Name of Fund: | BlackRock Income Trust, Inc. (BKT) |
Fund Address: | 100 Bellevue Parkway, Wilmington, DE 19809 |
DECEMBER 31, 2022 |
2022 Annual Report |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
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 | $ | 0.684464 | $ | — | $ | — | $ | 0.011036 | $ | 0.695500 | 98 | % | — | % | — | % | 2 | % | 100 | % | ||||||||||||||||||||||||||||||
FRA | 0.774800 | — | — | — | 0.774800 | 100 | — | — | — | 100 | ||||||||||||||||||||||||||||||||||||||||
BKT | 0.589077 | — | — | 0.441123 | 1.030200 | 57 | — | — | 43 | 100 | ||||||||||||||||||||||||||||||||||||||||
BLW | 0.945571 | — | — | 0.133529 | 1.079100 | 88 | — | — | 12 | 100 |
(a) | Each Fund estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Fund is returned to the shareholder. A return of capital does not necessarily reflect a Fund’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce a Fund’s net asset value per share. |
Exchange Symbol | Amount Per Common Share | |||
DSU | $ | 0.0705 | ||
FRA | 0.0804 | |||
BLW | 0.0981 |
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S U P P L E M E N T A L IN F O R M A T I O N | 3 |
Total Returns as of December 31, 2022 | ||||
6-Month | 12-Month | |||
U.S. large cap equities (S&P 500 ® Index) | 2.31% | (18.11)% | ||
U.S. small cap equities (Russell 2000 ® Index) | 3.91 | (20.44) | ||
International equities (MSCI Europe, Australasia, Far East Index) | 6.36 | (14.45) | ||
Emerging market equities (MSCI Emerging Markets Index) | (2.99) | (20.09) | ||
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) | 1.32 | 1.47 | ||
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) | (5.58) | (16.28) | ||
U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) | (2.97) | (13.01) | ||
Tax-exempt municipal bonds (Bloomberg Municipal Bond Index) | 0.50 | (8.53) | ||
U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) | 3.50 | (11.18) | ||
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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6 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Fund Summary as of December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) |
Symbol on New York Stock Exchange | DSU | |
Initial Offering Date | March 27, 1998 | |
Current Distribution Rate on Closing Market Price as of December 31, 2022 ($9.20) (a) | 9.20% | |
Current Monthly Distribution per Common Share (b) | $0.0705 | |
Current Annualized Distribution per Common Share (b) | $0.8460 | |
Leverage as of December 31, 2022 (c) | 25% |
(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. |
12/31/22 | 12/31/21 | Change | High | Low | ||||||||||||||||
Closing Market Price | $ | 9.20 | $ | 11.70 | (21.37 | )% | $ | 11.75 | $ | 8.80 | ||||||||||
Net Asset Value | 10.44 | 11.56 | (9.69 | ) | 11.62 | 10.17 |
(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) | Morningstar LSTA Leveraged Loan Index (formerly S&P ® /LSTA Leveraged Loan Index), an unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |
F U N D SU M M A R Y | 7 |
Fund Summary as of December 31, 2022 (continued) | BlackRock Debt Strategies Fund, Inc. (DSU) |
Average Annual Total Returns | ||||||||||||
1 Year | 5 Years | 10 Years | ||||||||||
Fund at NAV (a)(b) | (2.97 | )% | 3.67 | % | 5.46 | % | ||||||
Fund at Market Price (a)(b) | (15.51 | ) | 2.64 | 4.11 | ||||||||
Reference Benchmark (c) | (5.93 | ) | 2.83 | 3.87 | ||||||||
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (d) | (11.18 | ) | 2.30 | 4.03 | ||||||||
Morningstar LSTA Leveraged Loan Index | (0.60 | ) | 3.31 | 3.67 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage. |
(b) | The Fund moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | The Reference Benchmark is comprised of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (50%) and the Morningstar LSTA Leveraged Loan Index (formerly S&P ® /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. |
8 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Fund Summary as of December 31, 2022 (continued) | BlackRock Debt Strategies Fund, Inc. (DSU) |
PORTFOLIO COMPOSITION | ||||
Asset Type | 12/31/22 | |||
Floating Rate Loan Interests | 82.9% | |||
Corporate Bonds | 16.4 | |||
Other* | 0.7 | |||
CREDIT QUALITY ALLOCATION | ||||
Credit Rating (a)(b) | 12/31/22 | |||
A | 0.1% | |||
BBB/Baa | 6.6 | |||
BB/Ba | 28.4 | |||
B | 57.2 | |||
CCC/Caa | 6.3 | |||
C | — (c) | |||
N/R | 1.4 | |||
(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%. |
* | 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. |
F U N D SU M M A R Y | 9 |
Fund Summary as of December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Symbol on New York Stock Exchange | FRA | |
Initial Offering Date | October 31, 2003 | |
Current Distribution Rate on Closing Market Price as of December 31, 2022 ($11.26) (a) | 8.57% | |
Current Monthly Distribution per Common Share (b) | $0.0804 | |
Current Annualized Distribution per Common Share (b) | $0.9648 | |
Leverage as of December 31, 2022 (c) | 25% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance is not an indication of future results. |
(b) | The distribution rate is not constant and is subject to change. |
(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. |
12/31/22 | 12/31/21 | Change | High | Low | ||||||||||||||||
Closing Market Price | $ | 11.26 | $ | 13.43 | (16.16 | )% | $ | 13.90 | $ | 11.01 | ||||||||||
Net Asset Value | 12.81 | 13.85 | (7.51 | ) | 13.97 | 12.39 |
(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) | Morningstar LSTA Leveraged Loan Index (formerly S&P ® /LSTA Leveraged Loan Index), 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. |
10 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Fund Summary as of December 31, 2022 (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Average Annual Total Returns | ||||||||||||
1 Year | 5 Years | 10 Years | ||||||||||
Fund at NAV (a)(b) | (1.34 | )% | 3.72 | % | 4.70 | % | ||||||
Fund at Market Price (a)(b) | (10.57 | ) | 2.61 | 3.32 | ||||||||
Morningstar LSTA Leveraged Loan Index | (0.60 | ) | 3.31 | 3.67 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage. |
(b) | The Fund’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
F U N D SU M M A R Y | 11 |
Fund Summary as of December 31, 2022 (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Asset Type | 12/31/22 | |||
Floating Rate Loan Interests | 97.9 | % | ||
Corporate Bonds | 1.7 | |||
Other* | 0.4 |
Credit Rating (a)(b) | 12/31/22 | |||
BBB/Baa | 5.2 | % | ||
BB/Ba | 26.4 | |||
B | 61.3 | |||
CCC/Caa | 5.2 | |||
C | — | (c) | ||
N/R | 1.9 |
(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%. |
* | 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. |
12 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Fund Summary as of December 31, 2022 | BlackRock Income Trust, Inc. (BKT) |
Symbol on New York Stock Exchange | BKT | |
Initial Offering Date | July 22,1988 | |
Current Distribution Rate on Closing Market Price as of December 31, 2022 ($12.34) (a) | 8.58% | |
Current Monthly Distribution per Common Share (b) | $0.0882 | |
Current Annualized Distribution per Common Share (b) | $1.0584 | |
Leverage as of December 31, 2022 (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. |
12/31/22 | 12/31/21 | Change | High | Low | ||||||||||||||||
Closing Market Price | $ | 12.34 | $ | 16.95 | (27.20 | )% | $ | 16.95 | $ | 11.63 | ||||||||||
Net Asset Value | 13.10 | 16.94 | (22.67 | ) | 16.94 | 12.62 |
(a) | Market price and net asset value per share reflect a 1-for-3 reverse stock split effective after the close of trading on October 17, 2022 for the common shareholders of record on October 17, 2022. See Note 11 of the Notes to Financial Statements for details. |
(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. |
F U N D SU M M A R Y | 13 |
Fund Summary as of December 31, 2022 (continued) | BlackRock Income Trust, Inc. (BKT) |
Average Annual Total Returns | ||||||||||||
1 Year | 5 Years | 10 Years | ||||||||||
Fund at NAV (a)(b) | (16.67 | )% | (1.30 | )% | 0.69 | % | ||||||
Fund at Market Price (a)(b) | (21.50 | ) | (1.24 | ) | 0.54 | |||||||
FTSE Mortgage Index | (11.92 | ) | (0.51 | ) | 0.74 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage. |
(b) | The Fund moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
14 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Fund Summary as of December 31, 2022 (continued) | BlackRock Income Trust, Inc. (BKT) |
Asset Type (a) | 12/31/22 | |||
U.S. Government Sponsored Agency Securities | 94.1 | % | ||
Non-Agency Mortgage-Backed Securities | 5.9 | |||
Asset-Backed Securities | — | (b) |
Credit Rating (a)(c) | 12/31/22 | |||||||
