claims Management Services, Inc. |
||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 09/03/26 |
1,353 | 1,283,716 | ||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.92%, 09/03/26 |
726 | 699,335 | ||||||||||
|
|
|||||||||||
19,298,108 | ||||||||||||
Interactive Media & Services — 2.3% |
||||||||||||
Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.25%, 06/26/28 |
2,196 | 2,094,347 | ||||||||||
Arches Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 12/06/27 |
636 | 579,051 | ||||||||||
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.67%, 10/30/26 |
2,963 | 2,787,566 | ||||||||||
Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 3.67%, 08/10/27 |
1,695 | 1,625,889 | ||||||||||
Grab Holdings, Inc., Term Loan B, (6 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26 |
4,499 | 4,093,932 | ||||||||||
|
|
|||||||||||
11,180,785 | ||||||||||||
Internet & Direct Marketing Retail — 0.4% |
||||||||||||
CNT Holdings I Corp., 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.69%, 11/08/27 |
1,646 | 1,558,700 | ||||||||||
PUG LLC, 2021 Incremental Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 02/12/27 (c) |
324 | 299,395 | ||||||||||
|
|
|||||||||||
1,858,095 | ||||||||||||
Internet Software & Services — 0.3% |
||||||||||||
Uber Technologies, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 5.07%, 02/25/27 |
1,543 | 1,473,475 | ||||||||||
|
|
|||||||||||
IT Services — 6.1% |
||||||||||||
Aruba Investments, Inc. |
||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 9.38%, 11/24/28 |
1,275 | 1,204,875 |
Security |
Par (000) |
Value |
||||||||||
IT Services (continued) |
||||||||||||
Aruba Investments, Inc. (continued) |
||||||||||||
2020 USD Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.63%, 11/24/27 (c) |
USD | 681 | $ | 626,889 | ||||||||
Banff Merger Sub, Inc., 2021 USD Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/02/25 |
2,028 | 1,884,325 | ||||||||||
Camelot Finance SA, Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 10/30/26 |
2,114 | 1,995,753 | ||||||||||
CCC Intelligent Solutions, Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 4.50%, 09/21/28 |
1,485 | 1,405,117 | ||||||||||
CoreLogic, Inc. |
||||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.19%, 06/04/29 (c) |
1,248 | 898,560 | ||||||||||
Term Loan, (1 mo. LIBOR + 3.50%), 5.19%, 06/02/28 |
2,967 | 2,459,708 | ||||||||||
Fleetcor Technologies Operating Co. LLC, |
||||||||||||
2021 Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 04/28/28 |
1,950 | 1,872,854 | ||||||||||
Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/01/27 |
5,037 | 4,803,020 | ||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 (c) |
2,237 | 2,012,953 | ||||||||||
Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 10.25%, 10/09/28 |
3,730 | 3,702,025 | ||||||||||
TierPoint LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 05/05/26 (c) |
855 | 797,398 | ||||||||||
Trans Union LLC |
||||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 3.42%, 11/16/26 |
1,646 | 1,549,674 | ||||||||||
2021 Term Loan B6, (1 mo. LIBOR + 2.25%), 3.92%, 12/01/28 |
2,288 | 2,176,833 | ||||||||||
Virtusa Corp., 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 02/11/28 |
927 | 873,370 | ||||||||||
WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 3.92%, 03/31/28 |
863 | 828,017 | ||||||||||
ZoomInfo LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 02/02/26 |
192 | 185,161 | ||||||||||
|
|
|||||||||||
29,276,532 | ||||||||||||
Leisure Products — 0.4% |
||||||||||||
Fender Musical Instruments Corp., 2021 Term Loan B, (SOFR + 4.00%), 5.23%, 12/01/28 |
857 | 808,760 | ||||||||||
MND Holdings III Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 06/19/24 |
770 | 750,901 | ||||||||||
Peloton Interactive, Inc., Term Loan, (SOFR + 6.50%), 8.35%, 05/25/27 |
299 | 284,238 | ||||||||||
|
|
|||||||||||
1,843,899 | ||||||||||||
Life Sciences Tools & Services — 2.7% |
||||||||||||
Avantor Funding, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.25%), 3.92%, 11/08/27 |
2,348 | 2,239,681 | ||||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.17%, 02/04/27 |
3,991 | 3,676,235 |
32 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Life Sciences Tools & Services (continued) |
||||||||||||
ICON Luxembourg SARL |
||||||||||||
LUX Term Loan, (3 mo. LIBOR + 2.25%), 4.56%, 07/03/28 |
USD | 2,433 | $ | 2,347,206 | ||||||||
US Term Loan, (3 mo. LIBOR + 2.25%), 4.56%, 07/03/28 |
606 | 584,810 | ||||||||||
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (SOFR + 3.00%), 3.85%, 10/19/27 (c) |
1,300 | 1,232,079 | ||||||||||
Parexel International Corp., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.88%, 11/15/28 |
2,997 | 2,808,093 | ||||||||||
|
|
|||||||||||
12,888,104 | ||||||||||||
Machinery — 3.0% |
||||||||||||
Albion Acquisitions Ltd., USD Term Loan, (3 mo. LIBOR + 5.25%), 6.43%, 08/17/26 |
1,615 | 1,542,687 | ||||||||||
ASP Blade Holdings, Inc., Initial Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 10/13/28 |
353 | 307,920 | ||||||||||
Clark Equipment Co., 2022 Term Loan B, (SOFR + 2.50%), 4.65%, 04/20/29 |
264 | 254,094 | ||||||||||
Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 5.06%, 05/14/28 |
358 | 341,148 | ||||||||||
Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 10/21/28 |
1,031 | 961,601 | ||||||||||
Fluidra SA, 2022 USD Term Loan B, (SOFR + 2.00%), 3.63%, 01/29/29 |
271 | 261,958 | ||||||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 3.38%, 03/01/27 |
2,489 | 2,377,164 | ||||||||||
Madison IAQ LLC, Term Loan, (6 mo. LIBOR + 3.25%), 4.52%, 06/21/28 |
3,278 | 2,977,638 | ||||||||||
SPX Flow, Inc., (SOFR + 4.50%), 6.13%, 04/05/29 |
1,197 | 1,112,167 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 5.88%, 03/28/25 |
4,228 | 3,867,397 | ||||||||||
Zurn LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 10/04/28 |
111 | 108,880 | ||||||||||
|
|
|||||||||||
14,112,654 | ||||||||||||
Media — 11.7% |
||||||||||||
Altice Financing SA |
||||||||||||
2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 3.79%, 07/15/25 |
649 | 585,289 | ||||||||||
USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 3.79%, 01/31/26 |
1,732 | 1,560,741 | ||||||||||
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 5.41%, 08/14/26 |
2,788 | 2,541,347 | ||||||||||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.00%), 4.20%, 04/22/26 |
1,320 | 1,108,482 | ||||||||||
Cable One, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 3.67%, 05/03/28 |
433 | 415,325 | ||||||||||
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 3.42%, 04/30/25 |
2,581 | 2,508,852 | ||||||||||
City Football Group Ltd., Term Loan, (3 mo. LIBOR + 3.50%), 4.60%, 07/21/28 (c) |
1,403 | 1,284,186 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 4.74%, 08/21/26 |
3,381 | 2,894,997 |
Security |
Par (000) |
Value |
||||||||||
Media (continued) |
||||||||||||
CMG Media Corp., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 12/17/26 |
USD | — | (m) |
$ | 190 | |||||||
Connect Finco SARL, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 12/12/26 |
7,243 | 6,645,054 | ||||||||||
CSC Holdings LLC |
||||||||||||
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 3.57%, 07/17/25 |
579 | 537,212 | ||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 3.82%, 04/15/27 |
1,845 | 1,711,103 | ||||||||||
E.W. Scripps Co., 2020 Term Loan B3, (1 mo. LIBOR + 2.75%, 0.75% Floor), 4.42%, 01/07/28 |
759 | 716,912 | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.92%, 12/01/23 (c) |
753 | 659,228 | ||||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 03/24/25 |
1,526 | 1,471,186 | ||||||||||
Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.35%, 10/17/26 |
2,262 | 2,109,304 | ||||||||||
MH Sub I LLC |
||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.42%, 09/13/24 |
4,175 | 3,922,222 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.42%, 09/13/24 |
2,530 | 2,377,742 | ||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 7.92%, 02/23/29 |
984 | 923,572 | ||||||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.17%, 09/18/26 |
1,004 | 987,637 | ||||||||||
Sinclair Television Group, Inc., 2022 Term Loan B4, (SOFR + 3.75%), 5.38%, 04/21/29 (c) |
1,581 | 1,454,520 | ||||||||||
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.63%, 09/28/23 (c) |
4,338 | 4,153,756 | ||||||||||
Trader Interactive LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 07/28/28 (c) |
495 | 472,664 | ||||||||||
UPC Financing Partnership, 2021 USD Term Loan AX, (1 mo. LIBOR + 3.00%), 4.32%, 01/31/29 |
672 | 637,176 | ||||||||||
Virgin Media Bristol LLC |
||||||||||||
2020 USD Term Loan Q, (1 mo. LIBOR + 3.25%), 4.57%, 01/31/29 |
2,097 | 2,004,501 | ||||||||||
USD Term Loan N, (1 mo. LIBOR + 2.50%), 3.82%, 01/31/28 |
2,578 | 2,409,205 | ||||||||||
Voyage Digital Ltd., (SOFR + 4.50%), 5.28%, 05/11/29 (c) |
885 | 840,750 | ||||||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 05/18/25 |
3,105 | 2,914,033 | ||||||||||
WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.12%), 3.79%, 01/20/28 |
1,854 | 1,775,822 | ||||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 03/09/27 |
4,386 | 4,030,943 | ||||||||||
|
|
|||||||||||
55,653,951 | ||||||||||||
Oil, Gas & Consumable Fuels — 1.8% |
||||||||||||
Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.02%, 11/01/25 |
556 | 582,266 | ||||||||||
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 12/13/25 |
1,090 | 921,543 |
S C H E D U L E O F I N V E S T M E N T S |
33 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Oil, Gas & Consumable Fuels (continued) |
||||||||||||
Lealand Finance Co. BV |
||||||||||||
2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 06/28/24 |
USD | 46 | $ | 27,614 | ||||||||
2020 Take Back Term Loan, (3.00% PIK), 2.83%, 06/30/25 (i) |
337 | 169,274 | ||||||||||
Lucid Energy Group II Borrower LLC, 2021 Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.87%, 11/24/28 |
2,093 | 2,062,184 | ||||||||||
Medallion Midland Acquisition LLC, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 10/18/28 |
1,681 | 1,608,302 | ||||||||||
Murphy USA, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 2.82%, 01/31/28 |
568 | 564,947 | ||||||||||
Oryx Midstream Services Permian Basin LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 4.71%, 10/05/28 |
2,727 | 2,589,086 | ||||||||||
|
|
|||||||||||
8,525,216 | ||||||||||||
Personal Products — 1.1% |
||||||||||||
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (SOFR + 6.00%, 1.00% Floor), 7.65%, 12/22/26 |
357 | 349,614 | ||||||||||
Prestige Brands, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.00%), 5.42%, 07/03/28 |
194 | 192,054 | ||||||||||
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.00%, 10/01/26 |
5,332 | 4,922,207 | ||||||||||
|
|
|||||||||||
5,463,875 | ||||||||||||
Pharmaceuticals — 2.6% |
||||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.50%, 05/04/25 |
1,070 | 966,010 | ||||||||||
Bausch Health Cos., Inc., 2022 Term Loan B, (SOFR + 5.25%), 6.55%, 02/01/27 |
1,900 | 1,624,387 | ||||||||||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%), 3.63%, 02/22/28 |
1,860 | 1,829,236 | ||||||||||
Elanco Animal Health, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 2.81%, 08/01/27 |
1,328 | 1,251,621 | ||||||||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 11/15/27 |
1,762 | 1,661,723 | ||||||||||
Jazz Financing Lux SARL, USD Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 05/05/28 |
2,134 | 2,031,860 | ||||||||||
Option Care Health, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 10/27/28 |
611 | 582,250 | ||||||||||
Organon & Co., USD Term Loan, (3 mo. LIBOR + 3.00%), 4.63%, 06/02/28 |
1,360 | 1,306,121 | ||||||||||
Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.25%, 11/18/27 (c) |
1,218 | 1,123,332 | ||||||||||
|
|
|||||||||||
12,376,540 | ||||||||||||
Professional Services — 1.2% |
||||||||||||
Dun & Bradstreet Corp. |
||||||||||||
2022 Incremental Term Loan B2, (SOFR + 3.25%), 4.75%, 01/18/29 |
624 | 580,576 | ||||||||||
Term Loan, (1 mo. LIBOR + 3.25%), 4.87%, 02/06/26 |
2,088 | 1,965,970 |
Security |
Par (000) |
Value |
||||||||||
Professional Services (continued) |
||||||||||||
Element Materials Technology Group |
||||||||||||
U.S. Holdings, Inc. (l) |
||||||||||||
2022 USD Delayed Draw Term Loan B, 04/12/29 |
USD | 529 | $ | 506,604 | ||||||||
2022 USD Delayed Draw Term Loan D, 04/12/29 |
1,146 | 1,097,641 | ||||||||||
Galaxy U.S. Opco, Inc., Term Loan, (SOFR + 4.75%), 6.28%, 04/29/29 |
1,749 | 1,637,501 | ||||||||||
|
|
|||||||||||
5,788,292 | ||||||||||||
Real Estate Management & Development — 0.8% |
||||||||||||
Chamberlain Group, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 11/03/28 |
2,161 | 1,946,820 | ||||||||||
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 08/21/25 |
2,048 | 1,923,502 | ||||||||||
|
|
|||||||||||
3,870,322 | ||||||||||||
Road & Rail — 0.4% |
||||||||||||
Avis Budget Car Rental LLC, 2020 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 08/06/27 |
571 | 539,942 | ||||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.50%), 7.09%, 08/04/25 (c) |
1,346 | 1,197,687 | ||||||||||
|
|
|||||||||||
1,737,629 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% |
||||||||||||
ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 09/19/26 |
— | (m) |
21 | |||||||||
Synaptics, Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 4.36%, 12/02/28 |
551 | 534,803 | ||||||||||
|
|
|||||||||||
534,824 | ||||||||||||
Software — 12.6% |
||||||||||||
Applied Systems, Inc. |
||||||||||||
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 5.25%, 09/19/24 |
431 | 412,475 | ||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.50%), 7.75%, 09/19/25 |
630 | 604,995 | ||||||||||
Barracuda Networks, Inc. |
||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 5.98%, 02/12/25 |
2,664 | 2,635,266 | ||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.99%, 10/30/28 |
581 | 579,438 | ||||||||||
2022 Term Loan, 05/17/29 (l) |
661 | 632,081 | ||||||||||
Central Parent, Inc., 2022 USD Term Loan B, 07/06/29 (l) |
634 | 597,627 | ||||||||||
Cloudera, Inc. |
||||||||||||
2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.67%, 10/08/29 (c) |
846 | 736,020 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/08/28 |
2,593 | 2,379,536 | ||||||||||
ConnectWise LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 5.75%, 09/29/28 |
893 | 816,070 | ||||||||||
Cornerstone OnDemand, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/16/28 |
1,055 | 941,028 | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/28/24 (c) |
499 | 430,654 | ||||||||||
E2open LLC, 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.83%, 02/04/28 |
251 | 236,556 |
34 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Software (continued) |
||||||||||||
Epicor Software Corp., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.42%, 07/31/28 |
USD | 1,886 | $ | 1,825,648 | ||||||||
Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 3.75%), 5.95%, 03/11/28 |
1,887 | 1,730,065 | ||||||||||
Informatica LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 4.44%, 10/27/28 |
4,478 | 4,240,012 | ||||||||||
Instructure Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.27%, 10/30/28 (c) |
642 | 608,665 | ||||||||||
IPS Corp. |
||||||||||||
2021 2nd Lien Term Loan B, (1 mo. LIBOR + 7.00%), 8.67%, 10/01/29 |
919 | 851,224 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 10/02/28 |
516 | 472,926 | ||||||||||
Magenta Buyer LLC |
||||||||||||
2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 0.75% Floor), 6.23%, 07/27/28 |
2,105 | 1,886,115 | ||||||||||
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 0.75% Floor), 9.48%, 07/27/29 |
1,907 | 1,735,281 | ||||||||||
McAfee LLC, 2022 USD Term Loan B, (SOFR + 4.00%), 5.15%, 03/01/29 |
3,050 | 2,767,875 | ||||||||||
Netsmart Technologies, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 10/01/27 |
1,380 | 1,310,692 | ||||||||||
Planview Parent, Inc. |
||||||||||||
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 8.92%, 12/18/28 (c) |
824 | 782,800 | ||||||||||
Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/17/27 |
1,894 | 1,779,913 | ||||||||||
Proofpoint, Inc. |
||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 4.82%, 08/31/28 |
2,481 | 2,300,592 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 7.82%, 08/31/29 |
1,281 | 1,223,355 | ||||||||||
RealPage, Inc. |
||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 04/24/28 |
5,456 | 5,031,110 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.75% Floor), 8.17%, 04/23/29 |
2,629 | 2,493,240 | ||||||||||
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.92%, 05/30/25 |
581 | 548,595 | ||||||||||
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.62%, 08/01/25 |
2,418 | 2,317,030 | ||||||||||
Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 10/07/27 |
3,678 | 3,422,567 | ||||||||||
SS&C Technologies, Inc. |
||||||||||||
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.42%, 04/16/25 |
401 | 379,903 | ||||||||||
2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 04/16/25 |
325 | 308,194 | ||||||||||
2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 3.42%, 04/16/25 |
1,700 | 1,611,487 | ||||||||||
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.25%, 03/03/28 |
2,577 | 2,521,417 |
Security |
Par (000) |
Value |
||||||||||
Software (continued) |
||||||||||||
Ultimate Software Group, Inc. |
||||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.25%), 6.21%, 05/03/27 |
USD | 1,216 | $ | 1,118,920 | ||||||||
2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.21%, 05/04/26 |
3,770 | 3,522,186 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 05/04/26 |
2,493 | 2,350,271 | ||||||||||
|
|
|||||||||||
60,141,829 | ||||||||||||
Specialty Retail — 3.8% |
||||||||||||
Belron Finance U.S. LLC |
||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 3.69%, 11/13/25 |
1,977 | 1,908,080 | ||||||||||
2019 USD Term Loan B3, (3 mo. LIBOR + 2.25%), 3.50%, 10/30/26 (c) |
1,134 | 1,082,898 | ||||||||||
2021 USD Term Loan B, (3 mo. LIBOR + 2.50%), 3.88%, 04/13/28 |
1,720 | 1,649,330 | ||||||||||
EG Group Ltd., 2021 Term Loan, 6.50%, 03/31/26 |
502 | 473,797 | ||||||||||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 11/24/28 |
599 | 564,297 | ||||||||||
Mavis Tire Express Services Corp., 2021 Term Loan B, (SOFR + 4.00%), 5.63%, 05/04/28 |
2,658 | 2,452,110 | ||||||||||
MED ParentCo LP, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 5.92%, 08/31/26 |
1,847 | 1,663,075 | ||||||||||
PetSmart, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/11/28 |
4,670 | 4,382,711 | ||||||||||
Research Now Group, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24 |
860 | 789,894 | ||||||||||
Restoration Hardware, Inc., 2022 Incremental Term Loan, (SOFR + 3.25%), 4.88%, 10/20/28 |
753 | 670,170 | ||||||||||
Reverb Buyer, Inc., 2021 First Lien Term Loan, (3 mo. LIBOR + 3.50%), 6.38%, 11/01/28 |
1,763 | 1,650,207 | ||||||||||
WOOF Holding, Inc. (c) |
||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.81%, 12/21/27 |
485 | 452,134 | ||||||||||
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 9.31%, 12/21/28 |
495 | 475,200 | ||||||||||
|
|
|||||||||||
18,213,903 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.2% |
||||||||||||
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 07/23/26 |
890 | 790,174 | ||||||||||
|
|
|||||||||||
Textiles, Apparel & Luxury Goods — 0.3% |
||||||||||||
Crocs, Inc., Term Loan B, (SOFR + 3.50%), 4.45%, 02/17/29 |
1,659 | 1,506,445 | ||||||||||
|
|
|||||||||||
Trading Companies & Distributors — 0.7% |
||||||||||||
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 05/19/28 |
1,221 | 1,162,644 | ||||||||||
Foundation Building Materials Holding Co. LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.49%, 01/31/28 (c) |
1,061 | 922,602 |
S C H E D U L E O F I N V E S T M E N T S |
35 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
|
||||||||||||
Trading Companies & Distributors (continued) |
||||||||||||
ION Trading Finance Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%), 7.00%, 04/03/28 |
USD | 598 | $ | 549,752 | ||||||||
SRS Distribution, Inc., 2022 Incremental Term Loan, (SOFR + 3.50%), 4.00%, 06/02/28 |
868 | 797,678 | ||||||||||
|
|
|||||||||||
3,432,676 | ||||||||||||
Wireless Telecommunication Services — 1.0% |
| |||||||||||
GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR), 4.99%, 04/30/28 |
968 | 914,203 | ||||||||||
MetroNet Systems Holdings LLC, 2021 1st Lien Term Loan, (SOFR + 3.75%), 5.05%, 06/02/28 |
624 | 576,029 | ||||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 04/11/25 |
3,318 | 3,191,235 | ||||||||||
|
|
|||||||||||
4,681,467 | ||||||||||||
|
|
|||||||||||
Total Floating Rate Loan Interests — 123.4% (Cost: $627,998,083) |
|
587,084,075 | ||||||||||
|
|
|||||||||||
Shares |
||||||||||||
|
||||||||||||
Investment Companies |
| |||||||||||
Fixed Income Funds — 0.1% |
| |||||||||||
Invesco Senior Loan ETF |
16,200 | 328,374 | ||||||||||
|
|
|||||||||||
Total Investment Companies — 0.1% (Cost: $349,754) |
|
328,374 | ||||||||||
|
|
|||||||||||
Benefical Interest (000) |
||||||||||||
|
||||||||||||
Other Interests (n) |
| |||||||||||
IT Services (b)(c) — 0.0% |
| |||||||||||
Millennium Corp. |
USD | 1,156 | — | |||||||||
Millennium Lender Claim Trust |
1,084 | — | ||||||||||
|
|
|||||||||||
Total Other Interests — 0.0% (Cost: $ — ) |
|
— | ||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
|
||||||||||||
Preferred Securities |
| |||||||||||
Capital Trusts — 0.4% (g)(h) |
| |||||||||||
Automobiles — 0.0% |
||||||||||||
General Motors Financial Co., Inc., Series C, 5.70% |
USD | 50 | 43,500 | |||||||||
Volkswagen International Finance NV, 4.38% (a) |
EUR | 100 | 84,083 | |||||||||
|
|
|||||||||||
127,583 | ||||||||||||
Diversified Financial Services — 0.3% |
| |||||||||||
Barclays PLC, 4.38% |
USD | 200 | 153,373 | |||||||||
HSBC Holdings PLC, 6.00% |
600 | 537,750 | ||||||||||
JPMorgan Chase & Co. |
||||||||||||
Series FF, 5.00% |
765 | 675,112 | ||||||||||
Series HH, 4.60% |
166 | 140,191 | ||||||||||
|
|
|||||||||||
1,506,426 | ||||||||||||
Electric Utilities — 0.0% |
| |||||||||||
Edison International, Series B, 5.00% |
55 | 43,760 | ||||||||||
|
|
Security |
Par (000) |
Value |
||||||||||
|
||||||||||||
Independent Power and Renewable Electricity Producers — 0.0% |
||||||||||||
Vistra Corp., 7.00% (e) |
USD | 77 | $ | 69,877 | ||||||||
|
|
|||||||||||
Utilities — 0.1% |
||||||||||||
Electricite de France SA, 3.38% (a) |
EUR | 200 | 136,225 | |||||||||
|
|
|||||||||||
1,883,871 | ||||||||||||
|
|
|||||||||||
Shares |
||||||||||||
|
||||||||||||
Preferred Stocks — 0.1% |
||||||||||||
Capital Markets — 0.1% |
||||||||||||
Goldman Sachs Group, Inc., Series J, 5.50% (g)(h) |
13,550 | 331,162 | ||||||||||
|
|
|||||||||||
Insurance — 0.0% |
| |||||||||||
Alliant Holdings, Inc. (c) |
83 | 75,210 | ||||||||||
|
|
|||||||||||
406,372 | ||||||||||||
|
|
|||||||||||
Total Preferred Securities — 0.5% (Cost: $2,675,908) |
|
2,290,243 | ||||||||||
|
|
|||||||||||
Warrants |
||||||||||||
Metals & Mining — 0.0% |
||||||||||||
Ameriforge Group, Inc. |
5,283 | — | ||||||||||
|
|
|||||||||||
Oil, Gas & Consumable Fuels — 0.0% |
| |||||||||||
California Resources Corp. (b) |
1,152 | 11,831 | ||||||||||
|
|
|||||||||||
Transportation Infrastructure — 0.0% |
| |||||||||||
Turbo Cayman Ltd. (Strike Price $0.01) (b)(c) |
1 | — | ||||||||||
|
|
|||||||||||
Total Warrants — 0.0% (Cost: $ — ) |
|
11,831 | ||||||||||
|
|
|||||||||||
Total Long-Term Investments — 145.1% (Cost: $769,685,734) |
|
690,414,413 | ||||||||||
|
|
|||||||||||
Short-Term Securities |
||||||||||||
Money Market Funds — 0.5% |
| |||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33% (o)(p) |
2,322,065 | 2,322,065 | ||||||||||
|
|
|||||||||||
Total Short-Term Securities — 0.5% (Cost: $2,322,065) |
|
2,322,065 | ||||||||||
|
|
|||||||||||
Total Investments — 145.6% (Cost: $772,007,799) |
|
692,736,478 | ||||||||||
Liabilities in Excess of Other Assets — (45.6)% |
|
(216,802,197 | ) | |||||||||
|
|
|||||||||||
Net Assets — 100.0% |
$ | 475,934,281 | ||||||||||
|
|
(a) |
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(b) |
Non-income producing security. |
(c) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) |
Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,210, representing less than 0.05% of its net assets as of period end, and an original cost of $255,714. |
(e) |
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. |
(f) |
Issuer filed for bankruptcy and/or is in default. |
(g) |
Perpetual security with no stated maturity date. |
(h) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
36 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) |
(i) |
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. |
(j) |
All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
(k) |
Convertible security. |
(l) |
Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(m) |
Rounds to less than 1,000. |
(n) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(o) |
Affiliate of the Fund. |
(p) |
Annualized 7-day yield as of period end. |
Affiliated Issuer |
Value at 12/31/21 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 06/30/22 |
Shares Held at 06/30/22 |
Income |
Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class |
$ | 435,992 | $ | 1,886,073 | (a) |
$ | — | $ | — | $ | — | $ | 2,322,065 | 2,322,065 | $ | 5,041 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
USD |
705,477 | EUR | 657,000 | Bank of Montreal | 09/21/22 | $ | 13,142 | |||||||||||||||||
USD |
2,769,395 | EUR | 2,615,000 | BNP Paribas S.A. | 09/21/22 | 13,754 | ||||||||||||||||||
USD |
438,868 | GBP | 354,000 | Bank of America N.A. | 09/21/22 | 7,299 | ||||||||||||||||||
USD |
1,723,075 | GBP | 1,374,000 | Natwest Markets PLC | 09/21/22 | 48,003 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
$ | 82,198 | |||||||||||||||||||||||
|
|
Reference Obligation/Index |
Financing Rate Received by the Fund |
Payment Frequency |
Termination Date |
Credit Rating |
(a) |
Notional Amount (000) |
(b) |
Value |
Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
CDX.NA.HY.37.V2 |
5.00 | % | Quarterly | 12/20/26 | B+ | USD | 4,950 | $ | (61,886 | ) | $ | 332,573 | $ | (394,459 | ) | |||||||||||||||||
|
|
|
|
|
|
(a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) |
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Reference Obligation/Index |
Financing Rate Received by the Fund |
Payment Frequency |
Counterparty |
Termination Date |
Credit Rating |
(a) |
Notional Amount (000) (b) |
Value |
Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||||||||||
|
CenturyLink, Inc. |
1.00 | % | Quarterly | Barclays Bank PLC | 12/20/23 | NR | USD | 170 | $ | (4,888 | ) | $ | (4,050 | ) | $ | (838 | ) | ||||||||||||||||||||||||
CenturyLink, Inc. |
1.00 | Quarterly | Barclays Bank PLC | 06/20/25 | NR | USD | 185 | (16,595 | ) | (15,429 | ) | (1,166 | ) | |||||||||||||||||||||||||||||
Adler Real Estate AG |
5.00 | Quarterly | Goldman Sachs International | 12/20/26 | CCC | EUR | 10 | (3,328 | ) | (21 | ) | (3,307 | ) | |||||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | Morgan Stanley & Co. International PLC |
12/20/26 | CCC | EUR | 30 | (9,986 | ) | 127 | (10,113 | ) | ||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC |
5.00 | Quarterly | Bank of America N.A. | 12/20/26 | B+ | EUR | 10 | (1,626 | ) | (391 | ) | (1,235 | ) | |||||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC |
5.00 | Quarterly | Barclays Bank PLC | 12/20/26 | B+ | EUR | 5 | (825 | ) | 198 | (1,023 | ) |
S C H E D U L E O F I N V E S T M E N T S |
37 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) |
Reference Obligation/Index |
Financing Rate Received by the Fund |
Payment Frequency |
Counterparty |
Termination Date |
Credit Rating |
(a) |
Notional Amount (000) |
(b) |
Value |
Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC |
5.00 | % | Quarterly | Credit Suisse International |
12/20/26 | B+ | EUR 5 | $ | (802 | ) | $ | 204 | $ | (1,006 | ) | |||||||||||||||||||||||||||||||||
|
Jaguar Land Rover Automotive PLC |
5.00 | Quarterly | Credit Suisse International |
12/20/26 | B+ | EUR 10 | (1,625 | ) | 385 | (2,010 | ) | ||||||||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC |
5.00 | Quarterly | Morgan Stanley & Co. International PLC |
12/20/26 | B+ | EUR 10 | (1,625 | ) | 456 | (2,081 | ) | |||||||||||||||||||||||||||||||||||||
CMA CGM SA |
5.00 | Quarterly | Barclays Bank PLC |
06/20/27 | BB+ | EUR 6 | (248 | ) | 178 | (426 | ) | |||||||||||||||||||||||||||||||||||||
CMA CGM SA |
5.00 | Quarterly | Credit Suisse International |
06/20/27 | BB+ | EUR 20 | (868 | ) | 913 | (1,781 | ) | |||||||||||||||||||||||||||||||||||||
CMA CGM SA |
5.00 | Quarterly | Credit Suisse International |
06/20/27 | BB+ | EUR 6 | (256 | ) | 198 | (454 | ) | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||||||||
$ | (42,672 | ) | $ | (17,232 | ) | $ | (25,440 | ) | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) |
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Description |
Swap Premiums Paid |
Swap Premiums Received |
Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||
Centrally Cleared Swaps (a) |
$ | 332,573 | $ | — | $ | — | $ (394,459 | ) | ||||||||
OTC Swaps |
2,659 | (19,891 | ) | — | (25,440 | ) |
(a) |
Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total |
||||||||||||||||||||||
Assets — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | 82,198 | $ | — | $ | — | $ | 82,198 | ||||||||||||||
Swaps — OTC |
||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid |
— | 2,659 | — | — | — | — | 2,659 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | 2,659 | $ | — | $ | 82,198 | $ | — | $ | — | $ | 84,857 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Swaps — centrally cleared |
||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps (a) |
$ | — | $ | 394,459 | $ | — | $ | — | $ | — | $ | — | $ | 394,459 | ||||||||||||||
Swaps — OTC |
||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received |
— | 45,331 | — | — | — | — | 45,331 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | 439,790 | $ | — | $ | — | $ | — | $ | — | $ | 439,790 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
38 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) |
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total |
||||||||||||||||||||||
Net Realized Gain (Loss) from: |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | 488,751 | $ | — | $ | — | $ | 488,751 | ||||||||||||||
Options purchased (a) |
— | — | — | — | (486 | ) | — | (486 | ) | |||||||||||||||||||
Swaps |
— | 81,784 | — | — | — | — | 81,784 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | 81,784 | $ | — | $ | 488,751 | $ | (486 | ) | $ | — | $ | 570,049 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | 170,267 | $ | — | $ | — | $ | 170,267 | ||||||||||||||
Swaps |
— | (532,005 | ) | — | — | — | — | (532,005 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | (532,005 | ) | $ | — | $ | 170,267 | $ | — | $ | — | $ | (361,738 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
|
||||
Forward foreign currency exchange contracts: |
||||
Average amounts purchased — in USD |
$ | 6,712,795 | ||
Options: |
||||
Average value of option contracts purchased |
$ | — | (a) | |
Credit default swaps: |
||||
Average notional value — sell protection |
$ | 5,432,732 | ||
|
(a) |
Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
Assets |
Liabilities |
|||||||
Derivative Financial Instruments |
||||||||
Forward foreign currency exchange contracts |
$ | 82,198 | $ | — | ||||
Swaps — centrally cleared |
— | 4,109 | ||||||
Swaps — OTC (a) |
2,659 | 45,331 | ||||||
|
|
|
|
|||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities |
84,857 | 49,440 | ||||||
|
|
|
|
|||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
— | (4,109 | ) | |||||
|
|
|
|
|||||
Total derivative assets and liabilities subject to an MNA |
$ | 84,857 | $ | 45,331 | ||||
|
|
|
|
(a) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
Counterparty |
Derivative Assets Subject to an MNA by Counterparty |
Derivatives Available for Offset |
(a) |
Non-Cash Collateral Received |
Cash Collateral Received |
Net Amount of Derivative Assets |
(b)(c) | |||||||||||||
Bank of America N.A. |
$ | 7,299 | $ | (1,626 | ) | $ | — | $ | — | $ | 5,673 | |||||||||
Bank of Montreal |
13,142 | — | — | — | 13,142 | |||||||||||||||
Barclays Bank PLC |
376 | (376 | ) | — | — | — | ||||||||||||||
BNP Paribas S.A |
13,754 | — | — | — | 13,754 | |||||||||||||||
Credit Suisse International |
1,700 | (1,700 | ) | — | — | — | ||||||||||||||
Morgan Stanley & Co. International PLC |
583 | (583 | ) | — | — | — | ||||||||||||||
Natwest Markets PLC |
48,003 | — | — | — | 48,003 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 84,857 | $ | (4,285 | ) | $ | — | $ | — | $ | 80,572 | ||||||||||
|
|
|
|
|
|
|
|
|
|
S C H E D U L E O F I N V E S T M E N T S |
39 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) |
Counterparty |
Derivative Liabilities Subject to an MNA by Counterparty |
Derivatives Available for Offset |
(a) |
Non-Cash Collateral Pledged |
Cash Collateral Pledged |
(d) |
Net Amount of Derivative Liabilities |
(b)(e) | ||||||||||||
Bank of America N.A. |
$ | 1,626 | $ | (1,626 | ) | $ | — | $ | — | $ | — | |||||||||
Barclays Bank PLC |
22,932 | (376 | ) | — | (22,556 | ) | — | |||||||||||||
Credit Suisse International |
5,251 | (1,700 | ) | — | — | 3,551 | ||||||||||||||
Goldman Sachs International |
3,328 | — | — | — | 3,328 | |||||||||||||||
Morgan Stanley & Co. International PLC |
12,194 | (583 | ) | — | — | 11,611 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 45,331 | $ | (4,285 | ) | $ | — | $ | (22,556 | ) | $ | 18,490 | |||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) |
Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(c) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
(d) |
Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
(e) |
Net amount represents the net amount payable due to counterparty in the event of default. |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Asset-Backed Securities |
$ |
— |
$ |
188,371 |
$ |
— |
$ |
188,371 |
||||||||
Common Stocks |
||||||||||||||||
Construction & Engineering |
80,645 |
— |
— |
80,645 |
||||||||||||
Diversified Financial Services |
— |
— |
10,753 |
10,753 |
||||||||||||
Metals & Mining |
— |
1,664 |
1,210 |
2,874 |
||||||||||||
Oil, Gas & Consumable Fuels |
223,529 |
— |
— |
223,529 |
||||||||||||
Semiconductors & Semiconductor Equipment |
29,818 |
— |
— |
29,818 |
||||||||||||
Specialty Retail |
— |
256,998 |
— |
256,998 |
||||||||||||
Corporate Bonds |
||||||||||||||||
Aerospace & Defense |
— |
3,064,852 |
— |
3,064,852 |
||||||||||||
Airlines |
— |
3,382,127 |
— |
3,382,127 |
||||||||||||
Auto Components |
— |
2,205,486 |
— |
2,205,486 |
||||||||||||
Automobiles |
— |
2,049,550 |
— |
2,049,550 |
||||||||||||
Banks |
— |
129,435 |
30,390 |
159,825 |
||||||||||||
Beverages |
— |
2,028,350 |
— |
2,028,350 |
||||||||||||
Biotechnology |
— |
87,049 |
— |
87,049 |
||||||||||||
Building Materials |
— |
815,859 |
— |
815,859 |
||||||||||||
Building Products |
— |
1,317,684 |
— |
1,317,684 |
||||||||||||
Capital Markets |
— |
1,464,902 |
— |
1,464,902 |
||||||||||||
Chemicals |
— |
2,844,537 |
— |
2,844,537 |
||||||||||||
Commercial Services & Supplies |
— |
1,160,816 |
— |
1,160,816 |
||||||||||||
Communications Equipment |
— |
634,835 |
— |
634,835 |
||||||||||||
Construction Materials |
— |
490,522 |
— |
490,522 |
||||||||||||
Consumer Discretionary |
— |
1,943,793 |
— |
1,943,793 |
||||||||||||
Consumer Finance |
— |
2,614,400 |
— |
2,614,400 |
||||||||||||
Containers & Packaging |
— |
651,906 |
— |
651,906 |
||||||||||||
Diversified Consumer Services |
— |
2,343,681 |
— |
2,343,681 |
||||||||||||
Diversified Financial Services |
— |
1,082,781 |
— |
1,082,781 |
||||||||||||
Diversified Telecommunication Services |
— |
4,379,760 |
— |
4,379,760 |
||||||||||||
Electric Utilities |
— |
588,543 |
— |
588,543 |
||||||||||||
Electrical Equipment |
— |
352,081 |
1 |
352,082 |
||||||||||||
Electronic Equipment, Instruments & Components |
— |
1,246,911 |
— |
1,246,911 |
||||||||||||
Energy Equipment & Services |
— |
555,550 |
— |
555,550 |
||||||||||||
Entertainment |
— |
185,827 |
— |
185,827 |
||||||||||||
Environmental, Maintenance & Security Service |
— |
752,454 |
— |
752,454 |
40 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
||||||||||||||||
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
|
||||||||||||||||
Corporate Bonds (continued) |
||||||||||||||||
Equity Real Estate Investment Trusts (REITs) |
$ | — | $ | 1,287,275 | $ | — | $ | 1,287,275 | ||||||||
Food & Staples Retailing. |
— | 1,416,071 | — | 1,416,071 | ||||||||||||
Food Products |
— | 1,048,954 | — | 1,048,954 | ||||||||||||
Gas Utilities |
— | 24,661 | — | 24,661 | ||||||||||||
Health Care Equipment & Supplies |
— | 724,522 | — | 724,522 | ||||||||||||
Health Care Providers & Services |
— | 4,439,565 | — | 4,439,565 | ||||||||||||
Health Care Technology |
— | 1,095,805 | — | 1,095,805 | ||||||||||||
Hotels, Restaurants & Leisure |
— | 4,795,348 | — | 4,795,348 | ||||||||||||
Household Durables |
— | 872,558 | — | 872,558 | ||||||||||||
Household Products |
— | 33,297 | — | 33,297 | ||||||||||||
Independent Power and Renewable Electricity Producers |
— | 673,652 | — | 673,652 | ||||||||||||
Insurance |
— | 2,177,190 | — | 2,177,190 | ||||||||||||
Interactive Media & Services |
— | 488,367 | — | 488,367 | ||||||||||||
Internet Software & Services |
— | 1,778,898 | — | 1,778,898 | ||||||||||||
IT Services |
— | 3,013,221 | — | 3,013,221 | ||||||||||||
Leisure Products |
— | 202,189 | — | 202,189 | ||||||||||||
Machinery |
— | 2,267,751 | — | 2,267,751 | ||||||||||||
Media |
— | 11,732,106 | — | 11,732,106 | ||||||||||||
Metals & Mining |
— | 2,447,931 | — | 2,447,931 | ||||||||||||
Mortgage Real Estate Investment Trusts (REITs) |
— | 8,899 | — | 8,899 | ||||||||||||
Multiline Retail |
— | 113,354 | — | 113,354 | ||||||||||||
Offshore Drilling & Other Services |
— | 33,955 | — | 33,955 | ||||||||||||
Oil, Gas & Consumable Fuels |
71,367 | 12,811,175 | — | 12,882,542 | ||||||||||||
Pharmaceuticals |
— | 1,320,104 | — | 1,320,104 | ||||||||||||
Real Estate Management & Development |
— | 588,089 | — | 588,089 | ||||||||||||
Road & Rail |
— | 163,263 | — | 163,263 | ||||||||||||
Semiconductors & Semiconductor Equipment |
— | 721,186 | — | 721,186 | ||||||||||||
Software |
— | 1,819,560 | — | 1,819,560 | ||||||||||||
Specialty Retail |
— | 467,216 | — | 467,216 | ||||||||||||
Technology Hardware, Storage & Peripherals |
— | 143,090 | — | 143,090 | ||||||||||||
Textiles, Apparel & Luxury Goods |
— | 114,826 | — | 114,826 | ||||||||||||
Thrifts & Mortgage Finance |
— | 349,287 | — | 349,287 | ||||||||||||
Utilities |
— | 234,821 | — | 234,821 | ||||||||||||
Wireless Telecommunication Services |
— | 2,023,267 | — | 2,023,267 | ||||||||||||
Floating Rate Loan Interests |
— | 540,008,949 | 47,075,126 | 587,084,075 | ||||||||||||
Investment Companies |
328,374 | — | — | 328,374 | ||||||||||||
Other Interests |
— | — | — | — | ||||||||||||
Preferred Securities |
||||||||||||||||
Capital Trusts |
— | 1,883,871 | — | 1,883,871 | ||||||||||||
Preferred Stocks |
331,162 | — | 75,210 | 406,372 | ||||||||||||
Warrants |
11,831 | — | — | 11,831 | ||||||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
2,322,065 | — | — | 2,322,065 | ||||||||||||
Liabilities |
||||||||||||||||
Unfunded Floating Rate Loan Interests (a) |
— | (66,675 | ) | (5,454 | ) | (72,129 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 3,398,791 | $ | 642,078,322 | $ | 47,187,236 | $ | 692,664,349 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Derivative Financial Instruments (b) |
||||||||||||||||
Assets |
||||||||||||||||
Foreign Currency Exchange Contracts |
$ | — | $ | 82,198 | $ | — | $ | 82,198 | ||||||||
Liabilities |
||||||||||||||||
Credit Contracts |
— | (419,899 | ) | — | (419,899 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | — | $ | (337,701 | ) | $ | — | $ | (337,701 | ) | |||||||
|
|
|
|
|
|
|
|
(a) |
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) |
Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
S C H E D U L E O F I N V E S T M E N T S |
41 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
||||||||||||||||||||||||||||||||
Common Stocks |
Corporate Bonds |
Floating Rate Loan Interests |
Other Interests |
Preferred Stocks |
Unfunded Floating Rate Loan Interests |
Warrants |
Total |
|||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Assets |
||||||||||||||||||||||||||||||||
Opening balance, as of December 31, 2021 |
$ | 11,700 | $ | 1 | $ | 26,559,403 | $ | — | (a) |
$ | 86,236 | (259 | ) | — | $ | 26,657,081 | ||||||||||||||||
Transfers into Level 3 (b) |
— | 33,016 | 32,800,656 | — | — | (1,943 | ) | — | 32,831,729 | |||||||||||||||||||||||
Transfers out of Level 3 (c) |
— | — | (7,991,613 | ) | — | — | 259 | — | (7,991,354 | ) | ||||||||||||||||||||||
Accrued discounts/premiums |
— | — | 215,229 | — | — | — | — | 215,229 | ||||||||||||||||||||||||
Net realized gain (loss) |
— | — | 45,325 | — | — | — | — | 45,325 | ||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) (d)(e) |
263 | (2,626 | ) | (3,839,934 | ) | — | (11,026 | ) | (3,511 | ) | — | (3,856,835 | ) | |||||||||||||||||||
Purchases |
— | — | 6,284,128 | — | — | — | — | 6,284,128 | ||||||||||||||||||||||||
Sales |
— | — | (6,998,068 | ) | — | — | — | — | (6,998,068 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Closing balance, as of June 30, 2022 |
$ | 11,963 | $ | 30,391 | $ | 47,075,126 | $ | — | (a) |
$ | 75,210 | (5,454 | ) | — | $ | 47,187,236 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 (e) |
$ | 263 | $ | (2,626 | ) | $ | (3,717,203 | ) | $ | — | $ | (11,026 | ) | (3,511 | ) | — | $ | (3,734,104 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Rounds to less than $1. |
(b) |
As of December 31, 2021, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2022, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(c) |
As of December 31, 2021, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2022, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(d) |
Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(e) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 is generally due to investments no longer held or categorized as Level 3 at period end. |
42 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security |
Shares |
Value |
||||||||||
Common Stocks |
||||||||||||
Construction & Engineering — 0.0% |
||||||||||||
McDermott International Ltd. (a) |
123,933 | $ | 70,642 | |||||||||
|
|
|||||||||||
Diversified Financial Services — 0.0% |
||||||||||||
Kcad Holdings I Ltd. (b) |
309,827,230 | 3,098 | ||||||||||
|
|
|||||||||||
Metals & Mining — 0.0% |
||||||||||||
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $214,007) (b)(c) |
12,198 | 1,012 | ||||||||||
|
|
|||||||||||
Semiconductors & Semiconductor Equipment (a) — 0.0% |
||||||||||||
Maxeon Solar Technologies Ltd. |
232 | 3,083 | ||||||||||
SunPower Corp. |
1,860 | 29,407 | ||||||||||
|
|
|||||||||||
32,490 | ||||||||||||
Software — 0.0% |
||||||||||||
Avaya Holdings Corp. (a) |
66 | 148 | ||||||||||
|
|
|||||||||||
Specialty Retail — 0.2% |
||||||||||||
NMG Parent LLC |
3,613 | 628,662 | ||||||||||
|
|
|||||||||||
Total Common Stocks — 0.2% (Cost: $5,728,234) |
|
736,052 | ||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
Corporate Bonds |
||||||||||||
Airlines — 0.3% |
||||||||||||
Allegiant Travel Co., 8.50%, 02/05/24 (d) |
USD | 1,195 | 1,180,063 | |||||||||
|
|
|||||||||||
Auto Components — 0.1% |
||||||||||||
Clarios Global LP, 6.75%, 05/15/25 (d) |
446 | 441,741 | ||||||||||
|
|
|||||||||||
Beverages — 0.1% |
||||||||||||
Triton Water Holdings, Inc., 6.25%, 04/01/29 (d) |
410 | 291,100 | ||||||||||
|
|
|||||||||||
Building Materials — 0.0% |
||||||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29 (d) |
118 | 102,955 | ||||||||||
|
|
|||||||||||
Building Products — 0.0% |
||||||||||||
White Cap Buyer LLC, 6.88%, 10/15/28 (d) |
250 | 200,000 | ||||||||||
|
|
|||||||||||
Chemicals (d) — 0.1% |
||||||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28 |
51 | 40,290 | ||||||||||
WR Grace Holdings LLC, 5.63%, 08/15/29 |
388 | 285,665 | ||||||||||
|
|
|||||||||||
325,955 | ||||||||||||
Construction Materials — 0.1% |
||||||||||||
Wolverine Escrow LLC, 9.00%, 11/15/26 (d) |
1,028 | 599,118 | ||||||||||
|
|
|||||||||||
Diversified Telecommunication Services (d) — 0.1% |
||||||||||||
Lumen Technologies, Inc., 5.38%, 06/15/29 |
398 | 315,126 | ||||||||||
Zayo Group Holdings, Inc., 6.13%, 03/01/28 |
251 | 181,250 | ||||||||||
|
|
|||||||||||
496,376 | ||||||||||||
Electric Utilities — 0.0% |
||||||||||||
Pike Corp., 5.50%, 09/01/28 (d) |
144 | 116,901 | ||||||||||
Texas Competitive Electric Holdings, 1.00%, 11/10/21 (a)(b)(e) |
1,710 | — | ||||||||||
|
|
|||||||||||
116,901 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.2% |
||||||||||||
Vertiv Group Corp., 4.13%, 11/15/28 (d) |
901 | 731,540 | ||||||||||
|
|
Security |
Par (000) |
Value |
||||||||||
Health Care Equipment & Supplies — 0.1% |
||||||||||||
Avantor Funding, Inc., 3.88%, 11/01/29 (d) |
USD | 374 | $ | 327,119 | ||||||||
|
|
|||||||||||
Health Care Providers & Services — 0.1% |
||||||||||||
Medline Borrower LP, 5.25%, 10/01/29 (d) |
384 | 315,379 | ||||||||||
|
|
|||||||||||
Hotels, Restaurants & Leisure (d) — 0.1% |
||||||||||||
Caesars Entertainment, Inc., 4.63%, 10/15/29 |
390 | 303,225 | ||||||||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 6.75%, 01/15/30 |
381 | 292,417 | ||||||||||
|
|
|||||||||||
595,642 | ||||||||||||
Insurance — 0.1% |
||||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27 (d) |
357 | 316,795 | ||||||||||
|
|
|||||||||||
Internet Software & Services (d) — 0.2% |
||||||||||||
Expedia Group, Inc., 6.25%, 05/01/25 |
337 | 347,081 | ||||||||||
Uber Technologies, Inc., 4.50%, 08/15/29 |
381 | 313,372 | ||||||||||
|
|
|||||||||||
660,453 | ||||||||||||
Machinery — 0.2% |
||||||||||||
Madison IAQ LLC, 5.88%, 06/30/29 (d) |
1,203 | 921,883 | ||||||||||
|
|
|||||||||||
Media (d) — 0.3% |
||||||||||||
Liberty Broadband Corp., 2.75%, 09/30/50 |
513 | 487,956 | ||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23 (f) |
225 | 116,065 | ||||||||||
Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 09/15/26 |
573 | 494,086 | ||||||||||
|
|
|||||||||||
1,098,107 | ||||||||||||
Oil, Gas & Consumable Fuels — 0.1% |
||||||||||||
Occidental Petroleum Corp., 6.63%, 09/01/30 |
619 | 637,570 | ||||||||||
|
|
|||||||||||
Real Estate Management & Development — 0.0% |
||||||||||||
Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 01/15/29 (d) |
265 | 200,955 | ||||||||||
|
|
|||||||||||
Wireless Telecommunication Services — 0.0% |
||||||||||||
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25 (d) |
138 | 131,273 | ||||||||||
|
|
|||||||||||
Total Corporate Bonds — 2.2% (Cost: $11,186,948) |
9,690,925 | |||||||||||
|
|
|||||||||||
Floating Rate Loan Interests (g) |
| |||||||||||
Aerospace & Defense — 4.1% |
||||||||||||
Atlas CC Acquisition Corp. |
||||||||||||
Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.82%, 05/25/28 |
5,405 | 4,982,352 | ||||||||||
Term Loan C, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.82%, 05/25/28 |
1,099 | 1,013,360 | ||||||||||
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 6.25%, 10/31/26 |
711 | 688,324 | ||||||||||
Cobham Ultra U.S. Co-Borrower LLC, USD Term Loan B, 11/17/28 (h) |
374 | 354,990 | ||||||||||
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 7.19%, 04/09/26 |
766 | 632,931 | ||||||||||
Peraton Corp. |
||||||||||||
2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%, 0.75% Floor), 9.00%, 02/01/29 |
1,699 | 1,576,157 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 02/01/28 |
5,730 | 5,368,478 |
S C H E D U L E O F I N V E S T M E N T S |
43 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Aerospace & Defense (continued) |
||||||||||||
Spirit Aerosystems, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 01/15/25 |
USD | 990 | $ | 963,005 | ||||||||
TransDigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 3.92%, 12/09/25 |
2,533 | 2,396,752 | ||||||||||
|
|
|||||||||||
17,976,349 | ||||||||||||
Air Freight & Logistics — 0.4% |
||||||||||||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.72%, 04/06/28 |
582 | 525,381 | ||||||||||
Kestrel Bidco, Inc., Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.03%, 12/11/26 |
416 | 371,405 | ||||||||||
PECF USS Intermediate Holding III Corp., Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 12/15/28 |
965 | 868,911 | ||||||||||
|
|
|||||||||||
1,765,697 | ||||||||||||
Airlines — 3.0% |
||||||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.81%, 04/20/28 |
1,636 | 1,557,443 | ||||||||||
Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/11/28 (b) |
2,048 | 1,878,581 | ||||||||||
American Airlines, Inc. |
||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 3.40%, 01/29/27 |
1,027 | 901,779 | ||||||||||
2017 Incremental Term Loan, (6 mo. LIBOR + 2.00%), 2.84%, 12/15/23 |
1,557 | 1,503,465 | ||||||||||
2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.37%, 06/27/25 |
501 | 443,496 | ||||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.31%, 06/21/27 |
3,455 | 3,406,394 | ||||||||||
United Airlines, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.39%, 04/21/28 |
3,707 | 3,436,014 | ||||||||||
|
|
|||||||||||
13,127,172 | ||||||||||||
Auto Components — 2.8% |
||||||||||||
Adient U.S. LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/10/28 |
817 | 758,214 | ||||||||||
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/30/26 |
3,646 | 3,395,319 | ||||||||||
Truck Hero, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 01/31/28 |
2,032 | 1,813,083 | ||||||||||
USI, Inc. |
||||||||||||
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 5.25%, 05/16/24 |
3,750 | 3,588,208 | ||||||||||
2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 12/02/26 (b) |
214 | 197,881 | ||||||||||
Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 02/05/26 |
2,586 | 2,394,978 | ||||||||||
|
|
|||||||||||
12,147,683 |
Security |
Par (000) |
Value |
||||||||||
Banks — 0.9% |
||||||||||||
Directv Financing LLC, Term Loan, (1 mo. LIBOR + 5.00%, 0.75% Floor), 6.67%, 08/02/27 |
USD | 2,493 | $ | 2,288,434 | ||||||||
LABL, Inc., 2021 USD 1st Lien Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 10/29/28 |
1,613 | 1,486,557 | ||||||||||
|
|
|||||||||||
3,774,991 | ||||||||||||
Beverages — 0.8% |
||||||||||||
Naked Juice LLC |
||||||||||||
2nd Lien Term Loan, (SOFR + 6.00%), 8.15%, 01/24/30 (b) |
1,179 | 1,061,038 | ||||||||||
Term Loan, (SOFR + 3.25%), 5.40%, 01/24/29 |
2,541 | 2,360,246 | ||||||||||
|
|
|||||||||||
3,421,284 | ||||||||||||
Building Materials — 0.1% |
||||||||||||
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%,), 4.57%, 04/12/28 |
438 | 361,393 | ||||||||||
|
|
|||||||||||
Building Products — 2.0% |
||||||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 11/23/27 |
1,473 | 1,289,633 | ||||||||||
CPG International LLC, 2022 Term Loan B, (SOFR + 2.50%), 4.09%, 04/28/29 (b) |
800 | 740,000 | ||||||||||
Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 07/28/28 |
823 | 779,445 | ||||||||||
LSF10 XL Bidco SCA, 2021 EUR Term Loan, (EURIBOR + 3.67%), 3.68%, 04/12/28 |
EUR | 854 | 762,891 | |||||||||
New AMI I LLC, 2022 Term Loan B, (SOFR + 6.00%), 7.52%, 03/08/29 |
USD | 850 | 772,825 | |||||||||
Standard Industries, Inc., 2021 Term Loan B, (6 mo. LIBOR + 2.50%), 3.79%, 09/22/28 |
1,624 | 1,565,717 | ||||||||||
Wilsonart LLC, 2021 Term Loan E, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.51%, 12/31/26 |
3,188 | 2,815,425 | ||||||||||
|
|
|||||||||||
8,725,936 | ||||||||||||
Capital Markets — 3.4% |
||||||||||||
AqGen Ascensus, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%), 7.50%, 08/02/29 (b) |
2,699 | 2,509,588 | ||||||||||
Deerfield Dakota Holding LLC |
||||||||||||
2020 USD Term Loan B, (SOFR + 3.75%, 1.00% Floor), 5.28%, 04/09/27 |
6,210 | 5,798,802 | ||||||||||
2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 8.42%, 04/07/28 |
1,806 | 1,751,820 | ||||||||||
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.31%, 11/12/27 |
1,522 | 1,430,923 | ||||||||||
FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 06/27/25 |
820 | 778,938 | ||||||||||
Focus Financial Partners LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.17%, 06/30/28 |
1,477 | 1,412,445 | ||||||||||
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/12/24 |
1,170 | 1,147,338 | ||||||||||
|
|
|||||||||||
14,829,854 | ||||||||||||
Chemicals — 5.4% |
||||||||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 7.00%, 08/27/26 |
2,527 | 2,457,627 |
44 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Chemicals (continued) |
||||||||||||
Atotech BV, 2021 USD Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 03/18/28 |
USD | 3,462 | $ | 3,300,457 | ||||||||
Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 4.00%, 06/01/24 |
698 | 680,019 | ||||||||||
CPC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 12/29/27 |
732 | 637,218 | ||||||||||
Element Materials Technology Group U.S. Holdings, Inc., 2017 USD Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.09%, 06/28/24 |
1,145 | 1,101,156 | ||||||||||
Element Solutions, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.67%, 01/31/26 |
