0001193125-24-060498.txt : 20240306 0001193125-24-060498.hdr.sgml : 20240306 20240306134507 ACCESSION NUMBER: 0001193125-24-060498 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 34 CONFORMED PERIOD OF REPORT: 20231231 FILED AS OF DATE: 20240306 DATE AS OF CHANGE: 20240306 EFFECTIVENESS DATE: 20240306 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BLACKROCK INCOME TRUST, INC. CENTRAL INDEX KEY: 0000832327 ORGANIZATION NAME: IRS NUMBER: 133463349 STATE OF INCORPORATION: MD FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-05542 FILM NUMBER: 24725239 BUSINESS ADDRESS: STREET 1: 100 BELLEVUE PARKWAY STREET 2: MUTUAL FUND DEPARTMENT CITY: WILMINGTON STATE: DE ZIP: 19809 BUSINESS PHONE: 888-825-2257 MAIL ADDRESS: STREET 1: 100 BELLEVUE PARKWAY STREET 2: MUTUAL FUND DEPARTMENT CITY: WILMINGTON STATE: DE ZIP: 19809 FORMER COMPANY: FORMER CONFORMED NAME: BLACKROCK INCOME TRUST INC. DATE OF NAME CHANGE: 20121009 FORMER COMPANY: FORMER CONFORMED NAME: BLACKROCK INCOME TRUST INC DATE OF NAME CHANGE: 19930309 FORMER COMPANY: FORMER CONFORMED NAME: BLACKSTONE INCOME TRUST INC DATE OF NAME CHANGE: 19920703 N-CSR 1 d705835dncsr.htm BLACKROCK INCOME TRUST, INC. BLACKROCK INCOME TRUST, INC.
0000832327falseIf the common shares are sold to or through underwriters, the Prospectus Supplement will set forth any applicable sales load and the estimated offering expenses. Fund shareholders will pay all offering expenses involved with an offering.Computershare Trust Company, N.A.’s (the “Reinvestment Plan Agent”) fees for the handling of the reinvestment of dividends will be paid by BKT. However, shareholders will pay a $0.02 per share fee incurred in connection with open-market purchases, which will be deducted from the value of the dividend. Shareholders will also be charged a $2.50 sales fee and pay a $0.15 per share fee if a shareholder directs the Reinvestment Plan Agent to sell the common shares held in a dividend reinvestment account. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay.BKT currently pays the Manager a monthly fee at an annual contractual investment advisory fee rate of 0.65% of the average weekly value of BKT’s net assets. For purposes of calculating this fee, “net assets” means the total assets of BKT minus the sum of its accrued liabilities (including the aggregate indebtedness constituting financial leverage).BKT and the Manager have entered into a fee waiver agreement (the “Fee Waiver Agreement”), pursuant to which the Manager has contractually agreed to waive the investment advisory fees with respect to any portion of BKT’s assets attributable to investments in any equity and fixed-income mutual funds and exchange-traded funds managed by the Manager or its affiliates that have a contractual management fee, through June 30, 2025. In addition, pursuant to the Fee Waiver Agreement, the Manager has contractually agreed to waive its investment advisory fees by the amount of investment advisory fees BKT pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2025. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by BKT (upon the vote of a majority of the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “Investment Company Act”), of BKT or a majority of the outstanding voting securities of BKT), upon 90 days’ written notice by BKT to the Manager.BKT uses leverage in the form of reverse repurchase agreements representing 29.0% of Managed Assets at an annual interest expense to BKT of 5.0% which is based on current market conditions. The actual amount of interest expenses borne by BKT will vary over time in accordance with the level of BKT’s use of reverse repurchase agreements and variations in market interest rates. Interest expense is required to be treated as an expense of BKT for accounting purposes. 0000832327 2023-01-01 2023-12-31 0000832327 2023-12-31 0000832327 cik0000832327:CommonSharesMember 2023-10-01 2023-12-31 0000832327 cik0000832327:InvestmentObjectivesAndPoliciesMember 2023-01-01 2023-12-31 0000832327 cik0000832327:InvestmentObjectiveMember 2023-01-01 2023-12-31 0000832327 cik0000832327:MarketRiskMember 2023-01-01 2023-12-31 0000832327 cik0000832327:IlliquidityRiskMember 2023-01-01 2023-12-31 0000832327 cik0000832327:CounterpartyCreditRiskMember 2023-01-01 2023-12-31 0000832327 cik0000832327:LiborTransitionRiskMember 2023-01-01 2023-12-31 0000832327 cik0000832327:GeographicassetClassRiskMember 2023-01-01 2023-12-31 0000832327 cik0000832327:ValuationRiskMember 2023-01-01 2023-12-31 0000832327 cik0000832327:SeniorLoansRiskDsuFraBlwAndBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:MortgageAndAssetbackedSecuritiesRisksFraBktBlwAndBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:U.s.GovernmentMortgagerelatedSecuritiesRiskFraBktAndBlwMember 2023-01-01 2023-12-31 0000832327 cik0000832327:U.s.GovernmentObligationsRiskMember 2023-01-01 2023-12-31 0000832327 cik0000832327:DebtSecuritiesRiskMember 2023-01-01 2023-12-31 0000832327 cik0000832327:ConcentrationRiskBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:StructuredNotesRiskFraMember 2023-01-01 2023-12-31 0000832327 cik0000832327:DerivativesRiskMember 2023-01-01 2023-12-31 0000832327 cik0000832327:StructuredSecuritiesRiskBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:ReitInvestmentRiskBlwAndBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:RealEstaterelatedSecuritiesRiskBlwMember 2023-01-01 2023-12-31 0000832327 cik0000832327:WarrantsRiskDsuAndFraMember 2023-01-01 2023-12-31 0000832327 cik0000832327:RisksOfLoanAssignmentsAndParticipationsBlwMember 2023-01-01 2023-12-31 0000832327 cik0000832327:CloRiskBitAndFraMember 2023-01-01 2023-12-31 0000832327 cik0000832327:SecondLienLoansRiskBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:ConvertibleSecuritiesRiskDsuFraAndBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:PreferredSecuritiesRiskDsuFraBlwAndBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:LeverageRiskMember 2023-01-01 2023-12-31 0000832327 cik0000832327:BradyBondsRiskBlwMember 2023-01-01 2023-12-31 0000832327 cik0000832327:MunicipalSecuritiesRisksBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:SovereignDebtRiskFraBlwAndBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:CollateralizedDebtObligationsRiskFraMember 2023-01-01 2023-12-31 0000832327 cik0000832327:VariableAndFloatingRateInstrumentRiskDsuFraAndBlwMember 2023-01-01 2023-12-31 0000832327 cik0000832327:CorporateLoansRiskDsuMember 2023-01-01 2023-12-31 0000832327 cik0000832327:YieldAndRatingsRiskBktMember 2023-01-01 2023-12-31 0000832327 cik0000832327:CollateralizedBondObligationsRiskBlwMember 2023-01-01 2023-12-31 0000832327 cik0000832327:DistressedSecuritiesRiskDsuAndFraMember 2023-01-01 2023-12-31 0000832327 cik0000832327:HighYieldBondsRiskDsuFraBlwAndBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:UnratedSecuritiesRiskBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:SupranationalEntitiesRiskBlwMember 2023-01-01 2023-12-31 0000832327 cik0000832327:InvestmentAndMarketDiscountRiskMember 2023-01-01 2023-12-31 0000832327 cik0000832327:SmallAndMidcapitalizationCompanyRiskBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:EquitySecuritiesRiskDsuFraBlwAndBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:EmergingMarketsRiskFraBlwAndBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:ForeignSecuritiesRiskDsuFraBlwAndBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:RepurchaseAgreementsAndPurchaseAndSaleContractsRiskBktAndBitMember 2023-01-01 2023-12-31 0000832327 cik0000832327:ShortSalesRiskDsuAndBitMember 2023-01-01 2023-12-31 0000832327 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0000832327 cik0000832327:CommonSharesMember 2022-07-01 2022-09-30 0000832327 cik0000832327:CommonSharesMember 2022-04-01 2022-06-30 0000832327 cik0000832327:CommonSharesMember 2022-01-01 2022-03-31 xbrli:pure xbrli:shares iso4217:USD iso4217:USD xbrli:shares
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number
811-05542
 
Name of Fund:  
BlackRock Income Trust, Inc
.
(BKT)
 
Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Income Trust, Inc.,
50 Hudson Yards, New York, NY 10001
Registrant’s telephone number, including area code: (800)
882-0052,
Option 4
Date of fiscal year end: 12/31/2023
Date of reporting period: 12/31/2023

Item 1 – Report to Stockholders
(a) The Report to Shareholders is attached herewith.

LOGO
 
 
DECEMBER 31, 2023
 
 
  
  
2023 Annual Report
 
 
BlackRock Debt Strategies Fund, Inc. (DSU)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
BlackRock Income Trust, Inc. (BKT)
BlackRock Limited Duration Income Trust (BLW)
BlackRock Multi-Sector Income Trust (BIT)
 
 
 
 
Not FDIC Insured • May Lose Value • No Bank Guarantee
 
 

Supplemental Information 
(unaudited)
 
Section 19(a) Notices
BlackRock Debt Strategies Fund, Inc.’s (DSU), BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA), BlackRock Income Trust, Inc.’s (BKT), BlackRock Limited Duration Income Trust’s (BLW) and BlackRock Multi-Sector Income Trust’s (BIT) (collectively, the “Funds” or individually, a “Fund”) amounts and sources of distributions reported are estimates and are being provided pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund’s investment experience during the year and may be subject to changes based on tax regulations. Each Fund will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.
December 31, 2023
 
       
       
Total Cumulative Distributions
for the Fiscal Period
       
% Breakdown of the Total Cumulative
Distributions for the Fiscal Period
     
  
 
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
 

 
 
 
    
 
DSU
  $  0.983251     $     $     $  0.063179     $  1.046430         94             6     100  
 
FRA
    1.252554                   0.069006       1.321560         95                   5       100    
 
BKT
    0.389110                   0.669290       1.058400         37                   63       100    
 
BLW
    1.064229                   0.142371       1.206600         88                   12       100    
 
BIT
    0.143266                   0.104134       0.247400    
 
    58                   42       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.
 
Section 19(a) notices for the Funds, as applicable, are available on the BlackRock website at
blackrock.com
.
Managed Distribution Plan
The Funds, each with the approval of its Board of Directors (the “Board”), has adopted a managed distribution plan, consistent with its investment objectives and policies, to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, the Funds currently distribute the following fixed amounts per share on a monthly basis.
 
   
Fund Name
 
Amount Per
Common Share
 
DSU
  $ 0.098730  
FRA
    0.123840  
BKT
    0.088200  
BLW
    0.107900  
BIT
    0.123700  
The fixed amounts distributed per share are subject to change at the discretion of each Fund’s Board. Each Fund is currently not relying on any exemptive relief from Section 19(b) of the Investment Company Act of 1940, as amended (the “1940 Act”). Under its Plan, a Fund will distribute all available investment income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net investment income and short-term capital gains) is not earned on a monthly basis, a Fund will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, a Fund may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the 1940 Act.
Shareholders should not draw any conclusions about a Fund’s investment performance from the amount of these distributions or from the terms of the Plan. Each Fund’s total return performance is presented in its financial highlights table.
Each Fund’s Board may amend, suspend or terminate a Fund’s Plan at any time without prior notice to the Fund’s shareholders if it deems such actions to be in the best interests of the Fund or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Fund’s stock is trading at or above net asset value) or widening an existing trading discount. Each Fund is subject to risks that could have an adverse impact on its ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code. Please refer to DSU’s, BKT’s, BLW’s and BIT’s prospectus for a more complete description of a Fund’s risks.
 
 
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The Markets in Review
Dear Shareholder,
The combination of continued economic growth and cooling inflation provided a supportive backdrop for investors during the 12-month reporting period ended December 31, 2023. Significantly tighter monetary policy helped to rein in inflation, and the Consumer Price Index decelerated substantially in the first half of the year before stalling between 3% and 4% in the second half. A moderating labor market helped ease inflationary pressure, although wages continued to grow. Wage and job growth powered robust consumer spending, backstopping the economy. On October 7, 2023, Hamas launched a horrific attack on Israel. The ensuing war will have a significant humanitarian impact and could lead to heightened economic and market volatility. We see geopolitics as a structural market risk going forward. See our geopolitical risk dashboard at blackrock.com for more details.
Equity returns were robust during the period, as interest rates stabilized and the economy proved to be more resilient than many investors expected. The U.S. economy continued to show strength, and growth further accelerated in the third quarter of 2023. Large-capitalization U.S. stocks posted particularly substantial gains, supported by the performance of a few notable technology companies and small-capitalization U.S. stocks also advanced. Meanwhile, international developed market equities and emerging market stocks posted solid gains.
The 10-year U.S. Treasury yield ended 2023 where it began despite an eventful year that saw significant moves in bond markets. Overall, U.S. Treasuries gained as investors began to anticipate looser financial conditions. The corporate bond market benefited from improving economic sentiment, although high-yield corporate bond prices fared significantly better than investment-grade bonds as demand from yield-seeking investors remained strong.
The U.S. Federal Reserve (the “Fed”), attempting to manage persistent inflation, raised interest rates four times during the 12-month period, but paused its tightening in the second half of the period. The Fed also wound down its bond-buying programs and incrementally reduced its balance sheet by not replacing securities that reach maturity.
Supply constraints appear to have become an embedded feature of the new macroeconomic environment, making it difficult for developed economies to increase production without sparking higher inflation. Geopolitical fragmentation and an aging population risk further exacerbating these constraints, keeping the labor market tight and wage growth high. Although the Fed has stopped tightening for now, we believe that the new economic regime means that the Fed will need to maintain high rates for an extended period despite the market’s hopes for interest rate cuts, as reflected in the recent rally. In this new regime, we anticipate greater volatility and dispersion of returns, creating more opportunities for selective portfolio management.
We believe developed market equities have priced in an optimistic scenario for rate cuts, which we view as premature, so we prefer an underweight stance in the near term. Nevertheless, we are overweight on Japanese stocks as shareholder-friendly policies generate increased investor interest. We also believe that stocks with an AI tilt should benefit from an investment cycle that is set to support revenues and margins. In credit, there are selective opportunities in the near term despite tighter credit and financial conditions. For fixed income investing with a six- to twelve-month horizon, we see the most attractive investments in short-term U.S. Treasuries, U.S. mortgage-backed securities, and hard-currency emerging market bonds.
Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit
blackrock.com
for further insight about investing in today’s markets.
Sincerely,
 
LOGO
Rob Kapito
President, BlackRock Advisors, LLC
LOGO
Rob Kapito
President, BlackRock Advisors, LLC
 
Total Returns as of December 31, 2023
     
    
 6-Month 
 
12-Month 
   
U.S. large cap equities
(S&P 500
®
Index)
  8.04%   26.29% 
   
U.S. small cap equities
(Russell 2000
®
Index)
  8.18    16.93   
   
International equities
(MSCI Europe, Australasia, Far East Index)
  5.88    18.24   
   
Emerging market equities
(MSCI Emerging Markets Index)
  4.71    9.83  
   
3-month Treasury bills
(ICE BofA 3-Month
U.S. Treasury Bill Index)
  2.70    5.02  
   
U.S. Treasury securities
(ICE BofA 10-Year
U.S. Treasury Index)
  1.11    2.83  
   
U.S. investment grade bonds
(Bloomberg U.S. Aggregate Bond Index)
  3.37    5.53  
   
Tax-exempt municipal bonds
(Bloomberg Municipal Bond Index)
  3.63    6.40  
   
U.S. high yield bonds
(Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index)
  7.65    13.44   
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 
 
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Table of Contents
 
    
Page
 
 
 
     2  
     3  
Annual Report:
  
     5  
     5  
     6  
Financial Statements:
  
     21  
     158  
     162  
     164  
     167  
     171  
     176  
     192  
     193  
     194  
     208  
     218  
     219  
     223  
     226  
 
 
4
 

The Benefits and Risks of Leveraging
 
The Funds may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.
In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Fund’s shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) is reflected in the per share NAV.
To illustrate these concepts, assume a Fund’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Fund’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Fund’s financing cost of leverage is significantly lower than the income earned on a Fund’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.
However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed a Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if a Fund had not used leverage. Furthermore, the value of the Funds’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the amount of each Fund’s obligations under its respective leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Fund’s intended leveraging strategy will be successful.
The use of leverage also generally causes greater changes in each Fund’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Fund’s shares than if the Fund were not leveraged. In addition, each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Fund to incur losses. The use of leverage may limit a Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of each Fund’s investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Funds’ investment adviser will be higher than if the Funds did not use leverage.
Each Fund may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Financial Statements, if applicable.
Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Fund is permitted to borrow money (including through the use of TOB Trusts) or issue debt securities up to 33 1/3% of its total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.
Derivative Financial Instruments
The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Funds must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
 
 
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Fund Summary
  as of December 31, 2023 
  
BlackRock Debt Strategies Fund, Inc. (DSU)
 
Investment Objective
BlackRock Debt Strategies Fund, Inc.’s (DSU) (the “Fund”)
primary investment objective is to seek to provide current income by investing primarily in a diversified portfolio of U.S. companies’ debt instruments, including senior and subordinated corporate loans, both secured and unsecured, which are rated in the lower rating categories of the established rating services (BBB or lower by S&P Global Ratings (“S&P”) or Baa or lower by Moody’s Investors Service, Inc. (“Moody’s”)) or unrated debt instruments, which are in the judgment of the investment adviser of equivalent quality. The Fund may invest directly in debt instruments or synthetically through the use of derivatives. The Fund’s secondary investment objective is to seek to provide capital appreciation.
No assurance can be given that the Fund’s investment objective will be achieved.
Fund Information
 
   
Symbol on New York Stock Exchange
  DSU
Initial Offering Date
  March 27, 1998
Current Distribution Rate on Closing Market Price as of December 31, 2023 ($10.79)
(a)
  10.98%
Current Monthly Distribution per Common Share
(b)
  $0.098730
Current Annualized Distribution per Common Share
(b)
  $1.184760
Leverage as of December 31, 2023
(c)
  23%
 
 
(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.
 
Market Price and Net Asset Value Per Share Summary
 
    
12/31/23
    
12/31/22
    
Change
    
High
    
Low
 
Closing Market Price
  $ 10.79      $ 9.20        17.28    $ 10.85      $ 9.20  
Net Asset Value
    10.89        10.44        4.31        10.89        10.44  
GROWTH OF $10,000 INVESTMENT
 
LOGO
 
 
(a)
 
Represents the Fund’s closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices.
 
 
(b)
 
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.
 
 
 
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Fund Summary
  as of December 31, 2023 (continued)
  
BlackRock Debt Strategies Fund, Inc. (DSU)
 
Performance
Returns for the period ended December 31, 2023 were as follows:
 
    Average Annual Total Returns  
    
 1 Year
   
5 Years
   
10 Years
 
Fund at NAV
(a)(b)
    15.74     7.34     5.95
Fund at Market Price
(a)(b)
    30.14       10.50       6.82  
Reference Benchmark
(c)
    13.42       5.61       4.53  
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index
(d)
    13.44       5.35       4.59  
Morningstar LSTA Leveraged Loan Index
    13.32       5.80       4.42  
 
 
(a)
 
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage, if any.
 
 
(b)
 
The Fund’s discount to NAV narrowed 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 Morningstar LSTA Leveraged Loan Index (50%). The Reference Benchmark’s index content and weightings may have varied over past periods.
 
 
(d)
 
An unmanaged index comprised of issuers 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.
 
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.
More information about the Fund’s historical performance can be found in the “Closed End Funds” section of
blackrock.com
.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
Bank loans performed well in 2023, as investors gravitated toward asset classes with the ability to perform well when interest rates are rising. High yield bonds also produced robust gains, as the backdrop of falling inflation and continued economic growth fueled positive returns for the credit-sensitive areas of the fixed-income market.
From an asset allocation perspective, bank loans were the largest contributor to the portfolio’s returns, followed by high yield bonds. Technology, consumer cyclical services, and building materials were the three largest contributors at the sector level, although nearly every sector added to returns at a time of strong market performance. B rated issues were the largest contributors, followed by BBs and CCCs. On the other hand, the Fund’s allocation to CC rated securities was a slight detractor.
The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy. The distribution policy resulted in return of capital for the period. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.
Describe recent portfolio activity.
The Fund’s asset allocation positioning remained largely consistent, with bank loans being the dominant position. Sector allocations were also steady, although bottom-up factors are the key driver of the Fund’s overall positioning.
Describe portfolio positioning at period end.
Bank loans were the largest allocation in the portfolio, but high yield bonds were a meaningful position, as well. The Fund’s largest positions were in the technology, consumer cyclical services, and healthcare sectors. The Fund had relatively smaller weightings in retailers and home construction. In energy, the Fund remained broadly underweight across the midstream, independent energy, and oil field services sectors. From a credit rating perspective, the Fund was overweight in B rated issues and underweight in BBs. It also held a small position in BBB rated securities.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
 
 
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Fund Summary
  as of December 31, 2023 (continued)
  
BlackRock Debt Strategies Fund, Inc. (DSU)
 
Overview of the Fund’s Total Investments
 
PORTFOLIO COMPOSITION
 
   
Asset Type
 
Percentage of
Total Investments
 
Floating Rate Loan Interests
    83.2
Corporate Bonds
    14.4  
Other*
    2.4  
CREDIT QUALITY ALLOCATION
 
   
Credit Rating
(a)(b)
 
Percentage of
Total Investments
 
A
    %
(c)
 
BBB/Baa
    7.9  
BB/Ba
    27.6  
B
    55.9  
CCC/Caa
    6.2  
CC
   
(c)
 
N/R
(d)
    2.4  
(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.
(d)
 
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 December 31, 2023, 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.
 
 
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Fund Summary
  as of December 31, 2023 
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
 
Investment Objective
BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA) (the “Fund”)
investment objective is to provide shareholders with high current income and such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and instruments. The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its managed assets in floating rate debt securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments in floating rate debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade at the time of investment or, if unrated, are considered by the investment adviser to be of comparable quality. The Fund may invest directly in floating rate debt securities or synthetically through the use of derivatives.
No assurance can be given that the Fund’s investment objective will be achieved.
Fund Information
 
   
Symbol on New York Stock Exchange
  FRA
Initial Offering Date
  October 31, 2003
Current Distribution Rate on Closing Market Price as of December 31, 2023 ($12.66)
(a)
  11.74%
Current Monthly Distribution per Common Share
(b)
  $0.123840
Current Annualized Distribution per Common Share
(b)
  $1.486080
Leverage as of December 31, 2023
(c)
  24%
 
 
(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.
 
Market Price and Net Asset Value Per Share Summary
 
    
12/31/23
    
12/31/22
    
Change
    
 High
    
 Low
 
Closing Market Price
  $ 12.66      $ 11.26        12.43    $ 12.71      $ 11.18  
Net Asset Value
    13.26        12.81        3.51        13.33        12.80  
GROWTH OF $10,000 INVESTMENT
 
LOGO
 
 
(a)
 
Represents the Fund’s closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices.
 
 
(b)
 
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.
 
 
 
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Fund Summary
  as of December 31, 2023 (continued)
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
 
Performance
Returns for the period ended December 31, 2023 were as follows:
 
    Average Annual Total Returns  
    
 1 Year
   
5 Years
   
10 Years
 
Fund at NAV
(a)(b)
    15.35     7.06     5.34
Fund at Market Price
(a)(b)
    25.29       9.22       5.40  
Morningstar LSTA Leveraged Loan Index
    13.32       5.80       4.42  
 
 
(a)
 
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage, if any.
 
 
(b)
 
The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.
 
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.
More information about the Fund’s historical performance can be found in the “Closed End Funds” section of
blackrock.com
.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
Bank loans performed well in 2023, as investors gravitated toward asset classes with the ability to perform well when interest rates are rising. In addition, the backdrop of falling inflation and continued economic growth fueled positive returns for the credit-sensitive areas of the fixed-income market.
The Fund’s allocation to B rated issues made the largest contribution to absolute performance, followed by BBs and CCCs, respectively. Its allocation to the technology sector also contributed. On the other hand, its position in CC rated securities was a slight detractor.
The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy.
Describe recent portfolio activity.
The investment adviser increased the Fund’s position in BBBs, while decreasing the extent of its overweight in CCCs.
The Fund continued to use liquid, index-based derivatives in the loan and high yield markets to manage its positioning.
Describe portfolio positioning at period end.
The Fund was overweight in BBBs and BBs. It also maintained a small overweight in CCCs to capitalize on idiosyncratic opportunities, although the investment adviser took advantage of the markets to reduce some of the position. Technology continued to be the Fund’s largest absolute allocation at the sector level due to its large index weighting. The Fund’s active sector weightings were largely informed by bottom-up security selection, although top-down considerations also played a role in the investment adviser’s outlook on individual securities. The Fund’s out-of-benchmark allocations remained limited.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
 
 
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Fund Summary
  as of December 31, 2023 (continued)
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
 
Overview of the Fund’s Total Investments
 
PORTFOLIO COMPOSITION
 
 
 
Asset Type
 
Percentage of  
Total Investments  
 
 
 
Floating Rate Loan Interests
    96.6%  
Corporate Bonds
    1.2    
Asset-Backed Securities
    1.0    
Investment Companies
    1.0    
Other*
    0.2    
 
 
CREDIT QUALITY ALLOCATION
 
 
 
Credit Rating
(a)(b)
 
Percentage of  
Total Investments  
 
 
 
BBB/Baa
    8.2%  
BB/Ba
    25.3    
B
    58.7    
CCC/Caa
    5.1    
CC
   
(c)
 
N/R
(d)
    2.7    
 
 
(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.
(d)
 
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 December 31, 2023, 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.
 
 
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Fund Summary
  as of December 31, 2023 
  
BlackRock Income Trust, Inc. (BKT)
 
Investment Objective
BlackRock Income Trust, Inc.’s (BKT) (the “Fund”)
investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Fund seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. The Fund invests at least 80% of its assets in securities that are (i) issued or guaranteed by the U.S. government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P Global Ratings (“S&P”) or Aaa by Moody’s Investors Service, Inc (“Moody’s”). The Fund may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Fund’s investment objective will be achieved.
Fund Information
 
   
Symbol on New York Stock Exchange
  BKT  
Initial Offering Date
  July 22, 1988  
Current Distribution Rate on Closing Market Price as of December 31, 2023 ($ 12.18)
(a)
  8.69%  
Current Monthly Distribution per Common Share
(b)
  $0.088200  
Current Annualized Distribution per Common Share
(b)
  $1.058400  
Leverage as of December 31, 2023
(c)
  29%  
 
 
(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.
 
Market Price and Net Asset Value Per Share Summary
 
    
12/31/23
    
12/31/22
    
Change
    
High
    
Low
 
Closing Market Price
  $ 12.18      $ 12.34        (1.30 )%     $  13.27      $  10.56  
Net Asset Value
    12.73        13.10        (2.82      13.74        11.36  
GROWTH OF $10,000 INVESTMENT
 
LOGO
 
 
(a)
 
Represents the Fund’s closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices.
 
 
(b)
 
An unmanaged index that includes all outstanding government sponsored fixed rate mortgage-backed securities, weighted in proportion to their current market capitalization.
 
 
 
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Fund Summary
  as of December 31, 2023 (continued)
  
BlackRock Income Trust, Inc. (BKT)
 
Performance
Returns for the period ended December 31, 2023 were as follows:
 
    Average Annual Total Returns  
 
 
 
 
    
1 Year
   
5 Years
   
10 Years
 
Fund at NAV
(a)(b)
    6.03     (0.40 )%      1.23
Fund at Market Price
(a)(b)
    7.69       0.77       1.88  
FTSE Mortgage Index
    4.72       0.21       1.36  
 
 
(a)
 
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage, if any.
 
 
(b)
 
The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.
 
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.
More information about the Fund’s historical performance can be found in the “Closed End Funds” section of
blackrock.com
.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
Performance of the Fund benefited over the reporting period from an allocation to last cash flow structures within agency collateralized mortgage obligations (“CMOs”) as spreads tightened late in the period. Allocations across agency commercial mortgage-backed securities (“CMBS”) including single-asset/single-borrower and interest-only securities also proved additive.
Tactical positioning with respect to portfolio duration and corresponding interest rate sensitivity detracted over the period, specifically positioning designed to benefit from any steepening in the U.S. Treasury yield curve between two and 10 years, as well as a long duration bias in the five-year part of the curve.
The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy. The distribution policy resulted in return of capital for the period. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.
Describe recent portfolio activity.
The Fund held a substantial allocation to well-structured agency CMOs as well as agency mortgage-backed security (“MBS”) interest-only derivatives. Security selection within agency CMOs and MBS derivatives has been focused on seasoned collateral which should demonstrate more favorable prepayment performance across both higher and lower mortgage rate regimes relative to generic collateral.
The Fund held derivatives during the period as a part of its investment strategy. Derivatives were used by the investment adviser as a means to hedge and/or take outright views on interest rates and/or credit risk positions in the portfolio. Specifically, the portfolio used Treasury futures to express duration bias and curve bias. The Fund also tactically allocated to mortgage derivatives to gain market exposure to specific collateral stories when relative value opportunities present themselves.
Describe portfolio positioning at period end.
At the end of the period, the Fund held a substantial allocation to well-structured agency CMOs as well as agency MBS interest-only derivatives. The Fund held only marginal positions in other securitized assets such as non-agency residential MBS and CMBS, preferring to focus on prepayment and structural opportunities in higher quality agency-backed assets rather than seek credit exposure.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
 
 
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Fund Summary
  as of December 31, 2023 (continued)
  
BlackRock Income Trust, Inc. (BKT)
 
Overview of the Fund’s Total Investments
 
PORTFOLIO COMPOSITION
 
 
 
Asset Type
(a)
 
Percentage of  
Total Investments  
 
 
 
U.S. Government Sponsored Agency Securities
    89.1%  
Non-Agency Mortgage-Backed Securities
    10.9    
Asset-Backed Securities
   
(b)
 
 
 
CREDIT QUALITY ALLOCATION
 
 
 
Credit Rating
(a)(c)
 
Percentage of  
Total Investments  
 
 
 
AAA/Aaa
(d)
    89.9%  
AA/Aa
    9.6    
CCC/Caa
   
(b)
 
N/R
    0.5    
 
 
(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.
 
 
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Fund Summary
  as of December 31, 2023 
  
BlackRock Limited Duration Income Trust (BLW)
 
Investment Objective
BlackRock Limited Duration Income Trust’s (BLW) (the “Fund”)
investment objective is to provide current income and capital appreciation. The Fund seeks to achieve its investment objective by investing primarily in three distinct asset classes:
 
   
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.
The Fund’s portfolio normally has an average portfolio duration of less than five years (including the effect of anticipated leverage), although it may be longer from time to time depending on market conditions. The Fund may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Fund’s investment objective will be achieved.
Fund Information
 
   
Symbol on New York Stock Exchange
  BLW  
Initial Offering Date
  July 30, 2003  
Current Distribution Rate on Closing Market Price as of December 31, 2023 ($ 13.98)
(a)
  9.26%  
Current Monthly Distribution per Common Share
(b)
  $0.107900  
Current Annualized Distribution per Common Share
(b)
  $1.294800  
Leverage as of December 31, 2023
(c)
  35%  
 
 
(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.
 
Market Price and Net Asset Value Per Share Summary
 
    
12/31/23
    
12/31/22
    
Change
    
High
    
Low 
 
Closing Market Price
  $ 13.98      $ 13.07        6.96    $ 14.10      $  12.38   
Net Asset Value
    14.11        13.51        4.44        14.26        13.19   
GROWTH OF $10,000 INVESTMENT
 
LOGO
 
 
(a)
 
Represents the Fund’s closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices.
 
 
(b)
 
An unmanaged index comprised of issuers 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.
 
 
 
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Fund Summary
  as of December 31, 2023 (continued)
  
BlackRock Limited Duration Income Trust (BLW)
 
Performance
Returns for the period ended December 31, 2023 were as follows:
 
   
Average Annual Total Returns
 
    
 1 Year 
   
5 Years
   
10 Years
 
Fund at NAV
(a)(b)
    14.41     5.92     5.49
Fund at Market Price
(a)(b)
    17.17       9.04       5.82  
Reference Benchmark
(c)
    10.70       4.41       3.63  
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index
    13.44       5.35       4.59  
Morningstar LSTA Leveraged Loan Index
(d)
    13.32       5.80       4.42  
BATS S Benchmark
(e)
    5.41       1.89       1.74  
 
 
(a)
 
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage, if any.
 
 
(b)
 
The Fund’s discount to NAV narrowed 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 Morningstar 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)
 
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.
 
 
(e)
 
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 Yr. Index, Bloomberg MBS 15 Yr Index and Bloomberg Credit Ex-Corporate 1-5 Yr Index.
 
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.
More information about the Fund’s historical performance can be found in the “Closed End Funds” section of
blackrock.com
.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
The largest contributors to the Fund’s absolute performance over the period included exposure to a range of credit-oriented sectors including high yield corporate bonds and bank loans. Holdings of investment grade corporate bonds, collateralized loan obligations (“CLOs”) and capital securities were also notable contributors.
The Fund utilized derivatives during the period including Treasury futures, currency forwards, currency options, interest rate swaps and credit default swaps. Derivative securities were employed primarily to adjust duration (sensitivity to interest rate changes) and yield curve exposure, as well as to hedge credit and currency risk. Currency forwards were used to provide the portfolio with active currency exposure. The Fund’s use of derivatives detracted from performance during the period.
Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy. The distribution policy resulted in return of capital for the period. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.
Describe recent portfolio activity.
The Fund increased duration and corresponding interest rate sensitivity in the first quarter of 2023 as interest rates rose and did not meaningfully reduce duration until the decline in rates that took place during the fourth quarter. Based on conviction in the strong fundamentals of the U.S. economy, the Fund reduced exposure to emerging markets debt, while maintaining elevated levels of U.S. high yield corporate exposure over most of the year. The Fund continued to favor agency mortgage-backed securities (“MBS”) as a high-quality source of income as well as on the basis of attractive valuations driven by the regional bank crisis in March 2023 and bank sales of MBS. The Fund reduced the allocation to capital securities (i.e., subordinated bank debt) in the first half of 2023 due to concerns around pressures on the banking sector. During the fourth quarter of 2023, the Fund reduced risk and took profits as credit spreads became historically tight.
Describe portfolio positioning at period end.
At period end, the Fund maintained diversified exposure to non-government spread sectors including high yield and investment grade corporate bonds, bank loans, capital securities, agency and non-agency residential MBS, and CLOs. The Fund was positioned with an overweight to duration and corresponding interest rate sensitivity versus the benchmark on the view that the Fed was poised to begin cutting interest rates in 2024.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
 
 
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Fund Summary
  as of December 31, 2023 (continued)
  
BlackRock Limited Duration Income Trust (BLW)
 
Overview of the Fund’s Total Investments
 
PORTFOLIO COMPOSITION
 
   
Asset Type
 
Percentage of
Total Investments
 
Corporate Bonds
    47.2
Floating Rate Loan Interests
    38.2  
Asset-Backed Securities
    4.5  
Preferred Securities
    3.8  
U.S. Government Sponsored Agency Securities
    2.5  
Non-Agency Mortgage-Backed Securities
    1.9  
Other*
    1.9  
CREDIT QUALITY ALLOCATION
 
   
Credit Rating
(a)(b)
 
Percentage of
Total Investments
 
AAA/Aaa
(c)
    4.1
AA/Aa
    0.6  
A
    1.4  
BBB/Baa
    11.9  
BB/Ba
    31.5  
B
    41.5  
CCC/Caa
    5.5  
CC
   
(d)
 
C
    0.3  
N/R
(e)
    3.2  
(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)
 
Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment adviser.
(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 December 31, 2023, 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.
 
 
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Fund Summary
  as of December 31, 2023 
  
BlackRock Multi-Sector Income Trust (BIT)
 
Investment Objective
BlackRock Multi-Sector Income Trust’s (BIT) (the “Fund”)
primary investment objective is to seek high current income, with a secondary objective of capital appreciation. The Trust seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its assets in loan and debt instruments and other investments with similar economic characteristics. The Trust may invest directly in such securities or synthetically through the use of derivatives. Additionally, as part of the Trust’s investments in loans, the Trust may make loans directly to borrowers either as a sole lender or by acting as a member of a syndicate of original lenders.
On June 1, 2023, the Board of Trustees of the Trust approved a change in the fiscal year end of the Trust, effective as of December 31, 2023, from October 31 to December 31.
No assurance can be given that the Fund’s investment objective will be achieved.
Fund Information
 
     
Symbol on New York Stock Exchange
  BIT  
Initial Offering Date
  February 27, 2013  
Current Distribution Rate on Closing Market Price as of December 31, 2023 ($ 15.00)
(a)
  9.90%  
Current Monthly Distribution per Common Share
(b)
  $0.123700  
Current Annualized Distribution per Common Share
(b)
  $1.484400  
Leverage as of December 31, 2023
(c)
  34%  
 
 
 
(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.
 
Market Price and Net Asset Value Per Share Summary
 
    
12/31/23
    
12/31/22
    
Change
    
High
    
Low
 
Closing Market Price
  $ 15.00      $ 14.21        5.56    $  15.35      $  13.73  
Net Asset Value
    14.76        14.73        0.20        15.36        13.67  
GROWTH OF $10,000 INVESTMENT
 
LOGO
 
 
(a)
 
Represents the Fund’s closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices.
 
 
(b)
 
A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.
 
 
 
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Fund Summary
  as of December 31, 2023 (continued)
  
BlackRock Multi-Sector Income Trust (BIT)
 
Performance
Returns for the period ended December 31, 2023 were as follows:
 
     Average Annual Total Returns   
 
 
 
 
    
1 Year
   
5 Years
    
10 Years
 
Fund at NAV
(a)(b)
    10.96     5.54      6.81
Fund at Market Price
(a)(b)
    16.89       8.99        8.09  
Bloomberg U.S. Aggregate Bond Index
    5.53       1.10        1.81  
 
 
(a)
 
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage, if any.
 
 
(b)
 
The Fund moved from a discount to NAV to a premium during the period, which accounts for the difference between performance based on market price and performance based on NAV.
 
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.
More information about the Fund’s historical performance can be found in the “Closed End Funds” section of
blackrock.com
.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
Positive contributors to the Fund’s performance over the period were highlighted by exposure to U.S. high yield corporate bonds. In addition, exposure to investment grade corporate bonds, collateralized loan obligations, non-agency residential mortgage-backed securities (“MBS”) and agency MBS proved additive.
The principal detractor from the Fund’s performance was the use of derivatives. In particular, the use of swaps and swaptions to manage duration and Treasury yield curve exposures detracted from performance.
The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy. The distribution policy resulted in return of capital for the period. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.
Describe recent portfolio activity.
As interest rates rose over the first half of the period, the Fund significantly increased portfolio duration and corresponding interest rate sensitivity, benefiting performance late in the period as rates declined in anticipation of upcoming Fed rate decreases. The Fund favored agency MBS as a high quality source of income as well as due to attractive valuations driven by volatility in March 2023 in the wake of the regional bank crisis and bank selling of MBS. The Fund trimmed this allocation in the fourth quarter of 2023 in order to take profits after a period of strong performance. The Fund also reduced the allocation to capital securities (i.e., subordinated bank debt) in the first half of 2023 on concerns around potential pressures on the banking sector. Based on a positive view of U.S. economic fundamentals, the Fund reduced its emerging market exposure in favor of an elevated allocation to high yield corporate bonds, aiding performance.
Describe portfolio positioning at period end.
At period end, the Fund maintained a diversified exposure within non-governmental spread sectors, including high yield corporate bonds, agency and non-agency MBS, investment grade corporate bonds and capital securities. The Fund ended the period with a relatively long duration stance on the view that the Fed will reduce interest rates in 2024.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
 
 
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Fund Summary
  as of December 31, 2023 (continued)
  
BlackRock Multi-Sector Income Trust (BIT)
 
Overview of the Fund’s Total Investments
 
PORTFOLIO COMPOSITION
 
 
 
Asset Type
 
Percentage of  
Total Investments  
 
 
 
Corporate Bonds
    55.1%  
Non-Agency Mortgage-Backed Securities
    12.0    
Asset-Backed Securities
    11.8    
U.S. Government Sponsored Agency Securities
    11.3    
Preferred Securities
    4.0    
Floating Rate Loan Interests
    3.1    
Short-Term Securities
    1.2    
Other*
    1.5    
 
 
CREDIT QUALITY ALLOCATION
 
 
 
Credit Rating
(a)(b)
 
Percentage of  
Total Investments  
 
 
 
AAA/Aaa
(c)
    17.9%  
AA/Aa
    1.3    
A
    2.1    
BBB/Baa
    10.8    
BB/Ba
    25.6    
B
    23.4    
CCC/Caa
    5.5    
CC
    1.9    
C
    2.4    
N/R
(d)
    9.1    
 
 
(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)
 
Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment adviser.
 
(d)
 
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 December 31, 2023, 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.
 
 
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Schedule of Investments
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Asset-Backed Securities
     
Ballyrock CLO Ltd., Series 2023-25A, Class C, (3-mo. CME Term SOFR + 4.70%),
10.02%, 01/25/36
(a)
    USD       1,000     $ 992,438  
Golub Capital Partners CLO Ltd., Series 2023- 66B, Class D,
(3-mo. CME Term SOFR + 5.50%), 10.88%, 04/25/36
(a)(b)
      1,000         1,014,419  
Pikes Peak CLO Ltd., Series 2023-14, Class D, (3-mo. CME Term SOFR + 5.45%), 10.87%, 04/20/36
(a)(b)
      1,000       1,014,004  
Symphony CLO Ltd.
(a)
     
Series 2023-38, Class D,
(3-mo. CME Term SOFR + 5.20%), 10.60%, 04/24/36
(b)
      1,000       999,862  
Series 2023-40A, Class D,
(3-mo. CME Term SOFR + 5.00%), 10.34%, 01/14/34
      1,000       999,711  
Unique Pub Finance Co. PLC
(c)
     
Series A4, 5.66%, 06/30/27
    GBP       30       38,601  
Series N, 6.46%, 03/30/32
      100       128,131  
Whitebox CLO IV Ltd., Series 2023-4A, Class D, (3-mo. CME Term SOFR + 5.15%),
10.57%, 04/20/36
(a)(b)
    USD       1,000       1,022,720  
   
 
 
 
Total Asset-Backed Securities — 1.2%
(Cost: $6,185,120)
 
    6,209,886  
   
 
 
 
           
Shares
        
Common Stocks
     
Construction & Engineering — 0.0%
 
McDermott International Ltd.
(d)
      141,483       12,733  
   
 
 
 
Consumer Finance — 0.1%
 
 
Travelport Finance Luxembourg SARL
 
    230       546,731  
   
 
 
 
Electrical Equipment — 0.0%
     
SunPower Corp.
(d)
      1,707       8,245  
   
 
 
 
Energy Equipment & Services — 0.0%
 
Project Investor Holdings LLC, (Acquired 02/12/19,
Cost: $0)
(d)(e)(f)
 
    7,288        
   
 
 
 
Financial Services — 0.0%
     
NMG Parent LLC
      1,477       147,700  
   
 
 
 
Health Care Providers & Services — 0.1%
 
Envision Healthcare Corp.
(d)(e)
      28,198       211,485  
   
 
 
 
Industrial Conglomerates — 0.0%
 
Ameriforge Group, Inc.
(d)
      1,664       17  
   
 
 
 
Media — 0.1%
     
Learfield Communications LLC, (Acquired 09/06/23,
Cost: $73,447)
(d)(e)(f)
      5,846       248,455  
   
 
 
 
Oil, Gas & Consumable Fuels — 0.0%
 
   
Kcad Holdings I Ltd.
(d)(e)
      1,075,282,733       10,753  
   
 
 
 
Security
        
Shares
   
Value
 
Semiconductors & Semiconductor Equipment — 0.0%
 
Maxeon Solar Technologies Ltd.
(d)
      213     $ 1,527  
   
 
 
 
Total Common Stocks — 0.3%
(Cost: $15,328,180)
          1,187,646  
   
 
 
 
           
Par
(000)
        
Corporate Bonds
     
Aerospace & Defense
(b)
— 0.5%
     
Bombardier, Inc.
     
7.13%, 06/15/26
    USD       295       293,623  
7.88%, 04/15/27
      24       24,004  
6.00%, 02/15/28
      206       200,701  
7.50%, 02/01/29
      56       56,928  
8.75%, 11/15/30
      118       125,635  
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26
      200       195,471  
Rolls-Royce PLC, 5.75%, 10/15/27
      200       200,343  
Spirit AeroSystems, Inc.
     
9.38%, 11/30/29
      129       141,161  
9.75%, 11/15/30
      128       137,597  
TransDigm, Inc.
     
6.75%, 08/15/28
      540       552,464  
7.13%, 12/01/31
      273       286,081  
Triumph Group, Inc., 9.00%, 03/15/28
      266       282,850  
   
 
 
 
        2,496,858  
Automobile Components — 0.4%
     
Clarios Global LP, 6.75%, 05/15/25
(b)
      552       556,858  
Clarios Global LP/Clarios U.S. Finance Co.
(b)
     
8.50%, 05/15/27
      624       626,175  
6.75%, 05/15/28
      223       227,508  
Dana Financing Luxembourg SARL,
8.50%, 07/15/31
(c)
    EUR       100       120,580  
Forvia SE, 3.75%, 06/15/28
(c)
      100       108,037  
Goodyear Tire & Rubber Co.
     
5.00%, 07/15/29
    USD       26       24,565  
5.63%, 04/30/33
      30       26,892  
NM Holdings Co. LLC
(d)(e)(g)
     
12.00%, 07/01/49
        5,150        
Series B, 9.50%, 07/01/05
      5,125        
Tenneco, Inc., 8.00%, 11/17/28
(b)
      46       39,272  
Titan International, Inc., 7.00%, 04/30/28
      18       18,008  
ZF Finance GmbH, 5.75%, 08/03/26
(c)
    EUR       100       113,983  
   
 
 
 
        1,861,878  
Automobiles — 0.1%
     
Asbury Automotive Group, Inc.
     
4.50%, 03/01/28
    USD       39       37,040  
5.00%, 02/15/32
(b)
      73       66,343  
Dealer Tire LLC/DT Issuer LLC,
8.00%, 02/01/28
(b)
      12       11,880  
Ford Motor Co.
     
3.25%, 02/12/32
      22       18,298  
6.10%, 08/19/32
      139       140,116  
 
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Automobiles (continued)
     
Ken Garff Automotive LLC,
4.88%, 09/15/28
(b)
    USD       39     $ 36,909  
LCM Investments Holdings II LLC
(b)
     
4.88%, 05/01/29
      103       95,678  
8.25%, 08/01/31
      64       66,797  
RCI Banque SA, (5-year EUR Swap + 2.85%), 2.63%, 02/18/30
(a)(c)
    EUR       100          106,752  
Wabash National Corp.,
4.50%, 10/15/28
(b)
    USD       70       63,162  
   
 
 
 
        642,975  
Banks — 0.1%
     
Banco BPM SpA, (3-mo. EURIBOR + 2.80%), 6.00%, 06/14/28
(a)
    EUR       150       173,229  
Banco Espirito Santo SA
(d)(g)
     
2.63%, 05/08/17
(c)
        100       28,703  
4.75%, 01/15/18
      200       57,405  
4.00%, 01/21/22
      100       28,703  
Citigroup, Inc., (1-day SOFR + 2.66%), 6.17%, 05/25/34
(a)
    USD       105       108,651  
Freedom Mortgage Corp.
     
12.00%, 10/01/28
(b)
      25       27,303  
12.25%, 10/01/30
      26       28,542  
Northern Trust Corp., 6.13%, 11/02/32
      27       28,994  
   
 
 
 
        481,530  
Broadline Retail — 0.0%
     
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26
(b)
      38       36,516  
   
 
 
 
Building Products
(b)
— 0.3%
     
Advanced Drainage Systems, Inc.
     
5.00%, 09/30/27
      29       27,985  
6.38%, 06/15/30
      95       95,712  
Beacon Roofing Supply, Inc.
     
4.13%, 05/15/29
      39       35,555  
6.50%, 08/01/30
      76       77,708  
Foundation Building Materials, Inc.,
6.00%, 03/01/29
      24       21,579  
GYP Holdings III Corp., 4.63%, 05/01/29
      109       99,506  
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26
      27       26,481  
SRS Distribution, Inc.
     
4.63%, 07/01/28
      207       196,380  
6.13%, 07/01/29
      132       125,140  
6.00%, 12/01/29
      217       202,332  
White Cap Buyer LLC, 6.88%, 10/15/28
      720       696,969  
White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26
(h)
      72       71,665  
   
 
 
 
        1,677,012  
Capital Markets — 0.2%
     
AG TTMT Escrow Issuer LLC,
8.63%, 09/30/27
(b)
      47       49,416  
Ares Capital Corp., 7.00%, 01/15/27
      40       41,144  
Aretec Group, Inc., 10.00%, 08/15/30
(b)
      25       26,566  
Blackstone Private Credit Fund
     
7.05%, 09/29/25
      25       25,442  
3.25%, 03/15/27
      24       22,016  
Blue Owl Capital Corp., 3.40%, 07/15/26
      21       19,524  
Blue Owl Capital Corp. II, 8.45%, 11/15/26
      38       39,149  
Blue Owl Credit Income Corp.
     
5.50%, 03/21/25
      55       54,222  
3.13%, 09/23/26
      12       10,959  
7.75%, 09/16/27
      58       59,801  
Security
        
Par
(000)
   
Value
 
Capital Markets (continued)
     
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29
(b)
    USD       65     $ 61,400  
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
     
4.75%, 09/15/24
      101       100,385  
6.25%, 05/15/26
      16       15,266  
5.25%, 05/15/27
      185       166,171  
9.75%, 01/15/29
      77       78,555  
4.38%, 02/01/29
      55       45,928  
Oaktree Strategic Credit Fund,
8.40%, 11/14/28
      43       45,293  
   
 
 
 
           861,237  
Chemicals — 0.6%
     
Ashland LLC, 3.38%, 09/01/31
(b)
      55       47,405  
Avient Corp., 7.13%, 08/01/30
(b)
      39       40,570  
Axalta Coating Systems LLC,
3.38%, 02/15/29
(b)
      150       134,614  
Celanese U.S. Holdings LLC,
6.70%, 11/15/33
      28       30,369  
Chemours Co.
(b)
     
5.75%, 11/15/28
      90       85,725  
4.63%, 11/15/29
      24       21,071  
Element Solutions, Inc.,
3.88%, 09/01/28
(b)
      498       458,477  
HB Fuller Co., 4.25%, 10/15/28
      35       32,727  
Herens Holdco SARL, 4.75%, 05/15/28
(b)
      200       164,077  
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28
(b)
      184       175,941  
Ingevity Corp., 3.88%, 11/01/28
(b)
      23       20,597  
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26
(b)(h)
      86       64,150  
LSF11 A5 HoldCo LLC,
6.63%, 10/15/29
(b)
      42       35,517  
Minerals Technologies, Inc.,
5.00%, 07/01/28
(b)
      55       52,893  
Olympus Water U.S. Holding Corp.
     
9.63%, 11/15/28
(c)
    EUR       100       118,123  
9.75%, 11/15/28
(b)
    USD       200       212,279  
Scotts Miracle-Gro Co.
     
4.50%, 10/15/29
      5       4,443  
4.38%, 02/01/32
      97       81,967  
SK Invictus Intermediate II SARL,
5.00%, 10/30/29
(b)
      185       160,487  
WR Grace Holdings LLC
(b)
     
4.88%, 06/15/27
      55       52,915  
5.63%, 08/15/29
        1,005       884,357  
7.38%, 03/01/31
      53       53,016  
   
 
 
 
        2,931,720  
Commercial Services & Supplies — 0.8%
 
ADT Security Corp.
(b)
     
4.13%, 08/01/29
      9       8,282  
4.88%, 07/15/32
      68       62,899  
Allied Universal Holdco LLC/Allied Universal Finance Corp.
(b)
     
6.63%, 07/15/26
      305       303,398  
9.75%, 07/15/27
      118       115,628  
6.00%, 06/01/29
      323       263,340  
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28
(b)
      400       364,591  
AMN Healthcare, Inc., 4.00%, 04/15/29
(b)
      28       25,254  
APi Group DE, Inc.
(b)
     
4.13%, 07/15/29
      67       60,967  
4.75%, 10/15/29
      32       30,058  
 
 
22
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Commercial Services & Supplies (continued)
 
 
APX Group, Inc.
(b)
     
6.75%, 02/15/27
    USD       64     $ 63,840  
5.75%, 07/15/29
      86       80,175  
Fortress Transportation and Infrastructure Investors LLC
     
6.50%, 10/01/25
(b)
      163       162,478  
9.75%, 08/01/27
(b)
      51       53,040  
5.50%, 05/01/28
(b)
      238       228,871  
7.88%, 12/01/30
      180       187,520  
Garda World Security Corp.
(b)
     
4.63%, 02/15/27
      61       58,816  
9.50%, 11/01/27
      30       30,244  
7.75%, 02/15/28
      175       181,057  
6.00%, 06/01/29
      6       5,378  
Herc Holdings, Inc., 5.50%, 07/15/27
(b)
      130       128,351  
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc., 5.00%, 02/01/26
(b)
      52       51,922  
Metis Merger Sub LLC, 6.50%, 05/15/29
(b)
      39       35,269  
Neptune Bidco U.S., Inc.,
9.29%, 04/15/29
(b)
      110       102,575  
NESCO Holdings II, Inc.,
5.50%, 04/15/29
(b)
      74       68,420  
Paprec Holding SA, 7.25%, 11/17/29
(c)
    EUR       100       118,261  
Prime Security Services Borrower LLC/Prime Finance, Inc.,
6.25%, 01/15/28
(b)
    USD         365       362,872  
Sotheby’s/Bidfair Holdings, Inc.,
5.88%, 06/01/29
(b)
      202       174,702  
United Rentals North America, Inc., 6.00%, 12/15/29
(b)
      360       365,496  
Williams Scotsman, Inc.
     
6.13%, 06/15/25
(b)
      49       49,097  
4.63%, 08/15/28
(b)
      37       34,947  
7.38%, 10/01/31
      98       102,778  
   
 
 
 
          3,880,526  
Communications Equipment — 0.1%
                 
CommScope Technologies LLC,
6.00%, 06/15/25
(b)
      124       101,060  
CommScope, Inc., 4.75%, 09/01/29
(b)
      72       48,341  
Viasat, Inc.
     
5.63%, 09/15/25
(b)
      124       120,905  
5.63%, 04/15/27
(b)
      125       120,937  
7.50%, 05/30/31
      14       10,990  
Viavi Solutions, Inc., 3.75%, 10/01/29
(b)
      58       50,776  
   
 
 
 
        453,009  
Construction & Engineering — 0.2%
                 
Arcosa, Inc., 4.38%, 04/15/29
(b)
      117       108,971  
Brand Industrial Services, Inc.,
10.38%, 08/01/30
      624       659,899  
Dycom Industries, Inc., 4.50%, 04/15/29
(b)
      37       34,333  
MasTec, Inc., 4.50%, 08/15/28
(b)
      13       12,208  
Pike Corp., 8.63%, 01/31/31
(b)
      23       24,169  
   
 
 
 
        839,580  
Construction Materials — 0.4%
                 
American Builders & Contractors Supply Co., Inc., Series A, 3.88%, 11/15/29
(b)
      10       8,915  
BCPE Empire Holdings, Inc.,
7.63%, 05/01/27
(b)
      82       79,070  
Camelot Return Merger Sub, Inc.,
8.75%, 08/01/28
(b)
      67       68,007  
Emerald Debt Merger Sub LLC
     
6.38%, 12/15/30
(c)
    EUR       100       117,908  
6.63%, 12/15/30
(b)
    USD       709       724,151  
H&E Equipment Services, Inc.,
3.88%, 12/15/28
(b)
      20       18,186  
Security
        
Par
(000)
   
Value
 
Construction Materials (continued)
 
 
HT Troplast GmbH, 9.38%, 07/15/28
    EUR       100     $ 111,981  
Masonite International Corp.
(b)
     
5.38%, 02/01/28
    USD       45       43,200  
3.50%, 02/15/30
      31       26,872  
New Enterprise Stone & Lime Co., Inc.
(b)
     
5.25%, 07/15/28
      26       24,802  
9.75%, 07/15/28
      38       38,000  
Resideo Funding, Inc., 4.00%, 09/01/29
(b)
      18       15,705  
Ritchie Bros Holdings, Inc., 6.75%, 03/15/28
(b)
      20       20,592  
Smyrna Ready Mix Concrete LLC
     
6.00%, 11/01/28
(b)
      119       117,165  
8.88%, 11/15/31
      178       187,109  
Standard Industries, Inc./New Jersey
     
2.25%, 11/21/26
(c)
    EUR       100       104,047  
5.00%, 02/15/27
(b)
    USD       45       43,872  
4.75%, 01/15/28
(b)
      12       11,552  
4.38%, 07/15/30
(b)
      176       161,636  
3.38%, 01/15/31
(b)
      34       29,249  
Summit Materials LLC/Summit Materials Finance Corp.
(b)
     
5.25%, 01/15/29
      124       119,970  
7.25%, 01/15/31
      120       126,445  
   
 
 
 
        2,198,434  
Consumer Finance — 0.6%
                 
Block, Inc.
     
2.75%, 06/01/26
      175       165,030  
3.50%, 06/01/31
        264       234,419  
Bread Financial Holdings, Inc., 9.75%, 03/15/29
(b)
.
      36       37,320  
Capital One Financial Corp., (1-day SOFR + 2.86%),
6.38%, 06/08/34
(a)
      25       25,730  
Ford Motor Credit Co. LLC,
7.35%, 03/06/30
      200       214,860  
GTCR W-2 Merger Sub LLC,
7.50%, 01/15/31
(b)
      459       485,036  
Navient Corp.
     
5.50%, 03/15/29
      66       60,861  
9.38%, 07/25/30
      70       73,337  
OneMain Finance Corp.
     
7.13%, 03/15/26
      7       7,132  
6.63%, 01/15/28
      53       53,506  
9.00%, 01/15/29
      122       128,982  
5.38%, 11/15/29
      139       130,159  
7.88%, 03/15/30
      99       101,908  
4.00%, 09/15/30
      101       86,431  
Sabre GLBL, Inc., 8.63%, 06/01/27
      91       82,812  
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26
(b)
      167       162,393  
SLM Corp., 3.13%, 11/02/26
      56       52,216  
Verscend Escrow Corp., 9.75%, 08/15/26
(b)
      741       746,208  
Worldline SA/France,
0.00%, 07/30/26
(c)(i)(j)
    EUR       11       11,026  
   
 
 
 
          2,859,366  
Consumer Staples Distribution & Retail — 0.3%
 
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
(b)
     
4.63%, 01/15/27
    USD       21       20,416  
5.88%, 02/15/28
      107       107,072  
6.50%, 02/15/28
      38       38,454  
3.50%, 03/15/29
      85       77,179  
4.88%, 02/15/30
      141       134,983  
Bellis Acquisition Co. PLC,
4.50%, 02/16/26
(c)
    GBP       100       120,391  
Lamb Weston Holdings, Inc.
(b)
     
4.88%, 05/15/28
    USD       7       6,846  
4.13%, 01/31/30
      113       104,178  
 
 
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  23

Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Consumer Staples Distribution & Retail (continued)
 
 
Lamb Weston Holdings, Inc.
(b)
(continued) 4.38%, 01/31/32
    USD       135     $ 123,157  
Market Bidco Finco PLC,
5.50%, 11/04/27
(c)
    GBP       100       112,169  
Performance Food Group, Inc.,
4.25%, 08/01/29
(b)
    USD       170       155,923  
Post Holdings, Inc.
(b)
     
5.50%, 12/15/29
      11       10,599  
4.63%, 04/15/30
      36       33,114  
4.50%, 09/15/31
      28       25,092  
U.S. Foods, Inc.
(b)
     
4.75%, 02/15/29
      73       69,331  
4.63%, 06/01/30
      13       12,116  
7.25%, 01/15/32
      60       62,563  
United Natural Foods, Inc.,
6.75%, 10/15/28
(b)
      26       21,048  
Walgreens Boots Alliance, Inc.
     
3.20%, 04/15/30
      8       7,042  
4.80%, 11/18/44
      24       19,996  
4.10%, 04/15/50
      38       27,595  
   
 
 
 
          1,289,264  
Containers & Packaging — 0.5%
                 
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC
(b)
     
6.00%, 06/15/27
      200       199,284  
4.00%, 09/01/29
        285       241,246  
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
     
2.13%, 08/15/26
(c)
    EUR       100       98,156  
4.13%, 08/15/26
(b)
    USD       200       182,500  
Ball Corp.
     
6.00%, 06/15/29
      49       50,037  
3.13%, 09/15/31
      35       30,177  
Clydesdale Acquisition Holdings, Inc.
(b)
     
6.63%, 04/15/29
      70       68,850  
8.75%, 04/15/30
      209       194,865  
LABL, Inc.
(b)
     
5.88%, 11/01/28
      68       61,610  
9.50%, 11/01/28
      117       118,170  
Mauser Packaging Solutions Holding Co.
(b)
     
7.88%, 08/15/26
      724       736,801  
9.25%, 04/15/27
      15       14,723  
Owens-Brockway Glass Container, Inc.
(b)
     
6.63%, 05/13/27
      10       10,001  
7.25%, 05/15/31
      42       42,583  
Sealed Air Corp.
(b)
     
4.00%, 12/01/27
      61       57,253  
5.00%, 04/15/29
      15       14,505  
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 02/01/28
(b)
      47       47,405  
Trident TPI Holdings, Inc.,
12.75%, 12/31/28
(b)
      27       28,890  
Trivium Packaging Finance BV,
5.50%, 08/15/26
(b)
      200       196,222  
   
 
 
 
        2,393,278  
Diversified Consumer Services — 0.1%
                 
Service Corp. International
     
3.38%, 08/15/30
      144       125,582  
4.00%, 05/15/31
      45       40,298  
Sotheby’s, 7.38%, 10/15/27
(b)
      200       192,879  
   
 
 
 
        358,759  
Security
        
Par
(000)
   
Value
 
Diversified REITs — 0.2%
 
 
Global Net Lease, Inc./Global Net Lease Operating Partnership LP,
3.75%, 12/15/27
(b)
    USD       35     $ 29,246  
GLP Capital LP/GLP Financing II, Inc.
     
3.25%, 01/15/32
      98       82,737  
6.75%, 12/01/33
      45       48,547  
HAT Holdings I LLC/HAT Holdings II LLC
     
3.38%, 06/15/26
(b)
      59       55,452  
8.00%, 06/15/27
      29       30,199  
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32
(b)
      77       70,530  
SBA Communications Corp.
     
3.13%, 02/01/29
      294       264,158  
3.88%, 02/15/27
      27       25,929  
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC,
10.50%, 02/15/28
(b)
      225       228,106  
VICI Properties LP/VICI Note Co., Inc.
(b)
     
4.63%, 06/15/25
      147       144,391  
4.63%, 12/01/29
      133       125,319  
4.13%, 08/15/30
      124       112,955  
   
 
 
 
        1,217,569  
Diversified Telecommunication Services — 0.7%
 
Frontier Communications Holdings LLC
(b)
     
5.88%, 10/15/27
      12       11,593  
5.00%, 05/01/28
      21       19,408  
8.75%, 05/15/30
      518       532,871  
8.63%, 03/15/31
      28       28,549  
Iliad Holding SASU
(b)
     
6.50%, 10/15/26
      220       219,570  
7.00%, 10/15/28
      200       199,018  
Level 3 Financing, Inc.
     
3.40%, 03/01/27
      213       204,480  
4.63%, 09/15/27
      262       157,200  
3.63%, 01/15/29
      24       12,240  
10.50%, 05/15/30
      265       256,966  
Level 3 New Money TSA,
11.00%, 11/15/29
(k)
      607       606,512  
Lumen Technologies, Inc.,
4.00%, 02/15/27
      118       76,154  
SoftBank Group Corp., 3.13%, 09/19/25
(c)
    EUR       100       106,522  
Telecom Italia Capital SA
     
6.38%, 11/15/33
    USD       54       52,818  
6.00%, 09/30/34
      151       143,401  
7.20%, 07/18/36
      33       33,126  
7.72%, 06/04/38
      21       21,385  
Zayo Group Holdings, Inc.
(b)
     
4.00%, 03/01/27
      890       713,579  
6.13%, 03/01/28
      293       215,197  
   
 
 
 
          3,610,589  
Electric Utilities — 0.2%
                 
Edison International, Series A, (5-year CMT + 4.70%), 5.38%
(a)(l)
      100       94,580  
FirstEnergy Corp., 2.65%, 03/01/30
      12       10,367  
NextEra Energy Operating Partners LP
     
3.88%, 10/15/26
(b)
      17       16,186  
7.25%, 01/15/29
      43       45,017  
Pacific Gas and Electric Co.,
6.95%, 03/15/34
      115       126,317  
Pattern Energy Operations LP/Pattern Energy Operations, Inc.,
4.50%, 08/15/28
(b)
      32       30,268  
PG&E Corp., 4.25%, 12/01/27
      221       231,608  
Talen Energy Supply LLC,
8.63%, 06/01/30
(b)
      34       36,126  
Texas Competitive Electric Holdings, Series M, 5.03%, 10/10/19
(d)(e)(g)
        2,375        
TransAlta Corp., 7.75%, 11/15/29
      35       37,173  
 
 
24
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Electric Utilities (continued)
 
Vistra Operations Co. LLC
(b)
     
5.50%, 09/01/26
    USD       5     $ 4,937  
5.63%, 02/15/27
      41       40,442  
5.00%, 07/31/27
      5       4,868  
7.75%, 10/15/31
      126       130,862  
6.95%, 10/15/33
      55       57,884  
   
 
 
 
        866,635  
Electrical Equipment
(b)
— 0.1%
                 
Regal Rexnord Corp.
     
6.05%, 04/15/28
      159       160,952  
6.30%, 02/15/30
      70       71,814  
6.40%, 04/15/33
      70       72,959  
WESCO Distribution, Inc.
     
7.13%, 06/15/25
      49       49,358  
7.25%, 06/15/28
      153       157,257  
   
 
 
 
        512,340  
Electronic Equipment, Instruments & Components
(b)
— 0.1%
 
Coherent Corp., 5.00%, 12/15/29
      109       103,523  
Imola Merger Corp., 4.75%, 05/15/29
      127       120,663  
Sensata Technologies BV,
4.00%, 04/15/29
      36       33,455  
Sensata Technologies, Inc.
     
4.38%, 02/15/30
      181       167,871  
3.75%, 02/15/31
      65       57,248  
   
 
 
 
        482,760  
Energy Equipment & Services — 0.2%
       
Archrock Partners LP/Archrock Partners Finance Corp.
(b)
     
6.88%, 04/01/27
      225       225,563  
6.25%, 04/01/28
      37       36,445  
Borr IHC Ltd./Borr Finance,
10.00%, 11/15/28
        200       209,006  
Enerflex Ltd., 9.00%, 10/15/27
(b)
      83       80,066  
Oceaneering International, Inc., 6.00%, 02/01/28
(b)
      18       17,447  
Patterson-UTI Energy, Inc., 7.15%, 10/01/33
      25       26,485  
USA Compression Partners LP/USA Compression Finance Corp.
     
6.88%, 04/01/26
      111       110,532  
6.88%, 09/01/27
      192       189,724  
Vallourec SACA, 8.50%, 06/30/26
(c)
    EUR       9       9,984  
Weatherford International Ltd.
(b)
     
6.50%, 09/15/28
    USD       47       48,636  
8.63%, 04/30/30
      120       125,287  
   
 
 
 
          1,079,175  
Entertainment
(b)
— 0.2%
                 
Lions Gate Capital Holdings LLC,
5.50%, 04/15/29
      54       40,397  
Live Nation Entertainment, Inc.
     
4.88%, 11/01/24
      9       8,919  
5.63%, 03/15/26
      13       12,881  
6.50%, 05/15/27
      128       130,243  
4.75%, 10/15/27
      80       76,707  
3.75%, 01/15/28
      35       32,641  
Odeon Finco PLC, 12.75%, 11/01/27
      519       526,988  
   
 
 
 
        828,776  
Environmental, Maintenance & Security Service — 0.2%
 
Clean Harbors, Inc., 6.38%, 02/01/31
(b)
      30       30,482  
Covanta Holding Corp.
     
4.88%, 12/01/29
(b)
      43       37,569  
5.00%, 09/01/30
      21       17,874  
Security
        
Par
(000)
   
Value
 
Environmental, Maintenance & Security Service (continued)
 
GFL Environmental, Inc.
(b)
     
4.25%, 06/01/25
    USD       4     $ 3,941  
3.75%, 08/01/25
      45       43,947  
4.00%, 08/01/28
      8       7,395  
3.50%, 09/01/28
      29       26,798  
4.75%, 06/15/29
      199       187,450  
4.38%, 08/15/29
      44       40,607  
6.75%, 01/15/31
      173       178,239  
Stericycle, Inc., 3.88%, 01/15/29
(b)
      33       29,943  
Tervita Corp., 11.00%, 12/01/25
(b)
      25       26,250  
Waste Pro USA, Inc., 5.50%, 02/15/26
(b)
        328       315,700  
   
 
 
 
        946,195  
Financial Services — 0.3%
                 
Aircastle Ltd., 6.50%, 07/18/28
(b)
      35       35,690  
Castlelake Aviation Finance DAC,
5.00%, 04/15/27
(b)
      9       8,426  
Enact Holdings, Inc., 6.50%, 08/15/25
(b)
      105       104,675  
GGAM Finance Ltd.
(b)
     
7.75%, 05/15/26
      11       11,165  
8.00%, 02/15/27
      113       115,830  
8.00%, 06/15/28
      29       30,003  
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK),
6.50%, 09/15/24
(b)(h)
      26       24,056  
Intrum AB, 4.88%, 08/15/25
(c)
    EUR       100       102,943  
Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 08/15/28
(b)
    USD       200       179,016  
Macquarie Airfinance Holdings Ltd.
     
8.38%, 05/01/28
(b)
      28       29,326  
8.13%, 03/30/29
      46       48,080  
MGIC Investment Corp., 5.25%, 08/15/28
      47       45,751  
Nationstar Mortgage Holdings, Inc.
(b)
     
5.00%, 02/01/26
      349       341,307  
6.00%, 01/15/27
      54       53,595  
5.13%, 12/15/30
      16       14,466  
5.75%, 11/15/31
      79       73,660  
PennyMac Financial Services, Inc.,
7.88%, 12/15/29
      72       74,114  
Rocket Mortgage LLC/Rocket Mortgage Co- Issuer, Inc.
(b)
     
2.88%, 10/15/26
      203       187,267  
3.88%, 03/01/31
      68       59,806  
4.00%, 10/15/33
      27       22,937  
   
 
 
 
          1,562,113  
Food Products — 0.2%
                 
Aramark International Finance SARL, 3.13%, 04/01/25
(c)
    EUR       100       109,453  
Aramark Services, Inc., 5.00%, 02/01/28
(b)
    USD       147       142,596  
B&G Foods, Inc., 8.00%, 09/15/28
      29       30,451  
Chobani LLC/Chobani Finance Corp.,
Inc.
(b)
     
7.50%, 04/15/25
      364       362,180  
4.63%, 11/15/28
      264       246,790  
Darling Ingredients, Inc., 6.00%, 06/15/30
(b)
      94       94,069  
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29
(b)
      60       51,911  
   
 
 
 
        1,037,450  
 
 
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  25

Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Gas Utilities
(b)
— 0.0%
 
AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28
    USD       76     $ 78,484  
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31
      29       26,291  
   
 
 
 
        104,775  
Ground Transportation — 0.2%
                 
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 8.00%, 02/15/31
(b)
      60       59,917  
GN Bondco LLC, 9.50%, 10/15/31
      93       90,795  
RXO, Inc., 7.50%, 11/15/27
(b)
      27       27,860  
Uber Technologies, Inc.
(b)
     
8.00%, 11/01/26
      245       249,545  
7.50%, 09/15/27
      28       28,998  
6.25%, 01/15/28
      201       201,504  
4.50%, 08/15/29
        572       545,669  
   
 
 
 
        1,204,288  
Health Care Equipment & Supplies — 0.3%
 
Avantor Funding, Inc.
(b)
     
4.63%, 07/15/28
      122       117,911  
3.88%, 11/01/29
      61       55,395  
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28
(b)
      486       512,701  
Garden Spinco Corp., 8.63%, 07/20/30
(b)
      64       68,361  
Medline Borrower LP
(b)
     
3.88%, 04/01/29
      157       141,951  
5.25%, 10/01/29
      787       741,807  
Teleflex, Inc.
     
4.63%, 11/15/27
      6       5,832  
4.25%, 06/01/28
(b)
      31       29,381  
   
 
 
 
          1,673,339  
Health Care Providers & Services — 0.6%
 
Acadia Healthcare Co., Inc., 5.00%, 04/15/29
(b)
      64       61,440  
AHP Health Partners, Inc.,
5.75%, 07/15/29
(b)
      110       95,736  
Catalent Pharma Solutions, Inc.
(b)
     
5.00%, 07/15/27
      206       199,031  
3.13%, 02/15/29
      27       23,628  
3.50%, 04/01/30
      92       80,034  
Charles River Laboratories International, Inc.
(b)
     
4.25%, 05/01/28
      46       43,786  
4.00%, 03/15/31
      11       9,937  
CHS/Community Health Systems, Inc.
(b)
     
5.63%, 03/15/27
      48       44,598  
6.00%, 01/15/29
      180       162,023  
5.25%, 05/15/30
      215       179,815  
4.75%, 02/15/31
      127       99,839  
Encompass Health Corp.
     
4.50%, 02/01/28
      5       4,784  
4.75%, 02/01/30
      114       107,357  
4.63%, 04/01/31
      84       77,295  
Fortrea Holdings, Inc., 7.50%, 07/01/30
(b)
      50       51,349  
HealthEquity, Inc., 4.50%, 10/01/29
(b)
      182       168,989  
IQVIA, Inc., 6.25%, 02/01/29
(b)
      109       113,790  
Legacy LifePoint Health LLC, 4.38%, 02/15/27
(b)
      47       43,392  
LifePoint Health, Inc.
     
9.88%, 08/15/30
      91       91,964  
11.00%, 10/15/30
      109       114,794  
ModivCare, Inc., 5.88%, 11/15/25
(b)
      126       124,425  
Molina Healthcare, Inc.
(b)
     
4.38%, 06/15/28
      24       22,699  
Security
        
Par
(000)
   
Value
 
Health Care Providers & Services (continued)
 
Molina Healthcare, Inc.
(b)
(continued)
     
3.88%, 11/15/30
    USD       39     $ 35,057  
3.88%, 05/15/32
      53       46,310  
Prime Healthcare Services, Inc.,
7.25%, 11/01/25
(b)
      12       11,700  
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.,
9.75%, 12/01/26
(b)
      22       21,826  
Star Parent, Inc., 9.00%, 10/01/30
      251       264,517  
Surgery Center Holdings, Inc.
(b)
     
6.75%, 07/01/25
      73       72,726  
10.00%, 04/15/27
      111       112,110  
Tenet Healthcare Corp.
     
4.88%, 01/01/26
      95       93,930  
5.13%, 11/01/27
      8       7,820  
6.13%, 10/01/28
      100       99,717  
6.13%, 06/15/30
      59       59,654  
6.75%, 05/15/31
(b)
        376       384,291  
   
 
 
 
          3,130,363  
Health Care REITs — 0.1%
                 
MPT Operating Partnership LP/MPT Finance Corp.
     
2.50%, 03/24/26
    GBP       100       103,384  
4.63%, 08/01/29
    USD       147       105,702  
3.50%, 03/15/31
      155       96,910  
   
 
 
 
        305,996  
Health Care Technology — 0.1%
                 
AthenaHealth Group, Inc., 6.50%, 02/15/30
(b)
      682       618,695  
   
 
 
 
Hotel & Resort REITs — 0.1%
                 
RHP Hotel Properties LP/RHP Finance Corp.
     
4.75%, 10/15/27
      35       33,806  
7.25%, 07/15/28
      86       89,413  
4.50%, 02/15/29
(b)
      153       142,296  
RLJ Lodging Trust LP, 4.00%, 09/15/29
(b)
      74       66,499  
Service Properties Trust
     
7.50%, 09/15/25
      41       41,455  
8.63%, 11/15/31
(b)
      281       294,329  
   
 
 
 
        667,798  
Hotels, Restaurants & Leisure — 1.4%
                 
Boyd Gaming Corp.
     
4.75%, 12/01/27
      46       44,257  
4.75%, 06/15/31
(b)
      79       72,508  
Boyne USA, Inc., 4.75%, 05/15/29
(b)
      165       155,165  
Burger King (Restaurant Brands International, Inc.)/New Red
Finance, Inc.
(b)
     
3.88%, 01/15/28
      41       38,734  
4.38%, 01/15/28
      77       73,541  
4.00%, 10/15/30
      75       67,267  
Caesars Entertainment, Inc.
(b)
     
8.13%, 07/01/27
      271       277,802  
4.63%, 10/15/29
      468       422,139  
7.00%, 02/15/30
      355       364,030  
Carnival Corp.
(b)
     
7.63%, 03/01/26
      49       49,886  
5.75%, 03/01/27
      337       328,721  
4.00%, 08/01/28
      68       63,222  
6.00%, 05/01/29
      209       201,101  
7.00%, 08/15/29
      42       43,853  
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28
(b)
      634       690,058  
 
 
26
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Hotels, Restaurants & Leisure (continued)
 
CCM Merger, Inc., Series 2020,
6.38%, 05/01/26
(b)
    USD       26     $ 25,350  
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op
     
5.50%, 05/01/25
(b)
      89       88,553  
Series 2020, 6.50%, 10/01/28
      19       18,856  
Churchill Downs, Inc.
(b)
     
5.50%, 04/01/27
      155       153,374  
4.75%, 01/15/28
      73       69,963  
5.75%, 04/01/30
      231       225,223  
6.75%, 05/01/31
      98       99,464  
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.
(b)
     
4.63%, 01/15/29
      135       122,495  
6.75%, 01/15/30
      570         500,461  
Hilton Domestic Operating Co., Inc.
     
5.75%, 05/01/28
(b)
      16       16,006  
3.75%, 05/01/29
(b)
      46       42,648  
4.88%, 01/15/30
      14       13,568  
4.00%, 05/01/31
(b)
      94       86,097  
3.63%, 02/15/32
(b)
      23       20,072  
Life Time, Inc.
(b)
     
5.75%, 01/15/26
      101       100,274  
8.00%, 04/15/26
      81       81,736  
Light & Wonder International, Inc.,
7.50%, 09/01/31
      81       84,488  
Lindblad Expeditions Holdings, Inc.,
9.00%, 05/15/28
(b)
      62       64,106  
Lindblad Expeditions LLC,
6.75%, 02/15/27
(b)
      100       99,500  
Lottomatica SpA, (3-mo. EURIBOR + 4.00%), 7.93%, 12/15/30
(a)(c)
    EUR       100       111,497  
Melco Resorts Finance Ltd.,
5.38%, 12/04/29
(b)
    USD         200       176,000  
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp.,
4.88%, 05/01/29
(b)
      40       37,200  
NCL Corp. Ltd.
(b)
     
5.88%, 03/15/26
      110       107,487  
8.38%, 02/01/28
      37       39,179  
8.13%, 01/15/29
      31       32,382  
7.75%, 02/15/29
      51       51,309  
NCL Finance Ltd., 6.13%, 03/15/28
(b)
      46       44,033  
Ontario Gaming GTA LP, 8.00%, 08/01/30
      41       42,281  
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.
(b)
     
5.63%, 09/01/29
      34       27,200  
5.88%, 09/01/31
      37       28,860  
Raising Cane’s Restaurants LLC,
9.38%, 05/01/29
(b)
      36       38,419  
Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, 11/01/26
(b)
      57       54,330  
Royal Caribbean Cruises Ltd.
(b)
     
4.25%, 07/01/26
      24       23,181  
5.50%, 08/31/26
      40       39,606  
5.38%, 07/15/27
      43       42,567  
5.50%, 04/01/28
      58       57,261  
8.25%, 01/15/29
      62       65,686  
7.25%, 01/15/30
      77       80,417  
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc.,
6.63%, 03/01/30
(b)
      69       65,235  
Six Flags Entertainment Corp.,
7.25%, 05/15/31
(b)
      257       257,792  
Security
        
Par
(000)
   
Value
 
Hotels, Restaurants & Leisure (continued)
 
Six Flags Theme Parks, Inc.,
7.00%, 07/01/25
(b)
    USD       28     $ 28,121  
Station Casinos LLC
(b)
     
4.50%, 02/15/28
      69       65,055  
4.63%, 12/01/31
      66       59,510  
Viking Cruises Ltd.
(b)
     
5.88%, 09/15/27
      58       55,970  
7.00%, 02/15/29
      13       12,888  
9.13%, 07/15/31
        215       229,103  
Viking Ocean Cruises Ship VII Ltd.,
5.63%, 02/15/29
(b)
      45       43,875  
Wyndham Hotels & Resorts, Inc.,
4.38%, 08/15/28
(b)
      44       41,147  
Wynn Macau Ltd., 5.63%, 08/26/28
(b)
      200       184,812  
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.
(b)
     
5.13%, 10/01/29
      202       190,645  
7.13%, 02/15/31
      103       107,266  
Yum! Brands, Inc., 4.75%, 01/15/30
(b)
      41       39,742  
   
 
 
 
          7,284,574  
Household Durables — 0.2%
                 
Ashton Woods USA LLC/Ashton Woods Finance Co.
(b)
     
4.63%, 04/01/30
      46       41,206  
Series B, 4.63%, 08/01/29
      32       28,456  
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC
(b)
     
5.00%, 06/15/29
      67       59,473  
4.88%, 02/15/30
      56       49,248  
CD&R Smokey Buyer, Inc.,
6.75%, 07/15/25
(b)
      104       102,891  
Dream Finders Homes, Inc.,
8.25%, 08/15/28
      30       31,704  
KB Home, 7.25%, 07/15/30
      21       21,737  
LGI Homes, Inc., 8.75%, 12/15/28
      33       35,104  
Mattamy Group Corp., 4.63%, 03/01/30
(b)
      72       66,726  
SWF Escrow Issuer Corp.,
6.50%, 10/01/29
(b)
      724       520,375  
Taylor Morrison Communities, Inc.
(b)
     
5.88%, 06/15/27
      2       2,010  
5.13%, 08/01/30
      20       19,348  
Tempur Sealy International, Inc.
(b)
     
4.00%, 04/15/29
      89       80,384  
3.88%, 10/15/31
      23       19,445  
Tri Pointe Homes, Inc., 5.70%, 06/15/28
      18       17,753  
   
 
 
 
        1,095,860  
Household Products — 0.0%
                 
Central Garden & Pet Co.
     
5.13%, 02/01/28
      15       14,574  
4.13%, 10/15/30
      43       39,110  
4.13%, 04/30/31
(b)
      55       48,607  
Spectrum Brands, Inc.
(b)
     
5.00%, 10/01/29
      8       7,633  
5.50%, 07/15/30
      50       48,519  
   
 
 
 
        158,443  
Independent Power and Renewable Electricity Producers
(b)
— 0.1%
 
Alexander Funding Trust II, 7.47%, 07/31/28
      100       105,004  
Calpine Corp.
     
5.25%, 06/01/26
      28       27,628  
4.63%, 02/01/29
      99       91,954  
5.00%, 02/01/31
      25       22,918  
Clearway Energy Operating LLC
     
4.75%, 03/15/28
      47       45,280  
 
 
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  27

Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Independent Power and Renewable Electricity Producers (continued)
 
Clearway Energy Operating LLC (continued)
 
   
3.75%, 01/15/32
    USD       97     $ 84,266  
NextEra Energy Partners LP
(i)
     
0.00%, 11/15/25
(j)
      51       44,549  
2.50%, 06/15/26
      51       45,696  
NRG Energy, Inc., 7.00%, 03/15/33
      50       52,848  
   
 
 
 
        520,143  
Insurance — 0.7%
                 
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29
(b)
      43       39,072  
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer
     
4.25%, 10/15/27
(b)
      285       273,899  
6.75%, 10/15/27
(b)
      792       789,200  
6.75%, 04/15/28
(b)
      131       134,017  
5.88%, 11/01/29
(b)
      447       423,529  
7.00%, 01/15/31
      129       136,078  
AmWINS Group, Inc., 4.88%, 06/30/29
(b)
      121       110,501  
GTCR AP Finance, Inc.,
8.00%, 05/15/27
(b)
      4       4,040  
HUB International Ltd.
(b)
     
7.00%, 05/01/26
      203       203,785  
7.25%, 06/15/30
      433       457,348  
Jones Deslauriers Insurance Management, Inc.
(b)
     
8.50%, 03/15/30
      136       142,818  
10.50%, 12/15/30
      83       87,474  
NFP Corp.
     
4.88%, 08/15/28
(b)
      149       147,457  
6.88%, 08/15/28
(b)
      386       392,408  
7.50%, 10/01/30
(b)
      34       36,186  
8.50%, 10/01/31
      48       52,027  
Ryan Specialty LLC, 4.38%, 02/01/30
(b)
      49       45,447  
USI, Inc., 7.50%, 01/15/32
      119       121,832  
   
 
 
 
          3,597,118  
Interactive Media & Services — 0.1%
 
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28
(b)
        200       163,000  
Arches Buyer, Inc., 4.25%, 06/01/28
(b)
      36       32,603  
iliad SA
(c)
     
5.38%, 06/14/27
    EUR       100       113,155  
5.63%, 02/15/30
      100       114,082  
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27
(b)
    USD       97       92,635  
   
 
 
 
        515,475  
Internet Software & Services
(b)
— 0.1%
                 
ANGI Group LLC, 3.88%, 08/15/28
      80       67,562  
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.50%, 03/01/29
      71       64,304  
Match Group Holdings II LLC
     
4.63%, 06/01/28
      81       77,558  
3.63%, 10/01/31
      53       45,793  
   
 
 
 
        255,217  
IT Services — 0.6%
                 
Ahead DB Holdings LLC,
6.63%, 05/01/28
(b)
      50       43,563  
Booz Allen Hamilton, Inc.,
4.00%, 07/01/29
(b)
      54       50,606  
CA Magnum Holdings, 5.38%, 10/31/26
(b)
      201       186,930  
Camelot Finance SA, 4.50%, 11/01/26
(b)
      136       132,793  
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 06/15/29
      302       315,216  
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29
(b)
      188       191,733  
Security
        
Par
(000)
   
Value
 
IT Services (continued)
                 
Dun & Bradstreet Corp.,
5.00%, 12/15/29
(b)
    USD       153     $ 142,721  
Fair Isaac Corp., 4.00%, 06/15/28
(b)
      95       89,904  
Fiserv, Inc., 2.25%, 06/01/27
        1,385         1,280,719  
Gartner, Inc.
(b)
     
4.50%, 07/01/28
      71       67,331  
3.75%, 10/01/30
      36       31,823  
KBR, Inc., 4.75%, 09/30/28
(b)
      75       69,506  
Newfold Digital Holdings Group, Inc., 11.75%, 10/15/28
(b)
      31       33,348  
Presidio Holdings, Inc.,
4.88%, 02/01/27
(b)
      12       11,764  
Twilio, Inc.
     
3.63%, 03/15/29
      52       47,439  
3.88%, 03/15/31
      129       114,875  
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29
(b)
      231       209,516  
   
 
 
 
        3,019,787  
Leisure Products — 0.0%
                 
Acushnet Co., 7.38%, 10/15/28
      22       22,953  
MajorDrive Holdings IV LLC,
6.38%, 06/01/29
(b)
      59       50,806  
Mattel, Inc.
     
6.20%, 10/01/40
      60       58,036  
5.45%, 11/01/41
      44       39,626  
   
 
 
 
        171,421  
Machinery — 0.8%
                 
ATS Corp., 4.13%, 12/15/28
(b)
      35       32,190  
BWX Technologies, Inc.
(b)
     
4.13%, 06/30/28
      86       79,747  
4.13%, 04/15/29
      57       52,013  
Chart Industries, Inc.
(b)
     
7.50%, 01/01/30
      224       234,135  
9.50%, 01/01/31
      30       32,585  
Gates Global LLC/Gates Corp.,
6.25%, 01/15/26
(b)
      263       261,685  
GrafTech Global Enterprises, Inc.,
9.88%, 12/15/28
      35       26,994  
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25
(b)(h)
      126       125,448  
Madison IAQ LLC, 5.88%, 06/30/29
(b)
      1,162       1,023,819  
Mueller Water Products, Inc.,
4.00%, 06/15/29
(b)
      24       21,864  
OT Merger Corp., 7.88%, 10/15/29
(b)
      37       22,163  
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29
(b)
      39       36,092  
Terex Corp., 5.00%, 05/15/29
(b)
      102       96,135  
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26
(b)
      189       190,191  
TK Elevator Holdco GmbH
     
6.63%, 07/15/28
(c)
    EUR       90       91,414  
7.63%, 07/15/28
(b)
    USD       200       196,458  
TK Elevator Midco GmbH,
4.38%, 07/15/27
(c)
    EUR       200       213,460  
TK Elevator U.S. Newco, Inc.,
5.25%, 07/15/27
(b)
    USD       312       306,495  
Vertiv Group Corp., 4.13%, 11/15/28
(b)
      998       936,343  
   
 
 
 
        3,979,231  
Media — 1.1%
                 
Adelphia Communications Corp.,
10.50%, 12/31/49
(d)(e)(g)
      400        
Altice Financing SA, 5.75%, 08/15/29
(b)
      236       209,428  
Cable One, Inc.
     
0.00%, 03/15/26
(i)(j)
      28       23,758  
1.13%, 03/15/28
(i)
      66       49,995  
4.00%, 11/15/30
(b)
      57       46,149  
 
 
28
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Media (continued)
                 
CCO Holdings LLC/CCO Holdings Capital Corp.
(b)
     
5.00%, 02/01/28
    USD       28     $ 26,790  
6.38%, 09/01/29
      385       379,673  
4.50%, 08/15/30
      22       19,833  
7.38%, 03/01/31
      662       679,453  
4.25%, 01/15/34
      152       123,519  
Clear Channel International BV,
6.63%, 08/01/25
(b)
      200       200,964  
Clear Channel Outdoor Holdings, Inc.
     
5.13%, 08/15/27
(b)
      113       107,868  
7.75%, 04/15/28
(b)
      168       144,850  
9.00%, 09/15/28
        392       409,038  
7.50%, 06/01/29
(b)
      47       39,079  
CMG Media Corp., 8.88%, 12/15/27
(b)
      79       62,657  
CSC Holdings LLC
(b)
     
5.50%, 04/15/27
      200       184,860  
11.25%, 05/15/28
      200       206,072  
4.50%, 11/15/31
      216       163,312  
Directv Financing LLC/Directv Financing Co- Obligor, Inc., 5.88%, 08/15/27
(b)
      123       115,568  
DISH DBS Corp.
     
7.75%, 07/01/26
      85       59,203  
5.25%, 12/01/26
(b)
      188       161,069  
DISH Network Corp.,
11.75%, 11/15/27
(b)
      315       328,815  
GCI LLC, 4.75%, 10/15/28
(b)
      35       32,112  
Gray Television, Inc.
(b)
     
5.88%, 07/15/26
      41       39,881  
7.00%, 05/15/27
      68       64,634  
Lamar Media Corp., 4.00%, 02/15/30
      15       13,747  
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27
(b)
      180       176,303  
Nexstar Media, Inc., 5.63%, 07/15/27
(b)
      20       19,339  
Outfront Media Capital LLC/Outfront Media Capital Corp.
     
5.00%, 08/15/27
(b)
      108       104,393  
4.25%, 01/15/29
(b)
      76       68,580  
4.63%, 03/15/30
(b)
      22       19,613  
7.38%, 02/15/31
      75       78,761  
Radiate Holdco LLC/Radiate
Finance, Inc.
(b)
     
4.50%, 09/15/26
      728       555,248  
6.50%, 09/15/28
      179       87,707  
Sinclair Television Group, Inc.,
4.13%, 12/01/30
(b)
      16       11,280  
Sirius XM Radio, Inc.
(b)
     
3.13%, 09/01/26
      11       10,336  
5.00%, 08/01/27
      92       88,871  
4.00%, 07/15/28
      53       49,017  
Stagwell Global LLC, 5.63%, 08/15/29
(b)
      32       29,433  
Summer BidCo BV, (9.00% Cash or 9.75% PIK),
     
9.00%, 11/15/25
(c)(h)
    EUR       124       135,758  
TEGNA, Inc., 4.75%, 03/15/26
(b)
    USD       11       10,699  
Univision Communications, Inc.
(b)
     
6.63%, 06/01/27
      78       77,787  
8.00%, 08/15/28
      169       174,344  
7.38%, 06/30/30
      35       34,900  
Videotron Ltd., 3.63%, 06/15/29
(b)
      22       19,966  
   
 
 
 
          5,644,662  
Metals & Mining — 0.4%
                 
Arsenal AIC Parent LLC,
8.00%, 10/01/30
(b)
      46       47,995  
ATI, Inc.
     
5.88%, 12/01/27
      48       47,302  
4.88%, 10/01/29
      32       29,823  
Security
        
Par
(000)
   
Value
 
Metals & Mining (continued)
                 
ATI, Inc. (continued)
     
7.25%, 08/15/30
    USD       131     $ 136,291  
5.13%, 10/01/31
      88       81,621  
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29
(b)
      308       314,031  
Carpenter Technology Corp.
     
6.38%, 07/15/28
      24       23,910  
7.63%, 03/15/30
      83       85,588  
Constellium SE
     
4.25%, 02/15/26
(c)
    EUR       100       109,706  
3.75%, 04/15/29
(b)
    USD         250       226,840  
ERO Copper Corp., 6.50%, 02/15/30
(b)
      78       68,816  
Kaiser Aluminum Corp.
(b)
     
4.63%, 03/01/28
      42       38,843  
4.50%, 06/01/31
      188       162,061  
Mineral Resources Ltd., 9.25%, 10/01/28
      10       10,638  
New Gold, Inc., 7.50%, 07/15/27
(b)
      135       136,198  
Novelis Corp.
(b)
     
3.25%, 11/15/26
      217       204,283  
4.75%, 01/30/30
      300       282,135  
3.88%, 08/15/31
      96       84,598  
Novelis Sheet Ingot GmbH,
3.38%, 04/15/29
(c)
    EUR       100       104,103  
   
 
 
 
          2,194,782  
Mortgage Real Estate Investment Trusts (REITs)
(b)
— 0.0%
 
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.
     
5.25%, 10/01/25
    USD       12       11,838  
4.75%, 06/15/29
      22       19,837  
Starwood Property Trust, Inc.,
4.38%, 01/15/27
      13       12,251  
   
 
 
 
        43,926  
Office REITs — 0.0%
                 
Highwoods Realty LP, 7.65%, 02/01/34
      15       16,182  
   
 
 
 
Oil, Gas & Consumable Fuels — 2.1%
                 
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26
(b)
      136       136,680  
Antero Midstream Partners LP/Antero Midstream Finance Corp.
(b)
     
5.75%, 03/01/27
      34       33,736  
5.75%, 01/15/28
      15       14,851  
5.38%, 06/15/29
      66       63,450  
Antero Resources Corp.,
7.63%, 02/01/29
(b)
      23       23,601  
Apache Corp., 5.35%, 07/01/49
      36       29,932  
Ascent Resources Utica Holdings LLC/ARU Finance Corp.
(b)
     
9.00%, 11/01/27
      144       181,440  
8.25%, 12/31/28
      220       221,278  
Series B, 5.88%, 06/30/29
      113       105,130  
Baytex Energy Corp., 8.50%, 04/30/30
(b)
      75       77,618  
Buckeye Partners LP
     
5.85%, 11/15/43
      16       12,962  
5.60%, 10/15/44
      1       769  
Callon Petroleum Co.
     
6.38%, 07/01/26
      49       48,767  
8.00%, 08/01/28
(b)
      143       146,042  
7.50%, 06/15/30
(b)
      268       270,284  
Chesapeake Energy Corp.,
6.75%, 04/15/29
(b)
      132       133,228  
CITGO Petroleum Corp.
(b)
     
7.00%, 06/15/25
      163       162,735  
8.38%, 01/15/29
      130       133,683  
Civitas Resources, Inc.
(b)
     
8.38%, 07/01/28
      204       212,965  
 
 
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  29

Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Oil, Gas & Consumable Fuels (continued)
 
Civitas Resources, Inc.
(b)
(continued)
     
8.63%, 11/01/30
    USD       105     $ 111,376  
8.75%, 07/01/31
        224       238,459  
CNX Midstream Partners LP,
4.75%, 04/15/30
(b)
      32       28,735  
CNX Resources Corp.,
7.38%, 01/15/31
(b)
      32       32,222  
Comstock Resources, Inc.
(b)
     
6.75%, 03/01/29
      328         299,958  
5.88%, 01/15/30
      33       28,621  
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31
(b)
      250       236,901  
Crescent Energy Finance LLC
(b)
     
7.25%, 05/01/26
      180       181,110  
9.25%, 02/15/28
      158       163,936  
CrownRock LP/CrownRock Finance, Inc., 5.00%, 05/01/29
(b)
      20       19,500  
Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, 10/01/30
      57       58,288  
DT Midstream, Inc.
(b)
     
4.13%, 06/15/29
      110       101,198  
4.38%, 06/15/31
      79       71,261  
Enbridge, Inc., (5-year CMT + 4.43%), 8.50%, 01/15/84
(a)
      50       53,182  
Energy Transfer LP
     
6.00%, 02/01/29
(b)
      22       22,198  
7.38%, 02/01/31
(b)
      27       28,375  
Series H, (5-year CMT + 5.69%), 6.50%
(a)(l)
 
    144       136,840  
EnLink Midstream LLC
     
5.63%, 01/15/28
(b)
      93       91,947  
5.38%, 06/01/29
      36       35,224  
6.50%, 09/01/30
(b)
      65       66,363  
EnLink Midstream Partners LP
     
4.85%, 07/15/26
      21       20,574  
5.60%, 04/01/44
      74       64,404  
EQM Midstream Partners LP
     
4.13%, 12/01/26
      17       16,420  
6.50%, 07/01/27
(b)
      68       69,240  
7.50%, 06/01/30
(b)
      67       72,026  
FTAI Infra Escrow Holdings LLC,
10.50%, 06/01/27
(b)
      26       26,971  
Genesis Energy LP/Genesis Energy Finance Corp.
     
7.75%, 02/01/28
      15       15,052  
8.25%, 01/15/29
      47       48,365  
8.88%, 04/15/30
      32       33,088  
Gulfport Energy Corp.,
8.00%, 05/17/26
(b)
      11       11,625  
Harvest Midstream I LP,
7.50%, 09/01/28
(b)
      20       19,882  
Hess Midstream Operations LP,
4.25%, 02/15/30
(b)
      77       70,840  
Hilcorp Energy I LP/Hilcorp
Finance Co.
(b)
     
6.25%, 11/01/28
      21       20,919  
5.75%, 02/01/29
      72       69,530  
6.00%, 04/15/30
      5       4,849  
8.38%, 11/01/33
      159       168,451  
Howard Midstream Energy Partners LLC, 8.88%, 07/15/28
(b)
      67       70,321  
ITT Holdings LLC, 6.50%, 08/01/29
(b)
      109       96,426  
Kinetik Holdings LP
     
6.63%, 12/15/28
      24       24,451  
5.88%, 06/15/30
(b)
      74       72,598  
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26
(b)
      10       9,750  
Matador Resources Co.
     
5.88%, 09/15/26
      54       53,552  
Security
        
Par
(000)
   
Value
 
Oil, Gas & Consumable Fuels (continued)
 
Matador Resources Co. (continued)
     
6.88%, 04/15/28
(b)
    USD       94     $ 95,346  
Murphy Oil Corp., 5.88%, 12/01/27
      13       12,934  
Murphy Oil USA, Inc., 4.75%, 09/15/29
      64       60,640  
Nabors Industries Ltd.
(b)
     
7.25%, 01/15/26
      66       63,440  
7.50%, 01/15/28
      63       54,479  
Nabors Industries, Inc.
     
5.75%, 02/01/25
      243         242,919  
7.38%, 05/15/27
(b)
      10       9,797  
9.13%, 01/31/30
(b)
      71       71,288  
New Fortress Energy, Inc.,
6.75%, 09/15/25
(b)
      136       134,915  
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26
(b)
      110       111,101  
Noble Finance II LLC, 8.00%, 04/15/30
(b)
      78       81,163  
Northern Oil and Gas, Inc.
(b)
     
8.13%, 03/01/28
        238       240,975  
8.75%, 06/15/31
      74       77,078  
NuStar Logistics LP
     
6.00%, 06/01/26
      123       122,784  
6.38%, 10/01/30
      2       2,004  
PBF Holding Co. LLC/PBF Finance Corp., 7.88%, 09/15/30
(b)
      46       46,846  
Permian Resources Operating LLC
     
5.38%, 01/15/26
(b)
      32       31,574  
7.75%, 02/15/26
(b)
      82       83,421  
6.88%, 04/01/27
(b)
      37       36,975  
8.00%, 04/15/27
(b)
      88       91,219  
5.88%, 07/01/29
(b)
      177       172,568  
9.88%, 07/15/31
(b)
      79       87,789  
7.00%, 01/15/32
      85       87,692  
Precision Drilling Corp., 6.88%, 01/15/29
(b)
      4       3,857  
Rockcliff Energy II LLC, 5.50%, 10/15/29
(b)
      131       123,810  
Rockies Express Pipeline LLC,
4.95%, 07/15/29
(b)
      14       13,386  
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.88%, 11/01/28
      100       103,622  
SM Energy Co.
     
6.75%, 09/15/26
      41       40,893  
6.63%, 01/15/27
      7       6,960  
6.50%, 07/15/28
      45       45,021  
Southwestern Energy Co.
     
5.38%, 02/01/29
      62       60,505  
4.75%, 02/01/32
      2       1,850  
Sunoco LP/Sunoco Finance Corp.,
7.00%, 09/15/28
(b)
      50       51,589  
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
(b)
     
6.00%, 03/01/27
      14       13,690  
5.50%, 01/15/28
      21       19,845  
6.00%, 12/31/30
      2       1,859  
6.00%, 09/01/31
      41       37,922  
Transocean Aquila Ltd., 8.00%, 09/30/28
(b)
      33       33,494  
Transocean Titan Financing Ltd.,
8.38%, 02/01/28
(b)
      32       33,200  
Transocean, Inc.
(b)
     
7.50%, 01/15/26
      250       245,615  
11.50%, 01/30/27
      93       97,185  
8.00%, 02/01/27
      60       58,500  
8.75%, 02/15/30
      233       243,168  
Valaris Ltd., 8.38%, 04/30/30
(b)
      196       200,810  
Venture Global Calcasieu Pass LLC
(b)
3.88%, 08/15/29
      285       258,580  
 
 
30
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Oil, Gas & Consumable Fuels (continued)
 
Venture Global Calcasieu Pass LLC
(b)
(continued)
     
4.13%, 08/15/31
    USD       5     $ 4,405  
3.88%, 11/01/33
      193       163,558  
Venture Global LNG, Inc.
(b)
     
8.13%, 06/01/28
      202       203,999  
9.50%, 02/01/29
      587       621,144  
8.38%, 06/01/31
      358       357,815  
9.88%, 02/01/32
      281       292,701  
Vermilion Energy, Inc., 6.88%, 05/01/30
(b)
      51       48,962  
Vital Energy, Inc.
     
10.13%, 01/15/28
      70       71,929  
9.75%, 10/15/30
      85       88,117  
Western Midstream Operating LP
     
5.45%, 04/01/44
      105       95,057  
5.30%, 03/01/48
      39       33,939  
5.50%, 08/15/48
      17       15,161  
5.25%, 02/01/50
      54       48,414  
   
 
 
 
         10,833,688  
Passenger Airlines — 0.1%
                 
Air Canada, 3.88%, 08/15/26
(b)
      73       69,743  
American Airlines, Inc., 8.50%, 05/15/29
(b)
      126       133,056  
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 04/20/29
(b)
      88       86,078  
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25
(b)
      47       33,334  
United Airlines Pass-Through Trust,
     
Series 2020-1, Class B, 4.88%, 07/15/27
      12       11,779  
United Airlines, Inc., 4.63%, 04/15/29
(b)
      175       163,666  
VistaJet Malta Finance PLC/Vista Management
     
Holding, Inc.
(b)
     
7.88%, 05/01/27
      33       28,383  
6.38%, 02/01/30
      52       36,315  
   
 
 
 
        562,354  
Personal Care Products
(b)
— 0.0%
                 
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC
     
4.75%, 01/15/29
      5       4,769  
6.63%, 07/15/30
      66       67,803  
   
 
 
 
        72,572  
Pharmaceuticals — 0.2%
                 
1375209 BC Ltd., 9.00%, 01/30/28
(b)
      60       58,506  
Cheplapharm Arzneimittel GmbH,
4.38%, 01/15/28
(c)
    EUR       100       107,380  
Gruenenthal GmbH, 4.13%, 05/15/28
(c)
      100       108,991  
Option Care Health, Inc.,
4.38%, 10/31/29
(b)
    USD       79       71,397  
Organon & Co./Organon Foreign Debt Co-Issuer BV, 4.13%, 04/30/28
(b)
      200       184,093  
PRA Health Sciences, Inc.,
2.88%, 07/15/26
(b)
        200       186,888  
Prestige Brands, Inc., 3.75%, 04/01/31
(b)
      56       48,953  
Teva Pharmaceutical Finance Netherlands II BV, 3.75%, 05/09/27
    EUR       100       106,349  
Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26
    USD       203       187,648  
   
 
 
 
        1,060,205  
Professional Services — 0.0%
 
CoreLogic, Inc., 4.50%, 05/01/28
(b)
      243       212,870  
   
 
 
 
Security
        
Par
(000)
   
Value
 
Real Estate Management & Development — 0.1%
 
Anywhere Real Estate Group LLC/Anywhere Co.- Issuer Corp.
     
7.00%, 04/15/30
    USD       80     $ 73,775  
7.00%, 04/15/30
(b)
      45       41,769  
Cushman & Wakefield U.S. Borrower LLC
     
6.75%, 05/15/28
(b)
      101       100,495  
8.88%, 09/01/31
      38       40,271  
Howard Hughes Corp.
(b)
     
5.38%, 08/01/28
      46       44,212  
4.38%, 02/01/31
      53       45,964  
Realogy Group LLC/Realogy Co.-Issuer Corp., 5.75%, 01/15/29
(b)
      42       32,641  
   
 
 
 
        379,127  
Retail REITs — 0.0%
                 
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27
(b)
      51       45,900  
   
 
 
 
Semiconductors & Semiconductor Equipment — 0.2%
 
ams-OSRAM AG, 10.50%, 03/30/29
    EUR       100       119,751  
Entegris Escrow Corp.,
4.75%, 04/15/29
(b)
    USD       564       543,365  
Entegris, Inc., 4.38%, 04/15/28
(b)
      74       70,423  
NCR Atleos Corp., 9.50%, 04/01/29
      63       66,937  
Synaptics, Inc., 4.00%, 06/15/29
(b)
      84       75,347  
   
 
 
 
        875,823  
Software — 0.8%
                 
Alteryx, Inc., 8.75%, 03/15/28
(b)
      61       64,927  
Boxer Parent Co., Inc.
(b)
     
7.13%, 10/02/25
      85       85,456  
9.13%, 03/01/26
      177       176,611  
Capstone Borrower, Inc., 8.00%, 06/15/30
(b)
      78       81,148  
Clarivate Science Holdings Corp.
(b)
     
3.88%, 07/01/28
      342       322,470  
4.88%, 07/01/29
      206       193,297  
Cloud Software Group, Inc.
(b)
     
6.50%, 03/31/29
        1,168         1,112,451  
9.00%, 09/30/29
      974       925,741  
Consensus Cloud Solutions, Inc.
(b)
     
6.00%, 10/15/26
      23       21,869  
6.50%, 10/15/28
      20       18,141  
Crowdstrike Holdings, Inc.,
3.00%, 02/15/29
      16       14,460  
Elastic NV, 4.13%, 07/15/29
(b)
      120       110,190  
McAfee Corp., 7.38%, 02/15/30
(b)
      226       206,395  
MicroStrategy, Inc., 6.13%, 06/15/28
(b)
      144       139,700  
Open Text Corp., 6.90%, 12/01/27
(b)
      207       215,208  
Playtika Holding Corp.,
4.25%, 03/15/29
(b)
      21       18,323  
PTC, Inc., 4.00%, 02/15/28
(b)
      32       30,326  
SS&C Technologies, Inc.,
5.50%, 09/30/27
(b)
      284       279,948  
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25
(b)
      113       93,289  
   
 
 
 
        4,109,950  
Specialized REITs
(b)
— 0.1%
                 
Iron Mountain, Inc.
     
7.00%, 02/15/29
      181       186,046  
5.63%, 07/15/32
      44       41,653  
   
 
 
 
        227,699  
Specialty Retail — 0.2%
                 
Arko Corp., 5.13%, 11/15/29
(b)
      44       38,071  
 
 
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  31

Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Specialty Retail (continued)
 
eG Global Finance PLC,
12.00%, 11/30/28
    USD       415     $ 441,988  
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 02/15/29
(b)
      253       246,123  
   
 
 
 
        726,182  
Technology Hardware, Storage & Peripherals
(b)
— 0.1%
 
Seagate HDD Cayman
     
8.25%, 12/15/29
      128       138,051  
8.50%, 07/15/31
      120       130,237  
   
 
 
 
        268,288  
Textiles, Apparel & Luxury Goods
(b)
— 0.0%
 
Crocs, Inc.
     
4.25%, 03/15/29
      57       51,057  
4.13%, 08/15/31
      13       11,000  
Hanesbrands, Inc., 4.88%, 05/15/26
      32       30,868  
Kontoor Brands, Inc., 4.13%, 11/15/29
      32       28,872  
Levi Strauss & Co., 3.50%, 03/01/31
      82       70,999  
   
 
 
 
        192,796  
Transportation Infrastructure — 0.0%
 
Azzurra Aeroporti SpA,
2.63%, 05/30/27
(c)
    EUR       100       102,774  
   
 
 
 
Wireless Telecommunication Services — 0.2%
 
Altice France SA/France
     
8.13%, 02/01/27
(b)
    USD       334       307,891  
11.50%, 02/01/27
(k)
    EUR       100       110,671  
5.13%, 07/15/29
(b)
    USD       200       155,604  
Cellnex Finance Co. SA,
2.00%, 02/15/33
(c)
    EUR       100       93,987  
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26
(b)
    USD       200       198,802  
Hughes Satellite Systems Corp., 5.25%, 08/01/26
      29       25,519  
T-Mobile U.S., Inc.
     
3.38%, 04/15/29
      67       62,250  
3.50%, 04/15/31
      26       23,769  
Vmed O2 U.K. Financing I PLC, 4.75%, 07/15/31
(b)
      200       178,521  
   
 
 
 
        1,157,014  
   
 
 
 
Total Corporate Bonds — 18.6%
(Cost: $104,045,072)
          94,434,861  
   
 
 
 
Floating Rate Loan Interests
(a)
 
Aerospace & Defense — 4.2%
                 
Barnes Group, Inc., Term Loan B,
(1-mo. CME Term SOFR + 3.00%), 8.46%, 09/03/30
      604       605,208  
Bleriot U.S. Bidco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.61%, 10/31/28
      985       987,751  
Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.36%, 08/03/29
      322       316,714  
Cubic Corp.
     
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.90%, 05/25/28
        2,525       2,343,589  
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.90%, 05/25/28
      512       475,472  
Dynasty Acquisition Co., Inc., 2023 Term Loan B1, (1-mo. CME Term SOFR + 4.00%), 9.36%, 08/24/28
      3,336       3,342,958  
NORDAM Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 5.60%), 10.96%, 04/09/26
      755       689,503  
Security
        
Par
(000)
   
Value
 
Aerospace & Defense (continued)
 
Peraton Corp.
     
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 13.22%, 02/01/29
    USD       1,467     $ 1,456,274  
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/01/28
      4,981       4,987,433  
Setanta Aircraft Leasing DAC, Term Loan B, (3-mo. CME Term SOFR + 2.00%), 7.61%, 11/05/28
      1,175       1,177,937  
Standard Aero Ltd., 2023 Term Loan B2, (1-mo. CME Term SOFR + 4.00%), 9.36%, 08/24/28
      1,430       1,432,696  
TransDigm, Inc.
     
2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.60%, 08/24/28
      2,776       2,786,758  
2023 Term Loan J, (3-mo. CME Term SOFR at 1.00% Floor + 3.25%),
8.60%, 02/14/31
      681       683,554  
   
 
 
 
         21,285,847  
Air Freight & Logistics — 0.0%
                 
Rand Parent LLC, 2023 Term Loan B,
(3-mo. CME Term SOFR + 4.25%),
9.60%, 03/17/30
      220       219,178  
   
 
 
 
Automobile Components — 0.7%
                 
Adient U.S. LLC, 2021 Term Loan B,
(1-mo. CME Term SOFR + 3.25%),
8.72%, 04/10/28
      587       588,871  
Clarios Global LP, 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.11%, 05/06/30
      2,041       2,043,436  
Tenneco, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 5.00%),
10.47%, 11/17/28
      1,011       889,114  
   
 
 
 
        3,521,421  
Automobiles — 0.6%
                 
Dealer Tire Financial LLC, Series B, Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.86%, 12/14/27
        2,633       2,638,140  
RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/08/28
      204       174,987  
   
 
 
 
        2,813,127  
Banks — 0.9%
                 
Ascensus Holdings, Inc.
     
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.18%, 08/02/29
      2,372       2,274,730  
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 08/02/28
      2,387       2,378,410  
   
 
 
 
        4,653,140  
Beverages — 1.2%
                 
Naked Juice LLC
     
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.45%, 01/24/30
      1,631       1,304,825  
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.70%, 01/24/29
      3,489       3,366,834  
Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.86%, 03/31/28
      1,165       1,152,315  
   
 
 
 
        5,823,974  
Broadline Retail — 1.2%
                 
New SK Holdco Sub LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 13.71%, 06/30/27
(h)
      2,203       2,182,873  
 
 
32
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Broadline Retail (continued)
 
PUG LLC
     
2021 Incremental Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.72%, 02/12/27
(e)
    USD         320     $ 316,446  
USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 02/12/27
      2,876        2,824,671  
Sally Holdings LLC, 2023 CovLite Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.61%, 02/28/30
      572       573,286  
Woof Holdings, Inc., 1st Lien Term Loan,
(3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.36%, 12/21/27
      335       270,322  
   
 
 
 
        6,167,598  
Building Products — 1.2%
 
AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 05/13/29
      227       227,424  
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.97%, 05/19/28
      1,202       1,206,494  
LBM Acquisition LLC, Term Loan B,
(1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 12/17/27
      433       426,765  
SRS Distribution, Inc.
     
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 06/02/28
      2,385       2,386,051  
2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.96%, 06/02/28
      855       854,096  
White Cap Buyer LLC, Term Loan B,
(1-mo. CME Term SOFR + 3.75%), 9.11%, 10/19/27
      1,078       1,079,713  
   
 
 
 
        6,180,543  
Capital Markets — 2.2%
 
Aretec Group, Inc., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.96%, 08/09/30
      517       515,586  
Axalta Coating Systems U.S. Holdings, Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.85%, 12/20/29
      1,125       1,127,498  
Azalea Topco, Inc.
     
2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 07/24/26
      2,287       2,252,567  
Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 07/24/26
      836       825,877  
Castlelake Aviation One DAC
     
2023 Incremental Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.13%, 10/22/27
      646       646,877  
Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.12%, 10/22/26
      1,891       1,893,312  
Focus Financial Partners LLC
     
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 06/30/28
      1,280       1,278,652  
2023 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 06/30/28
      712       713,105  
Security
        
Par
(000)
   
Value
 
Capital Markets (continued)
 
ION Trading Finance Ltd., 2021 USD Term Loan, (3-mo. CME Term SOFR + 4.75%), 10.20%, 04/03/28
    USD         589     $ 588,535  
Osaic Holdings, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 4.50%), 9.86%, 08/17/28
      1,253       1,255,581  
   
 
 
 
         11,097,590  
Chemicals — 4.6%
 
Arc Falcon I, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 7.00%), 12.46%, 09/30/29
(e)
      815       731,462  
Aruba Investments Holdings LLC
     
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.75%),
13.21%, 11/24/28
      1,275       1,190,531  
2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%),
9.46%, 11/24/27
      671       660,620  
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.32%, 08/27/26
      1,163       1,115,504  
Chemours Co., 2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 8.86%, 08/18/28
      1,039       1,036,277  
CPC Acquisition Corp., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.36%, 12/29/27
      569       456,397  
Derby Buyer LLC, USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 11/01/30
(e)
      1,698       1,698,000  
Discovery Purchaser Corp., Term Loan,
(3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.77%, 10/04/29
      859       845,148  
Ecovyst Catalyst Technologies LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.98%, 06/09/28
      1,507       1,507,923  
Element Solutions, Inc., 2023 Term Loan B,
(1-mo. CME Term SOFR + 2.00%), 7.36%, 12/18/30
(e)
      1,732       1,736,721  
HB Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.61%, 02/15/30
      263       263,407  
Herens U.S. Holdco Corp., USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.37%, 07/03/28
      935       843,852  
INEOS U.S. Finance LLC, 2023 USD Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.86%, 02/18/30
      612       611,925  
LSF11 A5 Holdco LLC
     
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.71%, 10/15/28
      260       260,129  
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 10/15/28
      1,635       1,636,385  
Lummus Technology Holdings V LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 06/30/27
      209       208,847  
Momentive Performance Materials Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.86%, 03/29/28
      1,922       1,853,446  
 
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Chemicals (continued)
     
Nouryon USA LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.47%, 04/03/28
    USD         825     $ 827,173  
Olympus Water U.S. Holding Corp., 2023 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.35%, 11/09/28
      820       823,020  
OQ Chemicals Corp., 2017 USD Term Loan B2, (3-mo. CME Term SOFR + 3.60%), 9.01%, 10/14/24
      1,408       1,358,947  
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 03/16/27
      919       919,749  
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.71%, 08/02/28
      1,419       1,414,131  
WR Grace Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.36%, 09/22/28
      1,256       1,257,703  
   
 
 
 
        23,257,297  
Commercial Services & Supplies — 2.6%
 
Action Environmental Group, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.88%, 10/24/30
(e)
      580       581,427  
Albion Financing 3 SARL, USD Term Loan, (3-mo. CME Term SOFR + 5.25%), 10.92%, 08/17/26 .
      1,715       1,721,508  
Allied Universal Holdco LLC
     
2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 05/12/28
      2,281       2,268,524  
2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.11%, 05/12/28
      301       300,820  
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.36%, 02/15/29
      679       677,647  
PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.89%, 12/15/28
      681       527,726  
Prime Security Services Borrower LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.84%, 10/14/30
      649       650,519  
Tempo Acquisition LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.11%, 08/31/28
      4,167       4,181,813  
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.46%, 11/02/27
      1,446       1,393,586  
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.47%, 07/30/28
      881       875,666  
   
 
 
 
         13,179,236  
Communications Equipment — 0.6%
 
Ciena Corp., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.00%),
7.36%, 10/24/30
      1,255       1,257,139  
Security
        
Par
(000)
   
Value
 
Communications Equipment (continued)
 
Viasat, Inc.
     
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 05/30/30
    USD         760     $ 743,943  
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%),
9.86%, 03/02/29
      1,031       1,009,264  
   
 
 
 
        3,010,346  
Construction & Engineering — 1.1%
 
Brand Industrial Services, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.50%), 10.88%, 08/01/30
      3,012        2,990,941  
Legence Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.96%, 12/16/27
      200       199,935  
Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 01/21/28
      925       926,794  
USIC Holdings, Inc., 2021 Term Loan,
(1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 9.11%, 05/12/28
      1,530       1,515,347  
   
 
 
 
        5,633,017  
Construction Materials — 3.6%
 
ACProducts Holdings, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.86%, 05/17/28
      1,412       1,234,763  
American Builders & Contractors Supply Co., Inc., Series A, 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.46%, 01/15/27
      1,045       1,047,325  
Chariot Buyer LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 11/03/28
      2,129       2,121,344  
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 04/12/28
      308       307,212  
CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 11/23/27
      1,256       1,233,429  
CP Iris Holdco I, Inc.
     
2021 2nd Lien Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.46%, 10/01/29
      919       824,803  
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 10/02/28
      212       211,209  
CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.96%, 04/28/29
      698       698,512  
Emerald Debt Merger Sub LLC, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.36%, 05/31/30
      878       880,328  
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27
      545       545,808  
Jeld-Wen, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.25%),
7.72%, 07/28/28
      712       713,242  
LSF10 XL Bidco SCA, 2021 EUR Term Loan B4, (3-mo. EURIBOR + 4.18%), 8.10%, 04/12/28
    EUR         853       825,169  
New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.36%, 03/08/29
    USD         728       625,929  
 
 
34
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Construction Materials (continued)
 
Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.95%, 04/29/29
    USD         949     $ 938,311  
Quikrete Holdings, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.22%, 03/19/29
      557       558,557  
Smyrna Ready Mix Concrete LLC
     
2023 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.86%, 04/02/29
      699       412,470  
Term Loan B, 04/02/29
(m)
      66       65,865  
Standard Industries, Inc./New Jersey, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 09/22/28
      1,392       1,394,578  
Summit Materials LLC, 2023 Incremental Term Loan B, 11/30/28
(m)
      655       657,050  
Wilsonart LLC, 2021 Term Loan E, (3-mo. CME Term SOFR at 1.00% Floor + 3.25%), 8.70%, 12/31/26
      2,992       2,995,793  
Zurn LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.47%, 10/04/28
      98       98,198  
   
 
 
 
         18,389,895  
Consumer Finance — 1.1%
 
GTCR W Merger Sub LLC, USD Term Loan B, 09/20/30
(m)
      1,457       1,462,464  
Trans Union LLC
     
2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 7.21%, 11/16/26
      1,617       1,617,904  
2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 12/01/28
      1,602       1,606,673  
WEX, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.72%, 03/31/28
      850       851,852  
   
 
 
 
        5,538,893  
Consumer Staples Distribution & Retail — 0.3%
 
U.S. Foods, Inc.
     
2019 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.47%, 09/13/26
      563       563,265  
2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.97%, 11/22/28
      779       781,679  
   
 
 
 
        1,344,944  
Containers & Packaging — 1.8%
 
Charter Next Generation, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%),
9.22%, 12/01/27
      3,379       3,391,015  
LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.00%),
10.46%, 10/29/28
      1,391       1,330,726  
Mauser Packaging Solutions Holding Co., Term Loan B, (1-mo. CME Term SOFR + 4.00%), 9.34%, 08/14/26
      1,138       1,141,445  
Pactiv Evergreen Group Holdings Inc, 2020 Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.72%, 02/05/26
      941       943,092  
Security
        
Par
(000)
   
Value
 
Containers & Packaging (continued)
     
Pregis TopCo Corp.
     
1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.11%, 07/31/26
    USD         535     $ 535,469  
2021 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.22%, 07/31/26
      611       610,004  
Trident TPI Holdings, Inc., 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.61%, 09/15/28
      1,129       1,124,052  
   
 
 
 
        9,075,803  
Distributors — 0.2%
 
PAI Holdco, Inc., 2020 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.39%, 10/28/27
      863       802,780  
   
 
 
 
Diversified Consumer Services — 1.8%
 
Ascend Learning LLC
     
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 11.21%, 12/10/29
      589       503,400  
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 12/11/28
      835       819,622  
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 11/24/28
      804       802,346  
KUEHG Corp., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.35%, 06/12/30
      1,268        1,271,854  
Learning Care Group U.S. No. 2, Inc., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.13%, 08/11/28
      198       199,396  
Sotheby’s
     
2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 10.16%, 01/15/27
      1,641       1,617,709  
Series L, 2023 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 10.16%, 01/15/27
      360       354,750  
Spring Education Group, Inc., Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.85%, 10/04/30
      1,408       1,410,791  
Wand NewCo 3, Inc., 2020 Term Loan,
(1-mo. CME Term SOFR + 2.75%), 8.22%, 02/05/26
      2,255       2,259,803  
   
 
 
 
        9,239,671  
Diversified Telecommunication Services — 1.6%
 
Cablevision Lightpath LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.73%, 11/30/27
      197       195,998  
Consolidated Communications, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%),
8.97%, 10/02/27
      712       660,587  
Level 3 Financing, Inc., 2023 TSA Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27
(e)
      1,749       1,661,649  
 
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Diversified Telecommunication Services (continued)
 
Lumen Technologies, Inc., 2023 TSA Term Loan B, (3-mo. CME Term SOFR + 2.25%), 7.71%, 03/15/27
(e)
    USD         1,611     $ 1,095,299  
ORBCOMM, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.81%, 09/01/28
      755       715,274  
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.47%, 03/09/27
      4,386       3,754,249  
   
 
 
 
        8,083,056  
Electronic Equipment, Instruments & Components — 0.7%
 
Coherent Corp., 2022 Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 07/02/29
      1,347        1,349,073  
MX Holdings U.S., Inc., 2023 USD Term Loan B1D, 07/31/28
(m)
      156       156,509  
Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.35%, 11/22/29
      2,261       2,263,960  
   
 
 
 
        3,769,542  
Energy Equipment & Services — 0.0%
 
Lealand Finance Co. BV
     
2020 Make Whole Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.47%, 06/28/24
(e)
      46       30,835  
2020 Take Back Term Loan, (1-mo. CME Term SOFR + 4.00%), 6.47%, 06/30/25
      352       137,980  
   
 
 
 
        168,815  
Entertainment — 3.3%
 
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 04/22/26
      1,299       1,082,371  
Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.70%, 05/24/29
      87       87,518  
Cirque Du Soleil Holding USA Newco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.60%, 03/08/30
      809       804,843  
Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.86%, 11/27/28
      1,876       1,882,358  
Delta 2 Lux SARL, 2022 Term Loan B,
(3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.60%, 01/15/30
      1,655       1,658,111  
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.71%, 03/24/25
      1,492       1,486,191  
Live Nation Entertainment, Inc., Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 7.21%, 10/19/26
      2,227       2,221,999  
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. CME Term SOFR + 2.50%), 8.14%, 01/23/25
      1,682       1,681,888  
UFC Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.40%, 04/29/26
      760       762,280  
Security
        
Par
(000)
   
Value
 
Entertainment (continued)
 
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.22%, 05/18/25
    USD         2,514     $ 2,518,784  
WMG Acquisition Corp., 2021 Term Loan G, (1-mo. CME Term SOFR + 2.13%), 7.60%, 01/20/28
      2,416       2,415,537  
   
 
 
 
         16,601,880  
Environmental, Maintenance & Security Service — 0.5%
 
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.22%, 10/08/28
      606       606,506  
Covanta Holding Corp.
     
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 11/30/28
      75       74,763  
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 11/30/28
      982       980,623  
GFL Environmental, Inc., 2023 First Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.91%, 05/31/27
      644       645,786  
   
 
 
 
        2,307,678  
Financial Services — 3.2%
 
Belron Finance U.S. LLC
     
2018 Term Loan B, (3-mo. CME Term SOFR + 2.25%), 7.88%, 11/13/25
      1,947       1,946,550  
2019 USD Term Loan B3, (3-mo. CME Term SOFR + 2.25%),
7.90%, 10/30/26
      1,116       1,117,876  
2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.43%), 8.07%, 04/13/28
      1,693       1,694,266  
2023 USD Term Loan, 04/13/28
(e)(m)
      1,420       1,423,499  
Belron Luxembourg SARL, 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 8.00%, 04/18/29
      423       423,333  
Cogeco Financing 2 LP, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.88%, 09/29/28
      1,370       1,344,589  
Deerfield Dakota Holding LLC
     
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 9.10%, 04/09/27
      5,578       5,517,724  
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.36%, 04/07/28
      1,594       1,516,292  
FinCo I LLC, 2023 Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.38%, 06/27/29
      425       426,284  
GIP Pilot Acquisition Partners LP, Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.39%, 10/04/30
      271       270,775  
UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. CME Term SOFR + 3.00%), 8.48%, 01/31/29
      672       668,675  
   
 
 
 
        16,349,863  
Food Products — 2.7%
 
8th Avenue Food & Provisions, Inc.
     
2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%),
9.22%, 10/01/25
      1,406       1,345,197  
2021 Incremental Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.22%, 10/01/25
      1,321       1,268,398  
 
 
36
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Food Products (continued)
 
Aramark Services, Inc., 2023 Term Loan B6, (1-mo. CME Term SOFR + 2.50%), 7.97%, 06/22/30
    USD         592     $ 592,660  
Chobani LLC
     
2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.97%, 10/25/27
      2,885        2,886,432  
2023 Incremental Term Loan, (3-mo. CME Term SOFR + 3.75%),
9.11%, 10/25/27
      737       737,612  
Froneri U.S., Inc., 2020 USD Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.71%, 01/29/27
      3,222       3,222,995  
H-Food Holdings LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.69%), 9.27%, 05/23/25
      450       358,500  
Nomad Foods U.S. LLC, Term Loan B4, (6-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 11/13/29
      902       903,818  
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 9.14%, 06/08/28
      1,785       1,789,741  
UTZ Quality Foods LLC, 2021 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.64%, 01/20/28
      597       596,752  
   
 
 
 
        13,702,105  
Ground Transportation — 0.7%
 
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.10%, 04/06/28
      504       499,346  
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.22%, 08/06/27
      563       561,027  
SIRVAWorldwide, Inc., 2018 1st Lien Term Loan, (3-mo. CME Term SOFR + 5.50%), 11.15%, 08/04/25
      1,291       1,135,563  
Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.13%, 03/03/30
      1,154       1,156,658  
   
 
 
 
        3,352,594  
Health Care Equipment & Supplies — 2.4%
 
Avantor Funding, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 11/08/27
      971       972,634  
Bausch & Lomb Corp., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.36%, 09/29/28
      850       846,683  
Bausch and Lomb, Inc., Term Loan,
(3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 05/10/27
      2,030       2,003,602  
Curia Global, Inc., 2021 Term Loan,
(3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.23%, 08/30/26
      119       105,801  
Femur Buyer, Inc., 1st Lien Term Loan, (3-mo. CME Term SOFR + 4.50%), 10.11%, 03/05/26
      621       556,904  
Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.72%, 05/04/28
      668       669,184  
Security
        
Par
(000)
   
Value
 
Health Care Equipment & Supplies (continued)
 
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.40%, 10/19/27
    USD         1,281     $ 1,244,461  
Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 10/23/28
      3,714       3,729,693  
Sotera Health Holdings LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.39%, 12/11/26
      2,247       2,243,247  
   
 
 
 
         12,372,209  
Health Care Providers & Services — 4.2%
 
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%),
7.47%, 02/22/28
      1,833       1,793,814  
CHG Healthcare Services, Inc.
     
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 09/29/28
      889       889,623  
2023 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.14%, 09/29/28
      194       194,122  
CNT Holdings I Corp., 2020 Term Loan,
(3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.93%, 11/08/27
      1,595       1,597,179  
Electron BidCo, Inc., 2021 Term Loan,
(1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 11/01/28
      1,900       1,902,238  
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.97%, 02/04/27
      951       948,298  
EyeCare Partners LLC
     
2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.39%, 02/18/27
      1,915       926,729  
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.75%), 12.39%, 11/15/29
      508       135,797  
2021 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.39%, 11/15/28
      463       221,494  
Fortrea Holdings, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 07/01/30
      379       378,462  
ICON Luxembourg SARL, LUX Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.86%, 07/03/28
      1,719       1,724,017  
Ingenovis Health, Inc., Term Loan B,
(1-mo. CME Term SOFR + 3.75%), 9.22%, 03/06/28
      1,384       1,337,131  
IQVIA, Inc., 2023 USD Term Loan B4,
(3-mo. CME Term SOFR + 2.00%), 7.35%, 01/02/31
      1,096       1,099,135  
MED ParentCo LP, 1st Lien Term Loan,
(1-mo. CME Term SOFR + 4.25%), 9.72%, 08/31/26
      342       338,320  
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.46%, 11/01/29
      536       449,570  
Phoenix Newco, Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 11/15/28
      2,655       2,668,793  
 
 
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  37

Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Health Care Providers & Services (continued)
 
Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.45%, 11/18/27
    USD         1,080     $ 1,063,876  
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 11/01/28
      547       508,949  
Star Parent, Inc., Term Loan B, (3-mo. CME Term SOFR + 4.00%),
9.35%, 09/27/30
      626       617,912  
Surgery Center Holdings, Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.86%, 12/19/30
      1,032        1,035,626  
Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 05/16/29
      290       290,004  
WCG Intermediate Corp., 2019 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.00%), 9.47%, 01/08/27
      1,038       1,038,846  
   
 
 
 
        21,159,935  
Health Care Technology — 2.2%
                 
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 02/15/29
      2,592       2,577,496  
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.45%, 10/01/27
      2,793       2,709,219  
Verscend Holding Corp.
     
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.47%, 04/02/29
      2,740       2,740,000  
2021 Term Loan B, (1-mo. CME Term SOFR + 4.00%), 9.47%, 08/27/25
      3,197       3,199,996  
   
 
 
 
        11,226,711  
Hotel & Resort REITs — 0.2%
                 
RHP Hotel Properties LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.11%, 05/18/30
      746       746,576  
   
 
 
 
Hotels, Restaurants & Leisure — 6.5%
                 
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.22%, 02/02/26
      1,636       1,518,641  
Alterra Mountain Co., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.21%, 05/31/30
(e)
.
      139       139,997  
Bally’s Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.93%, 10/02/28
      843       796,675  
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., 2023 Term Loan B5, (1-mo. CME Term SOFR + 2.25%), 7.61%, 09/20/30
      2,694       2,693,171  
Caesars Entertainment, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 02/06/30
      1,122       1,124,100  
Carnival Corp., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.36%, 08/08/27
      879       879,314  
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.46%, 03/17/28
      1,302       1,300,411  
Security
        
Par
(000)
   
Value
 
Hotels, Restaurants & Leisure (continued)
 
City Football Group Ltd., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 07/21/28
    USD         1,458     $ 1,447,531  
ECL Entertainment, LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.11%, 08/31/30
      717       717,740  
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.00%), 8.61%, 03/08/24
      2,993       2,920,652  
Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.36%, 01/27/29
      3,229       3,228,525  
Flutter Financing BV
     
2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.86%, 07/22/28
      420       420,552  
Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%),
7.70%, 11/25/30
      2,961       2,963,458  
Four Seasons Hotels Ltd., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.96%, 11/30/29
      2,355       2,361,560  
Hilton Domestic Operating Co., Inc., 2023 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.46%, 11/08/30
      696       698,116  
IRB Holding Corp., 2022 Term Loan B,
(1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.46%, 12/15/27
      2,116        2,117,484  
Light & Wonder International, Inc., 2022 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%),
8.46%, 04/14/29
      949       950,553  
Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.71%, 03/09/28
      814       508,933  
Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.21%, 05/03/29
      1,268       1,269,872  
Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.61%, 01/05/29
      407       406,890  
SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%),
8.47%, 08/25/28
      584       584,463  
Station Casinos LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 0.25% Floor + 2.25%), 7.71%, 02/08/27
      1,938       1,939,845  
Whatabrands LLC, 2021 Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 08/03/28
      1,966       1,966,765  
Wyndham Hotels & Resorts, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.71%, 05/24/30
      172       172,092  
   
 
 
 
        33,127,340  
Household Durables — 1.5%
                 
AI Aqua Merger Sub, Inc., 2023 Incremental Term Loan, 07/31/28
(m)
      1,306       1,310,495  
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.88%, 02/26/29
      2,067       2,056,025  
Serta Simmons Bedding, LLC, 2023 New Term Loan, (3-mo. CME Term SOFR + 7.50%), 12.96%, 06/29/28
      443       420,510  
 
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Household Durables (continued)
     
Stitch Aquisition Corp., Term Loan B,
(3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.36%, 07/28/28
    USD       946     $ 501,497  
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 10/06/28
      1,562         1,397,283  
Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 10/30/27
        2,233       1,945,061  
   
 
 
 
        7,630,871  
Household Products — 0.1%
                 
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.00%), 11.54%, 12/22/26
      352       352,042  
   
 
 
 
Independent Power and Renewable Electricity Producers — 1.0%
 
Calpine Construction Finance Co. LP, 2023 Refinancing Term Loan B,
(1-mo. CME Term SOFR + 2.25%), 7.61%, 07/31/30
      1,106       1,105,390  
Calpine Corp.
     
2019 Term Loan B10, (1-mo. CME Term SOFR + 2.00%),
7.47%, 08/12/26
      1,029       1,030,002  
Term Loan B9, (1-mo. CME Term SOFR + 2.00%), 7.47%, 04/05/26
      1,864       1,866,173  
Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 8.15%, 12/15/27
      1,047       1,045,070  
   
 
 
 
        5,046,635  
Industrial Conglomerates — 0.1%
                 
JFL-Tiger Acquisition Co., Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.40%, 10/17/30
      530       530,000  
   
 
 
 
Insurance — 5.5%
                 
Alliant Holdings Intermediate LLC, 2023 Term Loan B6, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 11/06/30
      6,097       6,097,210  
AmWINS Group, Inc.
     
2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.25%), 7.72%, 02/19/28
      2,316       2,316,168  
2023 Incremental Term Loan B,
(1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.22%, 02/19/28
      444       445,275  
Amynta Agency Borrower, Inc., 2023 1st Lien Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.61%, 02/28/28
      1,269       1,268,707  
AssuredPartners, Inc.
     
2020 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.97%, 02/12/27
      1,268       1,270,043  
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 02/12/27
      756       756,972  
2023 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.22%, 02/12/27
      402       402,564  
Baldwin Risk Partners, LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 10/14/27
      393       392,493  
HUB International Ltd.
     
2022 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.37%, 11/10/29
      394       395,271  
Security
        
Par
(000)
   
Value
 
Insurance (continued)
     
HUB International Ltd. (continued)
     
2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.66%, 06/20/30
    USD         4,411     $ 4,427,888  
Jones Deslauriers Insurance Management, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.62%, 03/15/30
      1,025       1,027,993  
Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.46%, 09/01/27
      1,159       1,156,083  
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.11%, 02/24/28
      3,310       3,317,468  
USI, Inc./New York
     
2023 Acquisition Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.60%, 09/27/30
      469       468,970  
2023 Refi Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.61%, 09/27/30
      537       537,097  
2023 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.36%, 11/22/29
      3,676       3,679,082  
   
 
 
 
          27,959,284  
Interactive Media & Services — 0.7%
                 
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.50%, 02/16/28
      380       379,332  
Adevinta ASA, USD Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.36%, 06/26/28
      641       641,522  
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.47%, 10/30/26
      1,798       1,799,703  
Grab Holdings, Inc., Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.97%, 01/29/26
      877       879,067  
   
 
 
 
        3,699,624  
Internet Software & Services — 0.3%
                 
Gen Digital, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.46%, 09/12/29
      1,456       1,456,551  
   
 
 
 
IT Services — 3.1%
     
Asurion LLC
     
2020 Term Loan B8, (1-mo. CME Term SOFR + 3.25%), 8.71%, 12/23/26
      385       383,741  
2021 2nd Lien Term Loan B3, (1-mo. CME Term SOFR + 5.25%), 10.72%, 01/31/28
      985       936,933  
2021 Second Lien Term Loan B4, (1-mo. CME Term SOFR + 5.25%), 10.72%, 01/20/29
      953       896,115  
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.25%), 9.71%, 08/19/28
      1,372       1,365,427  
Camelot Finance SA, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 10/30/26
      1,656       1,656,998  
Central Parent, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.35%, 07/06/29
      2,425       2,434,471  
Dun & Bradstreet Corp.
     
2022 Incremental Term Loan B2, (1-mo. CME Term SOFR + 3.00%), 8.36%, 01/18/29
      614       614,959  
2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.21%, 02/06/26
      2,000       2,002,458  
 
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
IT Services (continued)
     
Go Daddy Operating Co. LLC
     
2021 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.47%, 08/10/27
    USD         1,670     $ 1,671,370  
2022 Term Loan B5, (1-mo. CME Term SOFR + 2.50%), 7.86%, 11/09/29
      1,262       1,265,551  
Magenta Buyer LLC
     
2021 USD 1st Lien Term Loan,
(3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.64%, 07/27/28
      2,073       1,456,383  
2021 USD 2nd Lien Term Loan,
(3-mo. CME Term SOFR at 0.75% Floor + 8.25%), 13.89%, 07/27/29
      1,907       724,623  
Venga Finance SARL, 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.40%, 06/28/29
      563       557,352  
   
 
 
 
          15,966,381  
Leisure Products — 0.3%
                 
Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.46%, 12/01/28
(e)
      421       411,399  
Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.48%, 05/25/27
      295       295,325  
Topgolf Callaway Brands Corp., Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.96%, 03/15/30
      1,034       1,033,109  
   
 
 
 
        1,739,833  
Machinery — 4.3%
                 
Arcline FM Holdings LLC
     
2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.36%, 06/23/28
      1,324       1,321,060  
2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 5.25%), 10.86%, 06/23/28
(e)
      440       439,898  
Columbus McKinnon Corp./New York, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.39%, 05/14/28
      311       311,299  
Doosan Bobcat North America, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.95%, 04/20/29
      229       229,310  
Filtration Group Corp.
     
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 10/21/28
      1,016       1,015,968  
2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.72%, 10/21/28
      2,078       2,084,776  
Gardner Denver, Inc., 2020 USD Term Loan B2, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27
      268       268,318  
Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.96%, 03/31/27
      2,113       2,114,853  
Generac Power Systems, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.19%, 12/13/26
      290       289,638  
Madison IAQ LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 06/21/28
      3,228       3,213,787  
Security
        
Par
(000)
   
Value
 
Machinery (continued)
     
SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 04/05/29
    USD       1,728     $ 1,732,366  
Titan Acquisition Ltd./Canada, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 03/28/25
      4,161       4,152,748  
Vertical U.S. Newco, Inc., Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.38%, 07/30/27
      2,388       2,390,949  
Vertiv Group Corp., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.21%, 03/02/27
        2,121       2,126,861  
   
 
 
 
          21,691,831  
Media — 4.3%
                 
A L Parent LLC, 2023 Take Back Term Loan, (1-mo. CME Term SOFR at 2.00% Floor + 5.50%), 10.86%, 06/30/28
      413       397,501  
ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 12/21/28
      1,138       1,141,499  
Altice Financing SA
     
2017 USD Term Loan B, (3-mo. LIBOR US + 2.75%), 8.41%, 07/15/25
      639       632,898  
USD 2017 1st Lien Term Loan, (3-mo. LIBOR US + 2.75%), 8.41%, 01/31/26
      1,705       1,681,114  
AVSC Holding Corp.
(h)
     
2020 Term Loan B1, (1-mo. CME Term SOFR at 1.00% Floor + 3.25%, 0.25% PIK), 9.21%, 03/03/25
      859       839,707  
2020 Term Loan B3, (3-mo. LIBOR US + 5.00%, 10.00% PIK), 15.00%, 10/15/26
      875       888,240  
Charter Communications Operating, LLC, 2023 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.36%, 12/07/30
      1,253       1,247,648  
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.14%, 08/21/26
      1,145       1,131,570  
CMG Media Corp., 2021 Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.95%, 12/17/26
     
(n)
 
    188  
CSC Holdings LLC, 2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.98%, 04/15/27
      1,817       1,717,406  
DirecTV Financing LLC, Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.65%, 08/02/27
      1,849       1,847,113  
NEP Group, Inc., 2018 1st Lien Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.72%, 10/20/25
      1,260       1,187,386  
Radiate Holdco LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 09/25/26
      2,376       1,893,639  
Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.75%), 9.21%, 04/21/29
      914       741,644  
Virgin Media Bristol LLC
     
2020 USD Term Loan Q, (1-mo. CME Term SOFR + 3.25%), 8.73%, 01/31/29
      1,212       1,208,000  
USD Term Loan N, (1-mo. CME Term SOFR + 2.50%), 7.98%, 01/31/28
      2,578       2,564,982  
 
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Media (continued)
     
Voyage Digital NZ, USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.37%, 05/11/29
(e)
    USD       828     $ 826,187  
Ziggo Financing Partnership, USD Term Loan I, (1-mo. CME Term SOFR + 2.50%), 7.98%, 04/30/28
        1,876       1,868,627  
   
 
 
 
        21,815,349  
Oil, Gas & Consumable Fuels — 2.0%
 
Freeport LNG Investments LLLP, Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.18%, 12/21/28
      3,235       3,227,729  
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%),
9.96%, 09/19/29
      227       227,339  
Medallion Midland Acquisition LP, 2023 Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.86%, 10/18/28
      1,874       1,879,022  
Murphy USA, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 1.75%), 7.21%, 01/31/28
      559       561,049  
New Fortress Energy, Inc., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.39%, 10/27/28
      1,597       1,569,052  
Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%),
8.71%, 10/05/28
      2,660       2,663,754  
   
 
 
 
          10,127,945  
Paper & Forest Products — 0.3%
                 
Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.21%, 09/07/27
      1,717       1,718,394  
   
 
 
 
Passenger Airlines — 2.4%
                 
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%),
10.43%, 04/20/28
      1,291       1,323,840  
Air Canada, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 9.14%, 08/11/28
      1,775       1,778,134  
American Airlines, Inc.
     