AAA/Aaa (d) | 94.2 | % | ||||||
AA/Aa | 5.8 | |||||||
CCC/Caa | — | (b) | ||||||
N/R | — | (b) |
(a) | Excludes short-term securities. |
(b) | Rounds to less than 0.1%. |
(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. |
F U N D SU M M A R Y | 15 |
Fund Summary as of December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
• | intermediate duration, investment grade corporate bonds, mortgage-related securities, asset-backed securities and U.S. Government and agency securities; |
• | senior, secured floating rate loans made to corporate and other business entities; and |
• | U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade at the time of investment or unrated and deemed by the investment adviser to be of comparable quality and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade or unrated and deemed by the investment adviser to be of comparable quality. |
Symbol on New York Stock Exchange | BLW | |
Initial Offering Date | July 30, 2003 | |
Current Distribution Rate on Closing Market Price as of December 31, 2022 ($13.07) (a) | 9.01% | |
Current Monthly Distribution per Common Share (b) | $0.0981 | |
Current Annualized Distribution per Common Share (b) | $1.1772 | |
Leverage as of December 31, 2022 (c) | 36% |
(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. |
12/31/22 | 12/31/21 | Change | High | Low | ||||||||||||||||
Closing Market Price | $ | 13.07 | $ | 16.85 | (22.43 | )% | $ | 16.85 | $ | 11.76 | ||||||||||
Net Asset Value | 13.51 | 16.44 | (17.82 | ) | 16.44 | 13.08 |
(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. |
16 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Fund Summary as of December 31, 2022 (continued) | BlackRock Limited Duration Income Trust (BLW) |
Average Annual Total Returns | ||||||||||||
1 Year | 5 Years | 10 Years | ||||||||||
Fund at NAV (a)(b) | (10.96 | )% | 2.74 | % | 5.00 | % | ||||||
Fund at Market Price (a)(b) | (15.96 | ) | 3.39 | 4.30 | ||||||||
Reference Benchmark (c) | (5.59 | ) | 2.31 | 3.04 | ||||||||
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index | (11.18 | ) | 2.30 | 4.03 | ||||||||
Morningstar LSTA Leveraged Loan Index (d) | (0.60 | ) | 3.31 | 3.67 | ||||||||
BATS S Benchmark (e) | (5.02 | ) | 1.12 | 1.29 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage. |
(b) | The Fund moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | The Reference Benchmark is comprised of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (33.33%), the Morningstar LSTA Leveraged Loan Index (formerly S&P ® /LSTA Leveraged Loan Index) (33.33%), and the BATS S Benchmark (33.34%). The Reference Benchmark’s index content and weightings may have varied over past periods. |
(d) | Morningstar LSTA Leveraged Loan Index (formerly S&P/LSTA Leveraged Loan Index), 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. |
F U N D SU M M A R Y | 17 |
Fund Summary as of December 31, 2022 (continued) | BlackRock Limited Duration Income Trust (BLW) |
Asset Type | 12/31/22 | |||
Corporate Bonds | 45.4 | % | ||
Floating Rate Loan Interests | 34.8 | |||
U.S. Government Sponsored Agency Securities | 6.3 | |||
Preferred Securities | 4.3 | |||
Asset-Backed Securities | 4.1 | |||
Non-Agency Mortgage-Backed Securities | 2.1 | |||
U.S. Treasury Obligations | 1.6 | |||
Other* | 1.4 |
Credit Rating (a)(b) | 12/31/22 | |||
AAA/Aaa (c) | 9.8 | % | ||
AA/Aa | 0.3 | |||
A | 2.3 | |||
BBB/Baa | 15.7 | |||
BB/Ba | 28.3 | |||
B | 34.8 | |||
CCC/Caa | 5.6 | |||
CC | 0.4 | |||
C | — | (d) | ||
N/R (e) | 2.8 |
(a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(b) | Excludes short-term securities. |
(c) | The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
(d) | Rounds to less than 0.1%. |
(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, 2022, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of the Fund’s total investments. |
* | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
18 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities | ||||||||||||
Unique Pub Finance Co. PLC (a) | ||||||||||||
Series A4, 5.66%, 06/30/27 | GBP | 35 | $ | 42,173 | ||||||||
Series N, 6.46%, 03/30/32 | 100 | 120,901 | ||||||||||
Total Asset-Backed Securities — 0.1% (Cost: $194,352) | 163,074 | |||||||||||
Shares | ||||||||||||
Common Stocks | ||||||||||||
Construction & Engineering — 0.0% | ||||||||||||
McDermott International Ltd. (b) | 141,483 | 45,275 | ||||||||||
Diversified Financial Services — 0.0% | ||||||||||||
Kcad Holdings I Ltd. (c) | 1,075,282,733 | 10,753 | ||||||||||
Electrical Equipment — 0.0% | ||||||||||||
SunPower Corp. (b) | 1,707 | 30,777 | ||||||||||
Metals & Mining — 0.0% | ||||||||||||
Ameriforge Group, Inc. | 1,664 | 832 | ||||||||||
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $255,714) (c)(d) | 14,566 | 1,603 | ||||||||||
2,435 | ||||||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||||
Chesapeake Energy Corp. | 1,585 | 149,577 | ||||||||||
Semiconductors & Semiconductor Equipment —0.0% | ||||||||||||
Maxeon Solar Technologies Ltd. (b) | 213 | 3,421 | ||||||||||
Specialty Retail — 0.1% | ||||||||||||
NMG Parent LLC | 1,477 | 223,396 | ||||||||||
Total Common Stocks — 0.1% (Cost: $13,881,852) | 465,634 | |||||||||||
Par (000) | ||||||||||||
Corporate Bonds | ||||||||||||
Aerospace & Defense — 0.9% | ||||||||||||
Boeing Co., 5.15%, 05/01/30 | USD | 545 | 531,723 | |||||||||
Bombardier, Inc. (e) | ||||||||||||
7.50%, 03/15/25 | 12 | 11,884 | ||||||||||
7.13%, 06/15/26 | 421 | 408,460 | ||||||||||
7.88%, 04/15/27 | 83 | 80,508 | ||||||||||
6.00%, 02/15/28 | 351 | 324,577 | ||||||||||
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26 (e) | 200 | 163,500 | ||||||||||
Rolls-Royce PLC, 5.75%, 10/15/27 (e) | 400 | 381,000 | ||||||||||
Spirit AeroSystems, Inc. | ||||||||||||
7.50%, 04/15/25 (e) | 10 | 9,882 | ||||||||||
9.38%, 11/30/29 | 150 | 157,905 | ||||||||||
TransDigm, Inc. | ||||||||||||
8.00%, 12/15/25 (e) | 508 | 515,513 | ||||||||||
6.25%, 03/15/26 (e) | 1,334 | 1,273,872 | ||||||||||
6.38%, 06/15/26 | 15 | 14,594 | ||||||||||
7.50%, 03/15/27 | 33 | 32,650 | ||||||||||
4.63%, 01/15/29 | 151 | 132,770 |
Security | Par (000) | Value | ||||||||||
Aerospace & Defense (continued) | ||||||||||||
TransDigm, Inc. (continued) | ||||||||||||
4.88%, 05/01/29 | USD | 96 | $ | 83,736 | ||||||||
Triumph Group, Inc., 8.88%, 06/01/24 (e) | 223 | 226,903 | ||||||||||
4,349,477 | ||||||||||||
Airlines — 0.7% | ||||||||||||
Air Canada, 3.88%, 08/15/26 (e) | 116 | 102,745 | ||||||||||
Allegiant Travel Co. (e) | ||||||||||||
8.50%, 02/05/24 | 1,065 | 1,062,338 | ||||||||||
7.25%, 08/15/27 | 37 | 35,193 | ||||||||||
American Airlines, Inc., 11.75%, 07/15/25 (e) | 394 | 422,604 | ||||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. (e) | ||||||||||||
5.50%, 04/20/26 | 57 | 54,407 | ||||||||||
5.75%, 04/20/29 | 289 | 264,264 | ||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28 (e) | 98 | 92,006 | ||||||||||
Deutsche Lufthansa AG, 3.75%, 02/11/28 (a) | EUR | 100 | 95,002 | |||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26 (e) | USD | 101 | 91,405 | |||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27 (e) | 335 | 333,328 | ||||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25 (e) | 70 | 70,685 | ||||||||||
United Airlines Pass-Through Trust | ||||||||||||
Series 2020-1, Class A, 5.88%, 10/15/27 | 177 | 174,558 | ||||||||||
Series 2020-1, Class B, 4.88%, 01/15/26 | 15 | 14,499 | ||||||||||
United Airlines, Inc. (e) | ||||||||||||
4.38%, 04/15/26 | 284 | 263,247 | ||||||||||
4.63%, 04/15/29 | 194 | 168,915 | ||||||||||
3,245,196 | ||||||||||||
Auto Components — 0.4% | ||||||||||||
Clarios Global LP, 6.75%, 05/15/25 (e) | 721 | 722,667 | ||||||||||
Clarios Global LP/Clarios U.S. Finance Co. (e) | ||||||||||||
6.25%, 05/15/26 | 271 | 264,903 | ||||||||||
8.50%, 05/15/27 | 912 | 890,565 | ||||||||||
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28 (e) | 12 | 10,558 | ||||||||||
Goodyear Tire & Rubber Co. | ||||||||||||
9.50%, 05/31/25 | 65 | 66,788 | ||||||||||
5.00%, 07/15/29 | 26 | 21,688 | ||||||||||
5.63%, 04/30/33 | 30 | 24,489 | ||||||||||
NM Holdings Co. LLC (b)(c)(f) | ||||||||||||
12.00%, 07/01/49 | 5,150 | — | ||||||||||
Series B, 9.50%, 07/01/05 | 5,125 | 1 | ||||||||||
Titan International, Inc., 7.00%, 04/30/28 | 18 | 16,994 | ||||||||||
2,018,653 | ||||||||||||
Automobiles — 0.4% | ||||||||||||
Asbury Automotive Group, Inc. | ||||||||||||
4.50%, 03/01/28 | 35 | 30,814 | ||||||||||
4.75%, 03/01/30 | 73 | 61,054 | ||||||||||
5.00%, 02/15/32 (e) | 51 | 41,958 | ||||||||||
Constellation Automotive Financing PLC, 4.88%, 07/15/27 (a) | GBP | 100 | 78,788 | |||||||||