1,993 | 1,963,283 | ||||||||||
Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 06/30/27 |
1,399 | 1,289,859 | ||||||||||
Lonza Group AG, USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 6.25%, 07/03/28 |
1,079 | 960,633 | ||||||||||
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 4.75%, 03/02/26 |
2,438 | 2,322,304 | ||||||||||
Minerals Technologies, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.87%, 02/14/24 |
431 | 429,240 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/15/24 |
1,506 | 1,452,067 | ||||||||||
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (1 mo. LIBOR + 3.25%), 4.38%, 10/14/24 |
1,729 | 1,595,977 | ||||||||||
PQ Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 3.74%, 06/09/28 |
1,739 | 1,658,037 | ||||||||||
Pregis TopCo Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 07/31/26 |
705 | 663,036 | ||||||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (6 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 03/16/27 |
1,060 | 943,718 | ||||||||||
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.62%, 08/02/28 (b) |
1,653 | 1,574,350 | ||||||||||
Starfruit Finco BV, 2018 USD Term Loan B, (3 mo. LIBOR + 3.00%), 5.25%, 10/01/25 |
160 | 151,094 | ||||||||||
WR Grace Holdings LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 6.06%, 09/22/28 |
538 | 509,496 | ||||||||||
|
|
|||||||||||
23,689,571 | ||||||||||||
Commercial Services & Supplies — 6.3% |
||||||||||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 05/12/28 |
2,636 | 2,410,709 | ||||||||||
Amentum Government Services Holdings LLC, 2022 Term Loan, (SOFR + 4.00%), 5.30%, 02/15/29 |
791 | 750,960 | ||||||||||
Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.42%, 03/11/25 |
155 | 148,191 | ||||||||||
Asurion LLC |
||||||||||||
2018 Term Loan B6, (1 mo. LIBOR + 3.12%), 4.79%, 11/03/23 |
1,932 | 1,852,399 | ||||||||||
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 4.67%, 11/03/24 |
1,133 | 1,059,734 | ||||||||||
2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 4.92%, 12/23/26 |
790 | 714,060 | ||||||||||
2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 6.92%, 01/31/28 |
1,117 | 949,227 | ||||||||||
2021 2nd Lien Term Loan B4, (1 mo. LIBOR + 5.25%), 6.92%, 01/20/29 |
1,596 | 1,348,620 |
Security |
Par (000) |
Value |
||||||||||
Commercial Services & Supplies (continued) |
||||||||||||
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 10/08/28 |
USD | 700 | $ | 693,475 | ||||||||
Covanta Holding Corp. |
||||||||||||
2021 Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 11/30/28 |
1,140 | 1,075,366 | ||||||||||
2021 Term Loan C, (1 mo. LIBOR + 2.50%), 4.17%, 11/30/28 |
86 | 80,754 | ||||||||||
Creative Artists Agency LLC, 2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.88%, 11/27/26 |
1,960 | 1,854,424 | ||||||||||
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 12/12/25 |
2,551 | 2,429,078 | ||||||||||
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.00%, 05/09/25 |
518 | 479,747 | ||||||||||
Packers Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.44%, 03/09/28 |
1,680 | 1,533,962 | ||||||||||
Prime Security Services Borrower LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.75% Floor), 3.65%, 09/23/26 |
1,938 | 1,804,762 | ||||||||||
Tempo Acquisition LLC, 2022 Term Loan B, (SOFR + 3.00%), 4.53%, 08/31/28 |
4,828 | 4,568,385 | ||||||||||
Vericast Corp., 2021 Term Loan, (3 mo. LIBOR + 7.75%, 1.00% Floor), 10.00%, 06/16/26 |
333 | 257,414 | ||||||||||
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 5.67%, 08/27/25 |
3,132 | 2,991,519 | ||||||||||
Viad Corp., Initial Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 07/30/28 |
786 | 734,966 | ||||||||||
|
|
|||||||||||
27,737,752 | ||||||||||||
Communications Equipment — 0.5% |
||||||||||||
ViaSat, Inc., Term Loan, (SOFR + 4.50%), 6.14%, 03/02/29 |
2,528 | 2,347,586 | ||||||||||
|
|
|||||||||||
Construction & Engineering — 2.0% |
||||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.40%, 06/21/24 |
4,024 | 3,467,302 | ||||||||||
Pike Corp., 2021 Incremental Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 01/21/28 |
1,045 | 991,153 | ||||||||||
SRS Distribution, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.02%, 06/02/28 |
2,786 | 2,564,207 | ||||||||||
USIC Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 05/12/28 |
1,760 | 1,633,518 | ||||||||||
|
|
|||||||||||
8,656,180 | ||||||||||||
Construction Materials — 1.6% |
||||||||||||
Core & Main LP, 2021 Term Loan B, (1 mo. LIBOR + 2.50%), 4.12%, 07/27/28 |
4,120 | 3,915,395 | ||||||||||
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 03/29/25 |
2,391 | 2,259,611 | ||||||||||
Tamko Building Products LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 4.33%, 06/01/26 |
868 | 811,057 | ||||||||||
|
|
|||||||||||
6,986,063 | ||||||||||||
Containers & Packaging — 1.6% |
||||||||||||
BWAY Holding Co., 2017 Term Loan B, (1 Week LIBOR + 3.25%), 4.31%, 04/03/24 |
2,379 | 2,239,197 | ||||||||||
Charter Next Generation, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/01/27 |
2,299 | 2,159,475 | ||||||||||
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 07/31/26 |
619 | 583,576 |
S C H E D U L E O F I N V E S T M E N T S |
45 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Containers & Packaging (continued) |
||||||||||||
Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 08/18/27 |
USD | 1,183 | $ | 1,048,726 | ||||||||
Trident TPI Holdings, Inc. |
||||||||||||
2021 Delayed Draw Term Loan, (3 mo. LIBOR + 4.00%), 5.60%, 09/15/28 |
90 | 84,254 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%), 6.25%, 09/15/28 |
1,010 | 944,973 | ||||||||||
|
|
|||||||||||
7,060,201 | ||||||||||||
Distributors — 1.0% |
||||||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 01/15/27 |
1,200 | 1,132,622 | ||||||||||
TMK Hawk Parent Corp. (b) |
||||||||||||
2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 10.50%, 1.00% Floor), 11.17%, 05/30/24 |
954 | 887,345 | ||||||||||
2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.11%, 08/28/24 |
3,065 | 2,329,319 | ||||||||||
|
|
|||||||||||
4,349,286 | ||||||||||||
Diversified Consumer Services — 3.3% |
||||||||||||
2U, Inc., Term Loan, (3 mo. LIBOR + 5.75%), 8.00%, 12/30/24 |
1,433 | 1,366,877 | ||||||||||
Ascend Learning LLC |
||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 7.42%, 12/10/29 (b) |
781 | 714,615 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 12/11/28 |
1,934 | 1,781,956 | ||||||||||
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 11/24/28 (b) |
932 | 888,030 | ||||||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 07/11/25 |
2,238 | 2,124,225 | ||||||||||
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (PRIME + 5.75%), 10.50%, 12/22/25 |
1,713 | 1,596,641 | ||||||||||
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (3 mo. LIBOR + 2.25%), 3.66%, 05/15/24 |
1,118 | 1,074,228 | ||||||||||
Okta, Inc., Term Loan, (SOFR + 6.25%), 7.63%, 12/15/26 |
874 | 737,475 | ||||||||||
PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.99%, 10/28/27 |
760 | 715,703 | ||||||||||
Serta Simmons Bedding LLC |
||||||||||||
2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 9.01%, 08/10/23 |
467 | 452,351 | ||||||||||
2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 9.01%, 08/10/23 |
732 | 511,052 | ||||||||||
Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%), 5.54%, 01/15/27 |
1,789 | 1,708,251 | ||||||||||
Voyage Australia Pty. Ltd., USD Term Loan B, (3 mo. LIBOR + 3.50%), 4.56%, 07/20/28 |
743 | 692,746 | ||||||||||
|
|
|||||||||||
14,364,150 | ||||||||||||
Diversified Financial Services — 7.8% |
||||||||||||
Advisor Group, Inc., 2021 Term Loan, (1 mo. LIBOR + 4.50%), 6.17%, 07/31/26 |
1,026 | 974,285 |
Security |
Par (000) |
Value |
||||||||||
Diversified Financial Services (continued) |
||||||||||||
Alchemy Copyrights LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 4.06%, 03/10/28 (b) |
USD | 848 | $ | 816,132 | ||||||||
AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 02/04/28 |
1,740 | 1,650,808 | ||||||||||
AqGen Island Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 5.81%, 08/02/28 (b) |
3,563 | 3,313,592 | ||||||||||
Castlelake Aviation Ltd., Term Loan B, (3 mo. LIBOR + 2.75%), 4.58%, 10/22/26 |
2,335 | 2,228,311 | ||||||||||
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 09/01/28 |
1,604 | 1,527,462 | ||||||||||
Delta TopCo, Inc. |
||||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 9.34%, 12/01/28 (b) |
670 | 569,500 | ||||||||||
2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 5.84%, 12/01/27 |
1,738 | 1,569,290 | ||||||||||
EG America LLC, 2018 USD Term Loan, (3 mo. LIBOR + 4.00%), 6.25%, 02/07/25 |
909 | 851,933 | ||||||||||
Gainwell Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 6.25%, 10/01/27 |
3,279 | 3,094,261 | ||||||||||
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (SOFR + 4.00%), 6.20%, 02/16/28 |
429 | 402,872 | ||||||||||
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 07/03/24 |
1,681 | 1,601,145 | ||||||||||
KKR Apple Bidco LLC |
||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 7.42%, 09/21/29 |
248 | 236,530 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 09/23/28 |
605 | 569,921 | ||||||||||
LBM Acquisition LLC, Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/18/27 |
2,332 | 1,905,845 | ||||||||||
LEB Holdings USA, Inc., Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 11/02/27 |
243 | 238,258 | ||||||||||
Oscar Acquisitionco LLC, Term Loan B, (SOFR + 4.50%), 6.11%, 04/29/29 |
1,108 | 983,350 | ||||||||||
Radiate Holdco LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.92%, 09/25/26 |
2,188 | 2,029,490 | ||||||||||
RVR Dealership Holdings LLC, Term Loan B, (SOFR + 3.75%), 5.17%, 02/08/28 |
735 | 615,969 | ||||||||||
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3 mo. LIBOR + 2.00%), 4.25%, 11/05/28 |
1,340 | 1,271,888 | ||||||||||
SMG U.S. Midco 2, Inc., 2020 Term Loan, (1 mo. LIBOR + 2.50%), 4.17%, 01/23/25 |
421 | 391,154 | ||||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 6.50%, 07/30/25 |
226 | 209,647 | ||||||||||
Veritas U.S., Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.25%, 09/01/25 |
3,726 | 3,040,053 | ||||||||||
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 02/28/27 |
1,474 | 1,383,310 | ||||||||||
White Cap Buyer LLC, Term Loan B, (SOFR + 3.75%), 5.28%, 10/19/27 |
1,235 | 1,134,867 | ||||||||||
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 3.82%, 04/30/28 |
1,617 | 1,504,311 | ||||||||||
|
|
|||||||||||
34,114,184 |
46 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Diversified Telecommunication Services — 2.2% |
||||||||||||
Cablevision Lightpath LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.57%, 11/30/27 |
USD | 569 | $ | 535,529 | ||||||||
Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 5.19%, 10/02/27 |
808 | 711,983 | ||||||||||
Frontier Communications Corp., 2021 DIP Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.06%, 05/01/28 |
1,987 | 1,855,110 | ||||||||||
Iridium Satellite LLC, 2021 Term Loan B2, (1 mo. LIBOR + 2.50%, 0.75% Floor), 4.17%, 11/04/26 |
1,933 | 1,851,068 | ||||||||||
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 03/01/27 |
1,931 | 1,784,431 | ||||||||||
Meridian Adhesives Group, Inc., Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 07/24/28 |
2,028 | 1,913,746 | ||||||||||
Virgin Media SFA Finance Ltd., GBP Term Loan L, 4.19%, 01/15/27 |
GBP | 1,000 | 1,098,808 | |||||||||
|
|
|||||||||||
9,750,675 | ||||||||||||
Electric Utilities — 0.9% |
||||||||||||
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.08%, 12/15/27 |
USD | 1,256 | 1,207,779 | |||||||||
Triton Water Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 5.75%, 03/31/28 |
3,232 | 2,850,146 | ||||||||||
|
|
|||||||||||
4,057,925 | ||||||||||||
Electrical Equipment — 1.3% |
||||||||||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (6 mo. LIBOR + 4.75%, 0.75% Floor), 7.63%, 06/23/28 (b) |
1,536 | 1,440,366 | ||||||||||
AZZ, Inc., Term Loan B, (SOFR + 4.25%), 5.88%, 05/13/29 (b) |
330 | 314,325 | ||||||||||
Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%, 0.75% Floor), 4.17%, 03/31/27 |
2,431 | 2,288,801 | ||||||||||
II-VI, Inc., 2021 Bridge Term Loan B, 07/02/29 (h) |
1,736 | 1,660,050 | ||||||||||
|
|
|||||||||||
5,703,542 | ||||||||||||
Environmental, Maintenance & Security Service — 0.7% |
||||||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 09/07/27 |
1,978 | 1,905,247 | ||||||||||
TruGreen LP, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 11/02/27 |
1,218 | 1,154,879 | ||||||||||
|
|
|||||||||||
3,060,126 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.2% |
||||||||||||
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 05/11/24 |
871 | 854,408 | ||||||||||
|
|
|||||||||||
Food & Staples Retailing — 0.4% |
||||||||||||
U.S. Foods, Inc. |
||||||||||||
2019 Term Loan B, (3 mo. LIBOR + 2.00%), 3.57%, 09/13/26 |
831 | 782,222 | ||||||||||
2021 Term Loan B, (3 mo. LIBOR + 2.75%), 4.32%, 11/22/28 |
1,106 | 1,050,753 | ||||||||||
|
|
|||||||||||
1,832,975 | ||||||||||||
Food Products — 2.4% |
||||||||||||
8th Avenue Food & Provisions, Inc. |
||||||||||||
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/01/25 |
1,195 | 1,002,354 |
Security |
Par (000) |
Value |
||||||||||
Food Products (continued) |
||||||||||||
8th Avenue Food & Provisions, Inc. (continued) |
| |||||||||||
2021 Incremental Term Loan, (1 mo. LIBOR + 4.75%), 6.42%, 10/01/25 |
USD | 1,531 | $ | 1,293,662 | ||||||||
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 10/25/27 |
2,757 | 2,493,411 | ||||||||||
Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 3.92%, 01/29/27 |
3,569 | 3,276,057 | ||||||||||
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 4.92%, 02/05/26 |
403 | 375,589 | ||||||||||
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 06/08/28 |
1,523 | 1,434,388 | ||||||||||
UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 01/20/28 |
687 | 653,298 | ||||||||||
|
|
|||||||||||
10,528,759 | ||||||||||||
Gas Utilities — 0.7% |
||||||||||||
Freeport LNG Investments LLLP, Term Loan B, (3 mo. LIBOR + 3.50%), 4.56%, 12/21/28 |
3,352 | 2,888,097 | ||||||||||
|
|
|||||||||||
Health Care Equipment & Supplies — 1.7% |
||||||||||||
Electron BidCo, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 11/01/28 |
2,202 | 2,057,039 | ||||||||||
Insulet Corp., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/04/28 |
769 | 728,845 | ||||||||||
Medline Borrower LP, USD Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 10/23/28 |
4,369 | 4,045,064 | ||||||||||
Venga Finance SARL, 2021 USD Term Loan B, 12/04/28 (b)(h) |
651 | 605,218 | ||||||||||
|
|
|||||||||||
7,436,166 | ||||||||||||
Health Care Providers & Services — 3.1% |
||||||||||||
CCRR Parent, Inc., Term Loan B, (3 mo. LIBOR + 3.75%), 6.01%, 03/06/28 |
1,629 | 1,540,939 | ||||||||||
CHG Healthcare Services, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.75%, 09/29/28 |
1,028 | 970,135 | ||||||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.25%, 01/08/27 |
1,453 | 1,372,983 | ||||||||||
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/10/25 |
1,430 | 470,482 | ||||||||||
EyeCare Partners LLC |
||||||||||||
2020 Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 02/18/27 |
1,677 | 1,547,205 | ||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 9.00%, 11/15/29 |
581 | 548,934 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 11/15/28 |
538 | 494,536 | ||||||||||
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 6.75%, 03/05/26 |
1,050 | 913,334 | ||||||||||
Orbcomm, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 09/01/28 |
876 | 807,780 | ||||||||||
PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%), 5.17%, 02/14/25 |
52 | 49,107 | ||||||||||
Sotera Health Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 12/11/26 |
2,539 | 2,408,876 |
S C H E D U L E O F I N V E S T M E N T S |
47 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Health Care Providers & Services (continued) |
||||||||||||
Vizient, Inc., 2022 Term Loan B, (SOFR + 2.25%), 3.68%, 04/28/29 |
USD | 338 | $ | 335,043 | ||||||||
WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 12/22/28 |
2,457 | 2,309,087 | ||||||||||
|
|
|||||||||||
13,768,441 | ||||||||||||
Health Care Services — 0.3% |
||||||||||||
Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 4.74%, 07/24/26 |
973 | 908,693 | ||||||||||
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 9.88%, 11/01/29 |
611 | 562,120 | ||||||||||
|
|
|||||||||||
1,470,813 | ||||||||||||
Health Care Technology — 3.1% |
||||||||||||
Athenahealth, Inc., 2022 Term Loan B, (SOFR + 3.50%), 5.01%, 02/15/29 |
2,891 | 2,654,263 | ||||||||||
Change Healthcare Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.17%, 03/01/24 |
1,382 | 1,342,207 | ||||||||||
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 10/10/25 |
957 | 871,787 | ||||||||||
IQVIA, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 3.42%, 03/07/24 |
475 | 465,437 | ||||||||||
Polaris Newco LLC, USD Term Loan B, (1 mo. LIBOR + 4.00%), 5.67%, 06/02/28 |
4,181 | 3,852,108 | ||||||||||
Press Ganey Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.99%, 07/24/26 (b) |
1,698 | 1,608,425 | ||||||||||
Verscend Holding Corp., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 8.67%, 04/02/29 (b) |
3,092 | 2,906,480 | ||||||||||
|
|
|||||||||||
13,700,707 | ||||||||||||
Hotels, Restaurants & Leisure — 6.8% |
||||||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 11/19/26 |
2,443 | 2,327,237 | ||||||||||
Aristocrat Technologies, Inc., 2022 Term Loan B, (SOFR + 2.25%), 4.40%, 05/24/29 |
202 | 194,627 | ||||||||||
Caesars Resort Collection LLC |
||||||||||||
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 12/23/24 |
2,005 | 1,927,256 | ||||||||||
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 5.17%, 07/20/25 |
1,217 | 1,170,749 | ||||||||||
Carnival Corp., (6 mo. LIBOR + 3.00%, 0.75% Floor), 5.88%, 06/30/25 |
718 | 665,453 | ||||||||||
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 3.67%, 03/17/28 |
777 | 731,178 | ||||||||||
ECL Entertainment LLC, Term Loan, (3 mo. LIBOR + 7.50%, 0.75% Floor), 9.75%, 05/01/28 |
575 | 560,454 | ||||||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.25%, 03/08/24 |
3,985 | 2,948,598 | ||||||||||
Fertitta Entertainment LLC, 2022 Term Loan B, (SOFR + 4.00%), 5.53%, 01/27/29 |
4,145 | 3,811,527 | ||||||||||
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 11/30/23 |
1,303 | 1,288,015 | ||||||||||
IRB Holding Corp., 2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 4.42%, 02/05/25 |
1,581 | 1,496,067 | ||||||||||
Penn National Gaming, Inc., 2022 Term Loan B, (SOFR + 2.75%), 4.38%, 05/03/29 |
1,490 | 1,426,013 | ||||||||||
Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 03/13/28 |
1,507 | 1,417,963 |
Security |
Par (000) |
Value |
||||||||||
Hotels, Restaurants & Leisure (continued) |
||||||||||||
Scientific Games International, Inc., 2022 USD Term Loan, (SOFR + 3.00%), 4.36%, 04/14/29 |
USD | 818 | $ | 775,055 | ||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 4.50%, 07/21/26 |
1,116 | 1,058,808 | ||||||||||
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 02/08/27 |
2,060 | 1,933,628 | ||||||||||
Travelport Finance Luxembourg SARL |
||||||||||||
2020 Super Priority Term Loan, (3 mo. LIBOR + 1.50%, 1.00% Floor), 3.75%, 02/28/25 |
1,410 | 1,415,733 | ||||||||||
2021 Consented Term Loan, (3 mo. LIBOR + 5.00%), 7.25%, 05/29/26 |
1,674 | 1,287,741 | ||||||||||
Twin River Worldwide Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.37%, 10/02/28 |
903 | 836,221 | ||||||||||
Whatabrands LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 08/03/28 |
2,274 | 2,125,793 | ||||||||||
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 05/30/25 |
534 | 514,899 | ||||||||||
|
|
|||||||||||
29,913,015 | ||||||||||||
Household Durables — 1.7% |
||||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.25%), 6.97%, 05/17/28 |
1,653 | 1,272,731 | ||||||||||
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 3.42%, 02/04/27 |
1,500 | 1,438,677 | ||||||||||
Snap One Holdings Corp., Term Loan B, (6 mo. LIBOR + 4.50%), 7.38%, 12/08/28 |
1,080 | 979,226 | ||||||||||
Solis IV BV, USD Term Loan B1, (SOFR + 3.50%), 4.84%, 02/26/29 |
2,260 | 1,939,374 | ||||||||||
Springs Windows Fashions LLC, 2021 Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.60%, 10/06/28 |
829 | 678,680 | ||||||||||
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.92%, 10/30/27 |
1,030 | 931,996 | ||||||||||
|
|
|||||||||||
7,240,684 | ||||||||||||
Household Products — 0.1% |
||||||||||||
Spectrum Brands, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 03/03/28 |
536 | 515,434 | ||||||||||
|
|
|||||||||||
Independent Power and Renewable Electricity Producers — 0.6% |
||||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 01/15/25 |
504 | 482,736 | ||||||||||
Calpine Corp. |
||||||||||||
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 3.67%, 08/12/26 |
706 | 668,234 | ||||||||||
Term Loan B9, (1 mo. LIBOR + 2.00%), 3.67%, 04/05/26 |
1,511 | 1,420,700 | ||||||||||
|
|
|||||||||||
2,571,670 | ||||||||||||
Industrial Conglomerates — 2.5% |
||||||||||||
AVSC Holding Corp. (f) |
||||||||||||
2020 Term Loan B1, (0.25% PIK), 5.11%, 03/03/25 |
2,376 | 2,035,994 | ||||||||||
2020 Term Loan B3, (10.00% PIK), 7.50%, 10/15/26 |
1,305 | 1,377,205 | ||||||||||
Diamond BC BV, 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.99%, 09/29/28 |
1,740 | 1,602,791 | ||||||||||
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 8.30%, 11/28/23 |
679 | 672,519 |
48 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Industrial Conglomerates (continued) |
||||||||||||
Stitch Aquisition Corp., Term Loan B, (3 mo. LIBOR + 6.75%), 9.00%, 07/28/28 |
USD | 1,092 | $ | 969,616 | ||||||||
Vertical U.S. Newco, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 4.02%, 07/30/27 |
1,905 | 1,778,336 | ||||||||||
Vertiv Group Corp., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 3.87%, 03/02/27 |
2,942 | 2,728,768 | ||||||||||
|
|
|||||||||||
11,165,229 | ||||||||||||
Insurance — 4.9% |
||||||||||||
Alliant Holdings Intermediate LLC |
||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/09/25 |
2,899 | 2,722,920 | ||||||||||
2021 Term Loan B4, (1 mo. LIBOR + 3.50%), 5.01%, 11/06/27 |
3,807 | 3,531,989 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/09/25 |
1,019 | 961,113 | ||||||||||
AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 02/19/28 |
3,380 | 3,186,740 | ||||||||||
AssuredPartners, Inc. |
||||||||||||
2020 Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 |
1,411 | 1,319,525 | ||||||||||
2021 Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 |
884 | 827,185 | ||||||||||
Hub International Ltd. |
||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 3.00%), 4.21%, 04/25/25 |
2,862 | 2,704,024 | ||||||||||
2021 Term Loan B, (3 mo. LIBOR + 3.25%), 4.35%, 04/25/25 |
2,680 | 2,536,504 | ||||||||||
NFP Corp., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 4.92%, 02/15/27 |
186 | 172,016 | ||||||||||
Ryan Specialty Group LLC, Term Loan, (SOFR + 3.00%, 0.75% Floor), 4.63%, 09/01/27 (b) |
1,147 | 1,101,500 | ||||||||||
Sedgwick Claims Management Services, Inc. |
||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 12/31/25 |
790 | 740,382 | ||||||||||
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 09/03/26 |
1,023 | 970,472 | ||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.92%, 09/03/26 |
824 | 793,244 | ||||||||||
|
|
|||||||||||
21,567,614 | ||||||||||||
Interactive Media & Services — 2.6% |
||||||||||||
Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.25%, 06/26/28 |
2,488 | 2,372,703 | ||||||||||
Arches Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 12/06/27 |
736 | 670,452 | ||||||||||
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.67%, 10/30/26 |
3,350 | 3,151,766 | ||||||||||
Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 3.67%, 08/10/27 |
736 | 705,776 | ||||||||||
Grab Holdings, Inc., Term Loan B, (6 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26 |
5,090 | 4,631,775 | ||||||||||
|
|
|||||||||||
11,532,472 |
Security |
Par (000) |
Value |
||||||||||
Internet & Direct Marketing Retail — 0.5% |
||||||||||||
CNT Holdings I Corp., 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.69%, 11/08/27 |
USD | 1,876 | $ | 1,777,004 | ||||||||
PUG LLC, 2021 Incremental Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 02/12/27 (b) |
369 | 340,596 | ||||||||||
|
|
|||||||||||
2,117,600 | ||||||||||||
Internet Software & Services — 0.4% |
||||||||||||
Uber Technologies, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 5.07%, 02/25/27 |
1,776 | 1,696,181 | ||||||||||
|
|
|||||||||||
IT Services — 7.3% |
||||||||||||
Aruba Investments, Inc. |
||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 9.38%, 11/24/28 |
1,440 | 1,360,800 | ||||||||||
2020 USD Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.63%, 11/24/27 (b) |
769 | 707,748 | ||||||||||
Banff Merger Sub, Inc., 2021 USD Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/02/25 |
2,048 | 1,903,275 | ||||||||||
Camelot Finance SA, Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 10/30/26 |
2,188 | 2,065,572 | ||||||||||
CCC Intelligent Solutions, Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 4.50%, 09/21/28 |
1,691 | 1,601,005 | ||||||||||
CoreLogic, Inc. |
||||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.19%, 06/04/29 (b) |
1,416 | 1,019,160 | ||||||||||
Term Loan, (1 mo. LIBOR + 3.50%), 5.19%, 06/02/28 |
3,391 | 2,810,845 | ||||||||||
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 04/28/28 |
2,054 | 1,972,478 | ||||||||||
Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/01/27 |
5,003 | 4,770,120 | ||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 (b) |
2,542 | 2,287,914 | ||||||||||
Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 10.25%, 10/09/28 |
4,215 | 4,183,387 | ||||||||||
TierPoint LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 05/05/26 (b) |
965 | 900,318 | ||||||||||
Trans Union LLC |
||||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 3.42%, 11/16/26 |
1,865 | 1,755,897 | ||||||||||
2021 Term Loan B6, (1 mo. LIBOR + 2.25%), 3.92%, 12/01/28 |
2,615 | 2,488,280 | ||||||||||
Virtusa Corp., 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 02/11/28 |
1,049 | 987,773 | ||||||||||
WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 3.92%, 03/31/28 |
978 | 937,914 | ||||||||||
ZoomInfo LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 02/02/26 |
218 | 210,235 | ||||||||||
|
|
|||||||||||
31,962,721 | ||||||||||||
Leisure Products — 0.5% |
||||||||||||
Fender Musical Instruments Corp., 2021 Term Loan B, (SOFR + 4.00%), 5.23%, 12/01/28 |
980 | 925,236 |
S C H E D U L E O F I N V E S T M E N T S |
49 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Leisure Products (continued) |
||||||||||||
MND Holdings III Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 06/19/24 |
USD | 985 | $ | 960,695 | ||||||||
Peloton Interactive, Inc., Term Loan, (SOFR + 6.50%), 8.35%, 05/25/27 |
346 | 328,918 | ||||||||||
|
|
|||||||||||
2,214,849 | ||||||||||||
Life Sciences Tools & Services — 3.3% |
||||||||||||
Avantor Funding, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.25%), 3.92%, 11/08/27 |
2,666 | 2,557,075 | ||||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.17%, 02/04/27 |
4,416 | 4,068,016 | ||||||||||
ICON Luxembourg SARL |
||||||||||||
LUX Term Loan, (3 mo. LIBOR + 2.25%), 4.56%, 07/03/28 |
2,776 | 2,678,204 | ||||||||||
US Term Loan, (3 mo. LIBOR + 2.25%), 4.56%, 07/03/28 |
692 | 667,278 | ||||||||||
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (SOFR + 3.00%), 3.85%, 10/19/27 (b) |
1,498 | 1,419,854 | ||||||||||
Parexel International Corp., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.88%, 11/15/28 |
3,425 | 3,209,551 | ||||||||||
|
|
|||||||||||
14,599,978 | ||||||||||||
Machinery — 3.3% |
||||||||||||
Albion Acquisitions Ltd., USD Term Loan, (3 mo. LIBOR + 5.25%), 6.43%, 08/17/26 |
1,845 | 1,761,727 | ||||||||||
ASP Blade Holdings, Inc., Initial Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 10/13/28 |
402 | 350,730 | ||||||||||
Clark Equipment Co., 2022 Term Loan B, (SOFR + 2.50%), 4.65%, 04/20/29 |
304 | 292,448 | ||||||||||
Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 5.06%, 05/14/28 |
405 | 385,801 | ||||||||||
Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 10/21/28 |
1,179 | 1,099,502 | ||||||||||
Fluidra SA, 2022 USD Term Loan B, (SOFR + 2.00%), 3.63%, 01/29/29 |
310 | 300,481 | ||||||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 3.38%, 03/01/27 |
2,236 | 2,134,943 | ||||||||||
Madison IAQ LLC, Term Loan, (6 mo. LIBOR + 3.25%), 4.52%, 06/21/28 |
3,729 | 3,387,554 | ||||||||||
SPX Flow, Inc., (SOFR + 4.50%), 6.13%, 04/05/29 |
1,381 | 1,283,980 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 5.88%, 03/28/25 |
3,895 | 3,562,829 | ||||||||||
Zurn LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 10/04/28 |
126 | 123,462 | ||||||||||
|
|
|||||||||||
14,683,457 | ||||||||||||
Media — 13.4% |
||||||||||||
Altice Financing SA |
||||||||||||
2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 3.79%, 07/15/25 |
1,090 | 982,056 | ||||||||||
USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 3.79%, 01/31/26 |
1,563 | 1,408,843 | ||||||||||
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 5.41%, 08/14/26 |
3,483 | 3,174,760 | ||||||||||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.00%), 4.20%, 04/22/26 |
1,515 | 1,272,243 |
Security |
Par (000) |
Value |
||||||||||
Media (continued) |
||||||||||||
Cable One, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 3.67%, 05/03/28 |
USD | 1,035 | $ | 994,118 | ||||||||
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 3.42%, 04/30/25 |
2,619 | 2,545,690 | ||||||||||
City Football Group Ltd., Term Loan, (3 mo. LIBOR + 3.50%), 4.60%, 07/21/28 (b) |
1,595 | 1,459,427 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 4.74%, 08/21/26 |
3,846 | 3,293,509 | ||||||||||
CMG Media Corp., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 12/17/26 |
— | (i) |
288 | |||||||||
Connect Finco SARL, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 12/12/26 |
6,692 | 6,139,770 | ||||||||||
CSC Holdings LLC |
||||||||||||
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 3.57%, 07/17/25 |
2,136 | 1,981,845 | ||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 3.82%, 04/15/27 |
1,795 | 1,664,114 | ||||||||||
E.W. Scripps Co., 2020 Term Loan B3, (1 mo. LIBOR + 2.75%, 0.75% Floor), 4.42%, 01/07/28 |
859 | 811,613 | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.92%, 12/01/23 (b) |
877 | 767,148 | ||||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 03/24/25 |
1,326 | 1,278,342 | ||||||||||
Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.35%, 10/17/26 |
2,544 | 2,372,048 | ||||||||||
MH Sub I LLC |
||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.42%, 09/13/24 |
3,488 | 3,277,024 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.42%, 09/13/24 |
2,910 | 2,734,867 | ||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 7.92%, 02/23/29 |
951 | 892,471 | ||||||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.17%, 09/18/26 |
874 | 859,630 | ||||||||||
Sinclair Television Group, Inc., 2022 Term Loan B4, (SOFR + 3.75%), 5.38%, 04/21/29 (b) |
1,822 | 1,676,240 | ||||||||||
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.63%, 09/28/23 (b) |
4,102 | 3,927,411 | ||||||||||
Trader Interactive LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 07/28/28 (b) |
564 | 538,639 | ||||||||||
UPC Financing Partnership, 2021 USD Term Loan AX, (1 mo. LIBOR + 3.00%), 4.32%, 01/31/29 |
768 | 728,039 | ||||||||||
Virgin Media Bristol LLC |
||||||||||||
2020 USD Term Loan Q, (1 mo. LIBOR + 3.25%), 4.57%, 01/31/29 |
2,365 | 2,260,680 | ||||||||||
USD Term Loan N, (1 mo. LIBOR + 2.50%), 3.82%, 01/31/28 |
988 | 923,428 | ||||||||||
Voyage Digital Ltd., (SOFR + 4.50%), 5.28%, 05/11/29 (b) |
1,018 | 967,100 | ||||||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 05/18/25 |
3,276 | 3,075,188 |
50 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Media (continued) |
||||||||||||
WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.12%), 3.79%, 01/20/28 |
USD | 2,123 | $ | 2,033,523 | ||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 03/09/27 |
5,045 | 4,636,870 | ||||||||||
|
|
|||||||||||
58,676,924 | ||||||||||||
Oil, Gas & Consumable Fuels — 2.0% |
||||||||||||
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 12/13/25 |
939 | 793,600 | ||||||||||
Lealand Finance Co. BV |
||||||||||||
2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 06/28/24 |
40 | 24,146 | ||||||||||
2020 Take Back Term Loan, (3.00% PIK), 2.83%, 06/30/25 (f) |
296 | 148,276 | ||||||||||
Lucid Energy Group II Borrower LLC, 2021 Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.87%, 11/24/28 |
2,408 | 2,372,713 | ||||||||||
Medallion Midland Acquisition LLC, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 10/18/28 |
1,934 | 1,850,740 | ||||||||||
Murphy USA, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 2.82%, 01/31/28 |
642 | 638,764 | ||||||||||
Oryx Midstream Services Permian Basin LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 4.71%, 10/05/28 |
3,139 | 2,979,771 | ||||||||||
|
|
|||||||||||
8,808,010 | ||||||||||||
Personal Products — 1.4% |
||||||||||||
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (SOFR + 6.00%, 1.00% Floor), 7.65%, 12/22/26 |
409 | 400,255 | ||||||||||
Prestige Brands, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.00%), 5.42%, 07/03/28 |
224 | 221,776 | ||||||||||
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.00%, 10/01/26 |
6,090 | 5,622,780 | ||||||||||
|
|
|||||||||||
6,244,811 | ||||||||||||
Pharmaceuticals — 3.0% |
||||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.50%, 05/04/25 |
1,220 | 1,101,128 | ||||||||||
Bausch Health Cos., Inc., 2022 Term Loan B, (SOFR + 5.25%), 6.55%, 02/01/27 |
2,180 | 1,863,482 | ||||||||||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%), 3.63%, 02/22/28 |
1,599 | 1,572,135 | ||||||||||
Elanco Animal Health, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 2.81%, 08/01/27 |
1,525 | 1,437,631 | ||||||||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 11/15/27 |
1,592 | 1,500,944 | ||||||||||
Jazz Financing Lux SARL, USD Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 05/05/28 |
2,438 | 2,320,839 | ||||||||||
Option Care Health, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 10/27/28 |
704 | 671,210 | ||||||||||
Organon & Co., USD Term Loan, (3 mo. LIBOR + 3.00%), 4.63%, 06/02/28 |
1,542 | 1,481,343 | ||||||||||
Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.25%, 11/18/27 (b) |
1,382 | 1,274,805 | ||||||||||
|
|
|||||||||||
13,223,517 | ||||||||||||
Professional Services — 1.5% |
||||||||||||
Dun & Bradstreet Corp. |
||||||||||||
2022 Incremental Term Loan B2, (SOFR + 3.25%), 4.75%, 01/18/29 |
715 | 666,037 |
Security |
Par (000) |
Value |
||||||||||
Professional Services (continued) |
||||||||||||
Dun & Bradstreet Corp. (continued) |
||||||||||||
Term Loan, (1 mo. LIBOR + 3.25%), 4.87%, 02/06/26 |
USD | 2,410 | $ | 2,269,501 | ||||||||
Element Materials Technology Group U.S. Holdings, Inc. (h) |
||||||||||||
2022 USD Delayed Draw Term Loan B, 04/12/29 |
608 | 582,260 | ||||||||||
2022 USD Delayed Draw Term Loan D, 04/12/29 |
1,318 | 1,261,565 | ||||||||||
Galaxy U.S. Opco, Inc., Term Loan, (SOFR + 4.75%), 6.28%, 04/29/29 |
2,016 | 1,887,480 | ||||||||||
|
|
|||||||||||
6,666,843 | ||||||||||||
Real Estate Management & Development — 1.0% |
||||||||||||
Chamberlain Group, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 11/03/28 |
2,470 | 2,224,681 | ||||||||||
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 08/21/25 |
2,365 | 2,221,410 | ||||||||||
|
|
|||||||||||
4,446,091 | ||||||||||||
Road & Rail — 0.4% |
||||||||||||
Avis Budget Car Rental LLC, 2020 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 08/06/27 |
662 | 625,477 | ||||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.50%), 7.09%, 08/04/25 (b) |
1,193 | 1,061,520 | ||||||||||
|
|
|||||||||||
1,686,997 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% |
||||||||||||
Synaptics, Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 4.36%, 12/02/28 |
629 | 610,928 | ||||||||||
|
|
|||||||||||
Software — 14.4% |
||||||||||||
Applied Systems, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 5.25%, 09/19/24 |
734 | 702,358 | ||||||||||
Barracuda Networks, Inc. |
||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 5.98%, 02/12/25 |
2,074 | 2,051,265 | ||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.99%, 10/30/28 |
655 | 653,841 | ||||||||||
2022 Term Loan, 05/17/29 (h) |
766 | 732,488 | ||||||||||
Central Parent, Inc., 2022 USD Term Loan B, 07/06/29 (h) |
|
733 | 690,948 | |||||||||
Cloudera, Inc. |
||||||||||||
2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.67%, 10/08/29 (b) |
975 | 848,250 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/08/28 |
2,993 | 2,746,534 | ||||||||||
ConnectWise LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 5.75%, 09/29/28 |
1,018 | 929,665 | ||||||||||
Cornerstone OnDemand, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/16/28 |
1,202 | 1,071,776 | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/28/24 (b) |
1,034 | 891,734 | ||||||||||
E2open LLC, 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.83%, 02/04/28 |
286 | 269,281 | ||||||||||
Epicor Software Corp., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.42%, 07/31/28 |
2,141 | 2,072,488 | ||||||||||
Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 3.75%), 5.95%, 03/11/28 |
2,134 | 1,956,485 | ||||||||||
Informatica LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 4.44%, 10/27/28 |
5,147 | 4,873,308 | ||||||||||
Instructure Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.27%, 10/30/28 (b) |
733 | 694,671 |
S C H E D U L E O F I N V E S T M E N T S |
51 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Software (continued) |
||||||||||||
IPS Corp. |
||||||||||||
2021 2nd Lien Term Loan B, (1 mo. LIBOR + 7.00%), 8.67%, 10/01/29 |
USD | 1,046 | $ | 968,858 | ||||||||
2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 10/02/28 |
588 | 538,719 | ||||||||||
Magenta Buyer LLC |
||||||||||||
2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 0.75% Floor), 6.23%, 07/27/28 |
2,432 | 2,179,677 | ||||||||||
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 0.75% Floor), 9.48%, 07/27/29 |
2,204 | 2,005,372 | ||||||||||
McAfee LLC, 2022 USD Term Loan B, (SOFR + 4.00%), 5.15%, 03/01/29 |
3,493 | 3,169,898 | ||||||||||
Netsmart Technologies, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 10/01/27 |
1,566 | 1,488,033 | ||||||||||
Planview Parent, Inc. |
||||||||||||
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 8.92%, 12/18/28 (b) |
930 | 883,500 | ||||||||||
Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/17/27 |
2,138 | 2,009,583 | ||||||||||
Proofpoint, Inc. |
||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 4.82%, 08/31/28 |
2,817 | 2,611,682 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 7.82%, 08/31/29 |
1,451 | 1,385,705 | ||||||||||
RealPage, Inc. |
||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 04/24/28 |
6,256 | 5,768,329 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.75% Floor), 8.17%, 04/23/29 |
2,965 | 2,811,943 | ||||||||||
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.92%, 05/30/25 |
677 | 639,272 | ||||||||||
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.62%, 08/01/25 |
2,783 | 2,666,397 | ||||||||||
Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 10/07/27 |
4,230 | 3,936,831 | ||||||||||
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.25%, 03/03/28 |
861 | 842,494 | ||||||||||
Ultimate Software Group, Inc. |
||||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.25%), 6.21%, 05/03/27 |
1,402 | 1,289,873 | ||||||||||
2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.21%, 05/04/26 |
4,349 | 4,063,914 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 05/04/26 |
2,877 | 2,712,046 | ||||||||||
|
|
|||||||||||
63,157,218 | ||||||||||||
Specialty Retail — 4.7% |
||||||||||||
Belron Finance U.S. LLC |
||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 3.69%, 11/13/25 |
437 | 421,845 | ||||||||||
2019 USD Term Loan B3, (3 mo. LIBOR + 2.25%), 3.50%, 10/30/26 (b) |
871 | 831,495 | ||||||||||
2021 USD Term Loan B, (3 mo. LIBOR + 2.50%), 3.88%, 04/13/28 |
3,013 | 2,889,589 |
Security |
Par (000) |
Value |
||||||||||
Specialty Retail (continued) |
||||||||||||
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (SONIA + 4.25%), 5.19%, 06/23/25 |
GBP | 1,000 | $ | 1,109,265 | ||||||||
EG Group Ltd., 2021 Term Loan, 6.50%, 03/31/26 |
USD | 569 | 537,469 | |||||||||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 11/24/28 |
684 | 644,910 | ||||||||||
Mavis Tire Express Services Corp., 2021 Term Loan B, (SOFR + 4.00%), 5.63%, 05/04/28 |
3,011 | 2,777,353 | ||||||||||
MED ParentCo LP, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 5.92%, 08/31/26 |
1,710 | 1,539,828 | ||||||||||
PetSmart, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/11/28 |
5,290 | 4,964,502 | ||||||||||
Research Now Group, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24 |
986 | 906,315 | ||||||||||
Restoration Hardware, Inc., 2022 Incremental Term Loan, (SOFR + 3.25%), 4.88%, 10/20/28 |
868 | 772,520 | ||||||||||
Reverb Buyer, Inc. |
||||||||||||
2021 Delayed Draw Term Loan, (3 mo. LIBOR + 3.50%), 3.50%, 11/01/28 |
65 | 60,417 | ||||||||||
2021 First Lien Term Loan, (3 mo. LIBOR + 3.50%), 6.38%, 11/01/28 |
2,459 | 2,301,076 | ||||||||||
WOOF Holding, Inc. (b) |
||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.81%, 12/21/27 |
548 | 511,068 | ||||||||||
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 9.31%, 12/21/28 |
560 | 537,600 | ||||||||||
|
|
|||||||||||
20,805,252 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.2% |
||||||||||||
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 07/23/26 |
1,018 | 904,186 | ||||||||||
|
|
|||||||||||
Textiles, Apparel & Luxury Goods — 0.4% |
||||||||||||
Crocs, Inc., Term Loan B, (SOFR + 3.50%), 4.45%, 02/17/29 |
1,900 | 1,725,663 | ||||||||||
|
|
|||||||||||
Trading Companies & Distributors — 0.9% |
||||||||||||
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 05/19/28 |
1,382 | 1,315,886 | ||||||||||
Foundation Building Materials Holding Co. LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.49%, 01/31/28 (b) |
1,221 | 1,062,428 | ||||||||||
ION Trading Finance Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%), 7.00%, 04/03/28 |
677 | 622,567 | ||||||||||
SRS Distribution, Inc., 2022 Incremental Term Loan, (SOFR + 3.50%), 4.00%, 06/02/28 |
995 | 913,860 | ||||||||||
|
|
|||||||||||
3,914,741 | ||||||||||||
Wireless Telecommunication Services — 1.1% |
||||||||||||
GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR), 4.99%, 04/30/28 |
1,099 | 1,037,592 |
52 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Wireless Telecommunication Services (continued) |
||||||||||||
MetroNet Systems Holdings LLC, 2021 1st Lien Term Loan, (SOFR + 3.75%), 5.05%, 06/02/28 |
USD | 709 | $ | 654,342 | ||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 04/11/25 |
3,360 | 3,231,830 | ||||||||||
|
|
|||||||||||
4,923,764 | ||||||||||||
|
|
|||||||||||
Total Floating Rate Loan Interests — 143.0% (Cost: $671,960,920) |
|
628,063,815 | ||||||||||
|
|
|||||||||||
Shares |
||||||||||||
Investment Companies |
||||||||||||
Fixed Income Funds — 0.3% |
||||||||||||
Invesco Senior Loan ETF |
64,300 | 1,303,361 | ||||||||||
|
|
|||||||||||
Total Investment Companies — 0.3% (Cost: $1,406,588) |
|
1,303,361 | ||||||||||
|
|
|||||||||||
Benefical Interest (000) |
||||||||||||
Other Interests (j) |
||||||||||||
IT Services (a)(b) — 0.0% |
||||||||||||
Millennium Corp. |
USD | 1,607 | — | |||||||||
Millennium Lender Claim Trust |
1,508 | — | ||||||||||
|
|
|||||||||||
Total Other Interests — 0.0% (Cost: $ — ) |
— | |||||||||||
|
|
Security |
Shares |
Value |
||||||
Warrants |
||||||||
Oil, Gas & Consumable Fuels — 0.0% |
||||||||
California Resources Corp. (a) |
999 | $ | 10,260 | |||||
|
|
|||||||
Total Warrants — 0.0% (Cost: $ — ) |
10,260 | |||||||
|
|
|||||||
Total Investments — 145.7% (Cost: $690,282,690) |
|
639,804,413 | ||||||
Liabilities in Excess of Other Assets — (45.7)% |
|
(200,697,356 | ) | |||||
|
|
|||||||
Net Assets — 100.0% |
|
$ | 439,107,057 | |||||
|
|
(a) |
Non-income producing security. |
(b) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(c) |
Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,012, representing less than 0.05% of its net assets as of period end, and an original cost of $214,007. |
(d) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(e) |
Issuer filed for bankruptcy and/or is in default. |
(f) |
Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(g) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(h) |
Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(i) |
Rounds to less than 1,000. |
(j) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
Affiliated Issuer |
Value at 12/31/21 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 06/30/22 |
Shares Held at 06/30/22 |
Income |
Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class (a) |
$ | — | $ | 3,291,520 | $ | (3,291,520 | ) | $ | — | $ | — | $ | — | — | $ | 463 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
As of period end, the entity is no longer held. |
S C H E D U L E O F I N V E S T M E N T S |
53 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
USD |
822,520 | EUR | 766,000 | Toronto-Dominion Bank | 09/21/22 | $ | 15,323 | |||||||||||||||||||||
USD |
2,397,837 | GBP | 1,912,000 | Natwest Markets PLC | 09/21/22 | 66,877 | ||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
82,200 | ||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
EUR |
872,000 | USD | 925,414 | Bank of Montreal | 09/21/22 | (6,515 | ) | |||||||||||||||||||||
EUR |
50,944 | USD | 54,329 | Standard Chartered Bank | 09/21/22 | (645 | ) | |||||||||||||||||||||
GBP |
66,750 | USD | 81,927 | Bank of Montreal | 09/21/22 | (551 | ) | |||||||||||||||||||||
GBP |
72,503 | USD | 89,293 | Standard Chartered Bank | 09/21/22 | (903 | ) | |||||||||||||||||||||
USD |
917,455 | EUR | 874,000 | Standard Chartered Bank | 09/21/22 | (3,551 | ) | |||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
(12,165 | ) | |||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
$ | 70,035 | |||||||||||||||||||||||||||
|
|
Reference Obligation/Index |
Financing Rate Received by the Fund |
Payment Frequency |
Termination Date |
Credit Rating (a) |
Notional Amount (000) |
(b) |
Value |
Upfront Premium Paid (Received |
) |
Unrealized Appreciation (Depreciation |
) | |||||||||||||||||||
CDX.NA.HY.37.V2 |
5.00 | % | Quarterly | 12/20/26 | B+ | USD | 5,544 | $ | (69,312 | ) | $ | 372,482 | $ | (441,794 | ) | |||||||||||||||
|
|
|
|
|
|
(a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) |
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Description |
Swap Premiums Paid |
Swap Premiums Received |
Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||
Centrally Cleared Swaps (a) |
$ | 372,482 | $ | — | $ | — | $ | (441,794 | ) |
(a) |
Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total |
||||||||||||||||||||||
Assets — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | 82,200 | $ | — | $ | — | $ | 82,200 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | 12,165 | $ | — | $ | — | $ | 12,165 | ||||||||||||||
Swaps — centrally cleared |
||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps (a) |
— | 441,794 | — | — | — | — | 441,794 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | 441,794 | $ | — | $ | 12,165 | $ | — | $ | — | $ | 453,959 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
54 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total |
||||||||||||||||||||||
Net Realized Gain (Loss) from: |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | 240,641 | $ | — | $ | — | $ | 240,641 | ||||||||||||||
Swaps |
— | 81,308 | — | — | — | — | 81,308 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | 81,308 | $ | — | $ | 240,641 | $ | — | $ | — | $ | 321,949 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | 144,484 | $ | — | $ | — | $ | 144,484 | ||||||||||||||
Swaps |
— | (551,776 | ) | — | — | — | — | (551,776 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | (551,776 | ) | $ | — | $ | 144,484 | $ | — | $ | — | $ | (407,292 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward foreign currency exchange contracts: |
||||
Average amounts purchased — in USD |
$ | 4,328,165 | ||
Average amounts sold — in USD |
$ | 575,481 | ||
Credit default swaps: |
||||
Average notional value — sell protection |
$ | 5,572,000 |
Assets |
Liabilities |
|||||||
Derivative Financial Instruments |
||||||||
Forward foreign currency exchange contracts |
$ | 82,200 | $ | 12,165 | ||||
Swaps — centrally cleared |
— | 4,469 | ||||||
|
|
|
|
|||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities |
82,200 | 16,634 | ||||||
|
|
|
|
|||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
— | (4,469 | ) | |||||
|
|
|
|
|||||
Total derivative assets and liabilities subject to an MNA |
$ | 82,200 | $ | 12,165 | ||||
|
|
|
|
Counterparty |
Derivative Assets Subject to an MNA by Counterparty |
Derivatives Available for Offset |
Non-Cash Collateral Received |
Cash Collateral Received |
Net Amount of Derivative Assets |
(a)(b) | ||||||||||||||
Natwest Markets PLC |
$ | 66,877 | $ | — | $ | — | $ | — | $ | 66,877 | ||||||||||
Toronto-Dominion Bank |
15,323 | — | — | — | 15,323 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 82,200 | $ | — | $ | — | $ | — | $ | 82,200 | |||||||||||
|
|
|
|
|
|
|
|
|
|
S C H E D U L E O F I N V E S T M E N T S |
55 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Counterparty |
Derivative Liabilities Subject to an MNA by Counterparty |
Derivatives Available for Offset |
Non-Cash Collateral Pledged |
Cash Collateral Pledged |
Net Amount of Derivative Liabilities |
(a)(c) | ||||||||||||||
Bank of Montreal |
$ | 7,066 | $ | — | $ | — | $ | — | $ | 7,066 | ||||||||||
Standard Chartered Bank |
5,099 | — | — | — | 5,099 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 12,165 | $ | — | $ | — | $ | — | $ | 12,165 | |||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(b) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) |
Net amount represents the net amount payable due to counterparty in the event of default. |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Common Stocks |
||||||||||||||||
Construction & Engineering |
$ |
70,642 |
$ |
— |
$ |
— |
$ |
70,642 |
||||||||
Diversified Financial Services |
— |
— |
3,098 |
3,098 |
||||||||||||
Metals & Mining |
— |
— |
1,012 |
1,012 |
||||||||||||
Semiconductors & Semiconductor Equipment |
32,490 |
— |
— |
32,490 |
||||||||||||
Software |
148 |
— |
— |
148 |
||||||||||||
Specialty Retail |
— |
628,662 |
— |
628,662 |
||||||||||||
Corporate Bonds |
— |
9,690,925 |
— |
9,690,925 |
||||||||||||
Floating Rate Loan Interests |
— |
577,998,904 |
50,064,911 |
628,063,815 |
||||||||||||
Investment Companies |
1,303,361 |
— |
— |
1,303,361 |
||||||||||||
Other Interests |
— |
— |
— |
— |
||||||||||||
Warrants |
10,260 |
— |
— |
10,260 |
||||||||||||
Liabilities |
||||||||||||||||
Unfunded Floating Rate Loan Interests (a) |
— |
(81,823 |
) |
(6,188 |
) |
(88,011 |
) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
1,416,901 |
$ |
588,236,668 |
$ |
50,062,833 |
$ |
639,716,402 |
|||||||||
|
|
|
|
|
|
|
|
|||||||||
Derivative Financial Instruments (b) |
||||||||||||||||
Assets |
||||||||||||||||
Foreign Currency Exchange Contracts |
$ |
— |
$ |
82,200 |
$ |
— |
$ |
82,200 |
||||||||
Liabilities |
||||||||||||||||
Credit Contracts |
— |
(441,794 |
) |
— |
(441,794 |
) | ||||||||||
Foreign Currency Exchange Contracts |
— |
(12,165 |
) |
— |
(12,165 |
) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
— |
$ |
(371,759 |
) |
$ |
— |
$ |
(371,759 |
) | |||||||
|
|
|
|
|
|
|
|
(a) |
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) |
Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
56 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
|
||||||||||||||||||||||||
Common Stocks |
Corporate Bonds |
Floating Rate Loan Interests |
Other Interests |
Unfunded Floating Rate Loan Interests |
Total |
|||||||||||||||||||
|
||||||||||||||||||||||||
Assets |
||||||||||||||||||||||||
Opening balance, as of December 31, 2021 |
$ | 3,891 | $ | — | (a) |
$ | 27,319,074 | $ | — | (a) |
$ | (589 | ) | $ | 27,322,376 | |||||||||
Transfers into Level 3 (b) |
— | — | 35,095,500 | — | (1,674 | ) | 35,093,826 | |||||||||||||||||
Transfers out of Level 3 (c) |
— | — | (8,846,041 | ) | — | 590 | (8,845,451 | ) | ||||||||||||||||
Accrued discounts/premiums |
— | — | 197,842 | — | — | 197,842 | ||||||||||||||||||
Net realized gain (loss) |
— | 41,658 | — | — | 41,658 | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) (d)(e) |
219 | — | (4,180,297 | ) | — | (4,515 | ) | (4,184,593 | ) | |||||||||||||||
Purchases |
— | — | 7,850,180 | — | — | 7,850,180 | ||||||||||||||||||
Sales |
— | — | (7,413,005 | ) | — | — | (7,413,005 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Closing balance, as of June 30, 2022 |
$ | 4,110 | $ | — | (a) |
$ | 50,064,911 | $ | — | (a) |