2023 1st Lien Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.87%, 06/04/29
      1,563       1,564,954  
Series AA, 2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.75%), 7.11%, 01/29/27
      146       144,283  
Series AA, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.60%, 02/15/28
      2,168       2,163,764  
Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 5.25%),
10.77%, 06/21/27
      2,043       2,110,481  
United Airlines, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 04/21/28
      2,570       2,575,487  
WestJet Airlines Ltd., Term Loan B,
(1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.46%, 12/11/26
      657       655,191  
   
 
 
 
        12,316,134  
Security
        
Par
(000)
   
Value
 
Personal Care Products — 1.0%
     
Sunshine Luxembourg VII SARL, 2021 USD Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%),
8.95%, 10/01/26
    USD       5,251     $ 5,273,161  
   
 
 
 
Pharmaceuticals — 1.6%
                 
Amneal Pharmaceuticals LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 5.50%), 10.86%, 05/04/28
      1,056       1,036,549  
Bausch Health Americas, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 5.25%),
10.71%, 02/01/27
      929       753,855  
Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.19%, 08/01/27
      1,266       1,256,654  
Jazz Financing Lux SARL, USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 05/05/28
      1,893       1,901,948  
Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 10/27/28
      602       603,550  
Organon & Co., USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 06/02/28
      1,238       1,238,978  
Perrigo Investments LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 04/20/29
      833       829,768  
PRA Health Sciences, Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.86%, 07/03/28
      428       429,541  
Prestige Brands, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.47%, 07/03/28
      85       84,968  
   
 
 
 
          8,135,811  
Professional Services — 2.4%
                 
AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 02/04/28
        1,760       1,763,433  
ASGN, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%),
7.61%, 08/30/30
      358       359,356  
CoreLogic, Inc.
     
2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.50%), 11.97%, 06/04/29
      978       871,036  
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%),
8.97%, 06/02/28
      3,045       2,955,549  
Element Materials Technology Group U.S. Holdings, Inc.
     
2022 USD Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.70%, 07/06/29
      524       517,906  
2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%),
9.70%, 07/06/29
      1,135       1,122,130  
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 7.21%, 04/28/28
      1,921       1,921,248  
Galaxy U.S. Opco, Inc., Term Loan,
(3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.13%, 04/29/29
(e)
      1,587       1,301,453  
VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.71%, 02/28/27
      1,443       1,445,300  
   
 
 
 
        12,257,411  
 
 
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  41

Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Real Estate Management & Development — 0.4%
 
 
Cushman & Wakefield U.S. Borrower LLC
     
2020 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.22%, 08/21/25
    USD       79     $ 78,927  
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 01/31/30
        1,066       1,054,766  
2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.36%, 01/31/30
(e)
      791       789,022  
   
 
 
 
        1,922,715  
Semiconductors & Semiconductor Equipment — 0.3%
       
MKS Instruments, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 08/17/29
      1,200       1,201,504  
Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.87%, 12/02/28
      542       538,954  
   
 
 
 
          1,740,458  
Software — 11.2%
                 
Applied Systems, Inc.
     
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.10%, 09/17/27
      630       632,703  
2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.85%, 09/18/26
      677       679,051  
Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.88%, 08/15/29
      863       840,672  
CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 09/21/28
      1,462       1,461,253  
Cloud Software Group, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.95%, 03/30/29
      4,611       4,495,111  
Cloudera, Inc.
     
2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.46%, 10/08/29
      676       644,451  
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 10/08/28
      735       726,901  
Cornerstone OnDemand, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.22%, 10/16/28
      541       522,360  
Delta TopCo, Inc., 2020 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.62%, 12/01/28
      330       329,918  
E2open LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 02/04/28
      247       247,247  
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 12/01/27
      2,763       2,771,291  
Helios Software Holdings, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.70%, 07/18/30
      1,172       1,169,132  
Informatica LLC, 2021 USD Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.22%, 10/27/28
      2,646       2,649,607  
Security
        
Par
(000)
   
Value
 
Software (continued)
     
McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.19%, 03/01/29
    USD       3,004     $ 2,983,611  
MH Sub I LLC
     
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.61%, 02/23/29
      1,724       1,600,487  
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.61%, 05/03/28
      4,695       4,608,048  
Planview Parent, Inc., 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.70%, 12/18/28
      824       748,810  
Playtika Holding Corp., 2021 Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.22%, 03/13/28
      1,494       1,490,538  
Polaris Newco LLC, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.47%, 06/02/28
        4,156       4,094,977  
Proofpoint, Inc.
     
1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 08/31/28
      2,444       2,441,436  
2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.25%), 11.72%, 08/31/29
      1,281       1,290,608  
RealPage, Inc.
     
1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 04/24/28
      5,374         5,324,790  
2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.50%), 11.97%, 04/23/29
      2,459       2,452,961  
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.25%), 8.63%, 08/01/27
      1,161       1,164,961  
Sophia LP
     
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 8.00%), 13.46%, 10/09/28
      2,509       2,512,136  
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 10/07/27
      1,944       1,945,398  
SS&C Technologies, Inc.
     
2018 Term Loan B3, (1-mo. CME Term SOFR + 1.75%), 7.22%, 04/16/25
      323       323,277  
2018 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 7.22%, 04/16/25
      305       305,041  
2018 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 7.22%, 04/16/25
      1,576       1,577,477  
UKG, Inc.
     
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.76%, 05/03/27
      1,216       1,216,436  
Term Loan B, (3-mo. CME Term SOFR + 3.75%), 9.23%, 05/04/26
      1,465       1,467,768  
Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 5.00%), 10.47%, 09/01/25
      2,094       1,734,818  
Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.18%, 07/20/28
      211       209,969  
   
 
 
 
        56,663,244  
Specialty Retail — 1.5%
                 
EG America LLC, 2021 Term Loan, (1-mo. SOFR OIS CMPD + 4.25%), 9.99%, 03/31/26
      248       247,283  
 
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
         
Par
(000)
   
Value
 
Specialty Retail (continued)
      
Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%),
9.47%, 05/04/28
    USD          2,617     $  2,618,392  
PetSmart LLC, 2021 Term Loan B,
(1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/11/28
       3,222       3,181,672  
Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.46%, 08/04/28
       965       967,337  
Restoration Hardware, Inc., 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 10/20/28
       744       724,068  
   
 
 
 
         7,738,752  
Textiles, Apparel & Luxury Goods — 0.4%
 
Crocs, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.50%, 02/20/29
       577       578,841  
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 11/24/28
(e)
       737       732,620  
Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 03/08/30
(e)
       468       466,299  
   
 
 
 
         1,777,760  
Trading Companies & Distributors — 1.3%
 
Core & Main LP, 2021 Term Loan B,
(2-mo. CME Term SOFR + 2.50%), 7.99%, 07/27/28
       3,523       3,518,914  
TMK Hawk Parent Corp.
(e)
      
2020 Super Priority First Out Term Loan A, (3-mo. CME Term SOFR at 1.00% Floor + 7.50%), 16.39%, 05/30/24
       1,022       1,011,943  
2020 Super Priority Second Out Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.14%, 08/28/24
       3,189       1,976,766  
   
 
 
 
         6,507,623  
Transportation Infrastructure — 0.5%
 
Apple Bidco LLC
      
2021 Term Loan, (1-week CME Term SOFR at 0.50% Floor + 2.75%), 8.21%, 09/22/28
       1,154       1,151,459  
2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 09/22/28
       668       669,903  
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.25%), 11.71%, 12/15/26
       733       727,707  
   
 
 
 
         2,549,069  
Wireless Telecommunication Services — 3.1%
 
Altice France SA/France, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.89%, 08/15/28
       1,717       1,537,827  
Connect Finco SARL, 2021 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.86%, 12/11/26
       7,131       7,126,444  
Digicel International Finance Ltd.
      
2017 Term Loan B, (3-mo. LIBOR US + 2.25%), 10.75%, 05/28/24
       492       455,326  
2017 Term Loan B1, 05/27/24
(m)
       21       19,787  
Security
        
Par
(000)
   
Value
 
Wireless Telecommunication Services (continued)
 
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 04/30/28
    USD       819     $ 819,859  
Iridium Satellite LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.86%, 09/20/30
      2,280       2,283,667  
SBA Senior Finance II LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.21%, 04/11/25
      3,266       3,268,717  
   
 
 
 
        15,511,627  
   
 
 
 
Total Floating Rate Loan Interests — 107.7%
(Cost: $554,186,689)
 
    546,331,109  
   
 
 
 
           
Shares
        
Investment Companies
     
Equity Funds — 0.1%
     
Janus Henderson AAA CLO ETF
      10,000       503,000  
   
 
 
 
Fixed Income Funds — 0.9%
                 
Invesco Senior Loan ETF
      166,200       3,520,116  
iShares iBoxx $ High Yield Corporate Bond ETF
(o)
      15,000       1,160,850  
   
 
 
 
        4,680,966  
   
 
 
 
Total Investment Companies — 1.0%
(Cost: $5,118,394)
 
    5,183,966  
   
 
 
 
           
Benefical
Interest (000)
        
Other Interests
     
Capital Markets — 0.0%
     
Millennium Lender Claim Trust
(e)(p)
    USD       1,156        
   
 
 
 
Industrial Conglomerates — 0.0%
     
Millennium Corp. Claim
(e)(p)
      1,084        
   
 
 
 
Total Other Interests — 0.0%
(Cost: $ — )
         
   
 
 
 
           
Par
(000)
        
Preferred Securities
     
Capital Trusts — 0.4%
     
Automobiles
(a)(l)
— 0.0%
                 
General Motors Financial Co., Inc., Series C, 5.70%
    USD       50       46,175  
Volkswagen International Finance NV, 3.88%
(c)
    EUR       100       101,028  
   
 
 
 
        147,203  
Banks
(l)
— 0.2%
     
AIB Group PLC, 5.25%
(a)(c)
      200       217,738  
Barclays PLC
     
9.63%
    USD       200       207,750  
4.38%
(a)
      200       155,481  
Citigroup, Inc.
(a)
     
7.63%
      81       82,709  
 
 
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  43

Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)
 
Security
       
Par
(000)
   
Value
 
 
 
Banks (continued)
     
Citigroup, Inc.
(a)
(continued)
     
Series Y, 4.15%
    USD       10     $ 8,582  
PNC Financial Services Group, Inc.
(a)
     
Series V, 6.20%
      67       65,140  
Series W, 6.25%
      72       67,116  
UBS Group AG, 9.25%
(a)(b)
      200       221,653  
Wells Fargo & Co., 7.63%
(a)
        111       116,474  
   
 
 
 
        1,142,643  
Diversified Telecommunication Services — 0.0%
 
Telefonica Europe BV, 6.14%
(a)(c)(l)
    EUR       100       113,431  
   
 
 
 
Electric Utilities
(a)
— 0.1%
     
Edison International, Series B, 5.00%
(l)
    USD       75       69,833  
EDP - Energias de Portugal SA, 5.94%, 04/23/83
(c)
    EUR       100       114,541  
Electricite de France SA, 3.38%
(c)(l)
      200       193,457  
   
 
 
 
        377,831  
Independent Power and Renewable Electricity Producers
(a)(b)(l)
— 0.1%
 
NRG Energy, Inc., 10.25%
    USD       118       122,848  
Vistra Corp., 7.00%
      77       75,845  
   
 
 
 
        198,693  
Wireless Telecommunication Services — 0.0%
 
Vodafone Group PLC, 6.50%, 08/30/84
(a)(c)
    EUR       100       117,965  
   
 
 
 
        2,097,766  
   
 
 
 
           
Shares
        
Preferred Stocks — 0.0%
     
Financial Services — 0.0%
                 
Alliant Holdings, Inc., 9.75%
(d)(e)(l)
      83       82,144  
   
 
 
 
        82,144  
   
 
 
 
Total Preferred Securities — 0.4%
(Cost: $2,205,859)
        2,179,910  
   
 
 
 
Warrants
     
Consumer Discretionary — 0.0%
     
Service King (Carnelian Point), (Exercisable 01/14/23, 1 Share for 1 Warrant, Expires 06/30/27, Strike Price USD 10.00)
(d)
      2,435        
   
 
 
 
Energy Equipment & Services — 0.0%
                 
Turbo Cayman Ltd.
(d)(e)
      1        
   
 
 
 
Oil, Gas & Consumable Fuels — 0.0%
 
California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)
(d)
      1,152       22,326  
   
 
 
 
Total Warrants — 0.0%
(Cost:$ — )
        22,326  
   
 
 
 
Total Long-Term Investments — 129.2%
(Cost: $687,069,314)
        655,549,704  
   
 
 
 
Security
 
Shares
   
Value
 
 
 
Short-Term Securities
   
Money Market Funds — 0.3%
   
BlackRock Liquidity Funds, T-Fund, Institutional Class, 5.26%
(o)(q)
    1,315,320     $ 1,315,320  
   
 
 
 
Total Short-Term Securities — 0.3%
(Cost: $1,315,320)
      1,315,320  
   
 
 
 
Total Investments — 129.5%
(Cost: $688,384,634)
      656,865,024  
Liabilities in Excess of Other Assets — (29.5)%
 
    (149,466,747
   
 
 
 
Net Assets — 100.0%
    $ 507,398,277  
   
 
 
 
 
(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)
 
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.
(d)
 
Non-income producing security.
(e)
 
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(f)
 
Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $248,455, representing 0.1% of its net assets as of period end, and an original cost of $73,447.
(g)
 
Issuer filed for bankruptcy and/or is in default.
(h)
 
Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.
(i)
 
Convertible security.
(j)
 
Zero-coupon bond.
(k)
 
When-issued security.
(l)
 
Perpetual security with no stated maturity date.
(m)
 
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.
(n)
 
Rounds to less than 1,000.
(o)
 
Affiliate of the Fund.
(p)
 
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(q)
 
Annualized 7-day yield as of period end.
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
 
 
44
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
 
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
 
                   
Affiliated Issuer
 
Value at
12/31/22
    
Purchases
at Cost
   
Proceeds
from Sale
   
Net
Realized
Gain (Loss)
   
Change in
Unrealized
Appreciation
(Depreciation)
    
Value at
12/31/23
    
Shares
Held at
12/31/23
    
Income
    
Capital Gain
Distributions
from
Underlying
Funds
 
BlackRock Liquidity Funds, T-Fund, Institutional Class
  $  482,274      $ 833,046
(a)
 
    $    —     $     $      $ 1,315,320        1,315,320      $ 58,239      $  
iShares iBoxx $ High Yield Corporate Bond ETF
           4,175,600       (2,996,029     (40,771     22,050        1,160,850        15,000        88,631         
        
 
 
   
 
 
    
 
 
       
 
 
    
 
 
 
         $ (40,771   $ 22,050      $ 2,476,170         $ 146,870      $  
        
 
 
   
 
 
    
 
 
       
 
 
    
 
 
 
 
 
(a)
 
Represents net amount purchased (sold).
 
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
 
         
Currency Purchased
      
Currency Sold
    
Counterparty
  
Settlement Date
      
Unrealized
Appreciation
(Depreciation)
 
USD     383,107          EUR        345,514      BNP Paribas SA      03/20/24        $ 504  
USD     84,927          EUR        76,596      JPMorgan Chase Bank N.A.      03/20/24          109  
                    
 
 
 
                       613  
                    
 
 
 
USD     99,801          EUR        92,000      Barclays Bank PLC      03/20/24          (2,075
USD     108,029          EUR        100,000      Barclays Bank PLC      03/20/24          (2,705
USD     3,771,079          EUR        3,437,000      BNP Paribas SA      03/20/24          (34,863
USD     782,385          EUR        713,000      UBS AG      03/20/24          (7,151
USD     25,000          GBP        19,617      Morgan Stanley & Co. International PLC      03/20/24          (15
USD     314,334          GBP        248,000      Morgan Stanley & Co. International PLC      03/20/24          (1,899
USD     325,036          GBP        255,060      State Street Bank and Trust Co.      03/20/24          (199
                    
 
 
 
                       (48,907
                    
 
 
 
                     $ (48,294
                    
 
 
 
Centrally Cleared Credit Default Swaps — Sell Protection
 
                 
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.39.V3
    5.00     Quarterly        12/20/27        B       USD  4,008     $  251,677      $ (50,654   $ 302,331  
             
 
 
    
 
 
   
 
 
 
 
 
(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.
 
 
 
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  45

Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
 
OTC Credit Default Swaps — Sell Protection
 
                       
 
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    
 
Morgan Stanley & Co. International PLC
    12/20/26       BB     EUR     7     $ 609     $ 1,068     $ (459  
 
CMA CGM SA
      5.00       Quarterly      
Morgan Stanley & Co. International PLC
    06/20/27       N/R     EUR     8       1,036       1,419       (383  
 
Adler Real Estate AG
      5.00       Quarterly      
Bank of America N.A.
    12/20/27       CCC+     EUR     15       (2,917     (2,794     (123  
 
United Group B.V
      5.00       Quarterly      
Morgan Stanley & Co. International PLC
    12/20/27       B     EUR     4       181       (545     726    
 
Ladbrokes Coral Group Ltd.
      1.00       Quarterly      
Morgan Stanley & Co. International PLC
    06/20/28       N/R     EUR     6       (136     (388     252    
                     
 
 
   
 
 
   
 
 
   
                      $ (1,227   $ (1,240   $ 13    
                     
 
 
   
 
 
   
 
 
   
 
 
(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.
 
OTC Total Return Swaps
 
                         
 
    
 
      
 
      
 
      
 
   
Upfront
Premium
Paid
(Received)
   
Unrealized
Appreciation
(Depreciation)
 
Paid by the Fund
    
Received by the Fund
   
 
   
 
     
 
     
 
     
 
 
Rate/Reference
 
Frequency
    
Rate/Reference
 
Frequency
 
Counterparty
 
Effective
Date
   
Termination
Date
   
Notional
Amount (000)
    Value  
1-Day SOFR, 5.38%
    Quarterly     
Markit iBoxx USD Liquid Leveraged Loan Index
  At Termination  
JPMorgan Chase Bank N.A.
    N/A       03/20/24     USD  2,273     $  33,033     $ (25,632   $ 58,665  
                
 
 
   
 
 
   
 
 
 
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps
 
         
Description
 
Swap
Premiums
Paid
    
Swap
Premiums
Received
   
Unrealized
Appreciation
    
Unrealized
Depreciation
 
Centrally Cleared Swaps
(a)
  $      $ (50,654   $ 302,331      $  
OTC Swaps
    2,487        (29,359     59,643        (965
 
 
(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.
 
 
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
 
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
 
               
    
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
  $      $      $      $ 613      $      $      $ 613  
Swaps — centrally cleared
                   
Unrealized appreciation on centrally cleared swaps
(a)
           302,331                                    302,331  
Swaps — OTC
                   
Unrealized appreciation on OTC swaps; Swap premiums paid
           3,465                      58,665               62,130  
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
  $      $ 305,796      $      $ 613      $ 58,665      $      $ 365,074  
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Liabilities — Derivative Financial Instruments
                   
Forward foreign currency exchange contracts
                   
Unrealized depreciation on forward foreign currency exchange contracts
  $      $      $      $ 48,907      $      $      $ 48,907  
Swaps — OTC
                   
Unrealized depreciation on OTC swaps; Swap premiums received
           4,692                      25,632               30,324  
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
  $    —      $ 4,692      $    —      $   48,907      $ 25,632      $    —      $   79,231  
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
 
 
(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).
 
For the period ended December 31, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:
 
               
    
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
  $      $      $      $ (19,805   $     $      $ (19,805
Swaps
           172,267                     (30,752            141,515  
 
 
 
    
 
 
    
 
 
    
 
 
   
 
 
   
 
 
    
 
 
 
  $      $ 172,267      $      $ (19,805   $ (30,752   $      $ 121,710  
 
 
 
    
 
 
    
 
 
    
 
 
   
 
 
   
 
 
    
 
 
 
Net Change in Unrealized Appreciation (Depreciation) on:
                 
Forward foreign currency exchange contracts
  $      $      $      $ (50,452   $     $      $ (50,452
Swaps
           248,205                     58,665              306,870  
 
 
 
    
 
 
    
 
 
    
 
 
   
 
 
   
 
 
    
 
 
 
  $    —      $ 248,205      $    —      $ (50,452   $   58,665     $    —      $  256,418  
 
 
 
    
 
 
    
 
 
    
 
 
   
 
 
   
 
 
    
 
 
 
Average Quarterly Balances of Outstanding Derivative Financial Instruments
 
   
Forward foreign currency exchange contracts:
 
Average amounts purchased — in USD
  $ 6,105,235  
Average amounts sold — in USD
  $ 101,555  
Credit default swaps:
 
Average notional value — sell protection
  $ 4,122,270  
Total return swaps:
 
Average notional value
  $ 568,238  
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
 
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
 
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
 
       
    
Assets
            
Liabilities
 
Derivative Financial Instruments
       
Forward foreign currency exchange contracts
  $ 613         $ 48,907  
Swaps — centrally cleared
              1,141  
Swaps — OTC
(a)
    62,130           30,324  
 
 
 
       
 
 
 
Total derivative assets and liabilities in the Statements of Assets and Liabilities
    62,743           80,372  
 
 
 
       
 
 
 
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)
              (1,141
 
 
 
       
 
 
 
Total derivative assets and liabilities subject to an MNA
  $  62,743         $ 79,231  
 
 
 
       
 
 
 
 
 
(a)
 
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.
 
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
 
                                  
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)
 
BNP Paribas SA
  $ 504      $ (504   $      $      $  
JPMorgan Chase Bank N.A.
    58,774        (25,632                   33,142  
Morgan Stanley & Co. International PLC
    3,465        (3,465                    
 
 
 
    
 
 
   
 
 
    
 
 
    
 
 
 
  $ 62,743      $ (29,601   $     —      $     —      $ 33,142  
 
 
 
    
 
 
   
 
 
    
 
 
    
 
 
 
                                  
Counterparty
 
 

Derivative

Liabilities
Subject to
an MNA by
Counterparty
 

 
 
 
 
  
 


Derivatives

Available
for Offset
 


(a)
 
 
 

Non-Cash

Collateral
Pledged
 

 
 
  
 

Cash

Collateral
Pledged
 

 
 
  
 

Net Amount

of Derivative
Liabilities
 

 
(b)(d)
 
Bank of America N.A.
  $ 2,917      $     $      $      $ 2,917  
Barclays Bank PLC
    4,780                            4,780  
BNP Paribas SA
    34,863        (504                   34,359  
JPMorgan Chase Bank N.A.
    25,632        (25,632                    
Morgan Stanley & Co. International PLC
    3,689        (3,465                   224  
State Street Bank and Trust Co.
    199                            199  
UBS AG
    7,151                            7,151  
 
 
 
    
 
 
   
 
 
    
 
 
    
 
 
 
  $ 79,231      $ (29,601   $      $      $ 49,630  
 
 
 
    
 
 
   
 
 
    
 
 
    
 
 
 
 
 
(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)
 
Net amount represents the net amount payable due to counterparty in the event of default.
 
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
 
 
 
   
    Level 1
    
Level 2
    
   Level 3
    
Total
 
 
 
Assets
          
Investments
          
Long-Term Investments
          
Asset-Backed Securities
  $      $  6,209,886      $      $  6,209,886  
Common Stocks
          
Construction & Engineering
    12,733                      12,733  
 
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
 
Fair Value Hierarchy as of Period End (continued)
 
 
 
   
    Level 1
    
Level 2
    
   Level 3
    
Total
 
 
 
Common Stocks (continued)
          
Consumer Finance
  $      $ 546,731      $      $ 546,731  
Electrical Equipment
    8,245                      8,245  
Energy Equipment & Services
                          
Financial Services
           147,700               147,700  
Health Care Providers & Services
                  211,485        211,485  
Industrial Conglomerates
           17               17  
Media
                  248,455        248,455  
Oil, Gas & Consumable Fuels
                  10,753        10,753  
Semiconductors & Semiconductor Equipment
    1,527                      1,527  
Corporate Bonds
          
Aerospace & Defense
            2,496,858                2,496,858  
Automobile Components
           1,861,878               1,861,878  
Automobiles
           642,975               642,975  
Banks
           481,530               481,530  
Broadline Retail
           36,516               36,516  
Building Products
           1,677,012               1,677,012  
Capital Markets
           861,237               861,237  
Chemicals
           2,931,720               2,931,720  
Commercial Services & Supplies
           3,880,526               3,880,526  
Communications Equipment
           453,009               453,009  
Construction & Engineering
           839,580               839,580  
Construction Materials
           2,198,434               2,198,434  
Consumer Finance
    11,026        2,848,340               2,859,366  
Consumer Staples Distribution & Retail
           1,289,264               1,289,264  
Containers & Packaging
           2,393,278               2,393,278  
Diversified Consumer Services
           358,759               358,759  
Diversified REITs
           1,217,569               1,217,569  
Diversified Telecommunication Services
           3,610,589               3,610,589  
Electric Utilities
           866,635               866,635  
Electrical Equipment
           512,340               512,340  
Electronic Equipment, Instruments & Components
           482,760               482,760  
Energy Equipment & Services
           1,079,175               1,079,175  
Entertainment
           828,776               828,776  
Environmental, Maintenance & Security Service
           946,195               946,195  
Financial Services
           1,562,113               1,562,113  
Food Products
           1,037,450               1,037,450  
Gas Utilities
           104,775               104,775  
Ground Transportation
           1,204,288               1,204,288  
Health Care Equipment & Supplies
           1,673,339               1,673,339  
Health Care Providers & Services
           3,130,363               3,130,363  
Health Care REITs
           305,996               305,996  
Health Care Technology
           618,695               618,695  
Hotel & Resort REITs
           667,798               667,798  
Hotels, Restaurants & Leisure
           7,284,574               7,284,574  
Household Durables
           1,095,860               1,095,860  
Household Products
           158,443               158,443  
Independent Power and Renewable Electricity Producers
           520,143               520,143  
Insurance
           3,597,118               3,597,118  
Interactive Media & Services
           515,475               515,475  
Internet Software & Services
           255,217               255,217  
IT Services
           3,019,787               3,019,787  
Leisure Products
           171,421               171,421  
Machinery
           3,979,231               3,979,231  
Media
           5,644,662               5,644,662  
Metals & Mining
           2,194,782               2,194,782  
Mortgage Real Estate Investment Trusts (REITs)
           43,926               43,926  
Office REITs
           16,182               16,182  
Oil, Gas & Consumable Fuels
           10,833,688               10,833,688  
Passenger Airlines
           562,354               562,354  
Personal Care Products
           72,572               72,572  
Pharmaceuticals
           1,060,205               1,060,205  
Professional Services
           212,870               212,870  
Real Estate Management & Development
           379,127               379,127  
 
 
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  49

Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
 
Fair Value Hierarchy as of Period End (continued)
 
 
 
   
Level 1
      
Level 2
      
Level 3
      
Total
 
 
 
Corporate Bonds (continued)
                
Retail REITs
  $        $ 45,900        $        $ 45,900  
Semiconductors & Semiconductor Equipment
             875,823                   875,823  
Software
             4,109,950                   4,109,950  
Specialized REITs
             227,699                   227,699  
Specialty Retail
             726,182                   726,182  
Technology Hardware, Storage & Peripherals
             268,288                   268,288  
Textiles, Apparel & Luxury Goods
             192,796                   192,796  
Transportation Infrastructure
             102,774                   102,774  
Wireless Telecommunication Services
             1,157,014                   1,157,014  
Floating Rate Loan Interests
             528,960,187          17,370,922          546,331,109  
Investment Companies
    5,183,966                            5,183,966  
Other Interests
                                
Preferred Securities
                
Capital Trusts
             2,097,766                   2,097,766  
Preferred Stocks
                      82,144          82,144  
Warrants
    22,326                            22,326  
Short-Term Securities
                
Money Market Funds
    1,315,320                            1,315,320  
Unfunded Floating Rate Loan Interests
(a)
                      870          870  
 
 
 
      
 
 
      
 
 
      
 
 
 
  $  6,555,143        $  632,386,122        $  17,924,629        $  656,865,894  
 
 
 
      
 
 
      
 
 
      
 
 
 
Derivative Financial Instruments
(b)
                
Assets
                
Credit Contracts
  $        $ 303,309        $        $ 303,309  
Foreign Currency Exchange Contracts
             613                   613  
Interest Rate Contracts
             58,665                   58,665  
Liabilities
                
Credit Contracts
             (965                 (965
Foreign Currency Exchange Contracts
             (48,907                 (48,907
 
 
 
      
 
 
      
 
 
      
 
 
 
  $        $ 312,715        $        $ 312,715  
 
 
 
      
 
 
      
 
 
      
 
 
 
 
 
(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.
 
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $149,000,000 are categorized as Level 2 within the fair value hierarchy.
A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
 
 
 
   
Common
Stocks
   
Corporate
Bonds
   
Floating
Rate Loan
Interests
   
Other
Interests
   
Preferred
Stocks
   
Unfunded
Floating
Rate Loan
Interests
   
Total
 
 
 
Assets
       
Opening balance, as of December 31, 2022
  $ 12,356     $ 1     $ 11,366,161     $
(a)
 
  $ 75,612     $     $ 11,454,130  
Transfers into Level 3
                3,245,858                         3,245,858  
Transfers out of Level 3
                (4,932,527                       (4,932,527
Accrued discounts/premiums
                430,645                         430,645  
Net realized gain (loss)
    (254,730           (32,066                       (286,796
Net change in unrealized appreciation (depreciation)
(b)(c)
    (235,212     (1     187,434             6,532       870       (40,377
 
 
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Schedule of Investments
 (continued)
December 31, 2023
  
BlackRock Debt Strategies Fund, Inc. (DSU)
 
 
 
    
Common
Stocks
   
Corporate
Bonds
   
Floating
Rate Loan
Interests
   
Other
Interests
   
Preferred
Stocks
   
Unfunded
Floating
Rate Loan
Interests
   
Total
 
 
 
Purchases
   $ 949,263     $     $ 10,930,782     $     $     $     $ 11,880,045  
Sales
     (984           (3,825,365                       (3,826,349
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Closing balance, as of December 31, 2023
   $ 470,693      $
(a)
 
  $  17,370,922      $
(a)
 
  $ 82,144     $ 870     $  17,924,629  
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2023
(c)
   $  (489,323   $ (1   $ 133,069     $     $ 6,532     $ 870     $ (348,853
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
 
(a)
 
Rounds to less than $1.
 
 
(b)
 
Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.
 
 
(c)
 
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2023 is generally due to investments no longer held or categorized as Level 3 at period end.
 
The Fund’s financial instruments that are categorized as Level 3 were valued utilizing third-party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third-party information could result in a significantly lower or higher value of such Level 3 financial instruments.
See notes to financial statements.
 
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  51

Schedule of Investments
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
 
Security
 
Par
(000)
   
Value
 
Asset-Backed Securities
 
Golub Capital Partners CLO Ltd., Series 2023-66B, Class D, (3-mo. CME Term SOFR + 5.50%), 10.88%, 04/25/36
(a)(b)
    USD       1,000     $  1,014,419  
Palmer Square CLO Ltd., Series 2023-2A, Class D, (3-mo. CME Term SOFR + 5.00%), 10.42%, 04/20/36
(a)(b)
      1,000       1,001,967  
Pikes Peak CLO Ltd., Series 2023-14, Class D, (3-mo. CME Term SOFR + 5.45%), 10.87%, 04/20/36
(a)(b)
      1,000    
    1,014,004  
Symphony CLO Ltd.
(a)
     
Series 2023-38, Class D, (3-mo. CME Term SOFR + 5.20%), 10.60%, 04/24/36
(b)
      1,000       999,862  
Series 2023-40A, Class D, (3-mo. CME Term SOFR + 5.00%), 10.34%, 01/14/34
      1,000       999,711  
Whitebox CLO IV Ltd., Series 2023-4A, Class D, (3-mo. CME Term SOFR + 5.15%), 10.57%, 04/20/36
(a)(b)
      1,000       1,022,720  
     
 
 
 
Total Asset-Backed Securities — 1.3%
(Cost: $6,000,000)
 
    6,052,683  
     
 
 
 
           
Shares
        
Common Stocks
     
Construction & Engineering — 0.0%
 
McDermott International Ltd.
(c)
      123,933       11,154  
     
 
 
 
Consumer Finance — 0.1%
                 
Travelport Finance Luxembourg SARL
      269       626,632  
     
 
 
 
Electrical Equipment — 0.0%
 
SunPower Corp.
(c)
      1,860       8,984  
     
 
 
 
Energy Equipment & Services — 0.0%
 
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)
(c)(d)(e)
      6,099        
     
 
 
 
Financial Services — 0.1%
 
NMG Parent LLC
      3,613       361,300  
     
 
 
 
Health Care Providers & Services — 0.0%
 
Envision Healthcare Corp.
(c)(d)
      23,736       178,020  
     
 
 
 
Media — 0.1%
                 
Learfield Communications LLC, (Acquired 09/06/23,
Cost: $85,471)
(c)(d)(e)
      6,803       289,128  
     
 
 
 
Oil, Gas & Consumable Fuels — 0.0%
 
Kcad Holdings I Ltd.
(c)(d)
      309,827,230       3,098  
     
 
 
 
Semiconductors & Semiconductor Equipment — 0.0%
 
Maxeon Solar Technologies Ltd.
(c)
      232       1,663  
     
 
 
 
Total Common Stocks — 0.3%
(Cost: $7,373,676)
 
    1,479,979  
     
 
 
 
Security
 
Par
(000)
   
Value
 
Corporate Bonds
     
Automobile Components — 0.1%
 
Clarios Global LP, 6.75%, 05/15/25
(b)
    USD       446     $ 449,925  
     
 
 
 
Chemicals
(b)
— 0.1%
                 
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28
      51       48,766  
WR Grace Holdings LLC, 5.63%, 08/15/29
      388       341,424  
     
 
 
 
         390,190  
Commercial Services & Supplies — 0.0%
 
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 01/15/28
(b)
      207       205,793  
     
 
 
 
Construction & Engineering — 0.1%
 
Brand Industrial Services, Inc., 10.38%, 08/01/30
      249       263,325  
     
 
 
 
Construction Materials
(b)
— 0.0%
 
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29
      118       114,165  
Wesco Aircraft Holdings, Inc.,
9.00%, 11/15/26
(c)(f)
      1,013       96,488  
     
 
 
 
        210,653  
Diversified REITs — 0.0%
                 
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25
(b)
      138       135,551  
     
 
 
 
Diversified Telecommunication Services — 0.1%
 
Level 3 New Money TSA, 11.00%, 11/15/29
(g)
      496       496,367  
Zayo Group Holdings, Inc., 6.13%, 03/01/28
(b)
      251       184,349  
     
 
 
 
        680,716  
Electric Utilities — 0.0%
                 
Texas Competitive Electric Holdings, Series M, 5.03%, 10/10/19
(c)(d)(f)
      1,710        
     
 
 
 
Entertainment — 0.1%
                 
Odeon Finco PLC, 12.75%, 11/01/27
(b)
      607       616,342  
     
 
 
 
Ground Transportation — 0.1%
                 
Uber Technologies, Inc., 4.50%, 08/15/29
(b)
      381       363,461  
     
 
 
 
Health Care Equipment & Supplies — 0.1%
 
Medline Borrower LP, 5.25%, 10/01/29
(b)
      384       361,949  
     
 
 
 
Hotels, Restaurants & Leisure
(b)
— 0.2%
                 
Caesars Entertainment, Inc., 4.63%, 10/15/29
      390       351,783  
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 6.75%, 01/15/30
      441       387,199  
     
 
 
 
        738,982  
Insurance — 0.1%
                 
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27
(b)
      357       355,738  
     
 
 
 
Internet Software & Services — 0.1%
 
Expedia Group, Inc., 6.25%, 05/01/25
(b)
      337       340,227  
     
 
 
 
IT Services — 0.0%
                 
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 06/15/29
      191       199,358  
     
 
 
 
Machinery — 0.2%
                 
Vertiv Group Corp., 4.13%, 11/15/28
(b)
      901       845,336  
     
 
 
 
Media — 0.1%
                 
Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 09/15/26
(b)
      573       437,029  
     
 
 
 
 
 
52
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
 
Security
 
Par
(000)
   
Value
 
Real Estate Management & Development — 0.0%
 
Realogy Group LLC/Realogy Co.-Issuer Corp., 5.75%, 01/15/29
(b)
    USD       46     $ 35,750  
   
 
 
 
Specialty Retail — 0.1%
                 
eG Global Finance PLC, 12.00%, 11/30/28
      465       495,239  
   
 
 
 
Wireless Telecommunication Services — 0.0%
 
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23
(d)(h)
      263       43,313  
   
 
 
 
Total Corporate Bonds — 1.5%
(Cost: $8,275,849)
        7,168,877  
   
 
 
 
Floating Rate Loan Interests
(a)
     
Aerospace & Defense — 5.1%
 
Barnes Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.46%, 09/03/30
      671       672,547  
Bleriot U.S. Bidco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.61%, 10/31/28
      968       970,868  
Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.36%, 08/03/29
      369       363,346  
Cubic Corp.
     
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.90%, 05/25/28
      2,818       2,615,542  
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.90%, 05/25/28
      572       530,614  
Dynasty Acquisition Co., Inc., 2023 Term Loan B1, (1-mo. CME Term SOFR + 4.00%), 9.36%, 08/24/28
      3,809       3,816,631  
NORDAM Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 5.60%), 10.96%, 04/09/26
      754       689,503  
Peraton Corp.
     
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 13.22%, 02/01/29
      1,692       1,678,770  
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/01/28
      5,625       5,631,716  
Setanta Aircraft Leasing DAC, Term Loan B, (3-mo. CME Term SOFR + 2.00%), 7.61%, 11/05/28
      1,340       1,343,350  
Standard Aero Ltd., 2023 Term Loan B2,
(1-mo.
CME Term SOFR + 4.00%), 9.36%, 08/24/28
      1,632       1,635,699  
TransDigm, Inc.
     
2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.60%, 08/24/28
      2,986       2,997,461  
2023 Term Loan J, (3-mo. CME Term SOFR at 1.00% Floor + 3.25%), 8.60%, 02/14/31
      760       762,850  
   
 
 
 
         23,708,897  
Air Freight & Logistics — 0.1%
 
Rand Parent LLC, 2023 Term Loan B,
(3-mo.
CME Term SOFR + 4.25%), 9.60%, 03/17/30
      244       242,873  
   
 
 
 
Automobile Components — 0.8%
 
Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.72%, 04/10/28
      664       665,674  
Security
 
Par
(000)
   
Value
 
Automobile Components (continued)
 
Clarios Global LP, 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.11%, 05/06/30
    USD       2,258     $ 2,261,163  
Tenneco, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 5.00%), 10.47%, 11/17/28
      1,123       987,611  
   
 
 
 
         3,914,448  
Automobiles — 0.6%
                 
Dealer Tire Financial LLC, Series B, Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.86%, 12/14/27
      2,519       2,523,922  
RVR Dealership Holdings LLC, Term Loan B,
(1-mo.
CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/08/28
      242       207,180  
   
 
 
 
        2,731,102  
Banks — 1.1%
                 
Ascensus Holdings, Inc.
     
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.18%, 08/02/29
      2,699       2,587,169  
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 08/02/28
      2,729       2,719,711  
   
 
 
 
        5,306,880  
Beverages — 1.4%
 
Naked Juice LLC
     
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.45%, 01/24/30
      1,804       1,443,145  
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.70%, 01/24/29
      3,856       3,720,126  
Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.86%, 03/31/28
      1,290       1,276,784  
   
 
 
 
        6,440,055  
Broadline Retail — 1.3%
 
New SK Holdco Sub LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 13.71%, 06/30/27
(h)
      1,729       1,713,354  
PUG LLC
     
2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.72%, 02/12/27
(d)
      364       359,994  
USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 02/12/27
      3,184       3,126,995  
Sally Holdings LLC, 2023 CovLite Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.61%, 02/28/30
      629       631,013  
Woof Holdings, Inc., 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.36%, 12/21/27
      379       305,557  
   
 
 
 
        6,136,913  
Building Products — 1.5%
 
AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 05/13/29
      261       262,411  
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.97%, 05/19/28
      1,361       1,365,516  
 
 
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  53

Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
 
Security
 
Par
(000)
   
Value
 
Building Products (continued)
                 
LBM Acquisition LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 12/17/27
    USD       505     $ 498,501  
SRS Distribution, Inc.
     
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 06/02/28
      2,743       2,744,719  
2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.96%, 06/02/28
      980       978,495  
White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.11%, 10/19/27
      1,217       1,218,686  
   
 
 
 
        7,068,328  
Capital Markets — 2.5%
                 
Aretec Group, Inc., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.96%, 08/09/30
      571       570,329  
Axalta Coating Systems U.S. Holdings, Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.85%, 12/20/29
      1,309       1,311,568  
Azalea Topco, Inc.
     
2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 07/24/26
      1,672       1,646,748  
Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 07/24/26
      958       946,404  
Castlelake Aviation One DAC
     
2023 Incremental Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.13%, 10/22/27
      713       713,249  
Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.40%, 10/22/26
      2,189       2,191,513  
Focus Financial Partners LLC
     
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 06/30/28
      1,455       1,453,552  
2023 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 06/30/28
      786       787,012  
ION Trading Finance Ltd., 2021 USD Term Loan, (3-mo. CME Term SOFR + 4.75%), 10.20%, 04/03/28
      667       666,486  
Osaic Holdings, Inc., 2023 Term Loan B,
(1-mo.
CME Term SOFR + 4.50%), 9.86%, 08/17/28
      1,396       1,398,840  
   
 
 
 
         11,685,701  
Chemicals — 5.2%
                 
Aruba Investments Holdings LLC
     
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.75%), 13.21%, 11/24/28
      690       644,287  
2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.46%, 11/24/27
      758       745,830  
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.32%, 08/27/26
      1,294       1,241,266  
Chemours Co., 2023 USD Term Loan B,
(1-mo.
CME Term SOFR at 0.50% Floor + 2.50%), 8.86%, 08/18/28
      1,151       1,147,662  
CPC Acquisition Corp., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.36%, 12/29/27
      644       516,321  
Derby Buyer LLC, USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 11/01/30
(d)
      1,890       1,890,000  
Security
 
Par
(000)
   
Value
 
Chemicals (continued)
                 
Discovery Purchaser Corp., Term Loan,
(3-mo.
CME Term SOFR at 0.50% Floor + 4.38%), 9.77%, 10/04/29
    USD       947     $ 932,617  
Ecovyst Catalyst Technologies LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.98%, 06/09/28
      1,712       1,712,751  
Element Solutions, Inc., 2023 Term Loan B,
(1-mo.
CME Term SOFR + 2.00%), 7.36%, 12/18/30
(d)
      1,967       1,971,958  
HB Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.61%, 02/15/30
      291       291,239  
Herens U.S. Holdco Corp., USD Term Loan B, (3- mo. CME Term SOFR + 3.93%), 9.37%, 07/03/28
      1,063       960,136  
INEOS U.S. Finance LLC, 2023 USD Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.86%, 02/18/30
      675       674,610  
LSF11 A5 Holdco LLC
     
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.71%, 10/15/28
      291       291,025  
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 10/15/28
      1,806       1,806,760  
Lummus Technology Holdings V LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 06/30/27
      233       233,264  
Momentive Performance Materials Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.86%, 03/29/28
      2,123       2,047,795  
Nouryon USA LLC, 2023 USD Term Loan B,
(3-mo.
CME Term SOFR + 4.00%), 9.47%, 04/03/28
      914       916,974  
Olympus Water U.S. Holding Corp., 2023 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.35%, 11/09/28
      910       913,131  
OQ Chemicals Corp., 2017 USD Term Loan B2, (3-mo. CME Term SOFR + 3.60%), 9.01%, 10/14/24
      1,570       1,514,638  
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 03/16/27
      1,044       1,044,573  
Sparta U.S. HoldCo LLC, 2021 Term Loan,
(1-mo.
CME Term SOFR at 0.75% Floor + 3.25%), 8.71%, 08/02/28
      1,628       1,622,864  
WR Grace Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.36%, 09/22/28
      1,395       1,397,227  
   
 
 
 
         24,516,928  
Commercial Services & Supplies — 3.2%
                 
Action Environmental Group, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.88%, 10/24/30
(d)
      646       647,589  
Albion Financing 3 SARL, USD Term Loan,
(3-mo.
CME Term SOFR + 5.25%), 10.92%, 08/17/26
      1,956       1,963,201  
Allied Universal Holdco LLC
     
2021 USD Incremental Term Loan B,
(1-mo.
CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 05/12/28
      2,596       2,582,113  
2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.11%, 05/12/28
      334       333,691  
 
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
 
Security
 
Par
(000)
   
Value
 
Commercial Services & Supplies (continued)
 
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.36%, 02/15/29
    USD       779     $ 777,966  
PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.89%, 12/15/28
      798       618,241  
Prime Security Services Borrower LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.84%, 10/14/30
      740       741,732  
Tempo Acquisition LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.11%, 08/31/28
      4,755       4,772,443  
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.46%, 11/02/27
      1,635       1,575,916  
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.47%, 07/30/28
      979       972,517  
   
 
 
 
         14,985,409  
Communications Equipment — 0.7%
 
Ciena Corp., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.36%, 10/24/30
      1,398       1,400,256  
Viasat, Inc.
     
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 05/30/30
      844       825,953  
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.86%, 03/02/29
      1,138       1,114,057  
   
 
 
 
        3,340,266  
Construction & Engineering — 1.3%
 
Brand Industrial Services, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.50%), 10.88%, 08/01/30
      3,337       3,313,804  
Legence Holdings LLC, 2021 Term Loan,
(1-mo.
CME Term SOFR at 0.75% Floor + 3.50%), 8.96%, 12/16/27
      222       221,819  
Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 01/21/28
      1,045       1,047,099  
USIC Holdings, Inc., 2021 Term Loan,
(1-mo.
CME Term SOFR at 0.75% Floor + 3.50%), 9.11%, 05/12/28
      1,734       1,717,183  
   
 
 
 
        6,299,905  
Construction Materials — 4.4%
 
ACProducts Holdings, Inc., 2021 Term Loan B, (3- mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.86%, 05/17/28
      1,628       1,423,916  
American Builders & Contractors Supply Co., Inc., Series A, 2019 Term Loan,
(1-mo.
CME Term SOFR + 2.00%), 7.46%, 01/15/27
      1,182       1,184,076  
Chariot Buyer LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 11/03/28
      2,432       2,424,114  
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 04/12/28
      263       262,800  
CP Atlas Buyer, Inc., 2021 Term Loan B,
(1-mo.
CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 11/23/27
      1,445       1,419,170  
CP Iris Holdco I, Inc.
     
2021 2nd Lien Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.46%, 10/01/29
      1,046       938,785  
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 10/02/28
      231       230,406  
Security
 
Par
(000)
   
Value
 
Construction Materials (continued)
 
CPG International LLC, 2022 Term Loan B,
(1-mo.
CME Term SOFR at 0.50% Floor + 2.50%), 7.96%, 04/28/29
    USD       790     $ 790,395  
Emerald Debt Merger Sub LLC, Term Loan B, (1- mo. CME Term SOFR + 3.00%), 8.36%, 05/31/30
      978       980,365  
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27
      523       524,101  
Jeld-Wen, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.72%, 07/28/28
      811       811,610  
LSF10 XL Bidco SCA, 2021 EUR Term Loan B4, (3-mo. EURIBOR + 4.18%), 8.10%, 04/12/28
    EUR       853       825,169  
New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.36%, 03/08/29
    USD       838       720,396  
Oscar AcquisitionCo. LLC, Term Loan B,
(3-mo.
CME Term SOFR at 0.50% Floor + 4.50%), 9.95%, 04/29/29
      1,094       1,081,841  
Quikrete Holdings, Inc., 2023 Term Loan B,
(1-mo.
CME Term SOFR + 2.75%), 8.22%, 03/19/29
      622       623,390  
Smyrna Ready Mix Concrete LLC, 2023 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.86%, 04/02/29
      536       537,380  
Standard Industries, Inc./New Jersey, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 09/22/28
      1,585       1,587,769  
Summit Materials LLC, 2023 Incremental Term Loan B, 11/30/28
(i)
      729       731,282  
Wilsonart LLC, 2021 Term Loan E, (3-mo. CME Term SOFR at 1.00% Floor + 3.25%), 8.70%, 12/31/26
      3,140       3,143,507  
Zurn LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.47%, 10/04/28
      111       111,350  
   
 
 
 
         20,351,822  
Consumer Finance — 1.3%
 
GTCR W Merger Sub LLC, USD Term Loan B, 09/20/30
(i)
      1,617       1,623,064  
Trans Union LLC
     
2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 7.21%, 11/16/26
      1,832       1,833,207  
2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 12/01/28
      1,831       1,836,545  
WEX, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.72%, 03/31/28
      963       964,912  
   
 
 
 
        6,257,728  
Consumer Staples Distribution & Retail — 0.3%
 
U.S. Foods, Inc.
     
2019 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.47%, 09/13/26
      636       636,929  
2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.97%, 11/22/28
      891       893,992  
   
 
 
 
        1,530,921  
Containers & Packaging — 2.3%
 
Charter Next Generation, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 12/01/27
      3,744       3,757,389  
LABL, Inc., 2021 USD 1st Lien Term Loan,
(1-mo.
CME Term SOFR at 0.50% Floor + 5.00%), 10.46%, 10/29/28
      1,589       1,520,160  
 
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
 
Security
 
Par
(000)
   
Value
 
Containers & Packaging (continued)
 
Mauser Packaging Solutions Holding Co., Term Loan B, (1-mo. CME Term SOFR + 4.00%), 9.34%, 08/14/26
    USD       1,256     $ 1,259,181  
Pactiv Evergreen Group Holdings Inc, 2020 Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.72%, 02/05/26
      226       226,902  
Pregis TopCo Corp.
     
1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.11%, 07/31/26
      609       609,975  
2021 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.22%, 07/31/26
      694       693,198  
Reynolds Consumer Products LLC, Term Loan, (1-mo. CME Term SOFR + 1.75%), 7.21%, 02/04/27
      1,306       1,307,241  
Trident TPI Holdings, Inc., 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.61%, 09/15/28
      1,275       1,269,317  
   
 
 
 
         10,643,363  
Distributors — 0.2%
                 
PAI Holdco, Inc., 2020 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.39%, 10/28/27
      1,010       940,365  
     
 
 
 
Diversified Consumer Services — 2.2%
                 
Ascend Learning LLC
     
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 11.21%, 12/10/29
      669       571,881  
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 12/11/28
      955       937,196  
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 11/24/28
      918       916,827  
KUEHG Corp., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.35%, 06/12/30
      1,405       1,408,946  
Learning Care Group U.S. No. 2, Inc., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.13%, 08/11/28
      220       221,439  
Sotheby’s
     
2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 10.16%, 01/15/27
      1,762       1,736,395  
Series L, 2023 Incremental Term Loan,
(3-mo.
CME Term SOFR at 0.50% Floor + 4.50%), 10.16%, 01/15/27
      395       389,240  
Spring Education Group, Inc., Term Loan,
(3-mo. CME Term SOFR + 4.50%), 9.85%, 10/04/30
      1,485       1,488,188  
Wand NewCo 3, Inc., 2020 Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.22%, 02/05/26
      2,546       2,551,365  
   
 
 
 
        10,221,477  
Diversified Telecommunication Services — 2.0%
 
Cablevision Lightpath LLC, Term Loan B,
(1-mo.
CME Term SOFR at 0.50% Floor + 3.25%), 8.73%, 11/30/27
      231       230,150  
Consolidated Communications, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.97%, 10/02/27
      808       748,621  
Security
 
Par
(000)
   
Value
 
Diversified Telecommunication Services (continued)
 
Level 3 Financing, Inc., 2023 TSA Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27
(d)
    USD       1,941     $ 1,844,255  
Lumen Technologies, Inc., 2023 TSA Term Loan B, (3-mo. CME Term SOFR + 2.25%), 7.71%, 03/15/27
(d)
      1,784       1,213,252  
ORBCOMM, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.81%, 09/01/28
      863       817,152  
Zayo Group Holdings, Inc., USD Term Loan,
(1-mo.
CME Term SOFR + 3.00%), 8.47%, 03/09/27
      5,045       4,318,584  
   
 
 
 
        9,172,014  
Electronic Equipment, Instruments & Components — 0.9%
 
Coherent Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 07/02/29
      1,539       1,541,798  
MX Holdings U.S., Inc., 2023 USD Term Loan B1D, 07/31/28
(i)
      189       189,406  
Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.35%, 11/22/29
      2,497        2,500,722  
   
 
 
 
        4,231,926  
Energy Equipment & Services — 0.0%
 
Lealand Finance Co. BV
     
2020 Make Whole Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.47%, 06/28/24
(d)
      40       26,963  
2020 Take Back Term Loan, (1-mo. CME Term SOFR + 4.00%), 6.47%, 06/30/25
      309       120,864  
   
 
 
 
        147,827  
Entertainment — 3.6%
                 
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 04/22/26
      1,491       1,242,275  
Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.70%, 05/24/29
      101       101,021  
Cirque Du Soleil Holding USA Newco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.60%, 03/08/30
      900       895,696  
Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.86%, 11/27/28
      2,078       2,084,651  
Delta 2 Lux SARL, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.60%, 01/15/30
      1,847       1,850,472  
Lions Gate Capital Holdings LLC, 2018 Term Loan B,
(1-mo. CME Term SOFR + 2.25%), 7.71%, 03/24/25
      1,296       1,291,380  
Live Nation Entertainment, Inc., Term Loan B4,
(1-mo.
CME Term SOFR + 1.75%), 7.21%, 10/19/26
      2,505       2,498,780  
SMG U.S. Midco 2, Inc., 2020 Term Loan,
(3-mo.
CME Term SOFR + 2.50%), 8.14%, 01/23/25
      414       414,125  
UFC Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.40%, 04/29/26
      891       893,373  
 
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Entertainment (continued)
                 
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.22%, 05/18/25
    USD       2,653     $ 2,658,080  
WMG Acquisition Corp., 2021 Term Loan G, (1-mo. CME Term SOFR + 2.13%), 7.60%, 01/20/28
      2,700       2,699,529  
     
 
 
 
         16,629,382  
Environmental, Maintenance & Security Service — 0.6%
 
Clean Harbors, Inc., 2021 Incremental Term Loan B, 0.00%, 10/08/28
      690       690,907  
Covanta Holding Corp.
     
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 11/30/28
      86       85,528  
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 11/30/28
      1,123       1,121,814  
GFL Environmental, Inc., 2023 First Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.91%, 05/31/27
      726       727,925  
     
 
 
 
        2,626,174  
Financial Services — 3.7%
                 
Belron Finance U.S. LLC
     
2018 Term Loan B, (3-mo. CME Term SOFR + 2.25%), 7.88%, 11/13/25
      430       430,350  
2019 USD Term Loan B3, (3-mo. CME Term SOFR + 2.25%), 7.90%, 10/30/26
      857       858,352  
2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.43%), 8.07%, 04/13/28
      2,967       2,968,315  
2023 USD Term Loan, 04/13/28
(d)(i)
      1,582       1,585,898  
Belron Luxembourg SARL, 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 8.00%, 04/18/29
      468       468,052  
Cogeco Financing 2 LP, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.88%, 09/29/28
      1,580       1,551,035  
Deerfield Dakota Holding LLC
     
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 9.10%, 04/09/27
      6,115       6,048,948  
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.36%, 04/07/28
      1,806       1,717,957  
FinCo I LLC, 2023 Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.38%, 06/27/29
      611       613,229  
GIP Pilot Acquisition Partners LP, Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.39%, 10/04/30
      301       300,750  
UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. CME Term SOFR + 3.00%), 8.48%, 01/31/29
      768       764,029  
     
 
 
 
        17,306,915  
Food Products — 3.2%
                 
8th Avenue Food & Provisions, Inc.
     
2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.22%, 10/01/25
      1,002       958,768  
2021 Incremental Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.22%, 10/01/25
      1,508       1,447,510  
Aramark Services, Inc., 2023 Term Loan B6, (1-mo. CME Term SOFR + 2.50%), 7.97%, 06/22/30
      757       757,947  
Chobani LLC
     
2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.97%, 10/25/27
      3,196       3,197,454  
Security
        
Par
(000)
   
Value
 
Food Products (continued)
                 
Chobani LLC (continued)
     
2023 Incremental Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.11%, 10/25/27
    USD       822     $ 822,682  
Froneri U.S., Inc., 2020 USD Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.71%, 01/29/27
      3,515       3,515,779  
H-Food Holdings LLC, 2018 Term Loan B,
(3-mo.
CME Term SOFR + 3.69%), 9.27%, 05/23/25
      495       393,956  
Nomad Foods U.S. LLC, Term Loan B4, (6-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 11/13/29
      1,002       1,004,031  
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 9.14%, 06/08/28
      2,013       2,018,434  
UTZ Quality Foods LLC, 2021 Term Loan B,
(3-mo.
CME Term SOFR + 3.00%), 8.64%, 01/20/28
      676       676,321  
     
 
 
 
         14,792,882  
Ground Transportation — 0.7%
       
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.10%, 04/06/28
      573       567,087  
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.22%, 08/06/27
      652       649,903  
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3-mo. CME Term SOFR + 5.50%), 11.15%, 08/04/25
      1,143       1,006,458  
Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.13%, 03/03/30
      1,275       1,277,953  
     
 
 
 
        3,501,401  
Health Care Equipment & Supplies — 3.0%
       
Avantor Funding, Inc., 2021 Term Loan B5,
(1-mo.
CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 11/08/27
      1,103       1,104,435  
Bausch & Lomb Corp., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.36%, 09/29/28
      942       938,109  
Bausch and Lomb, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 05/10/27
      2,254       2,224,578  
Curia Global, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.23%, 08/30/26
      139       124,210  
Femur Buyer, Inc., 1st Lien Term Loan, (3-mo. CME Term SOFR + 4.50%), 10.11%, 03/05/26
      682       611,982  
Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.72%, 05/04/28
      757       759,060  
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.40%, 10/19/27
      1,476       1,434,122  
Medline Borrower LP, USD Term Loan B,
(1-mo.
CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 10/23/28
      4,304       4,321,125  
Sotera Health Holdings LLC, 2021 Term Loan, (3- mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.39%, 12/11/26
      2,539       2,534,760  
     
 
 
 
        14,052,381  
Health Care Providers & Services — 5.1%
       
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.47%, 02/22/28
      1,900       1,859,290  
 
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Health Care Providers & Services (continued)
       
CHG Healthcare Services, Inc.
     
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 09/29/28
    USD       1,013     $ 1,012,801  
2023 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.14%, 09/29/28
      215       215,135  
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.93%, 11/08/27
      1,818       1,820,457  
Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 11/01/28
      2,168       2,171,620  
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.97%, 02/04/27
      1,053       1,050,195  
EyeCare Partners LLC
     
2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.39%, 02/18/27
      1,652       799,215  
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.75%), 12.39%, 11/15/29
      581       155,386  
2021 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.39%, 11/15/28
      530       253,484  
Fortrea Holdings, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 07/01/30
      420       419,189  
ICON Luxembourg SARL, LUX Term Loan,
(3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.86%, 07/03/28
      1,962       1,967,135  
Ingenovis Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.22%, 03/06/28
      1,604       1,549,607  
IQVIA, Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR + 2.00%), 7.35%, 01/02/31
      1,223       1,226,498  
MED ParentCo LP, 1st Lien Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.72%, 08/31/26
      382       377,628  
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.46%, 11/01/29
      611       512,476  
Phoenix Newco, Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 11/15/28
      3,037       3,053,210  
Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.45%, 11/18/27
      1,221        1,203,038  
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 11/01/28
      902       839,534  
Star Parent, Inc., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.35%, 09/27/30
      697       687,995  
Surgery Center Holdings, Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.86%, 12/19/30
      1,164       1,167,691  
Security
        
Par
(000)
   
Value
 
Health Care Providers & Services (continued)
       
Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 05/16/29
    USD       333     $ 333,406  
WCG Intermediate Corp., 2019 Term Loan,
(1-mo.
CME Term SOFR at 1.00% Floor + 4.00%), 9.47%, 01/08/27
      1,219       1,220,315  
     
 
 
 
        23,895,305  
Health Care Technology — 2.6%
       
AthenaHealth Group, Inc., 2022 Term Loan B, (1- mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 02/15/29
      2,969       2,952,523  
Gainwell Acquisition Corp., Term Loan B,
(3-mo.
CME Term SOFR at 0.75% Floor + 4.00%), 9.45%, 10/01/27
      3,229       3,131,895  
Verscend Holding Corp.
     
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.47%, 04/02/29
      3,092       3,092,000  
2021 Term Loan B, (1-mo. CME Term SOFR + 4.00%), 9.47%, 08/27/25
      3,085       3,087,579  
     
 
 
 
         12,263,997  
Hotel & Resort REITs — 0.2%
       
RHP Hotel Properties LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.11%, 05/18/30
      825       825,007  
     
 
 
 
Hotels, Restaurants & Leisure — 7.8%
       
Alterra Mountain Co., 2023 Term Loan B,
(1-mo.
CME Term SOFR + 3.75%), 9.21%, 05/31/30
(d)
      154       154,996  
Bally’s Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.93%, 10/02/28
      959       906,215  
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., 2023 Term Loan B5, (1-mo. CME Term SOFR + 2.25%), 7.61%, 09/20/30
      2,418       2,416,729  
Caesars Entertainment, Inc., Term Loan B,
(1-mo.
CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 02/06/30
      1,238       1,239,393  
Carnival Corp., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.36%, 08/08/27
      975       975,909  
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.46%, 03/17/28
      1,455       1,453,220  
City Football Group Ltd., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 07/21/28
      1,567       1,555,925  
ECL Entertainment, LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.11%, 08/31/30
      802       802,591  
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.00%), 8.61%, 03/08/24
      3,831       3,739,022  
Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.36%, 01/27/29
      4,082       4,081,449  
 
 
58
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Hotels, Restaurants & Leisure (continued)
       
Flutter Financing BV
     
2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.86%, 07/22/28
    USD       489     $ 490,506  
Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.70%, 11/25/30
      3,256       3,258,702  
Four Seasons Hotels Ltd., 2023 Term Loan B, (1- mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.96%, 11/30/29
      3,035       3,042,829  
Hilton Domestic Operating Co., Inc., 2023 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.46%, 11/08/30
      767       769,332  
IRB Holding Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.46%, 12/15/27
      2,379       2,380,371  
Light & Wonder International, Inc., 2022 USD Term Loan,
(1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.46%, 04/14/29
      1,084       1,086,007  
Packers Holdings LLC, 2021 Term Loan,
(1-mo.
CME Term SOFR at 0.75% Floor + 3.25%), 8.71%, 03/09/28
      901       563,300  
Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.21%, 05/03/29
      1,468       1,469,593  
Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.61%, 01/05/29
      474       474,210  
SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 08/25/28
      683       683,525  
Station Casinos LLC, 2020 Term Loan B,
(1-mo.
CME Term SOFR at 0.25% Floor + 2.25%), 7.71%, 02/08/27
      2,028       2,030,257  
Whatabrands LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 08/03/28
      2,239       2,240,308  
Wyndham Hotels & Resorts, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.71%, 05/24/30
      531       532,429  
     
 
 
 
         36,346,818  
Household Durables — 1.6%
       
AI Aqua Merger Sub, Inc., 2023 Incremental Term Loan, 07/31/28
(i)
      1,457       1,463,680  
Hunter Douglas, Inc., USD Term Loan B1,
(3-mo. CME Term SOFR + 3.50%), 8.88%, 02/26/29
      2,384       2,371,579  
Serta Simmons Bedding, LLC, 2023 New Term Loan, (3-mo. CME Term SOFR + 7.50%), 12.96%, 06/29/28
      499       473,575  
Stitch Aquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.36%, 07/28/28
      1,075       569,883  
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 10/06/28
      816       730,223  
Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 10/30/27
      2,006       1,747,113  
     
 
 
 
        7,356,053  
Security
        
Par
(000)
   
Value
 
Household Products — 0.1%
       
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.00%), 11.54%, 12/22/26
    USD       403     $ 403,034  
     
 
 
 
Independent Power and Renewable Electricity Producers — 1.0%
 
Calpine Construction Finance Co. LP, 2023 Refinancing Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.61%, 07/31/30
      1,228       1,226,993  
Calpine Corp.
     
2019 Term Loan B10, (1-mo. CME Term SOFR + 2.00%), 7.47%, 08/12/26
 
    695       695,841  
Term Loan B9, (1-mo. CME Term SOFR + 2.00%), 7.47%, 04/05/26
      1,488       1,489,618  
Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 8.15%, 12/15/27
      1,184       1,182,328  
     
 
 
 
         4,594,780  
Industrial Conglomerates — 0.1%
       
JFL-Tiger Acquisition Co., Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.40%, 10/17/30
 
    590       590,000  
     
 
 
 
Insurance — 6.7%
                 
Alliant Holdings Intermediate LLC, 2023 Term Loan B6, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 11/06/30
 
    6,853       6,875,387  
AmWINS Group, Inc.
     
2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.25%), 7.72%, 02/19/28
      2,561       2,561,809  
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.22%, 02/19/28
 
    492       492,876  
Amynta Agency Borrower, Inc., 2023 1st Lien Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.61%, 02/28/28
 
    1,412       1,412,125  
AssuredPartners, Inc.
     
2020 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.97%, 02/12/27
      1,390       1,391,810  
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 02/12/27
      871       872,142  
2023 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.22%, 02/12/27
 
    433       433,530  
Baldwin Risk Partners, LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 10/14/27
      436       435,221  
HUB International Ltd.
     
2022 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.37%, 11/10/29
      462       463,795  
2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.66%, 06/20/30
      4,580       4,597,134  
Jones Deslauriers Insurance Management, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.62%, 03/15/30
      1,137       1,140,320  
Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.46%, 09/01/27
 
    1,345       1,342,171  
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.11%, 02/24/28
      3,989       3,998,038  
USI, Inc./New York
     
2023 Acquisition Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.60%, 09/27/30
      519       518,861  
 
 
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  59

Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Insurance (continued)
                 
USI, Inc./New York (continued)
     
2023 Refi Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.61%, 09/27/30
    USD       595     $ 595,107  
2023 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.36%, 11/22/29
      4,064       4,067,070  
     
 
 
 
         31,197,396  
Interactive Media & Services — 0.9%
       
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.50%, 02/16/28
      429       427,649  
Adevinta ASA, USD Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.36%, 06/26/28
      726       726,810  
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.47%, 10/30/26
      2,057       2,059,267  
Grab Holdings, Inc., Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.97%, 01/29/26
      1,028       1,030,237  
Research Now Group, Inc., 2017 1st Lien Term Loan, 0.00%, 12/20/24
     
(j)
 
    1  
     
 
 
 
        4,243,964  
Internet Software & Services — 0.3%
       
Gen Digital, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.46%, 09/12/29
      1,613       1,613,446  
     
 
 
 
IT Services — 3.7%
                 
Asurion LLC
     
2020 Term Loan B8, (1-mo. CME Term SOFR + 3.25%), 8.71%, 12/23/26
      293       292,044  
2021 2nd Lien Term Loan B3, (1-mo. CME Term SOFR + 5.25%), 10.72%, 01/31/28
      1,117       1,061,828  
2021 Second Lien Term Loan B4, (1-mo. CME Term SOFR + 5.25%), 10.72%, 01/20/29
      1,066       1,002,370  
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.25%), 9.71%, 08/19/28
      1,656       1,648,231  
Camelot Finance SA, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 10/30/26
      1,714       1,714,966  
Central Parent, Inc., 2023 Term Loan B,
(3-mo.
CME Term SOFR + 4.00%), 9.35%, 07/06/29
      2,696       2,707,360  
Dun & Bradstreet Corp.
     
2022 Incremental Term Loan B2, (1-mo. CME Term SOFR + 3.00%), 8.36%, 01/18/29
      704       705,481  
2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.21%, 02/06/26
      2,308       2,311,622  
Go Daddy Operating Co. LLC
     
2021 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.47%, 08/10/27
      725       725,519  
2022 Term Loan B5, (1-mo. CME Term SOFR + 2.50%), 7.86%, 11/09/29
      1,757       1,761,277  
Magenta Buyer LLC
     
2021 USD 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.64%, 07/27/28
      2,396       1,683,060  
Security
        
Par
(000)
   
Value
 
IT Services (continued)
                 
Magenta Buyer LLC (continued)
     
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.25%), 13.89%, 07/27/29
    USD       2,204     $ 837,408  
Venga Finance SARL, 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.40%, 06/28/29
      643       636,616  
     
 
 
 
         17,087,782  
Leisure Products — 0.4%
                 
Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.46%, 12/01/28
(d)
      483       471,827  
Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.48%, 05/25/27
      341       341,747  
Topgolf Callaway Brands Corp., Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.96%, 03/15/30
      1,142       1,141,180  
     
 
 
 
        1,954,754  
Machinery — 5.1%
                 
Arcline FM Holdings LLC
     
2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.36%, 06/23/28
      1,513       1,510,340  
2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 5.25%), 10.86%, 06/23/28
(d)
      459       458,850  
Columbus McKinnon Corp./New York, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.39%, 05/14/28
      351       352,045  
Doosan Bobcat North America, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.95%, 04/20/29
      264       263,923  
Filtration Group Corp.
     
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 10/21/28
      1,161       1,161,665  
2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.72%, 10/21/28
      2,353       2,361,237  
Gardner Denver, Inc., 2020 USD Term Loan B2, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27
      356       356,479  
Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.96%, 03/31/27
      2,394       2,395,503  
Generac Power Systems, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.19%, 12/13/26
      325       324,594  
Madison IAQ LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 06/21/28
      3,673       3,656,212  
SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 04/05/29
      1,940       1,944,224  
Titan Acquisition Ltd./Canada, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 03/28/25
      3,834       3,825,709  
 
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Machinery (continued)
       
Vertical U.S. Newco, Inc., Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.38%, 07/30/27
    USD       2,707     $ 2,710,422  
Vertiv Group Corp., 2023 Term Loan B, 0.00%, 03/02/27
      2,405       2,411,795  
     
 
 
 
        23,732,998  
Media — 4.0%
                 
A L Parent LLC, 2023 Take Back Term Loan, (1-mo. CME Term SOFR at 2.00% Floor + 5.50%), 10.86%, 06/30/28
      481       462,575  
ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 12/21/28
      1,274       1,278,944  
Altice Financing SA
     
2017 USD Term Loan B, (3-mo. LIBOR US + 2.75%), 8.41%, 07/15/25
      1,073       1,061,940  
USD 2017 1st Lien Term Loan, (3-mo. LIBOR US + 2.75%), 8.41%, 01/31/26
      1,539       1,517,501  
AVSC Holding Corp.
     
2020 Term Loan B1, (1-mo. CME Term SOFR at 1.00% Floor + 3.25%, 0.25% PIK), 9.21%, 03/03/25
(h)
      997       973,924  
2020 Term Loan B3, (3-mo. LIBOR US + 5.00%), 10.61%, 10/15/26
      989       1,003,467  
Charter Communications Operating, LLC, 2023 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.36%, 12/07/30
      1,395       1,389,621  
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.14%, 08/21/26
      1,274       1,259,200  
CMG Media Corp., 2021 Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.95%, 12/17/26
     
(j)
 
    285  
CSC Holdings LLC, 2019 Term Loan B5,
(1-mo. LIBOR US + 2.50%), 7.98%, 04/15/27
      1,553       1,468,024  
DirecTV Financing LLC, Term Loan,
(3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.65%, 08/02/27
      2,132       2,129,751  
Radiate Holdco LLC, 2021 Term Loan B,
(1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 09/25/26
      2,534       2,020,311  
Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.75%), 9.21%, 04/21/29
      1,017       825,007  
Virgin Media Bristol LLC, USD Term Loan N,
(1-mo. CME Term SOFR + 2.50%), 7.98%, 01/31/28
      988       983,135  
Voyage Digital NZ, USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.37%, 05/11/29
(d)
      953       950,348  
Ziggo Financing Partnership, USD Term Loan I, (1-mo. CME Term SOFR + 2.50%), 7.98%, 04/30/28
      1,617       1,610,645  
     
 
 
 
         18,934,678  
Oil, Gas & Consumable Fuels — 2.5%
       
Freeport LNG Investments LLLP, Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.18%, 12/21/28
      3,652       3,644,544  
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 09/19/29
      264       263,910  
Security
        
Par
(000)
   
Value
 
Oil, Gas & Consumable Fuels (continued)
       
Medallion Midland Acquisition LP, 2023 Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.86%, 10/18/28
    USD       2,149     $ 2,154,989  
Murphy USA, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 1.75%), 7.21%, 01/31/28
      633       634,357  
New Fortress Energy, Inc., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.39%, 10/27/28
      1,777       1,745,903  
Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 10/05/28
      3,061       3,065,705  
     
 
 
 
         11,509,408  
Paper & Forest Products — 0.4%
       
Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.21%, 09/07/27
      1,948       1,948,804  
     
 
 
 
Passenger Airlines — 2.9%
       
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.43%, 04/20/28
      1,472       1,510,344  
Air Canada, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 9.14%, 08/11/28
      2,017       2,019,934  
American Airlines, Inc.
     
2023 1st Lien Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.87%, 06/04/29
      1,620       1,622,025  
Series AA, 2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.75%), 7.11%, 01/29/27
      272       269,359  
Series AA, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.60%, 02/15/28
      2,391       2,386,068  
Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 5.25%), 10.77%, 06/21/27
      2,258       2,331,934  
United Airlines, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 04/21/28
      2,906       2,912,162  
WestJet Airlines Ltd., Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.46%, 12/11/26
      728       726,234  
     
 
 
 
        13,778,060  
Personal Care Products — 1.3%
       
Sunshine Luxembourg VII SARL, 2021 USD Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.95%, 10/01/26
      5,998       6,023,685  
     
 
 
 
Pharmaceuticals — 2.0%
       
Amneal Pharmaceuticals LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 5.50%), 10.86%, 05/04/28
      1,204       1,181,533  
Bausch Health Americas, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.71%, 02/01/27
      1,079       875,752  
Elanco Animal Health, Inc., Term Loan B,
(1-mo.
CME Term SOFR + 1.75%), 7.19%, 08/01/27
      1,454       1,443,413  
Jazz Financing Lux SARL, USD Term Loan,
(1-mo.
CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 05/05/28
      2,162       2,172,451  
Option Care Health, Inc., 2021 Term Loan B,
(1-mo.
CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 10/27/28
      693       695,764  
 
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Pharmaceuticals (continued)
       
Organon & Co., USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 06/02/28
    USD       1,404     $ 1,405,192  
Perrigo Investments LLC, Term Loan B,
(1-mo.
CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 04/20/29
      933       929,141  
PRA Health Sciences, Inc., US Term Loan,
(3-mo.
CME Term SOFR at 0.50% Floor + 2.25%), 7.86%, 07/03/28
      489       490,114  
Prestige Brands, Inc., 2021 Term Loan B5,
(1-mo.
CME Term SOFR at 0.50% Floor + 2.00%), 7.47%, 07/03/28
      98       98,118  
     
 
 
 
    9,291,478  
Professional Services — 2.9%
                 
AlixPartners LLP, 2021 USD Term Loan B,
(1-mo.
CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 02/04/28
      1,978       1,981,337  
ASGN, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.61%, 08/30/30
      397       398,395  
CoreLogic, Inc.
     
2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.50%), 11.97%, 06/04/29
      1,096       975,685  
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 06/02/28
      3,339       3,241,323  
Element Materials Technology Group U.S. Holdings, Inc.
     
2022 USD Delayed Draw Term Loan,
(3-mo.
CME Term SOFR at 0.50% Floor + 4.25%), 9.70%, 07/06/29
      602       595,251  
2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.70%, 07/06/29
      1,304       1,289,711  
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 7.21%, 04/28/28
      2,023       2,023,446  
Galaxy U.S. Opco, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.13%, 04/29/29
(d)
      1,818       1,490,808  
VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.71%, 02/28/27
      1,639       1,640,561  
     
 
 
 
     13,636,517  
Real Estate Management & Development — 0.5%
       
Cushman & Wakefield U.S. Borrower LLC
     
2020 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.22%, 08/21/25
      92       91,558  
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 01/31/30
      1,188       1,176,605  
2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.36%, 01/31/30
(d)
      878       875,805  
     
 
 
 
    2,143,968  
Semiconductors & Semiconductor Equipment — 0.4%
       
MKS Instruments, Inc., 2023 Term Loan B,
(1-mo.
CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 08/17/29
      1,347       1,348,667  
Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.87%, 12/02/28
      620       615,669  
     
 
 
 
    1,964,336  
Security
        
Par
(000)
   
Value
 
Software — 12.9%
                 
Applied Systems, Inc., 2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.85%, 09/18/26
    USD       976     $ 979,593  
Barracuda Networks, Inc., 2022 Term Loan,
(3-mo.
CME Term SOFR at 0.50% Floor + 4.50%), 9.88%, 08/15/29
      992       966,115  
CCC Intelligent Solutions, Inc., Term Loan,
(1-mo.
CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 09/21/28
      1,666       1,664,967  
Cloud Software Group, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.95%, 03/30/29
      5,378       5,242,651  
Cloudera, Inc.
     
2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.46%, 10/08/29
      780       743,597  
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 10/08/28
      857       847,542  
Cornerstone OnDemand, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.22%, 10/16/28
      616       594,428  
Delta TopCo, Inc., 2020 2nd Lien Term Loan,
(3-mo.
CME Term SOFR at 0.75% Floor + 7.25%), 12.62%, 12/01/28
      385       384,904  
E2open LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 02/04/28
      282       281,451  
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 12/01/27
      3,250       3,260,349  
Helios Software Holdings, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.70%, 07/18/30
      1,296       1,292,513  
Informatica LLC, 2021 USD Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.22%, 10/27/28
      3,038        3,042,006  
McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.19%, 03/01/29
      3,441       3,416,968  
MH Sub I LLC
     
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.61%, 02/23/29
      1,521       1,411,925  
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.61%, 05/03/28
      5,188       5,091,685  
Planview Parent, Inc., 2nd Lien Term Loan,
(3-mo.
CME Term SOFR at 0.75% Floor + 7.25%), 12.70%, 12/18/28
      430       390,763  
Playtika Holding Corp., 2021 Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.22%, 03/13/28
      1,488       1,485,283  
Polaris Newco LLC, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.47%, 06/02/28
      4,604       4,536,249  
Proofpoint, Inc.
     
1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 08/31/28
      2,774       2,771,571  
2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.25%), 11.72%, 08/31/29
      1,451       1,461,883  
RealPage, Inc.
     
1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 04/24/28
      6,161       6,105,044  
 
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Software (continued)
                 
RealPage, Inc. (continued)
     
2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.50%), 11.97%, 04/23/29
    USD       2,745     $ 2,738,317  
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.25%), 8.63%, 08/01/27
      1,293       1,296,700  
Sophia LP
     
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 8.00%), 13.46%, 10/09/28
      2,779       2,782,474  
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 10/07/27
      2,280       2,282,612  
UKG, Inc.
     
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.76%, 05/03/27
      1,402       1,402,288  
Term Loan B, (3-mo. CME Term SOFR + 3.75%), 9.23%, 05/04/26
      1,620       1,622,834  
Veritas U.S., Inc., 2021 USD Term Loan B,
(1-mo.
CME Term SOFR at 1.00% Floor + 5.00%), 10.47%, 09/01/25
      2,322       1,923,562  
Voyage Australia Pty. Ltd., USD Term Loan B, (3- mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.18%, 07/20/28
      234       233,492  
     
 
 
 
         60,253,766  
Specialty Retail — 2.2%
                 
CD&R Firefly Bidco Ltd., 2023 GBP Term Loan B5, (3-mo. SONIA + 6.00%), 11.29%, 06/21/28
    GBP       1,000       1,245,180  
EG America LLC, 2021 Term Loan, (1-mo. SOFR OIS CMPD + 4.25%), 9.99%, 03/31/26
    USD       282       280,515  
Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 05/04/28
      2,964       2,965,689  
PetSmart LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/11/28
      3,645       3,599,331  
Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.46%, 08/04/28
      1,133       1,136,001  
Restoration Hardware, Inc., 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 10/20/28
      857       834,650  
     
 
 
 
        10,061,366  
Textiles, Apparel & Luxury Goods — 0.4%
 
Crocs, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.50%, 02/20/29
      672       674,235  
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 11/24/28
(d)
      863       857,436  
Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 03/08/30
(d)
      517       515,800  
     
 
 
 
        2,047,471  
Security
        
Par
(000)
   
Value
 
Trading Companies & Distributors — 1.5%
 
Core & Main LP, 2021 Term Loan B, (2-mo. CME Term SOFR + 2.50%), 7.99%, 07/27/28
    USD       4,057     $ 4,052,313  
TMK Hawk Parent Corp.
(d)
     
2020 Super Priority First Out Term Loan A, (3-mo. CME Term SOFR at 1.00% Floor + 7.50%), 16.39%, 05/30/24
      970       960,339  
2020 Super Priority Second Out Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.14%, 08/28/24
      3,026       1,876,058  
     
 
 
 
        6,888,710  
Transportation Infrastructure — 0.6%
 
Apple Bidco LLC
     
2021 Term Loan, (1-week CME Term SOFR at 0.50% Floor + 2.75%), 8.21%, 09/22/28
      1,296       1,293,210  
2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 09/22/28
      740       741,572  
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.25%), 11.71%, 12/15/26
      839       833,020  
     
 
 
 
        2,867,802  
Wireless Telecommunication Services — 3.4%
 
Altice France SA/France, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.89%, 08/15/28
      1,896       1,697,405  
Connect Finco SARL, 2021 Term Loan B,
(1-mo.
CME Term SOFR at 1.00% Floor + 3.50%), 8.86%, 12/11/26
      6,589       6,584,613  
Digicel International Finance Ltd.
     
2017 Term Loan B, (3-mo. LIBOR US + 2.25%), 10.75%, 05/28/24
      815       754,894  
2017 Term Loan B1, 05/27/24
(i)
      35       32,804  
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 04/30/28
      929       930,515  
Iridium Satellite LLC, 2023 Term Loan B,
(1-mo.
CME Term SOFR at 0.75% Floor + 2.50%), 7.86%, 09/20/30
      2,576       2,579,883  
SBA Senior Finance II LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.21%, 04/11/25
      3,308       3,310,298  
     
 
 
 
        15,890,412  
     
 
 
 
Total Floating Rate Loan Interests — 126.7%
(Cost: $600,105,406)
 
       592,130,078  
     
 
 
 
           
Shares
        
Investment Companies
     
Equity Funds — 0.1%
                 
Janus Henderson AAA CLO ETF
      10,000       503,000  
     
 
 
 
 
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)
 
Security
       
Shares
   
Value
 
 
 
Fixed Income Funds — 1.2%
                 
Invesco Senior Loan ETF
      119,300     $ 2,526,774  
iShares 0-5 Year High Yield Corporate Bond ETF
(k)
 
    5,000       211,100  
iShares iBoxx $ High Yield Corporate Bond ETF
(k)
      35,000       2,708,650  
     
 
 
 
        5,446,524  
     
 
 
 
Total Investment Companies — 1.3%
(Cost: $5,881,183)
 
    5,949,524  
     
 
 
 
           
Benefical
Interest (000)
        
Other Interests
     
Capital Markets — 0.0%
       
Millennium Lender Claim Trust
(d)(l)
    USD       1,607        
     
 
 
 
Industrial Conglomerates — 0.0%
       
Millennium Corp. Claim
(d)(l)
      1,508        
     
 
 
 
Total Other Interests — 0.0%
(Cost: $—)
         
     
 
 
 
           
Shares
        
Warrants
     
Consumer Discretionary — 0.0%
 
Service King (Carnelian Point), (Exercisable 01/14/23, 1 Share for 1 Warrant, Expires 06/30/27, Strike Price USD 10.00)
(c)
      1,895        
     
 
 
 
Oil, Gas & Consumable Fuels — 0.0%
 
California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)
(c)
      999       19,361  
     
 
 
 
Total Warrants — 0.0%
(Cost:$—)
        19,361  
     
 
 
 
Total Investments — 131.1%
(Cost: $627,636,114)
         612,800,502  
Liabilities in Excess of Other Assets — (31.1)%
 
    (145,464,995
     
 
 
 
Net Assets — 100.0%
      $ 467,335,507  
     
 
 
 
 
(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)
 
Non-income producing security.
(d)
 
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(e)
 
Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $289,128, representing 0.1% of its net assets as of period end, and an original cost of $85,471.
(f)
 
Issuer filed for bankruptcy and/or is in default.
(g)
 
When-issued security.
(h)
 
Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.
(i)
 
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.
(j)
 
Rounds to less than 1,000.
(k)
 
Affiliate of the Fund.
(l)
 
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
 
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
 
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
 
                   
Affiliated Issuer
  
Value at
12/31/22
    
Purchases
at Cost
    
Proceeds
from Sale
    
Net
Realized
Gain (Loss)
    
Change in
Unrealized
Appreciation
(Depreciation)
    
Value at
12/31/23
    
Shares
Held at
12/31/23
    
Income
    
Capital Gain
Distributions
from
Underlying
Funds
 
BlackRock Liquidity Funds, T-Fund, Institutional Class
(a)
   $      $  37,407,058      $  (37,407,058    $      $      $             $ 10,780      $  
iShares 0-5 Year High Yield Corporate Bond ETF
            204,381                      6,719        211,100        5,000        6,832         
iShares iBoxx $ High Yield Corporate Bond ETF
     736,300        7,972,560        (6,040,013      (35,247      75,050        2,708,650        35,000        288,807         
           
 
 
    
 
 
    
 
 
       
 
 
    
 
 
 
            $ (35,247    $ 81,769      $  2,919,750         $  306,419      $  
           
 
 
    
 
 
    
 
 
       
 
 
    
 
 
 
 
 
(a)
 
As of period end, the entity is no longer held.
 
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
 
           
Currency Purchased
  
Currency Sold
   
Counterparty
  
Settlement Date
    
     
    
Unrealized
Appreciation
(Depreciation)
 
USD
  
776,899
   EUR   708,000     UBS AG      03/20/24         $ (7,101
USD
  
1,152,091
   GBP  909,000     State Street Bank and Trust Co.      03/20/24           (7,004
                
 
 
 
                 $ (14,105
                
 
 
 
Centrally Cleared Credit Default Swaps — Sell Protection
 
                 
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.39.V3
     5.00      Quarterly        12/20/27        B        USD   4,435      $ 278,445       $ (56,041    $ 334,486  
CDX.NA.HY.40.V2
     5.00        Quarterly        06/20/28        B        USD   4,440        280,594        109,359        171,235  
                 
 
 
    
 
 
    
 
 
 
                  $  559,039      $ 53,318      $ 505,721  
                 
 
 
    
 
 
    
 
 
 
 
 
(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.
 
OTC Total Return Swaps
 
                 
    Paid by the Fund   
Received by the Fund
    
Counterparty
  
Effective
Date
    
Termination
Date
    
Notional
Amount (000)
    
Value
    
Upfront
Premium
Paid
(Received)
    
Unrealized
Appreciation
(Depreciation)
        
   
Rate/Reference
  
Frequency
  
Rate/Reference
  
Frequency
 
  
 
1-Day SOFR, 5.38%
   Quarterly   
Markit iBoxx USD Liquid Leveraged Loan Index
     At Termination     
JPMorgan Chase Bank N.A.
     N/A        03/20/24      USD  2,546      $  37,007      $ (28,714    $ 65,721            
                         
 
 
    
 
 
    
 
 
    
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps
 
         
Description
  
Swap
Premiums
Paid
    
Swap
Premiums
Received
    
Unrealized
Appreciation
    
Unrealized
Depreciation
 
Centrally Cleared Swaps
(a)
   $ 109,359      $ (56,041    $ 505,721      $  
OTC Swaps
            (28,714      65,721         
 
 
(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.
 
 
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
 
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
 
               
     
Commodity
Contracts
    
Credit
Contracts
    
Equity
Contracts
    
Foreign
Currency
Exchange
Contracts
    
Interest
Rate
Contracts
    
Other
Contracts
    
Total
 
Assets — Derivative Financial Instruments
                    
Swaps — centrally cleared
                    
Unrealized appreciation on centrally cleared swaps
(a)
   $      $ 505,721      $      $      $      $      $ 505,721  
Swaps — OTC
                    
Unrealized appreciation on OTC swaps; Swap premiums paid
                                 65,721               65,721  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
   $      $  505,721      $      $      $  65,721      $      $  571,442  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Liabilities — Derivative Financial Instruments
                    
Forward foreign currency exchange contracts
                    
Unrealized depreciation on forward foreign currency exchange contracts
   $      $      $      $ 14,105      $      $      $ 14,105  
Swaps — OTC
                    
Unrealized depreciation on OTC swaps; Swap premiums received
                                 28,714               28,714  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
   $      $      $      $ 14,105      $ 28,714      $      $ 42,819  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
 
 
(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).
 
For the period ended December 31, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:
 
               
     
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
   $      $      $      $ (71,731    $      $      $ (71,731
Swaps
            236,024                      (34,450             201,574  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
   $      $ 236,024      $      $  (71,731    $  (34,450    $      $ 129,843  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Net Change in Unrealized Appreciation (Depreciation) on:
                    
Forward foreign currency exchange contracts
   $      $      $      $ (30,990    $      $      $ (30,990
Swaps
            435,213                      65,721               500,934  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
   $      $   435,213      $      $ (30,990    $ 65,721      $      $  469,944  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Average Quarterly Balances of Outstanding Derivative Financial Instruments
 
   
Forward foreign currency exchange contracts:
  
Average amounts purchased — in USD
   $ 2,842,396  
Credit default swaps:
  
Average notional value — sell protection
   $ 6,711,038  
Total return swaps:
  
Average notional value
   $ 636,585  
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
 
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
 
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
 
     
     
Assets
      
Liabilities
 
Derivative Financial Instruments
       
Forward foreign currency exchange contracts
   $        $ 14,105  
Swaps — centrally cleared
              2,827  
Swaps — OTC
(a)
     65,721          28,714  
  
 
 
      
 
 
 
Total derivative assets and liabilities in the Statements of Assets and Liabilities
     65,721          45,646  
  
 
 
      
 
 
 
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)
              (2,827
  
 
 
      
 
 
 
Total derivative assets and liabilities subject to an MNA
   $  65,721        $ 42,819  
  
 
 
      
 
 
 
 
 
(a)
 
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.
 
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
 
           
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)
 
JPMorgan Chase Bank N.A.
   $ 65,721        $ (28,714    $        $        $ 37,007  
  
 
 
      
 
 
    
 
 
      
 
 
      
 
 
 
 
           
Counterparty
  
 

Derivative

Liabilities
Subject to
an MNA by
Counterparty
 

 
 
 
 
    
 

Derivatives

Available
for Offset
 

 
(a)
 
  
 

Non-Cash

Collateral
Pledged
 

 
 
    
 

Cash

Collateral
Pledged
 

 
 
    
 

Net Amount

of Derivative
Liabilities
 

 
(b)(d)
 
JPMorgan Chase Bank N.A.
   $ 28,714        $ (28,714    $        $        $  
State Street Bank and Trust Co.
     7,004                                   7,004  
UBS AG
     7,101                                   7,101  
  
 
 
      
 
 
    
 
 
      
 
 
      
 
 
 
   $ 42,819        $ (28,714    $        $        $ 14,105  
  
 
 
      
 
 
    
 
 
      
 
 
      
 
 
 
 
 
(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)
 
Net amount represents the net amount payable due to counterparty in the event of default.
 
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
 
         
     
Level 1
      
Level 2
      
Level 3
      
Total
 
Assets
                 
Investments
                 
Long-Term Investments
                 
Asset-Backed Securities
   $        $  6,052,683        $        $  6,052,683  
Common Stocks
                 
Construction & Engineering
       11,154                            11,154  
Consumer Finance
              626,632                   626,632  
Electrical Equipment
     8,984                            8,984  
Energy Equipment & Services
                                 
Financial Services
              361,300                   361,300  
Health Care Providers & Services
                         178,020          178,020  
Media
                       289,128          289,128  
Oil, Gas & Consumable Fuels
                       3,098          3,098  
Semiconductors & Semiconductor Equipment
     1,663                            1,663  
 
 
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  67

Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
 
Fair Value Hierarchy as of Period End (continued)
 
         
     
Level 1
      
Level 2
      
Level 3
      
Total
 
Corporate Bonds
   $        $ 7,125,564        $ 43,313        $ 7,168,877  
Floating Rate Loan Interests
              573,977,902          18,152,176          592,130,078  
Investment Companies
     5,949,524                            5,949,524  
Other Interests
                                 
Warrants
     19,361                            19,361  
Unfunded Floating Rate Loan Interests
(a)
                       970          970  
  
 
 
      
 
 
      
 
 
      
 
 
 
   $   5,990,686        $  588,144,081        $  18,666,705        $  612,801,472  
  
 
 
      
 
 
      
 
 
      
 
 
 
Derivative Financial Instruments
(b)
                 
Assets
                 
Credit Contracts
   $        $ 505,721        $        $ 505,721  
Interest Rate Contracts
              65,721                   65,721  
Liabilities
                 
Foreign Currency Exchange Contracts
              (14,105                 (14,105
  
 
 
      
 
 
      
 
 
      
 
 
 
   $        $ 557,337        $        $ 557,337  
  
 
 
      
 
 
      
 
 
      
 
 
 
 
 
(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.
 
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $144,000,000 are categorized as Level 2 within the fair value hierarchy.
A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
 
 
 
    
Common
Stocks
      
Corporate
Bonds
      
Floating
Rate Loan
Interests
      
Other
Interests
    
Unfunded
Floating
Rate Loan
Interests
      
Total
 
 
 
Assets
            
Opening balance, as of December 31, 2022
   $ 4,440        $        $ 12,129,451        $
(a)
 
   $        $ 12,133,891  
Transfers into Level 3
(b)
              78,227          3,399,733                          3,477,960  
Transfers out of Level 3
(c)
                       (5,579,631                        (5,579,631
Accrued discounts/premiums
              (1        412,910                          412,909  
Net realized gain (loss)
     (213,184                 (36,450                        (249,634
Net change in unrealized appreciation (depreciation)
(d)(e)
     (142,903        (53,794        175,630                 970          (20,097
Purchases
     822,717          18,881          12,220,410                          13,062,008  
Sales
     (824                 (4,569,877                        (4,570,701
  
 
 
      
 
 
      
 
 
      
 
 
    
 
 
      
 
 
 
Closing balance, as of December 31, 2023
   $   470,246        $ 43,313        $  18,152,176        $
(a)
 
   $ 970        $  18,666,705  
  
 
 
      
 
 
      
 
 
      
 
 
    
 
 
      
 
 
 
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2023
(e)
   $ (355,568      $ (53,794      $ 113,979        $      $ 970        $ (294,413
  
 
 
      
 
 
      
 
 
      
 
 
    
 
 
      
 
 
 
 
 
(a)
 
Rounds to less than $1.
 
 
(b)
 
As of December 31, 2022, the Fund used observable inputs in determining the value of certain investments. As of December 31, 2023, 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, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of December 31, 2023, 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 December 31, 2023 is generally due to investments no longer held or categorized as Level 3 at period end.
 
The Fund’s financial instruments that are categorized as Level 3 were valued utilizing third-party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third-party information could result in a significantly lower or higher value of such Level 3 financial instruments.
See notes to financial statements.
 
 
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Schedule of Investments
December 31, 2023
  
BlackRock Income Trust, Inc. (BKT)
(Percentages shown are based on Net Assets)
 
Security
 
Par
(000)
   
Value
 
Asset-Backed Securities
   
Sterling COOFS Trust
(a)
   
Series 2004-1, Class A, 2.36%, 04/15/29
  $ 436     $ 4,357  
Series 2004-2, Class Note, 2.08%, 03/30/30
(b)
    251       2,512  
   
 
 
 
Total Asset-Backed Securities — 0.0%
(Cost: $61,948)
      6,869  
   
 
 
 
Non-Agency Mortgage-Backed Securities
 
Collateralized Mortgage Obligations — 7.8%
 
Fannie Mae REMICS, Series 2020-57, Class LI, 2.00%, 08/25/50
    5,500       3,978,304  
Freddie Mac REMICS
   
Series 3745, Class LK, 4.00%, 10/15/40
    3,500       3,362,114  
Series 5249, Class LB, 4.00%, 08/25/52
    6,295       5,744,910  
Ginnie Mae Mortgage-Backed Securities, Series 2022- 63, Class ZM, 3.50%, 10/20/50
    4,414       3,557,843  
Seasoned Credit Risk Transfer Trust
   
Series 2018-2, Class MA, 3.50%, 11/25/57
    501       476,039  
Series 2018-4, Class MA, 3.50%, 03/25/58
    2,915       2,749,824  
Series 2019-1, Class MA, 3.50%, 07/25/58
    905       856,550  
Series 2019-2, Class MA, 3.50%, 08/25/58
    369       348,220  
   
 
 
 
       21,073,804  
Commercial Mortgage-Backed Securities — 2.1%
 
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A, (1-mo. Term SOFR + 1.15%), 6.51%, 09/15/34
(b)(c)
    607       603,907  
Beast Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. Term SOFR + 0.86%), 6.23%, 04/15/36
(b)(c)
    250       245,138  
BLP Commercial Mortgage Trust, Series 2023-IND, Class A, (1-mo. Term SOFR + 1.69%), 7.05%, 03/15/40
(b)(c)
    500       497,044  
BX Trust, Series 2022-GPA, Class A, (1-mo. Term SOFR + 2.17%), 7.53%, 08/15/39
(b)(c)
    750       750,705  
Citigroup Commercial Mortgage Trust, Series 2023, Class A, 5.82%, 10/12/40
(b)(c)
    340       344,178  
CSAIL Commercial Mortgage Trust
(c)
   
Series 2018-C14, Class XA, 0.54%, 11/15/51
    1,981       41,999  
Series 2019-C16, Class XA, 1.54%, 06/15/52
    6,331       394,409  
CSRO Trust, Series 2023, Class A, 7.12%, 07/12/40
    177       184,194  
GS Mortgage Securities Corp. Trust
(b)(c)
   
Series 2022-ECI, Class A, (1-mo. Term SOFR + 2.19%), 7.56%, 08/15/39
    560       561,375  
Series 2023-FUN, Class A, (1-mo. Term SOFR + 2.09%), 7.45%, 03/15/28
    280       278,947  
MIRA Trust, Series 2023, Class A, 6.75%, 06/10/38
    569       586,454  
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, (Prime), 8.50%, 06/15/35
(b)(c)
    45       41,465  
ORL Trust, Series 2023, Class A, (1-mo. Term SOFR + 2.35%), 7.71%, 10/19/36
(c)
    445       444,460  
Wells Fargo Commercial Mortgage Trust
(c)
   
Series 2018-AUS, Class A, 4.06%, 08/17/36
(b)
    583       532,169  
Series 2018-C44, Class XA, 0.71%, 05/15/51
    4,728       115,231  
   
 
 
 
      5,621,675  
Interest Only Collateralized Mortgage Obligations — 4.7%
 
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37
    124       21,642  
Fannie Mae REMICS, Series 2021-26, Class AI, 3.50%, 05/25/50
    25,688       4,589,857  
Freddie Mac REMICS
   
Series 3744, Class CI, 3.00%, 06/25/51
    18,702       2,624,993  
Security
 
Par
(000)
   
Value
 
Interest Only Collateralized Mortgage Obligations (continued)
 
Freddie Mac REMICS (continued)
   
Series 5083, Class IN, 4.50%, 07/25/32
  $ 11,692     $ 1,081,640  
Series 5138, Class IP, 3.00%, 04/25/51
    17,522       2,632,294  
Ginnie Mae, Series 2022-10, Class IT, 3.50%, 01/20/52
    11,454       1,765,925  
IndyMac INDX Mortgage Loan Trust, Series 2006- AR33, Class 4AX, 0.17%, 01/25/37
(a)
     18,178       2  
Vendee Mortgage Trust, Series 1999-2, Class 1IO, 0.00%, 05/15/29
(c)
    5,093       5  
   
 
 
 
       12,716,358  
Principal Only Collateralized Mortgage Obligations
(d)
—2.1%
 
CHL Mortgage Pass-Through Trust, Series 2003-J8,Class PO, 4.00%, 09/25/23
    1       1,035  
Fannie Mae Interest Strip
   
Series 297, Class 1, 5.00%, 09/25/39
    2,099       1,642,086  
Series 337, Class 1, 5.00%, 07/25/33
    1,755       1,488,283  
Fannie Mae REMICS, Series 2011-90, Class AO, 4.00%, 09/25/41
    3,421       2,628,931  
Residential Asset Securitization Trust, Series 2005- A15, Class 1A8, 3.00%, 02/25/36
    86       61,183  
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-9, Class CP, 5.00%, 11/25/35
    45       24,607  
   
 
 
 
      5,846,125  
   
 
 
 
Total Non-Agency Mortgage-Backed Securities — 16.7%
(Cost: $45,506,757)
 
    45,257,962  
   
 
 
 
U.S. Government Sponsored Agency Securities
 
Agency Obligations — 3.6%
           
Resolution Funding Corp. Principal Strip, 0.00%, 04/15/30
(e)
    13,000       9,899,838  
   
 
 
 
Collateralized Mortgage Obligations — 58.7%
 
Fannie Mae, Series 0040, Class K, 6.50%, 08/17/24
   
(f)
 
    97  
Fannie Mae REMICS
   
Series 2004-31, Class ZG, 7.50%, 05/25/34
    1,808       1,952,848  
Series 2005-73, Class DS, (30-day Avg SOFR + 17.25%), 3.38%, 08/25/35
(c)
    34       33,346  
Series 2010-134, Class DB, 4.50%, 12/25/40
    5,915       5,814,187  
Series 2010-136, Class CY, 4.00%, 12/25/40
    2,924       2,810,250  
Series 2010-47, Class JB, 5.00%, 05/25/30
    1,723       1,722,763  
Series 2011-117, Class CP, 4.00%, 11/25/41
    14,351       13,698,593  
Series 2011-8, Class ZA, 4.00%, 02/25/41
    3,556       3,407,905  
Series 2011-99, Class CB, 4.50%, 10/25/41
    28,799       28,429,292  
Series 2012-104, Class QD, 4.00%, 09/25/42
    1,639       1,502,332  
Series 2013-81, Class YK, 4.00%, 08/25/43
    7,000       6,515,304  
Series 2018-32, Class PS, (30-day Avg SOFR + 7.10%), 0.87%, 05/25/48
(c)
    4,140       3,631,481  
Series 2018-50, Class EB, 4.00%, 07/25/48
    2,001       1,938,392  
Freddie Mac REMICS
   
Series 2218, Class Z, 8.50%, 03/15/30
    262       275,505  
Series 2731, Class ZA, 4.50%, 01/15/34
    1,415       1,395,002  
Series 2927, Class BZ, 5.50%, 02/15/35
    1,325       1,328,725  
Series 3745, Class ZA, 4.00%, 10/15/40
    1,244       1,186,819  
Series 3762, Class LN, 4.00%, 11/15/40
    2,000       1,902,094  
Series 3780, Class ZA, 4.00%, 12/15/40
    3,293       3,159,277  
Series 3856, Class PB, 5.00%, 05/15/41
    6,253       6,303,146  
Series 3960, Class PL, 4.00%, 11/15/41
    2,859       2,789,899  
Series 3963, Class JB, 4.50%, 11/15/41
    506       499,712  
Series 4016, Class BX, 4.00%, 09/15/41
    15,408       14,705,343  
Series 4269, Class PM, 4.00%, 08/15/41
    8,884       8,313,008  
 
 
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Schedule of Investments 
(continued)
December 31, 2023
  
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 4299, Class JY, 4.00%, 01/15/44
  $ 1,000     $ 947,955  
Series 4384, Class LB, 3.50%, 08/15/43
    3,702       3,553,135  
Series 4615, Class LB, 4.50%, 09/15/41
    7,155       7,061,177  
Series 4748, Class BM, 3.50%, 11/15/47
    3,351       2,886,434  
Series 4774, Class L, 4.50%, 03/15/48
    5,028       4,915,333  
Series 4830, Class AV, 4.00%, 10/15/33
    1,069       997,538  
Freddie Mac Structured Pass-Through Certificates,
   
Series T-11, Class A9, 0.13%, 01/25/28
(c)
    50       49,696  
Ginnie Mae
   
Series 2011-88, Class PY, 4.00%, 06/20/41
    7,310       7,036,350  
Series 2012-16, Class HJ, 4.00%, 09/20/40
    5,122       4,979,600  
Series 2015-96, Class ZM, 4.00%, 07/20/45
    8,785       8,024,591  
Series 2018-91, Class ZL, 4.00%, 07/20/48
    6,381       5,560,257  
   
 
 
 
       159,327,386  
Commercial Mortgage-Backed Securities
(c)
— 0.6%
 
Freddie Mac Multifamily Structured Pass Through Certificates
   
Series K105, Class X1, 1.52%, 01/25/30
    1,816       133,415  
Series K109, Class X1, 1.58%, 04/25/30
    935       72,972  
Series K110, Class X1, 1.70%, 04/25/30
    392       31,848  
Series K120, Class X1, 1.04%, 10/25/30
    3,878       208,226  
Freddie Mac Multifamily Structured Pass-Through Certificates
   
Series K094, Class X1, 0.88%, 06/25/29
    1,398       54,891  
Series K104, Class X1, 1.12%, 01/25/30
    1,345       71,707  
Series K107, Class X1, 1.59%, 01/25/30
    1,227       95,314  
Series K113, Class X1, 1.38%, 06/25/30
    1,590       111,228  
Series K115, Class X1, 1.32%, 06/25/30
    1,947       131,076  
Series K122, Class X1, 0.88%, 11/25/30
    1,663       78,525  
Ginnie Mae
   
Series 2013-63, Class IO, 0.75%, 09/16/51
    3,331       83,405  
Series 2014-169, Class IO, 0.62%, 10/16/56
    12,532       265,002  
Series 2016-113, Class IO, 1.18%, 02/16/58
    3,344       174,952  
   
 
 
 
      1,512,561  
Interest Only Collateralized Mortgage Obligations — 8.0%
 
Fannie Mae REMIC Trust, Series 1999-W4, Class IO, 6.50%, 12/25/28
    27       1,173  
Fannie Mae REMICS
   
Series 1997-90, Class M, 6.00%, 01/25/28
    2       8  
Series 2006-36, Class PS, (30-day Avg SOFR + 6.49%), 1.15%, 05/25/36
(c)
    2,025       183,340  
Series 2011-134, Class ST, (30-day Avg SOFR + 5.89%), 0.55%, 12/25/41
(c)
    11,854       1,425,255  
Series 2013-10, Class PI, 3.00%, 02/25/43
    3,563       415,565  
Series 2013-45, Class EI, 4.00%, 04/25/43
    1,302       115,009  
Series 2015-66, Class AS, (30-day Avg SOFR + 6.14%), 0.80%, 09/25/45
(c)
    9,878       768,160  
Series 2017-70, Class SA, (30-day Avg SOFR + 6.04%), 0.70%, 09/25/47
(c)
    15,936       2,025,291  
Series 2020-12, Class JI, 4.50%, 03/25/50
    7,132       1,432,728  
Series 2021-23, Class CI, 3.50%, 07/25/46
    17,914       2,956,423  
Freddie Mac REMICS
   
Series 3744, Class PI, 4.00%, 06/15/39
    862       27,886  
Series 3923, Class SD, (30-day Avg SOFR + 5.89%), 0.55%, 09/15/41
(c)
    15,178       1,531,512  
Series 3954, Class SL, (30-day Avg SOFR + 5.89%), 0.55%, 11/15/41
(c)
    9,012       991,807  
Security
 
Par
(000)
   
Value
 
Interest Only Collateralized Mortgage Obligations (continued)
 
Freddie Mac REMICS (continued)
   
Series 4026, Class IO, 4.50%, 04/15/32
  $ 519     $ 39,232  
Series 4119, Class SC, (30-day Avg SOFR + 6.04%), 0.70%, 10/15/42
(c)
    210       24,531  
Series 4706, Class IG, 4.00%, 07/15/47
    7,647       1,499,781  
Series 5013, Class JI, 4.00%, 09/25/50
    18,692       3,543,381  
Ginnie Mae
   
Series 2009-116, Class KS, (1-mo. Term SOFR + 6.36%), 1.00%, 12/16/39
(c)
    339       27,429  
Series 2011-52, Class MJ, (1-mo. Term SOFR + 6.54%), 1.18%, 04/20/41
(c)
    2,427       132,858  
Series 2011-52, Class NS, (1-mo. Term SOFR + 6.56%), 1.20%, 04/16/41
(c)
    3,122       230,497  
Series 2012-97, Class JS, (1-mo. Term SOFR + 6.14%), 0.78%, 08/16/42
(c)
    3,852       131,647  
Series 2017-101, Class SL, (1-mo. Term SOFR + 6.09%), 0.73%, 07/20/47
(c)
    8,189       981,746  
Series 2022-60, Class IH, 2.50%, 02/20/51
    23,092       3,156,952  
   
 
 
 
      21,642,211  
Mortgage-Backed Securities — 65.6%
 
Fannie Mae Mortgage-Backed Securities, 4.00%, 02/01/56 -01/01/57
(g)
    29,846       28,820,629  
Freddie Mac Mortgage-Backed Securities, 5.50%, 01/01/39
(g)
    4,117       4,245,445  
Ginnie Mae Mortgage-Backed Securities
   
8.00%, 05/15/26 - 06/15/27
    7       6,612  
5.00%, 10/20/39
    942       957,592  
Uniform Mortgage-Backed Securities
   
4.50%, 09/01/25 - 10/01/52
(g)
    34,798       34,168,240  
5.50%, 02/01/33 - 10/01/39
(g)
    3,025       3,115,322  
5.00%, 06/01/33 - 01/16/54
(g)(h)
    27,916       27,864,348  
6.50%, 10/01/38 - 10/01/39
    1,075       1,128,547  
2.50%, 01/18/39
(h)
    180       165,811  
4.00%, 01/01/41 - 10/01/52
(g)
    38,775       36,998,886  
3.00%, 01/16/54
(h)
    41,900       37,060,223  
3.50%, 01/16/54
(h)
    3,664       3,361,148  
   
 
 
 
       177,892,803  
Principal Only Collateralized Mortgage Obligations
(d)
— 0.0%
 
Fannie Mae REMIC Trust, Series 1999-W4, Class PO, 7.00%, 02/25/29
    14       12,993  
Fannie Mae REMICS, Series 2002-13, Class PR, 4.00%, 03/25/32
    18       16,349  
Freddie Mac REMICS, Series 1691, Class B, 4.00%, 03/15/24
   
(f)
 
    611  
   
 
 
 
      29,953  
   
 
 
 
Total U.S. Government Sponsored Agency
Securities — 136.5%
(Cost: $410,193,805)
 
    370,304,752  
   
 
 
 
Total Long-Term Investments — 153.2%
(Cost: $455,762,510)
 
    415,569,583  
   
 
 
 
 
 
70
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Income Trust, Inc. (BKT)
(Percentages shown are based on Net Assets)
 
Security
 
Par
(000)
   
Value
 
 
 
Short-Term Securities
   
Borrowed Bond Agreement — 0.3%
 
BNP Paribas SA, 5.40%, 01/02/24 (Purchased 12/29/2023 to be repurchased at $745,174, Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $741,516, respectively)
  $ 745     $ 745,062  
   
 
 
 
   
Shares
       
 
 
Money Market Funds — 2.7%
 
BlackRock Liquidity Funds,
T-Fund,
Institutional Class, 5.26%
(i)(j)
    7,494,937       7,494,937  
   
 
 
 
Total Short-Term Securities — 3.0%
(Cost: $8,239,999)
 
    8,239,999  
   
 
 
 
Total Investments Before Borrowed Bonds — 156.2%
(Cost: $464,002,509)
 
    423,809,582  
   
 
 
 
   
Par
(000)
       
 
 
Borrowed Bonds
   
U.S. Governments Obligations — (0.3)%
 
U.S. Treasury Bonds, 2.75%, 11/15/42
(k)
  $ (917     (741,516
   
 
 
 
Total Borrowed Bonds — (0.3)%
(Proceeds: $(842,347))
 
    (741,516
Total Investments, Net of Borrowed Bonds — 155.9%
(Cost: $463,160,162)
 
    423,068,066  
Liabilities in Excess of Other Assets — (55.9)%
 
    (151,739,343
   
 
 
 
Net Assets — 100.0%
 
  $  271,328,723  
   
 
 
 
 
(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)
 
Rates are discount rates or a range of discount rates as of period end.
(e)
 
Zero-coupon bond.
(f)
 
Rounds to less than 1,000.
(g)
 
All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(h)
 
Represents or includes a TBA transaction.
(i)
 
Affiliate of the Fund.
(j)
 
Annualized
7-day
yield as of period end.
(k)
 
All or a portion of the security has been pledged as collateral in connection with outstanding borrowed bonds.
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
 
                   
Affiliated Issuer
  
Value at
12/31/22
    
Purchases
at Cost
    
Proceeds
from Sale
    
Net
Realized
Gain (Loss)
    
Change in
Unrealized
Appreciation
(Depreciation)
    
Value at
12/31/23
    
Shares
Held at
12/31/23
    
Income
    
Capital Gain
Distributions
from
Underlying
Funds
 
BlackRock Liquidity Funds,
T-Fund,
Institutional Class
   $ 5,814,963      $ 1,679,974
(a)
 
   $      $      $      $ 7,494,937        7,494,937      $  355,988      $  
           
 
 
    
 
 
    
 
 
       
 
 
    
 
 
 
 
 
(a)
Represents net amount purchased (sold).
 
Reverse Repurchase Agreements
 
               
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  
Royal Bank of Canada
    5.53     12/08/23        01/16/24      $   4,328,394      $ 4,341,027     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53       12/08/23        01/16/24        3,564,398        3,574,801     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53       12/08/23        01/16/24        5,469,539        5,485,502     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
 
 
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  71

Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Income Trust, Inc. (BKT)
 
Reverse Repurchase Agreements (continued)
 
               
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  
Royal Bank of Canada
    5.53   12/08/23    01/16/24    $ 5,267,139      $ 5,282,512     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      5,604,131        5,620,487     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      2,094,981        2,101,096     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      5,628,822        5,645,250     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      5,739,417        5,756,168     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      5,660,279        5,676,799     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      8,230,339        8,254,360     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      1,327,355        1,331,229     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      5,808,726        5,825,679     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      18,908,721        18,965,931     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      1,869,990        1,875,448     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      2,823,651        2,831,893     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      2,808,731        2,816,928     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      1,896,550        1,902,085     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      5,561,936        5,578,170     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      1,161,131        1,164,520     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      5,440,230        5,456,108     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      2,572,389        2,579,897     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      2,370,152        2,377,069     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Royal Bank of Canada
    5.53     12/08/23    01/16/24      4,079,634        4,091,541     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Deutsche Bank Securities, Inc.
    5.56     12/20/23    01/16/24      1,258,156        1,260,488     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
Deutsche Bank Securities, Inc.
    5.56     12/20/23    01/16/24      1,222,822        1,225,088     
U.S. Government Sponsored Agency Securities
   Up to 30 Days
         
 
 
    
 
 
       
          $  110,697,613      $ 111,020,076        
         
 
 
    
 
 
       
 
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Income Trust, Inc. (BKT)
 
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
 
         
Description
  
Number of
Contracts
    
Expiration
Date
    
Notional
Amount (000)
    
Value/
Unrealized
Appreciation
(Depreciation)
 
Long Contracts
10-Year
U.S. Treasury Note
     306        03/19/24      $ 34,545      $ 1,119,571  
           
 
 
 
Short Contracts
10-Year
U.S. Ultra Long Treasury Note
     163        03/19/24        19,237        (868,105
U.S. Long Bond
     134        03/19/24        16,742        (1,215,618
2-Year
U.S. Treasury Note
     138        03/28/24        28,416        (283,645
5-Year
U.S. Treasury Note
     57        03/28/24        6,200        (141,094
           
 
 
 
              (2,508,462
           
 
 
 
            $ (1,388,891
           
 
 
 
Centrally Cleared Interest Rate Swaps
 
                     
                                                     
Upfront
       
                                                     
Premium
   
Unrealized
 
Paid by the Fund
   Received by the Fund   
Effective
    
Termination
    
Notional
          
Paid
   
Appreciation
 
Rate
 
Frequency
  
Rate
   
Frequency
  
Date
    
Date
    
Amount (000)
    
Value
   
(Received)
   
(Depreciation)
 
1-Day SOFR, 5.38%
  Quarterly      0.17%     Quarterly      N/A        10/21/25        USD        137      $ (10,866   $ (13   $ (10,853
0.18%
  Quarterly     
1-Day FEDL, 5.33%
    Quarterly      N/A        10/21/25        USD        137        10,736       11       10,725  
                     
 
 
   
 
 
   
 
 
 
                      $ (130   $ (2   $ (128
                     
 
 
   
 
 
   
 
 
 
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps
 
         
Description
  
Swap
Premiums
Paid
    
Swap
Premiums
Received
    
Unrealized
Appreciation
    
Unrealized
Depreciation
 
Centrally Cleared Swaps
(a)
   $ 11      $ (13    $ 10,725      $ (10,853
 
 
(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.
 
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
 
               
     
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)
   $      $      $      $      $ 1,119,571      $      $ 1,119,571  
Swaps — centrally cleared
                    
Unrealized appreciation on centrally cleared swaps
(a)
                                 10,725               10,725  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
   $      $      $      $      $ 1,130,296      $      $ 1,130,296  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Liabilities — Derivative Financial Instruments
 
Futures contracts
                    
Unrealized depreciation on futures contracts
(a)
   $      $      $      $      $ 2,508,462      $      $ 2,508,462  
Swaps — centrally cleared
                    
Unrealized depreciation on centrally cleared swaps
(a)
                                 10,853               10,853  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
   $      $      $      $      $  2,519,315      $      $  2,519,315  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
 
 
(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).
 
 
 
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  73

Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Income Trust, Inc. (BKT)
 
For the period ended December 31, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:
 
               
     
Commodity
Contracts
    
Credit
Contracts
    
Equity
Contracts
    
Foreign
Currency
Exchange
Contracts
    
Interest
Rate
Contracts
    
Other
Contracts
    
Total
 
Net Realized Gain (Loss) from:
                    
Futures contracts
   $      $      $      $      $ 2,351,300      $      $ 2,351,300  
Options purchased
(a)
                                 (228,000             (228,000
Swaps
                                 69               69  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
   $      $      $      $      $ 2,123,369      $      $ 2,123,369  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Net Change in Unrealized Appreciation (Depreciation) on:
 
Futures contracts
   $      $      $      $      $  (1,452,887    $      $  (1,452,887
Swaps
                                 (121             (121
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
   $      $      $      $      $ (1,453,008    $      $ (1,453,008
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
 
 
(a)
Options purchased are included in net realized gain (loss) from investments — unaffiliated.
 
Average Quarterly Balances of Outstanding Derivative Financial Instruments
 
   
Futures contracts:
  
Average notional value of contracts — long
   $ 38,788,125  
Average notional value of contracts — short
   $ 79,336,487  
Options:
  
Average notional value of swaption contracts purchased
   $ 11,250,000  
Interest rate swaps:
  
Average notional value — pays fixed rate
   $ 136,615  
Average notional value — receives fixed rate
   $ 136,615  
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
 
         
     
Level 1
    
Level 2
    
Level 3
    
Total
 
Assets
           
Investments
           
Long-Term Investments
           
Asset-Backed Securities
   $      $      $ 6,869      $ 6,869  
Non-Agency
Mortgage-Backed Securities
            45,257,960        2        45,257,962  
U.S. Government Sponsored Agency Securities
            370,304,752               370,304,752  
Short-Term Securities
           
Borrowed Bond Agreement
            745,062               745,062  
Money Market Funds
     7,494,937                      7,494,937  
Liabilities
           
Investments
           
Borrowed Bonds
            (741,516             (741,516
  
 
 
    
 
 
    
 
 
    
 
 
 
   $ 7,494,937      $  415,566,258      $   6,871      $  423,068,066  
  
 
 
    
 
 
    
 
 
    
 
 
 
Derivative Financial Instruments
(a)
           
Assets
           
Interest Rate Contracts
   $ 1,119,571      $ 10,725      $      $ 1,130,296  
Liabilities
           
Interest Rate Contracts
     (2,508,462      (10,853             (2,519,315
  
 
 
    
 
 
    
 
 
    
 
 
 
   $  (1,388,891    $ (128    $      $ (1,389,019
  
 
 
    
 
 
    
 
 
    
 
 
 
 
 
(a)
 
Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.
 
 
 
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Schedule of Investments 
(continued)
December 31, 2023
  
BlackRock Income Trust, Inc. (BKT)
 
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $111,020,076 are categorized as Level 2 within the fair value hierarchy.
See notes to financial statements.
 
 
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  75

Schedule of Investments
December 31, 2023
  
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.
CME Term SOFR + 2.36%), 7.78%, 04/20/34
(a)(b)
    USD       1,000     $ 993,694  
Allegro CLO
II-S
Ltd., Series
2014-1RA,
Class C,
(3-mo.
CME Term SOFR + 3.26%), 8.67%, 10/21/28
(a)(b)
      1,000        988,772  
ALM Ltd., Series
2020-1A,
Class D,
(3-mo.
CME Term SOFR + 6.26%), 11.66%, 10/15/29
(a)(b)
      285       278,197  
Anchorage Capital CLO Ltd.
(a)(b)
     
Series
2014-3RA,
Class E,
(3-mo.
CME Term SOFR + 5.76%), 11.15%, 01/28/31
      850       793,634  
Series
2014-4RA,
Class D,
(3-mo.
CME Term SOFR + 2.86%), 8.25%, 01/28/31
      250       241,612  
Series
2015-7A,
Class D1R2,
(3-mo.
CME Term SOFR + 3.76%), 9.15%, 01/28/31
      1,000       979,112  
Apidos CLO XL Ltd., Series
2022-40A,
Class E,
(3-mo.
CME Term SOFR + 7.69%), 13.08%, 07/15/35
(a)(b)
      500       498,801  
Apidos CLO XXVI, Series
2017-26A,
Class A1AR,
(3-mo.
CME Term SOFR + 1.16%), 6.56%, 07/18/29
(a)(b)
      364       363,002  
Ares LXVIII CLO Ltd., Series
2023-68A,
Class E,
(3-mo.
CME Term SOFR + 8.55%), 13.93%, 04/25/35
(a)(b)
      620       620,549  
Argent Securities Trust, Series
2006-W5,
Class A1,
(1-mo.
Term SOFR + 0.41%), 5.77%, 06/25/36
(a)
      3,982       2,554,724  
Bain Capital Credit CLO Ltd.
(a)(b)
     
Series
2020-2A,
Class DR,
(3-mo.
CME Term SOFR + 3.56%), 8.96%, 07/19/34
      300       287,927  
Series
2021-3A,
Class D,
(3-mo.
CME Term SOFR + 3.36%), 8.76%, 07/24/34
      250       240,416  
Ballyrock CLO Ltd., Series
2020-14A,
Class D, (3- mo. CME Term SOFR + 7.26%), 12.68%, 01/20/34
(a)(b)
      250       250,001  
Barings CLO Ltd., Series
2017-1A,
Class D,
(3-mo.
CME Term SOFR + 3.86%), 9.26%, 07/18/29
(a)(b)
      250       249,964  
Benefit Street Partners CLO II Ltd., Series
2013-IIA,
Class A1R2,
(3-mo.
CME Term SOFR + 1.13%), 6.53%, 07/15/29
(a)(b)
      45       44,495  
Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class CR,
(3-mo.
CME Term SOFR + 2.31%), 7.71%, 07/15/34
(a)(b)
      250       248,839  
BlueMountain CLO XXVIII Ltd., Series
2021-28A,
Class D,
(3-mo.
CME Term SOFR + 3.16%), 8.56%, 04/15/34
(a)(b)
      500       487,990  
Carlyle U.S. CLO Ltd., Series
2018-1A,
Class A1,
(3-mo.
CME Term SOFR + 1.28%), 6.70%, 04/20/31
(a)(b)
      233       233,168  
CarVal CLO II Ltd., Series
2019-1A,
Class CR, (3- mo. CME Term SOFR + 2.26%), 7.68%, 04/20/32
(a)(b)
      250       249,082  
CarVal CLO III Ltd., Series
2019-2A,
Class E, (3- mo. CME Term SOFR + 6.70%), 12.12%, 07/20/32
(a)(b)
      500       479,718  
Cayuga Park CLO Ltd., Series
2020-1A,
Class B1R,
(3-mo.
CME Term SOFR + 1.91%), 7.31%, 07/17/34
(a)(b)
      250       249,030  
Security
 
Par
(000)
   
Value
 
Asset-Backed Securities (continued)
 
Cedar Funding XIV CLO Ltd., Series
2021-14A,
Class B,
(3-mo.
CME Term SOFR + 1.86%), 7.26%, 07/15/33
(a)(b)
    USD       500     $  495,373  
Cedar Funding XV CLO Ltd., Series
2022-15A,
Class B,
(3-mo.
CME Term SOFR + 1.80%), 7.22%, 04/20/35
(a)(b)
      450       444,378  
CIFC Funding Ltd.
(a)(b)
     
Series
2013-4A,
Class DRR,
(3-mo.
CME Term SOFR + 3.06%), 8.45%, 04/27/31
      250       245,110  
Series
2019-1A,
Class DR,
(3-mo.
CME Term SOFR + 3.36%), 8.78%, 04/20/32
      500       498,310  
Series
2022-7A,
Class D,
(3-mo.
CME Term SOFR + 5.35%), 10.76%, 10/22/35
      250       250,174  
Series
2022-7A,
Class E,
(3-mo.
CME Term SOFR + 8.94%), 14.35%, 10/22/35
      500       511,555  
Citigroup Mortgage Loan Trust, Series
2006-FX1,
Class A7, 7.28%, 10/25/36
(c)
      326       187,414  
Clear Creek CLO, Series
2015-1A,
Class DR, (3- mo. CME Term SOFR + 3.21%), 8.63%, 10/20/30
(a)(b)
      250       249,887  
Countrywide Asset-Backed Certificates Trust, Series
2006-26,
Class 1A,
(1-mo.
Term SOFR + 0.25%), 5.61%, 06/25/37
(a)
      495       454,221  
Dryden CLO Ltd.
(a)(b)
     
Series
2018-64A,
Class D,
(3-mo.
CME Term SOFR + 2.91%), 8.31%, 04/18/31
      250       244,899  
Series 2022-106A, Class E,
(3-mo.
CME Term SOFR + 8.87%), 14.26%, 10/15/35
      500       501,657  
Elmwood CLO 14 Ltd., Series
2022-1A,
Class E,
(3-mo.
CME Term SOFR + 6.35%), 11.77%, 04/20/35
(a)(b)
      585       577,008  
Elmwood CLO I Ltd., Series
2019-1A,
Class ER,
(3-mo.
CME Term SOFR + 7.97%), 13.39%, 10/20/33
(a)(b)
      250       253,459  
Elmwood CLO II Ltd., Series
2019-2A,
Class ER,
(3-mo.
CME Term SOFR + 7.06%), 12.48%, 04/20/34
(a)(b)
      250       248,773  
Elmwood CLO IV Ltd., Series
2020-1A,
Class B,
(3-mo.
CME Term SOFR + 1.96%), 7.36%, 04/15/33
(a)(b)
      500       499,708  
Elmwood CLO V Ltd., Series
2020-2A,
Class CR,
(3-mo.
CME Term SOFR + 2.26%), 7.68%, 10/20/34
(a)(b)
      436       432,716  
Generate CLO Ltd.
(a)(b)
     
Series 4A, Class ER,
(3-mo.
CME Term SOFR + 7.01%), 12.43%, 04/20/32
      1,000       999,335  
Series 6A, Class DR,
(3-mo.
CME Term SOFR + 3.76%), 9.17%, 01/22/35
      750       758,730  
Golub Capital Partners CLO Ltd., Series
2021-55A,
Class E,
(3-mo.
CME Term SOFR + 6.82%), 12.24%, 07/20/34
(a)(b)
      250       249,403  
LCM XIII LP, Series 13A, Class AR3,
(3-mo.
CME Term SOFR + 1.13%), 6.53%, 07/19/27
(a)(b)
      130       130,261  
Madison Park Funding LXIII Ltd., Series
2023-63A,
Class E,
(3-mo.
CME Term SOFR + 8.57%), 13.98%, 04/21/35
(a)(b)
      400       401,316  
Madison Park Funding XLV Ltd., Series
2020-45A,
Class BR,
(3-mo.
CME Term SOFR + 1.96%), 7.36%, 07/15/34
(a)(b)
      300       299,370  
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
 
Par
(000)
   
Value
 
Asset-Backed Securities (continued)
 
Madison Park Funding XVII Ltd., Series
2015-17A,
Class DR,
(3-mo.
CME Term SOFR + 3.86%), 9.27%, 07/21/30
(a)(b)
  USD  500     $ 492,682  
Madison Park Funding XVIII Ltd., Series
2015-18A,
Class ARR,
(3-mo.
CME Term SOFR + 1.20%), 6.61%, 10/21/30
(a)(b)
    489       488,944  
Madison Park Funding XXIX Ltd.
(a)(b)
   
Series
2018-29A,
Class D,
(3-mo.
CME Term SOFR + 3.26%), 8.66%, 10/18/30
    510       502,565  
Series
2018-29A,
Class E,
(3-mo.
CME Term SOFR + 5.96%), 11.36%, 10/18/30
    250       240,456  
Madison Park Funding XXV Ltd., Series
2017-25A,
Class A1R,
(3-mo.
CME Term SOFR + 1.23%), 6.61%, 04/25/29
(a)(b)
    957       956,460  
Madison Park Funding XXVI Ltd., Series
2007-4A,
Class DR,
(3-mo.
LIBOR US + 3.00%), 8.65%, 07/29/30
(a)(b)
    250       247,692  
Madison Park Funding XXXVII Ltd., Series 2019-37A, Class BR,
(3-mo.
CME Term SOFR + 1.91%), 7.31%, 07/15/33
(a)(b)
    800       800,250  
Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class B,
(3-mo.
CME Term SOFR + 1.91%), 7.31%, 07/17/34
(a)(b)
    250       249,404  
Neuberger Berman CLO XX Ltd., Series
2015-20A,
Class ERR,
(3-mo.
CME Term SOFR + 6.76%), 12.16%, 07/15/34
(a)(b)
    790       775,800  
Neuberger Berman Loan Advisers CLO Ltd., Series
2019-32A,
Class ER,
(3-mo.
CME Term SOFR + 6.36%), 11.76%, 01/20/32
(a)(b)
    425       413,702  
Neuberger Berman Loan Advisers NBLA CLO Ltd., Series
2022-52A,
Class D,
(3-mo.
CME Term SOFR + 5.75%), 11.15%, 10/24/35
(a)(b)
    500       497,461  
OCP CLO Ltd.
(a)(b)
   
Series
2017-14A,
Class A2,
(3-mo.
CME Term SOFR + 1.76%), 7.13%, 11/20/30
    300       299,101  
Series
2019-16A,
Class DR,
(3-mo.
CME Term SOFR + 3.41%), 8.82%, 04/10/33
    250       241,028  
Octagon 54 Ltd., Series
2021-1A,
Class D,
(3-mo.
CME Term SOFR + 3.31%),
8.71%, 07/15/34
(a)(b)
    250       242,583  
Octagon Investment Partners 31 Ltd., Series 2017-1A, Class E,
(3-mo.
CME Term SOFR + 6.56%), 11.98%, 07/20/30
(a)(b)
    500       463,257  
Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR,
(3-mo.
CME Term SOFR + 1.23%), 6.63%, 07/19/30
(a)(b)
    1,567       1,564,650  
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class BR2,
(3-mo.
CME Term SOFR + 1.66%), 7.04%, 01/25/31
(a)(b)
    250       248,435  
OHA Credit Partners XIII Ltd., Series
2016-13A,
Class BR,
(3-mo.
CME Term SOFR + 1.96%), 7.37%, 10/25/34
(a)(b)
    250       250,377  
OZLM VIII Ltd., Series
2014-8A,
Class CRR,
(3-mo.
CME Term SOFR + 3.41%), 8.81%, 10/17/29
(a)(b)
    250       249,463  
OZLM XXI Ltd., Series
2017-21A,
Class D,
(3-mo.
CME Term SOFR + 5.80%),
11.22%, 01/20/31
(a)(b)
    250       232,444  
Security
 
Par
(000)
   
Value
 
Asset-Backed Securities (continued)
 
Rad CLO Ltd., Series
2022-17A,
Class E,
(3-mo.
CME Term SOFR + 8.30%), 13.72%, 10/20/35
(a)(b)
  USD  250     $ 250,673  
Regatta IX Funding Ltd., Series
2022-1A,
Class D,
(3-mo.
CME Term SOFR + 4.16%), 9.56%, 04/17/30
(a)(b)
    500       498,487  
Regatta XVIII Funding Ltd., Series
2021-1A,
Class B,
(3-mo.
CME Term SOFR + 1.71%), 7.11%, 01/15/34
(a)(b)
    300       298,268  
Regatta XXIV Funding Ltd., Series
2021-5A,
Class D,
(3-mo.
CME Term SOFR + 3.36%), 8.78%, 01/20/35
(a)(b)
    250       248,765  
Regatta XXV Funding Ltd., Series 2025, Class E,
(3-mo.
CME Term SOFR + 8.41%), 13.66%, 07/15/36
(a)(b)
    500       512,854  
Regional Management Issuance Trust, Series
2021-3,
Class A, 3.88%, 10/17/33
(d)
    980       866,124  
Rockford Tower CLO Ltd., Series
2017-2A,
Class DR,
(3-mo.
CME Term SOFR + 3.11%), 8.51%, 10/15/29
(a)(b)
    500       492,547  
RRX Ltd.
(a)(b)
   
Series
2020-1A,
Class E,
(3-mo.
CME Term SOFR + 6.71%), 12.11%, 04/15/33
    250       246,584  
Series
2021-5A,
Class A2,
(3-mo.
CME Term SOFR + 2.06%), 7.46%, 07/15/34
    250       250,777  
Sterling COOFS Trust
(b)(d)
   
Series
2004-1,
Class A, 2.36%, 04/15/29
    607       6,068  
Series
2004-2,
Class Note, 2.08%, 03/30/30
    631       6,314  
Symphony CLO XXXII Ltd., Series
2022-32A,
Class B,
(3-mo.
CME Term SOFR + 1.85%), 7.26%, 04/23/35
(a)(b)
    300       296,798  
Trimaran CAVU Ltd.
(a)(b)
   
Series
2021-1A,
Class D,
(3-mo.
CME Term SOFR + 3.71%), 9.12%, 04/23/32
    250       245,186  
Series
2021-2A,
Class D1,
(3-mo.
CME Term SOFR + 3.51%), 8.89%, 10/25/34
    500       490,819  
Unique Pub Finance Co. PLC, Series A4, 5.66%, 06/30/27
(e)
  GBP 30       38,601  
Voya CLO Ltd.
(a)(b)
   
Series
2019-3A,
Class BR,
(3-mo.
CME Term SOFR + 1.91%), 7.31%, 10/17/32
  USD 500       497,515  
Series
2022-4,
Class E,
(3-mo.
CME Term SOFR + 7.50%), 12.92%, 10/20/33
    350       346,712  
Whitebox CLO II Ltd., Series
2020-2A,
Class DR,
(3-mo.
CME Term SOFR + 3.61%), 9.01%, 10/24/34
(a)(b)
    500       484,150  
Whitebox CLO III Ltd., Series
2021-3A,
Class D,
(3-mo.
CME Term SOFR + 3.61%), 9.01%, 10/15/34
(a)(b)
    250       245,415  
   
 
 
 
Total Asset-Backed Securities — 7.2%
(Cost: $36,263,090)
      36,045,195  
   
 
 
 
    
Shares
        
Common Stocks
   
Construction & Engineering — 0.0%
           
McDermott International Ltd.
(f)
    47,837       4,305  
   
 
 
 
 
 
S
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  77

Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Shares
   
Value
 
Consumer Finance — 0.1%
                 
Travelport Finance Luxembourg SARL
      91     $ 216,378  
     
 
 
 
Energy Equipment & Services — 0.0%
 
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)
(d)(f)(g)
      2,869        
     
 
 
 
Financial Services — 0.0%
                 
NMG Parent LLC
      1,330       133,000  
     
 
 
 
Health Care Providers & Services — 0.0%
 
Envision Healthcare Corp.
(d)(f)
      12,321       92,408  
     
 
 
 
Household Products — 0.0%
                 
Berkline Benchcraft Equity LLC
(d)(f)
      3,155        
     
 
 
 
Industrial Conglomerates — 0.0%
                 
Ameriforge Group, Inc.
(f)
      801       8  
     
 
 
 
Media — 0.0%
                 
Learfield Communications LLC, (Acquired 09/06/23, Cost: $36,292)
(d)(f)(g)
 
    2,888        122,740  
     
 
 
 
Oil, Gas & Consumable Fuels — 0.0%
                 
Kcad Holdings I Ltd.
(d)(f)
      546,753,936       5,468  
     
 
 
 
Total Common Stocks — 0.1%
(Cost: $7,599,835)
        574,307  
     
 
 
 
           
Par
(000)
        
Corporate Bonds
     
Aerospace & Defense — 3.1%
                 
Bombardier, Inc.
(b)
     
7.13%, 06/15/26
(h)
    USD       924       919,686  
7.88%, 04/15/27
(h)
      178       178,031  
6.00%, 02/15/28
(h)
      539       525,135  
7.50%, 02/01/29
(h)
      371       377,150  
8.75%, 11/15/30
(h)
      463       492,957  
7.45%, 05/01/34
      100       114,000  
Embraer Netherlands Finance BV, 7.00%, 07/28/30
(b)(h)
      387       404,372  
F-Brasile
SpA/F-Brasile
U.S. LLC, Series XR, 7.38%, 08/15/26
(b)(h)
      423       413,421  
Northrop Grumman Corp., 3.85%, 04/15/45
(h)
      600       503,972  
Rolls-Royce PLC, 5.75%, 10/15/27
(b)(h)
      1,218       1,220,093  
Spirit AeroSystems, Inc.
(b)(h)
     
9.38%, 11/30/29
      481       526,346  
9.75%, 11/15/30
      418       449,339  
TransDigm, Inc.
(b)(h)
     
6.25%, 03/15/26
      5,301       5,291,841  
6.75%, 08/15/28
      2,096       2,144,380  
7.13%, 12/01/31
      976       1,022,765  
Triumph Group, Inc.,
9.00%, 03/15/28
(b)(h)
      964       1,025,065  
     
 
 
 
        15,608,553  
Automobile Components — 1.1%
                 
Aptiv PLC, 4.40%, 10/01/46
(h)
      240       194,234  
Clarios Global LP, 6.75%, 05/15/25
(b)(h)
      528       532,646  
Clarios Global LP/Clarios U.S. Finance Co.
     
4.38%, 05/15/26
(e)
    EUR       200       218,910  
6.25%, 05/15/26
(b)(h)
    USD       737       737,957  
8.50%, 05/15/27
(b)(h)
      2,599       2,608,060  
6.75%, 05/15/28
(b)(h)
      886       903,910  
Dana Financing Luxembourg SARL, 8.50%, 07/15/31
(e)
    EUR       100       120,580  
Security
        
Par
(000)
   
Value
 
Automobile Components (continued)
                 
Forvia SE, 3.75%, 06/15/28
(e)
    EUR       100     $ 108,037  
Goodyear Tire & Rubber Co.
     
5.00%, 07/15/29
(h)
    USD       104       98,262  
5.63%, 04/30/33
      109       97,706  
ZF Finance GmbH, 2.00%, 05/06/27
(e)
    EUR       100       101,865  
     
 
 
 
        5,722,167  
Automobiles — 0.6%
                 
Asbury Automotive Group, Inc.
     
4.50%, 03/01/28
    USD       146       138,663  
4.75%, 03/01/30
      124       115,751  
5.00%, 02/15/32
(b)
      130       118,144  
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28
(b)
      174       172,260  
Ford Motor Co.
     
3.25%, 02/12/32
      88       73,190  
6.10%, 08/19/32
(h)
      199       200,598  
General Motors Financial Co., Inc., 6.00%, 01/09/28
(h)
      1,000       1,033,924  
Ken Garff Automotive LLC, 4.88%, 09/15/28
(b)
      122       115,460  
LCM Investments Holdings II LLC
(b)
     
4.88%, 05/01/29
(h)
      349       324,191  
8.25%, 08/01/31
      252       263,014  
TML Holdings Pte. Ltd., 4.35%, 06/09/26
(e)(h)
      200       189,813  
Wabash National Corp., 4.50%, 10/15/28
(b)(h)
      220       198,510  
     
 
 
 
         2,943,518  
Banks — 0.9%
                 
Banco BPM SpA
(a)(e)
     
(3-mo.
EURIBOR + 2.80%), 6.00%, 06/14/28
    EUR       150       173,229  
(5-year
EUR Swap + 3.17%), 2.88%, 06/29/31
      100       104,323  
Banco Espirito Santo SA
(e)(f)(i)
     
4.75%, 01/15/18
      100       28,703  
4.00%, 01/21/22
      100       28,703  
Bangkok Bank PCL/Hong Kong,
(5-year
CMT + 4.73%), 5.00%
(a)(e)(h)(j)
    USD       501       482,213  
Barclays PLC, 5.20%, 05/12/26
(h)
      200       198,703  
Citigroup, Inc.,
(1-day
SOFR + 2.66%), 6.17%, 05/25/34
(a)(h)
      430       444,953  
Credit Suisse AG/New York, 5.00%, 07/09/27
(h)
      1,200       1,200,254  
Deutsche Bank AG/New York,
(1-day
SOFR + 3.18%), 6.72%, 01/18/29
(a)(h)
      1,100       1,151,927  
Freedom Mortgage Corp.
(b)
     
12.00%, 10/01/28
      103       112,489  
12.25%, 10/01/30
      103       113,069  
HSBC Holdings PLC, 4.38%, 11/23/26
(h)
      395       385,865  
Intesa Sanpaolo SpA, 5.71%, 01/15/26
(b)(h)
      200       198,998  
Northern Trust Corp., 6.13%, 11/02/32
(h)
      119       127,786  
     
 
 
 
        4,751,215  
Beverages — 0.2%
                 
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46
(h)
      800       784,193  
     
 
 
 
Biotechnology — 0.0%
                 
Cidron Aida Finco SARL, 5.00%, 04/01/28
(e)
    EUR       100       106,171  
     
 
 
 
Broadline Retail — 0.0%
                 
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26
(b)(h)
    USD       123       118,196  
     
 
 
 
Building Products
(b)
— 1.0%
                 
Advanced Drainage Systems, Inc.
(h)
     
5.00%, 09/30/27
      306       295,290  
6.38%, 06/15/30
      412       415,087  
Beacon Roofing Supply, Inc.
     
4.13%, 05/15/29
      123       112,134  
 
 
78
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
 
Par
(000)
   
Value
 
Building Products (continued)
                 
Beacon Roofing Supply, Inc. (continued) 6.50%, 08/01/30
(h)
    USD       288     $ 294,472  
Foundation Building Materials, Inc., 6.00%, 03/01/29
      83       74,628  
GYP Holdings III Corp., 4.63%, 05/01/29
(h)
      371       338,687  
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26
      87       85,326  
SRS Distribution, Inc.
(h)
     
4.63%, 07/01/28
      492       466,758  
6.13%, 07/01/29
      561       531,845  
6.00%, 12/01/29
      875       815,856  
White Cap Buyer LLC, 6.88%, 10/15/28
(h)
       1,570       1,519,778  
White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26
(h)(k)
      224       222,959  
     
 
 
 
         5,172,820  
Capital Markets — 0.6%
                 
Ares Capital Corp., 7.00%, 01/15/27
      140       144,003  
Aretec Group, Inc., 10.00%, 08/15/30
(b)
      90       95,639  
Blackstone Private Credit Fund
     
7.05%, 09/29/25
      79       80,397  
3.25%, 03/15/27
      75       68,801  
Blue Owl Capital Corp., 3.40%, 07/15/26
      63       58,570  
Blue Owl Capital Corp. II, 8.45%, 11/15/26
(b)
      150       154,536  
Blue Owl Credit Income Corp.
     
3.13%, 09/23/26
      43       39,269  
7.75%, 09/16/27
(h)
      302       311,376  
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29
(b)(h)
      214       202,149  
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
     
6.25%, 05/15/26
(h)
      418       398,818  
5.25%, 05/15/27
(h)
      849       762,592  
9.75%, 01/15/29
(b)
      298       304,020  
4.38%, 02/01/29
(h)
      211       176,198  
Oaktree Strategic Credit Fund, 8.40%, 11/14/28
(b)
      168       176,957  
     
 
 
 
        2,973,325  
Chemicals — 1.5%
                 
Ashland LLC, 3.38%, 09/01/31
(b)
      193       166,350  
Avient Corp., 7.13%, 08/01/30
(b)(h)
      106       110,267  
Axalta Coating Systems Dutch Holding B BV, 7.25%, 02/15/31
(b)(h)
      273       286,304  
Axalta Coating Systems LLC, 3.38%, 02/15/29
(b)(h)
      447       401,151  
Axalta Coating Systems LLC/Axalta Coating
     
Systems Dutch Holding B BV, 4.75%, 06/15/27
(b)(h)
      170       165,202  
Celanese U.S. Holdings LLC, 6.70%, 11/15/33
      103       111,714  
Chemours Co.
(b)
     
5.75%, 11/15/28
      103       98,108  
4.63%, 11/15/29
      175       153,642  
Element Solutions, Inc.,
3.88%, 09/01/28
(b)(h)
      1,508       1,388,320  
HB Fuller Co., 4.25%, 10/15/28
      110       102,856  
Herens Holdco SARL, 4.75%, 05/15/28
(b)(h)
      412       337,999  
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28
(b)(h)
      352       336,582  
Ingevity Corp., 3.88%, 11/01/28
(b)
      84       75,225  
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26
(b)(k)
      272       202,619  
LSF11 A5 HoldCo LLC,
6.63%, 10/15/29
(b)(h)
      133       112,470  
Minerals Technologies, Inc., 5.00%, 07/01/28
(b)
      169       162,526  
NOVA Chemicals Corp., 4.88%, 06/01/24
(b)
      32       31,720  
Security
        
Par
(000)
   
Value
 
Chemicals (continued)
                 
Olympus Water U.S. Holding Corp.
     