Ford Motor Co. | ||||||||||||
4.35%, 12/08/26 | USD | 9 | 8,535 | |||||||||
3.25%, 02/12/32 | 199 | 149,238 | ||||||||||
6.10%, 08/19/32 | 57 | 52,631 |
S C H E D U L E O F IN V E S T M E N T S | 19 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Automobiles (continued) | ||||||||||||
Ford Motor Credit Co. LLC | ||||||||||||
3.81%, 01/09/24 | USD | 200 | $ | 194,506 | ||||||||
4.69%, 06/09/25 | 200 | 190,293 | ||||||||||
5.13%, 06/16/25 | 200 | 192,268 | ||||||||||
4.00%, 11/13/30 | 200 | 164,168 | ||||||||||
General Motors Co., 5.40%, 10/15/29 | 218 | 208,037 | ||||||||||
Group 1 Automotive, Inc., 4.00%, 08/15/28 (e) | 15 | 12,696 | ||||||||||
Ken Garff Automotive LLC, 4.88%, 09/15/28 (e) | 39 | 32,625 | ||||||||||
LCM Investments Holdings II LLC, 4.88%, 05/01/29 (e) | 90 | 72,071 | ||||||||||
Lithia Motors, Inc., 3.88%, 06/01/29 (e) | 42 | 34,529 | ||||||||||
MajorDrive Holdings IV LLC, 6.38%, 06/01/29 (e) | 59 | 44,025 | ||||||||||
Penske Automotive Group, Inc. | ||||||||||||
3.50%, 09/01/25 | 59 | 54,756 | ||||||||||
3.75%, 06/15/29 | 22 | 17,856 | ||||||||||
Wabash National Corp., 4.50%, 10/15/28 (e) | 70 | 59,611 | ||||||||||
1,700,459 | ||||||||||||
Banks — 0.1% | ||||||||||||
Banco Espirito Santo SA (b)(f) | ||||||||||||
4.75%, 01/15/22 | EUR | 200 | 25,691 | |||||||||
4.00%, 01/21/22 | 100 | 12,845 | ||||||||||
2.63%, 05/08/49 (a) | 100 | 12,845 | ||||||||||
Northern Trust Corp., 6.13%, 11/02/32 | USD | 74 | 78,029 | |||||||||
Wells Fargo & Co., Series BB, (5 year CMT + 3.45%), 3.90% (g)(h) | 115 | 100,656 | ||||||||||
230,066 | ||||||||||||
Beverages — 0.4% | ||||||||||||
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27 (e)(i) | 441 | 306,730 | ||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC (e) | ||||||||||||
6.00%, 06/15/27 | 200 | 195,789 | ||||||||||
3.25%, 09/01/28 | 200 | 169,889 | ||||||||||
4.00%, 09/01/29 | 485 | 384,376 | ||||||||||
Ball Corp. | ||||||||||||
2.88%, 08/15/30 | 12 | 9,578 | ||||||||||
3.13%, 09/15/31 | 157 | 126,091 | ||||||||||
Silgan Holdings, Inc., 4.13%, 02/01/28 | 8 | 7,401 | ||||||||||
Trivium Packaging Finance BV, 8.50%, 08/15/27 (e) | 814 | 746,865 | ||||||||||
1,946,719 | ||||||||||||
Building Materials — 0.2% | ||||||||||||
Camelot Return Merger Sub, Inc., 8.75%, 08/01/28 (e) | 67 | 61,481 | ||||||||||
Masonite International Corp. (e) | ||||||||||||
Class C, 5.38%, 02/01/28 | 45 | 41,607 | ||||||||||
Class C, 3.50%, 02/15/30 | 69 | 55,816 | ||||||||||
New Enterprise Stone & Lime Co., Inc. (e) | ||||||||||||
5.25%, 07/15/28 | 26 | 23,087 | ||||||||||
9.75%, 07/15/28 | 38 | 35,110 | ||||||||||
Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/28 (e) | 267 | 238,885 | ||||||||||
Standard Industries, Inc. | ||||||||||||
2.25%, 11/21/26 (a) | EUR | 100 | 90,989 | |||||||||
5.00%, 02/15/27 (e) | USD | 45 | 41,523 | |||||||||
4.75%, 01/15/28 (e) | 12 | 10,799 | ||||||||||
4.38%, 07/15/30 (e) | 174 | 141,797 |
Security | Par (000) | Value | ||||||||||
Building Materials (continued) | ||||||||||||
Standard Industries, Inc. (continued) | ||||||||||||
3.38%, 01/15/31 (e) | USD | 99 | $ | 74,498 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29 (e) | 168 | 156,412 | ||||||||||
972,004 | ||||||||||||
Building Products (e) — 0.3% | ||||||||||||
Advanced Drainage Systems, Inc. | ||||||||||||
5.00%, 09/30/27 | 5 | 4,663 | ||||||||||
6.38%, 06/15/30 | 193 | 187,530 | ||||||||||
Beacon Roofing Supply, Inc., 4.13%, 05/15/29 | 39 | 32,409 | ||||||||||
Foundation Building Materials, Inc., 6.00%, 03/01/29 | 32 | 23,959 | ||||||||||
GYP Holdings III Corp., 4.63%, 05/01/29 | 76 | 62,052 | ||||||||||
LBM Acquisition LLC, 6.25%, 01/15/29 | 12 | 7,636 | ||||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 | 27 | 21,739 | ||||||||||
SRS Distribution, Inc. | ||||||||||||
4.63%, 07/01/28 | 259 | 229,596 | ||||||||||
6.13%, 07/01/29 | 164 | 132,597 | ||||||||||
6.00%, 12/01/29 | 168 | 133,703 | ||||||||||
White Cap Buyer LLC, 6.88%, 10/15/28 | 616 | 532,845 | ||||||||||
White Cap Parent LLC, (8.25% PIK), 8.25%, 03/15/26 (i) | 75 | 64,837 | ||||||||||
1,433,566 | ||||||||||||
Capital Markets — 0.4% | ||||||||||||
AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27 (e) | 150 | 150,750 | ||||||||||
Aretec Escrow Issuer, Inc., 7.50%, 04/01/29 (e) | 36 | 29,708 | ||||||||||
Blackstone Private Credit Fund | ||||||||||||
7.05%, 09/29/25 (e) | 25 | 24,802 | ||||||||||
3.25%, 03/15/27 | 24 | 20,207 | ||||||||||
Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00% (g)(h) | 265 | 211,324 | ||||||||||
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29 (e) | 65 | 55,627 | ||||||||||
GLP Capital LP/GLP Financing II, Inc., 3.25%, 01/15/32 | 160 | 127,902 | ||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | ||||||||||||
4.75%, 09/15/24 | 101 | 96,834 | ||||||||||
6.25%, 05/15/26 | 9 | 8,648 | ||||||||||
5.25%, 05/15/27 | 196 | 179,458 | ||||||||||
4.38%, 02/01/29 | 182 | 153,908 | ||||||||||
NFP Corp. (e) | ||||||||||||
4.88%, 08/15/28 | 200 | 170,259 | ||||||||||
6.88%, 08/15/28 | 699 | 576,171 | ||||||||||
7.50%, 10/01/30 | 34 | 31,973 | ||||||||||
Owl Rock Capital Corp. | ||||||||||||
4.25%, 01/15/26 | 6 | 5,508 | ||||||||||
3.40%, 07/15/26 | 21 | 18,336 | ||||||||||
Owl Rock Core Income Corp. | ||||||||||||
5.50%, 03/21/25 | 55 | 53,317 | ||||||||||
3.13%, 09/23/26 | 12 | 10,212 | ||||||||||
7.75%, 09/16/27 (e) | 98 | 97,683 | ||||||||||
2,022,627 | ||||||||||||
Chemicals — 0.6% | ||||||||||||
Ashland LLC, 3.38%, 09/01/31 (e) | 89 | 71,135 | ||||||||||
Avient Corp., 7.13%, 08/01/30 (e) | 53 | 51,809 |
20 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Chemicals (continued) | ||||||||||||
Axalta Coating Systems LLC, 3.38%, 02/15/29 (e) | USD | 300 | $ | 247,549 | ||||||||
Celanese U.S. Holdings LLC, 6.17%, 07/15/27 | 85 | 83,838 | ||||||||||
Chemours Co., 5.75%, 11/15/28 (e) | 38 | 34,133 | ||||||||||
Diamond BC BV, 4.63%, 10/01/29 (e) | 230 | 184,575 | ||||||||||
Element Solutions, Inc., 3.88%, 09/01/28 (e) | 559 | 475,150 | ||||||||||
HB Fuller Co., 4.25%, 10/15/28 | 35 | 30,975 | ||||||||||
Herens Holdco SARL, 4.75%, 05/15/28 (e) | 200 | 149,482 | ||||||||||
Herens Midco SARL, 5.25%, 05/15/29 (a) | EUR | 100 | 73,931 | |||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28 (e) | USD | 188 | 157,399 | |||||||||
Ingevity Corp., 3.88%, 11/01/28 (e) | 23 | 19,777 | ||||||||||
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26 (e)(i) | 82 | 57,400 | ||||||||||
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29 (e) | 36 | 29,740 | ||||||||||
Minerals Technologies, Inc., 5.00%, 07/01/28 (e) | 55 | 48,983 | ||||||||||
Scotts Miracle-Gro Co. | ||||||||||||
4.00%, 04/01/31 | 57 | 43,545 | ||||||||||
4.38%, 02/01/32 | 8 | 6,030 | ||||||||||
SK Invictus Intermediate II Sarl, 5.00%, 10/30/29 (e) | 176 | 144,320 | ||||||||||
WESCO Distribution, Inc. (e) | ||||||||||||
7.13%, 06/15/25 | 49 | 49,613 | ||||||||||
7.25%, 06/15/28 | 153 | 154,985 | ||||||||||
WR Grace Holdings LLC (e) | ||||||||||||
4.88%, 06/15/27 | 55 | 48,737 | ||||||||||
5.63%, 08/15/29 | 786 | 634,514 | ||||||||||
2,797,620 | ||||||||||||
Commercial Services & Supplies — 0.2% | ||||||||||||
ADT Security Corp. (e) | ||||||||||||
4.13%, 08/01/29 | 9 | 7,654 | ||||||||||
4.88%, 07/15/32 | 14 | 11,898 | ||||||||||
AMN Healthcare, Inc., 4.00%, 04/15/29 (e) | 28 | 23,961 | ||||||||||
APX Group, Inc. (e) | ||||||||||||
6.75%, 02/15/27 | 64 | 61,603 | ||||||||||
5.75%, 07/15/29 | 86 | 71,224 | ||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 03/01/29 (e) | 13 | 11,121 | ||||||||||
Fortress Transportation & Infrastructure Investors LLC (e) | ||||||||||||
6.50%, 10/01/25 | 18 | 16,924 | ||||||||||
9.75%, 08/01/27 | 17 | 17,042 | ||||||||||
5.50%, 05/01/28 | 95 | 81,045 | ||||||||||
Herc Holdings, Inc., 5.50%, 07/15/27 (e) | 121 | 112,863 | ||||||||||
Hertz Corp. (e) | ||||||||||||
4.63%, 12/01/26 | 40 | 33,500 | ||||||||||
5.00%, 12/01/29 | 33 | 25,034 | ||||||||||
Metis Merger Sub LLC, 6.50%, 05/15/29 (e) | 39 | 32,740 | ||||||||||
NESCO Holdings II, Inc., 5.50%, 04/15/29 (e) | 74 | 64,750 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 01/15/28 (e) | 209 | 190,223 | ||||||||||
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29 (e) | 202 | 169,619 | ||||||||||
United Rentals North America, Inc., 5.25%, 01/15/30 | 2 | 1,879 | ||||||||||
Williams Scotsman International, Inc. (e) | ||||||||||||
6.13%, 06/15/25 | 82 | 81,180 | ||||||||||
4.63%, 08/15/28 | 74 | 66,785 | ||||||||||
1,081,045 |
Security | Par (000) | Value | ||||||||||
Communications Equipment (e) — 0.1% | ||||||||||||
Ciena Corp., 4.00%, 01/31/30 | USD | 34 | $ | 29,924 | ||||||||