$ | (6,188 | ) | $ | 50,062,833 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 (d) |
$ | 219 | $ | — | $ | (4,057,036 | ) | $ | — | $ | (4,515 | ) | $ | (4,061,332 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Rounds to less than $1. |
(b) |
As of December 31, 2021, the Trust used observable inputs in determining the value of certain investments. As of June 30, 2022, 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. |
(c) |
As of December 31, 2021, the Trust used significant unobservable inputs in determining the value of certain investments. As of June 30, 2022, 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. |
(d) |
Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(e) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2021 is generally due to investments no longer held or categorized as Level 3 at period end. |
S C H E D U L E O F I N V E S T M E N T S |
57 |
Schedule of Investments (unaudited) June 30, 2022 |
BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||
Asset-Backed Securities |
| |||||||
Small Business Administration, Series 2000-1, 1.00%, 11/10/21 (a) |
$ | 5 | $ | — | ||||
Sterling Coofs Trust (a) |
||||||||
Series 2004-1, Class A, 2.00%, 04/15/29 |
537 | 5,372 | ||||||
Series 2004-2, Class Note, 2.08%, 03/30/30 (b) |
428 | 4,285 | ||||||
|
|
|||||||
Total Asset-Backed Securities — 0.0% (Cost: $97,223) |
9,657 | |||||||
|
|
|||||||
Non-Agency Mortgage-Backed Securities |
| |||||||
Collateralized Mortgage Obligations — 3.1% |
||||||||
Fannie Mae REMICS, Series 2019-36, Class NJ, 3.00%, 07/25/49 |
2,355 | 2,098,368 | ||||||
Freddie Mac REMICS, Series 5083, Class IN, 4.50%, 07/25/32 |
16,597 | 1,837,524 | ||||||
Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, (1 mo. LIBOR US + 16.62%), 13.61%, 08/25/23 (c) |
5 | 5,302 | ||||||
Seasoned Credit Risk Transfer Trust |
||||||||
Series 2018-2, Class MA, 3.50%, 11/25/57 |
648 | 641,725 | ||||||
Series 2018-4, Class MA, 3.50%, 03/25/58 |
3,624 | 3,588,048 | ||||||
Series 2019-1, Class MA, 3.50%, 07/25/58 |
1,148 | 1,136,665 | ||||||
Series 2019-2, Class MA, 3.50%, 08/25/58 |
450 | 445,183 | ||||||
|
|
|||||||
9,752,815 | ||||||||
Commercial Mortgage-Backed Securities — 0.8% |
||||||||
CSAIL Commercial Mortgage Trust (c) |
||||||||
Series 2018-C14, Class XA, 0.73%, 11/15/51 |
2,085 | 59,492 | ||||||
Series 2019-C16, Class XA, 1.72%, 06/15/52 |
6,399 | 525,690 | ||||||
Natixis Commercial Mortgage Securities Trust, |
||||||||
Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.95%), 2.27%, 06/15/35 (b)(c) |
163 | 157,710 | ||||||
One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 09/15/54 (b) |
1,717 | 1,483,586 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2018- C44, Class XA, 0.89%, 05/15/51 (c) |
4,958 | 160,261 | ||||||
|
|
|||||||
2,386,739 | ||||||||
Interest Only Collateralized Mortgage Obligations — 0.0% |
||||||||
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37 |
152 | 29,323 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2006- AR33, Class 4AX, 0.17%, 01/25/37 (a) |
19,574 | 2 | ||||||
Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 05/15/29 (a)(c) |
7,495 | 7 | ||||||
|
|
|||||||
29,332 | ||||||||
Mortgage-Backed Securities — 3.4% |
||||||||
Fannie Mae REMICS, Series 2021-26, Class AI, 3.50%, 05/25/50 |
30,600 | 4,931,160 | ||||||
Freddie Mac REMICS, 4.00%, 10/15/40 |
3,500 | 3,545,853 | ||||||
Ginnie Mae Mortgage-Backed Securities, Class IT, 3.50%, 01/20/52 |
12,250 | 2,041,901 | ||||||
|
|
|||||||
10,518,914 |
Security |
Par (000) |
Value |
||||||
Principal Only Collateralized Mortgage Obligations — 0.0% |
||||||||
CHL Mortgage Pass-Through Trust, Series 2003-J8, Class PO, 0.01%, 09/25/23 |
$ | 9 | $ | 8,756 | ||||
Residential Asset Securitization Trust, Series 2005- A15, Class 1A8, 0.00%, 02/25/36 |
104 | 78,443 | ||||||
Washington Mutual Mortgage Pass-Through |
||||||||
Certificates WMALT Trust, Series 2005-9, Class CP, 0.01%, 11/25/35 |
46 | 28,040 | ||||||
|
|
|||||||
115,239 | ||||||||
|
|
|||||||
Total Non-Agency Mortgage-Backed Securities — 7.3% (Cost: $23,318,672) |
|
22,803,039 | ||||||
|
|
|||||||
U.S. Government Sponsored Agency Securities |
| |||||||
Agency Obligations — 3.2% |
||||||||
Federal Housing Administration (a) |
||||||||
Merrill Lynch Projects, Series 54, 7.43%, 05/15/23 |
— | (d) |
— | |||||
USGI Projects, Series 99, 7.43%, 11/01/22 -10/01/23 |
5 | 5,173 | ||||||
Resolution Funding Corp. Principal Strip, 0.00%, 04/15/30 (e) |
13,000 | 9,913,014 | ||||||
|
|
|||||||
9,918,187 | ||||||||
Collateralized Mortgage Obligations — 64.6% |
||||||||
Fannie Mae, Series 0040, Class K, 6.50%, 08/17/24 |
9 | 8,818 | ||||||
Fannie Mae REMICS |
||||||||
Series 1993-247, Class SN, (12 mo. LIBOR US + 63.85%), 10.00%, 12/25/23 (c) |
9 | 8,968 | ||||||
Series 2004-31, Class ZG, 7.50%, 05/25/34 |
2,397 | 2,714,148 | ||||||
Series 2004-84, Class SD, (1 mo. LIBOR US + 12.75%), 9.99%, 04/25/34 (c) |
676 | 680,480 | ||||||
Series 2005-73, Class DS, (1 mo. LIBOR US + 17.55%), 13.33%, 08/25/35 (c) |
58 | 59,855 | ||||||
Series 2010-134, Class DB, 4.50%, 12/25/40 |
7,000 | 7,164,687 | ||||||
Series 2010-136, Class CY, 4.00%, 12/25/40 |
3,060 | 3,100,909 | ||||||
Series 2010-47, Class JB, 5.00%, 05/25/30 |
2,584 | 2,661,894 | ||||||
Series 2011-117, Class CP, 4.00%, 11/25/41 |
14,350 | 14,461,872 | ||||||
Series 2011-8, Class ZA, 4.00%, 02/25/41 |
4,505 | 4,568,381 | ||||||
Series 2011-99, Class CB, 4.50%, 10/25/41 |
36,429 | 37,605,820 | ||||||
Series 2012-104, Class QD, 4.00%, 09/25/42 |
1,639 | 1,647,535 | ||||||
Series 2013-81, Class YK, 4.00%, 08/25/43 |
7,000 | 6,939,671 | ||||||
Series 2017-76, Class PB, 3.00%, 10/25/57 |
3,415 | 2,947,360 | ||||||
Series 2018-32, Class PS, (1 mo. LIBOR US + 7.23%), 5.34%, 05/25/48 (c) |
5,002 | 4,897,049 | ||||||
Series 2018-50, Class EB, 4.00%, 07/25/48 |
2,001 | 2,029,313 | ||||||
Freddie Mac REMICS |
||||||||
Series 2218, Class Z, 8.50%, 03/15/30 |
490 | 538,476 | ||||||
Series 2542, Class UC, 6.00%, 12/15/22 |
19 | 18,809 | ||||||
Series 2731, Class ZA, 4.50%, 01/15/34 |
1,932 | 1,980,884 | ||||||
Series 2927, Class BZ, 5.50%, 02/15/35 |
2,063 | 2,152,634 | ||||||
Series 3745, Class ZA, 4.00%, 10/15/40 |
1,244 | 1,254,953 | ||||||
Series 3762, Class LN, 4.00%, 11/15/40 |
2,000 | 2,013,696 | ||||||
Series 3780, Class ZA, 4.00%, 12/15/40 |
3,132 | 3,161,920 | ||||||
Series 3856, Class PB, 5.00%, 05/15/41 |
7,615 | 8,037,361 | ||||||
Series 3960, Class PL, 4.00%, 11/15/41 |
2,859 | 2,919,995 | ||||||
Series 3963, Class JB, 4.50%, 11/15/41 |
604 | 622,351 | ||||||
Series 4016, Class BX, 4.00%, 09/15/41 |
15,408 | 15,708,585 |
58 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||
Collateralized Mortgage Obligations (continued) |
||||||||
Freddie Mac REMICS (continued) |
||||||||
Series 4269, Class PM, 4.00%, 08/15/41 |
$ | 8,884 | $ | 8,983,844 | ||||
Series 4299, Class JY, 4.00%, 01/15/44 |
1,000 | 1,006,197 | ||||||
Series 4316, Class VB, 4.50%, 03/15/34 |
1,415 | 1,421,975 | ||||||
Series 4384, Class LB, 3.50%, 08/15/43 |
4,885 | 4,902,978 | ||||||
Series 4471, Class JB, 3.50%, 09/15/43 |
3,932 | 3,456,543 | ||||||
Series 4615, Class LB, 4.50%, 09/15/41 |
7,600 | 7,904,046 | ||||||
Series 4748, Class BM, 3.50%, 11/15/47 |
3,351 | 3,184,905 | ||||||
Series 4774, Class L, 4.50%, 03/15/48 |
6,219 | 6,449,330 | ||||||
Series 4830, Class AV, 4.00%, 10/15/33 |
1,069 | 1,076,953 | ||||||
Series 4880, Class LG, 3.50%, 05/15/49 |
2,196 | 2,110,753 | ||||||
Ginnie Mae |
||||||||
Series 2011-88, Class PY, 4.00%, 06/20/41 |
9,028 | 9,132,511 | ||||||
Series 2012-16, Class HJ, 4.00%, 09/20/40 |
6,242 | 6,310,246 | ||||||
Series 2015-96, Class ZM, 4.00%, 07/20/45 |
8,274 | 8,415,954 | ||||||
Series 2018-91, Class ZL, 4.00%, 07/20/48 |
6,010 | 6,103,016 | ||||||
|
|
|||||||
200,365,675 | ||||||||
Interest Only Collateralized Mortgage Obligations — 6.1% |
||||||||
Fannie Mae REMIC Trust, Series 1999-W4, Class IO, 6.50%, 12/25/28 |
41 | 2,297 | ||||||
Fannie Mae REMICS |
||||||||
Series 1997-50, Class SI, (1 mo. LIBOR US + 9.20%), 1.20%, 04/25/23 (c) |
2 | 6 | ||||||
Series 1997-90, Class M, 6.00%, 01/25/28 |
133 | 4,002 | ||||||
Series 2006-36, Class PS, (1 mo. LIBOR US + 6.60%), 4.98%, 05/25/36 (c) |
2,617 | 302,864 | ||||||
Series 2011-134, Class ST, (1 mo. LIBOR US + 6.00%), 4.38%, 12/25/41 (c) |
14,399 | 2,120,220 | ||||||
Series 2013-10, Class PI, 3.00%, 02/25/43 |
4,098 | 554,666 | ||||||
Series 2013-45, Class EI, 4.00%, 04/25/43 |
1,450 | 135,904 | ||||||
Series 2015-66, Class AS, (1 mo. LIBOR US + 6.25%), 4.63%, 09/25/45 (c) |
13,733 | 1,315,467 | ||||||
Series 2017-70, Class SA, (1 mo. LIBOR US + 6.15%), 4.53%, 09/25/47 (c) |
19,765 | 2,856,134 | ||||||
Series 2019-25, Class SA, (1 mo. LIBOR US + 6.05%), 4.43%, 06/25/49 (c) |
9,874 | 1,304,718 | ||||||
Series 2019-35, Class SA, (1 mo. LIBOR US + 6.10%), 4.48%, 07/25/49 (c) |
3,097 | 420,287 | ||||||
Series 2020-12, Class JI, 4.50%, 03/25/50 |
8,779 | 1,814,956 | ||||||
Freddie Mac REMICS |
||||||||
Series 3744, Class PI, 4.00%, 06/15/39 |
1,590 | 82,884 | ||||||
Series 3796, Class WS, (1 mo. LIBOR US + 6.55%), 5.23%, 02/15/40 (c) |
745 | 14,264 | ||||||
Series 3923, Class SD, (1 mo. LIBOR US + 6.00%), 4.68%, 09/15/41 (c) |
19,070 | 2,348,662 | ||||||
Series 3954, Class SL, (1 mo. LIBOR US + 6.00%), 4.68%, 11/15/41 (c) |
11,635 | 1,589,219 | ||||||
Series 4026, Class IO, 4.50%, 04/15/32 |
709 | 65,073 | ||||||
Series 4119, Class SC, (1 mo. LIBOR US + 6.15%), 4.83%, 10/15/42 (c) |
254 | 33,692 | ||||||
Series 4706, Class IG, 4.00%, 07/15/47 |
9,215 | 1,584,580 | ||||||
Ginnie Mae (c) |
||||||||
Series 2009-116, Class KS, (1 mo. LIBOR US + 6.47%), 4.96%, 12/16/39 |
413 | 44,457 | ||||||
Series 2011-52, Class MJ, (1 mo. LIBOR US + 6.65%), 5.05%, 04/20/41 |
3,325 | 247,482 |
Security |
Par (000) |
Value |
||||||
Interest Only Collateralized Mortgage Obligations (continued) |
||||||||
Ginnie Mae (c) (continued) |
||||||||
Series 2011-52, Class NS, (1 mo. LIBOR US + 6.67%), 5.16%, 04/16/41 |
$ | 4,038 | $ | 419,792 | ||||
Series 2012-97, Class JS, (1 mo. LIBOR US + 6.25%), 4.74%, 08/16/42 |
5,964 | 317,224 | ||||||
Series 2017-101, Class SL, (1 mo. LIBOR US + 6.20%), 4.60%, 07/20/47 |
10,212 | 1,386,827 | ||||||
|
|
|||||||
18,965,677 | ||||||||
Mortgage-Backed Securities — 70.5% |
||||||||
Fannie Mae, Series 2020-M21, Class AX, 1.94%, 01/25/58 (c) |
1,724 | 282,206 | ||||||
Fannie Mae Mortgage-Backed Securities (f) |
||||||||
3.50%, 07/14/22 |
4,841 | 4,675,129 | ||||||
4.00%, 07/14/22 |
41,552 | 41,509,536 | ||||||
3.00%, 09/01/60 |
4,724 | 4,428,351 | ||||||
Fannie Mae REMICS, Series 2021-23, Class CI, 3.50%, 07/25/46 |
21,592 | 3,551,744 | ||||||
Freddie Mac Mortgage-Backed Securities, 5.50%, 07/14/22 (f) |
5,310 | 5,694,996 | ||||||
Freddie Mac Structured Pass-Through Certificates |
||||||||
Series 5013, Class JI, 4.00%, 09/25/50 |
22,834 | 3,465,888 | ||||||
Series K094, Class X1, 1.02%, 06/25/29 (c) |
1,407 | 71,581 | ||||||
Series K104, Class X1, 1.25%, 01/25/30 (c) |
1,355 | 91,419 | ||||||
Series K105, Class X1, 1.64%, 01/25/30 (c) |
1,821 | 166,877 | ||||||
Series K107, Class X1, 1.71%, 01/25/30 (c) |
1,232 | 119,903 | ||||||
Series K109, Class X1, 1.70%, 04/25/30 (c) |
942 | 91,454 | ||||||
Series K110, Class X1, 1.81%, 04/25/30 (c) |
394 | 40,306 | ||||||
Series K113, Class X1, 1.49%, 06/25/30 (c) |
1,600 | 138,953 | ||||||
Series K115, Class X1, 1.43%, 06/25/30 (c) |
1,954 | 165,371 | ||||||
Series K120, Class X1, 1.13%, 10/25/30 (c) |
3,898 | 259,081 | ||||||
Series K122, Class X1, 0.97%, 11/25/30 (c) |
1,673 | 97,401 | ||||||
Series T-11, Class A9, 0.13%, 01/25/28 (c) |
135 | 135,395 | ||||||
Ginnie Mae (c) |
||||||||
Series 2013-63, Class IO, 0.78%, 09/16/51 |
4,995 | 115,339 | ||||||
Series 2014-169, Class IO, 0.64%, 10/16/56 |
14,155 | 363,182 | ||||||
Series 2016-113, Class IO, 1.09%, 02/16/58 |
4,427 | 237,574 | ||||||
Ginnie Mae Mortgage-Backed Securities |
||||||||
7.50%, 02/15/23 - 11/15/23 |
3 | 3,323 | ||||||
8.00%, 05/15/26 - 06/15/27 |
10 | 10,496 | ||||||
5.00%, 10/20/39 |
1,147 | 1,218,991 | ||||||
Uniform Mortgage-Backed Securities |
||||||||
2.00%, 07/14/22 (f) |
38,811 | 33,838,997 | ||||||
2.50%, 07/14/22 - 12/01/51 (f)(g) |
18,335 | 16,563,012 | ||||||
3.00%, 07/14/22 (g) |
40,100 | 37,339,992 | ||||||
3.50%, 07/14/22 (g) |
3,664 | 3,523,451 | ||||||
4.00%, 07/14/22 - 10/01/48 (f)(h) |
17,129 | 17,202,488 | ||||||
4.50%, 07/14/22 - 09/01/41 (f)(h) |
20,503 | 21,079,837 | ||||||
5.00%, 07/14/22 - 04/01/48 (f)(g) |
12,708 | 13,268,209 | ||||||
5.50%, 07/14/22 - 06/01/38 (f) |
3,852 | 4,133,009 | ||||||
6.50%, 10/01/38 - 10/01/39 |
1,333 | 1,450,507 | ||||||
Series 1839, Class QA, 4.00%, 07/14/22 (f) |
3,107 | 3,108,562 | ||||||
|
|
|||||||
218,442,560 | ||||||||
Principal Only Collateralized Mortgage Obligations — 0.0% |
||||||||
Fannie Mae Interest Strip |
||||||||
Series 203, Class 1, 0.00%, 02/25/23 |
— | (d) |
138 | |||||
Series 228, Class 1, 0.00%, 06/25/23 |
— | (d) |
113 |
S C H E D U L E O F I N V E S T M E N T S |
59 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||
|
||||||||
Principal Only Collateralized Mortgage Obligations (continued) |
||||||||
Fannie Mae REMIC Trust, Series 1999-W4, Class PO, 0.00%, 02/25/29 |
$ | 20 | $ | 18,859 | ||||
Fannie Mae REMICS |
||||||||
Series 1993-51, Class E, 0.00%, 02/25/23 |
— | (d) |
458 | |||||
Series 1993-70, Class A, 0.00%, 05/25/23 |
— | (d) |
146 | |||||
Series 2002-13, Class PR, 0.01%, 03/25/32 |
28 | 25,592 | ||||||
Series G93-2, Class KB, 0.01%, 01/25/23 |
1 | 837 | ||||||
Freddie Mac REMICS |
||||||||
Series 1418, Class M, 0.01%, 11/15/22 |
— | (d) |
276 | |||||
Series 1571, Class G, 0.01%, 08/15/23 |
5 | 4,468 | ||||||
Series 1691, Class B, 0.01%, 03/15/24 |
26 | 25,406 | ||||||
|
|
|||||||
76,293 | ||||||||
|
|
|||||||
Total U.S. Government Sponsored Agency Securities — 144.4% (Cost: $487,753,895) |
|
447,768,392 | ||||||
|
|
|||||||
Total Long-Term Investments — 151.7% (Cost: $511,169,790) |
|
470,581,088 | ||||||
|
|
|||||||
Short-Term Securities |
||||||||
Borrowed Bond Agreement — 0.3% |
||||||||
Credit Suisse AG, 1.43%, open (Purchased on 04/21/22 to be repurchased at $867,840, Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $ 866,565 and $821,109, respectively) (i)(j) |
867 | 866,565 | ||||||
|
|
|||||||
Shares |
||||||||
|
||||||||
Money Market Funds — 3.2% |
||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33% (k)(l) |
9,872,958 | 9,872,958 | ||||||
|
|
|||||||
Total Short-Term Securities — 3.5% (Cost: $10,739,524) |
|
10,739,523 | ||||||
|
|
|||||||
Total Investments Before Borrowed Bonds and — 155.2% (Cost: $521,909,314) |
|
481,320,611 | ||||||
|
|
Security |
Par (000) |
Value |
||||||
|
||||||||
Borrowed Bonds |
||||||||
U.S. Governments Obligations — (0.3)% |
||||||||
U.S. Treasury Bonds, 2.75%, 11/15/42 (m) |
$ | (917 | ) | $ | (821,109 | ) | ||
|
|
|||||||
Total Borrowed Bonds — (0.3)% (Proceeds: $(842,347)) |
(821,109 | ) | ||||||
Total Investments, Net of Borrowed Bonds and — 154.9% (Cost: $521,066,967) |
|
480,499,502 | ||||||
Liabilities in Excess of Other Assets — (54.9)% |
|
(170,330,625 | ) | |||||
|
|
|||||||
Net Assets — 100.0% |
$ | 310,168,877 | ||||||
|
|
(a) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(b) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(d) |
Rounds to less than 1,000. |
(e) |
Zero-coupon bond. |
(f) |
All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(g) |
Represents or includes a TBA transaction. |
(h) |
All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. |
(i) |
Certain agreements have no stated maturity and can be terminated by either party at any time. |
(j) |
The amount to be repurchased assumes the maturity will be the day after the period end. |
(k) |
Affiliate of the Fund. |
(l) |
Annualized 7-day yield as of period end. |
(m) |
All or a portion of the security has been pledged as collateral in connection with outstanding borrowed bonds. |
Affiliated Issuer |
Value at 12/31/21 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 06/30/22 |
Shares Held at 06/30/22 |
Income |
Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class |
$ | 12,560,167 | $ | — | $ | (2,687,209 | ) (a) |
$ | — | $ | — | $ | 9,872,958 | 9,872,958 | $ | 19,286 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
60 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Income Trust, Inc. (BKT) |
Counterparty |
Interest Rate |
Trade Date |
Maturity Date |
Face Value |
Face Value Including Accrued Interest |
Type of Non-Cash Underlying Collateral |
Remaining Contractual Maturity of the Agreements | |||||||||||||||||
Deutsche Bank Securities, Inc. |
1.31 | % | 06/10/22 | 07/14/22 | $ | 4,531,396 | $ | 4,534,364 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | ||||||||||||||
Deutsche Bank Securities, Inc. |
1.31 | 06/10/22 | 07/14/22 | 3,238,469 | 3,240,590 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
Deutsche Bank Securities, Inc. |
1.31 | 06/10/22 | 07/14/22 | 5,502,926 | 5,506,530 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
Deutsche Bank Securities, Inc. |
1.31 | 06/10/22 | 07/14/22 | 2,776,964 | 2,778,783 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
Deutsche Bank Securities, Inc. |
1.31 | 06/10/22 | 07/14/22 | 975,953 | 976,592 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
Deutsche Bank Securities, Inc. |
1.31 | 06/10/22 | 07/14/22 | 2,549,273 | 2,550,942 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
Deutsche Bank Securities, Inc. |
1.31 | 06/10/22 | 07/14/22 | 3,017,268 | 3,019,244 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
Deutsche Bank Securities, Inc. |
1.31 | 06/10/22 | 07/14/22 | 4,514,326 | 4,517,283 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
Deutsche Bank Securities, Inc. |
1.31 | 06/10/22 | 07/14/22 | 3,789,031 | 3,791,513 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
Deutsche Bank Securities, Inc. |
1.31 | 06/10/22 | 07/14/22 | 4,466,661 | 4,469,586 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 5,859,842 | 5,863,651 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 23,430,755 | 23,448,483 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 4,544,967 | 4,547,921 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 6,724,426 | 6,728,797 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 6,915,291 | 6,919,786 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 4,311,590 | 4,314,393 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 5,991,837 | 5,995,732 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 6,877,402 | 6,881,872 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 6,907,447 | 6,911,937 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 6,231,054 | 6,235,105 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 10,563,348 | 10,570,215 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 6,812,769 | 6,817,197 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
$ | 130,532,995 | $ | 130,620,516 | |||||||||||||||||||||
|
|
|
|
S C H E D U L E O F I N V E S T M E N T S |
61 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Income Trust, Inc. (BKT) |
Description |
Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||||
Long Contracts |
||||||||||||||||
10-Year U.S. Treasury Note |
512 | 09/21/22 | $ | 60,600 | $ | (685,153 | ) | |||||||||
|
|
|||||||||||||||
Short Contracts |
||||||||||||||||
90-Day Euro-Dollar |
7 | 09/19/22 | 1,694 | 52,578 | ||||||||||||
10-Year U.S. Ultra Long Treasury Note |
173 | 09/21/22 | 21,982 | 215,734 | ||||||||||||
U.S. Long Bond |
174 | 09/21/22 | 24,028 | 197,673 | ||||||||||||
5-Year U.S. Treasury Note |
137 | 09/30/22 | 15,361 | 150,977 | ||||||||||||
|
|
|||||||||||||||
616,962 | ||||||||||||||||
|
|
|||||||||||||||
$ | (68,191 | ) | ||||||||||||||
|
|
|
|
|
|
Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||
Paid by the Fund |
Received by the Fund |
Effective Date |
Termination Date |
Notional Amount (000) |
||||||||||||||||||||||||
Rate |
Frequency |
Rate |
Frequency |
Value |
||||||||||||||||||||||||
0.05% | Quarterly | 1-Day FEDL, 1.58% | Quarterly | N/A | 10/21/22 | USD | 1,639 | $ | 13,663 | $ | (26 | ) | $ | 13,689 | ||||||||||||||
1-Day SOFR, 0.82% | Quarterly | 0.05% | Quarterly | N/A | 10/21/22 | USD | 1,639 | (13,247 | ) | — | (13,247 | ) | ||||||||||||||||
2.30% | Semi-Annual |
3-Month LIBOR, 2.29% | Quarterly | N/A | 08/31/23 | USD | 14,100 | 58,504 | 65,276 | (6,772 | ) | |||||||||||||||||
2.35% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 08/31/23 | USD | 12,100 | 42,042 | 57,139 | (15,097 | ) | |||||||||||||||||
1.41% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 11/30/23 | USD | 4,900 | 126,123 | 2,066 | 124,057 | ||||||||||||||||||
1.70% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 11/30/23 | USD | 1,500 | 32,101 | 784 | 31,317 | ||||||||||||||||||
0.72% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 03/13/25 | USD | 22,270 | 1,352,956 | 34,764 | 1,318,192 | ||||||||||||||||||
1-Day SOFR, 0.82% | Quarterly | 0.17% | Quarterly | N/A | 10/21/25 | USD | 137 | (11,631 | ) | (23 | ) | (11,608 | ) | |||||||||||||||
0.18% | Quarterly | 1-Day FEDL, 1.58% | Quarterly | N/A | 10/21/25 | USD | 137 | 11,732 | 19 | 11,713 | ||||||||||||||||||
1.11% | Semi-Annual | 3-Month LIBOR, 2.29% | Quarterly | N/A | 02/28/26 | USD | 4,740 | 309,240 | — | 309,240 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | 1,921,483 | $ | 159,999 | $ | 1,761,484 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
| |||||||||||||||||||||||||||||||
Paid by the Fund | Received by the Fund | Effective Date |
Termination Date |
Notional Amount (000) |
||||||||||||||||||||||||||||||||||
Rate |
Frequency |
Rate |
Frequency |
Counterparty |
Value |
|||||||||||||||||||||||||||||||||
3-Month LIBOR, 2.29% |
Quarterly | 5.41% | Semi-Annual |
JPMorgan Chase Bank N.A. | N/A | 08/15/22 | USD | 9,565 | $ | 225,194 | $ | — | $ | 225,194 | ||||||||||||||||||||||||
|
|
|
|
|
|
Description |
Swap Premiums Paid |
Swap Premiums Received |
Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||
Centrally Cleared Swaps (a) |
$ | 160,048 | $ | (49 | ) | $ | 1,808,208 | $ | (46,724 | ) | ||||||
OTC Swaps |
— | — | 225,194 | — |
(a) |
Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
62 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Income Trust, Inc. (BKT) |
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total |
||||||||||||||||||||||
Assets — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts (a) |
$ | — | $ | — | $ | — | $ | — | $ | 616,962 | $ | — | $ | 616,962 | ||||||||||||||
Swaps — centrally cleared |
||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps (a) |
— | — | — | — | 1,808,208 | — | 1,808,208 | |||||||||||||||||||||
Swaps — OTC |
||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid |
— | — | — | — | 225,194 | — | 225,194 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 2,650,364 | $ | — | $ | 2,650,364 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts (a) |
$ | — | $ | — | $ | — | $ | — | $ | 685,153 | $ | — | $ | 685,153 | ||||||||||||||
Swaps — centrally cleared |
||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps (a) |
— | — | — | — | 46,724 | — | 46,724 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 731,877 | $ | — | $ | 731,877 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total |
||||||||||||||||||||||
Net Realized Gain (Loss) from: |
||||||||||||||||||||||||||||
Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 1,740,023 | $ | — | $ | 1,740,023 | ||||||||||||||
Swaps |
— | — | — | — | (135,524 | ) | — | (135,524 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 1,604,499 | $ | — | $ | 1,604,499 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||||||||||||||
Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | (235,506 | ) | $ | — | $ | (235,506 | ) | ||||||||||||
Swaps |
— | — | — | — | 2,329,770 | — | 2,329,770 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 2,094,264 | $ | — | $ | 2,094,264 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures contracts: |
||||
Average notional value of contracts — long |
$ | 67,554,625 | ||
Average notional value of contracts — short |
$ | 66,557,103 | ||
Interest rate swaps: |
||||
Average notional value — pays fixed rate |
$ | 61,385,227 | ||
Average notional value — receives fixed rate |
$ | 11,340,227 |
S C H E D U L E O F I N V E S T M E N T S |
63 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Income Trust, Inc. (BKT) |
Assets |
Liabilities |
|||||||
Derivative Financial Instruments |
||||||||
Futures contracts |
$ | 415,728 | $ | 470,321 | ||||
Swaps — centrally cleared |
— | 140,608 | ||||||
Swaps — OTC (a) |
225,194 | — | ||||||
|
|
|
|
|||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities |
640,922 | 610,929 | ||||||
|
|
|
|
|||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(415,728 | ) | (610,929 | ) | ||||
|
|
|
|
|||||
Total derivative assets and liabilities subject to an MNA |
$ | 225,194 | $ | — | ||||
|
|
|
|
(a) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
Counterparty |
Derivative Assets Subject to an MNA by Counterparty |
Derivatives Available for Offset |
Non-Cash Collateral Received |
Cash Collateral Received |
Net Amount of Derivative Assets ( |
a) | ||||||||||||||
JPMorgan Chase Bank N.A. |
$ | 225,194 | $ | — | $ | — | $ | (220,000 | ) | $ | 5,194 | |||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Asset-Backed Securities |
$ |
— |
$ |
— |
$ |
9,657 |
$ |
9,657 |
||||||||
Non-Agency Mortgage-Backed Securities |
— |
22,803,030 |
9 |
22,803,039 |
||||||||||||
U.S. Government Sponsored Agency Securities |
— |
447,763,219 |
5,173 |
447,768,392 |
||||||||||||
Short-Term Securities |
||||||||||||||||
Borrowed Bond Agreement |
— |
866,565 |
— |
866,565 |
||||||||||||
Money Market Funds |
9,872,958 |
— |
— |
9,872,958 |
||||||||||||
Liabilities |
||||||||||||||||
Investments |
||||||||||||||||
Borrowed Bonds |
— |
(821,109 |
) |
— |
(821,109 |
) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
9,872,958 |
$ |
470,611,705 |
$ |
14,839 |
$ |
480,499,502 |
|||||||||
|
|
|
|
|
|
|
|
|||||||||
Derivative Financial Instruments (a) |
||||||||||||||||
Assets |
||||||||||||||||
Interest Rate Contracts |
$ |
616,962 |
$ |
2,033,402 |
$ |
— |
$ |
2,650,364 |
||||||||
Liabilities |
||||||||||||||||
Interest Rate Contracts |
(685,153 |
) |
(46,724 |
) |
— |
(731,877 |
) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
$ |
(68,191 |
) |
$ |
1,986,678 |
$ |
— |
$ |
1,918,487 |
||||||||
|
|
|
|
|
|
|
|
(a) |
Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
64 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Asset-Backed Securities |
||||||||||||
AIMCO CLO, Series 2017-AA, Class CR, (3 mo. LIBOR US + 2.10%), 3.16%, 04/20/34 (a)(b) |
USD | 1,000 | $ | 931,352 | ||||||||
Allegro CLO II-S Ltd., Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.00%), 4.10%, 10/21/28 (a)(b) |
1,000 | 945,179 | ||||||||||
ALM Ltd., Series 2020-1A, Class D, (3 mo. LIBOR US + 6.00%), 7.04%, 10/15/29 (a)(b) |
285 | 250,868 | ||||||||||
Anchorage Capital CLO 3-R Ltd., Series 2014-3RA, Class E, (3 mo. LIBOR US + 5.50%), 6.74%, 01/28/31 (a)(b) |
850 | 756,075 | ||||||||||
Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 3.84%, 01/28/31 (a)(b) |
250 | 224,681 | ||||||||||
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 4.74%, 01/28/31 (a)(b) |
1,000 | 943,565 | ||||||||||
Argent Securities Trust, Series 2006-W5, Class A1A, (1 mo. LIBOR US + 0.30%), 1.92%, 06/25/36 (a) |
4,398 | 3,033,082 | ||||||||||
Bain Capital Credit CLO Ltd. (a)(b) |
||||||||||||
Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.30%), 4.34%, 07/19/34 |
300 | 280,809 | ||||||||||
Series 2021-3A, Class D, (3 mo. LIBOR US + 3.10%), 4.28%, 07/24/34 |
250 | 230,740 | ||||||||||
Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class CR, (3 mo. LIBOR US + 2.05%), 3.09%, 07/15/34 (a)(b) |
250 | 232,940 | ||||||||||
CarVal CLO I Ltd., Series 2018-1A, Class E, (3 mo. LIBOR US + 5.77%), 6.81%, 07/16/31 (a)(b) |
500 | 443,068 | ||||||||||
CarVal CLO II Ltd., Series 2019-1A, Class CR, (3 mo. LIBOR US + 2.00%), 3.06%, 04/20/32 (a)(b) |
250 | 237,518 | ||||||||||
CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), 7.50%, 07/20/32 (a)(b) |
500 | 443,027 | ||||||||||
Cayuga Park CLO Ltd., Series 2020-1A, Class B1R, (3 mo. LIBOR US + 1.65%), 2.69%, 07/17/34 (a)(b) |
250 | 233,873 | ||||||||||
Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3 mo. LIBOR US + 1.60%), 2.64%, 07/15/33 (a)(b) |
500 | 476,181 | ||||||||||
CIFC Funding Ltd., Series 2013-4A, Class DRR, (3 mo. LIBOR US + 2.80%), 4.02%, 04/27/31 (a)(b) |
250 | 234,827 | ||||||||||
Citigroup Mortgage Loan Trust, Series 2006-FX1, Class A7, 5.78%, 10/25/36 |
352 | 261,243 | ||||||||||
Clear Creek CLO, Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.95%), 4.01%, 10/20/30 (a)(b) |
250 | 232,649 | ||||||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 01/25/30 (b) |
259 | 250,723 | ||||||||||
CWABS Asset-Backed Certificates Trust, Series 2006-26, Class 1A, (1 mo. LIBOR US + 0.14%), 1.76%, 06/25/37 (a) |
568 | 519,832 | ||||||||||
Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3 mo. LIBOR US + 2.65%), 3.69%, 04/18/31 (a)(b) |
250 | 228,587 |
Security |
Par (000) |
Value |
||||||||||
Asset-Backed Securities (continued) |
||||||||||||
Elevation CLO Ltd., Series 2021-12A, Class E, (3 mo. LIBOR US + 7.27%), 8.33%, 04/20/32 (a)(b) |
USD | 250 | $ | 222,811 | ||||||||
Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3 mo. LIBOR US + 6.80%), 7.86%, 04/20/34 (a)(b) |
250 | 235,813 | ||||||||||
Elmwood CLO IV Ltd., Series 2020-1A, Class B, (3 mo. LIBOR US + 1.70%), 2.74%, 04/15/33 (a)(b) |
500 | 475,563 | ||||||||||
Elmwood CLO V Ltd., Series 2020-2A, Class CR, (3 mo. LIBOR US + 2.00%), 3.06%, 10/20/34 (a)(b) |
436 | 406,058 | ||||||||||
Generate CLO 3 Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 4.66%, 10/20/29 (a)(b) |
250 | 241,684 | ||||||||||
Generate CLO 4 Ltd., Series 2016-2A, Class ER, (3 mo. LIBOR US + 6.75%), 7.81%, 04/20/32 (a)(b) |
1,000 | 919,446 | ||||||||||
Generate CLO 6 Ltd., Series 6A, Class DR, (3 mo. LIBOR US + 3.50%), 4.64%, 01/22/35 (a)(b) |
750 | 698,444 | ||||||||||
Golub Capital Partners CLO 55B Ltd., Series 2021- 55A, Class E, (3 mo. LIBOR US + 6.56%), 7.62%, 07/20/34 (a)(b) |
250 | 232,038 | ||||||||||
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E, (3 mo. LIBOR US + 6.45%), 7.49%, 04/15/33 (a)(b) |
250 | 231,578 | ||||||||||
Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class A2, (3 mo. LIBOR US + 1.80%), 2.84%, 07/15/34 (a)(b) |
250 | 242,503 | ||||||||||
Madison Park Funding XXIX Ltd., Series 2018-29A, Class E, (3 mo. LIBOR US + 5.70%), 6.74%, 10/18/30 (a)(b) |
250 | 219,566 | ||||||||||
Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class B, (3 mo. LIBOR US + 1.65%), 2.69%, 07/17/34 (a)(b) |
250 | 236,216 | ||||||||||
Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ERR, (3 mo. LIBOR US + 6.50%), 7.54%, 07/15/34 (a)(b) |
790 | 697,325 | ||||||||||
Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class ER, (3 mo. LIBOR US + 6.10%), 7.14%, 01/20/32 (a)(b) |
425 | 391,173 | ||||||||||
Octagon 54 Ltd., Series 2021-1A, Class D, (3 mo. LIBOR US + 3.05%), 4.09%, 07/15/34 (a)(b) |
250 | 233,054 | ||||||||||
Octagon Investment Partners 31 LLC, Series 2017- 1A, Class E, (3 mo. LIBOR US + 6.30%), 7.36%, 07/20/30 (a)(b) |
500 | 441,503 | ||||||||||
Octagon Investment Partners XVII Ltd., Series 2013- 1A, Class BR2, (3 mo. LIBOR US + 1.40%), 2.58%, 01/25/31 (a)(b) |
250 | 237,065 | ||||||||||
OHA Credit Partners XIII Ltd., Series 2016-13A, Class BR, (3 mo. LIBOR US + 1.70%), 2.80%, 10/25/34 (a)(b) |
250 | 236,226 | ||||||||||
OZLM VIII Ltd., Series 2014-8A, Class CRR, (3 mo. LIBOR US + 3.15%), 4.19%, 10/17/29 (a)(b) |
250 | 235,126 | ||||||||||
OZLM XXI Ltd., Series 2017-21A, Class D, (3 mo. LIBOR US + 5.54%), 6.60%, 01/20/31 (a)(b) |
250 | 215,381 |
S C H E D U L E O F I N V E S T M E N T S |
65 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Asset-Backed Securities (continued) |
| |||||||||||
Regatta XXIV Funding Ltd., Series 2021-5A, Class D, (3 mo. LIBOR US + 3.10%), 4.16%, 01/20/35 (a)(b) |
USD | 250 | $ | 230,061 | ||||||||
Regional Management Issuance Trust, 3.88%, 10/17/33 (c) |
980 | 936,089 | ||||||||||
Rockford Tower CLO Ltd., Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 3.89%, 10/15/29 (a)(b) |
500 | 471,947 | ||||||||||
Sterling Coofs Trust (c) |
||||||||||||
Series 2004-1, Class A, 2.00%, 04/15/29 |
748 | 7,482 | ||||||||||
Series 2004-2, Class Note, 2.08%, 03/30/30 (b) |
1,162 | 11,619 | ||||||||||
TICP CLO I-2 Ltd., Series 2018-IA, Class C, (3 mo. LIBOR US + 3.04%), 4.25%, 04/26/28 (a)(b) |
500 | 487,700 | ||||||||||
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 8.09%, 04/15/33 (a)(b) |
250 | 223,193 | ||||||||||
Trimaran Cavu Ltd., Series 2021-2A, Class D1, (3 mo. LIBOR US + 3.25%), 4.43%, 10/25/34 (a)(b) |
500 | 467,707 | ||||||||||
Unique Pub Finance Co. PLC (d) |
||||||||||||
Series A4, 5.66%, 06/30/27 |
GBP | 38 | 48,974 | |||||||||
Series N, 6.46%, 03/30/32 |
50 | 69,698 | ||||||||||
Voya CLO 2019-3 Ltd., Series 2019-3A, Class BR, (3 mo. LIBOR US + 1.65%), 2.69%, 10/17/32 (a)(b) |
USD | 500 | 475,173 | |||||||||
Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.35%), 4.53%, 10/24/34 (a)(b) |
500 | 470,916 | ||||||||||
Whitebox CLO III Ltd., Series 2021-3A, Class D, (3 mo. LIBOR US + 3.35%), 4.39%, 10/15/34 (a)(b) |
250 | 235,505 | ||||||||||
|
|
|||||||||||
Total Asset-Backed Securities — 4.7% (Cost: $23,901,272) |
|
22,575,456 | ||||||||||
|
|
|||||||||||
Shares |
||||||||||||
Common Stocks |
| |||||||||||
Construction & Engineering — 0.0% |
||||||||||||
McDermott International Ltd. (e) |
47,837 | 27,267 | ||||||||||
|
|
|||||||||||
Diversified Financial Services — 0.0% |
||||||||||||
Kcad Holdings I Ltd. (c) |
546,753,936 | 5,467 | ||||||||||
|
|
|||||||||||
Diversified Telecommunication Services — 0.0% |
||||||||||||
Liberty Global PLC, Class A (e) |
193 | 4,063 | ||||||||||
|
|
|||||||||||
Household Durables — 0.0% |
||||||||||||
Berkline Benchcraft Equity LLC (c) |
3,155 | — | ||||||||||
|
|
|||||||||||
Metals & Mining — 0.0% |
||||||||||||
Ameriforge Group, Inc. |
801 | 801 | ||||||||||
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $100,687) (c)(f) |
5,738 | 476 | ||||||||||
|
|
|||||||||||
1,277 | ||||||||||||
Software — 0.0% |
||||||||||||
Avaya Holdings Corp. (e) |
19 | 43 | ||||||||||
|
|
Security |
Shares |
Value |
||||||||||
Specialty Retail — 0.1% |
||||||||||||
NMG Parent LLC |
1,330 | $ | 231,420 | |||||||||
|
|
|||||||||||
Total Common Stocks — 0.1% (Cost: $6,928,866) |
|
269,537 | ||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
Corporate Bonds |
| |||||||||||
Advertising Agencies — 0.0% |
||||||||||||
Interpublic Group of Cos., Inc., 5.40%, 10/01/48 (g) |
USD | 200 | 194,885 | |||||||||
|
|
|||||||||||
Aerospace & Defense — 2.5% |
||||||||||||
Amsted Industries, Inc., 5.63%, 07/01/27 (b) |
156 | 146,640 | ||||||||||
Boeing Co., 3.20%, 03/01/29 (g) |
500 | 432,642 | ||||||||||
Bombardier, Inc. (b) |
||||||||||||
7.50%, 03/15/25 |
39 | 35,246 | ||||||||||
7.13%, 06/15/26 (g) |
715 | 589,503 | ||||||||||
7.88%, 04/15/27 (g) |
605 | 503,608 | ||||||||||
6.00%, 02/15/28 (g) |
539 | 403,927 | ||||||||||
7.45%, 05/01/34 |
100 | 74,995 | ||||||||||
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26 (b)(g) |
423 | 336,911 | ||||||||||
Howmet Aerospace, Inc., 5.13%, 10/01/24 |
5 | 4,956 | ||||||||||
Northrop Grumman Corp., 3.85%, 04/15/45 (g) |
600 | 505,083 | ||||||||||
Rolls-Royce PLC, 5.75%, 10/15/27 (b)(g) |
1,018 | 917,523 | ||||||||||
Spirit AeroSystems, Inc. (b) |
||||||||||||
5.50%, 01/15/25 |
181 | 167,425 | ||||||||||
7.50%, 04/15/25 |
32 | 29,720 | ||||||||||
TransDigm, Inc. |
||||||||||||
8.00%, 12/15/25 (b)(g) |
815 | 824,161 | ||||||||||
6.25%, 03/15/26 (b)(g) |
6,056 | 5,836,470 | ||||||||||
6.38%, 06/15/26 |
46 | 43,010 | ||||||||||
7.50%, 03/15/27 |
105 | 99,058 | ||||||||||
4.63%, 01/15/29 (g) |
457 | 367,894 | ||||||||||
4.88%, 05/01/29 |
300 | 244,212 | ||||||||||
Triumph Group, Inc., 8.88%, 06/01/24 (b)(g) |
685 | 690,049 | ||||||||||
|
|
|||||||||||
12,253,033 | ||||||||||||
Airlines — 1.9% |
||||||||||||
Air Canada, 3.88%, 08/15/26 (b)(g) |
384 | 324,822 | ||||||||||
Air France-KLM, 3.88%, 07/01/26 (d) |
EUR | 100 | 84,884 | |||||||||
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 07/15/24 (g) |
USD | 664 | 651,516 | |||||||||
American Airlines, Inc., 11.75%, 07/15/25 (b)(g) |
596 | 616,800 | ||||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. (b)(g) |
||||||||||||
5.50%, 04/20/26 |
855 | 785,203 | ||||||||||
5.75%, 04/20/29 |
1,131 | 965,435 | ||||||||||
Avianca Midco 2 Ltd., 9.00%, 12/01/28 (b) |
151 | 130,782 | ||||||||||
Azul Investments LLP, 5.88%, 10/26/24 (d) |
200 | 151,225 | ||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28 (b) |
77 | 72,553 | ||||||||||
Deutsche Lufthansa AG, 3.50%, 07/14/29 (d) |
EUR | 100 | 78,640 | |||||||||
Finnair OYJ, 4.25%, 05/19/25 (d) |
100 | 86,165 | ||||||||||
Gol Finance SA, 7.00%, 01/31/25 (b) |
USD | 200 | 124,288 | |||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26 (b) |
249 | 223,154 |
66 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Airlines (continued) |
||||||||||||
International Consolidated Airlines Group SA, 2.75%, 03/25/25 (d) |
EUR | 100 | $ | 88,618 | ||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27 (b)(g) |
USD | 758 | 744,962 | |||||||||
United Airlines Pass-Through Trust (g) |
||||||||||||
Series 2015-1, Class A, 3.70%, 06/01/24 |
2,430 | 2,418,544 | ||||||||||
Series 2020-1, Class A, 5.88%, 04/15/29 |
595 | 584,905 | ||||||||||
Series 2020-1, Class B, 4.88%, 07/15/27 |
41 | 39,409 | ||||||||||
United Airlines, Inc. (b)(g) |
||||||||||||
4.38%, 04/15/26 |
459 | 404,457 | ||||||||||
4.63%, 04/15/29 |
619 | 525,079 | ||||||||||
|
|
|||||||||||
9,101,441 | ||||||||||||
Auto Components — 1.2% |
||||||||||||
Aptiv PLC, 4.40%, 10/01/46 (g) |
240 | 190,633 | ||||||||||
Clarios Global LP, 6.75%, 05/15/25 (b) |
486 | 481,359 | ||||||||||
Clarios Global LP/Clarios U.S. Finance Co. |
||||||||||||
4.38%, 05/15/26 (d) |
EUR | 100 | 91,242 | |||||||||
6.25%, 05/15/26 (b)(g) |
USD | 1,409 | 1,356,162 | |||||||||
8.50%, 05/15/27 (b)(g) |
2,669 | 2,579,522 | ||||||||||
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28 (b) |
334 | 288,543 | ||||||||||
Dornoch Debt Merger Sub, Inc., 6.63%, 10/15/29 (b) |
111 | 81,973 | ||||||||||
Faurecia SE (d) |
||||||||||||
2.75%, 02/15/27 |
EUR | 100 | 81,478 | |||||||||
3.75%, 06/15/28 |
100 | 80,809 | ||||||||||
Goodyear Tire & Rubber Co. |
||||||||||||
5.00%, 07/15/29 |
USD | 147 | 121,739 | |||||||||
5.63%, 04/30/33 |
247 | 197,817 | ||||||||||
ZF Finance GmbH (d) |
||||||||||||
3.00%, 09/21/25 |
EUR | 100 | 91,847 | |||||||||
2.00%, 05/06/27 |
100 | 80,650 | ||||||||||
|
|
|||||||||||
5,723,774 | ||||||||||||
Automobiles — 1.9% |
||||||||||||
Allison Transmission, Inc., 5.88%, 06/01/29 (b)(g) |
USD | 368 | 342,240 | |||||||||
Asbury Automotive Group, Inc. |
||||||||||||
4.50%, 03/01/28 |
129 | 111,908 | ||||||||||
4.75%, 03/01/30 |
124 | 101,959 | ||||||||||
5.00%, 02/15/32 (b) |
157 | 128,348 | ||||||||||
Carvana Co. (b)(g) |
||||||||||||
5.50%, 04/15/27 |
290 | 187,148 | ||||||||||
4.88%, 09/01/29 |
224 | 127,368 | ||||||||||
Constellation Automotive Financing PLC, 4.88%, 07/15/27 (d) |
GBP | 100 | 95,558 | |||||||||
Ford Motor Co. |
||||||||||||
0.00%, 03/15/26 (h)(i) |
USD | 221 | 201,552 | |||||||||
4.35%, 12/08/26 |
11 | 10,195 | ||||||||||
3.25%, 02/12/32 (g) |
623 | 465,942 | ||||||||||
5.29%, 12/08/46 |
48 | 36,811 | ||||||||||
Ford Motor Credit Co. LLC |
||||||||||||
2.98%, 08/03/22 (g) |
449 | 449,000 | ||||||||||
3.35%, 11/01/22 (g) |
215 | 213,439 | ||||||||||
3.81%, 01/09/24 (g) |
629 | 610,254 | ||||||||||
4.69%, 06/09/25 |
200 | 189,002 | ||||||||||
5.13%, 06/16/25 (g) |
490 | 467,911 | ||||||||||
4.13%, 08/04/25 (g) |
411 | 389,293 | ||||||||||
3.38%, 11/13/25 (g) |
200 | 180,094 | ||||||||||
4.39%, 01/08/26 (g) |
400 | 368,424 | ||||||||||
2.70%, 08/10/26 |
295 | 251,384 | ||||||||||
4.95%, 05/28/27 |
200 | 185,750 | ||||||||||
3.82%, 11/02/27 (g) |
400 | 340,000 | ||||||||||
2.90%, 02/16/28 (g) |
295 | 237,699 |
Security |
Par (000) |
Value |
||||||||||
Automobiles (continued) |
||||||||||||
Ford Motor Credit Co. LLC (continued) |
||||||||||||
5.11%, 05/03/29 (g) |
USD | 526 | $ | 471,545 | ||||||||
4.00%, 11/13/30 |
200 | 162,051 | ||||||||||
3.63%, 06/17/31 (g) |
400 | 310,000 | ||||||||||
General Motors Financial Co., Inc., 2.70%, 08/20/27 (g) |
1,500 | 1,319,845 | ||||||||||
Group 1 Automotive, Inc., 4.00%, 08/15/28 (b) |
45 | 37,610 | ||||||||||
Jaguar Land Rover Automotive PLC, 4.50%, 07/15/28 (d) |
EUR | 100 | 74,810 | |||||||||
Ken Garff Automotive LLC, 4.88%, 09/15/28 (b) |
USD | 122 | 99,466 | |||||||||
LCM Investments Holdings II LLC, 4.88%, 05/01/29 (b) |
292 | 222,241 | ||||||||||
Lithia Motors, Inc., 3.88%, 06/01/29 (b) |
131 | 111,269 | ||||||||||
MajorDrive Holdings IV LLC, 6.38%, 06/01/29 (b) |
178 | 121,930 | ||||||||||
Penske Automotive Group, Inc. |
||||||||||||
3.50%, 09/01/25 |
214 | 200,625 | ||||||||||
3.75%, 06/15/29 (b) |
69 | 57,454 | ||||||||||
Renault SA, 2.38%, 05/25/26 (d) |
EUR | 100 | 89,690 | |||||||||
Sonic Automotive, Inc., 4.63%, 11/15/29 (b) |
USD | 59 | 45,714 | |||||||||
TML Holdings Pte. Ltd., 4.35%, 06/09/26 (d) |
200 | 174,787 | ||||||||||
Wabash National Corp., 4.50%, 10/15/28 (b) |
220 | 168,300 | ||||||||||
|
|
|||||||||||
9,358,616 | ||||||||||||
Banks — 1.3% |
||||||||||||
Banco BPM SpA, (5 year EUR Swap + 3.17%), 2.88%, 06/29/31 (a)(d) |
EUR | 100 | 88,814 | |||||||||
Banco Espirito Santo SA (e)(j) |
||||||||||||
4.75%, 01/15/22 |
100 | 15,195 | ||||||||||
4.00%, 01/21/22 (c) |
100 | 15,195 | ||||||||||
Bangkok Bank PCL, (5 year CMT + 4.73%), 5.00% |
USD | 201 | 183,011 | |||||||||
Bank of Communications Co. Ltd., (5 year CMT + 3.35%), 3.80% (a)(d)(k) |
200 | 195,750 | ||||||||||
Chong Hing Bank Ltd., (5 year CMT + 3.86%), 5.70% (a)(d)(k) |
250 | 248,250 | ||||||||||
Grupo Aval Ltd., 4.38%, 02/04/30 (b) |
200 | 155,788 | ||||||||||
Intesa Sanpaolo SpA, 5.02%, 06/26/24 (b)(g) |
2,442 | 2,329,992 | ||||||||||
Krung Thai Bank PCL, (5 year CMT + 3.53%), 4.40% (a)(d)(k) |
202 | 174,730 | ||||||||||
NBK Tier 1 Ltd., 3.63% (a)(b)(k) |
279 | 250,280 | ||||||||||
Standard Chartered PLC, (3 mo. LIBOR US + 1.08%), 3.89%, 03/15/24 (a)(b)(g) |
1,500 | 1,495,369 | ||||||||||
SVB Financial Group, Series D, (5 year CMT + 3.07%), 4.25% (a)(g)(k) |
1,000 | 754,531 | ||||||||||
Wells Fargo & Co., Series BB, (5 year CMT + 3.45%), 3.90% (a)(g)(k) |
365 | 314,356 | ||||||||||
|
|
|||||||||||
6,221,261 | ||||||||||||
Beverages — 1.5% |
||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46 (g) |
800 | 751,912 | ||||||||||
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27 (b)(g)(l) |
633 | 469,893 | ||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 4.00%, 09/01/29 (b)(g) |
1,958 | 1,571,295 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (b) |
||||||||||||
4.13%, 08/15/26 |
276 | 233,830 | ||||||||||
4.75%, 07/15/27 |
GBP | 100 | 87,320 | |||||||||
5.25%, 08/15/27 |
USD | 252 | 179,691 | |||||||||
Ball Corp. |
||||||||||||
2.88%, 08/15/30 |
36 | 28,977 |
S C H E D U L E O F I N V E S T M E N T S |
67 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Beverages (continued) |
||||||||||||
Ball Corp. (continued) |
||||||||||||
3.13%, 09/15/31 (g) |
USD | 377 | $ | 304,103 | ||||||||
Canpack SA/Canpack U.S. LLC, 3.13%, 11/01/25 (b) |
211 | 188,450 | ||||||||||
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 |
34 | 34,731 | ||||||||||
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24 (b)(g) |
794 | 758,270 | ||||||||||
OI European Group BV, 2.88%, 02/15/25 (d) |
EUR | 100 | 94,901 | |||||||||
Silgan Holdings, Inc., 4.13%, 02/01/28 |
USD | 84 | 75,325 | |||||||||
Triton Water Holdings, Inc., 6.25%, 04/01/29 (b) |
173 | 122,830 | ||||||||||
Trivium Packaging Finance BV (b)(g) |
||||||||||||
5.50%, 08/15/26 |
1,004 | 948,489 | ||||||||||
8.50%, 08/15/27 |
1,367 | 1,281,704 | ||||||||||
|
|
|||||||||||
|
7,131,721 | |||||||||||
Biotechnology — 0.0% |
||||||||||||
Cidron Aida Finco SARL, 5.00%, 04/01/28 (d) |
EUR | 100 | 87,049 | |||||||||
|
|
|||||||||||
Building Materials (b) — 0.5% |
||||||||||||
Cornerstone Building Brands, Inc., 6.13%, 01/15/29 |
USD | 178 | 114,355 | |||||||||
CP Atlas Buyer, Inc., 7.00%, 12/01/28 |
75 | 54,163 | ||||||||||
James Hardie International Finance DAC, 5.00%, 01/15/28 |
200 | 178,000 | ||||||||||
Jeld-Wen, Inc. |
||||||||||||
6.25%, 05/15/25 |
146 | 140,160 | ||||||||||
4.63%, 12/15/25 |
17 | 14,450 | ||||||||||
Masonite International Corp. |
||||||||||||
Class C, 5.38%, 02/01/28 |
101 | 91,405 | ||||||||||
Class C, 3.50%, 02/15/30 |
214 | 170,338 | ||||||||||
New Enterprise Stone & Lime Co., Inc. |
||||||||||||
5.25%, 07/15/28 |
81 | 66,585 | ||||||||||
9.75%, 07/15/28 |
38 | 32,490 | ||||||||||
SRM Escrow Issuer LLC, 6.00%, 11/01/28 (g) |
503 | 425,151 | ||||||||||
Standard Industries, Inc. (g) |
||||||||||||
5.00%, 02/15/27 |
174 | 155,305 | ||||||||||
4.75%, 01/15/28 |
46 | 39,330 | ||||||||||
4.38%, 07/15/30 |
683 | 538,716 | ||||||||||
3.38%, 01/15/31 |
283 | 208,746 | ||||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29 |
235 | 205,037 | ||||||||||
|
|
|||||||||||
2,434,231 | ||||||||||||
Building Products (b) — 0.7% |
||||||||||||
Advanced Drainage Systems, Inc. |
||||||||||||
5.00%, 09/30/27 |
202 | 186,248 | ||||||||||
6.38%, 06/15/30 (g) |
423 | 413,089 | ||||||||||
Beacon Roofing Supply, Inc., 4.13%, 05/15/29 |
100 | 81,322 | ||||||||||
Foundation Building Materials, Inc., 6.00%, 03/01/29 (g) |
174 | 127,455 | ||||||||||
GYP Holdings III Corp., 4.63%, 05/01/29 |
237 | 184,796 | ||||||||||
LBM Acquisition LLC, 6.25%, 01/15/29 |
219 | 140,995 | ||||||||||
Patrick Industries, Inc., 4.75%, 05/01/29 |
64 | 47,631 | ||||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 |
258 | 209,758 | ||||||||||
SRS Distribution, Inc. (g) |
||||||||||||
4.63%, 07/01/28 |
516 | 451,500 | ||||||||||
6.13%, 07/01/29 |
392 | 309,278 | ||||||||||
6.00%, 12/01/29 |
516 | 405,179 |
Security |
Par (000) |
Value |
||||||||||
Building Products (continued) |
||||||||||||
White Cap Buyer LLC, 6.88%, 10/15/28 (g) |
USD | 955 | $ | 764,000 | ||||||||
White Cap Parent LLC, (8.25% PIK), 8.25%, 03/15/26 (l) |
210 | 174,825 | ||||||||||
|
|
|||||||||||
3,496,076 | ||||||||||||
Capital Markets — 1.1% |
||||||||||||
Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00% (a)(g)(k) |
2,835 | 2,182,241 | ||||||||||
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29 (b) |
214 | 176,550 | ||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |
||||||||||||
6.25%, 05/15/26 (g) |
366 | 342,635 | ||||||||||
5.25%, 05/15/27 (g) |
606 | 536,819 | ||||||||||
4.38%, 02/01/29 |
295 | 238,407 | ||||||||||
Kane Bidco Ltd., 6.50%, 02/15/27 (d) |
GBP | 100 | 106,295 | |||||||||
NFP Corp. (b)(g) |
||||||||||||
4.88%, 08/15/28 |
USD | 522 | 447,077 | |||||||||
6.88%, 08/15/28 |
1,373 | 1,132,780 | ||||||||||
|
|
|||||||||||
5,162,804 | ||||||||||||
Chemicals — 1.8% |
||||||||||||
Alpek SAB de CV, 3.25%, 02/25/31 (b) |
200 | 160,225 | ||||||||||
Ashland LLC, 3.38%, 09/01/31 (b)(g) |
296 | 240,759 | ||||||||||
Axalta Coating Systems LLC, 3.38%, 02/15/29 (b)(g) |
. | 447 | 364,917 | |||||||||
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27 (b) |
170 | 152,762 | ||||||||||
Braskem Idesa SAPI, 6.99%, 02/20/32 (b) |
200 | 155,000 | ||||||||||
Braskem Netherlands Finance BV, (5 year CMT + 8.22%), 8.50%, 01/23/81 (a)(b) |
278 | 278,313 | ||||||||||
Chemours Co., 4.00%, 05/15/26 |
EUR | 100 | 92,744 | |||||||||
Diamond BC BV, 4.63%, 10/01/29 (b)(g) |
USD | 558 | 446,233 | |||||||||
Element Solutions, Inc., 3.88%, 09/01/28 (b)(g) |
1,421 | 1,172,510 | ||||||||||
EverArc Escrow SARL, 5.00%, 10/30/29 (b)(g) |
550 | 462,943 | ||||||||||
GCP Applied Technologies, Inc., 5.50%, 04/15/26 (b) |
|
165 | 164,175 | |||||||||
HB Fuller Co., 4.25%, 10/15/28 |
110 | 92,297 | ||||||||||
Herens Holdco SARL, 4.75%, 05/15/28 (b)(g) |
612 | 508,450 | ||||||||||
Herens Midco SARL, 5.25%, 05/15/29 (d) |
EUR | 100 | 68,377 | |||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28 (b)(g) |
USD | 368 | 290,720 | |||||||||
Ingevity Corp., 3.88%, 11/01/28 (b) |
84 | 70,350 | ||||||||||
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26 (b)(l) |
230 | 210,367 | ||||||||||
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29 (b) |
113 | 95,202 | ||||||||||
Lune Holdings SARL, 5.63%, 11/15/28 (d) |
EUR | 100 | 84,142 | |||||||||
Minerals Technologies, Inc., 5.00%, 07/01/28 (b) |
USD | 169 | 147,081 | |||||||||
Monitchem HoldCo 3 SA, 5.25%, 03/15/25 (d) |
EUR | 100 | 96,018 | |||||||||
NOVA Chemicals Corp., 4.88%, 06/01/24 (b) |
USD | 67 | 63,683 | |||||||||
Sasol Financing USA LLC, 5.50%, 03/18/31 |
200 | 152,900 | ||||||||||
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, 11/01/26 (b) |
239 | 191,200 | ||||||||||
Scotts Miracle-Gro Co. |
||||||||||||
4.00%, 04/01/31 |
169 | 126,327 | ||||||||||
4.38%, 02/01/32 |
27 | 20,526 | ||||||||||
WESCO Distribution, Inc. (b)(g) |
||||||||||||
7.13%, 06/15/25 |
676 | 674,533 | ||||||||||
7.25%, 06/15/28 |
616 | 609,224 |
68 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Chemicals (continued) |
||||||||||||
WR Grace Holdings LLC (b) |
||||||||||||
5.63%, 10/01/24 |
USD | 216 | $ | 209,263 | ||||||||
5.63%, 08/15/29 (g) |
1,371 | 1,009,399 | ||||||||||
|
|
|||||||||||
8,410,640 | ||||||||||||
Commercial Services & Supplies — 0.8% |
||||||||||||
ADT Security Corp. |
||||||||||||
4.13%, 06/15/23 |
9 | 8,840 | ||||||||||
4.13%, 08/01/29 (b) |
27 | 21,912 | ||||||||||
4.88%, 07/15/32 (b) |
38 | 30,249 | ||||||||||
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26 (b) |
200 | 171,165 | ||||||||||
APX Group, Inc., 5.75%, 07/15/29 (b) |
268 | 207,483 | ||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 03/01/29 (b)(g) |
36 | 29,945 | ||||||||||
BCP V Modular Services Finance II PLC, 4.75%, 11/30/28 (d) |
EUR | 100 | 83,155 | |||||||||
EC Finance PLC, 3.00%, 10/15/26 (d) |
200 | 182,819 | ||||||||||
Fortress Transportation & Infrastructure Investors LLC (b) |
||||||||||||
6.50%, 10/01/25 |
USD | 75 | 70,763 | |||||||||
5.50%, 05/01/28 |
310 | 255,879 | ||||||||||
Herc Holdings, Inc., 5.50%, 07/15/27 (b) |
362 | 330,470 | ||||||||||
Hertz Corp. (b) |
||||||||||||
4.63%, 12/01/26 |
126 | 105,346 | ||||||||||
5.00%, 12/01/29 |
101 | 77,770 | ||||||||||
Metis Merger Sub LLC, 6.50%, 05/15/29 (b) |
214 | 170,054 | ||||||||||
NESCO Holdings II, Inc., 5.50%, 04/15/29 (b) |
239 | 200,163 | ||||||||||
PECF USS Intermediate Holding III Corp., 8.00%, 11/15/29 (b) |
11 | 8,718 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. (b) |
||||||||||||
5.25%, 04/15/24 |
141 | 137,828 | ||||||||||
5.75%, 04/15/26 (g) |
421 | 392,582 | ||||||||||
6.25%, 01/15/28 |
188 | 157,280 | ||||||||||
Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25 (b) |
187 | 183,105 | ||||||||||
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29 (b)(g) |
653 | 560,482 | ||||||||||
United Rentals North America, Inc. |
||||||||||||
5.50%, 05/15/27 |
170 | 166,713 | ||||||||||
5.25%, 01/15/30 |
161 | 149,328 | ||||||||||
Williams Scotsman International, Inc., 4.63%, 08/15/28 (b) |
243 | 207,157 | ||||||||||
|
|
|||||||||||
3,909,206 | ||||||||||||
Communications Equipment — 0.5% |
||||||||||||
Avaya, Inc., 6.13%, 09/15/28 (b)(g) |
481 | 313,852 | ||||||||||
Ciena Corp., 4.00%, 01/31/30 (b) |
104 | 89,766 | ||||||||||
CommScope Technologies LLC, 6.00%, 06/15/25 (b)(g) |
632 | 546,680 | ||||||||||
CommScope, Inc. (b) |
||||||||||||
6.00%, 03/01/26 |
176 | 162,101 | ||||||||||
8.25%, 03/01/27 |
86 | 67,983 | ||||||||||
7.13%, 07/01/28 (g) |
138 | 104,891 | ||||||||||
4.75%, 09/01/29 (g) |
234 | 188,767 | ||||||||||
Nokia OYJ, 4.38%, 06/12/27 |
149 | 140,760 | ||||||||||
Viasat, Inc. (b) |
||||||||||||
5.63%, 09/15/25 |
270 | 218,385 | ||||||||||
5.63%, 04/15/27 (g) |
67 | 57,932 |
Security |
Par (000) |
Value |
||||||||||
Communications Equipment (continued) |
||||||||||||
Viasat, Inc. (b) (continued) |
||||||||||||
6.50%, 07/15/28 (g) |
USD | 161 | $ | 110,900 | ||||||||
Viavi Solutions, Inc., 3.75%, 10/01/29 (b) |
300 | 251,255 | ||||||||||
|
|
|||||||||||
2,253,272 | ||||||||||||
Construction Materials (b) — 0.4% |
||||||||||||
American Builders & Contractors Supply Co., Inc. |
||||||||||||
4.00%, 01/15/28 (g) |
447 | 382,860 | ||||||||||
3.88%, 11/15/29 |
59 | 47,170 | ||||||||||
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 |
109 | 88,735 | ||||||||||
H&E Equipment Services, Inc., 3.88%, 12/15/28 |
58 | 46,907 | ||||||||||
IAA, Inc., 5.50%, 06/15/27 (g) |
372 | 346,496 | ||||||||||
Picasso Finance Sub, Inc., 6.13%, 06/15/25 (g) |
403 | 392,925 | ||||||||||
Thor Industries, Inc., 4.00%, 10/15/29 |
168 | 133,056 | ||||||||||
Winnebago Industries, Inc., 6.25%, 07/15/28 |
114 | 104,395 | ||||||||||
Wolverine Escrow LLC, 9.00%, 11/15/26 |
672 | 391,642 | ||||||||||
|
|
|||||||||||
1,934,186 | ||||||||||||
Consumer Discretionary — 1.2% |
||||||||||||
APi Escrow Corp., 4.75%, 10/15/29 (b) |
100 | 80,750 | ||||||||||
APi Group DE, Inc., 4.13%, 07/15/29 (b) |
132 | 104,834 | ||||||||||
Carnival Corp. |
||||||||||||
10.13%, 02/01/26 (d) |
EUR | 100 | 103,511 | |||||||||
10.50%, 02/01/26 (b)(g) |
USD | 669 | 665,969 | |||||||||
5.75%, 03/01/27 (b)(g) |
953 | 688,333 | ||||||||||
9.88%, 08/01/27 (b)(g) |
381 | 371,475 | ||||||||||
4.00%, 08/01/28 (b)(g) |
1,019 | 835,580 | ||||||||||
6.00%, 05/01/29 (b)(g) |
313 | 219,917 | ||||||||||
CoreLogic, Inc., 4.50%, 05/01/28 (b)(g) |