9.63%, 11/15/28
(e)
    EUR       100     $ 118,123  
9.75%, 11/15/28
(b)(h)
    USD       738       783,308  
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, 11/01/26
(b)(h)
      439       421,410  
Scotts
Miracle-Gro
Co.
     
4.50%, 10/15/29
      104       92,405  
4.38%, 02/01/32
      41       34,646  
SK Invictus Intermediate II SARL, 5.00%, 10/30/29
(b)(h)
      460       399,050  
WR Grace Holdings LLC
(b)
     
4.88%, 06/15/27
(h)
      122       117,376  
5.63%, 08/15/29
(h)
       1,170       1,029,550  
7.38%, 03/01/31
      216       216,066  
     
 
 
 
        7,454,989  
Commercial Services & Supplies — 3.2%
                 
ADT Security Corp.
(b)
     
4.13%, 08/01/29
      27       24,847  
4.88%, 07/15/32
      148       136,899  
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26
(b)
      200       198,112  
Allied Universal Holdco LLC/Allied Universal Finance Corp.
(b)(h)
     
6.63%, 07/15/26
      1,737        1,727,879  
9.75%, 07/15/27
      676       662,410  
6.00%, 06/01/29
      1,356       1,105,539  
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28
(b)(h)
      1,963       1,790,341  
APi Group DE, Inc.
(b)
     
4.13%, 07/15/29
      132       120,114  
4.75%, 10/15/29
      100       93,932  
APX Group, Inc., 5.75%, 07/15/29
(b)(h)
      268       249,844  
Ashtead Capital, Inc., 5.95%, 10/15/33
(b)(h)
      370       376,956  
Fortress Transportation and Infrastructure Investors LLC
(b)(h)
     
6.50%, 10/01/25
      663       660,877  
9.75%, 08/01/27
      372       386,880  
5.50%, 05/01/28
      724       696,230  
7.88%, 12/01/30
      734       764,667  
Garda World Security Corp.
(b)
     
4.63%, 02/15/27
(h)
      326       314,326  
9.50%, 11/01/27
      121       121,986  
7.75%, 02/15/28
(h)
      617       638,354  
6.00%, 06/01/29
      26       23,306  
Herc Holdings, Inc., 5.50%, 07/15/27
(b)(h)
      670       661,502  
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc., 5.00%, 02/01/26
(b)
      91       90,863  
Metis Merger Sub LLC, 6.50%, 05/15/29
(b)(h)
      125       113,041  
Neptune Bidco U.S., Inc.,
9.29%, 04/15/29
(b)(h)
      349       325,442  
NESCO Holdings II, Inc., 5.50%, 04/15/29
(b)
      239       220,977  
Paprec Holding SA, 7.25%, 11/17/29
(e)
    EUR       100       118,261  
Prime Security Services Borrower LLC/Prime Finance, Inc.
(b)
     
5.25%, 04/15/24
    USD       19       18,836  
5.75%, 04/15/26
(h)
      608       611,294  
6.25%, 01/15/28
(h)
      232       230,647  
Rekeep SpA, 7.25%, 02/01/26
(e)
    EUR       100       98,678  
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29
(b)(h)
    USD       653       564,753  
 
 
S
C
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  79

Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
 
Par
(000)
   
Value
 
Commercial Services & Supplies (continued)
             
Techem Verwaltungsgesellschaft 675 mbH, 2.00%, 07/15/25
(e)
    EUR       100     $ 107,788  
United Rentals North America, Inc.,
6.00%, 12/15/29
(b)(h)
    USD       1,626       1,650,826  
Verisure Holding AB, 9.25%, 10/15/27
(e)
    EUR       100       118,428  
Williams Scotsman, Inc.
(b)
     
6.13%, 06/15/25
(h)
    USD       403       403,794  
4.63%, 08/15/28
      121       114,288  
7.38%, 10/01/31
(h)
      376       394,333  
     
 
 
 
         15,937,250  
Communications Equipment
(b)
— 0.4%
                 
CommScope Technologies LLC,
6.00%, 06/15/25
(h)
      516       420,540  
CommScope, Inc.
(h)
     
6.00%, 03/01/26
      301       268,335  
4.75%, 09/01/29
      172       115,482  
Viasat, Inc.
     
5.63%, 09/15/25
(h)
      475       463,144  
5.63%, 04/15/27
(h)
      499       482,783  
7.50%, 05/30/31
      52       40,820  
Viavi Solutions, Inc., 3.75%, 10/01/29
(h)
      210       183,842  
     
 
 
 
        1,974,946  
Construction & Engineering
(b)
— 0.4%
                 
Arcosa, Inc., 4.38%, 04/15/29
(h)
      374       348,336  
Brand Industrial Services, Inc.,
10.38%, 08/01/30
(h)
      1,576       1,666,667  
Dycom Industries, Inc., 4.50%, 04/15/29
      119       110,423  
Pike Corp., 8.63%, 01/31/31
      89       93,525  
     
 
 
 
        2,218,951  
Construction Materials — 1.6%
                 
BCPE Empire Holdings, Inc.,
7.63%, 05/01/27
(b)(h)
      331       319,172  
Camelot Return Merger Sub, Inc.,
8.75%, 08/01/28
(b)
      241       244,622  
Emerald Debt Merger Sub LLC
     
6.38%, 12/15/30
(b)
    EUR       160       188,652  
6.38%, 12/15/30
(e)
      100       117,907  
6.63%, 12/15/30
(b)(h)
    USD       2,709       2,766,891  
HT Troplast GmbH, 9.38%, 07/15/28
(e)
    EUR       100       111,981  
James Hardie International Finance DAC, 5.00%, 01/15/28
(b)
    USD       200       193,467  
Jeld-Wen,
Inc., 4.63%, 12/15/25
(b)(h)
      280       270,900  
Masonite International Corp.,
5.38%, 02/01/28
(b)(h)
      101       96,960  
New Enterprise Stone & Lime Co., Inc.
(b)
     
5.25%, 07/15/28
      81       77,267  
9.75%, 07/15/28
      205       205,000  
Resideo Funding, Inc., 4.00%, 09/01/29
(b)
      59       51,478  
Ritchie Bros Holdings, Inc.,
6.75%, 03/15/28
(b)
      77       79,277  
Smyrna Ready Mix Concrete LLC
(b)(h)
     
6.00%, 11/01/28
      523       514,935  
8.88%, 11/15/31
      730       767,358  
Standard Industries, Inc./New Jersey
(b)
     
5.00%, 02/15/27
      209       203,762  
4.75%, 01/15/28
      80       77,016  
4.38%, 07/15/30
(h)
      673       618,075  
3.38%, 01/15/31
(h)
      353       303,675  
Summit Materials LLC/Summit Materials Finance Corp.
(b)
5.25%, 01/15/29
      92       89,010  
Security
 
Par
(000)
   
Value
 
Construction Materials (continued)
                 
Summit Materials LLC/Summit Materials Finance Corp.
(b)
(continued)
     
7.25%, 01/15/31
    USD       466     $ 491,026  
Wesco Aircraft Holdings, Inc., 9.00%, 11/15/26
(b)(f)(i)
      662       63,056  
     
 
 
 
        7,851,487  
Consumer Finance — 2.2%
                 
Block, Inc.
(h)
     
2.75%, 06/01/26
      698       658,235  
3.50%, 06/01/31
      1,111       986,514  
Bread Financial Holdings, Inc.,
9.75%, 03/15/29
(b)
      139       144,098  
Capital One Financial Corp.
(a)(h)
     
(1-day
SOFR + 2.60%), 5.82%, 02/01/34
      440       437,855  
(1-day
SOFR + 2.86%), 6.38%, 06/08/34
      100       102,920  
Equifax, Inc., 2.60%, 12/15/25
      59       56,291  
Ford Motor Credit Co. LLC
     
2.75%, 06/14/24
    GBP       100       125,624  
5.13%, 06/16/25
    USD       200       197,375  
6.86%, 06/05/26
    GBP       108       141,910  
7.35%, 03/06/30
(h)
    USD       394       423,275  
7.20%, 06/10/30
(h)
      376       400,457  
GTCR
W-2
Merger Sub LLC,
7.50%, 01/15/31
(b)(h)
      1,317       1,391,703  
Navient Corp.
     
5.50%, 03/15/29
(h)
      211       194,572  
9.38%, 07/25/30
      200       209,535  
OneMain Finance Corp.
     
6.88%, 03/15/25
(h)
      303       306,721  
7.13%, 03/15/26
(h)
      331       337,219  
3.50%, 01/15/27
(h)
      304       281,335  
6.63%, 01/15/28
(h)
      240       242,289  
9.00%, 01/15/29
(h)
      314       331,970  
5.38%, 11/15/29
(h)
      105       98,322  
7.88%, 03/15/30
      386       397,337  
4.00%, 09/15/30
      206       176,286  
Sabre GLBL, Inc., 8.63%, 06/01/27
(b)(h)
      644       586,052  
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26
(b)(h)
      550       534,826  
Shift4 Payments, Inc., 0.00%, 12/15/25
(l)(m)
      174       193,036  
Verscend Escrow Corp., 9.75%, 08/15/26
(b)(h)
      1,817       1,829,770  
Worldline SA/France, 0.00%, 07/30/26
(e)(l)(m)
    EUR       111       109,672  
     
 
 
 
         10,895,199  
Consumer Staples Distribution & Retail — 0.9%
 
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
(b)
     
3.25%, 03/15/26
(h)
    USD       530       500,058  
7.50%, 03/15/26
      107       108,988  
4.63%, 01/15/27
(h)
      477       463,741  
5.88%, 02/15/28
(h)
      320       320,215  
6.50%, 02/15/28
      152       153,816  
3.50%, 03/15/29
      142       128,933  
4.88%, 02/15/30
(h)
      214       204,868  
Bellis Acquisition Co. PLC, 3.25%, 02/16/26
(e)
    GBP       100       118,021  
Lamb Weston Holdings, Inc.
(b)
     
4.88%, 05/15/28
    USD       257       251,345  
4.13%, 01/31/30
(h)
      312       287,642  
4.38%, 01/31/32
(h)
      390       355,787  
Market Bidco Finco PLC, 5.50%, 11/04/27
(e)
    GBP       100       112,169  
Performance Food Group, Inc.,
4.25%, 08/01/29
(b)(h)
    USD       402       368,712  
 
 
80
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
 
Par
(000)
   
Value
 
Consumer Staples Distribution & Retail (continued)
 
Post Holdings, Inc.
(b)
     
5.75%, 03/01/27
    USD       89     $ 88,301  
4.63%, 04/15/30
(h)
      118       108,542  
4.50%, 09/15/31
      32       28,677  
U.S. Foods, Inc.
(b)
     
6.88%, 09/15/28
      194       199,696  
4.75%, 02/15/29
(h)
      335       318,164  
4.63%, 06/01/30
      39       36,347  
7.25%, 01/15/32
(h)
      234       243,995  
United Natural Foods, Inc., 6.75%, 10/15/28
(b)
      34       27,524  
Walgreens Boots Alliance, Inc.
     
3.20%, 04/15/30
      30       26,408  
4.80%, 11/18/44
      97       80,818  
4.10%, 04/15/50
      147       106,747  
     
 
 
 
        4,639,514  
Containers & Packaging — 2.1%
                 
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC
(b)
     
6.00%, 06/15/27
(h)
      400       398,567  
3.25%, 09/01/28
      200       174,965  
4.00%, 09/01/29
(h)
      1,200        1,015,772  
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
     
5.25%, 04/30/25
(b)(h)
      600       583,513  
2.13%, 08/15/26
(e)
    EUR       200       196,313  
4.13%, 08/15/26
(b)
    USD       400       365,000  
5.25%, 08/15/27
(b)
      202       156,927  
Ball Corp., 6.00%, 06/15/29
(h)
      193       197,086  
Canpack SA/Canpack U.S. LLC,
     
3.13%, 11/01/25
(b)(h)
      211       200,582  
Clydesdale Acquisition Holdings, Inc.
(b)(h)
     
6.63%, 04/15/29
      314       308,841  
8.75%, 04/15/30
      741       690,884  
Crown Americas LLC, 5.25%, 04/01/30
      23       22,651  
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26
      196       190,120  
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26
(h)
      424       419,971  
Graham Packaging Co., Inc.,
     
7.13%, 08/15/28
(b)
      60       54,000  
Graphic Packaging International LLC
(b)
     
4.75%, 07/15/27
      89       86,330  
3.50%, 03/15/28
      9       8,351  
LABL, Inc.
(b)(h)
     
5.88%, 11/01/28
      220       199,325  
9.50%, 11/01/28
      439       443,390  
Mauser Packaging Solutions Holding Co.
(b)
     
7.88%, 08/15/26
(h)
      3,316       3,374,630  
9.25%, 04/15/27
      61       59,875  
OI European Group BV, 6.25%, 05/15/28
(b)
    EUR       115       132,794  
Owens-Brockway Glass Container, Inc.
(b)
     
6.63%, 05/13/27
    USD       39       39,005  
7.25%, 05/15/31
(h)
      171       173,375  
Sealed Air Corp., 5.00%, 04/15/29
(b)
      59       57,054  
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 02/01/28
(b)(h)
      173       174,490  
Trident TPI Holdings, Inc., 12.75%, 12/31/28
(b)
      22       23,540  
Trivium Packaging Finance BV
(b)(h)
     
5.50%, 08/15/26
      600       588,665  
8.50%, 08/15/27
      200       196,100  
     
 
 
 
        10,532,116  
Diversified Consumer Services — 0.4%
                 
Graham Holdings Co., 5.75%, 06/01/26
(b)
      140       139,158  
Security
 
Par
(000)
   
Value
 
Diversified Consumer Services (continued)
 
Service Corp. International
(h)
     
5.13%, 06/01/29
    USD       238     $ 233,240  
3.38%, 08/15/30
      263       229,361  
4.00%, 05/15/31
      370       331,335  
Sotheby’s, 7.38%, 10/15/27
(b)(h)
      1,046       1,008,758  
     
 
 
 
        1,941,852  
Diversified REITs — 0.7%
                 
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27
(b)
      108       90,246  
GLP Capital LP/GLP Financing II, Inc.
     
3.25%, 01/15/32
(h)
      498       420,438  
6.75%, 12/01/33
      160       172,613  
HAT Holdings I LLC/HAT Holdings II LLC, 8.00%, 06/15/27
(b)
      111       115,589  
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32
(b)(h)
      257       235,406  
SBA Communications Corp.
     
3.13%, 02/01/29
(h)
      812       729,579  
3.88%, 02/15/27
      62       59,540  
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28
(b)(h)
      902       914,452  
VICI Properties LP/VICI Note Co., Inc.
(b)
     
4.63%, 06/15/25
      75       73,669  
4.63%, 12/01/29
(h)
      414       390,091  
4.13%, 08/15/30
(h)
      378       344,330  
     
 
 
 
         3,545,953  
Diversified Telecommunication Services — 3.3%
 
AT&T, Inc., 4.30%, 02/15/30
(h)
      1,350       1,321,883  
Cablevision Lightpath LLC
(b)
     
3.88%, 09/15/27
      200       175,629  
5.63%, 09/15/28
(h)
      400       315,244  
Cellnex Telecom SA, 2.13%, 08/11/30
(e)
    EUR       100       113,436  
Frontier Communications Holdings LLC
(b)
     
5.88%, 10/15/27
(h)
    USD       314       303,356  
5.00%, 05/01/28
(h)
      753       695,905  
8.75%, 05/15/30
(h)
      1,230       1,265,312  
8.63%, 03/15/31
      110       112,156  
Iliad Holding SASU
(b)(h)
     
6.50%, 10/15/26
      1,423       1,420,216  
7.00%, 10/15/28
      343       341,315  
Kaixo Bondco Telecom SA, 5.13%, 09/30/29
(e)
    EUR       100       102,943  
Level 3 Financing, Inc.
     
3.40%, 03/01/27
    USD       1,006       965,760  
4.63%, 09/15/27
      1,044       626,400  
3.63%, 01/15/29
      99       50,490  
10.50%, 05/15/30
      1,244       1,206,288  
Level 3 New Money TSA, 11.00%, 11/15/29
(n)
      911       911,076  
Lumen Technologies, Inc., 4.00%, 02/15/27
      473       305,260  
Network i2i Ltd.,
(5-year
CMT + 4.27%), 5.65%
(a)(e)(h)(j)
      300       294,937  
Sable International Finance Ltd.,
5.75%, 09/07/27
(b)(h)
      200       189,310  
SoftBank Group Corp., 3.88%, 07/06/32
(e)
    EUR       100       94,150  
Telecom Italia Capital SA
     
6.38%, 11/15/33
    USD       210       205,403  
6.00%, 09/30/34
(h)
      547       519,474  
7.20%, 07/18/36
      209       209,799  
7.72%, 06/04/38
      36       36,660  
Telecom Italia SpA/Milano
     
5.30%, 05/30/24
(b)
      200       199,070  
7.88%, 07/31/28
(e)
    EUR       171       209,352  
Verizon Communications, Inc.,
3.70%, 03/22/61
(h)
    USD       1,000       763,951  
 
 
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  81

Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Diversified Telecommunication Services (continued)
       
Zayo Group Holdings, Inc.
(b)(h)
     
4.00%, 03/01/27
    USD       3,882     $ 3,112,489  
6.13%, 03/01/28
      671       492,823  
   
 
 
 
        16,560,087  
Electric Utilities — 0.9%
                 
Black Hills Corp., 3.15%, 01/15/27
(h)
      305       287,629  
Enel Finance International NV, 3.63%, 05/25/27
(b)(h)
      900       859,880  
FirstEnergy Corp., 2.65%, 03/01/30
      51       44,060  
Mong Duong Finance Holdings BV, 5.13%, 05/07/29
(e)
      231       213,856  
NextEra Energy Operating Partners LP
(b)
     
4.25%, 07/15/24
      170       168,071  
4.25%, 09/15/24
      9       8,708  
3.88%, 10/15/26
      66       62,840  
7.25%, 01/15/29
      167       174,833  
Pacific Gas and Electric Co., 6.95%, 03/15/34
(h)
      425       466,824  
Palomino Funding Trust I,
7.23%, 05/17/28
(b)(h)
      250       263,289  
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28
(b)(h)
      302       285,650  
PG&E Corp., 4.25%, 12/01/27
(b)(h)
      863       904,424  
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33
(e)
      162       161,197  
Talen Energy Supply LLC, 8.63%, 06/01/30
(b)
      134       142,379  
Texas Competitive Electric Holdings, Series M, 5.03%, 10/10/19
(a)(d)(f)(i)
      780        
TransAlta Corp., 7.75%, 11/15/29
      109       115,767  
Vistra Operations Co. LLC
(b)
     
7.75%, 10/15/31
(h)
      366       380,124  
6.95%, 10/15/33
      210       221,012  
   
 
 
 
        4,760,543  
Electrical Equipment
(b)
— 0.4%
                 
Regal Rexnord Corp.
(h)
     
6.05%, 04/15/28
      492       498,040  
6.30%, 02/15/30
      200       205,182  
6.40%, 04/15/33
      205       213,665  
WESCO Distribution, Inc.
     
7.13%, 06/15/25
      676       680,936  
7.25%, 06/15/28
(h)
      636       653,697  
   
 
 
 
         2,251,520  
Electronic Equipment, Instruments & Components
(b)
— 0.3%
       
Coherent Corp., 5.00%, 12/15/29
(h)
      374       355,208  
Imola Merger Corp., 4.75%, 05/15/29
(h)
      419       398,094  
Sensata Technologies BV
     
4.00%, 04/15/29
      168       156,125  
5.88%, 09/01/30
      237       235,463  
Sensata Technologies, Inc.
     
4.38%, 02/15/30
(h)
      630       584,301  
3.75%, 02/15/31
      54       47,560  
   
 
 
 
        1,776,751  
Energy Equipment & Services — 0.7%
                 
Archrock Partners LP/Archrock Partners Finance Corp.
(b)(h)
     
6.88%, 04/01/27
      304       304,760  
6.25%, 04/01/28
      729       718,065  
Borr IHC Ltd./Borr Finance
(b)
     
10.00%, 11/15/28
(h)
      269       281,113  
10.38%, 11/15/30
      200       206,313  
Halliburton Co., 3.80%, 11/15/25
(h)
      3       2,940  
Oceaneering International, Inc., 6.00%, 02/01/28
(b)
      71       68,819  
Patterson-UTI Energy, Inc., 7.15%, 10/01/33
      100       105,940  
Security
        
Par
(000)
   
Value
 
Energy Equipment & Services (continued)
       
Seadrill Finance Ltd., 8.38%, 08/01/30
(b)
    USD       200     $ 208,666  
USA Compression Partners LP/USA Compression Finance Corp.
(h)
     
6.88%, 04/01/26
      510       507,849  
6.88%, 09/01/27
      485       479,251  
Vallourec SACA, 8.50%, 06/30/26
(e)
    EUR       34       37,717  
Weatherford International Ltd.
(b)
     
6.50%, 09/15/28
    USD       139       143,840  
8.63%, 04/30/30
(h)
      412       430,152  
   
 
 
 
        3,495,425  
Entertainment
(b)
— 0.4%
                 
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29
      232       173,559  
Live Nation Entertainment, Inc.
     
4.88%, 11/01/24
      31       30,721  
5.63%, 03/15/26
      52       51,525  
6.50%, 05/15/27
(h)
      1,414       1,438,776  
4.75%, 10/15/27
(h)
      288       276,144  
3.75%, 01/15/28
(h)
      196       182,788  
   
 
 
 
        2,153,513  
Environmental, Maintenance & Security Service — 1.1%
 
Clean Harbors, Inc.
(b)
     
4.88%, 07/15/27
(h)
      250       244,973  
5.13%, 07/15/29
(h)
      129       123,306  
6.38%, 02/01/31
      108       109,734  
Covanta Holding Corp.
     
4.88%, 12/01/29
(b)
      142       124,064  
5.00%, 09/01/30
      70       59,581  
GFL Environmental, Inc.
(b)
     
4.25%, 06/01/25
      103       101,478  
3.75%, 08/01/25
(h)
      312       304,701  
5.13%, 12/15/26
      243       240,425  
4.00%, 08/01/28
(h)
      431       398,413  
3.50%, 09/01/28
      198       182,964  
4.75%, 06/15/29
(h)
      378       356,061  
4.38%, 08/15/29
(h)
      317       292,555  
6.75%, 01/15/31
(h)
      676       696,470  
Republic Services, Inc., 3.38%, 11/15/27
(h)
      750       720,355  
Tervita Corp., 11.00%, 12/01/25
(b)
      114       119,700  
Waste Pro USA, Inc., 5.50%, 02/15/26
(b)(h)
      1,297       1,248,363  
   
 
 
 
         5,323,143  
Financial Services — 1.0%
                 
Aircastle Ltd., 6.50%, 07/18/28
(b)(h)
      135       137,662  
ASG Finance Designated Activity Co., 7.88%, 12/03/24
(b)
      200       195,000  
Castlelake Aviation Finance DAC, 5.00%, 04/15/27
(b)
      34       31,830  
GGAM Finance Ltd.
(b)
     
7.75%, 05/15/26
      45       45,675  
8.00%, 02/15/27
      441       452,042  
8.00%, 06/15/28
      150       155,190  
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24
(b)(k)
      232       217,562  
Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 08/15/28
(b)(h)
      325       290,901  
Macquarie Airfinance Holdings Ltd., 8.13%, 03/30/29
(b)
      210       219,497  
MGIC Investment Corp., 5.25%, 08/15/28
(h)
      167       162,561  
Nationstar Mortgage Holdings, Inc.
(b)
     
5.00%, 02/01/26
(h)
      1,425       1,393,590  
6.00%, 01/15/27
(h)
      147       145,897  
5.13%, 12/15/30
(h)
      198       179,018  
 
 
82
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Financial Services (continued)
                 
Nationstar Mortgage Holdings, Inc.
(b)
(continued)
     
5.75%, 11/15/31
    USD       147     $ 137,064  
PennyMac Financial Services, Inc., 7.88%, 12/15/29
(b)
      280       288,223  
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.
(b)
     
2.88%, 10/15/26
(h)
      872       804,420  
3.88%, 03/01/31
      170       149,514  
4.00%, 10/15/33
      81       68,812  
   
 
 
 
        5,074,458  
Food Products — 0.7%
                 
Aramark International Finance SARL, 3.13%, 04/01/25
(e)
    EUR       138       151,045  
Aramark Services, Inc., 5.00%, 02/01/28
(b)(h)
    USD       525       509,271  
B&G Foods, Inc., 8.00%, 09/15/28
(b)
      113       118,655  
Chobani LLC/Chobani Finance Corp., Inc.
(b)(h)
     
7.50%, 04/15/25
      1,330       1,323,350  
4.63%, 11/15/28
      608       568,364  
Darling Global Finance BV, 3.63%, 05/15/26
(e)
    EUR       120       130,701  
Darling Ingredients, Inc., 6.00%, 06/15/30
(b)(h)
    USD       434       434,321  
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29
(b)
      129       111,608  
   
 
 
 
        3,347,315  
Gas Utilities
(b)
— 0.1%
                 
AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28
(h)
      298       307,738  
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31
      91       82,499  
   
 
 
 
        390,237  
Ground Transportation — 1.1%
                 
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 8.00%, 02/15/31
(b)
      235       234,677  
GN Bondco LLC, 9.50%, 10/15/31
(b)(h)
      366       357,322  
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34
(b)(h)
      1,333       1,313,954  
RXO, Inc., 7.50%, 11/15/27
(b)(h)
      85       87,708  
Uber Technologies, Inc.
     
0.00%, 12/15/25
(l)(m)
      916       931,443  
8.00%, 11/01/26
(b)(h)
      334       340,196  
7.50%, 09/15/27
(b)(h)
      475       491,924  
6.25%, 01/15/28
(b)(h)
      384       384,963  
4.50%, 08/15/29
(b)(h)
      1,070       1,020,744  
Union Pacific Corp., 3.20%, 05/20/41
(h)
      600       479,755  
   
 
 
 
         5,642,686  
Health Care Equipment & Supplies — 1.0%
                 
Avantor Funding, Inc.
     
2.63%, 11/01/25
(e)
    EUR       100       107,829  
4.63%, 07/15/28
(b)(h)
    USD       675       652,375  
3.88%, 11/01/29
(b)
      209       189,797  
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28
(b)(h)
      1,461       1,541,267  
Garden Spinco Corp., 8.63%, 07/20/30
(b)
      199       212,559  
Medline Borrower LP
(b)(h)
     
3.88%, 04/01/29
      688       622,051  
5.25%, 10/01/29
      1,588       1,496,811  
Security
        
Par
(000)
   
Value
 
Health Care Equipment & Supplies (continued)
 
Teleflex, Inc.
     
4.63%, 11/15/27
    USD       80     $ 77,765  
4.25%, 06/01/28
(b)(h)
      331       313,717  
   
 
 
 
         5,214,171  
Health Care Providers & Services — 3.2%
                 
Acadia Healthcare Co., Inc., 5.50%, 07/01/28
(b)
      115       113,258  
AHP Health Partners, Inc., 5.75%, 07/15/29
(b)(h)
      345       300,261  
Catalent Pharma Solutions, Inc.
(b)
     
5.00%, 07/15/27
(h)
      627       605,790  
3.13%, 02/15/29
(h)
      249       217,905  
3.50%, 04/01/30
      107       93,083  
Charles River Laboratories International, Inc.
(b)
     
4.25%, 05/01/28
      159       151,347  
4.00%, 03/15/31
      42       37,942  
CHS/Community Health Systems, Inc.
(b)
     
5.63%, 03/15/27
      185       171,890  
6.00%, 01/15/29
(h)
      631       567,982  
5.25%, 05/15/30
(h)
      750       627,260  
4.75%, 02/15/31
(h)
      567       445,739  
Elevance Health, Inc., 3.65%, 12/01/27
(h)
      1,000       969,984  
Encompass Health Corp.
     
4.50%, 02/01/28
      15       14,351  
4.75%, 02/01/30
(h)
      299       281,577  
4.63%, 04/01/31
      237       218,083  
Ephios Subco 3 SARL, 7.88%, 01/31/31
(e)
    EUR       100       114,102  
Fortrea Holdings, Inc., 7.50%, 07/01/30
(b)(h)
    USD       196       201,287  
HCA, Inc., 5.50%, 06/15/47
(h)
      650       625,767  
HealthEquity, Inc., 4.50%, 10/01/29
(b)(h)
      782       726,094  
IQVIA, Inc.
(b)
     
5.00%, 10/15/26
(h)
      463       458,577  
5.00%, 05/15/27
(h)
      437       428,891  
6.25%, 02/01/29
(h)
      402       419,667  
6.50%, 05/15/30
      211       216,298  
Legacy LifePoint Health LLC, 4.38%, 02/15/27
(b)
      253       233,579  
LifePoint Health, Inc.
(b)(h)
     
9.88%, 08/15/30
      345       348,654  
11.00%, 10/15/30
      397       418,101  
ModivCare, Inc., 5.88%, 11/15/25
(b)(h)
      422       416,725  
Molina Healthcare, Inc.
(b)
     
4.38%, 06/15/28
      46       43,506  
3.88%, 11/15/30
      80       71,912  
3.88%, 05/15/32
(h)
      141       123,201  
Prime Healthcare Services, Inc., 7.25%, 11/01/25
(b)
      48       46,800  
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26
(b)
      88       87,303  
Star Parent, Inc., 9.00%, 10/01/30
(b)(h)
      886       933,714  
Surgery Center Holdings, Inc.
(b)(h)
     
6.75%, 07/01/25
      305       303,856  
10.00%, 04/15/27
      621       627,210  
Tenet Healthcare Corp.
     
4.88%, 01/01/26
(h)
      1,077       1,064,865  
6.25%, 02/01/27
(h)
      133       133,652  
5.13%, 11/01/27
(h)
      216       211,151  
4.63%, 06/15/28
      81       77,299  
6.13%, 10/01/28
(h)
      352       351,004  
6.13%, 06/15/30
      250       252,772  
6.75%, 05/15/31
(b)(h)
      896       915,757  
UnitedHealth Group, Inc., 3.75%, 07/15/25
(h)
      1,470       1,448,758  
   
 
 
 
        16,116,954  
 
 
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  83

Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Health Care REITs — 0.5%
                 
Healthpeak OP LLC, 2.88%, 01/15/31
(h)
    USD       1,000     $ 867,951  
MPT Operating Partnership LP/MPT Finance Corp.
     
2.50%, 03/24/26
    GBP       339       350,473  
4.63%, 08/01/29
    USD       185       133,026  
3.50%, 03/15/31
(h)
      910       568,957  
Ventas Realty LP, 4.13%, 01/15/26
(h)
      650       633,671  
   
 
 
 
        2,554,078  
Health Care Technology — 0.4%
                 
AthenaHealth Group, Inc.,
6.50%, 02/15/30
(b)(h)
      2,138       1,939,546  
   
 
 
 
Hotel & Resort REITs
(h)
— 0.5%
                 
RHP Hotel Properties LP/RHP Finance Corp.
     
4.75%, 10/15/27
      751       725,380  
7.25%, 07/15/28
(b)
      327       339,978  
4.50%, 02/15/29
(b)
      302       280,872  
Service Properties Trust
     
7.50%, 09/15/25
      165       166,834  
8.63%, 11/15/31
(b)
      1,144       1,198,263  
   
 
 
 
         2,711,327  
Hotels, Restaurants & Leisure — 5.4%
                 
Boyd Gaming Corp.
(h)
     
4.75%, 12/01/27
      133       127,959  
4.75%, 06/15/31
(b)
      366       335,924  
Boyne USA, Inc., 4.75%, 05/15/29
(b)(h)
      363       341,363  
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc.
(b)
     
3.88%, 01/15/28
(h)
      208       196,502  
4.38%, 01/15/28
(h)
      134       127,981  
4.00%, 10/15/30
      212       190,143  
Caesars Entertainment, Inc.
(b)(h)
     
6.25%, 07/01/25
      760       762,066  
8.13%, 07/01/27
      1,703       1,745,744  
4.63%, 10/15/29
      246       221,894  
7.00%, 02/15/30
      1,527       1,565,842  
Carnival Corp.
     
7.63%, 03/01/26
(b)(h)
      152       154,748  
7.63%, 03/01/26
(e)
    EUR       100       111,941  
5.75%, 03/01/27
(b)(h)
    USD       1,001       976,409  
4.00%, 08/01/28
(b)(h)
      357       331,916  
6.00%, 05/01/29
(b)(h)
      689       662,960  
7.00%, 08/15/29
(b)
      166       173,324  
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28
(b)(h)
      2,621       2,852,746  
Churchill Downs, Inc.
(b)
     
5.50%, 04/01/27
(h)
      695       687,709  
4.75%, 01/15/28
      137       131,300  
5.75%, 04/01/30
(h)
      929       905,767  
6.75%, 05/01/31
(h)
      389       394,810  
Cirsa Finance International SARL, (3-mo. EURIBOR + 4.50%), 8.45%, 07/31/28
(a)(e)
    EUR       100       111,629  
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.
(b)
     
4.63%, 01/15/29
(h)
    USD       570       517,201  
6.75%, 01/15/30
      68       59,704  
Hilton Domestic Operating Co., Inc.
     
5.75%, 05/01/28
(b)(h)
      200       200,076  
3.75%, 05/01/29
(b)
      146       135,361  
4.88%, 01/15/30
(h)
      537       520,437  
4.00%, 05/01/31
(b)
      189       173,110  
3.63%, 02/15/32
(b)
      4       3,491  
Life Time, Inc.
(b)(h)
     
5.75%, 01/15/26
      340       337,555  
Security
        
Par
(000)
   
Value
 
Hotels, Restaurants & Leisure (continued)
 
Life Time, Inc.
(b)(h)
(continued)
     
8.00%, 04/15/26
    USD       257     $  259,337  
Light & Wonder International, Inc.
(b)
     
7.00%, 05/15/28
      174       175,771  
7.25%, 11/15/29
(h)
      51       52,219  
7.50%, 09/01/31
      207       215,913  
Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/28
(b)
      246       254,355  
Lindblad Expeditions LLC, 6.75%, 02/15/27
(b)(h)
      305       303,475  
Lottomatica SpA, (3-mo. EURIBOR + 4.00%), 7.93%, 12/15/30
(a)(e)
    EUR       100       111,497  
Melco Resorts Finance Ltd.
     
4.88%, 06/06/25
(b)(h)
    USD       400       388,375  
5.38%, 12/04/29
(b)(h)
      800       704,000  
5.38%, 12/04/29
(e)
      250       220,000  
Merlin Entertainments Ltd., 5.75%, 06/15/26
(b)(h)
      600       593,859  
MGM China Holdings Ltd.
     
5.88%, 05/15/26
(e)
      250       243,750  
4.75%, 02/01/27
(b)(h)
      200       189,750  
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29
(b)
      146       135,780  
NCL Corp. Ltd.
(b)
     
5.88%, 03/15/26
(h)
      333       325,394  
8.38%, 02/01/28
(h)
      132       139,774  
8.13%, 01/15/29
      121       126,394  
7.75%, 02/15/29
      77       77,466  
NCL Finance Ltd., 6.13%, 03/15/28
(b)(h)
      261       249,838  
Ontario Gaming GTA LP, 8.00%, 08/01/30
(b)
      161       166,031  
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.
(b)
     
5.63%, 09/01/29
      116       92,800  
5.88%, 09/01/31
      116       90,480  
Raising Cane’s Restaurants LLC, 9.38%, 05/01/29
(b)
      141       150,473  
Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, 11/01/26
(b)
      177       168,709  
Royal Caribbean Cruises Ltd.
(b)
     
4.25%, 07/01/26
      72       69,543  
5.50%, 08/31/26
      136       134,660  
5.38%, 07/15/27
(h)
      134       132,649  
11.63%, 08/15/27
      42       45,703  
5.50%, 04/01/28
(h)
      118       116,497  
8.25%, 01/15/29
      191       202,355  
9.25%, 01/15/29
(h)
      190       204,368  
7.25%, 01/15/30
(h)
      286       298,693  
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc., 6.63%, 03/01/30
(b)(h)
      232       219,340  
Six Flags Entertainment Corp.,
7.25%, 05/15/31
(b)(h)
      911       913,806  
Six Flags Theme Parks, Inc., 7.00%, 07/01/25
(b)
      185       185,801  
Station Casinos LLC, 4.63%, 12/01/31
(b)(h)
      277       249,764  
Vail Resorts, Inc., 6.25%, 05/15/25
(b)
      137       136,315  
Viking Cruises Ltd.
(b)
     
5.88%, 09/15/27
(h)
      236       227,740  
7.00%, 02/15/29
      51       50,562  
9.13%, 07/15/31
(h)
      729       776,820  
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29
(b)
      162       157,950  
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28
(b)
      158       147,754  
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27
(b)(h)
      192       186,836  
 
 
84
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Hotels, Restaurants & Leisure (continued)
 
Wynn Macau Ltd.
(h)
     
5.50%, 01/15/26
(e)
    USD       347     $ 337,458  
5.63%, 08/26/28
(b)
      600       554,437  
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.
(b)(h)
     
5.13%, 10/01/29
      773       729,547  
7.13%, 02/15/31
      392       408,237  
Yum! Brands, Inc., 4.75%, 01/15/30
(b)
      167       161,876  
   
 
 
 
         27,141,763  
Household Durables — 0.5%
                 
Ashton Woods USA LLC/Ashton Woods Finance Co.
(b)
     
4.63%, 04/01/30
      145       129,890  
Series B, 4.63%, 08/01/29
      100       88,925  
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC
(b)
     
5.00%, 06/15/29
      208       184,631  
4.88%, 02/15/30
(h)
      364       320,111  
CD&R Smokey Buyer, Inc.,
6.75%, 07/15/25
(b)(h)
      253       250,303  
Dream Finders Homes, Inc., 8.25%, 08/15/28
(b)
      115       121,533  
LGI Homes, Inc., 8.75%, 12/15/28
(b)
      89       94,674  
Mattamy Group Corp., 4.63%, 03/01/30
(b)(h)
      199       184,424  
SWF Escrow Issuer Corp.,
6.50%, 10/01/29
(b)(h)
      671       482,281  
Taylor Morrison Communities, Inc.
(b)
     
5.88%, 06/15/27
      255       256,275  
5.13%, 08/01/30
      54       52,239  
Tempur Sealy International, Inc.
(b)
     
4.00%, 04/15/29
      204       184,251  
3.88%, 10/15/31
      48       40,581  
Tri Pointe Group, Inc./Tri Pointe Homes, Inc., 5.88%, 06/15/24
      11       11,000  
Tri Pointe Homes, Inc., 5.25%, 06/01/27
      15       14,737  
   
 
 
 
        2,415,855  
Household Products — 0.1%
                 
Berkline Benchcraft LLC,
0.00%, 05/03/12
(d)(f)(i)
      200        
Central Garden & Pet Co.
     
5.13%, 02/01/28
      15       14,574  
4.13%, 10/15/30
(h)
      194       176,450  
Spectrum Brands, Inc.
(b)
     
5.00%, 10/01/29
      141       134,532  
5.50%, 07/15/30
      154       149,437  
   
 
 
 
        474,993  
Independent Power and Renewable Electricity Producers — 0.7%
       
Alexander Funding Trust II,
7.47%, 07/31/28
(b)(h)
      170       178,506  
Calpine Corp.
(b)
     
5.25%, 06/01/26
      221       218,064  
5.13%, 03/15/28
(h)
      1,060       1,016,305  
4.63%, 02/01/29
(h)
      106       98,456  
5.00%, 02/01/31
      91       83,421  
Clearway Energy Operating LLC
(b)(h)
     
4.75%, 03/15/28
      336       323,707  
3.75%, 01/15/32
      307       266,699  
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26
(e)
      200       194,250  
NextEra Energy Partners LP
(b)(l)
     
0.00%, 11/15/25
(m)
      199       173,826  
2.50%, 06/15/26
      199       178,304  
Security
        
Par
(000)
   
Value
 
Independent Power and Renewable Electricity Producers (continued)
       
NRG Energy, Inc.
(h)
     
6.63%, 01/15/27
    USD       720     $ 721,549  
7.00%, 03/15/33
(b)
      205       216,676  
   
 
 
 
        3,669,763  
Insurance — 2.7%
                 
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29
(b)
      136       123,576  
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer
(b)
     
4.25%, 10/15/27
(h)
      1,317       1,265,703  
6.75%, 10/15/27
(h)
      2,364       2,355,643  
6.75%, 04/15/28
(h)
      624       638,371  
5.88%, 11/01/29
(h)
      1,103       1,045,084  
7.00%, 01/15/31
      504       531,652  
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25
(h)
      360       350,510  
AmWINS Group, Inc., 4.88%, 06/30/29
(b)(h)
      320       292,235  
GTCR AP Finance, Inc., 8.00%, 05/15/27
(b)(h)
      304       307,056  
HUB International Ltd.
(b)(h)
     
7.00%, 05/01/26
      1,151       1,155,449  
7.25%, 06/15/30
      1,714       1,810,378  
Jones Deslauriers Insurance Management,
Inc.
(b)
     
8.50%, 03/15/30
(h)
      543       570,220  
10.50%, 12/15/30
      256       269,799  
NFP Corp.
(b)
     
4.88%, 08/15/28
(h)
      519       513,626  
6.88%, 08/15/28
(h)
      1,283       1,304,299  
7.50%, 10/01/30
(h)
      105       111,751  
8.50%, 10/01/31
      189       204,857  
Ryan Specialty LLC, 4.38%, 02/01/30
(b)
      183       169,732  
USI, Inc., 7.50%, 01/15/32
(b)
      465       476,067  
   
 
 
 
         13,496,008  
Interactive Media & Services — 0.2%
                 
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28
(b)(h)
      403       328,445  
Arches Buyer, Inc., 4.25%, 06/01/28
(b)
      110       99,620  
iliad SA
(e)
     
5.38%, 06/14/27
    EUR       100       113,155  
5.63%, 02/15/30
      100       114,082  
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27
(b)(h)
    USD       279       266,445  
   
 
 
 
        921,747  
Internet Software & Services
(b)
— 0.3%
                 
Go Daddy Operating Co. LLC/GD Finance Co., Inc.
     
5.25%, 12/01/27
(h)
      303       296,912  
3.50%, 03/01/29
      204       184,762  
ION Trading Technologies SARL, 5.75%, 05/15/28
      200       176,426  
Match Group Holdings II LLC
     
4.63%, 06/01/28
      157       150,328  
5.63%, 02/15/29
(h)
      177       171,911  
4.13%, 08/01/30
      198       179,667  
3.63%, 10/01/31
(h)
      153       132,195  
   
 
 
 
        1,292,201  
IT Services — 1.1%
                 
Ahead DB Holdings LLC, 6.63%, 05/01/28
(b)
      150       130,688  
CA Magnum Holdings, 5.38%, 10/31/26
(b)(h)
      382       355,260  
Camelot Finance SA, 4.50%, 11/01/26
(b)(h)
      624       609,286  
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 06/15/29
(b)(h)
      582       607,468  
 
 
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  85

Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
IT Services (continued)
                 
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29
(b)(h)
    USD       578     $ 589,478  
Dun & Bradstreet Corp., 5.00%, 12/15/29
(b)(h)
      654       610,064  
Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28
(e)
    EUR       100       117,844  
Fair Isaac Corp., 4.00%, 06/15/28
(b)(h)
    USD       450       425,862  
Gartner, Inc.
(b)
     
4.50%, 07/01/28
      11       10,432  
3.63%, 06/15/29
      57       51,447  
3.75%, 10/01/30
      87       76,905  
KBR, Inc., 4.75%, 09/30/28
(b)
      235       217,787  
La Financiere Atalian SASU, 5.13%, 05/15/25
(e)
    EUR       100       80,809  
Presidio Holdings, Inc., 4.88%, 02/01/27
(b)
    USD       47       46,074  
Science Applications International Corp., 4.88%, 04/01/28
(b)(h)
      289       275,273  
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25
(b)
      163       163,308  
Twilio, Inc.
     
3.63%, 03/15/29
      142       129,545  
3.88%, 03/15/31
(h)
      319       284,071  
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29
(b)(h)
      676       613,129  
   
 
 
 
         5,394,730  
Leisure Products — 0.1%
                 
Acushnet Co., 7.38%, 10/15/28
(b)
      87       90,766  
MajorDrive Holdings IV LLC, 6.38%, 06/01/29
(b)
      178       153,280  
Mattel, Inc.
(h)
     
6.20%, 10/01/40
      219       211,832  
5.45%, 11/01/41
      172       154,903  
   
 
 
 
        610,781  
Machinery — 1.5%
                 
ATS Corp., 4.13%, 12/15/28
(b)
      108       99,330  
Chart Industries, Inc.
(b)
     
7.50%, 01/01/30
(h)
      675       705,542  
9.50%, 01/01/31
      92       99,928  
Gates Global LLC/Gates Corp., 6.25%, 01/15/26
(b)(h)
      416       413,920  
GrafTech Global Enterprises, Inc., 9.88%, 12/15/28
(b)(h)
      145       111,831  
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25
(b)(h)(k)
      240       238,948  
Loxam SAS, 6.38%, 05/31/29
(e)
    EUR       100       114,259  
Madison IAQ LLC, 5.88%, 06/30/29
(b)(h)
    USD       836       736,586  
OT Merger Corp., 7.88%, 10/15/29
(b)
      115       68,885  
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29
(b)
      122       112,903  
Terex Corp., 5.00%, 05/15/29
(b)(h)
      333       313,853  
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26
(b)(h)
      928       933,846  
TK Elevator Holdco GmbH
     
6.63%, 07/15/28
(e)
    EUR       129       130,722  
7.63%, 07/15/28
(b)(h)
    USD       400       392,916  
TK Elevator Midco GmbH, 4.38%, 07/15/27
(e)
    EUR       311       331,930  
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27
(b)(h)
    USD       1,833       1,800,660  
Vertiv Group Corp., 4.13%, 11/15/28
(b)(h)
      992       930,714  
   
 
 
 
        7,536,773  
Marine Transportation — 0.0%
                 
Danaos Corp., 8.50%, 03/01/28
(b)
      100       101,500  
   
 
 
 
Media — 5.7%
                 
Altice Financing SA, 5.75%, 08/15/29
(b)(h)
      1,124       997,447  
Security
        
Par
(000)
   
Value
 
Media (continued)
                 
AMC Networks, Inc., 4.75%, 08/01/25
    USD       189     $ 184,050  
Cable One, Inc.
     
0.00%, 03/15/26
(l)(m)
      88       74,668  
1.13%, 03/15/28
(h)(l)
      620       469,650  
4.00%, 11/15/30
(b)(h)
      231       187,026  
CCO Holdings LLC/CCO Holdings Capital Corp.
(b)(h)
     
5.13%, 05/01/27
      565       545,886  
5.00%, 02/01/28
      701       670,705  
6.38%, 09/01/29
      734       723,843  
4.75%, 03/01/30
      246       224,786  
4.25%, 02/01/31
      764       667,683  
7.38%, 03/01/31
      1,773       1,819,743  
4.75%, 02/01/32
      168       148,169  
4.25%, 01/15/34
      346       281,169  
Charter Communications Operating LLC/Charter Communications Operating Capital
(h)
     
4.91%, 07/23/25
      2,425        2,401,947  
5.38%, 05/01/47
      425       361,175  
Clear Channel International BV, 6.63%, 08/01/25
(b)(h)
      584       586,816  
Clear Channel Outdoor Holdings, Inc.
(b)(h)
     
5.13%, 08/15/27
      653       623,345  
7.75%, 04/15/28
      330       284,527  
9.00%, 09/15/28
      1,891       1,973,192  
7.50%, 06/01/29
      671       557,917  
CMG Media Corp., 8.88%, 12/15/27
(b)(h)
      315       249,836  
CSC Holdings LLC
(b)(h)
     
5.50%, 04/15/27
      200       184,859  
11.25%, 05/15/28
      1,679       1,729,974  
6.50%, 02/01/29
      865       763,449  
4.13%, 12/01/30
      330       251,048  
4.50%, 11/15/31
      269       203,384  
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 08/15/27
(b)(h)
      513       482,003  
Discovery Communications LLC, 3.45%, 03/15/25
(h)
      170       165,665  
DISH DBS Corp.
     
7.75%, 07/01/26
(h)
      601       418,603  
5.25%, 12/01/26
(b)(h)
      1,090       933,858  
5.75%, 12/01/28
(b)
      71       56,630  
DISH Network Corp., 11.75%, 11/15/27
(b)(h)
      916       956,173  
GCI LLC, 4.75%, 10/15/28
(b)
      107       98,171  
Gray Television, Inc.
(b)(h)
     
5.88%, 07/15/26
      158       153,688  
7.00%, 05/15/27
      225       213,863  
Interpublic Group of Cos., Inc., 5.40%, 10/01/48
(h)
      200       189,260  
Lamar Media Corp., 4.00%, 02/15/30
      40       36,660  
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27
(b)(h)
      560       548,498  
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27
(b)
      177       172,524  
Nexstar Media, Inc., 5.63%, 07/15/27
(b)
      79       76,389  
Outfront Media Capital LLC/Outfront Media Capital Corp.
(b)
     
5.00%, 08/15/27
(h)
      558       539,361  
4.25%, 01/15/29
(h)
      310       279,735  
4.63%, 03/15/30
      107       95,390  
7.38%, 02/15/31
(h)
      295       309,791  
Radiate Holdco LLC/Radiate Finance, Inc.
(b)(h)
     
4.50%, 09/15/26
      894       681,857  
6.50%, 09/15/28
      1,118       547,803  
 
 
86
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Media (continued)
                 
Sinclair Television Group, Inc., 4.13%, 12/01/30
(b)
    USD       51     $ 35,955  
Sirius XM Radio, Inc.
(b)
     
3.13%, 09/01/26
(h)
      535       502,724  
5.00%, 08/01/27
(h)
      860       830,754  
4.00%, 07/15/28
      97       89,710  
Stagwell Global LLC, 5.63%, 08/15/29
(b)(h)
      101       92,897  
Summer BidCo BV, (9.00% Cash or 9.75% PIK), 9.00%, 11/15/25
(e)(k)
    EUR       124       135,757  
TEGNA, Inc., 4.75%, 03/15/26
(b)
    USD       45       43,769  
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28
(b)
      200       187,000  
Univision Communications, Inc.
(b)
     
6.63%, 06/01/27
      188       187,487  
8.00%, 08/15/28
(h)
      562       579,770  
7.38%, 06/30/30
(h)
      174       173,501  
UPC Broadband Finco BV, 4.88%, 07/15/31
(b)(h)
      449       395,169  
Videotron Ltd., 3.63%, 06/15/29
(b)
      84       76,233  
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28
(b)(h)
      754       708,156  
VZ Secured Financing BV, 3.50%, 01/15/32
(e)
    EUR       100       97,216  
Ziggo Bond Co. BV
(b)
     
6.00%, 01/15/27
(h)
    USD       199       193,679  
5.13%, 02/28/30
      225       188,182  
Ziggo BV, 4.88%, 01/15/30
(b)
      200       178,397  
   
 
 
 
         28,818,572  
Metals & Mining — 2.0%
                 
ABJA Investment Co. Pte. Ltd., 5.95%, 07/31/24
(e)
      250       248,828  
Amsted Industries, Inc., 5.63%, 07/01/27
(b)
      156       155,441  
Arsenal AIC Parent LLC, 8.00%, 10/01/30
(b)
      186       194,065  
ATI, Inc.
     
5.88%, 12/01/27
      171       168,512  
4.88%, 10/01/29
      101       94,128  
7.25%, 08/15/30
(h)
      525       546,206  
5.13%, 10/01/31
(h)
      273       253,210  
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29
(b)(h)
      1,109       1,130,714  
Carpenter Technology Corp.
     
6.38%, 07/15/28
      81       80,696  
7.63%, 03/15/30
(h)
      367       378,443  
Constellium SE
     
4.25%, 02/15/26
(e)
    EUR       100       109,706  
5.88%, 02/15/26
(b)(h)
    USD       588       584,346  
5.63%, 06/15/28
(b)(h)
      500       487,962  
3.75%, 04/15/29
(b)(h)
      756       685,965  
First Quantum Minerals Ltd., 8.63%, 06/01/31
(b)(h)
      331       278,642  
JSW Steel Ltd., 5.95%, 04/18/24
(e)
      200       199,162  
Kaiser Aluminum Corp.
(b)(h)
     
4.63%, 03/01/28
      163       150,747  
4.50%, 06/01/31
      573       493,942  
New Gold, Inc., 7.50%, 07/15/27
(b)(h)
      585       590,190  
Novelis Corp.
(b)(h)
     
3.25%, 11/15/26
      868       817,134  
4.75%, 01/30/30
      988       929,163  
3.88%, 08/15/31
      1,030       907,671  
Novelis Sheet Ingot GmbH, 3.38%, 04/15/29
(e)
    EUR       200       208,207  
Vedanta Resources Finance II PLC, 13.88%, 01/21/24
(e)
    USD       200       177,108  
   
 
 
 
        9,870,188  
Mortgage Real Estate Investment Trusts
(REITs)
(b)
— 0.0%
       
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.
     
5.25%, 10/01/25
      43       42,418  
Security
        
Par
(000)
   
Value
 
Mortgage Real Estate Investment Trusts (REITs) (continued)
       
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. (continued)
     
4.25%, 02/01/27
    USD       170     $ 160,178  
4.75%, 06/15/29
      67       60,413  
   
 
 
 
        263,009  
Office REITs — 0.1%
                 
Alexandria Real Estate Equities, Inc., 4.00%, 02/01/50
(h)
      450       355,518  
Highwoods Realty LP, 7.65%, 02/01/34
      55       59,334  
   
 
 
 
        414,852  
Oil, Gas & Consumable Fuels — 9.1%
                 
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26
(b)(h)
      604       607,020  
Antero Midstream Partners LP/Antero Midstream Finance Corp.
(b)
     
5.75%, 03/01/27
(h)
      298       295,687  
5.75%, 01/15/28
      59       58,412  
5.38%, 06/15/29
      206       198,042  
Apache Corp., 5.35%, 07/01/49
      119       98,943  
Ascent Resources Utica Holdings LLC/ARU Finance Corp.
(b)
     
9.00%, 11/01/27
(h)
      552       695,520  
8.25%, 12/31/28
(h)
      880       885,114  
Series B, 5.88%, 06/30/29
      134       124,667  
Baytex Energy Corp., 8.50%, 04/30/30
(b)
      193       199,738  
Buckeye Partners LP
     
4.13%, 03/01/25
(b)
      262       253,968  
5.85%, 11/15/43
      145       117,464  
5.60%, 10/15/44
      86       66,171  
Callon Petroleum Co.
     
6.38%, 07/01/26
      162       161,231  
8.00%, 08/01/28
(b)(h)
      909       928,337  
7.50%, 06/15/30
(b)(h)
      555       559,729  
Chesapeake Energy Corp.
(b)
     
5.88%, 02/01/29
      41       40,178  
6.75%, 04/15/29
(h)
      436       440,056  
CITGO Petroleum Corp., 8.38%, 01/15/29
(b)(h)
      509       523,420  
Civitas Resources, Inc.
(b)(h)
     
8.38%, 07/01/28
      814       849,771  
8.63%, 11/01/30
      411       435,957  
8.75%, 07/01/31
      797       848,444  
CNX Midstream Partners LP, 4.75%, 04/15/30
(b)
      96       86,206  
CNX Resources Corp., 7.38%, 01/15/31
(b)
      97       97,673  
Comstock Resources, Inc.
(b)(h)
     
6.75%, 03/01/29
      509       465,484  
5.88%, 01/15/30
      595       516,044  
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31
(b)(h)
      1,617        1,532,276  
Crescent Energy Finance LLC
(b)(h)
     
7.25%, 05/01/26
      708       712,365  
9.25%, 02/15/28
      597       619,429  
CrownRock LP/CrownRock Finance, Inc., 5.00%, 05/01/29
(b)
      59       57,525  
Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, 10/01/30
(b)
      221       225,995  
DT Midstream, Inc.
(b)(h)
     
4.13%, 06/15/29
      328       301,755  
4.38%, 06/15/31
      418       377,050  
Ecopetrol SA, 8.88%, 01/13/33
      122       132,256  
Enbridge, Inc.
(a)
     
(3-mo. CME Term SOFR + 3.90%), 6.25%, 03/01/78
(h)
      1,565       1,446,590  
 
 
S
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  87

Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Oil, Gas & Consumable Fuels (continued)
 
Enbridge, Inc.
(a)
(continued)
     
(5-year CMT + 4.43%), 8.50%, 01/15/84
    USD       194     $ 206,347  
Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 01/30/28
(b)(h)
      386       386,364  
Energean Israel Finance Ltd., 8.50%, 09/30/33
(b)(e)
      38       36,176  
Energy Transfer LP
     
3.90%, 07/15/26
(h)
      235       228,387  
6.00%, 02/01/29
(b)(h)
      140       141,258  
7.38%, 02/01/31
(b)
      96       100,890  
Series H, (5-year CMT + 5.69%),
6.50%
(a)(h)(j)
      456       433,328  
EnLink Midstream LLC
(h)
     
5.63%, 01/15/28
(b)
      310       306,492  
5.38%, 06/01/29
      253       247,549  
6.50%, 09/01/30
(b)
      189       192,964  
EnLink Midstream Partners LP
     
4.85%, 07/15/26
      63       61,721  
5.60%, 04/01/44
      205       178,416  
EQM Midstream Partners LP
     
6.00%, 07/01/25
(b)
      94       93,957  
4.13%, 12/01/26
      100       96,588  
6.50%, 07/01/27
(b)(h)
      187       190,409  
4.50%, 01/15/29
(b)
      21       19,839  
7.50%, 06/01/30
(b)
      84       90,302  
4.75%, 01/15/31
(b)(h)
      506       470,908  
FTAI Infra Escrow Holdings LLC, 10.50%, 06/01/27
(b)
      33       34,232  
Genesis Energy LP/Genesis Energy Finance Corp.
     
7.75%, 02/01/28
(h)
      164       164,572  
8.25%, 01/15/29
      181       186,257  
8.88%, 04/15/30
      186       192,324  
Gulfport Energy Corp., 8.00%, 05/17/26
(b)
      37       37,401  
Harvest Midstream I LP, 7.50%, 09/01/28
(b)
      60       59,645  
Hess Corp., 4.30%, 04/01/27
      50       49,470  
Hess Midstream Operations LP, 4.25%, 02/15/30
(b)(h)
      240       220,800  
Hilcorp Energy I LP/Hilcorp Finance Co.
(b)
     
6.25%, 11/01/28
      145       144,441  
5.75%, 02/01/29
      212       204,727  
6.00%, 04/15/30
      21       20,366  
8.38%, 11/01/33
(h)
      618       654,734  
Howard Midstream Energy Partners LLC, 8.88%, 07/15/28
(b)
      263       276,035  
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26
(e)(h)
      200       193,187  
Impulsora Pipeline LLC, 6.05%, 01/01/43
(d)
      1,327        1,127,151  
ITT Holdings LLC, 6.50%, 08/01/29
(b)(h)
      343       303,432  
Kinetik Holdings LP
(b)
     
6.63%, 12/15/28
      92       93,731  
5.88%, 06/15/30
(h)
      309       303,145  
Leviathan Bond Ltd., 6.75%, 06/30/30
(b)(e)
      15       13,898  
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26
(b)
      32       31,200  
Matador Resources Co.
(h)
     
5.88%, 09/15/26
      436       432,380  
6.88%, 04/15/28
(b)
      326       330,667  
Medco Bell Pte. Ltd., 6.38%, 01/30/27
(e)
      250       239,687  
MPLX LP, 4.25%, 12/01/27
(h)
      185       180,982  
Murphy Oil Corp.
     
5.88%, 12/01/27
      36       35,817  
5.88%, 12/01/42
      29       25,622  
Murphy Oil USA, Inc., 4.75%, 09/15/29
      146       138,335  
Nabors Industries Ltd.
(b)
     
7.25%, 01/15/26
      199       191,281  
7.50%, 01/15/28
      234       202,351  
Security
        
Par
(000)
   
Value
 
Oil, Gas & Consumable Fuels (continued)
                 
Nabors Industries, Inc.
     
5.75%, 02/01/25
(h)
    USD       880     $ 879,707  
7.38%, 05/15/27
(b)
      47       46,045  
9.13%, 01/31/30
(b)(h)
      276       277,121  
New Fortress Energy, Inc.,
6.75%, 09/15/25
(b)(h)
      475       471,210  
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26
(b)(h)
      332       335,323  
Noble Finance II LLC, 8.00%, 04/15/30
(b)(h)
      310       322,571  
Northern Oil and Gas, Inc.
(b)(h)
     
8.13%, 03/01/28
      1,139        1,153,237  
8.75%, 06/15/31
      314       327,062  
NuStar Logistics LP
     
6.00%, 06/01/26
      163       162,713  
6.38%, 10/01/30
      25       25,044  
PBF Holding Co. LLC/PBF Finance Corp., 7.88%, 09/15/30
(b)
      222       226,085  
Permian Resources Operating LLC
(b)
     
5.38%, 01/15/26
      52       51,308  
7.75%, 02/15/26
(h)
      607       617,519  
6.88%, 04/01/27
      143       142,902  
8.00%, 04/15/27
(h)
      272       281,949  
5.88%, 07/01/29
(h)
      411       400,708  
9.88%, 07/15/31
(h)
      309       343,376  
7.00%, 01/15/32
      329       339,420  
Petroleos Mexicanos
     
4.25%, 01/15/25
      37       35,867  
6.50%, 03/13/27
      85       78,997  
8.75%, 06/02/29
      130       125,045  
5.95%, 01/28/31
(h)
      158       125,373  
6.70%, 02/16/32
      48       39,720  
Precision Drilling Corp., 6.88%, 01/15/29
(b)
      12       11,572  
Rockcliff Energy II LLC, 5.50%, 10/15/29
(b)(h)
      331       312,832  
Rockies Express Pipeline LLC, 4.95%, 07/15/29
(b)
      51       48,765  
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.88%, 11/01/28
(b)(h)
      389       403,090  
SM Energy Co.
     
6.75%, 09/15/26
(h)
      202       201,474  
6.63%, 01/15/27
      21       20,881  
6.50%, 07/15/28
(h)
      143       143,066  
Southwestern Energy Co.
     
5.70%, 01/23/25
      18       17,928  
5.38%, 02/01/29
      252       245,925  
4.75%, 02/01/32
      5       4,626  
Sunoco LP/Sunoco Finance Corp.
     
6.00%, 04/15/27
      63       63,054  
5.88%, 03/15/28
      124       123,835  
7.00%, 09/15/28
(b)
      192       198,100  
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
(b)
     
7.50%, 10/01/25
      13       13,065  
6.00%, 03/01/27
      41       40,093  
5.50%, 01/15/28
      108       102,061  
6.00%, 12/31/30
      3       2,789  
6.00%, 09/01/31
      131       121,166  
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28
      280       271,240  
Transocean Aquila Ltd., 8.00%, 09/30/28
(b)
      129       130,931  
Transocean Titan Financing Ltd., 8.38%, 02/01/28
(b)(h)
      175       181,560  
Transocean, Inc.
(b)(h)
     
7.50%, 01/15/26
      572       561,968  
11.50%, 01/30/27
      569       594,605  
8.00%, 02/01/27
      396       386,100  
 
 
88
 
2 0 2 3
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Oil, Gas & Consumable Fuels (continued)
                 
Transocean, Inc.
(b)(h)
(continued)
     
8.75%, 02/15/30
    USD       923     $ 964,732  
Valaris Ltd., 8.38%, 04/30/30
(b)(h)
      778       797,092  
Venture Global Calcasieu Pass LLC
(b)
     
3.88%, 08/15/29
(h)
      802       727,654  
4.13%, 08/15/31
      9       7,929  
3.88%, 11/01/33
(h)
      731       619,485  
Venture Global LNG, Inc.
(b)(h)
     
8.13%, 06/01/28
      799       806,908  
9.50%, 02/01/29
      2,303       2,436,959  
8.38%, 06/01/31
      1,395       1,394,278  
9.88%, 02/01/32
      1,104       1,149,969  
Vermilion Energy, Inc., 6.88%, 05/01/30
(b)
      159       152,647  
Vital Energy, Inc.
     
10.13%, 01/15/28
      272       279,496  
9.75%, 10/15/30
(h)
      327       338,991  
Western Midstream Operating LP
     
5.45%, 04/01/44
(h)
      209       189,209  
5.30%, 03/01/48
(h)
      199       173,175  
5.50%, 08/15/48
      99       88,289  
5.25%, 02/01/50
(h)
      413       370,280  
   
 
 
 
         46,034,403  
Passenger Airlines — 0.8%
                 
Air Canada, 3.88%, 08/15/26
(b)(h)
      464       443,301  
American Airlines, Inc., 8.50%, 05/15/29
(b)(h)
      459       484,704  
American Airlines, Inc./AAdvantage Loyalty IP Ltd.
(b)
     
5.50%, 04/20/26
      163       161,459  
5.75%, 04/20/29
      890       867,461  
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27
(b)(h)
      529       530,787  
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25
(b)
      161       115,786  
United Airlines Pass-Through Trust, Series 2020-1, Class B, 4.88%, 07/15/27
(h)
      30       29,446  
United Airlines, Inc.
(b)(h)
     
4.38%, 04/15/26
      514       500,844  
4.63%, 04/15/29
      690       645,312  
VistaJet Malta Finance PLC/Vista Management Holding, Inc., 7.88%, 05/01/27
(b)
      127       109,231  
   
 
 
 
        3,888,331  
Personal Care Products — 0.0%
                 
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 6.63%, 07/15/30
(b)(h)
      259       266,073  
   
 
 
 
Pharmaceuticals — 1.0%
                 
1375209 BC Ltd., 9.00%, 01/30/28
(b)
      271       264,252  
AbbVie, Inc., 4.25%, 11/14/28
(h)
      1,000       994,705  
Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28
(e)
    EUR       100       107,380  
CVS Health Corp., 3.75%, 04/01/30
(h)
    USD       1,000       940,703  
Gruenenthal GmbH, 4.13%, 05/15/28
(e)
    EUR       100       108,991  
Jazz Securities DAC, 4.38%, 01/15/29
(b)(h)
    USD       200       186,283  
Option Care Health, Inc.,
4.38%, 10/31/29
(b)(h)
      245       221,421  
Organon & Co./Organon Foreign Debt Co-Issuer BV
(b)(h)
     
4.13%, 04/30/28
      428       393,958  
5.13%, 04/30/31
      200       170,969  
PRA Health Sciences, Inc., 2.88%, 07/15/26
(b)(h)
      284       265,380  
Teva Pharmaceutical Finance Netherlands II BV, 7.38%, 09/15/29
    EUR       100       120,574  
Teva Pharmaceutical Finance Netherlands III BV
3.15%, 10/01/26
(h)
    USD       570       526,894  
Security
        
Par
(000)
   
Value
 
Pharmaceuticals (continued)
                 
Teva Pharmaceutical Finance Netherlands III BV (continued)
     
4.75%, 05/09/27
(h)
    USD       400     $ 383,684  
7.88%, 09/15/29
      200       214,616  
8.13%, 09/15/31
(h)
      200       217,356  
   
 
 
 
        5,117,166  
Professional Services — 0.2%
                 
CoreLogic, Inc., 4.50%, 05/01/28
(b)(h)
      962       842,722  
   
 
 
 
Real Estate Management & Development — 0.3%
 
Agps Bondco PLC
(e)(f)(i)
     
5.50%, 11/13/26
    EUR       100       38,086  
5.00%, 01/14/29
      100       35,216  
Anywhere Real Estate Group LLC/Anywhere Co.- Issuer Corp.
     
7.00%, 04/15/30
(h)
    USD       271       250,098  
7.00%, 04/15/30
(b)
      236       217,509  
Cushman & Wakefield U.S. Borrower LLC, 8.88%, 09/01/31
(b)
      181       191,818  
Fantasia Holdings Group Co. Ltd.
(e)(f)(i)
     
11.75%, 04/17/22
      400       9,000  
11.88%, 06/01/23
      200       4,500  
9.25%, 07/28/23
      200       4,500  
9.88%, 10/19/23
      200       4,500  
Howard Hughes Corp.
(b)
     
5.38%, 08/01/28
      65       62,473  
4.13%, 02/01/29
      149       132,865  
4.38%, 02/01/31
      100       86,725  
Realogy Group LLC/Realogy Co.-Issuer Corp., 5.75%, 01/15/29
(b)
      8       6,217  
Theta Capital Pte. Ltd., 8.13%, 01/22/25
(e)
      200       177,772  
Yanlord Land HK Co. Ltd., 6.80%, 02/27/24
(e)
      200       190,686  
   
 
 
 
        1,411,965  
Retail REITs — 0.0%
                 
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27
(b)
      160       144,000  
   
 
 
 
Semiconductors & Semiconductor Equipment — 1.2%
 
ams-OSRAM AG, 10.50%, 03/30/29
(e)
    EUR       100       119,751  
Broadcom, Inc., 4.11%, 09/15/28
(h)
    USD       1,594       1,556,294  
Entegris Escrow Corp., 4.75%, 04/15/29
(b)(h)
      2,192       2,111,803  
Entegris, Inc., 4.38%, 04/15/28
(b)
      169       160,830  
NCR Atleos Corp., 9.50%, 04/01/29
(b)
      250       265,624  
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25
      33       31,801  
QUALCOMM, Inc., 1.65%, 05/20/32
(h)
      1,779       1,450,979  
Synaptics, Inc., 4.00%, 06/15/29
(b)
      172       154,282  
   
 
 
 
         5,851,364  
Software — 2.8%
                 
ACI Worldwide, Inc., 5.75%, 08/15/26
(b)(h)
      444       441,023  
Alteryx, Inc., 8.75%, 03/15/28
(b)(h)
      276       293,767  
Boxer Parent Co., Inc.
     
6.50%, 10/02/25
(e)
    EUR       100       109,975  
7.13%, 10/02/25
(b)(h)
    USD       398       400,133  
9.13%, 03/01/26
(b)(h)
      803       801,235  
Capstone Borrower, Inc., 8.00%, 06/15/30
(b)(h)
      304       316,269  
Clarivate Science Holdings Corp.
(b)(h)
     
3.88%, 07/01/28
      757       713,771  
4.88%, 07/01/29
      992       930,827  
Cloud Software Group, Inc.
(b)(h)
     
6.50%, 03/31/29
      3,798       3,617,370  
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Software (continued)
                 
Cloud Software Group, Inc.
(b)(h)
(continued)
 
 
9.00%, 09/30/29
    USD       1,975     $ 1,877,145  
Consensus Cloud Solutions, Inc.
(b)
     
6.00%, 10/15/26
      71       67,510  
6.50%, 10/15/28
      64       58,052  
Crowdstrike Holdings, Inc., 3.00%, 02/15/29
      41       37,053  
Elastic NV, 4.13%, 07/15/29
(b)(h)
      376       345,261  
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL, 4.63%, 05/01/28
(b)(h)
      200       182,452  
McAfee Corp., 7.38%, 02/15/30
(b)(h)
      761       694,984  
MicroStrategy, Inc., 6.13%, 06/15/28
(b)(h)
      485       470,518  
Open Text Corp., 6.90%, 12/01/27
(b)(h)
      849       882,664  
Oracle Corp., 3.60%, 04/01/50
(h)
      785       581,455  
Playtika Holding Corp., 4.25%, 03/15/29
(b)
      78       68,059  
SS&C Technologies, Inc.,
5.50%, 09/30/27
(b)(h)
      1,110       1,094,163  
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25
(b)
      442       364,902  
   
 
 
 
        14,348,588  
Specialized REITs
(b)
— 0.2%
                 
Iron Mountain, Inc.
     
7.00%, 02/15/29
(h)
      748       768,852  
5.63%, 07/15/32
      19       17,987  
   
 
 
 
        786,839  
Specialty Retail
(b)(h)
— 0.3%
                 
Arko Corp., 5.13%, 11/15/29
      124       107,292  
eG Global Finance PLC, 12.00%, 11/30/28
      298       317,379  
PetSmart, Inc./PetSmart Finance Corp.
     
4.75%, 02/15/28
      343       323,375  
7.75%, 02/15/29
      587       571,044  
   
 
 
 
        1,319,090  
Technology Hardware, Storage & Peripherals
(b)(h)
— 0.2%
 
Seagate HDD Cayman
     
8.25%, 12/15/29
      499       538,185  
8.50%, 07/15/31
      474       514,434  
   
 
 
 
        1,052,619  
Textiles, Apparel & Luxury Goods
(b)
— 0.1%
 
Crocs, Inc., 4.25%, 03/15/29
      25       22,393  
Hanesbrands, Inc., 4.88%, 05/15/26
(h)
      136       131,187  
Kontoor Brands, Inc., 4.13%, 11/15/29
      98       88,420  
Levi Strauss & Co., 3.50%, 03/01/31
      16       13,854  
William Carter Co., 5.63%, 03/15/27
      160       158,000  
   
 
 
 
        413,854  
Transportation Infrastructure — 0.2%
       
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29
(b)
      200       198,460  
Azzurra Aeroporti SpA, 2.13%, 05/30/24
(e)
    EUR       100       109,170  
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27
(e)
    USD       200       183,070  
Heathrow Finance PLC, 4.13%, 09/01/29
(c)(e)
    GBP       100       110,098  
Transurban Finance Co. Pty. Ltd., 4.13%, 02/02/26
(b)(h)
    USD       435       424,973  
   
 
 
 
         1,025,771  
Water Utilities — 0.2%
                 
American Water Capital Corp., 4.45%, 06/01/32
(h)
      900       895,294  
   
 
 
 
Wireless Telecommunication Services — 1.0%
       
Altice France SA/France
     
5.88%, 02/01/27
(e)
    EUR       100       98,034  
8.13%, 02/01/27
(b)(h)
    USD       507       467,368  
Security
        
Par
(000)
   
Value
 
Wireless Telecommunication Services (continued)
 
Altice France SA/France (continued)
     
11.50%, 02/01/27
(e)(n)
    EUR       100     $ 110,671  
5.50%, 01/15/28
(b)(h)
    USD       381       313,782  
5.13%, 07/15/29
(b)(h)
      702       546,170  
5.50%, 10/15/29
(b)(h)
      372       291,694  
Cellnex Finance Co. SA, 1.25%, 01/15/29
(e)
    EUR       100       98,583  
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26
(b)(h)
    USD       1,366       1,357,817  
Eutelsat SA, 1.50%, 10/13/28
(e)
    EUR       100       82,796  
Hughes Satellite Systems Corp., 5.25%, 08/01/26
    USD       114       100,317  
Kenbourne Invest SA, 6.88%, 11/26/24
(b)
      275       190,352  
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23
(b)(d)(k)
      157       25,891  
Rogers Communications, Inc., 5.00%, 03/15/44
(h)
      545       512,171  
Vmed O2 U.K. Financing I PLC
     
4.00%, 01/31/29
(e)
    GBP       100       112,647  
4.50%, 07/15/31
(e)
      100       109,924  
4.75%, 07/15/31
(b)(h)
    USD       597       532,886  
   
 
 
 
        4,951,103  
   
 
 
 
Total Corporate Bonds — 74.5%
(Cost: $381,055,152)
         375,256,086  
   
 
 
 
Floating Rate Loan Interests
(a)
     
Aerospace & Defense — 2.0%
                 
Barnes Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.46%, 09/03/30
      384       385,219  
Bleriot U.S. Bidco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.61%, 10/31/28
      440       441,176  
Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.36%, 08/03/29
      383       376,282  
Cubic Corp.
     
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.90%, 05/25/28
      1,621       1,504,952  
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.90%, 05/25/28
      329       305,371  
Dynasty Acquisition Co., Inc., 2023 Term Loan B1, (1-mo. CME Term SOFR + 4.00%), 9.36%, 08/24/28
      1,797       1,800,790  
Peraton Corp.
     
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 13.22%, 02/01/29
      453       449,546  
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/01/28
      1,829       1,830,980  
Setanta Aircraft Leasing DAC, Term Loan B, (3-mo. CME Term SOFR + 2.00%), 7.61%, 11/05/28
      591       592,477  
Standard Aero Ltd., 2023 Term Loan B2,
(1-mo. CME Term SOFR + 4.00%), 9.36%, 08/24/28
      770       771,767  
TransDigm, Inc.
     
2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.60%, 08/24/28
      1,086       1,089,732  
2023 Term Loan J, (3-mo. CME Term SOFR at 1.00% Floor + 3.25%), 8.60%, 02/14/31
      534       536,002  
   
 
 
 
        10,084,294  
Air Freight & Logistics — 0.0%
                 
Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.60%, 03/17/30
      160       158,954  
   
 
 
 
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Automobile Components — 0.4%
 
Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.72%, 04/10/28
    USD       312     $ 312,379  
Clarios Global LP, 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.11%, 05/06/30
      1,218       1,219,470  
Tenneco, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 5.00%), 10.47%, 11/17/28
      574       504,799  
   
 
 
 
        2,036,648  
Automobiles — 0.2%
                 
Dealer Tire Financial LLC, Series B, Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.86%, 12/14/27
      821       822,791  
RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/08/28
      96       82,445  
   
 
 
 
        905,236  
Banks — 0.4%
                 
Ascensus Holdings, Inc.
     
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.18%, 08/02/29
      379       363,958  
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 08/02/28
      1,616       1,610,109  
   
 
 
 
        1,974,067  
Beverages — 0.7%
                 
Naked Juice LLC
     
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.45%, 01/24/30
      911       728,615  
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.70%, 01/24/29
      2,196       2,119,434  
Triton Water Holdings, Inc., Term Loan,
(3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.86%, 03/31/28
      641       633,894  
   
 
 
 
         3,481,943  
Broadline Retail — 0.7%
                 
New SK Holdco Sub LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 13.71%, 06/30/27
(k)
      1,200       1,189,485  
PUG LLC
     
2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.72%, 02/12/27
(d)
      110       108,385  
USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 02/12/27
      1,699       1,668,674  
Sally Holdings LLC, 2023 CovLite Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.61%, 02/28/30
      289       289,629  
Woof Holdings, Inc., 1st Lien Term Loan,
(3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.36%, 12/21/27
      157       126,627  
   
 
 
 
        3,382,800  
Building Products — 0.8%
                 
AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 05/13/29
      109       109,736  
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.97%, 05/19/28
      606       608,433  
Security
        
Par
(000)
   
Value
 
Building Products (continued)
 
LBM Acquisition LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 12/17/27
    USD       389     $ 383,737  
SRS Distribution, Inc.
     
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 06/02/28
      1,801       1,801,870  
2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.96%, 06/02/28
      403       402,224  
White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.11%, 10/19/27
      932       933,217  
   
 
 
 
         4,239,217  
Capital Markets — 1.2%
                 
Aretec Group, Inc., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.96%, 08/09/30
      302       301,588  
Axalta Coating Systems U.S. Holdings, Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.85%, 12/20/29
      755       756,890  
Azalea Topco, Inc.
     
2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 07/24/26
      326       321,237  
Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 07/24/26
      977       965,638  
Castlelake Aviation One DAC
     
2023 Incremental Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.13%, 10/22/27
      321       320,962  
Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.40%, 10/22/26
      1,030       1,030,981  
Focus Financial Partners LLC
     
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 06/30/28
      619       618,073  
2023 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 06/30/28
      401       401,496  
ION Trading Finance Ltd., 2021 USD Term Loan, (3-mo. CME Term SOFR + 4.75%), 10.20%, 04/03/28
      296       295,242  
Osaic Holdings, Inc., 2023 Term Loan B, (1-mo.
     
CME Term SOFR + 4.50%), 9.86%, 08/17/28
      924       926,207  
   
 
 
 
        5,938,314  
Chemicals — 2.5%
                 
Arc Falcon I, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 09/30/28
      582       574,712  
Aruba Investments Holdings LLC, 2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.46%, 11/24/27
      332       326,480  
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.32%, 08/27/26
      482       461,552  
Chemours Co., 2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 8.86%, 08/18/28
      605       602,672  
CPC Acquisition Corp., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.36%, 12/29/27
      251       201,372  
Derby Buyer LLC, USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 11/01/30
(d)
      1,031       1,031,000  
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Chemicals (continued)
                 
Discovery Purchaser Corp., Term Loan,
(3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.77%, 10/04/29
    USD       471     $ 463,605  
Ecovyst Catalyst Technologies LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.98%, 06/09/28
      660       660,326  
Element Solutions, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.36%, 12/18/30
(d)
      1,014       1,016,715  
HB Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.61%, 02/15/30
      316       316,928  
Herens U.S. Holdco Corp., USD Term Loan B, (3- mo. CME Term SOFR + 3.93%), 9.37%, 07/03/28
      573       517,526  
INEOS U.S. Finance LLC, 2023 USD Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.86%, 02/18/30
      297       296,510  
LSF11 A5 Holdco LLC
     
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.71%, 10/15/28
      147       147,506  
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 10/15/28
      884       884,559  
Lummus Technology Holdings V LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 06/30/27
      158       158,249  
Momentive Performance Materials Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.86%, 03/29/28
      1,167       1,125,610  
Nouryon USA LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.47%, 04/03/28
      470       470,960  
Olympus Water U.S. Holding Corp., 2023 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.35%, 11/09/28
      475       476,590  
OQ Chemicals Corp., 2017 USD Term Loan B2, (3-mo. CME Term SOFR + 3.60%), 9.01%, 10/14/24
      826       797,469  
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 03/16/27
      425       425,484  
Sparta U.S. HoldCo LLC, 2021 Term Loan,
(1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.71%, 08/02/28
      791       788,684  
WR Grace Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.36%, 09/22/28
      814       814,836  
   
 
 
 
         12,559,345  
Commercial Services & Supplies — 1.6%
 
Action Environmental Group, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.88%, 10/24/30
(d)
      313       313,770  
Albion Financing 3 SARL, USD Term Loan, (3-mo. CME Term SOFR + 5.25%), 10.92%, 08/17/26
      916       919,943  
Allied Universal Holdco LLC
     
2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 05/12/28
      1,576       1,567,450  
Security
        
Par
(000)
   
Value
 
Commercial Services & Supplies (continued)
 
Allied Universal Holdco LLC (continued)
     
2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.11%, 05/12/28
    USD       168     $ 168,340  
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.36%, 02/15/29
      323       322,595  
PECF USS Intermediate Holding III Corp., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.89%, 12/15/28
      527       408,279  
Prime Security Services Borrower LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.84%, 10/14/30
      448       449,048  
Tempo Acquisition LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.11%, 08/31/28
      2,261       2,268,819  
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.46%, 11/02/27
      969       933,742  
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.47%, 07/30/28
      526       522,531  
   
 
 
 
        7,874,517  
Communications Equipment — 0.4%
                 
Ciena Corp., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.36%, 10/24/30
      837       838,825  
Viasat, Inc.
     
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 05/30/30
      396       387,593  
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.86%, 03/02/29
      615       601,838  
   
 
 
 
        1,828,256  
Construction & Engineering — 0.7%
                 
Brand Industrial Services, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.50%), 10.88%, 08/01/30
      2,018       2,003,932  
Legence Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.96%, 12/16/27
      254       254,004  
Pike Corp., 2021 Incremental Term Loan B,
(1-mo. CME Term SOFR + 3.00%), 8.47%, 01/21/28
      424       424,966  
USIC Holdings, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 9.11%, 05/12/28
      700       693,023  
   
 
 
 
        3,375,925  
Construction Materials — 1.9%
                 
ACProducts Holdings, Inc., 2021 Term Loan B,
(3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.86%, 05/17/28
      686       599,748  
American Builders & Contractors Supply Co., Inc., Series A, 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.46%, 01/15/27
      761       762,473  
Chariot Buyer LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 11/03/28
      1,574       1,569,033  
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 04/12/28
      75       75,086  
CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 11/23/27
      722       708,383  
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Construction Materials (continued)
 
CP Iris Holdco I, Inc.
     
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 10/02/28
    USD       165     $ 164,507  
Class DD, 2021 Delayed Draw Term Loan, (1- mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.00%, 10/02/28
      1       1,450  
CPG International LLC, 2022 Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.96%, 04/28/29
      356       355,678  
Emerald Debt Merger Sub LLC, Term Loan B, (1- mo. CME Term SOFR + 3.00%), 8.36%, 05/31/30
      474       475,177  
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27
      187       187,493  
Jeld-Wen, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.72%, 07/28/28
      331       331,273  
New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.36%, 03/08/29
      390       335,319  
Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.95%, 04/29/29
      491       485,266  
Quikrete Holdings, Inc., 2023 Term Loan B,
(1-mo. CME Term SOFR + 2.75%), 8.22%, 03/19/29
      313       314,189  
Smyrna Ready Mix Concrete LLC, Term Loan B, 04/02/29
(o)
      279       279,088  
Standard Industries, Inc./New Jersey, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 09/22/28
      660       660,949  
Summit Materials LLC, 2023 Incremental Term Loan B, 11/30/28
(o)
      372       373,164  
Wilsonart LLC, 2021 Term Loan E, (3-mo. CME Term SOFR at 1.00% Floor + 3.25%), 8.70%, 12/31/26
      1,451       1,452,973  
Zurn LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.47%, 10/04/28
      389       390,961  
   
 
 
 
         9,522,210  
Consumer Finance — 0.6%
                 
GTCR W Merger Sub LLC, USD Term Loan B, 09/20/30
(o)
      833       836,124  
Trans Union LLC
     
2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 7.21%, 11/16/26
      743       743,779  
2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 12/01/28
      1,077       1,079,126  
WEX, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.72%, 03/31/28
      425       425,926  
   
 
 
 
        3,084,955  
Consumer Staples Distribution & Retail — 0.2%
 
U.S. Foods, Inc.
     
2019 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.47%, 09/13/26
      582       583,075  
2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.97%, 11/22/28
      377       377,858  
   
 
 
 
        960,933  
Security
        
Par
(000)
   
Value
 
Containers & Packaging — 0.8%
 
Charter Next Generation, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 12/01/27
    USD       1,888     $ 1,894,065  
LABL, Inc., 2021 USD 1st Lien Term Loan,
(1-mo.
CME
Term SOFR at 0.50% Floor + 5.00%), 10.46%, 10/29/28
      602       575,804  
Mauser Packaging Solutions Holding Co., Term Loan B,
(1-mo. CME Term SOFR + 4.00%), 9.34%, 08/14/26
      654       656,284  
Pactiv Evergreen Group Holdings Inc, 2020 Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.72%, 02/05/26
      142       142,854  
Pregis TopCo Corp., 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.11%, 07/31/26
      134       134,202  
Reynolds Consumer Products LLC, Term Loan, (1-mo. CME Term SOFR + 1.75%), 7.21%, 02/04/27
      121       120,722  
Trident TPI Holdings, Inc., 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.61%, 09/15/28
      625       622,484  
   
 
 
 
         4,146,415  
Distributors — 0.2%
                 
PAI Holdco, Inc., 2020 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.39%, 10/28/27
      836       778,164  
   
 
 
 
Diversified Consumer Services — 1.1%
                 
Ascend Learning LLC
     
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 11.21%, 12/10/29
      226       193,253  
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 12/11/28
      492       482,666  
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 11/24/28
      857       855,609  
KUEHG Corp., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.35%, 06/12/30
      680       682,458  
Learning Care Group U.S. No. 2, Inc., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.13%, 08/11/28
      111       111,221  
Sotheby’s, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 10.16%, 01/15/27
      1,195       1,177,606  
Spring Education Group, Inc., Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.85%, 10/04/30
      799       801,422  
Wand NewCo 3, Inc., 2020 Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.22%, 02/05/26
      1,218       1,220,695  
   
 
 
 
        5,524,930  
Diversified Telecommunication Services — 0.8%
 
Consolidated Communications, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.97%, 10/02/27
      349       323,674  
Level 3 Financing, Inc., 2023 TSA Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27
(d)
      734       697,104  
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Diversified Telecommunication Services (continued)
 
Lumen Technologies, Inc., 2023 TSA Term Loan B, (3-mo. CME Term SOFR + 2.25%), 7.71%, 03/15/27
(d)
    USD       991     $ 673,915  
ORBCOMM, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.81%, 09/01/28
      382       361,622  
Zayo Group Holdings, Inc., USD Term Loan,
(1-mo. CME Term SOFR + 3.00%), 8.47%, 03/09/27
      2,372       2,030,207  
   
 
 
 
        4,086,522  
Electronic Equipment, Instruments & Components — 0.4%
 
Coherent Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 07/02/29
      587       587,944  
MX Holdings U.S., Inc., 2023 USD Term Loan B1D, 07/31/28
(o)
      105       105,197  
Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.35%, 11/22/29
      1,355       1,357,296  
   
 
 
 
         2,050,437  
Energy Equipment & Services — 0.0%
 
Lealand Finance Co. BV
     
2020 Make Whole Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.47%, 06/28/24
(d)
      16       10,570  
2020 Take Back Term Loan, (1-mo. CME Term SOFR + 4.00%), 6.47%, 06/30/25
      117       45,947  
   
 
 
 
        56,517  
Entertainment — 2.2%
                 
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 04/22/26
      660       549,728  
Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.70%, 05/24/29
      45       45,510  
Cirque Du Soleil Holding USA Newco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.60%, 03/08/30
      637       633,786  
Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.86%, 11/27/28
      1,407       1,411,539  
Delta 2 Lux SARL, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.60%, 01/15/30
      1,024       1,025,925  
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.71%, 03/24/25
      1,036       1,031,898  
Live Nation Entertainment, Inc., Term Loan B4, (1- mo. CME Term SOFR + 1.75%), 7.21%, 10/19/26
      1,708       1,704,409  
SMG U.S. Midco 2, Inc., 2020 Term Loan,
(3-mo. CME Term SOFR + 2.50%), 8.14%, 01/23/25
      888       887,733  
UFC Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.40%, 04/29/26
      792       794,448  
Security
        
Par
(000)
   
Value
 
Entertainment (continued)
 
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.22%, 05/18/25
    USD       1,709     $ 1,712,751  
WMG Acquisition Corp., 2021 Term Loan G,
(1-mo. CME Term SOFR + 2.13%), 7.60%, 01/20/28
      1,432       1,431,410  
   
 
 
 
        11,229,137  
Environmental, Maintenance & Security Service — 0.3%
 
Clean Harbors, Inc., 2021 Incremental Term Loan B, 10/08/28
(o)
      418       418,077  
Covanta Holding Corp.
     
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 11/30/28
      36       36,430  
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 11/30/28
      478       477,827  
GFL Environmental, Inc., 2023 First Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.91%, 05/31/27
      344       344,853  
   
 
 
 
        1,277,187  
Financial Services — 1.4%
                 
Belron Finance U.S. LLC
     
2018 Term Loan B, (3-mo. CME Term SOFR + 2.25%), 7.88%, 11/13/25
      177       176,700  
2019 USD Term Loan B3, (3-mo. CME Term SOFR + 2.25%), 7.90%, 10/30/26
      571       571,477  
2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.43%), 8.07%, 04/13/28
      913       913,615  
2023 USD Term Loan, 04/13/28
(d)(o)
      731       732,801  
Belron Luxembourg SARL, 2023 Term Loan,
(3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 8.00%, 04/18/29
      218       218,623  
Cogeco Financing 2 LP, 2023 Term Loan B,
(3-mo. CME Term SOFR + 2.50%), 7.88%, 09/29/28
      665       652,678  
Deerfield Dakota Holding LLC
     
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 9.10%, 04/09/27
      2,774       2,743,460  
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.36%, 04/07/28
      792       753,390  
GIP Pilot Acquisition Partners LP, Term Loan,
(3-mo. CME Term SOFR + 3.00%), 8.39%, 10/04/30
      149       148,876  
UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. CME Term SOFR + 3.00%), 8.48%, 01/31/29
      341       339,788  
   
 
 
 
        7,251,408  
Food Products — 1.9%
                 
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.22%, 10/01/25
      825       789,051  
Aramark Services, Inc.
     
2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.97%, 04/06/28
      383       383,125  
2023 Term Loan B6, (1-mo. CME Term SOFR + 2.50%), 7.97%, 06/22/30
      513       513,720  
B&G Foods, Inc., 2019 Term Loan B4, (1-mo. CME Term SOFR + 2.50%), 7.86%, 10/10/26
      128       126,970  
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Food Products (continued)
 
Chobani LLC
     
2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.97%, 10/25/27
    USD       1,875     $ 1,875,542  
2023 Incremental Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.11%, 10/25/27
      550       550,456  
Froneri U.S., Inc., 2020 USD Term Loan,
(1-mo. CME Term SOFR + 2.25%), 7.71%, 01/29/27
      1,972       1,972,924  
H-Food Holdings LLC, 2018 Term Loan B,
(3-mo. CME Term SOFR + 3.69%), 9.27%, 05/23/25
      233       185,159  
Nomad Foods U.S. LLC, Term Loan B4, (6-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 11/13/29
      582       582,888  
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 9.14%, 06/08/28
      1,252       1,255,035  
UTZ Quality Foods LLC, 2021 Term Loan B,
(3-mo. CME Term SOFR + 3.00%), 8.64%, 01/20/28
      1,369       1,369,457  
   
 
 
 
         9,604,327  
Ground Transportation — 0.4%
 
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan,
(1-mo.
CME Term SOFR at 0.75% Floor + 4.75%), 10.10%, 04/06/28
      271       268,060  
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.22%, 08/06/27
      478       476,651  
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3-mo. CME Term SOFR + 5.50%), 11.15%, 08/04/25
      361       317,240  
Uber Technologies, Inc., 2023 Term Loan B,
(3-mo. CME Term SOFR + 2.75%), 8.13%, 03/03/30
      1,055       1,057,716  
   
 
 
 
        2,119,667  
Health Care Equipment & Supplies — 1.6%
 
Avantor Funding, Inc., 2021 Term Loan B5,
(1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 11/08/27
      746       747,515  
Bausch & Lomb Corp., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.36%, 09/29/28
      459       457,129  
Bausch and Lomb, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 05/10/27
      1,309       1,292,038  
Curia Global, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.23%, 08/30/26
      92       82,483  
Femur Buyer, Inc., 1st Lien Term Loan, (3-mo. CME Term SOFR + 4.50%), 10.11%, 03/05/26
      435       389,996  
Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.72%, 05/04/28
      281       281,350  
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.40%, 10/19/27
      1,010       980,886  
Medline Borrower LP, USD Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 10/23/28
      2,829       2,840,448  
Sotera Health Holdings LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.39%, 12/11/26
      1,090       1,088,407  
   
 
 
 
        8,160,252  
Security
        
Par
(000)
   
Value
 
Health Care Providers & Services — 2.2%
 
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.47%, 02/22/28
    USD       1,027     $ 1,004,997  
CHG Healthcare Services, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 09/29/28
      459       459,476  
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.93%, 11/08/27
      951       952,291  
Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 11/01/28
      1,224       1,225,764  
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.97%, 02/04/27
      484       482,269  
EyeCare Partners LLC
     
2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.39%, 02/18/27
      846       409,318  
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.75%), 12.39%, 11/15/29
      176       47,067  
2021 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.39%, 11/15/28
      193       92,227  
Fortrea Holdings, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 07/01/30
      211       210,588  
ICON Luxembourg SARL, LUX Term Loan,
(3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.86%, 07/03/28
      893       895,389  
IQVIA, Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR + 2.00%), 7.35%, 01/02/31
      653       654,868  
MED ParentCo LP, 1st Lien Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.72%, 08/31/26
      166       163,719  
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.46%, 11/01/29
      247       207,171  
Phoenix Newco, Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 11/15/28
      1,499       1,507,028  
Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.45%, 11/18/27
      622       612,747  
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 11/01/28
      484       450,699  
Star Parent, Inc., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.35%, 09/27/30
      444       438,263  
Surgery Center Holdings, Inc., 2023 Term Loan, (SOFR CME + 3.50%), 8.86%, 12/19/30
      627       628,632  
Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 05/16/29
      125       125,274  
WCG Intermediate Corp., 2019 Term Loan,
(1-mo. CME Term SOFR at 1.00% Floor + 4.00%), 9.47%, 01/08/27
      626       626,415  
   
 
 
 
         11,194,202  
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Health Care Technology — 0.9%
       
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 02/15/29
    USD       1,665     $ 1,655,756  
Gainwell Acquisition Corp., Term Loan B,
(3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.45%, 10/01/27
      1,504       1,458,637  
Verscend Holding Corp., 2021 Term Loan B,
(1-mo. CME Term SOFR + 4.00%), 9.47%, 08/27/25
      1,248       1,249,446  
   
 
 
 
        4,363,839  
Hotel & Resort REITs — 0.1%
       
RHP Hotel Properties LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.11%, 05/18/30
      420       419,949  
   
 
 
 
Hotels, Restaurants & Leisure — 4.2%
       
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.22%, 02/02/26
      1,036       961,069  
Alterra Mountain Co., 2023 Term Loan B,
(1-mo. CME Term SOFR + 3.75%), 9.21%, 05/31/30
(d)
      316       317,591  
Bally’s Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.93%, 10/02/28
      401       379,526  
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., 2023 Term Loan B5, (1-mo. CME Term SOFR + 2.25%), 7.61%, 09/20/30
      1,368       1,367,914  
Caesars Entertainment, Inc., Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 02/06/30
      587       587,394  
Carnival Corp., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.36%, 08/08/27
      641       641,067  
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.46%, 03/17/28
      753       751,600  
City Football Group Ltd., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 07/21/28
      926       919,872  
ECL Entertainment, LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.11%, 08/31/30
      247       247,565  
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.00%), 8.61%, 03/08/24
      1,823       1,779,700  
Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.36%, 01/27/29
      2,351       2,350,770  
Flutter Financing BV
     
2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.86%, 07/22/28
      258       258,292  
Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.70%, 11/25/30
      1,689       1,690,402  
Four Seasons Hotels Ltd., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.96%, 11/30/29
      1,350       1,353,560  
Hilton Domestic Operating Co., Inc., 2023 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.46%, 11/08/30
      1,350        1,354,468  
Security
        
Par
(000)
   
Value
 
Hotels, Restaurants & Leisure (continued)
       
IRB Holding Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.46%, 12/15/27
    USD       1,396     $ 1,396,783  
Light & Wonder International, Inc., 2022 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.46%, 04/14/29
      623       623,968  
Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.71%, 03/09/28
      491       306,834  
Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.21%, 05/03/29
      793       793,504  
Playa Resorts Holding BV, 2022 Term Loan B, (SOFR CME + 4.25%, 0.50% Floor), 9.61%, 01/05/29
      224       216,969  
SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 08/25/28
      302       302,138  
Station Casinos LLC, 2020 Term Loan B,
(1-mo. CME Term SOFR at 0.25% Floor + 2.25%), 7.71%, 02/08/27
      1,017       1,018,367  
Whatabrands LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 08/03/28
      1,234       1,234,947  
Wyndham Hotels & Resorts, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.71%, 05/24/30
      198       198,638  
   
 
 
 
         21,052,938  
Household Durables — 1.0%
 
AI Aqua Merger Sub, Inc., 2023 Incremental Term Loan, 07/31/28
(o)
      901       904,099  
Hunter Douglas, Inc., USD Term Loan B1,
(3-mo. CME Term SOFR + 3.50%), 8.88%, 02/26/29
      1,391       1,383,952  
Serta Simmons Bedding, LLC, 2023 New Term Loan, (3-mo. CME Term SOFR + 7.50%), 12.96%, 06/29/28
      200       189,230  
Stitch Aquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.36%, 07/28/28
      258       136,772  
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 10/06/28
      1,312       1,173,671  
Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 10/30/27
      1,669       1,453,694  
   
 
 
 
        5,241,418  
Independent Power and Renewable Electricity Producers — 0.3%
 
Calpine Construction Finance Co. LP, 2023 Refinancing Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.61%, 07/31/30
      610       609,011  
Calpine Corp., 2019 Term Loan B10, (1-mo. CME Term SOFR + 2.00%), 7.47%, 08/12/26
      281       281,518  
Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 8.15%, 12/15/27
      632       631,256  
   
 
 
 
        1,521,785  
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Industrial Conglomerates — 0.1%
 
JFL-Tiger Acquisition Co., Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.40%, 10/17/30
    USD       288     $ 288,000  
   
 
 
 
Insurance — 2.8%
                 
Alliant Holdings Intermediate LLC, 2023 Term Loan B6, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 11/06/30
      3,702       3,714,330  
AmWINS Group, Inc.
     
2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.25%), 7.72%, 02/19/28
      1,103       1,103,544  
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.22%, 02/19/28
      223       223,133  
AssuredPartners, Inc.
     
2020 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.97%, 02/12/27
      1,078       1,079,205  
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 02/12/27
      280       280,065  
2023 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.22%, 02/12/27
      128       127,862  
Baldwin Risk Partners, LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 10/14/27
      224       223,572  
HUB International Ltd.
     
2022 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.37%, 11/10/29
      303       303,900  
2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.66%, 06/20/30
      1,832       1,839,046  
Jones Deslauriers Insurance Management, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.62%, 03/15/30
      587       588,714  
Ryan Specialty Group LLC, Term Loan,
(1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.46%, 09/01/27
      643       641,752  
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.11%, 02/24/28
      1,853       1,856,991  
USI, Inc./New York
     
2023 Acquisition Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.60%, 09/27/30
      250       250,450  
2023 Refi Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.61%, 09/27/30
      287       287,052  
2023 Term Loan B, (SOFR CME + 3.75%, 0.50% Floor), 8.38%, 11/22/29
      1,531       1,532,380  
   
 
 
 
         14,051,996  
Interactive Media & Services — 0.4%
 
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.50%, 02/16/28
      207       206,068  
Adevinta ASA, USD Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.36%, 06/26/28
      315       315,278  
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.47%, 10/30/26
      1,057       1,058,416  
Security
        
Par
(000)
   
Value
 
Interactive Media & Services (continued)
 
Grab Holdings, Inc., Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.97%, 01/29/26
    USD       473     $ 474,428  
Research Now Group, Inc., 2017 1st Lien Term Loan, 12/20/24
(o)
     
(p)
 
    1  
   
 
 
 
        2,054,191  
Internet Software & Services — 0.2%
                 
Gen Digital, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.46%, 09/12/29
      832       832,473  
   
 
 
 
IT Services — 2.1%
                 
Asurion LLC
     
2020 Term Loan B8, (1-mo. CME Term SOFR + 3.25%), 8.71%, 12/23/26
      838       835,073  
2021 2nd Lien Term Loan B3, (1-mo. CME Term SOFR + 5.25%), 10.72%, 01/31/28
      364       346,102  
2021 Second Lien Term Loan B4, (1-mo. CME Term SOFR + 5.25%), 10.72%, 01/20/29
      538       505,887  
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.25%), 9.71%, 08/19/28
      670       666,581  
Camelot Finance SA, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 10/30/26
      926       926,688  
Central Parent, Inc., 2023 Term Loan B,
(3-mo. CME Term SOFR + 4.00%), 9.35%, 07/06/29
      1,597       1,603,303  
Dun & Bradstreet Corp.
     
2022 Incremental Term Loan B2, (1-mo. CME Term SOFR + 3.00%), 8.36%, 01/18/29
      301       301,084  
2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.21%, 02/06/26
      1,936       1,939,118  
Epicor Software Corp., 2020 Term Loan,
(1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 07/30/27
      284       284,853  
Go Daddy Operating Co. LLC
     
2021 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.47%, 08/10/27
      814       815,396  
2022 Term Loan B5, (1-mo. CME Term SOFR + 2.50%), 7.86%, 11/09/29
      649       650,146  
Magenta Buyer LLC
     
2021 USD 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.64%, 07/27/28
      1,007       707,459  
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.25%), 13.89%, 07/27/29
      936       355,580  
Venga Finance SARL, 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.40%, 06/28/29
      416       410,843  
   
 
 
 
         10,348,113  
Leisure Products — 0.2%
                 
Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.46%, 12/01/28
(d)
      295       287,752  
Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.48%, 05/25/27
      307       307,897  
Topgolf Callaway Brands Corp., Term Loan B, (1- mo. CME Term SOFR + 3.50%), 8.96%, 03/15/30
      526       525,478  
   
 
 
 
        1,121,127  
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Machinery — 2.5%
 
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.36%, 06/23/28
    USD       942     $ 939,929  
Columbus McKinnon Corp./New York, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.39%, 05/14/28
      139       139,351  
Doosan Bobcat North America, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.95%, 04/20/29
      144       143,643  
Filtration Group Corp.
     
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 10/21/28
      488       487,939  
2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.72%, 10/21/28
      1,099       1,102,295  
Gardner Denver, Inc., 2020 USD Term Loan B2, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27
      873       874,284  
Gates Global LLC, 2021 Term Loan B3,
(1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.96%, 03/31/27
      1,195       1,196,136  
Generac Power Systems, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.19%, 12/13/26
      155       154,806  
Madison IAQ LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 06/21/28
      1,817       1,808,788  
SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 04/05/29
      1,195       1,197,981  
Titan Acquisition Ltd./Canada, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 03/28/25
      1,794       1,790,227  
Vertical U.S. Newco, Inc., Term Loan B,
(6-mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.38%, 07/30/27
      1,601       1,603,466  
Vertiv Group Corp., 2023 Term Loan B, (SOFR CME + 2.50%), 7.97%, 03/02/27
      1,220       1,223,377  
     
 
 
 
         12,662,222  
Media — 2.0%
                 
A L Parent LLC, 2023 Take Back Term Loan, (1-mo. CME Term SOFR at 2.00% Floor + 5.50%), 10.86%, 06/30/28
      204       196,417  
ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 12/21/28
      623       628,263  
Altice Financing SA
     
2017 USD Term Loan B, (3-mo. LIBOR US + 2.75%), 8.41%, 07/15/25
      431       427,077  
USD 2017 1st Lien Term Loan, (3-mo. LIBOR US + 2.75%), 8.41%, 01/31/26
      519       512,177  
AVSC Holding Corp.
     
2020 Term Loan B1, (1-mo. CME Term SOFR at 1.00% Floor + 3.25%, 0.25% PIK), 9.21%, 03/03/25
(k)
      646       631,411  
2020 Term Loan B3, (3-mo. LIBOR US + 5.00%), 5.00%, 10/15/26
      399       405,025  
Charter Communications Operating, LLC, 2023 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.36%, 12/07/30
      646       642,962  
Security
        
Par
(000)
   
Value
 
Media (continued)
                 
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.14%, 08/21/26
    USD       654     $ 646,371  
CSC Holdings LLC, 2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.98%, 04/15/27
      857       809,731  
DirecTV Financing LLC, Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.65%, 08/02/27
      1,083       1,081,704  
NEP Group, Inc., 2018 1st Lien Term Loan,
(3-mo. CME Term SOFR + 3.25%), 8.72%, 10/20/25
      743       700,464  
Radiate Holdco LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 09/25/26
      1,607       1,280,648  
Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.75%), 9.21%, 04/21/29
      465       377,141  
Virgin Media Bristol LLC, 2020 USD Term Loan Q, (1-mo. CME Term SOFR + 3.25%), 8.73%, 01/31/29
      607       604,997  
Voyage Digital NZ, USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.37%, 05/11/29
(d)
      403       402,358  
Ziggo Financing Partnership, USD Term Loan I, (1-mo. CME Term SOFR + 2.50%), 7.98%, 04/30/28
      510       507,996  
     
 
 
 
        9,854,742  
Oil, Gas & Consumable Fuels — 1.1%
                 
Freeport LNG Investments LLLP, Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.18%, 12/21/28
      1,768       1,763,714  
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 09/19/29
      102       101,808  
Medallion Midland Acquisition LP, 2021 Term Loan, (SOFR CME + 3.75%), 8.86%, 10/18/28
      1,060       1,063,455  
New Fortress Energy, Inc., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.39%, 10/27/28
      953       936,322  
Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 10/05/28
      1,471       1,473,415  
     
 
 
 
         5,338,714  
Paper & Forest Products — 0.2%
                 
Asplundh Tree Expert LLC, 2021 Term Loan B, (1- mo. CME Term SOFR + 1.75%), 7.21%, 09/07/27
      1,039       1,039,565  
     
 
 
 
Passenger Airlines — 1.6%
                 
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3- mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.43%, 04/20/28
      1,352       1,387,234  
Air Canada, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 9.14%, 08/11/28.
      1,160       1,162,337  
American Airlines, Inc.
     
2023 1st Lien Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.87%, 06/04/29
      213       213,266  
Series AA, 2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.75%), 7.11%, 01/29/27
      1,572       1,555,862  
Series AA, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.60%, 02/15/28
      1,148       1,146,103  
 
 
98
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Passenger Airlines (continued)
                 
Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 5.25%), 10.77%, 06/21/27
    USD       1,079     $ 1,114,171  
United Airlines, Inc., 2021 Term Loan B,
(1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 04/21/28
      1,314       1,317,222  
WestJet Airlines Ltd., Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.46%, 12/11/26
      421       419,379  
   
 
 
 
        8,315,574  
Personal Care Products — 0.8%
                 
Sunshine Luxembourg VII SARL, 2021 USD Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.95%, 10/01/26
      3,887       3,903,271  
   
 
 
 
Pharmaceuticals — 1.2%
                 
Amneal Pharmaceuticals LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 5.50%), 10.86%, 05/04/28
      669       656,582  
Amynta Agency Borrower, Inc., 2023 1st Lien Term Loan B, (SOFR CME + 4.25%), 9.61%
      894       893,610  
Bausch Health Americas, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.71%, 02/01/27
      563       456,876  
Elanco Animal Health, Inc., Term Loan B,
(1-mo. CME Term SOFR + 1.75%), 7.19%, 08/01/27
      1,082       1,074,436  
Jazz Financing Lux SARL, USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 05/05/28
      1,066       1,070,729  
Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 10/27/28
      607       609,103  
Organon & Co., USD Term Loan,
(1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 06/02/28
      825       825,941  
Perrigo Investments LLC, Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 04/20/29
      469       467,055  
PRA Health Sciences, Inc., US Term Loan,
(3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.86%, 07/03/28
      223       223,087  
   
 
 
 
         6,277,419  
Professional Services — 1.4%
                 
AlixPartners LLP, 2021 USD Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 02/04/28
      1,060       1,062,473  
ASGN, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.61%, 08/30/30
      203       204,202  
CoreLogic, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 06/02/28
      2,195       2,130,544  
Element Materials Technology Group U.S. Holdings, Inc.
     
2022 USD Delayed Draw Term Loan,
(3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.70%, 07/06/29
      307       303,128  
2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.70%, 07/06/29
      664       656,776  
Security
        
Par
(000)
   
Value
 
Professional Services (continued)
                 
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 7.21%, 04/28/28
    USD       938     $ 937,728  
Galaxy U.S. Opco, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.13%, 04/29/29
(d)
      977       800,887  
VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.71%, 02/28/27
      1,051       1,051,983  
   
 
 
 
        7,147,721  
Real Estate Management & Development — 0.2%
 
Cushman & Wakefield U.S. Borrower LLC
     
2020 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.22%, 08/21/25
      47       46,779  
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 01/31/30
      593       587,408  
2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.36%, 01/31/30
(d)
      445       443,888  
   
 
 
 
        1,078,075  
Semiconductors & Semiconductor Equipment — 0.2%
 
MKS Instruments, Inc., 2023 Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 08/17/29
      916       916,965  
Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.87%, 12/02/28
      250       248,598  
   
 
 
 
         1,165,563  
Software — 5.8%
                 
Applied Systems, Inc.
     
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.10%, 09/17/27
      90       90,386  
2022 Extended 1st Lien Term Loan,
(3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.85%, 09/18/26
      244       244,545  
Barracuda Networks, Inc., 2022 Term Loan,
(3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.88%, 08/15/29
      474       461,500  
CCC Intelligent Solutions, Inc., Term Loan,
(1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 09/21/28
      719       718,874  
Cloud Software Group, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.95%, 03/30/29
      3,503       3,414,899  
Cloudera, Inc.
     
2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.46%, 10/08/29
      457       435,672  
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 10/08/28
      376       372,100  
Cornerstone OnDemand, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.22%, 10/16/28
      326       315,175  
Delta TopCo, Inc., 2020 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.62%, 12/01/28
      186       185,954  
E2open LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 02/04/28
      111       111,408  
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Software (continued)
                 
Genesys Cloud Services Holdings II LLC,
     
2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 12/01/27
    USD       1,542     $ 1,546,750  
Helios Software Holdings, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.70%, 07/18/30
      555       553,223  
Informatica LLC, 2021 USD Term Loan B,
(1-mo. CME Term SOFR + 2.75%), 8.22%, 10/27/28
      1,221       1,222,290  
McAfee Corp., 2022 USD Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.19%, 03/01/29
      1,617       1,606,259  
MH Sub I LLC
     
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.61%, 02/23/29
      1,005       932,495  
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.61%, 05/03/28
      2,646       2,596,961  
Playtika Holding Corp., 2021 Term Loan,
(1-mo. CME Term SOFR + 2.75%), 8.22%, 03/13/28
      890       887,783  
Polaris Newco LLC, USD Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.47%, 06/02/28
      2,468       2,431,720  
Proofpoint, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 08/31/28
      2,364       2,361,793  
RealPage, Inc.
     
1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 04/24/28
      3,418       3,386,939  
2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.50%), 11.97%, 04/23/29
      420       418,805  
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.25%), 8.63%, 08/01/27
      643       644,825  
Sophia LP, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 10/07/27
      739       739,498  
SS&C Technologies, Inc.
     
2018 Term Loan B3, (1-mo. CME Term SOFR + 1.75%), 7.22%, 04/16/25
      463       463,652  
2018 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 7.22%, 04/16/25
      437       437,537  
UKG, Inc.
     
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.76%, 05/03/27
      788       788,261  
2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.76%, 05/04/26
      57       57,649  
Term Loan B, (3-mo. CME Term SOFR + 3.75%), 9.23%, 05/04/26
      760       760,806  
Veritas U.S., Inc., 2021 USD Term Loan B,
(1-mo. CME Term SOFR at 1.00% Floor + 5.00%), 10.47%, 09/01/25
      1,115       923,551  
Voyage Australia Pty. Ltd., USD Term Loan B, (3- mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.18%, 07/20/28
      133       132,923  
   
 
 
 
         29,244,233  
Specialty Retail — 1.1%
                 
CD&R Firefly Bidco Ltd., 2023 GBP Term Loan B5, (3-mo. SONIA + 6.00%), 11.29%, 06/21/28
    GBP       1,000       1,245,180  
Security
        
Par
(000)
   
Value
 
Specialty Retail (continued)
                 
EG America LLC, 2021 Term Loan, (1-mo. SOFR OIS CMPD + 4.25%), 9.99%, 03/31/26
    USD       116     $ 115,334  
Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 05/04/28
      1,255       1,255,540  
PetSmart LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/11/28
      1,601       1,581,339  
Pilot Travel Centers LLC, 2021 Term Loan B,
(1-mo. CME Term SOFR + 2.00%), 7.46%, 08/04/28
      755       756,594  
Restoration Hardware, Inc.
     
2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 10/20/28
      360       350,014  
Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.97%, 10/20/28
      311       302,213  
   
 
 
 
        5,606,214  
Textiles, Apparel & Luxury Goods — 0.2%
                 
Crocs, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.50%, 02/20/29
      300       300,909  
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 11/24/28
(d)
      399       396,439  
Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 03/08/30
(d)
      232       231,640  
   
 
 
 
        928,988  
Trading Companies & Distributors — 0.5%
 
Core & Main LP, 2021 Term Loan B, (2-mo. CME Term SOFR + 2.50%), 7.99%, 07/27/28
      1,791       1,789,148  
TMK Hawk Parent Corp.
(d)
     
2020 Super Priority First Out Term Loan A,
(3-mo. CME Term SOFR at 1.00% Floor + 7.50%), 16.39%, 05/30/24
      165       162,797  
2020 Super Priority Second Out Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.14%, 08/28/24
      1,294       802,115  
   
 
 
 
         2,754,060  
Transportation Infrastructure — 0.3%
 
Apple Bidco LLC
     
2021 Term Loan, (1-week CME Term SOFR at 0.50% Floor + 2.75%), 8.21%, 09/22/28
      644       643,088  
2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 09/22/28
      356       357,348  
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.25%), 11.71%, 12/15/26
      625       620,005  
   
 
 
 
        1,620,441  
Wireless Telecommunication Services — 1.4%
 
Altice France SA/France, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.89%, 08/15/28
      851       762,227  
Connect Finco SARL, 2021 Term Loan B,
(1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.86%, 12/11/26
      3,054       3,051,904  
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Wireless Telecommunication Services (continued)
 
Digicel International Finance Ltd.
     
2017 Term Loan B, (3-mo. LIBOR US + 2.25%), 10.75%, 05/28/24
    USD       417     $ 386,479  
2017 Term Loan B1, 05/27/24
(o)
      18       16,795  
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 04/30/28
      366       366,338  
Iridium Satellite LLC, 2023 Term Loan B,
(1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.86%, 09/20/30
      1,375       1,377,683  
SBA Senior Finance II LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.21%, 04/11/25
      1,042       1,042,288  
   
 
 
 
        7,003,714  
   
 
 
 
Total Floating Rate Loan Interests — 60.4%
(Cost: $306,402,572)
 
     304,123,124  
   
 
 
 
Foreign Agency Obligations
     
Bahrain — 0.1%
                 
Bahrain Government International Bond, 6.75%, 09/20/29
(e)
      200       202,875  
   
 
 
 
Chile — 0.0%
                 
Chile Government International Bond, 4.34%, 03/07/42
(h)
      200       178,188  
   
 
 
 
Colombia — 0.1%
                 
Colombia Government International Bond
(h)
     
3.13%, 04/15/31
      200       162,563  
8.00%, 04/20/33
      200       218,312  
   
 
 
 
        380,875  
Dominican Republic — 0.1%
                 
Dominican Republic International Bond
(b)
     
4.50%, 01/30/30
      200       183,750  
7.05%, 02/03/31
      150       157,342  
4.88%, 09/23/32
(h)
      300       272,742  
   
 
 
 
        613,834  
Egypt — 0.0%
                 
Egypt Government International Bond, 7.50%, 02/16/61
(b)
      200       116,313  
   
 
 
 
Guatemala — 0.0%
                 
Guatemala Government Bond, 4.65%, 10/07/41
(b)
      200       163,000  
   
 
 
 
Ivory Coast — 0.1%
                 
Ivory Coast Government International Bond, 6.38%, 03/03/28
(e)(h)
      200       196,062  
   
 
 
 
Morocco — 0.0%
                 
Morocco Government International Bond, 2.38%, 12/15/27
(b)
      200       178,875  
   
 
 
 
Nigeria — 0.0%
                 
Nigeria Government International Bond, 8.38%, 03/24/29
(b)
      200       191,562  
   
 
 
 
Oman — 0.1%
                 
Oman Government International Bond, 6.50%, 03/08/47
(e)(h)
      308       313,775  
   
 
 
 
Security
        
Par
(000)
   
Value
 
Romania — 0.1%
 
Romanian Government International Bond
     
5.25%, 11/25/27
(b)
    USD       62     $ 61,437  
2.50%, 02/08/30
(e)
    EUR       138       131,859  
2.12%, 07/16/31
(e)
      156       136,900  
   
 
 
 
        330,196  
South Africa — 0.1%
                 
Republic of South Africa Government International Bond
     
4.85%, 09/30/29
    USD       200       187,250  
5.00%, 10/12/46
      230       169,337  
   
 
 
 
        356,587  
Ukraine — 0.0%
                 
Ukraine Government International Bond
(f)(i)
     
9.75%, 11/01/30
(e)
      236       66,965  
7.25%, 03/15/35
(b)
      200       46,400  
   
 
 
 
        113,365  
   
 
 
 
Total Foreign Agency Obligations — 0.7%
(Cost: $3,676,075)
         3,335,507  
   
 
 
 
           
Shares
        
Investment Companies
     
Fixed Income Funds — 1.2%
                 
Invesco Senior Loan ETF
      275,501       5,835,111  
   
 
 
 
Total Investment Companies — 1.2%
(Cost: $5,745,681)
        5,835,111  
   
 
 
 
           
Par
(000)
        
Non-Agency Mortgage-Backed Securities
 
 
Collateralized Mortgage Obligations — 2.3%
 
Alternative Loan Trust
     
Series 2005-54CB, Class 3A4, 5.50%, 11/25/35
    USD       974       553,463  
Series 2006-J8, Class A5, 6.00%, 02/25/37
      1,754       761,949  
Series 2007-19, Class 1A1, 6.00%, 08/25/37
      543       278,472  
CHL Mortgage Pass-Through Trust
     
Series 2005-17, Class 1A6, 5.50%, 09/25/35
      92       82,147  
Series 2006-17, Class A2, 6.00%, 12/25/36
      612       246,221  
Series 2007-HY5, Class 3A1, 5.06%, 09/25/37
(a)
      238       207,581  
COLT Mortgage Loan Trust
(b)(c)
     
Series 2022-7, Class A1, 5.16%, 04/25/67
      2,022       1,970,257  
Series 2022-9, Class A1, 6.79%, 12/25/67
      264       267,391  
Ellington Financial Mortgage Trust, Series 2021-2, Class A1, 0.93%, 06/25/66
(a)(b)
      205       163,045  
GCAT Trust, Series 2022-NQM3, Class A1, 4.35%, 04/25/67
(a)(b)
      1,419       1,368,460  
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 4.63%, 10/25/35
(a)
      302       164,757  
JP Morgan Mortgage Trust, Series 2022-DSC1, Class A1, 4.75%, 01/25/63
(a)(b)
      376       358,036  
OBX Trust
(b)(c)
     
Series 2022-NQM9, Class A1A, 6.45%, 09/25/62
      88       89,244  
Series 2023-NQM6, Class A1, 6.52%, 07/25/63
      1,127       1,136,724  
Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A, 4.10%, 07/25/57
(b)(c)
      571       548,013  
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Collateralized Mortgage Obligations (continued)
 
Verus Securitization Trust
(b)(c)
     
Series 2022-3, Class A1, 4.13%, 02/25/67
    USD       1,345     $ 1,251,986  
Series 2022-7, Class A1, 5.15%, 07/25/67
      1,619       1,620,883  
Series 2022-INV2, Class A1, 6.79%, 10/25/67
      402       407,742  
   
 
 
 
         11,476,371  
Commercial Mortgage-Backed Securities
(b)
— 0.7%
 
BX Commercial Mortgage Trust
(a)
     
Series 2019-XL, Class A, (1-mo. Term SOFR + 1.03%), 6.40%, 10/15/36
      504       502,702  
Series 2021-CIP, Class A, (1-mo. Term SOFR + 1.04%), 6.40%, 12/15/38
      1,000       978,977  
Series 2021-XL2, Class A, (1-mo. Term SOFR + 0.80%), 6.17%, 10/15/38
      383       375,939  
BX Trust, Series 2022 VAMF, Class A, (1-mo. Term SOFR + 0.85%), 6.21%, 01/15/39
(a)
      1,200       1,174,427  
Citigroup Commercial Mortgage Trust, Series 2019- SMRT, Class A, 4.15%, 01/10/36
      800       798,513  
   
 
 
 
        3,830,558  
   
 
 
 
Total Non-Agency Mortgage-Backed Securities — 3.0%
(Cost: $16,271,186)
 
    15,306,929  
   
 
 
 
           
Benefical
Interest (000)
        
Other Interests
     
Capital Markets — 0.0%
                 
Millennium Lender Claim Trust
(d)(q)
    USD       918        
   
 
 
 
Industrial Conglomerates — 0.0%
                 
Millennium Corp. Claim
(d)(q)
      861        
   
 
 
 
Total Other Interests — 0.0%
(Cost: $ — )
         
   
 
 
 
           
Par
(000)
        
Preferred Securities
     
Capital Trusts — 5.4%
(a)
                 
Automobiles
(j)
— 0.1%
                 
General Motors Financial Co., Inc., Series C, 5.70%
(h)
    USD       365       337,074  
Volkswagen International Finance NV, 3.88%
(e)
    EUR       100       101,028  
   
 
 
 
        438,102  
Banks
(j)
— 4.3%
                 
AIB Group PLC, 5.25%
(e)
      200       217,738  
Bank of America Corp.
(h)
     
Series DD, 6.30%
    USD       215       215,538  
Series X, 6.25%
      1,929       1,911,233  
Series Z, 6.50%
      143       142,307  
Bank of East Asia Ltd., 5.88%
(e)
      250       232,656  
Barclays PLC
     
9.63%
(h)
      805       836,194  
4.38%
(h)
      455       353,719  
8.00%
      210       206,097  
Security
        
Par
(000)
   
Value
 
Banks (continued)
                 
BNP Paribas SA
     
4.63%
(b)(h)
    USD       1,500     $ 1,208,215  
8.50%
(b)(h)
      420       439,834  
6.88%
(e)
    EUR       200       228,509  
Chong Hing Bank Ltd., 5.70%
(e)
    USD       250       245,703  
Citigroup, Inc., 7.63%
(h)
      326       332,879  
Credit Agricole SA, 4.75%
(b)(h)
      200       169,660  
Goldman Sachs Group, Inc., Series R,
4.95%
(h)
      730       697,062  
HSBC Holdings PLC
(h)
     
6.00%
      415       396,350  
6.38%
      500       493,622  
ING Groep NV, 3.88%
(h)
      1,750       1,415,312  
JPMorgan Chase & Co., Series FF, 5.00%
(h)
      2,000       1,963,531  
Krung Thai Bank PCL/Cayman Islands,
4.40%
(e)
      202       187,103  
Lloyds Banking Group PLC
     
8.00%
      265       265,529  
6.75%
      450       443,614  
7.50%
(h)
      1,250       1,224,113  
NatWest Group PLC, 6.00%
(h)
      1,185       1,145,668  
Nordea Bank Abp, 3.75%
(b)(h)
      560       442,371  
PNC Financial Services Group, Inc.
(h)
     
Series V, 6.20%
      290       281,949  
Series W, 6.25%
      289       269,396  
Rizal Commercial Banking Corp., 6.50%
(e)
      200       188,392  
Societe Generale SA, 5.38%
(b)(h)
      2,250       1,840,799  
UBS Group AG
(b)
     
9.25%
      460       496,237  
9.25%
(h)
      640       709,290  
Wells Fargo & Co.
(h)
     
7.63%
      439       460,648  
Series S, 5.90%
      1,500       1,484,186  
Woori Bank, 4.25%
(e)
      250       244,063  
   
 
 
 
         21,389,517  
Capital Markets — 0.3%
                 
Charles Schwab Corp., Series H, 4.00%
(h)(j)
      2,000       1,579,620  
   
 
 
 
Diversified Telecommunication Services
(e)
— 0.1%
 
British Telecommunications PLC, 8.38%, 12/20/83
    GBP       100       134,391  
Telefonica Europe BV, 6.14%
(j)
    EUR       200       226,862  
   
 
 
 
        361,253  
Electric Utilities — 0.5%
                 
Edison International, Series B, 5.00%
(j)
    USD       258       240,225  
EDP - Energias de Portugal SA, 5.94%, 04/23/83
(e)
    EUR       100       114,541  
Electricite de France SA
(j)
     
9.13%
(b)
    USD       205       228,865  
3.00%
(e)
    EUR       200       200,919  
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79
(h)
    USD       1,750       1,642,113  
   
 
 
 
        2,426,663  
Independent Power and Renewable Electricity Producers
(b)(h)(j)
— 0.1%
       
NRG Energy, Inc., 10.25%
      475       494,516  
Vistra Corp., 7.00%
      240       236,400  
   
 
 
 
        730,916  
Transportation Infrastructure — 0.0%
                 
Abertis Infraestructuras Finance BV, 3.25%
(e)(j)
    EUR       100       105,683  
   
 
 
 
 
 
102
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)
 
Security
       
Par
(000)
   
Value
 
 
 
Wireless Telecommunication Services — 0.0%
 
Vodafone Group PLC, 2.63%, 08/27/80
(e)
    EUR       100     $ 104,841  
   
 
 
 
                27,136,595  
   
 
 
 
           
Shares
        
Preferred Stocks — 0.5%
                 
Capital Markets
(a)(j)
— 0.5%
                 
Morgan Stanley
     
Series F, 6.88%
      55,000       1,376,100  
Series K, 5.85%
      53,253       1,289,787  
   
 
 
 
        2,665,887  
Wireless Telecommunication Services — 0.0%
 
CF-B L2 (D) LLC, (Acquired 04/08/15, Cost: $136,229)
(f)(g)
      139,135       547  
   
 
 
 
        2,666,434  
   
 
 
 
Total Preferred Securities — 5.9%
(Cost: $32,455,546)
 
    29,803,029  
   
 
 
 
         
Par
(000)
       
 
 
U.S. Government Sponsored Agency Securities
 
Commercial Mortgage-Backed Securities — 0.0%
 
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K042, Class X1, 1.01%, 12/25/24
(a)
    USD       31,325       200,745  
   
 
 
 
Mortgage-Backed Securities
(r)
— 3.9%
                 
Uniform Mortgage-Backed Securities
     
3.50%, 01/16/54
      9,000       8,256,094  
5.00%, 01/16/54
      1,500       1,483,945  
5.50%, 01/16/54
      4,600       4,619,406  
7.00%, 01/16/54
      5,200       5,363,516  
   
 
 
 
        19,722,961  
   
 
 
 
Total U.S. Government Sponsored Agency Securities — 3.9%
(Cost: $19,511,846)
 
      19,923,706  
   
 
 
 
         
Shares
       
 
 
Warrants
     
Consumer Discretionary — 0.0%
                 
Service King (Carnelian Point), (Exercisable 01/14/23, 1 Share for 1 Warrant, Expires 06/30/27, Strike Price USD 10.00)
(f)
      1,315        
   
 
 
 
Oil, Gas & Consumable Fuels — 0.0%
                 
California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)
(f)
      345       6,686  
   
 
 
 
Total Warrants — 0.0%
(Cost: $ — )
        6,686  
   
 
 
 
Total Long-Term Investments — 156.9%
(Cost: $808,980,983)
 
       790,209,680  
   
 
 
 
Security
       
Shares
   
Value
 
 
 
Short-Term Securities
     
Money Market Funds — 1.1%
                 
BlackRock Liquidity Funds, T-Fund, Institutional Class, 5.26%
(s)(t)
      5,762,133     $ 5,762,133  
   
 
 
 
Total Short-Term Securities — 1.1%
(Cost: $5,762,133)
 
    5,762,133  
   
 
 
 
Total Investments Before TBA Sale Commitments — 158.0%
(Cost: $814,743,116)
 
      795,971,813  
   
 
 
 
         
Par
(000)
       
 
 
TBA Sale Commitments
     
Mortgage-Backed Securities — (1.1)%
 
Uniform Mortgage-Backed Securities, 7.00%, 01/16/54
(r)
    USD       (5,200     (5,363,516
   
 
 
 
Total TBA Sale Commitments — (1.1)%
(Proceeds: $(5,320,453))
 
      (5,363,516
   
 
 
 
Total Investments, Net of TBA Sale Commitments — 156.9%
(Cost: $809,422,663)
 
       790,608,297  
Liabilities in Excess of Other Assets — (56.9)%
 
    (286,838,274
   
 
 
 
Net Assets — 100.0%
      $ 503,770,023  
     
 
 
 
 
(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)
 
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.
(d)
 
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(e)
 
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.
(f)
 
Non-income producing security.
(g)
 
Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $123,287, representing less than 0.05% of its net assets as of period end, and an original cost of $172,521.
(h)
 
All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(i)
 
Issuer filed for bankruptcy and/or is in default.
(j)
 
Perpetual security with no stated maturity date.
(k)
 
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.
(l)
 
Convertible security.
(m)
 
Zero-coupon bond.
(n)
 
When-issued security.
(o)
 
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.
(p)
 
Rounds to less than 1,000.
(q)
 
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(r)
 
Represents or includes a TBA transaction.
(s)
 
Affiliate of the Fund.
(t)
 
Annualized 7-day yield as of period end.
 
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
 
                   
Affiliated Issuer
  
Value at
12/31/22
    
Purchases
at Cost
    
Proceeds
from Sale
    
Net
Realized
Gain (Loss)
    
Change in
Unrealized
Appreciation
(Depreciation)
    
Value at
12/31/23
    
Shares
Held at
12/31/23
    
Income
    
Capital Gain
Distributions
from
Underlying
Funds
 
BlackRock Liquidity Funds, T-Fund, Institutional Class
   $  1,474,663      $  4,287,470
(a)
 
   $      $      $      $  5,762,133        5,762,133      $  140,382      $  
           
 
 
    
 
 
    
 
 
       
 
 
    
 
 
 
 
 
(a)
Represents net amount purchased (sold).
 