CommScope Technologies LLC, 6.00%, 06/15/25 | 196 | 178,360 | ||||||||||
CommScope, Inc. | ||||||||||||
6.00%, 03/01/26 | 8 | 7,383 | ||||||||||
8.25%, 03/01/27 | 35 | 27,125 | ||||||||||
7.13%, 07/01/28 | 58 | 41,462 | ||||||||||
4.75%, 09/01/29 | 152 | 122,542 | ||||||||||
Viasat, Inc. | ||||||||||||
5.63%, 09/15/25 | 77 | 71,440 | ||||||||||
5.63%, 04/15/27 | 21 | 19,075 | ||||||||||
6.50%, 07/15/28 | 48 | 36,011 | ||||||||||
Viavi Solutions, Inc., 3.75%, 10/01/29 | 110 | 92,450 | ||||||||||
625,772 | ||||||||||||
Construction Materials (e) — 0.0% | ||||||||||||
American Builders & Contractors Supply Co., Inc. | ||||||||||||
4.00%, 01/15/28 | 103 | 91,896 | ||||||||||
3.88%, 11/15/29 | 18 | 14,714 | ||||||||||
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 | 41 | 36,768 | ||||||||||
H&E Equipment Services, Inc., 3.88%, 12/15/28 | 20 | 17,036 | ||||||||||
Resideo Funding, Inc., 4.00%, 09/01/29 | 18 | 14,554 | ||||||||||
174,968 | ||||||||||||
Consumer Discretionary (e) — 0.5% | ||||||||||||
APi Group DE, Inc. | ||||||||||||
4.13%, 07/15/29 | 67 | 55,531 | ||||||||||
4.75%, 10/15/29 | 32 | 27,739 | ||||||||||
Carnival Corp. | ||||||||||||
10.50%, 02/01/26 | 214 | 215,019 | ||||||||||
7.63%, 03/01/26 | 29 | 22,985 | ||||||||||
5.75%, 03/01/27 | 280 | 199,931 | ||||||||||
9.88%, 08/01/27 | 99 | 93,555 | ||||||||||
4.00%, 08/01/28 | 138 | 112,527 | ||||||||||
6.00%, 05/01/29 | 120 | 79,966 | ||||||||||
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28 | 418 | 429,123 | ||||||||||
CoreLogic, Inc., 4.50%, 05/01/28 | 138 | 105,874 | ||||||||||
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc., 5.00%, 02/01/26 | 52 | 46,280 | ||||||||||
Life Time, Inc. | ||||||||||||
5.75%, 01/15/26 | 80 | 74,440 | ||||||||||
8.00%, 04/15/26 | 69 | 62,100 | ||||||||||
Lindblad Expeditions LLC, 6.75%, 02/15/27 | 283 | 256,729 | ||||||||||
NCL Corp. Ltd. | ||||||||||||
5.88%, 03/15/26 | 91 | 71,478 | ||||||||||
7.75%, 02/15/29 | 22 | 16,556 | ||||||||||
NCL Finance Ltd., 6.13%, 03/15/28 | 46 | 33,958 | ||||||||||
Neptune Bidco U.S., Inc., 9.29%, 04/15/29 | 68 | 64,090 | ||||||||||
Royal Caribbean Cruises Ltd. | ||||||||||||
11.50%, 06/01/25 | 57 | 61,132 | ||||||||||
4.25%, 07/01/26 | 24 | 19,400 | ||||||||||
5.50%, 08/31/26 | 28 | 23,555 | ||||||||||
5.38%, 07/15/27 | 43 | 34,817 | ||||||||||
11.63%, 08/15/27 | 56 | 56,237 | ||||||||||
5.50%, 04/01/28 | 46 | 36,710 | ||||||||||
8.25%, 01/15/29 | 62 | 62,155 | ||||||||||
9.25%, 01/15/29 | 112 | 115,091 | ||||||||||
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29 | 18 | 14,490 | ||||||||||
2,391,468 |
S C H E D U L E O F IN V E S T M E N T S | 21 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Consumer Finance — 0.7% | ||||||||||||
American Express Co., (5 year CMT + 2.85%), | ||||||||||||
3.55% (g)(h) | USD | 235 | $ | 193,052 | ||||||||
Block, Inc., 3.50%, 06/01/31 | 525 | 418,911 | ||||||||||
Discover Financial Services, 6.70%, 11/29/32 | 30 | 30,494 | ||||||||||
Global Payments, Inc. | ||||||||||||
4.95%, 08/15/27 | 35 | 33,950 | ||||||||||
3.20%, 08/15/29 | 181 | 153,859 | ||||||||||
2.90%, 05/15/30 | 239 | 195,829 | ||||||||||
5.40%, 08/15/32 | 28 | 26,666 | ||||||||||
HealthEquity, Inc., 4.50%, 10/01/29 (e) | 223 | 194,880 | ||||||||||
MPH Acquisition Holdings LLC, 5.50%, 09/01/28 (e) | 66 | 51,487 | ||||||||||
Navient Corp. | ||||||||||||
7.25%, 09/25/23 | 3 | 2,997 | ||||||||||
6.13%, 03/25/24 | 93 | 91,105 | ||||||||||
5.88%, 10/25/24 | 77 | 74,501 | ||||||||||
5.50%, 03/15/29 | 66 | 53,856 | ||||||||||
OneMain Finance Corp. | ||||||||||||
6.88%, 03/15/25 | 151 | 145,062 | ||||||||||
3.50%, 01/15/27 | 156 | 129,163 | ||||||||||
6.63%, 01/15/28 | 8 | 7,367 | ||||||||||
5.38%, 11/15/29 | 32 | 26,173 | ||||||||||
4.00%, 09/15/30 | 76 | 56,707 | ||||||||||
Sabre Global, Inc. (e) | ||||||||||||
9.25%, 04/15/25 | 78 | 77,698 | ||||||||||
7.38%, 09/01/25 | 81 | 77,844 | ||||||||||
11.25%, 12/15/27 | 29 | 29,862 | ||||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26 (e) | 210 | 198,406 | ||||||||||
SLM Corp., 3.13%, 11/02/26 | 56 | 47,625 | ||||||||||
Verscend Escrow Corp., 9.75%, 08/15/26 (e) | 851 | 833,733 | ||||||||||
3,151,227 | ||||||||||||
Containers & Packaging (e) — 0.1% | ||||||||||||
Clydesdale Acquisition Holdings, Inc. | ||||||||||||
6.63%, 04/15/29 | 302 | 287,127 | ||||||||||
8.75%, 04/15/30 | 178 | 152,363 | ||||||||||
LABL, Inc., 5.88%, 11/01/28 | 84 | 73,187 | ||||||||||
Sealed Air Corp., 4.00%, 12/01/27 | 61 | 55,335 | ||||||||||
568,012 | ||||||||||||
Diversified Consumer Services — 0.5% | ||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. (e) | ||||||||||||
6.63%, 07/15/26 | 529 | 484,035 | ||||||||||
9.75%, 07/15/27 | 101 | 87,870 | ||||||||||
6.00%, 06/01/29 | 600 | 435,456 | ||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28 (e) | 400 | 327,335 | ||||||||||
Brink’s Co., 5.50%, 07/15/25 (e) | 15 | 14,727 | ||||||||||
Clarivate Science Holdings Corp. (e) | ||||||||||||
3.88%, 07/01/28 | 365 | 316,234 | ||||||||||
4.88%, 07/01/29 | 175 | 148,811 | ||||||||||
Garda World Security Corp., 4.63%, 02/15/27 (e) | 11 | 9,713 | ||||||||||
Rekeep SpA, 7.25%, 02/01/26 (a) | EUR | 100 | 88,979 | |||||||||
Service Corp. International, 4.00%, 05/15/31 | USD | 192 | 161,707 | |||||||||
Sotheby’s, 7.38%, 10/15/27 (e) | 400 | 375,052 | ||||||||||
2,449,919 |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services — 0.3% | ||||||||||||
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28 (e) | USD | 200 | $ | 159,500 | ||||||||
Bank of America Corp., (1 day SOFR + 1.99%), 6.20%, 11/10/28 (h) | 130 | 134,221 | ||||||||||
Blackstone Holdings Finance Co. LLC, 5.90%, 11/03/27 | 203 | 204,520 | ||||||||||
Citigroup, Inc. (g)(h) | ||||||||||||
Series W, (5 year CMT + 3.60%), 4.00% | 50 | 43,556 | ||||||||||
Series Y, (5 year CMT + 3.00%), 4.15% | 10 | 8,164 | ||||||||||
Credit Suisse Group AG, (1 year EURIBOR ICE Swap Rate + 4.95%), 7.75%, 03/01/29 (a)(h) | EUR | 100 | 106,291 | |||||||||
Garfunkelux Holdco 3 SA, 7.75%, 11/01/25 (a) | GBP | 100 | 93,932 | |||||||||
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24 (e)(i) | USD | 26 | 21,758 | |||||||||
HSBC Holdings PLC, (1 day SOFR + 3.35%), 7.39%, 11/03/28 (h) | 200 | 210,190 | ||||||||||
Intrum AB, 4.88%, 08/15/25 (a) | EUR | 100 | 97,047 | |||||||||
Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 08/15/28 (e) | USD | 200 | 163,146 | |||||||||
JPMorgan Chase & Co., (1 day SOFR + 2.58%), 5.72%, 09/14/33 (h) | 62 | 60,515 | ||||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, 06/15/29 (e) | 22 | 17,762 | ||||||||||
Spectrum Brands, Inc. (e) | ||||||||||||
5.00%, 10/01/29 | 8 | 6,924 | ||||||||||
5.50%, 07/15/30 | 50 | 44,127 | ||||||||||
UBS Group AG, (5 year CMT + 3.31%), 4.38% (e)(g)(h) | 345 | 262,117 | ||||||||||
VistaJet Malta Finance PLC/XO Management Holding, Inc., 6.38%, 02/01/30 (e) | 52 | 41,695 | ||||||||||
1,675,465 | ||||||||||||
Diversified Telecommunication Services — 0.7% | ||||||||||||
Consolidated Communications, Inc., 6.50%, 10/01/28 (e) | 157 | 121,998 | ||||||||||
Level 3 Financing, Inc. (e) | ||||||||||||
3.40%, 03/01/27 | 144 | 121,678 | ||||||||||
4.63%, 09/15/27 | 64 | 53,280 | ||||||||||
4.25%, 07/01/28 | 195 | 153,601 | ||||||||||
3.63%, 01/15/29 | 66 | 48,328 | ||||||||||
3.75%, 07/15/29 | 116 | 83,447 | ||||||||||
3.88%, 11/15/29 | 12 | 9,470 | ||||||||||
Lumen Technologies, Inc. (e) | ||||||||||||
4.00%, 02/15/27 | 327 | 277,117 | ||||||||||
4.50%, 01/15/29 | 236 | 162,890 | ||||||||||
5.38%, 06/15/29 | 9 | 6,479 | ||||||||||
Sprint Capital Corp. | ||||||||||||
6.88%, 11/15/28 | 351 | 364,317 | ||||||||||
8.75%, 03/15/32 | 556 | 661,696 | ||||||||||
Telecom Italia Capital SA | ||||||||||||
6.38%, 11/15/33 | 58 | 47,449 | ||||||||||
6.00%, 09/30/34 | 134 | 101,264 | ||||||||||
7.20%, 07/18/36 | 14 | 11,367 | ||||||||||
7.72%, 06/04/38 | 23 | 19,090 | ||||||||||
Telecom Italia SpA, 2.88%, 01/28/26 (a) | EUR | 100 | 97,143 | |||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 04/15/28 (e) | USD | 23 | 18,400 |
22 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
Zayo Group Holdings, Inc. (e) | ||||||||||||
4.00%, 03/01/27 | USD | 829 | $ | 612,274 | ||||||||
6.13%, 03/01/28 | 746 | 423,041 | ||||||||||
3,394,329 | ||||||||||||
Electric Utilities — 0.1% | ||||||||||||
Edison International, Series A, (5 year CMT + 4.70%), 5.38% (g)(h) | 100 | 81,839 | ||||||||||
FirstEnergy Corp. | ||||||||||||
2.65%, 03/01/30 | 26 | 21,199 | ||||||||||
Series B, 2.25%, 09/01/30 | 6 | 4,762 | ||||||||||
Series C, 3.40%, 03/01/50 | 191 | 126,022 | ||||||||||
FirstEnergy Transmission LLC (e) | ||||||||||||