511 | 393,470 | ||||||||||
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/26 (b) |
91 | 76,258 | ||||||||||
Life Time, Inc. (b) |
||||||||||||
5.75%, 01/15/26 |
258 | 231,289 | ||||||||||
8.00%, 04/15/26 |
215 | 191,619 | ||||||||||
NCL Corp. Ltd., 5.88%, 03/15/26 (b) |
253 | 198,577 | ||||||||||
NCL Finance Ltd., 6.13%, 03/15/28 (b)(g) |
261 | 189,878 | ||||||||||
Nielsen Finance LLC/Nielsen Finance Co. (b) |
||||||||||||
5.63%, 10/01/28 (g) |
479 | 444,847 | ||||||||||
5.88%, 10/01/30 |
192 | 176,287 | ||||||||||
Royal Caribbean Cruises Ltd. (b) |
||||||||||||
10.88%, 06/01/23 |
90 | 90,301 | ||||||||||
9.13%, 06/15/23 |
153 | 151,311 | ||||||||||
11.50%, 06/01/25 |
120 | 123,300 | ||||||||||
5.50%, 08/31/26 |
91 | 67,568 | ||||||||||
5.50%, 04/01/28 (g) |
354 | 246,030 | ||||||||||
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29 (b) |
183 | 144,296 | ||||||||||
|
|
|||||||||||
5,795,400 | ||||||||||||
Consumer Finance — 1.4% |
||||||||||||
American Express Co., (5 year CMT + 2.85%), 3.55% (a)(g)(k) |
735 | 598,003 | ||||||||||
Block, Inc., 3.50%, 06/01/31 (b)(g) |
1,094 | 871,765 | ||||||||||
Equifax, Inc., 2.60%, 12/15/25 |
59 | 55,617 | ||||||||||
HealthEquity, Inc., 4.50%, 10/01/29 (b)(g) |
583 | 510,125 | ||||||||||
MPH Acquisition Holdings LLC, 5.50%, 09/01/28 (b) |
220 | 195,800 | ||||||||||
Navient Corp. |
||||||||||||
7.25%, 09/25/23 |
77 | 76,183 | ||||||||||
6.13%, 03/25/24 |
86 | 81,540 | ||||||||||
5.88%, 10/25/24 |
82 | 75,374 | ||||||||||
5.50%, 03/15/29 |
278 | 214,313 |
S C H E D U L E O F I N V E S T M E N T S |
69 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Consumer Finance (continued) |
||||||||||||
OneMain Finance Corp. |
||||||||||||
6.88%, 03/15/25 |
USD | 226 | $ | 214,194 | ||||||||
7.13%, 03/15/26 |
305 | 281,890 | ||||||||||
3.50%, 01/15/27 |
304 | 243,200 | ||||||||||
6.63%, 01/15/28 |
240 | 214,502 | ||||||||||
5.38%, 11/15/29 |
70 | 56,725 | ||||||||||
4.00%, 09/15/30 |
139 | 103,034 | ||||||||||
Sabre Global, Inc. (b) |
||||||||||||
9.25%, 04/15/25 |
164 | 158,022 | ||||||||||
7.38%, 09/01/25 |
252 | 233,730 | ||||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26 (b) |
348 | 307,977 | ||||||||||
Shift4 Payments, Inc., 0.00%, 12/15/25 (h)(i) |
349 | 279,724 | ||||||||||
SLM Corp., 3.13%, 11/02/26 |
173 | 139,691 | ||||||||||
Verscend Escrow Corp., 9.75%, 08/15/26 (b)(g) |
1,817 | 1,767,032 | ||||||||||
|
|
|||||||||||
6,678,441 | ||||||||||||
Containers & Packaging — 0.6% |
||||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC (b) |
||||||||||||
6.00%, 06/15/27 |
400 | 395,892 | ||||||||||
3.25%, 09/01/28 |
200 | 170,714 | ||||||||||
Clydesdale Acquisition Holdings, Inc. (b) |
||||||||||||
6.63%, 04/15/29 (g) |
503 | 472,634 | ||||||||||
8.75%, 04/15/30 |
377 | 325,189 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 |
196 | 180,810 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 (g) |
424 | 403,487 | ||||||||||
Graham Packaging Co., Inc., 7.13%, 08/15/28 (b) |
60 | 48,150 | ||||||||||
Graphic Packaging International LLC (b) |
||||||||||||
4.75%, 07/15/27 |
89 | 84,033 | ||||||||||
3.50%, 03/15/28 |
17 | 14,620 | ||||||||||
3.50%, 03/01/29 |
61 | 51,221 | ||||||||||
Klabin Austria GmbH, 3.20%, 01/12/31 (b) |
200 | 152,250 | ||||||||||
LABL, Inc., 5.88%, 11/01/28 (b) |
261 | 210,738 | ||||||||||
Sealed Air Corp. (b) |
||||||||||||
5.13%, 12/01/24 |
46 | 45,655 | ||||||||||
4.00%, 12/01/27 |
73 | 65,810 | ||||||||||
Suzano Austria GmbH, 3.13%, 01/15/32 |
71 | 53,339 | ||||||||||
|
|
|||||||||||
2,674,542 | ||||||||||||
Diversified Consumer Services — 1.4% |
||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. (b)(g) |
||||||||||||
6.63%, 07/15/26 |
1,998 | 1,833,425 | ||||||||||
9.75%, 07/15/27 |
601 | 508,650 | ||||||||||
6.00%, 06/01/29 |
1,356 | 984,689 | ||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28 (b)(g) |
1,348 | 1,102,420 | ||||||||||
Clarivate Science Holdings Corp. (b)(g) |
||||||||||||
3.88%, 07/01/28 |
603 | 503,811 | ||||||||||
4.88%, 07/01/29 |
434 | 356,314 | ||||||||||
Garda World Security Corp., 4.63%, 02/15/27 (b) |
132 | 113,520 | ||||||||||
Graham Holdings Co., 5.75%, 06/01/26 (b) |
140 | 138,600 | ||||||||||
Rekeep SpA, 7.25%, 02/01/26 (d) |
EUR | 100 | 90,293 | |||||||||
Service Corp. International |
||||||||||||
5.13%, 06/01/29 |
USD | 238 | 224,241 | |||||||||
3.38%, 08/15/30 (g) |
263 | 215,331 |
Security |
Par (000) |
Value |
||||||||||
Diversified Consumer Services (continued) |
||||||||||||
Service Corp. International (continued) |
||||||||||||
4.00%, 05/15/31 |
USD | 333 | $ | 284,299 | ||||||||
Sotheby’s, 7.38%, 10/15/27 (b)(g) |
451 | 417,975 | ||||||||||
|
|
|||||||||||
6,773,568 | ||||||||||||
Diversified Financial Services — 2.8% |
||||||||||||
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28 (b)(g) |
403 | 334,417 | ||||||||||
ASG Finance Designated Activity Co., 7.88%, 12/03/24 (b) |
200 | 187,500 | ||||||||||
Barclays PLC |
||||||||||||
3.65%, 03/16/25 (g) |
3,600 | 3,520,426 | ||||||||||
5.20%, 05/12/26 |
200 | 199,146 | ||||||||||
BNP Paribas S.A., (5 year CMT + 3.34%), 4.63% (a)(b)(g)(k) |
1,500 | 1,106,997 | ||||||||||
Castlelake Aviation Finance DAC, 5.00%, 04/15/27 (b) |
74 | 61,431 | ||||||||||
Central Garden & Pet Co. |
||||||||||||
4.13%, 10/15/30 |
194 | 159,179 | ||||||||||
4.13%, 04/30/31 (b) |
177 | 142,089 | ||||||||||
Citigroup, Inc. (a)(k) |
||||||||||||
(5 year CMT + 3.42%), 3.88% (g) |
2,000 | 1,660,000 | ||||||||||
Series W, (5 year CMT + 3.60%), 4.00% |
155 | 134,075 | ||||||||||
Series Y, (5 year CMT + 3.00%), 4.15% (g) |
490 | 393,225 | ||||||||||
Garfunkelux Holdco 3 SA, 7.75%, 11/01/25 (d) |
GBP | 100 | 108,948 | |||||||||
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24 (b)(l) |
USD | 223 | 169,190 | |||||||||
Goldman Sachs Group, Inc., Series R, (5 year CMT + 3.22%), 4.95% (a)(g)(k) |
730 | 657,241 | ||||||||||
HSBC Holdings PLC (g) 4.38%, 11/23/26 |
395 | 386,101 | ||||||||||
(5 year CMT + 3.22%), 4.00% (a)(k) |
290 | 243,111 | ||||||||||
(5 year USD ICE Swap + 4.37%), 6.38% (a)(k) |
1,250 | 1,208,687 | ||||||||||
Intrum AB, 3.00%, 09/15/27 (d) |
EUR | 100 | 80,550 | |||||||||
ION Trading Technologies SARL, 5.75%, 05/15/28 (b) |
USD | 200 | 159,958 | |||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.00%, 08/15/28 (b) |
325 | 267,313 | ||||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. (b) |
||||||||||||
4.25%, 02/01/27 (g) |
170 | 137,245 | ||||||||||
4.75%, 06/15/29 |
67 | 51,552 | ||||||||||
Lloyds Banking Group PLC, (5 year CMT + 4.82%), 6.75% (a)(g)(k) |
450 | 423,594 | ||||||||||
Morgan Stanley, 4.00%, 07/23/25 (g) |
965 | 964,186 | ||||||||||
Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25 (b)(g) |
300 | 194,681 | ||||||||||
Shriram Transport Finance Co. Ltd., 5.95%, 10/24/22 (d) |
220 | 217,184 | ||||||||||
Spectrum Brands, Inc. (b) |
||||||||||||
5.00%, 10/01/29 |
141 | 121,928 | ||||||||||
5.50%, 07/15/30 |
154 | 138,594 | ||||||||||
|
|
|||||||||||
13,428,548 | ||||||||||||
Diversified Telecommunication Services — 3.3% |
||||||||||||
AT&T, Inc., 4.30%, 02/15/30 (g) |
1,350 | 1,317,466 | ||||||||||
Consolidated Communications, Inc., 6.50%, 10/01/28 (b)(g) |
489 | 415,934 | ||||||||||
Frontier Communications Holdings LLC, 8.75%, 05/15/30 (b) |
300 | 303,297 |
70 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Diversified Telecommunication Services (continued) |
||||||||||||
Level 3 Financing, Inc. |
||||||||||||
5.38%, 05/01/25 |
USD | 90 | $ | 87,171 | ||||||||
3.40%, 03/01/27 (b) |
88 | 75,797 | ||||||||||
4.63%, 09/15/27 (b) |
111 | 94,627 | ||||||||||
4.25%, 07/01/28 (b)(g) |
785 | 628,981 | ||||||||||
3.63%, 01/15/29 (b) |
136 | 104,863 | ||||||||||
3.75%, 07/15/29 (b) |
380 | 293,818 | ||||||||||
Lumen Technologies, Inc. (g) |
||||||||||||
5.13%, 12/15/26 (b) |
839 | 706,287 | ||||||||||
4.00%, 02/15/27 (b) |
493 | 416,955 | ||||||||||
4.50%, 01/15/29 (b) |
560 | 416,861 | ||||||||||
5.38%, 06/15/29 (b) |
455 | 360,258 | ||||||||||
Series U, 7.65%, 03/15/42 |
188 | 144,290 | ||||||||||
Series W, 6.75%, 12/01/23 |
512 | 507,205 | ||||||||||
Series Y, 7.50%, 04/01/24 |
266 | 262,342 | ||||||||||
Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25 (l) |
200 | 92,000 | ||||||||||
SoftBank Group Corp. (d) |
||||||||||||
4.50%, 04/20/25 |
EUR | 100 | 94,839 | |||||||||
4.75%, 07/30/25 |
100 | 92,913 | ||||||||||
Sprint Capital Corp. (g) |
||||||||||||
6.88%, 11/15/28 |
USD | 1,355 | 1,424,809 | |||||||||
8.75%, 03/15/32 |
870 | 1,047,028 | ||||||||||
Switch Ltd. (b) |
||||||||||||
3.75%, 09/15/28 |
312 | 308,615 | ||||||||||
4.13%, 06/15/29 (g) |
616 | 609,742 | ||||||||||
Telecom Italia Capital SA |
||||||||||||
6.38%, 11/15/33 |
222 | 171,428 | ||||||||||
6.00%, 09/30/34 (g) |
432 | 325,845 | ||||||||||
7.20%, 07/18/36 |
98 | 74,406 | ||||||||||
7.72%, 06/04/38 |
44 | 33,946 | ||||||||||
Telecom Italia SpA |
||||||||||||
4.00%, 04/11/24 (d) |
EUR | 150 | 154,442 | |||||||||
5.30%, 05/30/24 (b)(g) |
USD | 200 | 192,170 | |||||||||
1.63%, 01/18/29 (d) |
EUR | 200 | 151,345 | |||||||||
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 01/15/30 (b) |
USD | 152 | 105,154 | |||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 04/15/28 (b) |
266 | 218,756 | ||||||||||
Verizon Communications, Inc. (g) |
||||||||||||
2.36%, 03/15/32 |
169 | 140,124 | ||||||||||
3.70%, 03/22/61 |
1,000 | 785,422 | ||||||||||
Zayo Group Holdings, Inc. (b)(g) |
||||||||||||
4.00%, 03/01/27 |
3,059 | 2,537,716 | ||||||||||
6.13%, 03/01/28 |
1,772 | 1,279,579 | ||||||||||
|
|
|||||||||||
15,976,431 | ||||||||||||
Electric Utilities — 0.6% |
||||||||||||
Black Hills Corp., 3.15%, 01/15/27 (g) |
305 | 290,869 | ||||||||||
Empresas Publicas de Medellin ESP, 4.25%, 07/18/29 (b) |
200 | 156,412 | ||||||||||
Enel Finance International NV, 3.63%, 05/25/27 (b)(g) |
900 | 855,312 | ||||||||||
Exelon Corp., 3.40%, 04/15/26 (g) |
140 | 135,841 | ||||||||||
FirstEnergy Corp. |
||||||||||||
2.65%, 03/01/30 |
270 | 222,750 | ||||||||||
Series B, 2.25%, 09/01/30 |
21 | 16,643 | ||||||||||
Series C, 3.40%, 03/01/50 (g) |
717 | 486,054 | ||||||||||
FirstEnergy Transmission LLC (b) |
||||||||||||
5.45%, 07/15/44 (g) |
458 | 428,098 |
Security |
Par (000) |
Value |
||||||||||
Electric Utilities (continued) |
||||||||||||
FirstEnergy Transmission LLC (b) (continued) |
||||||||||||
4.55%, 04/01/49 |
USD | 163 | $ | 131,154 | ||||||||
NextEra Energy Operating Partners LP (b) |
||||||||||||
4.25%, 07/15/24 (g) |
170 | 162,622 | ||||||||||
4.25%, 09/15/24 |
9 | 8,573 | ||||||||||
Pike Corp., 5.50%, 09/01/28 (b) |
80 | 64,945 | ||||||||||
Texas Competitive Electric Holdings, 1.00%, 11/10/21 (c)(e)(j) |
780 | — | ||||||||||
|
|
|||||||||||
2,959,273 | ||||||||||||
Electrical Equipment (b) — 0.1% |
||||||||||||
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 (g) |
416 | 385,840 | ||||||||||
GrafTech Finance, Inc., 4.63%, 12/15/28 |
136 | 110,091 | ||||||||||
|
|
|||||||||||
495,931 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.4% |
||||||||||||
BWX Technologies, Inc. (b) |
||||||||||||
4.13%, 06/30/28 |
268 | 238,520 | ||||||||||
4.13%, 04/15/29 |
208 | 182,520 | ||||||||||
Energizer Holdings, Inc. (b) |
||||||||||||
4.75%, 06/15/28 |
140 | 111,121 | ||||||||||
4.38%, 03/31/29 |
19 | 14,587 | ||||||||||
Imola Merger Corp., 4.75%, 05/15/29 (b)(g) |
660 | 552,196 | ||||||||||
Vertiv Group Corp., 4.13%, 11/15/28 (b)(g) |
994 | 807,048 | ||||||||||
Xerox Corp., 4.80%, 03/01/35 |
56 | 42,971 | ||||||||||
|
|
|||||||||||
1,948,963 | ||||||||||||
Energy Equipment & Services — 0.4% |
||||||||||||
Archrock Partners LP/Archrock Partners Finance Corp. (b) |
||||||||||||
6.88%, 04/01/27 |
139 | 126,750 | ||||||||||
6.25%, 04/01/28 (g) |
706 | 625,022 | ||||||||||
Halliburton Co., 3.80%, 11/15/25 (g) |
3 | 2,970 | ||||||||||
Petroleos Mexicanos |
||||||||||||
8.75%, 06/02/29 (b) |
169 | 151,181 | ||||||||||
6.70%, 02/16/32 (g) |
220 | 166,650 | ||||||||||
USA Compression Partners LP/USA Compression Finance Corp. |
||||||||||||
6.88%, 04/01/26 |
263 | 239,251 | ||||||||||
6.88%, 09/01/27 (g) |
406 | 360,325 | ||||||||||
Vallourec SA, 8.50%, 06/30/26 (d) |
EUR | 25 | 24,195 | |||||||||
Weatherford International Ltd. (b) |
||||||||||||
6.50%, 09/15/28 |
USD | 13 | 11,667 | |||||||||
8.63%, 04/30/30 |
208 | 172,596 | ||||||||||
|
|
|||||||||||
1,880,607 | ||||||||||||
Entertainment (b) — 0.1% |
||||||||||||
AMC Entertainment Holdings, Inc., 7.50%, 02/15/29 (g) |
324 | 273,780 | ||||||||||
Lindblad Expeditions LLC, 6.75%, 02/15/27 |
260 | 222,950 | ||||||||||
NCL Corp. Ltd., 7.75%, 02/15/29 |
109 | 83,385 | ||||||||||
|
|
|||||||||||
580,115 | ||||||||||||
Environmental, Maintenance & Security Service — 0.6% |
||||||||||||
Clean Harbors, Inc. (b)(g) |
||||||||||||
4.88%, 07/15/27 |
250 | 228,750 | ||||||||||
5.13%, 07/15/29 |
172 | 156,090 | ||||||||||
Covanta Holding Corp. |
||||||||||||
4.88%, 12/01/29 (b) |
250 | 203,430 | ||||||||||
5.00%, 09/01/30 |
45 | 36,734 | ||||||||||
GFL Environmental, Inc. (b) |
||||||||||||
4.25%, 06/01/25 |
86 | 81,160 | ||||||||||
3.75%, 08/01/25 |
136 | 126,140 |
S C H E D U L E O F I N V E S T M E N T S |
71 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Environmental, Maintenance & Security Service (continued) |
||||||||||||
GFL Environmental, Inc. (b) (continued) |
||||||||||||
5.13%, 12/15/26 (g) |
USD | 485 | $ | 463,805 | ||||||||
4.00%, 08/01/28 (g) |
431 | 355,575 | ||||||||||
3.50%, 09/01/28 |
198 | 169,785 | ||||||||||
4.75%, 06/15/29 |
378 | 312,795 | ||||||||||
4.38%, 08/15/29 |
259 | 208,495 | ||||||||||
Stericycle, Inc., 3.88%, 01/15/29 (b) |
162 | 132,435 | ||||||||||
Tervita Corp., 11.00%, 12/01/25 (b) |
114 | 123,975 | ||||||||||
Waste Pro USA, Inc., 5.50%, 02/15/26 (b)(g) |
519 | 461,028 | ||||||||||
|
|
|||||||||||
3,060,197 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 1.2% |
||||||||||||
Alexandria Real Estate Equities, Inc., 4.00%, 02/01/50 (g) |
450 | 371,148 | ||||||||||
Brookfield Property REIT, Inc./BPR Cumulus |
||||||||||||
LLC/BPR Nimbus LLC/GGSI Sellco LL, 4.50%, 04/01/27 (b) |
178 | 147,604 | ||||||||||
CTR Partnership LP/CareTrust Capital Corp., 3.88%, 06/30/28 (b) |
163 | 139,202 | ||||||||||
ERP Operating LP, 3.38%, 06/01/25 (g) |
1,015 | 994,918 | ||||||||||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27 (b)(g) |
142 | 118,668 | ||||||||||
Iron Mountain, Inc. (b)(g) |
||||||||||||
5.25%, 07/15/30 |
172 | 149,536 | ||||||||||
5.63%, 07/15/32 |
417 | 352,605 | ||||||||||
LMIRT Capital Pte. Ltd., 7.25%, 06/19/24 (d) |
229 | 199,230 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp. (g) |
||||||||||||
5.00%, 10/15/27 |
66 | 60,368 | ||||||||||
4.63%, 08/01/29 |
433 | 379,957 | ||||||||||
3.50%, 03/15/31 |
1,400 | 1,103,424 | ||||||||||
RHP Hotel Properties LP/RHP Finance Corp. |
||||||||||||
4.75%, 10/15/27 (g) |
644 | 571,299 | ||||||||||
4.50%, 02/15/29 (b) |
179 | 151,774 | ||||||||||
RLJ Lodging Trust LP (b) |
||||||||||||
3.75%, 07/01/26 |
135 | 116,987 | ||||||||||
4.00%, 09/15/29 |
97 | 79,677 | ||||||||||
Ventas Realty LP, 4.13%, 01/15/26 (g) |
650 | 643,024 | ||||||||||
|
|
|||||||||||
5,579,421 | ||||||||||||
Food & Staples Retailing — 1.1% |
||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC (b) |
||||||||||||
3.25%, 03/15/26 (g) |
582 | 506,893 | ||||||||||
7.50%, 03/15/26 (g) |
107 | 106,436 | ||||||||||
4.63%, 01/15/27 (g) |
766 | 684,283 | ||||||||||
5.88%, 02/15/28 |
320 | 299,081 | ||||||||||
4.88%, 02/15/30 |
138 | 118,382 | ||||||||||
Bellis Acquisition Co. PLC, 3.25%, 02/16/26 (d) |
GBP | 100 | 94,341 | |||||||||
Darling Ingredients, Inc., 6.00%, 06/15/30 (b) |
USD | 313 | 311,951 | |||||||||
Kraft Heinz Foods Co. |
||||||||||||
6.50%, 02/09/40 |
155 | 167,491 | ||||||||||
4.88%, 10/01/49 (g) |
397 | 350,651 | ||||||||||
5.50%, 06/01/50 (g) |
691 | 663,301 | ||||||||||
Lamb Weston Holdings, Inc. (b) |
||||||||||||
4.88%, 05/15/28 (g) |
156 | 146,813 | ||||||||||
4.13%, 01/31/30 |
312 | 270,055 | ||||||||||
4.38%, 01/31/32 |
285 | 247,950 | ||||||||||
Market Bidco Finco PLC, 5.50%, 11/04/27 (d) |
GBP | 100 | 92,515 | |||||||||
Ocado Group PLC, 3.88%, 10/08/26 (d) |
100 | 97,624 |
Security |
Par (000) |
Value |
||||||||||
Food & Staples Retailing (continued) |
||||||||||||
Performance Food Group, Inc., 4.25%, 08/01/29 (b)(g) |
USD | 395 | $ | 329,825 | ||||||||
Post Holdings, Inc. (b) |
||||||||||||
5.75%, 03/01/27 |
89 | 86,219 | ||||||||||
5.63%, 01/15/28 |
73 | 69,291 | ||||||||||
5.50%, 12/15/29 (g) |
261 | 233,329 | ||||||||||
4.63%, 04/15/30 (g) |
170 | 143,441 | ||||||||||
U.S. Foods, Inc., 4.75%, 02/15/29 (b) |
335 | 292,854 | ||||||||||
|
|
|||||||||||
5,312,726 | ||||||||||||
Food Products — 0.6% |
||||||||||||
Aramark Services, Inc. (b) |
||||||||||||
5.00%, 04/01/25 (g) |
623 | 596,924 | ||||||||||
5.00%, 02/01/28 |
442 | 400,545 | ||||||||||
BRF SA, 4.88%, 01/24/30 (d) |
200 | 158,600 | ||||||||||
Chobani LLC/Chobani Finance Corp., Inc. (b)(g) |
||||||||||||
7.50%, 04/15/25 |
757 | 695,205 | ||||||||||
4.63%, 11/15/28 |
364 | 307,580 | ||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/01/31 (b)(g) |
280 | 229,708 | ||||||||||
Pilgrim’s Pride Corp., 3.50%, 03/01/32 (b)(g) |
175 | 136,719 | ||||||||||
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29 (b) |
284 | 240,094 | ||||||||||
|
|
|||||||||||
2,765,375 | ||||||||||||
Gas Utilities — 0.0% |
||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31 (b) |
91 | 77,384 | ||||||||||
|
|
|||||||||||
Health Care Equipment & Supplies (b) — 0.2% |
||||||||||||
Avantor Funding, Inc. |
||||||||||||
4.63%, 07/15/28 (g) |
872 | 799,362 | ||||||||||
3.88%, 11/01/29 |
210 | 183,677 | ||||||||||
Embecta Corp., 6.75%, 02/15/30 |
152 | 136,850 | ||||||||||
Hologic, Inc., 3.25%, 02/15/29 |
46 | 39,316 | ||||||||||
|
|
|||||||||||
1,159,205 | ||||||||||||
Health Care Providers & Services — 3.5% |
||||||||||||
180 Medical, Inc., 3.88%, 10/15/29 (b) |
200 | 173,000 | ||||||||||
Acadia Healthcare Co., Inc. (b) |
||||||||||||
5.50%, 07/01/28 |
115 | 107,444 | ||||||||||
5.00%, 04/15/29 |
55 | 49,375 | ||||||||||
AdaptHealth LLC (b) |
||||||||||||
6.13%, 08/01/28 |
73 | 64,570 | ||||||||||
5.13%, 03/01/30 |
26 | 21,916 | ||||||||||
AHP Health Partners, Inc., 5.75%, 07/15/29 (b) |
324 | 238,043 | ||||||||||
Cano Health LLC, 6.25%, 10/01/28 (b) |
125 | 102,225 | ||||||||||
Centene Corp. |
||||||||||||
2.45%, 07/15/28 (g) |
687 | 572,985 | ||||||||||
4.63%, 12/15/29 (g) |
1,058 | 986,585 | ||||||||||
3.00%, 10/15/30 (g) |
652 | 540,345 | ||||||||||
2.50%, 03/01/31 (g) |
1,077 | 854,880 | ||||||||||
2.63%, 08/01/31 |
334 | 265,697 | ||||||||||
CHS/Community Health Systems, Inc. (b) |
||||||||||||
8.00%, 03/15/26 (g) |
1,132 | 1,030,901 | ||||||||||
5.63%, 03/15/27 (g) |
565 | 478,199 | ||||||||||
6.00%, 01/15/29 (g) |
502 | 415,867 | ||||||||||
6.13%, 04/01/30 |
301 | 183,610 | ||||||||||
Elevance Health, Inc., 2.75%, 10/15/42 (h) |
57 | 391,043 | ||||||||||
Encompass Health Corp. |
||||||||||||
4.50%, 02/01/28 |
45 | 38,524 | ||||||||||
4.75%, 02/01/30 (g) |
403 | 337,730 |
72 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Health Care Providers & Services (continued) |
||||||||||||
Encompass Health Corp. (continued) |
||||||||||||
4.63%, 04/01/31 |
USD | 211 | $ | 170,852 | ||||||||
HCA, Inc., 5.50%, 06/15/47 (g) |
650 | 579,821 | ||||||||||
Legacy LifePoint Health LLC (b) |
||||||||||||
6.75%, 04/15/25 |
190 | 183,656 | ||||||||||
4.38%, 02/15/27 |
217 | 185,930 | ||||||||||
LifePoint Health, Inc., 5.38%, 01/15/29 (b)(g) |
160 | 117,600 | ||||||||||
Medline Borrower LP (b)(g) |
||||||||||||
3.88%, 04/01/29 |
449 | 382,418 | ||||||||||
5.25%, 10/01/29 |
1,118 | 918,213 | ||||||||||
ModivCare, Inc., 5.88%, 11/15/25 (b) |
71 | 65,320 | ||||||||||
Molina Healthcare, Inc. (b) |
||||||||||||
4.38%, 06/15/28 |
303 | 270,661 | ||||||||||
3.88%, 11/15/30 |
226 | 193,180 | ||||||||||
3.88%, 05/15/32 |
238 | 199,584 | ||||||||||
Owens & Minor, Inc., 6.63%, 04/01/30 (b) |
142 | 129,713 | ||||||||||
Prime Healthcare Services, Inc., 7.25%, 11/01/25 (b) |
312 | 266,292 | ||||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26 (b) |
53 | 51,543 | ||||||||||
Surgery Center Holdings, Inc. (b)(g) |
||||||||||||
6.75%, 07/01/25 |
611 | 560,006 | ||||||||||
10.00%, 04/15/27 |
621 | 601,528 | ||||||||||
Teleflex, Inc. |
||||||||||||
4.63%, 11/15/27 |
80 | 73,800 | ||||||||||
4.25%, 06/01/28 (b)(g) |
368 | 332,501 | ||||||||||
Tenet Healthcare Corp. |
||||||||||||
4.63%, 07/15/24 (g) |
204 | 195,785 | ||||||||||
4.63%, 09/01/24 (b)(g) |
367 | 352,320 | ||||||||||
4.88%, 01/01/26 (b)(g) |
1,618 | 1,488,560 | ||||||||||
6.25%, 02/01/27 (b) |
95 | 87,439 | ||||||||||
5.13%, 11/01/27 (b)(g) |
614 | 552,600 | ||||||||||
4.63%, 06/15/28 (b) |
81 | 70,533 | ||||||||||
6.13%, 10/01/28 (b)(g) |
183 | 156,608 | ||||||||||
4.25%, 06/01/29 (b) |
48 | 40,426 | ||||||||||
6.13%, 06/15/30 (b) |
283 | 261,090 | ||||||||||
UnitedHealth Group, Inc., 3.75%, 07/15/25 (g) |
1,470 | 1,468,013 | ||||||||||
|
|
|||||||||||
16,808,931 | ||||||||||||
Health Care Technology — 0.8% |
||||||||||||
Catalent Pharma Solutions, Inc. |
||||||||||||
5.00%, 07/15/27 (b)(g) |
365 | 343,585 | ||||||||||
2.38%, 03/01/28 (d) |
EUR | 100 | 85,412 | |||||||||
3.13%, 02/15/29 (b) |
USD | 157 | 128,808 | |||||||||
3.50%, 04/01/30 (b)(g) |
412 | 336,163 | ||||||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25 (b)(g) |
732 | 712,741 | ||||||||||
Charles River Laboratories International, Inc. (b) |
||||||||||||
4.25%, 05/01/28 |
159 | 142,831 | ||||||||||
3.75%, 03/15/29 |
34 | 29,507 | ||||||||||
4.00%, 03/15/31 |
98 | 83,540 | ||||||||||
Chrome Bidco SASU, 3.50%, 05/31/28 (d) |
EUR | 100 | 85,755 | |||||||||
IQVIA, Inc. (b)(g) |
||||||||||||
5.00%, 10/15/26 |
USD | 463 | 440,929 | |||||||||
5.00%, 05/15/27 |
437 | 413,446 | ||||||||||
Minerva Merger Sub, Inc., 6.50%, 02/15/30 (b)(g) |
600 | 498,954 | ||||||||||
Syneos Health, Inc., 3.63%, 01/15/29 (b)(g) |
802 | 679,156 | ||||||||||
|
|
|||||||||||
3,980,827 | ||||||||||||
Hotels, Restaurants & Leisure — 4.0% |
||||||||||||
1011778 BC ULC/New Red Finance, Inc. (b) |
||||||||||||
5.75%, 04/15/25 |
207 | 208,206 |
Security |
Par (000) |
Value |
||||||||||
Hotels, Restaurants & Leisure (continued) |
||||||||||||
1011778 BC ULC/New Red Finance, Inc. (b) (continued) |
||||||||||||
3.88%, 01/15/28 (g) |
USD | 590 | $ | 512,073 | ||||||||
4.38%, 01/15/28 |
134 | 117,156 | ||||||||||
4.00%, 10/15/30 |
146 | 117,165 | ||||||||||
Accor SA, 0.70%, 12/07/27 (d) |
EUR | 32 | 13,579 | |||||||||
Affinity Gaming, 6.88%, 12/15/27 (b) |
USD | 4 | 3,360 | |||||||||
Airbnb, Inc., 0.00%, 03/15/26 (h)(i) |
567 | 471,177 | ||||||||||
Boyd Gaming Corp. |
||||||||||||
4.75%, 12/01/27 |
179 | 161,995 | ||||||||||
4.75%, 06/15/31 (b)(g) |
376 | 317,728 | ||||||||||
Boyne USA, Inc., 4.75%, 05/15/29 (b) |
297 | 257,184 | ||||||||||
Caesars Entertainment, Inc. (b)(g) |
||||||||||||
6.25%, 07/01/25 |
1,466 | 1,412,828 | ||||||||||
8.13%, 07/01/27 |
1,508 | 1,457,105 | ||||||||||
4.63%, 10/15/29 |
624 | 485,160 | ||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25 (b)(g) |
478 | 457,116 | ||||||||||
Carnival Corp., 7.63%, 03/01/26 (b) |
71 | 54,992 | ||||||||||
CDI Escrow Issuer, Inc., 5.75%, 04/01/30 (b)(g) |
668 | 607,880 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25 (b)(g) |
296 | 287,120 | ||||||||||
Champion Path Holdings Ltd., 4.50%, 01/27/26 (d) |
232 | 143,840 | ||||||||||
Churchill Downs, Inc. (b) |
||||||||||||
5.50%, 04/01/27 (g) |
675 | 641,250 | ||||||||||
4.75%, 01/15/28 |
435 | 387,150 | ||||||||||
Cirsa Finance International SARL, 4.75%, 05/22/25 (d) |
EUR | 100 | 92,356 | |||||||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc. (b) |
||||||||||||
4.63%, 01/15/29 (g) |
USD | 483 | 411,757 | |||||||||
6.75%, 01/15/30 |
292 | 224,110 | ||||||||||
Food Service Project SA, 5.50%, 01/21/27 (d) |
EUR | 100 | 89,862 | |||||||||
Fortune Star BVI Ltd., 6.75%, 07/02/23 (d) |
USD | 200 | 157,175 | |||||||||
Hilton Domestic Operating Co., Inc. |
||||||||||||
5.38%, 05/01/25 (b) |
145 | 142,100 | ||||||||||
5.75%, 05/01/28 (b) |
99 | 94,132 | ||||||||||
3.75%, 05/01/29 (b) |
110 | 93,296 | ||||||||||
4.88%, 01/15/30 (g) |
972 | 878,445 | ||||||||||
4.00%, 05/01/31 (b) |
292 | 242,652 | ||||||||||
McDonald’s Corp., 3.70%, 01/30/26 (g) |
405 | 403,762 | ||||||||||
Melco Resorts Finance Ltd., 5.25%, 04/26/26 (d) |
250 | 175,000 | ||||||||||
Merlin Entertainments Ltd., 5.75%, 06/15/26 (b) |
200 | 182,501 | ||||||||||
MGM China Holdings Ltd., 5.88%, 05/15/26 (d) |
250 | 189,812 | ||||||||||
MGM Resorts International |
||||||||||||
6.00%, 03/15/23 (g) |
416 | 415,035 | ||||||||||
5.75%, 06/15/25 |
29 | 27,623 | ||||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29 (b) |
235 | 191,525 | ||||||||||
Powdr Corp., 6.00%, 08/01/25 (b) |
317 | 314,622 | ||||||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. (b) |
||||||||||||
5.63%, 09/01/29 |
116 | 82,587 | ||||||||||
5.88%, 09/01/31 |
116 | 80,506 | ||||||||||
Raptor Acquisition Corp./Raptor Co-Issuer LLC, 4.88%, 11/01/26 (b) |
177 | 154,875 | ||||||||||
Royal Caribbean Cruises Ltd., 5.38%, 07/15/27 (b)(g) |
284 | 206,431 | ||||||||||
Scientific Games International, Inc. (b) 8.63%, 07/01/25 |
203 | 208,095 |
S C H E D U L E O F I N V E S T M E N T S |
73 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Hotels, Restaurants & Leisure (continued) |
||||||||||||
Scientific Games International, Inc. (b) (continued) |
||||||||||||
7.00%, 05/15/28 |
USD | 174 | $ | 163,287 | ||||||||
7.25%, 11/15/29 |
51 | 47,828 | ||||||||||
Six Flags Theme Parks, Inc., 7.00%, 07/01/25 (b)(g) |
533 | 539,572 | ||||||||||
Spirit Issuer PLC, Series A5, 5.47%, 12/28/34 (d) |
GBP | 2,550 | 3,279,689 | |||||||||
Station Casinos LLC, 4.63%, 12/01/31 (b) |
USD | 277 | 216,060 | |||||||||
Stonegate Pub Co. Financing PLC, 8.25%, 07/31/25 (d) |
GBP | 100 | 111,170 | |||||||||
Vail Resorts, Inc., 6.25%, 05/15/25 (b) |
USD | 154 | 153,811 | |||||||||
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28 (b) |
158 | 138,196 | ||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27 (b)(g) |
192 | 164,446 | ||||||||||
Wynn Macau Ltd., 5.50%, 01/15/26 (d) |
347 | 239,864 | ||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. (b) |
||||||||||||
7.75%, 04/15/25 |
239 | 232,609 | ||||||||||
5.13%, 10/01/29 (g) |
618 | 486,737 | ||||||||||
Yum! Brands, Inc. |
||||||||||||
4.75%, 01/15/30 (b)(g) |
279 | 253,192 | ||||||||||
3.63%, 03/15/31 |
96 | 80,640 | ||||||||||
5.35%, 11/01/43 |
71 | 58,842 | ||||||||||
|
|
|||||||||||
19,338,266 | ||||||||||||
Household Durables — 0.6% |
||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co. (b) |
||||||||||||
4.63%, 08/01/29 |
100 | 75,000 | ||||||||||
4.63%, 04/01/30 |
145 | 106,481 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC (b) |
||||||||||||
5.00%, 06/15/29 |
208 | 157,262 | ||||||||||
4.88%, 02/15/30 (g) |
412 | 299,318 | ||||||||||
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25 (b) |
253 | 223,672 | ||||||||||
K Hovnanian Enterprises, Inc., 7.75%, 02/15/26 (b) |
219 | 214,620 | ||||||||||
Mattamy Group Corp., 4.63%, 03/01/30 (b) |
199 | 145,432 | ||||||||||
Meritage Homes Corp., 5.13%, 06/06/27 |
50 | 45,767 | ||||||||||
NCR Corp. (b) |
||||||||||||
5.75%, 09/01/27 |
220 | 195,257 | ||||||||||
5.00%, 10/01/28 |
110 | 93,269 | ||||||||||
5.13%, 04/15/29 |
145 | 122,632 | ||||||||||
6.13%, 09/01/29 |
92 | 79,567 | ||||||||||
SWF Escrow Issuer Corp., 6.50%, 10/01/29 (b) |
330 | 221,925 | ||||||||||
Taylor Morrison Communities, Inc. (b) |
||||||||||||
5.88%, 06/15/27 |
245 | 225,819 | ||||||||||
5.13%, 08/01/30 |
54 | 44,846 | ||||||||||
Tempur Sealy International, Inc. (b) |
||||||||||||
4.00%, 04/15/29 |
224 | 180,441 | ||||||||||
3.88%, 10/15/31 (g) |
239 | 179,250 | ||||||||||
Tri Pointe Group, Inc./Tri Pointe Homes, Inc., |
||||||||||||
5.88%, 06/15/24 |
11 | 10,704 | ||||||||||
Tri Pointe Homes, Inc., 5.25%, 06/01/27 |
15 | 13,112 | ||||||||||
|
|
|||||||||||
2,634,374 | ||||||||||||
Household Products — 0.0% |
||||||||||||
Berkline Benchcraft LLC, 4.50%, 06/01/22 (c)(e)(j) |
200 | — | ||||||||||
Energizer Holdings, Inc., 6.50%, 12/31/27 (b) |
117 | 102,521 | ||||||||||
|
|
|||||||||||
102,521 |
Security |
Par (000) |
Value |
||||||||||
Independent Power and Renewable Electricity Producers — 1.1% |
||||||||||||
Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, 6.25%, 12/10/24 (d) |
USD | 200 | $ | 190,725 | ||||||||
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24 (d) |
200 | 188,663 | ||||||||||
Calpine Corp. (b) |
||||||||||||
5.25%, 06/01/26 (g) |
221 | 209,950 | ||||||||||
4.50%, 02/15/28 (g) |
249 | 226,061 | ||||||||||
5.13%, 03/15/28 (g) |
1,060 | 933,118 | ||||||||||
4.63%, 02/01/29 (g) |
106 | 88,221 | ||||||||||
5.00%, 02/01/31 |
43 | 34,762 | ||||||||||
3.75%, 03/01/31 |
5 | 4,067 | ||||||||||
Clearway Energy Operating LLC (b) |
||||||||||||
4.75%, 03/15/28 (g) |
300 | 269,904 | ||||||||||
3.75%, 01/15/32 |
262 | 207,635 | ||||||||||
Continuum Energy Levanter Pte. Ltd., 4.50%, 02/09/27 (b) |
215 | 167,702 | ||||||||||
Greenko Mauritius Ltd., 6.25%, 02/21/23 (d) |
200 | 197,975 | ||||||||||
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26 (d) |
200 | 176,500 | ||||||||||
India Cleantech Energy, 4.70%, 08/10/26 (b) |
243 | 193,483 | ||||||||||
India Green Energy Holdings |
||||||||||||
5.38%, 04/29/24 (b) |
250 | 233,750 | ||||||||||
5.38%, 04/29/24 (d) |
250 | 233,750 | ||||||||||
Investment Energy Resources Ltd., 6.25%, 04/26/29 (b) |
200 | 169,600 | ||||||||||
NRG Energy, Inc. |
||||||||||||
6.63%, 01/15/27 (g) |
720 | 705,151 | ||||||||||
5.75%, 01/15/28 |
63 | 57,263 | ||||||||||
5.25%, 06/15/29 (b)(g) |
253 | 225,803 | ||||||||||
3.63%, 02/15/31 (b)(g) |
277 | 217,165 | ||||||||||
3.88%, 02/15/32 (b) |
134 | 106,434 | ||||||||||
TerraForm Power Operating LLC (b) |
||||||||||||
5.00%, 01/31/28 |
96 | 86,951 | ||||||||||
4.75%, 01/15/30 |
186 | 159,307 | ||||||||||
|
|
|||||||||||
5,283,940 | ||||||||||||
Insurance — 2.2% |
||||||||||||
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29 (b) |
231 | 180,825 | ||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer (b)(g) |
||||||||||||
4.25%, 10/15/27 |
1,166 | 1,009,255 | ||||||||||
6.75%, 10/15/27 |
1,896 | 1,682,473 | ||||||||||
5.88%, 11/01/29 |
1,182 | 980,835 | ||||||||||
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25 (g) |
360 | 355,115 | ||||||||||
AmWINS Group, Inc., 4.88%, 06/30/29 (b) |
266 | 217,833 | ||||||||||
Aon Global Ltd., 3.88%, 12/15/25 (g) |
1,115 | 1,102,703 | ||||||||||
GTCR AP Finance, Inc., 8.00%, 05/15/27 (b) |
330 | 308,930 | ||||||||||
HUB International Ltd. (b) |
||||||||||||
7.00%, 05/01/26 (g) |
1,226 | 1,152,930 | ||||||||||
5.63%, 12/01/29 |
53 | 43,781 | ||||||||||
Ryan Specialty Group LLC, 4.38%, 02/01/30 (b) |
135 | 117,450 | ||||||||||
Voya Financial, Inc., (3 mo. LIBOR US + 3.58%), 5.65%, 05/15/53 (a)(g) |
3,500 | 3,281,530 | ||||||||||
|
|
|||||||||||
10,433,660 | ||||||||||||
Interactive Media & Services — 0.4% |
||||||||||||
Arches Buyer, Inc., 4.25%, 06/01/28 (b) |
110 | 89,563 | ||||||||||
Cablevision Lightpath LLC (b) 3.88%, 09/15/27 |
400 | 331,000 |
74 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Interactive Media & Services (continued) |
||||||||||||
Cablevision Lightpath LLC (b) (continued) |
||||||||||||
5.63%, 09/15/28 (g) |
USD | 400 | $ | 312,904 | ||||||||
Iliad SA, 2.38%, 06/17/26 (d) |
EUR | 100 | 91,696 | |||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. (b) |
||||||||||||
4.75%, 04/30/27 |
USD | 303 | 249,536 | |||||||||
6.00%, 02/15/28 (g) |
309 | 222,051 | ||||||||||
Twitter, Inc. (b) |
||||||||||||
3.88%, 12/15/27 |
295 | 278,113 | ||||||||||
5.00%, 03/01/30 |
182 | 172,672 | ||||||||||
United Group BV, 4.00%, 11/15/27 (d) |
EUR | 100 | 79,367 | |||||||||
|
|
|||||||||||
1,826,902 | ||||||||||||
Internet & Direct Marketing Retail — 0.0% |
||||||||||||
Very Group Funding PLC, 6.50%, 08/01/26 (d) |
GBP | 100 | 92,310 | |||||||||
|
|
|||||||||||
Internet Software & Services — 1.1% |
||||||||||||
ANGI Group LLC, 3.88%, 08/15/28 (b) |
USD | 262 | 199,486 | |||||||||
Booking Holdings, Inc., 0.75%, 05/01/25 (h) |
380 | 455,544 | ||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc. (b) |
||||||||||||
5.25%, 12/01/27 |
303 | 277,245 | ||||||||||
3.50%, 03/01/29 |
165 | 139,110 | ||||||||||
Match Group Holdings II LLC (b) |
||||||||||||
4.63%, 06/01/28 |
157 | 142,336 | ||||||||||
5.63%, 02/15/29 |
177 | 165,495 | ||||||||||
4.13%, 08/01/30 |
198 | 165,351 | ||||||||||
3.63%, 10/01/31 |
158 | 124,425 | ||||||||||
Uber Technologies, Inc. |
||||||||||||
7.50%, 05/15/25 (b)(g) |
667 | 660,644 | ||||||||||
0.00%, 12/15/25 (h)(i) |
1,582 | 1,261,989 | ||||||||||
8.00%, 11/01/26 (b)(g) |
311 | 309,600 | ||||||||||
7.50%, 09/15/27 (b)(g) |
622 | 602,581 | ||||||||||
6.25%, 01/15/28 (b)(g) |
402 | 371,786 | ||||||||||
4.50%, 08/15/29 (b)(g) |
652 | 536,270 | ||||||||||
Zillow Group, Inc., 1.38%, 09/01/26 (h) |
55 | 54,945 | ||||||||||
|
|
|||||||||||
5,466,807 | ||||||||||||
IT Services — 1.2% |
||||||||||||
Ahead DB Holdings LLC, 6.63%, 05/01/28 (b) |
150 | 124,350 | ||||||||||
Booz Allen Hamilton, Inc. (b)(g) |
||||||||||||
3.88%, 09/01/28 |
272 | 240,720 | ||||||||||
4.00%, 07/01/29 |
391 | 340,924 | ||||||||||
CA Magnum Holdings, 5.38%, 10/31/26 (b)(g) |
382 | 330,430 | ||||||||||
Camelot Finance SA, 4.50%, 11/01/26 (b)(g) |
564 | 514,424 | ||||||||||
Condor Merger Sub, Inc., 7.38%, 02/15/30 (b)(g) |
786 | 638,837 | ||||||||||
Dun & Bradstreet Corp., 5.00%, 12/15/29 (b)(g) |
485 | 418,919 | ||||||||||
Fair Isaac Corp., 4.00%, 06/15/28 (b)(g) |
366 | 324,217 | ||||||||||
Gartner, Inc. (b) |
||||||||||||
4.50%, 07/01/28 |
107 | 98,248 | ||||||||||
3.63%, 06/15/29 |
133 | 115,227 | ||||||||||
3.75%, 10/01/30 (g) |
368 | 313,260 | ||||||||||
International Business Machines Corp., 1.95%, 05/15/30 (g) |
500 | 419,019 | ||||||||||
KBR, Inc., 4.75%, 09/30/28 (b) |
206 | 181,556 | ||||||||||
La Financiere Atalian SASU, 5.13%, 05/15/25 (d) |
EUR | 100 | 79,919 | |||||||||
Science Applications International Corp., 4.88%, 04/01/28 (b)(g) |
USD | 289 | 269,492 |
Security |
Par (000) |
Value |
||||||||||
IT Services (continued) |
||||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25 (b) |
USD | 243 | $ | 228,599 | ||||||||
Twilio, Inc., 3.88%, 03/15/31 |
353 | 290,438 | ||||||||||
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29 (b)(g) |
692 | 579,649 | ||||||||||
|
|
|||||||||||
5,508,228 | ||||||||||||
Leisure Products — 0.1% |
||||||||||||
Mattel, Inc. |
||||||||||||
3.75%, 04/01/29 (b) |
103 | 92,556 | ||||||||||
6.20%, 10/01/40 |
219 | 209,145 | ||||||||||
5.45%, 11/01/41 |
278 | 244,015 | ||||||||||
|
|
|||||||||||
545,716 | ||||||||||||
Machinery — 0.8% |
||||||||||||
ATS Automation Tooling Systems, Inc., 4.13%, 12/15/28 (b) |
108 | 90,180 | ||||||||||
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25 (b)(l) |
240 | 232,800 | ||||||||||
Madison IAQ LLC, 5.88%, 06/30/29 (b) |
658 | 504,239 | ||||||||||
Mueller Water Products, Inc., 4.00%, 06/15/29 (b) |
138 | 120,383 | ||||||||||
OT Merger Corp., 7.88%, 10/15/29 (b) |
115 | 66,050 | ||||||||||
Stevens Holding Co., Inc., 6.13%, 10/01/26 (b) |
167 | 160,737 | ||||||||||
Terex Corp., 5.00%, 05/15/29 (b) |
333 | 283,050 | ||||||||||
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26 (b)(g) |
852 | 783,158 | ||||||||||
TK Elevator Holdco GmbH, 7.63%, 07/15/28 (b)(g) |
400 | 359,000 | ||||||||||
TK Elevator Midco GmbH, 4.38%, 07/15/27 (d) |
EUR | 100 | 90,280 | |||||||||
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27 (b)(g) |
USD | 1,033 | 920,987 | |||||||||
|
|
|||||||||||
3,610,864 | ||||||||||||
Media — 9.4% |
||||||||||||
Altice Financing SA |
||||||||||||
3.00%, 01/15/28 (d) |
EUR | 100 | 78,054 | |||||||||
5.00%, 01/15/28 (b)(g) |
USD | 378 | 304,608 | |||||||||
5.75%, 08/15/29 (b)(g) |
1,447 | 1,161,217 | ||||||||||
Altice France Holding SA, 10.50%, 05/15/27 (b)(g) |
1,673 | 1,403,881 | ||||||||||
AMC Networks, Inc. |
||||||||||||
4.75%, 08/01/25 |
222 | 206,802 | ||||||||||
4.25%, 02/15/29 |
123 | 99,653 | ||||||||||
Block Communications, Inc., 4.88%, 03/01/28 (b) |
128 | 108,160 | ||||||||||
Cable One, Inc. |
||||||||||||
1.13%, 03/15/28 (h) |
1,028 | 861,464 | ||||||||||
4.00%, 11/15/30 (b) |
261 | 214,406 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
||||||||||||
5.13%, 05/01/27 (b)(g) |
565 | 533,219 | ||||||||||
5.00%, 02/01/28 (b) |
83 | 76,584 | ||||||||||
5.38%, 06/01/29 (b)(g) |
731 | 653,397 | ||||||||||
4.75%, 03/01/30 (b) |
204 | 174,471 | ||||||||||
4.50%, 08/15/30 (b)(g) |
1,099 | 912,476 | ||||||||||
4.25%, 02/01/31 (b)(g) |
764 | 622,660 | ||||||||||
4.75%, 02/01/32 (b) |
451 | 369,279 | ||||||||||
4.50%, 05/01/32 (g) |
426 | 344,932 | ||||||||||
4.50%, 06/01/33 (b) |
260 | 204,885 | ||||||||||
4.25%, 01/15/34 (b)(g) |
991 | 765,547 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital (g) |
||||||||||||
4.91%, 07/23/25 |
2,425 | 2,430,626 | ||||||||||
5.38%, 05/01/47 |
425 | 361,871 |
S C H E D U L E O F I N V E S T M E N T S |
75 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Media (continued) |
||||||||||||
Clear Channel International BV, 6.63%, 08/01/25 (b)(g) |
USD | 384 | $ | 357,120 | ||||||||
Clear Channel Outdoor Holdings, Inc. (b)(g) |
||||||||||||
5.13%, 08/15/27 |
1,676 | 1,415,097 | ||||||||||
7.75%, 04/15/28 |
1,017 | 739,939 | ||||||||||
7.50%, 06/01/29 |
803 | 577,405 | ||||||||||
CMG Media Corp., 8.88%, 12/15/27 (b)(g) |
617 | 487,436 | ||||||||||
Comcast Corp., 3.95%, 10/15/25 (g) |
3,000 | 3,011,836 | ||||||||||
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26 (b)(g) |
2,266 | 2,036,296 | ||||||||||
CSC Holdings LLC |
||||||||||||
5.25%, 06/01/24 |
123 | 115,005 | ||||||||||
6.50%, 02/01/29 (b)(g) |
865 | 781,207 | ||||||||||
5.75%, 01/15/30 (b)(g) |
660 | 480,170 | ||||||||||
4.13%, 12/01/30 (b)(g) |
626 | 488,280 | ||||||||||
3.38%, 02/15/31 (b)(g) |
257 | 190,003 | ||||||||||
4.50%, 11/15/31 (b)(g) |
488 | 376,321 | ||||||||||
Directv Financing LLC/Directv Financing Co.-Obligor, Inc., 5.88%, 08/15/27 (b)(g) |
459 | 391,559 | ||||||||||
Discovery Communications LLC (g) |
||||||||||||
3.25%, 04/01/23 |
1,490 | 1,485,695 | ||||||||||
3.45%, 03/15/25 |
170 | 164,598 | ||||||||||
DISH DBS Corp. |
||||||||||||
5.88%, 07/15/22 (g) |
1,233 | 1,226,009 | ||||||||||
5.00%, 03/15/23 |
186 | 177,029 | ||||||||||
7.75%, 07/01/26 (g) |
601 | 468,480 | ||||||||||
5.25%, 12/01/26 (b)(g) |
1,226 | 960,988 | ||||||||||
5.75%, 12/01/28 (b)(g) |
946 | 700,428 | ||||||||||
DISH Network Corp., 3.38%, 08/15/26 (h) |
260 | 175,630 | ||||||||||
Frontier Communications Holdings LLC (b)(g) |
||||||||||||
5.88%, 10/15/27 |
417 | 374,926 | ||||||||||
5.00%, 05/01/28 |
483 | 410,550 | ||||||||||
6.75%, 05/01/29 |
573 | 471,292 | ||||||||||
6.00%, 01/15/30 |
266 | 204,674 | ||||||||||
GCI LLC, 4.75%, 10/15/28 (b) |
198 | 171,557 | ||||||||||
iHeartCommunications, Inc. |
||||||||||||
6.38%, 05/01/26 |
264 | 244,688 | ||||||||||
5.25%, 08/15/27 (b) |
122 | 104,411 | ||||||||||
4.75%, 01/15/28 (b) |
78 | 64,278 | ||||||||||
Iliad Holding SASU (b)(g) |
||||||||||||
6.50%, 10/15/26 |
486 | 437,385 | ||||||||||
7.00%, 10/15/28 |
498 | 433,228 | ||||||||||
Kaixo Bondsco Telecom SA, 5.13%, 09/30/29 (d) |
EUR | 100 | 79,382 | |||||||||
Lamar Media Corp., 4.00%, 02/15/30 |
USD | 126 | 105,796 | |||||||||
LCPR Senior Secured Financing DAC (b)(g) |
||||||||||||
6.75%, 10/15/27 |
360 | 335,819 | ||||||||||
5.13%, 07/15/29 |
768 | 641,280 | ||||||||||
Liberty Broadband Corp. (b)(h) |
||||||||||||
1.25%, 09/30/50 |
413 | 385,742 | ||||||||||
2.75%, 09/30/50 |
797 | 758,092 | ||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23 (b)(l) |
401 | 205,827 | ||||||||||
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29 (b)(g) |
748 | 583,440 | ||||||||||
Liquid Telecommunications Financing PLC, 5.50%, 09/04/26 (b) |
200 | 175,000 | ||||||||||
Live Nation Entertainment, Inc. (b) |
||||||||||||
4.88%, 11/01/24 |
31 | 29,605 | ||||||||||
6.50%, 05/15/27 (g) |
1,066 | 1,048,326 | ||||||||||
4.75%, 10/15/27 |
152 | 134,751 |
Security |
Par (000) |
Value |
||||||||||
Media (continued) |
||||||||||||
Live Nation Entertainment, Inc. (b) (continued) |
||||||||||||
3.75%, 01/15/28 |
USD | 192 | $ | 165,600 | ||||||||
Lorca Telecom Bondco SA, 4.00%, 09/18/27 (d) |
EUR | 100 | 87,474 | |||||||||
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27 (b) |
USD | 177 | 162,840 | |||||||||
Network i2i Ltd., (5 year CMT + 4.27%), 5.65% (a)(d)(k) |
300 | 277,650 | ||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp. (b) |
||||||||||||
5.00%, 08/15/27 (g) |
329 | 287,464 | ||||||||||
4.25%, 01/15/29 |
144 | 114,713 | ||||||||||
4.63%, 03/15/30 |
15 | 11,818 | ||||||||||
Radiate Holdco LLC/Radiate Finance, Inc. (b)(g) |
||||||||||||
4.50%, 09/15/26 |
1,150 | 991,622 | ||||||||||
6.50%, 09/15/28 |
2,120 | 1,638,495 | ||||||||||
Sable International Finance Ltd. |
||||||||||||
5.75%, 09/07/27 (d) |
245 | 224,567 | ||||||||||
5.75%, 09/07/27 (b) |
200 | 183,320 | ||||||||||
Scripps Escrow II, Inc., 3.88%, 01/15/29 (b) |
17 | 14,247 | ||||||||||
Sinclair Television Group, Inc., 4.13%, 12/01/30 (b)(g) . |
|
495 | 392,617 | |||||||||
Sirius XM Radio, Inc. (b) |
||||||||||||
3.13%, 09/01/26 (g) |
491 | 438,085 | ||||||||||
5.00%, 08/01/27 |
293 | 271,763 | ||||||||||
4.00%, 07/15/28 (g) |
347 | 300,155 | ||||||||||
5.50%, 07/01/29 (g) |
722 | 657,922 | ||||||||||
4.13%, 07/01/30 |
36 | 30,067 | ||||||||||
3.88%, 09/01/31 (g) |
498 | 396,533 | ||||||||||
Stagwell Global LLC, 5.63%, 08/15/29 (b) |
101 | 81,157 | ||||||||||
Summer BC Holdco B SARL, 5.75%, 10/31/26 (d) |
EUR | 100 | 91,292 | |||||||||
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28 (b) |
USD | 200 | 176,480 | |||||||||
Univision Communications, Inc. (b) |
||||||||||||
5.13%, 02/15/25 |
133 | 125,153 | ||||||||||
6.63%, 06/01/27 |
234 | 222,794 | ||||||||||
7.38%, 06/30/30 |
129 | 126,098 | ||||||||||
UPC Broadband Finco BV, 4.88%, 07/15/31 (b)(g) |
449 | 365,935 | ||||||||||
Videotron Ltd., 3.63%, 06/15/29 (b) |
262 | 212,681 | ||||||||||
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28 (b)(g) |
754 | 623,911 | ||||||||||
VZ Secured Financing BV, 3.50%, 01/15/32 (d) |
EUR | 100 | 78,639 | |||||||||
WMG Acquisition Corp., 3.88%, 07/15/30 (b) |
USD | 136 | 113,091 | |||||||||
Ziggo Bonds Co. BV (b) |
||||||||||||
6.00%, 01/15/27 |
199 | 176,115 | ||||||||||
5.13%, 02/28/30 (g) |
225 | 176,492 | ||||||||||
Ziggo BV, 4.88%, 01/15/30 (b)(g) |
200 | 169,588 | ||||||||||
|
|
|||||||||||
45,481,150 | ||||||||||||
Metals & Mining — 1.7% |
||||||||||||
ABJA Investment Co. Pte Ltd., 5.95%, 07/31/24 (d) |
250 | 249,375 | ||||||||||
Allegheny Technologies, Inc. |
||||||||||||
4.88%, 10/01/29 |
101 | 80,547 | ||||||||||
5.13%, 10/01/31 |
273 | 209,129 | ||||||||||
AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30 |
. | 200 | 167,250 | |||||||||
Arconic Corp. (b) |
||||||||||||
6.00%, 05/15/25 (g) |
332 | 323,801 | ||||||||||
6.13%, 02/15/28 |
343 | 320,287 | ||||||||||
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29 (b)(g) |
861 | 798,961 | ||||||||||
Carpenter Technology Corp. |
||||||||||||
6.38%, 07/15/28 |
44 | 39,275 | ||||||||||
7.63%, 03/15/30 |
303 | 278,244 |
76 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Metals & Mining (continued) |
||||||||||||
Commercial Metals Co. |
||||||||||||
4.13%, 01/15/30 |
USD | 70 | $ | 58,940 | ||||||||
4.38%, 03/15/32 |
75 | 61,431 | ||||||||||
Constellium SE (b) |
||||||||||||
5.88%, 02/15/26 (g) |
588 | 548,986 | ||||||||||
5.63%, 06/15/28 |
500 | 447,371 | ||||||||||
3.75%, 04/15/29 (g) |
756 | 599,563 | ||||||||||
FMG Resources August 2006 Pty. Ltd., 6.13%, 04/15/32 (b)(g) |
405 | 364,500 | ||||||||||
JSW Steel Ltd., 5.95%, 04/18/24 (d) |
200 | 197,500 | ||||||||||
Kaiser Aluminum Corp. (b) |
||||||||||||
4.63%, 03/01/28 |
191 | 159,011 | ||||||||||
4.50%, 06/01/31 |
347 | 262,637 | ||||||||||
Mineral Resources Ltd. (b) |
||||||||||||
8.00%, 11/01/27 |
126 | 122,850 | ||||||||||
8.50%, 05/01/30 |
128 | 126,080 | ||||||||||
New Gold, Inc., 7.50%, 07/15/27 (b)(g) |
545 | 474,150 | ||||||||||
Nexa Resources SA, 5.38%, 05/04/27 (b)(g) |
237 | 218,973 | ||||||||||
Novelis Corp. (b)(g) |
||||||||||||
3.25%, 11/15/26 |
472 | 398,970 | ||||||||||
4.75%, 01/30/30 |
951 | 790,452 | ||||||||||
3.88%, 08/15/31 |
511 | 393,567 | ||||||||||
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29 (b) |
122 | 103,812 | ||||||||||
thyssenkrupp AG, 2.88%, 02/22/24 (d) |
EUR | 84 | 84,433 | |||||||||
U.S. Steel Corp., 6.88%, 03/01/29 (g) |
USD | 346 | 301,916 | |||||||||
Vedanta Resources Finance II PLC, 13.88%, 01/21/24 (d) |
200 | 178,000 | ||||||||||
|
|
|||||||||||
8,360,011 | ||||||||||||
Multiline Retail — 0.1% |
||||||||||||
Bath & Body Works, Inc. |
||||||||||||
6.88%, 11/01/35 (g) |
295 | 239,687 | ||||||||||
6.75%, 07/01/36 |
71 | 56,793 | ||||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26 (b)(g) |
396 | 364,946 | ||||||||||
|
|
|||||||||||
661,426 | ||||||||||||
Offshore Drilling & Other Services — 0.1% |
||||||||||||
Applied Materials, Inc., 3.90%, 10/01/25 (g) |
285 | 286,780 | ||||||||||
Entegris, Inc. (b) |
||||||||||||
4.38%, 04/15/28 |
246 | 217,095 | ||||||||||
3.63%, 05/01/29 |
40 | 33,449 | ||||||||||
|
|
|||||||||||
537,324 | ||||||||||||
Oil, Gas & Consumable Fuels — 9.2% |
||||||||||||
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26 (b)(g) |
699 | 679,253 | ||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. (b) |
||||||||||||
5.75%, 03/01/27 |
271 | 252,030 | ||||||||||
5.75%, 01/15/28 |
59 | 53,715 | ||||||||||
5.38%, 06/15/29 |
206 | 184,485 | ||||||||||
Apache Corp. |
||||||||||||
4.25%, 01/15/30 |
205 | 181,681 | ||||||||||
5.10%, 09/01/40 (g) |
450 | 379,971 | ||||||||||
5.25%, 02/01/42 |
40 | 33,459 | ||||||||||
5.35%, 07/01/49 |
137 | 108,249 | ||||||||||
Arcosa, Inc., 4.38%, 04/15/29 (b)(g) |
374 | 317,359 | ||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. (b) 9.00%, 11/01/27 (g) |
639 | 802,062 |
Security |
Par (000) |
Value |
||||||||||
Oil, Gas & Consumable Fuels (continued) |
||||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. (b) (continued)5.88%, 06/30/29 |
USD | 291 | $ | 256,080 | ||||||||
Buckeye Partners LP |
||||||||||||
4.13%, 03/01/25 (b)(g) |
262 | 242,567 | ||||||||||
5.85%, 11/15/43 |
145 | 102,950 | ||||||||||
5.60%, 10/15/44 |
86 | 59,888 | ||||||||||
Callon Petroleum Co. |
||||||||||||
6.13%, 10/01/24 |
126 | 127,940 | ||||||||||
9.00%, 04/01/25 (b)(g) |
842 | 892,520 | ||||||||||
6.38%, 07/01/26 |
119 | 109,778 | ||||||||||
8.00%, 08/01/28 (b)(g) |
583 | 560,030 | ||||||||||
7.50%, 06/15/30 (b) |
549 | 505,157 | ||||||||||
Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31 (d) |
EUR | 200 | 142,734 | |||||||||
Centennial Resource Production LLC |
||||||||||||
6.88%, 04/01/27 (b) |
USD | 46 | 43,683 | |||||||||
3.25%, 04/01/28 (g)(h) |
478 | 594,512 | ||||||||||
Central Parent, Inc./Central Merger Sub, Inc., 7.25%, 06/15/29 (b) |
560 | 539,000 | ||||||||||
Cheniere Energy Partners LP (g) |
||||||||||||
4.50%, 10/01/29 |
659 | 588,289 | ||||||||||
4.00%, 03/01/31 |
634 | 539,090 | ||||||||||
3.25%, 01/31/32 (b) |
528 | 415,800 | ||||||||||
Cheniere Energy, Inc., 4.63%, 10/15/28 (g) |
1,831 | 1,648,944 | ||||||||||
Chesapeake Energy Corp. (b) |
||||||||||||
5.88%, 02/01/29 |
41 | 38,663 | ||||||||||
6.75%, 04/15/29 (g) |
518 | 500,922 | ||||||||||
Citgo Holding, Inc., 9.25%, 08/01/24 (b) |
228 | 220,590 | ||||||||||
Civitas Resources, Inc., 5.00%, 10/15/26 (b) |
88 | 78,980 | ||||||||||
CNX Midstream Partners LP, 4.75%, 04/15/30 (b) |
92 | 77,280 | ||||||||||
CNX Resources Corp. |
||||||||||||
2.25%, 05/01/26 (h) |
499 | 729,288 | ||||||||||
6.00%, 01/15/29 (b) |
110 | 102,762 | ||||||||||
Colgate Energy Partners III LLC (b) |
||||||||||||
7.75%, 02/15/26 |
272 | 258,573 | ||||||||||
5.88%, 07/01/29 (g) |
353 | 309,316 | ||||||||||
Comstock Resources, Inc. (b)(g) |
||||||||||||
6.75%, 03/01/29 |
647 | 579,343 | ||||||||||
5.88%, 01/15/30 |
543 | 466,980 | ||||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31 (b) |
1,367 | 1,164,055 | ||||||||||
Crescent Energy Finance LLC, 7.25%, 05/01/26 (b)(g) |
708 | 644,280 | ||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. (b) |
||||||||||||
5.63%, 05/01/27 |
52 | 46,280 | ||||||||||
6.00%, 02/01/29 |
47 | 41,011 | ||||||||||
8.00%, 04/01/29 |
90 | 83,588 | ||||||||||
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25 (b)(g) |
809 | 760,460 | ||||||||||
DCP Midstream Operating LP (b) |
||||||||||||
6.45%, 11/03/36 |
162 | 158,760 | ||||||||||
6.75%, 09/15/37 (g) |
295 | 280,619 | ||||||||||
DT Midstream, Inc. (b)(g) |
||||||||||||
4.13%, 06/15/29 |
408 | 345,780 | ||||||||||
4.38%, 06/15/31 |
518 | 433,825 | ||||||||||
Dycom Industries, Inc., 4.50%, 04/15/29 (b) |
102 | 89,057 | ||||||||||
Earthstone Energy Holdings LLC, 8.00%, 04/15/27 (b) |
290 | 274,412 |
S C H E D U L E O F I N V E S T M E N T S |
77 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Oil, Gas & Consumable Fuels (continued) |
||||||||||||
eG Global Finance PLC |
||||||||||||
6.75%, 02/07/25 (b)(g) |
USD | 596 | $ | 561,959 | ||||||||
6.25%, 10/30/25 (d) |
EUR | 142 | 133,360 | |||||||||
8.50%, 10/30/25 (b) |
USD | 252 | 244,125 | |||||||||
Enbridge, Inc., (3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78 (a)(g) |
1,565 | 1,393,067 | ||||||||||
Endeavor Energy Resources LP/EER Finance, Inc. (b) |
||||||||||||
6.63%, 07/15/25 |
192 | 192,941 | ||||||||||
5.75%, 01/30/28 (g) |
386 | 367,723 | ||||||||||
Energy Transfer LP (g) 3.90%, 07/15/26 |
235 | 225,806 | ||||||||||
Series H, (5 year CMT + 5.69%), 6.50% (a)(k) |
644 | 569,243 | ||||||||||
EnLink Midstream LLC |
||||||||||||
5.63%, 01/15/28 (b) |
249 | 228,400 | ||||||||||
5.38%, 06/01/29 |
335 | 293,195 | ||||||||||
EnLink Midstream Partners LP |
||||||||||||
4.40%, 04/01/24 (g) |
240 | 234,275 | ||||||||||
4.15%, 06/01/25 |
17 | 15,825 | ||||||||||
4.85%, 07/15/26 |
115 | 106,088 | ||||||||||
5.60%, 04/01/44 |
226 | 160,056 | ||||||||||
5.05%, 04/01/45 |
40 | 27,050 | ||||||||||
5.45%, 06/01/47 |
60 | 42,464 | ||||||||||
EQM Midstream Partners LP |
||||||||||||
6.00%, 07/01/25 (b)(g) |
94 | 90,116 | ||||||||||
4.13%, 12/01/26 |
100 | 86,375 | ||||||||||
6.50%, 07/01/27 (b)(g) |
364 | 338,447 | ||||||||||
4.50%, 01/15/29 (b) |
21 | 17,049 | ||||||||||
7.50%, 06/01/30 (b) |
84 | 80,694 | ||||||||||
4.75%, 01/15/31 (b)(g) |
663 | 528,742 | ||||||||||
EQT Corp., 1.75%, 05/01/26 (h) |
193 | 454,611 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. |
||||||||||||
6.50%, 10/01/25 |
46 | 42,435 | ||||||||||
7.75%, 02/01/28 |
118 | 102,076 | ||||||||||
Geopark Ltd., 5.50%, 01/17/27 (b) |
200 | 166,325 | ||||||||||
Gulfport Energy Corp., 8.00%, 05/17/26 (b) |
37 | 36,398 | ||||||||||
Harvest Midstream I LP, 7.50%, 09/01/28 (b) |
60 | 56,354 | ||||||||||
Hess Corp., 4.30%, 04/01/27 (g) |
50 | 48,739 | ||||||||||
Hess Midstream Operations LP, 4.25%, 02/15/30 (b) . |
240 | 200,992 | ||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., 6.25%, 11/01/28 (b) |
32 | 30,160 | ||||||||||
Hilong Holding Ltd., 9.75%, 11/18/24 (d) |
207 | 112,466 | ||||||||||
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26 (d) |
200 | 187,000 | ||||||||||
HTA Group Ltd., 7.00%, 12/18/25 (b) |
200 | 166,788 | ||||||||||
IHS Holding Ltd., 6.25%, 11/29/28 (b) |
200 | 159,500 | ||||||||||
Impulsora Pipeline LLC, 6.05%, 12/31/42 (c) |
1,382 | 1,223,330 | ||||||||||
ITT Holdings LLC, 6.50%, 08/01/29 (b) |
343 | 274,400 | ||||||||||
Kinetik Holdings LP, 5.88%, 06/15/30 (b)(g) |
553 | 526,796 | ||||||||||
Matador Resources Co., 5.88%, 09/15/26 (g) |
1,116 | 1,072,788 | ||||||||||
Medco Bell Pte. Ltd., 6.38%, 01/30/27 (d) |
250 | 211,250 | ||||||||||
MPLX LP, 4.25%, 12/01/27 (g) |
185 | 178,521 | ||||||||||
Murphy Oil Corp. |
||||||||||||
5.75%, 08/15/25 |
63 | 62,339 | ||||||||||
5.88%, 12/01/27 |
56 | 52,262 | ||||||||||
6.13%, 12/01/42 |
29 | 21,678 | ||||||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 |
146 | 131,409 | ||||||||||
Nabors Industries Ltd. (b) |
||||||||||||
7.25%, 01/15/26 |
85 | 75,382 | ||||||||||
7.50%, 01/15/28 |
140 | 120,400 | ||||||||||
Nabors Industries, Inc., 7.38%, 05/15/27 (b) |
331 | 314,450 |
Security |
Par (000) |
Value |
||||||||||
Oil, Gas & Consumable Fuels (continued) |
||||||||||||
Neptune Energy Bondco PLC, 6.63%, 05/15/25 (b) |
USD | 200 | $ | 192,000 | ||||||||
New Fortress Energy, Inc. (b)(g) |
||||||||||||
6.75%, 09/15/25 |
657 | 620,865 | ||||||||||
6.50%, 09/30/26 |
1,086 | 983,657 | ||||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26 (b) |
171 | 153,900 | ||||||||||
NGPL PipeCo LLC, 7.77%, 12/15/37 (b)(g) |
227 | 247,030 | ||||||||||
Northern Oil & Gas, Inc., 8.13%, 03/01/28 (b)(g) |
755 | 711,587 | ||||||||||
NuStar Logistics LP |
||||||||||||
6.00%, 06/01/26 |
163 | 152,405 | ||||||||||
6.38%, 10/01/30 |
25 | 21,721 | ||||||||||
Occidental Petroleum Corp. |
||||||||||||
6.95%, 07/01/24 |
63 | 64,890 | ||||||||||
8.00%, 07/15/25 |
36 | 37,890 | ||||||||||
5.88%, 09/01/25 |
117 | 116,491 | ||||||||||
5.50%, 12/01/25 |
151 | 148,735 | ||||||||||
8.88%, 07/15/30 |
100 | 114,808 | ||||||||||
6.63%, 09/01/30 (g) |
649 | 668,470 | ||||||||||
6.13%, 01/01/31 |
78 | 79,047 | ||||||||||
7.50%, 05/01/31 |
85 | 91,375 | ||||||||||
6.45%, 09/15/36 |
98 | 100,450 | ||||||||||
6.20%, 03/15/40 (g) |
944 | 929,840 | ||||||||||
6.60%, 03/15/46 |
64 | 67,968 | ||||||||||
Odebrecht Offshore Drilling Finance Ltd., (7.72% PIK), 7.72%, 12/01/26 (b)(l) |
— | (m) |
40 | |||||||||
Oil & Gas Holding Co., 7.63%, 11/07/24 (d) |
200 | 205,725 | ||||||||||
OQ SAOC, 5.13%, 05/06/28 (b) |
200 | 188,350 | ||||||||||