Reverse Repurchase Agreements
 
               
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 SA
    4.75 %
(b)
 
  11/02/23    Open    $ 1,440,720        $   1,451,936      Corporate Bonds   Open/Demand
BNP Paribas SA
    5.45
(b)
 
  11/02/23    Open      615,094        620,588      Corporate Bonds   Open/Demand
BNP Paribas SA
    5.45
(b)
 
  11/02/23    Open      346,390        349,484      Corporate Bonds   Open/Demand
BNP Paribas SA
    5.48
(b)
 
  11/02/23    Open      440,340        444,295      Corporate Bonds   Open/Demand
Credit Agricole Corporate and Investment Bank
    5.55
(b)
 
  11/02/23    Open      504,787        509,379      Corporate Bonds   Open/Demand
Goldman Sachs & Co. LLC
    5.45
(b)
 
  11/02/23    Open      258,763        261,074      Corporate Bonds   Open/Demand
Goldman Sachs & Co. LLC
    5.55
(b)
 
  11/02/23    Open      488,750        493,196      Corporate Bonds   Open/Demand
Goldman Sachs & Co. LLC
    5.55
(b)
 
  11/02/23    Open      604,150        609,645      Corporate Bonds   Open/Demand
Goldman Sachs & Co. LLC
    5.55
(b)
 
  11/02/23    Open      633,442        639,204      Corporate Bonds   Open/Demand
Goldman Sachs & Co. LLC
    5.55
(b)
 
  11/02/23    Open      460,252        464,439      Corporate Bonds   Open/Demand
Goldman Sachs & Co. LLC
    5.55
(b)
 
  11/02/23    Open      556,255        561,315      Corporate Bonds   Open/Demand
Nomura Securities International, Inc.
    5.48
(b)
 
  11/02/23    Open      410,987        414,679      Corporate Bonds   Open/Demand
Nomura Securities International, Inc.
    5.53
(b)
 
  11/02/23    Open      652,431        658,344      Corporate Bonds   Open/Demand
Nomura Securities International, Inc.
    5.60
(b)
 
  11/02/23    Open      1,105,579        1,115,725      Corporate Bonds   Open/Demand
Nomura Securities International, Inc.
    5.60
(b)
 
  11/02/23    Open      504,215        508,843      Corporate Bonds   Open/Demand
RBC Capital Markets, LLC
    5.63
(b)
 
  11/02/23    Open      392,587        396,210      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/02/23    Open      749,801        756,744      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/02/23    Open      432,862        436,871      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/02/23    Open      552,240        557,354      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/02/23    Open      611,617        617,281      Corporate Bonds   Open/Demand
BNP Paribas SA
    5.49
(b)
 
  11/06/23    Open      1,180,361        1,190,262      Corporate Bonds   Open/Demand
BNP Paribas SA
    5.49
(b)
 
  11/06/23    Open      464,625        468,522      Corporate Bonds   Open/Demand
BNP Paribas SA
    5.49
(b)
 
  11/06/23    Open      729,120        735,235      Corporate Bonds   Open/Demand
Goldman Sachs & Co. LLC
    5.55
(b)
 
  11/06/23    Open      98,600        99,436      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/06/23    Open      356,804        359,884      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/06/23    Open      249,150        251,301      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/06/23    Open      223,343        225,270      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/06/23    Open      277,780        280,178      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/06/23    Open      247,760        249,899      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/06/23    Open      278,730        281,136      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/06/23    Open      266,603        268,904      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/06/23    Open      270,428        272,762      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/06/23    Open      413,058        416,623      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/06/23    Open      288,420        290,910      Corporate Bonds   Open/Demand
BNP Paribas SA
    5.00
(b)
 
  11/09/23    Open      736,422        741,843      Corporate Bonds   Open/Demand
Goldman Sachs & Co. LLC
    5.25
(b)
 
  11/09/23    Open      1,050,700        1,058,821      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.50
(b)
 
  11/09/23    Open      403,750        406,958      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/09/23    Open      270,433        272,640      Corporate Bonds   Open/Demand
TD Securities (USA) LLC
    5.65
(b)
 
  11/09/23    Open      2,167,699        2,182,671      Corporate Bonds   Open/Demand
J.P. Morgan Securities LLC
    4.50     11/14/23    01/04/24      199,650        200,823      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.40     11/14/23    01/04/24      380,789        383,473      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.40     11/14/23    01/04/24      248,831        250,586      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.40     11/14/23    01/04/24      249,920        251,682      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.40     11/14/23    01/04/24      638,600        643,102      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.40     11/14/23    01/04/24      226,380        227,976      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.45     11/14/23    01/04/24      430,376        433,438      Corporate Bonds   Up to 30 Days
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Reverse Repurchase Agreements (continued)
 
               
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)
J.P. Morgan Securities LLC
    5.45   11/14/23    01/04/24    $ 226,980        $   228,595      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.45     11/14/23    01/04/24      172,594        173,822      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.45     11/14/23    01/04/24      370,961        373,601      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.45     11/14/23    01/04/24      171,600        172,821      Capital Trusts   Up to 30 Days
J.P. Morgan Securities LLC
    5.45     11/14/23    01/04/24      235,384        237,059      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.45     11/14/23    01/04/24      492,256        495,759      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.45     11/14/23    01/04/24      164,900        166,073      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.45     11/14/23    01/04/24      165,055        166,229      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      178,555        179,837      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      254,575        256,403      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      194,574        195,971      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      287,888        289,955      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      321,019        323,324      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      2,494,240        2,512,150      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      317,497        319,777      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      280,755        282,771      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      134,586        135,552      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      147,750        148,811      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      462,815        466,138      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      386,828        389,605      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      337,411        339,834      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      211,656        213,176      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      460,275        463,580      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      289,959        292,041      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.50     11/14/23    01/04/24      216,000        217,551      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.55     11/14/23    01/04/24      759,435        764,938      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.65     11/14/23    01/04/24      276,610        278,650      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.65     11/14/23    01/04/24      505,037        508,762      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.65     11/14/23    01/04/24      294,752        296,926      Corporate Bonds   Up to 30 Days
J.P. Morgan Securities LLC
    5.65     11/14/23    01/04/24      180,600        181,932      Corporate Bonds   Up to 30 Days
TD Securities (USA) LLC
    5.65
(b)
 
  11/14/23    Open      359,825        362,479      Corporate Bonds   Open/Demand
J.P. Morgan Securities LLC
    5.50     11/15/23    01/04/24      285,429        287,435      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    4.75     11/15/23    01/10/24      319,760        321,701      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.24     11/15/23    01/10/24      125,890        126,733      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.45     11/15/23    01/10/24      232,284        233,901      Capital Trusts   Up to 30 Days
Barclays Capital, Inc.
    5.45     11/15/23    01/10/24      672,256        676,937      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.49     11/15/23    01/10/24      1,320,469        1,329,732      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.55     11/15/23    01/10/24      1,439,539        1,449,747      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.55     11/15/23    01/10/24      248,575        250,338      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.55     11/15/23    01/10/24      348,091        350,560      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.55     11/15/23    01/10/24      295,993        298,092      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.55     11/15/23    01/10/24      267,581        269,479      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.55     11/15/23    01/10/24      242,109        243,826      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.55     11/15/23    01/10/24      252,700        254,492      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.55     11/15/23    01/10/24      914,850        921,338      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.60     11/15/23    01/10/24      428,998        432,068      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.65     11/15/23    01/10/24      177,413        178,693      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.65     11/15/23    01/10/24      92,220        92,886      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.65     11/15/23    01/10/24      376,290        379,007      Capital Trusts   Up to 30 Days
Barclays Capital, Inc.
    5.65     11/15/23    01/10/24      365,392        368,030      Corporate Bonds   Up to 30 Days
Barclays Capital, Inc.
    5.65     11/15/23    01/10/24      986,832        993,957      Capital Trusts   Up to 30 Days
Barclays Capital, Inc.
    5.65     11/15/23    01/10/24      1,056,537        1,064,165      Capital Trusts   Up to 30 Days
Barclays Bank PLC
    5.50
(b)
 
  11/15/23    Open      417,000        419,931      Corporate Bonds   Open/Demand
Barclays Bank PLC
    5.50
(b)
 
  11/15/23    Open      787,500        793,034      Corporate Bonds   Open/Demand
Barclays Bank PLC
    5.55
(b)
 
  11/15/23    Open      381,500        384,205      Capital Trusts   Open/Demand
Barclays Bank PLC
    5.55
(b)
 
  11/15/23    Open      1,170,312        1,178,612      Capital Trusts   Open/Demand
Barclays Bank PLC
    5.55
(b)
 
  11/15/23    Open      1,847,500        1,860,602      Capital Trusts   Open/Demand
Barclays Bank PLC
    5.55
(b)
 
  11/15/23    Open      444,375        447,526      Corporate Bonds   Open/Demand
Barclays Bank PLC
    5.60
(b)
 
  11/15/23    Open      2,306,250        2,322,752      Corporate Bonds   Open/Demand
Barclays Capital, Inc.
    5.50
(b)
 
  11/15/23    Open      143,000        144,005      Capital Trusts   Open/Demand
Barclays Capital, Inc.
    5.55
(b)
 
  11/15/23    Open      47,750        48,089      Corporate Bonds   Open/Demand
Barclays Capital, Inc.
    5.55
(b)
 
  11/15/23    Open      585,934        590,089      Corporate Bonds   Open/Demand
 
 
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  105

Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Reverse Repurchase Agreements (continued)
 
               
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.
    5.55 %
(b)
 
   11/15/23      Open      $ 286,869        $    288,903      Capital Trusts     Open/Demand  
Barclays Capital, Inc.
    5.55
(b)
 
  11/15/23      Open       130,845        131,773      Capital Trusts     Open/Demand  
Barclays Capital, Inc.
    5.55
(b)
 
  11/15/23      Open       395,747        398,554      Corporate Bonds     Open/Demand  
Barclays Capital, Inc.
    5.55
(b)
 
  11/15/23      Open       197,800        199,203      Capital Trusts     Open/Demand  
Barclays Capital, Inc.
    5.70
(b)
 
  11/15/23      Open       288,888        290,992      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.41
(b)
 
  11/15/23      Open       81,244        81,805      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.68
(b)
 
  11/15/23      Open       632,730        637,322      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.45
(b)
 
  11/15/23      Open       713,900        718,872      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  11/15/23      Open       1,081,331        1,089,000      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.00
(b)
 
  11/15/23      Open       172,908        174,013      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  11/15/23      Open       451,530        454,692      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  11/15/23      Open       219,422        220,959      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  11/15/23      Open       332,640        334,969      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  11/15/23      Open       179,575        180,832      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  11/15/23      Open       184,308        185,598      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  11/15/23      Open       92,163        92,808      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  11/15/23      Open       575,320        579,349      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  11/15/23      Open       86,320        86,924      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  11/15/23      Open       192,570        193,918      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.50
(b)
 
  11/15/23      Open       135,235        136,185      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.65
(b)
 
  11/15/23      Open       716,782        721,957      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.65
(b)
 
  11/15/23      Open       491,185        494,731      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
  11/15/23      Open       114,686        115,492      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.63
(b)
 
  11/15/23      Open       713,984        719,120      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  11/15/23      Open       113,864        114,686      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.66
(b)
 
  11/15/23      Open       292,163        294,275      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.66
(b)
 
  11/15/23      Open       367,652        370,311      Corporate Bonds     Open/Demand  
BofA Securities, Inc.
    0.25     11/16/23      01/11/24       702,202        702,422      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    4.15     11/16/23      01/11/24       135,840        136,545      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    4.25     11/16/23      01/11/24       115,331        115,944      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.10     11/16/23      01/11/24       471,184        474,188      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.15     11/16/23      01/11/24       536,144        539,595      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.15     11/16/23      01/11/24       774,615        779,602      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.20     11/16/23      01/11/24       201,240        202,548      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.25     11/16/23      01/11/24       72,020        72,493      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.25     11/16/23      01/11/24       254,788        256,460      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.25     11/16/23      01/11/24       1,952,499        1,965,312      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.35     11/16/23      01/11/24       159,023        160,086      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.35     11/16/23      01/11/24       456,262        459,314      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.35     11/16/23      01/11/24       1,255,912        1,264,311      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.35     11/16/23      01/11/24       230,100        231,639      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       474,187        477,388      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       219,960        221,445      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       576,592        580,484      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       237,150        238,751      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       291,720        293,689      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       674,310        678,862      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       231,713        233,277      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       334,375        336,632      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       255,938        257,665      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       376,687        379,230      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       268,553        270,365      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       169,650        170,795      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       384,038        386,630      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       1,204,545        1,212,676      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/16/23      01/11/24       95,710        96,356      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45     11/16/23      01/11/24       424,897        427,792      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45     11/16/23      01/11/24       550,989        554,742      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45     11/16/23      01/11/24       143,529        144,507      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45     11/16/23      01/11/24       486,850        490,167      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45     11/16/23      01/11/24       277,448        279,338      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45     11/16/23      01/11/24       464,519        467,684      Corporate Bonds     Up to 30 Days  
 
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Reverse Repurchase Agreements (continued)
 
               
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)
 
BofA Securities, Inc.
    5.45    11/16/23      01/11/24      $ 807,525        $    813,026      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45     11/16/23      01/11/24       441,656        444,665      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45     11/16/23      01/11/24       339,676        341,990      Capital Trusts     Up to 30 Days  
BofA Securities, Inc.
    5.45     11/16/23      01/11/24       365,582        368,073      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45     11/16/23      01/11/24       495,285        498,659      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       92,795        93,433      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       375,779        378,363      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       313,230        315,383      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       125,258        126,119      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       572,422        576,358      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       284,200        286,154      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       450,640        453,738      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       176,906        178,122      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       757,643        762,852      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       857,495        863,390      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       709,702        714,582      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       1,247,010        1,255,583      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       492,450        495,836      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       728,507        733,516      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       151,753        152,796      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       401,150        403,908      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       1,294,009        1,302,905      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       123,205        124,052      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       476,905        480,184      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       199,956        201,331      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       147,758        148,773      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       1,776,060        1,788,270      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       2,457,397        2,474,292      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       124,781        125,639      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       839,492        845,264      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       518,876        522,444      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       128,669        129,553      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       428,510        431,456      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       172,253        173,437      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       486,855        490,202      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       1,318,165        1,327,228      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       391,875        394,569      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       442,819        445,863      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       129,750        130,642      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       129,600        130,491      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       38,378        38,641      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       97,154        97,822      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     11/16/23      01/11/24       108,045        108,788      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.53     11/16/23      01/11/24       306,195        308,312      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.53     11/16/23      01/11/24       288,694        290,689      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55     11/16/23      01/11/24       248,316        250,039      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55     11/16/23      01/11/24       237,200        238,846      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55     11/16/23      01/11/24       143,550        144,546      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55     11/16/23      01/11/24       233,511        235,131      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55     11/16/23      01/11/24       1,138,125        1,146,021      Capital Trusts     Up to 30 Days  
BofA Securities, Inc.
    5.55     11/16/23      01/11/24       546,000        549,788      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55     11/16/23      01/11/24       1,015,872        1,022,920      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55     11/16/23      01/11/24       77,044        77,578      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55     11/16/23      01/11/24       184,690        185,971      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55     11/16/23      01/11/24       76,570        77,101      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55     11/16/23      01/11/24       199,413        200,796      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55     11/16/23      01/11/24       248,803        250,529      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.59     11/16/23      01/11/24       326,540        328,822      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.59     11/16/23      01/11/24       317,905        320,126      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.59     11/16/23      01/11/24       317,490        319,708      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.59     11/16/23      01/11/24       426,970        429,953      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.60     11/16/23      01/11/24       122,613        123,471      Corporate Bonds     Up to 30 Days  
 
 
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  107

Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Reverse Repurchase Agreements (continued)
 
               
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)
 
BofA Securities, Inc.
    5.60   11/16/23      01/11/24     $ 304,365        $    306,496      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.60     11/16/23      01/11/24       252,608        254,376      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.60     11/16/23      01/11/24       238,163        239,830      Capital Trusts     Up to 30 Days  
BofA Securities, Inc.
    5.60     11/16/23      01/11/24       408,471        411,331      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.60     11/16/23      01/11/24       277,130        279,070      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.60     11/16/23      01/11/24       339,086        341,460      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.65     11/16/23      01/11/24       141,514        142,513      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.65     11/16/23      01/11/24       658,560        663,211      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.65     11/16/23      01/11/24       673,110        677,864      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.65     11/16/23      01/11/24       458,940        462,181      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.65     11/16/23      01/11/24       524,307        528,010      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.65     11/16/23      01/11/24       143,393        144,406      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.65     11/16/23      01/11/24       136,619        137,584      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.65     11/16/23      01/11/24       521,985        525,672      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.65     11/16/23      01/11/24       1,242,460        1,251,235      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.65     11/16/23      01/11/24       1,505,806        1,516,441      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.65     11/16/23      01/11/24       346,156        348,601      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.70     11/16/23      01/11/24       159,600        160,737      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.70     11/16/23      01/11/24       143,520        144,543      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.70     11/16/23      01/11/24       103,213        103,949      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.70     11/16/23      01/11/24       140,434        141,434      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.70     11/16/23      01/11/24       131,091        132,025      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.70     11/16/23      01/11/24       87,203        87,824      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.80     11/16/23      01/11/24       385,673        388,469      Capital Trusts     Up to 30 Days  
Merrill Lynch International
    5.33     11/16/23      01/11/24       448,011        450,996      Corporate Bonds     Up to 30 Days  
Merrill Lynch International
    5.55     11/16/23      01/11/24       175,401        176,617      Corporate Bonds     Up to 30 Days  
Merrill Lynch International
    5.55     11/16/23      01/11/24       178,680        179,919      Corporate Bonds     Up to 30 Days  
Merrill Lynch International
    5.60     11/16/23      01/11/24       244,118        245,826      Foreign Agency Obligations     Up to 30 Days  
Merrill Lynch International
    5.60     11/16/23      01/11/24       720,099        725,139      Corporate Bonds     Up to 30 Days  
Merrill Lynch International
    5.65     11/16/23      01/11/24       347,300        349,753      Corporate Bonds     Up to 30 Days  
Merrill Lynch International
    5.65     11/16/23      01/11/24       282,578        284,573      Corporate Bonds     Up to 30 Days  
Merrill Lynch International
    5.70     11/16/23      01/11/24       217,085        218,632      Foreign Agency Obligations     Up to 30 Days  
Merrill Lynch International
    5.70     11/16/23      01/11/24       241,203        242,921      Corporate Bonds     Up to 30 Days  
Credit Agricole Corporate and Investment Bank
    5.59
(b)
 
  11/20/23      Open       259,560        261,212      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  11/20/23      Open       1,946,660        1,959,186      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  11/21/23      Open       432,905        435,691      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  11/21/23      Open       281,685        283,497      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  11/21/23      Open       291,295        293,169      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  11/21/23      Open       271,180        272,925      Corporate Bonds     Open/Demand  
Barclays Capital, Inc.
    5.49     11/22/23      01/10/24       864,957        869,970      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.60     11/22/23      01/11/24       300,598        302,374      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.60     11/22/23      01/11/24       352,774        354,859      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.60     11/22/23      01/11/24       642,042        645,838      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.60     11/22/23      01/11/24       411,355        413,787      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.60     11/22/23      01/11/24       369,940        372,127      Corporate Bonds     Up to 30 Days  
Nomura Securities International, Inc.
    5.48
(b)
 
  11/24/23      Open       876,645        881,716      Corporate Bonds     Open/Demand  
Barclays Capital, Inc.
    5.55     11/28/23      01/10/24       313,495        315,090      Corporate Bonds     Up to 30 Days  
TD Securities (USA) LLC
    5.55
(b)
 
  11/28/23      Open       1,339,200        1,346,013      Corporate Bonds     Open/Demand  
BofA Securities, Inc.
    5.60     11/29/23      01/11/24       721,395        724,986      Corporate Bonds     Up to 30 Days  
Nomura Securities International, Inc.
    5.48
(b)
 
  11/29/23      Open       169,250        170,074      Corporate Bonds     Open/Demand  
Barclays Capital, Inc.
    5.65     11/30/23      01/10/24       169,703        170,528      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.35     11/30/23      01/11/24       426,750        428,716      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/30/23      01/11/24       182,160        183,007      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/30/23      01/11/24       162,925        163,683      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40     11/30/23      01/11/24       920,254        924,533      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.65     11/30/23      01/11/24       284,724        286,109      Corporate Bonds     Up to 30 Days  
BNP Paribas SA
    5.45
(b)
 
  11/30/23      Open       188,866        189,753      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.45
(b)
 
  11/30/23      Open       587,757        590,516      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  11/30/23      Open       128,511        129,118      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.67
(b)
 
  11/30/23      Open       477,000        479,329      Corporate Bonds     Open/Demand  
BofA Securities, Inc.
    5.40     12/01/23      01/11/24       368,125        369,671      Corporate Bonds     Up to 30 Days  
 
 
108
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Reverse Repurchase Agreements (continued)
 
               
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)
 
Goldman Sachs & Co. LLC
    5.55 %
(b)
 
  12/01/23      Open     $ 620,350        $    623,028      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/01/23      Open       314,795        316,178      Corporate Bonds     Open/Demand  
BofA Securities, Inc.
    5.40     12/06/23      01/11/24       82,366        82,675      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.60     12/06/23      01/11/24       297,303        298,459      Corporate Bonds     Up to 30 Days  
BNP Paribas SA
    5.15
(b)
 
  12/08/23      Open       96,401        96,691      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.51
(b)
 
  12/08/23      Open       261,725        262,686      Capital Trusts     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
  12/08/23      Open       629,625        631,997      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
  12/08/23      Open       297,883        299,005      Capital Trusts     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
  12/08/23      Open       243,781        244,699      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
  12/08/23      Open       244,388        245,308      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
  12/08/23      Open       247,450        248,382      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
  12/08/23      Open       275,456        276,494      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.70
(b)
 
  12/08/23      Open       790,724        793,728      Corporate Bonds     Open/Demand  
HSBC Securities (USA), Inc.
    5.50
(b)
 
  12/08/23      Open       675,000        677,166      Corporate Bonds     Open/Demand  
HSBC Securities (USA), Inc.
    5.50
(b)
 
  12/08/23      Open       903,750        906,650      Corporate Bonds     Open/Demand  
HSBC Securities (USA), Inc.
    5.50
(b)
 
  12/08/23      Open       803,750        806,329      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.40
(b)
 
  12/08/23      Open       917,244        920,133      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/08/23      Open       630,370        632,744      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/08/23      Open       252,540        253,491      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/08/23      Open       222,045        222,881      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/08/23      Open       175,859        176,521      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/08/23      Open       441,787        443,452      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/08/23      Open       278,500        279,549      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/08/23      Open       301,013        302,146      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/08/23      Open       259,899        260,878      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/08/23      Open       224,543        225,388      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/08/23      Open       241,335        242,244      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/08/23      Open       302,475        303,614      Corporate Bonds     Open/Demand  
Barclays Capital, Inc.
    5.65     12/12/23      01/10/24       243,428        244,153      Corporate Bonds     Up to 30 Days  
BNP Paribas SA
    5.30
(b)
 
  12/12/23      Open       887,792        890,276      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.30
(b)
 
  12/12/23      Open       464,446        465,745      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.32
(b)
 
  12/12/23      Open       906,300        908,845      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.37
(b)
 
  12/12/23      Open       150,293        150,718      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.39
(b)
 
  12/12/23      Open       297,330        298,176      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.39
(b)
 
  12/12/23      Open       194,040        194,592      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.41
(b)
 
  12/12/23      Open       388,585        389,695      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.42
(b)
 
  12/12/23      Open       133,456        133,838      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.44
(b)
 
  12/12/23      Open       255,960        256,695      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
  12/12/23      Open       1,375,000        1,378,955      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
  12/12/23      Open       822,500        824,866      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
  12/12/23      Open       261,800        262,553      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
  12/12/23      Open       133,905        134,290      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
  12/12/23      Open       302,038        302,906      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
  12/12/23      Open       616,560        618,333      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.47
(b)
 
  12/12/23      Open       971,992        974,799      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.47
(b)
 
  12/12/23      Open       633,987        635,818      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.47
(b)
 
  12/12/23      Open       447,165        448,456      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.48
(b)
 
  12/12/23      Open       383,467        384,577      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.48
(b)
 
  12/12/23      Open       600,231        601,967      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.48
(b)
 
  12/12/23      Open       213,233        213,849      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.48
(b)
 
  12/12/23      Open       315,052        315,964      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
  12/12/23      Open       276,799        277,601      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
  12/12/23      Open       93,663        93,934      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
  12/12/23      Open       187,920        188,464      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
  12/12/23      Open       278,760        279,568      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
  12/12/23      Open       483,367        484,768      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
  12/12/23      Open       233,549        234,225      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
  12/12/23      Open       90,781        91,044      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
  12/12/23      Open       226,435        227,091      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.50
(b)
 
  12/12/23      Open       1,242,000        1,245,605      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.53
(b)
 
  12/12/23      Open       987,500        990,382      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.53
(b)
 
  12/12/23      Open       931,250        933,968      Corporate Bonds     Open/Demand  
 
 
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  109

Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Reverse Repurchase Agreements (continued)
 
               
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 SA
    5.54 %
(b)
 
  12/12/23      Open     $ 1,786,736        $   1,791,960      Capital Trusts     Open/Demand  
BNP Paribas SA
    5.56
(b)
 
  12/12/23      Open       524,969        526,509      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
  12/12/23      Open       100,153        100,451      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
  12/12/23      Open       114,021        114,346      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
  12/12/23      Open       274,238        275,055      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
  12/12/23      Open       290,846        291,714      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
  12/12/23      Open       630,120        631,999      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
  12/12/23      Open       215,940        216,584      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
  12/12/23      Open       358,985        360,055      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.68
(b)
 
  12/12/23      Open       351,260        352,313      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.68
(b)
 
  12/12/23      Open       338,100        339,114      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.70
(b)
 
  12/12/23      Open       1,085,000        1,088,264      Capital Trusts     Open/Demand  
BNP Paribas SA
    5.70
(b)
 
  12/12/23      Open       1,397,812        1,402,018      Capital Trusts     Open/Demand  
Credit Agricole Corporate and Investment Bank
    5.50
(b)
 
  12/12/23      Open       660,000        661,916      Corporate Bonds     Open/Demand  
Credit Agricole Corporate and Investment Bank
    5.52
(b)
 
  12/12/23      Open       174,900        175,410      Corporate Bonds     Open/Demand  
Credit Agricole Corporate and Investment Bank
    5.52
(b)
 
  12/12/23      Open       170,000        170,495      Corporate Bonds     Open/Demand  
Credit Agricole Corporate and Investment Bank
    5.52
(b)
 
  12/12/23      Open       327,250        328,203      Corporate Bonds     Open/Demand  
Credit Agricole Corporate and Investment Bank
    5.57
(b)
 
  12/12/23      Open       291,671        292,529      Corporate Bonds     Open/Demand  
Credit Agricole Corporate and Investment Bank
    5.59
(b)
 
  12/12/23      Open       284,830        285,670      Corporate Bonds     Open/Demand  
Credit Agricole Corporate and Investment Bank
    5.59
(b)
 
  12/12/23      Open       259,500        260,266      Corporate Bonds     Open/Demand  
Credit Agricole Corporate and Investment Bank
    5.61
(b)
 
  12/12/23      Open       871,045        873,624      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.25
(b)
 
  12/12/23      Open       336,213        337,145      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.35
(b)
 
  12/12/23      Open       260,363        261,098      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.35
(b)
 
  12/12/23      Open       535,414        536,926      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.45
(b)
 
  12/12/23      Open       345,530        346,524      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.45
(b)
 
  12/12/23      Open       300,988        301,853      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.45
(b)
 
  12/12/23      Open       1,218,814        1,222,320      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/12/23      Open       419,662        420,892      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/12/23      Open       886,706        889,304      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/12/23      Open       228,311        228,980      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/12/23      Open       242,688        243,398      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/12/23      Open       548,181        549,787      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/12/23      Open       516,655        518,168      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/12/23      Open       336,810        337,797      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/12/23      Open       275,844        276,652      Capital Trusts     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/12/23      Open       269,248        270,037      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/12/23      Open       318,487        319,420      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/12/23      Open       339,040        340,033      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/12/23      Open       469,028        470,402      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/12/23      Open       399,026        400,195      Corporate Bonds     Open/Demand  
J.P. Morgan Securities LLC
    5.65
(b)
 
  12/12/23      Open       513,922        515,455      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.35
(b)
 
  12/12/23      Open       202,421        202,992      Foreign Agency Obligations     Open/Demand  
Nomura Securities International, Inc.
    5.35
(b)
 
  12/12/23      Open       181,831        182,345      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.35
(b)
 
  12/12/23      Open       301,560        302,411      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.35
(b)
 
  12/12/23      Open       115,981        116,309      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.35
(b)
 
  12/12/23      Open       891,419        893,936      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       120,488        120,836      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       140,893        141,300      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       494,829        496,260      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       189,381        189,929      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       621,075        622,871      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       206,948        207,546      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       105,135        105,439      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       86,103        86,352      Corporate Bonds     Open/Demand  
 
 
110
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Reverse Repurchase Agreements (continued)
 
               
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)
 
Nomura Securities International, Inc.
    5.48 %
(b)
 
  12/12/23      Open     $ 647,669        $    649,542      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       161,990        162,459      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       271,440        272,225      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       195,543        196,108      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       265,736        266,505      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       285,964        286,791      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       944,444        947,175      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       392,160        393,294      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       354,492        355,518      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       114,210        114,540      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       915,000        917,646      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       268,600        269,377      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       493,190        494,616      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
  12/12/23      Open       1,789,745        1,794,921      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.50
(b)
 
  12/12/23      Open       159,803        160,267      Foreign Agency Obligations     Open/Demand  
Nomura Securities International, Inc.
    5.57
(b)
 
  12/12/23      Open       1,336,474        1,340,403      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.62
(b)
 
  12/12/23      Open       260,100        260,871      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.62
(b)
 
  12/12/23      Open       301,624        302,518      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.65
(b)
 
  12/12/23      Open       250,088        250,833      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.65
(b)
 
  12/12/23      Open       112,088        112,422      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.67
(b)
 
  12/12/23      Open       227,486        228,167      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.67
(b)
 
  12/12/23      Open       2,306,781        2,313,684      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.67
(b)
 
  12/12/23      Open       442,417        443,741      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.67
(b)
 
  12/12/23      Open       293,873        294,752      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.67
(b)
 
  12/12/23      Open       337,500        338,510      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.67
(b)
 
  12/12/23      Open       292,950        293,827      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.67
(b)
 
  12/12/23      Open       263,574        264,362      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.67
(b)
 
  12/12/23      Open       493,859        495,337      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
  12/12/23      Open       271,069        271,856      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
  12/12/23      Open       358,956        359,998      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
  12/12/23      Open       798,750        801,069      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
  12/12/23      Open       881,250        883,808      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
  12/12/23      Open       402,375        403,543      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
  12/12/23      Open       407,550        408,733      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
  12/12/23      Open       156,188        156,641      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
  12/12/23      Open       328,950        329,905      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
  12/12/23      Open       349,554        350,568      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.53
(b)
 
  12/12/23      Open       330,187        331,151      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.53
(b)
 
  12/12/23      Open       600,437        602,190      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.53
(b)
 
  12/12/23      Open       1,374,450        1,378,461      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.53
(b)
 
  12/12/23      Open       2,753        2,761      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.53
(b)
 
  12/12/23      Open       215,906        216,536      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.53
(b)
 
  12/12/23      Open       1,450,540        1,454,774      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.63
(b)
 
  12/12/23      Open       239,440        240,151      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.63
(b)
 
  12/12/23      Open       399,912        401,101      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       147,345        147,784      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       482,820        484,260      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       184,388        184,937      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       99,169        99,464      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       271,215        272,024      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       192,300        192,873      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       470,400        471,803      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       394,375        395,551      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       261,056        261,835      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       1,136,621        1,140,011      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       197,188        197,775      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       114,660        115,002      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       356,865        357,929      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       303,000        303,904      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       309,249        310,171      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       118,234        118,586      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       142,275        142,699      Corporate Bonds     Open/Demand  
 
 
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  111

Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Reverse Repurchase Agreements (continued)
 
               
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
    5.65 %
(b)
 
  12/12/23      Open     $ 239,554        $    240,268      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       302,737        303,640      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       502,292        503,790      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/12/23      Open       166,563        167,059      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.67
(b)
 
  12/12/23      Open       369,615        370,721      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
  12/12/23      Open       467,337        468,692      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
  12/12/23      Open       169,044        169,534      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
  12/12/23      Open       413,337        414,535      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
  12/12/23      Open       201,156        201,739      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
  12/12/23      Open       295,205        296,060      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
  12/12/23      Open       200,385        200,966      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
  12/12/23      Open       246,250        246,964      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
  12/12/23      Open       94,500        94,774      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.50
(b)
 
  12/12/23      Open       1,147,500        1,150,831      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.53
(b)
 
  12/12/23      Open       186,500        187,044      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.60
(b)
 
  12/12/23      Open       149,674        150,116      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.63
(b)
 
  12/12/23      Open       829,400        831,864      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.63
(b)
 
  12/12/23      Open       1,443,015        1,447,303      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.64
(b)
 
  12/12/23      Open       254,820        255,578      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.64
(b)
 
  12/12/23      Open       1,261,065        1,264,819      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/12/23      Open       360,490        361,565      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/12/23      Open       379,102        380,233      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/12/23      Open       87,231        87,491      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/12/23      Open       883,318        885,952      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/12/23      Open       470,475        471,878      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/12/23      Open       559,980        561,650      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/12/23      Open       677,700        679,721      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/12/23      Open       362,040        363,120      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/12/23      Open       258,588        259,359      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/12/23      Open       354,055        355,111      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/12/23      Open       426,250        427,521      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/12/23      Open       311,355        312,283      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/12/23      Open       367,260        368,355      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/12/23      Open       658,559        660,523      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.67
(b)
 
  12/12/23      Open       1,236,968        1,240,669      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.67
(b)
 
  12/12/23      Open       187,750        188,312      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.70
(b)
 
  12/12/23      Open       507,680        509,207      Corporate Bonds     Open/Demand  
J.P. Morgan Securities LLC
    5.50     12/13/23      01/04/24       244,298        244,969      Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50     12/13/23      01/04/24       160,783        161,225      Foreign Agency Obligations     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50     12/13/23      01/04/24       155,263        155,690      Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50     12/13/23      01/04/24       154,751        155,177      Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50     12/13/23      01/04/24       138,738        139,120      Foreign Agency Obligations     Up to 30 Days  
Barclays Capital, Inc.
    4.50     12/13/23      01/10/24       369,706        370,538      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45     12/13/23      01/11/24       134,835        135,202      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     12/13/23      01/11/24       250,808        251,497      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50     12/13/23      01/11/24       419,719        420,873      Corporate Bonds     Up to 30 Days  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/13/23      Open       4,280,557        4,292,436      Corporate Bonds     Open/Demand  
Barclays Capital, Inc.
    5.49     12/15/23      01/10/24       390,945        391,780      Corporate Bonds     Up to 30 Days  
Barclays Capital, Inc.
    1.00
(b)
 
  12/15/23      Open       197,921        197,998      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.43
(b)
 
  12/15/23      Open       182,000        182,384      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
  12/15/23      Open       143,250        143,554      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/15/23      Open       248,453        248,989      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.42
(b)
 
  12/15/23      Open       1,124,762        1,127,133      Corporate Bonds     Open/Demand  
J.P. Morgan Securities LLC
    5.50     12/18/23      01/04/24       201,640        202,040      Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.59     12/18/23      01/11/24       460,020        460,949      Corporate Bonds     Up to 30 Days  
Credit Agricole Corporate and Investment Bank
    5.50
(b)
 
  12/18/23      Open       549,132        550,223      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/18/23      Open       374,062        374,812      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/18/23      Open       812,917        814,576      Corporate Bonds     Open/Demand  
BofA Securities, Inc.
    5.60     12/19/23      01/11/24       107,975        108,177      Corporate Bonds     Up to 30 Days  
Merrill Lynch International
    5.75     12/19/23      01/11/24       227,494        227,930      Corporate Bonds     Up to 30 Days  
RBC Capital Markets, LLC
    5.50
(b)
 
  12/19/23      Open       1,560,960        1,563,822      Corporate Bonds     Open/Demand  
 
 
112
 
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Schedule of Investments
  (continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Reverse Repurchase Agreements (continued)
 
               
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 SA
    5.47 %
(b)
 
  12/20/23      Open     $ 518,032        $    518,898      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
  12/20/23      Open       2,478,545        2,482,703      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/20/23      Open       678,080        679,230      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/20/23      Open       520,594        521,477      Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
  12/20/23      Open       160,100        160,371      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.64
(b)
 
  12/20/23      Open       549,000        549,946      Corporate Bonds     Open/Demand  
Barclays Capital, Inc.
    5.65     12/22/23      01/10/24       718,406        719,534      Capital Trusts     Up to 30 Days  
Barclays Capital, Inc.
    5.65     12/22/23      01/10/24       1,322,205        1,324,280      Corporate Bonds     Up to 30 Days  
BNP Paribas SA
    5.54
(b)
 
  12/22/23      Open       157,751        157,994      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.54
(b)
 
  12/22/23      Open       167,580        167,838      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.54
(b)
 
  12/22/23      Open       89,968        90,106      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.54
(b)
 
  12/22/23      Open       195,460        195,761      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.54
(b)
 
  12/22/23      Open       115,544        115,722      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.54
(b)
 
  12/22/23      Open       164,000        164,252      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.54
(b)
 
  12/22/23      Open       99,085        99,237      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.60
(b)
 
  12/22/23      Open       808,370        809,627      Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.70
(b)
 
  12/22/23      Open       587,242        588,172      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.62
(b)
 
  12/22/23      Open       1,344,844        1,346,943      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.65
(b)
 
  12/22/23      Open       291,666        292,124      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.67
(b)
 
  12/22/23      Open       1,298,262        1,300,307      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
  12/22/23      Open       783,255        784,452      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/22/23      Open       441,700        442,393      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/22/23      Open       256,525        256,928      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/22/23      Open       317,999        318,498      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/22/23      Open       1,018,145        1,019,743      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.63
(b)
 
  12/22/23      Open       739,100        740,256      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.64
(b)
 
  12/22/23      Open       843,067        844,388      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       858,400        859,747      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       423,162        423,827      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       1,855,544        1,858,456      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       560,869        561,749      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       1,113,970        1,115,718      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       299,268        299,737      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       529,251        530,082      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       1,065,360        1,067,032      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       741,562        742,726      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       647,000        648,015      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       2,553,232        2,557,240      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       282,038        282,480      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       706,929        708,039      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       611,820        612,780      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       862,462        863,816      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       355,020        355,577      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
  12/22/23      Open       712,662        713,781      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.66
(b)
 
  12/22/23      Open       589,537        590,464      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.67
(b)
 
  12/22/23      Open       314,449        314,944      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.67
(b)
 
  12/22/23      Open       452,670        453,383      Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.70
(b)
 
  12/22/23      Open       859,155        860,515      Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.62
(b)
 
  12/26/23      Open       558,512        558,948      Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.65
(b)
 
  12/28/23      Open       338,704        338,863      Corporate Bonds     Open/Demand  
        
 
 
    
 
 
      
         $  274,930,124      $ 276,235,400       
        
 
 
    
 
 
      
 
 
(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.
 
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
 
         
Description
 
Number of
Contracts
   
Expiration
Date
   
Notional
Amount (000)
   
Value/
Unrealized
Appreciation
(Depreciation)
 
Long Contracts
       
10-Year U.S. Ultra Long Treasury Note
    83       03/19/24     $ 9,795     $ 434,965  
2-Year U.S. Treasury Note
    436        03/28/24        89,779        857,634  
5-Year U.S. Treasury Note
    477       03/28/24       51,885       1,025,555  
       
 
 
 
          2,318,154  
       
 
 
 
Short Contracts
       
10-Year U.S. Treasury Note
    455       03/19/24       51,365       (1,643,646
U.S. Long Bond
    73       03/19/24       9,120       (662,240
Ultra U.S. Treasury Bond
    30       03/19/24       4,008       (360,022
       
 
 
 
          (2,665,908
       
 
 
 
        $ (347,754
       
 
 
 
Forward Foreign Currency Exchange Contracts
 
             
Currency Purchased
           
Currency Sold
    
Counterparty
  
Settlement Date
            
Unrealized
Appreciation
(Depreciation)
 
USD
    271,711          EUR        251,523      Westpac Banking Corp.      03/14/24                 $ (6,742
USD
    78,105                  EUR        72,000      Barclays Bank PLC      03/20/24           (1,624
USD
    109,620          EUR        100,000      BNP Paribas SA      03/20/24           (1,114
USD
    104,959          EUR        95,000      Morgan Stanley & Co. International PLC      03/20/24           (239
USD
    6,800,061          EUR        6,197,000      UBS AG      03/20/24           (62,152
USD
    1,197,718          GBP        945,000      State Street Bank and Trust Co.      03/20/24           (7,282
USD
    1,290,241          GBP        1,018,000      State Street Bank and Trust Co.      03/20/24           (7,844
                     
 
 
 
                      $ (86,997
                     
 
 
 
Centrally Cleared Credit Default Swaps — Buy Protection
 
               
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.41.V2
    5.00 %       Quarterly       12/20/28       USD       6,009     $  (361,866   $ (77,025   $ (284,841
CDX.NA.IG.41.V1
    1.00       Quarterly        12/20/28        USD       24,430        (482,695     (369,718     (112,977
           
 
 
   
 
 
   
 
 
 
            $ (844,561 )     $ (446,743 )     $ (397,818
           
 
 
   
 
 
   
 
 
 
OTC Credit Default Swaps — Sell Protection
 
                   
 
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
 

 
 
 
Virgin Media Finance PLC
    5.00     Quarterly     
JPMorgan Chase Bank N.A.
     12/20/25        B     EUR      10        $ 780     $ 603     $ 177    
 
Jaguar Land Rover Automotive PLC
    5.00       Quarterly     
Bank of America N.A.
     12/20/26        BB     EUR      17          1,507       (460     1,967    
 
Jaguar Land Rover Automotive PLC
    5.00       Quarterly     
Barclays Bank PLC Morgan Stanley & Co.
     12/20/26        BB     EUR     
10  
 
 
     884       274       610    
 
CMA CGM SA
    5.00       Quarterly     
International PLC
     06/20/27        N/R     EUR      30          3,884       5,321       (1,437  
 
Ladbrokes Coral Group Ltd.
    1.00       Quarterly     
JPMorgan Chase Bank N.A.
     06/20/27        N/R     EUR      10          (89     (787     698    
 
Ladbrokes Coral Group Ltd.
    1.00       Quarterly     
JPMorgan Chase Bank N.A.
     06/20/27        N/R     EUR      2          (18     (251     233    
 
Adler Real Estate AG
    5.00       Quarterly     
Bank of America N.A.
     12/20/27        CCC+     EUR      7          (1,405     (1,346     (59  
 
Adler Real Estate AG
    5.00       Quarterly     
Barclays Bank PLC
     12/20/27        CCC+     EUR      4          (844     (792     (52  
 
Adler Real Estate AG
    5.00       Quarterly     
Barclays Bank PLC
     12/20/27        CCC+     EUR      12          (2,373     (2,227     (146  
 
Adler Real Estate AG
    5.00       Quarterly     
Citibank N.A.
     12/20/27        CCC+     EUR      4          (689     (664     (25  
 
Adler Real Estate AG
    5.00       Quarterly     
JPMorgan Chase Bank N.A.
     12/20/27        CCC+     EUR      8           (1,442     (1,390     (52  
 
 
114
 
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(continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
OTC Credit Default Swaps — Sell Protection (continued)
 
 
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)
 

 
 
 
 
Adler Real Estate AG
    5.00     Quarterly     
Morgan Stanley & Co. International PLC
     12/20/27        CCC+       EUR        5       $ (1,045   $ (991   $ (54  
 
United Group B.V.
    5.00       Quarterly     
JPMorgan Chase Bank N.A.
     12/20/27        B       EUR        11         498       (1,486     1,984        
 
Ladbrokes Coral Group Ltd.
    1.00       Quarterly     
JPMorgan Chase Bank N.A.
     06/20/28        N/R       EUR        9         (205     (564     359    
 
CMBX.NA.15
    3.00       Monthly     
Morgan Stanley & Co. International PLC
     11/15/64        N/R       USD        2,318         (425,642     (429,959     4,317    
                     
 
 
   
 
 
   
 
 
   
                      $  (426,199   $ (434,719   $ 8,520    
                     
 
 
   
 
 
   
 
 
   
 
 
(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.
 
OTC Total Return Swaps
 
Paid by the Fund      Received by the Fund   
Counterparty
  
Effective
Date
    
Termination
Date
   
Notional
Amount (000)
    
Value
    
 
Upfront
Premium
Paid
(Received)
   
Unrealized
Appreciation
(Depreciation)
 
 
    
 
Rate
 
Frequency
         
Reference
  
Frequency
1-Day SOFR, 5.38%
  Quarterly     
Markit iBoxx USD Liquid Leveraged Loan Index
   At Termination   
JPMorgan Chase Bank N.A.
     N/A        03/20/24     USD        3,200      $  46,504      $ (36,084   $ 82,588  
                          
 
 
    
 
 
   
 
 
 
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps
 
         
Description
 
Swap
Premiums
Paid
    
Swap
Premiums
Received
   
Unrealized
Appreciation
    
Unrealized
Depreciation
 
Centrally Cleared Swaps
(a)
  $      $ (446,743   $      $ (397,818
OTC Swaps
    6,198        (477,001     92,933        (1,825
 
 
(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.
 
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
 
               
    
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)
  $      $      $      $      $ 2,318,154      $      $ 2,318,154  
Swaps — OTC
                   
Unrealized appreciation on OTC swaps; Swap premiums paid
           16,543                      82,588               99,131  
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
  $    —      $ 16,543      $      $      $ 2,400,742      $      $ 2,417,285  
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Liabilities — Derivative Financial Instruments
                   
Futures contracts
                   
Unrealized depreciation on futures contracts
(a)
  $      $      $      $      $ 2,665,908      $      $ 2,665,908  
Forward foreign currency exchange contracts
                   
Unrealized depreciation on forward foreign currency exchange contracts
                         86,997                      86,997  
Swaps — centrally cleared
                   
Unrealized depreciation on centrally cleared swaps
(a)
           397,818                                    397,818  
Swaps — OTC
                   
Unrealized depreciation on OTC swaps; Swap premiums received
           442,742                      36,084               478,826  
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
  $      $  840,560      $     —      $ 86,997      $  2,701,992      $    —      $  3,629,549  
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
 
 
(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).
 
For the period ended December 31, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:
 
               
    
Commodity
Contracts
    
Credit
Contracts
   
Equity
Contracts
    
Foreign
Currency
Exchange
Contracts
   
Interest
Rate
Contracts
   
Other
Contracts
    
Total
 
Net Realized Gain (Loss) from:
                
Futures contracts
  $      $     $      $     $ (5,151,654   $      $ (5,151,654
Forward foreign currency exchange contracts
                        (42,027                  (42,027
Options purchased
(a)
           (4                               (4
Options written
           1,036                                 1,036  
Swaps
           (890,712                  1,779,763              889,051  
 
 
 
    
 
 
   
 
 
    
 
 
   
 
 
   
 
 
    
 
 
 
  $  —      $  (889,680   $      $ (42,027   $ (3,371,891   $      $ (4,303,598
 
 
 
    
 
 
   
 
 
    
 
 
   
 
 
   
 
 
    
 
 
 
Net Change in Unrealized Appreciation (Depreciation) on:
                
Futures contracts
  $      $     $      $     $ (1,141,192   $      $ (1,141,192
Forward foreign currency exchange contracts
                        (64,064                  (64,064
Swaps
           230,751                    (2,222,077            (1,991,326
 
 
 
    
 
 
   
 
 
    
 
 
   
 
 
   
 
 
    
 
 
 
  $    —      $ 230,751     $    —      $  (64,064   $  (3,363,269   $    —      $  (3,196,582
 
 
 
    
 
 
   
 
 
    
 
 
   
 
 
   
 
 
    
 
 
 
 
 
(a)
 
Options purchased are included in net realized gain (loss) from investments — unaffiliated.
 
Average Quarterly Balances of Outstanding Derivative Financial Instruments
 
   
Futures contracts:
 
Average notional value of contracts — long
  $ 200,375,666  
Average notional value of contracts — short
  $ 69,181,813  
Forward foreign currency exchange contracts:
 
Average amounts purchased — in USD
  $ 9,650,585  
Average amounts sold — in USD
  $ 96,870  
Options:
 
Average notional value of swaption contracts purchased
  $
(a)
 
Average notional value of swaption contracts written
  $
(a)
 
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Average Quarterly Balances of Outstanding Derivative Financial Instruments (continued)
 
   
Credit default swaps:
 
Average notional value — buy protection
  $  25,132,325  
Average notional value — sell protection
  $ 2,571,213  
Interest rate swaps:
 
Average notional value — pays fixed rate
  $
(a)
 
Average notional value — receives fixed rate
  $ 4,800,000  
Total return swaps:
 
Average notional value
  $ 799,965  
 
 
(a)
 
Derivative financial instrument not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period.
 
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
 
     
    
Assets
   
Liabilities
 
Derivative Financial Instruments
   
Futures contracts
  $ 125,117     $ 8,732  
Forward foreign currency exchange contracts
          86,997  
Swaps — centrally cleared
    7,650        
Swaps — OTC
(a)
    99,131       478,826  
 
 
 
   
 
 
 
Total derivative assets and liabilities in the Statements of Assets and Liabilities
    231,898        574,555  
 
 
 
   
 
 
 
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)
    (132,767     (8,732
 
 
 
   
 
 
 
Total derivative assets and liabilities subject to an MNA
  $ 99,131     $  565,823  
 
 
 
   
 
 
 
 
 
(a)
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.
 
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
 
           
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.
  $ 1,967      $ (1,865   $      $      $ 102  
Barclays Bank PLC
    884        (884                    
JPMorgan Chase Bank N.A.
    86,642        (40,614                   46,028  
Morgan Stanley & Co. International PLC
    9,638        (9,638                    
 
 
 
    
 
 
   
 
 
    
 
 
    
 
 
 
  $ 99,131      $ (53,001   $     —      $     —      $ 46,130  
 
 
 
    
 
 
   
 
 
    
 
 
    
 
 
 
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
           
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.
  $ 1,865      $ (1,865   $      $     $  
Barclays Bank PLC
    4,841        (884            (3,957      
BNP Paribas SA
    1,114                           1,114  
Citibank N.A.
    689                           689  
JPMorgan Chase Bank N.A.
    40,614        (40,614                   
Morgan Stanley & Co. International PLC
    432,680        (9,638            (423,042      
State Street Bank and Trust Co.
    15,126                           15,126  
UBS AG
    62,152                           62,152  
Westpac Banking Corp.
    6,742                           6,742  
 
 
 
    
 
 
   
 
 
    
 
 
   
 
 
 
  $ 565,823      $ (53,001   $     —      $   (426,999   $ 85,823  
 
 
 
    
 
 
   
 
 
    
 
 
   
 
 
 
 
 
(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.
 
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
 
                                                                                           
         
    
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets
       
Investments
       
Long-Term Investments
       
Asset-Backed Securities
 
$
 
 
$
35,166,689
 
 
$
878,506
 
 
$
36,045,195
 
Common Stocks
       
Construction & Engineering
 
 
4,305
  
 
 
  
 
 
  
 
 
4,305
 
Consumer Finance
 
 
 
 
 
216,378
 
 
 
 
 
 
216,378
 
Energy Equipment & Services
 
 
 
 
 
 
 
 
 
 
 
 
Financial Services
 
 
 
 
 
133,000
 
 
 
 
 
 
133,000
 
Health Care Providers & Services
 
 
 
 
 
 
 
 
92,408
 
 
 
92,408
 
Household Products
 
 
 
 
 
 
 
 
 
 
 
 
Industrial Conglomerates
 
 
 
 
 
8
 
 
 
—8
 
Media
 
 
 
 
 
 
 
 
122,740
 
 
 
122,740
 
Oil, Gas & Consumable Fuels
 
 
 
 
 
 
 
 
5,468
 
 
 
5,468
 
Corporate Bonds
       
Aerospace & Defense
 
 
 
 
 
15,608,553
 
 
 
 
 
 
15,608,553
 
Automobile Components
 
 
 
 
 
5,722,167
 
 
 
 
 
 
5,722,167
 
Automobiles
 
 
 
 
 
2,943,518
 
 
 
 
 
 
2,943,518
 
Banks
 
 
 
 
 
4,751,215
 
 
 
 
 
 
4,751,215
 
Beverages
 
 
 
 
 
784,193
 
 
 
 
 
 
784,193
 
Biotechnology
 
 
 
 
 
106,171
 
 
 
 
 
 
106,171
 
Broadline Retail
 
 
 
 
 
118,196
 
 
 
 
 
 
118,196
 
Building Products
 
 
 
 
 
5,172,820
 
 
 
 
 
 
5,172,820
 
Capital Markets
 
 
 
 
 
2,973,325
 
 
 
 
 
 
2,973,325
 
Chemicals
 
 
 
 
 
7,454,989
 
 
 
 
 
 
7,454,989
 
Commercial Services & Supplies
 
 
 
 
 
15,937,250
 
 
 
 
 
 
15,937,250
 
Communications Equipment
 
 
 
 
 
1,974,946
 
 
 
 
 
 
1,974,946
 
Construction & Engineering
 
 
 
 
 
2,218,951
 
 
 
 
 
 
2,218,951
 
Construction Materials
 
 
 
 
 
7,851,487
 
 
 
 
 
 
7,851,487
 
Consumer Finance
 
 
109,672
 
 
 
10,785,527
 
 
 
 
 
 
10,895,199
 
Consumer Staples Distribution & Retail
 
 
 
 
 
4,639,514
 
 
 
 
 
 
4,639,514
 
Containers & Packaging
 
 
 
 
 
10,532,116
 
 
 
 
 
 
10,532,116
 
Diversified Consumer Services
 
 
 
 
 
1,941,852
 
 
 
 
 
 
1,941,852
 
Diversified REITs
 
 
 
 
 
3,545,953
 
 
 
 
 
 
3,545,953
 
 
 
118
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Fair Value Hierarchy as of Period End (continued)
 
                                                                                           
         
    
Level 1
   
Level 2
   
Level 3
   
Total
 
Corporate Bonds (continued)
       
Diversified Telecommunication Services
 
$
113,436
 
 
$
16,446,651
 
 
$
 
 
$
16,560,087
 
Electric Utilities
 
 
 
 
 
4,760,543
 
 
 
 
 
 
4,760,543
 
Electrical Equipment
 
 
 
 
 
2,251,520
 
 
 
 
 
 
2,251,520
 
Electronic Equipment, Instruments & Components
 
 
 
 
 
1,776,751
 
 
 
 
 
 
1,776,751
 
Energy Equipment & Services
 
 
 
 
 
3,495,425
 
 
 
 
 
 
3,495,425
 
Entertainment
 
 
 
 
 
2,153,513
 
 
 
 
 
 
2,153,513
 
Environmental, Maintenance & Security Service
 
 
 
 
 
5,323,143
 
 
 
 
 
 
5,323,143
 
Financial Services
 
 
 
 
 
5,074,458
 
 
 
 
 
 
5,074,458
 
Food Products
 
 
 
 
 
3,347,315
 
 
 
 
 
 
3,347,315
 
Gas Utilities
 
 
  
 
 
390,237
  
 
 
  
 
 
390,237
 
Ground Transportation
 
 
 
 
 
5,642,686
 
 
 
 
 
 
5,642,686
 
Health Care Equipment & Supplies
 
 
 
 
 
5,214,171
 
 
 
 
 
 
5,214,171
 
Health Care Providers & Services
 
 
 
 
 
16,116,954
 
 
 
 
 
 
16,116,954
 
Health Care REITs
 
 
 
 
 
2,554,078
 
 
 
 
 
 
2,554,078
 
Health Care Technology
 
 
 
 
 
1,939,546
 
 
 
 
 
 
1,939,546
 
Hotel & Resort REITs
 
 
 
 
 
2,711,327
 
 
 
 
 
 
2,711,327
 
Hotels, Restaurants & Leisure
 
 
 
 
 
27,141,763
 
 
 
 
 
 
27,141,763
 
Household Durables
 
 
 
 
 
2,415,855
 
 
 
 
 
 
2,415,855
 
Household Products
 
 
 
 
 
474,993
 
 
 
 
 
 
474,993
 
Independent Power and Renewable Electricity Producers
 
 
 
 
 
3,669,763
 
 
 
 
 
 
3,669,763
 
Insurance
 
 
 
 
 
13,496,008
 
 
 
 
 
 
13,496,008
 
Interactive Media & Services
 
 
 
 
 
921,747
 
 
 
 
 
 
921,747
 
Internet Software & Services
 
 
 
 
 
1,292,201
 
 
 
 
 
 
1,292,201
 
IT Services
 
 
 
 
 
5,394,730
 
 
 
 
 
 
5,394,730
 
Leisure Products
 
 
 
 
 
610,781
 
 
 
 
 
 
610,781
 
Machinery
 
 
 
 
 
7,536,773
 
 
 
 
 
 
7,536,773
 
Marine Transportation
 
 
 
 
 
101,500
 
 
 
 
 
 
101,500
 
Media
 
 
 
 
 
28,818,572
 
 
 
 
 
 
28,818,572
 
Metals & Mining
 
 
 
 
 
9,870,188
 
 
 
 
 
 
9,870,188
 
Mortgage Real Estate Investment Trusts (REITs)
 
 
 
 
 
263,009
 
 
 
 
 
 
263,009
 
Office REITs
 
 
 
 
 
414,852
 
 
 
 
 
 
414,852
 
Oil, Gas & Consumable Fuels
 
 
 
 
 
44,907,252
 
 
 
1,127,151
 
 
 
46,034,403
 
Passenger Airlines
 
 
 
 
 
3,888,331
 
 
 
 
 
 
3,888,331
 
Personal Care Products
 
 
 
 
 
266,073
 
 
 
 
 
 
266,073
 
Pharmaceuticals
 
 
 
 
 
5,117,166
 
 
 
 
 
 
5,117,166
 
Professional Services
 
 
 
 
 
842,722
 
 
 
 
 
 
842,722
 
Real Estate Management & Development
 
 
 
 
 
1,411,965
 
 
 
 
 
 
1,411,965
 
Retail REITs
 
 
 
 
 
144,000
 
 
 
 
 
 
144,000
 
Semiconductors & Semiconductor Equipment
 
 
 
 
 
5,851,364
 
 
 
 
 
 
5,851,364
 
Software
 
 
 
 
 
14,348,588
 
 
 
 
 
 
14,348,588
 
Specialized REITs
 
 
 
 
 
786,839
 
 
 
 
 
 
786,839
 
Specialty Retail
 
 
 
 
 
1,319,090
 
 
 
 
 
 
1,319,090
 
Technology Hardware, Storage & Peripherals
 
 
 
 
 
1,052,619
 
 
 
 
 
 
1,052,619
 
Textiles, Apparel & Luxury Goods
 
 
 
 
 
413,854
 
 
 
 
 
 
413,854
 
Transportation Infrastructure
 
 
 
 
 
1,025,771
 
 
 
 
 
 
1,025,771
 
Water Utilities
 
 
 
 
 
895,294
 
 
 
 
 
 
895,294
 
Wireless Telecommunication Services
 
 
 
 
 
4,925,212
 
 
 
25,891
 
 
 
4,951,103
 
Floating Rate Loan Interests
 
 
 
 
 
295,693,397
 
 
 
8,429,727
 
 
 
304,123,124
 
Foreign Agency Obligations
 
 
 
 
 
3,335,507
 
 
 
 
 
 
3,335,507
 
Investment Companies
 
 
5,835,111
 
 
 
 
 
 
 
 
 
5,835,111
 
Non-Agency Mortgage-Backed Securities
 
 
 
 
 
15,306,929
 
 
 
 
 
 
15,306,929
 
Other Interests
 
 
 
 
 
 
 
 
 
 
 
 
Preferred Securities
       
Capital Trusts
 
 
 
 
 
27,136,595
 
 
 
 
 
 
27,136,595
 
Preferred Stocks
 
 
2,665,887
 
 
 
 
 
 
 
 
 
2,665,887
 
U.S. Government Sponsored Agency Securities
 
 
 
 
 
19,923,706
 
 
 
 
 
 
19,923,706
 
Warrants
 
 
6,686
 
 
 
 
 
 
 
 
 
6,686
 
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
Fair Value Hierarchy as of Period End (continued)
 
                                                                                           
         
    
Level 1
   
Level 2
   
Level 3
   
Total
 
Short-Term Securities
       
Money Market Funds
 
$
5,762,133
  
 
$
  
 
$
  
 
$
5,762,133
 
Unfunded Floating Rate Loan Interests
(a)
 
 
 
 
 
 
 
 
470
 
 
 
470
 
Liabilities
       
Investments
       
TBA Sale Commitments
 
 
 
 
 
(5,363,516
 
 
 
 
 
(5,363,516
 
 
 
   
 
 
   
 
 
   
 
 
 
 
$
 14,497,230
 
 
$
 765,428,629
 
 
$
 10,682,361
 
 
 
790,608,220
 
 
 
 
   
 
 
   
 
 
   
 
 
 
Investments Valued at NAV
(b)
       
 
547
 
       
 
 
 
       
$
 790,608,767
 
       
 
 
 
Derivative Financial Instruments
(c)
       
Assets
       
Credit Contracts
 
$
 
 
$
10,345
 
 
$
 
 
$
10,345
 
Interest Rate Contracts
 
 
2,318,154
 
 
 
82,588
 
 
 
 
 
 
2,400,742
 
Liabilities
       
Credit Contracts
 
 
 
 
 
(399,643
 
 
 
 
 
(399,643
Foreign Currency Exchange Contracts
 
 
 
 
 
(86,997
 
 
 
 
 
(86,997
Interest Rate Contracts
 
 
(2,665,908
 
 
 
 
 
 
 
 
(2,665,908
 
 
 
   
 
 
   
 
 
   
 
 
 
 
$
(347,754
 
$
(393,707
 
$
 
 
$
(741,461
 
 
 
   
 
 
   
 
 
   
 
 
 
 
 
(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 as a practical expedient 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.
 
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $276,235,400 are categorized as Level 2 within the fair value hierarchy.
A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
 
 
 
   
Asset-Backed
Securities
   
Common
Stocks
   
Corporate
Bonds
   
Floating
Rate Loan
Interests
   
Non-Agency
Mortgage-Backed
Securities
   
Other
Interests
   
Unfunded
Floating
Rate Loan
Interests
 
 
 
Assets
             
Opening balance, as of December 31, 2022
  $ 1,354,025     $ 6,098     $ 1,198,484     $  3,710,331     $ 384,933     $
 
(a)
 
  $  
Transfers into Level 3
(b)
                124,833       1,657,588                    
Transfers out of Level 3
(c)
    (500,001                 (1,235,844     (384,933            
Accrued discounts/premiums
    (25,409                 179,341                    
Net realized gain (loss)
          (100,300     (197,646     (41,583                  
Net change in unrealized appreciation (depreciation)
(d)(e)
    49,891       (103,780     98,621       37,279                   470  
Purchases
          418,983       30,129       5,952,245                    
Sales
          (385     (101,379     (1,829,630                  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Closing balance, as of December 31, 2023
  $ 878,506     $ 220,616     $  1,153,042     $  8,429,727     $     $
(a)
 
  $ 470  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2023
(e)
  $ 49,891     $  (203,837   $ 98,621     $ (18,517   $     $     $ 470  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
 
 
   
Total
 
 
 
Assets
 
Opening balance, as of December 31, 2022
  $  6,653,871  
Transfers into Level 3
(b)
    1,782,421  
Transfers out of Level 3
(c)
    (2,120,778
Accrued discounts/premiums
    153,932  
Net realized gain (loss)
    (339,529
Net change in unrealized appreciation (depreciation)
(d)(e)
    82,481  
 
 
120
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Limited Duration Income Trust (BLW)
 
 
 
   
Total
 
 
 
Purchases
  $ 6,401,357  
Sales
    (1,931,394
 
 
 
 
Closing balance, as of December 31, 2023
  $  10,682,361  
 
 
 
 
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2023
(e)
  $ (73,372
 
 
 
 
 
 
(a)
 
Rounds to less than $1.
 
 
(b)
 
As of December 31, 2022, the Fund used observable inputs in determining the value of certain investments. As of December 31, 2023, 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, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of December 31, 2023, 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 December 31, 2023 is generally due to investments no longer held or categorized as Level 3 at period end.
 
The Fund’s financial instruments that are categorized as Level 3 were valued utilizing third-party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third-party information could result in a significantly lower or higher value of such Level 3 financial instruments.
See notes to financial statements.
 
 
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  121

Schedule of Investments
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Asset-Backed Securities
                 
Allegro CLO V Ltd., Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.21%), 6.61%, 10/16/30
(a)(b)
    USD       460     $ 459,968  
ALM Ltd., Series 2020-1A, Class D, (3-mo. CME Term SOFR + 6.26%), 11.66%, 10/15/29
(a)(b)
      287       280,150  
American Homes 4 Rent Trust, Series 2014-SFR2, Class E, 6.23%, 10/17/36
(b)
      2,000       1,991,550  
Anchorage Capital CLO Ltd., Series 2015-7A, Class D1R2, (3-mo. CME Term SOFR + 3.76%), 9.15%, 01/28/31
(a)(b)
      250       244,778  
Apidos CLO XXVI, Series 2017-26A, Class A1AR, (3-mo. CME Term SOFR + 1.16%), 6.56%, 07/18/29
(a)(b)
      372       371,068  
Apidos CLO XXVII, Series 2017-27A, Class A1R, (3-mo. CME Term SOFR + 1.19%), 6.59%, 07/17/30
(a)(b)
      214       213,496  
Ares LXVIII CLO Ltd., Series 2023-68A, Class E, (3-mo. CME Term SOFR + 8.55%), 13.93%, 04/25/35
(a)(b)
      380       380,337  
Ares XL CLO Ltd., Series 2016-40A, Class A1RR, (3-mo. CME Term SOFR + 1.13%), 6.53%, 01/15/29
(a)(b)
      618       617,225  
ARES XLVII CLO Ltd., Series 2018-47A, Class A1, (3-mo. CME Term SOFR + 1.18%), 6.58%, 04/15/30
(a)(b)
      232       232,294  
Argent Securities Trust, Series 2006-W5, Class A1, (1-mo. Term SOFR + 0.41%), 5.77%, 06/25/36
(a)
      3,982        2,554,724  
Atrium XIII, Series 13A, Class A2, (3-mo. CME Term SOFR + 1.51%), 6.92%, 11/21/30
(a)(b)
      250       247,353  
Atrium XV, Series 15A, Class D, (3-mo. CME Term SOFR + 3.26%),
8.67%, 01/23/31
(a)(b)
      550       540,577  
Bain Capital Credit CLO Ltd., Series 2020-2A, Class DR, (3-mo. CME Term SOFR + 3.56%), 8.96%, 07/19/34
(a)(b)
      250       239,939  
Ballyrock CLO Ltd.
(a)(b)
     
Series 2020-14A, Class D, (3-mo. CME Term SOFR + 7.26%), 12.68%, 01/20/34
      250       250,001  
Series 2022-21A, Class D, (3-mo. CME Term SOFR + 8.76%), 14.18%, 10/20/35
      500       499,468  
Barings CLO Ltd., Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.41%), 8.81%, 07/15/34
(a)(b)
      250       243,835  
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 2A, (1-mo. Term SOFR + 0.39%), 5.75%, 11/25/36
(a)
      866       844,087  
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A1R2, (3-mo. CME Term SOFR + 1.13%),
6.53%, 07/15/29
(a)(b)
      44       44,495  
Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class CR, (3-mo. CME Term SOFR + 2.31%),
7.71%, 07/15/34
(a)(b)
      250       248,839  
BlueMountain CLO Ltd., Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.44%), 6.85%, 10/22/30
(a)(b)
      345       345,454  
BlueMountain Fuji U.S. CLO II Ltd., Series 2017-2A, Class A1AR, (3-mo. CME Term SOFR + 1.26%),
6.68%, 10/20/30
(a)(b)
      3,099       3,097,920  
Carlyle Global Market Strategies CLO Ltd., Series 2015-1A, Class AR3, (3-mo. CME Term SOFR + 1.24%),
6.66%, 07/20/31
(a)(b)
      1,580       1,579,680  
Security
        
Par
(000)
   
Value
 
Asset-Backed Securities (continued)
 
Carlyle U.S. CLO Ltd.
(a)(b)
     
Series 2018-4A, Class A2, (3-mo. CME Term SOFR + 2.06%), 7.48%, 01/20/31
    USD       250     $ 249,729  
Series 2020-2A, Class CR, (3-mo. CME Term SOFR + 3.46%), 8.84%, 01/25/35
      250       243,641  
Carrington Mortgage Loan Trust
(a)
     
Series 2006-FRE2, Class A2, (1-mo. Term SOFR + 0.23%), 5.59%, 10/25/36
      2,768        2,127,978  
Series 2006-FRE2, Class A5, (1-mo. Term SOFR + 0.19%), 5.55%, 03/25/35
      5,701       4,381,911  
CarVal CLO III Ltd., Series 2019-2A, Class E, (3-mo. CME Term SOFR + 6.70%), 12.12%, 07/20/32
(a)(b)
      500       479,718  
CBAM Ltd., Series 2017-1A, Class A1, (3-mo. CME Term SOFR + 1.51%), 6.93%, 07/20/30
(a)(b)
      944       943,902  
C-BASS Trust, Series 2006-CB7, Class A4,
(1-mo. Term SOFR + 0.43%), 5.79%, 10/25/36
(a)
      4,037       2,528,727  
Cedar Funding XV CLO Ltd., Series 2022-15A, Class B,
(3-mo.
CME Term SOFR + 1.80%), 7.22%, 04/20/35
(a)(b)
      400       395,002  
CIFC Funding Ltd.
(a)(b)
     
Series 2013-4A, Class A1RR, (3-mo. CME Term SOFR + 1.32%), 6.71%, 04/27/31
      248       247,664  
Series 2014-5A, Class A1R2, (3-mo. CME Term SOFR + 1.46%), 6.86%, 10/17/31
      550       550,869  
Series 2016-1A, Class 1A, (3-mo. CME Term SOFR + 1.96%), 7.37%, 10/21/31
      750       746,270  
Series 2017-4A, Class A1R, (3-mo. CME Term SOFR + 1.21%), 6.61%, 10/24/30
      422       421,222  
Series 2020-1A, Class DR, (3-mo. CME Term SOFR + 3.36%), 8.76%, 07/15/36
      500       489,694  
Series 2022-7A, Class D, (3-mo. CME Term SOFR + 5.35%), 10.76%, 10/22/35
      250       250,174  
Series 2022-7A, Class E, (3-mo. CME Term SOFR + 8.94%), 14.35%, 10/22/35
      500       511,555  
Citigroup Mortgage Loan Trust, Series 2006-FX1, Class A7, 7.28%, 10/25/36
      326       187,414  
Clear Creek CLO, Series 2015-1A, Class DR, (3-mo. CME Term SOFR + 3.21%), 8.63%, 10/20/30
(a)(b)
      250       249,887  
Countrywide Asset-Backed Certificates Trust, Series 2006-26, Class 1A, (1-mo. Term SOFR + 0.25%), 5.61%, 06/25/37
(a)
      495       454,221  
CWHEQ Revolving Home Equity Loan Trust, Series 2006-I, Class 1A, (1-mo. Term SOFR + 0.25%), 5.62%, 01/15/37
(a)
      379       343,808  
Deer Creek CLO Ltd., Series 2017-1A, Class A, (3- mo. CME Term SOFR + 1.44%), 6.86%, 10/20/30
(a)(b)
      297       297,285  
Dryden CLO Ltd., Series 2022-106A, Class E, (3-mo. CME Term SOFR + 8.87%), 14.26%, 10/15/35
(a)(b)
      500       501,657  
Dryden Senior Loan Fund, Series 2015-37A, Class AR, (3-mo. CME Term SOFR + 1.36%), 6.76%, 01/15/31
(a)(b)
      236       236,466  
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR, (3-mo. CME Term SOFR + 1.16%), 6.56%, 04/15/29
(a)(b)
      369       368,478  
Elmwood CLO 14 Ltd., Series 2022-1A, Class E, (3-mo. CME Term SOFR + 6.35%), 11.77%, 04/20/35
(a)(b)
      415       409,330  
 
 
122
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Asset-Backed Securities (continued)
 
Elmwood CLO 22 Ltd, Series 2023-1A, Class E, (3- mo. CME Term SOFR + 7.65%), 13.05%, 04/17/36
(a)(b)
    USD       500     $ 500,261  
Elmwood CLO IV Ltd., Series 2020-1A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.36%, 04/15/33
(a)(b)
      250       249,854  
FirstKey Homes Trust, Series 2022-SFR1, Class E1, 5.00%, 05/19/39
(b)
      3,800        3,541,513  
Flatiron CLO Ltd., Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.21%), 6.61%, 04/17/31
(a)(b)
      1,280       1,278,584  
Fremont Home Loan Trust
(a)
     
Series 2006-A, Class 2A3, (1-mo. Term SOFR + 0.43%), 5.79%, 05/25/36
      4,080       2,348,434  
Series 2006-D, Class 2A3, (1-mo. Term SOFR + 0.26%), 5.62%, 11/25/36
      6,140       2,081,278  
Galaxy CLO Ltd., Series 2023-31A, Class E, (3-mo. CME Term SOFR + 8.43%), 13.82%, 04/15/36
(a)(b)
      300       301,088  
Galaxy XXI CLO Ltd., Series 2015-21A, Class ER, (3-mo. CME Term SOFR + 5.51%), 10.93%, 04/20/31
(a)(b)
      500       469,019  
Galaxy XXVI CLO Ltd., Series 2018-26A, Class A, (3-mo. CME Term SOFR + 1.46%), 6.83%, 11/22/31
(a)(b)
      750       750,073  
Galaxy XXVII CLO Ltd., Series 2018-28A, Class A1, (3-mo. CME Term SOFR + 1.36%), 6.76%, 07/15/31
(a)(b)
      487       486,774  
Generate CLO Ltd.
(a)(b)
     
Series 2A, Class DR, (3-mo. CME Term SOFR + 2.86%), 8.27%, 01/22/31
      600       588,027  
Series 2A, Class ER, (3-mo. CME Term SOFR + 5.91%), 11.32%, 01/22/31
      250       239,311  
Gilbert Park CLO Ltd., Series 2017-1A, Class A, (3- mo. CME Term SOFR + 1.45%), 6.85%, 10/15/30
(a)(b)
      425       425,265  
GoldenTree Loan Management U.S. CLO
Ltd.
(a)(b)
     
Series 2017-2A, Class AR, (3-mo. CME Term SOFR + 1.17%), 6.59%, 11/20/30
      855       854,368  
Series 2018-3A, Class D, (3-mo. CME Term SOFR + 3.11%), 8.53%, 04/20/30
      250       246,257  
Series 2019-5A, Class BR, (3-mo. CME Term SOFR + 1.81%), 7.23%, 10/20/32
      250       249,953  
Goldentree Loan Opportunities X Ltd., Series 2015- 10A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.80%, 07/20/31
(a)(b)
      500       500,304  
GoldenTree Loan Opportunities X Ltd., Series 2015- 10A, Class DR, (3-mo. CME Term SOFR + 3.31%), 8.73%, 07/20/31
(a)(b)
      250       247,592  
Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-E, Class 2A3, (1-mo. Term SOFR + 0.28%), 5.64%, 04/25/37
(a)
      3,273       2,231,575  
HPS Loan Management Ltd., Series 8A-2016, Class ER, (3-mo. CME Term SOFR + 5.76%), 11.18%, 07/20/30
(a)(b)
      1,000       939,602  
LCM XXIV Ltd., Series 24A, Class AR, (3-mo. CME Term SOFR + 1.24%), 6.66%, 03/20/30
(a)(b)
      160       159,730  
Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A3, (1-mo. Term SOFR + 0.43%), 5.79%, 08/25/36
(a)
      4,938       1,926,523  
Madison Park Funding LXIII Ltd., Series 2023-63A, Class E, (3-mo. CME Term SOFR + 8.57%),
13.98%, 04/21/35
(a)(b)
      350       351,151  
Security
        
Par
(000)
   
Value
 
Asset-Backed Securities (continued)
 
Madison Park Funding XLVIII Ltd., Series 2021-48A, Class E, (3-mo. CME Term SOFR + 6.51%), 11.91%, 04/19/33
(a)
    USD       500     $ 495,018  
Madison Park Funding XVII Ltd., Series 2015-17A, Class DR, (3-mo. CME Term SOFR + 3.86%), 9.27%, 07/21/30
(a)(b)
      500       492,682  
Madison Park Funding XVIII Ltd., Series 2015-18A, Class DR, (3-mo. CME Term SOFR + 3.21%), 8.62%, 10/21/30
(a)(b)
      250       240,111  
Madison Park Funding XXIX Ltd.
(a)(b)
     
Series 2018-29A, Class D, (3-mo. CME Term SOFR + 3.26%), 8.66%, 10/18/30
      565       556,764  
Series 2018-29A, Class E, (3-mo. CME Term SOFR + 5.96%), 11.36%, 10/18/30
      500       480,911  
Madison Park Funding XXV Ltd., Series 2017-25A, Class A1R, (3-mo. CME Term SOFR + 1.23%), 6.61%, 04/25/29
(a)(b)
      957       956,460  
Madison Park Funding XXVI Ltd., Series 2007-4A, Class DR, (3-mo. LIBOR US + 3.00%), 8.65%, 07/29/30
(a)(b)
      250       247,692  
Madison Park Funding XXX Ltd., Series 2018-30A, Class A, (3-mo. CME Term SOFR + 1.01%), 6.41%, 04/15/29
(a)(b)
      233       232,364  
Madison Park Funding XXXVII Ltd., Series 2019- 37A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.31%, 07/15/33
(a)(b)
      800       800,250  
MASTR Asset-Backed Securities Trust, Series 2006- HE2, Class A3, (1-mo. Term SOFR + 0.41%), 5.77%, 06/25/36
(a)
      6,918        2,447,567  
Neuberger Berman CLO XV, Series 2013-15A, Class A1R2, (3-mo. CME Term SOFR + 1.18%), 6.58%, 10/15/29
(a)(b)
      474       473,576  
Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ERR, (3-mo. CME Term SOFR + 6.76%), 12.16%, 07/15/34
(a)(b)
      710       697,238  
Neuberger Berman Loan Advisers CLO Ltd.
(a)(b)
     
Series 2017-25A, Class AR, (3-mo. CME Term SOFR + 1.19%), 6.59%, 10/18/29
      1,349       1,349,811  
Series 2017-26A, Class AR, (3-mo. CME Term SOFR + 1.18%), 6.58%, 10/18/30
      240       240,030  
Series 2020-37A, Class CR, (3-mo. CME Term SOFR + 2.06%), 7.48%, 07/20/31
      400       396,322  
Series 2021- 46A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.33%, 01/20/36
      250       248,855  
Neuberger Berman Loan Advisers NBLA CLO
Ltd.
(a)(b)
     
Series 2022-52A, Class D, (3-mo. CME Term SOFR + 5.75%), 11.15%, 10/24/35
      550       547,208  
Series 2022-52A, Class E, (3-mo. CME Term SOFR + 8.81%), 14.21%, 10/24/35
      250       254,799  
OCP CLO Ltd.
(a)(b)
     
Series 2015-9A, Class A1R2, (3-mo. CME Term SOFR + 1.25%), 6.64%, 01/15/33
      550       548,522  
Series 2017-13A, Class A1AR, (3-mo. CME Term SOFR + 1.22%), 6.62%, 07/15/30
      573       572,161  
Series 2017-14A, Class A2, (3-mo. CME Term SOFR + 1.76%), 7.13%, 11/20/30
      400       398,801  
Series 2019-17A, Class A1R, (3-mo. CME Term SOFR + 1.30%), 6.72%, 07/20/32
      500       497,719  
Octagon Investment Partners 31 Ltd., Series 2017- 1A, Class E, (3-mo. CME Term SOFR + 6.56%), 11.98%, 07/20/30
(a)(b)
      500       463,257  
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Asset-Backed Securities (continued)
 
Octagon Investment Partners 32 Ltd., Series 2017- 1A, Class A1R, (3-mo. CME Term SOFR + 1.21%),
6.61%, 07/15/29
(a)(b)
    USD       204     $ 204,284  
Octagon Investment Partners XIV Ltd., Series 2012- 1A, Class AARR, (3-mo. CME Term SOFR + 1.21%),
6.61%, 07/15/29
(a)(b)
      305       304,193  
Octagon Investment Partners XV Ltd., Series 2013- 1A, Class A1RR, (3-mo. CME Term SOFR + 1.23%),
6.63%, 07/19/30
(a)(b)
      2,422        2,418,888  
Octagon Investment Partners XVII Ltd., Series 2013- 1A, Class BR2, (3-mo. CME Term SOFR + 1.66%),
7.04%, 01/25/31
(a)(b)
      250       248,435  
Octagon Investment Partners XXI Ltd., Series 2014- 1A, Class AAR3, (3-mo. CME Term SOFR + 1.26%),
6.64%, 02/14/31
(a)(b)
      500       499,183  
Octagon Investment Partners XXII Ltd., Series 2014- 1A, Class DRR, (3-mo. CME Term SOFR + 3.01%),
8.42%, 01/22/30
(a)(b)
      500       476,235  
OHA Credit Partners XI Ltd., Series 2015-11A, Class DR, (3-mo. CME Term SOFR + 3.21%), 8.63%, 01/20/32
(a)(b)
      250       246,508  
OZLM VII Ltd., Series 2014-7RA, Class A1R, (3-mo. CME Term SOFR + 1.27%), 6.67%, 07/17/29
(a)(b)
      314       314,350  
OZLM VIII Ltd., Series 2014-8A, Class A1R3, (3-mo. CME Term SOFR + 1.24%), 6.64%, 10/17/29
(a)(b)
      556       555,844  
OZLM XXI Ltd., Series 2017-21A, Class D,
(3-mo. CME Term SOFR + 5.80%), 11.22%, 01/20/31
(a)(b)
.
      250       232,444  
Palmer Square CLO Ltd., Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.39%), 6.79%, 01/17/31
(a)(b)
      487       487,095  
Palmer Square Loan Funding Ltd.
(a)(b)
     
Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.16%), 6.58%, 04/20/29
      168       168,076  
Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.06%), 6.48%, 07/20/29
      804       803,022  
Series 2022-1A, Class A1, (3-mo. CME Term SOFR + 1.05%), 6.44%, 04/15/30
      189       188,192  
Rad CLO Ltd.
(a)(b)
     
Series 2018-1A, Class AR, (3-mo. CME Term SOFR + 1.24%), 6.64%, 07/15/31
      643       642,740  
Series 2019-6A, Class E, (3-mo. CME Term SOFR + 7.79%), 13.21%, 01/20/33
      500       498,150  
Series 2022-17A, Class E, (3-mo. CME Term SOFR + 8.30%), 13.72%, 10/20/35
      250       250,673  
Regatta IX Funding Ltd., Series 2022-1A, Class D, (3-mo. CME Term SOFR + 4.16%), 9.56%, 04/17/30
(a)(b)
      250       249,243  
Regatta VIII Funding Ltd., Series 2017-1A, Class A, (3-mo. CME Term SOFR + 1.51%), 6.91%, 10/17/30
(a)(b)
      349       349,024  
Regatta XI Funding Ltd., Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.33%), 6.73%, 07/17/31
(a)(b)
      239       239,557  
Regatta XVIII Funding Ltd., Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.71%), 7.11%, 01/15/34
(a)(b)
      850       845,092  
Regatta XXV Funding Ltd., Series 2025, Class E, (3-mo. CME Term SOFR + 8.41%), 13.66%, 07/15/36
(a)
      500       512,854  
Regional Management Issuance Trust, Series 2021-3, Class A, 3.88%, 10/17/33
(c)
      1,110       981,018  
Security
        
Par
(000)
   
Value
 
Asset-Backed Securities (continued)
       
Renaissance Home Equity Loan Trust, Series 2007-3, Class AF2, 7.00%, 09/25/37
    USD       3,499     $  1,463,366  
Rockford Tower CLO Ltd., Series 2017-2A, Class DR, (3-mo. CME Term SOFR + 3.11%), 8.51%, 10/15/29
(a)(b)
      500       492,547  
RRX Ltd., Series 2020-1A, Class E, (3-mo. CME Term SOFR + 6.71%), 12.11%, 04/15/33
(a)(b)
      500       493,167  
Saxon Asset Securities Trust, Series 2007-3, Class 2A3, (1-mo. Term SOFR + 0.51%), 5.87%, 09/25/47
(a)
      3,355       3,049,038  
Scholar Funding Trust, Series 2013-A, Class R, 0.00%, 01/30/45
(c)
     
(d)
 
    661,984  
Signal Peak CLO Ltd., Series 2017-4A, Class XR, (3-mo. CME Term SOFR + 1.21%), 6.59%, 10/26/34
(a)(b)
      1,100       1,099,802  
SoFi Personal Loan Trust, Series 2023-1, Class A, 6.00%, 11/12/30
(c)
      400       401,500  
Southwick Park CLO LLC, Series 2019-4A, Class A1R, (3-mo. CME Term SOFR + 1.32%), 6.74%, 07/20/32
(a)(b)
      250       249,394  
Stratus Static CLO Ltd., Series 2022-3A, Class D, (3-mo. CME Term SOFR + 5.29%), 10.71%, 10/20/31
(a)(b)
      500       505,422  
Symphony CLO XV Ltd., Series 2014-15A, Class AR3, (3-mo. CME Term SOFR + 1.34%), 6.74%, 01/17/32
(a)(b)
      500       499,167  
Symphony CLO XXXII Ltd., Series 2022-32A, Class B, (3-mo. CME Term SOFR + 1.85%), 7.26%, 04/23/35
(a)(b)
      600       593,595  
TCI-Flatiron CLO Ltd., Series 2016-1A, Class AR3, (3-mo. CME Term SOFR + 1.10%), 6.50%, 01/17/32
(a)(b)
      1,178       1,174,643  
TCI-Symphony CLO Ltd., Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.19%), 6.59%, 07/15/30
(a)(b)
      2,206       2,204,511  
TICP CLO IX Ltd., Series 2017-9A, Class D, (3-mo. CME Term SOFR + 3.16%), 8.58%, 01/20/31
(a)(b)
      250       249,973  
TICP CLO VIII Ltd., Series 2017-8A, Class A2R, (3- mo. CME Term SOFR + 1.96%), 7.38%, 10/20/34
(a)(b)
      250       248,256  
Trestles CLO IV Ltd., Series 2021-4A, Class B1, (3-mo. CME Term SOFR + 1.96%), 7.37%, 07/21/34
(a)(b)
      1,000       999,115  
Trestles CLO Ltd., Series 2017-1A, Class CR, (3-mo. CME Term SOFR + 3.16%), 8.54%, 04/25/32
(a)(b)
      250       243,527  
Trimaran Cavu Ltd., Series 2021-1A, Class E, (3-mo. CME Term SOFR + 6.76%), 12.17%, 04/23/32
(a)(b)
      375       360,230  
Trimaran CAVU Ltd.
(a)
     
Series 2022-1, Class E, (3-mo. CME Term SOFR + 9.08%), 14.49%, 10/22/35
      500       500,456  
Series 2022-2A, Class D, (3-mo. CME Term SOFR + 6.12%), 11.54%, 01/20/36
(b)
      1,100       1,121,662  
Series 2022-2A, Class E, (3-mo. CME Term SOFR + 8.81%), 14.23%, 01/20/36
(b)
      500       501,309  
Series 2023-1, Class E, (3-mo. CME Term SOFR + 8.94%), 14.28%, 07/20/36
      500       498,671  
Unique Pub Finance Co. PLC, Series N, 6.46%, 03/30/32
(e)
    GBP       31       39,721  
Voya CLO Ltd.
(a)
     
Series 2021-1A, Class D, (3-mo. CME Term SOFR + 3.41%), 8.81%, 07/15/34
(b)
    USD       250       242,613  
 
 
124
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Asset-Backed Securities (continued)
       
Voya CLO Ltd.
(a)
(continued)
     
Series 2022-4, Class E, (3-mo. CME Term SOFR + 7.50%), 12.92%, 10/20/33
    USD       350     $ 346,712  
Voya Ltd., Series 2012-4A, Class A1R3, (3-mo. CME Term SOFR + 1.26%), 6.66%, 10/15/30
(a)(b)
      405       405,766  
WaMu Asset-Backed Certificates WaMu Trust, Series 2007-HE3, Class 2A3,
(1-mo. Term SOFR + 0.35%), 5.71%, 05/25/37
(a)
      5,565       4,766,961  
Whetstone Park CLO Ltd., Series 2021-1A, Class B1, (3-mo. CME Term SOFR + 1.86%), 7.28%, 01/20/35
(a)(b)
      275       273,763  
     
 
 
 
Total Asset-Backed Securities — 18.5%
(Cost: $107,829,281)
         103,150,465  
     
 
 
 
           
Shares
        
Common Stocks
     
Aerospace & Defense — 0.4%
                 
RTX Corp.
      25,650       2,158,191  
     
 
 
 
Building Products — 0.2%
                 
Carrier Global Corp.
      25,650       1,473,592  
     
 
 
 
Machinery — 0.2%
                 
Otis Worldwide Corp.
      12,825       1,147,453  
     
 
 
 
Total Common Stocks — 0.8%
(Cost: $2,964,200)
        4,779,236  
     
 
 
 
           
Par
(000)
        
Corporate Bonds
     
Aerospace & Defense — 3.9%
                 
Bombardier, Inc.
(b)
     
7.13%, 06/15/26
(f)
    USD       1,023       1,018,224  
7.88%, 04/15/27
(f)
      222       222,039  
6.00%, 02/15/28
(f)
      683       665,430  
7.50%, 02/01/29
(f)
      591       600,798  
8.75%, 11/15/30
      607       646,275  
7.45%, 05/01/34
      286       326,040  
Embraer Netherlands Finance BV, 7.00%, 07/28/30
(b)
      734       766,949  
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26
(b)(f)
      864       844,434  
Lockheed Martin Corp., 4.09%, 09/15/52
(f)
      451       400,659  
Northrop Grumman Corp., 3.85%, 04/15/45
(f)
      680       571,168  
Rolls-Royce PLC, 5.75%, 10/15/27
(b)
      1,745       1,747,998  
RTX Corp., 3.75%, 11/01/46
(f)
      700       555,792  
Spirit AeroSystems, Inc.
(b)
     
9.38%, 11/30/29
(f)
      621       679,544  
9.75%, 11/15/30
      531       570,811  
TransDigm, Inc.
(b)
     
6.25%, 03/15/26
(f)
      6,464       6,452,832  
6.75%, 08/15/28
(f)
      2,778       2,842,122  
Security
        
Par
(000)
   
Value
 
Aerospace & Defense (continued)
                 
TransDigm, Inc.
(b)
(continued)
     
7.13%, 12/01/31
    USD       1,265     $ 1,325,613  
Triumph Group, Inc., 9.00%, 03/15/28
(b)(f)
      1,250       1,329,181  
     
 
 
 
         21,565,909  
Air Freight & Logistics
(f)
— 0.2%
                 
FedEx Corp.
     
3.90%, 02/01/35
      500       456,656  
4.75%, 11/15/45
      500       460,638  
     
 
 
 
        917,294  
Automobile Components — 1.3%
                 
Aptiv PLC, 4.40%, 10/01/46
(f)
      280       226,606  
Clarios Global LP, 6.75%, 05/15/25
(b)
      140       141,232  
Clarios Global LP/Clarios U.S. Finance Co.
     
4.38%, 05/15/26
(e)
    EUR       423       462,995  
6.25%, 05/15/26
(b)(f)
    USD       770       770,999  
8.50%, 05/15/27
(b)(f)
      3,576       3,588,466  
6.75%, 05/15/28
(b)(f)
      1,121       1,143,661  
Dana Financing Luxembourg SARL, 8.50%, 07/15/31
(e)
    EUR       100       120,580  
Forvia SE, 3.75%, 06/15/28
(e)
      100       108,037  
Goodyear Tire & Rubber Co.
     
5.00%, 07/15/29
(f)
    USD       132       124,717  
5.63%, 04/30/33
      137       122,805  
IHO Verwaltungs GmbH, (4.63% PIK), 3.88%, 05/15/27
(e)(g)
    EUR       100       107,834  
Tenneco, Inc., 8.00%, 11/17/28
(b)
    USD       32       27,320  
ZF Europe Finance BV, 6.13%, 03/13/29
(e)
    EUR       100       117,189  
ZF Finance GmbH, 2.00%, 05/06/27
(e)
      100       101,864  
     
 
 
 
        7,164,305  
Automobiles — 0.7%
                 
Asbury Automotive Group, Inc.
     
4.50%, 03/01/28
    USD       22       20,894  
5.00%, 02/15/32
(b)
      168       152,679  
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28
(b)
      231       228,690  
Ford Motor Co.
(f)
     
3.25%, 02/12/32
      113       93,983  
6.10%, 08/19/32
      331       333,658  
General Motors Co., 6.25%, 10/02/43
(f)
      2,194       2,238,150  
LCM Investments Holdings II LLC
(b)
     
4.88%, 05/01/29
      55       51,090  
8.25%, 08/01/31
      328       342,335  
RCI Banque SA, (5-year EUR Swap + 2.85%), 2.63%, 02/18/30
(a)(e)
    EUR       100       106,752  
TML Holdings Pte. Ltd., 4.35%, 06/09/26
(e)(f)
    USD       200       189,813  
Wabash National Corp., 4.50%, 10/15/28
(b)(f)
      281       253,551  
     
 
 
 
        4,011,595  
Banks — 1.4%
                 
Banco BPM SpA
(a)
     
(3-mo. EURIBOR + 2.80%), 6.00%, 06/14/28
    EUR       150       173,229  
(5-year EUR Swap + 3.17%), 2.88%, 06/29/31
(e)
      100       104,323  
Banco de Sabadell SA, (1-year EUR Swap + 2.40%), 5.25%, 02/07/29
(a)(e)
      100       113,943  
Banco Santander SA, 6.92%, 08/08/33
    USD       400       426,266  
Bangkok Bank PCL/Hong Kong
     
5.50%, 09/21/33
      271       278,417  
(5-year CMT + 4.73%), 5.00%
(a)
      505       486,063  
Barclays PLC, 5.20%, 05/12/26
(f)
      200       198,704  
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Banks (continued)
                 
Citigroup, Inc., (1-day SOFR + 2.66%), 6.17%, 05/25/34
(a)(f)
    USD       560     $ 579,474  
Commerzbank AG, (5-year EUR Swap + 6.36%), 6.13%
(a)(e)(h)
    EUR       200       212,786  
Credit Suisse AG/New York, 5.00%, 07/09/27
(f)
    USD       900       900,190  
Deutsche Bank AG/New York, (1-day SOFR + 3.18%), 6.72%, 01/18/29
(a)(f)
      815       853,473  
Freedom Mortgage Corp.
     
12.00%, 10/01/28
(b)
      134       146,345  
12.25%, 10/01/30
      133       146,002  
HSBC Holdings PLC, 4.38%, 11/23/26
(f)
      370       361,443  
Intesa Sanpaolo SpA, 5.71%, 01/15/26
(b)(f)
      200       198,998  
JPMorgan Chase & Co., (3-mo. CME Term SOFR + 1.21%), 3.51%, 01/23/29
(a)(f)
      2,250        2,132,034  
Northern Trust Corp., 6.13%, 11/02/32
(f)
      169       181,478  
Standard Chartered PLC, (5-year USD ICE Swap + 1.97%), 4.87%, 03/15/33
(a)(b)(f)
      500       468,170  
     
 
 
 
        7,961,338  
Beverages — 0.4%
                 
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46
(f)
      2,160       2,117,321  
     
 
 
 
Biotechnology — 0.2%
                 
Amgen, Inc., 2.80%, 08/15/41
(f)
      250       181,777  
Cidron Aida Finco SARL, 5.00%, 04/01/28
(e)
    EUR       100       106,171  
Gilead Sciences, Inc., 4.75%, 03/01/46
(f)
    USD       700       667,015  
     
 
 
 
        954,963  
Broadline Retail — 0.0%
                 
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26
(b)
      155       148,947  
     
 
 
 
Building Products — 1.3%
                 
Advanced Drainage Systems, Inc.
(b)
     
5.00%, 09/30/27
      373       359,945  
6.38%, 06/15/30
(f)
      522       525,912  
Beacon Roofing Supply, Inc.
(b)
     
4.13%, 05/15/29
      159       144,953  
6.50%, 08/01/30
(f)
      377       385,472  
Foundation Building Materials, Inc., 6.00%, 03/01/29
(b)
      104       93,509  
GYP Holdings III Corp., 4.63%, 05/01/29
(b)
      472       430,890  
Lowe’s Cos., Inc., 4.65%, 04/15/42
(f)
      400       372,179  
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26
(b)
      111       108,864  
SRS Distribution, Inc.
(b)
     
4.63%, 07/01/28
      1,047       993,285  
6.13%, 07/01/29
(f)
      718       680,686  
6.00%, 12/01/29
(f)
      1,204       1,122,617  
White Cap Buyer LLC, 6.88%, 10/15/28
(b)(f)
      1,663       1,609,804  
White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26
(b)(f)(g)
      309       307,564  
     
 
 
 
        7,135,680  
Capital Markets — 0.8%
                 
Ares Capital Corp., 7.00%, 01/15/27
      185       190,290  
Aretec Group, Inc., 10.00%, 08/15/30
(b)
      130       138,145  
Blackstone Private Credit Fund
7.05%, 09/29/25
      103       104,821  
3.25%, 03/15/27
      97       88,983  
Blue Owl Capital Corp.
     
3.75%, 07/22/25
(f)
      238       227,961  
3.40%, 07/15/26
      83       77,164  
Security
        
Par
(000)
   
Value
 
Capital Markets (continued)
                 
Blue Owl Capital Corp. II, 8.45%, 11/15/26
    USD       196     $ 201,928  
Blue Owl Credit Income Corp.
     
3.13%, 09/23/26
      56       51,141  
7.75%, 09/16/27
(f)
      395       407,263  
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29
(b)(f)
      273       257,882  
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
     
6.25%, 05/15/26
      563       537,164  
5.25%, 05/15/27
(f)
      1,071       961,998  
9.75%, 01/15/29
      391       398,898  
4.38%, 02/01/29
(f)
      272       227,136  
Oaktree Strategic Credit Fund, 8.40%, 11/14/28
      218       229,623  
Raymond James Financial, Inc., 4.95%, 07/15/46
(f)
      400       373,156  
     
 
 
 
        4,473,553  
Chemicals — 1.8%
                 
Ashland LLC, 3.38%, 09/01/31
(b)
      37       31,891  
Avient Corp., 7.13%, 08/01/30
(b)
      141       146,677  
Axalta Coating Systems Dutch Holding B BV, 7.25%, 02/15/31
(b)
      358       375,446  
Axalta Coating Systems LLC, 3.38%, 02/15/29
(b)(f)
      245       219,870  
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27
(b)
      600       583,067  
Braskem Idesa SAPI, 6.99%, 02/20/32
(b)
      305       172,362  
Braskem Netherlands Finance BV, 8.50%, 01/12/31
(b)
      203       189,297  
Celanese U.S. Holdings LLC, 6.70%, 11/15/33
      129       139,913  
Chemours Co.
(b)
     
5.75%, 11/15/28
      113       107,633  
4.63%, 11/15/29
      227       199,296  
Element Solutions, Inc., 3.88%, 09/01/28
(b)
      2,001       1,842,194  
HB Fuller Co., 4.25%, 10/15/28
      141       131,843  
Herens Holdco SARL, 4.75%, 05/15/28
(b)
      471       386,402  
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28
(b)(f)
      423       404,472  
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26
(b)(g)
      349       259,728  
Kronos International, Inc., 3.75%, 09/15/25
(e)
    EUR       100       105,510  
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29
(b)
    USD       170       143,758  
Minerals Technologies, Inc., 5.00%, 07/01/28
(b)
      218       209,648  
Olympus Water U.S. Holding Corp.
     
9.63%, 11/15/28
(e)
    EUR       100       118,123  
9.75%, 11/15/28
(b)
    USD       1,098       1,165,409  
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, 11/01/26
(b)(f)
      305       292,779  
Scotts Miracle-Gro Co.
     
4.50%, 10/15/29
      115       102,179  
4.38%, 02/01/32
      32       27,041  
Sherwin-Williams Co., 4.50%, 06/01/47
(f)
      310       283,537  
SK Invictus Intermediate II SARL, 5.00%, 10/30/29
(b)
.
      586       508,355  
WR Grace Holdings LLC
(b)
     
4.88%, 06/15/27
      177       170,292  
5.63%, 08/15/29
(f)
      1,459       1,283,857  
7.38%, 03/01/31
      445       445,136  
     
 
 
 
         10,045,715  
Commercial Services & Supplies — 3.5%
                 
ADT Security Corp.
(b)
     
4.13%, 08/01/29
      35       33,336  
4.88%, 07/15/32
      173       160,023  
 
 
126
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Commercial Services & Supplies (continued)
             
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26
(b)
    USD       222     $ 219,904  
Allied Universal Holdco LLC/Allied Universal Finance Corp.
(b)(f)
     
6.63%, 07/15/26
      2,652       2,638,074  
9.75%, 07/15/27
      909       890,726  
6.00%, 06/01/29
      1,655       1,349,312  
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL
     
4.63%, 06/01/28
(b)
      2,466       2,249,295  
4.88%, 06/01/28
(e)
    GBP       100       107,071  
APi Group DE, Inc.
(b)
     
4.13%, 07/15/29
    USD       168       152,873  
4.75%, 10/15/29
      128       120,233  
APX Group, Inc., 5.75%, 07/15/29
(b)(f)
      342       318,831  
Ashtead Capital, Inc., 5.95%, 10/15/33
(b)(f)
      280       285,264  
Fortress Transportation and Infrastructure Investors LLC
     
6.50%, 10/01/25
(b)
      831       828,339  
9.75%, 08/01/27
(b)
      487       506,480  
5.50%, 05/01/28
(b)(f)
      972       934,717  
7.88%, 12/01/30
      943       982,398  
Garda World Security Corp.
(b)
     
4.63%, 02/15/27
      437       421,351  
9.50%, 11/01/27
      139       140,133  
7.75%, 02/15/28
(f)
      781       808,030  
6.00%, 06/01/29
      34       30,477  
Herc Holdings, Inc., 5.50%, 07/15/27
(b)(f)
      838       827,372  
Inter Media and Communication SpA, 6.75%, 02/09/27
(e)
    EUR       100       106,053  
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc., 5.00%, 02/01/26
(b)
    USD       114       113,829  
Metis Merger Sub LLC, 6.50%, 05/15/29
(b)(f)
      158       142,884  
Neptune Bidco U.S., Inc., 9.29%, 04/15/29
(b)
      230       214,474  
NESCO Holdings II, Inc., 5.50%, 04/15/29
(b)
      305       282,000  
Paprec Holding SA, 7.25%, 11/17/29
(e)
    EUR       100       118,261  
Prime Security Services Borrower LLC/Prime Finance, Inc.
(b)
     
5.25%, 04/15/24
    USD       24       23,793  
5.75%, 04/15/26
      562       565,045  
6.25%, 01/15/28
(f)
      268       266,437  
Rekeep SpA, 7.25%, 02/01/26
(e)
    EUR       100       98,678  
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29
(b)(f)
.
    USD       690       596,753  
Techem Verwaltungsgesellschaft 675 mbH, 2.00%, 07/15/25
(e)
    EUR       100       107,788  
United Rentals North America, Inc.
     
5.50%, 05/15/27
    USD       173       173,382  
6.00%, 12/15/29
(b)(f)
      2,121       2,153,383  
Verisure Holding AB
(e)

3.25%, 02/15/27
    EUR       100       105,762  
9.25%, 10/15/27
      100       118,428  
Williams Scotsman, Inc., 7.38%, 10/01/31
    USD       412       432,088  
     
 
 
 
         19,623,277  
Communications Equipment — 0.3%
                 
CommScope Technologies LLC, 6.00%, 06/15/25
(b)(f)
      525       427,875  
CommScope, Inc.
(b)(f)
     
6.00%, 03/01/26
      486       433,260  
4.75%, 09/01/29
      257       172,551  
Security
        
Par
(000)
   
Value
 
Communications Equipment (continued)
                 
Viasat, Inc.
     
5.63%, 09/15/25
(b)
    USD       660     $ 643,526  
5.63%, 04/15/27
(b)(f)
      248       239,940  
7.50%, 05/30/31
      68       53,380  
     
 
 
 
         1,970,532  
Construction & Engineering — 0.5%
                 
Arcosa, Inc., 4.38%, 04/15/29
(b)
      477       444,268  
Brand Industrial Services, Inc., 10.38%, 08/01/30
(f)
      1,928       2,038,918  
Pike Corp., 8.63%, 01/31/31
(b)
      117       122,948  
     
 
 
 
        2,606,134  
Construction Materials — 1.7%
                 
BCPE Empire Holdings, Inc., 7.63%, 05/01/27
(b)
      425       409,813  
Camelot Return Merger Sub, Inc., 8.75%, 08/01/28
(b)
.
      295       299,434  
Emerald Debt Merger Sub LLC
6.38%, 12/15/30
(b)
    EUR       205       241,710  
6.38%, 12/15/30
(e)
      100       117,907  
6.63%, 12/15/30
(b)
    USD       3,488       3,562,539  
HT Troplast GmbH, 9.38%, 07/15/28
    EUR       100       111,981  
Jeld-Wen, Inc., 4.63%, 12/15/25
(b)
    USD       365       353,137  
Masonite International Corp., 5.38%, 02/01/28
(b)(f)
      161       154,560  
New Enterprise Stone & Lime Co., Inc.
(b)
     
5.25%, 07/15/28
      103       98,253  
9.75%, 07/15/28
      48       48,000  
Resideo Funding, Inc., 4.00%, 09/01/29
(b)
      77       67,183  
Ritchie Bros Holdings, Inc., 6.75%, 03/15/28
(b)
      102       105,016  
Smyrna Ready Mix Concrete LLC
     
6.00%, 11/01/28
(b)(f)
      692       681,329  
8.88%, 11/15/31
      939       987,054  
Standard Industries, Inc./New Jersey
     
2.25%, 11/21/26
(e)
    EUR       131       136,302  
5.00%, 02/15/27
(b)
    USD       94       91,644  
4.75%, 01/15/28
(b)
      115       110,710  
4.38%, 07/15/30
(b)(f)
      1,068       980,839  
3.38%, 01/15/31
(b)
      125       107,534  
Summit Materials LLC/Summit Materials Finance Corp.
(b)
     
5.25%, 01/15/29
      40       38,700  
7.25%, 01/15/31
      612       644,867  
     
 
 
 
        9,348,512  
Consumer Finance — 2.7%
                 
Block, Inc.
     
2.75%, 06/01/26
      845       796,860  
3.50%, 06/01/31
(f)
      2,157       1,915,310  
Bread Financial Holdings, Inc., 9.75%, 03/15/29
(b)
      182       188,675  
Capital One Financial Corp., (1-day SOFR + 2.86%), 6.38%, 06/08/34
(a)(f)
      130       133,796  
Ford Motor Credit Co. LLC
     
2.75%, 06/14/24
    GBP       105       131,905  
4.39%, 01/08/26
    USD       1,250       1,215,492  
6.86%, 06/05/26
    GBP       108       141,910  
7.35%, 03/06/30
    USD       394       423,274  
7.20%, 06/10/30
(f)
      861       917,005  
GTCR W-2 Merger Sub LLC, 7.50%, 01/15/31
(b)(f)
      2,305       2,435,745  
Navient Corp.
     
5.50%, 03/15/29
(f)
      268       247,134  
9.38%, 07/25/30
      241       252,490  
OneMain Finance Corp.
     
6.88%, 03/15/25
(f)
      362       366,445  
7.13%, 03/15/26
(f)
      422       429,929  
3.50%, 01/15/27
      389       359,998  
 
 
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  127

Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Consumer Finance (continued)
                 
OneMain Finance Corp. (continued)
     
6.63%, 01/15/28
    USD       285     $ 287,719  
9.00%, 01/15/29
(f)
      411       434,521  
5.38%, 11/15/29
(f)
      131       122,668  
7.88%, 03/15/30
      507       521,891  
4.00%, 09/15/30
      267       228,487  
Sabre GLBL, Inc., 8.63%, 06/01/27
      778       707,995  
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26
(b)(f)
      819       796,404  
Shift4 Payments, Inc., 0.00%, 12/15/25
(i)(j)
      219       242,959  
Verscend Escrow Corp., 9.75%, 08/15/26
(b)(f)
      2,007       2,021,105  
     
 
 
 
         15,319,717  
Consumer Staples Distribution & Retail — 1.1%
             
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
(b)
     
3.25%, 03/15/26
      65       61,328  
7.50%, 03/15/26
      127       129,359  
4.63%, 01/15/27
      1,035       1,006,230  
5.88%, 02/15/28
(f)
      377       377,253  
6.50%, 02/15/28
      199       201,378  
3.50%, 03/15/29
      309       280,566  
4.88%, 02/15/30
(f)
      320       306,344  
Bellis Acquisition Co. PLC
(e)

3.25%, 02/16/26
    GBP       100       118,021  
4.50%, 02/16/26
      100       120,391  
BRF GmbH, 4.35%, 09/29/26
(e)
    USD       200       187,890  
Lamb Weston Holdings, Inc.
(b)(f)
     
4.13%, 01/31/30
      368       339,270  
4.38%, 01/31/32
      474       432,418  
Market Bidco Finco PLC, 5.50%, 11/04/27
(e)
    GBP       100       112,169  
Performance Food Group, Inc., 4.25%, 08/01/29
(b)(f)
    USD       509       466,851  
Post Holdings, Inc.
(b)
     
4.63%, 04/15/30
(f)
      397       365,178  
4.50%, 09/15/31
      42       37,638  
Premier Foods Finance PLC, 3.50%, 10/15/26
(e)
    GBP       100       118,326  
U.S. Foods, Inc.
(b)
     
6.88%, 09/15/28
    USD       254       261,458  
4.75%, 02/15/29
(f)
      427       405,541  
4.63%, 06/01/30
      51       47,530  
7.25%, 01/15/32
(f)
      306       319,070  
United Natural Foods, Inc., 6.75%, 10/15/28
(b)
      44       35,620  
Walgreens Boots Alliance, Inc.
     
3.20%, 04/15/30
      40       35,211  
4.80%, 11/18/44
      128       106,647  
4.10%, 04/15/50
      192       139,425  
     
 
 
 
        6,011,112  
Containers & Packaging — 2.4%
                 
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC
(b)
     
6.00%, 06/15/27
(f)
      736       733,363  
3.25%, 09/01/28
      200       174,965  
4.00%, 09/01/29
(f)
      1,600       1,354,362  
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
     
5.25%, 04/30/25
(b)
      400       389,009  
2.13%, 08/15/26
(e)
    EUR       243       238,520  
4.13%, 08/15/26
(b)
    USD       669       610,463  
5.25%, 08/15/27
(b)
      255       198,101  
Ball Corp., 6.00%, 06/15/29
(f)
      249       254,272  
Security
        
Par
(000)
   
Value
 
Containers & Packaging (continued)
                 
Canpack SA/Canpack U.S. LLC, 3.13%, 11/01/25
(b)(f)
    USD       211     $ 200,582  
Clydesdale Acquisition Holdings, Inc.
(b)
     
6.63%, 04/15/29
(f)
      671       659,975  
8.75%, 04/15/30
      1,004       936,096  
Crown Americas LLC, 5.25%, 04/01/30
      31       30,530  
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26
      74       71,780  
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26
(f)
      258       255,548  
Graphic Packaging International LLC, 2.63%, 02/01/29
(e)
    EUR       195       198,254  
Kleopatra Finco SARL, 4.25%, 03/01/26
(e)
      100       90,698  
LABL, Inc.
(b)
     
5.88%, 11/01/28
(f)
    USD       280       253,687  
9.50%, 11/01/28
      567       572,670  
Mauser Packaging Solutions Holding Co.
(b)
     
7.88%, 08/15/26
(f)
      4,200       4,274,260  
9.25%, 04/15/27
      80       78,524  
OI European Group BV, 6.25%, 05/15/28
    EUR       150       173,210  
Owens-Brockway Glass Container, Inc.
(b)
     
6.63%, 05/13/27
    USD       51       51,006  
7.25%, 05/15/31
(f)
      221       224,070  
Sealed Air Corp., 5.00%, 04/15/29
(b)
      77       74,460  
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 02/01/28
(b)(f)
      227       228,955  
Trident TPI Holdings, Inc., 12.75%, 12/31/28
(b)
      16       17,120  
Trivium Packaging Finance BV
(b)
     
5.50%, 08/15/26
      800       784,887  
8.50%, 08/15/27
(f)
      200       196,100  
     
 
 
 
         13,325,467  
Diversified Consumer Services — 0.5%
                 
Graham Holdings Co., 5.75%, 06/01/26
(b)
      135       134,188  
Grand Canyon University, 5.13%, 10/01/28
      249       222,646  
Service Corp. International
(f)
     
5.13%, 06/01/29
      107       104,860  
4.00%, 05/15/31
      503       450,437  
Sotheby’s, 7.38%, 10/15/27
(b)(f)
      1,730       1,668,405  
     
 
 
 
        2,580,536  
Diversified REITs — 1.1%
                 
American Tower Corp., 2.30%, 09/15/31
(f)
      1,000       826,827  
GLP Capital LP/GLP Financing II, Inc.
     
3.25%, 01/15/32
      698       589,288  
6.75%, 12/01/33
      235       253,525  
HAT Holdings I LLC/HAT Holdings II LLC, 8.00%, 06/15/27
      145       150,995  
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32
(b)
      353       323,340  
SBA Communications Corp.
     
3.13%, 02/01/29
(f)
      1,435       1,289,343  
3.88%, 02/15/27
      73       70,103  
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28
(b)
      1,162       1,178,041  
VICI Properties LP, 4.95%, 02/15/30
      186       180,479  
VICI Properties LP/VICI Note Co., Inc.
(b)
     
4.63%, 12/01/29
      696       655,806  
4.13%, 08/15/30
      488       444,532  
     
 
 
 
        5,962,279  
 
 
128
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Diversified Telecommunication Services — 3.8%
       
AT&T, Inc.
(f)
     
4.65%, 06/01/44
    USD       111     $ 98,808  
4.75%, 05/15/46
      2,545       2,300,312  
Cablevision Lightpath LLC
(b)
     
3.88%, 09/15/27
      418       367,065  
5.63%, 09/15/28
      401       316,032  
Cellnex Telecom SA, 2.13%, 08/11/30
    EUR       100       113,436  
Frontier Communications Holdings LLC
(b)
     
5.88%, 10/15/27
    USD       405       391,271  
5.00%, 05/01/28
      1,139       1,052,637  
8.75%, 05/15/30
      1,653       1,700,455  
8.63%, 03/15/31
      109       111,137  
Iliad Holding SASU
(b)(f)

6.50%, 10/15/26
      1,722       1,718,631  
7.00%, 10/15/28
      438       435,849  
Kaixo Bondco Telecom SA, 5.13%, 09/30/29
(e)
    EUR       117       120,444  
Level 3 Financing, Inc.
     
3.40%, 03/01/27
    USD       1,339       1,285,440  
4.63%, 09/15/27
      1,352       811,200  
3.63%, 01/15/29
      128       65,280  
10.50%, 05/15/30
      1,605       1,556,344  
Level 3 New Money TSA, 11.00%, 11/15/29
(k)
      945       944,585  
Lumen Technologies, Inc., 4.00%, 02/15/27
      611       394,321  
Network i2i Ltd., (5-year CMT + 4.27%), 5.65%
(a)(e)(f)(h)
      250       245,781  
Sable International Finance Ltd., 5.75%, 09/07/27
(b)(f)
      200       189,310  
SoftBank Group Corp.
(e)
     
4.50%, 04/20/25
    EUR       100       109,500  
3.88%, 07/06/32
      100       94,150  
Telecom Italia Capital SA
     
6.38%, 11/15/33
    USD       176       172,147  
6.00%, 09/30/34
      698       662,875  
7.20%, 07/18/36
      320       321,224  
7.72%, 06/04/38
      72       73,321  
Telecom Italia SpA/Milano
     
5.30%, 05/30/24
(b)
      202       201,060  
2.75%, 04/15/25
(e)
    EUR       100       107,370  
7.88%, 07/31/28
(e)
      100       122,428  
1.63%, 01/18/29
(e)
      100       95,119  
Verizon Communications, Inc.
(f)
     
4.50%, 08/10/33
    USD       500       487,732  
3.70%, 03/22/61
      1,250       954,938  
Zayo Group Holdings, Inc.
(b)(f)
     
4.00%, 03/01/27
      3,450       2,766,122  
6.13%, 03/01/28
      906       665,421  
     
 
 
 
         21,051,745  
Electric Utilities — 1.2%
                 
AES Panama Generation Holdings SRL, 4.38%, 05/31/30
(e)
      219       183,418  
Duke Energy Corp., 4.80%, 12/15/45
(f)
      1,500       1,364,190  
Enel Finance International NV, 3.63%, 05/25/27
(b)(f)
      1,250       1,194,278  
FirstEnergy Corp., 2.65%, 03/01/30
      68       58,747  
Mong Duong Finance Holdings BV, 5.13%, 05/07/29 .
      231       213,856  
NextEra Energy Operating Partners LP
4.25%, 07/15/24
(b)
      205       202,674  
4.25%, 09/15/24
(b)
      11       10,643  
3.88%, 10/15/26
(b)
      86       81,882  
7.25%, 01/15/29
      219       229,273  
Pacific Gas and Electric Co., 6.95%, 03/15/34
(f)
      630       691,998  
Security
        
Par
(000)
   
Value
 
Electric Utilities (continued)
                 
Palomino Funding Trust I, 7.23%, 05/17/28
(b)(f)
    USD       250     $ 263,289  
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28
(b)
      407       384,965  
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33
(e)
      162       161,197  
Talen Energy Supply LLC, 8.63%, 06/01/30
(b)
      174       184,881  
TransAlta Corp., 7.75%, 11/15/29
      142       150,816  
Virginia Electric and Power Co., Series A, 6.00%, 05/15/37
(f)
      750       806,184  
Vistra Operations Co. LLC
(b)
     
7.75%, 10/15/31
      480       498,523  
6.95%, 10/15/33
      300       315,731  
     
 
 
 
        6,996,545  
Electrical Equipment
(b)
— 0.5%
                 
Regal Rexnord Corp.
     
6.05%, 04/15/28
(f)
      640       647,857  
6.30%, 02/15/30
      265       271,866  
6.40%, 04/15/33
(f)
      275       286,624  
WESCO Distribution, Inc.
     
7.13%, 06/15/25
      830       836,061  
7.25%, 06/15/28
(f)
      573       588,944  
     
 
 
 
        2,631,352  
Electronic Equipment, Instruments & Components — 0.7%
 
Coherent Corp., 5.00%, 12/15/29
(b)(f)
      610       579,351  
Corning, Inc., 4.38%, 11/15/57
(f)
      1,915       1,672,968  
Imola Merger Corp., 4.75%, 05/15/29
(b)
      582       552,960  
Sensata Technologies BV, 5.88%, 09/01/30
(b)
      309       306,997  
Sensata Technologies, Inc.
(b)
     
4.38%, 02/15/30
      1,066       988,675  
3.75%, 02/15/31
      26       22,899  
     
 
 
 
        4,123,850  
Energy Equipment & Services — 0.9%
                 
Archrock Partners LP/Archrock Partners Finance Corp.
(b)
     
6.88%, 04/01/27
      381       381,952  
6.25%, 04/01/28
(f)
      1,088       1,071,680  
Borr IHC Ltd./Borr Finance
     
10.00%, 11/15/28
      415       433,687  
10.38%, 11/15/30
      256       264,080  
EDO Sukuk Ltd., 5.88%, 09/21/33
      250       257,344  
Oceaneering International, Inc., 6.00%, 02/01/28
(b)
      92       89,174  
Patterson-UTI Energy, Inc., 7.15%, 10/01/33
      135       143,019  
Seadrill Finance Ltd., 8.38%, 08/01/30
      200       208,666  
USA Compression Partners LP/USA Compression Finance Corp.
     
6.88%, 04/01/26
      516       513,824  
6.88%, 09/01/27
      760       750,992  
Vallourec SACA, 8.50%, 06/30/26
(e)
    EUR       44       48,810  
Weatherford International Ltd.
(b)
     
6.50%, 09/15/28
    USD       182       188,337  
8.63%, 04/30/30
(f)
      538       561,704  
     
 
 
 
         4,913,269  
Entertainment
(b)
— 0.5%
                 
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29
      303       226,674  
Live Nation Entertainment, Inc.
     
5.63%, 03/15/26
      58       57,470  
6.50%, 05/15/27
(f)
      1,676       1,705,367  
 
 
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  129

Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Entertainment (continued)
                 
Live Nation Entertainment, Inc. (continued)
     
4.75%, 10/15/27
(f)
    USD       618     $ 592,560  
3.75%, 01/15/28
      253       235,946  
     
 
 
 
        2,818,017  
Environmental, Maintenance & Security Service — 1.1%
       
Clean Harbors, Inc.
(b)
     
4.88%, 07/15/27
      297       291,028  
5.13%, 07/15/29
      149       142,423  
6.38%, 02/01/31
      142       144,280  
Covanta Holding Corp.
     
4.88%, 12/01/29
(b)
      181       158,138  
5.00%, 09/01/30
      91       77,456  
GFL Environmental, Inc.
(b)
     
4.25%, 06/01/25
      22       21,675  
3.75%, 08/01/25
      402       392,596  
5.13%, 12/15/26
      496       490,743  
4.00%, 08/01/28
      567       524,131  
3.50%, 09/01/28
      259       239,332  
4.75%, 06/15/29
(f)
      483       454,967  
4.38%, 08/15/29
(f)
      403       371,922  
6.75%, 01/15/31
      887       913,859  
Tervita Corp., 11.00%, 12/01/25
(b)
      147       154,350  
Waste Pro USA, Inc., 5.50%, 02/15/26
(b)
      1,690       1,626,625  
     
 
 
 
        6,003,525  
Financial Services — 1.2%
                 
Aircastle Ltd., 6.50%, 07/18/28
(b)(f)
      177       180,490  
ASG Finance Designated Activity Co., 7.88%, 12/03/24
(b)
      262       255,450  
Castlelake Aviation Finance DAC, 5.00%, 04/15/27
(b)
      44       41,191  
GGAM Finance Ltd.
(b)
     
7.75%, 05/15/26
      58       58,870  
8.00%, 02/15/27
      578       592,473  
8.00%, 06/15/28
      177       183,124  
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24
(b)(g)
      285       267,768  
Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 08/15/28
(b)(f)
      415       371,458  
Macquarie Airfinance Holdings Ltd., 8.13%, 03/30/29
      257       268,622  
MGIC Investment Corp., 5.25%, 08/15/28
      216       210,258  
Nationstar Mortgage Holdings, Inc.
(b)
     
5.00%, 02/01/26
      1,861       1,819,980  
6.00%, 01/15/27
(f)
      237       235,223  
5.13%, 12/15/30
(f)
      241       217,896  
5.75%, 11/15/31
      170       158,509  
PennyMac Financial Services, Inc., 7.88%, 12/15/29 .
      367       377,778  
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.
(b)
     
2.88%, 10/15/26
(f)
      1,123       1,035,967  
3.88%, 03/01/31
      201       176,779  
4.00%, 10/15/33
      104       88,351  
     
 
 
 
        6,540,187  
Food Products — 1.0%
                 
Aramark International Finance SARL, 3.13%, 04/01/25
(e)
    EUR       200       218,905  
Aramark Services, Inc., 5.00%, 02/01/28
(b)(f)
    USD       1,272        1,233,891  
B&G Foods, Inc., 8.00%, 09/15/28
      148       155,406  
Chobani LLC/Chobani Finance Corp., Inc.
(b)
     
7.50%, 04/15/25
(f)
      1,694       1,685,530  
4.63%, 11/15/28
      1,233       1,152,620  
Security
        
Par
(000)
   
Value
 
Food Products (continued)
                 
Darling Global Finance BV, 3.63%, 05/15/26
(e)
    EUR       156     $ 169,912  
Darling Ingredients, Inc., 6.00%, 06/15/30
(b)
    USD       557       557,412  
Minerva Luxembourg SA, 8.88%, 09/13/33
      203       214,675  
     
 
 
 
        5,388,351  
Gas Utilities
(b)
— 0.1%
                 
AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28
      387       399,646  
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31
      117       106,071  
     
 
 
 
        505,717  
Ground Transportation — 1.4%
                 
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 8.00%, 02/15/31
(b)
      309       308,575  
Burlington Northern Santa Fe LLC, 4.38%, 09/01/42
(f)
      500       460,091  
GN Bondco LLC, 9.50%, 10/15/31
      479       467,643  
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34
(b)(f)
      1,777       1,751,939  
RXO, Inc., 7.50%, 11/15/27
(b)
      109       112,473  
Uber Technologies, Inc.
     
0.00%, 12/15/25
(f)(i)(j)
      1,537       1,562,912  
8.00%, 11/01/26
(b)
      783       797,525  
7.50%, 09/15/27
(b)(f)
      965       999,383  
6.25%, 01/15/28
(b)
      343       343,860  
4.50%, 08/15/29
(b)(f)
      1,003       956,828  
Union Pacific Corp., 3.20%, 05/20/41
(f)
      275       219,888  
     
 
 
 
        7,981,117  
Health Care Equipment & Supplies — 1.2%
                 
Avantor Funding, Inc.
     
2.63%, 11/01/25
(e)
    EUR       300       323,488  
4.63%, 07/15/28
(b)(f)
    USD       1,050       1,014,805  
3.88%, 11/01/29
(b)
      31       28,152  
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28
(b)(f)
      1,860       1,962,188  
Becton Dickinson & Co., 4.69%, 12/15/44
(f)
      600       560,681  
Garden Spinco Corp., 8.63%, 07/20/30
(b)
      254       271,307  
Medline Borrower LP
(b)
     
3.88%, 04/01/29
      888       802,880  
5.25%, 10/01/29
(f)
      1,978       1,864,416  
Teleflex, Inc., 4.63%, 11/15/27
      100       97,206  
     
 
 
 
         6,925,123  
Health Care Providers & Services — 2.9%
                 
AHP Health Partners, Inc., 5.75%, 07/15/29
(b)
      442       384,683  
Catalent Pharma Solutions, Inc.
(b)
     
5.00%, 07/15/27
(f)
      683       659,896  
3.13%, 02/15/29
      121       105,889  
3.50%, 04/01/30
(f)
      494       429,749  
Charles River Laboratories International, Inc., 4.00%, 03/15/31
(b)
      55       49,686  
CHS/Community Health Systems, Inc.
(b)
     
5.63%, 03/15/27
      132       122,646  
6.00%, 01/15/29
      769       692,200  
5.25%, 05/15/30
(f)
      1,146       958,453  
4.75%, 02/15/31
(f)
      847       665,856  
Encompass Health Corp.
     
4.75%, 02/01/30
(f)
      380       357,858  
4.63%, 04/01/31
      303       278,816  
Ephios Subco 3 SARL, 7.88%, 01/31/31
(e)
    EUR       100       114,102  
Fortrea Holdings, Inc., 7.50%, 07/01/30
(b)(f)
    USD       254       260,851  
HealthEquity, Inc., 4.50%, 10/01/29
(b)
      988       917,367  
 
 
130
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Health Care Providers & Services (continued)
 
IQVIA, Inc.
(b)
     
5.00%, 10/15/26
(f)
    USD       548     $ 542,765  
6.25%, 02/01/29
      614       640,983  
6.50%, 05/15/30
      274       280,880  
Legacy LifePoint Health LLC, 4.38%, 02/15/27
(b)
      365       336,982  
LifePoint Health, Inc.
     
9.88%, 08/15/30
(f)
      461       465,882  
11.00%, 10/15/30
      520       547,639  
ModivCare, Inc., 5.88%, 11/15/25
(b)(f)
      544       537,200  
Molina Healthcare, Inc.
(b)
     
4.38%, 06/15/28
      59       55,801  
3.88%, 11/15/30
      321       288,547  
3.88%, 05/15/32
(f)
      213       186,112  
Northwell Healthcare, Inc., 4.26%, 11/01/47
(f)
      686       580,879  
Prime Healthcare Services, Inc., 7.25%, 11/01/25
(b)
      62       60,450  
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26
(b)
      114       113,097  
Star Parent, Inc., 9.00%, 10/01/30
      1,325       1,396,355  
Surgery Center Holdings, Inc.
(b)(f)
     
6.75%, 07/01/25
      392       390,530  
10.00%, 04/15/27
      457       461,570  
Tenet Healthcare Corp.
     
4.88%, 01/01/26
(f)
      325       321,338  
6.25%, 02/01/27
(f)
      172       172,843  
5.13%, 11/01/27
(f)
      490       479,000  
6.13%, 10/01/28
(f)
      460       458,698  
6.13%, 06/15/30
      320       323,548  
6.75%, 05/15/31
(b)(f)
      1,097       1,121,189  
UnitedHealth Group, Inc., 4.38%, 03/15/42
(f)
      750       691,466  
     
 
 
 
         16,451,806  
Health Care REITs — 0.2%
                 
MPT Operating Partnership LP/MPT Finance Corp.
     
2.50%, 03/24/26
    GBP       382       394,928  
4.63%, 08/01/29
(f)
    USD       208       149,565  
3.50%, 03/15/31
(f)
      1,220       762,777  
     
 
 
 
        1,307,270  
Health Care Technology — 0.4%
                 
AthenaHealth Group, Inc., 6.50%, 02/15/30
(b)(f)
      2,775       2,517,418  
     
 
 
 
Hotel & Resort REITs — 0.4%
                 
RHP Hotel Properties LP/RHP Finance Corp.
     
4.75%, 10/15/27
      82       79,203  
7.25%, 07/15/28
      356       370,128  
4.50%, 02/15/29
(b)
      142       132,066  
Service Properties Trust
     
7.50%, 09/15/25
(f)
      215       217,389  
8.63%, 11/15/31
(b)
      1,483       1,553,343  
     
 
 
 
        2,352,129  
Hotels, Restaurants & Leisure — 6.0%
                 
Boyd Gaming Corp., 4.75%, 06/15/31
(b)(f)
      482       442,391  
Boyne USA, Inc., 4.75%, 05/15/29
(b)
      465       437,284  
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc.
(b)
 
   
3.88%, 01/15/28
      69       65,186  
4.38%, 01/15/28
(f)
      157       149,948  
4.00%, 10/15/30
      771       691,509  
Caesars Entertainment, Inc.
(b)(f)
     
6.25%, 07/01/25
      991       993,695  
8.13%, 07/01/27
      1,468       1,504,845  
Security
        
Par
(000)
   
Value
 
Hotels, Restaurants & Leisure (continued)
 
Caesars Entertainment, Inc.
(b)(f)
(continued)
 
4.63%, 10/15/29
    USD       295     $ 266,092  
7.00%, 02/15/30
      2,001       2,051,899  
Carnival Corp.
     
7.63%, 03/01/26
(b)(f)
      197       200,562  
7.63%, 03/01/26
(e)
    EUR       100       111,941  
5.75%, 03/01/27
(b)
    USD       1,271       1,239,776  
4.00%, 08/01/28
(b)
      449       417,452  
6.00%, 05/01/29
(b)(f)
      872       839,043  
7.00%, 08/15/29
(b)
      217       226,574  
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28
(b)(f)
      3,535       3,847,561  
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25
(b)
      559       556,190  
Churchill Downs, Inc.
(b)
     
5.50%, 04/01/27
(f)
      684       676,825  
4.75%, 01/15/28
      618       592,289  
5.75%, 04/01/30
      1,073        1,046,166  
6.75%, 05/01/31
(f)
      504       511,527  
Cirsa Finance International SARL, (3-mo. EURIBOR + 4.50%), 8.45%, 07/31/28
(a)
    EUR       100       111,629  
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.
(b)
     
4.63%, 01/15/29
    USD       390       353,874  
6.75%, 01/15/30
      82       71,996  
Hilton Domestic Operating Co., Inc.
     
5.75%, 05/01/28
(b)(f)
      111       111,042  
3.75%, 05/01/29
(b)
      186       172,446  
4.88%, 01/15/30
(f)
      450       436,121  
4.00%, 05/01/31
(b)
      302       276,609  
3.63%, 02/15/32
(b)
      3       2,618  
Life Time, Inc.
(b)(f)
     
5.75%, 01/15/26
      435       431,872  
8.00%, 04/15/26
      336       339,055  
Light & Wonder International, Inc.
     
7.00%, 05/15/28
(b)
      190       191,933  
7.25%, 11/15/29
(b)(f)
      213       218,093  
7.50%, 09/01/31
      272       283,711  
Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/28
(b)
      319       329,835  
Lindblad Expeditions LLC, 6.75%, 02/15/27
(b)
      389       387,055  
Lottomatica SpA, (3-mo. EURIBOR + 4.00%), 7.93%, 12/15/30
(a)(e)
    EUR       100       111,497  
Melco Resorts Finance Ltd.
     
4.88%, 06/06/25
(b)
    USD       400       388,375  
5.75%, 07/21/28
(b)
      200       184,125  
5.38%, 12/04/29
(b)
      800       704,000  
5.38%, 12/04/29
(e)
      250       220,000  
Merlin Entertainments Ltd., 5.75%, 06/15/26
(b)
      600       593,859  
MGM China Holdings Ltd.
     
5.88%, 05/15/26
(e)
      250       243,750  
5.88%, 05/15/26
(b)
      200       195,000  
4.75%, 02/01/27
(b)
      200       189,750  
Motion Bondco DAC, 6.63%, 11/15/27
(b)
      200       184,961  
NCL Corp. Ltd.
(b)
     
5.88%, 03/15/26
(f)
      429       419,201  
8.38%, 02/01/28
      173       183,189  
8.13%, 01/15/29
      159       166,089  
7.75%, 02/15/29
      80       80,484  
 
 
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  131

Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Hotels, Restaurants & Leisure (continued)
                 
NCL Finance Ltd., 6.13%, 03/15/28
(b)(f)
    USD       333     $ 318,758  
Ontario Gaming GTA LP, 8.00%, 08/01/30
      366       377,438  
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.
(b)
     
5.63%, 09/01/29
      148       118,400  
5.88%, 09/01/31
      148       115,440  
Raising Cane’s Restaurants LLC, 9.38%, 05/01/29
(b)
      185       197,429  
Royal Caribbean Cruises Ltd.
(b)
     
4.25%, 07/01/26
      92       88,860  
5.50%, 08/31/26
      176       174,266  
5.38%, 07/15/27
(f)
      173       171,256  
11.63%, 08/15/27
      54       58,761  
5.50%, 04/01/28
      152       150,063  
8.25%, 01/15/29
      251       265,922  
9.25%, 01/15/29
(f)
      247       265,679  
7.25%, 01/15/30
      399       416,708  
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc., 6.63%, 03/01/30
(b)
      280       264,720  
Six Flags Entertainment Corp., 7.25%, 05/15/31
(b)(f)
      1,141       1,144,514  
Station Casinos LLC, 4.63%, 12/01/31
(b)
      354       319,193  
Viking Cruises Ltd.
(b)
     
5.88%, 09/15/27
(f)
      308       297,220  
7.00%, 02/15/29
      66       65,433  
9.13%, 07/15/31
      931       992,071  
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29
(b)
      206       200,850  
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27
(b)(f)
      268       260,792  
Wynn Macau Ltd.
     
5.50%, 01/15/26
(e)
      200       194,500  
5.63%, 08/26/28
(b)(f)
      963       889,872  
5.13%, 12/15/29
(b)
      200       177,125  
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.
(b)(f)
     
5.13%, 10/01/29
      1,011       954,168  
7.13%, 02/15/31
      485       505,090  
Yum! Brands, Inc., 4.75%, 01/15/30
(b)
      219       212,281  
     
 
 
 
         33,647,733  
Household Durables — 0.3%
                 
Ashton Woods USA LLC/Ashton Woods Finance Co., 4.63%, 04/01/30
(b)
      185       165,721  
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC
(b)
5.00%, 06/15/29
      266       236,114  
4.88%, 02/15/30
      476       418,607  
Dream Finders Homes, Inc., 8.25%, 08/15/28
      151       159,578  
LGI Homes, Inc., 8.75%, 12/15/28
      116       123,395  
SWF Escrow Issuer Corp., 6.50%, 10/01/29
(b)(f)
      225       161,719  
Taylor Morrison Communities, Inc.
(b)
     
5.88%, 06/15/27
      299       300,495  
5.13%, 08/01/30
      75       72,554  
Tempur Sealy International, Inc., 3.88%, 10/15/31
(b)
      66       55,799  
     
 
 
 
        1,693,982  
Household Products — 0.1%
                 
Central Garden & Pet Co.
     
5.13%, 02/01/28
      20       19,432  
4.13%, 10/15/30
(f)
      244       221,927  
Security
        
Par
(000)
   
Value
 
Household Products (continued)
                 
Spectrum Brands, Inc.
(b)
     
5.00%, 10/01/29
    USD       106     $ 101,137  
5.50%, 07/15/30
      198       192,134  
     
 
 
 
        534,630  
Independent Power and Renewable Electricity Producers — 0.6%
 
Alexander Funding Trust II, 7.47%, 07/31/28
(b)(f)
 
    220       231,008  
Calpine Corp.
(b)
     
5.25%, 06/01/26
      195       192,409  
5.13%, 03/15/28
(f)
      1,281       1,228,195  
5.00%, 02/01/31
      120       110,006  
Clearway Energy Operating LLC, 4.75%, 03/15/28
(b)(f)
      116       111,756  
NRG Energy, Inc.
     
6.63%, 01/15/27
      958       960,061  
7.00%, 03/15/33
(b)(f)
      270       285,378  
SCC Power PLC, (4.00% Cash and 4.00% PIK), 8.00%, 12/31/28
(b)(g)
      173       77,007  
     
 
 
 
         3,195,820  
Insurance — 3.2%
                 
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29
(b)
      173       157,196  
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer
     
4.25%, 10/15/27
(b)(f)
      2,168       2,083,556  
6.75%, 10/15/27
(b)(f)
      2,135       2,127,453  
6.75%, 04/15/28
(b)
      603       616,887  
5.88%, 11/01/29
(b)(f)
      1,879       1,780,338  
7.00%, 01/15/31
      661       697,266  
AmWINS Group, Inc., 4.88%, 06/30/29
(b)
      392       357,988  
Berkshire Hathaway Finance Corp., 4.40%, 05/15/42
(f)
      250       241,485  
GTCR AP Finance, Inc., 8.00%, 05/15/27
(b)
      323       326,247  
HUB International Ltd.
(b)(f)
     
7.00%, 05/01/26
      1,252       1,256,839  
7.25%, 06/15/30
      2,282       2,410,317  
Jones Deslauriers Insurance Management, Inc.
(b)
 
   
8.50%, 03/15/30
      711       746,642  
10.50%, 12/15/30
      335       353,057  
NFP Corp.
     
4.88%, 08/15/28
(b)
      912       902,556  
6.88%, 08/15/28
(b)(f)
      2,145       2,180,609  
7.50%, 10/01/30
(b)(f)
      136       144,744  
8.50%, 10/01/31
      248       268,807  
Ryan Specialty LLC, 4.38%, 02/01/30
(b)
      239       221,673  
Teachers Insurance & Annuity Association of America, 4.27%, 05/15/47
(b)(f)
      700       609,436  
USI, Inc., 7.50%, 01/15/32
      611       625,542  
     
 
 
 
        18,108,638  
Interactive Media & Services — 0.2%
                 
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28
(b)
      514       418,910  
iliad SA
(e)
     
5.38%, 06/14/27
    EUR       100       113,155  
5.63%, 02/15/30
      100       114,082  
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27
(b)
    USD       357       340,935  
     
 
 
 
        987,082  
 
 
132
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Internet Software & Services
(b)
— 0.3%
                 
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27
    USD       359     $ 351,787  
ION Trading Technologies SARL, 5.75%, 05/15/28
      246       217,004  
Match Group Holdings II LLC
     
5.63%, 02/15/29
      209       202,991  
4.13%, 08/01/30
      262       237,741  
3.63%, 10/01/31
(f)
      564       487,307  
     
 
 
 
         1,496,830  
IT Services — 1.2%
                 
Ahead DB Holdings LLC, 6.63%, 05/01/28
(b)
      190       165,537  
CA Magnum Holdings, 5.38%, 10/31/26
(b)
      488       453,840  
Camelot Finance SA, 4.50%, 11/01/26
(b)
      602       587,805  
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 06/15/29
      589       614,775  
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29
(b)(f)
      711       725,119  
Dun & Bradstreet Corp., 5.00%, 12/15/29
(b)(f)
      826       770,509  
Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28
(e)
    EUR       100       117,844  
Fair Isaac Corp., 4.00%, 06/15/28
(b)
    USD       112       105,992  
Gartner, Inc.
(b)
     
4.50%, 07/01/28
      8       7,587  
3.75%, 10/01/30
      116       102,541  
KBR, Inc., 4.75%, 09/30/28
(b)
      306       283,586  
La Financiere Atalian SASU, 5.13%, 05/15/25
(e)
    EUR       100       80,809  
Presidio Holdings, Inc., 4.88%, 02/01/27
(b)
    USD       59       57,838  
Science Applications International Corp., 4.88%, 04/01/28
(b)
      377       359,092  
Twilio, Inc.
     
3.63%, 03/15/29
      206       187,931  
3.88%, 03/15/31
      630       561,018  
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29
(b)(f)
      1,599       1,450,285  
     
 
 
 
        6,632,108  
Leisure Products — 0.1%
                 
Acushnet Co., 7.38%, 10/15/28
      114       118,935  
MajorDrive Holdings IV LLC, 6.38%, 06/01/29
(b)
      228       196,336  
Mattel, Inc.
     
6.20%, 10/01/40
      291       281,476  
5.45%, 11/01/41
(f)
      210       189,125  
     
 
 
 
        785,872  
Machinery — 1.7%
                 
Chart Industries, Inc.
(b)
     
7.50%, 01/01/30
(f)
      876       915,636  
9.50%, 01/01/31
      120       130,340  
Gates Global LLC/Gates Corp., 6.25%, 01/15/26
(b)(f)
      572       569,140  
GrafTech Global Enterprises, Inc., 9.88%, 12/15/28
(f)
      170       131,112  
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25
(b)(g)
      587       584,428  
Loxam SAS, 6.38%, 05/31/29
(e)
    EUR       100       114,259  
Madison IAQ LLC
(b)
     
4.13%, 06/30/28
    USD       320       290,925  
5.88%, 06/30/29
(f)
      606       533,937  
OT Merger Corp., 7.88%, 10/15/29
(b)
      147       88,053  
Renk AG/Frankfurt am Main, 5.75%, 07/15/25
(e)
    EUR       100       109,573  
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29
(b)
    USD       155       143,442  
Terex Corp., 5.00%, 05/15/29
(b)
      421       396,792  
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26
(b)
      1,341       1,349,448  
Security
        
Par
(000)
   
Value
 
Machinery (continued)
                 
TK Elevator Holdco GmbH
     
6.63%, 07/15/28
(e)
    EUR       167     $ 170,030  
7.63%, 07/15/28
(b)(f)
    USD       552       542,225  
TK Elevator Midco GmbH, 4.38%, 07/15/27
(e)
    EUR       372       397,035  
TK Elevator U.S. Newco, Inc.,
5.25%, 07/15/27
(b)(f)
    USD       2,366       2,324,257  
Vertiv Group Corp., 4.13%, 11/15/28
(b)(f)
      847       794,672  
     
 
 
 
         9,585,304  
Marine Transportation — 0.0%
                 
Danaos Corp., 8.50%, 03/01/28
(b)
      100       101,500  
     
 
 
 
Media — 6.1%
                 
Altice Financing SA, 5.75%, 08/15/29
(b)(f)
      1,598       1,418,079  
AMC Networks, Inc., 4.75%, 08/01/25
      283       275,588  
Banijay Entertainment SASU, 8.13%, 05/01/29
(b)
      200       205,907  
Cable One, Inc.
     
0.00%, 03/15/26
(i)(j)
      114       96,729  
1.13%, 03/15/28
(i)
      940       712,050  
4.00%, 11/15/30
(b)
      272       220,222  
CCO Holdings LLC/CCO Holdings Capital Corp.
(b)
     
5.13%, 05/01/27
(f)
      711       686,947  
5.00%, 02/01/28
(f)
      527       504,224  
6.38%, 09/01/29
(f)
      955       941,785  
4.75%, 03/01/30
(f)
      315       287,836  
4.25%, 02/01/31
(f)
      1,017       888,787  
7.38%, 03/01/31
(f)
      2,710       2,781,446  
4.75%, 02/01/32
      209       184,330  
4.25%, 01/15/34
      578       469,698  
Charter Communications Operating LLC/Charter Communications Operating Capital, 6.48%, 10/23/45
(f)
      3,000       2,947,841  
Clear Channel International BV, 6.63%, 08/01/25
(b)
      707       710,409  
Clear Channel Outdoor Holdings, Inc.
     
5.13%, 08/15/27
(b)(f)
      586       559,388  
7.75%, 04/15/28
(b)(f)
      319       275,043  
9.00%, 09/15/28
      2,037       2,125,538  
7.50%, 06/01/29
(b)(f)
      862       716,727  
CMG Media Corp., 8.88%, 12/15/27
(b)
      409       324,390  
CSC Holdings LLC
(b)
     
5.50%, 04/15/27
(f)
      427       394,675  
11.25%, 05/15/28
      2,187       2,253,397  
6.50%, 02/01/29
(f)
      368       324,797  
4.13%, 12/01/30
(f)
      535       407,001  
4.50%, 11/15/31
      204       154,239  
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 08/15/27
(b)(f)
      640       601,329  
Discovery Communications LLC, 4.95%, 05/15/42
(f)
      400       329,209  
DISH DBS Corp.
     
7.75%, 07/01/26
(f)
      1,070       745,266  
5.25%, 12/01/26
(b)(f)
      1,285       1,100,924  
5.75%, 12/01/28
(b)
      65       51,844  
DISH Network Corp., 11.75%, 11/15/27
(b)
      1,243       1,297,514  
GCI LLC, 4.75%, 10/15/28
(b)
      136       124,778  
Gray Television, Inc.
(b)(f)
     
5.88%, 07/15/26
      206       200,378  
7.00%, 05/15/27
      277       263,289  
Lamar Media Corp., 4.00%, 02/15/30
      53       48,574  
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27
(b)
      580       568,087  
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27
(b)
      209       203,714  
Nexstar Media, Inc., 5.63%, 07/15/27
(b)
      103       99,596  
 
 
S
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  133

Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
        
Par
(000)
   
Value
 
Media (continued)
                 
Outfront Media Capital LLC/Outfront Media Capital Corp.
     
5.00%, 08/15/27
(b)(f)
    USD       1,045     $ 1,010,094  
4.25%, 01/15/29
(b)(f)
      381       343,803  
4.63%, 03/15/30
(b)
      122       108,763  
7.38%, 02/15/31
      387       406,404  
Radiate Holdco LLC/Radiate Finance, Inc.
(b)
     
4.50%, 09/15/26
      421       321,098  
6.50%, 09/15/28
      916       448,826  
RCS & RDS SA, 2.50%, 02/05/25
(e)
    EUR       100       107,606  
Sinclair Television Group, Inc., 4.13%, 12/01/30
(b)
    USD       66       46,530  
Sirius XM Radio, Inc.
(b)
     
3.13%, 09/01/26
      58       54,501  
5.00%, 08/01/27
(f)
      951       918,660  
4.00%, 07/15/28
      96       88,785  
Stagwell Global LLC, 5.63%, 08/15/29
(b)(f)
      129       118,650  
Summer BidCo BV, (9.00% Cash or 9.75% PIK), 9.00%, 11/15/25
(e)(g)
    EUR       124       135,758  
TEGNA, Inc., 4.75%, 03/15/26
(b)
    USD       59       57,386  
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28
(b)
      400       374,000  
Univision Communications, Inc.
(b)
     
6.63%, 06/01/27
      72       71,804  
8.00%, 08/15/28
(f)
      759       783,000  
7.38%, 06/30/30
(f)
      225       224,355  
UPC Broadband Finco BV, 4.88%, 07/15/31
(b)
      794       698,807  
Videotron Ltd., 3.63%, 06/15/29
(b)
      112       101,644  
VZ Secured Financing BV, 3.50%, 01/15/32
(e)
    EUR       100       97,216  
Ziggo Bond Co. BV
(b)
     
6.00%, 01/15/27
    USD       638       620,941  
5.13%, 02/28/30
      295       246,728  
Ziggo BV, 4.88%, 01/15/30
(b)
      217       193,561  
     
 
 
 
         34,080,495  
Metals & Mining — 2.8%
                 
ABJA Investment Co. Pte. Ltd., 5.95%, 07/31/24
(e)
      250       248,828  
Amsted Industries, Inc., 5.63%, 07/01/27
(b)
      185       184,337  
AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30
      200       173,563  
Arsenal AIC Parent LLC, 8.00%, 10/01/30
(b)
      312       325,528  
ATI, Inc.
     
5.88%, 12/01/27
      216       212,857  
4.88%, 10/01/29
      129       120,223  
7.25%, 08/15/30
(f)
      685       712,668  
5.13%, 10/01/31
      350       324,628  
BHP Billiton Finance USA Ltd., 4.13%, 02/24/42
(f)
      250       226,258  
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29
(b)(f)
      1,740       1,774,069  
Carpenter Technology Corp.
     
6.38%, 07/15/28
      106       105,602  
7.63%, 03/15/30
(f)
      463       477,437  
Constellium SE
     
4.25%, 02/15/26
(e)
    EUR       100       109,706  
5.88%, 02/15/26
(b)
    USD       1,193       1,185,586  
5.63%, 06/15/28
(b)
      250       243,981  
3.75%, 04/15/29
(b)(f)
      2,013       1,826,517  
First Quantum Minerals Ltd., 8.63%, 06/01/31
(b)
      432       363,666  
JSW Steel Ltd., 5.95%, 04/18/24
(e)
      200       199,162  
Kaiser Aluminum Corp.
(b)(f)
     
4.63%, 03/01/28
      243       224,734  
4.50%, 06/01/31
      1,040       896,508  
Metinvest BV, 7.65%, 10/01/27
(e)
      200       128,000  
Security
        
Par
(000)
   
Value
 
Metals & Mining (continued)
                 
New Gold, Inc., 7.50%, 07/15/27
(b)
    USD       900     $ 907,985  
Novelis Corp.
(b)(f)
     
3.25%, 11/15/26
      1,113       1,047,777  
4.75%, 01/30/30
      1,100       1,034,493  
3.88%, 08/15/31
      1,372       1,209,054  
Novelis Sheet Ingot GmbH, 3.38%, 04/15/29
(e)
    EUR       300       312,310  
Rio Tinto Finance USA PLC, 4.75%, 03/22/42
(f)
    USD       400       387,082  
Vedanta Resources Finance II PLC
     
13.88%, 01/21/24
(e)
      200       177,108  
8.95%, 03/11/25
(b)
      320       237,165  
     
 
 
 
         15,376,832  
Mortgage Real Estate Investment Trusts (REITs)
(b)
— 0.1%
 
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.
     
5.25%, 10/01/25
      54       53,269  
4.25%, 02/01/27
      220       207,289  
4.75%, 06/15/29
      85       76,643  
     
 
 
 
        337,201  
Office REITs — 0.0%
                 
Highwoods Realty LP, 7.65%, 02/01/34
      85       91,698  
     
 
 
 
Oil, Gas & Consumable Fuels — 11.3%
                 
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26
(b)(f)
      865       869,325  
Antero Midstream Partners LP/Antero Midstream Finance Corp.
(b)
     
5.75%, 03/01/27
      382       379,034  
5.75%, 01/15/28
      75       74,252  
5.38%, 06/15/29
      263       252,840  
Apache Corp.
     
4.75%, 04/15/43
(f)
      800       629,625  
5.35%, 07/01/49
      72       59,865  
Ascent Resources Utica Holdings LLC/ARU Finance Corp.
(b)
     
9.00%, 11/01/27
      747       941,220  
8.25%, 12/31/28
      1,141       1,147,630  
Baytex Energy Corp., 8.50%, 04/30/30
(b)
      232       240,099  
Buckeye Partners LP
     
4.13%, 03/01/25
(b)
      345       334,423  
5.85%, 11/15/43
      182       147,438  
5.60%, 10/15/44
      117       90,023  
Callon Petroleum Co.
     
6.38%, 07/01/26
      208       207,012  
8.00%, 08/01/28
(b)
      1,175       1,199,996  
7.50%, 06/15/30
(b)(f)
      721       727,144  
Chesapeake Energy Corp.
(b)
     
5.88%, 02/01/29
      53       51,938  
6.75%, 04/15/29
(f)
      555       560,163  
CITGO Petroleum Corp., 8.38%, 01/15/29
(b)
      666       684,868  
Civitas Resources, Inc.
(b)(f)
     
8.38%, 07/01/28
      1,060       1,106,582  
8.63%, 11/01/30
      539       571,729  
8.75%, 07/01/31
      993       1,057,095  
CNX Midstream Partners LP, 4.75%, 04/15/30
(b)
      124       111,350  
CNX Resources Corp., 7.38%, 01/15/31
(b)
      127       127,882  
Comstock Resources, Inc.
(b)(f)
     
6.75%, 03/01/29
      498       455,425  
5.88%, 01/15/30
      1,195       1,036,424  
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31
(b)(f)
      2,219       2,102,734  
 
 
134
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
       
Par
(000)
   
Value
 
 
 
Oil, Gas & Consumable Fuels (continued)
       
Crescent Energy Finance LLC
(b)
     
7.25%, 05/01/26
    USD       902     $ 907,561  
9.25%, 02/15/28
      782       811,380  
CrownRock LP/CrownRock Finance, Inc., 5.00%, 05/01/29
(b)
      81       78,975  
Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, 10/01/30
      290       296,555  
DT Midstream, Inc.
(b)(f)
     
4.13%, 06/15/29
      415       381,793  
4.38%, 06/15/31
      527       475,372  
Ecopetrol SA, 4.13%, 01/16/25
      396       385,357  
Empresa Nacional del Petroleo, 6.15%, 05/10/33
(b)
      200       200,122  
Enbridge, Inc.
(a)
     
(3-mo. CME Term SOFR + 3.90%), 6.25%, 03/01/78
(f)
       1,865        1,723,892  
(5-year CMT + 4.43%), 8.50%, 01/15/84
      257       273,357  
Series 20-A, (5-year CMT + 5.31%), 5.75%, 07/15/80
(f)
      690       636,525  
Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 01/30/28
(b)
      567       567,535  
Energean Israel Finance Ltd., 8.50%, 09/30/33
      160       152,528  
Energy Transfer LP
     
6.00%, 02/01/29
(b)
      188       189,689  
7.38%, 02/01/31
(b)
      126       132,418  
6.13%, 12/15/45
(f)
      500       503,599  
5.30%, 04/15/47
(f)
      350       320,896  
Series H, (5-year CMT + 5.69%), 6.50%
(a)(h)
      581       552,113  
EnLink Midstream LLC
     
5.63%, 01/15/28
(b)
      402       397,450  
5.38%, 06/01/29
(f)
      316       309,192  
6.50%, 09/01/30
(b)
      245       250,138  
EnLink Midstream Partners LP
     
4.85%, 07/15/26
      88       86,213  
5.60%, 04/01/44
      249       216,710  
Enterprise Products Operating LLC, (3-mo. CME Term SOFR + 2.83%), 5.38%, 02/15/78
(a)
      420       376,421  
EQM Midstream Partners LP
     
4.13%, 12/01/26
      131       126,531  
4.50%, 01/15/29
(b)
      34       32,121  
7.50%, 06/01/30
(b)
      108       116,102  
4.75%, 01/15/31
(b)(f)
      804       748,242  
FTAI Infra Escrow Holdings LLC, 10.50%, 06/01/27
(b)
      26       26,971  
Genesis Energy LP/Genesis Energy Finance Corp.
     
7.75%, 02/01/28
(f)
      204       204,711  
8.25%, 01/15/29
      238       244,913  
8.88%, 04/15/30
      227       234,718  
Gulfport Energy Corp., 8.00%, 05/17/26
(b)
      47       47,510  
Harvest Midstream I LP, 7.50%, 09/01/28
(b)
      78       77,538  
Hess Corp., 4.30%, 04/01/27
(f)
      750       742,054  
Hilcorp Energy I LP/Hilcorp Finance Co.
(b)
     
6.25%, 11/01/28
      188       187,276  
5.75%, 02/01/29
      281       271,360  
6.00%, 04/15/30
      28       27,155  
8.38%, 11/01/33
      792       839,076  
Howard Midstream Energy Partners LLC, 8.88%, 07/15/28
(b)
      343       360,000  
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26
(e)(f)
      200       193,187  
Impulsora Pipeline LLC, 6.05%, 01/01/43
(a)(c)
      1,504       1,277,438  
ITT Holdings LLC, 6.50%, 08/01/29
(b)(f)
      437       386,588  
Kinetik Holdings LP 6.63%, 12/15/28
      121       123,276  
Security
       
Par
(000)
   
Value
 
 
 
Oil, Gas & Consumable Fuels (continued)
       
Kinetik Holdings LP (continued)
     
5.88%, 06/15/30
(b)(f)
    USD       403     $ 395,364  
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26
(b)
      41       39,975  
Matador Resources Co.
(f)
     
5.88%, 09/15/26
      255       252,883  
6.88%, 04/15/28
(b)
      399       404,712  
Medco Bell Pte. Ltd., 6.38%, 01/30/27
(e)
      250       239,687  
MPLX LP, 4.25%, 12/01/27
(f)
      235       229,896  
Murphy Oil Corp.
     