5.45%, 07/15/44 | 139 | 129,301 | ||||||||||
4.55%, 04/01/49 | 51 | 41,267 | ||||||||||
Pike Corp., 5.50%, 09/01/28 (e) | 130 | 113,651 | ||||||||||
Texas Competitive Electric Holdings, 1.00%, 11/10/21 (b)(c)(f) | 2,375 | — | ||||||||||
518,041 | ||||||||||||
Electrical Equipment (e) — 0.1% | ||||||||||||
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 | 322 | 310,730 | ||||||||||
GrafTech Finance, Inc., 4.63%, 12/15/28 | 66 | 54,201 | ||||||||||
364,931 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.3% | ||||||||||||
BWX Technologies, Inc. (e) | ||||||||||||
4.13%, 06/30/28 | 86 | 77,293 | ||||||||||
4.13%, 04/15/29 | 107 | 93,646 | ||||||||||
CDW LLC/CDW Finance Corp. | ||||||||||||
3.28%, 12/01/28 | 42 | 35,959 | ||||||||||
3.25%, 02/15/29 | 32 | 27,254 | ||||||||||
Imola Merger Corp., 4.75%, 05/15/29 (e) | 186 | 161,376 | ||||||||||
Vertiv Group Corp., 4.13%, 11/15/28 (e) | 1,027 | 872,950 | ||||||||||
1,268,478 | ||||||||||||
Energy Equipment & Services — 0.2% | ||||||||||||
Archrock Partners LP/Archrock Partners Finance Corp. (e) | ||||||||||||
6.88%, 04/01/27 | 115 | 109,786 | ||||||||||
6.25%, 04/01/28 | 174 | 159,212 | ||||||||||
USA Compression Partners LP/USA Compression Finance Corp. | ||||||||||||
6.88%, 04/01/26 | 70 | 67,150 | ||||||||||
6.88%, 09/01/27 | 229 | 214,115 | ||||||||||
Vallourec SA, 8.50%, 06/30/26 (a) | EUR | 8 | 8,396 | |||||||||
Weatherford International Ltd. (e) | ||||||||||||
11.00%, 12/01/24 | USD | 3 | 3,060 | |||||||||
6.50%, 09/15/28 | 68 | 66,661 | ||||||||||
8.63%, 04/30/30 | 101 | 96,991 | ||||||||||
725,371 | ||||||||||||
Environmental, Maintenance & Security Service — 0.2% | ||||||||||||
Covanta Holding Corp. | ||||||||||||
4.88%, 12/01/29 (e) | 43 | 35,229 | ||||||||||
5.00%, 09/01/30 | 21 | 16,958 | ||||||||||
GFL Environmental, Inc. (e) | ||||||||||||
3.75%, 08/01/25 | 45 | 42,525 | ||||||||||
5.13%, 12/15/26 | 113 | 108,063 | ||||||||||
4.00%, 08/01/28 | 150 | 128,250 | ||||||||||
3.50%, 09/01/28 | 65 | 57,145 | ||||||||||
4.75%, 06/15/29 | 111 | 97,153 | ||||||||||
4.38%, 08/15/29 | 145 | 122,880 |
Security | Par (000) | Value | ||||||||||
Environmental, Maintenance & Security Service (continued) | ||||||||||||
Stericycle, Inc., 3.88%, 01/15/29 (e) | USD | 49 | $ | 42,752 | ||||||||
Tervita Corp., 11.00%, 12/01/25 (e) | 25 | 26,877 | ||||||||||
Waste Pro USA, Inc., 5.50%, 02/15/26 (e) | 187 | 165,140 | ||||||||||
842,972 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.3% | ||||||||||||
American Tower Corp. | ||||||||||||
2.90%, 01/15/30 | 90 | 76,218 | ||||||||||
2.70%, 04/15/31 | 29 | 23,605 | ||||||||||
4.05%, 03/15/32 | 58 | 51,724 | ||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27 (e) | 57 | 47,641 | ||||||||||
Digital Realty Trust LP, 5.55%, 01/15/28 | 40 | 40,264 | ||||||||||
Equinix, Inc., 3.90%, 04/15/32 | 177 | 157,254 | ||||||||||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27 (e) | 46 | 38,038 | ||||||||||
HAT Holdings I LLC/HAT Holdings II LLC, 3.38%, 06/15/26 (e) | 59 | 51,259 | ||||||||||
Iron Mountain, Inc. (e) | ||||||||||||
5.00%, 07/15/28 | 10 | 8,982 | ||||||||||
5.25%, 07/15/30 | 43 | 37,367 | ||||||||||
5.63%, 07/15/32 | 66 | 57,197 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp. | ||||||||||||
4.63%, 08/01/29 | 323 | 246,315 | ||||||||||
3.50%, 03/15/31 | 342 | 234,435 | ||||||||||
RHP Hotel Properties LP/RHP Finance Corp. | ||||||||||||
4.75%, 10/15/27 | 156 | 141,182 | ||||||||||
4.50%, 02/15/29 (e) | 77 | 66,420 | ||||||||||
RLJ Lodging Trust LP (e) | ||||||||||||
3.75%, 07/01/26 | 40 | 35,624 | ||||||||||
4.00%, 09/15/29 | 31 | 25,131 | ||||||||||
VICI Properties LP/VICI Note Co., Inc., 3.88%, 02/15/29 (e) | 16 | 14,023 | ||||||||||
1,352,679 | ||||||||||||
Food & Staples Retailing — 0.3% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC (e) | ||||||||||||
3.25%, 03/15/26 | 146 | 133,160 | ||||||||||
4.63%, 01/15/27 | 11 | 10,218 | ||||||||||
4.88%, 02/15/30 | 122 | 108,880 | ||||||||||
Darling Ingredients, Inc., 6.00%, 06/15/30 (e) | 135 | 131,963 | ||||||||||
Kraft Heinz Foods Co., 5.50%, 06/01/50 | 151 | 144,310 | ||||||||||
Lamb Weston Holdings, Inc. (e) | ||||||||||||
4.88%, 05/15/28 | 25 | 23,688 | ||||||||||
4.13%, 01/31/30 | 94 | 83,021 | ||||||||||
4.38%, 01/31/32 | 142 | 124,065 | ||||||||||
Ocado Group PLC, 3.88%, 10/08/26 (a) | GBP | 100 | 93,089 | |||||||||
Performance Food Group, Inc., 4.25%, 08/01/29 (e) | USD | 168 | 145,592 | |||||||||
Post Holdings, Inc. (e) | ||||||||||||
5.50%, 12/15/29 | 11 | 9,954 | ||||||||||
4.63%, 04/15/30 | 36 | 31,059 | ||||||||||
4.50%, 09/15/31 | 21 | 17,654 | ||||||||||
U.S. Foods, Inc. (e) | ||||||||||||
6.25%, 04/15/25 | 51 | 50,466 | ||||||||||
4.75%, 02/15/29 | 121 | 107,438 |
S C H E D U L E O F IN V E S T M E N T S | 23 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Food & Staples Retailing (continued) | ||||||||||||
U.S. Foods, Inc. (e) (continued) | ||||||||||||
4.63%, 06/01/30 | USD | 13 | $ | 11,448 | ||||||||
United Natural Foods, Inc., 6.75%, 10/15/28 (e) | 26 | 24,981 | ||||||||||
1,250,986 | ||||||||||||
Food Products — 0.3% | ||||||||||||
Aramark International Finance SARL, 3.13%, 04/01/25 (a) | EUR | 100 | 102,228 | |||||||||
Aramark Services, Inc. (e) | ||||||||||||
6.38%, 05/01/25 | USD | 110 | 108,648 | |||||||||
5.00%, 02/01/28 | 233 | 217,374 | ||||||||||
Chobani LLC/Chobani Finance Corp., Inc. (e) | ||||||||||||
7.50%, 04/15/25 | 370 | 360,287 | ||||||||||
4.63%, 11/15/28 | 272 | 236,806 | ||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/01/31 (e) | 89 | 72,704 | ||||||||||
Pilgrim’s Pride Corp., 3.50%, 03/01/32 (e) | 57 | 44,603 | ||||||||||
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29 (e) | 74 | 60,240 | ||||||||||
1,202,890 | ||||||||||||
Gas Utilities — 0.0% | ||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31 (e) | 29 | 24,649 | ||||||||||
Health Care Equipment & Supplies (e) — 0.1% | ||||||||||||
Avantor Funding, Inc. | ||||||||||||
4.63%, 07/15/28 | 191 | 173,550 | ||||||||||
3.88%, 11/01/29 | 55 | 46,186 | ||||||||||
Embecta Corp., 6.75%, 02/15/30 | 24 | 21,660 | ||||||||||
Garden Spinco Corp., 8.63%, 07/20/30 | 64 | 67,840 | ||||||||||
309,236 | ||||||||||||
Health Care Providers & Services — 0.7% | ||||||||||||
Acadia Healthcare Co., Inc. (e) | ||||||||||||
5.50%, 07/01/28 | 37 | 35,094 | ||||||||||
5.00%, 04/15/29 | 26 | 23,912 | ||||||||||
AdaptHealth LLC (e) | ||||||||||||
6.13%, 08/01/28 | 24 | 22,001 | ||||||||||
5.13%, 03/01/30 | 9 | 7,662 | ||||||||||
AHP Health Partners, Inc., 5.75%, 07/15/29 (e) | 105 | 82,031 | ||||||||||
Cano Health LLC, 6.25%, 10/01/28 (e) | 34 | 20,570 | ||||||||||
Centene Corp. | ||||||||||||
2.45%, 07/15/28 | 140 | 118,167 | ||||||||||
3.00%, 10/15/30 | 430 | 352,492 | ||||||||||
2.50%, 03/01/31 | 381 | 298,122 | ||||||||||
2.63%, 08/01/31 | 86 | 67,579 | ||||||||||
CHS/Community Health Systems, Inc. (e) | ||||||||||||
5.63%, 03/15/27 | 65 | 55,735 | ||||||||||
6.00%, 01/15/29 | 145 | 121,290 | ||||||||||
5.25%, 05/15/30 | 112 | 84,452 | ||||||||||
4.75%, 02/15/31 | 24 | 17,424 | ||||||||||
Encompass Health Corp. | ||||||||||||
4.50%, 02/01/28 | 5 | 4,542 | ||||||||||
4.75%, 02/01/30 | 166 | 145,772 | ||||||||||
4.63%, 04/01/31 | 66 | 56,728 | ||||||||||
Legacy LifePoint Health LLC (e) | ||||||||||||
6.75%, 04/15/25 | 116 | 109,166 | ||||||||||
4.38%, 02/15/27 | 35 | 29,604 |
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
Medline Borrower LP (e) | ||||||||||||
3.88%, 04/01/29 | USD | 93 | $ | 74,954 | ||||||||
5.25%, 10/01/29 | 733 | 582,200 | ||||||||||
Molina Healthcare, Inc. (e) | ||||||||||||
4.38%, 06/15/28 | 12 | 10,951 | ||||||||||
3.88%, 11/15/30 | 174 | 147,454 | ||||||||||
3.88%, 05/15/32 | 77 | 63,944 | ||||||||||
Surgery Center Holdings, Inc. (e) | ||||||||||||
6.75%, 07/01/25 | 73 | 71,960 | ||||||||||
10.00%, 04/15/27 | 150 | 152,625 | ||||||||||
Teleflex, Inc. | ||||||||||||
4.63%, 11/15/27 | 6 | 5,719 | ||||||||||
4.25%, 06/01/28 (e) | 31 | 28,299 | ||||||||||
Tenet Healthcare Corp. (e) | ||||||||||||
4.88%, 01/01/26 | 214 | 202,368 | ||||||||||
6.25%, 02/01/27 | 55 | 52,828 | ||||||||||
5.13%, 11/01/27 | 343 | 319,072 | ||||||||||
4.63%, 06/15/28 | 26 | 23,263 | ||||||||||
6.13%, 10/01/28 | 55 | 49,243 | ||||||||||
4.25%, 06/01/29 | 14 | 12,128 | ||||||||||
6.13%, 06/15/30 | 112 | 106,714 | ||||||||||
3,556,065 | ||||||||||||
Health Care Technology (e) — 0.1% | ||||||||||||
AthenaHealth Group, Inc., 6.50%, 02/15/30 | 527 | 388,363 | ||||||||||
Catalent Pharma Solutions, Inc. | ||||||||||||
5.00%, 07/15/27 | 41 | 38,151 | ||||||||||
3.13%, 02/15/29 | 52 | 41,404 | ||||||||||
3.50%, 04/01/30 | 118 | 93,172 | ||||||||||