PDC Energy, Inc. |
||||||||||||
6.13%, 09/15/24 |
75 | 74,490 | ||||||||||
5.75%, 05/15/26 |
235 | 219,215 | ||||||||||
Petroleos Mexicanos |
||||||||||||
6.50%, 03/13/27 (g) |
107 | 92,368 | ||||||||||
5.95%, 01/28/31 (g) |
273 | 199,181 | ||||||||||
6.38%, 01/23/45 (g) |
109 | 65,536 | ||||||||||
6.75%, 09/21/47 |
57 | 34,913 | ||||||||||
7.69%, 01/23/50 |
88 | 58,740 | ||||||||||
Pioneer Natural Resources Co., 0.25%, 05/15/25 (h) |
283 | 611,846 | ||||||||||
Puma International Financing SA, 5.13%, 10/06/24 (b) |
200 | 181,000 | ||||||||||
Range Resources Corp. |
||||||||||||
5.00%, 03/15/23 |
189 | 187,582 | ||||||||||
4.88%, 05/15/25 |
14 | 13,656 | ||||||||||
Rockcliff Energy II LLC, 5.50%, 10/15/29 (b) |
377 | 343,059 | ||||||||||
SM Energy Co. |
||||||||||||
5.63%, 06/01/25 |
74 | 69,930 | ||||||||||
6.75%, 09/15/26 |
156 | 147,165 | ||||||||||
6.63%, 01/15/27 |
34 | 31,790 | ||||||||||
6.50%, 07/15/28 |
172 | 158,189 | ||||||||||
Southwestern Energy Co. |
||||||||||||
5.95%, 01/23/25 |
18 | 17,782 | ||||||||||
5.38%, 02/01/29 (g) |
279 | 258,800 | ||||||||||
4.75%, 02/01/32 |
161 | 137,579 | ||||||||||
Sunoco LP/Sunoco Finance Corp. |
||||||||||||
6.00%, 04/15/27 |
63 | 60,063 | ||||||||||
5.88%, 03/15/28 |
124 | 113,058 | ||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (b) |
||||||||||||
6.00%, 03/01/27 |
41 | 36,593 | ||||||||||
6.00%, 12/31/30 |
28 | 23,240 | ||||||||||
6.00%, 09/01/31 |
131 | 108,075 |
78 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Oil, Gas & Consumable Fuels (continued) |
||||||||||||
Tap Rock Resources LLC, 7.00%, 10/01/26 (b)(g) |
USD | 768 | $ | 725,160 | ||||||||
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28 (g) |
280 | 271,283 | ||||||||||
Transocean, Inc., 11.50%, 01/30/27 (b) |
171 | 160,506 | ||||||||||
Venture Global Calcasieu Pass LLC (b)(g) |
||||||||||||
3.88%, 08/15/29 |
827 | 723,398 | ||||||||||
4.13%, 08/15/31 |
705 | 602,437 | ||||||||||
3.88%, 11/01/33 |
1,545 | 1,274,625 | ||||||||||
Vermilion Energy, Inc., 6.88%, 05/01/30 (b) |
159 | 142,305 | ||||||||||
Vivo Energy Investments BV, 5.13%, 09/24/27 (b) |
200 | 188,500 | ||||||||||
Western Midstream Operating LP |
||||||||||||
4.75%, 08/15/28 |
37 | 33,804 | ||||||||||
5.45%, 04/01/44 |
339 | 281,756 | ||||||||||
5.30%, 03/01/48 |
199 | 160,424 | ||||||||||
5.50%, 08/15/48 |
99 | 80,685 | ||||||||||
5.75%, 02/01/50 (g) |
795 | 638,432 | ||||||||||
|
|
|||||||||||
44,436,308 | ||||||||||||
Personal Products — 0.0% |
||||||||||||
Coty, Inc., 3.88%, 04/15/26 (d) |
EUR | 100 | 92,419 | |||||||||
|
|
|||||||||||
Pharmaceuticals — 1.5% |
||||||||||||
AbbVie, Inc., 2.95%, 11/21/26 (g) |
USD | 1,750 | 1,658,207 | |||||||||
Bausch Health Cos., Inc. (b) |
||||||||||||
9.00%, 12/15/25 |
114 | 84,229 | ||||||||||
6.13%, 02/01/27 |
64 | 54,400 | ||||||||||
5.00%, 02/15/29 |
108 | 56,160 | ||||||||||
6.25%, 02/15/29 (g) |
7 | 3,725 | ||||||||||
7.25%, 05/30/29 (g) |
117 | 63,473 | ||||||||||
Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28 (d) |
EUR | 100 | 89,040 | |||||||||
CVS Health Corp. (g) |
||||||||||||
4.75%, 12/01/22 |
USD | 165 | 165,423 | |||||||||
3.25%, 08/15/29 |
1,750 | 1,597,508 | ||||||||||
Elanco Animal Health, Inc., 6.40%, 08/28/28 |
156 | 148,496 | ||||||||||
Gruenenthal GmbH, 4.13%, 05/15/28 (d) |
EUR | 100 | 89,600 | |||||||||
Jazz Securities DAC, 4.38%, 01/15/29 (b)(g) |
USD | 441 | 392,277 | |||||||||
Nidda BondsCo GmbH, 7.25%, 09/30/25 (d) |
EUR | 100 | 87,313 | |||||||||
Nidda Healthcare Holding GmbH, 3.50%, 09/30/24 (d) |
100 | 92,587 | ||||||||||
Option Care Health, Inc., 4.38%, 10/31/29 (b) |
USD | 208 | 178,360 | |||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV (b)(g) |
||||||||||||
4.13%, 04/30/28 |
790 | 699,150 | ||||||||||
5.13%, 04/30/31 |
772 | 666,105 | ||||||||||
P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25 (b) |
266 | 186,213 | ||||||||||
PRA Health Sciences, Inc., 2.88%, 07/15/26 (b)(g) |
484 | 430,760 | ||||||||||
Prestige Brands, Inc., 3.75%, 04/01/31 (b) |
149 | 123,551 | ||||||||||
Teva Pharmaceutical Finance Netherlands II BV |
||||||||||||
6.00%, 01/31/25 |
EUR | 100 | 102,064 | |||||||||
3.75%, 05/09/27 |
100 | 88,604 | ||||||||||
|
|
|||||||||||
7,057,245 | ||||||||||||
Real Estate Management & Development — 0.7% |
||||||||||||
Adler Group SA, 2.75%, 11/13/26 (d) |
100 | 52,502 | ||||||||||
Arabian Centres Sukuk II Ltd., 5.63%, 10/07/26 (b)(g) |
USD | 260 | 235,592 | |||||||||
China Aoyuan Group Ltd. (d)(e)(j) |
||||||||||||
6.35%, 02/08/24 |
400 | 32,000 | ||||||||||
6.20%, 03/24/26 |
200 | 16,000 | ||||||||||
CIFI Holdings Group Co. Ltd., 6.00%, 07/16/25 (d) |
200 | 118,500 |
Security |
Par (000) |
Value |
||||||||||
Real Estate Management & Development (continued) |
||||||||||||
Country Garden Holdings Co. Ltd., 6.50%, 04/08/24 (d) |
USD | 200 | $ | 124,000 | ||||||||
DIC Asset AG, 2.25%, 09/22/26 (d) |
EUR | 100 | 69,689 | |||||||||
Easy Tactic Ltd., 11.75%, 08/02/23 (d) |
USD | 200 | 43,600 | |||||||||
Fantasia Holdings Group Co. Ltd. (d)(e)(j) |
||||||||||||
11.75%, 04/17/22 |
400 | 33,000 | ||||||||||
11.88%, 06/01/23 |
200 | 16,500 | ||||||||||
9.25%, 07/28/23 |
200 | 16,500 | ||||||||||
9.88%, 10/19/23 |
200 | 16,500 | ||||||||||
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25 (b)(g) |
90 | 75,488 | ||||||||||
Global Prime Capital Pte. Ltd., 5.50%, 10/18/23 (d) |
200 | 197,037 | ||||||||||
Greystar Real Estate Partners LLC, 5.75%, 12/01/25 (b) |
100 | 94,655 | ||||||||||
Howard Hughes Corp. (b) |
||||||||||||
5.38%, 08/01/28 |
180 | 150,750 | ||||||||||
4.13%, 02/01/29 |
149 | 114,922 | ||||||||||
4.38%, 02/01/31 |
140 | 103,612 | ||||||||||
Jingrui Holdings Ltd., 12.00%, 07/25/22 (d) |
200 | 30,859 | ||||||||||
KWG Group Holdings Ltd., 5.88%, 11/10/24 (d) |
231 | 45,045 | ||||||||||
MAF Sukuk Ltd. (d) |
||||||||||||
4.64%, 05/14/29 |
275 | 275,137 | ||||||||||
3.93%, 02/28/30 |
238 | 227,632 | ||||||||||
Modern Land China Co. Ltd., 9.80%, 04/11/23 (c)(d)(e)(j) |
431 | 68,960 | ||||||||||
Realogy Group LLC/Realogy Co-Issuer Corp. (b) |
||||||||||||
5.75%, 01/15/29 |
456 | 345,794 | ||||||||||
5.25%, 04/15/30 |
135 | 99,900 | ||||||||||
Ronshine China Holdings Ltd., 6.75%, 08/05/24 (d) |
200 | 23,000 | ||||||||||
Shimao Group Holdings Ltd., 3.45%, 01/11/31 (d)(e)(j) |
200 | 21,000 | ||||||||||
Shui On Development Holding Ltd., 5.50%, 03/03/25 (d) |
209 | 157,795 | ||||||||||
Sinic Holdings Group Co. Ltd., 10.50%, 12/18/22 (c)(e)(j) |
200 | 4,000 | ||||||||||
Starwood Property Trust, Inc., 4.38%, 01/15/27 (b) |
77 | 66,841 | ||||||||||
Sunac China Holdings Ltd., 7.00%, 07/09/25 (d)(e)(j) |
200 | 28,000 | ||||||||||
Theta Capital Pte. Ltd., 8.13%, 01/22/25 (d) |
200 | 172,000 | ||||||||||
Times China Holdings Ltd. (d) |
||||||||||||
6.75%, 07/08/25 |
390 | 54,600 | ||||||||||
6.20%, 03/22/26 |
277 | 38,780 | ||||||||||
Wanda Group Overseas Ltd., 7.50%, 07/24/22 (d) |
200 | 194,000 | ||||||||||
Yanlord Land HK Co. Ltd., 6.80%, 02/27/24 (d) |
200 | 169,000 | ||||||||||
Yuzhou Group Holdings Co. Ltd. (d)(e)(j) |
||||||||||||
8.38%, 10/30/24 |
200 | 14,000 | ||||||||||
7.70%, 02/20/25 |
200 | 13,000 | ||||||||||
8.30%, 05/27/25 |
200 | 13,000 | ||||||||||
|
|
|||||||||||
3,573,190 | ||||||||||||
Road & Rail — 0.5% |
||||||||||||
Danaos Corp., 8.50%, 03/01/28 (b) |
100 | 99,002 | ||||||||||
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34 (b)(g) |
1,461 | 1,430,900 | ||||||||||
Seaspan Corp., 5.50%, 08/01/29 (b)(g) |
353 | 284,012 | ||||||||||
Union Pacific Corp., 3.20%, 05/20/41 (g) |
600 | 489,422 | ||||||||||
|
|
|||||||||||
2,303,336 | ||||||||||||
Semiconductors & Semiconductor Equipment — 1.4% |
||||||||||||
Broadcom, Inc. (g) |
||||||||||||
3.46%, 09/15/26 |
578 | 553,761 | ||||||||||
4.11%, 09/15/28 |
1,594 | 1,512,448 | ||||||||||
Entegris Escrow Corp., 4.75%, 04/15/29 (b)(g) |
1,292 | 1,203,147 |
S C H E D U L E O F I N V E S T M E N T S |
79 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Semiconductors & Semiconductor Equipment (continued) |
||||||||||||
Microchip Technology, Inc. (h) |
||||||||||||
0.13%, 11/15/24 |
USD | 250 | $ | 248,750 | ||||||||
1.63%, 02/15/25 |
86 | 213,952 | ||||||||||
1.63%, 02/15/27 |
61 | 101,298 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25 |
33 | 31,353 | ||||||||||
Qualcomm, Inc., 1.65%, 05/20/32 (g) |
1,779 | 1,436,781 | ||||||||||
Sensata Technologies BV (b) |
||||||||||||
5.63%, 11/01/24 (g) |
229 | 226,060 | ||||||||||
5.00%, 10/01/25 (g) |
324 | 311,040 | ||||||||||
4.00%, 04/15/29 |
168 | 142,477 | ||||||||||
Sensata Technologies, Inc. (b) |
||||||||||||
4.38%, 02/15/30 (g) |
571 | 486,023 | ||||||||||
3.75%, 02/15/31 |
34 | 27,250 | ||||||||||
Synaptics, Inc., 4.00%, 06/15/29 (b) |
192 | 155,900 | ||||||||||
|
|
|||||||||||
6,650,240 | ||||||||||||
Software — 1.6% |
||||||||||||
ACI Worldwide, Inc., 5.75%, 08/15/26 (b)(g) |
444 | 428,580 | ||||||||||
Black Knight InfoServ LLC, 3.63%, 09/01/28 (b)(g) |
386 | 333,890 | ||||||||||
Boxer Parent Co., Inc. |
||||||||||||
6.50%, 10/02/25 (d) |
EUR | 100 | 98,130 | |||||||||
7.13%, 10/02/25 (b)(g) |
USD | 398 | 381,109 | |||||||||
9.13%, 03/01/26 (b)(g) |
678 | 633,396 | ||||||||||
Cedacri Mergeco SpA, (3 mo. EURIBOR + 4.63%), 4.63%, 05/15/28 (a)(d) |
EUR | 100 | 96,598 | |||||||||
Elastic NV, 4.13%, 07/15/29 (b)(g) |
USD | 376 | 313,877 | |||||||||
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL, 4.63%, 05/01/28 (b) |
200 | 158,728 | ||||||||||
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32 (b) |
230 | 185,636 | ||||||||||
MicroStrategy, Inc., 6.13%, 06/15/28 (b)(g) |
451 | 359,145 | ||||||||||
MSCI, Inc. (b) |
||||||||||||
4.00%, 11/15/29 |
83 | 73,565 | ||||||||||
3.63%, 09/01/30 |
147 | 122,551 | ||||||||||
3.88%, 02/15/31 (g) |
373 | 318,915 | ||||||||||
3.63%, 11/01/31 |
129 | 106,186 | ||||||||||
3.25%, 08/15/33 |
183 | 145,868 | ||||||||||
Open Text Corp. (b) |
||||||||||||
3.88%, 02/15/28 (g) |
268 | 238,367 | ||||||||||
3.88%, 12/01/29 |
196 | 164,963 | ||||||||||
Open Text Holdings, Inc., 4.13%, 02/15/30 (b)(g) |
256 | 221,453 | ||||||||||
Oracle Corp., 3.60%, 04/01/50 (g) |
785 | 545,307 | ||||||||||
Playtika Holding Corp., 4.25%, 03/15/29 (b)(g) |
391 | 322,575 | ||||||||||
PTC, Inc. (b) |
||||||||||||
3.63%, 02/15/25 |
76 | 71,879 | ||||||||||
4.00%, 02/15/28 |
187 | 168,986 | ||||||||||
SS&C Technologies, Inc., 5.50%, 09/30/27 (b)(g) |
1,507 | 1,405,368 | ||||||||||
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, |
||||||||||||
09/01/25 (b)(g) |
814 | 610,862 | ||||||||||
|
|
|||||||||||
7,505,934 | ||||||||||||
Specialty Retail — 0.4% |
||||||||||||
Arko Corp., 5.13%, 11/15/29 (b) |
181 | 137,113 | ||||||||||
Bath & Body Works, Inc., 7.60%, 07/15/37 |
60 | 48,370 | ||||||||||
Carvana Co., 10.25%, 05/01/30 (b) |
166 | 136,120 | ||||||||||
National Vision Holdings, Inc., 2.50%, 05/15/25 (h) |
244 | 273,597 | ||||||||||
PetSmart, Inc./PetSmart Finance Corp. (b) 4.75%, 02/15/28 |
343 | 296,777 |
Security |
Par (000) |
Value |
||||||||||
Specialty Retail (continued) |
||||||||||||
PetSmart, Inc./PetSmart Finance Corp. (b) (continued) |
||||||||||||
7.75%, 02/15/29 (g) |
USD | 587 | $ | 528,599 | ||||||||
Staples, Inc., 7.50%, 04/15/26 (b)(g) |
434 | 359,730 | ||||||||||
Tendam Brands SAU, (3 mo. EURIBOR + 5.25%), 5.25%, 09/15/24 (a)(d) |
EUR | 100 | 100,035 | |||||||||
|
|
|||||||||||
1,880,341 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.1% |
||||||||||||
II-VI, Inc., 5.00%, 12/15/29 (b)(g) |
USD | 430 | 375,175 | |||||||||
|
|
|||||||||||
Textiles, Apparel & Luxury Goods (b) — 0.1% |
||||||||||||
Crocs, Inc. |
||||||||||||
4.25%, 03/15/29 |
25 | 18,492 | ||||||||||
4.13%, 08/15/31 |
149 | 105,456 | ||||||||||
Kontoor Brands, Inc., 4.13%, 11/15/29 |
98 | 77,824 | ||||||||||
Levi Strauss & Co., 3.50%, 03/01/31 |
125 | 102,187 | ||||||||||
William Carter Co., 5.63%, 03/15/27 |
160 | 149,826 | ||||||||||
|
|
|||||||||||
453,785 | ||||||||||||
Thrifts & Mortgage Finance — 0.2% |
||||||||||||
Home Point Capital, Inc., 5.00%, 02/01/26 (b) |
194 | 133,860 | ||||||||||
Jerrold Finco PLC, 5.25%, 01/15/27 (d) |
GBP | 100 | 107,335 | |||||||||
MGIC Investment Corp., 5.25%, 08/15/28 |
USD | 167 | 149,540 | |||||||||
Nationstar Mortgage Holdings, Inc. (b) |
||||||||||||
6.00%, 01/15/27 |
147 | 127,514 | ||||||||||
5.13%, 12/15/30 |
104 | 77,743 | ||||||||||
5.75%, 11/15/31 |
98 | 75,039 | ||||||||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26 (b) |
296 | 244,617 | ||||||||||
|
|
|||||||||||
915,648 | ||||||||||||
Transportation — 0.0% |
||||||||||||
Autostrade per l’Italia SpA, 2.00%, 12/04/28 (d) |
EUR | 100 | 85,412 | |||||||||
|
|
|||||||||||
Transportation Infrastructure — 0.2% |
||||||||||||
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29 (b) |
USD | 200 | 180,375 | |||||||||
Autostrade per l’Italia SpA, 1.63%, 01/25/28 (d) |
EUR | 100 | 87,256 | |||||||||
DP World Salaam, (5 year CMT + 5.75%), 6.00% (a)(d)(k) |
USD | 200 | 200,563 | |||||||||
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27 (d) |
200 | 167,850 | ||||||||||
Heathrow Finance PLC, 4.63%, 09/01/29 (d) |
GBP | 100 | 104,871 | |||||||||
Transurban Finance Co. Pty. Ltd., 4.13%, 02/02/26 (b)(g) |
USD | 435 | 430,488 | |||||||||
|
|
|||||||||||
1,171,403 | ||||||||||||
Utilities — 0.7% |
||||||||||||
American Water Capital Corp., 4.45%, 06/01/32 (g) |
900 | 894,688 | ||||||||||
Consensus Cloud Solutions, Inc. (b) |
||||||||||||
6.00%, 10/15/26 |
71 | 61,081 | ||||||||||
6.50%, 10/15/28 |
64 | 52,813 | ||||||||||
FEL Energy VI SARL, 5.75%, 12/01/40 |
188 | 136,904 | ||||||||||
Genneia SA, 8.75%, 09/02/27 (b) |
70 | 65,594 | ||||||||||
Inkia Energy Ltd., 5.88%, 11/09/27 (b)(g) |
377 | 342,787 | ||||||||||
Mong Duong Finance Holdings BV, 5.13%, 05/07/29 (d) |
250 | 201,141 | ||||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28 (b)(g) |
433 | 376,710 |
80 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Utilities (continued) |
||||||||||||
Star Energy Geothermal Darajat II/Star Energy Geothermal Salak, 4.85%, 10/14/38 (b) |
USD | 280 | $ | 237,265 | ||||||||
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33 (d) |
165 | 154,081 | ||||||||||
Thames Water Kemble Finance PLC, 4.63%, 05/19/26 (d) |
GBP | 168 | 190,749 | |||||||||
Vistra Operations Co. LLC (b) |
||||||||||||
5.50%, 09/01/26 |
USD | 8 | 7,555 | |||||||||
5.63%, 02/15/27 (g) |
422 | 396,790 | ||||||||||
4.38%, 05/01/29 |
227 | 189,915 | ||||||||||
|
|
|||||||||||
3,308,073 | ||||||||||||
Wireless Telecommunication Services — 1.5% |
||||||||||||
Altice France SA |
||||||||||||
5.88%, 02/01/27 (d) |
EUR | 100 | 90,805 | |||||||||
8.13%, 02/01/27 (b)(g) |
USD | 507 | 466,638 | |||||||||
5.50%, 01/15/28 (b)(g) |
381 | 307,033 | ||||||||||
4.13%, 01/15/29 (d) |
EUR | 100 | 78,909 | |||||||||
5.13%, 01/15/29 (b) |
USD | 200 | 151,522 | |||||||||
5.13%, 07/15/29 (b)(g) |
902 | 681,010 | ||||||||||
5.50%, 10/15/29 (b)(g) |
477 | 364,385 | ||||||||||
Kenbourne Invest SA, 6.88%, 11/26/24 (b) |
275 | 250,130 | ||||||||||
Millicom International Cellular SA, 5.13%, 01/15/28 (d) |
248 | 210,994 | ||||||||||
Rogers Communications, Inc., 5.00%, 03/15/44 (g) |
545 | 507,319 | ||||||||||
SBA Communications Corp. |
||||||||||||
3.13%, 02/01/29 |
25 | 20,463 | ||||||||||
3.88%, 02/15/27 (g) |
1,106 | 1,009,546 | ||||||||||
Sprint Corp., 7.63%, 03/01/26 (g) |
506 | 533,135 | ||||||||||
T-Mobile USA, Inc. |
||||||||||||
4.75%, 02/01/28 (g) |
532 | 515,620 | ||||||||||
2.63%, 02/15/29 |
240 | 202,029 | ||||||||||
3.38%, 04/15/29 |
155 | 135,625 | ||||||||||
2.88%, 02/15/31 (g) |
180 | 149,441 | ||||||||||
3.50%, 04/15/31 |
373 | 322,059 | ||||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 02/15/29 (b)(g) |
525 | 384,562 | ||||||||||
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25 (b) |
75 | 71,344 | ||||||||||
Vmed O2 U.K. Financing I PLC |
||||||||||||
4.00%, 01/31/29 (d) |
GBP | 100 | 96,561 | |||||||||
4.50%, 07/15/31 (d) |
100 | 95,862 | ||||||||||
4.75%, 07/15/31 (b)(g) |
USD | 797 | 643,856 | |||||||||
|
|
|||||||||||
7,288,848 | ||||||||||||
|
|
|||||||||||
Total Corporate Bonds — 77.3% (Cost: $426,934,217) |
372,588,936 | |||||||||||
|
|
|||||||||||
Floating Rate Loan Interests (a) |
||||||||||||
Aerospace & Defense — 1.8% |
||||||||||||
Atlas CC Acquisition Corp. |
||||||||||||
Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.82%, 05/25/28 |
2,574 | 2,372,876 | ||||||||||
Term Loan C, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.82%, 05/25/28 |
523 | 482,619 | ||||||||||
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 6.25%, 10/31/26 |
285 | 275,844 |
Security |
Par (000) |
Value |
||||||||||
Aerospace & Defense (continued) |
||||||||||||
Cobham Ultra U.S. Co-Borrower LLC, USD Term Loan B, 11/17/28 |
USD | 155 | $ | 147,121 | ||||||||
Dynasty Acquisition Co., Inc. |
||||||||||||
2020 CAD Term Loan B2, (1 mo. LIBOR + 3.50%), 5.17%, 04/06/26 |
784 | 721,040 | ||||||||||
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 5.17%, 04/06/26 |
1,459 | 1,341,136 | ||||||||||
Peraton Corp. |
||||||||||||
2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%, 0.75% Floor), 9.00%, 02/01/29 |
455 | 422,068 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 02/01/28 |
2,265 | 2,122,124 | ||||||||||
TransDigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 3.92%, 12/09/25 |
853 | 807,335 | ||||||||||
|
|
|||||||||||
8,692,163 | ||||||||||||
Air Freight & Logistics — 0.2% |
||||||||||||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.72%, 04/06/28 |
275 | 248,346 | ||||||||||
Kestrel Bidco, Inc., Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.03%, 12/11/26 |
178 | 158,987 | ||||||||||
PECF USS Intermediate Holding III Corp., Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 12/15/28 |
602 | 542,282 | ||||||||||
|
|
|||||||||||
949,615 | ||||||||||||
Airlines — 1.4% |
||||||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.81%, 04/20/28 |
942 | 897,296 | ||||||||||
Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/11/28 (c) |
1,178 | 1,080,998 | ||||||||||
American Airlines, Inc. |
||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 3.40%, 01/29/27 |
692 | 607,813 | ||||||||||
2017 Incremental Term Loan, (6 mo. LIBOR + 2.00%), 2.84%, 12/15/23 |
763 | 736,184 | ||||||||||
2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.37%, 06/27/25 |
314 | 277,458 | ||||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.31%, 06/21/27 |
1,583 | 1,560,975 | ||||||||||
United Airlines, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.39%, 04/21/28 |
1,677 | 1,554,169 | ||||||||||
|
|
|||||||||||
6,714,893 | ||||||||||||
Auto Components — 1.0% |
||||||||||||
Adient U.S. LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/10/28 |
337 | 313,395 | ||||||||||
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/30/26 |
1,701 | 1,583,743 | ||||||||||
Truck Hero, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 01/31/28 |
808 | 720,847 | ||||||||||
USI, Inc. |
||||||||||||
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 5.25%, 05/16/24 |
1,064 | 1,018,192 |
S C H E D U L E O F I N V E S T M E N T S |
81 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Auto Components (continued) |
||||||||||||
USI, Inc. (continued) |
||||||||||||
2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 12/02/26 (c) |
USD | 83 | $ | 76,454 | ||||||||
Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 02/05/26 |
1,046 | 968,543 | ||||||||||
|
|
|||||||||||
4,681,174 | ||||||||||||
Banks — 0.4% |
||||||||||||
Directv Financing LLC, Term Loan, (1 mo. LIBOR + 5.00%, 0.75% Floor), 6.67%, 08/02/27 |
1,266 | 1,162,300 | ||||||||||
LABL, Inc., 2021 USD 1st Lien Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 10/29/28 |
611 | 563,076 | ||||||||||
|
|
|||||||||||
1,725,376 | ||||||||||||
Beverages — 0.5% |
||||||||||||
Naked Juice LLC |
||||||||||||
2nd Lien Term Loan, (SOFR + 6.00%), 8.15%, 01/24/30 (c) |
496 | 446,458 | ||||||||||
Term Loan, (SOFR + 3.25%), 5.40%, 01/24/29 |
1,954 | 1,815,071 | ||||||||||
|
|
|||||||||||
2,261,529 | ||||||||||||
Building Materials — 0.0% |
||||||||||||
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%,), 4.57%, 04/12/28 |
125 | 103,255 | ||||||||||
MI Windows & Doors LLC, 2022 Term Loan, (SOFR + 3.50%), 5.13%, 12/18/27 |
— | (m) |
275 | |||||||||
|
|
|||||||||||
103,530 | ||||||||||||
Building Products — 0.8% |
||||||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 11/23/27 |
1,180 | 1,032,799 | ||||||||||
CPG International LLC, 2022 Term Loan B, (SOFR + 2.50%), 4.09%, 04/28/29 (c) |
360 | 333,000 | ||||||||||
Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 07/28/28 |
336 | 318,145 | ||||||||||
New AMI I LLC, 2022 Term Loan B, (SOFR + 6.00%), 7.52%, 03/08/29 |
396 | 359,723 | ||||||||||
Standard Industries, Inc., 2021 Term Loan B, (6 mo. LIBOR + 2.50%), 3.79%, 09/22/28 |
676 | 651,769 | ||||||||||
Wilsonart LLC, 2021 Term Loan E, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.51%, 12/31/26 |
1,473 | 1,301,329 | ||||||||||
|
|
|||||||||||
3,996,765 | ||||||||||||
Capital Markets — 0.9% |
||||||||||||
AqGen Ascensus, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%), 7.50%, 08/02/29 (c) |
231 | 214,842 | ||||||||||
Deerfield Dakota Holding LLC |
||||||||||||
2020 USD Term Loan B, (SOFR + 3.75%, 1.00% Floor), 5.28%, 04/09/27 |
2,514 | 2,346,782 | ||||||||||
2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 8.42%, 04/07/28 |
642 | 622,740 | ||||||||||
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.31%, 11/12/27 |
576 | 541,639 | ||||||||||
Focus Financial Partners LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.17%, 06/30/28 |
628 | 600,594 | ||||||||||
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/12/24 |
222 | 217,552 | ||||||||||
|
|
|||||||||||
4,544,149 |
Security |
Par (000) |
Value |
||||||||||
Chemicals — 2.0% |
||||||||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 7.00%, 08/27/26 |
USD | 1,036 | $ | 1,007,027 | ||||||||
Atotech BV, 2021 USD Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 03/18/28 |
1,352 | 1,289,226 | ||||||||||
Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 4.00%, 06/01/24 |
513 | 499,831 | ||||||||||
CPC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 12/29/27 |
285 | 248,524 | ||||||||||
Element Materials Technology Group U.S. Holdings, Inc., 2017 USD Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.09%, 06/28/24 |
343 | 329,578 | ||||||||||
Element Solutions, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.67%, 01/31/26 |
847 | 834,590 | ||||||||||
Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 06/30/27 |
413 | 381,090 | ||||||||||
Lonza Group AG, USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 6.25%, 07/03/28 |
399 | 355,170 | ||||||||||
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 4.75%, 03/02/26 |
679 | 646,250 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/15/24 |
684 | 659,668 | ||||||||||
New Arclin U.S. Holding Corp., 2021 Term Loan , (1 mo. LIBOR + 3.75%), 5.42%, 09/30/28 |
515 | 474,014 | ||||||||||
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (1 mo. LIBOR + 3.25%), 4.38%, 10/14/24 |
731 | 674,532 | ||||||||||
PQ Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 3.74%, 06/09/28 |
670 | 639,232 | ||||||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (6 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 03/16/27 |
433 | 385,605 | ||||||||||
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.62%, 08/02/28 (c) |
803 | 765,107 | ||||||||||
Starfruit Finco BV, 2018 USD Term Loan B, (3 mo. LIBOR + 3.00%), 5.25%, 10/01/25 |
91 | 85,717 | ||||||||||
WR Grace Holdings LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 6.06%, 09/22/28 |
221 | 209,072 | ||||||||||
|
|
|||||||||||
9,484,233 | ||||||||||||
Commercial Services & Supplies — 2.4% |
||||||||||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 05/12/28 |
1,243 | 1,137,081 | ||||||||||
Amentum Government Services Holdings LLC, 2022 Term Loan, (SOFR + 4.00%), 5.30%, 02/15/29 |
328 | 311,397 | ||||||||||
Aramark Services, Inc. |
||||||||||||
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.42%, 03/11/25 |
375 | 358,701 | ||||||||||
2021 Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 04/06/28 |
383 | 365,625 | ||||||||||
Asurion LLC |
||||||||||||
2018 Term Loan B6, (1 mo. LIBOR + 3.12%), 4.79%, 11/03/23 |
451 | 432,086 | ||||||||||
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 4.67%, 11/03/24 |
376 | 352,047 | ||||||||||
2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 4.92%, 12/23/26 |
885 | 800,763 |
82 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Commercial Services & Supplies (continued) |
||||||||||||
Asurion LLC (continued) |
||||||||||||
2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 6.92%, 01/31/28 |
USD | 364 | $ | 309,400 | ||||||||
2021 2nd Lien Term Loan B4, (1 mo. LIBOR + 5.25%), 6.92%, 01/20/29 |
646 | 545,870 | ||||||||||
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 10/08/28 |
424 | 419,631 | ||||||||||
Covanta Holding Corp. |
||||||||||||
2021 Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 11/30/28 |
486 | 458,042 | ||||||||||
2021 Term Loan C, (1 mo. LIBOR + 2.50%), 4.17%, 11/30/28 |
36 | 34,396 | ||||||||||
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 12/12/25 |
832 | 791,873 | ||||||||||
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.00%, 05/09/25 |
171 | 158,547 | ||||||||||
GFL Environmental, Inc., 2020 Term Loan, (3 mo. LIBOR + 3.00%), 4.24%, 05/30/25 |
175 | 169,904 | ||||||||||
Packers Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.44%, 03/09/28 |
746 | 681,131 | ||||||||||
Prime Security Services Borrower LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.75% Floor), 3.65%, 09/23/26 |
301 | 280,221 | ||||||||||
Tempo Acquisition LLC, 2022 Term Loan B, (SOFR + 3.00%), 4.53%, 08/31/28 |
2,295 | 2,171,810 | ||||||||||
Vericast Corp., 2021 Term Loan, (3 mo. LIBOR + 7.75%, 1.00% Floor), 10.00%, 06/16/26 |
121 | 93,940 | ||||||||||
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 5.67%, 08/27/25 |
1,268 | 1,210,573 | ||||||||||
Viad Corp., Initial Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 07/30/28 |
353 | 330,364 | ||||||||||
|
|
|||||||||||
11,413,402 | ||||||||||||
Communications Equipment — 0.2% |
||||||||||||
ViaSat, Inc., Term Loan, (SOFR + 4.50%), 6.14%, 03/02/29 |
1,096 | 1,017,768 | ||||||||||
|
|
|||||||||||
Construction & Engineering — 0.9% |
||||||||||||
Brand Energy & Infrastructure Services, Inc., |
||||||||||||
2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.40%, 06/21/24 |
1,676 | 1,441,775 | ||||||||||
Pike Corp., 2021 Incremental Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 01/21/28 |
424 | 402,261 | ||||||||||
SRS Distribution, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.02%, 06/02/28 |
1,829 | 1,683,366 | ||||||||||
USIC Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 05/12/28 |
710 | 659,257 | ||||||||||
|
|
|||||||||||
4,186,659 | ||||||||||||
Construction Materials — 0.7% |
||||||||||||
Core & Main LP, 2021 Term Loan B, (1 mo. LIBOR + 2.50%), 4.12%, 07/27/28 |
1,819 | 1,728,697 | ||||||||||
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 03/29/25 |
1,116 | 1,054,853 | ||||||||||
Tamko Building Products LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 4.33%, 06/01/26 |
355 | 331,964 | ||||||||||
|
|
|||||||||||
3,115,514 | ||||||||||||
Containers & Packaging — 0.9% |
||||||||||||
BWAY Holding Co., 2017 Term Loan B, (1 Week LIBOR + 3.25%), 4.31%, 04/03/24 |
1,049 | 984,081 |
Security |
Par (000) |
Value |
||||||||||
Containers & Packaging (continued) |
||||||||||||
Charter Next Generation, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/01/27 |
USD | 2,233 | $ | 2,097,231 | ||||||||
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 07/31/26 |
136 | 128,394 | ||||||||||
Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 08/18/27 |
580 | 514,150 | ||||||||||
Trident TPI Holdings, Inc. |
||||||||||||
2021 Delayed Draw Term Loan, (3 mo. LIBOR + 4.00%), 5.60%, 09/15/28 |
40 | 37,899 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%), 6.25%, 09/15/28 |
454 | 425,071 | ||||||||||
|
|
|||||||||||
4,186,826 | ||||||||||||
Distributors — 0.3% |
||||||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 01/15/27 |
507 | 477,953 | ||||||||||
TMK Hawk Parent Corp. (c) |
||||||||||||
2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 10.50%, 1.00% Floor), 11.17%, 05/30/24 |
162 | 151,031 | ||||||||||
2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.11%, 08/28/24 |
1,310 | 995,908 | ||||||||||
|
|
|||||||||||
1,624,892 | ||||||||||||
Diversified Consumer Services — 1.2% |
||||||||||||
Ascend Learning LLC |
||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 7.42%, 12/10/29 (c) |
299 | 273,585 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 12/11/28 |
602 | 554,352 | ||||||||||
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 11/24/28 (c) |
409 | 389,520 | ||||||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 07/11/25 |
830 | 787,812 | ||||||||||
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (PRIME + 5.75%), 10.50%, 12/22/25 |
1,554 | 1,419,918 | ||||||||||
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (3 mo. LIBOR + 2.25%), 3.66%, 05/15/24 |
402 | 385,840 | ||||||||||
Okta, Inc., Term Loan, (SOFR + 6.25%), 7.63%, 12/15/26 |
355 | 299,862 | ||||||||||
PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.99%, 10/28/27 |
332 | 312,697 | ||||||||||
Serta Simmons Bedding LLC |
||||||||||||
2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 9.01%, 08/10/23 |
187 | 180,749 | ||||||||||
2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 9.01%, 08/10/23 |
250 | 174,548 | ||||||||||
Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%), 5.54%, 01/15/27 |
626 | 598,434 | ||||||||||
Voyage Australia Pty. Ltd., USD Term Loan B, (3 mo. LIBOR + 3.50%), 4.56%, 07/20/28 |
306 | 285,248 | ||||||||||
|
|
|||||||||||
5,662,565 |
S C H E D U L E O F I N V E S T M E N T S |
83 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Diversified Financial Services — 3.2% |
||||||||||||
Advisor Group, Inc., 2021 Term Loan, (1 mo. LIBOR + 4.50%), 6.17%, 07/31/26 |
USD | 709 | $ | 673,530 | ||||||||
Alchemy Copyrights LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 4.06%, 03/10/28 (c) |
342 | 329,101 | ||||||||||
AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 02/04/28 |
772 | 732,230 | ||||||||||
AqGen Island Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 5.81%, 08/02/28 (c) |
1,509 | 1,403,758 | ||||||||||
Castlelake Aviation Ltd., Term Loan B, (3 mo. LIBOR + 2.75%), 4.58%, 10/22/26 |
978 | 932,985 | ||||||||||
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 09/01/28 |
675 | 642,758 | ||||||||||
Credito Real SAB de CV Sofom ENR, Term Loan B, (3 mo. LIBOR + 3.75%), 5.25%, 02/17/23 (c) |
24 | 1,540 | ||||||||||
Delta TopCo, Inc. |
||||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 9.34%, 12/01/28 (c) |
261 | 221,850 | ||||||||||
2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 5.84%, 12/01/27 |
753 | 679,932 | ||||||||||
EG America LLC, 2018 USD Term Loan, (3 mo. LIBOR + 4.00%), 6.25%, 02/07/25 |
512 | 480,161 | ||||||||||
Gainwell Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 6.25%, 10/01/27 |
1,496 | 1,412,146 | ||||||||||
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (SOFR + 4.00%), 6.20%, 02/16/28 |
206 | 194,130 | ||||||||||
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 07/03/24 |
679 | 646,370 | ||||||||||
KKR Apple Bidco LLC |
||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 7.42%, 09/21/29 |
100 | 95,375 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 09/23/28 |
245 | 230,593 | ||||||||||
LBM Acquisition LLC, Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/18/27 |
984 | 804,284 | ||||||||||
LEB Holdings USA, Inc., Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 11/02/27 |
150 | 146,793 | ||||||||||
Oscar Acquisitionco LLC, Term Loan B, (SOFR + 4.50%), 6.11%, 04/29/29 |
497 | 441,088 | ||||||||||
Radiate Holdco LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.92%, 09/25/26 |
633 | 586,966 | ||||||||||
RVR Dealership Holdings LLC, Term Loan B, (SOFR + 3.75%), 5.17%, 02/08/28 |
297 | 248,906 | ||||||||||
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3 mo. LIBOR + 2.00%), 4.25%, 11/05/28 |
591 | 560,959 | ||||||||||
SMG U.S. Midco 2, Inc., 2020 Term Loan, (1 mo. LIBOR + 2.50%), 4.17%, 01/23/25 |
529 | 491,807 | ||||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 6.50%, 07/30/25 |
310 | 287,509 | ||||||||||
Veritas U.S., Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.25%, 09/01/25 |
1,871 | 1,526,704 | ||||||||||
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 02/28/27 |
724 | 679,318 |
Security |
Par (000) |
Value |
||||||||||
Diversified Financial Services (continued) |
||||||||||||
White Cap Buyer LLC, Term Loan B, (SOFR + 3.75%), 5.28%, 10/19/27. |
USD | 538 | $ | 494,129 | ||||||||
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 3.82%, 04/30/28 |
510 | 474,458 | ||||||||||
|
|
|||||||||||
15,419,380 | ||||||||||||
Diversified Telecommunication Services — 0.6% |
||||||||||||
Cablevision Lightpath LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.57%, 11/30/27 |
227 | 213,100 | ||||||||||
CenturyLink, Inc., 2020 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 03/15/27 |
625 | 573,995 | ||||||||||
Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 5.19%, 10/02/27 |
349 | 307,834 | ||||||||||
Frontier Communications Corp., 2021 DIP Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.06%, 05/01/28 |
750 | 699,871 | ||||||||||
Iridium Satellite LLC, 2021 Term Loan B2, (1 mo. LIBOR + 2.50%, 0.75% Floor), 4.17%, 11/04/26 |
729 | 698,066 | ||||||||||
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 03/01/27 |
566 | 523,281 | ||||||||||
|
|
|||||||||||
3,016,147 | ||||||||||||
Electric Utilities — 0.4% |
||||||||||||
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.08%, 12/15/27 |
670 | 644,844 | ||||||||||
Triton Water Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 5.75%, 03/31/28 |
1,675 | 1,476,507 | ||||||||||
|
|
|||||||||||
2,121,351 | ||||||||||||
Electrical Equipment — 0.5% |
||||||||||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (6 mo. LIBOR + 4.75%, 0.75% Floor), 7.63%, 06/23/28 (c) |
631 | 591,778 | ||||||||||
AZZ, Inc., Term Loan B, (SOFR + 4.25%), 5.88%, 05/13/29 (c) |
138 | 131,445 | ||||||||||
Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%, 0.75% Floor), 4.17%, 03/31/27 |
859 | 808,625 | ||||||||||
II-VI, Inc., 2021 Bridge Term Loan B, 07/02/29 (n) |
662 | 633,037 | ||||||||||
|
|
|||||||||||
2,164,885 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.0% |
||||||||||||
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 02/12/25 |
134 | 129,784 | ||||||||||
|
|
|||||||||||
Environmental, Maintenance & Security Service — 0.2% |
||||||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 09/07/27 |
785 | 756,231 | ||||||||||
TruGreen LP, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 11/02/27 |
432 | 409,245 | ||||||||||
|
|
|||||||||||
1,165,476 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% |
||||||||||||
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 05/11/24 |
321 | 314,804 | ||||||||||
|
|
84 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Food & Staples Retailing — 0.2% |
||||||||||||
U.S. Foods, Inc. |
||||||||||||
2019 Term Loan B, (3 mo. LIBOR + 2.00%), 3.57%, 09/13/26 |
USD | 761 | $ | 716,083 | ||||||||
2021 Term Loan B, (3 mo. LIBOR + 2.75%), 4.32%, 11/22/28 |
468 | 444,115 | ||||||||||
|
|
|||||||||||
1,160,198 | ||||||||||||
Food Products — 1.1% |
||||||||||||
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/01/25 |
654 | 548,619 | ||||||||||
B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.17%, 10/10/26 |
163 | 153,095 | ||||||||||
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 10/25/27 |
1,734 | 1,568,103 | ||||||||||
Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 3.92%, 01/29/27 |
1,717 | 1,576,125 | ||||||||||
Hostess Brands LLC, 2019 Term Loan, (3 mo. LIBOR + 2.25%, 0.75% Floor), 3.60%, 08/03/25 |
418 | 399,886 | ||||||||||
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 4.92%, 02/05/26 |
254 | 236,243 | ||||||||||
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 06/08/28 |
448 | 421,739 | ||||||||||
UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 01/20/28 |
274 | 260,568 | ||||||||||
|
|
|||||||||||
5,164,378 | ||||||||||||
Gas Utilities — 0.3% |
||||||||||||
Freeport LNG Investments LLLP, Term Loan B, (3 mo. LIBOR + 3.50%), 4.56%, 12/21/28 |
1,795 | 1,546,428 | ||||||||||
|
|
|||||||||||
Health Care Equipment & Supplies — 0.8% |
||||||||||||
Electron BidCo, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 11/01/28 |
1,006 | 940,425 | ||||||||||
Insulet Corp., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/04/28 |
285 | 270,151 | ||||||||||
Medline Borrower LP, USD Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 10/23/28 |
2,630 | 2,434,544 | ||||||||||
Venga Finance SARL, 2021 USD Term Loan B, 12/04/28 (c)(n) |
263 | 244,309 | ||||||||||
|
|
|||||||||||
3,889,429 | ||||||||||||
Health Care Providers & Services — 1.0% |
||||||||||||
CHG Healthcare Services, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.75%, 09/29/28 |
466 | 440,119 | ||||||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.25%, 01/08/27 |
678 | 640,320 | ||||||||||
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/10/25 |
742 | 244,220 | ||||||||||
EyeCare Partners LLC |
||||||||||||
2020 Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 02/18/27 |
859 | 792,401 | ||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 9.00%, 11/15/29 |
175 | 165,000 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 11/15/28 |
156 | 143,873 | ||||||||||
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 6.75%, 03/05/26 |
442 | 384,198 | ||||||||||
Orbcomm, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 09/01/28 |
388 | 357,474 |
Security |
Par (000) |
Value |
||||||||||
Health Care Providers & Services (continued) |
||||||||||||
PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%), 5.17%, 02/14/25 |
USD | 21 | $ | 19,457 | ||||||||
Sotera Health Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 12/11/26 |
578 | 548,377 | ||||||||||
Vizient, Inc., 2022 Term Loan B, (SOFR + 2.25%), 3.68%, 04/28/29 |
127 | 125,889 | ||||||||||
WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 12/22/28 |
1,147 | 1,078,112 | ||||||||||
|
|
|||||||||||
4,939,440 | ||||||||||||
Health Care Services — 0.3% |
||||||||||||
Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 4.74%, 07/24/26. |
1,124 | 1,049,445 | ||||||||||
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 9.88%, 11/01/29 |
247 | 227,240 | ||||||||||
|
|
|||||||||||
1,276,685 | ||||||||||||
Health Care Technology — 0.5% |
||||||||||||
Athenahealth, Inc., 2022 Term Loan B, (SOFR + 3.50%), 5.01%, 02/15/29. |
1,312 | 1,204,914 | ||||||||||
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 10/10/25. |
332 | 302,434 | ||||||||||
Polaris Newco LLC, USD Term Loan B, (1 mo. LIBOR + 4.00%), 5.67%, 06/02/28 |
891 | 820,980 | ||||||||||
Press Ganey Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.99%, 07/24/26 (c) |
271 | 256,331 | ||||||||||
|
|
|||||||||||
2,584,659 | ||||||||||||
Hotels, Restaurants & Leisure — 2.7% |
||||||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 11/19/26 |
988 | 940,924 | ||||||||||
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 02/02/26 |
136 | 120,913 | ||||||||||
Aristocrat Technologies, Inc., 2022 Term Loan B, (SOFR + 2.25%), 4.40%, 05/24/29 |
91 | 87,679 | ||||||||||
Caesars Resort Collection LLC |
||||||||||||
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 12/23/24 |
1,177 | 1,130,824 | ||||||||||
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 5.17%, 07/20/25 |
356 | 342,709 | ||||||||||
Carnival Corp., (6 mo. LIBOR + 3.00%, 0.75% Floor), 5.88%, 06/30/25 |
396 | 366,910 | ||||||||||
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 3.67%, 03/17/28 |
342 | 321,458 | ||||||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.25%, 03/08/24 |
2,311 | 1,709,942 | ||||||||||
Fertitta Entertainment LLC, 2022 Term Loan B, (SOFR + 4.00%), 5.53%, 01/27/29 |
1,950 | 1,793,191 | ||||||||||
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 11/30/23 |
532 | 525,903 | ||||||||||
Hilton Worldwide Finance LLC, 2019 Term Loan B2, 06/22/26 (n) |
126 | 121,224 | ||||||||||
IRB Holding Corp., 2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 4.42%, 02/05/25 |
606 | 573,096 | ||||||||||
Penn National Gaming, Inc., 2022 Term Loan B, (SOFR + 2.75%), 4.38%, 05/03/29 |
618 | 591,678 | ||||||||||
Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 03/13/28 |
723 | 679,871 |
S C H E D U L E O F I N V E S T M E N T S |
85 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Hotels, Restaurants & Leisure (continued) |
||||||||||||
Scientific Games International, Inc., 2022 USD Term Loan, (SOFR + 3.00%), 4.36%, 04/14/29 |
USD | 351 | $ | 332,573 | ||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 4.50%, 07/21/26 |
563 | 534,118 | ||||||||||
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 02/08/27 |
834 | 783,115 | ||||||||||
Travelport Finance Luxembourg SARL |
||||||||||||
2020 Super Priority Term Loan, (3 mo. LIBOR + 1.50%, 1.00% Floor), 3.75%, 02/28/25 |
537 | 538,852 | ||||||||||
2021 Consented Term Loan, (3 mo. LIBOR + 5.00%), 7.25%, 05/29/26 |
487 | 381,349 | ||||||||||
Twin River Worldwide Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.37%, 10/02/28 |
300 | 278,003 | ||||||||||
Whatabrands LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 08/03/28 |
938 | 877,296 | ||||||||||
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 05/30/25 |
199 | 192,098 | ||||||||||
|
|
|||||||||||
13,223,726 | ||||||||||||
Household Durables — 0.6% |
||||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.25%), 6.97%, 05/17/28 |
696 | 536,069 | ||||||||||
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 3.42%, 02/04/27 |
138 | 132,860 | ||||||||||
Snap One Holdings Corp., Term Loan B, (6 mo. LIBOR + 4.50%), 7.38%, 12/08/28 |
493 | 446,717 | ||||||||||
Solis IV BV, USD Term Loan B1, (SOFR + 3.50%), 4.84%, 02/26/29 |
1,006 | 863,279 | ||||||||||
Springs Windows Fashions LLC, 2021 Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.60%, 10/06/28 |
358 | 293,196 | ||||||||||
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.92%, 10/30/27 |
429 | 388,002 | ||||||||||
|
|
|||||||||||
2,660,123 | ||||||||||||
Household Products — 0.0% |
||||||||||||
Spectrum Brands, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 03/03/28 |
218 | 209,781 | ||||||||||
|
|
|||||||||||
Independent Power and Renewable Electricity Producers — 0.2% |
||||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 01/15/25 |
878 | 841,796 | ||||||||||
Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 3.67%, 08/12/26 |
286 | 270,349 | ||||||||||
|
|
|||||||||||
1,112,145 | ||||||||||||
Industrial Conglomerates — 1.0% |
||||||||||||
AVSC Holding Corp. (l) |
||||||||||||
2020 Term Loan B1, (0.25% PIK), 5.11%, 03/03/25 |
546 | 468,213 | ||||||||||
2020 Term Loan B3, (10.00% PIK), 7.50%, 10/15/26 |
450 | 474,976 | ||||||||||
Diamond BC BV, 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.99%, 09/29/28 |
1,375 | 1,266,921 | ||||||||||
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 8.30%, 11/28/23 |
234 | 231,525 |
Security |
Par (000) |
Value |
||||||||||
Industrial Conglomerates (continued) |
||||||||||||
Stitch Aquisition Corp., Term Loan B, (3 mo. LIBOR + 6.75%), 9.00%, 07/28/28 |
USD | 262 | $ | 232,708 | ||||||||
Vertical U.S. Newco, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 4.02%, 07/30/27 |
731 | 682,728 | ||||||||||
Vertiv Group Corp., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 3.87%, 03/02/27 |
1,484 | 1,376,636 | ||||||||||
|
|
|||||||||||
4,733,707 | ||||||||||||
Insurance — 1.5% |
||||||||||||
Alliant Holdings Intermediate LLC |
||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/09/25 |
834 | 783,407 | ||||||||||
2021 Term Loan B4, (1 mo. LIBOR + 3.50%), 5.01%, 11/06/27 |
2,135 | 1,980,624 | ||||||||||
AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 02/19/28 |
1,010 | 952,100 | ||||||||||
AssuredPartners, Inc. |
||||||||||||
2020 Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 |
536 | 501,555 | ||||||||||
2021 Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 |
284 | 265,628 | ||||||||||
Hub International Ltd. |
||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 3.00%), 4.21%, 04/25/25 |
349 | 329,456 | ||||||||||
2021 Term Loan B, (3 mo. LIBOR + 3.25%), 4.35%, 04/25/25 |
1,429 | 1,352,300 | ||||||||||
NFP Corp., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 4.92%, 02/15/27. |
113 | 104,308 | ||||||||||
Ryan Specialty Group LLC, Term Loan, (SOFR + 3.00%, 0.75% Floor), 4.63%, 09/01/27 (c) |
201 | 193,282 | ||||||||||
Sedgwick Claims Management Services, Inc. |
||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 09/03/26 |
522 | 494,930 | ||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.92%, 09/03/26 |
184 | 177,519 | ||||||||||
|
|
|||||||||||
7,135,109 | ||||||||||||
Interactive Media & Services — 1.2% |
||||||||||||
Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.25%, 06/26/28 |
1,060 | 1,011,373 | ||||||||||
Arches Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 12/06/27 |
375 | 341,341 | ||||||||||
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.67%, 10/30/26 |
1,614 | 1,517,963 | ||||||||||
Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 3.67%, 08/10/27 |
827 | 793,208 | ||||||||||
Grab Holdings, Inc., Term Loan B, (6 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26 |
2,180 | 1,983,538 | ||||||||||
|
|
|||||||||||
5,647,423 | ||||||||||||
Internet & Direct Marketing Retail — 0.1% |
||||||||||||
CNT Holdings I Corp., 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.69%, 11/08/27 |
599 | 566,972 | ||||||||||
PUG LLC, 2021 Incremental Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 02/12/27 (c) |
111 | 102,545 | ||||||||||
|
|
|||||||||||
669,517 |
86 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Internet Software & Services — 0.3% |
||||||||||||
Uber Technologies, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 5.07%, 02/25/27 |
USD | 1,284 | $ | 1,226,515 | ||||||||
|
|
|||||||||||
IT Services — 2.5% |
||||||||||||
Aruba Investments, Inc., 2020 USD Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.63%, 11/24/27 (c) |
337 | 309,810 | ||||||||||
Banff Merger Sub, Inc., 2021 USD Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/02/25 |
755 | 701,468 | ||||||||||
Camelot Finance SA, Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 10/30/26 |
1,502 | 1,418,324 | ||||||||||
CCC Intelligent Solutions, Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 4.50%, 09/21/28 |
730 | 691,257 | ||||||||||
CoreLogic, Inc., Term Loan, (1 mo. LIBOR + 3.50%), 5.19%, 06/02/28 |
1,821 | 1,509,253 | ||||||||||
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 04/28/28 |
952 | 914,108 | ||||||||||
Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/01/27 |
2,569 | 2,449,863 | ||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 (c) |
1,216 | 1,094,645 | ||||||||||
Trans Union LLC |
||||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 3.42%, 11/16/26 |
757 | 712,413 | ||||||||||
2021 Term Loan B6, (1 mo. LIBOR + 2.25%), 3.92%, 12/01/28 |
1,510 | 1,437,045 | ||||||||||
Virtusa Corp., 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 02/11/28 |
443 | 417,618 | ||||||||||
WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 3.92%, 03/31/28 |
432 | 414,008 | ||||||||||
ZoomInfo LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 02/02/26 |
89 | 85,830 | ||||||||||
|
|
|||||||||||
12,155,642 | ||||||||||||
Leisure Products — 0.1% |
||||||||||||
Fender Musical Instruments Corp., 2021 Term Loan B, (SOFR + 4.00%), 5.23%, 12/01/28 |
299 | 281,798 | ||||||||||
Peloton Interactive, Inc., Term Loan, (SOFR + 6.50%), 8.35%, 05/25/27 |
166 | 157,804 | ||||||||||
|
|
|||||||||||
439,602 | ||||||||||||
Life Sciences Tools & Services — 1.4% |
||||||||||||
Avantor Funding, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.25%), 3.92%, 11/08/27 |
1,804 | 1,730,705 | ||||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.17%, 02/04/27 |
1,836 | 1,691,604 | ||||||||||
ICON Luxembourg SARL |
||||||||||||
LUX Term Loan, (3 mo. LIBOR + 2.25%), 4.56%, 07/03/28 |
1,264 | 1,219,050 | ||||||||||
US Term Loan, (3 mo. LIBOR + 2.25%), 4.56%, 07/03/28 |
315 | 303,728 | ||||||||||
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (SOFR + 3.00%), 3.85%, 10/19/27 (c) |
664 | 629,229 | ||||||||||
Parexel International Corp., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.88%, 11/15/28 |
1,473 | 1,380,062 | ||||||||||
|
|
|||||||||||
6,954,378 |
Security |
Par (000) |
Value |
||||||||||
Machinery — 1.3% |
||||||||||||
Albion Acquisitions Ltd., USD Term Loan, (3 mo. LIBOR + 5.25%), 6.43%, 08/17/26 |
USD | 759 | $ | 725,078 | ||||||||
ASP Blade Holdings, Inc., Initial Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 10/13/28 |
162 | 141,324 | ||||||||||
Clark Equipment Co., 2022 Term Loan B, (SOFR + 2.50%), 4.65%, 04/20/29 |
166 | 159,168 | ||||||||||
Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 5.06%, 05/14/28 |
160 | 152,713 | ||||||||||
Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 10/21/28 |
495 | 461,827 | ||||||||||
Fluidra SA, 2022 USD Term Loan B, (SOFR + 2.00%), 3.63%, 01/29/29 |
127 | 123,274 | ||||||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 3.38%, 03/01/27 |
567 | 541,930 | ||||||||||
Madison IAQ LLC, Term Loan, (6 mo. LIBOR + 3.25%), 4.52%, 06/21/28 |
1,845 | 1,675,878 | ||||||||||
SPX Flow, Inc., (SOFR + 4.50%), 6.13%, 04/05/29 |
590 | 548,694 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 5.88%, 03/28/25 |
1,823 | 1,667,214 | ||||||||||
Zurn LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 10/04/28 |
64 | 62,217 | ||||||||||
|
|
|||||||||||
6,259,317 | ||||||||||||
Media — 5.4% |
||||||||||||
Altice Financing SA |
||||||||||||
2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 3.79%, 07/15/25 |
438 | 394,950 | ||||||||||
USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 3.79%, 01/31/26 |
528 | 475,503 | ||||||||||
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 5.41%, 08/14/26 |
1,325 | 1,207,546 | ||||||||||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.00%), 4.20%, 04/22/26 |
670 | 562,989 | ||||||||||
Cable One, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 3.67%, 05/03/28 |
408 | 391,565 | ||||||||||
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 3.42%, 04/30/25 |
1,254 | 1,219,142 | ||||||||||
City Football Group Ltd., Term Loan, (3 mo. LIBOR + 3.50%), 4.60%, 07/21/28 (c) |
678 | 620,644 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 4.74%, 08/21/26 |
1,971 | 1,687,959 | ||||||||||
CMG Media Corp., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 12/17/26 |
581 | 534,501 | ||||||||||
Connect Finco SARL, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 12/12/26 |
3,102 | 2,845,723 | ||||||||||
CSC Holdings LLC |
||||||||||||
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 3.57%, 07/17/25 |
647 | 600,410 | ||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 3.82%, 04/15/27 |
870 | 806,759 | ||||||||||
E.W. Scripps Co., 2020 Term Loan B3, (1 mo. LIBOR + 2.75%, 0.75% Floor), 4.42%, 01/07/28 |
358 | 338,107 | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.92%, 12/01/23 (c) |
372 | 325,744 | ||||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 03/24/25 |
514 | 495,893 |
S C H E D U L E O F I N V E S T M E N T S |
87 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Media (continued) |
||||||||||||
Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.35%, 10/17/26 |
USD | 1,078 | $ | 1,005,542 | ||||||||
MH Sub I LLC |
||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.42%, 09/13/24 |
1,890 | 1,775,120 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.42%, 09/13/24 |
1,456 | 1,368,458 | ||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 7.92%, 02/23/29 |
515 | 482,880 | ||||||||||
Sinclair Television Group, Inc., 2022 Term Loan B4, (SOFR + 3.75%), 5.38%, 04/21/29 (c) |
806 | 741,520 | ||||||||||
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.63%, 09/28/23 (c) |
1,480 | 1,416,646 | ||||||||||
Trader Interactive LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 07/28/28 (c) |
230 | 219,613 | ||||||||||
UPC Financing Partnership, 2021 USD Term Loan AX, (1 mo. LIBOR + 3.00%), 4.32%, 01/31/29 |
341 | 323,782 | ||||||||||
Virgin Media Bristol LLC, 2020 USD Term Loan Q, (1 mo. LIBOR + 3.25%), 4.57%, 01/31/29 |
917 | 876,551 | ||||||||||
Voyage Digital Ltd., (SOFR + 4.50%), 5.28%, 05/11/29 (c) |
431 | 409,450 | ||||||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 05/18/25. |
1,920 | 1,801,605 | ||||||||||
WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.12%), 3.79%, 01/20/28 |
910 | 871,330 | ||||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 03/09/27 |
2,342 | 2,152,263 | ||||||||||
|
|
|||||||||||
25,952,195 | ||||||||||||
Oil, Gas & Consumable Fuels — 0.9% |
||||||||||||
Ascent Resources Utica LLC, 2020 Fixed 2nd Lien |
||||||||||||
Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.02%, 11/01/25 |
330 | 345,949 | ||||||||||
Citgo Holding, Inc., 2019 Term Loan B, (1 mo. LIBOR + 7.00%, 1.00% Floor), 8.67%, 08/01/23 |
2 | 1,902 | ||||||||||
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 12/13/25 |