5.88%, 12/01/27
      17       16,914  
5.88%, 12/01/42
      35       30,923  
Murphy Oil USA, Inc., 4.75%, 09/15/29
      171       162,023  
Nabors Industries Ltd.
(b)
     
7.25%, 01/15/26
      273       262,410  
7.50%, 01/15/28
      305       263,748  
Nabors Industries, Inc.
     
5.75%, 02/01/25
(f)
       1,143        1,142,619  
7.38%, 05/15/27
(b)
      64       62,700  
9.13%, 01/31/30
(b)
      362       363,470  
New Fortress Energy, Inc., 6.75%, 09/15/25
(b)(f)
      241       239,077  
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26
(b)
      657       663,576  
Noble Finance II LLC, 8.00%, 04/15/30
(b)
      402       418,302  
Northern Oil and Gas, Inc.
(b)(f)
     
8.13%, 03/01/28
      1,528       1,547,100  
8.75%, 06/15/31
      408       424,972  
NuStar Logistics LP
     
6.00%, 06/01/26
      182       181,680  
6.38%, 10/01/30
      30       30,053  
PBF Holding Co. LLC/PBF Finance Corp., 7.88%, 09/15/30
(b)
      271       275,986  
Permian Resources Operating LLC
     
5.38%, 01/15/26
(b)
      82       80,908  
7.75%, 02/15/26
(b)
      710       722,304  
6.88%, 04/01/27
(b)
      196       195,866  
8.00%, 04/15/27
(b)(f)
      352       364,875  
5.88%, 07/01/29
(b)(f)
      528       514,779  
9.88%, 07/15/31
(b)(f)
      402       446,722  
7.00%, 01/15/32
      431       444,651  
Petroleos Mexicanos
     
3.75%, 02/21/24
(e)
    EUR       137       150,372  
8.75%, 06/02/29
    USD       146       140,460  
5.95%, 01/28/31
(f)
      183       145,211  
6.70%, 02/16/32
      44       36,410  
Precision Drilling Corp., 6.88%, 01/15/29
(b)
      16       15,429  
Puma International Financing SA, 5.00%, 01/24/26
(e)
      310       292,466  
Rockcliff Energy II LLC, 5.50%, 10/15/29
(b)
      263       248,565  
Rockies Express Pipeline LLC, 4.95%, 07/15/29
(b)
      66       63,108  
Shell International Finance BV, 4.38%, 05/11/45
(f)
      450       412,291  
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.88%, 11/01/28
      510       528,472  
SM Energy Co.
     
6.75%, 09/15/26
(f)
      221       220,424  
6.63%, 01/15/27
      27       26,847  
6.50%, 07/15/28
      200       200,092  
Southwestern Energy Co.
     
5.38%, 02/01/29
      260       253,732  
4.75%, 02/01/32
      6       5,551  
Suncor Energy, Inc., 6.50%, 06/15/38
(f)
      800       854,865  
Sunoco LP/Sunoco Finance Corp.
     
6.00%, 04/15/27
      75       75,064  
 
 
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  135

Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
       
Par
(000)
   
Value
 
 
 
Oil, Gas & Consumable Fuels (continued)
       
Sunoco LP/Sunoco Finance Corp. (continued)
     
5.88%, 03/15/28
    USD       147     $ 146,804  
7.00%, 09/15/28
(b)
      252       260,006  
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
(b)
     
7.50%, 10/01/25
      16       16,080  
6.00%, 03/01/27
      53       51,828  
5.50%, 01/15/28
      126       119,071  
6.00%, 12/31/30
      13       12,084  
6.00%, 09/01/31
      168       155,388  
Transocean Aquila Ltd., 8.00%, 09/30/28
(b)
      169       171,529  
Transocean Titan Financing Ltd., 8.38%, 02/01/28
(b)
      228       236,547  
Transocean, Inc.
(b)
     
7.50%, 01/15/26
      754       740,776  
11.50%, 01/30/27
      710       741,950  
8.00%, 02/01/27
      496       483,600  
8.75%, 02/15/30
(f)
      1,212       1,266,459  
Valaris Ltd., 8.38%, 04/30/30
(b)
      1,011       1,035,810  
Venture Global Calcasieu Pass LLC
(b)
     
3.88%, 08/15/29
      1,025       929,982  
4.13%, 08/15/31
      157       138,318  
3.88%, 11/01/33
(f)
      947       802,533  
Venture Global LNG, Inc.
(b)
     
8.13%, 06/01/28
(f)
      1,031       1,041,204  
9.50%, 02/01/29
(f)
       3,019       3,194,606  
8.38%, 06/01/31
      1,809       1,808,063  
9.88%, 02/01/32
      1,448       1,508,293  
Vermilion Energy, Inc., 6.88%, 05/01/30
(b)
      204       195,849  
Vital Energy, Inc.
     
10.13%, 01/15/28
      356       365,811  
9.75%, 10/15/30
      427       442,659  
Western Midstream Operating LP
     
5.45%, 04/01/44
(f)
      757       685,315  
5.30%, 03/01/48
      43       37,420  
5.50%, 08/15/48
(f)
      103       91,856  
5.25%, 02/01/50
(f)
      481       431,246  
     
 
 
 
         62,857,295  
Passenger Airlines — 0.8%
                 
Air Canada, 3.88%, 08/15/26
(b)
      582       556,037  
American Airlines, Inc., 8.50%, 05/15/29
(b)
      601       634,655  
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 04/20/29
(b)
      981       956,182  
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27
(b)(f)
      285       285,871  
United Airlines Pass-Through Trust, Series 2020-1, Class B, 4.88%, 07/15/27
      36       35,336  
United Airlines, Inc.
(b)
     
4.38%, 04/15/26
      660       643,108  
4.63%, 04/15/29
(f)
      1,136       1,062,427  
VistaJet Malta Finance PLC/Vista Management Holding, Inc., 7.88%, 05/01/27
(b)
      165       141,914  
     
 
 
 
        4,315,530  
Personal Care Products — 0.1%
       
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 6.63%, 07/15/30
(b)(f)
      337       346,203  
     
 
 
 
Pharmaceuticals — 1.3%
                 
1375209 BC Ltd., 9.00%, 01/30/28
(b)
      332       323,733  
AbbVie, Inc.
(f)
     
4.75%, 03/15/45
      500       480,907  
4.45%, 05/14/46
      1,000       918,127  
Cheplapharm Arzneimittel GmbH, 3.50%, 02/11/27
(e)
    EUR       100       106,668  
Security
       
Par
(000)
   
Value
 
 
 
Pharmaceuticals (continued)
                 
CVS Health Corp., 5.05%, 03/25/48
(f)
    USD       1,110     $ 1,038,192  
Gruenenthal GmbH, 4.13%, 05/15/28
(e)
    EUR       100       108,991  
Jazz Securities DAC, 4.38%, 01/15/29
(b)(f)
    USD       200       186,283  
Option Care Health, Inc., 4.38%, 10/31/29
(b)(f)
      314       283,780  
Organon & Co./Organon Foreign Debt Co-Issuer BV
(b)(f)
     
4.13%, 04/30/28
      1,153       1,061,293  
5.13%, 04/30/31
      200       170,969  
Rossini SARL, 6.75%, 10/30/25
(e)
    EUR       166       183,256  
Teva Pharmaceutical Finance Netherlands II BV, 7.38%, 09/15/29
      100       120,574  
Teva Pharmaceutical Finance Netherlands III BV
     
7.13%, 01/31/25
    USD       200       200,890  
3.15%, 10/01/26
(f)
      740       684,037  
4.75%, 05/09/27
      200       191,842  
6.75%, 03/01/28
      200       203,580  
7.88%, 09/15/29
      200       214,616  
8.13%, 09/15/31
(f)
      200       217,356  
Utah Acquisition Sub, Inc., 3.95%, 06/15/26
(f)
      650       628,156  
     
 
 
 
         7,323,250  
Professional Services — 0.2%
                 
CoreLogic, Inc., 4.50%, 05/01/28
(b)(f)
       1,225       1,073,112  
     
 
 
 
Real Estate Management & Development — 0.3%
       
Agps Bondco PLC, 5.50%, 11/13/26
(e)(l)(m)
    EUR       200       76,173  
Anywhere Real Estate Group LLC/Anywhere Co.- Issuer Corp.
     
7.00%, 04/15/30
    USD       348       320,922  
7.00%, 04/15/30
(b)
      316       291,918  
Cushman & Wakefield U.S. Borrower LLC, 8.88%, 09/01/31
      372       394,235  
Fantasia Holdings Group Co. Ltd.
(l)(m)
     
11.75%, 04/17/22
(e)
      430       9,675  
12.25%, 10/18/22
      200       4,500  
11.88%, 06/01/23
(e)
      200       4,500  
9.25%, 07/28/23
(e)
      400       9,000  
Howard Hughes Corp., 5.38%, 08/01/28
(b)(f)
      106       101,879  
SBB Treasury OYJ, 1.13%, 11/26/29
(e)
    EUR       100       64,735  
Theta Capital Pte. Ltd., 8.13%, 01/22/25
(e)
    USD       200       177,772  
     
 
 
 
        1,455,309  
Retail REITs — 0.0%
                 
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27
(b)
      204       183,600  
     
 
 
 
Semiconductors & Semiconductor Equipment — 0.8%
 
ams-OSRAM AG, 10.50%, 03/30/29
    EUR       100       119,751  
Broadcom, Inc., 4.15%, 04/15/32
(b)(f)
    USD       1,000       942,674  
Entegris Escrow Corp., 4.75%, 04/15/29
(b)(f)
      2,256       2,173,462  
Entegris, Inc., 4.38%, 04/15/28
(b)
      152       144,652  
NCR Atleos Corp., 9.50%, 04/01/29
      327       347,436  
QUALCOMM, Inc., 4.65%, 05/20/35
(f)
      400       409,133  
Synaptics, Inc., 4.00%, 06/15/29
(b)
      216       193,749  
     
 
 
 
        4,330,857  
Software — 3.1%
                 
Alteryx, Inc., 8.75%, 03/15/28
(b)(f)
      344       366,144  
Boxer Parent Co., Inc.
     
6.50%, 10/02/25
(e)
    EUR       100       109,975  
7.13%, 10/02/25
(b)
    USD       761       765,079  
9.13%, 03/01/26
(b)
      735       733,385  
Capstone Borrower, Inc., 8.00%, 06/15/30
(b)
      394       409,902  
Clarivate Science Holdings Corp.
(b)(f)
     
3.88%, 07/01/28
      1,442       1,359,653  
 
 
136
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
       
Par
(000)
   
Value
 
 
 
Software (continued)
                 
Clarivate Science Holdings Corp.
(b)(f)
(continued)
     
4.88%, 07/01/29
    USD       1,244     $ 1,167,288  
Cloud Software Group, Inc.
(b)(f)
     
6.50%, 03/31/29
      4,678       4,455,518  
9.00%, 09/30/29
      2,015       1,915,163  
Consensus Cloud Solutions, Inc.
(b)
     
6.00%, 10/15/26
      91       86,527  
6.50%, 10/15/28
      83       75,286  
Crowdstrike Holdings, Inc., 3.00%, 02/15/29
      53       47,897  
Elastic NV, 4.13%, 07/15/29
(b)(f)
      481       441,677  
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL, 4.63%, 05/01/28
(b)
      200       182,452  
Iron Mountain U.K. PLC, 3.88%, 11/15/25
(e)
    GBP       100       122,403  
McAfee Corp., 7.38%, 02/15/30
(b)(f)
    USD       1,315       1,200,926  
MicroStrategy, Inc., 6.13%, 06/15/28
(b)
      603       584,994  
Open Text Corp., 6.90%, 12/01/27
(b)
      1,101       1,144,656  
Oracle Corp., 3.60%, 04/01/50
(f)
      250       185,177  
Playtika Holding Corp., 4.25%, 03/15/29
(b)
      101       88,127  
SS&C Technologies, Inc.,
5.50%, 09/30/27
(b)(f)
       1,530       1,508,171  
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25
(b)
      372       307,112  
     
 
 
 
         17,257,512  
Specialized REITs
(b)
— 0.2%
                 
Iron Mountain, Inc.
     
7.00%, 02/15/29
(f)
      951       977,512  
5.63%, 07/15/32
      89       84,254  
     
 
 
 
        1,061,766  
Specialty Retail — 0.3%
                 
Arko Corp., 5.13%, 11/15/29
(b)(f)
      158       136,710  
eG Global Finance PLC, 12.00%, 11/30/28
      391       416,427  
PetSmart, Inc./PetSmart Finance Corp.
(b)
     
4.75%, 02/15/28
      436       411,054  
7.75%, 02/15/29
(f)
      895       870,672  
     
 
 
 
        1,834,863  
Technology Hardware, Storage & Peripherals
(b)
— 0.2%
 
Seagate HDD Cayman
     
8.25%, 12/15/29
(f)
      649       699,964  
8.50%, 07/15/31
      615       667,462  
     
 
 
 
        1,367,426  
Textiles, Apparel & Luxury Goods
(b)
— 0.0%
 
Hanesbrands, Inc., 4.88%, 05/15/26
(f)
      175       168,807  
Levi Strauss & Co., 3.50%, 03/01/31
      21       18,183  
     
 
 
 
        186,990  
Tobacco
(f)
— 0.4%
                 
Altria Group, Inc., 4.50%, 05/02/43
      750       625,468  
Philip Morris International, Inc., 4.38%, 11/15/41
      900       798,469  
Reynolds American, Inc., 5.85%, 08/15/45
      715       669,280  
     
 
 
 
        2,093,217  
Transportation Infrastructure — 0.2%
                 
Aeropuerto Internacional de Tocumen SA, 5.13%, 08/11/61
(b)
      320       240,022  
Azzurra Aeroporti SpA, 2.13%, 05/30/24
(e)
    EUR       100       109,170  
DP World Salaam, (5-year CMT + 5.75%), 6.00%
(a)(e)(h)
    USD       200       199,132  
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27
(e)
      200       183,070  
Security
       
Par
(000)
   
Value
 
 
 
Transportation Infrastructure (continued)
 
Heathrow Finance PLC, 4.13%, 09/01/29
(e)(n)
    GBP       100     $ 110,098  
Transurban Finance Co. Pty. Ltd., 4.13%, 02/02/26
(b)(f)
    USD       520       508,014  
     
 
 
 
        1,349,506  
Wireless Telecommunication Services — 1.0%
 
Altice France SA/France
     
5.88%, 02/01/27
(e)
    EUR       100       98,034  
8.13%, 02/01/27
(b)
    USD       570       525,443  
11.50%, 02/01/27
(k)
    EUR       100       110,671  
5.50%, 01/15/28
(b)
    USD       357       294,016  
5.13%, 07/15/29
(b)
      1,206       938,291  
5.50%, 10/15/29
(b)
      400       313,650  
Cellnex Finance Co. SA
(e)
     
1.25%, 01/15/29
    EUR       100       98,583  
2.00%, 09/15/32
      100       94,392  
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26
(b)
    USD        1,466       1,457,218  
Eutelsat SA, 1.50%, 10/13/28
(e)
    EUR       100       82,796  
Hughes Satellite Systems Corp., 5.25%, 08/01/26
    USD       150       131,996  
Kenbourne Invest SA, 6.88%, 11/26/24
(b)
      243       168,202  
Millicom International Cellular SA, 5.13%, 01/15/28
(e)
      283       262,832  
VF Ukraine PAT via VFU Funding PLC, 6.20%, 02/11/25
(e)
      208       159,120  
Vmed O2 U.K. Financing I PLC
     
4.00%, 01/31/29
(e)
    GBP       100       112,647  
4.50%, 07/15/31
(e)
      100       109,924  
4.75%, 07/15/31
(b)(f)
    USD       562       501,645  
     
 
 
 
        5,459,460  
     
 
 
 
Total Corporate Bonds — 86.2%
(Cost: $487,806,262)
 
       480,903,228  
     
 
 
 
Floating Rate Loan Interests
(a)
 
 
Aerospace & Defense — 0.2%
       
Peraton Corp.
     
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 13.22%, 02/01/29
      744       738,397  
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/01/28
      312       312,651  
     
 
 
 
        1,051,048  
Air Freight & Logistics — 0.0%
       
Clue Opco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.50%), 9.86%, 12/19/30
      268       253,482  
     
 
 
 
Automobile Components — 0.0%
       
Tenneco, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 5.00%), 10.47%, 11/17/28
      170       149,857  
     
 
 
 
Banks — 0.0%
                 
Ascensus Holdings, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.18%, 08/02/29
      232       222,400  
     
 
 
 
Beverages — 0.0%
                 
Naked Juice LLC
     
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.45%, 01/24/30
      38       30,400  
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.70%, 01/24/29
      32       30,721  
     
 
 
 
        61,121  
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
       
Par
(000)
   
Value
 
 
 
Broadline Retail — 0.0%
                 
PUG LLC, USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 02/12/27
    USD       119     $ 116,825  
     
 
 
 
Building Products — 0.0%
                 
White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.11%, 10/19/27
      95       94,886  
     
 
 
 
Chemicals — 0.2%
                 
Arc Falcon I, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 09/30/28
      87       85,544  
Aruba Investments Holdings LLC, 2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.75%), 13.21%, 11/24/28
      118       109,996  
Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.77%, 10/04/29
      661       650,930  
Herens U.S. Holdco Corp., USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.37%, 07/03/28
      178       160,645  
Momentive Performance Materials Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.86%, 03/29/28
      275       265,130  
     
 
 
 
          1,272,245  
Commercial Services & Supplies — 0.1%
 
PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.89%, 12/15/28
      262       202,909  
TruGreen LP, 2020 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.50%), 14.14%, 11/02/28
      201       148,740  
     
 
 
 
        351,649  
Communications Equipment — 0.1%
 
Viasat, Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 05/30/30
      316       309,488  
     
 
 
 
Construction & Engineering — 0.2%
       
Brand Industrial Services, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.50%), 10.88%, 08/01/30
       1,142       1,134,112  
     
 
 
 
Consumer Finance — 0.0%
                 
Sabre GLBL, Inc.
     
2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 12/17/27
      61       52,662  
2021 Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 12/17/27
      95       82,969  
     
 
 
 
        135,631  
Containers & Packaging — 0.0%
       
Trident TPI Holdings, Inc., 2023 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.85%, 09/15/28
      165       164,684  
     
 
 
 
Security
       
Par
(000)
   
Value
 
 
 
Diversified Consumer Services — 0.1%
       
Ascend Learning LLC
     
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 11.21%, 12/10/29
    USD       157     $ 134,179  
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 12/11/28
      203       199,411  
     
 
 
 
           333,590  
Diversified Telecommunication Services — 0.1%
 
Frontier Communications Holdings LLC, 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 10/08/27
(c)
       220       218,645  
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.47%, 03/09/27
      254       217,202  
     
 
 
 
        435,847  
Electronic Equipment, Instruments & Components — 0.0%
 
Roper Industrial Products Investment Co., USD Term Loan, 0.00%, 11/22/29
      125       124,782  
     
 
 
 
Energy Equipment & Services — 0.0%
 
Lealand Finance Co. BV, 2020 Make Whole Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.47%, 06/28/24
(c)
      17       11,528  
     
 
 
 
Financial Services — 0.1%
                 
Deerfield Dakota Holding LLC
     
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 9.10%, 04/09/27
      33       32,647  
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.36%, 04/07/28
      274       260,642  
     
 
 
 
        293,289  
Food Products — 0.1%
                 
Chobani LLC, 2023 Incremental Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.11%, 10/25/27
      307       307,255  
     
 
 
 
Health Care Equipment & Supplies — 0.1%
 
Bausch & Lomb Corp., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.36%, 09/29/28
      267       265,334  
Bausch and Lomb, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 05/10/27
      331       326,926  
     
 
 
 
        592,260  
Health Care Providers & Services — 0.2%
 
LifePoint Health, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 5.50%), 11.17%, 11/16/28
      137       136,519  
Quorum Health Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 8.25%), 13.76%, 04/29/25
      300       180,087  
Star Parent, Inc., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.35%, 09/27/30
      493       486,339  
Surgery Center Holdings, Inc., 2023 Term Loan, (1- mo. CME Term SOFR + 3.50%) , 8.86%, 12/19/30
      130       130,768  
     
 
 
 
        933,713  
 
 
138
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
       
Par
(000)
   
Value
 
 
 
Health Care Technology — 0.7%
       
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 02/15/29
    USD        2,207     $ 2,194,358  
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.45%, 10/01/27
      551       534,337  
Verscend Holding Corp., 2021 Term Loan B, (1-mo. CME Term SOFR + 4.00%), 9.47%, 08/27/25
      1,226       1,227,359  
     
 
 
 
          3,956,054  
Household Durables — 0.1%
       
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.88%, 02/26/29
      273       272,102  
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 10/06/28
      528       471,877  
     
 
 
 
        743,979  
Insurance — 0.0%
                 
Alliant Holdings Intermediate LLC, 2023 Term Loan B6, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 11/06/30
      66       66,345  
     
 
 
 
Interactive Media & Services — 0.0%
       
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.50%, 02/16/28
      125       124,310  
     
 
 
 
IT Services — 0.2%
                 
Magenta Buyer LLC
     
2021 USD 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.64%, 07/27/28
      790       555,393  
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.25%), 13.89%, 07/27/29
      530       201,400  
Project Alpha Intermediate Holding, Inc., 2023 1st Lien Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.11%, 10/28/30
      117       117,032  
     
 
 
 
        873,825  
Leisure Products — 0.0%
                 
Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.48%, 05/25/27
      130       130,378  
     
 
 
 
Machinery — 0.3%
                 
Madison IAQ LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 06/21/28
     
(d)
 
    81  
SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 04/05/29
      468       469,084  
Titan Acquisition Ltd./Canada, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 03/28/25
      977       974,721  
     
 
 
 
        1,443,886  
Media — 0.5%
                 
AVSC Holding Corp., 2018 2nd Lien Term Loan, (1- mo. CME Term SOFR at 1.00% Floor + 7.25%), 12.72%, 09/01/25
      311       283,785  
Security
       
Par
(000)
   
Value
 
 
 
Media (continued)
                 
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.14%, 08/21/26
    USD        1,032     $ 1,019,812  
DirecTV Financing LLC, Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.65%, 08/02/27
      991       989,986  
Radiate Holdco LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 09/25/26
      329       262,567  
     
 
 
 
          2,556,150  
Oil, Gas & Consumable Fuels — 0.3%
 
Ecopetrol SA, 2023 Term Loan, (3-mo. CME Term SOFR + 4.75%), 10.13%, 09/06/30
      150       148,875  
Freeport LNG Investments LLLP, Term Loan B, (3- mo. CME Term SOFR + 3.50%), 9.18%, 12/21/28
      135       134,594  
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 09/19/29
      142       142,310  
New Fortress Energy, Inc., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.39%, 10/27/28
      1,323       1,299,848  
     
 
 
 
        1,725,627  
Passenger Airlines — 0.1%
                 
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.43%, 04/20/28
      487       499,895  
     
 
 
 
Personal Care Products — 0.0%
       
KDC/ONE Development Corp., Inc., 2023 USD Term Loan B, (1-mo. CME Term SOFR + 5.00%), 10.36%, 08/15/28
      252       249,102  
     
 
 
 
Pharmaceuticals — 0.0%
                 
Amneal Pharmaceuticals LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 5.50%), 10.86%, 05/04/28
      89       86,796  
     
 
 
 
Professional Services — 0.1%
       
CoreLogic, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 06/02/28
      165       159,898  
Galaxy U.S. Opco, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.13%, 04/29/29
(c)
      169       138,818  
     
 
 
 
        298,716  
Real Estate Management & Development — 0.0%
 
Cushman & Wakefield U.S. Borrower LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.36%, 01/31/30
(c)
      104       104,090  
     
 
 
 
Software — 1.0%
                 
Boxer Parent Co., Inc.
     
2021 USD 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.50%), 10.97%, 02/27/26
      529       526,519  
2023 USD Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.61%, 12/29/28
      129       217,034  
Cloud Software Group, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.95%, 03/30/29
      999       973,856  
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
       
Par
(000)
   
Value
 
 
 
Software (continued)
                 
Cloudera, Inc., 2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.46%, 10/08/29
    USD       442     $ 420,969  
McAfee Corp., 2022 USD Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.19%, 03/01/29
      583       579,389  
MH Sub I LLC
     
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.61%, 02/23/29
      66       61,262  
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.61%, 05/03/28
      821       805,714  
Planview Parent, Inc., 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.70%, 12/18/28
      195       177,206  
Polaris Newco LLC, USD Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.47%, 06/02/28
      361       356,141  
Proofpoint, Inc., 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.25%), 11.72%, 08/31/29
      472       475,162  
Sophia LP, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 10/07/27
      177       177,321  
UKG, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.76%, 05/03/27
       556       556,450  
     
 
 
 
        5,327,023  
Specialty Retail — 0.0%
                 
Staples, Inc., 7 Year Term Loan, (1-mo. LIBOR US + 5.00%), 10.46%, 04/16/26
     
(d)
 
    2  
     
 
 
 
Transportation Infrastructure — 0.0%
 
Apple Bidco LLC, 2022 Incremental Term Loan, (1- mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 09/22/28
      65       65,545  
     
 
 
 
Wireless Telecommunication Services — 0.1%
 
Digicel International Finance Ltd.
     
2017 Term Loan B, (3-mo. LIBOR US + 2.25%), 10.75%, 05/28/24
      695       643,657  
2017 Term Loan B1, 05/27/24
(o)
      30       27,971  
     
 
 
 
        671,628  
     
 
 
 
Total Floating Rate Loan Interests — 4.9%
(Cost: $27,846,716)
 
       27,273,043  
     
 
 
 
Foreign Agency Obligations
 
 
Bahrain — 0.0%
                 
Bahrain Government International Bond, 5.45%, 09/16/32
(e)
      200       183,312  
     
 
 
 
Chile — 0.0%
                 
Chile Government International Bond, 4.34%, 03/07/42
(f)
      200       178,188  
     
 
 
 
Colombia — 0.1%
                 
Colombia Government International Bond
     
4.50%, 01/28/26
(f)
      200       196,000  
3.88%, 03/22/26
    EUR       100       109,000  
8.00%, 04/20/33
(f)
    USD       200       218,312  
     
 
 
 
        523,312  
Dominican Republic — 0.2%
                 
Dominican Republic International Bond
     
6.88%, 01/29/26
(e)
      107       108,787  
Security
       
Par
(000)
   
Value
 
 
 
Dominican Republic (continued)
       
Dominican Republic International Bond (continued)
     
5.95%, 01/25/27
(e)
    USD       176     $ 176,366  
4.50%, 01/30/30
(b)
      200       183,750  
7.05%, 02/03/31
(b)
      150       157,342  
4.88%, 09/23/32
(b)
      162       147,281  
     
 
 
 
        773,526  
Egypt — 0.0%
                 
Egypt Government International Bond, 7.50%, 02/16/61
(b)
      200       116,313  
     
 
 
 
Guatemala — 0.1%
                 
Guatemala Government Bond
     
5.38%, 04/24/32
(b)
      200       193,700  
6.60%, 06/13/36
      200       205,500  
4.65%, 10/07/41
(b)
      200       163,000  
     
 
 
 
        562,200  
Hungary — 0.0%
                 
Hungary Government International Bond, 5.38%, 03/25/24
      64       63,984  
Magyar Export-Import Bank, 6.00%, 05/16/29
    EUR        121       141,466  
     
 
 
 
          205,450  
Indonesia — 0.0%
                 
Perusahaan Penerbit SBSN Indonesia III, 4.40%, 06/06/27
(b)(f)
    USD       200       198,750  
     
 
 
 
Ivory Coast — 0.1%
                 
Ivory Coast Government International Bond, 6.38%, 03/03/28
(e)(f)
      365       357,814  
     
 
 
 
Mexico — 0.1%
                 
Mexico Government International Bond
     
3.75%, 01/11/28
(f)
      300       289,031  
6.35%, 02/09/35
      200       209,188  
     
 
 
 
        498,219  
Morocco — 0.0%
                 
Morocco Government International Bond, 5.95%, 03/08/28
(b)
      200       204,875  
     
 
 
 
Nigeria — 0.0%
                 
Nigeria Government International Bond, 8.38%, 03/24/29
(b)
      200       191,562  
     
 
 
 
Oman — 0.1%
                 
Oman Government International Bond, 6.75%, 01/17/48
(e)
      309       322,615  
     
 
 
 
Panama — 0.1%
                 
Panama Government International Bond
     
6.40%, 02/14/35
(f)
      337       328,575  
6.85%, 03/28/54
      200       186,750  
     
 
 
 
        515,325  
Peru — 0.1%
                 
Corp. Financiera de Desarrollo SA, 4.75%, 07/15/25
(e)
      379       374,346  
Peruvian Government International Bond
(f)
     
2.78%, 01/23/31
      117       101,680  
1.86%, 12/01/32
      356       278,125  
     
 
 
 
        754,151  
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
       
Par
(000)
   
Value
 
 
 
Poland — 0.1%
                 
Republic of Poland Government International Bond
     
4.88%, 10/04/33
(f)
    USD       138     $ 139,484  
5.50%, 04/04/53
      71       73,869  
     
 
 
 
        213,353  
Romania — 0.1%
                 
Romanian Government International Bond
     
5.25%, 11/25/27
(b)(f)
      168       166,473  
2.88%, 03/11/29
(e)
    EUR       140       139,719  
2.50%, 02/08/30
(e)
      150       143,325  
2.12%, 07/16/31
(e)
      168       147,431  
     
 
 
 
        596,948  
Saudi Arabia — 0.1%
                 
Saudi Government International Bond, 4.50%, 04/17/30
(e)(f)
    USD       362       361,887  
     
 
 
 
Senegal — 0.1%
                 
Senegal Government International Bond, 6.25%, 05/23/33
(e)
      231       205,734  
     
 
 
 
South Africa — 0.1%
                 
Republic of South Africa Government International Bond
     
5.88%, 04/20/32
(f)
      390       369,408  
5.00%, 10/12/46
      200       147,250  
     
 
 
 
        516,658  
Ukraine — 0.0%
                 
Ukraine Government International
Bond
(l)(m)
     
7.75%, 09/01/27
(e)
      107       28,569  
7.25%, 03/15/35
(b)
      371       86,072  
     
 
 
 
        114,641  
     
 
 
 
Total Foreign Agency Obligations — 1.4%
(Cost: $7,902,919)
 
        7,594,833  
     
 
 
 
Municipal Bonds
     
Illinois — 0.1%
                 
State of Illinois, GO, 5.10%, 06/01/33
      800       791,103  
     
 
 
 
Total Municipal Bonds — 0.1%
(Cost: $790,464)
        791,103  
     
 
 
 
Non-Agency Mortgage-Backed Securities
 
Collateralized Mortgage Obligations — 14.6%
 
Ajax Mortgage Loan Trust, Series 2017-D, Class B, 0.00%, 12/25/57
(a)(b)
      12       5,062  
Alternative Loan Trust
     
Series 2006-J8, Class A5, 6.00%, 02/25/37
       1,754       761,949  
Series 2007-19, Class 1A1, 6.00%, 08/25/37
      543       278,471  
Bravo Residential Funding Trust
     
Series 2021-NQM1, Class A1, 0.94%, 02/25/49
(a)(b)
      615       542,045  
Series 2023-NQM3, Class A1, 4.85%, 09/25/62
(b)
      397       390,962  
Series 2023-NQM4, Class A1, 6.44%, 05/25/63
      1,348       1,360,543  
Chase Home Lending Mortgage Trust, Series 2019- ATR1, Class A12, 6.50%, 04/25/49
(a)(b)
      367       369,846  
CHL Mortgage Pass-Through Trust
     
Series 2007-J2, Class 2A1, (1-mo. Term SOFR + 0.76%), 6.00%, 07/25/37
(a)
      2,632       705,808  
Series 2007-J2, Class 2A8, 6.00%, 07/25/37
      1,453       530,096  
CIM Trust
     
Series 2023-I1, Class A1, 6.03%, 04/25/58
(b)
      1,252       1,243,521  
Security
       
Par
(000)
   
Value
 
 
 
Collateralized Mortgage Obligations (continued)
 
CIM Trust (continued)
     
Series 2023-I2, Class A1, 6.64%, 12/25/67
    USD       1,231     $ 1,241,836  
Citigroup Mortgage Loan Trust, Series 2006-AR7, Class 2A3A, 4.43%, 11/25/36
(a)
      640       603,415  
COLT Mortgage Loan Trust
     
Series 2020-2, Class M1,
5.25%, 03/25/65
(a)(b)
      2,550       2,489,117  
Series 2020-3, Class M1,
3.36%, 04/27/65
(a)(b)
      2,850       2,613,222  
Series 2022-1, Class A1,
4.55%, 04/25/67
(a)(b)
      1,327       1,300,764  
Series 2022-7, Class A1,
5.16%, 04/25/67
(b)
       2,224         2,167,282  
Series 2022-9, Class A1,
6.79%, 12/25/67
(b)
      308       311,957  
Series 2023-2, Class A1,
6.60%, 07/25/68
      1,374       1,392,136  
Countrywide Alternative Loan Trust
     
Series 2005-9CB, Class 1A3, (1-mo. Term SOFR + 0.56%), 5.50%, 05/25/35
(a)
      1,166       974,233  
Series 2006-40T1, Class 2A5, (1-mo. Term SOFR + 0.51%), 5.87%, 12/25/36
(a)
      2,272       524,854  
Series 2006-7CB, Class 2A1, 6.50%, 05/25/36
      1,402       676,375  
Series 2006-J7, Class 2A1, (1-mo. LIBOR US + 1.50%), 6.96%, 11/20/46
(a)
      2,528       1,903,185  
Series 2006-OA14, Class 3A1, (12-mo. MTA + 0.85%), 5.86%, 11/25/46
(a)
      4,185       3,471,722  
Series 2006-OA16, Class A2, (1-mo. Term SOFR + 0.49%), 5.85%, 10/25/46
(a)
      2,648       2,379,163  
Series 2006-OA18, Class A1, (1-mo. Term SOFR + 0.35%), 5.71%, 12/25/46
(a)
      1,538       1,312,447  
Series 2006-OA6, Class 1A1A, (1-mo. Term SOFR + 0.53%), 5.89%, 07/25/46
(a)
      3,045       2,461,468  
Series 2006-OA8, Class 1A1, (1-mo. Term SOFR + 0.49%), 5.85%, 07/25/46
(a)
      1,030       869,819  
Series 2007-12T1, Class A22, 5.75%, 06/25/37
      3,242       1,466,474  
Series 2007-12T1, Class A5, 6.00%, 06/25/37
      1,573       740,444  
Series 2007-22, Class 2A16, 6.50%, 09/25/37
      6,980       2,671,936  
Series 2007-23CB, Class A1, 6.00%, 09/25/37
      3,984       2,021,948  
Series 2007-4CB, Class 1A3, (1-mo. Term SOFR + 0.46%), 5.75%, 04/25/37
(a)
      1,526       1,144,168  
Series 2007-OA2, Class 1A1, (12-mo. MTA + 0.84%), 5.85%, 03/25/47
(a)
      1,768       1,475,761  
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA5, Class 3A1, (1-mo. Term SOFR + 0.31%), 5.87%, 04/25/46
(a)
      3,604       3,335,040  
Credit Suisse Mortgage Capital Certificates Trust, Series 2022-NQM5, Class A1, 5.17%, 05/25/67
(a)(b)
      2,708       2,689,813  
CSMC Trust
(a)(b)
     
Series 2011-4R, Class 1A2, (1-mo. Term SOFR + 1.61%), 6.93%, 09/27/37
      1,176       950,636  
Series 2021-NQM2, Class M1, 2.28%, 02/25/66
      1,500       961,831  
Ellington Financial Mortgage Trust
(a)(b)
     
Series 2020-1, Class M1, 5.24%, 05/25/65
      500       485,309  
Series 2021-2, Class A1, 0.93%, 06/25/66
      199       158,249  
Flagstar Mortgage Trust, Series 2021-4, Class A1, 2.50%, 06/01/51
(a)(b)
      2,074       1,698,631  
GCAT Trust, Series 2022-NQM3, Class A1, 4.35%, 04/25/67
(a)(b)
      956       922,411  
Homeward Opportunities Fund Trust, Series 2022-1, Class A1, 5.08%, 07/25/67
(b)
      1,025       1,007,762  
JP Morgan Mortgage Trust
(a)(b)
     
Series 2022-DSC1, Class A1, 4.75%, 01/25/63
      515       490,460  
Series 2023-DSC1, Class A1, 4.63%, 07/25/63
      328       308,529  
MFA Trust
     
Series 2021-NQM1, Class M1, 2.31%, 04/25/65
(a)(b)
      2,000       1,518,371  
Series 2023-NQM3, Class A1, 6.62%, 07/25/68
      1,714       1,732,869  
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
       
Par
(000)
   
Value
 
 
 
Collateralized Mortgage Obligations (continued)
 
Mill City Mortgage Trust, Series 2023-NQM2, Class A1, 6.24%, 12/25/67
(b)
    USD       1,651     $ 1,655,347  
Morgan Stanley Re-REMIC Trust, Series 2010-R5, Class 7B, 3.33%, 05/26/37
(b)
      3,651       3,670,190  
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AF1, Class 1A2, 6.16%, 05/25/36
(a)
      6,592       1,250,536  
OBX Trust
     
Series 2022-NQM9, Class A1A, 6.45%, 09/25/62
(b)
      538       543,604  
Series 2023-NQM1, Class A1, 6.12%, 11/25/62
(a)(b)
      456       458,162  
Series 2023-NQM6, Class A1, 6.52%, 07/25/63
      1,549       1,562,991  
Onslow Bay Financial LLC, Class A1A, 6.57%, 06/25/63
      1,510       1,524,261  
PRKCM Trust, Series 2023-AFC2, Class A1, 6.48%, 06/25/58
      1,495       1,502,107  
Residential Asset Securitization Trust, Series 2006- A8, Class 2A5, (1-mo. Term SOFR + 0.71%), 6.07%, 08/25/36
(a)
      6,276       1,300,569  
SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%, 08/25/62
(b)
      665       664,357  
Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A, 4.10%, 07/25/57
(b)
      670       643,473  
STAR Trust, Series 2021-1, Class M1, 2.36%, 05/25/65
(a)(b)
      1,750       1,338,161  
Starwood Mortgage Residential Trust, Series 2020-3, Class M1, 3.54%, 04/25/65
(a)(b)
      1,057       873,368  
Verus Securitization Trust
     
Series 2022-3, Class A1, 4.13%, 02/25/67
(b)
      457       424,917  
Series 2022-7, Class A1, 5.15%, 07/25/67
(b)
      1,781       1,782,972  
Series 2022-INV2, Class A1, 6.79%, 10/25/67
(b)
      466       472,437  
Series 2023-1, Class A1, 5.85%, 12/25/67
(b)
      302       301,423  
Series 2023-5, Class A1, 6.48%, 06/25/68
      1,313       1,325,313  
Visio Trust, Series 2023-2, Class A1, 6.60%, 10/25/58
       1,598       1,610,629  
     
 
 
 
         81,566,757  
Commercial Mortgage-Backed Securities — 4.1%
 
Bayview Commercial Asset Trust, Series 2007-2A, Class A1, (1-mo. Term SOFR + 0.38%), 5.74%, 07/25/37
(a)(b)
      1,240       1,128,219  
Beast Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. Term SOFR + 0.86%), 6.23%, 04/15/36
(a)(b)
      480       470,665  
BX Commercial Mortgage Trust
(a)(b)
     
Series 2019-XL, Class A, (1-mo. Term SOFR + 1.03%), 6.40%, 10/15/36
      495       494,324  
Series 2021-CIP, Class A, (1-mo. Term SOFR + 1.04%), 6.40%, 12/15/38
      600       587,386  
Series 2021-SOAR, Class A, (1-mo. Term SOFR + 0.78%), 6.15%, 06/15/38
      1,532       1,507,366  
Series 2022-LP2, Class A, (1-mo. Term SOFR + 1.01%), 6.37%, 02/15/39
      1,353       1,328,222  
BX Trust
(a)(b)
     
Series 2021-LBA, Class AJV, (1-mo. Term SOFR + 0.91%), 6.28%, 02/15/36
      1,650       1,623,100  
Series 2022, Class B, (1-mo. Term SOFR + 2.66%), 8.03%, 08/15/41
      278       278,261  
Series 2022-GPA, Class A, (1-mo. Term SOFR + 2.17%), 7.53%, 08/15/39
      650       650,611  
Security
       
Par
(000)
   
Value
 
 
 
Commercial Mortgage-Backed Securities (continued)
 
BX Trust
(a)(b)
(continued)
     
Series 2023, Class A, (1-mo. Term SOFR + 2.69%), 8.05%, 05/15/38
    USD       140     $ 140,263  
CENT Trust, Series 2023, Class A, (1-mo. Term SOFR + 2.62%), 7.98%, 09/15/38
(a)
      1,081       1,086,445  
Cold Storage Trust
(a)(b)
     
Series 2020-ICE5, Class A, (1-mo. Term SOFR + 1.01%), 6.37%, 11/15/37
      101       100,770  
Series 2020-ICE5, Class F, (1-mo. Term SOFR + 3.61%), 8.96%, 11/15/37
      280       277,186  
CSMC BHAR, Series 2021-BHAR, Class C, (1-mo. Term SOFR + 2.11%), 7.48%, 11/15/38
(a)(b)
      270       265,818  
CSMC Trust, Series 2020-NET, Class A, 2.26%, 08/15/37
(b)
      479       443,149  
Extended Stay America Trust
(a)(b)
     
Series 2021-ESH, Class D, (1-mo. Term SOFR + 2.36%), 7.73%, 07/15/38
      1,335       1,311,348  
Series 2021-ESH, Class F, (1-mo. Term SOFR + 3.81%), 9.18%, 07/15/38
      847       828,427  
GS Mortgage Securities Corp II, Class E, 7.43%, 09/10/38
      275       268,836  
GS Mortgage Securities Corp Trust, Series 2023, Class B, (1-mo. Term SOFR + 2.79%), 8.15%, 03/15/28
(a)
      550       547,243  
Independence Plaza Trust, Series 2018-INDP, Class A, 3.76%, 07/10/35
(b)
      1,000       955,052  
JP Morgan Chase Commercial Mortgage Securities Trust
     
Class B, 2.85%, 09/06/38
      275       243,098  
Series 2022-ACB, Class A, (30-day Avg SOFR + 1.40%), 6.74%, 03/15/39
(a)(b)
      1,600       1,577,902  
KSL Commercial Mortgage Trust, Series 2023-HT, Class D, (1-mo. Term SOFR + 4.29%), 9.64%, 12/15/36
(a)
       1,100       1,100,674  
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2006-1A, Class B, (1-mo. Term SOFR + 1.11%), 6.47%, 04/25/31
(a)(b)
      36       35,832  
MED Trust
(a)(b)
     
Series 2021, Class A, (1-mo. Term SOFR + 1.06%), 6.43%, 11/15/38
      1,065       1,044,170  
Series 2023, Class E, (1-mo. Term SOFR + 3.26%), 8.63%, 11/15/38
      390       379,191  
MF1 2021-W10X, Series 2021-W10, Class A, (1-mo. Term SOFR + 1.07%), 6.43%, 12/15/34
(a)(b)
      520       507,138  
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1-mo. Term SOFR + 2.19%),
7.55%, 05/15/37
(a)(b)
      500       497,017  
Wells Fargo Commercial Mortgage Trust
     
Series 2016-LC25, Class A4, 3.64%, 12/15/59
      1,600       1,526,045  
Series 2020, Class B, (1-mo. Term SOFR + 1.45%), 6.82%, 02/15/37
(a)(b)
      780       763,952  
Series 2020, Class D, (1-mo. Term SOFR + 2.20%), 7.57%, 02/15/37
(a)(b)
      800       781,746  
     
 
 
 
        22,749,456  
     
 
 
 
Total Non-Agency Mortgage-Backed Securities — 18.7%
(Cost: $120,692,769)
 
     104,316,213  
     
 
 
 
 
 
142
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
       
Par
(000)
   
Value
 
 
 
Preferred Securities
     
Capital Trusts — 5.5%
                 
Automobiles
(a)(h)
— 0.1%
                 
General Motors Financial Co., Inc., Series C, 5.70%
    USD       395     $ 364,779  
Volkswagen International Finance NV, 3.88%
(e)
    EUR       100       101,028  
     
 
 
 
        465,807  
Banks
(h)
— 4.4%
                 
AIB Group PLC, 5.25%
(a)(e)
      200       217,738  
Banco Bilbao Vizcaya Argentaria SA,
6.13%
(a)
    USD       2,000       1,820,220  
Bank of America Corp., Series X, 6.25%
(a)(f)
      2,925       2,898,059  
Bank of East Asia Ltd., 5.88%
(a)(e)
      250       232,656  
Bank of New York Mellon Corp., Series I, 3.75%
(a)(f)
      2,845       2,459,024  
Barclays PLC
     
9.63%
      1,105       1,147,819  
4.38%
(a)(f)
      585       454,782  
8.00%
(a)
      275       269,888  
BNP Paribas SA
(a)
     
8.50%
(b)
      545       570,737  
6.88%
(e)
    EUR       200       228,509  
Chong Hing Bank Ltd., 5.70%
(a)(e)
    USD       250       245,703  
Citigroup, Inc., 7.63%
(a)
      425       433,967  
Credit Agricole SA, 4.75%
(a)(b)
      260       220,558  
Goldman Sachs Group, Inc., Series R, 4.95%
(a)
      900       859,392  
HSBC Holdings PLC
(a)
     
4.70%
      465       378,717  
4.60%
      200       166,803  
6.00%
(f)
      695       663,767  
Lloyds Banking Group PLC
(a)
     
8.00%
      345       345,689  
6.75%
      515       507,692  
NatWest Group PLC, 6.00%
(a)
      1,185       1,145,668  
Nordea Bank Abp, 3.75%
(a)(b)
      560       442,371  
PNC Financial Services Group, Inc.
(a)
     
Series V, 6.20%
      377       366,534  
Series W, 6.25%
(f)
      380       354,224  
Rizal Commercial Banking Corp., 6.50%
(a)(e)
      200       188,392  
Societe Generale SA, 6.75%
(a)(b)(f)
      3,000       2,679,263  
UBS Group AG
(a)(b)
     
9.25%
      616       664,527  
9.25%
      760       842,281  
Wells Fargo & Co.
(a)(f)
     
7.63%
      571       599,157  
Series S, 5.90%
       3,000       2,968,372  
Woori Bank, 4.25%
(a)(e)
      250       244,062  
     
 
 
 
         24,616,571  
Diversified Telecommunication Services
(a)
— 0.1%
 
British Telecommunications PLC, 8.38%, 12/20/83
    GBP       100       134,391  
Telefonica Europe BV, 6.14%
(e)(h)
    EUR       200       226,862  
     
 
 
 
        361,253  
Electric Utilities
(a)
— 0.6%
                 
Edison International, Series B, 5.00%
(h)
    USD       328       305,402  
EDP - Energias de Portugal SA, 5.94%, 04/23/83
(e)
    EUR       100       114,542  
Electricite de France SA
(h)
     
9.13%
(b)
    USD       245       273,521  
Security
       
Par
(000)
   
Value
 
 
 
Electric Utilities (continued)
                 
Electricite de France SA
(h)
(continued)
     
3.00%
(e)
    EUR       200     $ 200,919  
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79
(f)
    USD       2,500       2,345,876  
     
 
 
 
        3,240,260  
Independent Power and Renewable Electricity Producers
(a)(b)(h)
—0.2%
 
NRG Energy, Inc., 10.25%
      625       650,679  
Vistra Corp., 7.00%
(f)
      307       302,395  
     
 
 
 
        953,074  
Insurance — 0.0%
                 
Liberty Mutual Group, Inc., 3.63%, 05/23/59
(a)(e)
    EUR       100       107,500  
     
 
 
 
Oil, Gas & Consumable Fuels — 0.0%
 
Repsol International Finance BV,
4.25%
(a)(e)(h)
      100       107,628  
     
 
 
 
Pharmaceuticals
(a)
— 0.0%
                 
Bayer AG
     
4.50%, 03/25/82
(e)
      100       104,875  
7.00%, 09/25/83
      100       113,823  
     
 
 
 
        218,698  
Real Estate Management & Development
(a)(e)
— 0.0%
 
Fastighets AB Balder, 2.87%, 06/02/81
      100       83,072  
Heimstaden Bostad AB, 2.63%
(h)
      100       37,038  
     
 
 
 
        120,110  
Transportation Infrastructure — 0.0%
 
Abertis Infraestructuras Finance BV,
3.25%
(a)(e)(h)
      100       105,683  
     
 
 
 
Wireless Telecommunication Services
(a)(e)
— 0.1%
 
Vodafone Group PLC
     
2.63%, 08/27/80
      100       104,841  
6.50%, 08/30/84
      100       117,965  
     
 
 
 
        222,806  
     
 
 
 
         30,519,390  
     
 
 
 
         
Shares
       
 
 
Preferred Stocks — 0.7%
(a)(h)
                 
Capital Markets — 0.7%
                 
Morgan Stanley
     
Series F, 6.88%
       100,000       2,502,000  
Series K, 5.85%
      60,125       1,456,228  
     
 
 
 
        3,958,228  
     
 
 
 
Total Preferred Securities — 6.2%
(Cost: $36,448,030)
 
      34,477,618  
     
 
 
 
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
(Percentages shown are based on Net Assets)
 
Security
       
Par
(000)
   
Value
 
 
 
U.S. Government Sponsored Agency Securities
 
Collateralized Mortgage Obligations — 0.9%
 
Fannie Mae REMICS, Series 4480, Class ZX, 4.00%, 11/15/44
    USD       4,547     $ 4,339,177  
Ginnie Mae, Series 2017-136, Class GB, 3.00%, 03/20/47
      573       526,826  
     
 
 
 
        4,866,003  
Mortgage-Backed Securities — 16.7%
 
Fannie Mae Mortgage-Backed Securities
(f)
     
4.50%, 07/01/55
      6,461       6,388,773  
4.00%, 02/01/56 - 04/01/56
      6,871       6,632,857  
Uniform Mortgage-Backed Securities
     
1.50%, 05/01/31 - 06/01/31
(f)
      7,414       6,814,540  
4.00%, 03/01/34 - 09/01/52
(f)
      20,931       19,883,910  
4.50%, 04/01/48 - 01/16/54
(f)(p)
      11,745       11,504,093  
6.50%, 10/01/53
(f)
      5,227       5,355,740  
3.50%, 01/16/54
(p)
      10,000       9,173,437  
5.00%, 01/16/54
(p)
      11,000       10,882,266  
5.50%, 01/16/54
(p)
      11,020       11,066,491  
7.00%, 01/16/54
(p)
      5,700       5,879,238  
     
 
 
 
        93,581,345  
     
 
 
 
Total U.S. Government Sponsored Agency
Securities — 17.6%
(Cost: $100,564,237)
 
    98,447,348  
     
 
 
 
         
Shares
       
 
 
Warrants
     
Entertainment — 0.0%
                 
Aviron Capital LLC, (Expires 12/16/31)
(c)(m)
      10        
     
 
 
 
Total Warrants — 0.0%
(Cost: $— )
         
     
 
 
 
Total Long-Term Investments — 154.4%
(Cost: $892,844,878)
 
      861,733,087  
     
 
 
 
Short-Term Securities
     
Money Market Funds — 1.8%
                 
BlackRock Liquidity Funds, T-Fund, Institutional Class, 5.26%
(q)(r)
       10,305,527       10,305,527  
     
 
 
 
Total Short-Term Securities — 1.8%
(Cost: $10,305,527)
 
      10,305,527  
     
 
 
 
Total Investments Before TBA Sale
Commitments — 156.2%
(Cost: $903,150,405)
 
     872,038,614  
     
 
 
 
Security
       
Par
(000)
   
Value
 
 
 
TBA Sale Commitments
     
Mortgage-Backed Securities — (1.0)%
 
Uniform Mortgage-Backed Securities, 7.00%, 01/16/54
(p)
    USD        (5,700   $ (5,879,238
     
 
 
 
Total TBA Sale Commitments — (1.0)%
(Proceeds: $(5,832,035))
 
    (5,879,238
     
 
 
 
Total Investments, Net of TBA Sale
Commitments — 155.2%
(Cost: $897,318,370)
 
 
    866,159,376  
Liabilities in Excess of Other Assets — (55.2)%
 
     (307,986,008
     
 
 
 
Net Assets — 100.0%
      $ 558,173,368  
     
 
 
 
 
(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)
 
Rounds to less than 1,000.
(e)
 
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.
(f)
 
All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(g)
 
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.
(h)
 
Perpetual security with no stated maturity date.
(i)
 
Convertible security.
(j)
 
Zero-coupon bond.
(k)
 
When-issued security.
(l)
 
Issuer filed for bankruptcy and/or is in default.
(m)
 
Non-income producing security.
(n)
 
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.
(o)
 
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.
(p)
 
Represents or includes a TBA transaction.
(q)
 
Affiliate of the Fund.
(r)
 
Annualized 7-day yield as of period end.
 
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
 
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the period ended December 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
 
                   
Affiliated Issuer
 
Value at
10/31/23
   
Purchases
at Cost
   
Proceeds
from Sale
   
Net
Realized
Gain (Loss)
   
Change in
Unrealized
Appreciation
(Depreciation)
   
Value at
12/31/23
   
Shares
Held at
12/31/23
   
Income
   
Capital Gain
Distributions
from
Underlying
Funds
 
BlackRock Liquidity Funds, T-Fund, Institutional Class
  $  5,684,688     $  4,620,839
(a)
 
  $     $     $     $  10,305,527       10,305,527     $  79,585     $  
       
 
 
   
 
 
   
 
 
     
 
 
   
 
 
 
 
 
(a)
 
Represents net amount purchased (sold).
 
Reverse Repurchase Agreements
 
 
 
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 SA
    5.45 %
(b)
 
    11/02/23       Open     $ 793,196     $ 800,281     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
    11/06/23       Open       1,886,606       1,902,430     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
    11/06/23       Open       233,520       235,479     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
    11/06/23       Open       606,225       611,310     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    11/06/23       Open       115,600       116,580     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    11/08/23       Open       625,776       630,986     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.50
(b)
 
    11/08/23       Open       600,075       605,026     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
    11/08/23       Open       537,000       541,551     Corporate Bonds     Open/Demand  
J.P. Morgan Securities LLC
    5.35       11/14/23       01/04/24       861,315       867,331     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.40       11/14/23       01/04/24       166,850       168,026     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.40       11/14/23       01/04/24       165,000       166,163     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.40       11/14/23       01/04/24       456,250       459,467     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.40       11/14/23       01/04/24       850,640       856,637     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.45       11/14/23       01/04/24       213,400       214,918     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.45       11/14/23       01/04/24       421,877       424,879     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.45       11/14/23       01/04/24       219,505       221,067     Capital Trusts     Up to 30 Days  
J.P. Morgan Securities LLC
    5.45       11/14/23       01/04/24       215,410       216,943     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.45       11/14/23       01/04/24       557,546       561,513     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       11/14/23       01/04/24       270,269       272,209     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       11/14/23       01/04/24       662,806       667,566     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       11/14/23       01/04/24       147,750       148,811     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       11/14/23       01/04/24       250,500       252,299     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       11/14/23       01/04/24       787,426       793,080     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       11/14/23       01/04/24       416,377       419,367     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       11/14/23       01/04/24       253,171       254,989     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       11/14/23       01/04/24       322,830       325,148     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       11/14/23       01/04/24       227,858       229,494     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       11/14/23       01/04/24       325,706       328,045     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.45       11/15/23       01/04/24       1,093,125       1,100,737     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       11/15/23       01/04/24       298,366       300,463     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       11/15/23       01/04/24       369,810       372,409     Corporate Bonds     Up to 30 Days  
Barclays Bank PLC
    5.45       11/15/23       01/10/24       194,695       196,051     Capital Trusts     Up to 30 Days  
Barclays Bank PLC
    5.45       11/15/23       01/10/24       1,815,091       1,827,731     Corporate Bonds     Up to 30 Days  
Barclays Bank PLC
    5.45       11/15/23       01/10/24       426,530       429,500     Corporate Bonds     Up to 30 Days  
Barclays Bank PLC
    5.45       11/15/23       01/10/24       381,875       384,534     Corporate Bonds     Up to 30 Days  
Barclays Capital, Inc.
    4.75       11/15/23       01/10/24       441,269       443,947     Corporate Bonds     Up to 30 Days  
Barclays Capital, Inc.
    5.24       11/15/23       01/10/24       165,055       166,161     Corporate Bonds     Up to 30 Days  
Barclays Capital, Inc.
    5.24       11/15/23       01/10/24       190,977       192,256     Corporate Bonds     Up to 30 Days  
Barclays Capital, Inc.
    5.40       11/15/23       01/10/24       122,266       123,109     Foreign Agency Obligations     Up to 30 Days  
Barclays Capital, Inc.
    5.45       11/15/23       01/10/24       397,900       400,671     Capital Trusts     Up to 30 Days  
Barclays Capital, Inc.
    5.45       11/15/23       01/10/24       243,750       245,447     Capital Trusts     Up to 30 Days  
Barclays Capital, Inc.
    5.55       11/15/23       01/10/24       2,165,700       2,181,058     Capital Trusts     Up to 30 Days  
Barclays Bank PLC
    5.50
(b)
 
    11/15/23       Open       1,496,662       1,507,181     Corporate Bonds     Open/Demand  
Barclays Bank PLC
    5.50
(b)
 
    11/15/23       Open       676,875       681,632     Corporate Bonds     Open/Demand  
Barclays Bank PLC
    5.50
(b)
 
    11/15/23       Open       2,115,969       2,130,839     Capital Trusts     Open/Demand  
Barclays Capital, Inc.
    1.00
(b)
 
    11/15/23       Open       314,090       314,491     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.41
(b)
 
    11/15/23       Open       101,361       102,062     Corporate Bonds     Open/Demand  
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
 
Reverse Repurchase Agreements (continued)
 
               
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 SA
    5.44 %
(b)
 
    11/15/23       Open     $ 189,240     $ 190,555     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
    11/15/23       Open       524,606       528,260     Capital Trusts     Open/Demand  
Credit Agricole Corporate and Investment Bank
    5.52
(b)
 
    11/15/23       Open       238,075       237,638     Foreign Agency Obligations     Open/Demand  
Credit Agricole Corporate and Investment Bank
    5.52
(b)
 
    11/15/23       Open       90,383       91,020     Foreign Agency Obligations     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    11/15/23       Open       1,400,377       1,410,309     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.35
(b)
 
    11/15/23       Open       129,040       129,922     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.35
(b)
 
    11/15/23       Open       194,396       195,725     Foreign Agency Obligations     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    11/15/23       Open       425,040       428,016     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    11/15/23       Open       477,500       480,844     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    11/15/23       Open       112,880       113,670     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    11/15/23       Open       249,555       251,302     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    11/15/23       Open       618,000       622,327     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    11/15/23       Open       229,366       230,972     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    11/15/23       Open       279,953       281,913     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    11/15/23       Open       146,913       147,941     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    11/15/23       Open       235,121       236,768     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.50
(b)
 
    11/15/23       Open       165,113       166,273     Corporate Bonds     Open/Demand  
BofA Securities, Inc.
    2.50       11/16/23       01/11/24       450,735       452,144     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    3.50       11/16/23       01/11/24       488,312       490,449     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    4.15       11/16/23       01/11/24       189,610       190,594     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    4.25       11/16/23       01/11/24       149,475       150,269     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    4.50       11/16/23       01/11/24       196,584       197,690     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.10       11/16/23       01/11/24       346,749       348,959     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.15       11/16/23       01/11/24       945,419       951,505     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.20       11/16/23       01/11/24       431,827       434,634     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.25       11/16/23       01/11/24       261,975       263,694     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.25       11/16/23       01/11/24       415,562       418,290     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.25       11/16/23       01/11/24       91,410       92,010     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.35       11/16/23       01/11/24       1,701,462       1,712,840     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.35       11/16/23       01/11/24       694,577       699,223     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/16/23       01/11/24       374,680       377,209     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/16/23       01/11/24       841,500       847,180     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/16/23       01/11/24       574,062       577,937     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/16/23       01/11/24       722,767       727,646     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/16/23       01/11/24       281,163       283,060     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/16/23       01/11/24       281,813       283,715     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/16/23       01/11/24       849,520       855,254     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/16/23       01/11/24       280,875       282,771     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/16/23       01/11/24       361,523       363,964     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/16/23       01/11/24       123,156       123,988     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/16/23       01/11/24       535,000       538,611     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/16/23       01/11/24       350,625       352,992     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/16/23       01/11/24       446,224       449,236     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/16/23       01/11/24       66,388       66,836     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.43       11/16/23       01/11/24       1,975,556       1,988,965     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45       11/16/23       01/11/24       769,393       774,634     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45       11/16/23       01/11/24       391,875       394,545     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45       11/16/23       01/11/24       694,899       699,633     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45       11/16/23       01/11/24       656,250       660,721     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45       11/16/23       01/11/24       293,183       295,180     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45       11/16/23       01/11/24       615,930       620,126     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45       11/16/23       01/11/24       896,697       902,806     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45       11/16/23       01/11/24       115,250       116,035     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45       11/16/23       01/11/24       238,734       240,360     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45       11/16/23       01/11/24       598,340       602,416     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.45       11/16/23       01/11/24       548,769       552,507     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.49       11/16/23       01/11/24       2,121,875       2,136,436     Capital Trusts     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       2,580,000       2,597,738     Capital Trusts     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       798,750       804,241     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       900,487       906,678     Corporate Bonds     Up to 30 Days  
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
 
Reverse Repurchase Agreements (continued)
 
               
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)
 
BofA Securities, Inc.
    5.50     11/16/23       01/11/24     $ 529,575     $ 533,216     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       153,255       154,309     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       994,602       1,001,440     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       653,350       657,842     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       932,740       939,153     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       482,369       485,685     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       515,612       519,157     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       1,485,176       1,495,387     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       454,025       457,146     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       125,430       126,292     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       225,469       227,019     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       349,796       352,201     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       583,537       587,549     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       174,195       175,393     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       120,951       121,783     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       161,883       162,995     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       2,686,470       2,704,940     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       190,598       191,908     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       309,885       312,015     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       162,594       163,712     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       135,052       135,981     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       436,100       439,098     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       108,723       109,470     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       504,810       508,281     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       678,634       683,299     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       175,629       176,836     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       1,253,805       1,262,425     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       168,831       169,992     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       77,441       77,974     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       277,016       278,921     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       957,780       964,365     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       160,283       161,384     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       795,094       800,560     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       364,675       367,182     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/16/23       01/11/24       357,500       359,958     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.53       11/16/23       01/11/24       1,991,250       2,005,015     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55       11/16/23       01/11/24       99,790       100,482     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55       11/16/23       01/11/24       318,283       320,491     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55       11/16/23       01/11/24       321,975       324,209     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55       11/16/23       01/11/24       289,201       291,208     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55       11/16/23       01/11/24       97,565       98,242     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55       11/16/23       01/11/24       182,700       183,968     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55       11/16/23       01/11/24       279,451       281,390     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55       11/16/23       01/11/24       230,680       232,280     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.55       11/16/23       01/11/24       257,353       259,138     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.35       11/22/23       01/11/24       752,600       756,850     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       11/22/23       01/11/24       740,250       744,469     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       11/22/23       01/11/24       1,862,960       1,873,776     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.60       11/22/23       01/11/24       2,796,349       2,812,878     Corporate Bonds     Up to 30 Days  
Goldman Sachs & Co. LLC
    5.25
(b)
 
    11/22/23       Open       662,930       666,604     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.45
(b)
 
    11/22/23       Open       928,687       934,030     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    11/22/23       Open       3,306,170       3,325,539     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    11/22/23       Open       784,575       789,171     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    11/22/23       Open       731,850       736,137     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    11/22/23       Open       544,983       548,136     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.60
(b)
 
    11/22/23       Open       671,933       675,905     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.65
(b)
 
    11/22/23       Open       2,593,957       2,609,428     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    11/24/23       Open       667,920       671,784     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    11/29/23       Open       169,250       170,074     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    11/29/23       Open       674,515       677,801     Corporate Bonds     Open/Demand  
BofA Securities, Inc.
    5.35       11/30/23       01/11/24       1,157,885       1,163,219     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.35       11/30/23       01/11/24       195,594       196,495     Corporate Bonds     Up to 30 Days  
 
 
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  147

Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
 
Reverse Repurchase Agreements (continued)
 
               
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)
 
BofA Securities, Inc.
    5.35     11/30/23       01/11/24     $ 508,500     $ 510,843    
Corporate Bonds
    Up to 30 Days  
BofA Securities, Inc.
    5.35       11/30/23       01/11/24       1,842,500       1,850,988    
Corporate Bonds
    Up to 30 Days  
BofA Securities, Inc.
    5.40       11/30/23       01/11/24       208,810       209,781    
Corporate Bonds
    Up to 30 Days  
BofA Securities, Inc.
    5.40       11/30/23       01/11/24       1,514,890       1,521,934    
Corporate Bonds
    Up to 30 Days  
BofA Securities, Inc.
    5.50       11/30/23       01/11/24       1,259,095       1,265,058    
Corporate Bonds
    Up to 30 Days  
BNP Paribas SA
    5.45
(b)
 
    11/30/23       Open       245,526       246,678    
Corporate Bonds
    Open/Demand  
BNP Paribas SA
    5.47
(b)
 
    11/30/23       Open       293,313       294,694    
Corporate Bonds
    Open/Demand  
Goldman Sachs & Co. LLC
    5.45
(b)
 
    11/30/23       Open       614,075       616,957    
Corporate Bonds
    Open/Demand  
Goldman Sachs & Co. LLC
    5.45
(b)
 
    11/30/23       Open       203,363       204,317    
Corporate Bonds
    Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    11/30/23       Open       166,195       166,979    
Corporate Bonds
    Open/Demand  
BNP Paribas SA
    5.50
(b)
 
    12/01/23       Open       868,500       872,215    
Corporate Bonds
    Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/01/23       Open       808,904       812,396    
Corporate Bonds
    Open/Demand  
Goldman Sachs & Co. LLC
    5.45
(b)
 
    12/07/23       Open       1,464,064       1,469,605    
Corporate Bonds
    Open/Demand  
BofA Securities, Inc.
    5.32       12/08/23       01/11/24       267,517       268,347    
Foreign Agency Obligations
    Up to 30 Days  
BofA Securities, Inc.
    5.55       12/08/23       01/11/24       162,996       163,524    
Corporate Bonds
    Up to 30 Days  
BofA Securities, Inc.
    5.55       12/08/23       01/11/24       148,633       149,115    
Corporate Bonds
    Up to 30 Days  
BofA Securities, Inc.
    5.55       12/08/23       01/11/24       266,361       267,224    
Foreign Agency Obligations
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       116,314       116,653    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       139,751       140,159    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       1,478,839       1,483,155    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       619,221       621,029    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       1,061,555       1,064,653    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       292,951       293,806    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       2,506,061       2,513,375    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       6,041,553       6,059,186    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       98,336       98,623    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       1,854,569       1,859,982    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       2,707,500       2,715,402    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       1,669,145       1,674,017    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       1,373,027       1,377,034    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       1,939,007       1,944,666    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       91,970       92,238    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       5,162,382       5,177,449    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       4,391,210       4,404,026    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       12,550,585       12,587,215    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       376,537       377,636    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       206,775       207,379    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       1,347,692       1,351,625    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
Royal Bank of Canada
    5.53       12/08/23       01/16/24       3,779,334       3,790,364    
U.S. Government Sponsored Agency Securities
    Up to 30 Days  
BNP Paribas SA
    5.15
(b)
 
    12/08/23       Open       126,844       127,225    
Corporate Bonds
    Open/Demand  
 
 
148
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
 
Reverse Repurchase Agreements (continued)
 
               
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)
 
HSBC Securities (USA), Inc.
    5.50 %
(b)
 
    12/08/23       Open     $ 168,578     $ 169,118     Corporate Bonds     Open/Demand  
HSBC Securities (USA), Inc.
    5.50
(b)
 
    12/08/23       Open       452,500       453,952     Corporate Bonds     Open/Demand  
HSBC Securities (USA), Inc.
    5.50
(b)
 
    12/08/23       Open       210,478       211,153     Corporate Bonds     Open/Demand  
HSBC Securities (USA), Inc.
    5.50
(b)
 
    12/08/23       Open       156,860       157,363     Foreign Agency Obligations     Open/Demand  
HSBC Securities (USA), Inc.
    5.50
(b)
 
    12/08/23       Open       187,105       187,705     Foreign Agency Obligations     Open/Demand  
HSBC Securities (USA), Inc.
    5.50
(b)
 
    12/08/23       Open       312,942       313,946     Foreign Agency Obligations     Open/Demand  
Nomura Securities International, Inc.
    5.40
(b)
 
    12/08/23       Open       1,222,992       1,226,844     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.30
(b)
 
    12/11/23       Open       490,762       492,208     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.37
(b)
 
    12/11/23       Open       194,344       194,924     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.39
(b)
 
    12/11/23       Open       381,000       382,141     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.41
(b)
 
    12/11/23       Open       496,725       498,218     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.42
(b)
 
    12/11/23       Open       197,134       197,727     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.44
(b)
 
    12/11/23       Open       334,170       335,180     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
    12/11/23       Open       376,291       377,431     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
    12/11/23       Open       535,000       536,620     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
    12/11/23       Open       862,500       865,111     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
    12/11/23       Open       756,000       758,289     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
    12/11/23       Open       563,250       564,955     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
    12/11/23       Open       356,421       357,500     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
    12/11/23       Open       330,221       331,221     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.47
(b)
 
    12/11/23       Open       592,525       594,326     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.47
(b)
 
    12/11/23       Open       1,204,070       1,207,729     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.47
(b)
 
    12/11/23       Open       544,252       545,906     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.48
(b)
 
    12/11/23       Open       343,710       344,756     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.48
(b)
 
    12/11/23       Open       278,843       279,691     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
    12/11/23       Open       426,300       427,600     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
    12/11/23       Open       1,977,500       1,983,531     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
    12/11/23       Open       765,559       767,894     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
    12/11/23       Open       316,111       317,075     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
    12/11/23       Open       474,150       475,596     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
    12/11/23       Open       867,500       870,146     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.54
(b)
 
    12/11/23       Open       2,705,625       2,713,952     Capital Trusts     Open/Demand  
BNP Paribas SA
    5.55
(b)
 
    12/11/23       Open       1,458,229       1,462,725     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
    12/11/23       Open       281,200       282,083     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
    12/11/23       Open       1,123,984       1,127,349     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.65
(b)
 
    12/11/23       Open       378,885       380,074     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.68
(b)
 
    12/11/23       Open       972,216       975,284     Corporate Bonds     Open/Demand  
Credit Agricole Corporate and Investment Bank
    5.50
(b)
 
    12/11/23       Open       338,018       339,050     Foreign Agency Obligations     Open/Demand  
Credit Agricole Corporate and Investment Bank
    5.50
(b)
 
    12/11/23       Open       798,437       800,877     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.25
(b)
 
    12/11/23       Open       334,594       335,570     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.35
(b)
 
    12/11/23       Open       1,420,031       1,424,251     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.35
(b)
 
    12/11/23       Open       332,520       333,508     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.45
(b)
 
    12/11/23       Open       197,381       197,979     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.45
(b)
 
    12/11/23       Open       260,010       260,797     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.45
(b)
 
    12/11/23       Open       825,836       828,337     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.45
(b)
 
    12/11/23       Open       2,105,025       2,111,399     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       831,077       833,640     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       687,746       689,867     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       1,291,012       1,294,993     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       692,640       694,776     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       1,675,345       1,680,511     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       81,355       81,606     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       545,200       546,881     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       1,029,105       1,032,278     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       539,505       541,168     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       590,250       592,070     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       354,656       355,750     Capital Trusts     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       344,886       345,949     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       465,465       466,900     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       425,430       426,742     Corporate Bonds     Open/Demand  
 
 
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  149

Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
 
Reverse Repurchase Agreements (continued)
 
               
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)
 
Goldman Sachs & Co. LLC
    5.55 %
(b)
 
    12/11/23       Open     $ 768,622     $ 770,992     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       571,330       573,092     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       292,679       293,581     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/11/23       Open       173,644       174,179     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    4.50
(b)
 
    12/11/23       Open       245,625       246,239     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.35
(b)
 
    12/11/23       Open       465,000       466,382     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.35
(b)
 
    12/11/23       Open       181,731       182,271     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.35
(b)
 
    12/11/23       Open       450,000       451,338     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.35
(b)
 
    12/11/23       Open       258,390       259,158     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.35
(b)
 
    12/11/23       Open       715,227       717,353     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.35
(b)
 
    12/11/23       Open       165,233       165,724     Foreign Agency Obligations     Open/Demand  
Nomura Securities International, Inc.
    5.35
(b)
 
    12/11/23       Open       104,545       104,856     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.45
(b)
 
    12/11/23       Open       920,000       922,786     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       244,020       244,763     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       333,125       334,139     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       375,345       376,488     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       177,975       178,517     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       626,652       628,560     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       245,144       245,890     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       203,740       204,360     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       319,700       320,673     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       261,844       262,641     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       419,375       420,652     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       108,199       108,528     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       1,606,545       1,611,436     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       749,070       751,351     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       256,764       257,545     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       442,035       443,381     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       450,000       451,370     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       347,160       348,217     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       337,250       338,277     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       172,530       173,055     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       278,760       279,609     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       928,175       931,001     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       397,687       398,898     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/11/23       Open       1,475,625       1,480,117     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.57
(b)
 
    12/11/23       Open       2,688,750       2,697,070     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.67
(b)
 
    12/11/23       Open       295,350       296,228     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.67
(b)
 
    12/11/23       Open       421,875       423,159     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       370,000       371,131     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       732,187       734,425     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       718,875       721,072     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       519,350       520,937     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       335,775       336,801     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       546,000       547,668     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       1,267,500       1,271,373     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       796,000       798,432     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       351,000       352,073     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       170,000       170,519     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       629,062       630,985     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       420,000       421,283     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       341,000       342,042     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       615,794       617,675     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       373,500       374,641     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       611,625       613,494     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       253,425       254,199     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       337,500       338,531     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       214,144       214,798     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       594,750       596,567     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       501,375       502,907     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       480,350       481,818     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/11/23       Open       418,125       419,403     Corporate Bonds     Open/Demand  
 
 
150
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
 
Reverse Repurchase Agreements (continued)
 
               
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)
 
Societe Generale
    5.47 %
(b)
 
    12/11/23       Open     $ 303,000     $ 303,921     Corporate Bonds     Open/Demand  
Societe Generale
    5.47
(b)
 
    12/11/23       Open       89,494       89,766     Corporate Bonds     Open/Demand  
Societe Generale
    5.47
(b)
 
    12/11/23       Open       568,125       569,852     Corporate Bonds     Open/Demand  
Societe Generale
    5.47
(b)
 
    12/11/23       Open       1,117,800       1,121,197     Corporate Bonds     Open/Demand  
Societe Generale
    5.47
(b)
 
    12/11/23       Open       167,813       168,322     Corporate Bonds     Open/Demand  
Societe Generale
    5.47
(b)
 
    12/11/23       Open       765,000       767,325     Corporate Bonds     Open/Demand  
Societe Generale
    5.47
(b)
 
    12/11/23       Open       3,355,000       3,365,196     Corporate Bonds     Open/Demand  
Societe Generale
    5.47
(b)
 
    12/11/23       Open       121,713       122,082     Corporate Bonds     Open/Demand  
Societe Generale
    5.47
(b)
 
    12/11/23       Open       262,836       263,635     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
    12/11/23       Open       859,500       862,122     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
    12/11/23       Open       366,437       367,555     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
    12/11/23       Open       445,000       446,357     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
    12/11/23       Open       220,313       220,984     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
    12/11/23       Open       294,000       294,897     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
    12/11/23       Open       475,625       477,076     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
    12/11/23       Open       186,434       187,003     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
    12/11/23       Open       262,969       263,771     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
    12/11/23       Open       533,400       535,027     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
    12/11/23       Open       628,310       630,226     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
    12/11/23       Open       245,625       246,374     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
    12/11/23       Open       264,938       265,746     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
    12/11/23       Open       86,005       86,267     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.49
(b)
 
    12/11/23       Open       217,473       218,136     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.50
(b)
 
    12/11/23       Open       1,508,062       1,512,671     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.50
(b)
 
    12/11/23       Open       525,647       527,254     Corporate Bonds     Open/Demand  
TD Securities (USA) LLC
    5.50
(b)
 
    12/11/23       Open       385,619       386,797     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.39
(b)
 
    12/12/23       Open       267,671       268,433     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.45
(b)
 
    12/12/23       Open       174,585       175,087     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
    12/12/23       Open       114,748       115,080     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
    12/12/23       Open       333,040       334,005     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.49
(b)
 
    12/12/23       Open       305,340       306,225     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/12/23       Open       600,295       602,053     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/12/23       Open       1,396,787       1,400,879     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/12/23       Open       157,091       157,546     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.48
(b)
 
    12/12/23       Open       638,854       640,701     Corporate Bonds     Open/Demand  
J.P. Morgan Securities LLC
    5.45       12/13/23       01/04/24       177,648       178,132     Foreign Agency Obligations     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       12/13/23       01/04/24       154,751       155,177     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       12/13/23       01/04/24       203,581       204,141     Corporate Bonds     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       12/13/23       01/04/24       293,429       294,236     Foreign Agency Obligations     Up to 30 Days  
J.P. Morgan Securities LLC
    5.50       12/13/23       01/04/24       155,263       155,690     Corporate Bonds     Up to 30 Days  
Barclays Capital, Inc.
    4.50       12/13/23       01/10/24       464,694       465,739     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       12/13/23       01/11/24       168,165       168,619     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       12/13/23       01/11/24       325,890       326,786     Corporate Bonds     Up to 30 Days  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/13/23       Open       5,219,680       5,234,165     Corporate Bonds     Open/Demand  
BNP Paribas SA
    5.43
(b)
 
    12/15/23       Open       101,010       101,223     Corporate Bonds     Open/Demand  
Goldman Sachs & Co. LLC
    5.45
(b)
 
    12/15/23       Open       530,929       532,054     Corporate Bonds     Open/Demand  
Nomura Securities International, Inc.
    5.42
(b)
 
    12/15/23       Open       1,508,900       1,512,080     Corporate Bonds     Open/Demand  
BofA Securities, Inc.
    5.50       12/18/23       01/11/24       488,000       488,969     Corporate Bonds     Up to 30 Days  
TD Securities (USA) LLC
    5.50
(b)
 
    12/18/23       Open       295,752       296,339     Corporate Bonds     Open/Demand  
RBC Capital Markets, LLC
    5.50
(b)
 
    12/19/23       Open       1,782,720       1,785,988     Corporate Bonds     Open/Demand  
Barclays Capital, Inc.
    5.55       12/20/23       01/10/24       1,866,840       1,870,006     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.15       12/20/23       01/11/24       892,570       894,102     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.33       12/20/23       01/11/24       678,813       680,019     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.35       12/20/23       01/11/24       339,589       340,194     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.35       12/20/23       01/11/24       1,578,289       1,581,103     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.35       12/20/23       01/11/24       1,490,325       1,492,983     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       12/20/23       01/11/24       203,345       203,711     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       12/20/23       01/11/24       259,080       259,546     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       12/20/23       01/11/24       171,360       171,668     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.40       12/20/23       01/11/24       772,144       773,534     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       12/20/23       01/11/24       1,067,325       1,069,282     Corporate Bonds     Up to 30 Days  
BofA Securities, Inc.
    5.50       12/20/23       01/11/24       1,528,312       1,531,114     Corporate Bonds     Up to 30 Days  
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
 
Reverse Repurchase Agreements (continued)
 
               
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)
 
BofA Securities, Inc.
    5.50     12/20/23       01/11/24     $ 356,300     $ 356,953       Corporate Bonds       Up to 30 Days  
BofA Securities, Inc.
    5.50       12/20/23       01/11/24       630,379       631,535       Corporate Bonds       Up to 30 Days  
BofA Securities, Inc.
    5.50       12/20/23       01/11/24       1,799,927       1,803,227       Corporate Bonds       Up to 30 Days  
BofA Securities, Inc.
    5.50       12/20/23       01/11/24       3,286,500       3,292,525       Corporate Bonds       Up to 30 Days  
BofA Securities, Inc.
    5.50       12/20/23       01/11/24       195,978       196,337       Corporate Bonds       Up to 30 Days  
BofA Securities, Inc.
    5.65       12/20/23       01/11/24       1,056,294       1,058,283       Corporate Bonds       Up to 30 Days  
BNP Paribas SA
    4.75
(b)
 
    12/20/23       Open       2,422,062       2,425,897       Corporate Bonds       Open/Demand  
BNP Paribas SA
    5.00
(b)
 
    12/20/23       Open       974,129       975,752       Corporate Bonds       Open/Demand  
BNP Paribas SA
    5.48
(b)
 
    12/20/23       Open       490,280       491,176       Corporate Bonds       Open/Demand  
Goldman Sachs & Co. LLC
    5.55
(b)
 
    12/20/23       Open       160,100       160,372       Corporate Bonds       Open/Demand  
BNP Paribas SA
    5.65
(b)
 
    12/26/23       Open       127,140       127,140       Corporate Bonds       Open/Demand  
       
 
 
   
 
 
     
        $ 283,379,886     $ 284,576,426      
       
 
 
   
 
 
     
 
 
(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.
 
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
 
         
Description
  
Number of
Contracts
      
Expiration
Date
      
Notional
Amount (000)
      
Value/
Unrealized
Appreciation
(Depreciation)
 
Long Contracts
                 
5-Year U.S. Treasury Note
     1,994          03/28/24        $ 216,894        $ 4,607,841  
                 
 
 
 
Short Contracts
                 
10-Year U.S. Treasury Note
     740          03/19/24          83,539          (2,673,182
10-Year U.S. Ultra Long Treasury Note
     238          03/19/24          28,088          (1,245,020
U.S. Long Bond
     373          03/19/24          46,602          (3,383,772
Ultra U.S. Treasury Bond
     111          03/19/24          14,829          (1,370,358
2-Year U.S. Treasury Note
     41          03/28/24          8,442          (24,357
                 
 
 
 
                    (8,696,689
                 
 
 
 
                  $ (4,088,848
                 
 
 
 
Forward Foreign Currency Exchange Contracts
 
         
Currency Purchased
      
Currency Sold
      
Counterparty
    
Settlement Date      
    
Unrealized
Appreciation
(Depreciation)
 
USD
     104,790          EUR          97,038        Barclays Bank PLC      03/14/24            $ (2,638
USD
     130,174          EUR          120,545        Barclays Bank PLC      03/14/24              (3,277
USD
     145,190          EUR          134,415        Deutsche Bank AG      03/14/24              (3,617
USD
     493,932          EUR          457,247        Deutsche Bank AG      03/14/24              (12,272
USD
     109,619          EUR          100,000        BNP Paribas SA      03/20/24              (1,115
USD
     10,517,764          EUR          9,585,000        UBS AG      03/20/24              (96,131
USD
     1,738,910          GBP          1,372,000        State Street Bank and Trust Co.      03/20/24              (10,572
                           
 
 
 
                            $ (129,622
                           
 
 
 
Centrally Cleared Credit Default Swaps — Buy Protection
 
               
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.41.V2
    5.00     Quarterly        12/20/28     USD  6,623     $ (398,828   $ (84,932   $ (313,896
CDX.NA.IG.41.V1
    1.00       Quarterly        12/20/28      USD   27,020        (533,869     (408,541     (125,328
          
 
 
   
 
 
   
 
 
 
           $ (932,697 )     $ (493,473 )     $ (439,224
          
 
 
   
 
 
   
 
 
 
 
 
152
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
 
OTC Credit Default Swaps — Buy Protection
 
                 
Reference Obligations/Index
 
Financing
Rate Paid
by the Fund
   
Payment
Frequency
   
Counterparty
 
Termination
Date
   
Notional
Amount (000)
   
Value
   
Upfront
Premium
Paid
(Received)
   
Unrealized
Appreciation
(Depreciation)
 
CMBX.NA.7
    3.00     Monthly     Deutsche Bank AG     01/17/47       USD  14,855     $  2,812,513     $  963,235     $ 1,849,278  
           
 
 
   
 
 
   
 
 
 
OTC Credit Default Swaps — Sell Protection
 
                   
 
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)
 

 
 
 
 
Virgin Media Finance PLC
    5.00     Quarterly    
JPMorgan Chase Bank N.A.
    12/20/25       B       EUR       20     $ 1,560     $ 1,205     $ 355    
 
Jaguar Land Rover Automotive PLC
    5.00       Quarterly    
Bank of America N.A.
    12/20/26       BB       EUR       20       1,742       (532     2,274    
 
Jaguar Land Rover Automotive PLC
    5.00       Quarterly    
Barclays Bank PLC
    12/20/26       BB       EUR       10       884       274       610    
 
Jaguar Land Rover Automotive PLC
    5.00       Quarterly    
Morgan Stanley & Co. International PLC
    12/20/26       BB       EUR       7       581       1,019       (438  
 
CMA CGM SA
    5.00       Quarterly    
Morgan Stanley & Co. International PLC
    06/20/27       N/R       EUR       38       4,855       6,651       (1,796  
 
Ladbrokes Coral Group Ltd.
    1.00       Quarterly    
JPMorgan Chase Bank N.A.
    06/20/27       N/R       EUR       10       (89     (787     698    
 
Ladbrokes Coral Group Ltd.
    1.00       Quarterly    
JPMorgan Chase Bank N.A.
    06/20/27       N/R       EUR       11       (99     (1,380     1,281    
 
Adler Real Estate AG
    5.00       Quarterly    
Bank of America N.A.
    12/20/27       CCC+       EUR       9       (1,756     (1,682     (74  
 
Adler Real Estate AG
    5.00       Quarterly    
Barclays Bank PLC
    12/20/27       CCC+       EUR       5       (1,055     (990     (65  
 
Adler Real Estate AG
    5.00       Quarterly    
Barclays Bank PLC
    12/20/27       CCC+       EUR       15       (2,967     (2,784     (183  
 
Adler Real Estate AG
    5.00       Quarterly    
Citibank N.A.
    12/20/27       CCC+       EUR       4       (860     (829     (31  
 
Adler Real Estate AG
    5.00       Quarterly    
JPMorgan Chase Bank N.A.
    12/20/27       CCC+       EUR       9       (1,802     (1,737     (65  
 
Adler Real Estate AG
    5.00       Quarterly    
Morgan Stanley & Co. International PLC
    12/20/27       CCC+       EUR       7       (1,307     (1,239     (68  
 
United Group B.V.
    5.00       Quarterly    
Bank of America N.A.
    12/20/27       B       EUR       23       1,023       (2,851     3,874    
 
Ladbrokes Coral Group Ltd.
    1.00       Quarterly    
JPMorgan Chase Bank N.A.
    06/20/28       N/R       EUR       7       (159     (439     280    
 
CMBX.NA.7
    3.00       Monthly    
Barclays Bank PLC
    01/17/47       D       USD       5,942       (1,125,005     (269,977     (855,028  
 
CMBX.NA.7
    3.00       Monthly    
Barclays Bank PLC
    01/17/47       D       USD       2,971       (562,503     (134,833     (427,670  
 
CMBX.NA.7
    3.00       Monthly    
Barclays Bank PLC
    01/17/47       D       USD       5,942       (1,125,005     (133,493     (991,512  
 
CMBX.NA.9
    3.00       Monthly    
Morgan Stanley & Co. International PLC
    09/17/58       N/R       USD       407       (70,877     (41,121     (29,756  
 
CMBX.NA.15
    3.00       Monthly    
Morgan Stanley & Co. International PLC
    11/15/64       N/R       USD       2,972       (545,733     (551,268     5,535    
                 
 
 
   
 
 
   
 
 
   
                  $ (3,428,572   $ (1,136,793   $ (2,291,779  
                 
 
 
   
 
 
   
 
 
   
 
 
(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.
 
Balances Reported in the Statement of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps
 
         
Description
  
Swap
Premiums
Paid
      
Swap
Premiums
Received
      
Unrealized
Appreciation
      
Unrealized
Depreciation
 
Centrally Cleared Swaps
(a)
   $          $ (493,473      $        $ (439,224
OTC Swaps
     972,384          (1,145,942        1,864,185          (2,306,686
 
 
(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 Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.
 
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
 
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statement of Assets and Liabilities were as follows:
 
               
    
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)
  $     $     $     $     $ 4,607,841     $     $ 4,607,841  
Swaps — OTC
             
Unrealized appreciation on OTC swaps; Swap premiums paid
          2,836,569                               2,836,569  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
  $     $ 2,836,569     $     $     $ 4,607,841     $     $ 7,444,410  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Liabilities — Derivative Financial Instruments
             
Futures contracts
             
Unrealized depreciation on futures contracts
(a)
  $     $     $     $     $ 8,696,689     $     $ 8,696,689  
Forward foreign currency exchange contracts
             
Unrealized depreciation on forward foreign currency exchange contracts
                      129,622                   129,622  
Swaps — centrally cleared
             
Unrealized depreciation on centrally cleared swaps
(a)
          439,224                               439,224  
Swaps — OTC
             
Unrealized depreciation on OTC swaps; Swap premiums received
          3,452,628                               3,452,628  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
  $     $  3,891,852     $     $  129,622     $  8,696,689     $     $  12,718,163  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
 
(a)
 
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statement 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).
 
For the period ended December 31, 2023, the effect of derivative financial instruments in the Statement of Operations was as follows:
 
               
    
Commodity
Contracts
   
Credit
Contracts
   
Equity
Contracts
   
Foreign
Currency
Exchange
Contracts
   
Interest
Rate
Contracts
   
Other
Contracts
   
Total
 
Net Realized Gain (Loss) from:
             
Futures contracts
  $     $     $     $     $ 2,901,941     $     $ 2,901,941  
Forward foreign currency exchange contracts
                      (274,755                 (274,755
Swaps
          (53,462                 (493,617           (547,079
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
  $     $ (53,462   $     $  (274,755   $ 2,408,324     $     $ 2,080,107  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net Change in Unrealized Appreciation (Depreciation) on:
             
Futures contracts
  $     $     $     $     $ (11,439,008   $     $ (11,439,008
Forward foreign currency exchange contracts
                      (286,118                 (286,118
Swaps
          (85,823                 754,690             668,867  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
  $     $ (85,823   $     $ (286,118   $  (10,684,318   $     $  (11,056,259
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Average Quarterly Balances of Outstanding Derivative Financial Instruments
 
   
Futures contracts:
  
Average notional value of contracts — long
   $ 216,894,235  
Average notional value of contracts — short
   $ 181,499,852  
Forward foreign currency exchange contracts:
  
Average amounts purchased — in USD
   $ 13,240,379  
Credit default swaps:
  
Average notional value — buy protection
   $ 48,497,925  
Average notional value — sell protection
   $ 18,449,012  
Interest rate swaps:
  
Average notional value — receives fixed rate
   $
(a)
 
 
 
(a)
 
Derivative financial instrument not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period.
 
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
 
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
 
     
     
Assets
      
Liabilities
 
Derivative Financial Instruments
       
Futures contracts
   $ 322,579        $ 5,107  
Forward foreign currency exchange contracts
              129,622  
Swaps — centrally cleared
     9,151           
Swaps — OTC
(a)
     2,836,569          3,452,628  
  
 
 
      
 
 
 
Total derivative assets and liabilities in the Statement of Assets and Liabilities
     3,168,299          3,587,357  
  
 
 
      
 
 
 
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)
     (331,730        (5,107
  
 
 
      
 
 
 
Total derivative assets and liabilities subject to an MNA
   $  2,836,569        $  3,582,250  
  
 
 
      
 
 
 
 
 
(a)
 
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statement of Assets and Liabilities.
 
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
 
           
Counterparty
  
 

Derivative

Assets
Subject to
an MNA by
Counterparty
 

 
 
 
 
  
 

Derivatives

Available
for Offset
 

 
(a)
 
 
 

Non-Cash

Collateral
Received
 

 
 
  
 

Cash

Collateral
Received
 

 
(b)
 
 
 

Net Amount

of Derivative
Assets
 

 
(c)(d)
 
Bank of America N.A.
   $ 6,148      $ (5,139   $      $     $ 1,009  
Barclays Bank PLC
     884        (884                   
Deutsche Bank AG
     2,812,513        (15,889            (2,796,624      
JPMorgan Chase Bank N.A.
     3,819        (3,819                   
Morgan Stanley & Co. International PLC
     13,205        (13,205                   
  
 
 
    
 
 
   
 
 
    
 
 
   
 
 
 
   $ 2,836,569      $ (38,936   $      $ (2,796,624   $ 1,009  
  
 
 
    
 
 
   
 
 
    
 
 
   
 
 
 
            
           
Counterparty
  
 

Derivative

Liabilities
Subject to
an MNA by
Counterparty
 

 
 
 
 
  
 

Derivatives

Available
for Offset
 

 
(a)
 
 
 

Non-Cash

Collateral
Pledged
 

 
 
  
 

Cash

Collateral
Pledged
 

 
(b)
 
 
 

Net Amount

of Derivative
Liabilities
 

 
(c)(e)
 
Bank of America N.A.
   $ 5,139      $ (5,139   $      $     $  
Barclays Bank PLC
     2,822,450        (884            (2,810,000     11,566  
BNP Paribas SA
     1,115                           1,115  
Citibank N.A.
     860                     (860      
Deutsche Bank AG
     15,889        (15,889                   
JPMorgan Chase Bank N.A.
     4,408        (3,819                  589  
Morgan Stanley & Co. International PLC
     625,686        (13,205            (612,481      
State Street Bank and Trust Co.
     10,572                           10,572  
UBS AG
     96,131                           96,131  
  
 
 
    
 
 
   
 
 
    
 
 
   
 
 
 
   $ 3,582,250      $ (38,936   $      $  (3,423,341   $ 119,973  
  
 
 
    
 
 
   
 
 
    
 
 
   
 
 
 
 
 
(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)
 
Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.
 
 
(c)
 
Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.
 
 
(d)
 
Net amount represents the net amount receivable from the counterparty in the event of default.
 
 
(e)
 
Net amount represents the net amount payable due to counterparty in the event of default.
 
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
 
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
 
         
     
Level 1
      
Level 2
      
Level 3
      
Total
 
Assets
                 
Investments
                 
Long-Term Investments
                 
Asset-Backed Securities
   $        $  101,105,963        $  2,044,502        $  103,150,465  
Common Stocks
       4,779,236                            4,779,236  
Corporate Bonds
                 
Aerospace & Defense
              21,565,909                   21,565,909  
Air Freight & Logistics
              917,294                   917,294  
Automobile Components
              7,164,305                   7,164,305  
Automobiles
              4,011,595                   4,011,595  
Banks
              7,961,338                   7,961,338  
Beverages
              2,117,321                   2,117,321  
Biotechnology
              954,963                   954,963  
Broadline Retail
              148,947                   148,947  
Building Products
              7,135,680                   7,135,680  
Capital Markets
              4,473,553                   4,473,553  
Chemicals
              10,045,715                   10,045,715  
Commercial Services & Supplies
              19,623,277                   19,623,277  
Communications Equipment
              1,970,532                   1,970,532  
Construction & Engineering
              2,606,134                   2,606,134  
Construction Materials
              9,348,512                   9,348,512  
Consumer Finance
              15,319,717                   15,319,717  
Consumer Staples Distribution & Retail
              6,011,112                   6,011,112  
Containers & Packaging
              13,325,467                   13,325,467  
Diversified Consumer Services
              2,580,536                   2,580,536  
Diversified REITs
              5,962,279                   5,962,279  
Diversified Telecommunication Services
     113,436          20,938,309                   21,051,745  
Electric Utilities
              6,996,545                   6,996,545  
Electrical Equipment
              2,631,352                   2,631,352  
Electronic Equipment, Instruments & Components
              4,123,850                   4,123,850  
Energy Equipment & Services
              4,913,269                   4,913,269  
Entertainment
              2,818,017                   2,818,017  
Environmental, Maintenance & Security Service
              6,003,525                   6,003,525  
Financial Services
              6,540,187                   6,540,187  
Food Products
              5,388,351                   5,388,351  
Gas Utilities
              505,717                   505,717  
Ground Transportation
              7,981,117                   7,981,117  
Health Care Equipment & Supplies
              6,925,123                   6,925,123  
Health Care Providers & Services
              16,451,806                   16,451,806  
Health Care REITs
              1,307,270                   1,307,270  
Health Care Technology
              2,517,418                   2,517,418  
Hotel & Resort REITs
              2,352,129                   2,352,129  
Hotels, Restaurants & Leisure
              33,647,733                   33,647,733  
Household Durables
              1,693,982                   1,693,982  
Household Products
              534,630                   534,630  
Independent Power and Renewable Electricity Producers
              3,195,820                   3,195,820  
Insurance
              18,108,638                   18,108,638  
Interactive Media & Services
              987,082                   987,082  
Internet Software & Services
              1,496,830                   1,496,830  
IT Services
              6,632,108                   6,632,108  
Leisure Products
              785,872                   785,872  
Machinery
              9,585,304                   9,585,304  
Marine Transportation
              101,500                   101,500  
Media
              34,080,495                   34,080,495  
Metals & Mining
              15,376,832                   15,376,832  
Mortgage Real Estate Investment Trusts (REITs)
              337,201                   337,201  
Office REITs
              91,698                   91,698  
 
 
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Schedule of Investments
(continued)
December 31, 2023
  
BlackRock Multi-Sector Income Trust (BIT)
 
Fair Value Hierarchy as of Period End (continued)
 
         
     
Level 1
      
Level 2
      
Level 3
      
Total
 
Corporate Bonds (continued)
                 
Oil, Gas & Consumable Fuels
   $        $ 61,579,857        $ 1,277,438        $ 62,857,295  
Passenger Airlines
              4,315,530                   4,315,530  
Personal Care Products
              346,203                   346,203  
Pharmaceuticals
              7,323,250                   7,323,250  
Professional Services
              1,073,112                   1,073,112  
Real Estate Management & Development
              1,455,309                   1,455,309  
Retail REITs
              183,600                   183,600  
Semiconductors & Semiconductor Equipment
              4,330,857                   4,330,857  
Software
              17,257,512                   17,257,512  
Specialized REITs
              1,061,766                   1,061,766  
Specialty Retail
              1,834,863                   1,834,863  
Technology Hardware, Storage & Peripherals
              1,367,426                   1,367,426  
Textiles, Apparel & Luxury Goods
              186,990                   186,990  
Tobacco
              2,093,217                   2,093,217  
Transportation Infrastructure
              1,349,506                   1,349,506  
Wireless Telecommunication Services
              5,459,460                   5,459,460  
Floating Rate Loan Interests
              26,799,962          473,081          27,273,043  
Foreign Agency Obligations
              7,594,833                   7,594,833  
Municipal Bonds
              791,103                   791,103  
Non-Agency Mortgage-Backed Securities
              104,316,213                   104,316,213  
Preferred Securities
                 
Capital Trusts
              30,519,390                   30,519,390  
Preferred Stocks
     3,958,228                            3,958,228  
U.S. Government Sponsored Agency Securities
              98,447,348                   98,447,348  
Warrants
                                 
Short-Term Securities
                 
Money Market Funds
     10,305,527                            10,305,527  
Unfunded Floating Rate Loan Interests
(a)
              100                   100  
Liabilities
                 
Investments
                 
TBA Sale Commitments
              (5,879,238                 (5,879,238
  
 
 
      
 
 
      
 
 
      
 
 
 
     $ 19,156,427        $ 843,208,028        $ 3,795,021        $ 866,159,476  
  
 
 
      
 
 
      
 
 
      
 
 
 
Derivative Financial Instruments
(b)
                 
Assets
                 
Credit Contracts
   $        $ 1,864,185        $        $ 1,864,185  
Interest Rate Contracts
     4,607,841                            4,607,841  
Liabilities
                 
Credit Contracts
              (2,745,910                 (2,745,910
Foreign Currency Exchange Contracts
              (129,622                 (129,622
Interest Rate Contracts
     (8,696,689                          (8,696,689
  
 
 
      
 
 
      
 
 
      
 
 
 
   $ (4,088,848      $ (1,011,347      $        $ (5,100,195
  
 
 
      
 
 
      
 
 
      
 
 
 
 
 
(a)
 
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.
 
 
(b)
 
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.
 
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $284,576,426 are categorized as Level 2 within the fair value hierarchy.
See notes to financial statements.
 
 
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  157

Statements of Assets and Liabilities
December 31, 2023
 
    DSU          FRA          BKT          BLW  
 
 
ASSETS
                
Investments, at value — unaffiliated
(a)
  $  654,388,854        $  609,880,752        $  416,314,645        $  790,209,680  
Investments, at value — affiliated
(b)
    2,476,170          2,919,750          7,494,937          5,762,133  
Cash
                               1,614,413  
Cash pledged:
                
Collateral — reverse repurchase agreements
                               1,140,000  
Collateral — OTC derivatives
                               470,000  
Futures contracts
                      884,000          920,470  
Centrally cleared swaps
    287,000          663,000          1,000          647,000  
Foreign currency, at value
(c)
             970                   146,426  
Receivables:
                
Investments sold
    3,187,264          3,991,814                   1,820,137  
TBA sale commitments
                               5,320,453  
Dividends — unaffiliated
                               43,103  
Dividends — affiliated
    1,813          18          60,934          20,776  
Interest — unaffiliated
    6,213,843          5,454,987          3,807,511          10,728,734  
From custodian
    780,236                             
Variation margin on futures contracts
                      40,406          125,117  
Variation margin on centrally cleared swaps
                               7,650  
Swap premiums paid
    2,487                            6,198  
Unrealized appreciation on:
                
Forward foreign currency exchange contracts
    613                             
OTC swaps
    59,643          65,721                   92,933  
Unfunded floating rate loan interests
    870          970                   470  
Deferred offering costs
    238,051          21,186          140,909          110,250  
Prepaid expenses
    4,760          4,425          1,679          4,536  
 
 
 
      
 
 
      
 
 
      
 
 
 
Total assets
    667,641,604          623,003,593          428,746,021          819,190,479  
 
 
 
      
 
 
      
 
 
      
 
 
 
LIABILITIES
                
Bank overdraft
    16,129          753,857                    
Foreign bank overdraft
(d)
    615,714                             
Cash received:
                
Collateral — reverse repurchase agreements
                      3,048,000          3,615,534  
Collateral — TBA commitments
                      50,000           
Borrowed bonds, at value
(e)
                      741,516           
TBA sale commitments, at value
(f)
                               5,363,516  
Reverse repurchase agreements, at value
                      111,020,076          276,235,400  
Payables:
                
Investments purchased
    8,886,383          9,519,965          40,013,442          28,595,641  
Accounting services fees
    33,742          32,558          23,287          36,920  
Administration fees
                      34,005           
Bank borrowings
    149,000,000          144,000,000                    
Custodian fees
    14,111          8,990          10,748          23,408  
Interest expense and fees
    826,050          802,308                    
Investment advisory fees
    303,289          385,827          146,456          357,880  
Offering costs
                               6,226  
Directors’ and Officer’s fees
    330,456          7,831          180,148          406,823  
Other accrued expenses
    38,903          14,449          14,777          42,681  
Principal payups
                      2,030,213          64,329  
Professional fees
    80,956          85,352          66,762          81,817  
Transfer agent fees
    17,222          11,303          15,739          15,726  
Variation margin on futures contracts
                      22,113          8,732  
Variation margin on centrally cleared swaps
    1,141          2,827          16           
Swap premiums received
    29,359          28,714                   477,001  
 
 
158
 
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Statements of Assets and Liabilities
(continued)
December 31, 2023
 
    DSU     FRA     BKT     BLW  
 
 
Unrealized depreciation on:
       
Forward foreign currency exchange contracts
    48,907       14,105             86,997  
OTC swaps
    965                   1,825  
 
 
 
   
 
 
   
 
 
   
 
 
 
Total liabilities
    160,243,327       155,668,086       157,417,298       315,420,456  
 
 
 
   
 
 
   
 
 
   
 
 
 
Commitments and contingent liabilities
       
NET ASSETS
  $ 507,398,277     $ 467,335,507     $ 271,328,723     $ 503,770,023  
 
 
 
   
 
 
   
 
 
   
 
 
 
NET ASSETS CONSIST OF
       
Paid-in capital
(g)(h)(i)
  $ 649,446,264     $ 536,340,608     $ 428,585,995     $ 613,022,942  
Accumulated loss
    (142,047,987     (69,005,101     (157,257,272     (109,252,919
 
 
 
   
 
 
   
 
 
   
 
 
 
NET ASSETS
  $ 507,398,277     $ 467,335,507     $ 271,328,723     $ 503,770,023  
 
 
 
   
 
 
   
 
 
   
 
 
 
Net asset value
  $ 10.89     $ 13.26     $ 12.73     $ 14.11  
 
 
 
   
 
 
   
 
 
   
 
 
 
(a)
 Investments, at cost — unaffiliated
  $ 685,930,514     $ 624,814,896     $ 456,507,572     $ 808,980,983  
(b)
 Investments, at cost — affiliated
  $ 2,454,120     $ 2,821,218     $ 7,494,937     $ 5,762,133  
(c)
  Foreign currency, at cost
  $     $ 964     $     $ 135,915  
(d)
 Foreign bank overdraft, at cost
  $ 616,717     $     $     $  
(e)
 Proceeds received from borrowed bonds
  $     $     $ 842,347     $  
(f)
  Proceeds from TBA sale commitments
  $     $     $     $ 5,320,453  
(g)
 Shares outstanding
    46,610,312       35,232,197       21,307,672       35,711,253  
(h)
 Shares authorized
    400 million       200 million       200 million       Unlimited  
(i)
  Par value
  $ 0.10     $ 0.10     $ 0.010     $ 0.001  
See notes to financial statements.
 
 
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  159

Statements of Assets and Liabilities
(continued)
December 31, 2023
 
    BIT  
 
 
ASSETS
 
Investments, at value — unaffiliated
(a)
  $  861,733,087  
Investments, at value — affiliated
(b)
    10,305,527  
Cash
    92,039  
Cash pledged:
 
Collateral — OTC derivatives
    3,530,000  
Futures contracts
    2,826,400  
Centrally cleared swaps
    714,000  
Foreign currency, at value
(c)
    431,642  
Receivables:
 
Investments sold
    2,552,990  
TBA sale commitments
    5,832,035  
Dividends — unaffiliated
    69,825  
Dividends — affiliated
    42,432  
Interest — unaffiliated
    11,256,294  
Variation margin on futures contracts
    322,579  
Variation margin on centrally cleared swaps
    9,151  
Swap premiums paid
    972,384  
Unrealized appreciation on:
 
OTC swaps
    1,864,185  
Unfunded floating rate loan interests
    100  
Deferred offering costs
    177,734  
Prepaid expenses
    4,935  
 
 
 
 
Total assets
    902,737,339  
 
 
 
 
LIABILITIES
 
Cash received:
 
Collateral — reverse repurchase agreements
    3,357,468  
Collateral — OTC derivatives
    2,960,000  
Collateral — TBA commitments
    558,000  
TBA sale commitments, at value
(d)
    5,879,238  
Reverse repurchase agreements, at value
    284,576,426  
Payables:
 
Investments purchased
    42,316,588  
Accounting services fees
    40,037  
Custodian fees
    23,151  
Investment advisory fees
    571,580  
Offering costs
    63,076  
Directors’ and Officer’s fees
    166,929  
Other accrued expenses
    97,533  
Principal payups
    182,013  
Professional fees
    142,882  
Transfer agent fees
    41,693  
Variation margin on futures contracts
    5,107  
Swap premiums received
    1,145,942  
 
 
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Statements of Assets and Liabilities
(continued)
December 31, 2023
 
    BIT  
 
 
Unrealized depreciation on:
 
Forward foreign currency exchange contracts
    129,622  
OTC swaps
    2,306,686  
 
 
 
 
Total liabilities
    344,563,971  
 
 
 
 
Commitments and contingent liabilities
 
NET ASSETS
  $  558,173,368  
 
 
 
 
NET ASSETS CONSIST OF
 
Paid-in capital
(e)(f)(g)
  $ 632,591,607  
Accumulated loss
    (74,418,239
 
 
 
 
NET ASSETS
  $ 558,173,368  
 
 
 
 
Net asset value
  $ 14.76  
 
 
 
 
(a)
 Investments, at cost — unaffiliated
  $ 892,844,878  
(b)
 Investments, at cost — affiliated
  $ 10,305,527  
(c)
  Foreign currency, at cost
  $ 432,868  
(d)
 Proceeds from TBA sale commitments
  $ 5,832,035  
(e)
 Shares outstanding
    37,821,006  
(f)
  Shares authorized
    Unlimited  
(g)
 Par value
  $ 0.001  
 
See notes to financial statements.
 
 
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  161

Statements of Operations
Year Ended December 31, 2023
 
    DSU      FRA      BKT      BLW  
 
 
INVESTMENT INCOME
          
Dividends — unaffiliated
  $ 202,504      $ 163,785      $      $ 902,494  
Dividends — affiliated
    146,870        306,419        355,988        140,382  
Interest — unaffiliated
    57,544,128        55,911,518        15,160,580        55,878,128  
Other income — unaffiliated
    498,494        482,739               375,831  
Foreign taxes withheld
    (4,883                    (5,311
 
 
 
    
 
 
    
 
 
    
 
 
 
Total investment income
    58,387,113        56,864,461        15,516,568        57,291,524  
 
 
 
    
 
 
    
 
 
    
 
 
 
EXPENSES
          
Investment advisory
    3,495,628        4,506,441        1,761,807        4,049,194  
Professional
    113,762        93,359        76,916        107,460  
Accounting services
    95,659        92,595        65,787        105,624  
Transfer agent
    79,054        48,090        75,078        73,695  
Directors and Officer
    60,819        27,354        33,417        65,582  
Custodian
    40,375        21,909        30,629        65,645  
Registration
    15,992        12,088        24,024        12,253  
Printing and postage
    9,588        20,632        12,086        23,516  
Administration
                  406,571         
Miscellaneous
    19,952        16,034        22,579        65,337  
 
 
 
    
 
 
    
 
 
    
 
 
 
Total expenses excluding interest expense
    3,930,829        4,838,502        2,508,894        4,568,306  
Interest expense and fees
    8,353,143        8,455,050        6,243,293        13,203,653  
 
 
 
    
 
 
    
 
 
    
 
 
 
Total expenses
    12,283,972        13,293,552        8,752,187        17,771,959  
Less:
          
Fees waived and/or reimbursed by the Manager
    (8,991      (36,656      (5,322      (2,132
 
 
 
    
 
 
    
 
 
    
 
 
 
Total expenses after fees waived and/or reimbursed
    12,274,981        13,256,896        8,746,865        17,769,827  
 
 
 
    
 
 
    
 
 
    
 
 
 
Net investment income
    46,112,132        43,607,565        6,769,703        39,521,697  
 
 
 
    
 
 
    
 
 
    
 
 
 
REALIZED AND UNREALIZED GAIN (LOSS)
          
Net realized gain (loss) from:
          
Investments — unaffiliated
    (8,799,848      (4,003,846      (16,904,881      (19,864,603
Investments — affiliated
    (40,771      (35,247              
Forward foreign currency exchange contracts
    (19,805      (71,731             (42,027
Foreign currency transactions
    (108,181      29,777               (59,045
Futures contracts
                  2,351,300        (5,151,654
Options written
                         1,036  
Swaps
    141,515        201,574        69        889,051  
 
 
 
    
 
 
    
 
 
    
 
 
 
    (8,827,090      (3,879,473      (14,553,512      (24,227,242
 
 
 
    
 
 
    
 
 
    
 
 
 
Net change in unrealized appreciation (depreciation) on:
          
Investments — unaffiliated
    31,997,549        22,378,901        24,043,631        52,074,209  
Investments — affiliated
    22,050        81,769                
Borrowed bonds
                  (6,483       
Forward foreign currency exchange contracts
    (50,452      (30,990             (64,064
Foreign currency translations
    3,239        1,289               68,066  
Futures contracts
                  (1,452,887      (1,141,192
Swaps
    306,870        500,934        (121      (1,991,326
Unfunded floating rate loan interests
    43,254        49,456               31,875  
 
 
 
    
 
 
    
 
 
    
 
 
 
    32,322,510        22,981,359        22,584,140        48,977,568  
 
 
 
    
 
 
    
 
 
    
 
 
 
Net realized and unrealized gain
    23,495,420        19,101,886        8,030,628        24,750,326  
 
 
 
    
 
 
    
 
 
    
 
 
 
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
  $  69,607,552      $  62,709,451      $ 14,800,331      $ 64,272,023  
 
 
 
    
 
 
    
 
 
    
 
 
 
See notes to financial statements.
 
 
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Statements of Operations
(continued)
Year Ended December 31, 2023
 
    BIT  
 
 
 
 
   
Period from
11/01/23
to 12/31/23
    
Year Ended
10/31/23
 
 
 
INVESTMENT INCOME
    
Dividends — unaffiliated
  $ 158,298      $ 445,963  
Dividends — affiliated
    79,585        472,142  
Interest — unaffiliated
    9,709,517        54,818,997  
Other income — unaffiliated
    983        227,539  
Foreign taxes withheld
           (13,674
 
 
 
    
 
 
 
Total investment income
    9,948,383        55,950,967  
 
 
 
    
 
 
 
EXPENSES
    
Investment advisory
    1,117,761        6,705,449  
Professional
    66,698        137,297  
Directors and Officer
    22,391        35,379  
Accounting services
    19,261        113,852  
Transfer agent
    17,090        78,744  
Custodian
    12,266        49,244  
Printing and postage
    8,065        28,339  
Registration
    2,200        12,940  
Miscellaneous
    3,505        120,544  
 
 
 
    
 
 
 
Total expenses excluding interest expense
    1,269,237        7,281,788  
Interest expense and fees
    2,669,328        14,264,962  
 
 
 
    
 
 
 
Total expenses
    3,938,565        21,546,750  
Less:
    
Fees waived and/or reimbursed by the Manager
    (1,091      (7,530
 
 
 
    
 
 
 
Total expenses after fees waived and/or reimbursed
    3,937,474        21,539,220  
 
 
 
    
 
 
 
Net investment income
    6,010,909        34,411,747  
 
 
 
    
 
 
 
REALIZED AND UNREALIZED GAIN (LOSS)
    
Net realized gain (loss) from:
    
Investments — unaffiliated
    (1,798,056      (34,155,814
Forward foreign currency exchange contracts
    (274,755      (391,726
Foreign currency transactions
    53,658        139,736  
Futures contracts
    2,901,941        7,600,651  
Options written
           (1,552
Swaps
    (547,079      (32,159
 
 
 
    
 
 
 
    335,709        (26,840,864
 
 
 
    
 
 
 
Net change in unrealized appreciation (depreciation) on:
    
Investments — unaffiliated
    50,932,497        29,123,454  
Forward foreign currency exchange contracts
    (286,118      51,370  
Foreign currency translations
    25,124        (3,145
Futures contracts
    (11,439,008      (12,464,722
Options written
           37  
Swaps
    668,867        (1,568,788
Unfunded floating rate loan interests
    67        24,813  
 
 
 
    
 
 
 
    39,901,429        15,163,019  
 
 
 
    
 
 
 
Net realized and unrealized gain (loss)
    40,237,138        (11,677,845
 
 
 
    
 
 
 
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
  $  46,248,047      $  22,733,902  
 
 
 
    
 
 
 
See notes to financial statements.
 
 
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  163

Statements of Changes in Net Assets
 
     DSU      FRA  
    
Year Ended
12/31/23
    
Year Ended
12/31/22
    
Year Ended
12/31/23
    
Year Ended
12/31/22
 
 
 
INCREASE (DECREASE) IN NET ASSETS
           
OPERATIONS
           
Net investment income
   $ 46,112,132      $ 33,524,702      $ 43,607,565      $ 29,462,918  
Net realized loss
     (8,827,090      (9,343,061      (3,879,473      (6,501,067
Net change in unrealized appreciation (depreciation)
     32,322,510        (43,923,145      22,981,359        (32,309,384
  
 
 
    
 
 
    
 
 
    
 
 
 
Net increase (decrease) in net assets resulting from operations
     69,607,552        (19,741,504      62,709,451        (9,347,533
  
 
 
    
 
 
    
 
 
    
 
 
 
DISTRIBUTIONS TO SHAREHOLDERS
(a)
           
From net investment income
     (45,919,775      (31,579,170      (44,066,728      (27,297,906
Return of capital
     (2,854,653      (838,309      (2,494,734       
  
 
 
    
 
 
    
 
 
    
 
 
 
Decrease in net assets resulting from distributions to shareholders
     (48,774,428      (32,417,479      (46,561,462      (27,297,906
  
 
 
    
 
 
    
 
 
    
 
 
 
CAPITAL SHARE TRANSACTIONS
           
Reinvestment of distributions
            43,132                
  
 
 
    
 
 
    
 
 
    
 
 
 
NET ASSETS
           
Total increase (decrease) in net assets
     20,833,124        (52,115,851      16,147,989        (36,645,439
Beginning of year
     486,565,153        538,681,004        451,187,518        487,832,957  
  
 
 
    
 
 
    
 
 
    
 
 
 
End of year
   $  507,398,277      $  486,565,153      $  467,335,507      $  451,187,518  
  
 
 
    
 
 
    
 
 
    
 
 
 
 
(a)
Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
See notes to financial statements.
 
 
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Statements of Changes in Net Assets 
(continued)
 
    BKT      BLW  
   
Year Ended
12/31/23
    
Year Ended
12/31/22
    
Year Ended
12/31/23
    
Year Ended
12/31/22
 
 
 
INCREASE (DECREASE) IN NET ASSETS
          
OPERATIONS
          
Net investment income
  $ 6,769,703      $ 9,190,557      $ 39,521,697      $ 34,564,968  
Net realized loss
    (14,553,512      (2,021,958      (24,227,242      (29,094,666
Net change in unrealized appreciation (depreciation)
    22,584,140        (67,003,293      48,977,568        (71,493,091
 
 
 
    
 
 
    
 
 
    
 
 
 
Net increase (decrease) in net assets resulting from operations
    14,800,331        (59,834,694      64,272,023        (66,022,789
 
 
 
    
 
 
    
 
 
    
 
 
 
DISTRIBUTIONS TO SHAREHOLDERS
(a)
          
From net investment income
    (8,218,384      (10,487,125      (37,992,549      (32,930,219
Return of capital
    (14,333,355      (11,460,544      (5,096,654      (5,605,804
 
 
 
    
 
 
    
 
 
    
 
 
 
Decrease in net assets resulting from distributions to shareholders
    (22,551,739      (21,947,669      (43,089,203      (38,536,023
 
 
 
    
 
 
    
 
 
    
 
 
 
CAPITAL SHARE TRANSACTIONS
          
Reinvestment of distributions
    45,446        64,960                
 
 
 
    
 
 
    
 
 
    
 
 
 
NET ASSETS
          
Total increase (decrease) in net assets
    (7,705,962      (81,717,403      21,182,820        (104,558,812
Beginning of year
    279,034,685        360,752,088        482,587,203        587,146,015  
 
 
 
    
 
 
    
 
 
    
 
 
 
End of year
  $  271,328,723      $  279,034,685      $  503,770,023      $  482,587,203  
 
 
 
    
 
 
    
 
 
    
 
 
 
 
(a)
Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
See notes to financial statements.
 
 
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  165

Statements of Changes in Net Assets 
(continued)
 
    BIT  
   
Period from
11/01/23
to 12/31/23
    
Year Ended
10/31/23
    
Year Ended
10/31/22
 
 
 
INCREASE (DECREASE) IN NET ASSETS
       
OPERATIONS
       
Net investment income
  $ 6,010,909      $ 34,411,747      $ 38,948,323  
Net realized gain (loss)
    335,709        (26,840,864      5,527,115  
Net change in unrealized appreciation (depreciation)
    39,901,429        15,163,019        (113,608,350
 
 
 
    
 
 
    
 
 
 
Net increase (decrease) in net assets resulting from operations
    46,248,047        22,733,902        (69,132,912
 
 
 
    
 
 
    
 
 
 
DISTRIBUTIONS TO SHAREHOLDERS
(a)
       
From net investment income
    (6,321,510      (33,743,136      (40,442,459
Return of capital
    (3,029,601      (22,251,175      (15,441,926
 
 
 
    
 
 
    
 
 
 
Decrease in net assets resulting from distributions to shareholders
    (9,351,111      (55,994,311      (55,884,385
 
 
 
    
 
 
    
 
 
 
CAPITAL SHARE TRANSACTIONS
       
Reinvestment of distributions
    455,242        1,529,354        1,178,157  
 
 
 
    
 
 
    
 
 
 
NET ASSETS
       
Total increase (decrease) in net assets
    37,352,178        (31,731,055      (123,839,140
Beginning of period
    520,821,190        552,552,245        676,391,385  
 
 
 
    
 
 
    
 
 
 
End of period
  $  558,173,368      $  520,821,190      $  552,552,245  
 
 
 
    
 
 
    
 
 
 
 
(a)
Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
See notes to financial statements.
 
 
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Statements of Cash Flows
Year Ended December 31, 2023
 
    DSU     FRA     BKT     BLW  
 
 
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES
       
Net increase in net assets resulting from operations
  $ 69,607,552     $ 62,709,451     $ 14,800,331     $ 64,272,023  
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:
       
Proceeds from sales of long-term investments and principal paydowns/payups
    204,597,815       154,465,489       944,000,678       818,585,252  
Purchases of long-term investments
    (185,894,136     (148,730,273     (930,118,073     (805,830,657
Net purchases of short-term securities
    (851,545     (28,659     (1,679,974     (4,248,909
Amortization of premium and accretion of discount on investments and other fees
    (2,066,299     (1,463,203     6,868,026       (2,131,793
Paid-in-kind income
    (126,632     30,136             (69,621
Premiums paid on closing options written
                      (798
Premiums received from options written
                      1,834  
Net realized loss on investments and options written
    8,847,579       4,044,716       16,904,881       19,863,567  
Net unrealized appreciation on investments, swaps, borrowed bonds, foreign currency translations and unfunded floating rate loan interests
    (32,077,530     (22,544,855     (24,037,148     (52,343,519
(Increase) Decrease in Assets
       
Receivables
       
Dividends — affiliated
    5,402       3,958       (32,380     (9,473
Dividends — unaffiliated
                      27,930  
From custodian
    (780,236                  
Interest — unaffiliated
    (2,126,472     (2,698,692     (761,629     (2,684,948
Variation margin on futures contracts
                238,266       280,018  
Variation margin on centrally cleared swaps
    14       14       36       8,992  
Swap premiums paid
    (538                 (1,595
Prepaid expenses
    (681     (654     15,553       (598
Deferred offering costs
    (138,108     (12,138     (25,096      
Increase (Decrease) in Liabilities
       
Cash received
       
Collateral — reverse repurchase agreements
                3,048,000       3,321,158  
Collateral — TBA commitments
                (2,102,000      
Payables
       
Accounting services fees
    (1,842     (1,056     (1,866     (1,402
Administration fees
                (2,373      
Custodian fees
    (2,888     (8,871     2,779       (7,115
Interest expense and fees
    32,949       102,468       (256,986     380,255  
Investment advisory fees
    (5,737     (257     (10,680     (327
Directors’ and Officer’s fees
    16,886       7,260       7,807       19,455  
Other accrued expenses
    (16,069     (4,958     (2,639     (27,632
Professional fees
    (21,005     (38,011     (18,092     (32,162
Transfer agent fees
    (11,885     (8,722     (7,610     (7,663
Variation margin on futures contracts
                (81,151     (453,274
Variation margin on centrally cleared swaps
    1,141       2,827       16        
Swap premiums received
    22,817       28,714             (205,995
 
 
 
   
 
 
   
 
 
   
 
 
 
Net cash provided by operating activities
    59,010,552       45,854,684       26,748,676       38,703,003  
 
 
 
   
 
 
   
 
 
   
 
 
 
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES
       
Cash dividends paid to shareholders
    (48,774,428     (46,561,462     (22,506,293     (43,089,203
Payments for offering costs
                      (2,000
Payments for bank borrowings
    (151,000,000     (134,000,000            
Proceeds from bank borrowings
    136,000,000       131,000,000              
Increase (decrease) in bank overdraft
    631,843       753,857       (878      
Net borrowing of reverse repurchase agreements
                (4,487,765     16,460  
 
 
 
   
 
 
   
 
 
   
 
 
 
Net cash used for financing activities
    (63,142,585     (48,807,605     (26,994,936     (43,074,743
 
 
 
   
 
 
   
 
 
   
 
 
 
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS
       
Cash impact from foreign exchange fluctuations
    (10     (2           9,447  
 
 
 
   
 
 
   
 
 
   
 
 
 
 
 
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Statements of Cash Flows
(continued)
Year Ended December 31, 2023
 
    DSU     FRA     BKT     BLW  
 
 
CASH AND FOREIGN CURRENCY
       
Net decrease in restricted and unrestricted cash and foreign currency
  $ (4,132,043   $ (2,952,923   $ (246,260   $ (4,362,293
Restricted and unrestricted cash and foreign currency at beginning of year
    4,419,043       3,616,893       1,131,260       9,300,602  
 
 
 
   
 
 
   
 
 
   
 
 
 
Restricted and unrestricted cash and foreign currency at end of year
  $ 287,000     $ 663,970     $ 885,000     $ 4,938,309  
 
 
 
   
 
 
   
 
 
   
 
 
 
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
       
Cash paid during the year for interest expense
  $  8,320,194     $ 8,352,582     $ 6,500,279     $ 12,823,398  
 
 
 
   
 
 
   
 
 
   
 
 
 
NON-CASH FINANCING ACTIVITIES
       
Reinvestment of distributions
  $     $     $ 45,446     $  
 
 
 
   
 
 
   
 
 
   
 
 
 
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES
       
Cash
  $     $     $     $ 1,614,413  
Cash pledged
       
Collateral — reverse repurchase agreements
                      1,140,000  
Collateral — OTC derivatives
                      470,000  
Futures contracts
                884,000       920,470  
Centrally cleared swaps
    287,000       663,000       1,000       647,000  
Foreign currency at value
          970             146,426  
 
 
 
   
 
 
   
 
 
   
 
 
 
  $ 287,000     $ 663,970     $ 885,000     $ 4,938,309  
 
 
 
   
 
 
   
 
 
   
 
 
 
See notes to financial statements.
 
 
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Statements of Cash Flows
(continued)
Year Ended December 31, 2023
 
    BIT  
 
 
 
 
   
Period from
11/01/23
to 12/31/23
   
Year Ended
10/31/23
 
 
 
CASH PROVIDED BY OPERATING ACTIVITIES
   
Net increase in net assets resulting from operations
  $ 46,248,047     $ 22,733,902  
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:
   
Proceeds from sales of long-term investments
    251,094,537       1,309,719,895  
Purchases of long-term investments
    (239,424,936     (1,287,090,779
Net proceeds from sales (purchases) of short-term securities
    (4,244,875     5,536,969  
Amortization of premium and accretion of discount on investments and other fees
    (926,930     (4,378,309
Premiums paid on closing options written
          (4,815
Premiums received from options written
          2,392  
Net realized loss on investments and options written
    1,797,976       34,157,366  
Net unrealized appreciation on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests
    (51,077,149     (29,577,832
(Increase) Decrease in Assets
   
Receivables
   
Dividends — affiliated
    2,494       (17,736
Dividends — unaffiliated
    (65,080     134,890  
From the custodian
    545,585       (545,585
Interest — unaffiliated
    (1,480,803     (472,643
Swaps
          582,693  
Variation margin on futures contracts
    196,968       673,678  
Variation margin on centrally cleared swaps
    (9,151     63,854  
Swap premiums paid
    317,855       399,510  
Prepaid expenses
    (2,535     29  
Other assets
          550,000  
Deferred offering costs
    (63,076     63,076  
Increase (Decrease) in Liabilities
   
Due to broker
          (144,387
Cash received
   
Collateral — reverse repurchase agreements
    3,087,468       (63,192
Collateral — OTC derivatives
    (420,000     (1,470,000
Collateral — TBA commitments
    558,000        
Payables
   
Swaps
          (611,551
Accounting services fees
    10,154       (35,618
Custodian fees
    6,217       (37,944
Interest expense and fees
    268,425       446,832  
Investment advisory fees
    19,795       11,442  
Directors’ and Officer’s fees
    22,391       2,479  
Other accrued expenses
    2,971       41,282  
Professional fees
    (1,398     (86,292
Transfer agent fees
    2,975       11,153  
Variation margin on futures contracts
    (298,585     303,692  
Variation margin on centrally cleared swaps
    (115,843     115,843  
Swap premiums received
    (189,867     (727,829
 
 
 
   
 
 
 
Net cash provided by operating activities
    5,861,630       50,286,465  
 
 
 
   
 
 
 
CASH USED FOR FINANCING ACTIVITIES
   
Cash dividends paid to shareholders
    (8,895,869     (54,529,774
Payments for offering costs
    63,076       (66,752
Decrease in bank overdraft
          (1,080
Net borrowing of reverse repurchase agreements
    (1,469,845     (5,247,711
 
 
 
   
 
 
 
Net cash used for financing activities
    (10,302,638     (59,845,317
 
 
 
   
 
 
 
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS
   
Cash impact from foreign exchange fluctuations
  $ 17,256     $ (8,476
 
 
 
   
 
 
 
 
 
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Statements of Cash Flows
(continued)
Year Ended December 31, 2023
 
    BIT  
   
Period from
11/01/23
to 12/31/23
   
Year Ended
10/31/23
 
 
 
CASH AND FOREIGN CURRENCY
   
Net decrease in restricted and unrestricted cash and foreign currency
  $ (4,423,752   $ (9,567,328
Restricted and unrestricted cash and foreign currency at beginning of period
    12,017,833       21,585,161  
 
 
 
   
 
 
 
Restricted and unrestricted cash and foreign currency at end of period
  $ 7,594,081     $ 12,017,833  
 
 
 
   
 
 
 
SUPPLEMENTAL DISCLOSURE OFCASH FLOW INFORMATION
   
Cash paid during the period for interest expense
  $ 2,400,903     $ 13,819,047  
 
 
 
   
 
 
 
NON-CASH FINANCING ACTIVITIES
   
Reinvestment of distributions
  $ 455,242     $ 1,529,354  
 
 
 
   
 
 
 
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY ATTHE END OF PERIOD TO THE STATEMENT OF ASSETS AND LIABILITIES
   
Cash
  $ 92,039     $ 28,453  
Cash pledged
   
Collateral — reverse repurchase agreements
          3,278,900  
Collateral — OTC derivatives
    3,530,000       4,420,000  
Futures contracts
    2,826,400       3,060,400  
Centrally cleared swaps
    714,000       619,000  
Foreign currency at value
    431,642       611,080  
 
 
 
   
 
 
 
  $  7,594,081     $  12,017,833  
 
 
 
   
 
 
 
See notes to financial statements.
 
 
 
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Financial Highlights
(For a share outstanding throughout each period)
 
    DSU  
    
Year Ended
12/31/23
    
Year Ended
12/31/22
   
Year Ended
12/31/21
   
Year Ended
12/31/20
   
Period from
03/01/19
to 12/31/19
   
Year Ended
02/28/19
 
             
Net asset value, beginning of period
  $ 10.44      $ 11.56     $ 11.55     $ 12.25     $ 12.16     $ 12.62  
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income
(a)
    0.99        0.72       0.61       0.63       0.64       0.79  
Net realized and unrealized gain (loss)
    0.51        (1.14     0.13       (0.50     0.21       (0.43
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net increase (decrease) from investment operations
    1.50        (0.42     0.74       0.13       0.85       0.36  
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Distributions
(b)
            
From net investment income
    (0.99      (0.68     (0.62     (0.61     (0.73     (0.82
Return of capital
    (0.06      (0.02     (0.11     (0.22     (0.03      
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total distributions
    (1.05      (0.70     (0.73     (0.83     (0.76     (0.82
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net asset value, end of period
  $ 10.89      $ 10.44     $ 11.56     $ 11.55     $ 12.25     $ 12.16  
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Market price, end of period
  $ 10.79      $ 9.20     $ 11.70     $ 10.45     $ 11.20     $ 10.78  
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total Return
(c)
            
Based on net asset value
    15.74      (2.97 )%      6.67     2.57     8.03 %
(d)
 
    3.86
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Based on market price
    30.14      (15.51 )%      19.33     1.50     11.42 %
(d)
 
    1.30
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Ratios to Average Net Assets
(e)
            
Total expenses
    2.47      1.90     1.34     1.48     2.21 %
(f)(g)
 
    2.23
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses after fees waived and/or reimbursed
    2.47      1.90     1.34     1.47     2.21 %
(f)(g)
 
    2.23
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees
    0.79      0.84     0.92     0.91     0.92 %
(f)
 
    0.96
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income
    9.25      6.65     5.21     5.65     6.25 %
(f)
 
    6.40
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Supplemental Data
            
Net assets, end of period (000)
  $ 507,398      $ 486,565     $ 538,681     $ 537,959     $ 605,240     $ 641,220  
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Borrowings outstanding, end of period (000)
  $ 149,000      $ 164,000     $ 248,000     $ 229,000     $ 262,000     $ 278,000  
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Asset coverage, end of period per $1,000 of bank borrowings
(h)
  $ 4,405      $ 3,967     $ 3,172     $ 3,349     $ 3,310     $ 3,308  
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Portfolio turnover rate
    30      18     47     67     53     62
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
(a)
 
Based on average shares outstanding.
(b)
 
Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(c)
 
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.
(d)
 
Not annualized.
(e)
 
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.
(f)
 
Annualized.
(g)
 
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%.
(h)
 
Calculated by subtracting the Fund’s total liabilities (not including bank borrowings) from the Fund’s total assets and dividing this by the amount of bank borrowings, and by multiplying the results by 1,000.
See notes to financial statements.
 
 
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Financial Highlights
(continued)
(For a share outstanding throughout each period)
 
    FRA  
   
Year Ended
12/31/23
    
Year Ended
12/31/22
   
Year Ended
12/31/21
   
Year Ended
12/31/20
   
Period from
09/01/19
to 12/31/19
   
Year Ended
08/31/19
 
             
Net asset value, beginning of period
  $ 12.81      $ 13.85     $ 13.81     $ 14.55     $ 14.49     $ 14.92  
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income
(a)
    1.24        0.84       0.67       0.69       0.25       0.84  
Net realized and unrealized gain (loss)
    0.53        (1.11     0.17       (0.51     0.19       (0.40
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net increase (decrease) from investment operations
    1.77        (0.27     0.84       0.18       0.44       0.44  
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Distributions
(b)
            
From net investment income
    (1.25      (0.77     (0.67     (0.70     (0.38     (0.87
Return of capital
    (0.07            (0.13     (0.22            
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total distributions
    (1.32      (0.77     (0.80     (0.92     (0.38     (0.87
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net asset value, end of period
  $ 13.26      $ 12.81     $ 13.85     $ 13.81     $ 14.55     $ 14.49  
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Market price, end of period
  $ 12.66      $ 11.26     $ 13.43     $ 12.11     $ 13.44     $ 12.46  
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total Return
(c)
            
Based on net asset value
    15.35      (1.34 )%      6.48     2.76     3.41 %
(d)
 
    3.94
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Based on market price
    25.29      (10.57 )%      17.74     (2.45 )%      11.08 %
(d)
 
    (3.37 )% 
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Ratios to Average Net Assets
(e)
            
Total expenses
    2.88      2.17     1.55     1.69     2.20 %
(f)(g)
 
    2.45
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses after fees waived and/or reimbursed
    2.87      2.17     1.54     1.67     2.20 %
(f)(g)
 
    2.45
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees
    1.04      1.15     1.14     1.13     1.19 %
(f)
 
    1.16
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income
    9.45      6.36     4.76     5.15     5.26 %
(f)
 
    5.74
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Supplemental Data
            
Net assets, end of period (000)
  $ 467,336      $ 451,188     $ 487,833     $ 488,051     $ 522,545     $ 526,447  
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Borrowings outstanding, end of period (000)
  $ 144,000      $ 147,000     $ 223,000     $ 208,000     $ 214,000     $ 204,000  
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Asset coverage, end of period per $1,000 of bank borrowings
(h)
  $ 4,245      $ 4,069     $ 3,188     $ 3,346     $ 3,442     $ 3,582  
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Portfolio turnover rate
    25      14     49     65     16     53
 
 
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
(a)
 
Based on average shares outstanding.
(b)
 
Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(c)
 
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.
(d)
 
Not annualized.
(e)
 
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.
(f)
 
Annualized.
(g)
 
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%.
(h)
 
Calculated by subtracting the Fund’s total liabilities (not including bank borrowings) from the Fund’s total assets and dividing this by the amount of bank borrowings, and by multiplying the results by 1,000.
See notes to financial statements.
 
 
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Financial Highlights
(continued)
(For a share outstanding throughout each period)
 
    BKT  
    Year Ended     Year Ended     Year Ended     Year Ended     Year Ended  
              12/31/23                12/31/22
(a)
 
             12/31/21
(a)
 
             12/31/20
(a)
 
             12/31/19
(a)
 
Net asset value, beginning of year
        $ 13.10            $ 16.94            $ 18.54            $ 18.89            $ 18.75  
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Net investment income
(b)
      0.32          0.43          0.70          0.86          0.75  
Net realized and unrealized gain (loss)
      0.37          (3.24        (1.06        0.02          0.63  
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Net increase (decrease) from investment operations
      0.69          (2.81        (0.36        0.88          1.38  
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Distributions
(c)
                       
From net investment income
      (0.39        (0.49        (0.89        (1.01        (0.89
Return of capital
      (0.67        (0.54        (0.35        (0.22        (0.35
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Total distributions
      (1.06        (1.03        (1.24        (1.23        (1.24
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Net asset value, end of year
    $ 12.73        $ 13.10        $ 16.94        $ 18.54        $ 18.89  
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Market price, end of year
    $ 12.18        $ 12.34        $ 16.95        $ 18.21        $ 18.15  
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Total Return
(d)
                       
Based on net asset value
      6.03        (16.67 )%         (2.01 )%         4.92        7.91
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Based on market price
      7.69        (21.50 )%         (0.23 )%         7.31        14.83
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Ratios to Average Net Assets
(e)
                       
Total expenses
      3.23        1.65        0.94        1.18        2.06
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Total expenses after fees waived and/or reimbursed
      3.23        1.64        0.94        1.18        2.06
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Total expenses after fees waived and/or reimbursed and excluding interest expense
      0.92        0.95        0.90        0.89        0.94
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Net investment income
      2.50        2.94        3.91        4.55        3.95
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Supplemental Data
                       
Net assets, end of year (000)
    $ 271,329        $ 279,035        $ 360,752        $ 394,195        $ 401,715  
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Borrowings outstanding, end of year (000)
    $ 111,020        $ 115,764        $ 115,184        $ 156,936        $ 175,655  
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
Portfolio turnover rate
(f)
      221        237        248        69        255
   
 
 
      
 
 
      
 
 
      
 
 
      
 
 
 
 
(a)
 
Per share operating performance amounts have been adjusted to reflect a 1-for-3 reverse stock split prior to the open of trading on the NYSE on October 18, 2022 for common stockholders of record as of the close of business on October 17, 2022.
(b)
 
Based on average shares outstanding.
(c)
 
Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(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)
 
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.
(f)
 
Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:
 
           
    
Year Ended
12/31/23
   
Year Ended
12/31/22
   
Year Ended
12/31/21
   
Year Ended
12/31/20
   
Year Ended
12/31/19
 
Portfolio turnover rate (excluding MDRs)
    106     122     119     31     136
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
See notes to financial statements.
 
 
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    173  

Financial Highlights
(continued)
(For a share outstanding throughout each period)
 
    BLW  
 
   
Year Ended
12/31/23
 
 
   
Year Ended
12/31/22
 
 
   
Year Ended
12/31/21
 
 
   
Year Ended
12/31/20
 
 
   
Period from
09/01/19
to 12/31/19
 
 
 
   
Year Ended
08/31/19
 
 
Net asset value, beginning of period
        $ 13.51           $ 16.44           $ 16.93           $ 17.05           $ 17.03           $ 16.71  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net investment income
(a)
      1.11         0.97         1.00         0.98         0.31         0.94  
Net realized and unrealized gain (loss)
      0.70         (2.82       (0.31       0.08         0.18         0.33  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net increase (decrease) from investment operations
      1.81         (1.85       0.69         1.06         0.49         1.27  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Distributions
(b)
                       
From net investment income
      (1.07       (0.92       (1.02       (1.03       (0.47       (0.95
Return of capital
      (0.14       (0.16       (0.16       (0.15                
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total distributions
      (1.21       (1.08       (1.18       (1.18       (0.47       (0.95
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net asset value, end of period
    $ 14.11       $ 13.51       $ 16.44       $ 16.93       $ 17.05       $ 17.03  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Market price, end of period
    $ 13.98       $ 13.07       $ 16.85       $ 15.92       $ 16.39       $ 15.44  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total Return
(c)
                       
Based on net asset value
      14.41       (10.96 )%        4.18 %
(d)
 
      7.58       3.11 %
(e)
 
      8.77
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Based on market price
      17.17       (15.96 )%        13.55       5.24       9.32 %
(e)
 
      9.41
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Ratios to Average Net Assets
(f)
                       
Total expenses
      3.64       2.04       1.18       1.39       1.64 %
(g)(h)
 
      1.81
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total expenses after fees waived and/or reimbursed
      3.64       2.04       1.18       1.39       1.64 %
(g)(h)
 
      1.81
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total expenses after fees waived and/or reimbursed and excluding interest expense
      0.94       0.96       0.92       0.90       0.89 %
(g)
 
      0.84
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net investment income
      8.10       6.70       5.90       6.07       5.32 %
(g)
 
      5.69
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Supplemental Data
                       
Net assets, end of period (000)
    $ 503,770       $ 482,587       $ 587,146       $ 603,933       $ 611,068       $ 610,251  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Borrowings outstanding, end of period (000)
    $ 276,235       $ 275,639       $ 312,356       $ 275,105       $ 213,399       $ 202,539  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Portfolio turnover rate
(i)
      106       77       66       65       14       50
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
 
(a)
 
Based on average shares outstanding.
(b)
 
Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(c)
 
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.
(d)
 
Includes payment from an affiliate, which had no impact on the Fund’s total return.
(e)
 
Not annualized.
(f)
 
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.
(g)
 
Annualized.
(h)
 
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%.
(i)
 
Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:
 
             
    
Year Ended
12/31/23
   
Year Ended
12/31/22
   
Year Ended
12/31/21
   
Year Ended
12/31/20
   
Period from
09/01/19
to 12/31/19
   
Year Ended
08/31/19
 
Portfolio turnover rate (excluding MDRs)
    70     58     52     58     14     50
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
See notes to financial statements.
 
 
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Financial Highlights
(continued)
(For a share outstanding throughout each period)
 
    BIT  
   
Period from
11/01/23
 
 
    Year Ended       Year Ended       Year Ended       Year Ended       Year Ended  
      to 12/31/23       10/31/23       10/31/22       10/31/21               10/31/20
(a)
 
            10/31/19
(a)
 
Net asset value, beginning of period
        $ 13.78           $ 14.66           $ 17.98           $ 17.66           $ 17.28           $ 18.79  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net investment income
(b)
      0.16         0.91         1.03         1.13         1.08         1.18  
Net realized and unrealized gain (loss)
      1.07         (0.31       (2.87       0.67         0.78         (1.28
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net increase (decrease) from investment operations
      1.23         0.60         (1.84       1.80         1.86         (0.10
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Distributions
(c)
                       
From net investment income
      (0.17       (0.89       (1.07       (1.11       (0.99       (1.14
Return of capital
      (0.08       (0.59       (0.41       (0.37       (0.49       (0.27
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total distributions
      (0.25       (1.48       (1.48       (1.48       (1.48       (1.41
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net asset value, end of period
    $ 14.76       $ 13.78       $ 14.66       $ 17.98       $ 17.66       $ 17.28
(d)
 
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Market price, end of period
    $ 15.00       $ 14.09       $ 14.43       $ 18.90       $ 15.65       $ 17.15  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total Return
(e)
                       
Based on net asset value
      8.95 %
(f)
 
      4.08       (10.47 )%
(g)
 
      10.55       12.68 %
(h)
 
      0.00 %
(d)(i)
 
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Based on market price
      8.29 %
(f)
 
      8.12       (16.16 )%        31.13       0.61       14.76
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Ratios to Average Net Assets
(j)
                       
Total expenses
      4.29 %
(k)(l)
 
      3.92       1.99       1.70       2.36       2.89
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total expenses after fees waived and/or reimbursed
      4.29 %
(k)(l)
 
      3.92       1.99       1.70       2.19 %
(m)
 
      2.89
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total expenses after fees waived and/or reimbursed and excluding interest expense
      1.34 %
(k)(l)
 
      1.32       1.34       1.42       1.39       1.35
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net investment income
      6.64 %
(l)
 
      6.26       6.39       6.14       6.51       6.43
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Supplemental Data
                       
Net assets, end of period (000)
    $ 558,173       $ 520,821       $ 552,552       $ 676,391       $ 662,853       $ 648,617  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Borrowings outstanding, end of period (000)
    $ 284,576       $ 285,633       $ 288,231       $ 386,820       $ 353,128       $ 373,345  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Portfolio turnover rate
(n)
      28       151       112       75       101       32
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
 
(a)
 
Consolidated Financial Highlights.
(b)
 
Based on average shares outstanding.
(c)
 
Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(d)
 
For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the NAV per share and total return performance based on NAV presented herein are different than the information previously published on October 31, 2019.
(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)
 
Not annualized.
(g)
Includes payment from an affiliate, which had no impact on the Fund’s total return.
(h)
 
Includes payments received from an affiliate and unaffiliated third parties, which impacted the Fund’s total return. Excluding the payments, the Fund’s total return would have been 1.38%.
(i)
 
Amount is greater than (0.005)%.
(j)
 
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.
(k)
 
Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, total expenses, total expenses after fees waived and/or reimbursed, total expenses after fees waived and/or reimbursed and excluding interest expense would have been 4.35%, 4.35% and 1.40%, respectively.
(l)
 
Annualized.
(m)
 
Includes reimbursement of professional fees by unaffiliated third parties, which impacted the Fund’s expense ratio. Excluding the payment, the Fund’s total expense ratio would have been 2.36%.
(n)
 
Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:
 
             
     
Period from
11/01/23
to 12/31/23
 
 
 
    
Year Ended
10/31/23
 
 
    
Year Ended
10/31/22
 
 
    
Year Ended
10/31/21
 
 
    
Year Ended
10/31/20
 
(a)
    
Year Ended
10/31/19
 
(a)
 
Portfolio turnover rate (excluding MDRs)
    17      91      77      58      72      32
 
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
See notes to financial statements.
 