Charles River Laboratories International, Inc. | ||||||||||||
4.25%, 05/01/28 | 46 | 42,365 | ||||||||||
3.75%, 03/15/29 | 11 | 9,728 | ||||||||||
4.00%, 03/15/31 | 21 | 18,165 | ||||||||||
Syneos Health, Inc., 3.63%, 01/15/29 | 51 | 40,613 | ||||||||||
671,961 | ||||||||||||
Hotels, Restaurants & Leisure — 0.9% | ||||||||||||
Boyd Gaming Corp. | ||||||||||||
4.75%, 12/01/27 | 58 | 54,020 | ||||||||||
4.75%, 06/15/31 (e) | 160 | 139,200 | ||||||||||
Boyne USA, Inc., 4.75%, 05/15/29 (e) | 109 | 96,470 | ||||||||||
Burger King (Restaurant Brands Int)/New Red Finance, Inc. (e) | ||||||||||||
3.88%, 01/15/28 | 25 | 22,364 | ||||||||||
4.38%, 01/15/28 | 121 | 108,344 | ||||||||||
4.00%, 10/15/30 | 46 | 37,251 | ||||||||||
Caesars Entertainment, Inc. (e) | ||||||||||||
6.25%, 07/01/25 | 381 | 370,208 | ||||||||||
8.13%, 07/01/27 | 524 | 514,856 | ||||||||||
4.63%, 10/15/29 | 534 | 434,575 | ||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25 (e) | 151 | 147,815 | ||||||||||
CCM Merger, Inc., 6.38%, 05/01/26 (e) | 53 | 49,943 | ||||||||||
CDI Escrow Issuer, Inc., 5.75%, 04/01/30 (e) | 219 | 196,318 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | ||||||||||||
5.50%, 05/01/25 (e) | 318 | 314,539 | ||||||||||
6.50%, 10/01/28 | 19 | 18,382 |
24 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Churchill Downs, Inc. (e) | ||||||||||||
5.50%, 04/01/27 | USD | 77 | $ | 72,962 | ||||||||
4.75%, 01/15/28 | 152 | 136,020 | ||||||||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc. (e) | ||||||||||||
4.63%, 01/15/29 | 195 | 165,016 | ||||||||||
6.75%, 01/15/30 | 570 | 459,762 | ||||||||||
Hilton Domestic Operating Co., Inc. | ||||||||||||
5.75%, 05/01/28 (e) | 19 | 18,430 | ||||||||||
3.75%, 05/01/29 (e) | 46 | 39,790 | ||||||||||
4.88%, 01/15/30 | 193 | 174,899 | ||||||||||
4.00%, 05/01/31 (e) | 76 | 63,584 | ||||||||||
3.63%, 02/15/32 (e) | 40 | 32,032 | ||||||||||
MGM Resorts International, 5.75%, 06/15/25 | 73 | 70,947 | ||||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29 (e) | 71 | 60,411 | ||||||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. (e) | ||||||||||||
5.63%, 09/01/29 | 34 | 25,072 | ||||||||||
5.88%, 09/01/31 | 37 | 26,174 | ||||||||||
Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, 11/01/26 (e) | 57 | 50,639 | ||||||||||
Scientific Games International, Inc., 8.63%, 07/01/25 (e) | 65 | 66,313 | ||||||||||
Six Flags Theme Parks, Inc., 7.00%, 07/01/25 (e) | 96 | 96,654 | ||||||||||
Station Casinos LLC (e) | ||||||||||||
4.50%, 02/15/28 | 69 | 59,987 | ||||||||||
4.63%, 12/01/31 | 89 | 71,393 | ||||||||||
Vail Resorts, Inc., 6.25%, 05/15/25 (e) | 89 | 89,000 | ||||||||||
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28 (e) | 44 | 39,477 | ||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29 (e) | 238 | 203,997 | ||||||||||
Yum! Brands, Inc. | ||||||||||||
4.75%, 01/15/30 (e) | 17 | 15,597 | ||||||||||
5.38%, 04/01/32 | 12 | 11,115 | ||||||||||
5.35%, 11/01/43 | 14 | 11,515 | ||||||||||
4,565,071 | ||||||||||||
Household Durables — 0.2% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co. (e) | ||||||||||||
4.63%, 08/01/29 | 32 | 25,623 | ||||||||||
4.63%, 04/01/30 | 46 | 36,920 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC (e) | ||||||||||||
5.00%, 06/15/29 | 67 | 52,352 | ||||||||||
4.88%, 02/15/30 | 223 | 173,866 | ||||||||||
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25 (e) | 104 | 89,245 | ||||||||||
K Hovnanian Enterprises, Inc., 10.00%, 11/15/25 (e) | 20 | 20,650 | ||||||||||
KB Home, 7.25%, 07/15/30 | 21 | 20,406 | ||||||||||
Mattamy Group Corp., 4.63%, 03/01/30 (e) | 72 | 58,353 | ||||||||||
NCR Corp. (e) | ||||||||||||
5.75%, 09/01/27 | 20 | 19,139 | ||||||||||
5.00%, 10/01/28 | 57 | 48,594 | ||||||||||
5.13%, 04/15/29 | 30 | 25,090 | ||||||||||
6.13%, 09/01/29 | 78 | 72,934 | ||||||||||
SWF Escrow Issuer Corp., 6.50%, 10/01/29 (e) | 105 | 60,842 |
Security | Par (000) | Value | ||||||||||
Household Durables (continued) | ||||||||||||
Taylor Morrison Communities, Inc., 5.13%, 08/01/30 (e) | USD | 20 | $ | 17,325 | ||||||||
Tempur Sealy International, Inc. (e) | ||||||||||||
4.00%, 04/15/29 | 67 | 56,291 | ||||||||||
3.88%, 10/15/31 | 57 | 44,746 | ||||||||||
Tri Pointe Homes, Inc., 5.70%, 06/15/28 | 18 | 16,305 | ||||||||||
838,681 | ||||||||||||
Household Products — 0.0% | ||||||||||||
Central Garden & Pet Co. | ||||||||||||
5.13%, 02/01/28 | 15 | 13,954 | ||||||||||
4.13%, 10/15/30 | 63 | 51,749 | ||||||||||
4.13%, 04/30/31 (e) | 55 | 45,530 | ||||||||||
111,233 | ||||||||||||
Independent Power and Renewable Electricity Producers — 0.1% | ||||||||||||
Calpine Corp. (e) | ||||||||||||
5.25%, 06/01/26 | 28 | 26,671 | ||||||||||
5.13%, 03/15/28 | 380 | 339,071 | ||||||||||
4.63%, 02/01/29 | 22 | 18,877 | ||||||||||
5.00%, 02/01/31 | 14 | 11,745 | ||||||||||
Clearway Energy Operating LLC (e) | ||||||||||||
4.75%, 03/15/28 | 47 | 43,378 | ||||||||||
3.75%, 01/15/32 | 82 | 65,914 | ||||||||||
NRG Energy, Inc. | ||||||||||||
5.75%, 01/15/28 | 22 | 20,651 | ||||||||||
5.25%, 06/15/29 (e) | 13 | 11,475 | ||||||||||
3.63%, 02/15/31 (e) | 107 | 81,341 | ||||||||||
3.88%, 02/15/32 (e) | 20 | 15,021 | ||||||||||
TerraForm Power Operating LLC, 4.75%, 01/15/30 (e) | 74 | 64,380 | ||||||||||
698,524 | ||||||||||||
Insurance — 0.5% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29 (e) | 71 | 58,023 | ||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer (e) | ||||||||||||
4.25%, 10/15/27 | 388 | 347,504 | ||||||||||
6.75%, 10/15/27 | 1,083 | 973,465 | ||||||||||
5.88%, 11/01/29 | 551 | 453,142 | ||||||||||
AmWINS Group, Inc., 4.88%, 06/30/29 (e) | 89 | 75,485 | ||||||||||
GTCR AP Finance, Inc., 8.00%, 05/15/27 (e) | 4 | 3,832 | ||||||||||
HUB International Ltd. (e) | ||||||||||||
7.00%, 05/01/26 | 434 | 424,882 | ||||||||||
5.63%, 12/01/29 | 16 | 13,974 | ||||||||||
Jones Deslauriers Insurance Management, Inc., 10.50%, 12/15/30 | 87 | 85,682 | ||||||||||
Ryan Specialty Group LLC, 4.38%, 02/01/30 (e) | 43 | 37,234 | ||||||||||
2,473,223 | ||||||||||||
Interactive Media & Services — 0.1% | ||||||||||||
Arches Buyer, Inc., 4.25%, 06/01/28 (e) | 36 | 28,156 | ||||||||||
iliad SA (a) | ||||||||||||
2.38%, 06/17/26 | EUR | 100 | 96,250 | |||||||||
5.38%, 06/14/27 | 100 | 106,189 | ||||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. (e) | ||||||||||||
4.75%, 04/30/27 | USD | 152 | 133,739 | |||||||||
6.00%, 02/15/28 | 71 | 54,974 | ||||||||||
10.75%, 06/01/28 | 30 | 27,896 | ||||||||||
447,204 |
S C H E D U L E O F IN V E S T M E N T S | 25 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Internet Software & Services (e) — 0.4% | ||||||||||||
ANGI Group LLC, 3.88%, 08/15/28 | USD | 106 | $ | 78,661 | ||||||||
Gen Digital, Inc., 7.13%, 09/30/30 | 74 | 72,705 | ||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.50%, 03/01/29 | 71 | 59,441 | ||||||||||
Match Group Holdings II LLC | ||||||||||||
4.63%, 06/01/28 | 81 | 72,208 | ||||||||||
4.13%, 08/01/30 | 65 | 53,064 | ||||||||||
3.63%, 10/01/31 | 66 | 50,613 | ||||||||||
Uber Technologies, Inc. | ||||||||||||
7.50%, 05/15/25 | 242 | 241,824 | ||||||||||
8.00%, 11/01/26 | 208 | 208,716 | ||||||||||
7.50%, 09/15/27 | 282 | 282,197 | ||||||||||
6.25%, 01/15/28 | 341 | 327,360 | ||||||||||
4.50%, 08/15/29 | 660 | 575,028 | ||||||||||
2,021,817 | ||||||||||||
IT Services — 0.6% | ||||||||||||
Ahead DB Holdings LLC, 6.63%, 05/01/28 (e) | 50 | 40,187 | ||||||||||
Booz Allen Hamilton, Inc. (e) | ||||||||||||
3.88%, 09/01/28 | 75 | 66,447 | ||||||||||
4.00%, 07/01/29 | 138 | 121,460 | ||||||||||
CA Magnum Holdings, 5.38%, 10/31/26 (e) | 201 | 181,931 | ||||||||||
Camelot Finance SA, 4.50%, 11/01/26 (e) | 120 | 112,470 | ||||||||||
Condor Merger Sub, Inc., 7.38%, 02/15/30 (e) | 279 | 224,324 | ||||||||||
Dun & Bradstreet Corp., 5.00%, 12/15/29 (e) | 262 | 224,210 | ||||||||||
Fair Isaac Corp., 4.00%, 06/15/28 (e) | 63 | 57,173 | ||||||||||
Fiserv, Inc., 2.25%, 06/01/27 | 1,385 | 1,236,091 | ||||||||||
Gartner, Inc. (e) | ||||||||||||
4.50%, 07/01/28 | 78 | 72,722 | ||||||||||
3.63%, 06/15/29 | 42 | 36,906 | ||||||||||
3.75%, 10/01/30 | 25 | 21,549 | ||||||||||
KBR, Inc., 4.75%, 09/30/28 (e) | 66 | 58,299 | ||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25 (e) | 163 | 163,280 | ||||||||||
Twilio, Inc., 3.88%, 03/15/31 | 140 | 111,070 | ||||||||||
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29 (e) | 337 | 283,209 | ||||||||||
3,011,328 | ||||||||||||
Leisure Products — 0.0% | ||||||||||||
Mattel, Inc. | ||||||||||||
3.75%, 04/01/29 (e) | 32 | 28,106 | ||||||||||
6.20%, 10/01/40 | 60 | 51,790 | ||||||||||
5.45%, 11/01/41 | 119 | 96,865 | ||||||||||