269 | 227,118 | ||||||||||
Lealand Finance Co. BV |
||||||||||||
2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 06/28/24 |
16 | 9,466 | ||||||||||
2020 Take Back Term Loan, (3.00% PIK), 2.83%, 06/30/25 (l) |
114 | 57,233 | ||||||||||
Lucid Energy Group II Borrower LLC, 2021 Term |
||||||||||||
Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.87%, 11/24/28 |
1,495 | 1,473,073 | ||||||||||
Medallion Midland Acquisition LLC, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 10/18/28 |
901 | 861,897 | ||||||||||
Oryx Midstream Services Permian Basin LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 4.71%, 10/05/28 |
1,499 | 1,423,443 | ||||||||||
|
|
|||||||||||
4,400,081 | ||||||||||||
Personal Products — 0.6% |
||||||||||||
Sunshine Luxembourg VII SARL, 2021 Term Loan |
||||||||||||
B3, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.00%, 10/01/26 |
3,052 | 2,817,651 | ||||||||||
|
|
|||||||||||
Pharmaceuticals — 1.4% |
||||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.50%, 05/04/25 |
751 | 678,130 |
Security |
Par (000) |
Value |
||||||||||
Pharmaceuticals (continued) |
||||||||||||
Bausch Health Cos., Inc., 2022 Term Loan B, (SOFR + 5.25%), 6.55%, 02/01/27 |
USD | 974 | $ | 832,326 | ||||||||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%), 3.63%, 02/22/28 |
1,043 | 1,025,455 | ||||||||||
Elanco Animal Health, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 2.81%, 08/01/27 |
632 | 595,779 | ||||||||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 11/15/27 |
656 | 618,679 | ||||||||||
Jazz Financing Lux SARL, USD Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 05/05/28 |
1,201 | 1,143,865 | ||||||||||
Option Care Health, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 10/27/28 |
220 | 209,695 | ||||||||||
Organon & Co., USD Term Loan, (3 mo. LIBOR + 3.00%), 4.63%, 06/02/28 |
652 | 625,793 | ||||||||||
Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.25%, 11/18/27 (c) |
1,136 | 1,048,106 | ||||||||||
|
|
|||||||||||
6,777,828 | ||||||||||||
Professional Services — 0.8% |
||||||||||||
Dun & Bradstreet Corp. |
||||||||||||
2022 Incremental Term Loan B2, (SOFR + 3.25%), 4.75%, 01/18/29 |
305 | 284,250 | ||||||||||
Term Loan, (1 mo. LIBOR + 3.25%), 4.87%, 02/06/26 |
2,022 | 1,903,784 | ||||||||||
Element Materials Technology Group U.S. Holdings, Inc. (n) |
||||||||||||
2022 USD Delayed Draw Term Loan B, 04/12/29 |
310 | 296,512 | ||||||||||
2022 USD Delayed Draw Term Loan D, 04/12/29 |
671 | 642,443 | ||||||||||
Galaxy U.S. Opco, Inc., Term Loan, (SOFR + 4.75%), 6.28%, 04/29/29 |
724 | 677,845 | ||||||||||
|
|
|||||||||||
3,804,834 | ||||||||||||
Real Estate Management & Development — 0.4% |
||||||||||||
Chamberlain Group, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 11/03/28 |
1,048 | 943,831 | ||||||||||
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 08/21/25 |
1,208 | 1,134,576 | ||||||||||
|
|
|||||||||||
2,078,407 | ||||||||||||
Road & Rail — 0.1% |
||||||||||||
Avis Budget Car Rental LLC, 2020 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 08/06/27 |
289 | 272,644 | ||||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.50%), 7.09%, 08/04/25 (c) |
376 | 331,818 | ||||||||||
|
|
|||||||||||
604,462 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% |
||||||||||||
CMC Materials, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.69%, 11/17/25 |
457 | 454,424 | ||||||||||
Synaptics, Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 4.36%, 12/02/28 |
254 | 246,684 | ||||||||||
|
|
|||||||||||
701,108 | ||||||||||||
Software — 5.2% |
||||||||||||
Applied Systems, Inc. |
||||||||||||
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 5.25%, 09/19/24 |
95 | 90,511 | ||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.50%), 7.75%, 09/19/25 |
90 | 86,428 |
88 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Software (continued) |
||||||||||||
Barracuda Networks, Inc. |
||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 5.98%, 02/12/25 |
USD | 1,288 | $ | 1,273,773 | ||||||||
2022 Term Loan, 05/17/29 (n) |
333 | 318,431 | ||||||||||
Central Parent, Inc., 2022 USD Term Loan B, 07/06/29 (n) |
292 | 275,248 | ||||||||||
Cloudera, Inc. |
||||||||||||
2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.67%, 10/08/29 (c) |
457 | 397,590 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/08/28 |
1,115 | 1,023,201 | ||||||||||
ConnectWise LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 5.75%, 09/29/28 |
493 | 449,838 | ||||||||||
Cornerstone OnDemand, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/16/28 |
519 | 462,509 | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/28/24 (c) |
439 | 378,543 | ||||||||||
E2open LLC, 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.83%, 02/04/28 |
113 | 106,590 | ||||||||||
Epicor Software Corp. |
||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.42%, 07/31/28 |
296 | 286,528 | ||||||||||
2020 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.92%, 07/30/27 |
288 | 271,701 | ||||||||||
Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 3.75%), 5.95%, 03/11/28 |
868 | 796,270 | ||||||||||
Informatica LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 4.44%, 10/27/28 |
1,812 | 1,715,802 | ||||||||||
Instructure Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.27%, 10/30/28 (c) |
311 | 294,881 | ||||||||||
IPS Corp., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 10/02/28 |
254 | 232,550 | ||||||||||
Magenta Buyer LLC |
||||||||||||
2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 0.75% Floor), 6.23%, 07/27/28 |
1,022 | 916,208 | ||||||||||
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 0.75% Floor), 9.48%, 07/27/29 |
936 | 851,520 | ||||||||||
McAfee LLC, 2022 USD Term Loan B, (SOFR + 4.00%), 5.15%, 03/01/29 |
1,642 | 1,490,115 | ||||||||||
Netsmart Technologies, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 10/01/27 |
577 | 547,887 | ||||||||||
Planview Parent, Inc., Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/17/27 |
1,026 | 964,902 | ||||||||||
Proofpoint, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 4.82%, 08/31/28 |
1,769 | 1,640,198 | ||||||||||
RealPage, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 04/24/28 |
3,471 | 3,200,138 | ||||||||||
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.92%, 05/30/25 |
31 | 29,338 | ||||||||||
Restoration Hardware, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 4.14%, 10/20/28 |
466 | 407,293 | ||||||||||
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.62%, 08/01/25 |
603 | 577,466 | ||||||||||
Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 10/07/27 |
750 | 698,103 |
Security |
Par (000) |
Value |
||||||||||
Software (continued) |
||||||||||||
SS&C Technologies, Inc. |
||||||||||||
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.42%, 04/16/25 |
USD | 575 | $ | 544,867 | ||||||||
2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 04/16/25 |
466 | 442,060 | ||||||||||
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.25%, 03/03/28 |
898 | 878,784 | ||||||||||
Ultimate Software Group, Inc. |
||||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.25%), 6.21%, 05/03/27 |
453 | 416,870 | ||||||||||
2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.21%, 05/04/26 |
1,874 | 1,751,346 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 05/04/26 |
1,049 | 988,461 | ||||||||||
|
|
|||||||||||
24,805,950 | ||||||||||||
Specialty Retail — 2.0% |
||||||||||||
Belron Finance U.S. LLC |
||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 3.69%, 11/13/25 |
180 | 173,208 | ||||||||||
2019 USD Term Loan B3, (3 mo. LIBOR + 2.25%), 3.50%, 10/30/26 (c) |
410 | 391,073 | ||||||||||
2021 USD Term Loan B, (3 mo. LIBOR + 2.50%), 3.88%, 04/13/28 |
1,224 | 1,173,779 | ||||||||||
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (SONIA + 4.25%), 5.19%, 06/23/25 |
GBP | 1,000 | 1,109,265 | |||||||||
EG Group Ltd., 2021 Term Loan, 6.50%, 03/31/26 |
USD | 234 | 220,981 | |||||||||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 11/24/28 |
312 | 294,334 | ||||||||||
Mavis Tire Express Services Corp., 2021 Term Loan B, (SOFR + 4.00%), 5.63%, 05/04/28 |
1,275 | 1,175,807 | ||||||||||
MED ParentCo LP, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 5.92%, 08/31/26 |
824 | 742,189 | ||||||||||
PetSmart, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/11/28 |
2,206 | 2,070,638 | ||||||||||
Pilot Travel Centers LLC, 2021 Term Loan B, (SOFR + 2.00%), 3.63%, 08/04/28 |
430 | 410,951 | ||||||||||
Research Now Group, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24 |
303 | 278,103 | ||||||||||
Restoration Hardware, Inc., 2022 Incremental Term Loan, (SOFR + 3.25%), 4.88%, 10/20/28 |
364 | 323,960 | ||||||||||
Reverb Buyer, Inc. |
||||||||||||
2021 Delayed Draw Term Loan, (3 mo. LIBOR + 3.50%), 3.50%, 11/01/28 |
28 | 26,640 | ||||||||||
2021 First Lien Term Loan, (3 mo. LIBOR + 3.50%), 6.38%, 11/01/28 |
1,084 | 1,014,633 | ||||||||||
WOOF Holding, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.81%, 12/21/27 (c) |
227 | 211,794 | ||||||||||
|
|
|||||||||||
9,617,355 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.1% |
||||||||||||
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 07/23/26 |
394 | 349,660 | ||||||||||
|
|
|||||||||||
Textiles, Apparel & Luxury Goods — 0.1% |
||||||||||||
Crocs, Inc., Term Loan B, (SOFR + 3.50%), 4.45%, 02/17/29 |
730 | 663,089 | ||||||||||
|
|
S C H E D U L E O F I N V E S T M E N T S |
89 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Trading Companies & Distributors — 0.4% |
||||||||||||
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 05/19/28 |
USD | 616 | $ | 586,319 | ||||||||
Foundation Building Materials Holding Co. LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.49%, 01/31/28 (c) |
519 | 451,881 | ||||||||||
ION Trading Finance Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%), 7.00%, 04/03/28 |
300 | 275,787 | ||||||||||
SRS Distribution, Inc., 2022 Incremental Term Loan, (SOFR + 3.50%), 4.00%, 06/02/28 |
409 | 375,655 | ||||||||||
|
|
|||||||||||
1,689,642 | ||||||||||||
Wireless Telecommunication Services — 0.3% |
||||||||||||
GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR), 4.99%, 04/30/28 |
433 | 408,494 | ||||||||||
MetroNet Systems Holdings LLC, 2021 1st Lien Term Loan, (SOFR + 3.75%), 5.05%, 06/02/28 |
263 | 242,892 | ||||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 04/11/25 |
1,058 | 1,017,581 | ||||||||||
|
|
|||||||||||
1,668,967 | ||||||||||||
|
|
|||||||||||
Total Floating Rate Loan Interests — 55.5% (Cost: $286,365,541) |
|
267,612,311 | ||||||||||
|
|
|||||||||||
Foreign Agency Obligations |
| |||||||||||
Argentina — 0.0% |
||||||||||||
Argentine Republic Government International Bond, 2.50%, 07/09/41 (g)(o) |
351 | 90,311 | ||||||||||
|
|
|||||||||||
Bahrain — 0.0% |
||||||||||||
Bahrain Government International Bond, 6.75%, 09/20/29 (d) |
200 | 190,975 | ||||||||||
|
|
|||||||||||
Chile — 0.0% |
||||||||||||
Chile Government International Bond, 4.34%, 03/07/42 (g) |
200 | 178,500 | ||||||||||
|
|
|||||||||||
Colombia — 0.1% |
||||||||||||
Colombia Government International Bond |
||||||||||||
4.50%, 01/28/26 (g) |
243 | 227,782 | ||||||||||
3.88%, 04/25/27 (g) |
200 | 176,475 | ||||||||||
3.13%, 04/15/31 |
200 | 148,350 | ||||||||||
|
|
|||||||||||
552,607 | ||||||||||||
Dominican Republic — 0.2% |
||||||||||||
Dominican Republic International Bond |
||||||||||||
5.95%, 01/25/27 (d) |
307 | 293,146 | ||||||||||
5.50%, 02/22/29 (b) |
155 | 134,685 | ||||||||||
4.50%, 01/30/30 (b) |
200 | 159,600 | ||||||||||
4.88%, 09/23/32 (b) |
150 | 115,294 | ||||||||||
6.40%, 06/05/49 (d) |
150 | 111,544 | ||||||||||
|
|
|||||||||||
814,269 | ||||||||||||
Egypt — 0.0% |
||||||||||||
Egypt Government International Bond, 7.50%, 02/16/61 (b) |
200 | 110,500 | ||||||||||
|
|
|||||||||||
Guatemala — 0.1% |
||||||||||||
Guatemala Government Bond (b) |
||||||||||||
5.38%, 04/24/32 |
200 | 184,162 | ||||||||||
4.65%, 10/07/41 |
200 | 145,788 | ||||||||||
|
|
|||||||||||
329,950 |
Security |
Par (000) |
Value |
||||||||||
Hungary — 0.0% |
||||||||||||
Hungary Government International Bond, 5.25%, 06/16/29 (b) |
USD | 200 | $ | 199,271 | ||||||||
|
|
|||||||||||
Indonesia — 0.1% |
||||||||||||
Indonesia Government International Bond |
||||||||||||
4.10%, 04/24/28 |
221 | 217,105 | ||||||||||
5.35%, 02/11/49 (g) |
200 | 195,772 | ||||||||||
|
|
|||||||||||
412,877 | ||||||||||||
Ivory Coast — 0.0% |
||||||||||||
Ivory Coast Government International Bond, 6.38%, 03/03/28 (d) |
200 | 176,788 | ||||||||||
|
|
|||||||||||
Mexico — 0.1% |
||||||||||||
Mexico Government International Bond (g) |
||||||||||||
4.15%, 03/28/27 |
397 | 391,244 | ||||||||||
3.75%, 01/11/28 |
200 | 191,900 | ||||||||||
|
|
|||||||||||
583,144 | ||||||||||||
Mongolia — 0.1% |
||||||||||||
Mongolia Government International Bond, 5.13%, 04/07/26 (d) |
250 | 222,528 | ||||||||||
|
|
|||||||||||
Morocco — 0.1% |
||||||||||||
Morocco Government International Bond, 3.00%, 12/15/32 (b)(g) |
300 | 213,000 | ||||||||||
|
|
|||||||||||
Nigeria — 0.0% |
||||||||||||
Nigeria Government International Bond, 7.88%, 02/16/32 (d) |
200 | 138,500 | ||||||||||
|
|
|||||||||||
Oman — 0.1% |
||||||||||||
Oman Government International Bond, 6.50%, 03/08/47 (d) |
308 | 258,335 | ||||||||||
|
|
|||||||||||
Panama — 0.1% |
||||||||||||
Panama Government International Bond |
||||||||||||
3.88%, 03/17/28 |
200 | 190,913 | ||||||||||
3.16%, 01/23/30 (g) |
245 | 218,249 | ||||||||||
|
|
|||||||||||
409,162 | ||||||||||||
Paraguay — 0.1% |
||||||||||||
Paraguay Government International Bond |
||||||||||||
5.40%, 03/30/50 (d) |
200 | 154,663 | ||||||||||
5.40%, 03/30/50 (b) |
200 | 154,662 | ||||||||||
|
|
|||||||||||
309,325 | ||||||||||||
Peru — 0.1% |
||||||||||||
Peruvian Government International Bond (g) |
||||||||||||
2.78%, 01/23/31 |
29 | 24,683 | ||||||||||
1.86%, 12/01/32 |
259 | 196,969 | ||||||||||
3.00%, 01/15/34 |
116 | 95,178 | ||||||||||
|
|
|||||||||||
316,830 | ||||||||||||
Qatar — 0.0% |
||||||||||||
Qatar Government International Bond, 4.00%, 03/14/29 (b)(g) |
200 | 202,000 | ||||||||||
|
|
|||||||||||
Romania — 0.1% |
||||||||||||
Romanian Government International Bond (b) |
||||||||||||
5.25%, 11/25/27 |
168 | 160,020 | ||||||||||
3.00%, 02/14/31 (g) |
140 | 107,695 | ||||||||||
3.63%, 03/27/32 |
94 | 73,396 | ||||||||||
|
|
|||||||||||
341,111 |
90 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Saudi Arabia — 0.1% |
||||||||||||
Saudi Government International Bond (d) |
| |||||||||||
4.50%, 04/17/30 |
USD | 325 | $ | 331,500 | ||||||||
2.25%, 02/02/33 |
200 | 166,000 | ||||||||||
|
|
|||||||||||
497,500 | ||||||||||||
South Africa — 0.1% |
||||||||||||
Republic of South Africa Government International Bond |
||||||||||||
4.85%, 09/30/29 |
200 | 170,725 | ||||||||||
5.88%, 04/20/32 |
200 | 169,000 | ||||||||||
|
|
|||||||||||
339,725 | ||||||||||||
Sri Lanka — 0.0% |
||||||||||||
Sri Lanka Government International Bond (d)(e)(j) |
||||||||||||
6.85%, 03/14/24 |
200 | 56,022 | ||||||||||
6.35%, 06/28/24 |
200 | 56,022 | ||||||||||
|
|
|||||||||||
112,044 | ||||||||||||
Ukraine — 0.0% |
||||||||||||
Ukraine Government International Bond |
||||||||||||
9.75%, 11/01/28 (d) |
236 | 57,820 | ||||||||||
7.25%, 03/15/33 (b)(g) |
200 | 49,000 | ||||||||||
|
|
|||||||||||
106,820 | ||||||||||||
Uruguay — 0.0% |
||||||||||||
Uruguay Government International Bond, 4.38%, 10/27/27 |
90 | 91,029 | ||||||||||
|
|
|||||||||||
Total Foreign Agency Obligations — 1.5% (Cost: $8,865,676) |
|
7,197,101 | ||||||||||
|
|
|||||||||||
Shares |
||||||||||||
Investment Companies |
||||||||||||
Fixed Income Funds — 0.5% |
||||||||||||
Invesco Senior Loan ETF |
120,501 | 2,442,555 | ||||||||||
|
|
|||||||||||
Total Investment Companies — 0.5% (Cost: $2,670,577) |
|
2,442,555 | ||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
Non-Agency Mortgage-Backed Securities |
||||||||||||
Collateralized Mortgage Obligations — 0.6% |
||||||||||||
Alternative Loan Trust |
||||||||||||
Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 |
USD | 1,117 | 721,357 | |||||||||
Series 2006-J8, Class A5, 6.00%, 02/25/37 |
1,869 | 964,848 | ||||||||||
Series 2007-19, Class 1A1, 6.00%, 08/25/37 |
549 | 326,169 | ||||||||||
CHL Mortgage Pass-Through Trust |
||||||||||||
Series 2005-17, Class 1A6, 5.50%, 09/25/35 |
106 | 100,915 | ||||||||||
Series 2006-17, Class A2, 6.00%, 12/25/36 |
653 | 323,002 | ||||||||||
Series 2007-HY5, Class 3A1, 3.08%, 09/25/37 (a) |
309 | 287,454 | ||||||||||
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.82%, 10/25/35 (a) |
319 | 200,468 | ||||||||||
|
|
|||||||||||
2,924,213 |
Security |
Par (000) |
Value |
||||||||||
Commercial Mortgage-Backed Securities — 0.9% |
||||||||||||
BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.72%, 04/14/33 (a)(b) . |
USD | 4,830 | $ | 4,540,043 | ||||||||
|
|
|||||||||||
Total Non-Agency Mortgage-Backed Securities — 1.5% (Cost: $8,668,712) |
|
7,464,256 | ||||||||||
|
|
|||||||||||
Benefical Interest (000) |
||||||||||||
Other Interests (p) |
||||||||||||
IT Services (c)(e) — 0.0% |
||||||||||||
Millennium Corp |
USD | 918 | — | |||||||||
Millennium Lender Claim Trust |
861 | — | ||||||||||
|
|
|||||||||||
Total Other Interests — 0.0% (Cost: $ — ) |
— | |||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
Preferred Securities |
| |||||||||||
Capital Trusts — 5.0% (a) |
||||||||||||
Automobiles (k) — 0.1% |
||||||||||||
General Motors Financial Co., Inc., Series C, 5.70% (g) |
USD | 365 | 317,550 | |||||||||
Volkswagen International Finance NV, 4.38% (d) |
EUR | 100 | 84,083 | |||||||||
|
|
|||||||||||
401,633 | ||||||||||||
Banks (k) — 1.3% |
||||||||||||
Banco Mercantil del Norte SA, 6.75% (b)(g) |
USD | 396 | 371,745 | |||||||||
Bank of East Asia Ltd., 5.88% (d) |
250 | 246,062 | ||||||||||
Credit Agricole SA, 4.75% (b)(g) |
200 | 155,433 | ||||||||||
Industrial & Commercial Bank of China Ltd., 3.20% (d) |
200 | 189,000 | ||||||||||
ING Groep NV, 3.88% (g) |
1,750 | 1,267,375 | ||||||||||
Kasikornbank PCL, 5.28% (d) |
200 | 183,288 | ||||||||||
Nordea Bank Abp, 3.75% (b)(g) |
560 | 412,444 | ||||||||||
Rizal Commercial Banking Corp., 6.50% (d) |
200 | 191,163 | ||||||||||
TMBThanachart Bank PCL, 4.90% (d) |
250 | 228,016 | ||||||||||
U.S. Bancorp, 3.70% (g) |
1,665 | 1,277,887 | ||||||||||
Wells Fargo & Co. (g) |
||||||||||||
Series S, 5.90% |
1,500 | 1,356,300 | ||||||||||
Series U, 5.88% |
384 | 374,362 | ||||||||||
|
|
|||||||||||
6,253,075 | ||||||||||||
Capital Markets — 0.5% |
||||||||||||
Bank of New York Mellon Corp., Series I, 3.75% (g)(k) |
3,110 | 2,538,784 | ||||||||||
|
|
|||||||||||
Diversified Financial Services (k) — 2.6% |
||||||||||||
Bank of America Corp. (g) |
||||||||||||
Series DD, 6.30%. |
215 | 213,149 | ||||||||||
Series X, 6.25% |
1,929 | 1,874,988 | ||||||||||
Series Z, 6.50% |
143 | 141,624 | ||||||||||
Barclays PLC, 4.38% (g) |
455 | 348,923 | ||||||||||
Credit Suisse Group AG |
||||||||||||
6.38% (b)(g) |
295 | 243,743 | ||||||||||
6.25% (d) |
200 | 182,000 | ||||||||||
HSBC Holdings PLC (g) |
||||||||||||
6.25% |
695 | 681,621 | ||||||||||
6.00% |
415 | 371,944 |
S C H E D U L E O F I N V E S T M E N T S |
91 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Diversified Financial Services (continued) |
||||||||||||
JPMorgan Chase & Co. (g) |
||||||||||||
Series FF, 5.00% |
USD | 2,865 | $ | 2,528,363 | ||||||||
Series HH, 4.60%. |
253 | 213,664 | ||||||||||
Lloyds Banking Group PLC, 7.50% (g) |
1,250 | 1,218,340 | ||||||||||
NatWest Group PLC, 6.00% (g) |
1,185 | 1,096,608 | ||||||||||
Societe Generale SA, 5.38% (b)(g) |
2,250 | 1,743,750 | ||||||||||
UBS Group AG, 3.88% (b)(g) |
1,500 | 1,220,957 | ||||||||||
Woori Bank, 4.25% (d) |
250 | 239,656 | ||||||||||
|
|
|||||||||||
12,319,330 | ||||||||||||
Electric Utilities — 0.4% |
||||||||||||
Edison International, Series B, 5.00% (k) |
175 | 139,235 | ||||||||||
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79 (g) |
1,750 | 1,537,728 | ||||||||||
|
|
|||||||||||
1,676,963 | ||||||||||||
Independent Power and Renewable Electricity Producers — 0.1% |
||||||||||||
Vistra Corp., 7.00% (b)(k) |
240 | 217,800 | ||||||||||
|
|
|||||||||||
Insurance — 0.0% |
||||||||||||
Heungkuk Life Insurance Co. Ltd., 4.48% (d)(k) |
200 | 194,850 | ||||||||||
|
|
|||||||||||
Media — 0.0% |
||||||||||||
SES SA, 2.88% (d)(k) |
EUR | 100 | 87,504 | |||||||||
|
|
|||||||||||
Oil, Gas & Consumable Fuels — 0.0% |
||||||||||||
Abertis Infraestructuras Finance BV, 3.25% (d)(k) |
100 | 83,583 | ||||||||||
|
|
|||||||||||
Real Estate Management & Development — 0.0% |
||||||||||||
Heimstaden Bostad AB, 3.00% (d)(k) |
100 | 52,454 | ||||||||||
|
|
|||||||||||
Transportation Infrastructure — 0.0% |
||||||||||||
Poste Italiane SpA, 2.63% (d)(k) |
100 | 72,833 | ||||||||||
|
|
|||||||||||
Utilities — 0.0% |
||||||||||||
Electricite de France SA, 3.00% (d)(k) |
200 | 159,026 | ||||||||||
|
|
|||||||||||
Wireless Telecommunication Services — 0.0% |
||||||||||||
Vodafone Group PLC, 2.63%, 08/27/80 (d) |
100 | 90,438 | ||||||||||
|
|
|||||||||||
24,148,273 | ||||||||||||
|
|
|||||||||||
Shares |
||||||||||||
Preferred Stocks — 2.0% |
| |||||||||||
Banks — 0.0% |
||||||||||||
CF-B L2 (D) LLC, (Acquired 04/08/15, Cost: $134,650) (f) |
137,556 | 2,542 | ||||||||||
|
|
|||||||||||
Capital Markets (a)(k) — 2.0% |
||||||||||||
Goldman Sachs Group, Inc., Series J, 5.50% |
202,526 | 4,949,735 |
Security |
Shares |
Value |
||||||||||
Capital Markets (continued) |
| |||||||||||
Morgan Stanley |
||||||||||||
Series F |
120,000 | $ | 3,091,200 | |||||||||
Series K, 5.85% |
53,253 | 1,316,947 | ||||||||||
|
|
|||||||||||
9,357,882 | ||||||||||||
|
|
|||||||||||
9,360,424 | ||||||||||||
|
|
|||||||||||
Total Preferred Securities — 7.0% (Cost: $38,275,695) |
|
33,508,697 | ||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
U.S. Government Sponsored Agency Securities |
||||||||||||
Agency Obligations — 2.3% |
||||||||||||
Fannie Mae Mortgage-Backed Securities, 4.00%, 07/14/22 (g) |
USD | 11,000 | 10,861,593 | |||||||||
|
|
|||||||||||
Collateralized Mortgage Obligations — 0.2% |
||||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 4.62%, 10/25/29 (a) |
1,032 | 1,041,198 | ||||||||||
|
|
|||||||||||
Mortgage-Backed Securities — 6.4% |
||||||||||||
Fannie Mae Mortgage-Backed Securities, 4.00%, 12/01/44 (g) |
6,775 | 6,822,510 | ||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates, Series K042, Class X1, 1.16%, 12/25/24 (a) |
32,342 | 679,990 | ||||||||||
Uniform Mortgage-Backed Securities |
||||||||||||
4.00%, 07/14/22 - 04/25/52 (g)(q) |
14,704 | 14,516,349 | ||||||||||
2.00%, 07/18/22 (q) |
5,700 | 5,320,149 | ||||||||||
5.00%, 08/01/23 |
6 | 5,977 | ||||||||||
3.50%, 01/01/51 - 04/01/52 (g) |
3,625 | 3,544,819 | ||||||||||
2.50%, 12/01/51 - 01/01/52 |
— | — | ||||||||||
|
|
|||||||||||
30,889,794 | ||||||||||||
|
|
|||||||||||
Total U.S. Government Sponsored Agency Securities — 8.9% |
||||||||||||
(Cost: $43,059,748) |
|
42,792,585 | ||||||||||
|
|
|||||||||||
Shares |
||||||||||||
Warrants |
||||||||||||
Metals & Mining — 0.0% |
||||||||||||
Ameriforge Group, Inc. (e) |
2,542 | — | ||||||||||
|
|
|||||||||||
Oil, Gas & Consumable Fuels — 0.0% |
||||||||||||
California Resources Corp. (e) |
345 | 3,543 | ||||||||||
|
|
|||||||||||
Total Warrants — 0.0% (Cost: $ — ) |
|
3,543 | ||||||||||
|
|
|||||||||||
Total Long-Term Investments — 157.0% (Cost: $845,670,304) |
|
756,454,977 | ||||||||||
|
|
92 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security |
Shares |
Value |
||||||||||
Short-Term Securities |
||||||||||||
Money Market Funds — 0.9% |
||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33% (r)(s) |
4,320,231 | $ | 4,320,231 | |||||||||
|
|
|||||||||||
Total Short-Term Securities — 0.9% (Cost: $4,320,231) |
|
4,320,231 | ||||||||||
|
|
|||||||||||
Total Investments Before TBA Sale Commitments — 157.9% (Cost: $849,990,535) |
|
760,775,208 | ||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
TBA Sale Commitments |
||||||||||||
Mortgage-Backed Securities — (1.3)% |
| |||||||||||
Uniform Mortgage-Backed Securities, 4.00%, 07/14/52 (q) |
USD | (6,500 | ) | (6,409,482 | ) | |||||||
|
|
|||||||||||
Total TBA Sale Commitments — (1.3)% (Proceeds: $(6,361,494)) |
|
(6,409,482 | ) | |||||||||
|
|
|||||||||||
Total Investments, Net of TBA Sale Commitments — 156.6% |
||||||||||||
(Cost: $843,629,041) |
|
754,365,726 | ||||||||||
Liabilities in Excess of Other Assets — (56.6)% |
|
(272,501,790 | ) | |||||||||
|
|
|||||||||||
Net Assets — 100.0% |
$ | 481,863,936 | ||||||||||
|
|
(a) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) |
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(e) |
Non-income producing security. |
(f) |
Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $3,018, representing less than 0.05% of its net assets as of period end, and an original cost of $235,337. |
(g) |
All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(h) |
Convertible security. |
(i) |
Zero-coupon bond. |
(j) |
Issuer filed for bankruptcy and/or is in default. |
(k) |
Perpetual security with no stated maturity date. |
(l) |
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. |
(m) |
Rounds to less than 1,000. |
(n) |
Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(o) |
Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(p) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(q) |
Represents or includes a TBA transaction. |
(r) |
Affiliate of the Fund. |
(s) |
Annualized 7-day yield as of period end. |
Affiliated Issuer |
Value at 12/31/21 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 06/30/22 |
Shares Held at 06/30/22 |
Income |
Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class |
$ | 4,969,680 | $ | — | $ | (649,449 | ) (a) |
$ | — | $ | — | $ | 4,320,231 | 4,320,231 | $ | 11,898 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
| ||||||||||||||||||||||||
Counterparty |
Interest Rate |
Trade Date |
Maturity Date |
(a) |
Face Value |
Face Value Including Accrued Interest |
Type of Non-Cash Underlying Collateral |
Remaining Contractual Maturity of the Agreements (a) | ||||||||||||||||
| ||||||||||||||||||||||||
Barclays Capital, Inc. |
1.80 | % (b) |
06/29/21 | Open | $ | 790,119 | $ 793,390 | Corporate Bonds | Open/Demand | |||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
06/29/21 | Open | 371,995 | 374,292 | Corporate Bonds | Open/Demand | ||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
06/29/21 | Open | 326,430 | 328,445 | Corporate Bonds | Open/Demand | ||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
06/29/21 | Open | 1,023,710 | 1,030,030 | Corporate Bonds | Open/Demand | ||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
06/29/21 | Open | 518,141 | 521,340 | Corporate Bonds | Open/Demand | ||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
06/29/21 | Open | 549,010 | 552,399 | Corporate Bonds | Open/Demand | ||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
06/29/21 | Open | 196,284 | 197,496 | Corporate Bonds | Open/Demand |
S C H E D U L E O F I N V E S T M E N T S |
93 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
|
||||||||||||||||||||||||||
Counterparty |
Interest Rate |
Trade Date |
Maturity Date |
(a) |
Face Value |
Face Value Including Accrued Interest |
Type of Non-Cash Underlying Collateral |
Remaining Contractual Maturity of the Agreements ( |
a) | |||||||||||||||||
|
||||||||||||||||||||||||||
Barclays Capital, Inc. |
2.00 | % (b) |
06/29/21 | Open | $ | 561,045 | $ 564,509 | Corporate Bonds | Open/Demand | |||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
07/12/21 | Open | 1,266,580 | 1,272,929 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
07/15/21 | Open | 428,106 | 430,654 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
07/15/21 | Open | 1,213,212 | 1,220,433 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
07/15/21 | Open | 170,435 | 171,449 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.95 | (b) |
07/16/21 | Open | 123,895 | 124,567 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
07/19/21 | Open | 732,929 | 737,250 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
07/22/21 | Open | 210,313 | 211,343 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
07/22/21 | Open | 642,366 | 645,515 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
07/22/21 | Open | 1,023,390 | 1,028,406 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
07/22/21 | Open | 149,425 | 150,157 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
07/22/21 | Open | 174,500 | 175,355 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
08/02/21 | Open | 535,435 | 538,488 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
08/06/21 | Open | 430,200 | 432,617 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
08/23/21 | Open | 396,880 | 398,616 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
08/23/21 | Open | 426,073 | 427,936 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.80 | (b) |
10/26/21 | Open | 985,455 | 988,558 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
10/26/21 | Open | 1,883,612 | 1,892,128 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
10/27/21 | Open | 646,949 | 649,865 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
11/02/21 | Open | 498,995 | 501,202 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
11/16/21 | Open | 175,840 | 176,584 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.80 | (b) |
11/18/21 | Open | 41,698 | 41,804 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.80 | (b) |
11/18/21 | Open | 239,401 | 240,109 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.80 | (b) |
11/18/21 | Open | 303,613 | 304,510 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
11/18/21 | Open | 159,428 | 160,097 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
11/18/21 | Open | 308,438 | 309,733 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
11/18/21 | Open | 42,033 | 42,209 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
11/19/21 | Open | 537,460 | 539,696 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
11/19/21 | Open | 537,460 | 539,696 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
11/22/21 | Open | 588,627 | 591,068 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
12/01/21 | Open | 1,509,941 | 1,516,033 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
12/01/21 | Open | 1,072,750 | 1,077,078 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
12/20/21 | Open | 783,035 | 785,559 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
12/27/21 | Open | 187,750 | 188,437 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.80 | (b) |
01/04/22 | Open | 563,036 | 564,481 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.98 | (b) |
01/05/22 | Open | 661,819 | 664,093 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
01/05/22 | Open | 798,380 | 801,397 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
(1.75 | ) (b) |
01/10/22 | Open | 270,443 | 268,194 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
01/10/22 | Open | 520,822 | 522,627 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
01/12/22 | Open | 200,640 | 201,217 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
01/14/22 | Open | 820,052 | 822,814 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
01/14/22 | Open | 712,470 | 715,356 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.10 | (b) |
01/20/22 | Open | 91,823 | 92,169 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.20 | (b) |
01/31/22 | Open | 156,694 | 157,322 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
01/31/22 | Open | 381,753 | 382,773 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
01/31/22 | Open | 370,099 | 371,088 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
01/31/22 | Open | 378,675 | 379,687 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
01/31/22 | Open | 355,833 | 356,784 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
01/31/22 | Open | 348,075 | 349,006 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
01/31/22 | Open | 367,200 | 368,182 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
01/31/22 | Open | 477,374 | 478,650 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
01/31/22 | Open | 347,839 | 348,769 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
01/31/22 | Open | 327,600 | 328,476 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
01/31/22 | Open | 346,090 | 347,015 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
02/03/22 | Open | 398,216 | 399,707 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
02/04/22 | Open | 321,810 | 322,650 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.79 | (b) |
02/11/22 | Open | 26,064 | 26,121 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
02/11/22 | Open | 864,000 | 866,422 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
02/11/22 | Open | 297,238 | 297,991 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
02/14/22 | Open | 335,265 | 336,264 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
02/14/22 | Open | 298,726 | 299,616 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
02/14/22 | Open | 258,319 | 259,088 | Corporate Bonds | Open/Demand |
94 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
|
||||||||||||||||||||||||||
Counterparty |
Interest Rate |
Trade Date |
Maturity Date |
(a) |
Face Value |
Face Value Including Accrued Interest |
Type of Non-Cash Underlying Collateral |
Remaining Contractual Maturity of the Agreements ( |
a) | |||||||||||||||||
|
||||||||||||||||||||||||||
Barclays Capital, Inc. |
2.00 | % (b) |
02/14/22 | Open | $ | 319,770 | $ 320,723 | Corporate Bonds | Open/Demand | |||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
02/14/22 | Open | 320,780 | 321,736 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
02/14/22 | Open | 319,880 | 320,833 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.98 | (b) |
02/14/22 | Open | 406,700 | 407,881 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.98 | (b) |
02/14/22 | Open | 593,512 | 595,236 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.98 | (b) |
02/14/22 | Open | 303,406 | 304,287 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
02/14/22 | Open | 335,800 | 336,864 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
02/14/22 | Open | 1,573,775 | 1,578,761 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.10 | (b) |
02/14/22 | Open | 1,151,150 | 1,155,014 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.10 | (b) |
02/14/22 | Open | 176,750 | 177,343 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.10 | (b) |
02/14/22 | Open | 509,977 | 511,689 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.10 | (b) |
02/14/22 | Open | 968,830 | 972,082 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.10 | (b) |
02/14/22 | Open | 131,750 | 132,192 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.10 | (b) |
02/14/22 | Open | 327,656 | 328,756 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.10 | (b) |
02/14/22 | Open | 1,564,412 | 1,569,664 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.10 | (b) |
02/14/22 | Open | 196,188 | 196,846 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.13 | (b) |
02/14/22 | Open | 225,425 | 226,207 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.13 | (b) |
02/14/22 | Open | 207,818 | 208,539 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
02/14/22 | Open | 532,875 | 534,764 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
02/14/22 | Open | 334,588 | 335,774 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
02/14/22 | Open | 620,085 | 622,284 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
02/14/22 | Open | 1,828,170 | 1,834,652 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
02/14/22 | Open | 799,680 | 802,516 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
02/14/22 | Open | 412,665 | 414,128 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
02/14/22 | Open | 211,840 | 212,591 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
02/14/22 | Open | 386,360 | 387,730 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
02/14/22 | Open | 298,148 | 299,205 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
02/14/22 | Open | 223,780 | 224,573 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
02/14/22 | Open | 316,020 | 317,141 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
02/14/22 | Open | 641,112 | 642,732 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
02/14/22 | Open | 294,690 | 295,457 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
02/14/22 | Open | 299,663 | 300,442 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
02/14/22 | Open | 290,513 | 291,268 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
02/14/22 | Open | 274,010 | 274,723 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
02/16/22 | Open | 666,947 | 669,040 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
02/16/22 | Open | 278,509 | 279,206 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
02/17/22 | Open | 212,800 | 213,425 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
02/22/22 | Open | 570,745 | 572,410 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.99 | (b) |
02/22/22 | Open | 409,538 | 410,791 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.99 | (b) |
02/22/22 | Open | 568,800 | 570,541 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.78 | (b) |
02/23/22 | Open | 2,970 | 2,977 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.98 | (b) |
02/24/22 | Open | 429,660 | 430,850 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.95 | (b) |
03/01/22 | Open | 555,015 | 556,460 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/01/22 | Open | 421,094 | 422,261 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/01/22 | Open | 887,412 | 889,871 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/01/22 | Open | 406,980 | 408,108 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/01/22 | Open | 439,875 | 441,094 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/01/22 | Open | 902,457 | 904,958 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/01/22 | Open | 453,850 | 455,108 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/01/22 | Open | 650,737 | 652,541 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/01/22 | Open | 1,364,467 | 1,368,248 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/01/22 | Open | 919,150 | 921,697 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/01/22 | Open | 277,179 | 277,947 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/01/22 | Open | 552,062 | 553,592 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/01/22 | Open | 2,113,347 | 2,119,203 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/01/22 | Open | 526,297 | 527,756 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
03/01/22 | Open | 326,525 | 327,130 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.98 | (b) |
03/01/22 | Open | 836,991 | 839,254 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.98 | (b) |
03/01/22 | Open | 780,481 | 782,591 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.98 | (b) |
03/01/22 | Open | 703,099 | 705,000 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.00 | (b) |
03/01/22 | Open | 393,374 | 394,464 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/01/22 | Open | 257,726 | 258,484 | Corporate Bonds | Open/Demand |
S C H E D U L E O F I N V E S T M E N T S |
95 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
|
||||||||||||||||||||||||||
Counterparty |
Interest Rate |
Trade Date |
Maturity Date |
(a) |
Face Value |
Face Value Including Accrued Interest |
Type of Non-Cash Underlying Collateral |
Remaining Contractual Maturity of the Agreements |
(a) | |||||||||||||||||
|
||||||||||||||||||||||||||
BNP Paribas S.A. |
2.05 | % (b) |
03/01/22 | Open | $ | 306,990 | $ | 307,892 | Corporate Bonds | Open/Demand | ||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/01/22 | Open | 901,170 | 903,818 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/01/22 | Open | 865,740 | 868,284 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/01/22 | Open | 517,412 | 518,933 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/01/22 | Open | 5,730,400 | 5,747,241 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/01/22 | Open | 500,544 | 502,015 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/01/22 | Open | 1,449,850 | 1,454,111 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/01/22 | Open | 497,260 | 498,721 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/01/22 | Open | 662,590 | 664,537 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.10 | (b) |
03/01/22 | Open | 581,394 | 583,200 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.10 | (b) |
03/01/22 | Open | 1,334,565 | 1,338,711 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.10 | (b) |
03/01/22 | Open | 1,084,601 | 1,087,971 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.13 | (b) |
03/01/22 | Open | 486,412 | 487,973 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.13 | (b) |
03/01/22 | Open | 542,587 | 544,319 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/01/22 | Open | 239,468 | 240,252 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/01/22 | Open | 1,300,917 | 1,305,178 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/01/22 | Open | 1,200,306 | 1,204,237 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/01/22 | Open | 504,780 | 506,433 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/01/22 | Open | 703,711 | 706,016 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/01/22 | Open | 667,019 | 669,203 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.30 | (b) |
03/01/22 | Open | 512,645 | 514,582 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.30 | (b) |
03/01/22 | Open | 406,698 | 408,234 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.40 | (b) |
03/01/22 | Open | 529,849 | 532,029 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.75 | (b) |
03/01/22 | Open | 1,435,987 | 1,438,760 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.75 | (b) |
03/01/22 | Open | 294,325 | 294,893 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.75 | (b) |
03/01/22 | Open | 360,900 | 361,597 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.75 | (b) |
03/01/22 | Open | 1,525,492 | 1,528,438 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.75 | (b) |
03/01/22 | Open | 1,108,031 | 1,110,170 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.75 | (b) |
03/01/22 | Open | 571,497 | 572,601 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.75 | (b) |
03/01/22 | Open | 166,388 | 166,709 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
03/01/22 | Open | 611,319 | 612,766 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
03/01/22 | Open | 524,970 | 526,213 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
03/01/22 | Open | 54,780 | 54,910 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
03/01/22 | Open | 378,000 | 378,895 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
03/01/22 | Open | 322,691 | 323,455 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 693,412 | 695,324 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 181,250 | 181,750 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 206,455 | 207,024 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 1,185,765 | 1,189,034 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 335,393 | 336,317 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 216,405 | 217,002 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 412,125 | 413,261 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 250,408 | 251,098 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 844,234 | 846,561 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 326,690 | 327,591 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 368,195 | 369,210 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 1,377,832 | 1,381,631 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 147,475 | 147,882 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 174,000 | 174,480 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/02/22 | Open | 391,230 | 392,309 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/02/22 | Open | 59,630 | 59,804 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.18 | (b) |
03/02/22 | Open | 455,666 | 457,196 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.80 | (b) |
03/03/22 | Open | 319,550 | 320,215 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.80 | (b) |
03/03/22 | Open | 220,106 | 220,565 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.80 | (b) |
03/03/22 | Open | 143,715 | 144,014 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/03/22 | Open | 341,500 | 342,437 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/03/22 | Open | 203,683 | 204,241 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/03/22 | Open | 409,176 | 410,299 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.78 | (b) |
03/03/22 | Open | 230,300 | 230,764 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.78 | (b) |
03/03/22 | Open | 392,531 | 393,323 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.78 | (b) |
03/03/22 | Open | 400,950 | 401,758 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.78 | (b) |
03/03/22 | Open | 435,000 | 435,877 | Corporate Bonds | Open/Demand |
96 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
|
||||||||||||||||||||||||||
Counterparty |
Interest Rate |
Trade Date |
Maturity Date |
(a) |
Face Value |
Face Value Including Accrued Interest |
Type of Non-Cash Underlying Collateral |
Remaining Contractual Maturity of the Agreements |
(a) | |||||||||||||||||
|
||||||||||||||||||||||||||
RBC Capital Markets LLC |
1.78 | % (b) |
03/03/22 | Open | $ | 287,494 | $ | 288,073 | Corporate Bonds | Open/Demand | ||||||||||||||||
RBC Capital Markets LLC |
1.78 | (b) |
03/03/22 | Open | 1,451,625 | 1,454,551 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.78 | (b) |
03/03/22 | Open | 1,601,970 | 1,605,199 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.78 | (b) |
03/03/22 | Open | 137,375 | 137,652 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.78 | (b) |
03/03/22 | Open | 1,456,875 | 1,459,812 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.78 | (b) |
03/03/22 | Open | 883,125 | 884,905 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.78 | (b) |
03/03/22 | Open | 992,162 | 994,163 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.78 | (b) |
03/03/22 | Open | 645,937 | 647,240 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.80 | (b) |
03/04/22 | Open | 603,630 | 604,872 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/04/22 | Open | 350,875 | 351,823 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/04/22 | Open | 660,060 | 661,843 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/04/22 | Open | 136,890 | 137,260 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/04/22 | Open | 467,066 | 468,328 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/04/22 | Open | 216,456 | 217,041 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/04/22 | Open | 620,876 | 622,553 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/04/22 | Open | 737,412 | 739,405 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.61 | (b) |
03/08/22 | Open | 243,338 | 243,688 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.65 | (b) |
03/08/22 | Open | 136,120 | 136,333 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.78 | (b) |
03/08/22 | Open | 1,419,412 | 1,422,219 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.78 | (b) |
03/08/22 | Open | 2,655,162 | 2,660,412 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.81 | (b) |
03/08/22 | Open | 616,225 | 617,502 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
03/08/22 | Open | 183,656 | 183,991 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
03/08/22 | Open | 161,081 | 161,486 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
03/08/22 | Open | 1,443,750 | 1,447,381 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
03/08/22 | Open | 543,637 | 545,005 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
03/08/22 | Open | 633,041 | 634,634 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
03/08/22 | Open | 3,523,500 | 3,532,363 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
03/08/22 | Open | 946,906 | 949,288 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
03/08/22 | Open | 279,650 | 280,353 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
03/08/22 | Open | 3,026,250 | 3,033,862 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
03/08/22 | Open | 1,836,562 | 1,839,742 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
03/08/22 | Open | 283,158 | 283,674 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
03/08/22 | Open | 1,297,187 | 1,300,450 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
03/08/22 | Open | 820,000 | 822,063 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.98 | (b) |
03/08/22 | Open | 656,529 | 658,242 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.98 | (b) |
03/08/22 | Open | 461,169 | 462,373 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.98 | (b) |
03/08/22 | Open | 1,205,625 | 1,208,772 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.99 | (b) |
03/08/22 | Open | 731,737 | 733,671 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.00 | (b) |
03/08/22 | Open | 560,835 | 562,334 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/08/22 | Open | 270,788 | 271,554 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/08/22 | Open | 622,765 | 624,529 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/08/22 | Open | 372,775 | 373,831 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/08/22 | Open | 896,070 | 898,608 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/08/22 | Open | 512,352 | 513,803 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/08/22 | Open | 541,231 | 542,764 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/08/22 | Open | 770,931 | 773,114 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/08/22 | Open | 717,577 | 719,610 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/08/22 | Open | 300,800 | 301,652 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/08/22 | Open | 1,291,912 | 1,295,571 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/08/22 | Open | 509,312 | 510,755 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/08/22 | Open | 316,538 | 317,434 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
03/08/22 | Open | 42,129 | 42,248 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.10 | (b) |
03/08/22 | Open | 216,631 | 217,279 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.13 | (b) |
03/08/22 | Open | 560,092 | 561,821 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.13 | (b) |
03/08/22 | Open | 407,046 | 408,302 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.13 | (b) |
03/08/22 | Open | 281,295 | 282,163 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.13 | (b) |
03/08/22 | Open | 748,807 | 751,118 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/08/22 | Open | 527,617 | 529,279 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/08/22 | Open | 668,700 | 670,805 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/08/22 | Open | 362,194 | 363,334 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/08/22 | Open | 566,886 | 568,671 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/08/22 | Open | 472,320 | 473,807 | Corporate Bonds | Open/Demand |
S C H E D U L E O F I N V E S T M E N T S |
97 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
|
||||||||||||||||||||||||||
Counterparty |
Interest Rate |
Trade Date |
Maturity Date |
(a) |
Face Value |
Face Value Including Accrued Interest |
Type of Non-Cash Underlying Collateral |
Remaining Contractual Maturity of the Agreements |
(a) | |||||||||||||||||
|
||||||||||||||||||||||||||
BNP Paribas S.A. |
2.15 | % (b) |
03/08/22 | Open | $ | 109,280 | $ | 109,624 | Corporate Bonds | Open/Demand | ||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/08/22 | Open | 405,223 | 406,498 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/08/22 | Open | 597,872 | 599,755 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/08/22 | Open | 489,837 | 491,380 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/08/22 | Open | 518,100 | 519,731 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/08/22 | Open | 222,045 | 222,744 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/08/22 | Open | 203,873 | 204,514 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/08/22 | Open | 637,130 | 639,136 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/08/22 | Open | 104,860 | 105,190 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/08/22 | Open | 414,585 | 415,890 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.18 | (b) |
03/08/22 | Open | 2,300,719 | 2,308,181 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.18 | (b) |
03/08/22 | Open | 300,514 | 301,488 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.18 | (b) |
03/08/22 | Open | 314,100 | 315,119 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.18 | (b) |
03/08/22 | Open | 2,243,587 | 2,250,865 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.30 | (b) |
03/08/22 | Open | 417,055 | 418,566 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.78 | (b) |
03/09/22 | Open | 423,563 | 424,400 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
03/09/22 | Open | 113,040 | 113,306 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