 
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    175  

Notes to Financial Statements
 
1.
ORGANIZATION
The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as
closed-end
management investment companies and are referred to herein collectively as the “Funds”, or individually as a “Fund”:
 
       
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
BlackRock Multi-Sector Income Trust
  BIT    Delaware    Diversified
The Boards of Directors and Boards of Trustees of the Funds are collectively referred to throughout this report as the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.
On June 1, 2023, the Board of Trustees of the BlackRock Multi-Sector Income Trust approved a change in the fiscal year end of the Trust, effective as of December 31, 2023, from October 31 to December 31.
The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of funds referred to as the BlackRock Fixed-Income Complex.
 
2.
SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition:
For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the
ex-dividend
dates.
Non-cash
dividends, if any, are recorded on the
ex-dividend
dates at fair value. Dividends from foreign securities where the
ex-dividend
dates may have passed are subsequently recorded when the Funds are informed of the
ex-dividend
dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, and
payment-in-kind
interest are recognized daily on an accrual basis. For convertible securities, premiums attributable to the debt instrument are amortized, but premiums attributable to the conversion feature are not amortized.
Foreign Currency Translation:
Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
ForeignTaxes:
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Fund invests. These foreign taxes, if any, are paid by each Fund and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of December 31, 2023, if any, are disclosed in the Statements of Assets and Liabilities.
The Funds file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Funds may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statements of Operations include tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
 
 
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Notes to Financial Statements
  (continued)
 
Bank Overdraft:
The Funds had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period and as of the report date. The Funds are obligated to repay the custodian for any overdraft, including any related costs or expenses, where applicable. For financial reporting purposes, overdraft fees, if any, are included in interest expense in the Statements of Operations.
Collateralization:
If required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.
Distributions:
Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the
ex-dividend
dates and made at least annually. The portion of distributions, if any, that exceeds a fund’s current and accumulated earnings and profits, as measured on a tax basis, constitute a
non-taxable
return of capital. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Deferred Compensation Plan:
Under the Deferred Compensation Plan (the “Plan”) approved by each Fund’s Board, the directors who are not “interested persons” of the Funds, as defined in the 1940 Act (“Independent Directors”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities, if any, are included in the Directors’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the BlackRock Fixed-Income Complex and reflected as Directors and Officer expense on the Statements of Operations. The Directors and Officer expense may be negative as a result of a decrease in value of the deferred accounts.
Indemnifications:
In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.
Other:
Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
 
3.
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
Investment Valuation Policies:
Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board has approved the designation of each Fund’s Manager as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
Fair Value Inputs and Methodologies:
The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:
 
   
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.
 
   
Exchange-traded funds (“ETFs”) and
closed-end
funds 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. ETFs and
closed-end
funds 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.
 
   
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.
 
 
 
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  177

Notes to Financial Statements
  (continued)
 
   
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 be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option.
Over-the-counter
(“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.
 
   
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.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Funds use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an
arm’s-length
transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.
 
   
    
Standard Inputs Generally Considered By The Valuation Committee And 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.
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involves a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.
Fair Value Hierarchy:
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
 
   
Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that 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 Valuation Committee’s assumptions used in determining the fair value of financial instruments).
 
 
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Notes to Financial Statements
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The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
As of December 31, 2023, certain investments of BLW were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
 
4.
SECURITIES AND OTHER INVESTMENTS
Asset-Backed and Mortgage-Backed Securities:
Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying
 
pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency
mortgage-backed securities are securities issued by
non-governmental
issuers and have no direct or indirect government guarantees of payment and are subject to various risks.
Non-agency
mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
Collateralized Debt Obligations:
Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Multiple Class
 Pass-Through Securities:
Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.
Stripped Mortgage-Backed Securities:
Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.
Zero-Coupon Bonds:
Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
Capital Securities and Trust Preferred Securities:
Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities,
 
 
 
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Notes to Financial Statements
  (continued)
 
generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.
Preferred Stocks:
Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Warrants:
Warrants entitle a fund to purchase a specified number of shares of common stock and are
non-income
producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
Floating Rate Loan Interests:
Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally
non-investment
grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the Secured Overnight Financing Rate (“SOFR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are
marked-to-market
daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded floating rate loan interests:
 
 
 
Fund Name
 
Borrower
  
Par
    
Commitment
Amount
    
Value
    
Unrealized
Appreciation
(Depreciation)
 
 
 
DSU
  Action Environmental Group, Inc.    $  86,990      $ 86,337      $  87,207      $ 870  
             
 
 
 
              $ 870  
             
 
 
 
FRA
  Action Environmental Group, Inc.    $ 96,989      $ 96,261      $ 97,231        970  
             
 
 
 
              $ 970  
             
 
 
 
BLW
  Action Environmental Group, Inc.    $ 46,995      $ 46,642      $ 47,112        470  
             
 
 
 
              $ 470  
             
 
 
 
BIT
  OMNIA Partners LLC    $ 6,374      $ 6,310      $ 6,410        100  
             
 
 
 
              $ 100  
             
 
 
 
 
 
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Notes to Financial Statements
  (continued)
 
Forward Commitments, When-Issued and Delayed Delivery Securities:
The Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Funds may purchase securities under such conditions with the intention of actually acquiring them but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Funds may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Funds’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions. These types of securities may be considered unfunded and may obligate the Funds to make future cash payments. An unfunded commitment is
marked-to-market
and any unrealized appreciation (depreciation) is separately presented in the Statements of Assets and Liabilities and Statements of Operations.
TBA Commitments:
TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.
In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the
mark-to-market
amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively.
Non-cash
collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell,
re-pledge
or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty
non-performance.
Mortgage Dollar Roll Transactions:
The Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Borrowed Bond Agreements:
Repurchase agreements may be referred to as borrowed bond agreements when entered into in connection with short sales of bonds. In a borrowed bond agreement, a fund borrows a bond from a counterparty in exchange for cash collateral. The agreement contains a commitment that the security and the cash will be returned to the counterparty and a fund at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between a fund and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. A fund may also experience delays in gaining access to the collateral.
Reverse Repurchase Agreements:
Reverse repurchase agreements are agreements with qualified third-party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.
Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.
For the period ended December 31, 2023, the average daily amount of reverse repurchase agreements outstanding and the weighted average interest rate for the Funds were as follows:
 
     
Fund Name
 
Average Amount
Outstanding
   
Weighted Average   
Interest Rate   
BKT
  $ 124,488,663     4.99% 
BLW
     248,278,450     5.31   
BIT
    294,554,648     5.42   
 
 
 
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  181

Notes to Financial Statements
  (continued)
 
Borrowed bond agreements and reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With borrowed bond agreements and reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell,
re-pledge,
or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities and cash as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor to the extent that the aggregate market value of the cash collateral and the purchased securities it holds is less than the repurchase price. As such, the receipt of any shortfall or any closeout amount owed to a fund upon termination of the MRA could be delayed or not received at all.
As of period end, the following table is a summary of BKT’s open borrowed bond agreements and reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:
 
               
    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
 

 
)/ 
(c)
 
 
 
Net
Exposure
Due (to)/
from
Counterparty
 
 
 
 
(d)
 
 
  
 
BNP Paribas SA
  $ 745,062     $     $ (742,749   $ 2,313     $     $     $     $     $     $ 2,313    
 
Deutsche Bank Securities, Inc.
          (2,485,576           (2,485,576                 2,485,576             2,485,576          
 
Royal Bank of Canada
          (108,534,500           (108,534,500                 108,534,500             108,534,500          
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
    $ 745,062     $ (111,020,076   $ (742,749   $ (111,017,763   $     $     $ 111,020,076     $     $ 111,020,076     $ 2,313    
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
(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 $1,233 which is included in interest expense payable in the Statements of Assets and Liabilities.
 
 
(c)
 
Net collateral, including accrued interest, if any, with a value of $114,464,474 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged, if any, 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.
 
As of period end, the following table is a summary of BLW’s and BIT’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:
 
         
Fund Name/Counterparty
 
 

Reverse Repurchase

Agreements
 

 
 
 

Fair Value of

Non-Cash Collateral
Pledged Including
Accrued Interest
 

 
 
(a)
 
 
 

Cash Collateral

Pledged/Received
 

(a)
 
 
 
Net Amount
 
BLW
       
Barclays Bank PLC
  $ (7,406,662   $ 7,354,981     $ 51,681     $  
Barclays Capital, Inc.
    (16,931,161     16,931,161              
BNP Paribas SA
    (39,049,228     39,049,228              
BofA Securities, Inc.
    (60,544,457     60,544,457              
Credit Agricole Corporate and Investment Bank
    (4,368,927     4,368,927              
Goldman Sachs & Co. LLC
    (21,756,792     21,756,792              
HSBC Securities (USA), Inc.
    (2,390,145     2,390,145              
J.P. Morgan Securities LLC
    (15,323,834     15,323,834              
Merrill Lynch International
    (3,102,306     3,102,306              
Nomura Securities International, Inc.
    (31,649,288     31,649,288              
RBC Capital Markets, LLC
    (21,445,539     21,445,539              
TD Securities (USA) LLC
    (52,267,061     52,267,061              
 
 
 
   
 
 
   
 
 
   
 
 
 
  $ (276,235,400   $ 276,183,719     $ 51,681     $  
 
 
 
   
 
 
   
 
 
   
 
 
 
 
 
(a)
 
Net collateral, including accrued interest, if any, with a value of $329,185,739 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged, if any, to the individual counterparty is not shown for financial reporting purposes.
 
 
 
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Notes to Financial Statements
  (continued)
 
           
Fund Name/Counterparty
 
 
Reverse Repurchase

Agreements
 
 
 
 
 
 
Fair Value of

Non-Cash Collateral
Pledged Including
Accrued Interest
 
 
 
(a)
 
 
 
Cash Collateral

Pledged/Received
 
(a)
 
 
 
Net Amount
(b)
 
BIT
         
Barclays Bank PLC
  $ (7,157,468     $ 7,157,468     $     $  
Barclays Capital, Inc.
    (6,402,885       6,402,885              
BNP Paribas SA
    (31,878,449       31,878,449              
BofA Securities, Inc.
    (79,862,003       79,862,003              
Credit Agricole Corporate and Investment Bank
    (1,468,585       1,468,585              
Goldman Sachs & Co. LLC
    (36,528,970       36,528,970              
HSBC Securities (USA), Inc.
    (1,493,237       1,493,237              
J.P. Morgan Securities LLC
    (10,608,937       10,608,937              
Nomura Securities International, Inc.
    (27,455,555       27,455,555              
RBC Capital Markets, LLC
    (13,418,762       13,418,762              
Royal Bank of Canada
    (49,949,672       49,949,672              
Societe Generale
    (6,771,296       5,478,790             (1,292,506
TD Securities (USA) LLC
    (11,580,607       11,580,607              
 
 
 
     
 
 
   
 
 
   
 
 
 
  $ (284,576,426     $ 283,283,920     $     $ (1,292,506
 
 
 
     
 
 
   
 
 
   
 
 
 
 
 
(a)
 
Net collateral, including accrued interest, if any, with a value of $332,319,653 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged, if any, to the individual counterparty is not shown for financial reporting purposes.
 
 
(b)
 
Net amount represents the net amount payable due to the counterparty in the event of default.
 
In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.
 
5.
DERIVATIVE FINANCIAL INSTRUMENTS
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts:
Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts
: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.
The contract is
marked-to-market
daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed.
Non-deliverable
forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.
 
 
 
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  183

Notes to Financial Statements
  (continued)
 
Options:
The Funds may purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value –unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.
 
   
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.
In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when they otherwise would not, or at a price different from the current market value.
Swaps:
Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Funds’ counterparty on the swap. Each Fund is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, each Fund agrees to receive from or pay to the broker variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.
 
   
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).
The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
 
   
Total return swaps—Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).
Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Funds receive payment from or make a payment to the counterparty.
 
 
 
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Notes to Financial Statements
  (continued)
 
   
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).
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risks in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements:
In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements:
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the
mark-to-market
amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively.
Non-cash
collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell,
re-pledge
or use cash and
non-cash
collateral it receives. A Fund generally agrees not to use
non-cash
collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparties are not fully collateralized, each Fund bears the risk of loss from counterparty
non-performance.
Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
 
6.
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory:
Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.
For such services, DSU and FRA pay the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of each Fund’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage:
 
 
 
   
DSU
   
FRA  
 
 
 
Investment advisory fees
    0.55     0.75%  
 
 
For purposes of calculating these fees, “net assets” mean the total assets of each Fund minus the sum of its accrued liabilities.
For such services, BKT pays the Manager a monthly fee at an annual rate equal to 0.65% of the average weekly value of the Fund’s net assets. For purposes of calculating this fee, “net assets” means the total assets of the Fund minus the sum of its accrued liabilities (including the aggregate indebtedness constituting financial leverage).
For such services, BLW pays the Manager a monthly fee at an annual rate equal to 0.55% of the average weekly value of the Fund’s managed assets, including the proceeds of any debt securities or outstanding borrowings used for leverage.
For such services, BIT pays the Manager a monthly fee at an annual rate equal to 0.80% of the average daily value of the Fund’s managed assets.
For purposes of calculating this fee, “managed assets” are determined as total assets of the Fund (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).
With respect to each Fund, the Manager entered into separate
sub-advisory
agreements with BlackRock International Limited (“BIL”), an affiliate of the Manager. With respect to BLW and BIT, the Manager also entered into a separate
sub-advisory
agreement with BlackRock (Singapore) Limited (“BSL”), an affiliate of the Manager. The Manager pays
 
 
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Notes to Financial Statements
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BIL and BSL for services they provide for that portion of BLW and BIT for which BIL and BSL, as applicable, acts as
sub-adviser,
a monthly fee that is equal to a percentage of the investment advisory fees paid by BLW and BIT to the Manager.
Distribution Fees:
DSU, BKT, BLW and BIT have each entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of DSU, BKT, BLW and BIT common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”). Pursuant to the Distribution Agreement, BRIL will receive commissions with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of DSU’s, BKT’s BLW’s and BIT’s common shares and a portion of such commission is
re-allowed
to broker-dealers engaged by BRIL. The commissions retained by BRIL during the period ended December 31, 2023 amounted to $0.
Administration:
BKT has an Administration Agreement with the Manager. The administration fee paid monthly to the Manager is computed at an annual rate of 0.15% of the Fund’s average weekly net assets. For BKT, the Manager may reduce or discontinue this arrangement at any time without notice.
Expense Waivers and Reimbursements:
With respect to each Fund, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of a Fund. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. The amounts waived were as follows:
 
 
 
Fund Name
 
Fees Waived and/or Reimbursed
by the Manager
 
 
 
DSU
  $ 895  
FRA
    142  
BKT
    5,322  
BLW
    2,132  
 
 
 
 
 
    Amounts Waived  
 
 
 
 
Fund Name
 
Period from
11/01/23
to 12/31/23
   
Year Ended
10/31/23
 
 
 
BIT
  $ 1,091     $ 7,530  
 
 
The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2025. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Funds’ Independent Directors. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2023, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:
 
 
 
Fund Name
 
Fees Waived and/or Reimbursed
by the Manager
 
 
 
DSU
  $ 8,096  
FRA
    36,514  
 
 
Directors and Officers:
Certain directors and/or officers of the Funds are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in Directors and Officer in the Statements of Operations.
 
7.
PURCHASES AND SALES
For the period ended December 31, 2023, purchases and sales of investments, including paydowns/payups and mortgage dollar rolls and excluding short-term securities, were as follows:
 
 
 
    U.S. Government Securities      Other Securities  
Fund Name
 
Purchases
    
Sales
    
Purchases
    
Sales
 
 
 
DSU
  $      $      $ 192,337,320      $ 200,869,868  
FRA
                  155,356,769        151,183,533  
BKT
                  931,095,715        943,799,698  
BLW
           12,290,018        801,848,269        805,583,206  
BIT
                  234,591,551        246,324,455  
 
 
For the period ended December 31, 2023, purchases and sales related to mortgage dollar rolls were as follows: 
 
 
 
Fund Name
 
Purchases
    
Sales
 
 
 
BKT
  $  485,339,662      $  484,857,786  
BLW
    273,266,164        273,213,212  
BIT
    91,001,031        90,993,647  
 
 
 
 
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Notes to Financial Statements
  (continued)
 
8.
INCOME TAX INFORMATION
It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Funds as of December 31, 2023, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.
The tax character of distributions paid was as follows:
 
 
 
Fund Name
        
Year Ended
12/31/23
    
Year Ended
12/31/22
 
 
 
DSU
       
Ordinary income
     $ 45,919,775      $ 31,579,170  
Return of capital
       2,854,653        838,309  
    
 
 
    
 
 
 
     $ 48,774,428      $ 32,417,479  
    
 
 
    
 
 
 
FRA
       
Ordinary income
     $ 44,066,728      $ 27,297,906  
Return of capital
       2,494,734         
    
 
 
    
 
 
 
     $ 46,561,462      $ 27,297,906  
    
 
 
    
 
 
 
BKT
       
Ordinary income
     $ 8,218,384      $ 10,487,125  
Return of capital
       14,333,355        11,460,544  
    
 
 
    
 
 
 
     $ 22,551,739      $ 21,947,669  
    
 
 
    
 
 
 
BLW
       
Ordinary income
     $ 37,992,549      $ 32,930,219  
Return of capital
       5,096,654        5,605,804  
    
 
 
    
 
 
 
     $  43,089,203      $  38,536,023  
    
 
 
    
 
 
 
       
 
 
Fund Name
 
Period from
11/01/23
to 12/31/23
    
Year Ended
10/31/23
    
Year Ended
10/31/22
 
 
 
BIT
       
Ordinary income
  $ 6,321,510      $ 33,743,136      $ 40,442,459  
Return of capital
    3,029,601        22,251,175        15,441,926  
 
 
 
    
 
 
    
 
 
 
  $ 9,351,111      $ 55,994,311      $ 55,884,385  
 
 
 
    
 
 
    
 
 
 
As of December 31, 2023, the tax components of accumulated earnings (loss) were as follows:
 
 
 
Fund Name
 
Non-Expiring
Capital Loss
Carryforwards
(a)
   
Net Unrealized
Gains (Losses)
(b)
   
Qualified
Late-Year
Ordinary Losses
(c)
   
Total
 
 
 
DSU
  $ (109,774,003   $ (32,034,677    $ (239,307   $  (142,047,987
FRA
    (54,285,641     (14,624,432     (95,028     (69,005,101
BKT
    (117,001,909     (40,255,363           (157,257,272
BLW
    (88,266,996     (20,780,198     (205,725     (109,252,919
BIT
    (55,296,907     (19,121,332           (74,418,239
 
 
 
 
(a)
 
Amounts available to offset future realized capital gains.
 
 
(b)
 
The difference between book-basis and
tax-basis
net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales and straddles, the accrual of income on securities in default, the classification of investments, the realization for tax purposes of unrealized gains (losses) on certain futures and foreign currency contracts, the timing and recognition of partnership income, amortization methods for premiums on fixed income securities, the deferral of compensation to trustees and the accounting for swap agreements.
 
 
(c)
 
The Fund has elected to defer these qualified late-year losses and recognize such losses in the next taxable year.
 
 
 
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Notes to Financial Statements
  (continued)
 
As of December 31, 2023, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
 
 
 
Fund Name
 
Tax Cost
    
Gross Unrealized
Appreciation
    
Gross Unrealized
Depreciation
   
Net Unrealized
Appreciation
(Depreciation)
 
 
 
DSU
  $  688,783,935      $ 6,760,530      $ (38,381,990   $ (31,621,460
FRA
    627,913,397        5,345,951        (19,969,149     (14,623,198
BKT
    464,002,509        9,936,447        (50,016,322     (40,079,875
BLW
    815,851,220        14,841,493        (35,056,204     (20,214,711
BIT
    890,134,068        44,961,933        (63,947,696     (18,985,763
 
9.
BANK BORROWINGS
DSU and FRA are party to a senior committed secured,
360-day
rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon
360-days
written notice to DSU and FRA. As of period end, DSU and FRA have not received any notice to terminate. DSU and FRA have granted a security interest in substantially all of their assets to SSB.
The SSB Agreement allows for the following maximum commitment amounts:
 
 
 
Fund Name
 
Commitment Amounts
 
 
 
DSU
  $ 276,000,000  
FRA
    255,000,000  
 
 
Prior to March 9, 2023, maximum commitment amounts were $340,000,000 for DSU and $274,000,000 for FRA.
Advances will be made by SSB to DSU and FRA, at DSU’s and FRA’s option of (a) Daily Simple SOFR plus 0.80% or (b) One Month Term SOFR plus 0.80%. SOFR and One Month Term SOFR are subject to a 0% floor.
In addition, DSU and FRA paid a commitment fee (based on the daily unused portion of the commitments). Advances to DSU and FRA as of period end, if any, are shown in the Statements of Assets and Liabilities as bank borrowings. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.
DSU and FRA may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding borrowings is less than 300%.
For the year ended December 31, 2023, the maximum amount borrowed, the average daily borrowing and the weighted average interest rate, if any, under the credit agreement were as follows:
 
       
Fund Name
 
Maximum
Amount Borrowed
   
Average Amount
Outstanding
 
Daily Weighted Average   
Interest Rate   
DSU
  $ 164,000,000     $  137,194,521   5.91% 
FRA
    149,000,000     139,402,740   5.90   
 
10.
PRINCIPAL RISKS
In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments.
Illiquidity Risk:
Each Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Fund may not be able to readily dispose of such investments at prices that approximate those at which a Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, a Fund may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Fund’s NAV and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Market Risk:
Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
 
 
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Notes to Financial Statements
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Valuation Risk:
The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.
The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.
Counterparty Credit Risk:
The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a
mark-to-market
loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.
With exchange-traded options purchased, exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
Geographic/Asset Class
 Risk:
A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.
The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that ended in March 2022. The Federal Reserve has recently been raising the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Funds’ performance.
The Funds invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such
non-payment
would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Funds invest.
 
 
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Notes to Financial Statements
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Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedules of Investments.
LIBOR Transition Risk
: The Funds may be exposed to financial instruments that recently transitioned from, or continue to be tied to, the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased publishing all LIBOR settings, but some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. SOFR has been used increasingly on a voluntary basis in new instruments and transactions. Under U.S. regulations that implement a statutory fallback mechanism to replace LIBOR, benchmark rates based on SOFR have replaced LIBOR in certain financial contracts. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
 
11.
CAPITAL SHARE TRANSACTIONS
DSU is authorized to issue 400 million shares, all of which were initially classified as Common Shares. FRA and BKT are authorized to issue 200 million shares, all of which were initially classified as Common Shares. BLW and BIT is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. The par value for DSU’s, FRA’s, BKT’s, BLW’s and BIT’s shares is $0.10, $0.10, $0.010, $0.001 and $0.001, respectively. The Board for DSU, FRA, BLW and BIT are each authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.
Common Shares
For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:
 
   
    Year Ended  
Fund Name
 
12/31/23
   
12/31/22
 
DSU
          3,721  
BKT
    3,394       3,887
(a)
 
 
 
(a)
Share transactions reflect
1-for-3
reverse stock split effective after the close of trading on October 17, 2022.
 
 
 
 
    Period from
11/01/23
     Year Ended  
Fund Name
 
to 12/31/23
    
10/31/23
    
10/31/22
 
 
 
BIT
    31,420        103,666        74,296  
 
 
For the year ended December 31, 2023, shares issued and outstanding remained constant for DSU.
For the year ended December 31, 2023 and the year ended December 31, 2022, shares issued and outstanding remained constant for FRA and BLW.
The Funds participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2022 through November 30, 2023, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2022, subject to certain conditions. From December 1, 2023 through November 30, 2024, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2023, subject to certain conditions. The Repurchase Program has an accretive effect as shares are purchased at a discount to the Fund’s NAV. There is no assurance that the Funds will purchase shares in any particular amounts. For the period ended December 31, 2023, the Funds did not repurchase any shares.
DSU, BKT, BLW and BIT have each filed a prospectus with the SEC allowing them to issue an additional 16,000,000, 8,333,333, 10,000,000 and 15,000,000 Common Shares, respectively, through an equity Shelf Offering. Under the Shelf Offering, DSU, BKT, BLW and BIT, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above each Fund’s NAV per Common Share (calculated within 48 hours of pricing). As of period end, 16,000,000, 8,333,333, 10,000,000 and 15,000,000 Common Shares, respectively, remain available for issuance under the Shelf Offering. For the period ended December 31, 2023, Common Shares issued and outstanding under the Shelf Offering remained constant for DSU, BKT, BLW and BIT. See Additional Information - Shelf Offering Program for additional information.
Initial costs incurred by DSU, BKT, BLW and BIT in connection with their Shelf Offering are recorded as “Deferred offering costs” in the Statements of Assets and Liabilities. As shares are sold, a portion of the costs attributable to the shares sold will be charged against
paid-in-capital.
Any remaining deferred charges at the end of the Shelf Offering period will be charged to expense.
 
12.
SUBSEQUENT EVENTS
Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following item was noted:
 
 
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Notes to Financial Statements
  (continued)
 
The Funds declared and paid or will pay distributions to Common Shareholders as follows:
 
           
Fund Name
 
Declaration
Date
    
Record
Date
    
Payable/
Paid Date
         
Dividend Per
Common Share
 
DSU
    01/02/24        01/12/24        01/31/24        $ 0.098730  
    02/01/24        02/15/24        02/29/24          0.098730  
FRA
    01/02/24        01/12/24        01/31/24          0.123840  
    02/01/24        02/15/24        02/29/24          0.123840  
BKT
    01/02/24        01/12/24        01/31/24          0.088200  
    02/01/24        02/15/24        02/29/24          0.088200  
BLW
    01/02/24        01/12/24        01/31/24          0.107900  
    02/01/24        02/15/24        02/29/24          0.107900  
BIT
    01/02/24        01/12/24        01/31/24          0.123700  
 
    02/01/24        02/15/24        02/29/24    
 
     0.123700  
 
 
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  191

Report of Independent Registered Public Accounting Firm
 
To the Shareholders and the Board of Trustees/Directors of BlackRock Debt Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc., BlackRock Income Trust, Inc., BlackRock Limited Duration Income Trust, and BlackRock Multi-Sector Income Trust:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of BlackRock Debt Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc., BlackRock Income Trust, Inc., BlackRock Limited Duration Income Trust, and BlackRock Multi-Sector Income Trust (the “Funds”), including the schedules of investments, as of December 31, 2023, the related statements of operations and cash flows, the statements of changes in net assets and the financial highlights for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2023, and the results of their operations and their cash flows, the changes in their net assets, and the financial highlights for the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.
 
Fund
 
Statements of Operations and Statements
of Cash Flows
      
Statements of Changes in Net Assets
 
Financial Highlights
BlackRock Debt Strategies Fund, Inc.
  For the year ended December 31, 2023     For each of the two years in the period ended December 31, 2023   For each of the four years in the period ended December 31, 2023, for the period from March 1, 2019 through December 31, 2019, and for the year ended February 28, 2019.
BlackRock Floating Rate Income Strategies Fund, Inc.
 
 
For the year ended December 31, 2023
 
 
 
 
For each of the two years in the period ended December 31, 2023
 
 
For each of the four years in the period ended December 31, 2023, for the period from September 1, 2019 through December 31, 2019, and for the year ended August 31, 2019.
BlackRock Income Trust, Inc.
  For the year ended December 31, 2023  
 
  For each of the two years in the period ended December 31, 2023   For each of the five years in the period ended December 31, 2023.
BlackRock Limited Duration Income Trust
  For the year ended December 31, 2023  
 
  For each of the two years in the period ended December 31, 2023   For each of the four years in the period ended December 31, 2023, for the period from September 1, 2019 through December 31, 2019, and for the year ended August 31, 2019.
BlackRock Multi-Sector Income Trust
  For the period from November 1, 2023 through December 31, 2023 and for the year ended October 31, 2023  
 
  For the period from November 1, 2023 through December 31, 2023 and for each of the two years in the period ended October 31, 2023   For the period from November 1, 2023 through December 31, 2023 and for each of the five years in the period ended October 31, 2023. The presented financial highlights were consolidated through October 31, 2020.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2023, by correspondence with custodians or counterparties; when replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Deloitte & Touche LLP
Boston, Massachusetts
February 26, 2024
We have served as the auditor of one or more BlackRock investment companies since 1992.
 
 
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Important Tax Information 
(unaudited)
 
The following amounts, or maximum amounts allowable by law, are hereby designated as qualified dividend income for individuals for the fiscal year ended December 31, 2023:
 
   
Fund Name
 
Qualified Dividend
Income
 
DSU
  $ 67,771  
BLW
    1,925,070  
BIT
    367,715  
The Funds hereby designate the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest for the fiscal year ended December 31, 2023:
 
   
Fund Name
 
Federal Obligation
Interest
 
DSU
  $ 8,407  
FRA
    1,401  
BKT
    27,062  
BLW
    39,465  
BIT
    7,680  
The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.
The following percentages, or maximum percentages allowable by law, of ordinary income distributions paid during the fiscal year ended December 31, 2023 qualified for the dividends-received deduction for corporate shareholders:
 
   
Fund Name
 
Dividends-Received
Deduction
 
DSU
    0.09
BLW
    2.94  
BIT
    4.90  
The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended December 31, 2023:
 
   
Fund Name
 
Interest
Dividends
 
DSU
  $     45,922,515  
FRA
    43,614,658  
BKT
    8,168,604  
BLW
    36,547,168  
BIT
    5,133,975  
The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended December 31, 2023:
 
   
Fund Name
 
Interest-
Related
Dividends
 
DSU
  $  34,675,260  
FRA
    33,356,933  
BKT
    8,184,185  
BLW
    27,670,731  
BIT
    4,356,938  
 
 
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  193

Investment Objectives, Policies and Risks
 
Recent Changes
The following information is a summary of certain changes since December 31, 2022, with respect to each Fund other than BlackRock Multi-Sector Income Trust (BIT), and since October 31, 2023, with respect to BIT (BIT changed its fiscal year end from October 31 to December 31 effective December 31, 2023). This information may not reflect all of the changes that have occurred since you purchased the relevant Fund.
During each Fund’s most recent fiscal year, there were no material changes in the Fund’s investment objectives or policies that have not been approved by shareholders or in the principal risk factors associated with investment in the Fund.
Investment Objectives and Policies
BlackRock Debt Strategies Fund, Inc. (DSU)
The Fund’s primary investment objective is to seek to provide current income by investing primarily in a diversified portfolio of U.S. companies’ debt instruments, including Corporate Loans (as defined below), which are rated in the lower rating categories of the established rating services (Baa or lower by Moody’s Investor’s Service (“Moody’s”) or BBB or lower by S&P Global Ratings (“S&P”)) or unrated debt instruments which are in the judgment of BlackRock Advisors, LLC (the “Manager”) of equivalent quality. Such investments generally involve greater volatility of price and risks to principal and income than securities in the higher rating categories. As a secondary objective, the Fund will seek to provide capital appreciation. The Fund’s investment objectives are fundamental policies and may not be changed without the approval of a majority of the outstanding voting securities of the Fund (as defined in the Investment Company Act of 1940, as amended (the “Investment Company Act”)).
Under normal market conditions, at least 80% of the Fund’s total assets will be invested in debt instruments. The Fund may invest directly in debt instruments or synthetically through the use of derivatives. The Fund has no restrictions on portfolio maturity or duration of the debt securities in which it may invest.
The Fund’s investment policies permit investment in the following asset classes which are described in greater detail below: (i) senior and subordinated corporate loans, both secured and unsecured (“Corporate Loans”), issued either directly by the borrower or in the form of participation interests in Corporate Loans made by banks and other financial institutions; (ii) publicly offered and privately placed high-yield debt securities, senior and subordinated, both secured and unsecured; and (iii) convertible debt instruments and preferred stock, each of which may be converted into common stock or other securities of the same or a different issuer, and nonconvertible preferred stock. The debt securities and Corporate Loans in which the Fund invests may pay interest at fixed rates or at rates that float at a margin above a generally recognized base lending rate such as the prime rate of a designated U.S. bank, or that adjust periodically at a margin above the CD rate or LIBOR.
In connection with its investments in corporate debt securities, or restructuring of investments owned by the Fund, the Fund may receive warrants or other
non-income
producing debt or equity securities. The Fund may retain such securities until the Manager determines it is appropriate in light of current market conditions to effect a disposition of such securities.
The Fund will not invest in Corporate Loans that would require the Fund to make any additional investments in connection with its obligation to make future advances to a borrower in connection with revolving credit facilities if such commitments would exceed 20% of the Fund’s total assets or would cause the Fund to fail to meet the diversification requirements described herein.
The Fund may invest in high-yield corporate debt securities, including Corporate Loans, which are rated in the lower rating categories of the established rating services (Baa or lower by Moody’s and BBB or lower by S&P Global Ratings), or in unrated securities considered by the Manager to be of comparable quality. Securities rated below Baa or lower by Moody’s or BBB or lower by S&P and unrated securities of comparable quality, are commonly known as “junk bonds.” Securities which subsequently are downgraded may continue to be held by the Fund and will be sold only if, in the judgment of the Manager, it is advantageous to do so.
Up to 20% of the Fund’s total assets may be invested in Distressed Securities (defined below), which includes publicly offered or privately placed debt securities and Corporate Loans which, at the time of investment, are the subject of bankruptcy proceedings or otherwise in default as to the repayment of principal and/or payment of interest or are rated in the lowest rating categories (Ca or lower by Moody’s and CC or lower by S&P) or which, if unrated, are in the judgment of the Manager of equivalent quality (“Distressed Securities”). Although the Fund will invest primarily in lower-rated securities, other than with respect to Distressed Securities (which are discussed below) it will not invest in securities in the lowest rating categories (Ca or below by Moody’s and CC or below by S&P) unless the Manager believes that the financial condition of the issuer or the protection afforded to the particular securities is stronger than would otherwise be indicated by such low ratings. Securities which subsequently are downgraded may continue to be held by the Fund and will be sold only if, in the judgment of the Manager, it is advantageous to do so.
Up to 20% of the Fund’s total assets may be invested in financial instruments of issuers domiciled outside the United States or that are denominated in various foreign currencies and multinational foreign currency units, provided that the foreign issuers of any
non-U.S.
dollar denominated instruments purchased by the Fund are domiciled in a country that is a member of the Organisation for Economic
Co-operation
and Development (OECD).
Up to 20% of the Fund’s total assets can be invested in convertible debt instruments and preferred stock, each of which may be converted into common stock or other securities of the same or a different issuer, and
non-convertible
preferred stock. The types of preferred securities in which the Fund may invest include trust preferred securities.
As a result of conversions of convertible securities or upon an exchange offer or bankruptcy plan of reorganization, a significant portion of the Fund’s total assets may be invested in common stock at certain points in time.
The Fund may engage in various portfolio strategies to seek to increase its return and to hedge its portfolio against movements in interest rates or foreign currencies through the use of interest rate or foreign currency swap transactions, the purchase of call and put options on securities, the sale of covered call and put options on its portfolio securities and transactions in financial futures and related options on such futures. There can be no assurance that the Fund will employ these strategies or that, if employed, they will be effective.
 
 
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Investment Objectives, Policies and Risks
 (continued)
Investment Objectives and Policies
(continued)
 
The Fund may make short sales of securities, provided that the market value of all securities sold short does not exceed 10% of its total assets. The Fund may make short sales both as a form of hedging to offset potential declines in long positions in similar securities and in order to seek to enhance return. The Fund’s obligation to replace the borrowed security will be secured by collateral deposited with the broker dealer, usually cash, U.S. government securities or other liquid securities similar to those borrowed. The Fund also will be required to segregate similar collateral with its custodian or designate such collateral on its books and records to the extent, if any, necessary so that the value of both collateral amounts in the aggregate is at all times equal to at least 100% of the current market value of the security sold short. The Fund also may make short sales “against the box.” Short sales “against the box” are not subject to the foregoing 10% limitation.
Subject to other investment restrictions applicable to the Fund, up to 10% of the Fund’s assets may be invested in debt instruments, including Corporate Loans, of investment companies (which may or may not be registered under the Investment Company Act) whose portfolio securities consist entirely of (i) corporate debt or equity securities acceptable to the Manager or (ii) money market instruments.
The Fund has no limitation on the amount of its investments that are not readily marketable or are subject to restrictions on resale.
Leverage:
The Fund currently utilizes leverage for investment purposes in the form of a bank credit facility. The Fund generally will not utilize leverage if it anticipates that the Fund’s leveraged capital structure would result in a lower return to common stockholders than that obtainable if the common stock were unleveraged for any significant amount of time. At times, the Fund could utilize leverage through borrowings, including the issuance of short term debt securities, the issuance of shares of preferred stock or a combination thereof. The Fund also has the ability to utilize leverage through the issuance of shares of preferred stock. The Fund may also utilize leverage through the use of reverse repurchase agreements.
The Fund may enter into derivative securities transactions that have leverage embedded in them.
The Fund may also borrow money as a temporary measure for extraordinary or emergency purposes, including the payment of dividends and the settlement of securities transactions which may otherwise require untimely dispositions of Fund securities. The Fund at times may borrow from affiliates of the Manager, provided that the terms of such borrowings are no less favorable than those available from comparable sources of funds in the marketplace.
There can be no assurance that the Fund will borrow in order to leverage its assets or, if it does, what percentage of the Fund’s assets such borrowings will represent. The Fund does not currently anticipate issuing any preferred stock.
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
The Fund’s investment objective is to provide stockholders with high current income and such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and instruments (“floating rate debt securities”). The Fund’s investment objective is a fundamental policy and may not be changed without stockholder approval.
The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its Managed Assets in floating rate debt securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which reset on predetermined dates (such as the last day of a month or calendar quarter). “Managed Assets” means the total assets of the Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of the Fund’s accrued liabilities (other than money borrowed for investment purposes). The Fund invests a substantial portion of its investments in floating rate debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade at the time of investment or, if unrated, are considered by BlackRock Advisors, LLC (the “Manager”) or BlackRock International Limited (“BIL” and together with the Manager, the “Advisors”), the Fund’s
sub-advisor,
to be of comparable quality. Secured loans may be either wholly or partially secured at the time of investment. In addition to senior loans, floating rate debt securities may include, without limitation, instruments such as catastrophe and other event linked bonds, bank capital securities, corporate bonds, notes, money market instruments and certain types of mortgage related and other asset backed securities. Due to their floating or variable rate features, these instruments will generally pay higher levels of income in a rising interest rate environment and lower levels of income as interest rates decline. For the same reason, the market value of a floating rate debt security is generally expected to have less sensitivity to fluctuations in market interest rates than a fixed rate debt instrument, although the value of a floating rate debt security may nonetheless decline as interest rates rise and due to other factors, such as real or perceived changes in credit quality or financial condition of the issuer or borrower, volatility in the capital markets or other adverse market conditions.
The Fund may invest directly in floating rate debt securities or synthetically through the use of derivatives.
The Fund’s policy to invest, under normal market conditions, at least 80% of its Managed Assets in floating rate debt securities, as described above, is a
non-fundamental
policy and may be changed by the Board of Directors of the Fund provided that stockholders are provided with at least 60 days’ prior notice of any change, unless such change was previously approved by shareholders, as required by the rules under the Investment Company Act of 1940, as amended (the “Investment Company Act”).
The Fund may invest up to 20% of its total assets in securities other than floating rate debt securities, including, but not limited to, fixed rate debt securities such as convertible securities, bonds, notes, fixed rate loans and mortgage related and other asset backed securities issued on a public or private basis, collateralized debt obligations (which include collateralized bond obligations (“CBOs”), collateralized loan obligations (“CLOs”) and other similarly structured securities), preferred securities, commercial paper, U.S. government securities, structured notes, credit linked notes, credit linked trust certificates and other hybrid instruments.
To a limited extent, incidental to and in connection with its investment activities or pursuant to a convertible feature in a security, the Fund may acquire warrants and other debt and equity securities. The Fund may also acquire other debt and equity securities of a borrower or issuer in connection with an amendment, waiver, conversion or exchange of a senior loan or other debt security or in connection with a bankruptcy or workout of the borrower or issuer.
The Fund may invest without limit, and generally intends to invest a substantial portion of its assets, in high yield securities, including senior loans and other floating or fixed rate debt securities, that are rated below investment grade by the established rating services (Ba or lower by Moody’s Investor’s Service (“Moody’s”) or BB or lower by S&P Global
 
 
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    195  

Investment Objectives, Policies and Risks
 (continued)
Investment Objectives and Policies
(continued)
 
Ratings (“S&P”)) or, if unrated, are considered by the Advisors to be of comparable quality. High yield bonds commonly are referred to as “junk” bonds. The high yield securities in which the Fund invests may include credit linked notes, structured notes, credit linked trust certificates or other instruments evidencing interests in special purpose vehicles or trusts that hold interests in high yield securities. Other than with respect to Distressed Securities (which are discussed below), the high yield securities in which the Fund may invest do not include securities which, at the time of investment, are in default or the issuers of which are in bankruptcy. The Fund may also invest in investment grade securities, which are securities rated at least BBB– as determined by S&P, Baa3 as determined by Moody’s or, if unrated, determined to be of comparable quality by the Advisors.
The Fund may not invest more than 10% of its total assets (at the time of investment) in securities that are rated Caa1 or lower (if rated by Moody’s) or CCC+ or lower (if rated by S&P) by each agency rating such security or, if unrated, are considered by the Advisors to be of comparable quality or are otherwise considered to be distressed securities (“Distressed Securities”).
The Fund may invest without limitation in debt securities of issuers domiciled outside the United States. The Fund, however, will not invest more than 10% of its total assets in debt securities of issuers located in emerging market countries. Emerging market countries generally include every nation in the world (including countries that may be considered “frontier” markets) except the United States, Canada, Japan, Australia, New Zealand and most countries located in Western Europe. The Fund will invest primarily in U.S. dollar denominated debt securities. The Fund will not invest more than 10% of its total assets in debt securities denominated in currencies other than the U.S. dollar or that do not provide for payment to the Fund in U.S. dollars, including obligations of
non-U.S.
governments and their respective subdivisions, agencies and government sponsored enterprises.
The Fund may invest in bonds of varying maturities issued by U.S. and
non-U.S.
corporations and other business or governmental entities. Bonds can be variable or fixed rate debt obligations, including bills, notes, debentures, money market instruments and similar instruments and securities. The Fund may also invest in catastrophe or other “event linked” bonds. The Fund may invest in securities of any maturity.
The Fund may invest in preferred securities, including preferred securities that may be converted into common stock or other securities of the same or a different issuer. The types of preferred securities in which the Fund may invest include trust preferred securities.
The Fund may invest in convertible securities. A convertible security is a bond, debenture, note, preferred security or other security that may be converted into or exchanged for a prescribed amount of common stock or other equity security of the same or a different issuer within a particular period of time at a specified price or formula.
The Fund may invest without limit in illiquid securities, which are floating rate debt securities, senior loans, high yield securities and other securities that lack a secondary trading market or are otherwise considered illiquid.
Leverage:
The Fund currently utilizes leverage for investment purposes in the form of a bank credit facility. At times, the Fund could utilize leverage through borrowings, the issuance of short term debt securities, the issuance of shares of preferred stock or a combination thereof. The Fund also has the ability to utilize leverage through the issuance of shares of preferred stock. The Fund may also leverage through the use of reverse repurchase agreements. There can be no assurance that the Fund will borrow in order to leverage its assets or, if it does, what percentage of the Fund’s assets such borrowings will represent. The Fund does not currently anticipate issuing any preferred stock.
The Fund may enter into derivative securities transactions that have leverage embedded in them.
BlackRock Income Trust, Inc. (BKT)
The Fund’s investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Fund will seek to distribute monthly income that is greater than that obtainable on an annualized basis by investment in United States government securities having the same maturity as the weighted average maturity of the Fund’s investments. The Fund’s portfolio is expected to consist primarily of mortgage-backed securities and, to a lesser extent, asset-backed securities.
Mortgage-backed securities are securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans secured by real property. There are three basic types of mortgage-backed securities: (i) those issued or guaranteed by the United States government or one of its agencies or instrumentalities, such as the Government National Mortgage Association (“GNMA”), the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”); (ii) those issued by private issuers that are collateralized by securities issued or guaranteed by the United States government or one of its agencies or instrumentalities; and (iii) those issued by private issuers and collateralized by securities without a government guarantee but usually with some form of private credit enhancement.
The Fund will invest at least 65% of its assets in mortgage-backed securities. The balance of the Fund’s assets generally will be invested in asset-backed securities, which have structural characteristics similar to mortgage-backed securities but have underlying assets that are not mortgage loans or interests in mortgage loans. The Fund may also invest in various derivative mortgage-backed and asset-backed securities, such as collateralized mortgage obligations and asset-backed security residual interests and stripped mortgage-backed securities. The Fund may invest directly in securities or synthetically through the use of derivatives. In addition, for hedging purposes, the Fund may utilize a portion of its assets for certain options, futures, interest rate swaps and related transactions. For purposes of enhancing liquidity and/or preserving capital, the Fund may invest without limit in securities issued by the United States government and its agencies and instrumentalities, or repurchase agreements collateralized by such securities, certificates of deposit, time deposits or bankers’ acceptances of similar quality.
At least 80% of the Fund’s assets will be invested in securities that are (i) issued or guaranteed by the United States government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P Global Ratings (“S&P”) or Aaa by Moody’s Investors Service (“Moody’s”). Securities issued or guaranteed by the United States government or its agencies or instrumentalities are generally considered to be of the same or higher quality than privately issued securities rated AAA or Aaa.
 
 
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Investment Objectives, Policies and Risks
 (continued)
Investment Objectives and Policies
(continued)
 
No more than 20% of the Fund’s assets will be invested in other securities, all of which will have been determined by BlackRock Advisors, LLC (the “Manager”) or BlackRock International Limited (“BIL” and together with the Manager, the “Advisors”), the Fund’s
sub-advisor,
to be of comparable credit quality.
The yield characteristics of mortgage-backed and asset-backed securities differ from traditional debt securities. Among the major differences are that interest and principal payments are made more frequently, usually monthly, and that principal may be prepaid at any time because the underlying mortgage loans or other assets generally may be prepaid at any time. As a result, if the Fund purchases such a security at a premium, a prepayment rate that is faster than expected will reduce yield to maturity, while a prepayment rate that is slower than expected will have the opposite effect of increasing yield to maturity. Conversely, if the Fund purchases these securities at a discount, faster than expected prepayments will increase, while slower than expected prepayments will reduce, yield to maturity. The Fund may also invest in derivative securities such as stripped mortgage-backed securities or residual interests, which generally are more sensitive to changes in prepayment and interest rates. The Advisors will seek to manage these risks (and potential benefits) by investing in a variety of such securities and through hedging techniques.
Prepayments on a pool of mortgage loans are influenced by a variety of economic, geographic, social and other factors, including changes in mortgagors’ housing needs, job transfers, unemployment, mortgagors’ net equity in the mortgaged properties and servicing decisions. Generally, however, prepayments on fixed rate mortgage loans will increase during a period of falling interest rates and decrease during a period of rising interest rates. The same factors apply to prepayments on asset-backed securities but the predominant factor in a particular case may be different than in the case of mortgage-backed securities. Accordingly, amounts available for reinvestment by the Fund are likely to be greater during a period of declining interest rates than during a period of rising interest rates.
The Fund’s yield will also be affected by the interest rates on instruments in which the Fund is able to reinvest the proceeds of payments and prepayments. Accelerated prepayments on securities purchased by the Fund at a premium also impose a risk of loss of principal because the premium may not have been fully amortized at the time the principal is repaid in full.
Leverage:
The Fund may borrow from time to time, at the Advisors’ discretion, for purposes of investment leverage when yields on available investments exceed interest rates and other expenses of related borrowing, or when, in the Advisors’ opinion, unusual market conditions otherwise make it advantageous for the Fund to increase its investment capacity.
The Fund may enter into derivative securities transactions that have leverage embedded in them.
The Fund may also borrow for emergency purposes, for the payment of dividends or for the clearance of transactions.
The Fund may enter into reverse repurchase agreements.
BlackRock Limited Duration Income Trust (BLW)
The Fund’s investment objective is to provide current income and capital appreciation. The Fund pursues its objective by investing primarily in three distinct asset classes:
 
   
intermediate duration, investment grade corporate bonds, mortgage related securities and 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 and, to a limited extent,
non-U.S.
dollar denominated securities of
non-U.S.
issuers rated below investment grade.
The Fund may invest directly in securities or synthetically through the use of derivatives.
BlackRock Advisors, LLC (the “Manager”) and the Fund’s
sub-advisers,
BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BSL” and collectively with BIL and the Manager, the “Advisors”), have broad discretion to allocate the Fund’s assets among these three principal asset classes.
The Fund’s investment objective may be changed by the Board of Trustees of the Fund without prior shareholder approval.
The Fund’s portfolio normally has an average portfolio duration of less than five years (including the effect of anticipated leverage), although it may be longer from time to time depending on market conditions. In comparison to maturity (which is the date on which the issuer of a debt instrument is obligated to repay the principal amount), duration is a measure of the price volatility of a debt instrument as a result in changes in market rates of interest, based on the weighted average timing of the instrument’s expected principal and interest payments. Specifically, duration measures the anticipated percentage change in net asset value that is expected for every percentage point change in interest rates. The two have an inverse relationship. Duration differs from maturity in that it takes into account a security’s yield, coupon payments and its principal payments in addition to the amount of time until the security finally matures. As the value of a security changes over time, so will its duration. Prices of securities with longer durations tend to be more sensitive to interest rate changes than securities with shorter durations. In general, a portfolio of securities with a longer duration can be expected to be more sensitive to interest rate changes than a portfolio with a shorter duration.
The Fund is intended to have a relatively low level of interest rate risk compared to investment portfolios of similar credit quality but with longer durations. Certain of the Fund’s other strategies, however, may result in an above average amount of risk and volatility or loss of principal.
The Fund may invest in corporate bonds.
The Fund anticipates that, under normal market conditions, a significant portion of its Managed Assets will be invested in securities rated below investment grade, such as those rated (Ba or lower by Moody’s Investor’s Service (“Moody’s”) or BB or lower by S&P Global Ratings (“S&P”)) or securities comparably rated by other rating agencies or in unrated securities determined by the Advisors to be of comparable quality. High yield securities commonly are referred to as “junk” bonds. The Fund may invest in individual
 
 
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Investment Objectives, Policies and Risks
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Investment Objectives and Policies
(continued)
 
securities of any credit quality. “Managed Assets” means the total assets of the Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of the Fund’s accrued liabilities (other than money borrowed for investment purposes).
The Fund may also invest in investment grade securities, which are securities rated at least BBB– as determined by S&P, Baa3 as determined by Moody’s or, if unrated, determined to be of comparable quality by the Advisors. When the Advisors believe it to be in the best interests of the Fund’s shareholders, the Fund will reduce its investment in lower grade securities and, in certain market conditions, the Fund may invest none of its assets in lower grade securities.
The Fund may invest without limitation in U.S. dollar denominated securities of
non-U.S.
issuers and, to a limited extent,
non-U.S.
dollar-denominated securities of
non-U.S.
issuers
(“Non-U.S.
Securities”), including up to 20% of its Managed Assets in issuers located in emerging market countries. The Fund can hold no more than 10% of its Managed Assets in
non-U.S.
dollar-denominated
Non-U.S.
Securities.
Non-U.S.
Securities may include debt securities issued by foreign governments and other sovereign entities and debt securities issued by foreign corporations or supranational entities and securities denominated in U.S. dollars or, to a limited extent (as described above), in foreign currencies or multinational currency units. The Fund may invest in Brady Bonds and other sovereign debt of countries that have restructured their debt pursuant to the Brady Plan, which are viewed as speculative investments. The Fund may also purchase debt securities of supranational organizations such as the European Coal and Steel Community, the European Economic Community and the World Bank, which are chartered to promote economic development.
The Fund may invest in debt securities issued or guaranteed by the U.S. government, its agencies or instrumentalities including but not limited to: (1) U.S. Treasury obligations, which differ in their interest rates, maturities and times of issuance, such as U.S. Treasury bills (maturity of one year or less), U.S. Treasury notes (maturity of one to ten years), and U.S. Treasury bonds (generally maturities of greater than ten years), including the principal components or the interest components issued by the U.S. government under the separate trading of registered interest and principal securities program (i.e., “STRIPS”), all of which are backed by the full faith and credit of the United States; and (2) obligations issued or guaranteed by U.S. government agencies or instrumentalities, including government guaranteed mortgage-related securities, some of which are backed by the full faith and credit of the U.S. Treasury, some of which are supported by the right of the issuer to borrow from the U.S. government and some of which are backed only by the credit of the issuer itself.
The Fund may invest in mortgage-related securities, which include collateralized mortgage obligations, stripped mortgage-backed securities, mortgage pass-through securities, interests in real estate mortgage investment conduits, real estate investment trusts (“REITs”), including debt and preferred stock issued by REITs, as well as other real estate-related securities. The mortgage-related securities in which the Fund may invest include those with fixed, floating or variable interest rates, those with interest rates that change based on multiples of changes in a specified index of interest rates and those with interest rates that change inversely to changes in interest rates, as well as those that do not bear interest. The Fund may invest in residential and commercial mortgage-related securities issued by governmental entities and private issuers, including subordinated mortgage-related securities. The Fund will not invest more than 15% of its Managed Assets in commercial mortgage-related securities.
Asset-backed securities are a form of structured debt obligations. The securitization techniques used for asset-backed securities are similar to those used for mortgage-related securities. The collateral for these securities may include home equity loans, automobile and credit card receivables, boat loans, computer leases, airplane leases, mobile home loans, recreational vehicle loans and hospital account receivables. The Fund may invest in these and other types of asset-backed securities that may be developed in the future.
In addition to senior, secured floating rate loans made to corporate and other business entities, the Fund may also purchase unsecured loans, other floating rate debt securities, and credit-linked notes.
A senior loan is typically originated, negotiated and structured by a U.S. or foreign commercial bank, insurance company, finance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Fund may purchase “Assignments” from the Agent or other Loan Investors. The Fund also may invest in “Participations.” Participations by the Fund in a Loan Investor’s portion of a senior loan typically will result in the Fund having a contractual relationship only with such Loan Investor, not with the borrower, whereas the Fund, as a purchaser of an Assignment, would typically succeed to all the rights and obligations under the loan agreement of the assigning Loan Investor and become a Loan Investor under the loan agreement with the same rights and obligations as the assigning Loan Investor. The Fund will only acquire Participations if the Loan Investor selling the Participation, and any other persons interpositioned between the Fund and the Loan Investor, are believed by the Advisors to be creditworthy at the time they enter into such transactions.
The Fund may also acquire equity securities or debt securities (including
non-dollar
denominated debt securities) issued in exchange for a senior loan or issued in connection with the debt restructuring or reorganization of a borrower, or if such acquisition, in the judgment of the Advisors, may enhance the value of a senior loan or would otherwise be consistent with the Fund’s investment policies.
The Fund may invest in collateralized bond obligations (“CBOs”), which are structured securities backed by a diversified pool of high yield, public or private fixed income securities. Under normal market conditions, the Fund expects to invest in the lower tranches of CBOs.
The Fund may purchase and sell futures contracts, enter into various interest rate transactions such as swaps, caps, floors or collars, currency transactions such as currency forward contracts, currency futures contracts, currency swaps or options on currency or currency futures and swap contracts (including, but not limited to, credit default swaps) and may purchase and sell exchange-listed and
over-the-counter
put and call options on securities and swap contracts, financial indices and futures contracts and use other derivative instruments or management techniques. The Fund also may purchase derivative instruments that combine features of these instruments.
The Fund may invest up to 10% of its Managed Assets in securities of other open- or
closed-end
investment companies that invest primarily in bonds of the types in which the Fund may invest directly. The Fund generally expects to invest in other investment companies either during periods when it has large amounts of uninvested cash, such as the period shortly after the Fund receives the proceeds of the offering of its common shares, or during periods when there is a shortage of attractive opportunities in the fixed income market.
 
 
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Investment Objectives, Policies and Risks
 (continued)
Investment Objectives and Policies
(continued)
 
Leverage:
The Fund currently utilizes leverage for investment purposes in the form of reverse repurchase agreements. The Fund may borrow from banks and other financial institutions and may also borrow additional funds using such investment techniques as the Advisors may from time to time determine. Of these investment techniques, the Fund expects primarily to use reverse repurchase agreements and dollar rolls.
The Fund also has the ability to utilize leverage through the issuance of preferred shares. The Fund does not currently anticipate issuing any preferred shares.
The Fund generally will not utilize leverage if it anticipates that the Fund’s leveraged capital structure would result in a lower return to shareholders than that obtainable over time with an unleveraged capital structure. There can be no assurance that the Fund will borrow in order to leverage its assets or, if it does, what percentage of the Fund’s assets such borrowings will represent.
The Fund may enter into derivative securities transactions that have leverage embedded in them.
BlackRock Multi-Sector Income Trust (BIT)
The Fund’s primary investment objective is to seek high current income, with a secondary objective of capital appreciation. The Fund’s investment objectives may be changed by the Board of Trustees of the Fund (the “Board,” and each member, a “Trustee”) without prior shareholder approval.
In investing the Fund’s assets, BlackRock Advisors, LLC, the Fund’s investment adviser (the “Manager”), and BlackRock International Limited and BlackRock (Singapore) Limited, the Fund’s
sub-advisers
(each, a
“Sub-Advisor”
and, collectively with the Manager, the “Managers”), expect to allocate capital across multiple sectors of the fixed-income securities market by evaluating portfolio risk in light of the available investment opportunities and prevailing risks in the fixed-income market, with the goal of delivering attractive risk-adjusted returns. In doing so, the Managers seek to find the appropriate balance between risk mitigation and opportunism. The Managers do not manage the Fund to a benchmark, which provides flexibility to allocate and rotate the Fund’s assets across various sectors within the fixed-income universe. This strategy seeks to provide exposure to those segments of the fixed-income market that the Managers anticipate will provide value while attempting to minimize exposure to those segments that the Managers anticipate will not provide value. If the Managers’ perception of the value of a segment of the fixed-income market or an individual security is incorrect, your investment in the Fund may lose value.
Under normal market conditions, the Fund will invest at least 80% of its Managed Assets in loan and debt instruments and other investments with similar economic characteristics (collectively “fixed-income securities”). The Fund may invest directly in securities or synthetically through the use of derivatives. “Managed Assets” means the total assets of the Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of the Fund’s accrued liabilities (other than money borrowed for investment purposes). Fixed-income securities in which the Fund may invest include:
 
   
mortgage related securities, including mortgage-backed securities (“MBS”), which are structured debt obligations collateralized by pools of commercial mortgages (commercial mortgage-backed securities or “CMBS”) or residential mortgages (residential mortgage-backed securities or “RMBS”), including agency RMBS issued or guaranteed by U.S. federal agencies or government related guarantors and
non-agency
RMBS issued by commercial banks, savings and loan institutions, mortgage bankers, private mortgage insurance companies and other
non-governmental
issuers; collateralized mortgage obligations (“CMOs”); Real Estate Mortgage Investment Conduits (“REMICs”), including resecuritizations of REMICs; stripped mortgage-backed securities, including interest-only (“IO”) and principal-only (“PO”) classes; delegated underwriting and servicing bonds; MBS credit default swaps and other mortgage related derivative instruments; inverse floating rate instruments which are derivative interests in MBS; repurchase agreements supported by MBS; and interests in real estate investment trusts (“REITs”) that invest the majority of their assets in real property mortgages or MBS, including debt and preferred stock issued by mortgage REITs;
 
   
asset-backed securities (“ABS”);
 
   
U.S. Government and agency securities;
 
   
loans and loan participations, including senior secured floating rate and fixed rate loans or debt (“Senior Loans”) and second lien or other subordinated or unsecured floating rate and fixed rate loans or debt (“Second Lien Loans”);
 
   
bonds or other debt securities issued by U.S. or foreign
(non-U.S.)
corporations or other business entities, which may include fixed, variable and floating rate bonds, debentures, notes and other similar types of debt instrument (collectively referred to herein as “corporate bonds”), of any quality, rated or unrated, including those that are rated below investment grade quality;
 
   
collateralized loan obligations (“CLOs”);
 
   
preferred securities;
 
   
convertible securities, including synthetic convertible securities;
 
   
sovereign debt, including obligations of foreign governments or their
sub-divisions,
agencies and government sponsored enterprises and obligations of international agencies and supranational entities;
 
   
municipal securities, including taxable municipal securities such as Build America Bonds (“BABs”); and
 
   
structured instruments, including structured notes, hybrid or indexed securities, event-linked securities, credit-linked notes (“CLNs”), equity-linked notes and structured credit products.
 
 
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Investment Objectives, Policies and Risks
 (continued)
Investment Objectives and Policies
(continued)
 
The Fund may invest in fixed-income securities of any type, including those with fixed, floating or variable interest rates, those with interest rates that change based on multiples of changes in a specified reference interest rate or index of interest rates and those with interest rates that change inversely to changes in interest rates, as well as those that do not bear interest. The Fund may hold securities of any duration or maturity and does not maintain set policies with respect to the average duration or maturity of the Fund’s portfolio. Additionally, as part of the Fund’s investments in loans, the Fund may make loans directly to borrowers either as a sole lender or by acting as a member of a syndicate of original lenders.
The Fund may invest in securities of any quality, rated or unrated, including those that are rated below investment grade quality (rated Ba/BB or below by Moody’s Investor’s Service, Inc. (“Moody’s”), S&P Global Ratings (“S&P”), or Fitch Ratings, Inc. (“Fitch”)) or securities that are unrated but judged to be of comparable quality by the Managers. Such securities, sometimes referred to as “high yield” or “junk” bonds, are predominantly speculative with respect to the capacity to pay interest and repay principal in accordance with the terms of the security and generally involve greater price volatility than securities in higher rating categories. Under normal market conditions, the Fund will not invest more than 20% of its Managed Assets in securities, other than mortgage related and other asset-backed securities, that are, at the time of investment, rated CCC+ or lower by S&P or Fitch or Caa1 or lower by Moody’s, or that are unrated but judged to be of comparable quality by the Managers. For purposes of applying the foregoing policy, in the case of securities with split ratings (i.e., a security receiving two different ratings from two different rating agencies), the Fund will apply the higher of the applicable ratings. The Fund may invest in mortgage related and other asset backed securities of any quality, rated or unrated, without limitation.
Under normal market conditions, the Fund will not invest more than 10% of its Managed Assets in CLOs.
Under normal market conditions, the Fund will invest at least 25% of its total assets in mortgage related securities. The Fund’s investment in mortgage related securities may consist entirely of privately issued securities, which are issued by commercial banks, savings and loan institutions, mortgage bankers, private mortgage insurance companies and other
non-governmental
issuers. The Securities and Exchange Commission (the “SEC”) informed the Fund that it is the view of the SEC staff that privately issued MBS constitute an “industry” for purposes of a fund’s industry concentration policy. On July 8, 2013, the Fund obtained formal
“no-action”
relief from the staff of the SEC that the staff would not recommend any enforcement action in connection with the Fund’s policy to concentrate its investments in the group of industries constituting mortgage related securities (including privately issued MBS and agency MBS).
Under normal market conditions, the Fund may invest up to 20% of its Managed Assets in securities other than fixed-income securities, including common stocks, warrants, depositary receipts and other equity securities.
The Fund may invest without limitation in securities of U.S. issuers and
non-U.S.
issuers located in countries throughout the world, including in developed and emerging markets. Foreign securities in which the Fund may invest may be U.S. dollar-denominated or
non-U.S.
dollar-denominated. The Fund may invest in securities of issuers of any market capitalization size, including small- and
mid-cap
companies, and of issuers that operate in any sector or industry.
The Fund may also invest in securities of other open- or
closed-end
investment companies, including exchange-traded funds (“ETFs”), subject to applicable regulatory limits, that invest primarily in securities of the types in which the Fund may invest directly. The Fund treats its investments in open- or
closed-end
investment companies that invest substantially all of their assets in fixed-income securities as investments in fixed-income securities.
The Fund may make short sales of securities. The Fund will not make a short sale if, after giving effect to such sale, the market value of all securities sold short exceeds 25% of the value of its Managed Assets or the Fund’s aggregate short sales of a particular class of securities exceeds 25% of the outstanding securities of that class.
During temporary defensive periods, and in order to keep the Fund’s cash fully invested, the Fund may invest up to 100% of its total assets in liquid, short-term investments, including high quality, short-term securities. The Fund may not achieve its investment objectives under these circumstances.
The Fund’s investment policies are
non-fundamental
policies and may be changed by the Board without prior shareholder approval. The Fund’s policy to invest at least 80% of its Managed Assets in fixed-income securities may be changed by the Board; however, if this policy changes, the Fund will provide shareholders at least 60 days’ written notice before implementation of the change.
The percentage limitations applicable to the Fund’s portfolio apply only at the time of initial investment and the Fund will not be required to sell investments due to subsequent changes in the value of investments that it owns
Leverage:
The Fund currently uses leverage to seek to achieve its investment objectives. The Fund currently leverages its assets through the use of reverse repurchase agreements and/or dollar rolls. The Fund currently does not intend to borrow money or issue debt securities or preferred shares. Although it has no present intention to do so, the Fund reserves the right to borrow money from banks or other financial institutions or issue debt securities or preferred shares in the future if it believes that market conditions would be conducive to the successful implementation of a leveraging strategy through borrowing money or issuing debt securities or preferred shares. The Fund is permitted to use leverage of up to 50% of its Managed Assets (100% of its net assets).
The Fund may enter into derivative securities transactions that have leverage embedded in them.
The Fund may also borrow money as a temporary measure for extraordinary or emergency purposes, including the payment of dividends and the settlement of securities transactions which otherwise might require untimely dispositions of Fund securities.
Risk Factors
This section contains a discussion of the general risks of investing in each Fund. The net asset value and market price of, and dividends paid on, the common shares will fluctuate with and be affected by, among other things, the risks more fully described below. As with any fund, there can be no guarantee that a Fund will meet its investment objective or that the Fund’s performance will be positive for any period of time. Each risk noted below is applicable to each Fund unless the specific Fund or Funds are noted in a parenthetical. The order of the below risk factors does not indicate the significance of any particular risk.
 
 
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Investment Objectives, Policies and Risks
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Risk Factors
(continued)
 
Investment and Market Discount Risk:
An investment in the Fund’s common shares is subject to investment risk, including the possible loss of the entire amount that you invest. As with any stock, the price of the Fund’s common shares will fluctuate with market conditions and other factors. If shares are sold, the price received may be more or less than the original investment. Common shares are designed for long-term investors and the Fund should not be treated as a trading vehicle. Shares of
closed-end
management investment companies frequently trade at a discount from their net asset value. This risk is separate and distinct from the risk that the Fund’s net asset value could decrease as a result of its investment activities. At any point in time an investment in the Fund’s common shares may be worth less than the original amount invested, even after taking into account distributions paid by the Fund. During periods in which the Fund may use leverage, the Fund’s investment, market discount and certain other risks will be magnified.
Concentration Risk (BIT):
The Fund’s strategy of concentrating in mortgage related securities means that its performance will be closely tied to the performance of a particular market segment. The Fund’s concentration in these securities may present more risks than if it were broadly diversified over numerous industries and sectors of the economy. A downturn in these securities would have a larger impact on the Fund than on a mutual fund that does not concentrate in such securities. At times, the performance of these securities will lag the performance of other industries or the broader market as a whole.
Debt Securities Risk:
Debt securities, such as bonds, involve interest rate risk, such as credit risk, interest rate risk, extension risk, and prepayment risk, each of which are described in further detail below:
 
   
Credit Risk — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be able to make payments of interest and p
rin
cipal when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. The degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation.
 
   
Interest Rate Risk — The market value of bonds and other fixed-income securities changes in response to interest rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise.
The Fund may be subject to a greater risk of rising interest rates due to the recent period of historically low interest rates. For example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors being equal, the value of the Fund’s investments would be expected to decrease by 10%. (Duration is a measure of the price sensitivity of a debt security or portfolio of debt securities to relative changes in interest rates.) The magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by Fund management.
To the extent the Fund invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of the Fund) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate debt securities.
These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in value when interest rates change.
A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could hurt the Fund’s performance.
 
   
Extension Risk — When interest rates rise, certain obligations will be paid off by the obligor more slowly than anticipated, causing the value of these obligations to fall.
 
   
Prepayment Risk — When interest rates fall, certain obligations will be paid off by the obligor more quickly than originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields.
U.S. Government Obligations Risk:
Certain securities in which the Fund may invest, including securities issued by certain U.S. Government agencies and U.S. Government sponsored enterprises, are not guaranteed by the U.S. Government or supported by the full faith and credit of the United States. In addition, circumstances could arise that could prevent the timely payment of interest or principal on U.S. Government obligations, such as reaching the legislative “debt ceiling.” Such
non-payment
could result in losses to the Fund and substantial negative consequences for the U.S. economy and the global financial system.
U.S. Government Mortgage-Related Securities Risk (FRA, BKT and BLW):
There are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. Mortgage-related securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. GNMA securities also are supported by the right of GNMA to borrow funds from the U.S. Treasury to make payments under its guarantee. Mortgage-related securities issued by Fannie Mae or Freddie Mac are solely the obligations of Fannie Mae or Freddie Mac, as the case may be, and are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.
Mortgage- and Asset-Backed Securities Risks (FRA, BKT, BLW and BIT):
Mortgage- and asset-backed securities represent interests in “pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default
on
the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities.
 
 
 
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Investment Objectives, Policies and Risks
 (continued)
Risk Factors
(continued)
 
Senior Loans Risk (DSU, FRA, BLW and BIT):
There is less readily available, reliable information about most senior loans than is the case for many other types of securities. An economic downturn generally leads to a higher
non-payment
rate, and a senior loan may lose significant value before a default occurs. Moreover, any specific collateral used to secure a senior loan may decline in value or become illiquid, which would adversely affect the senior loan’s value. No active trading market may exist for certain senior loans, which may impair the ability of the Fund to realize full value in the event of the need to sell a senior loan and which may make it difficult to value senior loans. Although senior loans in which the Fund will invest generally will be secured by specific collateral, there can be no assurance that liquidation of such collateral would satisfy the borrower’s obligation in the event of
non-payment
of scheduled interest or principal or that such collateral could be readily liquidated. To the extent that a senior loan is collateralized by stock in the borrower or its subsidiaries, such stock may lose all of its value in the event of the bankruptcy of the borrower. Uncollateralized senior loans involve a greater risk of loss.
Second Lien Loans Risk (BIT):
Second lien loans generally are subject to similar risks as those associated with investments in senior loans. Because second lien loans are subordinated or unsecured and thus lower in priority of payment to senior loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower.
CLO Risk (BIT and FRA):
In addition to the general risks associated with fixed-income securities discussed herein, CLOs carry additional risks, including: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the possibility that the CLO securities are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. The credit quality of CLOs depends primarily upon the quality of the underlying assets and the level of credit support and/or enhancement provided. The underlying assets (e.g., loans) of CLOs are subject to prepayments, which shorten the weighted average maturity and may lower the return of the securities issued by the CLOs. The value of CLO securities also may change because of changes in the market’s perception of the creditworthiness of the servicing agent for the pool, the originator of the pool, or the financial institution or fund providing the credit support or enhancement. Furthermore, the leveraged nature of each subordinated class may magnify the adverse impact on such class of changes in the value of the assets, changes in the distributions on the assets, defaults and recoveries on the assets, capital gains and losses on the assets, prepayment on assets and availability, price and interest rates of assets. CLOs are typically privately offered and sold, and thus are not registered under the securities laws. Additionally, when the Fund purchases a newly issued CLO security in the primary market (rather than from the secondary market), there often may be a delayed settlement period. As a result, investments in CLOs may be characterized by the Fund as illiquid securities; however, an active dealer market may exist which would allow such securities to be considered liquid in some circumstances. Finally, CLOs are limited recourse and may not be paid in full and may be subject to up to 100% loss.
Risks of Loan Assignments and Participations (BLW):
As the purchaser of an assignment, the Fund typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the Fund may not be able unilaterally to enforce all rights and remedies under the loan and with regard to any associated collateral. Because assignments may be arranged through private negotiations between potential assignees and potential assignors, the rights and obligations acquired by the Fund as the purchaser of an assignment may differ from, and be more limited than, those held by the assigning lender. In addition, if the loan is foreclosed, the Fund could become part owner of any collateral and could bear the costs and liabilities of owning and disposing of the collateral. The Fund may be required to pass along to a purchaser that buys a loan from the Fund by way of assignment a portion of any fees to which the Fund is entitled under the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of
set-off
against the borrower, and the Fund may not directly benefit from any collateral supporting the loan in which it has purchased the participation. As a result, the Fund will be subject to the credit risk of both the borrower and the lender that is selling the participation. In the event of the insolvency of the lender selling a participation, the Fund may be treated as a general creditor of the lender and may not benefit from any
set-off
between the lender and the borrower.
Corporate Loans Risk (DSU):
Commercial banks and other financial institutions or institutional investors make corporate loans to companies that need capital to grow or restructure. Borrowers generally pay interest on corporate loans at rates that change in response to changes in market interest rates such as the Secured Overnight Financing Rate (“SOFR”), the London Interbank Offered Rate (“LIBOR”) or the prime rates of U.S. banks. As a result, the value of corporate loan investments is generally less exposed to the adverse effects of shifts in market interest rates than investments that pay a fixed rate of interest. The market for corporate loans may be subject to irregular trading activity and wide bid/ask spreads. In addition, transactions in corporate loans may settle on a delayed basis. As a result, the proceeds from the sale of corporate loans may not be readily available to make additional investments or to meet the Fund’s redemption obligations. To the extent the extended settlement process gives rise to short-term liquidity needs, the Fund may hold additional cash, sell investments or temporarily borrow from banks and other lenders. The corporate loans in which the Fund invests are usually rated below investment grade.
Variable and Floating Rate Instrument Risk (DSU, FRA and BLW):
Variable and floating rate securities provide for periodic adjustment in the interest rate paid on the securities. These securities may be subject to greater illiquidity risk than other fixed income securities, meaning the absence of an active market for these securities could make it difficult for the Fund to dispose of them at any given time.
Unrated Securities Risk (BIT):
Because the Fund may purchase securities that are not rated by any rating organization, the Managers may, after assessing their credit quality, internally assign ratings to certain of those securities in categories similar to those of rating organizations. Some unrated securities may not have an active trading market or may be difficult to value, which means the Fund might have difficulty selling them promptly at an acceptable price. To the extent that the Fund invests in unrated securities, the Fund’s ability to achieve its investment objectives will be more dependent on the Managers’ credit analysis than would be the case when the Fund invests in rated securities.
High Yield Bonds Risk (DSU, FRA, BLW and BIT):
Although junk bonds generally pay higher rates of interest than investment grade bonds, junk bonds are high risk investments that are considered speculative and may cause income and principal losses for the Fund.
Distressed Securities Risk (DSU and FRA):
Distressed securities are speculative and involve substantial risks in addition to the risks of investing in junk bonds. The Fund will generally not receive interest payments on the distressed securities and may incur costs to protect its investment. In addition, distressed securities involve the substantial risk that principal will not be repaid. These securities may present a substantial risk of default or may be in default at the time of investment. The Fund may incur additional
 
 
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Investment Objectives, Policies and Risks
 (continued)
Risk Factors
(continued)
 
expenses to the extent it is required to seek recovery upon a default in the payment of principal of or interest on its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Fund may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Distressed securities and any securities received in an exchange for such securities may be subject to restrictions on resale.
Collateralized Bond Obligations Risk (BLW):
The pool of high yield securities underlying collateralized bond obligations is typically separated into groupings called tranches representing different degrees of credit quality. The higher quality tranches have greater degrees of protection and pay lower interest rates. The lower tranches, with greater risk, pay higher interest rates.
Collateralized Debt Obligations Risk (FRA):
In addition to the typical risks associated with fixed-income securities and asset-backed securities, collateralized debt obligations (“CDOs”), including collateralized loan obligations, carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the risk that the collateral may default or decline in value or be downgraded, if rated by a nationally recognized statistical rating organization; (iii) the Fund may invest in tranches of CDOs that are subordinate to other tranches; (iv) the structure and complexity of the transaction and the legal documents could lead to disputes among investors regarding the characterization of proceeds; (v) the investment return achieved by the Fund could be significantly different than those predicted by financial models; (vi) the lack of a readily available secondary market for CDOs; (vii) the risk of forced “fire sale” liquidation due to technical defaults such as coverage test failures; and (viii) the CDO’s manager may perform poorly.
Sovereign Debt Risk (FRA, BLW and BIT):
Sovereign debt instruments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies.
Municipal Securities Risks (BIT):
Municipal securities risks include the ability of the issuer to repay the obligation, the relative lack of information about certain issuers of municipal securities, and the possibility of future legislative changes which could affect the market for and value of municipal securities. Budgetary constraints of local, state, and federal governments upon which the issuers may be relying for funding may also impact municipal securities. These risks include:
 
   
General Obligation Bonds Risks — Timely payments depend on the issuer’s credit quality, ability to raise tax revenues and ability to maintain an adequate tax base.
 
   
Revenue Bonds Risks — These payments depend on the money earned by the particular facility or class of facilities, or the amount of revenues derived from another source.
 
   
Private Activity Bonds Risks — Municipalities and other public authorities issue private activity bonds to finance development of industrial facilities for use by a private enterprise. The private enterprise pays the principal and interest on the bond, and the issuer does not pledge its full faith, credit and taxing power for repayment. The Fund’s investments may consist of private activity bonds that may subject certain shareholders to an alternative minimum tax.
 
   
Moral Obligation Bonds Risks — Moral obligation bonds are generally issued by special purpose public authorities of a state or municipality. If the issuer is unable to meet its obligations, repayment of these bonds becomes a moral commitment, but not a legal obligation, of the state or municipality.
 
   
Municipal Notes Risks — Municipal notes are shorter term municipal debt obligations. If there is a shortfall in the anticipated proceeds, the notes may not be fully repaid and the Fund may lose money.
 
   
Municipal Lease Obligations Risks — In a municipal lease obligation, the issuer agrees to make payments when due on the lease obligation. Although the issuer does not pledge its unlimited taxing power for payment of the lease obligation, the lease obligation is secured by the leased property.
 
   
Tax-Exempt
Status Risk — The Fund and its investment manager will rely on the opinion of issuers’ bond counsel and, in the case of derivative securities, sponsors’ counsel, on the
tax-exempt
status of interest on municipal bonds and payments under derivative securities. Neither the Fund nor its investment manager will independently review the bases for those tax opinions, which may ultimately be determined to be incorrect and subject the Fund and its shareholders to substantial tax liabilities.
Brady Bonds Ris
k
(BLW):
Brady Bonds involve various risk factors described above associated with investing in
non-U.S.
securities, including the history of defaults with respect to commercial bank loans by public and private entities of countries issuing Brady Bonds.
Supranational Entities Risk (BLW):
The Fund may invest in obligations issued or guaranteed by the World Bank. The government members, or “stockholders,” usually make initial capital contributions to the World Bank and in many cases are committed to make additional capital contributions if the World Bank is unable to repay its borrowings. There is no guarantee that one or more stockholders of the World Bank will continue to make any necessary additional capital contributions. If such contributions are not made, the entity may be unable to pay interest or repay principal on its debt securities, and the Fund may lose money on such investments.
Yield and Ratings Risk (BKT)
: The yields on debt obligations are dependent on a variety of factors, including general market conditions, conditions in the particular market for the obligation, the financial condition of the issuer, the size of the offering, the maturity of the obligation and the ratings of the issue. The ratings of Moody’s, S&P and Fitch, represent their respective opinions as to the quality of the obligations they undertake to rate. Ratings, however, are general and are not absolute standards of quality. Consequently, obligations with the same rating, maturity and interest rate may have different market prices. Subsequent to its purchase by the Fund, a rated security may cease to be rated. The Manager will consider such an event in determining whether the Fund should continue to hold the security.
Repurchase Agreements and Purchase and Sale Contracts Risk (BKT and BIT)
: If the other party to a repurchase agreement or purchase and sale contract defaults on its obligation under the agreement, the Fund may suffer delays and incur costs or lose money in exercising its rights under the agreement. If the seller fails to repurchase the security in either situation and the market value of the security declines, the Fund may lose money.
 
 
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Investment Objectives, Policies and Risks
 (continued)
Risk Factors
(continued)
 
Foreign Securities Risk (DSU, FRA, BLW and BIT):
Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Fund will lose money. These risks include:
 
   
The Fund generally holds its foreign securities and cash in foreign banks and securities depositories, which may be recently organized or new to the foreign custody business and may be subject to only limited or no regulatory oversight.
 
   
Changes in foreign currency exchange rates can affect the value of the Fund’s portfolio.
 
   
The economies of certain foreign markets may not compare favorably with the economy of the United States with respect to such issues as growth of gross national product, reinvestment of capital, resources and balance of payments position.
 
   
The governments of certain countries, or the U.S. Government with respect to certain countries, may prohibit or impose substantial restrictions through capital controls and/or sanctions on foreign investments in the capital markets or certain industries in those countries, which may prohibit or restrict the ability to own or transfer currency, securities, derivatives or other assets.
 
   
Many foreign governments do not supervise and regulate stock exchanges, brokers and the sale of securities to the same extent as does the United States and may not have laws to protect investors that are comparable to U.S. securities laws.
 
   
Settlement and clearance procedures in certain foreign markets may result in delays in payment for or delivery of securities not typically associated with settlement and clearance of U.S. investments.
 
   
The Fund’s claims to recover foreign withholding taxes may not be successful, and if the likelihood of recovery of foreign withholding taxes materially decreases, due to, for example, a change in tax regulation or approach in the foreign country, accruals in the Fund’s net asset value for such refunds may be written down partially or in full, which will adversely affect the Fund’s net asset value.
Emerging Markets Risk (FRA, BLW and BIT):
Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.
Equity Securities Risk (DSU, FRA, BLW and BIT):
Stock markets are volatile. The price of equity securities fluctuates based on changes in a company’s financial condition and overall market and economic conditions.
Small and
Mid-Capitalization
Company Risk (BIT):
Companies with small or
mid-size
market capitalizations will normally have more limited product lines, markets and financial resources and will be dependent upon a more limited management group than larger capitalized companies. In addition, it is more difficult to get information on smaller companies, which tend to be less well known, have shorter operating histories, do not have significant ownership by large investors and are followed by relatively few securities analysts.
Preferred Securities Risk (DSU, FRA, BLW and BIT):
Preferred securities may pay fixed or adjustable rates of return. Preferred securities are subject to issuer-specific and market risks applicable generally to equity securities. In addition, a company’s preferred securities generally pay dividends only after the company makes required payments to holders of its bonds and other debt. For this reason, the value of preferred securities will usually react more strongly than bonds and other debt to actual or perceived changes in the company’s financial condition or prospects. Preferred securities of smaller companies may be more vulnerable to adverse developments than preferred securities of larger companies.
Convertible Securities Risk (DSU, FRA and BIT):
The market value of a convertible security performs like that of a regular debt security; that is, if market interest rates rise, the value of a convertible security usually falls. In addition, convertible securities are subject to the risk that the issuer will not be able to pay interest, principal or dividends when due, and their market value may change based on changes in the issuer’s credit rating or the market’s perception of the issuer’s creditworthiness. Since it derives a portion of its value from the common stock into which it may be converted, a convertible security is also subject to the same types of market and issuer risks that apply to the underlying common stock, including the potential for increased volatility in the price of the convertible security.
Warrants Risk (DSU and FRA):
If the price of the underlying stock does not rise above the exercise price before the warrant expires, the warrant generally expires without any value and the Fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve substantially more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
Real Estate-Related Securities Risk (BLW):
The main risk of real estate-related securities is that the value of the underlying real estate may go down. Many factors may affect real estate values. These factors include both the general and local economies, vacancy rates, changes in rent schedules, tenant bankruptcies, the ability to
re-lease
space under expiring leases on attractive terms, the amount of new construction in a particular area, the laws and regulations (including zoning, environmental and tax laws) affecting real estate and the costs of owning, maintaining and improving real estate. The availability of mortgage financing and changes in interest rates may also affect real estate values. If the Fund’s real estate-related investments are concentrated in one geographic area or in one property type, the Fund will be particularly subject to the risks associated with that area or property type. Many issuers of real estate-related securities are highly leveraged, which increases the risk to holders of such securities. The value of the securities the Fund buys will not necessarily track the value of the underlying investments of the issuers of such securities. In addition, certain issuers of real estate-related securities may have developed or commenced development on properties and may develop additional properties in the future. Real estate development involves significant risks in addition to those involved in the ownership and operation of established properties. Real estate securities may have limited diversification and are, therefore, subject to risks inherent in operating and financing a limited number of projects. Real estate securities are also subject to heavy cash flow dependency and defaults by borrowers or tenants.
 
 
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Investment Objectives, Policies and Risks
 (continued)
Risk Factors
(continued)
 
REIT Investment Risk (BLW and BIT):
Investments in REITs involve unique risks. REITs may have limited financial resources, may trade less frequently and in limited volume, may engage in dilutive offerings of securities and may be more volatile than other securities. REIT issuers may also fail to maintain their exemptions from investment company registration or fail to qualify for the “dividends paid deduction” under the Internal Revenue Code of 1986, as amended, which allows REITs to reduce their corporate taxable income for dividends paid to their shareholders.
Structured Securities Risk (BIT):
Because structured securities of the type in which the Fund may invest typically involve no credit enhancement, their credit risk generally will be equivalent to that of the underlying instruments, index or reference obligation and will also be subject to counterparty risk. The Fund may have the right to receive payments only from the structured security, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. In addition to the general risks associated with debt securities discussed herein, structured securities carry additional risks, including, but not limited to: the possibility that distributions from collateral securities will not be adequate to make interest or other payments; the quality of the collateral may decline in value or default; and the possibility that the structured securities are subordinate to other classes. The Fund is permitted to invest in a class of structured securities that is either subordinated or unsubordinated to the right of payment of another class. Subordinated structured securities typically have higher yields and present greater risks than unsubordinated structured securities. Structured securities are typically sold in private placement transactions, and there currently is no active trading market for structured securities. Structured securities are based upon the movement of one or more factors, including currency exchange rates, interest rates, reference bonds and stock indices, and changes in interest rates and impact of these factors may cause significant price fluctuations. Additionally, changes in the reference instrument or security may cause the interest rate on the structured security to be reduced to zero. Certain issuers of such structured securities may be deemed to be “investment companies” as defined in the Investment Company Act. As a result, the Fund’s investment in such securities may be limited by certain investment restrictions contained in the Investment Company Act.
Derivatives Risk:
The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or increase volatility. Derivatives involve significant risks, including:
 
   
Leverage Risk — The Fund’s use of derivatives can magnify the Fund’s gains and losses. Relatively small market movements may result in large changes in the value of a derivatives position and can result in losses that greatly exceed the amount originally invested.
 
   
Market Risk — Some derivatives are more sensitive to interest rate changes and market price fluctuations than other securities. The Fund could also suffer losses related to its derivatives positions as a result of unanticipated market movements, which losses are potentially unlimited. Finally, the Manager may not be able to predict correctly the direction of securities prices, interest rates and other economic factors, which could cause the Fund’s derivatives positions to lose value.
 
   
Counterparty Risk — Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will be unable or unwilling to fulfill its contractual obligation, and the related risks of having concentrated exposure to such a counterparty.
 
   
Illiquidity Risk — The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more difficult for the Fund to value accurately.
 
   
Operational Risk — The use of derivatives includes the risk of potential operational issues, including documentation issues, settlement issues, systems failures, inadequate controls and human error.
 
   
Legal Risk — The risk of insufficient documentation, insufficient capacity or authority of counterparty, or legality or enforceability of a contract.
 
   
Volatility and Correlation Risk — Volatility is defined as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the fluctuations in their values may not correlate with the overall securities markets.
 
   
Valuation Risk — Valuation for derivatives may not be readily available in the market. Valuation may be more difficult in times of market turmoil since many investors and market makers may be reluctant to purchase complex instruments or quote prices for them.
 
   
Hedging Risk — Hedges are sometimes subject to imperfect matching between the derivative and the underlying security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging may result in certain adverse tax consequences.
 
   
Tax Risk — Certain aspects of the tax treatment of derivative instruments, including swap agreements and commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund realizes from its investments.
Structured Notes Risk (FRA):
Structured notes and other related instruments purchased by the Fund are generally privately negotiated debt obligations where the principal and/or interest is determined by reference to the performance of a specific asset, benchmark asset, market or interest rate (“reference measure”). The purchase of structured notes exposes the Fund to the credit risk of the issuer of the structured product. Structured notes may be leveraged, increasing the volatility of each structured note’s value relative to the change in the reference measure. Structured notes may also be less liquid and more difficult to price accurately than less complex securities and instruments or more traditional debt securities.
Leverage Risk:
The Fund’s use of leverage may increase or decrease from time to time in its discretion and the Fund may, in the future, determine not to use leverage.
The use of leverage creates an opportunity for increased common share net investment income dividends, but also creates risks for the holders of common shares. The Fund cannot assure you that the use of leverage will result in a higher yield on the common shares. Any leveraging strategy the Fund employs may not be successful.
Leverage involves risks and special considerations for common shareholders, including:
 
 
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Investment Objectives, Policies and Risks
 (continued)
Risk Factors
(continued)
 
   
the likelihood of greater volatility of net asset value, market price and dividend rate of the common shares than a comparable portfolio without leverage;
 
   
the risk that fluctuations in interest rates or dividend rates on any leverage that the Fund must pay will reduce the return to the common shareholders;
 
   
the effect of leverage in a declining market, which is likely to cause a greater decline in the net asset value of the common shares than if the Fund were not leveraged, which may result in a greater decline in the market price of the common shares;
 
   
leverage may increase operating costs, which may reduce total return.
 
   
Any decline in the net asset value of the Fund’s investments will be borne entirely by the holders of common shares. Therefore, if the market value of the Fund’s portfolio declines, leverage will result in a greater decrease in net asset value to the holders of common shares than if the Fund were not leveraged. This greater net asset value decrease will also tend to cause a greater decline in the market price for the common shares.
Reverse Repurchase Agreements Risk:
Reverse repurchase agreements involve the sale of securities held by the Fund with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at all. The Fund could lose money if it is unable to recover the securities and the value of the collateral held by the Fund, including the value of the investments made with cash collateral, is less than the value of the securities. These events could also trigger adverse tax consequences for the Fund. In addition, reverse repurchase agreements involve the risk that the interest income earned in the investment of the proceeds will be less than the interest expense.
Dollar Rolls Risk (BLW and BIT):
Dollar rolls involve the risk that the market value of the securities that the Fund is committed to buy may decline below the price of the securities the Fund has sold. These transactions may involve leverage.
Short Sales Risk (DSU and BIT):
Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short.
Illiquid Investments Risk:
The Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. The Fund may not be able to readily dispose of such investments at prices that approximate those at which the Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, the Fund may have to sell other investments or engage in borrowing transactions if necessary to raise cash to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting the Fund’s net asset value and ability to make dividend distributions. The financial markets in general, and certain segments of the mortgage-related securities markets in particular, have in recent years experienced periods of extreme secondary market supply and demand imbalance, resulting in a loss of liquidity during which market prices were suddenly and substantially below traditional measures of intrinsic value. During such periods, some investments could be sold only at arbitrary prices and with substantial losses. Periods of such market dislocation may occur again at any time. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Inverse Floater and Related Securities Risk (BIT):
Investments in inverse floaters, residual interest tender option bonds and similar instruments expose the Fund to the same risks as investments in fixed-income securities and derivatives, as well as other risks, including those associated with leverage and increased volatility. An investment in these securities typically will involve greater risk than an investment in a fixed rate security. Distributions on inverse floaters, residual interest tender option bonds and similar instruments will typically bear an inverse relationship to short term interest rates and typically will be reduced or, potentially, eliminated as interest rates rise. Inverse floaters, residual interest tender option bonds and similar instruments will underperform the market for fixed rate securities in a rising interest rate environment. Inverse floaters may be considered to be leveraged to the extent that their interest rates vary by a magnitude that exceeds the magnitude of the change in a reference rate of interest (typically a short term interest rate). The leverage inherent in inverse floaters is associated with greater volatility in their market values. Investments in inverse floaters, residual interest tender option bonds and similar instruments that have fixed-income securities underlying them will expose the Fund to the risks associated with those fixed-income securities and the values of those investments may be especially sensitive to changes in prepayment rates on the underlying fixed-income securities.
Investment Companies and ETFs Risk (DSU, BLW and BIT):
Subject to the limitations set forth in the Investment Company Act and the rules thereunder, the Fund may acquire shares in other investment companies and in ETFs, some of which may be affiliated investment companies. The market value of the shares of other investment companies and ETFs may differ from their net asset value. As an investor in investment companies and ETFs, the Fund would bear its ratable share of that entity’s expenses, including its investment advisory and administration fees, while continuing to pay its own advisory and administration fees and other expenses (to the extent not offset by the Manager through waivers). As a result, shareholders will be absorbing duplicate levels of fees with respect to investments in other investment companies and ETFs (to the extent not offset by the Manager through waivers).
The securities of other investment companies and ETFs in which the Fund may invest may be leveraged. As a result, the Fund may be indirectly exposed to leverage through an investment in such securities. An investment in securities of other investment companies and ETFs that use leverage may expose the Fund to higher volatility in the market value of such securities and the possibility that the Fund’s long-term returns on such securities (and, indirectly, the long-term returns of shares of the Fund) will be diminished.
As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. To the extent the Fund is held by an affiliated fund, the ability of the Fund itself to hold other investment companies may be limited.
Risk of Investing in the United States:
Certain changes in the U.S. economy, such as when the U.S. economy weakens or when its financial markets decline, may have an adverse effect on the securities to which the Fund has exposure.
 
 
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Investment Objectives, Policies and Risks
 (continued)
Risk Factors
(continued)
 
Market Risk and Selection Risk:
Market risk is the risk that one or more markets in which the Fund invests will go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a security or other asset may decline due to changes in general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its investments. Selection risk is the risk that the securities selected by Fund management will underperform the markets, the relevant indices or the securities selected by other funds with similar investment objectives and investment strategies. This means you may lose money.
An outbreak of an infectious coronavirus
(COVID-19)
that was first developed into a global pandemic that has resulted in numerous disruptions in the market and has had significant economic impact leaving general concern and uncertainty. Although vaccines have been developed and approved for use by various governments, the duration of the pandemic and its effects cannot be predicted with certainty. The impact of this coronavirus, and other epidemics and pandemics that may arise in the future, could affect the economies of many nations, individual companies and the market in general ways that cannot necessarily be foreseen at the present time.
Shareholder Activism Risk:
Shareholder activism involving
closed-end
funds has recently been increasing. Shareholder activism can take many forms, including engaging in public campaigns to demand that the Fund consider significant transactions such as a tender offer, merger or liquidation or to attempt to influence the Fund’s corporate governance and/or management, commencing proxy contests to attempt to elect the activists’ representatives or others to the Fund’s Board of Directors, or to seek other actions such as a termination of the Fund’s investment advisory contract with its current investment manager or commencing litigation. If the Fund becomes the subject of shareholder activism, then management and the Board may be required to divert significant resources and attention to respond to the activist and the Fund may incur substantial costs defending against such activism if management and the Board determine that the activist’s demands are not in the best interest of the Fund. Further, the Fund’s share price could be subject to significant fluctuation or otherwise be adversely affected by the events, risks and uncertainties of any shareholder activism.
 
 
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    207  

Shareholder Update
  
(unaudited)
 
The following information is presented for DSU, BKT, BLW and BIT, in conformance with annual reporting requirements for funds that have filed a shelf offering registration statement pursuant to General Instruction A.2 of Form
N-2.
Summary of Expenses
BlackRock Debt Strategies Fund, Inc. (DSU)
The following table and example are intended to assist shareholders in understanding the various costs and expenses directly or indirectly associated with investing in DSU’s common shares.
 
     
    
DSU 
      
Shareholder Transaction Expenses
   
Maximum sales load (as a percentage of offering price)
(a)
    1.00%    
Offering expenses borne by the Fund (as a percentage of offering price)
(a)
    0.05%    
Dividend reinvestment plan fees
   


$0.02 per share
for open market
purchases of
common shares
(b)



 
 
Estimated Annual Expenses
(as a percentage of net assets attributable to common shares)
   
Investment advisory fees
(c)(d)
    0.70%    
Other expenses
    1.77      
Miscellaneous
    0.09       
Interest expense
(e)
    1.68       
Total annual expenses
    2.47      
Fee waivers
(d)
    —      
Total annual Fund operating expenses after fee waivers
(d)
    2.47      
 
 
 
(a)
 
If the common shares are sold to or through underwriters, the Prospectus Supplement will set forth any applicable sales load and the estimated offering expenses. Fund shareholders will pay all offering expenses involved with an offering.
 
 
(b)
 
Computershare Trust Company, N.A.’s (the “Reinvestment Plan Agent”) fees for the handling of the reinvestment of dividends will be paid by DSU. However, shareholders will pay a $0.02 per share fee incurred in connection with open-market purchases, which will be deducted from the value of the dividend. Shareholders will also be charged a $0.02 per share fee if a shareholder directs the Reinvestment Plan Agent to sell the common shares held in a dividend reinvestment account. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay.
 
 
(c)
 
DSU currently pays the Manager a monthly fee at an annual contractual investment advisory fee rate of 0.55% of the average daily value of DSU’s net assets, plus the proceeds of any outstanding debt securities or borrowings used for leverage (together, “average daily Managed Assets”).
 
 
(d)
 
DSU and the Manager have entered into a fee waiver agreement (the “Fee Waiver Agreement”), pursuant to which the Manager has contractually agreed to waive the investment advisory fees with respect to any portion of DSU’s assets attributable to investments in any equity and fixed-income mutual funds and exchange-traded funds (the “ETFs”) managed by the Manager or its affiliates that have a contractual management fee, through June 30, 2025. In addition, pursuant to the Fee Waiver Agreement, the Manager has contractually agreed to waive its investment advisory fees by the amount of investment advisory fees DSU pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2025. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by DSU (upon the vote of a majority of the Directors who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “Investment Company Act”), of DSU (the “Independent Directors”)) or a majority of the outstanding voting securities of DSU), upon 90 days’ written notice by DSU to the Manager.
 
 
(e)
 
DSU uses leverage in the form of a credit facility, in an amount equal to approximately 22.7% of DSU’s Managed Assets at an annual interest expense to DSU of 5.91% which is based on current market conditions. The actual amount of interest expense borne by DSU will vary over time in accordance with the level of DSU’s use of leverage and variations in market interest rates. Interest expense is required to be treated as expense of DSU for accounting purposes.
 
The following example illustrates DSU’s expenses (including the sales load of $10.00 and offering costs of $0.47) that shareholders would pay on a $1,000 investment in common shares, assuming (i) total net annual expenses of 2.47% of net assets attributable to common shares and (ii) a 5% annual return:
 
 
    1 Year       3 Years       5 Years       10 Years    
Total expenses incurred
    $ 35       $  87       $ 141       $   288    
 
 
 
The example should not be considered a representation of future expenses. The example assumes that the estimated “Other expenses” set forth in the Estimated Annual Expenses table are accurate and that all dividends and distributions are reinvested at NAV. Actual expenses may be greater or less than those assumed. DSU’s actual rate of return may be greater or less than the hypothetical 5% return shown in the example.
 
 
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Shareholder Update
  
(unaudited)
 (continued)
 
BlackRock Income Trust, Inc. (BKT)
The following table and example are intended to assist shareholders in understanding the various costs and expenses directly or indirectly associated with investing in BKT’s common shares.
 
 
     
    
BKT 
      
Shareholder Transaction Expenses
   
Maximum sales load (as a percentage of offering price)
(a)
    1.00%    
Offering expenses borne by the Fund (as a percentage of offering price)
(a)
    0.05%    
Dividend reinvestment plan fees
   


$0.02 per share
for open market
purchases of
common shares
(b)



 
 
Dividend reinvestment plan sale transaction fee
    $2.50
(b)
   
 
Estimated Annual Expenses
(as a percentage of net assets attributable to common shares)
   
Investment advisory fees
(c)(d)
    0.65%    
Other expenses
    2.58      
Miscellaneous
    0.27       
Interest expense
(e)
    2.31       
Total annual expenses
    3.23      
Fee waivers
(d)
          
Total annual Fund operating expenses after fee waivers
(d)
    3.23      
 
 
 
(a)
 
If the common shares are sold to or through underwriters, the Prospectus Supplement will set forth any applicable sales load and the estimated offering expenses. Fund shareholders will pay all offering expenses involved with an offering.
 
 
(b)
 
Computershare Trust Company, N.A.’s (the “Reinvestment Plan Agent”) fees for the handling of the reinvestment of dividends will be paid by BKT. However, shareholders will pay a $0.02 per share fee incurred in connection with open-market purchases, which will be deducted from the value of the dividend. Shareholders will also be charged a $2.50 sales fee and pay a $0.15 per share fee if a shareholder directs the Reinvestment Plan Agent to sell the common shares held in a dividend reinvestment account. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay.
 
 
 
(c)
 
BKT currently pays the Manager a monthly fee at an annual contractual investment advisory fee rate of 0.65% of the average weekly value of BKT’s net assets. For purposes of calculating this fee, “net assets” means the total assets of BKT minus the sum of its accrued liabilities (including the aggregate indebtedness constituting financial leverage).
 
 
(d)
 
BKT and the Manager have entered into a fee waiver agreement (the “Fee Waiver Agreement”), pursuant to which the Manager has contractually agreed to waive the investment advisory fees with respect to any portion of BKT’s assets attributable to investments in any equity and fixed-income mutual funds and exchange-traded funds managed by the Manager or its affiliates that have a contractual management fee, through June 30, 2025. In addition, pursuant to the Fee Waiver Agreement, the Manager has contractually agreed to waive its investment advisory fees by the amount of investment advisory fees BKT pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2025. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by BKT (upon the vote of a majority of the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “Investment Company Act”), of BKT or a majority of the outstanding voting securities of BKT), upon 90 days’ written notice by BKT to the Manager.
 
 
(e)
 
BKT uses leverage in the form of reverse repurchase agreements representing 29.0% of Managed Assets at an annual interest expense to BKT of 5.0% which is based on current market conditions. The actual amount of interest expenses borne by BKT will vary over time in accordance with the level of BKT’s use of reverse repurchase agreements and variations in market interest rates. Interest expense is required to be treated as an expense of BKT for accounting purposes.
 
The following example illustrates BKT’s expenses (including the sales load of $10.00 and offering costs of $0.54) that shareholders would pay on a $1,000 investment in common shares, assuming (i) total net annual expenses of 3.23% of net assets attributable to common shares and (ii) a 5% annual return:
 
 
    1 Year       3 Years       5 Years       10 Years    
Total expenses incurred
    $  43       $  109       $  178       $   360    
 
 
 
The example should not be considered a representation of future expenses. The example assumes that the estimated “Other expenses” set forth in the Estimated Annual Expenses table are accurate and that all dividends and distributions are reinvested at NAV. Actual expenses may be greater or less than those assumed. BKT’s actual rate of return may be greater or less than the hypothetical 5% return shown in the example.
 
 
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    209  

Shareholder Update
  
(unaudited)
 (continued)
 
BlackRock Limited Duration Income Trust (BLW)
The following table and example are intended to assist shareholders in understanding the various costs and expenses directly or indirectly associated with investing in BLW’s common shares.
 
     
     
BLW 
      
Shareholder Transaction Expenses
    
Maximum sales load (as a percentage of offering price)
(a)
     1.00%    
Offering expenses borne by the Fund (as a percentage of offering price)
(a)
     0.02%    
Dividend reinvestment plan fees
    


$0.02 per share
for open market
purchases of
common shares
(b)



 
 
Dividend reinvestment plan sale transaction fee
     $2.50
(b)
   
Estimated Annual Expenses
(as a percentage of net assets attributable to common shares)
    
Investment advisory fees
(c)(d)
     0.83%    
Other expenses
     2.81      
Miscellaneous
     0.11       
Interest expense
(e)
     2.70       
Acquired fund fees and expenses
(f)
     0.01      
Total annual expenses
(f)
     3.65      
Fee waivers
(d)
     —      
Total annual Fund operating expenses after fee waivers
(d)
     3.65      
 
 
 
(a)
 
If the common shares are sold to or through underwriters, the Prospectus Supplement will set forth any applicable sales load and the estimated offering expenses. Fund shareholders will pay all offering expenses involved with an offering.
 
 
(b)
 
Computershare Trust Company, N.A.’s (the “Reinvestment Plan Agent”) fees for the handling of the reinvestment of dividends will be paid by BLW. However, shareholders will pay a $0.02 per share fee incurred in connection with open-market purchases, which will be deducted from the value of the dividend. Shareholders will also be charged a $2.50 sales fee and pay a $0.15 per share fee if a shareholder directs the Reinvestment Plan Agent to sell the common shares held in a dividend reinvestment account. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay.
 
 
(c)
 
BLW currently pays the Manager a monthly fee at an annual contractual investment advisory fee rate of 0.55% of the average weekly value of BLW’s managed assets, including the proceeds of any debt securities or outstanding borrowings used for leverage. For purposes of calculating this fee, “managed assets” are determined as total assets of BLW (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).
 
 
(d)
 
BLW and the Manager have entered into a fee waiver agreement (the “Fee Waiver Agreement”), pursuant to which the Manager has contractually agreed to waive the investment advisory fees with respect to any portion of BLW’s assets attributable to investments in any equity and fixed-income mutual funds and exchange-traded funds managed by the Manager or its affiliates that have a contractual management fee, through June 30, 2025. In addition, pursuant to the Fee Waiver Agreement, the Manager has contractually agreed to waive its investment advisory fees by the amount of investment advisory fees BLW pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2025. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by BLW (upon the vote of a majority of the Trustees who are not “interested persons” (as defined in the Investment Company Act) of BLW or a majority of the outstanding voting securities of BLW), upon 90 days’ written notice by BLW to the Manager.
 
 
(e)
 
BLW uses leverage in the form of reverse repurchase agreements representing 35.4% of Managed Assets at an annual interest expense to BLW of 5.31%, which is based on current market conditions. The actual amount of interest expense borne by BLW will vary over time in accordance with the level of BLW’s use of reverse repurchase agreements and variations in market interest rates. Interest expense is required to be treated as an expense of BLW for accounting purposes.
 
 
(f)
 
The total annual expenses do not correlate to the ratios to average net assets shown in BLW’s Financial Highlights for the year ended December 31, 2023, which do not include acquired fund fees and expenses.
 
The following example illustrates BLW’s expenses (including the sales load of $10.00 and offering costs of $0.22) that shareholders would pay on a $1,000 investment in common shares, assuming (i) total net annual expenses of 3.65% of net assets attributable to common shares and (ii) a 5% annual return:
 
 
    1 Year       3 Years       5 Years       10 Years    
Total expenses incurred
    $  47       $  121       $  197       $   397    
 
 
 
The example should not be considered a representation of future expenses. The example assumes that the estimated “Other expenses” set forth in the Estimated Annual Expenses table are accurate and that all dividends and distributions are reinvested at NAV. Actual expenses may be greater or less than those assumed. BLW’s actual rate of return may be greater or less than the hypothetical 5% return shown in the example.
 
 
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Shareholder Update
  
(unaudited)
 (continued)
 
BlackRock Multi-Sector Income Trust (BIT)
The following table and example are intended to assist shareholders in understanding the various costs and expenses directly or indirectly associated with investing in BIT’s common shares.
 
 
     
    
BIT 
      
Shareholder Transaction Expenses
   
Maximum sales load (as a percentage of offering price)
(a)
  1.00%  
Offering expenses borne by the Fund (
as a percentage of offering price)
(a)
  0.03%  
Dividend reinvestment plan fees
  $0.02 per share for open market purchases of common shares
(b)
 
Dividend reinvestment plan sale transaction fee
  $2.50
(b)
 
 
Estimated Annual Expenses
(as a percentage of net assets attributable to common shares)
   
Investment advisory fees
(c)(d)
  1.23%  
Other expenses
  3.06    
Miscellaneous
  0.11    
Interest expense
(e)
  2.95    
Total annual expenses
  4.29    
Fee waivers
(d)
  —    
Total annual Fund operating expenses after fee waivers
(d)
  4.29    
 
 
 
 
(a)
 
If the common shares are sold to or through underwriters, the Prospectus Supplement will set forth any applicable sales load and the estimated offering expenses. Trust shareholders will pay all offering expenses involved with an offering.
 
 
(b)
 
Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) fees for the handling of the reinvestment of dividends will be paid by BIT. However, shareholders will pay a $0.02 per share fee incurred in connection with open-market purchases, which will be deducted from the value of the dividend. Shareholders will also be charged a $2.50 sales fee and pay a $0.15 per share fee if a shareholder directs the Reinvestment Plan Agent to sell the common shares held in a dividend reinvestment account. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay.
 
 
 
(c)
 
BIT currently pays the Manager a monthly fee at an annual contractual investment management fee rate of 0.80% of the average daily value of BIT’s managed assets. For purposes of calculating these fees, “managed assets” means the total assets of BIT (including any assets attributable to money borrowed for investment purposes) minus the sum of BIT’s accrued liabilities (other than money borrowed for investment purposes).
 
 
(d)
 
BIT and the Manager have entered into a fee waiver agreement (the “Fee Waiver Agreement”), pursuant to which the Manager has contractually agreed to waive the investment advisory fees with respect to any portion of BIT’s assets attributable to investments in any equity and fixed-income mutual funds and exchange-traded funds managed by the Manager or its affiliates that have a contractual management fee, through June 30, 2025. In addition, pursuant to the Fee Waiver Agreement, the Manager has contractually agreed to waive its investment advisory fees by the amount of investment advisory fees BIT pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2025. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by BIT (upon the vote of a majority of the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “Investment Company Act”), of BIT (the “Independent Trustees”)) or a majority of the outstanding voting securities of BIT), upon 90 days’ written notice by BIT to the Manager.
 
 
(e)
 
Assumes the use of leverage in the form of reverse repurchase agreements representing 33.8% of managed assets at an annual interest expense to BIT of 5.42%, which is based on current market conditions. The actual amount of interest expense borne by BIT will vary over time in accordance with the level of BIT’s use of reverse repurchase agreements and variations in market interest rates. Interest expense is required to be treated as an expense of BIT for accounting purposes.
 
The following example illustrates BIT’s expenses (including the sales load of $10.00 and offering costs of $0.31) that shareholders would pay on a $1,000 investment in common shares, assuming (i) total net annual expenses of 4.29% of net assets attributable to common shares and (ii) a 5% annual return:
 
    1 Year      3 Years      5 Years      10 Years        
 
   
Total expenses incurred
  $ 53      $ 139      $ 226      $ 450    
 
 
 
The example should not be considered a representation of future expenses. The example assumes that the estimated “Other expenses” set forth in the Estimated Annual Expenses table are accurate and that all dividends and distributions are reinvested at NAV. Actual expenses may be greater or less than those assumed. BIT’s actual rate of return may be greater or less than the hypothetical 5% return shown in the example.
 
 
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    211  

Shareholder Update
  
(unaudited)
 (continued)
 
Share Price Data
The following tables summarize each Fund’s highest and lowest daily closing market prices on the NYSE per common share, the NAV per common share, and the premium to or discount from NAV, on the date of each of the high and low market prices. The trading volume indicates the number of common shares traded on the NYSE during the respective quarters.
 
   
NYSE Market Price

Per Common Share
      
NAV per Common

Share on Date of

Market Price
      
Premium/

(Discount)

on Date of

Market Price
       
DSU — During Quarter Ended   High      Low        High      Low        High     Low     Trading Volume   
December 31, 2023
  $ 10.85      $ 9.78        $ 10.87      $ 10.61          (0.18 )%      (7.82 )%      9,476,571   
September 30, 2023
    10.36        9.81          10.84        10.76          (4.43     (8.83     8,558,668   
June 30, 2023
    9.79        9.25          10.72        10.51          (8.68     (11.99     8,742,409   
March 31, 2023
    9.96        9.25          10.79        10.48          (7.69     (11.74     8,395,438   
December 31, 2022
    9.77        8.80          10.48        10.24          (6.77     (14.06     9,860,686   
September 30, 2022
    10.15        8.83          10.84        10.27          (6.37     (14.02     6,897,776   
June 30, 2022
    10.52        8.59          11.34        10.40          (7.23     (17.40     11,465,492   
March 31, 2022
    11.75        10.06          11.57        11.20          1.56       (10.18     11,354,361   
As of December 31, 2023, DSU’s market price, NAV per Common Share, and premium/(discount) to NAV per Common Share were $10.79, $10.89, and (0.92)%, respectively.
 
   
NYSE Market Price

Per Common Share
      
NAV per Common

Share on Date of

Market Price
      
Premium/

(Discount)

on Date of

Market Price
       
BKT — During Quarter Ended   High      Low        High      Low        High     Low     Trading Volume   
December 31, 2023
  $ 12.60        $ 10.56        $ 12.81      $ 11.52          (1.64 )%      (8.33 )%      4,901,930   
September 30, 2023
    12.32        11.15          12.83        11.95          (3.98     (6.69     3,041,993   
June 30, 2023
    12.87        12.12          13.56        12.72          (5.09     (4.72     3,325,442   
March 31, 2023
    13.27        12.39          13.73        12.97          (3.35     (4.47     3,858,408   
December 31, 2022
    12.82        11.63          13.54        12.70          (5.32     (8.43     4,348,585   
September 30, 2022
    14.43        12.06          14.82        13.08          (2.63     (7.80     3,427,337   
June 30, 2022
    15.36        12.93          15.51        14.43          (0.97     (10.40     6,302,488   
March 31, 2022
    16.92        14.85          16.89        15.66          0.18       (5.17     7,312,624   
As of December 31, 2023, BKT’s market price, NAV per Common Share, and premium/(discount) to NAV per Common Share were $12.18, $12.73, and (4.32)%, respectively.
 
   
NYSE Market Price

Per Common Share
      
NAV per Common

Share on Date of

Market Price
      
Premium/

(Discount)

on Date of
Market Price
       
BLW — During Quarter Ended   High      Low        High      Low        High     Low     Trading Volume   
December 31, 2023
  $ 13.98      $ 12.38        $ 14.11      $ 13.23          (0.92 )%      (6.42 )%      5,878,380   
September 30, 2023
    13.29        12.73          13.74        13.51          (3.28     (5.77     4,428,629   
June 30, 2023
    13.25        12.46          13.75        13.41          (3.64     (7.08     4,150,113   
March 31, 2023
    14.10        12.52          14.26        13.47          (1.12     (7.05     5,390,067   
December 31, 2022
    13.53        11.76          13.64        13.11          (0.81     (10.30     7,021,181   
September 30, 2022
    13.95        12.10          14.47        13.15          (3.59     (7.98     4,846,321   
June 30, 2022
    14.50        12.16          15.50        13.74          (6.45     (11.50     7,688,521   
March 31, 2022
    16.45        13.65          16.44        14.99          0.06       (8.94     8,580,380   
As of December 31, 2023, BLW’s market price, NAV per Common Share, and premium/(discount) to NAV per Common Share were $
13.98
, $
14.11
, and (0.92)%, respectively.
 
   
NYSE Market Price

Per Common Share
      
NAV per Common

Share on Date of

Market Price
      
Premium/
(Discount)

on Date of

Market Price
       
BIT — During Quarter Ended   High      Low        High      Low        High     Low     Trading Volume   
December 31, 2023
  $ 15.35      $ 14.36        $ 14.59      $ 13.86          5.43     3.61     4,160,619   
October 31, 2023
    15.01        13.73          14.50        13.72          3.52       0.07       5,503,757   
July 31, 2023
    14.95        14.00          14.55        14.33          2.75       (2.30     5,540,851   
April 30, 2023
    15.24        14.08          15.29        14.48          (0.33     (2.76     6,248,672   
January 31, 2023
    15.22        14.19          14.73        14.74          3.30       (3.73     6,234,148   
October 31, 2022
    16.70        14.06          15.70        14.52          6.37       (3.17     6,104,129   
July 31, 2022
    15.88        13.64          16.15        15.08          (1.67     (9.55     7,111,803   
 
 
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Shareholder Update
  
(unaudited)
 (continued)
 
   
NYSE Market Price

Per Common Share
      
NAV per Common

Share on Date of

Market Price
      
Premium/

(Discount)
 

on Date of
Market Price
       
BIT — During Quarter Ended   High      Low        High      Low        High     Low     Trading Volume   
April 30, 2022
  $ 17.10      $ 15.17        $ 17.27      $ 16.22          (0.98 )%      (6.47 )%      7,107,554   
January 31, 2022
    18.95        16.36          17.97        17.35          5.45       (5.71     7,934,072   
October 31, 2021
    19.15        18.31          18.38        18.16          4.19       0.83       6,538,043   
As of December 31, 2023, BIT’s market price, NAV per Common Share, and premium/(discount) to NAV per Common Share were $15.00, $14.76, and 1.63%, respectively.
Common shares of each Fund have historically traded at both a premium and discount to NAV.
Shares of
closed-end
funds frequently trade at a discount to their NAV. Because of this possibility and the recognition that any such discount may not be in the interest of shareholders, the Board might consider from time to time engaging in open-market repurchases, managed distribution plans, or other programs intended to reduce the discount. We cannot guarantee or assure, however, that the Board will decide to engage in any of these actions. Nor is there any guarantee or assurance that such actions, if undertaken, would result in the shares trading at a price equal or close to the NAV.
Senior Securities
The following table sets forth information regarding DSU’s outstanding senior securities as of the end of each of DSU’s last ten fiscal years, as applicable. DSU’s audited financial statements, including Deloitte & Touche LLP’s Report of Independent Registered Public Accounting Firm, and accompanying notes to financial statements, are included in this annual report.
 
DSU — Fiscal Year Ended    

Total Amount
Outstanding
(000)
 
 
 
    
Asset
Coverage
 
(a)
 
   
Liquidation
Preference
 
 
    

Average
Market Value
(000)

 
(b)
 
   
Type of 
Senior Security 
 
 
December 31, 2023
  $ 149,000      $ 4,405     $ N/A      $ 137,195       Bank Borrowings   
December 31, 2022
    164,000        3,967       N/A        215,814       Bank Borrowings   
December 31, 2021
    248,000        3,172       N/A        239,134       Bank Borrowings   
December 31, 2020
    229,000        3,349       N/A        220,721       Bank Borrowings   
December 31, 2019
    262,000        3,310       N/A        264,317       Bank Borrowings   
February 28, 2019
    278,000        3,308       N/A        293,419       Bank Borrowings   
February 28, 2018
    338,000        3,196       N/A        348,104       Bank Borrowings   
February 28, 2017
    318,000        3,455       N/A        234,238       Bank Borrowings   
February 29, 2016
    190,000        4,733       N/A        254,199       Bank Borrowings   
February 28, 2015
    295,000        3,719       N/A        303,926       Bank Borrowings   
 
 
(a)
 
Calculated by subtracting the Fund’s total liabilities (not including bank borrowings) from the Fund’s total assets and dividing this by the amount of bank borrowings, and by multiplying the results by 1,000.
 
 
(b)
 
Represents the average daily amount outstanding for loans under the revolving credit agreements.
 
 
 
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Shareholder Update
  
(unaudited)
 (continued)
 
Financial Highlights
The financial highlights table is intended to help the shareholder to understand DSU’s financial performance for the periods presented. Certain information reflects financial results for a single common share of DSU.
 
           DSU
(a)
 
    Year Ended     Year Ended     Year Ended     Year Ended     Year Ended  
      02/28/18         02/28/17         02/29/16
(i)
 
      02/28/15
(i)
 
      02/28/14
(i)
 
                     
Net asset value, beginning of year
    $ 12.70       $ 11.38       $ 12.87       $ 13.32       $ 13.15  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net investment income
(b)
      0.78         0.73         0.77         0.87         0.90  
Net realized and unrealized gain (loss)
      (0.04       1.34         (1.46       (0.43       0.28  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net increase (decrease) from investment operations
      (0.74       2.07         (0.69       0.44         1.18  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Distributions
(c)
                   
From net investment income
          (0.82           (0.75           (0.80           (0.89           (0.99
From return of capital
                                      (0.02
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total distributions
      (0.82       (0.75       (0.80       (0.89       (1.01
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net asset value, end of year
    $ 12.62       $ 12.70       $ 11.38       $ 12.87       $ 13.32  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Market price, end of year
    $ 11.47       $ 11.68       $ 9.96       $ 11.43       $ 12.24  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total Return
(d)
                   
Based on net asset value
      6.60 %
(e)
 
      19.57       (4.73 )%        4.15       9.91
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Based on market price
      5.35       25.53       (6.03 )%        0.66       (0.81 )% 
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Ratios to Average Net Assets
                   
Total expenses
      1.86       1.36 %
(f)
 
      1.18 %
(g)
 
      1.24       1.38 %
(h)
 
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total expenses after fees waived and paid indirectly
      1.85       1.35 %
(f)
 
      1.18 %
(g)
 
      1.24       1.38 %
(h)
 
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total expenses after fees waived and paid indirectly and excluding interest expense and fees, and income tax
      0.94       0.87 %
(f)
 
      0.84 %
(g)
 
      0.89       1.00 %
(h)
 
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net investment income
      6.12       6.04       6.29       6.68       6.80
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Supplemental Data
                   
Net assets, end of year (000)
    $ 742,204       $ 780,810       $ 709,236       $ 801,887       $ 829,737  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Borrowings outstanding, end of year (000)
    $ 338,000       $ 318,000       $ 190,000       $ 295,000       $ 315,000  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Asset coverage, end of year per $1,000 of bank borrowings
    $ 3,196       $ 3,455       $ 4,733       $ 3,719       $ 3,634  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Portfolio turnover rate
      59       55       41       54       54
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
 
(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)
 
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)
 
Includes payment received from an affiliate, which had no impact on the Fund’s total return.
(f)
 
Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.02%.
(g)
 
Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%.
(h)
 
Includes reorganization costs associated with the Fund’s reorganization. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense and income tax would have been 1.31%, 1.31% and 0.94%, respectively.
(i)
Per share operating performance amounts have been adjusted to reflect a
one-for-three
reverse stock split effective after the close of trading on November 15, 2016 for the shareholders of record on November 15, 2016.
 
 
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Shareholder Update
  
(unaudited)
 (continued)
 
Financial Highlights
The financial highlights table is intended to help the shareholder to understand BKT’s financial performance for the periods presented. Certain information reflects financial results for a single common share of BKT.
 
           BKT  
   
Period from
09/01/18
    Year Ended     Year Ended     Year Ended     Year Ended     Year Ended  
      to 12/31/18
(a)
 
      08/31/18
(a)
 
      08/31/17
(a)
 
      08/31/16
(a)
 
      08/31/15
(a)
 
      08/31/14
(a)
 
                         
Net asset value, beginning of period
    $ 18.94       $ 20.21       $ 20.87       $ 21.24       $ 21.81       $ 21.95  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net investment income
(b)
      0.25         0.72         0.74         0.84         0.96         1.04  
Net realized and unrealized gain (loss)
      0.07         (1.02       (0.45       (0.17       (0.35       0.12  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net increase (decrease) from investment operations
      0.32         (0.30       0.29         0.67         0.61         1.16  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Distributions
(c)
                       
From net investment income
          (0.40           (0.90           (0.95           (1.04           (1.18           (1.30
From return of capital
      (0.11       (0.07                                
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total distributions
      (0.51       (0.97       (0.95       (1.04       (1.18       (1.30
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net asset value, end of period
    $ 18.75       $ 18.94       $ 20.21       $ 20.87       $ 21.24       $ 21.81  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Market price, end of period
    $ 16.92       $ 17.31       $ 18.93       $ 19.8       $ 18.9       $ 19.26  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total Return
(d)
                       
Based on net asset value
      2.06 %
(e)
 
      (1.14 )%        1.82       3.64       3.56       6.05
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Based on market price
      0.72 %
(e)
 
      (3.44 )%        0.53       10.44       4.35       7.12
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Ratios to Average Net Assets
(f)
                       
Total expenses
      2.08 %
(g)(h)
 
      1.79       1.29       1.08       0.99 %
(i)
 
      1.02 %
(i)
 
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total expenses after fees waived and/or reimbursed
      2.08 %
(g)
 
      1.79       1.28       1.08       0.99 %
(i)
 
      1.02 %
(i)
 
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Total expenses after fees waived and/or reimbursed and excluding interest expense
      0.99 %
(g)
 
      1.04       0.90       0.89       0.90 %
(i)
 
      0.96 %
(i)
 
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Net investment income
      4.04 %
(g)
 
      3.72       3.63       4.01       4.48       4.74
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Supplemental Data
                       
Net assets, end of period (000)
    $ 398,629       $ 402,763       $ 430,830       $ 444,882       $ 452,616       $ 464,933  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Borrowings outstanding, end of period (000)
    $ 186,799       $ 186,441       $ 185,769       $ 152,859       $ 173,695       $ 205,415  
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
Portfolio turnover rate
(j)
      95       373       346       141       191       256
   
 
 
     
 
 
     
 
 
     
 
 
     
 
 
     
 
 
 
 
(a)
 
Per share operating performance amounts have been adjusted to reflect a
1-for-3
reverse stock split prior to the open of trading on the NYSE on October 18, 2022 for common stockholders of record as of the close of business on October 17, 2022.
(b)
 
Based on average shares outstanding.
(c)
 
Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(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)
 
Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:
 
             
    
Period from
09/01/18
to 12/31/18
   
Year Ended
08/31/18
   
Year Ended
08/31/17
   
Year Ended
08/31/16
   
Year Ended
08/31/15
   
Year Ended
08/31/14
 
Investments in underlying funds
        0.01     0.01            
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
(g)
 
Annualized.
(h)
 
Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 0.99%, 0.99% and 0.89% for the year ended August 31, 2015 and 0.97%, 0.97% and 0.90% for the year ended August 31, 2014, respectively.
(i)
 
Audit fees were not annualized in the calculation of the expenses ratios. 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:
 
             
    
Period from
09/01/18
12/31/18
   
Year Ended
08/31/18
   
Year Ended
08/31/17
   
Year Ended
08/31/16
   
Year Ended
08/31/15
   
Year Ended
08/31/14
 
Portfolio turnover rate (excluding MDRs)
    45     181     161     63     78     125
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
 
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    215  

Shareholder Update
  
(unaudited)
 (continued)
 
Financial Highlights
The financial highlights table is intended to help the shareholder to understand BLW’s financial performance for the periods presented. Certain information reflects financial results for a single common share of BLW.
 
    BLW  
 
   
Year Ended
08/31/18
 
 
   
Year Ended
08/31/17
 
 
   
Year Ended
08/31/16
 
 
   
Year Ended
08/31/15
 
(a)
 
   
Year Ended
08/31/14
(a)
 
 
           
Net asset value, beginning of year
  $ 17.02     $ 16.84     $ 17.04     $ 18.09     $ 17.54  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income
(b)
    0.95       1.01       1.32       1.16       1.26  
Net realized and unrealized gain (loss)
    (0.31     0.44       (0.22     (0.92     0.51  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net increase from investment operations
    0.64       1.45       1.10       0.24       1.77  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Distributions from net investment income
(c)
    (0.95     (1.27     (1.30     (1.29     (1.22
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net asset value, end of year
  $ 16.71     $ 17.02     $ 16.84     $ 17.04
(d)
 
  $ 18.09  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Market price, end of year
  $ 15.06     $ 15.99     $ 15.74     $ 14.6     $ 16.81  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total Return
(e)
         
Based on net asset value
    4.42     9.62     7.78     2.33 %
(d)
 
    10.77
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Based on market price
    0.18     10.18     17.59     (5.74 )%      6.89
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Ratios to Average Net Assets
         
Total expenses
    1.73     1.45     1.21     1.15     1.14
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses after fees waived and paid indirectly
    1.73     1.45     1.21     1.15     1.14
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses after fees waived and paid indirectly and excluding interest expense
    0.89     0.89     0.89     0.92     0.92
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income
    5.60     6.00     8.04     6.65     7.00
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Supplemental Data
         
Net assets, end of year (000)
  $ 612,048     $ 629,728     $ 623,219     $ 630,388     $ 669,382  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Borrowings outstanding, end of year (000)
  $ 234,622     $ 252,280     $ 263,445     $ 264,036     $ 293,890  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Portfolio turnover rate
    50     55     54     47     57
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
(a)
 
Consolidated Financial Highlights.
(b)
 
Based on average shares outstanding.
(c)
 
Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(d)
 
For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value per share and total return performance presented herein are different than the information previously published on August 31, 2015.
(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.
 
 
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Shareholder Update
  
(unaudited)
 (continued)
 
Financial Highlights
The financial highlights table is intended to help the shareholder to understand BIT’s financial performance for the periods presented. Certain information reflects financial results for a single common share of BIT.
 
    BIT  
     
Year Ended
10/31/18
 
(a)
 
   
Year Ended
10/31/17
 
(a)
 
   
Year Ended
10/31/16
 
(a)
 
   
Year Ended
10/31/15
 
 
   
Year Ended
10/31/14
(a)
 
 
           
Net asset value, beginning of year
  $ 20.07     $ 18.91     $ 18.91     $ 19.87     $ 18.95  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income
(b)
    1.38       1.51       1.69       1.55       1.62  
Net realized and unrealized gain (loss)
    (1.13     1.42       (0.05     (1.03     0.70  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net increase from investment operations
    0.25       2.93       1.64       0.52       2.32  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Distributions
(c)
         
From net investment income
    (1.49     (1.77     (1.64     (1.40     (1.40
From net realized gain
                      (0.08      
From return of capital
    (0.04                        
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total distributions
    (1.53     (1.77     (1.64     (1.48     (1.40
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net asset value, end of year
  $ 18.79     $ 20.07     $ 18.91     $ 18.91
(d)
 
  $ 19.87  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Market price, end of year
  $ 16.25     $ 18.55     $ 16.76     $ 16.31     $ 17.79  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total Return
(e)
         
Based on net asset value
    2.18 %
(f)
 
    17.34 %
(g)
 
    10.51 %
(f)
 
    3.87 %
(d)
 
    13.40
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Based on market price
    (4.40 )%      22.36     13.56     0.06     12.91
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Ratios to Average Net Assets
         
Total expenses
    2.90     2.33     2.05 %
(h)
 
    2.09 %
(h)
 
    2.04
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses after fees waived and paid indirectly
    2.89     2.33     2.05 %
(h)
 
    2.09 %
(h)
 
    2.04
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses after fees waived and paid indirectly and excluding interest expense and fees
    1.42     1.39     1.43 %
(h)
 
    1.53 %
(h)
 
    1.52
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income
    7.17     7.86     9.24 %
(h)
 
    7.97 %
(h)
 
    8.27
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Supplemental Data
         
Net assets, end of year (000)
  $ 710,832     $ 765,859     $ 726,381     $ 726,432     $ 763,360  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Borrowings outstanding, end of year (000)
  $ 376,302     $ 471,082     $ 427,329     $ 510,352     $ 707,294  
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Portfolio turnover rate
    38     53     52     21     29
 
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
(a)
 
Consolidated Financial Highlights.
(b)
 
Based on average shares outstanding.
(c)
 
Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(d)
 
For financial reporting purposes, the market value of certain investments was adjusted as of report date. Accordingly, the net asset value (“NAV”) per share and total return performance based on net asset value presented herein are different than the information previously published on October 31, 2015.
(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)
 
Includes payment received from an affiliate, which had no impact on the Trust’s total return.
(g)
 
Includes payment received from a settlement of litigation, which impacted the Trust’s total return. Excluding the payment from a settlement of litigation, the Trust’s total return is 16.70%.
(h)
 
Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01% for the years ended October 31, 2016 and October 31, 2015.
 
 
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    217  

Automatic Dividend Reinvestment Plan
 
Pursuant to DSU, FRA, BKT, BLW and BIT’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains and other distributions reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Fund’s Common Shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.
After DSU, FRA, BKT, BLW and BIT declare a dividend or determine to make a capital gain or other distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Funds (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Fund’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value (“NAV”) per share is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any
un-invested
portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.
You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.
Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.
The Reinvestment Plan Agent’s fees for the handling of the reinvestment of distributions will be paid by each Fund. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open-market purchases in connection with the reinvestment of all distributions. The automatic reinvestment of all distributions will not relieve participants of any U.S. federal, state or local income tax that may be payable on such dividends or distributions.
Each Fund reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Fund reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants in FRA, BKT, BLW and BIT that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share sold fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. Participants in DSU that request a sale of shares are subject to a $0.02 per share sold brokerage commission. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at computershare.com/blackrock, or in writing to Computershare, P.O. Box 43006, Providence, RI 02940-3078, Telephone: (800)
699-1236.
Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 150 Royall Street, Suite 101, Canton, MA 02021.
 
 
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Director and Officer Information 
 
Independent Directors
(a)
                 
Name
Year of Birth
(b)
       
Position(s) Held
(Length of Service)
(c)
       
Principal Occupation(s) During Past 5 Years
       
Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of Investment
Portfolios (“Portfolios”) Overseen
      
Public Company
and Other
Investment
Company
Directorships Held
During
Past 5 Years
R. Glenn Hubbard
1958
 
  
Chair of the Board (Since 2022)
Director
(Since 2007)
     Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988.      69 RICs consisting of 102 Portfolios     ADP (data and information services) from 2004 to 2020; Metropolitan Life Insurance Company (insurance); TotalEnergies SE (multi-energy)
W. Carl Kester
(d)
1951
 
 
  
Vice Chair of the Board
(Since 2022)
Director
(Since 2007)
 
 
   Baker Foundation Professor and George Fisher Baker Jr. Professor of Business Administration, Emeritus, Harvard Business School since 2022; George Fisher Baker Jr. Professor of Business Administration, Harvard Business School from 2008 to 2022; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.  
 
   71 RICs consisting of 104 Portfolios  
 
  None
Cynthia L. Egan
1955
 
 
  
Director
(Since 2016)
 
 
   Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services, for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007.  
 
   71 RICs consisting of 104 Portfolios  
 
  Unum (insurance); The Hanover Insurance Group (Board Chair); Huntsman Corporation (Lead Independent Director and
non-
Executive Vice Chair of the Board) (chemical products)
Frank J. Fabozzi
(d)
1948
 
 
  
Director
(Since 2007)
 
 
   Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) from 2011 to 2022; Professor of Practice, Johns Hopkins University since 2021; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale’s Executive Programs; Visiting Professor, Rutgers University for the Spring 2019 semester; Visiting Professor, New York University for the 2019 academic year; Adjunct Professor of Finance, Carnegie Mellon University in fall 2020 semester.  
 
   71 RICs consisting of 104 Portfolios  
 
  None
Lorenzo A. Flores
1964
 
 
  
Director
(Since 2021)
 
 
   Vice Chairman, Kioxia, Inc. since 2019; Chief Financial Officer, Xilinx, Inc. from 2016 to 2019; Corporate Controller, Xilinx, Inc. from 2008 to 2016.  
 
   69 RICs consisting of 102 Portfolios  
 
  None
Stayce D. Harris
1959
 
 
  
Director
(Since 2021)
 
 
   Lieutenant General, Inspector General of the United States Air Force from 2017 to 2019; Lieutenant General, Assistant Vice Chief of Staff and Director, Air Staff, United States Air Force from 2016 to 2017; Major General, Commander, 22nd Air Force, AFRC, Dobbins Air Reserve Base, Georgia from 2014 to 2016; Pilot, United Airlines from 1990 to 2020.  
 
   69 RICs consisting of 102 Portfolios  
 
  KULR Technology Group, Inc. in 2021; The Boeing Company (airplane manufacturer)
 
 
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Director and Officer Information 
(continued)
 
Independent Directors
(a)
(continued)
                 
Name
Year of Birth
(b)
       
Position(s) Held
(Length of Service)
(c)
       
Principal Occupation(s) During Past 5 Years
       
Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of Investment
Portfolios (“Portfolios”) Overseen
       
Public Company
and Other
Investment
Company
Directorships Held
During
Past 5 Years
J. Phillip Holloman
1955
 
  
Director
(Since 2021)
 
   President and Chief Operating Officer, Cintas Corporation from 2008 to 2018.      69 RICs consisting of 102 Portfolios      PulteGroup, Inc. (home construction); Rockwell Automation Inc. (industrial automation); Vestis Corporation (uniforms and facilities services)
Catherine A. Lynch
(d)
1961
 
 
  
Director
(Since 2016)
 
 
   Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999.  
 
   71 RICs consisting of 104 Portfolios  
 
   PennyMac Mortgage Investment Trust
Non-Management
Interested Director
(a)(f)
                 
Name
Year of Birth
(b)
       
Position(s) Held
(Length of Service)
       
Principal Occupation(s) During Past 5 Years
       
Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of Investment
Portfolios (“Portfolios”) Overseen
       
Public Company
and Other
Investment
Company
Directorships
Held During
Past 5 Years
Arthur P. Steinmetz
1958
 
 
  
Director
(Since 2023)
 
 
   Consultant, Posit PBC (enterprise data science) since 2020; Director, ScotiaBank (U.S.) from 2020 to 2023; Chairman, Chief Executive Officer and President of OppenheimerFunds, Inc. from 2015, 2014 and 2013, respectively to 2019; Trustee, President and Principal Executive Officer of 104 OppenheimerFunds funds from 2014 to 2019; Portfolio manager of various OppenheimerFunds fixed income mutual funds from 1986 to 2014.  
 
   70 RICs consisting of 103 Portfolios  
 
   Trustee of 104 OppenheimerFunds funds from 2014 to 2019
 
 
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Director and Officer Information 
(continued)
 
Interested Directors
(a)(e)
                 
Name
Year of Birth
(b)
       
Position(s) Held
(Length of Service)
(c)
       
Principal Occupation(s) During Past 5 Years
       
Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of Investment
Portfolios (“Portfolios”) Overseen
       
Public Company
and Other
Investment
Company
Directorships
Held During
Past 5 Years
Robert Fairbairn
1965
 
  
Director
(Since 2018)
 
   Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees;
Co-Chair
of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares
®
businesses from 2012 to 2016.
     97 RICs consisting of 268 Portfolios      None
John M. Perlowski
(d)
1964
 
 
  
Director
(Since 2015)
President and Chief Executive Officer
(Since 2010)
 
 
   Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.  
 
   99 RICs consisting of 270 Portfolios  
 
   None
 
(a)
 
The address of each Director is c/o BlackRock, Inc., 50 Hudson Yards, New York, New York 10001.
(b)
 
Each Independent Director holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Fund’s
by-laws
or charter or statute, or until December 31 of the year in which he or she turns 75. Directors who are “interested persons,” as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Fund’s
by-laws
or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Directors on a
case-by-case
basis, as appropriate.
(c)
 
Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Directors first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; and W. Carl Kester, 1995.
(d)
 
Dr. Fabozzi, Ms. Egan, Dr. Kester, Ms. Lynch, Mr. Steinmetz and Mr. Perlowski are also trustees of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund.
(e)
 
Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Fund based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Asset Complex.
(f)
 
Mr. Steinmetz is currently classified as a
non-management
interested Director based on his former directorship at another company that is not an affiliate of BlackRock, Inc. Mr. Steinmetz does not currently serve as an officer or employee of BlackRock, Inc. or its affiliates or own any securities of BlackRock, Inc. It is anticipated that Mr. Steinmetz will become an Independent Director effective January 19, 2024.
 
Officers Who Are Not Directors
(a)
     
Name
Year of Birth
(b)
  
Position(s) Held
(Length of Service)
  
Principal Occupation(s) During Past 5 Years
Jonathan Diorio
1980
  
Vice President
(Since 2015)
   Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015.
Trent Walker
1974
  
Chief Financial Officer
(Since 2021)
   Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored
closed-end
funds.
Jay M. Fife
1970
  
Treasurer
(Since 2007)
   Managing Director of BlackRock, Inc. since 2007.
Aaron Wasserman
1974
  
Chief Compliance Officer
(Since 2023)
   Managing Director of BlackRock, Inc. since 2018; Chief Compliance Officer of the BlackRock-advised funds in the BlackRock Multi-Asset Complex, the BlackRock Fixed-Income Complex and the iShares Complex since 2023; Deputy Chief Compliance Officer for the BlackRock-advised funds in the BlackRock Multi-Asset Complex, the BlackRock Fixed- Income Complex and the iShares Complex from 2014 to 2023.
Janey Ahn
1975
  
Secretary
(Since 2012)
   Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017.
 
(a)
 
The address of each Officer is c/o BlackRock, Inc., 50 Hudson Yards, New York, New York 10001.
(b)
 
Officers of the Fund serve at the pleasure of the Board.
 
 
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Director and Officer Information 
(continued)
 
Further information about the DSU’s, BKT’s, BLW’s and BIT’s Directors and Officers is available in the Fund’s Statement of Additional Information, which can be obtained without charge by calling (800)
441-7762.
 
Effective July 1, 2023, Aaron Wasserman replaced Charles Park as Chief Compliance Officer of the Funds.
Effective December 31, 2023, Frank Fabozzi retired as Director of the Funds.
Effective January 19, 2024, Arthur Steinmetz became an Independent Director of the Funds.
Effective October 20, 2023, Nicholas Kramvis became a portfolio manager of BKT. Mr. Kramvis has been employed by BlackRock since 2016.
Effective October 20, 2023, Ron Sion is no longer a portfolio manager of BKT.
Effective May 31, 2023, James Keenan is no longer a portfolio manager of BLW.
Effective May 31, 2023, James Keenan is no longer a porfolio manager of DSU. Effective May 31, 2023, Carly Wilson became a porfolio manager of DSU. Ms. Wilson has been employed by BlackRock since 2009.
 
 
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Additional Information
 
Proxy Results
The Annual Meeting of Shareholders was held on July 12, 2023 for shareholders of record on May 15, 2023, to elect director nominees for each Fund. There were no broker
non-votes
with regard to any of the Funds.
Shareholders elected the Class I Directors as follows::
 
 
 
 
 
  Lorenzo A. Flores     R. Glenn Hubbard     John M. Perlowski     W. Carl Kester  
 
 
 
   
 
 
   
 
 
   
 
 
 
 Fund Name
 
Votes For
   
Votes Withheld
   
Votes For
   
Votes Withheld
   
Votes For
   
Votes Withheld
   
Votes For
   
Votes Withheld
 
 
 
 BLW
    28,606,170       986,976       27,954,467       1,638,679       28,624,532       968,614       28,557,241       1,035,905  
 BKT
    13,041,914       1,039,630       12,897,858       1,183,686       13,036,986       1,044,558       12,910,083       1,171,461  
 
 
For the Funds listed above, Directors whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Cynthia L. Egan, Robert Fairbairn, Stayce D. Harris, J. Phillip Holloman, Catherine A. Lynch, and Frank J. Fabozzi.
Shareholders elected the Class I Directors as follows:
 
 
 
 
 
  Cynthia L. Egan     Lorenzo A. Flores     Stayce D. Harris     Catherine A. Lynch  
 
 
 
   
 
 
   
 
 
   
 
 
 
 Fund Name
 
Votes For
   
Votes Withheld
   
Votes For
   
Votes Withheld
   
Votes For
   
Votes Withheld
   
Votes For
   
Votes Withheld
 
 
 
 FRA
    24,291,244       1,013,842       24,260,617       1,044,469       24,291,636       1,013,450       24,239,332       1,065,754  
 DSU
    35,000,589       1,622,967       34,309,540       2,314,016       34,719,810       1,903,746       34,027,862       2,595,694  
 
 
For the Funds listed above, Directors whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Robert Fairbairn, J Phillip Holloman, R. Glenn Hubbard, John M. Perlowski, Frank J. Fabozzi and W. Carl Kester.
Fund Certification
The Funds are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Funds filed with the SEC the certification of its chief executive officer and chief financial officer required by Section 302 of the Sarbanes-Oxley Act.
Environmental, Social and Governance (“ESG”) Integration
Although the Funds do not seek to implement a specific sustainability objective, strategy or process unless otherwise disclosed, Fund management will consider ESG factors as part of the investment process for the Funds. Fund management views ESG integration as the practice of incorporating financially material ESG data or information into investment processes with the objective of enhancing risk-adjusted returns. These ESG considerations will vary depending on the Funds’ particular investment strategies and may include consideration of third-party research as well as consideration of proprietary BlackRock research across the ESG risks and opportunities regarding an issuer. The ESG characteristics utilized in the Funds’ investment process are anticipated to evolve over time and one or more characteristics may not be relevant with respect to all issuers that are eligible for investment. Certain of these considerations may affect the Funds’ exposure to certain companies or industries. While Fund management views ESG considerations as having the potential to contribute to the Funds’ long-term performance, there is no guarantee that such results will be achieved.
Dividend Policy
Each Fund’s policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Fund employs a managed distribution plan (the “Plan”), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Fund.
The distributions paid by each Fund for any particular month may be more or less than the amount of net investment income earned by each Fund during such month. Furthermore, the final tax characterization of distributions is determined after the
year-end
of a Fund and is reported in each Fund’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. Each Fund’s taxable net investment income and net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Fund’s current and accumulated earnings and profits, the excess may be treated as a
non-taxable
return of capital.
A return of capital is a return of a portion of an investor’s original investment. A return of capital is not expected to be taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.
Such distributions, under certain circumstances, may exceed a Fund’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Fund’s total assets and net asset value (“NAV”) per share and, therefore, could have the effect of increasing the Fund’s expense ratio and reducing the amount of assets the Fund has available for long term investment.
 