176,761 | ||||||||||||
Machinery — 0.5% | ||||||||||||
ATS Corp., 4.13%, 12/15/28 (e) | 35 | 30,197 | ||||||||||
Chart Industries, Inc. | ||||||||||||
7.50%, 01/01/30 (e) | 195 | 196,032 | ||||||||||
9.50%, 01/01/31 | 30 | 30,768 | ||||||||||
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25 (e)(i) | 445 | 393,825 | ||||||||||
Madison IAQ LLC, 5.88%, 06/30/29 (e) | 1,139 | 780,669 | ||||||||||
Mueller Water Products, Inc., 4.00%, 06/15/29 (e) | 34 | 29,877 | ||||||||||
OT Merger Corp., 7.88%, 10/15/29 (e) | 37 | 19,610 | ||||||||||
Terex Corp., 5.00%, 05/15/29 (e) | 102 | 91,672 | ||||||||||
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26 (e) | 171 | 154,001 | ||||||||||
TK Elevator Holdco GmbH, 7.63%, 07/15/28 (e) | 200 | 163,303 |
Security | Par (000) | Value | ||||||||||
Machinery (continued) | ||||||||||||
TK Elevator Midco GmbH, 4.38%, 07/15/27 (a) | EUR | 100 | $ | 94,703 | ||||||||
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27 (e) | USD | 600 | 532,524 | |||||||||
2,517,181 | ||||||||||||
Marine — 0.0% | ||||||||||||
Huntington Ingalls Industries, Inc., 4.20%, 05/01/30 | 57 | 51,735 | ||||||||||
Media — 2.6% | ||||||||||||
Adelphia Communications Corp., 10.50%, 12/31/49 (b)(c)(f) | 400 | — | ||||||||||
Altice Financing SA (e) | ||||||||||||
5.00%, 01/15/28 | 204 | 164,220 | ||||||||||
5.75%, 08/15/29 | 651 | 512,052 | ||||||||||
Altice France Holding SA, 10.50%, 05/15/27 (e) | 342 | 260,775 | ||||||||||
AMC Networks, Inc., 4.25%, 02/15/29 | 39 | 24,301 | ||||||||||
Cable One, Inc. | ||||||||||||
0.00%, 03/15/26 (j)(k) | 28 | 21,994 | ||||||||||
1.13%, 03/15/28 (j) | 66 | 49,038 | ||||||||||
4.00%, 11/15/30 (e) | 111 | 87,103 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||||||
5.13%, 05/01/27 (e) | 38 | 35,419 | ||||||||||
5.00%, 02/01/28 (e) | 33 | 29,964 | ||||||||||
5.38%, 06/01/29 (e) | 117 | 105,800 | ||||||||||
6.38%, 09/01/29 (e) | 417 | 391,872 | ||||||||||
4.75%, 03/01/30 (e) | 61 | 52,607 | ||||||||||
4.50%, 08/15/30 (e) | 109 | 90,051 | ||||||||||
4.25%, 02/01/31 (e) | 257 | 206,143 | ||||||||||
4.75%, 02/01/32 (e) | 207 | 167,815 | ||||||||||
4.50%, 05/01/32 | 291 | 231,636 | ||||||||||
4.50%, 06/01/33 (e) | 128 | 98,205 | ||||||||||
4.25%, 01/15/34 (e) | 289 | 213,295 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.40%, 04/01/33 | 242 | 207,069 | ||||||||||
Clear Channel International BV, 6.63%, 08/01/25 (e) | 200 | 190,841 | ||||||||||
Clear Channel Outdoor Holdings, Inc. (e) | ||||||||||||
5.13%, 08/15/27 | 574 | 497,371 | ||||||||||
7.75%, 04/15/28 | 337 | 246,013 | ||||||||||
7.50%, 06/01/29 | 379 | 278,288 | ||||||||||
CMG Media Corp., 8.88%, 12/15/27 (e) | 90 | 67,743 | ||||||||||
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26 (e) | 538 | 498,597 | ||||||||||
CSC Holdings LLC | ||||||||||||
5.25%, 06/01/24 | 357 | 332,372 | ||||||||||
4.13%, 12/01/30 (e) | 223 | 157,400 | ||||||||||
3.38%, 02/15/31 (e) | 205 | 133,688 | ||||||||||
Directv Financing LLC/Directv Financing Co.- Obligor, Inc., 5.88%, 08/15/27 (e) | 155 | 138,672 | ||||||||||
DISH DBS Corp. | ||||||||||||
5.25%, 12/01/26 (e) | 423 | 356,308 | ||||||||||
5.75%, 12/01/28 (e) | 233 | 185,963 | ||||||||||
5.13%, 06/01/29 | 107 | 69,027 | ||||||||||
DISH Network Corp., 11.75%, 11/15/27 (e) | 150 | 154,485 | ||||||||||
Frontier Communications Holdings LLC (e) | ||||||||||||
5.88%, 10/15/27 | 93 | 86,357 | ||||||||||
5.00%, 05/01/28 | 228 | 198,821 | ||||||||||
6.75%, 05/01/29 | 146 | 120,780 | ||||||||||
6.00%, 01/15/30 | 63 | 49,491 | ||||||||||
8.75%, 05/15/30 | 187 | 190,132 | ||||||||||
GCI LLC, 4.75%, 10/15/28 (e) | 35 | 29,403 |
26 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Iliad Holding SASU (e) | ||||||||||||
6.50%, 10/15/26 | USD | 420 | $ | 389,531 | ||||||||
7.00%, 10/15/28 | 200 | 180,758 | ||||||||||
Lamar Media Corp. | ||||||||||||
3.75%, 02/15/28 | 13 | 11,636 | ||||||||||
4.00%, 02/15/30 | 57 | 49,818 | ||||||||||
LCPR Senior Secured Financing DAC (e) | ||||||||||||
6.75%, 10/15/27 | 180 | 168,300 | ||||||||||
5.13%, 07/15/29 | 200 | 165,682 | ||||||||||
Liberty Broadband Corp., 2.75%, 09/30/50 (e)(j) | 481 | 468,471 | ||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23 (e)(i) | 78 | 22,905 | ||||||||||
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29 (e) | 244 | 141,470 | ||||||||||
Live Nation Entertainment, Inc. (e) | ||||||||||||
4.88%, 11/01/24 | 9 | 8,714 | ||||||||||
6.50%, 05/15/27 | 531 | 519,610 | ||||||||||
4.75%, 10/15/27 | 78 | 69,445 | ||||||||||
3.75%, 01/15/28 | 64 | 54,533 | ||||||||||
Odeon Finco PLC, 12.75%, 11/01/27 | 519 | 451,530 | ||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp. (e) | ||||||||||||
5.00%, 08/15/27 | 256 | 230,463 | ||||||||||
4.25%, 01/15/29 | 57 | 47,295 | ||||||||||
4.63%, 03/15/30 | 25 | 20,683 | ||||||||||
Radiate Holdco LLC/Radiate Finance, Inc. (e) | ||||||||||||
4.50%, 09/15/26 | 764 | 561,311 | ||||||||||
6.50%, 09/15/28 | 349 | 146,236 | ||||||||||
Sinclair Television Group, Inc., 4.13%, 12/01/30 (e) | 229 | 171,678 | ||||||||||
Sirius XM Radio, Inc. (e) | ||||||||||||
3.13%, 09/01/26 | 212 | 188,243 | ||||||||||
5.00%, 08/01/27 | 133 | 122,940 | ||||||||||
4.00%, 07/15/28 | 99 | 86,160 | ||||||||||
4.13%, 07/01/30 | 28 | 23,106 | ||||||||||
3.88%, 09/01/31 | 98 | 76,457 | ||||||||||
Stagwell Global LLC, 5.63%, 08/15/29 (e) | 32 | 26,387 | ||||||||||
Univision Communications, Inc. (e) | ||||||||||||
5.13%, 02/15/25 | 107 | 101,906 | ||||||||||
6.63%, 06/01/27 | 39 | 37,628 | ||||||||||
7.38%, 06/30/30 | 68 | 64,988 | ||||||||||
UPC Broadband Finco BV, 4.88%, 07/15/31 (e) | 200 | 166,359 | ||||||||||
Videotron Ltd., 3.63%, 06/15/29 (e) | 85 | 71,612 | ||||||||||
Virgin Media Secured Finance PLC, 4.50%, 08/15/30 (e) | 200 | 167,085 | ||||||||||
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28 (e) | 242 | 211,534 | ||||||||||
Warnermedia Holdings, Inc., 4.28%, 03/15/32 (e) | 242 | 199,351 | ||||||||||
WMG Acquisition Corp., 3.88%, 07/15/30 (e) | 7 | 6,029 | ||||||||||
Ziggo Bond Co. BV, 5.13%, 02/28/30 (e) | 200 | 161,500 | ||||||||||
12,522,465 | ||||||||||||
Metals & Mining — 0.6% | ||||||||||||
Arconic Corp. (e) | ||||||||||||
6.00%, 05/15/25 | 13 | 12,780 | ||||||||||
6.13%, 02/15/28 | 203 | 190,468 | ||||||||||
ATI, Inc. | ||||||||||||
5.88%, 12/01/27 | 6 | 5,738 | ||||||||||
4.88%, 10/01/29 | 32 | 28,279 | ||||||||||
5.13%, 10/01/31 | 88 | 77,493 |
Security | Par (000) | Value | ||||||||||
Metals & Mining (continued) | ||||||||||||
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29 (e) | USD | 441 | $ | 420,152 | ||||||||
Carpenter Technology Corp. | ||||||||||||
6.38%, 07/15/28 | 14 | 13,314 | ||||||||||
7.63%, 03/15/30 | 72 | 72,172 | ||||||||||
Commercial Metals Co. | ||||||||||||
4.13%, 01/15/30 | 23 | 20,352 | ||||||||||
4.38%, 03/15/32 | 24 | 20,878 | ||||||||||
Constellium SE | ||||||||||||
4.25%, 02/15/26 (a) | EUR | 100 | 102,603 | |||||||||
3.75%, 04/15/29 (e) | USD | 500 | 406,219 | |||||||||
ERO Copper Corp., 6.50%, 02/15/30 (e) | 64 | 51,560 | ||||||||||
Kaiser Aluminum Corp. (e) | ||||||||||||
4.63%, 03/01/28 | 169 | 147,474 | ||||||||||
4.50%, 06/01/31 | 192 | 154,320 | ||||||||||
New Gold, Inc., 7.50%, 07/15/27 (e) | 170 | 149,184 | ||||||||||
Novelis Corp. (e) | ||||||||||||
3.25%, 11/15/26 | 203 | 181,991 | ||||||||||
4.75%, 01/30/30 | 381 | 337,781 | ||||||||||
3.88%, 08/15/31 | 168 | 137,154 | ||||||||||
Novelis Sheet Ingot GmbH, 3.38%, 04/15/29 (a) | EUR | 100 | 90,922 | |||||||||
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29 (e) | USD | 39 | 33,723 | |||||||||
2,654,557 | ||||||||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.0% | ||||||||||||
Starwood Property Trust, Inc., 5.50%, 11/01/23 (e) | 9 | 8,922 | ||||||||||
Multiline Retail — 0.0% | ||||||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26 (e) | 96 | 89,978 | ||||||||||
Multi-Utilities — 0.0% | ||||||||||||
Edison International, 6.95%, 11/15/29 | 35 | 36,550 | ||||||||||
TransAlta Corp., 7.75%, 11/15/29 | 35 | 35,745 | ||||||||||
72,295 | ||||||||||||
Offshore Drilling & Other Services (e) — 0.1% | ||||||||||||
Entegris Escrow Corp., 4.75%, 04/15/29 | 539 | 491,534 | ||||||||||
Entegris, Inc. | ||||||||||||
4.38%, 04/15/28 | 143 | 126,446 | ||||||||||
3.63%, 05/01/29 | 49 | 39,898 | ||||||||||
657,878 | ||||||||||||
Oil, Gas & Consumable Fuels — 2.8% | ||||||||||||
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26 (e) | 217 | 215,252 | ||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. (e) | ||||||||||||
5.75%, 03/01/27 | 89 | 84,137 | ||||||||||
5.75%, 01/15/28 | 15 | 13,914 | ||||||||||
5.38%, 06/15/29 | 66 | 60,340 | ||||||||||