03/09/22 | Open | 195,570 | 196,031 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
03/09/22 | Open | 146,094 | 146,438 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
03/09/22 | Open | 294,500 | 295,194 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.13 | (b) |
03/10/22 | Open | 129,203 | 129,597 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.79 | (b) |
03/14/22 | Open | 234,175 | 234,634 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/14/22 | Open | 508,596 | 510,143 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.92 | (b) |
03/14/22 | Open | 330,704 | 331,481 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.92 | (b) |
03/14/22 | Open | 375,599 | 376,481 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.92 | (b) |
03/14/22 | Open | 328,213 | 328,984 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.92 | (b) |
03/14/22 | Open | 345,750 | 346,563 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.92 | (b) |
03/14/22 | Open | 701,222 | 702,871 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.25 | (b) |
03/15/22 | Open | 24,000 | 23,987 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.50 | (b) |
03/15/22 | Open | 195,000 | 195,233 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.65 | (b) |
03/15/22 | Open | 234,000 | 234,384 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.75 | (b) |
03/15/22 | Open | 362,160 | 362,862 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.80 | (b) |
03/15/22 | Open | 192,631 | 193,013 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.80 | (b) |
03/15/22 | Open | 1,182,812 | 1,185,157 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.80 | (b) |
03/15/22 | Open | 420,000 | 420,832 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.80 | (b) |
03/15/22 | Open | 93,090 | 93,275 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.80 | (b) |
03/15/22 | Open | 1,502,209 | 1,505,186 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.80 | (b) |
03/15/22 | Open | 1,640,000 | 1,643,250 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.80 | (b) |
03/15/22 | Open | 2,104,314 | 2,107,593 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.80 | (b) |
03/15/22 | Open | 596,831 | 598,014 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.80 | (b) |
03/15/22 | Open | 1,825,000 | 1,828,617 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.80 | (b) |
03/15/22 | Open | 1,389,062 | 1,391,816 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.80 | (b) |
03/15/22 | Open | 317,281 | 317,943 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.85 | (b) |
03/15/22 | Open | 93,938 | 94,138 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.85 | (b) |
03/15/22 | Open | 2,752,500 | 2,758,364 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.90 | (b) |
03/15/22 | Open | 207,383 | 207,856 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
2.00 | (b) |
03/15/22 | Open | 1,164,062 | 1,167,062 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
2.00 | (b) |
03/15/22 | Open | 308,029 | 308,822 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
2.00 | (b) |
03/15/22 | Open | 2,673,125 | 2,680,012 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
2.00 | (b) |
03/15/22 | Open | 581,750 | 583,249 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
2.00 | (b) |
03/15/22 | Open | 1,205,050 | 1,208,155 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
2.00 | (b) |
03/15/22 | Open | 965,775 | 968,263 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
2.00 | (b) |
03/15/22 | Open | 352,125 | 353,032 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
2.00 | (b) |
03/15/22 | Open | 336,256 | 337,123 | Capital Trusts | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
03/16/22 | Open | 161,303 | 161,668 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.72 | (b) |
03/17/22 | Open | 437,500 | 438,297 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.72 | (b) |
03/17/22 | Open | 453,125 | 453,951 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.72 | (b) |
03/17/22 | Open | 1,366,875 | 1,369,366 | Corporate Bonds | Open/Demand |
98 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
|
||||||||||||||||||||||||||||||
Counterparty |
Interest Rate |
Trade Date |
Maturity Date |
(a) |
Face Value |
Face Value Including Accrued Interest |
Type of Non-Cash Underlying Collateral |
Remaining Contractual Maturity of the Agreements |
(a) |
|||||||||||||||||||||
|
||||||||||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.72 | % (b) |
03/17/22 | Open | $ | 1,645,000 | $ | 1,647,998 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
|
Credit Agricole Corporate and Investment Bank |
1.72 | (b) |
03/17/22 | Open | 1,675,625 | 1,678,678 | Corporate Bonds | Open/Demand | |||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.72 | (b) |
03/17/22 | Open | 1,344,375 | 1,346,825 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.75 | (b) |
03/17/22 | Open | 673,841 | 675,128 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.75 | (b) |
03/17/22 | Open | 833,750 | 835,342 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.77 | (b) |
03/17/22 | Open | 216,600 | 217,026 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.77 | (b) |
03/17/22 | Open | 182,688 | 183,047 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.77 | (b) |
03/17/22 | Open | 186,750 | 187,118 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.77 | (b) |
03/17/22 | Open | 222,250 | 222,687 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.77 | (b) |
03/17/22 | Open | 122,500 | 122,741 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.77 | (b) |
03/17/22 | Open | 50,125 | 50,224 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.77 | (b) |
03/17/22 | Open | 411,188 | 411,997 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.80 | (b) |
03/17/22 | Open | 251,119 | 251,635 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.80 | (b) |
03/17/22 | Open | 228,179 | 228,648 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.80 | (b) |
03/17/22 | Open | 214,200 | 214,640 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.80 | (b) |
03/17/22 | Open | 294,866 | 295,472 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.80 | (b) |
03/17/22 | Open | 320,823 | 321,482 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.80 | (b) |
03/17/22 | Open | 231,600 | 232,076 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.80 | (b) |
03/17/22 | Open | 321,210 | 321,870 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.82 | (b) |
03/17/22 | Open | 798,750 | 800,438 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.82 | (b) |
03/17/22 | Open | 309,833 | 310,487 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.82 | (b) |
03/17/22 | Open | 433,148 | 434,063 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.82 | (b) |
03/17/22 | Open | 332,979 | 333,683 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
03/17/22 | Open | 216,745 | 217,216 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
03/17/22 | Open | 343,406 | 344,152 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
03/17/22 | Open | 377,100 | 377,919 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
03/17/22 | Open | 411,294 | 412,187 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
03/17/22 | Open | 370,440 | 371,245 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
03/17/22 | Open | 695,200 | 696,710 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
03/17/22 | Open | 331,500 | 332,220 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
03/17/22 | Open | 425,315 | 426,239 | Corporate Bonds | Open/Demand |
S C H E D U L E O F I N V E S T M E N T S |
99 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
|
||||||||||||||||||||||||||||||
Counterparty |
Interest Rate |
Trade Date |
Maturity Date |
(a) |
Face Value |
Face Value Including Accrued Interest |
Type of Non-Cash Underlying Collateral |
Remaining Contractual Maturity of the Agreements |
(a) |
|||||||||||||||||||||
|
||||||||||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | % (b) |
03/17/22 | Open | $ | 436,489 | $ | 437,437 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
|
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
03/17/22 | Open | 479,960 | 481,003 | Corporate Bonds | Open/Demand | |||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
03/17/22 | Open | 299,500 | 300,151 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
03/17/22 | Open | 456,120 | 457,111 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
03/17/22 | Open | 330,630 | 331,348 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
03/17/22 | Open | 344,500 | 345,248 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
03/17/22 | Open | 332,175 | 332,897 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.86 | (b) |
03/17/22 | Open | 513,305 | 514,450 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.86 | (b) |
03/17/22 | Open | 483,035 | 484,112 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.86 | (b) |
03/17/22 | Open | 485,939 | 487,023 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.86 | (b) |
03/17/22 | Open | 109,705 | 109,950 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.88 | (b) |
03/17/22 | Open | 339,565 | 340,342 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.92 | (b) |
03/17/22 | Open | 74,588 | 74,767 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Suisse Securities (USA) LLC |
1.80 | (b) |
03/17/22 | Open | 1,190,625 | 1,193,072 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Suisse Securities (USA) LLC |
1.80 | (b) |
03/17/22 | Open | 194,000 | 194,399 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||||||
Credit Suisse Securities (USA) LLC |
1.85 | (b) |
03/17/22 | Open | 487,207 | 488,280 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Suisse Securities (USA) LLC |
1.85 | (b) |
03/17/22 | Open | 264,688 | 265,270 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Suisse Securities (USA) LLC |
1.90 | (b) |
03/17/22 | Open | 302,575 | 303,285 | Capital Trusts | Open/Demand | ||||||||||||||||||||||
Credit Suisse Securities (USA) LLC |
1.90 | (b) |
03/17/22 | Open | 322,444 | 323,201 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Suisse Securities (USA) LLC |
1.90 | (b) |
03/17/22 | Open | 331,570 | 332,348 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Suisse Securities (USA) LLC |
1.95 | (b) |
03/17/22 | Open | 1,490,000 | 1,493,715 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/22/22 | Open | 471,069 | 472,263 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
03/22/22 | Open | 548,625 | 550,244 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Barclays Bank PLC |
1.80 | (b) |
03/30/22 | Open | 174,872 | 175,199 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/30/22 | Open | 833,866 | 835,841 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/31/22 | Open | 672,861 | 674,441 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
03/31/22 | Open | 357,300 | 358,139 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
04/01/22 | Open | 1,290,369 | 1,293,398 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
04/01/22 | Open | 1,392,300 | 1,395,651 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
BNP Paribas S.A. |
2.18 | (b) |
04/01/22 | Open | 458,640 | 459,890 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.88 | (b) |
04/04/22 | Open | 261,375 | 261,891 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.88 | (b) |
04/04/22 | Open | 214,775 | 215,199 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
04/06/22 | Open | 260,684 | 261,189 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Barclays Bank PLC |
1.80 | (b) |
04/11/22 | Open | 66,838 | 66,950 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Barclays Bank PLC |
1.80 | (b) |
04/11/22 | Open | 197,228 | 197,558 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Barclays Bank PLC |
1.90 | (b) |
04/11/22 | Open | 201,206 | 201,588 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||||||
Barclays Bank PLC |
1.90 | (b) |
04/11/22 | Open | 212,321 | 212,724 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.88 | (b) |
04/11/22 | Open | 282,056 | 282,578 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Suisse Securities (USA) LLC |
1.95 | (b) |
04/11/22 | Open | 90,680 | 90,862 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
04/12/22 | Open | 481,699 | 482,762 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Suisse Securities (USA) LLC |
1.25 | (b) |
04/12/22 | Open | 89,700 | 89,543 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.80 | (b) |
04/14/22 | Open | 340,170 | 340,708 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
04/14/22 | Open | 166,725 | 167,016 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
04/19/22 | Open | 337,199 | 337,857 | Corporate Bonds | Open/Demand | ||||||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
04/21/22 | Open | 232,360 | 232,804 | Corporate Bonds | Open/Demand |
100 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
|
||||||||||||||||||||||||||
Counterparty |
Interest Rate |
Trade Date |
Maturity Date |
(a) |
Face Value |
Face Value Including Accrued Interest |
Type of Non-Cash Underlying Collateral |
Remaining Contractual Maturity of the Agreements (a |
) | |||||||||||||||||
|
||||||||||||||||||||||||||
BNP Paribas S.A. |
2.05 | % (b) |
04/21/22 | Open | $ | 261,220 | $ | 261,744 | Corporate Bonds | Open/Demand | ||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
04/21/22 | Open | 766,010 | 767,696 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC |
(0.75 | ) (b) |
04/21/22 | Open | 184,150 | 183,653 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
04/25/22 | Open | 340,025 | 340,740 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.85 | (b) |
04/26/22 | Open | 481,504 | 482,243 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
04/27/22 | Open | 269,188 | 269,620 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
(1.25 | ) (b) |
04/28/22 | Open | 138,880 | 138,571 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
04/28/22 | Open | 824,377 | 825,832 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
04/29/22 | Open | 223,549 | 223,892 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
05/03/22 | Open | 143,835 | 144,108 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
05/06/22 | Open | 367,650 | 368,334 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
05/06/22 | Open | 933,240 | 934,977 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
05/06/22 | Open | 137,925 | 138,192 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
05/06/22 | Open | 137,271 | 137,507 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
05/10/22 | Open | 337,249 | 337,853 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.00 | (b) |
05/10/22 | Open | 923,105 | 924,759 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
05/10/22 | Open | 466,403 | 467,271 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.84 | (b) |
05/10/22 | Open | 383,381 | 383,981 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
05/13/22 | Open | 541,822 | 542,699 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
05/13/22 | Open | 204,180 | 204,550 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
05/13/22 | Open | 260,100 | 260,488 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
05/16/22 | Open | 833,425 | 834,797 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.15 | (b) |
05/16/22 | Open | 621,285 | 622,409 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
05/18/22 | Open | 444,231 | 444,904 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.00 | (b) |
05/19/22 | Open | 791,595 | 792,766 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
05/23/22 | Open | 172,568 | 172,799 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.18 | (b) |
05/25/22 | Open | 644,490 | 645,425 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
05/27/22 | Open | 526,256 | 526,834 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
05/27/22 | Open | 179,973 | 180,170 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
05/27/22 | Open | 76,624 | 76,711 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.75 | (b) |
06/03/22 | Open | 471,750 | 472,087 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
06/03/22 | Open | 448,800 | 449,204 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
06/03/22 | Open | 392,250 | 392,566 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.90 | (b) |
06/06/22 | Open | 317,363 | 317,612 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.80 | (b) |
06/08/22 | Open | 559,333 | 559,720 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.80 | (b) |
06/08/22 | Open | 387,563 | 387,831 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.83 | (b) |
06/08/22 | Open | 385,293 | 385,566 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.88 | (b) |
06/08/22 | Open | 607,060 | 607,511 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC |
1.87 | (b) |
06/08/22 | Open | 994,967 | 995,700 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC |
1.87 | (b) |
06/08/22 | Open | 230,520 | 230,690 | Corporate Bonds | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 1,715,132 | 1,716,620 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 1,664,407 | 1,665,489 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 1,720,432 | 1,721,550 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 10,535,719 | 10,542,567 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. |
1.30 | 06/10/22 | 07/14/22 | 6,643,796 | 6,648,115 | U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
BNP Paribas S.A. |
1.90 | (b) |
06/13/22 | Open | 490,820 | 491,112 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.90 | (b) |
06/13/22 | Open | 609,765 | 610,128 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.90 | (b) |
06/13/22 | Open | 475,082 | 475,366 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.90 | (b) |
06/13/22 | Open | 477,654 | 477,938 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/13/22 | Open | 394,043 | 394,283 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/13/22 | Open | 758,812 | 759,276 | Corporate Bonds | Open/Demand |
S C H E D U L E O F I N V E S T M E N T S |
101 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
|
||||||||||||||||||||||||||
Counterparty |
Interest Rate |
Trade Date |
Maturity Date |
(a) |
Face Value |
Face Value Including Accrued Interest |
Type of Non-Cash Underlying Collateral |
Remaining Contractual Maturity of the Agreements (a |
) | |||||||||||||||||
|
||||||||||||||||||||||||||
BNP Paribas S.A. |
1.93 | % (b) |
06/13/22 | Open | $ | 332,821 | $ | 333,025 | Corporate Bonds | Open/Demand | ||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/13/22 | Open | 386,468 | 386,704 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/13/22 | Open | 383,250 | 383,484 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/13/22 | Open | 333,574 | 333,778 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/13/22 | Open | 301,106 | 301,286 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/13/22 | Open | 347,820 | 348,027 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/13/22 | Open | 375,765 | 375,989 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/13/22 | Open | 304,476 | 304,658 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/13/22 | Open | 437,063 | 437,323 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/13/22 | Open | 359,640 | 359,854 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/13/22 | Open | 605,760 | 606,121 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/13/22 | Open | 384,323 | 384,551 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/13/22 | Open | 513,810 | 514,116 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/13/22 | Open | 321,131 | 321,323 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.75 | (b) |
06/14/22 | Open | 804,375 | 804,772 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC |
1.75 | (b) |
06/14/22 | Open | 452,250 | 452,460 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
(1.00 | ) (b) |
06/14/22 | Open | 516,684 | 516,454 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.95 | (b) |
06/14/22 | Open | 307,680 | 307,851 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.95 | (b) |
06/14/22 | Open | 331,478 | 331,661 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.95 | (b) |
06/14/22 | Open | 286,978 | 287,137 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.95 | (b) |
06/14/22 | Open | 452,250 | 452,501 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.95 | (b) |
06/14/22 | Open | 394,654 | 394,872 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.95 | (b) |
06/14/22 | Open | 338,138 | 338,325 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/14/22 | Open | 341,610 | 341,796 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/14/22 | Open | 298,080 | 298,243 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/14/22 | Open | 303,656 | 303,822 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/14/22 | Open | 340,775 | 340,961 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/14/22 | Open | 330,793 | 330,973 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/14/22 | Open | 421,438 | 421,667 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/14/22 | Open | 368,010 | 368,211 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/14/22 | Open | 305,776 | 305,943 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/14/22 | Open | 301,500 | 301,664 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/14/22 | Open | 336,150 | 336,333 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/14/22 | Open | 279,500 | 279,652 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
06/14/22 | Open | 372,844 | 373,050 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
06/14/22 | Open | 366,520 | 366,723 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.95 | (b) |
06/14/22 | Open | 544,305 | 544,607 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.13 | (b) |
06/14/22 | Open | 83,190 | 83,246 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/14/22 | Open | 301,950 | 302,111 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/14/22 | Open | 278,651 | 278,799 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/14/22 | Open | 443,980 | 444,216 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/14/22 | Open | 331,530 | 331,706 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
06/15/22 | Open | 328,843 | 329,027 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
(3.00 | ) (b) |
06/17/22 | Open | 26,550 | 26,528 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
06/17/22 | Open | 212,031 | 212,149 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC |
1.85 | (b) |
06/17/22 | Open | 105,656 | 105,711 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
06/17/22 | Open | 166,061 | 166,148 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
1.75 | (b) |
06/21/22 | Open | 145,250 | 145,314 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.90 | (b) |
06/21/22 | Open | 155,649 | 155,723 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC |
(0.50 | ) (b) |
06/22/22 | Open | 123,360 | 123,346 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/22/22 | Open | 112,174 | 112,221 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.10 | (b) |
06/23/22 | Open | 65,813 | 65,839 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. |
1.75 | (b) |
06/23/22 | Open | 185,120 | 185,183 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. |
1.75 | (b) |
06/23/22 | Open | 166,297 | 166,354 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. |
1.85 | (b) |
06/23/22 | Open | 217,750 | 217,828 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. |
1.85 | (b) |
06/23/22 | Open | 204,413 | 204,486 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.65 | (b) |
06/24/22 | Open | 503,882 | 503,975 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.98 | (b) |
06/24/22 | Open | 774,440 | 774,610 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
2.05 | (b) |
06/24/22 | Open | 127,500 | 127,529 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank |
1.92 | (b) |
06/24/22 | Open | 28,000 | 28,006 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC |
(5.00 | ) (b) |
06/24/22 | Open | 78,650 | 78,574 | Corporate Bonds | Open/Demand |
102 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
|
||||||||||||||||||||||||||
Counterparty |
Interest Rate |
Trade Date |
Maturity Date |
(a) |
Face Value |
Face Value Including Accrued Interest |
Type of Non-Cash Underlying Collateral |
Remaining Contractual Maturity of the Agreements (a |
) | |||||||||||||||||
|
||||||||||||||||||||||||||
RBC Capital Markets LLC |
1.88 | % (b) |
06/28/22 | Open | $ | 265,898 | $ | 265,925 | Corporate Bonds | Open/Demand | ||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
06/29/22 | Open | 270,020 | 270,035 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
06/29/22 | Open | 476,190 | 476,216 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. |
2.00 | (b) |
06/29/22 | Open | 293,020 | 293,036 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.65 | (b) |
06/29/22 | Open | 115,275 | 115,280 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/29/22 | Open | 222,135 | 222,147 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
1.93 | (b) |
06/29/22 | Open | 185,310 | 185,320 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.88 | (b) |
06/29/22 | Open | 510,351 | 510,378 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC |
1.90 | (b) |
06/29/22 | Open | 223,576 | 223,588 | Corporate Bonds | Open/Demand | ||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||
$ | 291,585,438 | $ | 292,269,603 | |||||||||||||||||||||||
|
|
|
|
(a) |
Certain agreements have no stated maturity and can be terminated by either party at any time. |
(b) |
Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
Description |
Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||||
Long Contracts |
||||||||||||||||
10-Year U.S. Ultra Long Treasury Note |
141 | 09/21/22 | $ | 17,916 | $ | (55,397 | ) | |||||||||
2-Year U.S. Treasury Note |
230 | 09/30/22 | 48,264 | (258,724 | ) | |||||||||||
|
|
|||||||||||||||
(314,121 | ) | |||||||||||||||
|
|
|||||||||||||||
Short Contracts |
||||||||||||||||
Euro BTP |
1 | 09/08/22 | 129 | (3,553 | ) | |||||||||||
10-Year Japanese Government Treasury Bonds |
3 | 09/12/22 | 3,286 | 8,616 | ||||||||||||
10-Year U.S. Treasury Note |
288 | 09/21/22 | 34,088 | 95,653 | ||||||||||||
U.S. Long Bond |
45 | 09/21/22 | 6,214 | 120,063 | ||||||||||||
Ultra U.S. Treasury Bond |
48 | 09/21/22 | 7,409 | 77,093 | ||||||||||||
5-Year U.S. Treasury Note |
73 | 09/30/22 | 8,185 | (44,884 | ) | |||||||||||
|
|
|||||||||||||||
252,988 | ||||||||||||||||
|
|
|||||||||||||||
$ | (61,133 | ) | ||||||||||||||
|
|
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
USD | 6,911,308 | EUR | 6,526,000 | BNP Paribas S.A. | 09/21/22 | $ | 34,326 | |||||||||||||
USD | 867,875 | EUR | 820,000 | State Street Bank and Trust Co. | 09/21/22 | 3,774 | ||||||||||||||
USD | 17,225 | GBP | 14,081 | Bank of America N.A. | 09/21/22 | 59 | ||||||||||||||
USD | 1,206,346 | GBP | 973,000 | Deutsche Bank AG | 09/21/22 | 20,141 | ||||||||||||||
USD | 1,763,026 | GBP | 1,422,000 | Deutsche Bank AG | 09/21/22 | 29,435 | ||||||||||||||
USD | 3,418,188 | GBP | 2,757,000 | Deutsche Bank AG | 09/21/22 | 57,070 | ||||||||||||||
|
|
|||||||||||||||||||
144,805 | ||||||||||||||||||||
|
|
|||||||||||||||||||
EUR | 379,264 | USD | 401,686 | Morgan Stanley & Co. International PLC | 09/21/22 | (2,024 | ) | |||||||||||||
GBP | 37,357 | USD | 45,696 | Deutsche Bank AG | 09/21/22 | (154 | ) | |||||||||||||
GBP | 59,608 | USD | 72,915 | Standard Chartered Bank | 09/21/22 | (246 | ) | |||||||||||||
|
|
|||||||||||||||||||
(2,424 | ) | |||||||||||||||||||
|
|
|||||||||||||||||||
$ | 142,381 | |||||||||||||||||||
|
|
S C H E D U L E O F I N V E S T M E N T S |
103 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
Reference Obligation/Index |
Financing Rate Paid by the Fund |
Payment Frequency |
Termination Date |
Notional Amount (000) |
Value |
Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
CDX.NA.HY.38.V2 | 5.00 | % | Quarterly | 06/20/27 | USD | 3,737 | $ | 104,216 | $ | (117,814 | ) | $ | 222,030 | |||||||||||
CDX.NA.IG.38.V1 | 1.00 | Quarterly | 06/20/27 | USD | 16,590 | 191 | (146,553 | ) | 146,744 | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
$ | 104,407 | $ | (264,367 | ) | $ | 368,774 | ||||||||||||||||||
|
|
|
|
|
|
Paid by the Fund |
Received by the Fund |
Effective |
Termination |
Notional |
|
Upfront Premium Paid |
Unrealized Appreciation |
|||||||||||||||||||||||||
Rate |
Frequency |
Rate |
Frequency |
Date |
Date |
Amount (000) |
Value |
(Received) |
(Depreciation) |
|||||||||||||||||||||||
1-Day SOFR, 0.82% |
Annual | 3.01% | Annual | 10/05/22 | (a) |
06/30/24 | USD | 11,575 | $ | (24,128 | ) | $ | 50 | $ | (24,178 | ) | ||||||||||||||||
2.86% | Annual | 1-Day SOFR, 0.82% |
Annual | 10/05/22 | (a) |
11/30/26 | USD | 11,575 | (16,677 | ) | 105 | (16,782 | ) | |||||||||||||||||||
3-Month LIBOR, 2.29% |
Quarterly | 1.57% | Semi-Annual |
N/A | 02/11/30 | USD | 5 | (482 | ) | 163 | (645 | ) | ||||||||||||||||||||
1.61% | Semi-Annual | 3-Month LIBOR, 2.29% |
Quarterly | N/A | 03/28/32 | USD | 9,300 | 1,121,049 | 146 | 1,120,903 | ||||||||||||||||||||||
1.66% | Semi-Annual |
3-Month LIBOR, 2.29% |
Quarterly | N/A | 04/25/32 | USD | 9,020 | 1,082,246 | 144 | 1,082,102 | ||||||||||||||||||||||
3-Month LIBOR, 2.29% |
Quarterly | 1.93% | Semi-Annual | N/A | 10/22/51 | USD | 2,500 | (501,385 | ) | 77 | (501,462 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | 1,660,623 | $ | 685 | $ | 1,659,938 | |||||||||||||||||||||||||||
|
|
|
|
|
|
(a) |
Forward Swap. |
Reference Obligation/Index |
Financing Rate Received by the Fund |
Payment Frequency |
Counterparty |
Termination Date |
Credit Rating |
(a) |
Notional Amount(000) (b) |
Value |
Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
| |||||||||||||||||||||||||||
Casino Guichard-Perrachon S.A. |
5.00 | % | Quarterly | JPMorgan Chase Bank N.A. | 06/20/23 | B | EUR | 20 | $ | (3,002 | ) | $ | (1,735 | ) | $ | (1,267 | ) | |||||||||||||||||||||
Novafives S.A.S |
5.00 | Quarterly | Citibank N.A. | 06/20/23 | B- | EUR | 10 | (1,161 | ) | (668 | ) | (493 | ) | |||||||||||||||||||||||||
Faurecia SE |
5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/25 | BB | EUR | 10 | 100 | 461 | (361 | ) | |||||||||||||||||||||||||||
Adler Real Estate AG |
5.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | CCC | EUR | 10 | (3,224 | ) | 1,224 | (4,448 | ) | ||||||||||||||||||||||||||
Virgin Media Finance PLC |
5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/25 | B | EUR | 10 | 257 | 948 | (691 | ) | |||||||||||||||||||||||||||
Adler Real Estate AG |
5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/26 | NR | EUR | 10 | (3,280 | ) | 836 | (4,116 | ) | ||||||||||||||||||||||||||
Adler Real Estate AG |
5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/26 | NR | EUR | 10 | (3,280 | ) | 939 | (4,219 | ) | ||||||||||||||||||||||||||
Adler Real Estate AG |
5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/26 | CCC | EUR | 10 | (3,329 | ) | — | (3,329 | ) | ||||||||||||||||||||||||||
CMA CGM SA |
5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/26 | BB+ | EUR | 30 | (886 | ) | 1,192 | (2,078 | ) | ||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC |
5.00 | Quarterly | Bank of America N.A. | 12/20/26 | B+ | EUR | 20 | (3,251 | ) | (781 | ) | (2,470 | ) | |||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC |
5.00 | Quarterly | Barclays Bank PLC | 12/20/26 | B+ | EUR | 10 | (1,650 | ) | 397 | (2,047 | ) | ||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC |
5.00 | Quarterly | Credit Suisse International | 12/20/26 | B+ | EUR | 10 | (1,604 | ) | 408 | (2,012 | ) | ||||||||||||||||||||||||||
K&S AG |
5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/26 | BB | EUR | 10 | 825 | 805 | 20 | ||||||||||||||||||||||||||||
CMA CGM SA |
5.00 | Quarterly | Barclays Bank PLC | 06/20/27 | BB+ | EUR | 2 | (92 | ) | 67 | (159 | ) | ||||||||||||||||||||||||||
CMA CGM SA |
5.00 | Quarterly | Credit Suisse International | 06/20/27 | BB+ | EUR | 40 | (1,737 | ) | 1,825 | (3,562 | ) | ||||||||||||||||||||||||||
CMA CGM SA |
5.00 | Quarterly | Credit Suisse International | 06/20/27 | BB+ | EUR | 12 | (511 | ) | 396 | (907 | ) | ||||||||||||||||||||||||||
CMA CGM SA |
5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | BB+ | EUR | 12 | (514 | ) | 431 | (945 | ) | ||||||||||||||||||||||||||
CMA CGM SA |
5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | BB+ | EUR | 11 | (483 | ) | 405 | (888 | ) | ||||||||||||||||||||||||||
CMA CGM SA |
5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | BB+ | EUR | 3 | (136 | ) | 114 | (250 | ) | ||||||||||||||||||||||||||
Ladbrokes Coral Group Ltd. |
1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | BB | EUR | 40 | (6,679 | ) | (7,077 | ) | 398 | ||||||||||||||||||||||||||
Ladbrokes Coral Group Ltd. |
1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | BB | EUR | 10 | (1,670 | ) | (1,109 | ) | (561 | ) | |||||||||||||||||||||||||
CMBX.NA.8 |
3.00 | Monthly | Barclays Bank PLC | 10/17/57 | N/R | USD | 5,000 | (861,017 | ) | (483,158 | ) | (377,859 | ) | |||||||||||||||||||||||||
CMBX.NA.8 |
3.00 | Monthly | Credit Suisse International | 10/17/57 | N/R | USD | 2,500 | (430,509 | ) | (239,041 | ) | (191,468 | ) | |||||||||||||||||||||||||
CMBX.NA.8 |
3.00 | Monthly | Morgan Stanley & Co. International PLC | 10/17/57 | N/R | USD | 4,450 | (766,305 | ) | (563,363 | ) | (202,942 | ) |
104 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
Reference Obligation/Index |
Financing Rate Received by the Fund |
Payment Frequency |
Counterparty |
Termination Date |
Credit Rating |
(a) |
Notional Amount (000) (b) |
Value |
Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
| |||||||||||||||||||||||||||
CMBX.NA.9 |
3.00 | % | Monthly | Credit Suisse International | 09/17/58 | N/R | USD | 5,000 | $ | (854,607 | ) | $ | (518,760 | ) | $ | (335,847 | ) | |||||||||||||||||||||
CMBX.NA.9 |
3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 1,528 | (261,168 | ) | (165,932 | ) | (95,236 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
$ | (3,208,913 | ) | $ | (1,971,176 | ) | $ | (1,237,737 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) |
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Description |
Swap Premiums Paid |
Swap Premiums Received |
Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||
Centrally Cleared Swaps (a) |
$ | 685 | $ | (264,367 | ) | $ | 2,571,779 | $ | (543,067 | ) | ||||||
OTC Swaps |
10,448 | (1,981,624 | ) | 418 | (1,238,155 | ) |
(a) |
Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total |
||||||||||||||||||||||
Assets — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts (a) |
$ | — | $ | — | $ | — | $ | — | $ | 301,425 | $ | — | $ | 301,425 | ||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
— | — | — | 144,805 | — | — | 144,805 | |||||||||||||||||||||
Swaps — centrally cleared |
||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps (a) |
— | 368,774 | — | — | 2,203,005 | — | 2,571,779 | |||||||||||||||||||||
Swaps — OTC |
||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid |
— | 10,866 | — | — | — | — | 10,866 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | 379,640 | $ | — | $ | 144,805 | $ | 2,504,430 | $ | — | $ | 3,028,875 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts (a) |
$ | — | $ | — | $ | — | $ | — | $ | 362,558 | $ | — | $ | 362,558 | ||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts |
— | — | — | 2,424 | — | — | 2,424 | |||||||||||||||||||||
Swaps — centrally cleared |
||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps (a) |
— | — | — | — | 543,067 | — | 543,067 | |||||||||||||||||||||
Swaps — OTC |
||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received |
— | 3,219,779 | — | — | — | — | 3,219,779 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | 3,219,779 | $ | — | $ | 2,424 | $ | 905,625 | $ | — | $ | 4,127,828 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
S C H E D U L E O F I N V E S T M E N T S |
105 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
|
||||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total |
||||||||||||||||||||||
|
||||||||||||||||||||||||||||
Net Realized Gain (Loss) from: |
||||||||||||||||||||||||||||
Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 5,080,822 | $ | — | $ | 5,080,822 | ||||||||||||||
Forward foreign currency exchange contracts |
— | — | — | 1,018,540 | — | — | 1,018,540 | |||||||||||||||||||||
Options purchased (a) |
— | — | — | — | 1,023,225 | — | 1,023,225 | |||||||||||||||||||||
Options written |
— | — | — | — | (2,977,365 | ) | — | (2,977,365 | ) | |||||||||||||||||||
Swaps |
— | 795,465 | — | — | 1,465,301 | — | 2,260,766 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | 795,465 | $ | — | $ | 1,018,540 | $ | 4,591,983 | $ | — | $ | 6,405,988 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||||||||||||||
Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 340,235 | $ | — | $ | 340,235 | ||||||||||||||
Forward foreign currency exchange contracts |
— | — | — | 343,390 | — | — | 343,390 | |||||||||||||||||||||
Options purchased (b) |
— | — | — | — | 214,358 | — | 214,358 | |||||||||||||||||||||
Options written |
— | — | — | — | 416,433 | — | 416,433 | |||||||||||||||||||||
Swaps |
— | (567,526 | ) | — | — | 1,006,454 | — | 438,928 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | (567,526 | ) | $ | — | $ | 343,390 | $ | 1,977,480 | $ | — | $ | 1,753,344 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
(b) |
Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Futures contracts: |
||||
Average notional value of contracts — long |
$ | 56,842,938 | ||
Average notional value of contracts — short |
$ | 64,202,811 | ||
Forward foreign currency exchange contracts: |
||||
Average amounts purchased — in USD |
$ | 15,282,621 | ||
Average amounts sold — in USD |
$ | 597,437 | ||
Options: |
||||
Average value of option contracts purchased |
$ | 4,578 | ||
Average value of option contracts written |
$ | 727 | ||
Average notional value of swaption contracts purchased |
$ | 24,642,500 | ||
Average notional value of swaption contracts written |
$ | 128,536,250 | ||
Credit default swaps: |
||||
Average notional value — buy protection |
$ | 20,988,625 | ||
Average notional value — sell protection |
$ | 18,707,121 | ||
Interest rate swaps: |
||||
Average notional value — pays fixed rate |
$ | 199,035,000 | ||
Average notional value — receives fixed rate |
$ | 151,744,500 |
Assets |
Liabilities |
|||||||
Derivative Financial Instruments |
||||||||
Futures contracts |
$ | 233,489 | $ | 429,711 | ||||
Forward foreign currency exchange contracts |
144,805 | 2,424 | ||||||
Swaps — centrally cleared |
— | 222,168 | ||||||
Swaps — OTC (a) |
10,866 | 3,219,779 | ||||||
|
|
|
|
|||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities |
389,160 | 3,874,082 | ||||||
|
|
|
|
|||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(233,489 | ) | (651,879 | ) | ||||
|
|
|
|
|||||
Total derivative assets and liabilities subject to an MNA |
$ | 155,671 | $ | 3,222,203 | ||||
|
|
|
|
(a) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
106 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
Counterparty |
Derivative Assets Subject to an MNA by Counterparty |
Derivatives Available for Offset |
(a) |
Non-Cash Collateral Received |
Cash Collateral Received |
Net Amount of Derivative Assets |
(b)(c) | |||||||||||||
Bank of America N.A. |
$ | 59 | $ | (59 | ) | $ | — | $ | — | $ | — | |||||||||
Barclays Bank PLC |
464 | (464 | ) | — | — | — | ||||||||||||||
BNP Paribas S.A. |
34,326 | — | — | — | 34,326 | |||||||||||||||
Credit Suisse International |
2,629 | (2,629 | ) | — | — | — | ||||||||||||||
Deutsche Bank AG |
106,646 | (154 | ) | — | — | 106,492 | ||||||||||||||
JPMorgan Chase Bank N.A. |
6,549 | (6,549 | ) | — | — | — | ||||||||||||||
Morgan Stanley & Co. International PLC |
1,224 | (1,224 | ) | — | — | — | ||||||||||||||
State Street Bank and Trust Co. |
3,774 | — | — | — | 3,774 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 155,671 | $ | (11,079 | ) | $ | — | $ | — | $ | 144,592 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Counterparty |
Derivative Liabilities Subject to an MNA by Counterparty |
Derivatives Available for Offset |
(a) |
Non-Cash Collateral Pledged |
Cash Collateral Pledged |
(d) |
Net Amount of Derivative Liabilities |
(b)(e) | ||||||||||||
Bank of America N.A. |
$ | 3,251 | $ | (59 | ) | $ | — | $ | — | $ | 3,192 | |||||||||
Barclays Bank PLC |
863,223 | (464 | ) | — | (640,000 | ) | 222,759 | |||||||||||||
Citibank N.A. |
1,161 | — | — | — | 1,161 | |||||||||||||||
Credit Suisse International |
1,291,597 | (2,629 | ) | — | (1,200,000 | ) | 88,968 | |||||||||||||
Deutsche Bank AG |
154 | (154 | ) | — | — | — | ||||||||||||||
JPMorgan Chase Bank N.A. |
28,626 | (6,549 | ) | — | — | 22,077 | ||||||||||||||
Morgan Stanley & Co. International PLC |
1,033,945 | (1,224 | ) | — | (640,000 | ) | 392,721 | |||||||||||||
Standard Chartered Bank |
246 | — | — | — | 246 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 3,222,203 | $ | (11,079 | ) | $ | — | $ | (2,480,000 | ) | $ | 731,124 | |||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) |
Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(c) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
(d) |
Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
(e) |
Net amount represents the net amount payable due to counterparty in the event of default. |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Asset-Backed Securities |
$ | — | $ | 21,620,266 | $ | 955,190 | $ | 22,575,456 | ||||||||
Common Stocks |
||||||||||||||||
Construction & Engineering |
27,267 | — | — | 27,267 | ||||||||||||
Diversified Financial Services |
— | — | 5,467 | 5,467 | ||||||||||||
Diversified Telecommunication Services |
4,063 | — | — | 4,063 | ||||||||||||
Household Durables |
— | — | — | — | ||||||||||||
Metals & Mining |
— | 801 | 476 | 1,277 | ||||||||||||
Software |
43 | — | — | 43 | ||||||||||||
Specialty Retail |
— | 231,420 | — | 231,420 | ||||||||||||
Corporate Bonds |
||||||||||||||||
Advertising Agencies |
— | 194,885 | — | 194,885 | ||||||||||||
Aerospace & Defense |
— | 12,253,033 | — | 12,253,033 |
S C H E D U L E O F I N V E S T M E N T S |
107 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
Corporate Bonds (continued) |
||||||||||||||||
Airlines |
$ | — | $ | 9,101,441 | $ | — | $ | 9,101,441 | ||||||||
Auto Components |
— | 5,723,774 | — | 5,723,774 | ||||||||||||
Automobiles |
— | 9,358,616 | — | 9,358,616 | ||||||||||||
Banks |
— | 6,206,066 | 15,195 | 6,221,261 | ||||||||||||
Beverages |
— | 7,131,721 | — | 7,131,721 | ||||||||||||
Biotechnology |
— | 87,049 | — | 87,049 | ||||||||||||
Building Materials |
— | 2,434,231 | — | 2,434,231 | ||||||||||||
Building Products |
— | 3,496,076 | — | 3,496,076 | ||||||||||||
Capital Markets |
— | 5,162,804 | — | 5,162,804 | ||||||||||||
Chemicals |
— | 8,410,640 | — | 8,410,640 | ||||||||||||
Commercial Services & Supplies |
— | 3,909,206 | — | 3,909,206 | ||||||||||||
Communications Equipment |
— | 2,253,272 | — | 2,253,272 | ||||||||||||
Construction Materials |
— | 1,934,186 | — | 1,934,186 | ||||||||||||
Consumer Discretionary |
— | 5,795,400 | — | 5,795,400 | ||||||||||||
Consumer Finance |
— | 6,678,441 | — | 6,678,441 | ||||||||||||
Containers & Packaging |
— | 2,674,542 | — | 2,674,542 | ||||||||||||
Diversified Consumer Services |
— | 6,773,568 | — | 6,773,568 | ||||||||||||
Diversified Financial Services |
— | 13,428,548 | — | 13,428,548 | ||||||||||||
Diversified Telecommunication Services |
— | 15,976,431 | — | 15,976,431 | ||||||||||||
Electric Utilities |
— | 2,959,273 | — | 2,959,273 | ||||||||||||
Electrical Equipment |
— | 495,931 | — | 495,931 | ||||||||||||
Electronic Equipment, Instruments & Components |
— | 1,948,963 | — | 1,948,963 | ||||||||||||
Energy Equipment & Services |
— | 1,880,607 | — | 1,880,607 | ||||||||||||
Entertainment |
— | 580,115 | — | 580,115 | ||||||||||||
Environmental, Maintenance & Security Service |
— | 3,060,197 | — | 3,060,197 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) |
— | 5,579,421 | — | 5,579,421 | ||||||||||||
Food & Staples Retailing |
— | 5,312,726 | — | 5,312,726 | ||||||||||||
Food Products |
— | 2,765,375 | — | 2,765,375 | ||||||||||||
Gas Utilities |
— | 77,384 | — | 77,384 | ||||||||||||
Health Care Equipment & Supplies |
— | 1,159,205 | — | 1,159,205 | ||||||||||||
Health Care Providers & Services |
— | 16,808,931 | — | 16,808,931 | ||||||||||||
Health Care Technology |
— | 3,980,827 | — | 3,980,827 | ||||||||||||
Hotels, Restaurants & Leisure |
13,579 | 19,324,687 | — | 19,338,266 | ||||||||||||
Household Durables |
— | 2,634,374 | — | 2,634,374 | ||||||||||||
Household Products |
— | 102,521 | — | 102,521 | ||||||||||||
Independent Power and Renewable Electricity Producers |
— | 5,283,940 | — | 5,283,940 | ||||||||||||
Insurance |
— | 10,433,660 | — | 10,433,660 | ||||||||||||
Interactive Media & Services |
— | 1,826,902 | — | 1,826,902 | ||||||||||||
Internet & Direct Marketing Retail |
— | 92,310 | — | 92,310 | ||||||||||||
Internet Software & Services |
— | 5,466,807 | — | 5,466,807 | ||||||||||||
IT Services |
— | 5,508,228 | — | 5,508,228 | ||||||||||||
Leisure Products |
— | 545,716 | — | 545,716 | ||||||||||||
Machinery |
— | 3,610,864 | — | 3,610,864 | ||||||||||||
Media |
— | 45,481,150 | — | 45,481,150 | ||||||||||||
Metals & Mining |
— | 8,360,011 | — | 8,360,011 | ||||||||||||
Multiline Retail |
— | 661,426 | — | 661,426 | ||||||||||||
Offshore Drilling & Other Services |
— | 537,324 | — | 537,324 | ||||||||||||
Oil, Gas & Consumable Fuels |
142,734 | 43,070,244 | 1,223,330 | 44,436,308 | ||||||||||||
Personal Products |
— | 92,419 | — | 92,419 | ||||||||||||
Pharmaceuticals |
— | 7,057,245 | — | 7,057,245 | ||||||||||||
Real Estate Management & Development |
— | 3,500,230 | 72,960 | 3,573,190 | ||||||||||||
Road & Rail |
— | 2,303,336 | — | 2,303,336 | ||||||||||||
Semiconductors & Semiconductor Equipment |
— | 6,650,240 | — | 6,650,240 | ||||||||||||
Software |
— | 7,505,934 | — | 7,505,934 | ||||||||||||
Specialty Retail |
— | 1,880,341 | — | 1,880,341 | ||||||||||||
Technology Hardware, Storage & Peripherals |
— | 375,175 | — | 375,175 | ||||||||||||
Textiles, Apparel & Luxury Goods |
— | 453,785 | — | 453,785 | ||||||||||||
Thrifts & Mortgage Finance |
— | 915,648 | — | 915,648 | ||||||||||||
Transportation |
— | 85,412 | — | 85,412 | ||||||||||||
Transportation Infrastructure |
— | 1,171,403 | — | 1,171,403 | ||||||||||||
Utilities |
— | 3,308,073 | — | 3,308,073 | ||||||||||||
Wireless Telecommunication Services |
— | 7,288,848 | — | 7,288,848 | ||||||||||||
Floating Rate Loan Interests |
— | 250,136,482 | 17,475,829 | 267,612,311 |
108 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
Foreign Agency Obligations |
$ | — | $ | 7,197,101 | $ | — | $ | 7,197,101 | ||||||||
Investment Companies |
2,442,555 | — | — | 2,442,555 | ||||||||||||
Non-Agency Mortgage-Backed Securities |
— | 7,464,256 | — | 7,464,256 | ||||||||||||
Other Interests |
— | — | — | — | ||||||||||||
Preferred Securities |
||||||||||||||||
Capital Trusts |
— | 24,148,273 | — | 24,148,273 | ||||||||||||
Preferred Stocks |
9,357,882 | — | — | 9,357,882 | ||||||||||||
U.S. Government Sponsored Agency Securities |
— | 42,792,585 | — | 42,792,585 | ||||||||||||
Warrants |
3,543 | — | — | 3,543 | ||||||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
4,320,231 | — | — | 4,320,231 | ||||||||||||
Liabilities |
||||||||||||||||
Investments |
||||||||||||||||
TBA Sale Commitments |
— | (6,409,482 | ) | — | (6,409,482 | ) | ||||||||||
Unfunded Floating Rate Loan Interests (a) |
— | (42,176 | ) | (5,017 | ) | (47,193 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 16,311,897 | $ | 718,260,664 | $ | 19,743,430 | 754,315,991 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Investments Valued at NAV (b) |
2,542 | |||||||||||||||
|
|
|||||||||||||||
$ | 754,318,533 | |||||||||||||||
|
|
|||||||||||||||
Derivative Financial Instruments (c) |
||||||||||||||||
Assets |
||||||||||||||||
Credit Contracts |
$ | — | $ | 369,192 | $ | — | $ | 369,192 | ||||||||
Foreign Currency Exchange Contracts |
— | 144,805 | — | 144,805 | ||||||||||||
Interest Rate Contracts |
301,425 | 2,203,005 | — | 2,504,430 | ||||||||||||
Liabilities |
||||||||||||||||
Credit Contracts |
— | (1,238,155 | ) | — | (1,238,155 | ) | ||||||||||
Foreign Currency Exchange Contracts |
— | (2,424 | ) | — | (2,424 | ) | ||||||||||
Interest Rate Contracts |
(362,558 | ) | (543,067 | ) | — | (905,625 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | (61,133 | ) | $ | 933,356 | $ | — | $ | 872,223 | ||||||||
|
|
|
|
|
|
|
|
(a) |
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) |
Certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(c) |
Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
|
||||||||||||||||||||||||||||
Asset-Backed Securities |
Common Stocks |
Corporate Bonds |
Floating Rate Loan Interests |
Other Interests |
Unfunded Floating Rate Loan Interests |
Total |
||||||||||||||||||||||
|
||||||||||||||||||||||||||||
Assets |
||||||||||||||||||||||||||||
Opening balance, as of December 31, 2021 |
$ | 1,084,298 | $ | 5,841 | $ | 1,347,279 | $ | 6,516,371 | $ | — | (a) |
$ | (127 | ) | $ | 8,953,662 | ||||||||||||
Transfers into Level 3 (b) |
— | — | 101,934 | 12,629,905 | — | (348 | ) | 12,731,491 | ||||||||||||||||||||
Transfers out of Level 3 (c) |
(87,594 | ) | — | — | (2,064,598 | ) | — | 127 | (2,152,065 | ) | ||||||||||||||||||
Accrued discounts/premiums |
(39,013 | ) | — | — | 84,898 | — | — | 45,885 | ||||||||||||||||||||
Net realized gain (loss) |
— | — | — | (7,474 | ) | — | — | (7,474 | ) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) (d)(e) |
(2,501 | ) | 102 | (119,106 | ) | (1,399,531 | ) | — | (4,669 | ) | (1,525,705 | ) |
S C H E D U L E O F I N V E S T M E N T S |
109 |
Schedule of Investments (unaudited) (continued) June 30, 2022 |
BlackRock Limited Duration Income Trust (BLW) |
|
||||||||||||||||||||||||||||
Asset-Backed Securities |
Common Stocks |
Corporate Bonds |
Floating Rate Loan Interests |
Other Interests |
Unfunded Floating Rate Loan Interests |
Total |
||||||||||||||||||||||
|
||||||||||||||||||||||||||||
Purchases |
$ | — | $ | — | $ | — | $ | 3,759,267 | $ | — | $ | — | $ | 3,759,267 | ||||||||||||||
Sales |
— | — | (18,622 | ) | (2,043,009 | ) | — | — | (2,061,631 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Closing balance, as of June 30, 2022 |
$ | 955,190 | $ | 5,943 | $ | 1,311,485 | $ | 17,475,829 | $ | — | (a) |
$ | (5,017 | ) | $ | 19,743,430 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 (d) |
$ | (2,501 | ) | $ | 102 | $ | (119,106 | ) | $ | (1,370,278 | ) | $ | — | $ | (4,669 | ) | $ | (1,496,452 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Rounds to less than $1. |
(b) |
As of December 31, 2021, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2022, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(c) |
As of December 31, 2021, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2022, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(d) |
Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(e) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 is generally due to investments no longer held or categorized as Level 3 at period end. |
110 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
DSU | FRA | BKT | BLW | |||||||||||||
|
||||||||||||||||
ASSETS |
||||||||||||||||
Investments, at value — unaffiliated (a) |
$ | 690,414,413 | $ | 639,804,413 | $ | 471,447,653 | $ | 756,454,977 | ||||||||
Investments, at value — affiliated (b) |
2,322,065 | — | 9,872,958 | 4,320,231 | ||||||||||||
Cash |
2,491,274 | 1,828,647 | — | 278,525 | ||||||||||||
Cash pledged: |
||||||||||||||||
Collateral — reverse repurchase agreements |
— | — | — | 22,962,040 | ||||||||||||
Collateral — OTC derivatives |
30,000 | — | — | 2,480,000 | ||||||||||||
Futures contracts |
— | — | 792,260 | 858,761 | ||||||||||||
Centrally cleared swaps |
470,000 | 526,000 | 771,000 | 1,307,000 | ||||||||||||
Foreign currency, at value (c) |
— | — | — | 171,105 | ||||||||||||
Receivables: |
||||||||||||||||
Investments sold |
5,936,002 | 5,326,437 | 29 | 7,465,851 | ||||||||||||
Reverse repurchase agreements |
— | — | — | 632,361 | ||||||||||||
Swaps |
— | — | — | 7,064 | ||||||||||||
TBA sale commitments |
— | — | — | 6,361,494 | ||||||||||||
Dividends — unaffiliated |
— | — | — | 71,033 | ||||||||||||
Dividends — affiliated |
2,353 | 198 | 9,916 | 5,129 | ||||||||||||
Interest — unaffiliated |
5,262,271 | 3,749,433 | 2,847,207 | 8,419,409 | ||||||||||||
Principal paydowns |
1,316 | — | — | 1,600 | ||||||||||||
Variation margin on futures contracts |
— | — | 415,728 | 233,489 | ||||||||||||
Swap premiums paid |
2,659 | — | — | 10,448 | ||||||||||||
Unrealized appreciation on: |
||||||||||||||||
Forward foreign currency exchange contracts |
82,198 | 82,200 | — | 144,805 | ||||||||||||
OTC swaps |
— | — | 225,194 | 418 | ||||||||||||
Deferred offering costs |
— | — | 104,818 | 110,250 | ||||||||||||
Prepaid expenses |
— | 2,519 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total assets |