 
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Additional Information
  (continued)
 
General Information
FRA does not make available copies of its Statements of Additional Information because FRA’s shares are not continuously offered, which means that the Statement of Additional Information of FRA has not been updated after completion of FRA’s offerings and the information contained in FRA’s Statement of Additional Information may have become outdated.
DSU’s, BKT’s, BLW’s and BIT’s Statement of Additional Information includes additional information about the Board and is available, without charge upon request by calling
(800)-882-0052.
The following information is a summary of certain changes since December 31, 2022. This information may not reflect all of the changes that have occurred since you purchased the relevant Fund.
Except if noted otherwise herein, there were no changes to the Funds’ charters or
by-laws
that would delay or prevent a change of control of the Funds that were not approved by the shareholders. Except if noted otherwise herein, there have been no changes in the persons who are primarily responsible for the
day-to-day
management of the Funds’ portfolios.
In accordance with Section 23(c) of the Investment Company Act of 1940, each Fund may from time to time purchase shares of its common stock in the open market or in private transactions.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at
blackrock.com
. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.
Electronic Delivery
Shareholders can sign up for
e-mail
notifications of quarterly statements, annual and semi-annual shareholder reports and, for DSU, BKT, BLW and BIT only, prospectuses, by enrolling in the electronic delivery program. Electronic copies of shareholder reports and, for DSU, BKT, BLW and BIT only, prospectuses, are available on BlackRock’s website.
To enroll in electronic delivery:
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial adviser. Please note that not all investment advisers, banks or brokerages may offer this service.
Householding
The Funds will mail only one copy of shareholder documents, including for DSU, BKT, BLW and BIT only, prospectuses, annual and semi-annual reports, Rule
30e-3
notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800)
882-0052.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form
N-PORT.
The Funds’ Forms
N-PORT
are available on the SEC’s website at
sec.gov
. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at
blackrock.com/fundreports
.
Availability of Proxy Voting Policies, Procedures and Voting Records
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent
12-month
period ended June 30 is available without charge, upon request (1) by calling (800)
882-0052;
(2) on the BlackRock website at
blackrock.com
; and (3) on the SEC’s website at
sec.gov
.
Availability of Fund Updates
BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the
“Closed-end
Funds” section of
blackrock.com
as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.
 
 
224
 
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Additional Information
  (continued)
 
Shelf Offering Program
From
time-to-time,
DSU, BKT, BLW and BIT may seek to raise additional equity capital through a Shelf Offering. In a Shelf Offering, DSU, BKT, BLW and BIT may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above DSU’s, BKT’s BLW’s and BIT’s NAV per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow DSU, BKT, BLW and BIT to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks – including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market.
DSU, BKT, BLW and BIT filed final prospectuses with the SEC in connection with their Shelf Offerings on January 3, 2023, June 23, 2022, May 17, 2022 and May 3, 2022, respectively. This report and the prospectuses of DSU, BKT, BLW and BIT are not offers to sell DSU, BKT, BLW and BIT Common Shares or solicitations of an offer to buy DSU, BKT, BLW and BIT Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectuses of DSU, BKT, BLW and BIT contain important information about DSU, BKT, BLW and BIT, including their investment objectives, risks, charges and expenses. Investors are urged to read the prospectuses of DSU, BKT, BLW and BIT carefully and in their entirety before investing. Copies of the final prospectuses for DSU, BKT, BLW and BIT can be obtained from BlackRock at
blackrock.com.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their
non-public
personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal
non-public
information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to
non-affiliated
third parties any
non-public
personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These
non-affiliated
third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to
non-public
personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the
non-public
personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
Fund and Service Providers
 
Investment Adviser
 
Transfer Agent
BlackRock Advisors, LLC
 
Computershare Trust Company, N.A.
Wilmington, DE 19809
 
Canton, MA 02021
Sub-Adviser
 
Independent Registered Public Accounting
BlackRock International Limited
 
Deloitte & Touche LLP
Edinburgh, EH3 8BL
 
Boston, MA 02116
United Kingdom
 
 
Legal Counsel
BlackRock (Singapore) Limited
(a)
 
Willkie Farr & Gallagher LLP
079912 Singapore
 
New York, NY 10019
Accounting Agent and Custodian
 
Address of the Funds
State Street Bank and Trust Company
 
100 Bellevue Parkway
Boston, MA 02114
 
Wilmington, DE 19809
 
(a)
 
For BLW and BIT.
 
 
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  225

Glossary of Terms Used in this Report
 
Currency Abbreviation
EUR    Euro
GBP    British Pound
USD    United States Dollar
Portfolio Abbreviation
CLO    Collateralized Loan Obligation
CMT    Constant Maturity Treasury
CR    Custodian Receipt
DAC    Designated Activity Company
ETF    Exchange-Traded Fund
EURIBOR    Euro Interbank Offered Rate
FEDL    Fed Funds Effective Rate
GO    General Obligation Bonds
IO    Interest Only
LIBOR    London Interbank Offered Rate
MTA    Month Treasury Average
PIK   
Payment-in-Kind
PO    Principal Only
REIT    Real Estate Investment Trust
REMIC    Real Estate Mortgage Investment Conduit
SCA    Societe en Commandite par Actions
SG    Syncora Guarantee
SOFR    Secured Overnight Financing Rate
SOFR CME   
Secured Overnight Financing Rate Chicago Mercantile Exchange
SONIA    Sterling Overnight Interbank Average Rate
STRIP    Separate Trading of Registered Interest & Principal
TBA   
To-Be-Announced
 
 
226
 
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Want to know more?
blackrock.com  |
 800-882-0052
This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. Statements and other information herein are as dated and are subject to change.
CEFT-BK3-12/23-AR
 
LOGO
   LOGO


(b) Not Applicable


Item 2 –

Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-882-0052, option 4.

 

Item 3 –

Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Frank J. Fabozzi

Lorenzo A. Flores

Catherine A. Lynch

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

Item 4 –

Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

 

     (a) Audit Fees   

(b) Audit-Related

Fees1

   (c) Tax Fees2    (d) All Other Fees
Entity Name  

Current
Fiscal
Year

End

  

Previous

Fiscal
Year
End

   Current
Fiscal
Year
End
  

Previous
Fiscal
Year

End

  

Current
Fiscal
Year

End

  

Previous
Fiscal
Year

End

  

Current
Fiscal
Year

End

  

Previous
Fiscal
Year

End

BlackRock Income Trust, Inc.   $41,616    $39,984    $10,000    $0    $8,840    $8,500    $407    $431

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):

 

2


     Current Fiscal Year End   Previous Fiscal Year End
(b) Audit-Related Fees1   $0   $0
(c) Tax Fees2   $0   $0
(d) All Other Fees3   $2,154,000   $2,098,000

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

3 Non-audit fees of $2,154,000 and $2,098,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

 

3


(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

 

Entity Name    Current Fiscal Year
End
   Previous Fiscal Year
End
BlackRock Income Trust, Inc.    $19,247    $8,931

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored or advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

 

Current Fiscal Year End  

Previous Fiscal

Year End

$2,154,000

  $2,098,000

These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

(i) – Not Applicable

(j) – Not Applicable

 

Item 5 –

Audit Committee of Listed Registrant

(a) The following individuals are members of the registrant’s separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

Frank J. Fabozzi

Lorenzo A. Flores

J. Phillip Holloman

Catherine A. Lynch

(b) Not Applicable

 

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.

 

4


Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL, a copy of the Fund’s Global Corporate Governance & Engagement Principles are attached as Exhibit 99.GLOBAL.CORP.GOV and a copy of the Fund’s Corporate Governance and Proxy Voting Guidelines for U.S. Securities are attached as Exhibit 99.US.CORP.GOV. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

 

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies

(a)(1) As of the date of filing this Report:

The registrant is managed by a team of investment professionals comprised of Matthew Kraeger, Managing Director at BlackRock, and Nicholas Kramvis, Director at BlackRock. Messrs. Kraeger and Kramvis are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio, which includes setting the Fund’s overall investment strategy, overseeing the management of the Fund and/or selection of its investments. Messrs. Kraeger has been a member of the Fund’s portfolio management team since 2016. Mr. Kramvis has been a member of the Fund’s portfolio management team since 2023.

 

Portfolio Manager    Biography

Matthew Kraeger

   Managing Director of BlackRock since 2015; Director of BlackRock from 2009 to 2014; Vice President of BlackRock from 2006 to 2008; Associate of BlackRock from 2002 to 2005.

Nicholas Kramvis

   Director at BlackRock since 2016; Vice President at Barclays from 2008-2016; started his career at Lehman Brothers in 2007.

 

5


(a)(2) As of December 31, 2023:

 

    

(ii) Number of Other Accounts Managed

and Assets by Account Type

  

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

 

Other

Registered

Investment

Companies

  

Other Pooled

Investment

Vehicles

  

Other

Accounts

  

Other

Registered

Investment

Companies

  

Other Pooled

Investment

Vehicles

  

Other

Accounts

Matthew Kraeger

  6    7    22    0    0    4
     $2.09 Billion      $2.48 Billion      $17.62 Billion     $0    $0     $5.41 Billion 

Nicholas Kramvis

  0    0    1    0    0    0
    $0    $0    $142.0 Million    $0    $0    $0

(iv) Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc. its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc. or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Messrs. Kraeger and Kramvis may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Kraeger and Kramvis may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

 

6


(a)(3) As of December 31, 2023:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of December 31, 2023.

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

Base Compensation. Generally, portfolio managers receive base compensation based on their position with the firm.

Discretionary Incentive Compensation. Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the funds or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are:

 

Portfolio Manager   Benchmark

Matthew Kraeger

 

A combination of market-based indices (e.g. FTSE Mortgage Index, Bloomberg GNMA MBS Index), certain customized indices and certain fund industry peer groups.

 

Nicholas Kramvis

 

FTSE Mortgage Index.

 

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.

 

7


Portfolio managers receive their annual discretionary incentive compensation in the form of cash. Portfolio managers whose total compensation is above a specified threshold also receive deferred BlackRock, Inc. stock awards annually as part of their discretionary incentive compensation. Paying a portion of discretionary incentive compensation in the form of deferred BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. In some cases, additional deferred BlackRock, Inc. stock may be granted to certain key employees as part of a long-term incentive award to aid in retention, align interests with long-term shareholders and motivate performance. Deferred BlackRock, Inc. stock awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest pursuant to the terms of the applicable plan and, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have deferred BlackRock, Inc. stock awards.

For certain portfolio managers, a portion of the discretionary incentive compensation is also distributed in the form of deferred cash awards that notionally track the returns of select BlackRock investment products they manage, which provides direct alignment of portfolio manager discretionary incentive compensation with investment product results. Deferred cash awards vest ratably over a number of years and, once vested, settle in the form of cash. Only portfolio managers who manage specified products and whose total compensation is above a specified threshold are eligible to participate in the deferred cash award program.

Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($330,000 for 2023). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

(a)(4) Beneficial Ownership of Securities – As of December 31, 2023.

 

Portfolio Manager   Dollar Range of Equity Securities
of the Fund Beneficially Owned

Matthew Kraeger

  $10,001 - $50,000 

Nicholas Kramvis

  None

 

8


(b) Not Applicable

 

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

 

Item 13 –

Recovery of Erroneously Awarded Compensation – Not Applicable

 

Item 14 –

Exhibits attached hereto

(a)(1) Code of Ethics – See Item 2

(a)(2) Section 302 Certifications are attached

(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

(c) Report of Independent Registered Public Account Firm

 

 

9


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: February 26, 2024

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: February 26, 2024

 

 

By:

    

/s/ Trent Walker          

      

Trent Walker

      

Chief Financial Officer (principal financial officer) of

      

BlackRock Income Trust, Inc.

Date: February 26, 2024

 

10

EX-99.CERT 2 d705835dex99cert.htm CERTIFICATION PURSUANT TO SECTION 302 Certification Pursuant to Section 302

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 registrant’s 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 registrant’s 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 registrant’s 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 registrant’s internal control over financial reporting; and

5.   The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s 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 registrant’s 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 registrant’s internal control over financial reporting.

Date: February 26, 2024

/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 registrant’s 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 registrant’s 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 registrant’s 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 registrant’s internal control over financial reporting; and

5.   The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s 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 registrant’s 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 registrant’s internal control over financial reporting.

Date: February 26, 2024

/s/ Trent Walker  

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Income Trust, Inc.

EX-99.906CERT 3 d705835dex99906cert.htm CERTIFICATION PURSUANT TO SECTION 906 Certification Pursuant to Section 906

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 Registrant’s Report on Form N-CSR for the period ended December 31, 2023 (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: February 26, 2024

/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 Registrant’s Report on Form N-CSR for the period ended December 31, 2023 (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: February 26, 2024

/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.

EX-99.CONSENT 4 d705835dex99consent.htm CONSENT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Consent of Independent Registered Public Accounting Firm

CONSENT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

We consent to the incorporation by reference in Registration Statement 333-262743 on Form N-2 of our report dated February 26, 2024, relating to the financial statements and financial highlights of BlackRock Income Trust, Inc. appearing in this Annual Report on Form N-CSR for the year ended December 31, 2023.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

February 29, 2024

EX-99.PROXYPOL 5 d705835dex99proxypol.htm PROXY VOTING POLICY AND PROCEDURES Proxy Voting Policy and Procedures

Closed-End Fund Proxy Voting Policy

August 1, 2021

 

LOGO

 

 

Closed-End Fund Proxy Voting Policy

 

Procedures Governing Delegation of Proxy Voting to Fund Adviser

 

 

Effective Date: August 1, 2021

Last Review Date: August 25, 2023

 

 

 

 

Applies to the following types of Funds registered under the 1940 Act:

Open-End Mutual Funds (including money market funds)

Money Market Funds

Exchange-Traded Funds

Closed-End Funds

Other

 

 

Objective and Scope

Set forth below is the Closed-End Fund Proxy Voting Policy.

Policy / Document Requirements and Statements

The Boards of Trustees/Directors (the “Directors”) of the closed-end funds advised by BlackRock Advisors, LLC (“BlackRock”), (the “Funds”) have the responsibility for the oversight of voting proxies relating to portfolio securities of the Funds, and have determined that it is in the best interests of the Funds and their shareholders to delegate that responsibility to BlackRock as part of BlackRock’s authority to manage, acquire and dispose of account assets, all as contemplated by the Funds’ respective investment management agreements.

BlackRock has adopted guidelines and procedures (together and as from time to time amended, the “BlackRock proxy voting guidelines”) governing proxy voting by accounts managed by BlackRock. BlackRock will cast votes on behalf of each of the Funds on specific proxy issues in respect of securities held by each such Fund in accordance with the BlackRock Proxy voting guidelines; provided, however, that in the case of underlying closed-end funds (including business development companies and other similarly-situated asset pools) held by the Funds that have, or are proposing to adopt, a classified board structure, BlackRock will typically (a) vote in favor of proposals to adopt classification and against proposals to eliminate classification, and (b) not vote against directors as a result of their adoption of a classified board structure.

BlackRock will report on an annual basis to the Directors on (1) a summary of the proxy voting process as applicable to the Funds in the preceding year together with a representation that all votes were in accordance with the BlackRock proxy voting guidelines (as modified pursuant to the immediately preceding paragraph), and (2) any changes to the BlackRock proxy voting guidelines that have not previously been reported.

 

LOGO      
      Public    Page 1 of 1
EX-99.GLOBALCORPGOV 6 d705835dex99globalcorpgov.htm GLOBAL CORPORATE GOVERNANCE & ENGAGEMENT PRINCIPLES Global Corporate Governance & Engagement Principles

LOGO

BlackRock Investment Stewardship Global Principles Effective as of January 2024


Contents

 

Introduction to BlackRock

     3  

Philosophy on investment stewardship

     3  

Shareholder rights

     3  

Key themes

     5  

Boards and directors

     6  

Auditors and audit-related issues

     8  

Capital structure, mergers, asset sales, and other special transactions

     9  

Executive compensation

     10  

Material sustainability-related risks and opportunities

     11  

Other corporate governance matters and shareholder protections

     13  

Shareholder proposals

     14  

BlackRock’s oversight of its investment stewardship activities

     15  

Vote execution

     16  

Voting Choice

     17  

Conflicts management policies and procedures

     17  

Securities lending

     18  

Voting guidelines

     19  

Reporting and vote transparency

     19  

The purpose of this document is to provide an overarching explanation of BlackRock’s approach globally to our responsibilities as a shareholder on behalf of our clients, our expectations of companies, and our commitments to clients in terms of our own governance and transparency.

 

BlackRock Investment Stewardship    Global Principles | 2


Introduction to BlackRock

BlackRock’s purpose is to help more and more people experience financial well-being. We manage assets on behalf of institutional and individual clients, across a full spectrum of investment strategies, asset classes, and regions. Our client base includes pension plans, endowments, foundations, charities, official institutions, insurers, and other financial institutions, as well as individuals around the world.

Philosophy on investment stewardship

As part of our fiduciary duty to our clients, we consider it one of our responsibilities to promote sound corporate governance as an informed, engaged shareholder on their behalf. At BlackRock, this is the responsibility of the BlackRock Investment Stewardship (BIS) team.

In our experience, sound governance is critical to the success of a company, the protection of investors’ interests, and long-term financial value creation. We take a constructive, long-term approach with companies and seek to understand how they are managing the drivers of risk and financial value creation in their business models. We have observed that well-managed companies will effectively evaluate and address risks and opportunities relevant to their businesses, which supports durable, long-term financial value creation. As one of many minority shareholders, BlackRock cannot – and does not try to – direct a company’s strategy or its implementation.

Shareholder rights

We believe that there are certain fundamental rights attached to shareholding. Shareholders should have the right to:

 

   

Elect, remove, and nominate directors, approve the appointment of the auditor, and amend the corporate charter or by-laws.

 

   

Vote on key board decisions that are material to the protection of their investment, including but not limited to, changes to the purpose of the business, dilution levels and pre-emptive rights, and the distribution of income and capital structure.

 

   

Access sufficient and timely information on material governance, strategic, and business matters to make informed decisions.

In our view, shareholder voting rights should be proportionate to economic ownership—the principle of “one share, one vote” helps to achieve this balance.

Consistent with these shareholder rights, BlackRock monitors and provides feedback to companies in our role as stewards of our clients’ assets. Investment stewardship is how we use our voice as an investor to promote sound corporate governance and business practices that support the ability of companies to deliver long-term financial performance for our clients. We do this through engagement with companies, proxy voting on behalf of those clients who have given us authority, and participating in market-level dialogue to improve corporate governance standards.

Engagement is an important mechanism for providing feedback on company practices and disclosures, particularly where our observations indicate that they could be enhanced to support a company’s ability to deliver financial performance. Similarly, it provides us with an opportunity to hear directly from company boards and management on how they believe their actions are aligned with the long-term

 

BlackRock Investment Stewardship    Global Principles | 3


economic interests of shareholders. Engagement with companies may also inform our proxy voting decisions.

As a fiduciary, we vote in the long-term economic interests of our clients. Generally, we support the recommendations of the board of directors and management. However, there may be instances where we vote against the election of directors or other management proposals, or support shareholder proposals. For instance, we may vote against management recommendations where we are concerned that the board may not be acting in the long-term economic interests of shareholders, or disclosures do not provide sufficient information to assess how material, strategic risks and opportunities are being managed. Our regional proxy voting guidelines are informed by our market-specific approach and standards of corporate governance best practices.

 

BlackRock Investment Stewardship    Global Principles | 4


Key themes

While accepted standards and norms of corporate governance can differ between markets, in our experience, there are certain globally-applicable fundamental elements of governance that contribute to a company’s ability to create long-term financial value for shareholders. These global themes are set out in this overarching set of principles (the “Principles”), which are anchored in transparency and accountability. At a minimum, it is our view that companies should observe the accepted corporate governance standards in their domestic market and we ask that, if they do not, they explain how their approach better supports durable, long-term financial value creation.

These Principles cover seven key subjects:

 

 

Boards and directors

 

 

Auditors and audit-related issues

 

 

Capital structure, mergers, asset sales, and other special transactions

 

 

Executive compensation

 

 

Material sustainability-related risks and opportunities

 

 

Other corporate governance matters and shareholder protections

 

 

Shareholder proposals

Our regional and market-specific voting guidelines explain how these Principles inform our voting decisions in relation to common ballot items for shareholder meetings in those markets. Alongside the Principles and regional voting guidelines, BIS publishes our engagement priorities which reflect the five themes on which we most frequently engage companies, where they are relevant, as these can be a source of material business risk or opportunity. Collectively, these BIS policies set out the core elements of corporate governance that guide our investment stewardship efforts globally and within each market, including when engaging with companies and voting at shareholder meetings. The BIS policies are applied on a case-by-case basis, taking into consideration the context within which a company is operating.

 

BlackRock Investment Stewardship    Global Principles | 5


Boards and directors

We believe that an effective and well-functioning board that has appropriate governance structures to facilitate oversight of a company’s management and strategic initiatives is critical to the long-term financial success of a company and the protection of shareholders’ economic interests. In our view, a strong board can be a competitive advantage to a company, providing valuable oversight of and perspectives to management on the most important decisions in support of long-term financial performance. As part of their responsibilities, board members have a fiduciary duty to shareholders to oversee the strategic direction, operations, and risk management of a company. For this reason, BIS sees engagement with and the election of directors as one of our most important responsibilities. Disclosure of material risks that may affect a company’s long-term strategy and financial value creation, including material sustainability-related factors when relevant, is essential for shareholders to appropriately understand and assess how effectively management is identifying, managing, and mitigating such risks.

The board should establish and maintain a framework of robust and effective governance mechanisms to support its oversight of the company’s strategy and operations consistent with the long-term economic interests of investors. There should be clear descriptions of the role of the board and the committees of the board and how directors engage with and oversee management. We look to the board to articulate the effectiveness of these mechanisms in overseeing the management of business risks and opportunities and the fulfillment of the company’s purpose and strategy.

Where a company has not adequately disclosed and demonstrated that its board has fulfilled these corporate governance and risk oversight responsibilities, we will consider voting against the election of directors who, on our assessment, have particular responsibility for the issues. We assess director performance on a case-by-case basis and in light of each company’s circumstances, taking into consideration their governance, business practices that support durable, long-term financial value creation, and performance. Set out below are ways in which boards and directors can demonstrate a commitment to acting in the long-term economic interests of all shareholders.

Regular accountability through director elections

It is our view that directors should stand for election on a regular basis, ideally annually. In our experience, annual director elections allow shareholders to reaffirm their support for board members and/or hold them accountable for their decisions in a timely manner. When board members are not elected annually, in our experience, it is good practice for boards to have a rotation policy to ensure that, through a board cycle, all directors have had their appointment re-confirmed, with a proportion of directors being put forward for election at each annual general meeting.

Effective board composition

Regular director elections also give boards the opportunity to adjust their composition in an orderly way to reflect developments in the company’s strategy and the market environment. In our view, it is beneficial for new directors to be brought onto the board periodically to refresh the group’s thinking, while supporting both continuity and appropriate succession planning. We consider the average overall tenure of the board, and seek a balance between the knowledge and experience of longer-serving directors and the fresh perspectives of directors who joined more recently. We encourage companies to regularly review the effectiveness of their board (including its size), and assess directors nominated for election in the context of the composition of the board as a whole. In our view, the company’s assessment should consider a number of factors, including each director’s independence and time commitments, as well as

 

BlackRock Investment Stewardship    Global Principles | 6


the diversity and relevance of director experiences and skillsets, and how these factors may contribute to the financial performance of the company.

Similarly, there should be a sufficient number of independent directors, free from conflicts of interest or undue influence from connected parties, to ensure objectivity in the decision-making of the board and its ability to oversee management. Common impediments to independence may include but are not limited to:

 

 

Current or recent employment at the company or a subsidiary

 

 

Being, or representing, a shareholder with a substantial shareholding in the company

 

 

Interlocking directorships

 

 

Having any other interest, business, or other relationship which could, or could reasonably be perceived to, materially interfere with a director’s ability to act in the best interests of the company and shareholders.

In our experience, boards are most effective at overseeing and advising management when there is a senior, independent board leader. This director may chair the board, or, where the chair is also the CEO (or is otherwise not independent), be designated as a lead independent director. The role of this director is to enhance the effectiveness of the independent members of the board through shaping the agenda, ensuring adequate information is provided to the board, and encouraging independent director participation in board deliberations. The lead independent director or another appropriate director should be available to meet with shareholders in those situations where an independent director is best placed to explain and contextualize a company’s approach.

There are matters for which the board has responsibility that may involve a conflict of interest for executives or for affiliated directors, or require additional focus. It is our view that objective oversight of such matters is best achieved when the board forms committees comprised entirely of independent directors. In many markets, these committees of the board specialize in audit, director nominations, and compensation matters. An ad hoc committee might also be formed to decide on a special transaction, particularly one involving a related party, or to investigate a significant adverse event.

When nominating directors to the board, we look to companies to provide sufficient information on the individual candidates so that shareholders can assess the capabilities and suitability of each individual nominee and their fit within overall board composition. These disclosures should give an understanding of how the collective experience and expertise of the board, as well as the particular skill-sets of individual directors, aligns with the company’s long-term strategy and business model. Highly qualified, engaged directors with professional characteristics relevant to a company’s business and strategy enhance the ability of the board to add value and be the voice of shareholders in board discussions.

It is in this context that we are interested in diversity in the board room. We see it as a means to promoting diversity of thought and avoiding “group think” when the board advises and oversees management. This position is based on our view that diversity of perspective and thought – in the board room, in the management team, and throughout the company – leads to better long-term economic outcomes for companies. Academic research has revealed correlations between specific dimensions of diversity and effects on decision-making processes and outcomes.1 In our experience, greater diversity in the board

 

 

1 For a discussion on the different impacts of diversity see: McKinsey, “Diversity Wins: How Inclusion Matters,” May 2022; Harvard Business Review, “Diverse Teams Feel Less Comfortable – and That’s Why They Perform Better,” September 2016; “Do Diverse Directors Influence DEI Outcomes,” September 2022.

 

BlackRock Investment Stewardship    Global Principles | 7


room can contribute to more robust discussions and more innovative and resilient decisions. Over time, greater diversity in the board room can also promote greater diversity and resilience in the leadership team, and the workforce more broadly. That diversity can enable companies to develop businesses that better address the needs of the customers and communities they serve.

We ask boards to disclose how diversity is considered in board composition, including professional characteristics, such as a director’s industry experience, specialist areas of expertise and geographic location; as well as demographic characteristics such as gender, race/ethnicity, and age. 

We look to understand a board’s diversity in the context of a company’s domicile, market capitalization, business model, and strategy. Increasingly, we see the most effective boards nominating directors from diverse backgrounds which helps ensure boards can more effectively understand the company’s customers, employees, and communities. We note that in many markets, policymakers have set board gender diversity goals which we may discuss with companies, particularly if there is a risk their board composition may be misaligned. Self-identified board demographic diversity can usefully be disclosed in aggregate, consistent with local law. We encourage boards to aspire to meaningful diversity of membership, while recognizing that building a strong, diverse board can take time.

Sufficient capacity

As the role and expectations of a director are increasingly demanding, directors must be able to commit an appropriate amount of time to board and committee matters. It is important that directors have the capacity to meet all of their responsibilities - including when there are unforeseen events – and therefore, they should not take on an excessive number of roles that would impair their ability to fulfill their duties.

Auditors and audit-related issues

BlackRock recognizes the critical importance of financial statements, which should provide a true and fair picture of a company’s financial condition. Accordingly, the assumptions made by management and reviewed by the auditor in preparing the financial statements should be reasonable and justified. 

The accuracy of financial statements, inclusive of financial and non-financial information as required or permitted under market-specific accounting rules, is of paramount importance to BlackRock. Investors increasingly recognize that a broader range of risks and opportunities have the potential to materially impact financial performance. Over time, we anticipate investors and other users of company reporting will increasingly seek to understand and scrutinize the assumptions underlying financial statements, particularly those that pertain to the impact of the transition to a low-carbon economy on a company’s business model and asset mix. We recognize that this is an area of evolving practice and note that international standards setters, such as the International Financial Reporting Standards (IFRS) Board and the International Auditing and Assurance Standards Board (IAASB), continue to develop their guidance to companies.2

In this context, audit committees, or equivalent, play a vital role in a company’s financial reporting system by providing independent oversight of the accounts, material financial and, where appropriate to the jurisdiction, non-financial information and internal control frameworks. Moreover, in the absence of a dedicated risk committee, these committees can provide oversight of Enterprise Risk Management

 

 

2 IFRS, “IFRS S1 General Requirements for Disclosure of Sustainability-related Financial Information”, June 2023, and IAASB, “IAASB Launches Public Consultation on Landmark Proposed Global Sustainability Assurance Standard”, August 2023.

 

BlackRock Investment Stewardship    Global Principles | 8


systems.3 In our view, effective audit committee oversight strengthens the quality and reliability of a company’s financial statements and provides an important level of reassurance to shareholders.

We hold members of the audit committee or equivalent responsible for overseeing the management of the audit function. Audit committees or equivalent should have clearly articulated charters that set out their responsibilities and have a rotation plan in place that allows for a periodic refreshment of the committee membership to introduce fresh perspectives to audit oversight. We recognize that audit committees will rely on management, internal audit, and the independent auditor in fulfilling their responsibilities but look to committee members to demonstrate they have relevant expertise to monitor and oversee the audit process and related activities.

We take particular note of unexplained changes in reporting methodology, cases involving significant financial restatements, or ad hoc notifications of material financial weakness. In this respect, audit committees should provide timely disclosure on the remediation of Key and Critical Audit Matters identified either by the external auditor or internal audit function.

The integrity of financial statements depends on the auditor being free of any impediments to being an effective check on management. To that end, it is important that auditors are, and are seen to be, independent. Where an audit firm provides services to the company in addition to the audit, the fees earned should be disclosed and explained. Audit committees should have in place a procedure for assessing annually the independence of the auditor and the quality of the external audit process.

Comprehensive disclosure provides investors with a sense of the company’s long-term operational risk management practices and, more broadly, the quality of the board’s oversight. The audit or risk committee, should periodically review the company’s risk assessment and risk management policies and the significant risks and exposures identified by management, the internal auditors or the independent auditors and management’s steps to address them. In the absence of detailed disclosures, we may reasonably conclude that companies are not adequately managing risk.

Capital structure, mergers, asset sales, and other special transactions

The capital structure of a company is critical to shareholders as it impacts the value of their investment and the priority of their interest in the company relative to that of other equity or debt investors. Preemptive rights are a key protection for shareholders against the dilution of their interests.

Effective voting rights are basic rights of share ownership and a core principle of effective governance. Shareholders, as the residual claimants, have the strongest interest in protecting the financial value of the company, and voting rights should match economic exposure, i.e. one share, one vote.

In principle, we disagree with the creation of a share class with equivalent economic exposure and preferential, differentiated voting rights. In our view, this structure violates the fundamental corporate governance principle of proportionality and results in a concentration of power in the hands of a few shareholders, thus disenfranchising other shareholders and amplifying any potential conflicts of interest. However, we recognize that in certain markets, at least for a period of time, companies may have a valid

 

 

3 Enterprise risk management is a process, effected by the entity’s board of directors, management, and other personnel, applied in strategy setting and across the enterprise, designed to identify potential events that may affect the entity, and manage risk to be within the risk appetite, to provide reasonable assurance regarding the achievement of objectives. (Committee of Sponsoring Organizations of the Treadway Commission (COSO), Enterprise Risk Management — Integrated Framework, September 2004, New York, NY, updated in 2017. Please see: https://www.coso.org/SitePages/Home.aspx).

 

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argument for listing dual classes of shares with differentiated voting rights. In our view, such companies should review these share class structures on a regular basis or as company circumstances change. Additionally, they should seek shareholder approval of their capital structure on a periodic basis via a management proposal at the company’s shareholder meeting. The proposal should give unaffiliated shareholders the opportunity to affirm the current structure or establish mechanisms to end or phase out controlling structures at the appropriate time, while minimizing costs to shareholders. 

In assessing mergers, asset sales, or other special transactions, BlackRock’s primary consideration is the long-term economic interests of our clients as shareholders. Boards proposing a transaction should clearly explain the economic and strategic rationale behind it. We will review a proposed transaction to determine the degree to which it can enhance long-term shareholder value. We find long-term investors like our clients typically benefit when proposed transactions have the unanimous support of the board and have been negotiated at arm’s length. We may seek reassurance from the board that the financial interests of executives and/or board members in a given transaction have not adversely affected their ability to place shareholders’ interests before their own. Where the transaction involves related parties, the recommendation to support should come from the independent directors, a best practice in most markets, and ideally, the terms should have been assessed through an independent appraisal process. In addition, it is good practice that it be approved by a separate vote of the non-conflicted parties.

As a matter of sound governance practice, shareholders should have a right to dispose of company shares in the open market without unnecessary restriction. In our view, corporate mechanisms designed to limit shareholders’ ability to sell their shares are contrary to basic property rights. Such mechanisms can serve to protect and entrench interests other than those of the shareholders. In our view, shareholders are broadly capable of making decisions in their own best interests. We encourage any so-called “shareholder rights plans” proposed by a board to be subject to shareholder approval upon introduction and periodically thereafter.

Executive compensation

In most markets, one of the most important roles for a company’s board of directors is to put in place a compensation structure that incentivizes and rewards executives appropriately. There should be a clear link between variable pay and operational and financial performance. Performance metrics should be stretching and aligned with a company’s strategy and business model. BIS does not have a position on the use of sustainability-related criteria in compensation structures, but in our view, where companies choose to include these components, they should be adequately disclosed, material to the company’s strategy, and as rigorous as other financial or operational targets. Long-term incentive plans should encompass timeframes that 1) are distinct from annual executive compensation structures and metrics, and 2) encourage the delivery of strong financial results over a period of years. Compensation committees should guard against contractual arrangements that would entitle executives to material compensation for early termination of their employment. Finally, pension contributions and other deferred compensation arrangements should be reasonable, in light of market practices.

We are not supportive of one-off or special bonuses unrelated to company or individual performance. Where discretion has been used by the compensation committee or its equivalent, we expect disclosure relating to how and why the discretion was used, and how the adjusted outcome is aligned with the interests of shareholders. We acknowledge that the use of peer group evaluation by compensation committees can help ensure competitive pay; however, we are concerned when the rationale for increases in total compensation at a company is solely based on peer benchmarking, rather than a rigorous

 

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measure of outperformance. We encourage companies to clearly explain how compensation outcomes have rewarded performance.

We encourage boards to consider building clawback provisions into incentive plans such that companies could clawback compensation or require executives to forgo awards when compensation was based on faulty financial statements or deceptive business practices. We also favor recoupment from or the foregoing of the grant of any awards by any senior executive whose behavior caused material financial harm to shareholders, material reputational risk to the company, or resulted in a criminal investigation, even if such actions did not ultimately result in a material restatement of past results.

Non-executive directors should be compensated in a manner that is commensurate with the time and effort expended in fulfilling their professional responsibilities. Additionally, these compensation arrangements should not risk compromising directors’ independence or aligning their interests too closely with those of the management, whom they are charged with overseeing.

We use third party research, in addition to our own analysis, to evaluate existing and proposed compensation structures. BIS may signal concerns through not supporting management’s proposals to approve compensation, where they are on the agenda. We may also vote against members of the compensation committee or equivalent board members for poor compensation practices or structures.

Material sustainability-related risks and opportunities

It is our view that well-managed companies will effectively evaluate and manage material sustainability-related risks and opportunities relevant to their businesses. As with all risks and opportunities in a company’s business model, appropriate oversight of material sustainability considerations is a core component of having an effective governance framework, which supports durable, long-term financial value creation.

Robust disclosure is essential for investors to effectively evaluate companies’ strategy and business practices related to material sustainability-related risks and opportunities. Long-term investors like our clients can benefit when companies demonstrate that they have a resilient business model through disclosures thatcover governance, strategy, risk management, and metrics and targets, including industry-specific metrics. The International Sustainability Standards Board (ISSB) standards, IFRS S1 and S2,4 provide companies with a useful guide to preparing this disclosure. The standards build on the Task Force on Climate-related Financial Disclosures (TCFD) framework and the standards and metrics developed by the Sustainability Accounting Standards Board (SASB), which have converged under the ISSB. We recognize that companies may phase in reporting aligned with the ISSB standards over several years. We also recognize that some companies may report using different standards, which may be required by regulation, or one of a number of voluntary standards. In such cases, we ask that companies highlight the metrics that are industry- or company-specific.

We note that climate and other sustainability-related disclosures often require companies to collect and aggregate data from various internal and external sources. We recognize that the practical realities of data collection and reporting may not line up with financial reporting cycles and companies may require additional time after their fiscal year-end to accurately collect, analyze, and report this data to investors.

 

 

4 The objective of IFRS S1 General Requirements for Disclosure of Sustainability-related Financial Information is to require an entity to disclose information about its sustainability-related risks and opportunities that is useful to primary users of general-purpose financial reports in making decisions relating to providing resources to the entity. The objective of IFRS S2 Climate-related Disclosures is to require an entity to disclose information about its climate-related risks and opportunities that is useful to primary users of general-purpose financial reports in making decisions relating to providing resources to the entity.

 

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That said, to give investors time to assess the data, we encourage companies to produce climate and other sustainability-related disclosures sufficiently in advance of their annual meeting, to the best of their abilities.

Companies may also choose to adopt or refer to guidance on sustainable and responsible business conduct issued by supranational organizations such as the United Nations or the Organization for Economic Cooperation and Development. Further, industry initiatives on managing specific operational risks may provide useful guidance to companies on best practices and disclosures. We find it helpful to our understanding of investment risk when companies disclose any relevant global climate and other sustainability-related standards adopted, the industry initiatives in which they participate, any peer group benchmarking undertaken, and any assurance processes to help investors understand their approach to sustainable and responsible business practices. We will express any concerns through our voting where a company’s actions or disclosures do not seem adequate in light of the materiality of the business risks. 

Climate and nature-related risk

While companies in various sectors and geographies may be affected differently by climate-related risks and opportunities, the low-carbon transition is an investment factor that can be material for many companies and economies around the globe.

We seek to understand, from company disclosures and engagement, the strategies companies have in place to manage material risks to, and opportunities for, their long-term business model associated with a range of climate-related scenarios, including a scenario in which global warming is limited to well below 2°C, considering global ambitions to achieve a limit of 1.5°C. As one of many shareholders, and typically a minority one, BlackRock does not tell companies what to do. It is the role of the board and management to set and implement a company’s long-term strategy to deliver long-term financial returns. 

Our research shows that the low-carbon transition is a structural shift in the global economy that will be shaped by changes in government policies, technology, and consumer preferences, which may be material for many companies.5 Yet the path to a low-carbon economy is deeply uncertain and uneven, with different parts of the economy moving at different speeds. BIS recognizes that it can be challenging for companies to predict the impact of climate-related risk and opportunity on their businesses and operating environments. Many companies are assessing how to navigate the low-carbon transition while delivering long-term value to investors. In this context, we encourage companies to publicly disclose, consistent with their business model and sector, how they intend to deliver long-term financial performance through the transition to a low-carbon economy. Where available, we appreciate companies publishing their transition plan.6

Consistent with the ISSB standards, we are better able to assess preparedness for the low-carbon transition when companies disclose short-, medium- and long-term targets, ideally science-based where these are available for their sector, for scope 1 and 2 greenhouse gas emissions (GHG) reductions and to demonstrate how their targets are consistent with the long-term financial interests of their investors.

 

 

5 BlackRock Investment Institute, “Tracking the low-carbon transition”, July 2023.

6 We have observed that more companies are developing such plans, and public policy makers in a number of markets are signaling their intentions to require them. We view transition plans (TPs) as a method for a company to both internally assess and externally communicate long-term strategy, ambition, objectives, and actions to create financial value through the global transition towards a low-carbon economy. While many initiatives across jurisdictions outline a framework for TPs, there is no consensus on the key elements these plans should contain. We view useful disclosure as that which communicates a company’s approach to managing financially material, business relevant risks and opportunities – including climate-related risks – to deliver long-term financial performance, thus enabling investors to make more informed decisions.

 

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While we recognize that regulators in some markets are moving to mandate certain disclosures, at this stage, we view scope 3 emissions differently from scopes 1 and 2, given methodological complexity, regulatory uncertainty, concerns about double-counting, and lack of direct control by companies. We welcome disclosures and commitments companies choose to make regarding scope 3 emissions and recognize these are provided on a good-faith basis as methodology develops. Our publicly available commentary provides more information on our approach to climate-related risks and opportunities.

In addition to climate-related risks and opportunities, the management of nature-related factors is increasingly a component of some companies’ ability to generate durable, long-term financial returns for shareholders, particularly where a company’s strategy is heavily reliant on the availability of natural capital, or whose supply chains are exposed to locations with nature-related risks. We look for such companies to disclose how they manage any reliance and impact on, as well as use of, natural capital, including appropriate risk oversight and relevant metrics and targets, to understand how these factors are integrated into strategy. We will evaluate these disclosures to inform our view of how a company is managing material nature-related risks and opportunities, as well as in our assessment of relevant shareholder proposals. Our publicly available commentary provides more information on our approach to natural capital.7

Key stakeholder interests

In order to advance long-term shareholders’ interests, companies should consider the interests of the various parties on whom they depend for their success over time. It is for each company to determine their key stakeholders based on what is material to their business and long-term financial performance. For many companies, key stakeholders include employees, business partners (such as suppliers and distributors), clients and consumers, regulators, and the communities in which they operate.

As a long-term shareholder on behalf of our clients, we find it helpful when companies disclose how they have identified their key stakeholders and considered their interests in business decision-making. In addition to understanding broader stakeholder relationships, BIS finds it helpful when companies consider the needs of their workforce today, and the skills required for their future business strategy. We are also interested to understand the role of the board, which is well positioned to ensure that the approach taken is informed by and aligns with the company’s strategy and purpose.

Companies should articulate how they address material adverse impacts that could arise from their business practices and affect critical relationships with their stakeholders. We encourage companies to implement, to the extent appropriate, monitoring processes (often referred to as due diligence) to identify and mitigate potential adverse impacts and grievance mechanisms to remediate any actual adverse material impacts. In our view, maintaining trust within these relationships can contribute to a company’s long-term success.

Other corporate governance matters and shareholder protections

 

 

7 Given the growing awareness of the materiality of these issues for certain businesses, enhanced reporting on a company’s natural capital dependencies and impacts would aid investors’ understanding. In our view, the final recommendations of the Taskforce on Nature-related Financial Disclosures may prove useful to some companies. We recognize that some companies may report using different standards, which may be required by regulation, or one of a number of other private sector standards.

 

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In our view, shareholders have a right to material and timely information on the financial performance and viability of the companies in which they invest. In addition, companies should publish information on the governance structures in place and the rights of shareholders to influence these structures. The reporting and disclosure provided by companies help shareholders assess the effectiveness of the board’s oversight of management and whether investors’ economic interests have been protected. We believe shareholders should have the right to vote on key corporate governance matters, including changes to governance mechanisms, to submit proposals to the shareholders’ meeting, and to call special meetings of shareholders.

Corporate form

In our view, it is the responsibility of the board to determine the corporate form that is most appropriate given the company’s purpose and business model.8 Companies proposing to change their corporate form to a public benefit corporation or similar entity should put it to a shareholder vote if not already required to do so under applicable law. Supporting documentation from companies or shareholder proponents proposing to alter the corporate form should clearly articulate how the interests of shareholders and different stakeholders would be impacted as well as the accountability and voting mechanisms that would be available to shareholders. As a fiduciary on behalf of clients, we generally support management proposals if our analysis indicates that shareholders’ economic interests are adequately protected. Relevant shareholder proposals are evaluated on a case-by-case basis.

Shareholder proposals

In most markets in which BlackRock invests on behalf of clients, shareholders have the right to submit proposals to be voted on by shareholders at a company’s annual or extraordinary meeting, as long as eligibility and procedural requirements are met. The matters that we see put forward by shareholders address a wide range of topics, including governance reforms, capital management, and improvements in the management or disclosure of sustainability-related risks.

BlackRock is subject to legal and regulatory requirements in the U.S. that place restrictions and limitations on how BlackRock can interact with the companies in which we invest on behalf of our clients, including our ability to submit shareholder proposals. We can vote, on behalf of clients who authorize us to do so, on proposals put forth by others.

When assessing shareholder proposals, we evaluate each proposal on its merit, with a singular focus on its implications for long-term financial value creation by that company. We believe it is helpful for companies to disclose the names of the proponent or organization that has submitted or advised on the proposal. We consider the business and economic relevance of the issue raised, as well as its materiality and the urgency with which our experience indicates it should be addressed. We would not support proposals that we believe would result in over-reaching into the basic business decisions of the company. We take into consideration the legal effect of the proposal, as shareholder proposals may be advisory or legally binding depending on the jurisdiction, while others may make requests that would be deemed illegal in a given jurisdiction.

Where a proposal is focused on a material business risk that we agree needs to be addressed and the intended outcome is consistent with long-term financial value creation, we will look to the board and management to demonstrate that the company has met the intent of the request made in the shareholder proposal. Where our analysis and/or engagement indicate an opportunity for improvement in the

 

 

8 Corporate form refers to the legal structure by which a business is organized.

 

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company’s approach to the issue, we may support shareholder proposals that are reasonable and not unduly prescriptive or constraining on management.

We recognize that some shareholder proposals bundle topics and/or specific requests and include supporting statements that explain the reasoning or objectives of the proponent. In voting on behalf of clients, we do not submit or edit proposals or the supporting statements – we must vote yes or no on the proposal as phrased by the proponent. Therefore, when we vote in support of a proposal, we are not necessarily endorsing every element of the proposal or the reasoning, objectives, or supporting statement of the proponent. We may support a proposal for different reasons from those put forth by the proponent, when we believe that, overall, it can advance our clients’ long-term financial interests. We would normally explain to the company our rationale for supporting such proposals.

Alternatively, or in addition, we may vote against the election of one or more directors if, in our assessment, the board has not responded sufficiently or with an appropriate sense of urgency. We may also support a proposal if management is on track, but we believe that voting in favor might accelerate efforts to address a material risk.

BlackRock’s oversight of its investment stewardship activities

Oversight

BlackRock maintains three regional advisory committees (Stewardship Advisory Committees) for a) the Americas; b) Europe, the Middle East and Africa; and c) Asia-Pacific, generally consisting of senior BlackRock investment professionals and/or senior employees with practical boardroom experience. The regional Stewardship Advisory Committees review and advise on amendments to BIS regional proxy voting guidelines (the Guidelines) covering markets within each respective region. The advisory committees do not determine voting decisions, which are the responsibility of BIS.

In addition to the regional Stewardship Advisory Committees, the Investment Stewardship Global Oversight Committee (Global Oversight Committee) is a risk-focused committee, comprised of senior representatives from various BlackRock investment teams, a senior legal representative, the Global Head of Investment Stewardship (Global Head), and other senior executives with relevant experience and team oversight. The Global Committee does not determine voting decisions, which are the responsibility of BIS.

The Global Head has primary oversight of the activities of BIS, including voting in accordance with the Guidelines, which require the application of professional judgment and consideration of each company’s unique circumstances. The Global Committee reviews and approves amendments to these Principles. The Global Committee also reviews and approves amendments to the regional Guidelines, as proposed by the regional Stewardship Advisory Committees.

In addition, the Global Committee receives and reviews periodic reports regarding the votes cast by BIS, as well as updates on material process issues, procedural changes, and other risk oversight considerations. The Global Committee reviews these reports in an oversight capacity as informed by the Guidelines.

BIS carries out engagement with companies, executes proxy votes, and conducts vote operations (including maintaining records of votes cast) in a manner consistent with the relevant Guidelines. BIS also conducts research on corporate governance issues and participates in industry discussions to contribute to and keep abreast of important developments in the corporate governance field. BIS may

 

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utilize third parties for certain of the foregoing activities and performs oversight of those third parties. BIS may raise complicated or particularly controversial matters for internal discussion with the relevant investment teams and governance specialists for discussion and guidance prior to making a voting decision.

Vote execution

BlackRock votes on proxy issues when our clients authorize us to do so. When BlackRock has been authorized to vote on behalf of our clients, we carefully consider proxies submitted to funds and other fiduciary account(s) (Fund or Funds) for which we have voting authority. BlackRock votes (or refrains from voting) proxies for each Fund for which we have voting authority based on our evaluation of the alignment of the voting items with the long-term economic interests of our clients, in the exercise of our independent business judgment, and without regard to the relationship of the issuer of the proxy (or any shareholder proponent or dissident shareholder) to the Fund, the Fund’s affiliates (if any), BlackRock or BlackRock’s affiliates, or BlackRock employees (see “Conflicts management policies and procedures,” below).

When exercising voting rights, BIS will normally vote on specific proxy issues in accordance with the Guidelines for the relevant market, as well as the Global Principles. The Guidelines are reviewed annually and are amended consistent with changes in the local market practice, as developments in corporate governance occur, or as otherwise deemed advisable by the applicable Stewardship Advisory Committees. BIS analysts may, in the exercise of their professional judgment, conclude that the Guidelines do not cover the specific matter upon which a proxy vote is required or that an exception to the Guidelines would be in the long-term economic interests of BlackRock’s clients.

In the uncommon circumstance of there being a vote with respect to fixed income securities or the securities of privately held issuers, the decision generally will be made by a Fund’s portfolio managers and/or BIS based on an assessment of the particular transactions or other matters at issue.

In certain markets, proxy voting involves logistical issues which can affect BIS’ ability to vote such proxies, as well as the desirability of voting such proxies. These issues include, but are not limited to: i) untimely notice of shareholder meetings; ii) restrictions on a foreigner’s ability to exercise votes; iii) requirements to vote proxies in person; iv) “share-blocking” (requirements that investors who exercise their voting rights surrender the right to dispose of their holdings for some specified period in proximity to the shareholder meeting); v) potential difficulties in translating the proxy; vi) regulatory constraints; and vii) requirements to provide local agents with unrestricted powers of attorney to facilitate voting instructions. We are not supportive of impediments to the exercise of voting rights such as share-blocking or overly burdensome administrative requirements.

As a consequence, BlackRock votes proxies in these situations on a “best-efforts” basis. In addition, BIS may determine that it is generally in the interests of BlackRock’s clients not to vote proxies (or not to vote our full allocation) if the costs (including but not limited to opportunity costs associated with share-blocking constraints) associated with exercising a vote are expected to outweigh the benefit the client would derive by voting on the proposal.

Active portfolio managers have full discretion to vote the shares in the Funds they manage based on their analysis of the economic impact of a particular ballot item on their investors. Portfolio managers may, from time to time, reach differing views on how to maximize economic value with respect to a particular investment. Therefore, portfolio managers may, and sometimes do, vote shares in the Funds under their

 

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management differently from BIS or from one another. However, because BlackRock’s clients are mostly long-term investors with long-term economic goals, ballots are generally cast in a uniform manner. 

Voting Choice

BlackRock offers a Voting Choice program, which provides eligible clients with more opportunities to participate in the proxy voting process where legally and operationally viable. BlackRock Voting Choice aims to make proxy voting easier and more accessible for eligible clients. 

Voting Choice is currently available for eligible clients invested in certain institutional pooled funds in the U.S., UK, Ireland, and Canada that utilize equity index investment strategies, as well as eligible clients in certain institutional pooled funds in the U.S., UK, and Canada that use systematic active equity (SAE) strategies. Currently, this includes over 650 pooled investment funds, including equity index funds and SAE investment funds. In addition, institutional clients in separately managed accounts (SMAs) continue to be eligible for BlackRock Voting Choice regardless of their investment strategies.9

As a result, the shares attributed to BlackRock in company share registers may be voted differently depending on whether our clients have authorized BIS to vote on their behalf, have authorized BIS to vote in accordance with a third-party policy, or have elected to vote shares in accordance with their own policy. Agreements with our clients to allow them greater control over their voting, including which policies they have selected, will be treated confidentially consistent with our treatment of similar client agreements.

Conflicts management policies and procedures

BIS maintains policies and procedures that seek to prevent undue influence on BlackRock’s proxy voting activity. Such influence might stem from any relationship between the investee company (or any shareholder proponent or dissident shareholder) and BlackRock, BlackRock’s affiliates, a Fund or a Fund’s affiliates, or BlackRock employees. The following are examples of sources of perceived or potential conflicts of interest:

 

 

BlackRock clients who may be issuers of securities or proponents of shareholder resolutions

 

 

BlackRock business partners or third parties who may be issuers of securities or proponents of shareholder resolutions

 

 

BlackRock employees who may sit on the boards of public companies held in Funds managed by BlackRock

 

 

Significant BlackRock, Inc. investors who may be issuers of securities held in Funds managed by BlackRock

 

 

Securities of BlackRock, Inc. or BlackRock investment funds held in Funds managed by BlackRock

 

 

BlackRock, Inc. board members who serve as senior executives or directors of public companies held in Funds managed by BlackRock

 

 

9 Read more about BlackRock Voting Choice on our website.

 

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BlackRock has taken certain steps to mitigate perceived or potential conflicts including, but not limited to, the following:

 

 

Adopted the Guidelines which are designed to advance our clients’ long-term economic interests in the companies in which BlackRock invests on their behalf

 

 

Established a reporting structure that separates BIS from employees with sales, vendor management, or business partnership roles. In addition, BlackRock seeks to ensure that all engagements with corporate issuers, dissident shareholders or shareholder proponents are managed consistently and without regard to BlackRock’s relationship with such parties. Clients or business partners are not given special treatment or differentiated access to BIS. BIS prioritizes engagements based on factors including, but not limited to, our need for additional information to make a voting decision or our view on the likelihood that an engagement could lead to positive outcome(s) over time for the economic value of the company. Within the normal course of business, BIS may engage directly with BlackRock clients, business partners and/or third parties, and/or with employees with sales, vendor management, or business partnership roles, in discussions regarding our approach to stewardship, general corporate governance matters, client reporting needs, and/or to otherwise ensure that proxy-related client service levels are met

 

 

Determined to engage, in certain instances, an independent third-party voting service provider to make proxy voting recommendations as a further safeguard to avoid potential conflicts of interest, to satisfy regulatory compliance requirements, or as may be otherwise required by applicable law. In such circumstances, the independent third-party voting service provider provides BlackRock with recommendations, in accordance with the Guidelines, as to how to vote such proxies. BlackRock uses an independent third-party voting service provider to make proxy voting recommendations for shares of BlackRock, Inc. and companies affiliated with BlackRock, Inc. BlackRock may also use an independent third-party voting service provider to make proxy voting recommendations for:

 

   

public companies that include BlackRock employees on their boards of directors

 

   

public companies of which a BlackRock, Inc. board member serves as a senior executive or a member of the board of directors

 

   

public companies that are the subject of certain transactions involving BlackRock Funds

 

   

public companies that are joint venture partners with BlackRock, and

 

   

public companies when legal or regulatory requirements compel BlackRock to use an independent third-party voting service provider

In selecting an independent third-party voting service provider, we assess several characteristics, including but not limited to: independence, an ability to analyze proxy issues and make recommendations in the economic interest of our clients in accordance with the Guidelines, reputation for reliability and integrity, and operational capacity to accurately deliver the assigned recommendations in a timely manner. We may engage more than one independent third-party voting service provider, in part to mitigate potential or perceived conflicts of interest at a single voting service provider. The Global Committee appoints and reviews the performance of the independent third-party voting service providers, generally on an annual basis.

Securities lending

 

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When so authorized, BlackRock acts as a securities lending agent on behalf of Funds. Securities lending is a well-regulated practice that contributes to capital market efficiency. It also enables funds to generate additional returns while allowing fund providers to keep fund expenses lower.

With regard to the relationship between securities lending and proxy voting, BlackRock cannot vote shares on loan and may determine to recall them for voting, as guided by our fiduciary responsibility to act in our clients’ financial interests. While this has occurred in a limited number of cases, the decision to recall securities on loan as part of BlackRock’s securities lending program in order to vote is based on an evaluation of various factors that include, but are not limited to, assessing potential securities lending revenue alongside the potential long-term financial value to clients of voting those securities (based on the information available at the time of recall consideration).10 BIS works with colleagues in the Securities Lending and Risk and Quantitative Analysis teams to evaluate the costs and benefits to clients of recalling shares on loan.

In almost all instances, BlackRock anticipates that the potential long-term financial value to the Fund of voting shares would be less than the potential revenue the loan may provide the Fund. However, in certain instances, BlackRock may determine, in our independent business judgment as a fiduciary, that the value of voting outweighs the securities lending revenue loss to clients and would therefore recall shares to be voted in those instances.

Periodically, BlackRock reviews our process for determining whether to recall securities on loan in order to vote and may modify it as necessary.

Voting guidelines

The voting guidelines published for each region/country in which we vote are intended to summarize BlackRock’s general philosophy and approach to issues that may commonly arise in the proxy voting context in each market where we invest. The Guidelines are not intended to be exhaustive. BIS applies the Guidelines on a case-by-case basis, in the context of the individual circumstances of each company and the specific issue under review. As such, the Guidelines do not indicate how BIS will vote in every instance. Rather, they reflect our view about corporate governance issues generally, and provide insight into how we typically approach issues that commonly arise on corporate ballots. As previously discussed, the Guidelines should be read in conjunction with the Principles and engagement priorities. Collectively, these “BIS policies” set out the core elements of corporate governance that guide our investment stewardship efforts globally and within each market, including when engaging with companies and voting at shareholder meetings. The BIS policies are applied on a case-by-case basis, taking into consideration the context within which a company is operating.

Reporting and vote transparency

We are committed to transparency in the stewardship work we do on behalf of clients. We inform clients about our engagement and voting policies and activities through direct communication and through disclosure on our website. Each year we publish an annual report that provides a global overview of our

 

 

10 Recalling securities on loan can be impacted by the timing of record dates. In the U.S., for example, the record date of a shareholder meeting typically falls before the proxy statements are released. Accordingly, it is not practicable to evaluate a proxy statement, determine that a vote has a material impact on a fund and recall any shares on loan in advance of the record date for the annual meeting. As a result, managers must weigh independent business judgement as a fiduciary, the benefit to a fund’s shareholders of recalling loaned shares in advance of an estimated record date without knowing whether there will be a vote on matters which have a material impact on the fund (thereby forgoing potential securities lending revenue for the fund’s shareholders) or leaving shares on loan to potentially earn revenue for the fund (thereby forgoing the opportunity to vote).

 

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investment stewardship engagement and voting activities and a voting spotlight that summarizes our voting over a proxy year.11 Additionally, we make public our regional proxy voting guidelines for the benefit of clients and the companies in which we invest on their behalf. We also publish commentaries to share our perspective on market developments and emerging key themes.

At a more granular level, on a quarterly basis, we publish our vote record for each company that held a shareholder meeting during the period, showing how BIS voted on each proposal and providing our rationale for any votes against management proposals or on shareholder proposals. For shareholder meetings where a vote might be high profile or of significant interest to clients, we may publish a vote bulletin after the meeting, disclosing and explaining our vote on key proposals. We also publish a quarterly list of all companies with which we engaged and the key topics addressed in the engagement meeting. 

In this way, we help inform our clients about the work we do on their behalf in promoting the governance and business practices that support durable, long-term financial value creation.

 

 

 

 

 

11 The proxy year runs from July 1 to June 30.

 

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blackrock.com/stewardship | contactstewardship@blackrock.com

This document is provided for information and educational purposes only. Investing involves risk, including the loss of principal.

Prepared by BlackRock, Inc.

©2024 BlackRock, Inc. All rights reserved. BLACKROCK is a trademark of BlackRock, Inc., or its subsidiaries in the United States and elsewhere. All other trademarks are those of their respective owners.

 

LOGO

EX-99.USCORPGOV 7 d705835dex99uscorpgov.htm CORPORATE GOVERNANCE AND PROXY VOTING GUIDELINES FOR U.S. SECURITIES Corporate Governance and Proxy Voting Guidelines for U.S. Securities

LOGO

BlackRock Investment Stewardship Proxy voting guidelines for U.S. securities Effective as of January 2024


Contents

 

Introduction

     3  

Voting guidelines

     3  

Boards and directors

     4  

Board structure

     6  

Board composition and effectiveness

     8  

Board responsiveness and shareholder rights

     9  

Auditors and audit-related issues

     11  

Capital structure proposals

     11  

Mergers, acquisitions, transactions, and other special situations

     12  

Executive compensation

     14  

Material sustainability-related risks and opportunities

     17  

General corporate governance matters

     20  

Shareholder protections

     23  

 

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These guidelines should be read in conjunction with the BlackRock Investment Stewardship Global Principles.

Introduction

BlackRock’s clients depend on us to help them meet their long-term investment goals. Given that the business decisions that companies make have a direct impact on our clients’ long-term investment outcomes and financial well-being, we consider it one of our responsibilities to promote sound corporate governance as an informed, engaged shareholder on their behalf. At BlackRock, this is the responsibility of the BlackRock Investment Stewardship (BIS) team, which serves as a link between BlackRock’s clients and the companies we invest in on their behalf. In BIS’ experience, sound governance is critical to the success of a company, the protection of investors’ interests, and long-term financial value creation.

To that end, BIS takes a long-term approach to stewardship, focused on understanding the drivers of risk and financial value creation in companies’ business models. We do this in three ways:

 

  1.

Engaging with companies to build our understanding of a company’s approach to corporate governance and business risks and opportunities.

 

  2.

Voting at shareholder meetings on management and shareholder proposals on behalf of clients who have delegated voting authority to BlackRock. Voting is the formal mechanism through which we signal our support for, or concerns about, how companies are serving the long-term financial interests of BlackRock’s clients.

 

  3.

Contributing to emerging thinking on stewardship to share our perspectives with clients, policymakers, and others in the corporate governance ecosystem, on topical and emerging stewardship issues that we believe may impact clients’ financial interests as long-term investors.

The following issue-specific proxy voting guidelines (the “Guidelines”) summarize BIS’ philosophy and approach to engagement and voting, as well as our view of governance best practices and the roles and responsibilities of boards and directors for publicly listed U.S. companies. These Guidelines are not intended to limit the analysis of individual issues at specific companies or provide a guide to how BIS will engage and/or vote in every instance. They are to be applied with discretion, taking into consideration the range of issues and facts specific to the company, as well as individual ballot items at shareholder meetings.

Voting guidelines

These guidelines are divided into eight key themes, which group together the issues that frequently appear on the agenda of shareholder meetings:

 

 

Boards and directors

 

 

Auditors and audit-related issues

 

 

Capital structure

 

 

Mergers, acquisitions, asset sales, and other special transactions

 

 

Executive compensation

 

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Material sustainability-related risks and opportunities

 

 

General corporate governance matters

 

 

Shareholder protections

Boards and directors

We believe that an effective and well-functioning board that has appropriate governance structures to facilitate oversight of a company’s management and strategic initiatives is critical to the long-term financial success of a company and the protection of shareholders’ economic interests. In our view, a strong board can be a competitive advantage to a company, providing valuable oversight of and perspectives to management on the most important decisions in support of long-term financial performance. As part of their responsibilities, board members have a fiduciary duty to shareholders to oversee the strategic direction, operations, and risk management of a company. For this reason, BIS sees engagement with and the election of directors as one of our most important responsibilities.

Disclosure of material risks that may affect a company’s long-term strategy and financial value creation, including material sustainability-related factors when relevant, is essential for shareholders to appropriately understand and assess how effectively management is identifying, managing, and mitigating such risks.

Where a company has not adequately disclosed and demonstrated that its board has fulfilled these corporate governance and risk oversight responsibilities, we will consider voting against the election of directors who, on our assessment, have particular responsibility for the issues, as indicated below.

Independence

It is our view that a majority of the directors on the board should be independent to ensure objectivity in the decision-making of the board and its ability to oversee management. In addition, all members of audit, compensation, and nominating/governance board committees should be independent. Our view of independence may vary from listing standards.

Common impediments to independence may include:

 

 

Employment as a senior executive by the company or a subsidiary within the past five years

 

 

An equity ownership in the company in excess of 20%

 

 

Having any other interest, business, or relationship (professional or personal) which could, or could reasonably be perceived to, materially interfere with the director’s ability to act in the best interests of the company and its shareholders

We may vote against directors who we do not consider to be independent, including at controlled companies, when we believe oversight could be enhanced with greater independent director representation. To signal our concerns, we may also vote against the chair of the nominating/governance committee, or where no chair exists, the nominating/governance committee member with the longest tenure.

 

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Oversight role of the board

The board should exercise appropriate oversight of management and the business activities of the company. Where we determine that a board has failed to do so in a way that may impede a company’s ability to deliver long-term financial value, we may vote against the responsible committees and/or individual directors.

Common circumstances are illustrated below:

 

 

Where the board has failed to facilitate quality, independent auditing or accounting practices, we may vote against members of the audit committee

 

 

Where the company has failed to provide shareholders with adequate disclosure to conclude that appropriate strategic consideration is given to material risk factors (including, where relevant, material sustainability factors), we may vote against members of the responsible committee, or the most relevant director

 

 

Where it appears that a director has acted (at the company or at other companies) in a manner that compromises their ability to represent the best long-term economic interests of shareholders, we may vote against that individual

 

 

Where a director has a multi-year pattern of poor attendance at combined board and applicable committee meetings, or a director has poor attendance in a single year with no disclosed rationale, we may vote against that individual. Excluding exigent circumstances, BIS generally considers attendance at less than 75% of the combined board and applicable committee meetings to be poor attendance

Sufficient capacity

Where a director serves on an excessive number of boards, which may limit their capacity to focus on each board’s needs, we may vote against that individual. The following identifies the maximum number of boards on which a director may serve, before BIS considers them to be over-committed:

 

 
     Total # of Public Boards
   

Public Company Executives1

   2
   

Non-Executive Directors

   4

In addition, we recognize that board leadership roles may vary in responsibility and time requirements in different markets around the world. In particular, where a director maintains a Chair role of a publicly listed company in European markets, we may consider that responsibility as equal to two board commitments, consistent with our EMEA Proxy Voting Guidelines. We will take the total number of board commitments across our global policies into account for director elections.

 

 

1 A public company executive is defined as a Named Executive Officer or Executive Chair.

 

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Risk oversight

Companies should have an established process for identifying, monitoring, and managing business and material risks. Independent directors should have access to relevant management information and outside advice, as appropriate, to ensure they can properly oversee risk. We encourage companies to provide transparency around risk management, mitigation, and reporting to the board. We are particularly interested in understanding how risk oversight processes evolve in response to changes in corporate strategy and/or shifts in the business and related risk environment. Comprehensive disclosures provide investors with a sense of the company’s long-term risk management practices and, more broadly, the quality of the board’s oversight. In the absence of robust disclosures, we may reasonably conclude that companies are not adequately managing risk.

Board Structure

Classified board of directors/staggered terms

Directors should be re-elected annually; classification of the board generally limits shareholders’ rights to regularly evaluate a board’s performance and select directors. While we will typically support proposals requesting board de-classification, we may make exceptions, should the board articulate an appropriate strategic rationale for a classified board structure. This may include when a company needs consistency and stability during a time of transition, e.g., newly public companies or companies undergoing a strategic restructuring. A classified board structure may also be justified at non-operating companies, e.g., closed-end funds or business development companies (“BDC”),2 in certain circumstances. However, in these instances, boards should periodically review the rationale for a classified structure and consider when annual elections might be more appropriate.

Without a voting mechanism to immediately address concerns about a specific director, we may choose to vote against the directors up for election at the time (see “Shareholder rights” for additional detail).

Independent leadership

There are two commonly accepted structures for independent leadership to balance the CEO role in the boardroom: 1) an independent Chair; or 2) a Lead Independent Director when the roles of Chair and CEO are combined, or when the Chair is otherwise not independent. 

In the absence of a significant governance concern, we defer to boards to designate the most appropriate leadership structure to ensure adequate balance and independence.3 However, BIS may vote against the most senior non-executive member of the board when appropriate independence is lacking in designated leadership roles.

In the event that the board chooses to have a combined Chair/CEO or a non-independent Chair, we support the designation of a Lead Independent Director, with the ability to: 1) provide formal input into board meeting agendas; 2) call meetings of the independent directors; and 3) preside at meetings of independent directors. These roles and responsibilities should be disclosed and easily accessible. 

 

 

2 A BDC is a special investment vehicle under the Investment Company Act of 1940 that is designed to facilitate capital formation for small and middle-market companies.

3 To this end, we do not view shareholder proposals asking for the separation of Chair and CEO to be a proxy for other concerns we may have at the company for which a vote against directors would be more appropriate. Rather, support for such a proposal might arise in the case of overarching and sustained governance concerns such as lack of independence or failure to oversee a material risk over consecutive years.

 

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The following table illustrates examples4 of responsibilities under each board leadership model:

 

   
      Combined Chair/CEO or CEO + Non-independent Chair    Separate Independent Chair
  

Chair/CEO or Non-

independent Chair

   Lead Independent Director    Independent Chair
     

Board

Meetings

   Authority to call full meetings of the board of directors    Authority to call meetings of independent directors    Authority to call full meetings of the board of directors
        Attends full meetings of the board of directors     
        Briefs CEO on issues arising from executive sessions     
     
Agenda    Primary responsibility for shaping board agendas, consulting with the lead independent director    Collaborates with chair/CEO to set board agenda and board information    Primary responsibility for shaping board agendas, in conjunction with CEO
     
Board Communications     Communicates with all directors on key issues and concerns outside of full board meetings    Facilitates discussion among independent directors on key issues and concerns outside of full board meetings, including contributing to the oversight of CEO and management succession planning    Facilitates discussion among independent directors on key issues and concerns outside of full board meetings, including contributing to the oversight of CEO and management succession planning

CEO and management succession planning

Companies should have a robust CEO and senior management succession plan in place at the board level that is reviewed and updated on a regular basis. Succession planning should cover scenarios over both the long-term, consistent with the strategic direction of the company and identified leadership needs over time, as well as the short-term, in the event of an unanticipated executive departure. We encourage the company to explain their executive succession planning process, including where accountability lies within the boardroom for this task, without prematurely divulging sensitive information commonly associated with this exercise.

Where there is significant concern regarding the board’s succession planning efforts, we may vote against members of the responsible committee, or the most relevant director.

During a CEO transition, companies may elect for the departing CEO to maintain a role in the boardroom. We ask for disclosures to understand the timeframe and responsibilities of this role. In such instances, we typically look for the board to have appropriate independent leadership structures in place. (See chart above.)

Director compensation and equity programs

Compensation for directors should generally be structured to attract and retain directors, while also aligning their interests with those of shareholders. In our view, director compensation packages that are

 

 

4 This table is for illustrative purposes only. The roles and responsibilities cited here are not all-encompassing and are noted for reference as to how these leadership positions may be defined.

 

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based on the company’s long-term value creation and include some form of long-term equity compensation are more likely to meet this goal.

Board composition and effectiveness

Director qualifications and skills

We encourage boards to periodically review director qualifications and skills to ensure relevant experience and diverse perspectives are represented in the boardroom. To this end, performance reviews and skills assessments should be conducted by the nominating/governance committee or the Lead Independent Director. This process may include internal board evaluations; however, boards may also find it useful to periodically conduct an assessment with a third party. We encourage boards to disclose their approach to evaluations, including objectives of the evaluation; if an external party conducts the evaluation; the frequency of the evaluations; and, whether that evaluation occurs on an individual director basis.

Board term limits and director tenure

Where boards find that age limits or term limits are a valuable mechanism for ensuring periodic board refreshment, we generally defer to the board’s determination in setting such limits. BIS will also consider the average board tenure to evaluate processes for board renewal. We may oppose boards that appear to have an insufficient mix of short-, medium-, and long-tenured directors.

In addition, where boards have adopted corporate governance guidelines regarding committee leadership and/or membership rotation, we appreciate clear disclosure of those policies.

Board diversity

As noted above, highly qualified, engaged directors with professional characteristics relevant to a company’s business enhance the ability of the board to add value and be the voice of shareholders in board discussions. In our view, a strong board provides a competitive advantage to a company, providing valuable oversight and contributing to the most important management decisions that support long-term financial performance.

It is in this context that we are interested in diversity in the boardroom. We see it as a means to promoting diversity of thought and avoiding ‘group think’ in the board’s advising of and overseeing management. It can help boards to have deeper discussions and make more resilient decisions. We ask boards to disclose how diversity is considered in board composition, including professional characteristics, such as a director’s relevant industry experience, specialist areas of expertise and geographic location; as well as demographic characteristics such as gender, race/ethnicity, and age. 

We look to understand a board’s diversity in the context of a company’s domicile, market capitalization, business model, and strategy. Increasingly, we see leading boards nominating directors from diverse backgrounds which helps ensure boards can more effectively understand the company’s customers, employees, and communities. Self-identified board demographic diversity can usefully be disclosed in aggregate, consistent with local law. We encourage boards to aspire to meaningful diversity of membership, at least consistent with local regulatory requirements and best practices, while recognizing that building a strong, diverse board can take time. We take a case-by-case approach and consider the size of the board in our evaluation of overall composition and diversity. Business model, strategy, location, and company size may also impact our analysis of board diversity. We acknowledge that these factors

 

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may also play into the various elements of diversity that a board may attract. We look for disclosures from companies to help us understand their approach and do not prescribe any particular board composition.

In the U.S., we believe that boards should aspire to at least 30% diversity of membership,5 and we encourage large companies, such as those in the S&P 500, to lead in achieving this standard. In light of market developments,6 an informative indicator of diversity for such companies is having at least two women and a director who identifies as a member of an underrepresented group.7 We recognize that companies with smaller market capitalizations and in certain sectors may face more challenges. Among these smaller companies, we look for the presence of diversity and take into consideration the steps that companies are taking to ensure diversity on their board.

In order to help investors understand overall diversity, we look to boards to disclose:

 

 

The process by which candidates for board positions are identified, including whether professional firms or other resources outside of incumbent directors’ networks are engaged to identify and/or assess candidates, and whether a diverse slate of nominees is considered for all available board nominations

 

 

How directors’ professional characteristics, which may include domain expertise such as finance or technology, and sector- or market-specific experience, are complementary and link to the company’s long-term strategy

 

 

How diversity, including professional characteristics and demographic factors, is considered in board composition, given the company’s long-term strategy and business model

To the extent that, based on our assessment of corporate disclosures, a company has not adequately explained their approach to diversity in their board composition, we may vote against members of the nominating/governance committee. Our publicly available commentary provides more information on our approach to board diversity.

Board size

We typically defer to the board in setting the appropriate size and believe that directors are generally in the best position to assess the optimal board size to ensure effectiveness. However, we may vote against the appropriate committees and/or individual directors if, in our view, the board is ineffective in its oversight, either because it is too small to allow for the necessary range of skills and experience or too large to function efficiently.

Board responsiveness and shareholder rights

Shareholder rights

 

 

5 For a discussion on the different impacts of diversity see: McKinsey, “Diversity Wins: How Inclusion Matters”, May 2022; Harvard Business Review, “Diverse Teams Feel Less Comfortable – and That’s Why They Perform Better”, September 2016; “Do Diverse Directors Influence DEI Outcomes”, September 2022

6 Spierings, Merel “Corporate Director Diversity Can Contribute to Board Effectiveness” Harvard Law School Forum on Corporate Governance (Nov. 2023) https://corpgov.law.harvard.edu/2023/11/24/us-public-company-board-diversity-in-2023/

7 Including, but not limited to, individuals who identify as Black or African American, Hispanic or Latinx, Asian, Native American or Alaska Native, or Native Hawaiian or Pacific Islander; individuals who identify as LGBTQ+; individuals who identify as underrepresented based on national, Indigenous, religious, or cultural identity; individuals with disabilities; and veterans.

 

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Where we determine that a board has not acted in the best interests of the company’s shareholders, or takes action to unreasonably limit shareholder rights, we may vote against the relevant committees and/or individual directors. Common circumstances are illustrated below:

 

 

The independent Chair or Lead Independent Director and members of the nominating/governance committee, where a board implements or renews a poison pill without shareholder approval

 

 

The independent Chair or Lead Independent Director and members of the nominating/governance committee, where a board amends the charter/articles/bylaws and where the effect may be to entrench directors or to unreasonably reduce shareholder rights

 

 

Members of the compensation committee where the company has repriced options without shareholder approval

If a board maintains a classified structure, it is possible that the director(s) or committee members with whom we have a particular concern may not be subject to election in the year that the concern arises. In such situations, we may register our concern by voting against the most relevant director(s) up for election. 

Responsiveness to shareholders

A board should be engaged with and responsive to the company’s shareholders, including acknowledging voting outcomes for director elections, compensation, shareholder proposals, and other ballot items. Where we determine that a board has not substantially addressed shareholder concerns that we deem material to the business, we may vote against the responsible committees and/or individual directors. Common circumstances are illustrated below:

 

 

The Independent Chair or Lead Independent Director, members of the nominating/governance committee, and/or the longest tenured director(s), where we observe a lack of board responsiveness to shareholders, evidence of board entrenchment, and/or failure to plan for adequate board member succession

 

 

The chair of the nominating/governance committee, or where the chair is not standing for election, the nominating/governance committee member with the longest tenure, where board member(s) at the most recent election of directors have received against votes from more than 25% of shares voted, and the board has not taken appropriate action to respond to shareholder concerns. This may not apply in cases where BIS did not support the initial vote against such board member(s)

 

 

The Independent Chair or Lead Independent Director and/or members of the nominating/governance committee, where a board fails to consider shareholder proposals that (1) receive substantial support, and (2) in our view, have a material impact on the business, shareholder rights, or the potential for long-term value creation

Majority vote requirements

Directors should generally be elected by a majority of the shares voted. We will normally support proposals seeking to introduce bylaws requiring a majority vote standard for director elections. Majority vote standards generally assist in ensuring that directors who are not broadly supported by shareholders are not elected to serve as their representatives. As a best practice, companies with either a majority vote standard or a plurality vote standard should adopt a resignation policy for directors who do not receive support from at least a majority of votes cast. Where the company already has a sufficiently robust

 

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majority voting process in place, we are unlikely to support a shareholder proposal seeking an alternative mechanism.

We note that majority voting may not be appropriate in all circumstances, for example, in the context of a contested election, or for majority-controlled companies or those with concentrated ownership structures.

Cumulative voting

As stated above, a majority vote standard is generally in the best long-term interests of shareholders, as it ensures director accountability through the requirement to be elected by more than half of the votes cast. As such, we will generally oppose proposals requesting the adoption of cumulative voting, which may disproportionately aggregate votes on certain issues or director candidates.

Auditors and audit-related issues

BIS recognizes the critical importance of financial statements to provide a complete and accurate portrayal of a company’s financial condition. Consistent with our approach to voting on directors, we seek to hold the audit committee of the board responsible for overseeing the management of the independent auditor and the internal audit function at a company.

We may vote against the audit committee members where the board has failed to facilitate quality, independent auditing. We look to public disclosures for insight into the scope of the audit committee responsibilities, including an overview of audit committee processes, issues on the audit committee agenda, and key decisions taken by the audit committee. We take particular note of cases involving significant financial restatements or material weakness disclosures, and we look for timely disclosure and remediation of accounting irregularities.

The integrity of financial statements depends on the auditor effectively fulfilling its role. To that end, we favor an independent auditor. In addition, to the extent that an auditor fails to reasonably identify and address issues that eventually lead to a significant financial restatement, or the audit firm has violated standards of practice, we may also vote against ratification.

From time to time, shareholder proposals may be presented to promote auditor independence or the rotation of audit firms. We may support these proposals when they are consistent with our views as described above.

Capital structure proposals

Equal voting rights

In our view, shareholders should be entitled to voting rights in proportion to their economic interests. In addition, companies that have implemented dual or multiple class share structures should review these structures on a regular basis, or as company circumstances change. Companies with multiple share classes should receive shareholder approval of their capital structure on a periodic basis via a management proposal on the company’s proxy. The proposal should give unaffiliated shareholders the opportunity to affirm the current structure or establish mechanisms to end or phase out controlling structures at the appropriate time, while minimizing costs to shareholders. Where companies are unwilling to voluntarily implement “one share, one vote” within a specified timeframe, or are unresponsive

 

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to shareholder feedback for change over time, we generally support shareholder proposals to recapitalize stock into a single voting class.

Blank check preferred stock

We frequently oppose proposals requesting authorization of a class of preferred stock with unspecified voting, conversion, dividend distribution, and other rights (“blank check” preferred stock) because they may serve as a transfer of authority from shareholders to the board and as a possible entrenchment device. We generally view the board’s discretion to establish voting rights on a when-issued basis as a potential anti-takeover device, as it affords the board the ability to place a block of stock with an investor sympathetic to management, thereby foiling a takeover bid without a shareholder vote. 

Nonetheless, we may support the proposal where the company:

 

 

Appears to have a legitimate financing motive for requesting blank check authority

 

 

Has committed publicly that blank check preferred shares will not be used for anti-takeover purposes

 

 

Has a history of using blank check preferred stock for financings

 

 

Has blank check preferred stock previously outstanding such that an increase would not necessarily provide further anti-takeover protection but may provide greater financing flexibility

Increase in authorized common shares

BIS will evaluate requests to increase authorized shares on a case-by-case basis, in conjunction with industry-specific norms and potential dilution, as well as a company’s history with respect to the use of its common shares.

Increase or issuance of preferred stock

We generally support proposals to increase or issue preferred stock in cases where the company specifies the voting, dividend, conversion, and other rights of such stock and where the terms of the preferred stock appear reasonable.

Stock splits

We generally support stock splits that are not likely to negatively affect the ability to trade shares or the economic value of a share. We generally support reverse stock splits that are designed to avoid delisting or to facilitate trading in the stock, where the reverse split will not have a negative impact on share value (e.g., one class is reduced while others remain at pre-split levels). In the event of a proposal for a reverse split that would not proportionately reduce the company’s authorized stock, we apply the same analysis we would use for a proposal to increase authorized stock.

Mergers, acquisitions, transactions, and other special situations

Mergers, acquisitions, and transactions

In assessing mergers, acquisitions, or other transactions – including business combinations involving Special Purpose Acquisition Companies (“SPACs”) – BIS’ primary consideration is the long-term economic interests of our clients as shareholders. Boards should clearly explain the economic and

 

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strategic rationale for any proposed transactions or material changes to the business. We will review a proposed transaction to determine the degree to which it has the potential to enhance long-term shareholder value. While mergers, acquisitions, asset sales, business combinations, and other special transaction proposals vary widely in scope and substance, we closely examine certain salient features in our analyses, such as:

 

 

The degree to which the proposed transaction represents a premium to the company’s trading price. We consider the share price over multiple time periods prior to the date of the merger announcement. We may consider comparable transaction analyses provided by the parties’ financial advisors and our own valuation assessments. For companies facing insolvency or bankruptcy, a premium may not apply

 

 

There should be clear strategic, operational, and/or financial rationale for the combination

 

 

Unanimous board approval and arm’s-length negotiations are preferred. We will consider whether the transaction involves a dissenting board or does not appear to be the result of an arm’s-length bidding process. We may also consider whether executive and/or board members’ financial interests appear likely to affect their ability to place shareholders’ interests before their own, as well as measures taken to address conflicts of interest

 

 

We prefer transaction proposals that include the fairness opinion of a reputable financial advisor assessing the value of the transaction to shareholders in comparison to recent similar transactions

Contested director elections and special situations

Contested elections and other special situations8 are assessed on a case-by-case basis. We evaluate a number of factors, which may include: the qualifications and past performance of the dissident and management candidates; the validity of the concerns identified by the dissident; the viability of both the dissident’s and management’s plans; the ownership stake and holding period of the dissident; the likelihood that the dissident’s strategy will produce the desired change; and whether the dissident represents the best option for enhancing long-term shareholder value.

We will evaluate the actions that the company has taken to limit shareholders’ ability to exercise the right to nominate dissident director candidates, including those actions taken absent the immediate threat of a contested situation. BIS may take voting action against directors (up to and including the full board) where those actions are viewed as egregiously infringing on shareholder rights.

We will consider a variety of possible voting outcomes in contested situations, including the ability to support a mix of management and dissident nominees.

Poison pill plans

Where a poison pill is put to a shareholder vote by management, our policy is to examine these plans individually. Although we have historically opposed most plans, we may support plans that include a reasonable “qualifying offer clause.” Such clauses typically require shareholder ratification of the pill and stipulate a sunset provision whereby the pill expires unless it is renewed. These clauses also tend to specify that an all-cash bid for all shares that includes a fairness opinion and evidence of financing does

 

 

8 Special situations are broadly defined as events that are non-routine and differ from the normal course of business for a company’s shareholder meeting, involving a solicitation other than by management with respect to the exercise of voting rights in a manner inconsistent with management’s recommendation. These may include instances where shareholders nominate director candidates, oppose the view of management and/or the board on mergers, acquisitions, or other transactions, etc.

 

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not trigger the pill, but forces either a special meeting at which the offer is put to a shareholder vote or requires the board to seek the written consent of shareholders, where shareholders could rescind the pill at their discretion. We may also support a pill where it is the only effective method for protecting tax or other economic benefits that may be associated with limiting the ownership changes of individual shareholders. Lastly, we look for shareholder approval of poison pill plans within one year of adoption of implementation.

Reimbursement of expense for successful shareholder campaigns

We generally do not support shareholder proposals seeking the reimbursement of proxy contest expenses, even in situations where we support the shareholder campaign. Introducing the possibility of such reimbursement may incentivize disruptive and unnecessary shareholder campaigns.

Executive compensation

A company’s board of directors should put in place a compensation structure that balances incentivizing, rewarding, and retaining executives appropriately across a wide range of business outcomes. This structure should be aligned with shareholder interests, particularly the generation of sustainable, long-term value.

The compensation committee should carefully consider the specific circumstances of the company and the key individuals the board is focused on incentivizing. We encourage companies to ensure that their compensation plans incorporate appropriate and rigorous performance metrics, consistent with corporate strategy and market practice. Performance-based compensation should include metrics that are relevant to the business and stated strategy and/or risk mitigation efforts. Goals, and the processes used to set these goals, should be clearly articulated and appropriately rigorous. We use third party research, in addition to our own analysis, to evaluate existing and proposed compensation structures. We hold members of the compensation committee, or equivalent board members, accountable for poor compensation practices and/or structures.

There should be a clear link between variable pay and company performance that drives sustained value creation for our clients as shareholders. Where compensation structures provide for a front-loaded9 award, we look for appropriate structures (including vesting and/or holding periods) that motivate sustained performance for shareholders over a number of years. We generally do not favor programs focused on awards that require performance levels to be met and maintained for a relatively short time period for payouts to be earned, unless there are extended vesting and/or holding requirements.

Compensation structures should generally drive outcomes that align the pay of the executives with performance of the company and the value received by shareholders. When evaluating performance, we examine both executive teams’ efforts, as well as outcomes realized by shareholders. Payouts to executives should reflect both the executive’s contributions to the company’s ongoing success, as well as exogenous factors that impacted shareholder value. Where discretion has been used by the compensation committee, we look for disclosures relating to how and why the discretion was used and how the adjusted outcome is aligned with the interests of shareholders. While we believe special awards10 should be used sparingly, we acknowledge that there may be instances when such awards are appropriate. When evaluating these awards, we consider a variety of factors, including the magnitude and

 

 

9 Front-loaded awards are generally those that accelerate the grant of multiple years’ worth of compensation in a single year.

10 “Special awards” refers to awards granted outside the company’s typical compensation program.

 

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structure of the award, the scope of award recipients, the alignment of the grant with shareholder value, and the company’s historical use of such awards, in addition to other company-specific circumstances.

We acknowledge that the use of peer group evaluation by compensation committees can help calibrate competitive pay; however, we are concerned when the rationale for increases in total compensation is solely based on peer benchmarking.

We support incentive plans that foster the sustainable achievement of results – both financial and non-financial – consistent with the company’s strategic initiatives. Compensation committees should guard against contractual arrangements that would entitle executives to material compensation for early termination of their contract. Finally, pension contributions and other deferred compensation arrangements should be reasonable in light of market practices. Our publicly available commentary provides more information on our approach to executive compensation. 

Where executive compensation appears excessive relative to the performance of the company and/or compensation paid by peers, or where an equity compensation plan is not aligned with shareholders’ interests, we may vote against members of the compensation committee.

“Say on Pay” advisory resolutions

In cases where there is a “Say on Pay” vote, BIS will respond to the proposal as informed by our evaluation of compensation practices at that particular company and in a manner that appropriately addresses the specific question posed to shareholders. Where we conclude that a company has failed to align pay with performance, we will generally vote against the management compensation proposal and relevant compensation committee members.

Frequency of “Say on Pay” advisory resolutions

BIS will generally support annual advisory votes on executive compensation. It is our view that shareholders should have the opportunity to express feedback on annual incentive programs and changes to long-term compensation before multiple cycles are issued. Where a company has failed to implement a “Say on Pay” advisory vote within the frequency period that received the most support from shareholders or a “Say on Pay” resolution is omitted without explanation, BIS may vote against members of the compensation committee.

Clawback proposals

We generally favor prompt recoupment from any senior executive whose compensation was based on faulty financial reporting or deceptive business practices. We appreciate when companies disclose recovery policies in compliance with the Dodd-Frank Wall Street Reform and Consumer Protection Act. We also favor recoupment from or the foregoing of the grant of any awards by any senior executive whose behavior caused material financial harm to shareholders, material reputational risk to the company, or resulted in a criminal investigation, even if such actions did not ultimately result in a material restatement of past results. This includes, but is not limited to, settlement agreements arising from such behavior and paid for directly by the company. We typically support shareholder proposals on these matters unless the company already has a robust clawback policy that sufficiently addresses our concerns.

Employee stock purchase plans

Employee stock purchase plans (“ESPP”) are an important part of a company’s overall human capital management strategy and can provide performance incentives to help align employees’ interests with

 

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those of shareholders. The most common form of ESPP qualifies for favorable tax treatment under Section 423 of the Internal Revenue Code. We will typically support qualified ESPP proposals.

Equity compensation plans

BIS supports equity plans that align the economic interests of directors, managers, and other employees with those of shareholders. Boards should establish policies prohibiting the use of equity awards in a manner that could disrupt the intended alignment with shareholder interests, such as the excessive pledging or heading of stock. We may support shareholder proposals requesting the establishment of such policies.

Our evaluation of equity compensation plans is based on a company’s executive pay and performance relative to peers and whether the plan plays a significant role in a pay-for-performance disconnect. We generally oppose plans that contain “evergreen” provisions, which allow for automatic annual increases of shares available for grant without requiring further shareholder approval; we note that the aggregate impacts of such increases are difficult to predict and may lead to significant dilution. We also generally oppose plans that allow for repricing without shareholder approval. We may oppose plans that provide for the acceleration of vesting of equity awards even in situations where an actual change of control may not occur. We encourage companies to structure their change of control provisions to require the termination of the covered employee before acceleration or special payments are triggered (commonly referred to as “double trigger” change of control provisions). 

Golden parachutes

We generally view golden parachutes as encouragement to management to consider transactions that might be beneficial to shareholders. However, a large potential payout under a golden parachute arrangement also presents the risk of motivating a management team to support a sub-optimal sale price for a company.

When determining whether to support or oppose an advisory vote on a golden parachute plan, BIS may consider several factors, including:

 

 

Whether we determine that the triggering event is in the best interests of shareholders

 

 

Whether management attempted to maximize shareholder value in the triggering event

 

 

The percentage of total premium or transaction value that will be transferred to the management team, rather than shareholders, as a result of the golden parachute payment

 

 

Whether excessively large excise tax gross-up payments are part of the pay-out

 

 

Whether the pay package that serves as the basis for calculating the golden parachute payment was reasonable in light of performance and peers

 

 

Whether the golden parachute payment will have the effect of rewarding a management team that has failed to effectively manage the company

It may be difficult to anticipate the results of a plan until after it has been triggered; as a result, BIS may vote against a golden parachute proposal even if the golden parachute plan under review was approved by shareholders when it was implemented.

We may support shareholder proposals requesting that implementation of such arrangements require shareholder approval.

 

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Option exchanges

There may be legitimate instances where underwater options create an overhang on a company’s capital structure and a repricing or option exchange may be warranted. We will evaluate these instances on a case-by-case basis. BIS may support a request to reprice or exchange underwater options under the following circumstances:

 

 

The company has experienced significant stock price decline as a result of macroeconomic trends, not individual company performance

 

 

Directors and executive officers are excluded; the exchange is value neutral or value creative to shareholders; tax, accounting, and other technical considerations have been fully contemplated

 

 

There is clear evidence that absent repricing, employee incentives, retention, and/or recruiting may be impacted

BIS may also support a request to exchange underwater options in other circumstances, if we determine that the exchange is in the best interests of shareholders.

Supplemental executive retirement plans

BIS may support shareholder proposals requesting to put extraordinary benefits contained in supplemental executive retirement plans (“SERP”) to a shareholder vote unless the company’s executive pension plans do not contain excessive benefits beyond what is offered under employee-wide plans.

Material sustainability-related risks and opportunities

It is our view that well-managed companies will effectively evaluate and manage material sustainability-related risks and opportunities relevant to their businesses. As with all risks and opportunities in a company’s business model, appropriate oversight of material sustainability considerations is a core component of having an effective governance framework, which supports durable, long-term financial value creation.

When assessing how to vote – including on the election of directors and relevant shareholder proposals – robust disclosures are essential for investors to understand, where appropriate, how companies are integrating material sustainability risks and opportunities across their business and strategic, long-term planning. Where a company has failed to appropriately provide the necessary disclosures and evidence of effective business practices to support our assessment, BIS may express concerns through our engagement and voting. As part of this consideration, we encourage companies to produce sustainability-related disclosures sufficiently in advance of their annual meeting so that the disclosures can be considered in relevant vote decisions.

Robust disclosure is essential for investors to effectively evaluate companies’ strategy and business practices related to material sustainability-related risks and opportunities. Long-term investors like our clients can benefit when companies demonstrate that they have a resilient business model through disclosures that cover governance, strategy, risk management, and metrics and targets, including industry-specific metrics. The International Sustainability Standards Board (ISSB) standards, IFRS S1 and

 

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S2,11 provide companies with a useful guide to preparing this disclosure. The standards build on the Task Force on Climate-related Financial Disclosures (TCFD) framework and the standards and metrics developed by the Sustainability Accounting Standards Board (SASB), which have converged under the ISSB. We recognize that companies may phase in reporting aligned with the ISSB standards over several years. We also recognize that some companies may report using different standards, which may be required by regulation, or one of a number of voluntary standards. In such cases, we ask that companies highlight the metrics that are industry-or company-specific.

Companies may also disclose any material supranational standards adopted, the industry initiatives in which they participate, any peer group benchmarking undertaken, and any assurance processes to help investors understand their approach to sustainable and responsible business conduct.

Climate risk

While companies in various sectors and geographies may be affected differently by climate-related risks and opportunities, the low-carbon transition is an investment factor that can be material for many companies and economies around the globe.

We seek to understand, from company disclosures and engagement, the strategies companies have in place to manage material risks to, and opportunities for, their long-term business model associated with a range of climate-related scenarios, including a scenario in which global warming is limited to well below 2°C, considering global ambitions to achieve a limit of 1.5°C. As one of many shareholders, and typically a minority one, BlackRock does not tell companies what to do. It is the role of the board and management to set and implement a company’s long-term strategy to deliver long-term financial returns. 

Our research shows that the low-carbon transition is a structural shift in the global economy that will be shaped by changes in government policies, technology, and consumer preferences, which may be material for many companies.12 Yet the path to a low-carbon economy is deeply uncertain and uneven, with different parts of the economy moving at different speeds. BIS recognizes that it can be challenging for companies to predict the impact of climate-related risk and opportunity on their businesses and operating environments. Many companies are assessing how to navigate the low-carbon transition while delivering long-term value to investors. In this context, we encourage companies to publicly disclose, consistent with their business model and sector, how they intend to deliver long-term financial performance through the transition to a low-carbon economy. Where available, we appreciate companies publishing their transition plan.13

Consistent with the ISSB standards, we are better able to assess preparedness for the low-carbon transition when companies disclose short-, medium- and long-term targets, ideally science-based where

 

 

11 The objective of IFRS S1 General Requirements for Disclosure of Sustainability-related Financial Information is to require an entity to disclose information about its sustainability-related risks and opportunities that is useful to primary users of general-purpose financial reports in making decisions relating to providing resources to the entity. The objective of IFRS S2 Climate-related Disclosures is to require an entity to disclose information about its climate-related risks and opportunities that is useful to primary users of general-purpose financial reports in making decisions relating to providing resources to the entity.

12 BlackRock Investment Institute, “Tracking the low-carbon transition”, July 2023.

13 We have observed that more companies are developing such plans, and public policy makers in a number of markets are signaling their intentions to require them. We view transition plans (TPs) as a method for a company to both internally assess and externally communicate long-term strategy, ambition, objectives, and actions to create financial value through the global transition towards a low-carbon economy. While many initiatives across jurisdictions outline a framework for TPs, there is no consensus on the key elements these plans should contain. We view useful disclosure as that which communicates a company’s approach to managing financially material, business relevant risks and opportunities – including climate-related risks – to deliver long-term financial performance, thus enabling investors to make more informed decisions.

 

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these are available for their sector, for scope 1 and 2 greenhouse gas emissions (GHG) reductions and to demonstrate how their targets are consistent with the long-term financial interests of their investors.

While we recognize that regulators in some markets are moving to mandate certain disclosures, at this stage, we view scope 3 emissions differently from scopes 1 and 2, given methodological complexity, regulatory uncertainty, concerns about double-counting, and lack of direct control by companies. We welcome disclosures and commitments companies choose to make regarding scope 3 emissions and recognize these are provided on a good-faith basis as methodology develops. Our publicly available commentary provides more information on our approach to climate-related risks and opportunities.

Natural capital

In addition to climate-related risks and opportunities, the management of nature-related factors is increasingly a component of some companies’ ability to generate durable, long-term financial returns for shareholders, particularly where a company’s strategy is heavily reliant on the availability of natural capital, or whose supply chains are exposed to locations with nature-related risks. We look for such companies to disclose how they manage any reliance and impact on, as well as use of, natural capital, including appropriate risk oversight and relevant metrics and targets, to understand how these factors are integrated into strategy. We will evaluate these disclosures to inform our view of how a company is managing material nature-related risks and opportunities, as well as in our assessment of relevant shareholder proposals. Our publicly available commentary provides more information on our approach to natural capital.14

Key stakeholder interests

In order to advance long-term shareholders’ interests, companies should consider the interests of the various parties on whom they depend for their success over time. It is for each company to determine their key stakeholders based on what is material to their business and long-term financial performance. For many companies, key stakeholders include employees, business partners (such as suppliers and distributors), clients and consumers, regulators, and the communities in which they operate.

As a long-term shareholder on behalf of our clients, we find it helpful when companies disclose how they have identified their key stakeholders and considered their interests in business decision-making. In addition to understanding broader stakeholder relationships, BIS finds it helpful when companies consider the needs of their workforce today, and the skills required for their future business strategy. We are also interested to understand the role of the board, which is well positioned to ensure that the approach taken is informed by and aligns with the company’s strategy and purpose.

Companies should articulate how they address material adverse impacts that could arise from their business practices and affect critical relationships with their stakeholders. We encourage companies to implement, to the extent appropriate, monitoring processes (often referred to as due diligence) to identify and mitigate potential adverse impacts and grievance mechanisms to remediate any actual adverse material impacts. In our view, maintaining trust within these relationships can contribute to a company’s long-term success.

 

 

14 Given the growing awareness of the materiality of these issues for certain businesses, enhanced reporting on a company’s natural capital dependencies and impacts would aid investors’ understanding. In our view, the final recommendations of the Taskforce on Nature-related Financial Disclosures may prove useful to some companies. We recognize that some companies may report using different standards, which may be required by regulation, or one of a number of other private sector standards.

 

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Human capital management

A company’s approach to human capital management (“HCM”) is a critical factor in fostering an inclusive, diverse, and engaged workforce, which contributes to business continuity, innovation, and long-term value creation. Consequently, we ask companies to demonstrate a robust approach to HCM and provide shareholders with clear and consistent disclosures to help investors understand how a company’s approach aligns with its stated strategy and business model.

Some components of HCM are consistent across most companies, such as the approach to diversity, equity, and inclusion (“DEI”). We ask companies to disclose their approach to DEI as well as workforce demographics, which are baselined by their responses to the U.S. Equal Employment Opportunity Commission’s EEO-1 Survey.

Other relevant HCM factors may be more nuanced to a company’s strategy and business model. Those more nuanced factors may include the company’s approach to workplace safety, compensation, benefits, talent development, and performance management. We ask companies to disclose and provide context on the most relevant HCM factors for their business. 

Our publicly available commentary provides more information on our approach to HCM.

Corporate political activities

Companies may engage in certain political activities, within legal and regulatory limits, in order to support public policy matters material to their long-term strategies. These activities can also create risks, including: the potential for allegations of corruption; certain reputational risks; and risks that arise from the complex legal, regulatory, and compliance considerations associated with corporate political spending and lobbying activity. Companies that engage in political activities should develop and maintain robust processes, including board oversight, to guide these activities and mitigate risks.

We depend on companies to provide accessible and clear disclosures so that investors can easily understand how their political activities support their long-term strategy, including on stated public policy priorities. When presented with shareholder proposals requesting increased disclosure on corporate political activities, BIS will evaluate publicly available information to consider how a company’s lobbying and political activities may impact the company. We will also evaluate whether there is general consistency between a company’s stated positions on policy matters material to their strategy and the material positions taken by significant industry groups of which they are a member. We may decide to support a shareholder proposal requesting additional disclosures if we identify a material inconsistency or determine that further transparency may clarify how the company’s political activities support its long-term strategy. Our publicly available commentary provides more information on our approach to corporate political activities.

General corporate governance matters

IPO governance

Boards should disclose how the corporate governance structures adopted upon a company’s initial public offering (“IPO”) are in shareholders’ best long-term interests. We also ask boards to conduct a regular review of corporate governance and control structures, such that boards might evolve foundational corporate governance structures as company circumstances change, without undue costs and disruption

 

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to shareholders. In our letter on unequal voting structures, we articulate our view that “one vote for one share” is the preferred structure for publicly-traded companies. We also recognize the potential benefits of dual class shares to newly public companies as they establish themselves; however, these structures should have a specific and limited duration. We will generally engage newly listed companies on topics such as classified boards and supermajority vote provisions to amend bylaws, as we think that such arrangements may not be in the best interests of shareholders over the long-term. 

We may apply a one-year grace period for the application of certain director-related guidelines (including, but not limited to, responsibilities on other public company boards and board composition concerns), during which we ask boards to take steps to bring corporate governance standards in line with market norms.

Further, if a company qualifies as an emerging growth company (an “EGC”) under the Jumpstart Our Business Startups Act of 2012 (the “JOBS Act”), we will give consideration to the NYSE and NASDAQ governance exemptions granted under the JOBS Act for the duration such a company is categorized as an EGC. An EGC should have an independent audit committee by the first anniversary of its IPO, with our standard approach to voting on auditors and audit-related issues applicable in full for an EGC on the first anniversary of its IPO.

Corporate form

Proposals to change a corporation’s form, including those to convert to a public benefit corporation (“PBC”) structure, should clearly articulate the stakeholder groups the company seeks to benefit and provide detail on how the interests of shareholders would be augmented or adversely affected with the change to a PBC. These disclosures should also include the accountability and voting mechanisms that would be available to shareholders. We generally support management proposals to convert to a PBC if our analysis indicates that shareholders’ interests are adequately protected. Corporate form shareholder proposals are evaluated on a case-by-case basis.

Shareholder Proposals

When assessing shareholder proposals, BIS evaluates each proposal on its merit, with a singular focus on its implications for long-term financial value creation by that company. We would not support proposals that we believe would result in over-reaching into the basic business decisions of the company. In addition, we believe it helpful for companies to disclose the names of the proponent or organization that has submitted or advised on the proposal. We consider the business and economic relevance of the issue raised, as well as its materiality and the urgency with which our experience indicates it should be addressed.

Where a proposal is focused on a material business risk that we agree needs to be addressed and the intended outcome is consistent with long-term financial value creation, we will look to the board and management to demonstrate that the company has met the intent of the request made in the shareholder proposal. Where our analysis and/or engagement indicate an opportunity for improvement in the company’s approach to the issue, we may support shareholder proposals that are reasonable and not unduly prescriptive or constraining on management.

We recognize that some shareholder proposals bundle topics and/or specific requests and include supporting statements that explain the reasoning or objectives of the proponent. In voting on behalf of clients, we do not submit or edit proposals or the supporting statements – we must vote yes or no on the proposal as phrased by the proponent. Therefore, when we vote in support of a proposal, we are not necessarily endorsing every element of the proposal or the reasoning, objectives, or supporting statement

 

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of the proponent. We may support a proposal for different reasons from those put forth by the proponent, when we believe that, overall, it can advance our clients’ long-term financial interests. We would normally explain to the company our rationale for supporting such proposals.

Alternatively, or in addition, we may vote against the election of one or more directors if, in our assessment, the board has not responded sufficiently or with an appropriate sense of urgency. We may also support a proposal if management is on track, but we believe that voting in favor might accelerate efforts to address a material risk.

Exclusive forum provisions

BIS generally supports proposals to seek exclusive forum for certain shareholder litigation. In cases where a board unilaterally adopts exclusive forum provisions that we consider unfavorable to the interests of shareholders, we will vote against the Independent Chair or Lead Independent director and members of the nominating/governance committee.

Reincorporation

We will evaluate the economic and strategic rationale behind the company’s proposal to reincorporate on a case-by-case basis. In all instances, we will evaluate the changes to shareholder protections under the new charter/articles/bylaws to assess whether the move increases or decreases shareholder protections. Where we find that shareholder protections are diminished, we may support reincorporation if we determine that the overall benefits outweigh the diminished rights.

Multi-jurisdictional companies

Where a company is listed on multiple exchanges or incorporated in a country different from their primary listing, we will seek to apply the most relevant market guideline(s) to our analysis of the company’s governance structure and specific proposals on the shareholder meeting agenda. In doing so, we typically consider the governance standards of the company’s primary listing, the market standards by which the company governs themselves, and the market context of each specific proposal on the agenda. If the relevant standards are silent on the issue under consideration, we will use our professional judgment as to what voting outcome would best protect the long-term economic interests of investors. Companies should disclose the rationale for their selection of primary listing, country of incorporation, and choice of governance structures, particularly where there is conflict between relevant market governance practices.

Adjourn meeting to solicit additional votes

We generally support such proposals unless the agenda contains items that we judge to be detrimental to shareholders’ best long-term economic interests.

Bundled proposals

Shareholders should have the opportunity to review substantial governance changes individually without having to accept bundled proposals. Where several measures are grouped into one proposal, BIS may reject certain positive changes when linked with proposals that generally contradict or impede the rights and economic interests of shareholders.

Other business

We oppose voting on matters where we are not given the opportunity to review and understand those measures and carry out an appropriate level of shareholder oversight.

 

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Shareholder protections

Amendment to charter/articles/bylaws

Shareholders should have the right to vote on key corporate governance matters, including changes to governance mechanisms and amendments to the charter/articles/bylaws. We may vote against certain directors where changes to governing documents are not put to a shareholder vote within a reasonable period of time, particularly if those changes have the potential to impact shareholder rights (see “Director elections”). In cases where a board’s unilateral adoption of changes to the charter/articles/bylaws promotes cost and operational efficiency benefits for the company and its shareholders, we may support such action if it does not have a negative effect on shareholder rights or the company’s corporate governance structure.

When voting on a management or shareholder proposal to make changes to the charter/articles/bylaws, we will consider in part the company’s and/or proponent’s publicly stated rationale for the changes; the company’s governance profile and history; relevant jurisdictional laws; and situational or contextual circumstances which may have motivated the proposed changes, among other factors. We will typically support amendments to the charter/articles/bylaws where the benefits to shareholders outweigh the costs of failing to make such changes.

Proxy access

It is our view that long-term shareholders should have the opportunity, when necessary and under reasonable conditions, to nominate directors on the company’s proxy card.15

Securing the right of shareholders to nominate directors without engaging in a control contest can enhance shareholders’ ability to meaningfully participate in the director election process, encourage board attention to shareholder interests, and provide shareholders an effective means of directing that attention where it is lacking. Proxy access mechanisms should provide shareholders with a reasonable opportunity to use this right without stipulating overly restrictive or onerous parameters for use, and also provide assurances that the mechanism will not be subject to abuse by short-term investors, investors without a substantial investment in the company, or investors seeking to take control of the board. 

In general, we support market-standardized proxy access proposals, which allow a shareholder (or group of up to 20 shareholders) holding three percent of a company’s outstanding shares for at least three years the right to nominate the greater of up to two directors or 20% of the board. Where a standardized proxy access provision exists, we will generally oppose shareholder proposals requesting outlier thresholds.

Right to act by written consent

In exceptional circumstances and with sufficiently broad support, shareholders should have the opportunity to raise issues of substantial importance without having to wait for management to schedule a meeting. Accordingly, shareholders should have the right to solicit votes by written consent provided that: 1) there are reasonable requirements to initiate the consent solicitation process (in order to avoid the waste of corporate resources in addressing narrowly supported interests); and 2) shareholders receive a minimum of 50% of outstanding shares to effectuate the action by written consent.

 

 

15 BlackRock is subject to certain regulations and laws in the United States that place restrictions and limitations on how BlackRock can interact with the companies in which we invest on behalf of our clients, including our ability to submit shareholder proposals or elect directors to the board.

 

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We may oppose shareholder proposals requesting the right to act by written consent in cases where the proposal is structured for the benefit of a dominant shareholder to the exclusion of others, or if the proposal is written to discourage the board from incorporating appropriate mechanisms to avoid the waste of corporate resources when establishing a right to act by written consent. Additionally, we may oppose shareholder proposals requesting the right to act by written consent if the company already provides a shareholder right to call a special meeting that offers shareholders a reasonable opportunity to raise issues of substantial importance without having to wait for management to schedule a meeting.

Right to call a special meeting

In exceptional circumstances and with sufficiently broad support, shareholders should have the opportunity to raise issues of substantial importance without having to wait for management to schedule a meeting. Accordingly, shareholders should have the right to call a special meeting in cases where a reasonably high proportion of shareholders (typically a minimum of 15% but no higher than 25%) are required to agree to such a meeting before it is called. However, we may oppose this right in cases where the proposal is structured for the benefit of a dominant shareholder, or where a lower threshold may lead to an ineffective use of corporate resources. We generally think that a right to act via written consent is not a sufficient alternative to the right to call a special meeting.

Consent solicitation

While BlackRock is supportive of the shareholder rights to act by written consent and call a special meeting, BlackRock is subject to certain regulations and laws that place restrictions and limitations on how BlackRock can interact with the companies in which we invest on behalf of our clients, including our ability to participate in consent solicitations. As a result, BlackRock will generally not participate in consent solicitations or related processes. However, once an item comes to a shareholder vote, we uphold our fiduciary duty to vote in the best long-term interests of our clients, where we are authorized to do so.

Simple majority voting

We generally favor a simple majority voting requirement to pass proposals. Therefore, we will generally support the reduction or the elimination of supermajority voting requirements to the extent that we determine shareholders’ ability to protect their economic interests is improved. Nonetheless, in situations where there is a substantial or dominant shareholder, supermajority voting may be protective of minority shareholder interests, and we may support supermajority voting requirements in those situations.

Virtual meetings

Shareholders should have the opportunity to participate in the annual and special meetings for the companies in which they are invested, as these meetings are an opportunity for shareholders to provide feedback and hear from the board and management. While these meetings have traditionally been conducted in-person, virtual meetings are an increasingly viable way for companies to utilize technology to facilitate shareholder accessibility, inclusiveness, and cost efficiencies. Shareholders should have a meaningful opportunity to participate in the meeting and interact with the board and management in these virtual settings; companies should facilitate open dialogue and allow shareholders to voice concerns and provide feedback without undue censorship. Relevant shareholder proposals are assessed on a case-by-case basis.

 

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Want to know more?

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This document is provided for information and educational purposes only. Investing involves risk, including the loss of principal.

Prepared by BlackRock, Inc.

©2024 BlackRock, Inc. All rights reserved. BLACKROCK is a trademark of BlackRock, Inc., or its subsidiaries in the United States and elsewhere. All other trademarks are those of their respective owners.

 

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N-2 - USD ($)
3 Months Ended 12 Months Ended
Dec. 31, 2023
Sep. 30, 2023
Jun. 30, 2023
Mar. 31, 2023
Dec. 31, 2022
Sep. 30, 2022
Jun. 30, 2022
Mar. 31, 2022
Dec. 31, 2023
Cover [Abstract]                  
Entity Central Index Key                 0000832327
Amendment Flag                 false
Document Type                 N-CSR
Entity Registrant Name                 BlackRock Income Trust, Inc.
Fee Table [Abstract]                  
Shareholder Transaction Expenses [Table Text Block]                
 
     
    
BKT 
      
Shareholder Transaction Expenses
   
Maximum sales load (as a percentage of offering price)
(a)
    1.00%    
Offering expenses borne by the Fund (as a percentage of offering price)
(a)
    0.05%    
Dividend reinvestment plan fees
   


$0.02 per share
for open market
purchases of
common shares
(b)



 
 
Dividend reinvestment plan sale transaction fee
    $2.50
(b)
   
 
 
(a)
 
If the common shares are sold to or through underwriters, the Prospectus Supplement will set forth any applicable sales load and the estimated offering expenses. Fund shareholders will pay all offering expenses involved with an offering.
 
 
(b)
 
Computershare Trust Company, N.A.’s (the “Reinvestment Plan Agent”) fees for the handling of the reinvestment of dividends will be paid by BKT. However, shareholders will pay a $0.02 per share fee incurred in connection with open-market purchases, which will be deducted from the value of the dividend. Shareholders will also be charged a $2.50 sales fee and pay a $0.15 per share fee if a shareholder directs the Reinvestment Plan Agent to sell the common shares held in a dividend reinvestment account. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay.
 
 
Sales Load [Percent] [1]                 1.00%
Dividend Reinvestment and Cash Purchase Fees [2]                 $ 2.5
Other Transaction Expenses [Abstract]                  
Other Transaction Expenses [Percent] [1]                 0.05%
Annual Expenses [Table Text Block]                
Estimated Annual Expenses
(as a percentage of net assets attributable to common shares)
   
Investment advisory fees
(c)(d)
    0.65%    
Other expenses
    2.58      
Miscellaneous
    0.27       
Interest expense
(e)
    2.31       
Total annual expenses
    3.23      
Fee waivers
(d)
    —      
Total annual Fund operating expenses after fee waivers
(d)
    3.23      
 
 
(c)
 
BKT currently pays the Manager a monthly fee at an annual contractual investment advisory fee rate of 0.65% of the average weekly value of BKT’s net assets. For purposes of calculating this fee, “net assets” means the total assets of BKT minus the sum of its accrued liabilities (including the aggregate indebtedness constituting financial leverage).
 
 
(d)
 
BKT and the Manager have entered into a fee waiver agreement (the “Fee Waiver Agreement”), pursuant to which the Manager has contractually agreed to waive the investment advisory fees with respect to any portion of BKT’s assets attributable to investments in any equity and fixed-income mutual funds and exchange-traded funds managed by the Manager or its affiliates that have a contractual management fee, through June 30, 2025. In addition, pursuant to the Fee Waiver Agreement, the Manager has contractually agreed to waive its investment advisory fees by the amount of investment advisory fees BKT pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2025. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by BKT (upon the vote of a majority of the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “Investment Company Act”), of BKT or a majority of the outstanding voting securities of BKT), upon 90 days’ written notice by BKT to the Manager.
 
 
(e)
 
BKT uses leverage in the form of reverse repurchase agreements representing 29.0% of Managed Assets at an annual interest expense to BKT of 5.0% which is based on current market conditions. The actual amount of interest expenses borne by BKT will vary over time in accordance with the level of BKT’s use of reverse repurchase agreements and variations in market interest rates. Interest expense is required to be treated as an expense of BKT for accounting purposes.
 
Management Fees [Percent] [3],[4]                 0.65%
Other Annual Expenses [Abstract]                  
Other Annual Expense 1 [Percent]                 0.27%
Other Annual Expense 2 [Percent] [5]                 2.31%
Other Annual Expenses [Percent]                 2.58%
Total Annual Expenses [Percent]                 3.23%
Waivers and Reimbursements of Fees [Percent] [3]                 0.00%
Net Expense over Assets [Percent]                 3.23%
Expense Example [Table Text Block]                
The following example illustrates BKT’s expenses (including the sales load of $10.00 and offering costs of $0.54) that shareholders would pay on a $1,000 investment in common shares, assuming (i) total net annual expenses of 3.23% of net assets attributable to common shares and (ii) a 5% annual return:
 
 
    1 Year       3 Years       5 Years       10 Years    
Total expenses incurred
    $  43       $  109       $  178       $   360    
 
 
 
Expense Example, Year 01                 $ 43
Expense Example, Years 1 to 3                 109
Expense Example, Years 1 to 5                 178
Expense Example, Years 1 to 10                 $ 360
Purpose of Fee Table , Note [Text Block]                 The following table and example are intended to assist shareholders in understanding the various costs and expenses directly or indirectly associated with investing in BKT’s common shares.
Basis of Transaction Fees, Note [Text Block]                 as a percentage of offering price
Other Transaction Fees, Note [Text Block]                 Computershare Trust Company, N.A.’s (the “Reinvestment Plan Agent”) fees for the handling of the reinvestment of dividends will be paid by BKT. However, shareholders will pay a $0.02 per share fee incurred in connection with open-market purchases, which will be deducted from the value of the dividend. Shareholders will also be charged a $2.50 sales fee and pay a $0.15 per share fee if a shareholder directs the Reinvestment Plan Agent to sell the common shares held in a dividend reinvestment account. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay.
Other Expenses, Note [Text Block]                 The example should not be considered a representation of future expenses. The example assumes that the estimated “Other expenses” set forth in the Estimated Annual Expenses table are accurate and that all dividends and distributions are reinvested at NAV. Actual expenses may be greater or less than those assumed. BKT’s actual rate of return may be greater or less than the hypothetical 5% return shown in the example.
Management Fee not based on Net Assets, Note [Text Block]                 BKT and the Manager have entered into a fee waiver agreement (the “Fee Waiver Agreement”), pursuant to which the Manager has contractually agreed to waive the investment advisory fees with respect to any portion of BKT’s assets attributable to investments in any equity and fixed-income mutual funds and exchange-traded funds managed by the Manager or its affiliates that have a contractual management fee, through June 30, 2025. In addition, pursuant to the Fee Waiver Agreement, the Manager has contractually agreed to waive its investment advisory fees by the amount of investment advisory fees BKT pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2025. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by BKT (upon the vote of a majority of the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “Investment Company Act”), of BKT or a majority of the outstanding voting securities of BKT), upon 90 days’ written notice by BKT to the Manager.
General Description of Registrant [Abstract]                  
Risk Factors [Table Text Block]                
10.
PRINCIPAL RISKS
In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments.
Illiquidity Risk:
Each Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Fund may not be able to readily dispose of such investments at prices that approximate those at which a Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, a Fund may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Fund’s NAV and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Market Risk:
Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
 
Valuation Risk:
The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.
The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.
Counterparty Credit Risk:
The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a
mark-to-market
loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.
With exchange-traded options purchased, exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
Geographic/Asset Class
 Risk:
A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.
The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that ended in March 2022. The Federal Reserve has recently been raising the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Funds’ performance.
The Funds invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such
non-payment
would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Funds invest.
 
Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedules of Investments.
LIBOR Transition Risk
: The Funds may be exposed to financial instruments that recently transitioned from, or continue to be tied to, the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased publishing all LIBOR settings, but some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. SOFR has been used increasingly on a voluntary basis in new instruments and transactions. Under U.S. regulations that implement a statutory fallback mechanism to replace LIBOR, benchmark rates based on SOFR have replaced LIBOR in certain financial contracts. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
 
Risk Factors
This section contains a discussion of the general risks of investing in each Fund. The net asset value and market price of, and dividends paid on, the common shares will fluctuate with and be affected by, among other things, the risks more fully described below. As with any fund, there can be no guarantee that a Fund will meet its investment objective or that the Fund’s performance will be positive for any period of time. Each risk noted below is applicable to each Fund unless the specific Fund or Funds are noted in a parenthetical. The order of the below risk factors does not indicate the significance of any particular risk.
Investment and Market Discount Risk:
An investment in the Fund’s common shares is subject to investment risk, including the possible loss of the entire amount that you invest. As with any stock, the price of the Fund’s common shares will fluctuate with market conditions and other factors. If shares are sold, the price received may be more or less than the original investment. Common shares are designed for long-term investors and the Fund should not be treated as a trading vehicle. Shares of
closed-end
management investment companies frequently trade at a discount from their net asset value. This risk is separate and distinct from the risk that the Fund’s net asset value could decrease as a result of its investment activities. At any point in time an investment in the Fund’s common shares may be worth less than the original amount invested, even after taking into account distributions paid by the Fund. During periods in which the Fund may use leverage, the Fund’s investment, market discount and certain other risks will be magnified.
Concentration Risk (BIT):
The Fund’s strategy of concentrating in mortgage related securities means that its performance will be closely tied to the performance of a particular market segment. The Fund’s concentration in these securities may present more risks than if it were broadly diversified over numerous industries and sectors of the economy. A downturn in these securities would have a larger impact on the Fund than on a mutual fund that does not concentrate in such securities. At times, the performance of these securities will lag the performance of other industries or the broader market as a whole.
Debt Securities Risk:
Debt securities, such as bonds, involve interest rate risk, such as credit risk, interest rate risk, extension risk, and prepayment risk, each of which are described in further detail below:
 
   
Credit Risk — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be able to make payments of interest and p
rin
cipal when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. The degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation.
 
   
Interest Rate Risk — The market value of bonds and other fixed-income securities changes in response to interest rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise.
The Fund may be subject to a greater risk of rising interest rates due to the recent period of historically low interest rates. For example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors being equal, the value of the Fund’s investments would be expected to decrease by 10%. (Duration is a measure of the price sensitivity of a debt security or portfolio of debt securities to relative changes in interest rates.) The magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by Fund management.
To the extent the Fund invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of the Fund) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate debt securities.
These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in value when interest rates change.
A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could hurt the Fund’s performance.
 
   
Extension Risk — When interest rates rise, certain obligations will be paid off by the obligor more slowly than anticipated, causing the value of these obligations to fall.
 
   
Prepayment Risk — When interest rates fall, certain obligations will be paid off by the obligor more quickly than originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields.
U.S. Government Obligations Risk:
Certain securities in which the Fund may invest, including securities issued by certain U.S. Government agencies and U.S. Government sponsored enterprises, are not guaranteed by the U.S. Government or supported by the full faith and credit of the United States. In addition, circumstances could arise that could prevent the timely payment of interest or principal on U.S. Government obligations, such as reaching the legislative “debt ceiling.” Such
non-payment
could result in losses to the Fund and substantial negative consequences for the U.S. economy and the global financial system.
U.S. Government Mortgage-Related Securities Risk (FRA, BKT and BLW):
There are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. Mortgage-related securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. GNMA securities also are supported by the right of GNMA to borrow funds from the U.S. Treasury to make payments under its guarantee. Mortgage-related securities issued by Fannie Mae or Freddie Mac are solely the obligations of Fannie Mae or Freddie Mac, as the case may be, and are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.
Mortgage- and Asset-Backed Securities Risks (FRA, BKT, BLW and BIT):
Mortgage- and asset-backed securities represent interests in “pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default
on
the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities.
Senior Loans Risk (DSU, FRA, BLW and BIT):
There is less readily available, reliable information about most senior loans than is the case for many other types of securities. An economic downturn generally leads to a higher
non-payment
rate, and a senior loan may lose significant value before a default occurs. Moreover, any specific collateral used to secure a senior loan may decline in value or become illiquid, which would adversely affect the senior loan’s value. No active trading market may exist for certain senior loans, which may impair the ability of the Fund to realize full value in the event of the need to sell a senior loan and which may make it difficult to value senior loans. Although senior loans in which the Fund will invest generally will be secured by specific collateral, there can be no assurance that liquidation of such collateral would satisfy the borrower’s obligation in the event of
non-payment
of scheduled interest or principal or that such collateral could be readily liquidated. To the extent that a senior loan is collateralized by stock in the borrower or its subsidiaries, such stock may lose all of its value in the event of the bankruptcy of the borrower. Uncollateralized senior loans involve a greater risk of loss.
Second Lien Loans Risk (BIT):
Second lien loans generally are subject to similar risks as those associated with investments in senior loans. Because second lien loans are subordinated or unsecured and thus lower in priority of payment to senior loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower.
CLO Risk (BIT and FRA):
In addition to the general risks associated with fixed-income securities discussed herein, CLOs carry additional risks, including: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the possibility that the CLO securities are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. The credit quality of CLOs depends primarily upon the quality of the underlying assets and the level of credit support and/or enhancement provided. The underlying assets (e.g., loans) of CLOs are subject to prepayments, which shorten the weighted average maturity and may lower the return of the securities issued by the CLOs. The value of CLO securities also may change because of changes in the market’s perception of the creditworthiness of the servicing agent for the pool, the originator of the pool, or the financial institution or fund providing the credit support or enhancement. Furthermore, the leveraged nature of each subordinated class may magnify the adverse impact on such class of changes in the value of the assets, changes in the distributions on the assets, defaults and recoveries on the assets, capital gains and losses on the assets, prepayment on assets and availability, price and interest rates of assets. CLOs are typically privately offered and sold, and thus are not registered under the securities laws. Additionally, when the Fund purchases a newly issued CLO security in the primary market (rather than from the secondary market), there often may be a delayed settlement period. As a result, investments in CLOs may be characterized by the Fund as illiquid securities; however, an active dealer market may exist which would allow such securities to be considered liquid in some circumstances. Finally, CLOs are limited recourse and may not be paid in full and may be subject to up to 100% loss.
Risks of Loan Assignments and Participations (BLW):
As the purchaser of an assignment, the Fund typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the Fund may not be able unilaterally to enforce all rights and remedies under the loan and with regard to any associated collateral. Because assignments may be arranged through private negotiations between potential assignees and potential assignors, the rights and obligations acquired by the Fund as the purchaser of an assignment may differ from, and be more limited than, those held by the assigning lender. In addition, if the loan is foreclosed, the Fund could become part owner of any collateral and could bear the costs and liabilities of owning and disposing of the collateral. The Fund may be required to pass along to a purchaser that buys a loan from the Fund by way of assignment a portion of any fees to which the Fund is entitled under the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of
set-off
against the borrower, and the Fund may not directly benefit from any collateral supporting the loan in which it has purchased the participation. As a result, the Fund will be subject to the credit risk of both the borrower and the lender that is selling the participation. In the event of the insolvency of the lender selling a participation, the Fund may be treated as a general creditor of the lender and may not benefit from any
set-off
between the lender and the borrower.
Corporate Loans Risk (DSU):
Commercial banks and other financial institutions or institutional investors make corporate loans to companies that need capital to grow or restructure. Borrowers generally pay interest on corporate loans at rates that change in response to changes in market interest rates such as the Secured Overnight Financing Rate (“SOFR”), the London Interbank Offered Rate (“LIBOR”) or the prime rates of U.S. banks. As a result, the value of corporate loan investments is generally less exposed to the adverse effects of shifts in market interest rates than investments that pay a fixed rate of interest. The market for corporate loans may be subject to irregular trading activity and wide bid/ask spreads. In addition, transactions in corporate loans may settle on a delayed basis. As a result, the proceeds from the sale of corporate loans may not be readily available to make additional investments or to meet the Fund’s redemption obligations. To the extent the extended settlement process gives rise to short-term liquidity needs, the Fund may hold additional cash, sell investments or temporarily borrow from banks and other lenders. The corporate loans in which the Fund invests are usually rated below investment grade.
Variable and Floating Rate Instrument Risk (DSU, FRA and BLW):
Variable and floating rate securities provide for periodic adjustment in the interest rate paid on the securities. These securities may be subject to greater illiquidity risk than other fixed income securities, meaning the absence of an active market for these securities could make it difficult for the Fund to dispose of them at any given time.
Unrated Securities Risk (BIT):
Because the Fund may purchase securities that are not rated by any rating organization, the Managers may, after assessing their credit quality, internally assign ratings to certain of those securities in categories similar to those of rating organizations. Some unrated securities may not have an active trading market or may be difficult to value, which means the Fund might have difficulty selling them promptly at an acceptable price. To the extent that the Fund invests in unrated securities, the Fund’s ability to achieve its investment objectives will be more dependent on the Managers’ credit analysis than would be the case when the Fund invests in rated securities.
High Yield Bonds Risk (DSU, FRA, BLW and BIT):
Although junk bonds generally pay higher rates of interest than investment grade bonds, junk bonds are high risk investments that are considered speculative and may cause income and principal losses for the Fund.
Distressed Securities Risk (DSU and FRA):
Distressed securities are speculative and involve substantial risks in addition to the risks of investing in junk bonds. The Fund will generally not receive interest payments on the distressed securities and may incur costs to protect its investment. In addition, distressed securities involve the substantial risk that principal will not be repaid. These securities may present a substantial risk of default or may be in default at the time of investment. The Fund may incur additional
 
expenses to the extent it is required to seek recovery upon a default in the payment of principal of or interest on its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Fund may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Distressed securities and any securities received in an exchange for such securities may be subject to restrictions on resale.
Collateralized Bond Obligations Risk (BLW):
The pool of high yield securities underlying collateralized bond obligations is typically separated into groupings called tranches representing different degrees of credit quality. The higher quality tranches have greater degrees of protection and pay lower interest rates. The lower tranches, with greater risk, pay higher interest rates.
Collateralized Debt Obligations Risk (FRA):
In addition to the typical risks associated with fixed-income securities and asset-backed securities, collateralized debt obligations (“CDOs”), including collateralized loan obligations, carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the risk that the collateral may default or decline in value or be downgraded, if rated by a nationally recognized statistical rating organization; (iii) the Fund may invest in tranches of CDOs that are subordinate to other tranches; (iv) the structure and complexity of the transaction and the legal documents could lead to disputes among investors regarding the characterization of proceeds; (v) the investment return achieved by the Fund could be significantly different than those predicted by financial models; (vi) the lack of a readily available secondary market for CDOs; (vii) the risk of forced “fire sale” liquidation due to technical defaults such as coverage test failures; and (viii) the CDO’s manager may perform poorly.
Sovereign Debt Risk (FRA, BLW and BIT):
Sovereign debt instruments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies.
Municipal Securities Risks (BIT):
Municipal securities risks include the ability of the issuer to repay the obligation, the relative lack of information about certain issuers of municipal securities, and the possibility of future legislative changes which could affect the market for and value of municipal securities. Budgetary constraints of local, state, and federal governments upon which the issuers may be relying for funding may also impact municipal securities. These risks include:
 
   
General Obligation Bonds Risks — Timely payments depend on the issuer’s credit quality, ability to raise tax revenues and ability to maintain an adequate tax base.
 
   
Revenue Bonds Risks — These payments depend on the money earned by the particular facility or class of facilities, or the amount of revenues derived from another source.
 
   
Private Activity Bonds Risks — Municipalities and other public authorities issue private activity bonds to finance development of industrial facilities for use by a private enterprise. The private enterprise pays the principal and interest on the bond, and the issuer does not pledge its full faith, credit and taxing power for repayment. The Fund’s investments may consist of private activity bonds that may subject certain shareholders to an alternative minimum tax.
 
   
Moral Obligation Bonds Risks — Moral obligation bonds are generally issued by special purpose public authorities of a state or municipality. If the issuer is unable to meet its obligations, repayment of these bonds becomes a moral commitment, but not a legal obligation, of the state or municipality.
 
   
Municipal Notes Risks — Municipal notes are shorter term municipal debt obligations. If there is a shortfall in the anticipated proceeds, the notes may not be fully repaid and the Fund may lose money.
 
   
Municipal Lease Obligations Risks — In a municipal lease obligation, the issuer agrees to make payments when due on the lease obligation. Although the issuer does not pledge its unlimited taxing power for payment of the lease obligation, the lease obligation is secured by the leased property.
 
   
Tax-Exempt
Status Risk — The Fund and its investment manager will rely on the opinion of issuers’ bond counsel and, in the case of derivative securities, sponsors’ counsel, on the
tax-exempt
status of interest on municipal bonds and payments under derivative securities. Neither the Fund nor its investment manager will independently review the bases for those tax opinions, which may ultimately be determined to be incorrect and subject the Fund and its shareholders to substantial tax liabilities.
Brady Bonds Ris
k
(BLW):
Brady Bonds involve various risk factors described above associated with investing in
non-U.S.
securities, including the history of defaults with respect to commercial bank loans by public and private entities of countries issuing Brady Bonds.
Supranational Entities Risk (BLW):
The Fund may invest in obligations issued or guaranteed by the World Bank. The government members, or “stockholders,” usually make initial capital contributions to the World Bank and in many cases are committed to make additional capital contributions if the World Bank is unable to repay its borrowings. There is no guarantee that one or more stockholders of the World Bank will continue to make any necessary additional capital contributions. If such contributions are not made, the entity may be unable to pay interest or repay principal on its debt securities, and the Fund may lose money on such investments.
Yield and Ratings Risk (BKT)
: The yields on debt obligations are dependent on a variety of factors, including general market conditions, conditions in the particular market for the obligation, the financial condition of the issuer, the size of the offering, the maturity of the obligation and the ratings of the issue. The ratings of Moody’s, S&P and Fitch, represent their respective opinions as to the quality of the obligations they undertake to rate. Ratings, however, are general and are not absolute standards of quality. Consequently, obligations with the same rating, maturity and interest rate may have different market prices. Subsequent to its purchase by the Fund, a rated security may cease to be rated. The Manager will consider such an event in determining whether the Fund should continue to hold the security.
Repurchase Agreements and Purchase and Sale Contracts Risk (BKT and BIT)
: If the other party to a repurchase agreement or purchase and sale contract defaults on its obligation under the agreement, the Fund may suffer delays and incur costs or lose money in exercising its rights under the agreement. If the seller fails to repurchase the security in either situation and the market value of the security declines, the Fund may lose money.
 
Foreign Securities Risk (DSU, FRA, BLW and BIT):
Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Fund will lose money. These risks include:
 
   
The Fund generally holds its foreign securities and cash in foreign banks and securities depositories, which may be recently organized or new to the foreign custody business and may be subject to only limited or no regulatory oversight.
 
   
Changes in foreign currency exchange rates can affect the value of the Fund’s portfolio.
 
   
The economies of certain foreign markets may not compare favorably with the economy of the United States with respect to such issues as growth of gross national product, reinvestment of capital, resources and balance of payments position.
 
   
The governments of certain countries, or the U.S. Government with respect to certain countries, may prohibit or impose substantial restrictions through capital controls and/or sanctions on foreign investments in the capital markets or certain industries in those countries, which may prohibit or restrict the ability to own or transfer currency, securities, derivatives or other assets.
 
   
Many foreign governments do not supervise and regulate stock exchanges, brokers and the sale of securities to the same extent as does the United States and may not have laws to protect investors that are comparable to U.S. securities laws.
 
   
Settlement and clearance procedures in certain foreign markets may result in delays in payment for or delivery of securities not typically associated with settlement and clearance of U.S. investments.
 
   
The Fund’s claims to recover foreign withholding taxes may not be successful, and if the likelihood of recovery of foreign withholding taxes materially decreases, due to, for example, a change in tax regulation or approach in the foreign country, accruals in the Fund’s net asset value for such refunds may be written down partially or in full, which will adversely affect the Fund’s net asset value.
Emerging Markets Risk (FRA, BLW and BIT):
Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.
Equity Securities Risk (DSU, FRA, BLW and BIT):
Stock markets are volatile. The price of equity securities fluctuates based on changes in a company’s financial condition and overall market and economic conditions.
Small and
Mid-Capitalization
Company Risk (BIT):
Companies with small or
mid-size
market capitalizations will normally have more limited product lines, markets and financial resources and will be dependent upon a more limited management group than larger capitalized companies. In addition, it is more difficult to get information on smaller companies, which tend to be less well known, have shorter operating histories, do not have significant ownership by large investors and are followed by relatively few securities analysts.
Preferred Securities Risk (DSU, FRA, BLW and BIT):
Preferred securities may pay fixed or adjustable rates of return. Preferred securities are subject to issuer-specific and market risks applicable generally to equity securities. In addition, a company’s preferred securities generally pay dividends only after the company makes required payments to holders of its bonds and other debt. For this reason, the value of preferred securities will usually react more strongly than bonds and other debt to actual or perceived changes in the company’s financial condition or prospects. Preferred securities of smaller companies may be more vulnerable to adverse developments than preferred securities of larger companies.
Convertible Securities Risk (DSU, FRA and BIT):
The market value of a convertible security performs like that of a regular debt security; that is, if market interest rates rise, the value of a convertible security usually falls. In addition, convertible securities are subject to the risk that the issuer will not be able to pay interest, principal or dividends when due, and their market value may change based on changes in the issuer’s credit rating or the market’s perception of the issuer’s creditworthiness. Since it derives a portion of its value from the common stock into which it may be converted, a convertible security is also subject to the same types of market and issuer risks that apply to the underlying common stock, including the potential for increased volatility in the price of the convertible security.
Warrants Risk (DSU and FRA):
If the price of the underlying stock does not rise above the exercise price before the warrant expires, the warrant generally expires without any value and the Fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve substantially more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
Real Estate-Related Securities Risk (BLW):
The main risk of real estate-related securities is that the value of the underlying real estate may go down. Many factors may affect real estate values. These factors include both the general and local economies, vacancy rates, changes in rent schedules, tenant bankruptcies, the ability to
re-lease
space under expiring leases on attractive terms, the amount of new construction in a particular area, the laws and regulations (including zoning, environmental and tax laws) affecting real estate and the costs of owning, maintaining and improving real estate. The availability of mortgage financing and changes in interest rates may also affect real estate values. If the Fund’s real estate-related investments are concentrated in one geographic area or in one property type, the Fund will be particularly subject to the risks associated with that area or property type. Many issuers of real estate-related securities are highly leveraged, which increases the risk to holders of such securities. The value of the securities the Fund buys will not necessarily track the value of the underlying investments of the issuers of such securities. In addition, certain issuers of real estate-related securities may have developed or commenced development on properties and may develop additional properties in the future. Real estate development involves significant risks in addition to those involved in the ownership and operation of established properties. Real estate securities may have limited diversification and are, therefore, subject to risks inherent in operating and financing a limited number of projects. Real estate securities are also subject to heavy cash flow dependency and defaults by borrowers or tenants.
REIT Investment Risk (BLW and BIT):
Investments in REITs involve unique risks. REITs may have limited financial resources, may trade less frequently and in limited volume, may engage in dilutive offerings of securities and may be more volatile than other securities. REIT issuers may also fail to maintain their exemptions from investment company registration or fail to qualify for the “dividends paid deduction” under the Internal Revenue Code of 1986, as amended, which allows REITs to reduce their corporate taxable income for dividends paid to their shareholders.
Structured Securities Risk (BIT):
Because structured securities of the type in which the Fund may invest typically involve no credit enhancement, their credit risk generally will be equivalent to that of the underlying instruments, index or reference obligation and will also be subject to counterparty risk. The Fund may have the right to receive payments only from the structured security, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. In addition to the general risks associated with debt securities discussed herein, structured securities carry additional risks, including, but not limited to: the possibility that distributions from collateral securities will not be adequate to make interest or other payments; the quality of the collateral may decline in value or default; and the possibility that the structured securities are subordinate to other classes. The Fund is permitted to invest in a class of structured securities that is either subordinated or unsubordinated to the right of payment of another class. Subordinated structured securities typically have higher yields and present greater risks than unsubordinated structured securities. Structured securities are typically sold in private placement transactions, and there currently is no active trading market for structured securities. Structured securities are based upon the movement of one or more factors, including currency exchange rates, interest rates, reference bonds and stock indices, and changes in interest rates and impact of these factors may cause significant price fluctuations. Additionally, changes in the reference instrument or security may cause the interest rate on the structured security to be reduced to zero. Certain issuers of such structured securities may be deemed to be “investment companies” as defined in the Investment Company Act. As a result, the Fund’s investment in such securities may be limited by certain investment restrictions contained in the Investment Company Act.
Derivatives Risk:
The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or increase volatility. Derivatives involve significant risks, including:
 
   
Leverage Risk — The Fund’s use of derivatives can magnify the Fund’s gains and losses. Relatively small market movements may result in large changes in the value of a derivatives position and can result in losses that greatly exceed the amount originally invested.
 
   
Market Risk — Some derivatives are more sensitive to interest rate changes and market price fluctuations than other securities. The Fund could also suffer losses related to its derivatives positions as a result of unanticipated market movements, which losses are potentially unlimited. Finally, the Manager may not be able to predict correctly the direction of securities prices, interest rates and other economic factors, which could cause the Fund’s derivatives positions to lose value.
 
   
Counterparty Risk — Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will be unable or unwilling to fulfill its contractual obligation, and the related risks of having concentrated exposure to such a counterparty.
 
   
Illiquidity Risk — The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more difficult for the Fund to value accurately.
 
   
Operational Risk — The use of derivatives includes the risk of potential operational issues, including documentation issues, settlement issues, systems failures, inadequate controls and human error.
 
   
Legal Risk — The risk of insufficient documentation, insufficient capacity or authority of counterparty, or legality or enforceability of a contract.
 
   
Volatility and Correlation Risk — Volatility is defined as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the fluctuations in their values may not correlate with the overall securities markets.
 
   
Valuation Risk — Valuation for derivatives may not be readily available in the market. Valuation may be more difficult in times of market turmoil since many investors and market makers may be reluctant to purchase complex instruments or quote prices for them.
 
   
Hedging Risk — Hedges are sometimes subject to imperfect matching between the derivative and the underlying security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging may result in certain adverse tax consequences.
 
   
Tax Risk — Certain aspects of the tax treatment of derivative instruments, including swap agreements and commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund realizes from its investments.
Structured Notes Risk (FRA):
Structured notes and other related instruments purchased by the Fund are generally privately negotiated debt obligations where the principal and/or interest is determined by reference to the performance of a specific asset, benchmark asset, market or interest rate (“reference measure”). The purchase of structured notes exposes the Fund to the credit risk of the issuer of the structured product. Structured notes may be leveraged, increasing the volatility of each structured note’s value relative to the change in the reference measure. Structured notes may also be less liquid and more difficult to price accurately than less complex securities and instruments or more traditional debt securities.
Leverage Risk:
The Fund’s use of leverage may increase or decrease from time to time in its discretion and the Fund may, in the future, determine not to use leverage.
The use of leverage creates an opportunity for increased common share net investment income dividends, but also creates risks for the holders of common shares. The Fund cannot assure you that the use of leverage will result in a higher yield on the common shares. Any leveraging strategy the Fund employs may not be successful.
Leverage involves risks and special considerations for common shareholders, including:
 
   
the likelihood of greater volatility of net asset value, market price and dividend rate of the common shares than a comparable portfolio without leverage;
 
   
the risk that fluctuations in interest rates or dividend rates on any leverage that the Fund must pay will reduce the return to the common shareholders;
 
   
the effect of leverage in a declining market, which is likely to cause a greater decline in the net asset value of the common shares than if the Fund were not leveraged, which may result in a greater decline in the market price of the common shares;
 
   
leverage may increase operating costs, which may reduce total return.
 
   
Any decline in the net asset value of the Fund’s investments will be borne entirely by the holders of common shares. Therefore, if the market value of the Fund’s portfolio declines, leverage will result in a greater decrease in net asset value to the holders of common shares than if the Fund were not leveraged. This greater net asset value decrease will also tend to cause a greater decline in the market price for the common shares.
Reverse Repurchase Agreements Risk:
Reverse repurchase agreements involve the sale of securities held by the Fund with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at all. The Fund could lose money if it is unable to recover the securities and the value of the collateral held by the Fund, including the value of the investments made with cash collateral, is less than the value of the securities. These events could also trigger adverse tax consequences for the Fund. In addition, reverse repurchase agreements involve the risk that the interest income earned in the investment of the proceeds will be less than the interest expense.
Dollar Rolls Risk (BLW and BIT):
Dollar rolls involve the risk that the market value of the securities that the Fund is committed to buy may decline below the price of the securities the Fund has sold. These transactions may involve leverage.
Short Sales Risk (DSU and BIT):
Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short.
Illiquid Investments Risk:
The Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. The Fund may not be able to readily dispose of such investments at prices that approximate those at which the Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, the Fund may have to sell other investments or engage in borrowing transactions if necessary to raise cash to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting the Fund’s net asset value and ability to make dividend distributions. The financial markets in general, and certain segments of the mortgage-related securities markets in particular, have in recent years experienced periods of extreme secondary market supply and demand imbalance, resulting in a loss of liquidity during which market prices were suddenly and substantially below traditional measures of intrinsic value. During such periods, some investments could be sold only at arbitrary prices and with substantial losses. Periods of such market dislocation may occur again at any time. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Inverse Floater and Related Securities Risk (BIT):
Investments in inverse floaters, residual interest tender option bonds and similar instruments expose the Fund to the same risks as investments in fixed-income securities and derivatives, as well as other risks, including those associated with leverage and increased volatility. An investment in these securities typically will involve greater risk than an investment in a fixed rate security. Distributions on inverse floaters, residual interest tender option bonds and similar instruments will typically bear an inverse relationship to short term interest rates and typically will be reduced or, potentially, eliminated as interest rates rise. Inverse floaters, residual interest tender option bonds and similar instruments will underperform the market for fixed rate securities in a rising interest rate environment. Inverse floaters may be considered to be leveraged to the extent that their interest rates vary by a magnitude that exceeds the magnitude of the change in a reference rate of interest (typically a short term interest rate). The leverage inherent in inverse floaters is associated with greater volatility in their market values. Investments in inverse floaters, residual interest tender option bonds and similar instruments that have fixed-income securities underlying them will expose the Fund to the risks associated with those fixed-income securities and the values of those investments may be especially sensitive to changes in prepayment rates on the underlying fixed-income securities.
Investment Companies and ETFs Risk (DSU, BLW and BIT):
Subject to the limitations set forth in the Investment Company Act and the rules thereunder, the Fund may acquire shares in other investment companies and in ETFs, some of which may be affiliated investment companies. The market value of the shares of other investment companies and ETFs may differ from their net asset value. As an investor in investment companies and ETFs, the Fund would bear its ratable share of that entity’s expenses, including its investment advisory and administration fees, while continuing to pay its own advisory and administration fees and other expenses (to the extent not offset by the Manager through waivers). As a result, shareholders will be absorbing duplicate levels of fees with respect to investments in other investment companies and ETFs (to the extent not offset by the Manager through waivers).
The securities of other investment companies and ETFs in which the Fund may invest may be leveraged. As a result, the Fund may be indirectly exposed to leverage through an investment in such securities. An investment in securities of other investment companies and ETFs that use leverage may expose the Fund to higher volatility in the market value of such securities and the possibility that the Fund’s long-term returns on such securities (and, indirectly, the long-term returns of shares of the Fund) will be diminished.
As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. To the extent the Fund is held by an affiliated fund, the ability of the Fund itself to hold other investment companies may be limited.
Risk of Investing in the United States:
Certain changes in the U.S. economy, such as when the U.S. economy weakens or when its financial markets decline, may have an adverse effect on the securities to which the Fund has exposure.
 
Market Risk and Selection Risk:
Market risk is the risk that one or more markets in which the Fund invests will go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a security or other asset may decline due to changes in general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its investments. Selection risk is the risk that the securities selected by Fund management will underperform the markets, the relevant indices or the securities selected by other funds with similar investment objectives and investment strategies. This means you may lose money.
An outbreak of an infectious coronavirus
(COVID-19)
that was first developed into a global pandemic that has resulted in numerous disruptions in the market and has had significant economic impact leaving general concern and uncertainty. Although vaccines have been developed and approved for use by various governments, the duration of the pandemic and its effects cannot be predicted with certainty. The impact of this coronavirus, and other epidemics and pandemics that may arise in the future, could affect the economies of many nations, individual companies and the market in general ways that cannot necessarily be foreseen at the present time.
Shareholder Activism Risk:
Shareholder activism involving
closed-end
funds has recently been increasing. Shareholder activism can take many forms, including engaging in public campaigns to demand that the Fund consider significant transactions such as a tender offer, merger or liquidation or to attempt to influence the Fund’s corporate governance and/or management, commencing proxy contests to attempt to elect the activists’ representatives or others to the Fund’s Board of Directors, or to seek other actions such as a termination of the Fund’s investment advisory contract with its current investment manager or commencing litigation. If the Fund becomes the subject of shareholder activism, then management and the Board may be required to divert significant resources and attention to respond to the activist and the Fund may incur substantial costs defending against such activism if management and the Board determine that the activist’s demands are not in the best interest of the Fund. Further, the Fund’s share price could be subject to significant fluctuation or otherwise be adversely affected by the events, risks and uncertainties of any shareholder activism.
Share Price [Table Text Block]                
Share Price Data
The following tables summarize each Fund’s highest and lowest daily closing market prices on the NYSE per common share, the NAV per common share, and the premium to or discount from NAV, on the date of each of the high and low market prices. The trading volume indicates the number of common shares traded on the NYSE during the respective quarters.
 
 
   
NYSE Market Price

Per Common Share
      
NAV per Common

Share on Date of

Market Price
      
Premium/

(Discount)

on Date of

Market Price
       
BKT — During Quarter Ended   High      Low        High      Low        High     Low     Trading Volume   
December 31, 2023
  $ 12.60        $ 10.56        $ 12.81      $ 11.52          (1.64 )%      (8.33 )%      4,901,930   
September 30, 2023
    12.32        11.15          12.83        11.95          (3.98     (6.69     3,041,993   
June 30, 2023
    12.87        12.12          13.56        12.72          (5.09     (4.72     3,325,442   
March 31, 2023
    13.27        12.39          13.73        12.97          (3.35     (4.47     3,858,408   
December 31, 2022
    12.82        11.63          13.54        12.70          (5.32     (8.43     4,348,585   
September 30, 2022
    14.43        12.06          14.82        13.08          (2.63     (7.80     3,427,337   
June 30, 2022
    15.36        12.93          15.51        14.43          (0.97     (10.40     6,302,488   
March 31, 2022
    16.92        14.85          16.89        15.66          0.18       (5.17     7,312,624   
As of December 31, 2023, BKT’s market price, NAV per Common Share, and premium/(discount) to NAV per Common Share were $12.18, $12.73, and (4.32)%, respectively.
Share Price $ 12.18               $ 12.18
NAV Per Share 12.73               $ 12.73
Latest Premium (Discount) to NAV [Percent]                 4.32%
Capital Stock, Long-Term Debt, and Other Securities [Abstract]                  
Capital Stock [Table Text Block]                
11.
CAPITAL SHARE TRANSACTIONS
DSU is authorized to issue 400 million shares, all of which were initially classified as Common Shares. FRA and BKT are authorized to issue 200 million shares, all of which were initially classified as Common Shares. BLW and BIT is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. The par value for DSU’s, FRA’s, BKT’s, BLW’s and BIT’s shares is $0.10, $0.10, $0.010, $0.001 and $0.001, respectively. The Board for DSU, FRA, BLW and BIT are each authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.
Common Shares
For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:
 
   
    Year Ended  
Fund Name
 
12/31/23
   
12/31/22
 
DSU
          3,721  
BKT
    3,394       3,887
(a)
 
 
 
(a)
Share transactions reflect
1-for-3
reverse stock split effective after the close of trading on October 17, 2022.
 
 
 
 
    Period from
11/01/23
     Year Ended  
Fund Name
 
to 12/31/23
    
10/31/23
    
10/31/22
 
 
 
BIT
    31,420        103,666        74,296  
 
 
For the year ended December 31, 2023, shares issued and outstanding remained constant for DSU.
For the year ended December 31, 2023 and the year ended December 31, 2022, shares issued and outstanding remained constant for FRA and BLW.
The Funds participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2022 through November 30, 2023, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2022, subject to certain conditions. From December 1, 2023 through November 30, 2024, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2023, subject to certain conditions. The Repurchase Program has an accretive effect as shares are purchased at a discount to the Fund’s NAV. There is no assurance that the Funds will purchase shares in any particular amounts. For the period ended December 31, 2023, the Funds did not repurchase any shares.
DSU, BKT, BLW and BIT have each filed a prospectus with the SEC allowing them to issue an additional 16,000,000, 8,333,333, 10,000,000 and 15,000,000 Common Shares, respectively, through an equity Shelf Offering. Under the Shelf Offering, DSU, BKT, BLW and BIT, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above each Fund’s NAV per Common Share (calculated within 48 hours of pricing). As of period end, 16,000,000, 8,333,333, 10,000,000 and 15,000,000 Common Shares, respectively, remain available for issuance under the Shelf Offering. For the period ended December 31, 2023, Common Shares issued and outstanding under the Shelf Offering remained constant for DSU, BKT, BLW and BIT. See Additional Information - Shelf Offering Program for additional information.
Initial costs incurred by DSU, BKT, BLW and BIT in connection with their Shelf Offering are recorded as “Deferred offering costs” in the Statements of Assets and Liabilities. As shares are sold, a portion of the costs attributable to the shares sold will be charged against
paid-in-capital.
Any remaining deferred charges at the end of the Shelf Offering period will be charged to expense.
Outstanding Securities [Table Text Block]                 DSU is authorized to issue 400 million shares, all of which were initially classified as Common Shares. FRA and BKT are authorized to issue 200 million shares, all of which were initially classified as Common Shares.
Derivatives Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Derivatives Risk:
The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or increase volatility. Derivatives involve significant risks, including:
 
   
Leverage Risk — The Fund’s use of derivatives can magnify the Fund’s gains and losses. Relatively small market movements may result in large changes in the value of a derivatives position and can result in losses that greatly exceed the amount originally invested.
 
   
Market Risk — Some derivatives are more sensitive to interest rate changes and market price fluctuations than other securities. The Fund could also suffer losses related to its derivatives positions as a result of unanticipated market movements, which losses are potentially unlimited. Finally, the Manager may not be able to predict correctly the direction of securities prices, interest rates and other economic factors, which could cause the Fund’s derivatives positions to lose value.
 
   
Counterparty Risk — Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will be unable or unwilling to fulfill its contractual obligation, and the related risks of having concentrated exposure to such a counterparty.
 
   
Illiquidity Risk — The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more difficult for the Fund to value accurately.
 
   
Operational Risk — The use of derivatives includes the risk of potential operational issues, including documentation issues, settlement issues, systems failures, inadequate controls and human error.
 
   
Legal Risk — The risk of insufficient documentation, insufficient capacity or authority of counterparty, or legality or enforceability of a contract.
 
   
Volatility and Correlation Risk — Volatility is defined as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the fluctuations in their values may not correlate with the overall securities markets.
 
   
Valuation Risk — Valuation for derivatives may not be readily available in the market. Valuation may be more difficult in times of market turmoil since many investors and market makers may be reluctant to purchase complex instruments or quote prices for them.
 
   
Hedging Risk — Hedges are sometimes subject to imperfect matching between the derivative and the underlying security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging may result in certain adverse tax consequences.
 
   
Tax Risk — Certain aspects of the tax treatment of derivative instruments, including swap agreements and commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund realizes from its investments.
Collateralized Bond Obligations Risk (BLW) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Collateralized Bond Obligations Risk (BLW):
The pool of high yield securities underlying collateralized bond obligations is typically separated into groupings called tranches representing different degrees of credit quality. The higher quality tranches have greater degrees of protection and pay lower interest rates. The lower tranches, with greater risk, pay higher interest rates.
Small and MidCapitalization Company Risk (BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Small and
Mid-Capitalization
Company Risk (BIT):
Companies with small or
mid-size
market capitalizations will normally have more limited product lines, markets and financial resources and will be dependent upon a more limited management group than larger capitalized companies. In addition, it is more difficult to get information on smaller companies, which tend to be less well known, have shorter operating histories, do not have significant ownership by large investors and are followed by relatively few securities analysts.
Variable and Floating Rate Instrument Risk (DSU, FRA and BLW) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Variable and Floating Rate Instrument Risk (DSU, FRA and BLW):
Variable and floating rate securities provide for periodic adjustment in the interest rate paid on the securities. These securities may be subject to greater illiquidity risk than other fixed income securities, meaning the absence of an active market for these securities could make it difficult for the Fund to dispose of them at any given time.
Second Lien Loans Risk (BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Second Lien Loans Risk (BIT):
Second lien loans generally are subject to similar risks as those associated with investments in senior loans. Because second lien loans are subordinated or unsecured and thus lower in priority of payment to senior loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower.
Investment Companies and ETFs Risk (DSU, BLW and BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Investment Companies and ETFs Risk (DSU, BLW and BIT):
Subject to the limitations set forth in the Investment Company Act and the rules thereunder, the Fund may acquire shares in other investment companies and in ETFs, some of which may be affiliated investment companies. The market value of the shares of other investment companies and ETFs may differ from their net asset value. As an investor in investment companies and ETFs, the Fund would bear its ratable share of that entity’s expenses, including its investment advisory and administration fees, while continuing to pay its own advisory and administration fees and other expenses (to the extent not offset by the Manager through waivers). As a result, shareholders will be absorbing duplicate levels of fees with respect to investments in other investment companies and ETFs (to the extent not offset by the Manager through waivers).
The securities of other investment companies and ETFs in which the Fund may invest may be leveraged. As a result, the Fund may be indirectly exposed to leverage through an investment in such securities. An investment in securities of other investment companies and ETFs that use leverage may expose the Fund to higher volatility in the market value of such securities and the possibility that the Fund’s long-term returns on such securities (and, indirectly, the long-term returns of shares of the Fund) will be diminished.
As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. To the extent the Fund is held by an affiliated fund, the ability of the Fund itself to hold other investment companies may be limited.
Concentration Risk (BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Concentration Risk (BIT):
The Fund’s strategy of concentrating in mortgage related securities means that its performance will be closely tied to the performance of a particular market segment. The Fund’s concentration in these securities may present more risks than if it were broadly diversified over numerous industries and sectors of the economy. A downturn in these securities would have a larger impact on the Fund than on a mutual fund that does not concentrate in such securities. At times, the performance of these securities will lag the performance of other industries or the broader market as a whole.
U.S. Government Obligations Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
U.S. Government Obligations Risk:
Certain securities in which the Fund may invest, including securities issued by certain U.S. Government agencies and U.S. Government sponsored enterprises, are not guaranteed by the U.S. Government or supported by the full faith and credit of the United States. In addition, circumstances could arise that could prevent the timely payment of interest or principal on U.S. Government obligations, such as reaching the legislative “debt ceiling.” Such
non-payment
could result in losses to the Fund and substantial negative consequences for the U.S. economy and the global financial system.
REIT Investment Risk (BLW and BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
REIT Investment Risk (BLW and BIT):
Investments in REITs involve unique risks. REITs may have limited financial resources, may trade less frequently and in limited volume, may engage in dilutive offerings of securities and may be more volatile than other securities. REIT issuers may also fail to maintain their exemptions from investment company registration or fail to qualify for the “dividends paid deduction” under the Internal Revenue Code of 1986, as amended, which allows REITs to reduce their corporate taxable income for dividends paid to their shareholders.
Inverse Floater and Related Securities Risk (BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Inverse Floater and Related Securities Risk (BIT):
Investments in inverse floaters, residual interest tender option bonds and similar instruments expose the Fund to the same risks as investments in fixed-income securities and derivatives, as well as other risks, including those associated with leverage and increased volatility. An investment in these securities typically will involve greater risk than an investment in a fixed rate security. Distributions on inverse floaters, residual interest tender option bonds and similar instruments will typically bear an inverse relationship to short term interest rates and typically will be reduced or, potentially, eliminated as interest rates rise. Inverse floaters, residual interest tender option bonds and similar instruments will underperform the market for fixed rate securities in a rising interest rate environment. Inverse floaters may be considered to be leveraged to the extent that their interest rates vary by a magnitude that exceeds the magnitude of the change in a reference rate of interest (typically a short term interest rate). The leverage inherent in inverse floaters is associated with greater volatility in their market values. Investments in inverse floaters, residual interest tender option bonds and similar instruments that have fixed-income securities underlying them will expose the Fund to the risks associated with those fixed-income securities and the values of those investments may be especially sensitive to changes in prepayment rates on the underlying fixed-income securities.
Sovereign Debt Risk (FRA, BLW and BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Sovereign Debt Risk (FRA, BLW and BIT):
Sovereign debt instruments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies.
LIBOR Transition Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
LIBOR Transition Risk
: The Funds may be exposed to financial instruments that recently transitioned from, or continue to be tied to, the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased publishing all LIBOR settings, but some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. SOFR has been used increasingly on a voluntary basis in new instruments and transactions. Under U.S. regulations that implement a statutory fallback mechanism to replace LIBOR, benchmark rates based on SOFR have replaced LIBOR in certain financial contracts. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
Short Sales Risk (DSU and BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Short Sales Risk (DSU and BIT):
Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short.
GeographicAsset Class Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Geographic/Asset Class
 Risk:
A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.
The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that ended in March 2022. The Federal Reserve has recently been raising the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Funds’ performance.
The Funds invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such
non-payment
would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Funds invest.
 
Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedules of Investments.
Repurchase Agreements and Purchase and Sale Contracts Risk (BKT and BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Repurchase Agreements and Purchase and Sale Contracts Risk (BKT and BIT)
: If the other party to a repurchase agreement or purchase and sale contract defaults on its obligation under the agreement, the Fund may suffer delays and incur costs or lose money in exercising its rights under the agreement. If the seller fails to repurchase the security in either situation and the market value of the security declines, the Fund may lose money.
Unrated Securities Risk (BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Unrated Securities Risk (BIT):
Because the Fund may purchase securities that are not rated by any rating organization, the Managers may, after assessing their credit quality, internally assign ratings to certain of those securities in categories similar to those of rating organizations. Some unrated securities may not have an active trading market or may be difficult to value, which means the Fund might have difficulty selling them promptly at an acceptable price. To the extent that the Fund invests in unrated securities, the Fund’s ability to achieve its investment objectives will be more dependent on the Managers’ credit analysis than would be the case when the Fund invests in rated securities.
U.S. Government MortgageRelated Securities Risk (FRA, BKT and BLW) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
U.S. Government Mortgage-Related Securities Risk (FRA, BKT and BLW):
There are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. Mortgage-related securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. GNMA securities also are supported by the right of GNMA to borrow funds from the U.S. Treasury to make payments under its guarantee. Mortgage-related securities issued by Fannie Mae or Freddie Mac are solely the obligations of Fannie Mae or Freddie Mac, as the case may be, and are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.
Supranational Entities Risk (BLW) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Supranational Entities Risk (BLW):
The Fund may invest in obligations issued or guaranteed by the World Bank. The government members, or “stockholders,” usually make initial capital contributions to the World Bank and in many cases are committed to make additional capital contributions if the World Bank is unable to repay its borrowings. There is no guarantee that one or more stockholders of the World Bank will continue to make any necessary additional capital contributions. If such contributions are not made, the entity may be unable to pay interest or repay principal on its debt securities, and the Fund may lose money on such investments.
Convertible Securities Risk (DSU, FRA and BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Convertible Securities Risk (DSU, FRA and BIT):
The market value of a convertible security performs like that of a regular debt security; that is, if market interest rates rise, the value of a convertible security usually falls. In addition, convertible securities are subject to the risk that the issuer will not be able to pay interest, principal or dividends when due, and their market value may change based on changes in the issuer’s credit rating or the market’s perception of the issuer’s creditworthiness. Since it derives a portion of its value from the common stock into which it may be converted, a convertible security is also subject to the same types of market and issuer risks that apply to the underlying common stock, including the potential for increased volatility in the price of the convertible security.
Mortgage and AssetBacked Securities Risks (FRA, BKT, BLW and BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Mortgage- and Asset-Backed Securities Risks (FRA, BKT, BLW and BIT):
Mortgage- and asset-backed securities represent interests in “pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default
on
the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities.
Counterparty Credit Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Counterparty Credit Risk:
The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a
mark-to-market
loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.
With exchange-traded options purchased, exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
Dollar Rolls Risk (BLW and BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Dollar Rolls Risk (BLW and BIT):
Dollar rolls involve the risk that the market value of the securities that the Fund is committed to buy may decline below the price of the securities the Fund has sold. These transactions may involve leverage.
Shareholder Activism Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Shareholder Activism Risk:
Shareholder activism involving
closed-end
funds has recently been increasing. Shareholder activism can take many forms, including engaging in public campaigns to demand that the Fund consider significant transactions such as a tender offer, merger or liquidation or to attempt to influence the Fund’s corporate governance and/or management, commencing proxy contests to attempt to elect the activists’ representatives or others to the Fund’s Board of Directors, or to seek other actions such as a termination of the Fund’s investment advisory contract with its current investment manager or commencing litigation. If the Fund becomes the subject of shareholder activism, then management and the Board may be required to divert significant resources and attention to respond to the activist and the Fund may incur substantial costs defending against such activism if management and the Board determine that the activist’s demands are not in the best interest of the Fund. Further, the Fund’s share price could be subject to significant fluctuation or otherwise be adversely affected by the events, risks and uncertainties of any shareholder activism.
Reverse Repurchase Agreements Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Reverse Repurchase Agreements Risk:
Reverse repurchase agreements involve the sale of securities held by the Fund with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at all. The Fund could lose money if it is unable to recover the securities and the value of the collateral held by the Fund, including the value of the investments made with cash collateral, is less than the value of the securities. These events could also trigger adverse tax consequences for the Fund. In addition, reverse repurchase agreements involve the risk that the interest income earned in the investment of the proceeds will be less than the interest expense.
Market Risk and Selection Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Market Risk and Selection Risk:
Market risk is the risk that one or more markets in which the Fund invests will go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a security or other asset may decline due to changes in general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its investments. Selection risk is the risk that the securities selected by Fund management will underperform the markets, the relevant indices or the securities selected by other funds with similar investment objectives and investment strategies. This means you may lose money.
An outbreak of an infectious coronavirus
(COVID-19)
that was first developed into a global pandemic that has resulted in numerous disruptions in the market and has had significant economic impact leaving general concern and uncertainty. Although vaccines have been developed and approved for use by various governments, the duration of the pandemic and its effects cannot be predicted with certainty. The impact of this coronavirus, and other epidemics and pandemics that may arise in the future, could affect the economies of many nations, individual companies and the market in general ways that cannot necessarily be foreseen at the present time.
Equity Securities Risk (DSU, FRA, BLW and BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Equity Securities Risk (DSU, FRA, BLW and BIT):
Stock markets are volatile. The price of equity securities fluctuates based on changes in a company’s financial condition and overall market and economic conditions.
High Yield Bonds Risk (DSU, FRA, BLW and BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
High Yield Bonds Risk (DSU, FRA, BLW and BIT):
Although junk bonds generally pay higher rates of interest than investment grade bonds, junk bonds are high risk investments that are considered speculative and may cause income and principal losses for the Fund.
Yield and Ratings Risk (BKT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Yield and Ratings Risk (BKT)
: The yields on debt obligations are dependent on a variety of factors, including general market conditions, conditions in the particular market for the obligation, the financial condition of the issuer, the size of the offering, the maturity of the obligation and the ratings of the issue. The ratings of Moody’s, S&P and Fitch, represent their respective opinions as to the quality of the obligations they undertake to rate. Ratings, however, are general and are not absolute standards of quality. Consequently, obligations with the same rating, maturity and interest rate may have different market prices. Subsequent to its purchase by the Fund, a rated security may cease to be rated. The Manager will consider such an event in determining whether the Fund should continue to hold the security.
Illiquid Investments Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Illiquid Investments Risk:
The Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. The Fund may not be able to readily dispose of such investments at prices that approximate those at which the Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, the Fund may have to sell other investments or engage in borrowing transactions if necessary to raise cash to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting the Fund’s net asset value and ability to make dividend distributions. The financial markets in general, and certain segments of the mortgage-related securities markets in particular, have in recent years experienced periods of extreme secondary market supply and demand imbalance, resulting in a loss of liquidity during which market prices were suddenly and substantially below traditional measures of intrinsic value. During such periods, some investments could be sold only at arbitrary prices and with substantial losses. Periods of such market dislocation may occur again at any time. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Market Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Market Risk:
Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
 
Senior Loans Risk (DSU, FRA, BLW and BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Senior Loans Risk (DSU, FRA, BLW and BIT):
There is less readily available, reliable information about most senior loans than is the case for many other types of securities. An economic downturn generally leads to a higher
non-payment
rate, and a senior loan may lose significant value before a default occurs. Moreover, any specific collateral used to secure a senior loan may decline in value or become illiquid, which would adversely affect the senior loan’s value. No active trading market may exist for certain senior loans, which may impair the ability of the Fund to realize full value in the event of the need to sell a senior loan and which may make it difficult to value senior loans. Although senior loans in which the Fund will invest generally will be secured by specific collateral, there can be no assurance that liquidation of such collateral would satisfy the borrower’s obligation in the event of
non-payment
of scheduled interest or principal or that such collateral could be readily liquidated. To the extent that a senior loan is collateralized by stock in the borrower or its subsidiaries, such stock may lose all of its value in the event of the bankruptcy of the borrower. Uncollateralized senior loans involve a greater risk of loss.
Preferred Securities Risk (DSU, FRA, BLW and BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Preferred Securities Risk (DSU, FRA, BLW and BIT):
Preferred securities may pay fixed or adjustable rates of return. Preferred securities are subject to issuer-specific and market risks applicable generally to equity securities. In addition, a company’s preferred securities generally pay dividends only after the company makes required payments to holders of its bonds and other debt. For this reason, the value of preferred securities will usually react more strongly than bonds and other debt to actual or perceived changes in the company’s financial condition or prospects. Preferred securities of smaller companies may be more vulnerable to adverse developments than preferred securities of larger companies.
Brady Bonds Risk (BLW) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Brady Bonds Ris
k
(BLW):
Brady Bonds involve various risk factors described above associated with investing in
non-U.S.
securities, including the history of defaults with respect to commercial bank loans by public and private entities of countries issuing Brady Bonds.
Warrants Risk (DSU and FRA) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Warrants Risk (DSU and FRA):
If the price of the underlying stock does not rise above the exercise price before the warrant expires, the warrant generally expires without any value and the Fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve substantially more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
Valuation Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Valuation Risk:
The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.
The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.
Emerging Markets Risk (FRA, BLW and BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Emerging Markets Risk (FRA, BLW and BIT):
Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.
Foreign Securities Risk (DSU, FRA, BLW and BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Foreign Securities Risk (DSU, FRA, BLW and BIT):
Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Fund will lose money. These risks include:
 
   
The Fund generally holds its foreign securities and cash in foreign banks and securities depositories, which may be recently organized or new to the foreign custody business and may be subject to only limited or no regulatory oversight.
 
   
Changes in foreign currency exchange rates can affect the value of the Fund’s portfolio.
 
   
The economies of certain foreign markets may not compare favorably with the economy of the United States with respect to such issues as growth of gross national product, reinvestment of capital, resources and balance of payments position.
 
   
The governments of certain countries, or the U.S. Government with respect to certain countries, may prohibit or impose substantial restrictions through capital controls and/or sanctions on foreign investments in the capital markets or certain industries in those countries, which may prohibit or restrict the ability to own or transfer currency, securities, derivatives or other assets.
 
   
Many foreign governments do not supervise and regulate stock exchanges, brokers and the sale of securities to the same extent as does the United States and may not have laws to protect investors that are comparable to U.S. securities laws.
 
   
Settlement and clearance procedures in certain foreign markets may result in delays in payment for or delivery of securities not typically associated with settlement and clearance of U.S. investments.
 
   
The Fund’s claims to recover foreign withholding taxes may not be successful, and if the likelihood of recovery of foreign withholding taxes materially decreases, due to, for example, a change in tax regulation or approach in the foreign country, accruals in the Fund’s net asset value for such refunds may be written down partially or in full, which will adversely affect the Fund’s net asset value.
Risks of Loan Assignments and Participations (BLW) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Risks of Loan Assignments and Participations (BLW):
As the purchaser of an assignment, the Fund typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the Fund may not be able unilaterally to enforce all rights and remedies under the loan and with regard to any associated collateral. Because assignments may be arranged through private negotiations between potential assignees and potential assignors, the rights and obligations acquired by the Fund as the purchaser of an assignment may differ from, and be more limited than, those held by the assigning lender. In addition, if the loan is foreclosed, the Fund could become part owner of any collateral and could bear the costs and liabilities of owning and disposing of the collateral. The Fund may be required to pass along to a purchaser that buys a loan from the Fund by way of assignment a portion of any fees to which the Fund is entitled under the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of
set-off
against the borrower, and the Fund may not directly benefit from any collateral supporting the loan in which it has purchased the participation. As a result, the Fund will be subject to the credit risk of both the borrower and the lender that is selling the participation. In the event of the insolvency of the lender selling a participation, the Fund may be treated as a general creditor of the lender and may not benefit from any
set-off
between the lender and the borrower.
Real EstateRelated Securities Risk (BLW) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Real Estate-Related Securities Risk (BLW):
The main risk of real estate-related securities is that the value of the underlying real estate may go down. Many factors may affect real estate values. These factors include both the general and local economies, vacancy rates, changes in rent schedules, tenant bankruptcies, the ability to
re-lease
space under expiring leases on attractive terms, the amount of new construction in a particular area, the laws and regulations (including zoning, environmental and tax laws) affecting real estate and the costs of owning, maintaining and improving real estate. The availability of mortgage financing and changes in interest rates may also affect real estate values. If the Fund’s real estate-related investments are concentrated in one geographic area or in one property type, the Fund will be particularly subject to the risks associated with that area or property type. Many issuers of real estate-related securities are highly leveraged, which increases the risk to holders of such securities. The value of the securities the Fund buys will not necessarily track the value of the underlying investments of the issuers of such securities. In addition, certain issuers of real estate-related securities may have developed or commenced development on properties and may develop additional properties in the future. Real estate development involves significant risks in addition to those involved in the ownership and operation of established properties. Real estate securities may have limited diversification and are, therefore, subject to risks inherent in operating and financing a limited number of projects. Real estate securities are also subject to heavy cash flow dependency and defaults by borrowers or tenants.
Distressed Securities Risk (DSU and FRA) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Distressed Securities Risk (DSU and FRA):
Distressed securities are speculative and involve substantial risks in addition to the risks of investing in junk bonds. The Fund will generally not receive interest payments on the distressed securities and may incur costs to protect its investment. In addition, distressed securities involve the substantial risk that principal will not be repaid. These securities may present a substantial risk of default or may be in default at the time of investment. The Fund may incur additional
 
expenses to the extent it is required to seek recovery upon a default in the payment of principal of or interest on its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Fund may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Distressed securities and any securities received in an exchange for such securities may be subject to restrictions on resale.
Risk of Investing in the United States [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Risk of Investing in the United States:
Certain changes in the U.S. economy, such as when the U.S. economy weakens or when its financial markets decline, may have an adverse effect on the securities to which the Fund has exposure.
 
Debt Securities Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Debt Securities Risk:
Debt securities, such as bonds, involve interest rate risk, such as credit risk, interest rate risk, extension risk, and prepayment risk, each of which are described in further detail below:
 
   
Credit Risk — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be able to make payments of interest and p
rin
cipal when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. The degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation.
 
   
Interest Rate Risk — The market value of bonds and other fixed-income securities changes in response to interest rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise.
The Fund may be subject to a greater risk of rising interest rates due to the recent period of historically low interest rates. For example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors being equal, the value of the Fund’s investments would be expected to decrease by 10%. (Duration is a measure of the price sensitivity of a debt security or portfolio of debt securities to relative changes in interest rates.) The magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by Fund management.
To the extent the Fund invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of the Fund) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate debt securities.
These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in value when interest rates change.
A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could hurt the Fund’s performance.
 
   
Extension Risk — When interest rates rise, certain obligations will be paid off by the obligor more slowly than anticipated, causing the value of these obligations to fall.
 
   
Prepayment Risk — When interest rates fall, certain obligations will be paid off by the obligor more quickly than originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields.
CLO Risk (BIT and FRA) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
CLO Risk (BIT and FRA):
In addition to the general risks associated with fixed-income securities discussed herein, CLOs carry additional risks, including: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the possibility that the CLO securities are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. The credit quality of CLOs depends primarily upon the quality of the underlying assets and the level of credit support and/or enhancement provided. The underlying assets (e.g., loans) of CLOs are subject to prepayments, which shorten the weighted average maturity and may lower the return of the securities issued by the CLOs. The value of CLO securities also may change because of changes in the market’s perception of the creditworthiness of the servicing agent for the pool, the originator of the pool, or the financial institution or fund providing the credit support or enhancement. Furthermore, the leveraged nature of each subordinated class may magnify the adverse impact on such class of changes in the value of the assets, changes in the distributions on the assets, defaults and recoveries on the assets, capital gains and losses on the assets, prepayment on assets and availability, price and interest rates of assets. CLOs are typically privately offered and sold, and thus are not registered under the securities laws. Additionally, when the Fund purchases a newly issued CLO security in the primary market (rather than from the secondary market), there often may be a delayed settlement period. As a result, investments in CLOs may be characterized by the Fund as illiquid securities; however, an active dealer market may exist which would allow such securities to be considered liquid in some circumstances. Finally, CLOs are limited recourse and may not be paid in full and may be subject to up to 100% loss.
Municipal Securities Risks (BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Municipal Securities Risks (BIT):
Municipal securities risks include the ability of the issuer to repay the obligation, the relative lack of information about certain issuers of municipal securities, and the possibility of future legislative changes which could affect the market for and value of municipal securities. Budgetary constraints of local, state, and federal governments upon which the issuers may be relying for funding may also impact municipal securities. These risks include:
 
   
General Obligation Bonds Risks — Timely payments depend on the issuer’s credit quality, ability to raise tax revenues and ability to maintain an adequate tax base.
 
   
Revenue Bonds Risks — These payments depend on the money earned by the particular facility or class of facilities, or the amount of revenues derived from another source.
 
   
Private Activity Bonds Risks — Municipalities and other public authorities issue private activity bonds to finance development of industrial facilities for use by a private enterprise. The private enterprise pays the principal and interest on the bond, and the issuer does not pledge its full faith, credit and taxing power for repayment. The Fund’s investments may consist of private activity bonds that may subject certain shareholders to an alternative minimum tax.
 
   
Moral Obligation Bonds Risks — Moral obligation bonds are generally issued by special purpose public authorities of a state or municipality. If the issuer is unable to meet its obligations, repayment of these bonds becomes a moral commitment, but not a legal obligation, of the state or municipality.
 
   
Municipal Notes Risks — Municipal notes are shorter term municipal debt obligations. If there is a shortfall in the anticipated proceeds, the notes may not be fully repaid and the Fund may lose money.
 
   
Municipal Lease Obligations Risks — In a municipal lease obligation, the issuer agrees to make payments when due on the lease obligation. Although the issuer does not pledge its unlimited taxing power for payment of the lease obligation, the lease obligation is secured by the leased property.
 
   
Tax-Exempt
Status Risk — The Fund and its investment manager will rely on the opinion of issuers’ bond counsel and, in the case of derivative securities, sponsors’ counsel, on the
tax-exempt
status of interest on municipal bonds and payments under derivative securities. Neither the Fund nor its investment manager will independently review the bases for those tax opinions, which may ultimately be determined to be incorrect and subject the Fund and its shareholders to substantial tax liabilities.
Illiquidity Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Illiquidity Risk:
Each Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Fund may not be able to readily dispose of such investments at prices that approximate those at which a Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, a Fund may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Fund’s NAV and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Collateralized Debt Obligations Risk (FRA) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Collateralized Debt Obligations Risk (FRA):
In addition to the typical risks associated with fixed-income securities and asset-backed securities, collateralized debt obligations (“CDOs”), including collateralized loan obligations, carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the risk that the collateral may default or decline in value or be downgraded, if rated by a nationally recognized statistical rating organization; (iii) the Fund may invest in tranches of CDOs that are subordinate to other tranches; (iv) the structure and complexity of the transaction and the legal documents could lead to disputes among investors regarding the characterization of proceeds; (v) the investment return achieved by the Fund could be significantly different than those predicted by financial models; (vi) the lack of a readily available secondary market for CDOs; (vii) the risk of forced “fire sale” liquidation due to technical defaults such as coverage test failures; and (viii) the CDO’s manager may perform poorly.
Structured Securities Risk (BIT) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Structured Securities Risk (BIT):
Because structured securities of the type in which the Fund may invest typically involve no credit enhancement, their credit risk generally will be equivalent to that of the underlying instruments, index or reference obligation and will also be subject to counterparty risk. The Fund may have the right to receive payments only from the structured security, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. In addition to the general risks associated with debt securities discussed herein, structured securities carry additional risks, including, but not limited to: the possibility that distributions from collateral securities will not be adequate to make interest or other payments; the quality of the collateral may decline in value or default; and the possibility that the structured securities are subordinate to other classes. The Fund is permitted to invest in a class of structured securities that is either subordinated or unsubordinated to the right of payment of another class. Subordinated structured securities typically have higher yields and present greater risks than unsubordinated structured securities. Structured securities are typically sold in private placement transactions, and there currently is no active trading market for structured securities. Structured securities are based upon the movement of one or more factors, including currency exchange rates, interest rates, reference bonds and stock indices, and changes in interest rates and impact of these factors may cause significant price fluctuations. Additionally, changes in the reference instrument or security may cause the interest rate on the structured security to be reduced to zero. Certain issuers of such structured securities may be deemed to be “investment companies” as defined in the Investment Company Act. As a result, the Fund’s investment in such securities may be limited by certain investment restrictions contained in the Investment Company Act.
Leverage Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Leverage Risk:
The Fund’s use of leverage may increase or decrease from time to time in its discretion and the Fund may, in the future, determine not to use leverage.
The use of leverage creates an opportunity for increased common share net investment income dividends, but also creates risks for the holders of common shares. The Fund cannot assure you that the use of leverage will result in a higher yield on the common shares. Any leveraging strategy the Fund employs may not be successful.
Leverage involves risks and special considerations for common shareholders, including:
 
   
the likelihood of greater volatility of net asset value, market price and dividend rate of the common shares than a comparable portfolio without leverage;
 
   
the risk that fluctuations in interest rates or dividend rates on any leverage that the Fund must pay will reduce the return to the common shareholders;
 
   
the effect of leverage in a declining market, which is likely to cause a greater decline in the net asset value of the common shares than if the Fund were not leveraged, which may result in a greater decline in the market price of the common shares;
 
   
leverage may increase operating costs, which may reduce total return.
 
   
Any decline in the net asset value of the Fund’s investments will be borne entirely by the holders of common shares. Therefore, if the market value of the Fund’s portfolio declines, leverage will result in a greater decrease in net asset value to the holders of common shares than if the Fund were not leveraged. This greater net asset value decrease will also tend to cause a greater decline in the market price for the common shares.
Structured Notes Risk (FRA) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Structured Notes Risk (FRA):
Structured notes and other related instruments purchased by the Fund are generally privately negotiated debt obligations where the principal and/or interest is determined by reference to the performance of a specific asset, benchmark asset, market or interest rate (“reference measure”). The purchase of structured notes exposes the Fund to the credit risk of the issuer of the structured product. Structured notes may be leveraged, increasing the volatility of each structured note’s value relative to the change in the reference measure. Structured notes may also be less liquid and more difficult to price accurately than less complex securities and instruments or more traditional debt securities.
Investment and Market Discount Risk [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Investment and Market Discount Risk:
An investment in the Fund’s common shares is subject to investment risk, including the possible loss of the entire amount that you invest. As with any stock, the price of the Fund’s common shares will fluctuate with market conditions and other factors. If shares are sold, the price received may be more or less than the original investment. Common shares are designed for long-term investors and the Fund should not be treated as a trading vehicle. Shares of
closed-end
management investment companies frequently trade at a discount from their net asset value. This risk is separate and distinct from the risk that the Fund’s net asset value could decrease as a result of its investment activities. At any point in time an investment in the Fund’s common shares may be worth less than the original amount invested, even after taking into account distributions paid by the Fund. During periods in which the Fund may use leverage, the Fund’s investment, market discount and certain other risks will be magnified.
Corporate Loans Risk (DSU) [Member]                  
General Description of Registrant [Abstract]                  
Risk [Text Block]                
Corporate Loans Risk (DSU):
Commercial banks and other financial institutions or institutional investors make corporate loans to companies that need capital to grow or restructure. Borrowers generally pay interest on corporate loans at rates that change in response to changes in market interest rates such as the Secured Overnight Financing Rate (“SOFR”), the London Interbank Offered Rate (“LIBOR”) or the prime rates of U.S. banks. As a result, the value of corporate loan investments is generally less exposed to the adverse effects of shifts in market interest rates than investments that pay a fixed rate of interest. The market for corporate loans may be subject to irregular trading activity and wide bid/ask spreads. In addition, transactions in corporate loans may settle on a delayed basis. As a result, the proceeds from the sale of corporate loans may not be readily available to make additional investments or to meet the Fund’s redemption obligations. To the extent the extended settlement process gives rise to short-term liquidity needs, the Fund may hold additional cash, sell investments or temporarily borrow from banks and other lenders. The corporate loans in which the Fund invests are usually rated below investment grade.
Common Shares [Member]                  
Other Annual Expenses [Abstract]                  
Basis of Transaction Fees, Note [Text Block]                 as a percentage of net assets attributable to common shares
General Description of Registrant [Abstract]                  
Lowest Price or Bid 10.56 $ 11.15 $ 12.12 $ 12.39 $ 11.63 $ 12.06 $ 12.93 $ 14.85  
Highest Price or Bid 12.6 12.32 12.87 13.27 12.82 14.43 15.36 16.92  
Lowest Price or Bid, NAV 11.52 11.95 12.72 12.97 12.7 13.08 14.43 15.66  
Highest Price or Bid, NAV $ 12.81 $ 12.83 $ 13.56 $ 13.73 $ 13.54 $ 14.82 $ 15.51 $ 16.89  
Highest Price or Bid, Premium (Discount) to NAV [Percent] (1.64%) (3.98%) (5.09%) (3.35%) (5.32%) (2.63%) (0.97%) 0.18%  
Lowest Price or Bid, Premium (Discount) to NAV [Percent] (8.33%) (6.69%) (4.72%) (4.47%) (8.43%) (7.80%) (10.40%) (5.17%)  
Capital Stock, Long-Term Debt, and Other Securities [Abstract]                  
Outstanding Security, Authorized [Shares]                 200,000,000
Outstanding Security, Held [Shares]                 21,307,672
Investment Objective [Member]                  
General Description of Registrant [Abstract]                  
Investment Objectives and Practices [Text Block]                
Investment Objective
BlackRock Income Trust, Inc.’s (BKT) (the “Fund”)
investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Fund seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. The Fund invests at least 80% of its assets in securities that are (i) issued or guaranteed by the U.S. government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P Global Ratings (“S&P”) or Aaa by Moody’s Investors Service, Inc (“Moody’s”). The Fund may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Fund’s investment objective will be achieved.
Investment Objectives and Policies [Member]                  
General Description of Registrant [Abstract]                  
Investment Objectives and Practices [Text Block]                
BlackRock Income Trust, Inc. (BKT)
The Fund’s investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Fund will seek to distribute monthly income that is greater than that obtainable on an annualized basis by investment in United States government securities having the same maturity as the weighted average maturity of the Fund’s investments. The Fund’s portfolio is expected to consist primarily of mortgage-backed securities and, to a lesser extent, asset-backed securities.
Mortgage-backed securities are securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans secured by real property. There are three basic types of mortgage-backed securities: (i) those issued or guaranteed by the United States government or one of its agencies or instrumentalities, such as the Government National Mortgage Association (“GNMA”), the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”); (ii) those issued by private issuers that are collateralized by securities issued or guaranteed by the United States government or one of its agencies or instrumentalities; and (iii) those issued by private issuers and collateralized by securities without a government guarantee but usually with some form of private credit enhancement.
The Fund will invest at least 65% of its assets in mortgage-backed securities. The balance of the Fund’s assets generally will be invested in asset-backed securities, which have structural characteristics similar to mortgage-backed securities but have underlying assets that are not mortgage loans or interests in mortgage loans. The Fund may also invest in various derivative mortgage-backed and asset-backed securities, such as collateralized mortgage obligations and asset-backed security residual interests and stripped mortgage-backed securities. The Fund may invest directly in securities or synthetically through the use of derivatives. In addition, for hedging purposes, the Fund may utilize a portion of its assets for certain options, futures, interest rate swaps and related transactions. For purposes of enhancing liquidity and/or preserving capital, the Fund may invest without limit in securities issued by the United States government and its agencies and instrumentalities, or repurchase agreements collateralized by such securities, certificates of deposit, time deposits or bankers’ acceptances of similar quality.
At least 80% of the Fund’s assets will be invested in securities that are (i) issued or guaranteed by the United States government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P Global Ratings (“S&P”) or Aaa by Moody’s Investors Service (“Moody’s”). Securities issued or guaranteed by the United States government or its agencies or instrumentalities are generally considered to be of the same or higher quality than privately issued securities rated AAA or Aaa.
 
 
 
No more than 20% of the Fund’s assets will be invested in other securities, all of which will have been determined by BlackRock Advisors, LLC (the “Manager”) or BlackRock International Limited (“BIL” and together with the Manager, the “Advisors”), the Fund’s
sub-advisor,
to be of comparable credit quality.
The yield characteristics of mortgage-backed and asset-backed securities differ from traditional debt securities. Among the major differences are that interest and principal payments are made more frequently, usually monthly, and that principal may be prepaid at any time because the underlying mortgage loans or other assets generally may be prepaid at any time. As a result, if the Fund purchases such a security at a premium, a prepayment rate that is faster than expected will reduce yield to maturity, while a prepayment rate that is slower than expected will have the opposite effect of increasing yield to maturity. Conversely, if the Fund purchases these securities at a discount, faster than expected prepayments will increase, while slower than expected prepayments will reduce, yield to maturity. The Fund may also invest in derivative securities such as stripped mortgage-backed securities or residual interests, which generally are more sensitive to changes in prepayment and interest rates. The Advisors will seek to manage these risks (and potential benefits) by investing in a variety of such securities and through hedging techniques.
Prepayments on a pool of mortgage loans are influenced by a variety of economic, geographic, social and other factors, including changes in mortgagors’ housing needs, job transfers, unemployment, mortgagors’ net equity in the mortgaged properties and servicing decisions. Generally, however, prepayments on fixed rate mortgage loans will increase during a period of falling interest rates and decrease during a period of rising interest rates. The same factors apply to prepayments on asset-backed securities but the predominant factor in a particular case may be different than in the case of mortgage-backed securities. Accordingly, amounts available for reinvestment by the Fund are likely to be greater during a period of declining interest rates than during a period of rising interest rates.
The Fund’s yield will also be affected by the interest rates on instruments in which the Fund is able to reinvest the proceeds of payments and prepayments. Accelerated prepayments on securities purchased by the Fund at a premium also impose a risk of loss of principal because the premium may not have been fully amortized at the time the principal is repaid in full.
Leverage:
The Fund may borrow from time to time, at the Advisors’ discretion, for purposes of investment leverage when yields on available investments exceed interest rates and other expenses of related borrowing, or when, in the Advisors’ opinion, unusual market conditions otherwise make it advantageous for the Fund to increase its investment capacity.
The Fund may enter into derivative securities transactions that have leverage embedded in them.
The Fund may also borrow for emergency purposes, for the payment of dividends or for the clearance of transactions.
The Fund may enter into reverse repurchase agreements.
[1] If the common shares are sold to or through underwriters, the Prospectus Supplement will set forth any applicable sales load and the estimated offering expenses. Fund shareholders will pay all offering expenses involved with an offering.
[2] Computershare Trust Company, N.A.’s (the “Reinvestment Plan Agent”) fees for the handling of the reinvestment of dividends will be paid by BKT. However, shareholders will pay a $0.02 per share fee incurred in connection with open-market purchases, which will be deducted from the value of the dividend. Shareholders will also be charged a $2.50 sales fee and pay a $0.15 per share fee if a shareholder directs the Reinvestment Plan Agent to sell the common shares held in a dividend reinvestment account. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay.
[3] BKT and the Manager have entered into a fee waiver agreement (the “Fee Waiver Agreement”), pursuant to which the Manager has contractually agreed to waive the investment advisory fees with respect to any portion of BKT’s assets attributable to investments in any equity and fixed-income mutual funds and exchange-traded funds managed by the Manager or its affiliates that have a contractual management fee, through June 30, 2025. In addition, pursuant to the Fee Waiver Agreement, the Manager has contractually agreed to waive its investment advisory fees by the amount of investment advisory fees BKT pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2025. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by BKT (upon the vote of a majority of the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “Investment Company Act”), of BKT or a majority of the outstanding voting securities of BKT), upon 90 days’ written notice by BKT to the Manager.
[4] BKT currently pays the Manager a monthly fee at an annual contractual investment advisory fee rate of 0.65% of the average weekly value of BKT’s net assets. For purposes of calculating this fee, “net assets” means the total assets of BKT minus the sum of its accrued liabilities (including the aggregate indebtedness constituting financial leverage).
[5] BKT uses leverage in the form of reverse repurchase agreements representing 29.0% of Managed Assets at an annual interest expense to BKT of 5.0% which is based on current market conditions. The actual amount of interest expenses borne by BKT will vary over time in accordance with the level of BKT’s use of reverse repurchase agreements and variations in market interest rates. Interest expense is required to be treated as an expense of BKT for accounting purposes.

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2023-03-31 0000832327 cik0000832327:CommonSharesMember 2022-10-01 2022-12-31 0000832327 cik0000832327:CommonSharesMember 2022-07-01 2022-09-30 0000832327 cik0000832327:CommonSharesMember 2022-04-01 2022-06-30 0000832327 cik0000832327:CommonSharesMember 2022-01-01 2022-03-31 pure shares iso4217:USD iso4217:USD shares 0000832327 false N-CSR BlackRock Income Trust, Inc. <div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 11pt; font-family: ARIAL;"><div style="font-weight:bold;display:inline;">Investment Objective </div></div><div style="margin-top:10pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">BlackRock Income Trust, Inc.’s (BKT) (the “Fund”) </div></div>investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Fund seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. The Fund invests at least 80% of its assets in securities that are (i) issued or guaranteed by the U.S. government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&amp;P Global Ratings (“S&amp;P”) or Aaa by Moody’s Investors Service, Inc (“Moody’s”). The Fund may invest directly in such securities or synthetically through the use of derivatives. </div><div style="margin-top:10pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">No assurance can be given that the Fund’s investment objective will be achieved. </div> 21307672 200000000 <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:11.5pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:4%;vertical-align:top;text-align:left;"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;"><div style="font-style: italic; letter-spacing: 0px; top: 0px;;display:inline;">10.</div></div></div></td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 11.5pt; font-family: ARIAL; text-align: justify; line-height: normal;"><div style="font-weight:bold;display:inline;"><div style="font-style: italic; letter-spacing: 0px; top: 0px;;display:inline;">PRINCIPAL RISKS </div></div></div></td></tr></table><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Illiquidity Risk: </div></div>Each Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Fund may not be able to readily dispose of such investments at prices that approximate those at which a Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, a Fund may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Fund’s NAV and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Market Risk: </div></div>Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate. </div><div style="margin-top:0pt;margin-bottom:0pt ; font-size:8pt"> </div><div style="margin-top:0pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Valuation Risk: </div></div>The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Counterparty Credit Risk: </div></div>The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">A derivative contract may suffer a <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;"><div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">mark-to-market</div></div> loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">With exchange-traded options purchased, exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Geographic/Asset Class</div></div><div style="letter-spacing: 0px; top: 0px;;display:inline;"></div><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;"> Risk: </div></div>A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that ended in March 2022. The Federal Reserve has recently been raising the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Funds’ performance. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The Funds invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">non-payment</div> would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Funds invest. </div><div style="margin-top:0pt;margin-bottom:0pt ; font-size:8pt"> </div><div style="margin-top:0pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedules of Investments. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">LIBOR Transition Risk</div></div>: The Funds may be exposed to financial instruments that recently transitioned from, or continue to be tied to, the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased publishing all LIBOR settings, but some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. SOFR has been used increasingly on a voluntary basis in new instruments and transactions. Under U.S. regulations that implement a statutory fallback mechanism to replace LIBOR, benchmark rates based on SOFR have replaced LIBOR in certain financial contracts. The ultimate effect of the LIBOR transition process on the Funds is uncertain. </div><div style="font-size:10pt;margin-top:0pt;margin-bottom:0pt"> </div><div style="margin-top: 8pt; margin-bottom: 0pt; font-size: 9pt; font-family: ARIAL;"><div style="font-weight:bold;display:inline;">Risk Factors </div></div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">This section contains a discussion of the general risks of investing in each Fund. The net asset value and market price of, and dividends paid on, the common shares will fluctuate with and be affected by, among other things, the risks more fully described below. As with any fund, there can be no guarantee that a Fund will meet its investment objective or that the Fund’s performance will be positive for any period of time. Each risk noted below is applicable to each Fund unless the specific Fund or Funds are noted in a parenthetical. The order of the below risk factors does not indicate the significance of any particular risk. </div><div style="margin-top:0pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Investment and Market Discount Risk: </div></div>An investment in the Fund’s common shares is subject to investment risk, including the possible loss of the entire amount that you invest. As with any stock, the price of the Fund’s common shares will fluctuate with market conditions and other factors. If shares are sold, the price received may be more or less than the original investment. Common shares are designed for long-term investors and the Fund should not be treated as a trading vehicle. Shares of <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">closed-end</div> management investment companies frequently trade at a discount from their net asset value. This risk is separate and distinct from the risk that the Fund’s net asset value could decrease as a result of its investment activities. At any point in time an investment in the Fund’s common shares may be worth less than the original amount invested, even after taking into account distributions paid by the Fund. During periods in which the Fund may use leverage, the Fund’s investment, market discount and certain other risks will be magnified. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Concentration Risk (BIT): </div></div>The Fund’s strategy of concentrating in mortgage related securities means that its performance will be closely tied to the performance of a particular market segment. The Fund’s concentration in these securities may present more risks than if it were broadly diversified over numerous industries and sectors of the economy. A downturn in these securities would have a larger impact on the Fund than on a mutual fund that does not concentrate in such securities. At times, the performance of these securities will lag the performance of other industries or the broader market as a whole. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Debt Securities Risk: </div></div>Debt securities, such as bonds, involve interest rate risk, such as credit risk, interest rate risk, extension risk, and prepayment risk, each of which are described in further detail below: </div><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Credit Risk — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be able to make payments of interest and p<div style="display:inline;">rin</div>cipal when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. The degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Interest Rate Risk — The market value of bonds and other fixed-income securities changes in response to interest rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. </div></td></tr></table><div style="margin-top:8pt; margin-bottom:0pt; margin-left:5%; font-size:9pt; font-family:ARIAL;text-align:justify">The Fund may be subject to a greater risk of rising interest rates due to the recent period of historically low interest rates. For example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors being equal, the value of the Fund’s investments would be expected to decrease by 10%. (Duration is a measure of the price sensitivity of a debt security or portfolio of debt securities to relative changes in interest rates.) The magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by Fund management. </div><div style="margin-top:8pt; margin-bottom:0pt; margin-left:5%; font-size:9pt; font-family:ARIAL;text-align:justify">To the extent the Fund invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of the Fund) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate debt securities. </div><div style="margin-top:8pt; margin-bottom:0pt; margin-left:5%; font-size:9pt; font-family:ARIAL;text-align:justify">These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in value when interest rates change. </div><div style="margin-top:8pt; margin-bottom:0pt; margin-left:5%; font-size:9pt; font-family:ARIAL;text-align:justify">A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could hurt the Fund’s performance. </div><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Extension Risk — When interest rates rise, certain obligations will be paid off by the obligor more slowly than anticipated, causing the value of these obligations to fall. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Prepayment Risk — When interest rates fall, certain obligations will be paid off by the obligor more quickly than originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields. </div></td></tr></table><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">U.S. Government Obligations Risk: </div></div>Certain securities in which the Fund may invest, including securities issued by certain U.S. Government agencies and U.S. Government sponsored enterprises, are not guaranteed by the U.S. Government or supported by the full faith and credit of the United States. In addition, circumstances could arise that could prevent the timely payment of interest or principal on U.S. Government obligations, such as reaching the legislative “debt ceiling.” Such <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">non-payment</div> could result in losses to the Fund and substantial negative consequences for the U.S. economy and the global financial system. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">U.S. Government Mortgage-Related Securities Risk (FRA, BKT and BLW): </div></div>There are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. Mortgage-related securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. GNMA securities also are supported by the right of GNMA to borrow funds from the U.S. Treasury to make payments under its guarantee. Mortgage-related securities issued by Fannie Mae or Freddie Mac are solely the obligations of Fannie Mae or Freddie Mac, as the case may be, and are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Mortgage- and Asset-Backed Securities Risks (FRA, BKT, BLW and BIT): </div></div>Mortgage- and asset-backed securities represent interests in “pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default <div style="display:inline;">on </div>the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities. </div><div style="margin-top:0pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Senior Loans Risk (DSU, FRA, BLW and BIT): </div></div>There is less readily available, reliable information about most senior loans than is the case for many other types of securities. An economic downturn generally leads to a higher <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">non-payment</div> rate, and a senior loan may lose significant value before a default occurs. Moreover, any specific collateral used to secure a senior loan may decline in value or become illiquid, which would adversely affect the senior loan’s value. No active trading market may exist for certain senior loans, which may impair the ability of the Fund to realize full value in the event of the need to sell a senior loan and which may make it difficult to value senior loans. Although senior loans in which the Fund will invest generally will be secured by specific collateral, there can be no assurance that liquidation of such collateral would satisfy the borrower’s obligation in the event of <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">non-payment</div> of scheduled interest or principal or that such collateral could be readily liquidated. To the extent that a senior loan is collateralized by stock in the borrower or its subsidiaries, such stock may lose all of its value in the event of the bankruptcy of the borrower. Uncollateralized senior loans involve a greater risk of loss. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Second Lien Loans Risk (BIT): </div></div>Second lien loans generally are subject to similar risks as those associated with investments in senior loans. Because second lien loans are subordinated or unsecured and thus lower in priority of payment to senior loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">CLO Risk (BIT and FRA): </div></div>In addition to the general risks associated with fixed-income securities discussed herein, CLOs carry additional risks, including: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the possibility that the CLO securities are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. The credit quality of CLOs depends primarily upon the quality of the underlying assets and the level of credit support and/or enhancement provided. The underlying assets (e.g., loans) of CLOs are subject to prepayments, which shorten the weighted average maturity and may lower the return of the securities issued by the CLOs. The value of CLO securities also may change because of changes in the market’s perception of the creditworthiness of the servicing agent for the pool, the originator of the pool, or the financial institution or fund providing the credit support or enhancement. Furthermore, the leveraged nature of each subordinated class may magnify the adverse impact on such class of changes in the value of the assets, changes in the distributions on the assets, defaults and recoveries on the assets, capital gains and losses on the assets, prepayment on assets and availability, price and interest rates of assets. CLOs are typically privately offered and sold, and thus are not registered under the securities laws. Additionally, when the Fund purchases a newly issued CLO security in the primary market (rather than from the secondary market), there often may be a delayed settlement period. As a result, investments in CLOs may be characterized by the Fund as illiquid securities; however, an active dealer market may exist which would allow such securities to be considered liquid in some circumstances. Finally, CLOs are limited recourse and may not be paid in full and may be subject to up to 100% loss. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Risks of Loan Assignments and Participations (BLW): </div></div>As the purchaser of an assignment, the Fund typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the Fund may not be able unilaterally to enforce all rights and remedies under the loan and with regard to any associated collateral. Because assignments may be arranged through private negotiations between potential assignees and potential assignors, the rights and obligations acquired by the Fund as the purchaser of an assignment may differ from, and be more limited than, those held by the assigning lender. In addition, if the loan is foreclosed, the Fund could become part owner of any collateral and could bear the costs and liabilities of owning and disposing of the collateral. The Fund may be required to pass along to a purchaser that buys a loan from the Fund by way of assignment a portion of any fees to which the Fund is entitled under the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">set-off</div> against the borrower, and the Fund may not directly benefit from any collateral supporting the loan in which it has purchased the participation. As a result, the Fund will be subject to the credit risk of both the borrower and the lender that is selling the participation. In the event of the insolvency of the lender selling a participation, the Fund may be treated as a general creditor of the lender and may not benefit from any <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">set-off</div> between the lender and the borrower. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Corporate Loans Risk (DSU): </div></div>Commercial banks and other financial institutions or institutional investors make corporate loans to companies that need capital to grow or restructure. Borrowers generally pay interest on corporate loans at rates that change in response to changes in market interest rates such as the Secured Overnight Financing Rate (“SOFR”), the London Interbank Offered Rate (“LIBOR”) or the prime rates of U.S. banks. As a result, the value of corporate loan investments is generally less exposed to the adverse effects of shifts in market interest rates than investments that pay a fixed rate of interest. The market for corporate loans may be subject to irregular trading activity and wide bid/ask spreads. In addition, transactions in corporate loans may settle on a delayed basis. As a result, the proceeds from the sale of corporate loans may not be readily available to make additional investments or to meet the Fund’s redemption obligations. To the extent the extended settlement process gives rise to short-term liquidity needs, the Fund may hold additional cash, sell investments or temporarily borrow from banks and other lenders. The corporate loans in which the Fund invests are usually rated below investment grade. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Variable and Floating Rate Instrument Risk (DSU, FRA and BLW): </div></div>Variable and floating rate securities provide for periodic adjustment in the interest rate paid on the securities. These securities may be subject to greater illiquidity risk than other fixed income securities, meaning the absence of an active market for these securities could make it difficult for the Fund to dispose of them at any given time. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Unrated Securities Risk (BIT): </div></div>Because the Fund may purchase securities that are not rated by any rating organization, the Managers may, after assessing their credit quality, internally assign ratings to certain of those securities in categories similar to those of rating organizations. Some unrated securities may not have an active trading market or may be difficult to value, which means the Fund might have difficulty selling them promptly at an acceptable price. To the extent that the Fund invests in unrated securities, the Fund’s ability to achieve its investment objectives will be more dependent on the Managers’ credit analysis than would be the case when the Fund invests in rated securities. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">High Yield Bonds Risk (DSU, FRA, BLW and BIT): </div></div>Although junk bonds generally pay higher rates of interest than investment grade bonds, junk bonds are high risk investments that are considered speculative and may cause income and principal losses for the Fund. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Distressed Securities Risk (DSU and FRA): </div></div>Distressed securities are speculative and involve substantial risks in addition to the risks of investing in junk bonds. The Fund will generally not receive interest payments on the distressed securities and may incur costs to protect its investment. In addition, distressed securities involve the substantial risk that principal will not be repaid. These securities may present a substantial risk of default or may be in default at the time of investment. The Fund may incur additional </div><div style="margin-top:0pt;margin-bottom:0pt ; font-size:8pt"> </div><div style="margin-top:0pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">expenses to the extent it is required to seek recovery upon a default in the payment of principal of or interest on its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Fund may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Distressed securities and any securities received in an exchange for such securities may be subject to restrictions on resale. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Collateralized Bond Obligations Risk (BLW): </div></div>The pool of high yield securities underlying collateralized bond obligations is typically separated into groupings called tranches representing different degrees of credit quality. The higher quality tranches have greater degrees of protection and pay lower interest rates. The lower tranches, with greater risk, pay higher interest rates. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Collateralized Debt Obligations Risk (FRA): </div></div>In addition to the typical risks associated with fixed-income securities and asset-backed securities, collateralized debt obligations (“CDOs”), including collateralized loan obligations, carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the risk that the collateral may default or decline in value or be downgraded, if rated by a nationally recognized statistical rating organization; (iii) the Fund may invest in tranches of CDOs that are subordinate to other tranches; (iv) the structure and complexity of the transaction and the legal documents could lead to disputes among investors regarding the characterization of proceeds; (v) the investment return achieved by the Fund could be significantly different than those predicted by financial models; (vi) the lack of a readily available secondary market for CDOs; (vii) the risk of forced “fire sale” liquidation due to technical defaults such as coverage test failures; and (viii) the CDO’s manager may perform poorly. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Sovereign Debt Risk (FRA, BLW and BIT): </div></div>Sovereign debt instruments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Municipal Securities Risks (BIT): </div></div>Municipal securities risks include the ability of the issuer to repay the obligation, the relative lack of information about certain issuers of municipal securities, and the possibility of future legislative changes which could affect the market for and value of municipal securities. Budgetary constraints of local, state, and federal governments upon which the issuers may be relying for funding may also impact municipal securities. These risks include: </div><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">General Obligation Bonds Risks — Timely payments depend on the issuer’s credit quality, ability to raise tax revenues and ability to maintain an adequate tax base. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Revenue Bonds Risks — These payments depend on the money earned by the particular facility or class of facilities, or the amount of revenues derived from another source. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Private Activity Bonds Risks — Municipalities and other public authorities issue private activity bonds to finance development of industrial facilities for use by a private enterprise. The private enterprise pays the principal and interest on the bond, and the issuer does not pledge its full faith, credit and taxing power for repayment. The Fund’s investments may consist of private activity bonds that may subject certain shareholders to an alternative minimum tax. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Moral Obligation Bonds Risks — Moral obligation bonds are generally issued by special purpose public authorities of a state or municipality. If the issuer is unable to meet its obligations, repayment of these bonds becomes a moral commitment, but not a legal obligation, of the state or municipality. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Municipal Notes Risks — Municipal notes are shorter term municipal debt obligations. If there is a shortfall in the anticipated proceeds, the notes may not be fully repaid and the Fund may lose money. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Municipal Lease Obligations Risks — In a municipal lease obligation, the issuer agrees to make payments when due on the lease obligation. Although the issuer does not pledge its unlimited taxing power for payment of the lease obligation, the lease obligation is secured by the leased property. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;"><div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">Tax-Exempt</div> Status Risk — The Fund and its investment manager will rely on the opinion of issuers’ bond counsel and, in the case of derivative securities, sponsors’ counsel, on the <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">tax-exempt</div> status of interest on municipal bonds and payments under derivative securities. Neither the Fund nor its investment manager will independently review the bases for those tax opinions, which may ultimately be determined to be incorrect and subject the Fund and its shareholders to substantial tax liabilities. </div></td></tr></table><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Brady Bonds Ris</div></div>k <div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">(BLW): </div></div>Brady Bonds involve various risk factors described above associated with investing in <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">non-U.S.</div> securities, including the history of defaults with respect to commercial bank loans by public and private entities of countries issuing Brady Bonds. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Supranational Entities Risk (BLW): </div></div>The Fund may invest in obligations issued or guaranteed by the World Bank. The government members, or “stockholders,” usually make initial capital contributions to the World Bank and in many cases are committed to make additional capital contributions if the World Bank is unable to repay its borrowings. There is no guarantee that one or more stockholders of the World Bank will continue to make any necessary additional capital contributions. If such contributions are not made, the entity may be unable to pay interest or repay principal on its debt securities, and the Fund may lose money on such investments. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Yield and Ratings Risk (BKT)</div></div>: The yields on debt obligations are dependent on a variety of factors, including general market conditions, conditions in the particular market for the obligation, the financial condition of the issuer, the size of the offering, the maturity of the obligation and the ratings of the issue. The ratings of Moody’s, S&amp;P and Fitch, represent their respective opinions as to the quality of the obligations they undertake to rate. Ratings, however, are general and are not absolute standards of quality. Consequently, obligations with the same rating, maturity and interest rate may have different market prices. Subsequent to its purchase by the Fund, a rated security may cease to be rated. The Manager will consider such an event in determining whether the Fund should continue to hold the security. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Repurchase Agreements and Purchase and Sale Contracts Risk (BKT and BIT)</div></div>: If the other party to a repurchase agreement or purchase and sale contract defaults on its obligation under the agreement, the Fund may suffer delays and incur costs or lose money in exercising its rights under the agreement. If the seller fails to repurchase the security in either situation and the market value of the security declines, the Fund may lose money. </div><div style="margin-top:0pt;margin-bottom:0pt ; font-size:8pt"> </div><div style="margin-top:0pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Foreign Securities Risk (DSU, FRA, BLW and BIT): </div></div>Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Fund will lose money. These risks include: </div><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">The Fund generally holds its foreign securities and cash in foreign banks and securities depositories, which may be recently organized or new to the foreign custody business and may be subject to only limited or no regulatory oversight. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Changes in foreign currency exchange rates can affect the value of the Fund’s portfolio. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">The economies of certain foreign markets may not compare favorably with the economy of the United States with respect to such issues as growth of gross national product, reinvestment of capital, resources and balance of payments position. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">The governments of certain countries, or the U.S. Government with respect to certain countries, may prohibit or impose substantial restrictions through capital controls and/or sanctions on foreign investments in the capital markets or certain industries in those countries, which may prohibit or restrict the ability to own or transfer currency, securities, derivatives or other assets. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Many foreign governments do not supervise and regulate stock exchanges, brokers and the sale of securities to the same extent as does the United States and may not have laws to protect investors that are comparable to U.S. securities laws. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Settlement and clearance procedures in certain foreign markets may result in delays in payment for or delivery of securities not typically associated with settlement and clearance of U.S. investments. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">The Fund’s claims to recover foreign withholding taxes may not be successful, and if the likelihood of recovery of foreign withholding taxes materially decreases, due to, for example, a change in tax regulation or approach in the foreign country, accruals in the Fund’s net asset value for such refunds may be written down partially or in full, which will adversely affect the Fund’s net asset value. </div></td></tr></table><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Emerging Markets Risk (FRA, BLW and BIT): </div></div>Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Equity Securities Risk (DSU, FRA, BLW and BIT): </div></div>Stock markets are volatile. The price of equity securities fluctuates based on changes in a company’s financial condition and overall market and economic conditions. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Small and <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">Mid-Capitalization</div> Company Risk (BIT): </div></div>Companies with small or <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">mid-size</div> market capitalizations will normally have more limited product lines, markets and financial resources and will be dependent upon a more limited management group than larger capitalized companies. In addition, it is more difficult to get information on smaller companies, which tend to be less well known, have shorter operating histories, do not have significant ownership by large investors and are followed by relatively few securities analysts. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Preferred Securities Risk (DSU, FRA, BLW and BIT): </div></div>Preferred securities may pay fixed or adjustable rates of return. Preferred securities are subject to issuer-specific and market risks applicable generally to equity securities. In addition, a company’s preferred securities generally pay dividends only after the company makes required payments to holders of its bonds and other debt. For this reason, the value of preferred securities will usually react more strongly than bonds and other debt to actual or perceived changes in the company’s financial condition or prospects. Preferred securities of smaller companies may be more vulnerable to adverse developments than preferred securities of larger companies. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Convertible Securities Risk (DSU, FRA and BIT): </div></div>The market value of a convertible security performs like that of a regular debt security; that is, if market interest rates rise, the value of a convertible security usually falls. In addition, convertible securities are subject to the risk that the issuer will not be able to pay interest, principal or dividends when due, and their market value may change based on changes in the issuer’s credit rating or the market’s perception of the issuer’s creditworthiness. Since it derives a portion of its value from the common stock into which it may be converted, a convertible security is also subject to the same types of market and issuer risks that apply to the underlying common stock, including the potential for increased volatility in the price of the convertible security. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Warrants Risk (DSU and FRA): </div></div>If the price of the underlying stock does not rise above the exercise price before the warrant expires, the warrant generally expires without any value and the Fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve substantially more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Real Estate-Related Securities Risk (BLW): </div></div>The main risk of real estate-related securities is that the value of the underlying real estate may go down. Many factors may affect real estate values. These factors include both the general and local economies, vacancy rates, changes in rent schedules, tenant bankruptcies, the ability to <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">re-lease</div> space under expiring leases on attractive terms, the amount of new construction in a particular area, the laws and regulations (including zoning, environmental and tax laws) affecting real estate and the costs of owning, maintaining and improving real estate. The availability of mortgage financing and changes in interest rates may also affect real estate values. If the Fund’s real estate-related investments are concentrated in one geographic area or in one property type, the Fund will be particularly subject to the risks associated with that area or property type. Many issuers of real estate-related securities are highly leveraged, which increases the risk to holders of such securities. The value of the securities the Fund buys will not necessarily track the value of the underlying investments of the issuers of such securities. In addition, certain issuers of real estate-related securities may have developed or commenced development on properties and may develop additional properties in the future. Real estate development involves significant risks in addition to those involved in the ownership and operation of established properties. Real estate securities may have limited diversification and are, therefore, subject to risks inherent in operating and financing a limited number of projects. Real estate securities are also subject to heavy cash flow dependency and defaults by borrowers or tenants. </div><div style="margin-top:0pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">REIT Investment Risk (BLW and BIT): </div></div>Investments in REITs involve unique risks. REITs may have limited financial resources, may trade less frequently and in limited volume, may engage in dilutive offerings of securities and may be more volatile than other securities. REIT issuers may also fail to maintain their exemptions from investment company registration or fail to qualify for the “dividends paid deduction” under the Internal Revenue Code of 1986, as amended, which allows REITs to reduce their corporate taxable income for dividends paid to their shareholders. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Structured Securities Risk (BIT): </div></div>Because structured securities of the type in which the Fund may invest typically involve no credit enhancement, their credit risk generally will be equivalent to that of the underlying instruments, index or reference obligation and will also be subject to counterparty risk. The Fund may have the right to receive payments only from the structured security, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. In addition to the general risks associated with debt securities discussed herein, structured securities carry additional risks, including, but not limited to: the possibility that distributions from collateral securities will not be adequate to make interest or other payments; the quality of the collateral may decline in value or default; and the possibility that the structured securities are subordinate to other classes. The Fund is permitted to invest in a class of structured securities that is either subordinated or unsubordinated to the right of payment of another class. Subordinated structured securities typically have higher yields and present greater risks than unsubordinated structured securities. Structured securities are typically sold in private placement transactions, and there currently is no active trading market for structured securities. Structured securities are based upon the movement of one or more factors, including currency exchange rates, interest rates, reference bonds and stock indices, and changes in interest rates and impact of these factors may cause significant price fluctuations. Additionally, changes in the reference instrument or security may cause the interest rate on the structured security to be reduced to zero. Certain issuers of such structured securities may be deemed to be “investment companies” as defined in the Investment Company Act. As a result, the Fund’s investment in such securities may be limited by certain investment restrictions contained in the Investment Company Act. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Derivatives Risk: </div></div>The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or increase volatility. Derivatives involve significant risks, including: </div><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Leverage Risk — The Fund’s use of derivatives can magnify the Fund’s gains and losses. Relatively small market movements may result in large changes in the value of a derivatives position and can result in losses that greatly exceed the amount originally invested. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Market Risk — Some derivatives are more sensitive to interest rate changes and market price fluctuations than other securities. The Fund could also suffer losses related to its derivatives positions as a result of unanticipated market movements, which losses are potentially unlimited. Finally, the Manager may not be able to predict correctly the direction of securities prices, interest rates and other economic factors, which could cause the Fund’s derivatives positions to lose value. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Counterparty Risk — Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will be unable or unwilling to fulfill its contractual obligation, and the related risks of having concentrated exposure to such a counterparty. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Illiquidity Risk — The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more difficult for the Fund to value accurately. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Operational Risk — The use of derivatives includes the risk of potential operational issues, including documentation issues, settlement issues, systems failures, inadequate controls and human error. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Legal Risk — The risk of insufficient documentation, insufficient capacity or authority of counterparty, or legality or enforceability of a contract. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Volatility and Correlation Risk — Volatility is defined as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the fluctuations in their values may not correlate with the overall securities markets. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Valuation Risk — Valuation for derivatives may not be readily available in the market. Valuation may be more difficult in times of market turmoil since many investors and market makers may be reluctant to purchase complex instruments or quote prices for them. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Hedging Risk — Hedges are sometimes subject to imperfect matching between the derivative and the underlying security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging may result in certain adverse tax consequences. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Tax Risk — Certain aspects of the tax treatment of derivative instruments, including swap agreements and commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund realizes from its investments. </div></td></tr></table><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Structured Notes Risk (FRA): </div></div>Structured notes and other related instruments purchased by the Fund are generally privately negotiated debt obligations where the principal and/or interest is determined by reference to the performance of a specific asset, benchmark asset, market or interest rate (“reference measure”). The purchase of structured notes exposes the Fund to the credit risk of the issuer of the structured product. Structured notes may be leveraged, increasing the volatility of each structured note’s value relative to the change in the reference measure. Structured notes may also be less liquid and more difficult to price accurately than less complex securities and instruments or more traditional debt securities. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Leverage Risk: </div></div>The Fund’s use of leverage may increase or decrease from time to time in its discretion and the Fund may, in the future, determine not to use leverage. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The use of leverage creates an opportunity for increased common share net investment income dividends, but also creates risks for the holders of common shares. The Fund cannot assure you that the use of leverage will result in a higher yield on the common shares. Any leveraging strategy the Fund employs may not be successful. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">Leverage involves risks and special considerations for common shareholders, including: </div> <div style="margin-top:0pt;margin-bottom:0pt ; font-size:8pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">the likelihood of greater volatility of net asset value, market price and dividend rate of the common shares than a comparable portfolio without leverage; </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">the risk that fluctuations in interest rates or dividend rates on any leverage that the Fund must pay will reduce the return to the common shareholders; </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">the effect of leverage in a declining market, which is likely to cause a greater decline in the net asset value of the common shares than if the Fund were not leveraged, which may result in a greater decline in the market price of the common shares; </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">leverage may increase operating costs, which may reduce total return. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Any decline in the net asset value of the Fund’s investments will be borne entirely by the holders of common shares. Therefore, if the market value of the Fund’s portfolio declines, leverage will result in a greater decrease in net asset value to the holders of common shares than if the Fund were not leveraged. This greater net asset value decrease will also tend to cause a greater decline in the market price for the common shares. </div></td></tr></table><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Reverse Repurchase Agreements Risk: </div></div>Reverse repurchase agreements involve the sale of securities held by the Fund with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at all. The Fund could lose money if it is unable to recover the securities and the value of the collateral held by the Fund, including the value of the investments made with cash collateral, is less than the value of the securities. These events could also trigger adverse tax consequences for the Fund. In addition, reverse repurchase agreements involve the risk that the interest income earned in the investment of the proceeds will be less than the interest expense. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Dollar Rolls Risk (BLW and BIT): </div></div>Dollar rolls involve the risk that the market value of the securities that the Fund is committed to buy may decline below the price of the securities the Fund has sold. These transactions may involve leverage. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Short Sales Risk (DSU and BIT): </div></div>Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Illiquid Investments Risk: </div></div>The Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. The Fund may not be able to readily dispose of such investments at prices that approximate those at which the Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, the Fund may have to sell other investments or engage in borrowing transactions if necessary to raise cash to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting the Fund’s net asset value and ability to make dividend distributions. The financial markets in general, and certain segments of the mortgage-related securities markets in particular, have in recent years experienced periods of extreme secondary market supply and demand imbalance, resulting in a loss of liquidity during which market prices were suddenly and substantially below traditional measures of intrinsic value. During such periods, some investments could be sold only at arbitrary prices and with substantial losses. Periods of such market dislocation may occur again at any time. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Inverse Floater and Related Securities Risk (BIT): </div></div>Investments in inverse floaters, residual interest tender option bonds and similar instruments expose the Fund to the same risks as investments in fixed-income securities and derivatives, as well as other risks, including those associated with leverage and increased volatility. An investment in these securities typically will involve greater risk than an investment in a fixed rate security. Distributions on inverse floaters, residual interest tender option bonds and similar instruments will typically bear an inverse relationship to short term interest rates and typically will be reduced or, potentially, eliminated as interest rates rise. Inverse floaters, residual interest tender option bonds and similar instruments will underperform the market for fixed rate securities in a rising interest rate environment. Inverse floaters may be considered to be leveraged to the extent that their interest rates vary by a magnitude that exceeds the magnitude of the change in a reference rate of interest (typically a short term interest rate). The leverage inherent in inverse floaters is associated with greater volatility in their market values. Investments in inverse floaters, residual interest tender option bonds and similar instruments that have fixed-income securities underlying them will expose the Fund to the risks associated with those fixed-income securities and the values of those investments may be especially sensitive to changes in prepayment rates on the underlying fixed-income securities. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Investment Companies and ETFs Risk (DSU, BLW and BIT): </div></div>Subject to the limitations set forth in the Investment Company Act and the rules thereunder, the Fund may acquire shares in other investment companies and in ETFs, some of which may be affiliated investment companies. The market value of the shares of other investment companies and ETFs may differ from their net asset value. As an investor in investment companies and ETFs, the Fund would bear its ratable share of that entity’s expenses, including its investment advisory and administration fees, while continuing to pay its own advisory and administration fees and other expenses (to the extent not offset by the Manager through waivers). As a result, shareholders will be absorbing duplicate levels of fees with respect to investments in other investment companies and ETFs (to the extent not offset by the Manager through waivers). </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The securities of other investment companies and ETFs in which the Fund may invest may be leveraged. As a result, the Fund may be indirectly exposed to leverage through an investment in such securities. An investment in securities of other investment companies and ETFs that use leverage may expose the Fund to higher volatility in the market value of such securities and the possibility that the Fund’s long-term returns on such securities (and, indirectly, the long-term returns of shares of the Fund) will be diminished. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. To the extent the Fund is held by an affiliated fund, the ability of the Fund itself to hold other investment companies may be limited. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Risk of Investing in the United States: </div></div>Certain changes in the U.S. economy, such as when the U.S. economy weakens or when its financial markets decline, may have an adverse effect on the securities to which the Fund has exposure. </div><div style="margin-top:0pt;margin-bottom:0pt ; font-size:8pt"> </div><div style="margin-top:0pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Market Risk and Selection Risk: </div></div>Market risk is the risk that one or more markets in which the Fund invests will go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a security or other asset may decline due to changes in general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its investments. Selection risk is the risk that the securities selected by Fund management will underperform the markets, the relevant indices or the securities selected by other funds with similar investment objectives and investment strategies. This means you may lose money. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">An outbreak of an infectious coronavirus <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">(COVID-19)</div> that was first developed into a global pandemic that has resulted in numerous disruptions in the market and has had significant economic impact leaving general concern and uncertainty. Although vaccines have been developed and approved for use by various governments, the duration of the pandemic and its effects cannot be predicted with certainty. The impact of this coronavirus, and other epidemics and pandemics that may arise in the future, could affect the economies of many nations, individual companies and the market in general ways that cannot necessarily be foreseen at the present time. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Shareholder Activism Risk: </div></div>Shareholder activism involving <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">closed-end</div> funds has recently been increasing. Shareholder activism can take many forms, including engaging in public campaigns to demand that the Fund consider significant transactions such as a tender offer, merger or liquidation or to attempt to influence the Fund’s corporate governance and/or management, commencing proxy contests to attempt to elect the activists’ representatives or others to the Fund’s Board of Directors, or to seek other actions such as a termination of the Fund’s investment advisory contract with its current investment manager or commencing litigation. If the Fund becomes the subject of shareholder activism, then management and the Board may be required to divert significant resources and attention to respond to the activist and the Fund may incur substantial costs defending against such activism if management and the Board determine that the activist’s demands are not in the best interest of the Fund. Further, the Fund’s share price could be subject to significant fluctuation or otherwise be adversely affected by the events, risks and uncertainties of any shareholder activism. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Illiquidity Risk: </div></div>Each Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Fund may not be able to readily dispose of such investments at prices that approximate those at which a Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, a Fund may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Fund’s NAV and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Market Risk: </div></div>Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate. </div><div style="margin-top:0pt;margin-bottom:0pt ; font-size:8pt"> </div> <div style="margin-top:0pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Valuation Risk: </div></div>The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Counterparty Credit Risk: </div></div>The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">A derivative contract may suffer a <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;"><div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">mark-to-market</div></div> loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">With exchange-traded options purchased, exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Geographic/Asset Class</div></div><div style="letter-spacing: 0px; top: 0px;;display:inline;"></div><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;"> Risk: </div></div>A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that ended in March 2022. The Federal Reserve has recently been raising the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Funds’ performance. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The Funds invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">non-payment</div> would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Funds invest. </div><div style="margin-top:0pt;margin-bottom:0pt ; font-size:8pt"> </div>Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedules of Investments. <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">LIBOR Transition Risk</div></div>: The Funds may be exposed to financial instruments that recently transitioned from, or continue to be tied to, the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased publishing all LIBOR settings, but some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. SOFR has been used increasingly on a voluntary basis in new instruments and transactions. Under U.S. regulations that implement a statutory fallback mechanism to replace LIBOR, benchmark rates based on SOFR have replaced LIBOR in certain financial contracts. The ultimate effect of the LIBOR transition process on the Funds is uncertain. </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:11.5pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:4%;vertical-align:top;text-align:left;"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;"><div style="font-style: italic; letter-spacing: 0px; top: 0px;;display:inline;">11.</div></div></div></td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 11.5pt; font-family: ARIAL; text-align: justify; line-height: normal;"><div style="font-weight:bold;display:inline;"><div style="font-style: italic; letter-spacing: 0px; top: 0px;;display:inline;">CAPITAL SHARE TRANSACTIONS </div></div></div></td></tr></table><div style="margin-top:10pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">DSU is authorized to issue 400 million shares, all of which were initially classified as Common Shares. FRA and BKT are authorized to issue 200 million shares, all of which were initially classified as Common Shares. BLW and BIT is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. The par value for DSU’s, FRA’s, BKT’s, BLW’s and BIT’s shares is $0.10, $0.10, $0.010, $0.001 and $0.001, respectively. The Board for DSU, FRA, BLW and BIT are each authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders. </div><div style="margin-top: 8pt; margin-bottom: 0pt; font-size: 9pt; font-family: ARIAL;"><div style="font-weight:bold;display:inline;">Common Shares </div></div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment: </div><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt;width:96%;border:0;margin:0 auto"> <tr> <td style="width:90%"></td> <td style="vertical-align:bottom;width:1%"></td> <td></td> <td></td> <td style="vertical-align:bottom;width:1%"></td> <td style="vertical-align:bottom;width:2%"></td> <td></td> <td></td> <td></td></tr> <tr style="font-size:1pt"> <td style="BORDER-TOP:0.75pt solid #000000;height:3pt"> </td> <td colspan="8" style="BORDER-TOP:0.75pt solid #000000;height:3pt"> </td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align: bottom; padding-bottom: 0.5px;"> </td> <td style="vertical-align: bottom; padding-bottom: 0.5px;"> </td> <td colspan="6" style="border-bottom:1.00px solid #000000;vertical-align:bottom;text-align:center;">Year Ended</td> <td style="vertical-align: bottom; padding-bottom: 0.5px;"> </td></tr> <tr style="font-size:1pt"> <td style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom;white-space:nowrap"><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">Fund Name</div></div></td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td colspan="2" style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom;text-align:right;"><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">12/31/23</div></div></td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td colspan="2" style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom;text-align:right;"><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">12/31/22</div></div></td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">DSU</div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">—</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">3,721</td> <td style="white-space:nowrap;vertical-align:bottom"> </td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">BKT</div></td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">3,394</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">3,887</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"><div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(a)</div> </td></tr></table><div style="font-size:4pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;"><div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(a)</div></td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 8pt; font-family: ARIAL; text-align: justify; line-height: normal;">Share transactions reflect <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;"><div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">1-for-3</div></div> reverse stock split effective after the close of trading on October 17, 2022. </div></td> <td style="width:2%"> </td></tr></table><div style="font-size:2pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt;width:96%;border:0;margin:0 auto"> <tr> <td style="width:82%"></td> <td style="vertical-align:bottom;width:2%"></td> <td></td> <td></td> <td></td> <td style="vertical-align:bottom;width:2%"></td> <td></td> <td></td> <td></td> <td style="vertical-align:bottom;width:2%"></td> <td></td> <td></td> <td></td></tr> <tr style="font-size:1px"> <td colspan="12" style="vertical-align:bottom"><div style="margin-top: 0pt; margin-bottom: 0pt; border-top: 1px solid rgb(0, 0, 0); line-height: normal;"> </div></td> <td> </td></tr> <tr style="font-size:1pt"> <td style="height:1.5pt"></td> <td colspan="4" style="height:1.5pt"></td> <td colspan="8" style="height:1.5pt"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align: bottom; padding-bottom: 0.5px;"> </td> <td style="vertical-align: bottom; padding-bottom: 0.5px;"> </td> <td colspan="2" style="vertical-align: bottom; padding-bottom: 0.5px;;text-align:right;">Period from<br/>11/01/23</td> <td style="vertical-align: bottom; padding-bottom: 0.5px;"> </td> <td style="vertical-align: bottom; padding-bottom: 0.5px;">  </td> <td colspan="6" style="border-bottom:1.00px solid #000000;vertical-align:bottom;text-align:center;">Year Ended</td> <td style="vertical-align: bottom; padding-bottom: 0.5px;"> </td></tr> <tr style="font-size:1pt"> <td style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:bottom;white-space:nowrap"><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">Fund Name</div></div></td> <td style="vertical-align:bottom"> </td> <td colspan="2" style="vertical-align:bottom;text-align:right;"><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">to 12/31/23</div></div></td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td colspan="2" style="vertical-align:bottom;text-align:right;"><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">10/31/23</div></div></td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td colspan="2" style="vertical-align:bottom;text-align:right;"><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">10/31/22</div></div></td> <td style="vertical-align:bottom"> </td></tr> <tr style="font-size:1px"> <td colspan="12" style="vertical-align:bottom"><div style="margin-top: 0pt; margin-bottom: 0pt; border-top: 1px solid rgb(0, 0, 0); line-height: normal;"> </div></td> <td> </td></tr> <tr style="font-size:1pt"> <td style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="padding-bottom:3pt ;vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">BIT</div></td> <td style="vertical-align:bottom"> </td> <td style="padding-bottom:3pt ;white-space:nowrap;vertical-align:bottom"> </td> <td style="padding-bottom:3pt ;white-space:nowrap;vertical-align:bottom;text-align:right;">31,420</td> <td style="padding-bottom:3pt ;white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="padding-bottom:3pt ;white-space:nowrap;vertical-align:bottom"> </td> <td style="padding-bottom:3pt ;white-space:nowrap;vertical-align:bottom;text-align:right;">103,666</td> <td style="padding-bottom:3pt ;white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="padding-bottom:3pt ;white-space:nowrap;vertical-align:bottom"> </td> <td style="padding-bottom:3pt ;white-space:nowrap;vertical-align:bottom;text-align:right;">74,296</td> <td style="padding-bottom:3pt ;white-space:nowrap;vertical-align:bottom"> </td></tr> <tr style="font-size:1px"> <td colspan="12" style="vertical-align:bottom"><div style="margin-top: 0pt; margin-bottom: 0pt; border-top: 1px solid rgb(0, 0, 0); line-height: normal;"> </div></td> <td> </td></tr></table><div style="margin-top:4pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">For the year ended December 31, 2023, shares issued and outstanding remained constant for DSU. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">For the year ended December 31, 2023 and the year ended December 31, 2022, shares issued and outstanding remained constant for FRA and BLW. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The Funds participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2022 through November 30, 2023, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2022, subject to certain conditions. From December 1, 2023 through November 30, 2024, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2023, subject to certain conditions. The Repurchase Program has an accretive effect as shares are purchased at a discount to the Fund’s NAV. There is no assurance that the Funds will purchase shares in any particular amounts. For the period ended December 31, 2023, the Funds did not repurchase any shares. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">DSU, BKT, BLW and BIT have each filed a prospectus with the SEC allowing them to issue an additional 16,000,000, 8,333,333, 10,000,000 and 15,000,000 Common Shares, respectively, through an equity Shelf Offering. Under the Shelf Offering, DSU, BKT, BLW and BIT, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above each Fund’s NAV per Common Share (calculated within 48 hours of pricing). As of period end, 16,000,000, 8,333,333, 10,000,000 and 15,000,000 Common Shares, respectively, remain available for issuance under the Shelf Offering. For the period ended December 31, 2023, Common Shares issued and outstanding under the Shelf Offering remained constant for DSU, BKT, BLW and BIT. See Additional Information - Shelf Offering Program for additional information. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">Initial costs incurred by DSU, BKT, BLW and BIT in connection with their Shelf Offering are recorded as “Deferred offering costs” in the Statements of Assets and Liabilities. As shares are sold, a portion of the costs attributable to the shares sold will be charged against <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;"><div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">paid-in-capital.</div></div> Any remaining deferred charges at the end of the Shelf Offering period will be charged to expense. </div> DSU is authorized to issue 400 million shares, all of which were initially classified as Common Shares. FRA and BKT are authorized to issue 200 million shares, all of which were initially classified as Common Shares. <div style="margin-top: 8pt; margin-bottom: 0pt; font-size: 9pt; font-family: ARIAL;"><div style="font-weight:bold;display:inline;">BlackRock Income Trust, Inc. (BKT) </div></div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The Fund’s investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Fund will seek to distribute monthly income that is greater than that obtainable on an annualized basis by investment in United States government securities having the same maturity as the weighted average maturity of the Fund’s investments. The Fund’s portfolio is expected to consist primarily of mortgage-backed securities and, to a lesser extent, asset-backed securities. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">Mortgage-backed securities are securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans secured by real property. There are three basic types of mortgage-backed securities: (i) those issued or guaranteed by the United States government or one of its agencies or instrumentalities, such as the Government National Mortgage Association (“GNMA”), the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”); (ii) those issued by private issuers that are collateralized by securities issued or guaranteed by the United States government or one of its agencies or instrumentalities; and (iii) those issued by private issuers and collateralized by securities without a government guarantee but usually with some form of private credit enhancement. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The Fund will invest at least 65% of its assets in mortgage-backed securities. The balance of the Fund’s assets generally will be invested in asset-backed securities, which have structural characteristics similar to mortgage-backed securities but have underlying assets that are not mortgage loans or interests in mortgage loans. The Fund may also invest in various derivative mortgage-backed and asset-backed securities, such as collateralized mortgage obligations and asset-backed security residual interests and stripped mortgage-backed securities. The Fund may invest directly in securities or synthetically through the use of derivatives. In addition, for hedging purposes, the Fund may utilize a portion of its assets for certain options, futures, interest rate swaps and related transactions. For purposes of enhancing liquidity and/or preserving capital, the Fund may invest without limit in securities issued by the United States government and its agencies and instrumentalities, or repurchase agreements collateralized by such securities, certificates of deposit, time deposits or bankers’ acceptances of similar quality. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">At least 80% of the Fund’s assets will be invested in securities that are (i) issued or guaranteed by the United States government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&amp;P Global Ratings (“S&amp;P”) or Aaa by Moody’s Investors Service (“Moody’s”). Securities issued or guaranteed by the United States government or its agencies or instrumentalities are generally considered to be of the same or higher quality than privately issued securities rated AAA or Aaa. </div><div style="margin-top:0pt;margin-bottom:0pt ; font-size:8pt"> </div><div style="font-size:6pt;margin-top:0pt;margin-bottom:0pt"> </div><div style="margin-top:0pt;margin-bottom:0pt ; font-size:8pt"> </div><div style="margin-top:0pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">No more than 20% of the Fund’s assets will be invested in other securities, all of which will have been determined by BlackRock Advisors, LLC (the “Manager”) or BlackRock International Limited (“BIL” and together with the Manager, the “Advisors”), the Fund’s <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">sub-advisor,</div> to be of comparable credit quality. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The yield characteristics of mortgage-backed and asset-backed securities differ from traditional debt securities. Among the major differences are that interest and principal payments are made more frequently, usually monthly, and that principal may be prepaid at any time because the underlying mortgage loans or other assets generally may be prepaid at any time. As a result, if the Fund purchases such a security at a premium, a prepayment rate that is faster than expected will reduce yield to maturity, while a prepayment rate that is slower than expected will have the opposite effect of increasing yield to maturity. Conversely, if the Fund purchases these securities at a discount, faster than expected prepayments will increase, while slower than expected prepayments will reduce, yield to maturity. The Fund may also invest in derivative securities such as stripped mortgage-backed securities or residual interests, which generally are more sensitive to changes in prepayment and interest rates. The Advisors will seek to manage these risks (and potential benefits) by investing in a variety of such securities and through hedging techniques. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">Prepayments on a pool of mortgage loans are influenced by a variety of economic, geographic, social and other factors, including changes in mortgagors’ housing needs, job transfers, unemployment, mortgagors’ net equity in the mortgaged properties and servicing decisions. Generally, however, prepayments on fixed rate mortgage loans will increase during a period of falling interest rates and decrease during a period of rising interest rates. The same factors apply to prepayments on asset-backed securities but the predominant factor in a particular case may be different than in the case of mortgage-backed securities. Accordingly, amounts available for reinvestment by the Fund are likely to be greater during a period of declining interest rates than during a period of rising interest rates. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The Fund’s yield will also be affected by the interest rates on instruments in which the Fund is able to reinvest the proceeds of payments and prepayments. Accelerated prepayments on securities purchased by the Fund at a premium also impose a risk of loss of principal because the premium may not have been fully amortized at the time the principal is repaid in full. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Leverage: </div></div>The Fund may borrow from time to time, at the Advisors’ discretion, for purposes of investment leverage when yields on available investments exceed interest rates and other expenses of related borrowing, or when, in the Advisors’ opinion, unusual market conditions otherwise make it advantageous for the Fund to increase its investment capacity. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The Fund may enter into derivative securities transactions that have leverage embedded in them. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The Fund may also borrow for emergency purposes, for the payment of dividends or for the clearance of transactions. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The Fund may enter into reverse repurchase agreements. </div> <div style="margin-top:0pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Investment and Market Discount Risk: </div></div>An investment in the Fund’s common shares is subject to investment risk, including the possible loss of the entire amount that you invest. As with any stock, the price of the Fund’s common shares will fluctuate with market conditions and other factors. If shares are sold, the price received may be more or less than the original investment. Common shares are designed for long-term investors and the Fund should not be treated as a trading vehicle. Shares of <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">closed-end</div> management investment companies frequently trade at a discount from their net asset value. This risk is separate and distinct from the risk that the Fund’s net asset value could decrease as a result of its investment activities. At any point in time an investment in the Fund’s common shares may be worth less than the original amount invested, even after taking into account distributions paid by the Fund. During periods in which the Fund may use leverage, the Fund’s investment, market discount and certain other risks will be magnified. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Concentration Risk (BIT): </div></div>The Fund’s strategy of concentrating in mortgage related securities means that its performance will be closely tied to the performance of a particular market segment. The Fund’s concentration in these securities may present more risks than if it were broadly diversified over numerous industries and sectors of the economy. A downturn in these securities would have a larger impact on the Fund than on a mutual fund that does not concentrate in such securities. At times, the performance of these securities will lag the performance of other industries or the broader market as a whole. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Debt Securities Risk: </div></div>Debt securities, such as bonds, involve interest rate risk, such as credit risk, interest rate risk, extension risk, and prepayment risk, each of which are described in further detail below: </div><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Credit Risk — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be able to make payments of interest and p<div style="display:inline;">rin</div>cipal when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. The degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Interest Rate Risk — The market value of bonds and other fixed-income securities changes in response to interest rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. </div></td></tr></table><div style="margin-top:8pt; margin-bottom:0pt; margin-left:5%; font-size:9pt; font-family:ARIAL;text-align:justify">The Fund may be subject to a greater risk of rising interest rates due to the recent period of historically low interest rates. For example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors being equal, the value of the Fund’s investments would be expected to decrease by 10%. (Duration is a measure of the price sensitivity of a debt security or portfolio of debt securities to relative changes in interest rates.) The magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by Fund management. </div><div style="margin-top:8pt; margin-bottom:0pt; margin-left:5%; font-size:9pt; font-family:ARIAL;text-align:justify">To the extent the Fund invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of the Fund) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate debt securities. </div><div style="margin-top:8pt; margin-bottom:0pt; margin-left:5%; font-size:9pt; font-family:ARIAL;text-align:justify">These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in value when interest rates change. </div><div style="margin-top:8pt; margin-bottom:0pt; margin-left:5%; font-size:9pt; font-family:ARIAL;text-align:justify">A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could hurt the Fund’s performance. </div><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Extension Risk — When interest rates rise, certain obligations will be paid off by the obligor more slowly than anticipated, causing the value of these obligations to fall. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Prepayment Risk — When interest rates fall, certain obligations will be paid off by the obligor more quickly than originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields. </div></td></tr></table> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">U.S. Government Obligations Risk: </div></div>Certain securities in which the Fund may invest, including securities issued by certain U.S. Government agencies and U.S. Government sponsored enterprises, are not guaranteed by the U.S. Government or supported by the full faith and credit of the United States. In addition, circumstances could arise that could prevent the timely payment of interest or principal on U.S. Government obligations, such as reaching the legislative “debt ceiling.” Such <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">non-payment</div> could result in losses to the Fund and substantial negative consequences for the U.S. economy and the global financial system. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">U.S. Government Mortgage-Related Securities Risk (FRA, BKT and BLW): </div></div>There are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. Mortgage-related securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. GNMA securities also are supported by the right of GNMA to borrow funds from the U.S. Treasury to make payments under its guarantee. Mortgage-related securities issued by Fannie Mae or Freddie Mac are solely the obligations of Fannie Mae or Freddie Mac, as the case may be, and are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury. </div> <div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Mortgage- and Asset-Backed Securities Risks (FRA, BKT, BLW and BIT): </div></div>Mortgage- and asset-backed securities represent interests in “pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default <div style="display:inline;">on </div>the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities. <div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Senior Loans Risk (DSU, FRA, BLW and BIT): </div></div>There is less readily available, reliable information about most senior loans than is the case for many other types of securities. An economic downturn generally leads to a higher <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">non-payment</div> rate, and a senior loan may lose significant value before a default occurs. Moreover, any specific collateral used to secure a senior loan may decline in value or become illiquid, which would adversely affect the senior loan’s value. No active trading market may exist for certain senior loans, which may impair the ability of the Fund to realize full value in the event of the need to sell a senior loan and which may make it difficult to value senior loans. Although senior loans in which the Fund will invest generally will be secured by specific collateral, there can be no assurance that liquidation of such collateral would satisfy the borrower’s obligation in the event of <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">non-payment</div> of scheduled interest or principal or that such collateral could be readily liquidated. To the extent that a senior loan is collateralized by stock in the borrower or its subsidiaries, such stock may lose all of its value in the event of the bankruptcy of the borrower. Uncollateralized senior loans involve a greater risk of loss. <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Second Lien Loans Risk (BIT): </div></div>Second lien loans generally are subject to similar risks as those associated with investments in senior loans. Because second lien loans are subordinated or unsecured and thus lower in priority of payment to senior loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">CLO Risk (BIT and FRA): </div></div>In addition to the general risks associated with fixed-income securities discussed herein, CLOs carry additional risks, including: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the possibility that the CLO securities are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. The credit quality of CLOs depends primarily upon the quality of the underlying assets and the level of credit support and/or enhancement provided. The underlying assets (e.g., loans) of CLOs are subject to prepayments, which shorten the weighted average maturity and may lower the return of the securities issued by the CLOs. The value of CLO securities also may change because of changes in the market’s perception of the creditworthiness of the servicing agent for the pool, the originator of the pool, or the financial institution or fund providing the credit support or enhancement. Furthermore, the leveraged nature of each subordinated class may magnify the adverse impact on such class of changes in the value of the assets, changes in the distributions on the assets, defaults and recoveries on the assets, capital gains and losses on the assets, prepayment on assets and availability, price and interest rates of assets. CLOs are typically privately offered and sold, and thus are not registered under the securities laws. Additionally, when the Fund purchases a newly issued CLO security in the primary market (rather than from the secondary market), there often may be a delayed settlement period. As a result, investments in CLOs may be characterized by the Fund as illiquid securities; however, an active dealer market may exist which would allow such securities to be considered liquid in some circumstances. Finally, CLOs are limited recourse and may not be paid in full and may be subject to up to 100% loss. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Risks of Loan Assignments and Participations (BLW): </div></div>As the purchaser of an assignment, the Fund typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the Fund may not be able unilaterally to enforce all rights and remedies under the loan and with regard to any associated collateral. Because assignments may be arranged through private negotiations between potential assignees and potential assignors, the rights and obligations acquired by the Fund as the purchaser of an assignment may differ from, and be more limited than, those held by the assigning lender. In addition, if the loan is foreclosed, the Fund could become part owner of any collateral and could bear the costs and liabilities of owning and disposing of the collateral. The Fund may be required to pass along to a purchaser that buys a loan from the Fund by way of assignment a portion of any fees to which the Fund is entitled under the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">set-off</div> against the borrower, and the Fund may not directly benefit from any collateral supporting the loan in which it has purchased the participation. As a result, the Fund will be subject to the credit risk of both the borrower and the lender that is selling the participation. In the event of the insolvency of the lender selling a participation, the Fund may be treated as a general creditor of the lender and may not benefit from any <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">set-off</div> between the lender and the borrower. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Corporate Loans Risk (DSU): </div></div>Commercial banks and other financial institutions or institutional investors make corporate loans to companies that need capital to grow or restructure. Borrowers generally pay interest on corporate loans at rates that change in response to changes in market interest rates such as the Secured Overnight Financing Rate (“SOFR”), the London Interbank Offered Rate (“LIBOR”) or the prime rates of U.S. banks. As a result, the value of corporate loan investments is generally less exposed to the adverse effects of shifts in market interest rates than investments that pay a fixed rate of interest. The market for corporate loans may be subject to irregular trading activity and wide bid/ask spreads. In addition, transactions in corporate loans may settle on a delayed basis. As a result, the proceeds from the sale of corporate loans may not be readily available to make additional investments or to meet the Fund’s redemption obligations. To the extent the extended settlement process gives rise to short-term liquidity needs, the Fund may hold additional cash, sell investments or temporarily borrow from banks and other lenders. The corporate loans in which the Fund invests are usually rated below investment grade. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Variable and Floating Rate Instrument Risk (DSU, FRA and BLW): </div></div>Variable and floating rate securities provide for periodic adjustment in the interest rate paid on the securities. These securities may be subject to greater illiquidity risk than other fixed income securities, meaning the absence of an active market for these securities could make it difficult for the Fund to dispose of them at any given time. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Unrated Securities Risk (BIT): </div></div>Because the Fund may purchase securities that are not rated by any rating organization, the Managers may, after assessing their credit quality, internally assign ratings to certain of those securities in categories similar to those of rating organizations. Some unrated securities may not have an active trading market or may be difficult to value, which means the Fund might have difficulty selling them promptly at an acceptable price. To the extent that the Fund invests in unrated securities, the Fund’s ability to achieve its investment objectives will be more dependent on the Managers’ credit analysis than would be the case when the Fund invests in rated securities. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">High Yield Bonds Risk (DSU, FRA, BLW and BIT): </div></div>Although junk bonds generally pay higher rates of interest than investment grade bonds, junk bonds are high risk investments that are considered speculative and may cause income and principal losses for the Fund. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Distressed Securities Risk (DSU and FRA): </div></div>Distressed securities are speculative and involve substantial risks in addition to the risks of investing in junk bonds. The Fund will generally not receive interest payments on the distressed securities and may incur costs to protect its investment. In addition, distressed securities involve the substantial risk that principal will not be repaid. These securities may present a substantial risk of default or may be in default at the time of investment. The Fund may incur additional </div><div style="margin-top:0pt;margin-bottom:0pt ; font-size:8pt"> </div>expenses to the extent it is required to seek recovery upon a default in the payment of principal of or interest on its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Fund may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Distressed securities and any securities received in an exchange for such securities may be subject to restrictions on resale. <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Collateralized Bond Obligations Risk (BLW): </div></div>The pool of high yield securities underlying collateralized bond obligations is typically separated into groupings called tranches representing different degrees of credit quality. The higher quality tranches have greater degrees of protection and pay lower interest rates. The lower tranches, with greater risk, pay higher interest rates. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Collateralized Debt Obligations Risk (FRA): </div></div>In addition to the typical risks associated with fixed-income securities and asset-backed securities, collateralized debt obligations (“CDOs”), including collateralized loan obligations, carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the risk that the collateral may default or decline in value or be downgraded, if rated by a nationally recognized statistical rating organization; (iii) the Fund may invest in tranches of CDOs that are subordinate to other tranches; (iv) the structure and complexity of the transaction and the legal documents could lead to disputes among investors regarding the characterization of proceeds; (v) the investment return achieved by the Fund could be significantly different than those predicted by financial models; (vi) the lack of a readily available secondary market for CDOs; (vii) the risk of forced “fire sale” liquidation due to technical defaults such as coverage test failures; and (viii) the CDO’s manager may perform poorly. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Sovereign Debt Risk (FRA, BLW and BIT): </div></div>Sovereign debt instruments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Municipal Securities Risks (BIT): </div></div>Municipal securities risks include the ability of the issuer to repay the obligation, the relative lack of information about certain issuers of municipal securities, and the possibility of future legislative changes which could affect the market for and value of municipal securities. Budgetary constraints of local, state, and federal governments upon which the issuers may be relying for funding may also impact municipal securities. These risks include: </div><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">General Obligation Bonds Risks — Timely payments depend on the issuer’s credit quality, ability to raise tax revenues and ability to maintain an adequate tax base. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Revenue Bonds Risks — These payments depend on the money earned by the particular facility or class of facilities, or the amount of revenues derived from another source. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Private Activity Bonds Risks — Municipalities and other public authorities issue private activity bonds to finance development of industrial facilities for use by a private enterprise. The private enterprise pays the principal and interest on the bond, and the issuer does not pledge its full faith, credit and taxing power for repayment. The Fund’s investments may consist of private activity bonds that may subject certain shareholders to an alternative minimum tax. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Moral Obligation Bonds Risks — Moral obligation bonds are generally issued by special purpose public authorities of a state or municipality. If the issuer is unable to meet its obligations, repayment of these bonds becomes a moral commitment, but not a legal obligation, of the state or municipality. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Municipal Notes Risks — Municipal notes are shorter term municipal debt obligations. If there is a shortfall in the anticipated proceeds, the notes may not be fully repaid and the Fund may lose money. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Municipal Lease Obligations Risks — In a municipal lease obligation, the issuer agrees to make payments when due on the lease obligation. Although the issuer does not pledge its unlimited taxing power for payment of the lease obligation, the lease obligation is secured by the leased property. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;"><div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">Tax-Exempt</div> Status Risk — The Fund and its investment manager will rely on the opinion of issuers’ bond counsel and, in the case of derivative securities, sponsors’ counsel, on the <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">tax-exempt</div> status of interest on municipal bonds and payments under derivative securities. Neither the Fund nor its investment manager will independently review the bases for those tax opinions, which may ultimately be determined to be incorrect and subject the Fund and its shareholders to substantial tax liabilities. </div></td></tr></table> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Brady Bonds Ris</div></div>k <div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">(BLW): </div></div>Brady Bonds involve various risk factors described above associated with investing in <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">non-U.S.</div> securities, including the history of defaults with respect to commercial bank loans by public and private entities of countries issuing Brady Bonds. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Supranational Entities Risk (BLW): </div></div>The Fund may invest in obligations issued or guaranteed by the World Bank. The government members, or “stockholders,” usually make initial capital contributions to the World Bank and in many cases are committed to make additional capital contributions if the World Bank is unable to repay its borrowings. There is no guarantee that one or more stockholders of the World Bank will continue to make any necessary additional capital contributions. If such contributions are not made, the entity may be unable to pay interest or repay principal on its debt securities, and the Fund may lose money on such investments. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Yield and Ratings Risk (BKT)</div></div>: The yields on debt obligations are dependent on a variety of factors, including general market conditions, conditions in the particular market for the obligation, the financial condition of the issuer, the size of the offering, the maturity of the obligation and the ratings of the issue. The ratings of Moody’s, S&amp;P and Fitch, represent their respective opinions as to the quality of the obligations they undertake to rate. Ratings, however, are general and are not absolute standards of quality. Consequently, obligations with the same rating, maturity and interest rate may have different market prices. Subsequent to its purchase by the Fund, a rated security may cease to be rated. The Manager will consider such an event in determining whether the Fund should continue to hold the security. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Repurchase Agreements and Purchase and Sale Contracts Risk (BKT and BIT)</div></div>: If the other party to a repurchase agreement or purchase and sale contract defaults on its obligation under the agreement, the Fund may suffer delays and incur costs or lose money in exercising its rights under the agreement. If the seller fails to repurchase the security in either situation and the market value of the security declines, the Fund may lose money. </div> <div style="margin-top:0pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Foreign Securities Risk (DSU, FRA, BLW and BIT): </div></div>Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Fund will lose money. These risks include: </div><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">The Fund generally holds its foreign securities and cash in foreign banks and securities depositories, which may be recently organized or new to the foreign custody business and may be subject to only limited or no regulatory oversight. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Changes in foreign currency exchange rates can affect the value of the Fund’s portfolio. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">The economies of certain foreign markets may not compare favorably with the economy of the United States with respect to such issues as growth of gross national product, reinvestment of capital, resources and balance of payments position. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">The governments of certain countries, or the U.S. Government with respect to certain countries, may prohibit or impose substantial restrictions through capital controls and/or sanctions on foreign investments in the capital markets or certain industries in those countries, which may prohibit or restrict the ability to own or transfer currency, securities, derivatives or other assets. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Many foreign governments do not supervise and regulate stock exchanges, brokers and the sale of securities to the same extent as does the United States and may not have laws to protect investors that are comparable to U.S. securities laws. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Settlement and clearance procedures in certain foreign markets may result in delays in payment for or delivery of securities not typically associated with settlement and clearance of U.S. investments. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">The Fund’s claims to recover foreign withholding taxes may not be successful, and if the likelihood of recovery of foreign withholding taxes materially decreases, due to, for example, a change in tax regulation or approach in the foreign country, accruals in the Fund’s net asset value for such refunds may be written down partially or in full, which will adversely affect the Fund’s net asset value. </div></td></tr></table> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Emerging Markets Risk (FRA, BLW and BIT): </div></div>Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Equity Securities Risk (DSU, FRA, BLW and BIT): </div></div>Stock markets are volatile. The price of equity securities fluctuates based on changes in a company’s financial condition and overall market and economic conditions. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Small and <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">Mid-Capitalization</div> Company Risk (BIT): </div></div>Companies with small or <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">mid-size</div> market capitalizations will normally have more limited product lines, markets and financial resources and will be dependent upon a more limited management group than larger capitalized companies. In addition, it is more difficult to get information on smaller companies, which tend to be less well known, have shorter operating histories, do not have significant ownership by large investors and are followed by relatively few securities analysts. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Preferred Securities Risk (DSU, FRA, BLW and BIT): </div></div>Preferred securities may pay fixed or adjustable rates of return. Preferred securities are subject to issuer-specific and market risks applicable generally to equity securities. In addition, a company’s preferred securities generally pay dividends only after the company makes required payments to holders of its bonds and other debt. For this reason, the value of preferred securities will usually react more strongly than bonds and other debt to actual or perceived changes in the company’s financial condition or prospects. Preferred securities of smaller companies may be more vulnerable to adverse developments than preferred securities of larger companies. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Convertible Securities Risk (DSU, FRA and BIT): </div></div>The market value of a convertible security performs like that of a regular debt security; that is, if market interest rates rise, the value of a convertible security usually falls. In addition, convertible securities are subject to the risk that the issuer will not be able to pay interest, principal or dividends when due, and their market value may change based on changes in the issuer’s credit rating or the market’s perception of the issuer’s creditworthiness. Since it derives a portion of its value from the common stock into which it may be converted, a convertible security is also subject to the same types of market and issuer risks that apply to the underlying common stock, including the potential for increased volatility in the price of the convertible security. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Warrants Risk (DSU and FRA): </div></div>If the price of the underlying stock does not rise above the exercise price before the warrant expires, the warrant generally expires without any value and the Fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve substantially more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock. </div> <div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Real Estate-Related Securities Risk (BLW): </div></div>The main risk of real estate-related securities is that the value of the underlying real estate may go down. Many factors may affect real estate values. These factors include both the general and local economies, vacancy rates, changes in rent schedules, tenant bankruptcies, the ability to <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">re-lease</div> space under expiring leases on attractive terms, the amount of new construction in a particular area, the laws and regulations (including zoning, environmental and tax laws) affecting real estate and the costs of owning, maintaining and improving real estate. The availability of mortgage financing and changes in interest rates may also affect real estate values. If the Fund’s real estate-related investments are concentrated in one geographic area or in one property type, the Fund will be particularly subject to the risks associated with that area or property type. Many issuers of real estate-related securities are highly leveraged, which increases the risk to holders of such securities. The value of the securities the Fund buys will not necessarily track the value of the underlying investments of the issuers of such securities. In addition, certain issuers of real estate-related securities may have developed or commenced development on properties and may develop additional properties in the future. Real estate development involves significant risks in addition to those involved in the ownership and operation of established properties. Real estate securities may have limited diversification and are, therefore, subject to risks inherent in operating and financing a limited number of projects. Real estate securities are also subject to heavy cash flow dependency and defaults by borrowers or tenants. <div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">REIT Investment Risk (BLW and BIT): </div></div>Investments in REITs involve unique risks. REITs may have limited financial resources, may trade less frequently and in limited volume, may engage in dilutive offerings of securities and may be more volatile than other securities. REIT issuers may also fail to maintain their exemptions from investment company registration or fail to qualify for the “dividends paid deduction” under the Internal Revenue Code of 1986, as amended, which allows REITs to reduce their corporate taxable income for dividends paid to their shareholders. <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Structured Securities Risk (BIT): </div></div>Because structured securities of the type in which the Fund may invest typically involve no credit enhancement, their credit risk generally will be equivalent to that of the underlying instruments, index or reference obligation and will also be subject to counterparty risk. The Fund may have the right to receive payments only from the structured security, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. In addition to the general risks associated with debt securities discussed herein, structured securities carry additional risks, including, but not limited to: the possibility that distributions from collateral securities will not be adequate to make interest or other payments; the quality of the collateral may decline in value or default; and the possibility that the structured securities are subordinate to other classes. The Fund is permitted to invest in a class of structured securities that is either subordinated or unsubordinated to the right of payment of another class. Subordinated structured securities typically have higher yields and present greater risks than unsubordinated structured securities. Structured securities are typically sold in private placement transactions, and there currently is no active trading market for structured securities. Structured securities are based upon the movement of one or more factors, including currency exchange rates, interest rates, reference bonds and stock indices, and changes in interest rates and impact of these factors may cause significant price fluctuations. Additionally, changes in the reference instrument or security may cause the interest rate on the structured security to be reduced to zero. Certain issuers of such structured securities may be deemed to be “investment companies” as defined in the Investment Company Act. As a result, the Fund’s investment in such securities may be limited by certain investment restrictions contained in the Investment Company Act. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Derivatives Risk: </div></div>The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or increase volatility. Derivatives involve significant risks, including: </div><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Leverage Risk — The Fund’s use of derivatives can magnify the Fund’s gains and losses. Relatively small market movements may result in large changes in the value of a derivatives position and can result in losses that greatly exceed the amount originally invested. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Market Risk — Some derivatives are more sensitive to interest rate changes and market price fluctuations than other securities. The Fund could also suffer losses related to its derivatives positions as a result of unanticipated market movements, which losses are potentially unlimited. Finally, the Manager may not be able to predict correctly the direction of securities prices, interest rates and other economic factors, which could cause the Fund’s derivatives positions to lose value. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Counterparty Risk — Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will be unable or unwilling to fulfill its contractual obligation, and the related risks of having concentrated exposure to such a counterparty. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Illiquidity Risk — The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more difficult for the Fund to value accurately. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Operational Risk — The use of derivatives includes the risk of potential operational issues, including documentation issues, settlement issues, systems failures, inadequate controls and human error. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Legal Risk — The risk of insufficient documentation, insufficient capacity or authority of counterparty, or legality or enforceability of a contract. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Volatility and Correlation Risk — Volatility is defined as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the fluctuations in their values may not correlate with the overall securities markets. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Valuation Risk — Valuation for derivatives may not be readily available in the market. Valuation may be more difficult in times of market turmoil since many investors and market makers may be reluctant to purchase complex instruments or quote prices for them. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Hedging Risk — Hedges are sometimes subject to imperfect matching between the derivative and the underlying security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging may result in certain adverse tax consequences. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Tax Risk — Certain aspects of the tax treatment of derivative instruments, including swap agreements and commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund realizes from its investments. </div></td></tr></table> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Structured Notes Risk (FRA): </div></div>Structured notes and other related instruments purchased by the Fund are generally privately negotiated debt obligations where the principal and/or interest is determined by reference to the performance of a specific asset, benchmark asset, market or interest rate (“reference measure”). The purchase of structured notes exposes the Fund to the credit risk of the issuer of the structured product. Structured notes may be leveraged, increasing the volatility of each structured note’s value relative to the change in the reference measure. Structured notes may also be less liquid and more difficult to price accurately than less complex securities and instruments or more traditional debt securities. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Leverage Risk: </div></div>The Fund’s use of leverage may increase or decrease from time to time in its discretion and the Fund may, in the future, determine not to use leverage. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The use of leverage creates an opportunity for increased common share net investment income dividends, but also creates risks for the holders of common shares. The Fund cannot assure you that the use of leverage will result in a higher yield on the common shares. Any leveraging strategy the Fund employs may not be successful. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">Leverage involves risks and special considerations for common shareholders, including: </div><div style="margin-top:0pt;margin-bottom:0pt ; font-size:8pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">the likelihood of greater volatility of net asset value, market price and dividend rate of the common shares than a comparable portfolio without leverage; </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">the risk that fluctuations in interest rates or dividend rates on any leverage that the Fund must pay will reduce the return to the common shareholders; </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">the effect of leverage in a declining market, which is likely to cause a greater decline in the net asset value of the common shares than if the Fund were not leveraged, which may result in a greater decline in the market price of the common shares; </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">leverage may increase operating costs, which may reduce total return. </div></td></tr></table><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:9pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:2%;vertical-align:top;text-align:left;">•</td> <td style="width:1%;vertical-align:top"> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-family: ARIAL; font-size: 9pt; text-align: justify; line-height: normal;">Any decline in the net asset value of the Fund’s investments will be borne entirely by the holders of common shares. Therefore, if the market value of the Fund’s portfolio declines, leverage will result in a greater decrease in net asset value to the holders of common shares than if the Fund were not leveraged. This greater net asset value decrease will also tend to cause a greater decline in the market price for the common shares. </div></td></tr></table> <div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Reverse Repurchase Agreements Risk: </div></div>Reverse repurchase agreements involve the sale of securities held by the Fund with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at all. The Fund could lose money if it is unable to recover the securities and the value of the collateral held by the Fund, including the value of the investments made with cash collateral, is less than the value of the securities. These events could also trigger adverse tax consequences for the Fund. In addition, reverse repurchase agreements involve the risk that the interest income earned in the investment of the proceeds will be less than the interest expense. <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Dollar Rolls Risk (BLW and BIT): </div></div>Dollar rolls involve the risk that the market value of the securities that the Fund is committed to buy may decline below the price of the securities the Fund has sold. These transactions may involve leverage. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Short Sales Risk (DSU and BIT): </div></div>Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Illiquid Investments Risk: </div></div>The Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. The Fund may not be able to readily dispose of such investments at prices that approximate those at which the Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, the Fund may have to sell other investments or engage in borrowing transactions if necessary to raise cash to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting the Fund’s net asset value and ability to make dividend distributions. The financial markets in general, and certain segments of the mortgage-related securities markets in particular, have in recent years experienced periods of extreme secondary market supply and demand imbalance, resulting in a loss of liquidity during which market prices were suddenly and substantially below traditional measures of intrinsic value. During such periods, some investments could be sold only at arbitrary prices and with substantial losses. Periods of such market dislocation may occur again at any time. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Inverse Floater and Related Securities Risk (BIT): </div></div>Investments in inverse floaters, residual interest tender option bonds and similar instruments expose the Fund to the same risks as investments in fixed-income securities and derivatives, as well as other risks, including those associated with leverage and increased volatility. An investment in these securities typically will involve greater risk than an investment in a fixed rate security. Distributions on inverse floaters, residual interest tender option bonds and similar instruments will typically bear an inverse relationship to short term interest rates and typically will be reduced or, potentially, eliminated as interest rates rise. Inverse floaters, residual interest tender option bonds and similar instruments will underperform the market for fixed rate securities in a rising interest rate environment. Inverse floaters may be considered to be leveraged to the extent that their interest rates vary by a magnitude that exceeds the magnitude of the change in a reference rate of interest (typically a short term interest rate). The leverage inherent in inverse floaters is associated with greater volatility in their market values. Investments in inverse floaters, residual interest tender option bonds and similar instruments that have fixed-income securities underlying them will expose the Fund to the risks associated with those fixed-income securities and the values of those investments may be especially sensitive to changes in prepayment rates on the underlying fixed-income securities. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Investment Companies and ETFs Risk (DSU, BLW and BIT): </div></div>Subject to the limitations set forth in the Investment Company Act and the rules thereunder, the Fund may acquire shares in other investment companies and in ETFs, some of which may be affiliated investment companies. The market value of the shares of other investment companies and ETFs may differ from their net asset value. As an investor in investment companies and ETFs, the Fund would bear its ratable share of that entity’s expenses, including its investment advisory and administration fees, while continuing to pay its own advisory and administration fees and other expenses (to the extent not offset by the Manager through waivers). As a result, shareholders will be absorbing duplicate levels of fees with respect to investments in other investment companies and ETFs (to the extent not offset by the Manager through waivers). </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The securities of other investment companies and ETFs in which the Fund may invest may be leveraged. As a result, the Fund may be indirectly exposed to leverage through an investment in such securities. An investment in securities of other investment companies and ETFs that use leverage may expose the Fund to higher volatility in the market value of such securities and the possibility that the Fund’s long-term returns on such securities (and, indirectly, the long-term returns of shares of the Fund) will be diminished. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. To the extent the Fund is held by an affiliated fund, the ability of the Fund itself to hold other investment companies may be limited. </div> <div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Risk of Investing in the United States: </div></div>Certain changes in the U.S. economy, such as when the U.S. economy weakens or when its financial markets decline, may have an adverse effect on the securities to which the Fund has exposure. </div><div style="margin-top:0pt;margin-bottom:0pt ; font-size:8pt"> </div> <div style="margin-top:0pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Market Risk and Selection Risk: </div></div>Market risk is the risk that one or more markets in which the Fund invests will go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a security or other asset may decline due to changes in general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its investments. Selection risk is the risk that the securities selected by Fund management will underperform the markets, the relevant indices or the securities selected by other funds with similar investment objectives and investment strategies. This means you may lose money. </div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">An outbreak of an infectious coronavirus <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">(COVID-19)</div> that was first developed into a global pandemic that has resulted in numerous disruptions in the market and has had significant economic impact leaving general concern and uncertainty. Although vaccines have been developed and approved for use by various governments, the duration of the pandemic and its effects cannot be predicted with certainty. The impact of this coronavirus, and other epidemics and pandemics that may arise in the future, could affect the economies of many nations, individual companies and the market in general ways that cannot necessarily be foreseen at the present time. </div> <div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Shareholder Activism Risk: </div></div>Shareholder activism involving <div style="white-space: nowrap; letter-spacing: 0px; top: 0px;;display:inline;">closed-end</div> funds has recently been increasing. Shareholder activism can take many forms, including engaging in public campaigns to demand that the Fund consider significant transactions such as a tender offer, merger or liquidation or to attempt to influence the Fund’s corporate governance and/or management, commencing proxy contests to attempt to elect the activists’ representatives or others to the Fund’s Board of Directors, or to seek other actions such as a termination of the Fund’s investment advisory contract with its current investment manager or commencing litigation. If the Fund becomes the subject of shareholder activism, then management and the Board may be required to divert significant resources and attention to respond to the activist and the Fund may incur substantial costs defending against such activism if management and the Board determine that the activist’s demands are not in the best interest of the Fund. Further, the Fund’s share price could be subject to significant fluctuation or otherwise be adversely affected by the events, risks and uncertainties of any shareholder activism. The following table and example are intended to assist shareholders in understanding the various costs and expenses directly or indirectly associated with investing in BKT’s common shares. <div style="margin-top: 0px; margin-bottom: 0px;"> </div> <table style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt;width:96%;border:0;margin:0 auto"> <tr style="font-size:1pt"> <td style="BORDER-TOP:0.75pt solid #000000;height:3pt"> </td> <td colspan="4" style="BORDER-TOP:0.75pt solid #000000;height:3pt"> </td> <td colspan="2" style="BORDER-TOP:0.75pt solid #000000;height:3pt"> </td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom">  </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td colspan="2" style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom;white-space:nowrap;text-align:right;"><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">BKT </div></div></td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom">  </td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;"><div style="font-weight:bold;display:inline;">Shareholder Transaction Expenses</div></div></td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"></td> <td style="vertical-align:bottom"></td> <td style="vertical-align:bottom"></td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">Maximum sales load (as a percentage of offering price)<div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(a) </div></div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">1.00%</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">Offering expenses borne by the Fund (as a percentage of offering price)<div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(a) </div></div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">0.05%</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:bottom"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">Dividend reinvestment plan fees</div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> <br/><br/><br/></td> <td style="white-space:nowrap;vertical-align:bottom">$0.02 per share<br/>for open market<br/>purchases of<br/>common shares<div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(b)</div></td> <td style="white-space:nowrap;vertical-align:bottom"><br/><br/><br/> </td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">Dividend reinvestment plan sale transaction fee</div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">$2.50<div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(b) </div></td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"></td></tr></table><div style="margin-top: 0px; margin-bottom: 0px;"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:3%;vertical-align:top;text-align:left;"><div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(a)</div> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 8pt; font-family: ARIAL; text-align: justify; line-height: normal;">If the common shares are sold to or through underwriters, the Prospectus Supplement will set forth any applicable sales load and the estimated offering expenses. Fund shareholders will pay all offering expenses involved with an offering. </div></td> <td style="width:2%"> </td></tr></table> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:3%;vertical-align:top;text-align:left;"><div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(b)</div> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 8pt; font-family: ARIAL; text-align: justify; line-height: normal;">Computershare Trust Company, N.A.’s (the “Reinvestment Plan Agent”) fees for the handling of the reinvestment of dividends will be paid by BKT. However, shareholders will pay a $0.02 per share fee incurred in connection with open-market purchases, which will be deducted from the value of the dividend. Shareholders will also be charged a $2.50 sales fee and pay a $0.15 per share fee if a shareholder directs the Reinvestment Plan Agent to sell the common shares held in a dividend reinvestment account. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. </div></td> <td style="width:2%"> </td></tr></table><div style="margin-top: 0px; margin-bottom: 0px;"> </div> as a percentage of offering price 0.01 as a percentage of offering price 0.0005 2.5 <table style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt;width:96%;border:0;margin:0 auto"> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;"><div style="letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-weight:bold;display:inline;">Estimated Annual Expenses </div></div>(as a percentage of net assets attributable to common shares)</div></td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"></td> <td style="vertical-align:bottom"></td> <td style="vertical-align:bottom"></td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">Investment advisory fees<div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(c)(d) </div></div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">0.65%</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">Other expenses</div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">2.58  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 2em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">Miscellaneous</div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">0.27   </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 2em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">Interest expense<div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(e) </div></div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">2.31   </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">Total annual expenses</div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">3.23  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">Fee waivers<div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(d) </div></div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">—  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">Total annual Fund operating expenses after fee waivers<div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(d) </div></div></td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">3.23  </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"><div style="font-size: x-small; letter-spacing: 0px; top: 0px;;display:inline;"> </div></td></tr></table> <table style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:3%;vertical-align:top;text-align:left;"><div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(c)</div> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 8pt; font-family: ARIAL; text-align: justify; line-height: normal;">BKT currently pays the Manager a monthly fee at an annual contractual investment advisory fee rate of 0.65% of the average weekly value of BKT’s net assets. For purposes of calculating this fee, “net assets” means the total assets of BKT minus the sum of its accrued liabilities (including the aggregate indebtedness constituting financial leverage). </div></td> <td style="width:2%"> </td></tr></table> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:3%;vertical-align:top;text-align:left;"><div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(d)</div> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 8pt; font-family: ARIAL; text-align: justify; line-height: normal;">BKT and the Manager have entered into a fee waiver agreement (the “Fee Waiver Agreement”), pursuant to which the Manager has contractually agreed to waive the investment advisory fees with respect to any portion of BKT’s assets attributable to investments in any equity and fixed-income mutual funds and exchange-traded funds managed by the Manager or its affiliates that have a contractual management fee, through June 30, 2025. In addition, pursuant to the Fee Waiver Agreement, the Manager has contractually agreed to waive its investment advisory fees by the amount of investment advisory fees BKT pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2025. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by BKT (upon the vote of a majority of the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “Investment Company Act”), of BKT or a majority of the outstanding voting securities of BKT), upon 90 days’ written notice by BKT to the Manager. </div></td> <td style="width:2%"> </td></tr></table> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt;border:0;width:100%"> <tr style="page-break-inside:avoid"> <td style="width:2%"> </td> <td style="width:3%;vertical-align:top;text-align:left;"><div style="font-size:75%; vertical-align:top;display:inline;;font-size:6.6px">(e)</div> </td> <td style="vertical-align:top;text-align:left;"><div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 8pt; font-family: ARIAL; text-align: justify; line-height: normal;">BKT uses leverage in the form of reverse repurchase agreements representing 29.0% of Managed Assets at an annual interest expense to BKT of 5.0% which is based on current market conditions. The actual amount of interest expenses borne by BKT will vary over time in accordance with the level of BKT’s use of reverse repurchase agreements and variations in market interest rates. Interest expense is required to be treated as an expense of BKT for accounting purposes. </div></td> <td style="width:2%"> </td></tr></table> as a percentage of net assets attributable to common shares 0.0065 0.0258 0.0027 0.0231 0.0323 0 0.0323 Computershare Trust Company, N.A.’s (the “Reinvestment Plan Agent”) fees for the handling of the reinvestment of dividends will be paid by BKT. However, shareholders will pay a $0.02 per share fee incurred in connection with open-market purchases, which will be deducted from the value of the dividend. Shareholders will also be charged a $2.50 sales fee and pay a $0.15 per share fee if a shareholder directs the Reinvestment Plan Agent to sell the common shares held in a dividend reinvestment account. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. BKT and the Manager have entered into a fee waiver agreement (the “Fee Waiver Agreement”), pursuant to which the Manager has contractually agreed to waive the investment advisory fees with respect to any portion of BKT’s assets attributable to investments in any equity and fixed-income mutual funds and exchange-traded funds managed by the Manager or its affiliates that have a contractual management fee, through June 30, 2025. In addition, pursuant to the Fee Waiver Agreement, the Manager has contractually agreed to waive its investment advisory fees by the amount of investment advisory fees BKT pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2025. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by BKT (upon the vote of a majority of the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “Investment Company Act”), of BKT or a majority of the outstanding voting securities of BKT), upon 90 days’ written notice by BKT to the Manager. <div style="margin-top:12pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The following example illustrates BKT’s expenses (including the sales load of $10.00 and offering costs of $0.54) that shareholders would pay on a $1,000 investment in common shares, assuming (i) total net annual expenses of 3.23% of net assets attributable to common shares and (ii) a 5% annual return: </div><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt;width:96%;border:0;margin:0 auto"> <tr> <td style="width:90%"></td> <td style="vertical-align:bottom"></td> <td></td> <td></td> <td style="vertical-align:bottom;width:1%"></td> <td style="vertical-align:bottom"></td> <td></td> <td></td> <td style="vertical-align:bottom;width:1%"></td> <td style="vertical-align:bottom"></td> <td></td> <td></td> <td style="vertical-align:bottom;width:1%"></td> <td style="vertical-align:bottom"></td> <td></td> <td></td> <td style="vertical-align:bottom;width:1%"></td> <td style="vertical-align:bottom"></td> <td></td> <td></td> <td style="vertical-align:bottom;width:1%"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:top"><div style="font-size: x-small; letter-spacing: 0px; top: 0px;;display:inline;"> </div></td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">1 Year</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">3 Years</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">5 Years</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">10 Years</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align: bottom; padding-bottom: 0.375pt;"> </td> <td style="vertical-align: bottom; padding-bottom: 0.375pt;"></td> <td style="vertical-align: bottom; padding-bottom: 0.375pt;"></td> <td style="vertical-align: bottom; padding-bottom: 0.375pt;"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">Total expenses incurred</div></td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">$  43</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">$  109</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">$  178</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">$   360</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"><div style="font-size: x-small; letter-spacing: 0px; top: 0px;;display:inline;"> </div></td> <td style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"><div style="font-size: x-small; letter-spacing: 0px; top: 0px;;display:inline;"> </div></td> <td style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"><div style="font-size: x-small; letter-spacing: 0px; top: 0px;;display:inline;"> </div></td></tr></table> 43 109 178 360 The example should not be considered a representation of future expenses. The example assumes that the estimated “Other expenses” set forth in the Estimated Annual Expenses table are accurate and that all dividends and distributions are reinvested at NAV. Actual expenses may be greater or less than those assumed. BKT’s actual rate of return may be greater or less than the hypothetical 5% return shown in the example. <div style="margin-top: 0pt; margin-bottom: 0pt; font-size: 11pt; font-family: ARIAL;"><div style="font-weight:bold;display:inline;">Share Price Data </div></div><div style="margin-top:8pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">The following tables summarize each Fund’s highest and lowest daily closing market prices on the NYSE per common share, the NAV per common share, and the premium to or discount from NAV, on the date of each of the high and low market prices. The trading volume indicates the number of common shares traded on the NYSE during the respective quarters. </div><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div><div style="font-size:8pt;margin-top:0pt;margin-bottom:0pt"> </div> <table cellpadding="0" cellspacing="0" style="BORDER-COLLAPSE:COLLAPSE; font-family:ARIAL; font-size:8pt;width:96%;border:0;margin:0 auto"> <tr> <td style="width:58%"></td> <td style="vertical-align:bottom;width:2%"></td> <td></td> <td></td> <td></td> <td style="vertical-align:bottom;width:2%"></td> <td></td> <td></td> <td></td> <td style="vertical-align:bottom;width:4%"></td> <td></td> <td></td> <td></td> <td style="vertical-align:bottom;width:2%"></td> <td></td> <td></td> <td></td> <td style="vertical-align:bottom;width:4%"></td> <td></td> <td></td> <td></td> <td style="vertical-align:bottom;width:2%"></td> <td></td> <td></td> <td></td> <td style="vertical-align:bottom;width:2%"></td> <td></td> <td></td> <td></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"> </td> <td colspan="6" style="padding-bottom:2pt ;border-bottom:1.00px solid #000000;vertical-align:bottom;text-align:center;"><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">NYSE Market Price</div></div><br/><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">Per Common Share</div></div></td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td colspan="6" style="padding-bottom:2pt ;border-bottom:1.00px solid #000000;vertical-align:bottom;text-align:center;"><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">NAV per Common</div></div><br/><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">Share on Date of</div></div><br/><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">Market Price </div></div></td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td colspan="6" style="padding-bottom:2pt ;border-bottom:1.00px solid #000000;vertical-align:bottom;text-align:center;"><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">Premium/</div></div><br/><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">(Discount) </div></div><br/><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">on Date of</div></div><br/><div style="font-style: normal; letter-spacing: 0px; top: 0px;;display:inline;"><div style="font-style:italic;display:inline;">Market Price </div></div></td> <td style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"> </td> <td colspan="2" style="vertical-align:bottom"> </td> <td style="vertical-align:bottom"> </td></tr> <tr style="font-size:1pt"> <td style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom;white-space:nowrap">BKT — During Quarter Ended</td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td colspan="2" style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom;white-space:nowrap;text-align:right;">High</td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom">  </td> <td colspan="2" style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom;white-space:nowrap;text-align:right;">Low</td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom">    </td> <td colspan="2" style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom;white-space:nowrap;text-align:right;">High</td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom">  </td> <td colspan="2" style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom;white-space:nowrap;text-align:right;">Low</td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom">    </td> <td colspan="2" style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom;white-space:nowrap;text-align:right;">High</td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td colspan="2" style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom;white-space:nowrap;text-align:right;">Low</td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td colspan="2" style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom;white-space:nowrap;text-align:right;">Trading Volume </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td></tr> <tr style="font-size:1pt"> <td style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td> <td colspan="4" style="height:3pt"></td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">December 31, 2023</div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom">$</td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">12.60</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">$ 10.56</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td style="white-space:nowrap;vertical-align:bottom">$</td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">12.81</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="white-space:nowrap;vertical-align:bottom">$</td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">11.52</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">(1.64</td> <td style="white-space:nowrap;vertical-align:bottom">)% </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">(8.33</td> <td style="white-space:nowrap;vertical-align:bottom">)% </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">4,901,930 </td> <td style="white-space:nowrap;vertical-align:bottom"> </td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">September 30, 2023</div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">12.32</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">11.15</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">12.83</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">11.95</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">(3.98</td> <td style="white-space:nowrap;vertical-align:bottom">) </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">(6.69</td> <td style="white-space:nowrap;vertical-align:bottom">) </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">3,041,993 </td> <td style="white-space:nowrap;vertical-align:bottom"> </td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">June 30, 2023</div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">12.87</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">12.12</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">13.56</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">12.72</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">(5.09</td> <td style="white-space:nowrap;vertical-align:bottom">) </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">(4.72</td> <td style="white-space:nowrap;vertical-align:bottom">) </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">3,325,442 </td> <td style="white-space:nowrap;vertical-align:bottom"> </td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">March 31, 2023</div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">13.27</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">12.39</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">13.73</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">12.97</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">(3.35</td> <td style="white-space:nowrap;vertical-align:bottom">) </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">(4.47</td> <td style="white-space:nowrap;vertical-align:bottom">) </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">3,858,408 </td> <td style="white-space:nowrap;vertical-align:bottom"> </td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">December 31, 2022</div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">12.82</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">11.63</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">13.54</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">12.70</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">(5.32</td> <td style="white-space:nowrap;vertical-align:bottom">) </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">(8.43</td> <td style="white-space:nowrap;vertical-align:bottom">) </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">4,348,585 </td> <td style="white-space:nowrap;vertical-align:bottom"> </td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">September 30, 2022</div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">14.43</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">12.06</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">14.82</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">13.08</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">(2.63</td> <td style="white-space:nowrap;vertical-align:bottom">) </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">(7.80</td> <td style="white-space:nowrap;vertical-align:bottom">) </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">3,427,337 </td> <td style="white-space:nowrap;vertical-align:bottom"> </td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">June 30, 2022</div></td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">15.36</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">12.93</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">15.51</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">  </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">14.43</td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="vertical-align:bottom">    </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">(0.97</td> <td style="white-space:nowrap;vertical-align:bottom">) </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">(10.40</td> <td style="white-space:nowrap;vertical-align:bottom">) </td> <td style="vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom"> </td> <td style="white-space:nowrap;vertical-align:bottom;text-align:right;">6,302,488 </td> <td style="white-space:nowrap;vertical-align:bottom"> </td></tr> <tr style="page-break-inside:avoid ; font-family:ARIAL; font-size:8pt"> <td style="BORDER-BOTTOM:0.75pt solid #000000;vertical-align:top"><div style="margin-top: 0pt; margin-bottom: 0pt; margin-left: 1em; text-indent: -1em; font-size: 8pt; font-family: ARIAL; line-height: normal;">March 31, 2022</div></td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">16.92</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom">  </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">14.85</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom">    </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">16.89</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom">  </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">15.66</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom">    </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">0.18</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">(5.17</td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom">) </td> <td style=" BORDER-BOTTOM:0.75pt solid #000000;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom;text-align:right;">7,312,624 </td> <td style="BORDER-BOTTOM:0.75pt solid #000000;white-space:nowrap;vertical-align:bottom"> </td></tr></table><div style="margin-top:6pt; margin-bottom:0pt; font-size:9pt; font-family:ARIAL;text-align:justify">As of December 31, 2023, BKT’s market price, NAV per Common Share, and premium/(discount) to NAV per Common Share were $12.18, $12.73, and (4.32)%, respectively. </div> 12.6 10.56 12.81 11.52 -0.0164 -0.0833 12.32 11.15 12.83 11.95 -0.0398 -0.0669 12.87 12.12 13.56 12.72 -0.0509 -0.0472 13.27 12.39 13.73 12.97 -0.0335 -0.0447 12.82 11.63 13.54 12.7 -0.0532 -0.0843 14.43 12.06 14.82 13.08 -0.0263 -0.078 15.36 12.93 15.51 14.43 -0.0097 -0.104 16.92 14.85 16.89 15.66 0.0018 -0.0517 12.18 12.73 0.0432 If the common shares are sold to or through underwriters, the Prospectus Supplement will set forth any applicable sales load and the estimated offering expenses. Fund shareholders will pay all offering expenses involved with an offering. Computershare Trust Company, N.A.’s (the “Reinvestment Plan Agent”) fees for the handling of the reinvestment of dividends will be paid by BKT. However, shareholders will pay a $0.02 per share fee incurred in connection with open-market purchases, which will be deducted from the value of the dividend. Shareholders will also be charged a $2.50 sales fee and pay a $0.15 per share fee if a shareholder directs the Reinvestment Plan Agent to sell the common shares held in a dividend reinvestment account. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. BKT currently pays the Manager a monthly fee at an annual contractual investment advisory fee rate of 0.65% of the average weekly value of BKT’s net assets. For purposes of calculating this fee, “net assets” means the total assets of BKT minus the sum of its accrued liabilities (including the aggregate indebtedness constituting financial leverage). BKT and the Manager have entered into a fee waiver agreement (the “Fee Waiver Agreement”), pursuant to which the Manager has contractually agreed to waive the investment advisory fees with respect to any portion of BKT’s assets attributable to investments in any equity and fixed-income mutual funds and exchange-traded funds managed by the Manager or its affiliates that have a contractual management fee, through June 30, 2025. In addition, pursuant to the Fee Waiver Agreement, the Manager has contractually agreed to waive its investment advisory fees by the amount of investment advisory fees BKT pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2025. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by BKT (upon the vote of a majority of the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “Investment Company Act”), of BKT or a majority of the outstanding voting securities of BKT), upon 90 days’ written notice by BKT to the Manager. BKT uses leverage in the form of reverse repurchase agreements representing 29.0% of Managed Assets at an annual interest expense to BKT of 5.0% which is based on current market conditions. The actual amount of interest expenses borne by BKT will vary over time in accordance with the level of BKT’s use of reverse repurchase agreements and variations in market interest rates. Interest expense is required to be treated as an expense of BKT for accounting purposes.

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