707,014,551 | 651,319,847 | 486,486,763 | 812,295,990 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Bank overdraft |
— | — | 559 | — | ||||||||||||
Foreign bank overdraft (d) |
125,838 | 152,721 | — | — | ||||||||||||
Cash received: |
||||||||||||||||
Collateral — OTC derivatives |
— | — | 220,000 | — | ||||||||||||
Collateral — TBA commitments |
— | — | 149,000 | — | ||||||||||||
Borrowed bonds, at value (e) |
— | — | 821,109 | — | ||||||||||||
TBA sale commitments, at value (f) |
— | — | — | 6,409,482 | ||||||||||||
Reverse repurchase agreements, at value |
— | — | 130,620,516 | 292,269,603 | ||||||||||||
Payables: |
||||||||||||||||
Investments purchased |
7,410,948 | 7,829,112 | 42,229,561 | 25,897,088 | ||||||||||||
Reverse repurchase agreements |
— | — | — | 690,310 | ||||||||||||
Accounting services fees |
90,546 | 70,345 | 52,447 | 83,267 | ||||||||||||
Administration fees |
— | — | 38,109 | — | ||||||||||||
Bank borrowings |
222,000,000 | 203,000,000 | — | — | ||||||||||||
Custodian fees |
26,445 | 33,652 | 22,410 | 82,813 | ||||||||||||
Income dividend distributions |
59,422 | 84,809 | 77,929 | 114,933 | ||||||||||||
Interest expense |
418,517 | 371,919 | 1,198 | — | ||||||||||||
Investment advisory fees |
324,763 | 407,871 | 164,419 | 365,213 | ||||||||||||
Offering costs |
— | — | 89,414 | 37,147 | ||||||||||||
Directors’ and Officer’s fees |
298,596 | 8,078 | 169,804 | 371,928 | ||||||||||||
Other accrued expenses |
58,053 | 19,666 | 19,233 | 63,575 | ||||||||||||
Principal payups |
— | — | 934,094 | — | ||||||||||||
Professional fees |
68,432 | 105,086 | 68,197 | 94,022 | ||||||||||||
Transfer agent fees |
77,141 | 24,886 | 28,958 | 31,398 | ||||||||||||
Variation margin on futures contracts |
— | — | 470,321 | 429,711 | ||||||||||||
Variation margin on centrally cleared swaps |
4,109 | 4,469 | 140,608 | 222,168 | ||||||||||||
Swap premiums received |
19,891 | — | — | 1,981,624 | ||||||||||||
Unrealized depreciation on: |
||||||||||||||||
Forward foreign currency exchange contracts |
— | 12,165 | — | 2,424 | ||||||||||||
OTC swaps |
25,440 | — | — | 1,238,155 | ||||||||||||
Unfunded floating rate loan interests |
72,129 | 88,011 | — | 47,193 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total liabilities |
231,080,270 | 212,212,790 | 176,317,886 | 330,432,054 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
$ | 475,934,281 | $ | 439,107,057 | $ | 310,168,877 | $ | 481,863,936 | ||||||||
|
|
|
|
|
|
|
|
F I N A N C I A L S T A T E M E N T S |
111 |
DSU | FRA | BKT | BLW | |||||||||||||
NET ASSETS CONSIST OF |
||||||||||||||||
Paid-in capital(g)(h)(i) |
$ | 653,139,226 | $ | 538,835,342 | $ | 454,334,448 | $ | 623,725,400 | ||||||||
Accumulated loss |
(177,204,945 | ) | (99,728,285 | ) | (144,165,571 | ) | (141,861,464 | ) | ||||||||
NET ASSETS |
$ | 475,934,281 | $ | 439,107,057 | $ | 310,168,877 | $ | 481,863,936 | ||||||||
Net asset value (g)(h)(i) |
$ | 10.21 | $ | 12.46 | $ | 4.85 | $ | 13.49 | ||||||||
(a) Investments, at cost — unaffiliated |
$ | 769,685,734 | $ | 690,282,690 | $ | 512,036,356 | $ | 845,670,304 | ||||||||
(b) |
$ | 2,322,065 | $ | — | $ | 9,872,958 | $ | 4,320,231 | ||||||||
(c) Foreign currency, at cost |
$ | — | $ | — | $ | — | $ | 168,551 | ||||||||
(d) Foreign bank overdraft, at cost |
$ | 118,842 | $ | 154,456 | $ | — | $ | — | ||||||||
(e) Proceeds received from borrowed bonds |
$ | — | $ | — | $ | 842,347 | $ | — | ||||||||
(f) Proceeds from TBA sale commitments |
$ | — | $ | — | $ | — | $ | 6,361,494 | ||||||||
(g) Shares outstanding |
46,610,312 | 35,232,197 | 35,711,253 | |||||||||||||
(h) |
400 million | 200 million | Unlimited | |||||||||||||
(i) Par value |
$ | 0.10 | $ | 0.10 | $ | 0.010 | $ | 0.001 |
112 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
DSU | FRA | BKT | BLW | |||||||||||||
INVESTMENT INCOME |
||||||||||||||||
Dividends — unaffiliated |
$ | 42,425 | $ | 26,431 | $ | — | $ | 321,873 | ||||||||
Dividends — affiliated |
5,041 | 463 | 19,286 | 11,898 | ||||||||||||
Interest — unaffiliated |
17,926,542 | 15,817,290 | 6,264,957 | 20,438,092 | ||||||||||||
Other income — unaffiliated |
187,723 | 189,061 | — | 102,729 | ||||||||||||
Foreign taxes withheld |
— | — | — | (242 | ) | |||||||||||
Total investment income |
18,161,731 | 16,033,245 | 6,284,243 | 20,874,350 | ||||||||||||
EXPENSES |
||||||||||||||||
Investment advisory |
2,067,519 | 2,570,503 | 1,070,455 | 2,354,584 | ||||||||||||
Commitment costs |
76,829 | 44,083 | — | — | ||||||||||||
Accounting services |
41,241 | 52,525 | 38,238 | 61,198 | ||||||||||||
Custodian |
20,608 | 27,323 | 19,992 | 68,963 | ||||||||||||
Registration |
7,026 | 5,595 | 10,277 | 5,716 | ||||||||||||
Transfer agent |
2,934 | 31,335 | 40,190 | 35,880 | ||||||||||||
Administration |
— | — | 247,028 | — | ||||||||||||
Directors and Officer |
— | 13,364 | — | — | ||||||||||||
Miscellaneous |
51,153 | 67,106 | 43,548 | 45,909 | ||||||||||||
Total expenses excluding interest expense |
2,267,310 | 2,811,834 | 1,469,728 | 2,572,250 | ||||||||||||
Interest expense |
1,484,223 | 1,346,391 | 324,850 | 1,026,748 | ||||||||||||
Total expenses |
3,751,533 | 4,158,225 | 1,794,578 | 3,598,998 | ||||||||||||
Less: |
||||||||||||||||
Fees waived and/or reimbursed by the Manager |
(688 | ) | (91 | ) | (2,365 | ) | (1,378 | ) | ||||||||
Total expenses after fees waived and/or reimbursed |
3,750,845 | 4,158,134 | 1,792,213 | 3,597,620 | ||||||||||||
Net investment income |
14,410,886 | 11,875,111 | 4,492,030 | 17,276,730 | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||
Net realized gain (loss) from: |
||||||||||||||||
Investments — unaffiliated. |
(3,580,179 | ) | (3,200,982 | ) | (4,484,239 | ) | (18,888,427 | ) | ||||||||
Forward foreign currency exchange contracts |
488,751 | 240,641 | — | 1,018,540 | ||||||||||||
Foreign currency transactions |
23,749 | 20,570 | — | (43,991 | ) | |||||||||||
Futures contracts |
— | — | 1,740,023 | 5,080,822 | ||||||||||||
Options written |
— | — | — | (2,977,365 | ) | |||||||||||
Swaps |
81,784 | 81,308 | (135,524 | ) | 2,260,766 | |||||||||||
(2,985,895 | ) | (2,858,463 | ) | (2,879,740 | ) | (13,549,655 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||||||||||
Investments — unaffiliated |
(59,644,969 | ) | (45,493,505 | ) | (43,905,265 | ) | (92,911,845 | ) | ||||||||
Borrowed bonds |
— | — | 223,985 | — | ||||||||||||
Forward foreign currency exchange contracts |
170,267 | 144,484 | — | 343,390 | ||||||||||||
Foreign currency translations |
(37,641 | ) | (5,172 | ) | — | (72,620 | ) | |||||||||
Futures contracts |
— | — | (235,506 | ) | 340,235 | |||||||||||
Options written |
— | — | — | 416,433 | ||||||||||||
Swaps |
(532,005 | ) | (551,776 | ) | 2,329,770 | 438,928 | ||||||||||
Unfunded floating rate loan interests |
(70,871 | ) | (86,641 | ) | — | (47,295 | ) | |||||||||
(60,115,219 | ) | (45,992,610 | ) | (41,587,016 | ) | (91,492,774 | ) | |||||||||
Net realized and unrealized loss |
(63,101,114 | ) | (48,851,073 | ) | (44,466,756 | ) | (105,042,429 | ) | ||||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (48,690,228 | ) | $ | (36,975,962 | ) | $ | (39,974,726 | ) | $ | (87,765,699 | ) | ||||
F I N A N C I A L S T A T E M E N T S |
113 |
DSU | FRA | |||||||||||||||||||||||
|
|
|
||||||||||||||||||||||
Six Months Ended 06/30/22 (unaudited) |
Year Ended 12/31/21 |
Six Months Ended 06/30/22 (unaudited) |
Year Ended 12/31/21 |
|||||||||||||||||||||
|
||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||||||||||
OPERATIONS |
||||||||||||||||||||||||
Net investment income |
$ | 14,410,886 | $ | 28,307,179 | $ | 11,875,111 | $ | 23,442,141 | ||||||||||||||||
Net realized gain (loss) |
(2,985,895 | ) | 8,095,408 | (2,858,463 | ) | 6,531,134 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) |
(60,115,219 | ) | (2,024,097 | ) | (45,992,610 | ) | (741,676 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) in net assets resulting from operations |
(48,690,228 | ) | 34,378,490 | (36,975,962 | ) | 29,231,599 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS (a) |
||||||||||||||||||||||||
From net investment income |
(14,099,627 | ) (b) |
(28,723,773 | ) | (11,749,938 | ) (b) |
(23,507,568 | ) | ||||||||||||||||
Return of capital |
— | (5,103,734 | ) | — | (4,692,282 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||
Decrease in net assets resulting from distributions to shareholders |
(14,099,627 | ) | (33,827,507 | ) | (11,749,938 | ) | (28,199,850 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||
CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||
Reinvestment of distributions |
43,132 | 171,418 | — | — | ||||||||||||||||||||
Redemption of shares resulting from share repurchase program (including transaction costs) |
— | — | — | (1,250,043 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) in net assets derived from capital share transactions |
43,132 | 171,418 | — | (1,250,043 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||
NET ASSETS |
||||||||||||||||||||||||
Total increase (decrease) in net assets |
(62,746,723 | ) | 722,401 | (48,725,900 | ) | (218,294 | ) | |||||||||||||||||
Beginning of period |
538,681,004 | 537,958,603 | 487,832,957 | 488,051,251 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||
End of period |
$ | 475,934,281 | $ | 538,681,004 | $ | 439,107,057 | $ | 487,832,957 | ||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
114 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
BKT | |
BLW | ||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Six Months Ended 06/30/22 (unaudited) |
Year Ended 12/31/21 |
Six Months Ended 06/30/22 (unaudited) |
Year Ended 12/31/21 |
|||||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||||||||||||||||||||||
OPERATIONS |
||||||||||||||||||||||||||||||||||||
Net investment income |
$ | 4,492,030 | $ | 14,986,442 | $ | 17,276,730 | $ | 35,675,687 | ||||||||||||||||||||||||||||
Net realized gain (loss) |
(2,879,740 | ) | 3,553,479 | (13,549,655 | ) | 12,937,429 | ||||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) |
(41,587,016 | ) | (26,249,597 | ) | (91,492,774 | ) | (24,223,210 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations |
(39,974,726 | ) | (7,709,676 | ) | (87,765,699 | ) | 24,389,906 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS (a) |
||||||||||||||||||||||||||||||||||||
From net investment income |
(10,673,445 | ) (b) |
(18,883,406 | ) | (17,516,380 | ) (b) |
(36,216,307 | ) | ||||||||||||||||||||||||||||
Return of capital |
— | (7,473,844 | ) | — | (5,785,872 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
Decrease in net assets resulting from distributions to shareholders |
(10,673,445 | ) | (26,357,250 | ) | (17,516,380 | ) | (42,002,179 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||
Reinvestment of distributions |
64,960 | 623,562 | — | 825,681 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
NET ASSETS |
||||||||||||||||||||||||||||||||||||
Total decrease in net assets |
(50,583,211 | ) | (33,443,364 | ) | (105,282,079 | ) | (16,786,592 | ) | ||||||||||||||||||||||||||||
Beginning of period |
360,752,088 | 394,195,452 | 587,146,015 | 603,932,607 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
End of period |
$ | 310,168,877 | $ | 360,752,088 | $ | 481,863,936 | $ | 587,146,015 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
F I N A N C I A L S T A T E M E N T S |
115 |
DSU | FRA | BKT | BLW | |||||||||||||
|
||||||||||||||||
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES |
| |||||||||||||||
Net decrease in net assets resulting from operations. |
$ | (48,690,228 | ) | $ | (36,975,962 | ) | $ | (39,974,726 | ) | $ | (87,765,699 | ) | ||||
Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by (used for) operating activities: |
||||||||||||||||
Proceeds from sales of long-term investments and principal paydowns/payups |
128,443,652 | 111,471,145 | 796,873,779 | 407,984,289 | ||||||||||||
Purchases of long-term investments |
(97,002,815 | ) | (86,823,165 | ) | (818,030,094 | ) | (374,354,408 | ) | ||||||||
Net proceeds from sales (purchases) of short-term securities |
(1,886,073 | ) | — | 2,851,123 | 929,659 | |||||||||||
Amortization of premium and accretion of discount on investments and other fees |
(484,447 | ) | (515,566 | ) | 7,955,888 | 37,005 | ||||||||||
Paid-in-kind |
— | (202,758 | ) | — | (239,659 | ) | ||||||||||
Premiums paid on closing options written |
— | — | — | (7,978,624 | ) | |||||||||||
Premiums received from options written |
— | — | — | 1,523,485 | ||||||||||||
Net realized loss on investments and options written |
3,591,154 | 3,209,573 | 4,534,065 | 21,865,792 | ||||||||||||
Net unrealized depreciation on investments, options written, swaps, borrowed bonds, foreign currency translations and unfunded floating rate loan interests |
59,584,920 | 45,435,662 | 43,951,646 | 93,273,718 | ||||||||||||
(Increase) Decrease in Assets |
||||||||||||||||
Receivables |
||||||||||||||||
Dividends — affiliated |
(2,343 | ) | (196 | ) | (9,055 | ) | (5,090 | ) | ||||||||
Dividends — unaffiliated |
— | — | — | 1 | ||||||||||||
Interest — unaffiliated |
(1,884,492 | ) | (1,657,178 | ) | (804,302 | ) | 82,492 | |||||||||
Swaps |
— | — | — | (7,064 | ) | |||||||||||
Variation margin on futures contracts |
— | — | (403,156 | ) | (193,290 | ) | ||||||||||
Variation margin on centrally cleared swaps |
9,062 | 10,152 | — | — | ||||||||||||
Swap premiums paid |
(2,519 | ) | — | — | (6,039 | ) | ||||||||||
Prepaid expenses |
2,789 | 772 | 2,261 | 4,252 | ||||||||||||
Deferred offering costs |
— | — | (104,818 | ) | (110,250 | ) | ||||||||||
Increase (Decrease) in Liabilities |
||||||||||||||||
Cash received |
||||||||||||||||
Collateral — reverse repurchase agreements |
— | — | — | (264,465 | ) | |||||||||||
Collateral — OTC derivatives |
— | — | (280,000 | ) | — | |||||||||||
Collateral — TBA commitments |
— | — | 149,000 | — | ||||||||||||
Payables |
||||||||||||||||
Accounting services fees |
52,207 | 34,893 | 25,185 | 40,167 | ||||||||||||
Administration fees |
— | — | (8,402 | ) | — | |||||||||||
Custodian fees |
13,135 | 18,128 | 15,349 | 50,404 | ||||||||||||
Interest expense |
192,626 | 180,360 | 62,680 | 159,280 | ||||||||||||
Investment advisory fees |
(41,787 | ) | (42,213 | ) | (36,881 | ) | (55,553 | ) | ||||||||
Directors’ and Officer’s fees |
(140,911 | ) | 6,043 | (133,430 | ) | (178,538 | ) | |||||||||
Other accrued expenses |
9,971 | (5,967 | ) | (7,197 | ) | 14,123 | ||||||||||
Professional fees |
(40,300 | ) | (42,305 | ) | (22,438 | ) | (44,359 | ) | ||||||||
Transfer agent fees |
(47,743 | ) | 16,663 | 16,472 | 18,513 | |||||||||||
Variation margin on futures contracts |
— | — | 397,919 | 371,740 | ||||||||||||
Variation margin on centrally cleared swaps |
4,109 | 4,469 | 136,376 | 195,744 | ||||||||||||
Swap premiums received |
(3,336 | ) | — | — | (92,775 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net cash provided by (used for) operating activities |
41,676,631 | 34,122,550 | (2,842,756 | ) | 55,254,851 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES |
| |||||||||||||||
Cash dividends paid to shareholders |
(16,816,772 | ) | (14,015,117 | ) | (12,728,756 | ) | (20,904,721 | ) | ||||||||
Payments for offering costs |
— | — | 89,414 | 37,147 | ||||||||||||
Payments for bank borrowings |
(75,000,000 | ) | (77,000,000 | ) | — | — | ||||||||||
Proceeds from bank borrowings |
49,000,000 | 57,000,000 | — | — | ||||||||||||
Increase in bank overdraft |
125,838 | 152,721 | 559 | — | ||||||||||||
Net borrowing of reverse repurchase agreements |
— | — | 15,356,539 | (20,197,536 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net cash provided by (used for) for financing activities |
(42,690,934 | ) | (33,862,396 | ) | 2,717,756 | (41,065,110 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS |
| |||||||||||||||
Cash impact from foreign exchange fluctuations |
(7,135 | ) | 1,731 | — | 8,283 | |||||||||||
|
|
|
|
|
|
|
|
116 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
DSU | FRA | BKT | BLW | |||||||||||||
|
||||||||||||||||
CASH AND FOREIGN CURRENCY |
| |||||||||||||||
Net increase (decrease) in restricted and unrestricted cash and foreign currency |
$ | (1,021,438 | ) | $ | 261,885 | $ | (125,000 | ) | $ | 14,198,024 | ||||||
Restricted and unrestricted cash and foreign currency at beginning of period |
4,012,712 | 2,092,762 | 1,688,260 | 13,859,407 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Restricted and unrestricted cash and foreign currency at end of period |
$ | 2,991,274 | $ | 2,354,647 | $ | 1,563,260 | $ | 28,057,431 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION |
| |||||||||||||||
Cash paid during the period for interest expense |
$ | 1,291,597 | $ | 1,166,031 | $ | 262,170 | $ | 867,468 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
NON-CASH FINANCING ACTIVITIES |
| |||||||||||||||
Reinvestment of distributions |
$ | 43,132 | $ | — | $ | 64,960 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|||||||||
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES |
||||||||||||||||
Cash |
$ | 2,491,274 | $ | 1,828,647 | $ | — | $ | 278,525 | ||||||||
Cash pledged |
||||||||||||||||
Collateral — reverse repurchase agreements |
— | — | — | 22,962,040 | ||||||||||||
Collateral — OTC derivatives |
30,000 | — | — | 2,480,000 | ||||||||||||
Futures contracts |
— | — | 792,260 | 858,761 | ||||||||||||
Centrally cleared swaps |
470,000 | 526,000 | 771,000 | 1,307,000 | ||||||||||||
Foreign currency at value |
— | — | — | 171,105 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 2,991,274 | $ | 2,354,647 | $ | 1,563,260 | $ | 28,057,431 | |||||||||
|
|
|
|
|
|
|
|
F I N A N C I A L S T A T E M E N T S |
117 |
DSU | ||||||||||||||||||||||||||||||
Six Months Ended 06/30/22 (unaudited) |
Year Ended December 31, | Period from 03/01/19 to 12/31/19 |
Year Ended February 28, | |||||||||||||||||||||||||||
2021 |
2020 |
2019 |
2018 |
(a) |
2017 |
(a) | ||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 11.56 | $ | 11.55 | $ | 12.25 | $ | 12.16 | $ | 12.62 | $ | 12.70 | $ | 11.38 | ||||||||||||||||
Net investment income (b) |
0.31 | 0.61 | 0.63 | 0.64 | 0.79 | 0.78 | 0.73 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) |
(1.36 | ) | 0.13 | (0.50 | ) | 0.21 | (0.43 | ) | (0.04 | ) | 1.34 | |||||||||||||||||||
Net increase (decrease) from investment operations |
(1.05 | ) | 0.74 | 0.13 | 0.85 | 0.36 | 0.74 | 2.07 | ||||||||||||||||||||||
Distributions (c) |
||||||||||||||||||||||||||||||
From net investment income |
(0.30 | ) (d) |
(0.62 | ) | (0.61 | ) | (0.73 | ) | (0.82 | ) | (0.82 | ) | (0.75 | ) | ||||||||||||||||
Return of capital |
— | (0.11 | ) | (0.22 | ) | (0.03 | ) | — | — | — | ||||||||||||||||||||
Total distributions |
(0.30 | ) | (0.73 | ) | (0.83 | ) | (0.76 | ) | (0.82 | ) | (0.82 | ) | (0.75 | ) | ||||||||||||||||
Net asset value, end of period |
$ | 10.21 | $ | 11.56 | $ | 11.55 | $ | 12.25 | $ | 12.16 | $ | 12.62 | $ | 12.70 | ||||||||||||||||
Market price, end of period |
$ | 9.14 | $ | 11.70 | $ | 10.45 | $ | 11.20 | $ | 10.78 | $ | 11.47 | $ | 11.68 | ||||||||||||||||
Total Return (e) |
||||||||||||||||||||||||||||||
Based on net asset value |
(8.97 | )% (f) |
6.67 | % | 2.57 | % | 8.03 | % (f) |
3.86 | % | 6.60 | % (g) |
19.57 | % | ||||||||||||||||
Based on market price |
(19.48 | )% (f) |
19.33 | % | 1.50 | % | 11.42 | % (f) |
1.30 | % | 5.35 | % | 25.53 | % | ||||||||||||||||
Ratios to Average Net Assets (h) |
||||||||||||||||||||||||||||||
Total expenses |
1.46 | % (i) |
1.34 | % | 1.48 | % | 2.21 | % (i)(j) |
2.23 | % | 1.86 | % | 1.36 | % | ||||||||||||||||
Total expenses after fees waived and/or reimbursed |
1.46 | % (i) |
1.34 | % | 1.47 | % | 2.21 | % (i)(j) |
2.23 | % | 1.85 | % | 1.35 | % | ||||||||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense |
0.88 | % (i) |
0.92 | % | 0.91 | % | 0.92 | % (i) |
0.96 | % | 0.94 | % | 0.87 | % | ||||||||||||||||
Net investment income |
5.59 | % (i) |
5.21 | % | 5.65 | % | 6.25 | % (i) |
6.40 | % | 6.12 | % | 6.04 | % | ||||||||||||||||
Supplemental Data |
||||||||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 475,934 | $ | 538,681 | $ | 537,959 | $ | 605,240 | $ | 641,220 | $ | 742,204 | $ | 780,810 | ||||||||||||||||
Borrowings outstanding, end of period (000) |
$ | 222,000 | $ | 248,000 | $ | 229,000 | $ | 262,000 | $ | 278,000 | $ | 338,000 | $ | 318,000 | ||||||||||||||||
Asset coverage, end of period per $1,000 of bank borrowings |
$ | 3,144 | $ | 3,172 | $ | 3,349 | $ | 3,310 | $ | 3,308 | $ | 3,196 | $ | 3,455 | ||||||||||||||||
Portfolio turnover rate |
11 | % | 47 | % | 67 | % | 53 | % | 62 | % | 59 | % | 55 | % | ||||||||||||||||
(a) |
Consolidated Financial Highlights through November 30, 2017. |
(b) |
Based on average shares outstanding. |
(c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) |
A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(e) |
Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(f) |
Aggregate total return. |
(g) |
Includes payment from an affiliate, which had no impact on the Fund’s total return. |
(h) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(i) |
Annualized. |
(j) |
Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%. |
118 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
FRA | ||||||||||||||||||||||||||||||
Six Months Ended 06/30/22 (unaudited) |
Year Ended December 31, | Period from 09/01/19 to 12/31/19 |
Year Ended August 31, | |||||||||||||||||||||||||||
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2021 |
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2020 |
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2019 |
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2018 |
(a) |
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2017 |
(a) | ||||||||||||||||
Net asset value, beginning of period |
$ | 13.85 | $ | 13.81 | $ | 14.55 | $ | 14.49 | $ | 14.92 | $ | 14.93 | $ | 14.78 | ||||||||||||||||
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Net investment income (b) |
0.34 | 0.67 | 0.69 | 0.25 | 0.84 | 0.79 | 0.76 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) |
(1.40 | ) | 0.17 | (0.51 | ) | 0.19 | (0.40 | ) | (0.06 | ) | 0.20 | |||||||||||||||||||
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Net increase (decrease) from investment operations |
(1.06 | ) | 0.84 | 0.18 | 0.44 | 0.44 | 0.73 | 0.96 | ||||||||||||||||||||||
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Distributions (c) |
||||||||||||||||||||||||||||||
From net investment income |
(0.33 | ) (d) |
(0.67 | ) | (0.70 | ) | (0.38 | ) | (0.87 | ) | (0.74 | ) | (0.81 | ) | ||||||||||||||||
Return of capital |
— | (0.13 | ) | (0.22 | ) | — | — | — | — | |||||||||||||||||||||
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Total distributions |
(0.33 | ) | (0.80 | ) | (0.92 | ) | (0.38 | ) | (0.87 | ) | (0.74 | ) | (0.81 | ) | ||||||||||||||||
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Net asset value, end of period |
$ | 12.46 | $ | 13.85 | $ | 13.81 | $ | 14.55 | $ | 14.49 | $ | 14.92 | $ | 14.93 | ||||||||||||||||
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Market price, end of period |
$ | 11.39 | $ | 13.43 | $ | 12.11 | $ | 13.44 | $ | 12.46 | $ | 13.80 | $ | 14.10 | ||||||||||||||||
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Total Return (e) |
||||||||||||||||||||||||||||||
Based on net asset value |
(7.58 | )% (f) |
6.48 | % | 2.76 | % | 3.41 | % (f) |
3.94 | % | 5.28 | % | 6.93 | % | ||||||||||||||||
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Based on market price |
(12.88 | )% (f) |
17.74 | % | (2.45 | )% | 11.08 | % (f) |
(3.37 | )% | 3.11 | % | 8.95 | % | ||||||||||||||||
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|||||||||||||||||
Ratios to Average Net Assets (g) |
||||||||||||||||||||||||||||||
Total expenses |
1.76 | % (h) |
1.55 | % | 1.69 | % | 2.20 | % (h)(i) |
2.45 | % | 2.23 | % | 1.88 | % | ||||||||||||||||
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Total expenses after fees waived and/or reimbursed |
1.76 | % (h) |
1.54 | % | 1.67 | % | 2.20 | % (h)(i) |
2.45 | % | 2.22 | % | 1.88 | % | ||||||||||||||||
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Total expenses after fees waived and/or reimbursed and excluding interest expense |
1.17 | % (h) |
1.14 | % | 1.13 | % | 1.19 | % (h) |
1.16 | % | 1.20 | % | 1.21 | % | ||||||||||||||||
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Net investment income |
5.04 | % (h) |
4.76 | % | 5.15 | % | 5.26 | % (h) |
5.74 | % | 5.27 | % | 5.08 | % | ||||||||||||||||
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Supplemental Data |
||||||||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 439,107 | $ | 487,833 | $ | 488,051 | $ | 522,545 | $ | 526,447 | $ | 555,370 | $ | 555,972 | ||||||||||||||||
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Borrowings outstanding, end of period (000) |
$ | 203,000 | $ | 223,000 | $ | 208,000 | $ | 214,000 | $ | 204,000 | $ | 233,000 | $ | 237,000 | ||||||||||||||||
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Asset coverage, end of period per $1,000 of bank borrowings |
$ | 3,163 | $ | 3,188 | $ | 3,346 | $ | 3,442 | $ | 3,582 | $ | 3,385 | $ | 3,346 | ||||||||||||||||
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Portfolio turnover rate |
10 | % | 49 | % | 65 | % | 16 | % | 53 | % | 57 | % | 64 | % | ||||||||||||||||
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|
(a) |
Consolidated Financial Highlights through November 30, 2017. |
(b) |
Based on average shares outstanding. |
(c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) |
A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(e) |
Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(f) |
Aggregate total return. |
(g) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(h) |
Annualized. |
(i) |
Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%. |
F I N A N C I A L H I G H L I G H T S |
119 |
BKT | ||||||||||||||||||||||||||||||||
Six Months Ended 06/30/22 (unaudited) |
Year Ended December 31, | Period from 09/01/18 to 12/31/18 |
Year Ended August 31, | |||||||||||||||||||||||||||||
2021 |
2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||||
Net asset value, beginning of period |
|
$ | 5.65 | $ | 6.18 | $ | 6.30 | $ | 6.25 | $ | 6.31 | $ | 6.74 | $ | 6.96 | |||||||||||||||||
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|
|||||||||||||||||||
Net investment income (a) |
0.07 | 0.23 | 0.29 | 0.25 | 0.08 | 0.24 | 0.25 | |||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
(0.70 | ) | (0.35 | ) | (0.00 | ) (b) |
0.21 | 0.03 | (0.34 | ) | (0.15 | ) | ||||||||||||||||||||
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|||||||||||||||||||
Net increase (decrease) from investment operations |
(0.63 | ) | (0.12 | ) | 0.29 | 0.46 | 0.11 | (0.10 | ) | 0.10 | ||||||||||||||||||||||
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Distributions (c) |
||||||||||||||||||||||||||||||||
From net investment income |
(0.17 | ) (d) |
(0.29 | ) | (0.33 | ) | (0.29 | ) | (0.13 | ) | (0.30 | ) | (0.32 | ) | ||||||||||||||||||
Return of capital |
— | (0.12 | ) | (0.08 | ) | (0.12 | ) | (0.04 | ) | (0.03 | ) | — | ||||||||||||||||||||
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|||||||||||||||||||
Total distributions |
(0.17 | ) | (0.41 | ) | (0.41 | ) | (0.41 | ) | (0.17 | ) | (0.33 | ) | (0.32 | ) | ||||||||||||||||||
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Net asset value, end of period |
$ | 4.85 | $ | 5.65 | $ | 6.18 | $ | 6.30 | $ | 6.25 | $ | 6.31 | $ | 6.74 | ||||||||||||||||||
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Market price, end of period |
$ | 4.54 | $ | 5.65 | $ | 6.07 | $ | 6.05 | $ | 5.64 | $ | 5.77 | $ | 6.31 | ||||||||||||||||||
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Total Return (e) |
||||||||||||||||||||||||||||||||
Based on net asset value |
(11.15 | )% (f) |
(2.01 | )% | 4.92 | % | 7.91 | % | 2.06 | % (f) |
(1.14 | )% | 1.82 | % | ||||||||||||||||||
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|
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Based on market price |
(16.83 | )% (f) |
(0.23 | )% | 7.31 | % | 14.83 | % | 0.72 | % (f) |
(3.44 | )% | 0.53 | % | ||||||||||||||||||
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|
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Ratios to Average Net Assets (g) |
||||||||||||||||||||||||||||||||
Total expenses |
1.09 | % (h) |
0.94 | % | 1.18 | % | 2.06 | % | 2.08 | % (h)(i) |
1.79 | % | 1.29 | % | ||||||||||||||||||
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|||||||||||||||||||
Total expenses after fees waived and/or reimbursed |
1.09 | % (h) |
0.94 | % | 1.18 | % | 2.06 | % | 2.08 | % (h) |
1.79 | % | 1.28 | % | ||||||||||||||||||
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Total expenses after fees waived and/or reimbursed and excluding interest expense |
0.89 | % (h) |
0.90 | % | 0.89 | % | 0.94 | % | 0.99 | % (h) |
1.04 | % | 0.90 | % | ||||||||||||||||||
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Net investment income |
2.73 | % (h) |
3.91 | % | 4.55 | % | 3.95 | % | 4.04 | % (h) |
3.72 | % | 3.63 | % | ||||||||||||||||||
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Supplemental Data |
||||||||||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 310,169 | $ | 360,752 | $ | 394,195 | $ | 401,715 | $ | 398,629 | $ | 402,763 | $ | 430,830 | ||||||||||||||||||
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Borrowings outstanding, end of period (000) |
$ | 130,621 | $ | 115,184 | $ | 156,936 | $ | 175,655 | $ | 186,799 | $ | 186,441 | $ | 185,769 | ||||||||||||||||||
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|
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Portfolio turnover rate (j) |
137 | % | 248 | % | 69 | % | 255 | % | 95 | % | 373 | % | 346 | % | ||||||||||||||||||
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(a) Based on average shares outstanding.(b) Amount is less than $0.005 per share.(c) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.(d) A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. (e) Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.(f) Aggregate total return.(g) Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.(h) Annualized.(i) Audit costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 2.11%.(j) Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| |||||||||||||||||||||||||||||||
Six Months Ended 06/30/22 |
Year Ended December 31, | Period from 09/01/18 |
Year Ended August 31, | |||||||||||||||||||||||||||||
(unaudited) | 2021 |
2020 | 2019 | to 12/31/18 | 2018 | 2017 | ||||||||||||||||||||||||||
Portfolio turnover rate (excluding MDRs) |
78 | % | 119 | % | 31 | % | 136 | % | 45 | % | 181 | % | 161 | % | ||||||||||||||||||
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120 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
BLW | ||||||||||||||||||||||||||||||||
Six Months Ended 06/30/22 (unaudited) |
Year Ended December 31, | Period from 09/01/19 to 12/31/19 |
Year Ended August 31, | |||||||||||||||||||||||||||||
2021 |
2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 16.44 | $ | 16.93 | $ | 17.05 | $ | 17.03 | $ | 16.71 | $ | 17.02 | $ | 16.84 | ||||||||||||||||||
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|||||||||||||||||||
Net investment income (a) |
|
0.48 | 1.00 | 0.98 | 0.31 | 0.94 | 0.95 | 1.01 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
(2.94 | ) | (0.31 | ) | 0.08 | 0.18 | 0.33 | (0.31 | ) | 0.44 | ||||||||||||||||||||||
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Net increase (decrease) from investment operations |
(2.46 | ) | 0.69 | 1.06 | 0.49 | 1.27 | 0.64 | 1.45 | ||||||||||||||||||||||||
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Distributions (b) |
||||||||||||||||||||||||||||||||
From net investment income |
(0.49 | ) (c) |
(1.02 | ) | (1.03 | ) | (0.47 | ) | (0.95 | ) | (0.95 | ) | (1.27 | ) | ||||||||||||||||||
Return of capital |
— | (0.16 | ) | (0.15 | ) | — | — | — | — | |||||||||||||||||||||||
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Total distributions |
(0.49 | ) | (1.18 | ) | (1.18 | ) | (0.47 | ) | (0.95 | ) | (0.95 | ) | (1.27 | ) | ||||||||||||||||||
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Net asset value, end of period |
$ | 13.49 | $ | 16.44 | $ | 16.93 | $ | 17.05 | $ | 17.03 | $ | 16.71 | $ | 17.02 | ||||||||||||||||||
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Market price, end of period |
$ | 12.65 | $ | 16.85 | $ | 15.92 | $ | 16.39 | $ | 15.44 | $ | 15.06 | $ | 15.99 | ||||||||||||||||||
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Total Return (d) |
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Based on net asset value |
(15.00 | )% (e) |
4.18 | % (f) |
7.58 | % | 3.11 | % (e) |
8.77 | % | 4.42 | % | 9.62 | % | ||||||||||||||||||
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Based on market price |
(22.23 | )% (e) |
13.55 | % | 5.24 | % | 9.32 | % (e) |
9.41 | % | 0.18 | % | 10.18 | % | ||||||||||||||||||
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Ratios to Average Net Assets (g) |
||||||||||||||||||||||||||||||||
Total expenses |
1.34 | % (h) |
1.18 | % | 1.39 | % | 1.64 | % (h)(i) |
1.81 | % | 1.73 | % | 1.45 | % | ||||||||||||||||||
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Total expenses after fees waived and/or reimbursed |
1.34 | % (h) |
1.18 | % | 1.39 | % | 1.64 | % (h)(i) |
1.81 | % | 1.73 | % | 1.45 | % | ||||||||||||||||||
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Total expenses after fees waived and/or reimbursed and excluding interest expense |
0.95 | % (h) |
0.92 | % | 0.90 | % | 0.89 | % (h) |
0.84 | % | 0.89 | % | 0.89 | % | ||||||||||||||||||
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Net investment income |
6.41 | % (h) |
5.90 | % | 6.07 | % | 5.32 | % (h) |
5.69 | % | 5.60 | % | 6.00 | % | ||||||||||||||||||
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Supplemental Data |
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Net assets, end of period (000) |
$ | 481,864 | $ | 587,146 | $ | 603,933 | $ | 611,068 | $ | 610,251 | $ | 612,048 | $ | 629,728 | ||||||||||||||||||
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Borrowings outstanding, end of period (000) |
$ | 292,270 | $ | 312,356 | $ | 275,105 | $ | 213,399 | $ | 202,539 | $ | 234,622 | $ | 252,280 | ||||||||||||||||||
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|
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Portfolio turnover rate (j) |
41 | % | 66 | % | 65 | % | 14 | % | 50 | % | 50 | % | 55 | % | ||||||||||||||||||
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(a) Based on average shares outstanding.(b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.(c) A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. (d) Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.(e) Aggregate total return.(f) Includes payment from an affiliate, which had no impact on the Fund’s total return.(g) Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.(h) Annualized.(i) Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.66%.(j) Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| |||||||||||||||||||||||||||||||
Six Months Ended 06/30/22 (unaudited) |
Year Ended December 31, | Period from 09/01/19 to 12/31/19 |
Year Ended August 31, | |||||||||||||||||||||||||||||
2021 |
2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||||||
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Portfolio turnover rate (excluding MDRs) |
30 | % | 52 | % | 58 | % | 14 | % | 50 | % | 50 | % | 55 | % | |||||||||||||||||
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F I N A N C I A L H I G H L I G H T S |
121 |
1. |
ORGANIZATION |
Fund Name |
Herein Referred To As |
Organized |
Diversification Classification |
|||||||||
BlackRock Debt Strategies Fund, Inc. |
DSU | Maryland | Diversified | |||||||||
BlackRock Floating Rate Income Strategies Fund, Inc. |
FRA | Maryland | Diversified | |||||||||
BlackRock Income Trust, Inc. |
BKT | Maryland | Diversified | |||||||||
BlackRock Limited Duration Income Trust |
BLW | Delaware | Diversified | |||||||||
2. |
SIGNIFICANT ACCOUNTING POLICIES |
122 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
3. |
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
• | Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
• | Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third-party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
• | Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV. |
• | Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
• | Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies. |
• | Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will |
N O T E S T O F I N A N C I A L S T A T E M E N T S |
123 |
be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter |
• | Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
Standard Inputs Generally Considered By Third-Party Pricing Services | ||||
Market approach | (i) | recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; | ||
(ii) | recapitalizations and other transactions across the capital structure; and | |||
(iii) | market multiples of comparable issuers. | |||
Income approach | (i) | future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; | ||
(ii) | quoted prices for similar investments or assets in active markets; and | |||
(iii) | other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. | |||
Cost approach | (i) | audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; | ||
(ii) | changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; | |||
(iii) | relevant news and other public sources; and | |||
(iv) | known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
• | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access; |
• | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
• | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
124 |
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4. |
SECURITIES AND OTHER INVESTMENTS |
N O T E S T O F I N A N C I A L S T A T E M E N T S |
125 |
Fund Name |
Borrower |
Par |
Commitment Amount |
Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
DSU |
Athenahealth, Inc. | $ | 427,753 | $ | 427,753 | $ | 392,733 | $ | (35,020) | |||||||||
CP Iris Holdco I, Inc. | 103,475 | 103,475 | 94,809 | (8,666) | ||||||||||||||
Precision Medicine Group LLC | 70,375 | 70,375 | 64,921 | (5,454) | ||||||||||||||
Reverb Buyer, Inc. | 336,748 | 335,077 | 315,112 | (19,965) | ||||||||||||||
Trident TPI Holdings, Inc. | 47,249 | 47,249 | 44,225 | (3,024) | ||||||||||||||
FRA |
Athenahealth, Inc. | 490,008 | 490,008 | 449,891 | (40,117) | |||||||||||||
CP Iris Holdco I, Inc. | 117,872 | 117,872 | 108,000 | (9,872) | ||||||||||||||
Precision Medicine Group LLC | 79,851 | 79,851 | 73,663 | (6,188) | ||||||||||||||
Reverb Buyer, Inc. | 469,568 | 467,797 | 439,398 | (28,399) | ||||||||||||||
Trident TPI Holdings, Inc. | 53,674 | 53,674 | 50,239 | (3,435) | ||||||||||||||
126 |
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Fund Name |
Borrower |
Par |
Commitment Amount |
Value |
Unrealized Appreciation (Depreciation) |
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BLW |
Athenahealth, Inc. | $ | 222,425 | $ | 222,425 | $ | 204,215 | $ | (18,210) | |||||||||
CP Iris Holdco I, Inc. | 50,902 | 50,902 | 46,639 | (4,263) | ||||||||||||||
New Arclin U.S. Holding Corp. | 75,553 | 75,176 | 69,547 | (5,629) | ||||||||||||||
Precision Medicine Group LLC | 64,734 | 64,733 | 59,717 | (5,017) | ||||||||||||||
Reverb Buyer, Inc. | 207,051 | 206,277 | 193,748 | (12,529) | ||||||||||||||
Trident TPI Holdings, Inc. | 24,144 | 24,144 | 22,598 | (1,545) | ||||||||||||||
Fund Name |
Average Amount Outstanding |
Weighted Average Interest Rate | ||||
BKT |
$ | 138,813,748 | 0.45% | |||
BLW |
319,787,316 | 0.65 |
N O T E S T O F I N A N C I A L S T A T E M E N T S |
127 |
BKT | ||||||||||||||||||||||||||||||||||||||||||||
Counterparty |
Borrowed Bonds Agreements |
(a) |
Reverse Repurchase Agreements |
Borrowed Bonds at Value including Accrued Interest |
(b) |
Net Amount before Collateral |
Non-Cash Collateral Received |
Cash Collateral Received |
Fair Value of Non-Cash Collateral Pledged Including Accrued Interest |
(c) |
Cash Collateral Pledged |
Net Collateral (Received)/ Pledged |
Net Exposure Due (to)/ from Counterparty |
(d) |
| |||||||||||||||||||||||||||||
Credit Suissie AG |
$ | 866,565 | $ | — | $ | (822,307 | ) | $ | 44,258 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 44,258 | |||||||||||||||||||||||
Deutsche Bank Securities, Inc. |
— | (35,385,427) | — | (35,385,427 | ) | — | — | 35,385,427 | — | 35,385,427 | — | |||||||||||||||||||||||||||||||||
HSBC Securities (USA), Inc. |
— | (95,235,089) | — | (95,235,089 | ) | — | — | 95,235,089 | — | 95,235,089 | — | |||||||||||||||||||||||||||||||||
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$ | 866,565 | $ | (130,620,516 | ) | $ | (822,307 | ) | $ | (130,576,258 | ) | $ | — | $ | — | $ | 130,620,516 | $ | — | $ | 130,620,516 | $ | 44,258 | ||||||||||||||||||||||
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(a) |
Included in Investments at value-unaffiliated in the Statements of Assets and Liabilities. |
(b) |
Includes accrued interest on borrowed bonds in the amount of $1,198 which is included in interest expense payable in the Statements of Assets and Liabilities. |
(c) |
Collateral, if any, with a value of $136,054,638 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
(d) |
Net exposure represents the net receivable (payable) that would be due from/to the counterparty in the event of default. |
Counterparty |
Reverse Repurchase Agreements |
Fair Value of Non-Cash Collateral Pledged Including Accrued Interest |
(a) |
Cash Collateral Pledged/Received |
(a) |
Net Amount |
||||||||||
Barclays Bank PLC |
$ | (25,350,576 | ) | $ | 25,350,576 | $ | — | $ | — | |||||||
Barclays Capital, Inc. |
(58,389,696 | ) | 58,389,696 | — | — | |||||||||||
BNP Paribas S.A. |
(113,626,846 | ) | 113,626,846 | — | — | |||||||||||
Credit Agricole Corporate and Investment Bank |
(25,151,772 | ) | 25,151,772 | — | — | |||||||||||
Credit Suisse Securities (USA) LLC |
(5,265,259 | ) | 5,265,259 | — | — | |||||||||||
HSBC Securities (USA), Inc. |
(22,294,341 | ) | 22,294,341 | — | — | |||||||||||
Nomura Securities International, Inc. |
(773,851 | ) | 773,851 | — | — | |||||||||||
RBC Capital Markets LLC |
(40,190,872 | ) | 40,190,872 | — | — | |||||||||||
TD Securities (USA) LLC |
(1,226,390 | ) | 1,226,390 | — | — | |||||||||||
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$ | (292,269,603 | ) | $ | 292,269,603 | $ | — | $ | — | ||||||||
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(a) |
Collateral, if any, with a value of $327,758,189 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
128 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
5. |
DERIVATIVE FINANCIAL INSTRUMENTS |
• | Swaptions — The Funds may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. |
N O T E S T O F I N A N C I A L S T A T E M E N T S |
129 |
• | Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
• | Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
130 |
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6. |
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
|
||||||||
DSU |
FRA |
|||||||
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Investment advisory fees |
0.55 | % | 0.75% | |||||
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Fund Name |
Fees Waived and/or Reimbursed by the Manager |
|||
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DSU |
$ | 688 | ||
FRA |
91 | |||
BKT |
2,365 | |||
BLW |
1,378 | |||
|
N O T E S T O F I N A N C I A L S T A T E M E N T S |
131 |
Fund Name |
Purchases |
Sales |
Net Realized Gain (Loss) |
|||||||||
DSU |
$ | 456,617 | $ | 125,692 | $ | 4,655 | ||||||
BLW |
2,750,638 | 600,425 | (202,676 | ) | ||||||||
7. |
PURCHASES AND SALES |
U.S. Government Securities | Other Securities | |||||||||||||||
Fund Name |
Purchases |
Sales |
Purchases |
Sales |
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DSU |
$ | — | $ | — | $ | 85,246,297 | $ | 130,978,800 | ||||||||
FRA |
— | — | 69,415,248 | 110,938,902 | ||||||||||||
BKT |
— | — | 691,915,959 | 699,089,318 | ||||||||||||
BLW |
— | 30,008,004 | 348,843,702 | 372,840,391 | ||||||||||||
Fund Name |
Purchases |
Sales |
||||||
BKT |
$ | 300,994,273 | $ | 301,428,859 | ||||
BLW |
93,596,040 | 93,722,896 | ||||||
8. |
INCOME TAX INFORMATION |
Fund Name |
Non-Expiring |
|||
DSU |
$ | 91,035,096 | ||
FRA |
43,416,429 | |||
BKT |
93,655,659 | |||
BLW |
35,107,732 | |||
Fund Name |
Tax Cost |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
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DSU |
$ | 772,580,917 | $ | 824,354 | $ | (81,006,494 | ) | $ (80,182,140 | ) | |||||||
FRA |
690,593,576 | 501,403 | (51,662,325 | ) | (51,160,922 | ) | ||||||||||
BKT |
522,054,386 | 10,076,205 | (48,870,255 | ) | (38,794,050 | ) | ||||||||||
BLW |
851,190,543 | 5,363,566 | (94,954,666 | ) | (89,591,100 | ) | ||||||||||
132 |
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9. |
BANK BORROWINGS |
Fund Name |
Commitment Amounts |
|||
DSU |
$ | 340,000,000 | ||
FRA |
274,000,000 | |||
Fund Name |
Maximum Amount Borrowed |
Average Amount Outstanding |
Daily Weighted Average Interest Rate |
|||||||||
DSU |
$ | 255,000,000 | $ | 238,127,072 | 1.26% | |||||||
FRA |
233,000,000 | 215,546,961 | 1.26 | |||||||||
10. |
PRINCIPAL RISKS |
N O T E S T O F I N A N C I A L S T A T E M E N T S |
133 |
11. |
CAPITAL SHARE TRANSACTIONS |
134 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Name |
Six Months Ended 06/30/22 |
Year Ended 12/31/21 |
||||||
DSU |
3,721 | 14,784 | ||||||
BKT |
11,662 | 104,060 | ||||||
BLW |
— | 49,148 | ||||||
FRA |
||||||||
Shares |
Amounts |
|||||||
Six Months Ended June 30, 2022 |
— | $ | — | |||||
Year Ended December 31, 2021 |
102,939 | 1,250,043 | ||||||
12. |
SUBSEQUENT EVENTS |
Fund Name |
Declaration Date |
Record Date |
Payable/ Paid Date |
Dividend Per Common Share |
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DSU |
07/01/22 | 07/15/22 | 07/29/22 | $ | 0.060500 | |||||||||||
08/01/22 | 08/15/22 | 08/31/22 | 0.060500 | |||||||||||||
FRA |
07/01/22 | 07/15/22 | 07/29/22 | 0.066700 | ||||||||||||
08/01/22 | 08/15/22 | 08/31/22 | 0.066700 | |||||||||||||
BKT |
07/01/22 | 07/15/22 | 07/29/22 | 0.029400 | ||||||||||||
08/01/22 | 08/15/22 | 08/31/22 | 0.029400 | |||||||||||||
BLW |
07/01/22 | 07/15/22 | 07/29/22 | 0.098100 | ||||||||||||
08/01/22 | 08/15/22 | 08/31/22 | 0.098100 | |||||||||||||
N O T E S T O F I N A N C I A L S T A T E M E N T S |
135 |
136 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
D I S C L O S U R E O F I N V E S T M E N T A D V I S O R Y A G R E E M E N T S A N D S U B - A D V I S O R Y A G R E E M E N T S |
137 |
138 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
D I S C L O S U R E O F I N V E S T M E N T A D V I S O R Y A G R E E M E N T S A N D S U B - A D V I S O R Y A G R E E M E N T S |
139 |
140 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
A D D I T I O N A L I N F O R M A T I O N |
141 |
(a) |
For BLW. |
142 |
2 0 2 2 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Currency Abbreviation | ||
EUR | Euro | |
GBP | British Pound | |
USD | United States Dollar |
Portfolio Abbreviation | ||
ABS | Asset-Backed Security | |
CDI | CREST Depository Interest | |
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury | |
DAC | Designated Activity Company | |
DIP | Debtor-In-Possession | |
ETF | Exchange-Traded Fund | |
EURIBOR | Euro Interbank Offered Rate | |
FEDL | Fed Funds Effective Rate | |
IO | Interest Only | |
LIBOR | London Interbank Offered Rate | |
PCL | Public Company Limited | |
PIK | Payment-in-Kind | |
PO | Principal Only | |
REIT | Real Estate Investment Trust | |
REMIC | Real Estate Mortgage Investment Conduit | |
SAB | Special Assessment Bonds | |
SCA | Societe en Commandite par Actions | |
SOFR | Secured Overnight Financing Rate | |
SONIA | Sterling Overnight Interbank Average Rate | |
TBA | To-Be-Announced |
G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T |
143 |
|
(b) Not Applicable
Item 2 – | Code of Ethics – Not Applicable to this semi-annual report |
Item 3 – | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
Item 4 – | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
Item 5 – | Audit Committee of Listed Registrants – Not Applicable to this semi-annual report |
Item 6 – | Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
Item 8 – | Portfolio Managers of Closed-End Management Investment Companies |
(a) Not Applicable to this semi-annual report.
(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.
Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report. |
Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
Item 11 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable to this semi-annual report. |
Item 13 – | Exhibits attached hereto |
(a)(1) Code of Ethics – Not Applicable to this semi-annual report
(a)(2) Section 302 Certifications are attached
2
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(4) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
(101) Inline Interactive Data File -the instance document does not appear in the Interactive Data File because itsXBRL tags are embedded within the inline XBRL document.
3
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 Income Trust, Inc.
By: | /s/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock Income Trust, Inc. |
Date: August 19, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock Income Trust, Inc. |
Date: August 19, 2022
By: | /s/ Trent Walker | |||
Trent Walker | ||||
Chief Financial Officer (principal financial officer) of | ||||
BlackRock Income Trust, Inc. |
Date: August 19, 2022
4
EX-99. CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE
SARBANES-OXLEY ACT OF 2002
I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Income Trust, Inc., certify that:
1. I have reviewed this report on Form N-CSR of BlackRock Income Trust, Inc.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
d) disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: August 19, 2022
/s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Income Trust, Inc.
EX-99. CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE
SARBANES-OXLEY ACT OF 2002
I, Trent Walker, Chief Financial Officer (principal financial officer) of BlackRock Income Trust, Inc., certify that:
1. I have reviewed this report on Form N-CSR of BlackRock Income Trust, Inc.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
d) disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: August 19, 2022
/s/ Trent Walker
Trent Walker
Chief Financial Officer (principal financial officer) of
BlackRock Income Trust, Inc.
Exhibit 99.906CERT
Certification Pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002
Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Income Trust, Inc. (the registrant), hereby certifies, to the best of his knowledge, that the registrants Report on Form N-CSR for the period ended June 30, 2022 (the Report) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrant.
Date: August 19, 2022
/s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Income Trust, Inc.
Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Income Trust, Inc. (the registrant), hereby certifies, to the best of his knowledge, that the registrants Report on Form N-CSR for the period ended June 30, 2022 (the Report) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrant.
Date: August 19, 2022
/s/ Trent Walker
Trent Walker
Chief Financial Officer (principal financial officer) of
BlackRock Income Trust, Inc.
This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission.
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N-2 - $ / shares |
Sep. 01, 2022 |
Jun. 30, 2022 |
Dec. 31, 2021 |
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Cover [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Entity Central Index Key | 0000832327 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Amendment Flag | false | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Document Type | N-CSRS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Entity Registrant Name | BLACKROCK INCOME TRUST, INC. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
General Description of Registrant [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Objectives and Practices [Text Block] | BlackRock Income Trust, Inc.’s (BKT) (the “Fund”) |
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Share Price [Table Text Block] | Market Price and Net Asset Value Per Share Summary
|
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Lowest Price or Bid | $ 4.34 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Highest Price or Bid | 5.65 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Lowest Price or Bid, NAV | 4.66 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Highest Price or Bid, NAV | 5.65 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Latest Share Price | 4.54 | $ 5.65 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Latest NAV | $ 4.85 | $ 5.65 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital Stock, Long-Term Debt, and Other Securities [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding Security, Authorized [Shares] | 200,000,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding Security, Held [Shares] | 63,912,834 |
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