Antero Resources Corp., 7.63%, 02/01/29 (e) | 23 | 23,127 | ||||||||||
Apache Corp. | ||||||||||||
4.25%, 01/15/30 | 68 | 60,174 | ||||||||||
5.10%, 09/01/40 | 76 | 62,982 | ||||||||||
5.35%, 07/01/49 | 41 | 33,124 | ||||||||||
Arcosa, Inc., 4.38%, 04/15/29 (e) | 117 | 101,460 | ||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. (e) | ||||||||||||
9.00%, 11/01/27 | 308 | 378,840 | ||||||||||
5.88%, 06/30/29 | 154 | 137,311 |
S C H E D U L E O F IN V E S T M E N T S | 27 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Buckeye Partners LP | ||||||||||||
5.85%, 11/15/43 | USD | 16 | $ | 11,921 | ||||||||
5.60%, 10/15/44 | 1 | 730 | ||||||||||
Callon Petroleum Co. | ||||||||||||
6.38%, 07/01/26 | 38 | 35,418 | ||||||||||
8.00%, 08/01/28 (e) | 250 | 238,321 | ||||||||||
7.50%, 06/15/30 (e) | 297 | 271,755 | ||||||||||
Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31 (a) | EUR | 100 | 77,168 | |||||||||
Cheniere Energy Partners LP | ||||||||||||
4.50%, 10/01/29 | USD | 262 | 235,596 | |||||||||
4.00%, 03/01/31 | 272 | 231,570 | ||||||||||
3.25%, 01/31/32 | 299 | 237,617 | ||||||||||
Cheniere Energy, Inc., 4.63%, 10/15/28 | 24 | 21,693 | ||||||||||
Chesapeake Energy Corp. (e) | ||||||||||||
5.88%, 02/01/29 | 5 | 4,737 | ||||||||||
6.75%, 04/15/29 | 150 | 146,040 | ||||||||||
CITGO Petroleum Corp. (e) | ||||||||||||
7.00%, 06/15/25 | 90 | 87,782 | ||||||||||
6.38%, 06/15/26 | 74 | 71,327 | ||||||||||
Civitas Resources, Inc., 5.00%, 10/15/26 (e) | 28 | 25,599 | ||||||||||
CNX Midstream Partners LP, 4.75%, 04/15/30 (e) | 32 | 26,261 | ||||||||||
CNX Resources Corp. (e) | ||||||||||||
6.00%, 01/15/29 | 33 | 30,365 | ||||||||||
7.38%, 01/15/31 | 67 | 64,219 | ||||||||||
Colgate Energy Partners III LLC (e) | ||||||||||||
7.75%, 02/15/26 | 113 | 109,614 | ||||||||||
5.88%, 07/01/29 | 129 | 110,793 | ||||||||||
Comstock Resources, Inc. (e) | ||||||||||||
6.75%, 03/01/29 | 237 | 213,892 | ||||||||||
5.88%, 01/15/30 | 220 | 189,134 | ||||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31 (e) | 250 | 218,378 | ||||||||||
Crescent Energy Finance LLC, 7.25%, 05/01/26 (e) | 222 | 209,199 | ||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. (e) | ||||||||||||
5.63%, 05/01/27 | 16 | 14,880 | ||||||||||
6.00%, 02/01/29 | 43 | 39,453 | ||||||||||
8.00%, 04/01/29 | 27 | 26,867 | ||||||||||
CrownRock LP/CrownRock Finance, Inc. (e) | ||||||||||||
5.63%, 10/15/25 | 413 | 398,545 | ||||||||||
5.00%, 05/01/29 | 16 | 14,376 | ||||||||||
DCP Midstream Operating LP | ||||||||||||
5.63%, 07/15/27 | 15 | 14,879 | ||||||||||
6.45%, 11/03/36 (e) | 179 | 175,406 | ||||||||||
6.75%, 09/15/37 (e) | 6 | 6,048 | ||||||||||
Diamondback Energy, Inc., 6.25%, 03/15/33 | 252 | 255,771 | ||||||||||
DT Midstream, Inc. (e) | ||||||||||||
4.13%, 06/15/29 | 124 | 106,530 | ||||||||||
4.38%, 06/15/31 | 152 | 127,513 | ||||||||||
Dycom Industries, Inc., 4.50%, 04/15/29 (e) | 37 | 32,205 | ||||||||||
Earthstone Energy Holdings LLC, 8.00%, 04/15/27 (e) | 113 | 108,101 | ||||||||||
Enerflex Ltd., 9.00%, 10/15/27 | 83 | 82,771 | ||||||||||
Energy Transfer LP | ||||||||||||
5.55%, 02/15/28 | 55 | 54,556 | ||||||||||
3.75%, 05/15/30 | 291 | 256,571 | ||||||||||
5.75%, 02/15/33 | 65 | 63,593 | ||||||||||
Series H, (5 year CMT + 5.69%), 6.50% (g)(h) | 222 | 190,920 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
EnLink Midstream LLC | ||||||||||||
5.63%, 01/15/28 (e) | USD | 103 | $ | 98,107 | ||||||||
5.38%, 06/01/29 | 118 | 109,183 | ||||||||||
6.50%, 09/01/30 (e) | 75 | 74,227 | ||||||||||
EnLink Midstream Partners LP | ||||||||||||
4.85%, 07/15/26 | 39 | 36,661 | ||||||||||
5.60%, 04/01/44 | 82 | 67,631 | ||||||||||
5.45%, 06/01/47 | 18 | 14,459 | ||||||||||
EQM Midstream Partners LP | ||||||||||||
6.00%, 07/01/25 (e) | 44 | 42,460 | ||||||||||
4.13%, 12/01/26 | 17 | 15,121 | ||||||||||
6.50%, 07/01/27 (e) | 117 | 111,823 | ||||||||||
4.50%, 01/15/29 (e) | 8 | 6,719 | ||||||||||
7.50%, 06/01/30 (e) | 27 | 26,015 | ||||||||||
4.75%, 01/15/31 (e) | 152 | 124,260 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | ||||||||||||
6.50%, 10/01/25 | 30 | 28,671 | ||||||||||
7.75%, 02/01/28 | 10 | 9,205 | ||||||||||
Gulfport Energy Corp., 8.00%, 05/17/26 (e) | 11 | 11,213 | ||||||||||
Harvest Midstream I LP, 7.50%, 09/01/28 (e) | 20 | 19,089 | ||||||||||
Hess Midstream Operations LP, 4.25%, 02/15/30 (e) | 77 | 65,829 | ||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. (e) | ||||||||||||
6.25%, 11/01/28 | 31 | 28,055 | ||||||||||
5.75%, 02/01/29 | 63 | 56,074 | ||||||||||
6.00%, 04/15/30 | 5 | 4,446 | ||||||||||
6.00%, 02/01/31 | 5 | 4,313 | ||||||||||
6.25%, 04/15/32 | 2 | 1,726 | ||||||||||
ITT Holdings LLC, 6.50%, 08/01/29 (e) | 109 | 91,793 | ||||||||||
Kinder Morgan, Inc., 4.80%, 02/01/33 | 166 | 153,901 | ||||||||||
Kinetik Holdings LP, 5.88%, 06/15/30 (e) | 177 | 165,988 | ||||||||||
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26 (e) | 10 | 9,600 | ||||||||||
MasTec, Inc., 4.50%, 08/15/28 (e) | 56 | 50,159 | ||||||||||
Matador Resources Co., 5.88%, 09/15/26 | 23 | 22,114 | ||||||||||
Murphy Oil Corp. | ||||||||||||
5.75%, 08/15/25 | 8 | 7,861 | ||||||||||
5.88%, 12/01/27 | 20 | 19,246 | ||||||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 | 109 | 99,738 | ||||||||||
Nabors Industries Ltd. (e) | ||||||||||||
7.25%, 01/15/26 | 66 | 62,198 | ||||||||||
7.50%, 01/15/28 | 78 | 71,362 | ||||||||||
Nabors Industries, Inc. | ||||||||||||
5.75%, 02/01/25 | 205 | 195,490 | ||||||||||
7.38%, 05/15/27 (e) | 104 | 100,744 | ||||||||||
New Fortress Energy, Inc. (e) | ||||||||||||
6.75%, 09/15/25 | 390 | 368,862 | ||||||||||
6.50%, 09/30/26 | 321 | 298,113 | ||||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26 (e) | 80 | 71,231 | ||||||||||
NGPL PipeCo LLC, 7.77%, 12/15/37 (e) | 186 | 193,536 | ||||||||||
Northern Oil & Gas, Inc., 8.13%, 03/01/28 (e) | 309 | 296,700 | ||||||||||
NuStar Logistics LP | ||||||||||||
5.75%, 10/01/25 | 41 | 39,415 | ||||||||||
6.00%, 06/01/26 | 124 | 119,400 | ||||||||||
6.38%, 10/01/30 | 2 | 1,849 | ||||||||||
Occidental Petroleum Corp. | ||||||||||||
6.95%, 07/01/24 | 9 | 9,171 | ||||||||||
5.88%, 09/01/25 | 38 | 37,862 |
28 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Occidental Petroleum Corp. (continued) | ||||||||||||
8.88%, 07/15/30 | USD | 23 | $ | 25,967 | ||||||||
6.63%, 09/01/30 | 764 | 789,502 | ||||||||||
7.50%, 05/01/31 | 29 | 30,986 | ||||||||||
6.45%, 09/15/36 | 111 | 113,220 | ||||||||||
6.20%, 03/15/40 | 296 | 289,664 | ||||||||||
6.60%, 03/15/46 | 18 | 18,522 | ||||||||||
ONEOK, Inc., 4.35%, 03/15/29 | 90 | 83,177 | ||||||||||
PDC Energy, Inc., 6.13%, 09/15/24 | 68 | 67,612 | ||||||||||
Permian Resources Operating LLC (e) | ||||||||||||
5.38%, 01/15/26 | 80 | 72,823 | ||||||||||
6.88%, 04/01/27 | 36 | 33,921 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp., 3.80%, 09/15/30 | 142 | 123,410 | ||||||||||
Precision Drilling Corp., 6.88%, 01/15/29 (e) | 4 | 3,724 | ||||||||||
Range Resources Corp. | ||||||||||||
4.88%, 05/15/25 | 39 | 37,046 | ||||||||||
4.75%, 02/15/30 (e) | 5 | 4,406 | ||||||||||
Rockcliff Energy II LLC, 5.50%, 10/15/29 (e) | 149 | 136,328 | ||||||||||
Rockies Express Pipeline LLC, 4.95%, 07/15/29 (e) | 14 | 12,563 | ||||||||||
Sabine Pass Liquefaction LLC, 5.90%, 09/15/37 | 45 | 45,031 | ||||||||||
SM Energy Co. | ||||||||||||
5.63%, 06/01/25 | 22 | 21,120 | ||||||||||
6.75%, 09/15/26 | 46 | 44,659 | ||||||||||
6.63%, 01/15/27 | 7 | 6,743 | ||||||||||
6.50%, 07/15/28 | 23 | 22,052 | ||||||||||
Southwestern Energy Co. | ||||||||||||
5.38%, 02/01/29 | 92 | 85,290 | ||||||||||
4.75%, 02/01/32 | 52 | 44,439 | ||||||||||
Sunoco LP/Sunoco Finance Corp., 5.88%, 03/15/28 | 151 | 143,003 | ||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (e) | ||||||||||||
6.00%, 03/01/27 | 14 | 13,071 | ||||||||||
5.50%, 01/15/28 | 11 | 9,755 | ||||||||||
6.00%, 12/31/30 | 10 | 8,647 | ||||||||||
6.00%, 09/01/31 | 41 | 35,251 | ||||||||||
Tap Rock Resources LLC, 7.00%, 10/01/26 (e) | 245 | 227,874 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.88%, 01/15/29 | 169 | 170,345 | ||||||||||
Transocean, Inc., 11.50%, 01/30/27 (e) | 167 | 167,417 | ||||||||||
Venture Global Calcasieu Pass LLC (e) | ||||||||||||
3.88%, 08/15/29 | 347 | 303,625 | ||||||||||
4.13%, 08/15/31 | 247 | 210,443 | ||||||||||
3.88%, 11/01/33 | 581 | 474,619 | ||||||||||
Vermilion Energy, Inc., 6.88%, 05/01/30 (e) | 51 | 46,542 | ||||||||||
Western Midstream Operating LP | ||||||||||||
4.75%, 08/15/28 | 95 | 86,763 | ||||||||||
5.45%, 04/01/44 | 217 | 180,266 | ||||||||||
5.30%, 03/01/48 | 39 | 32,067 | ||||||||||
5.50%, 08/15/48 | 17 | 14,110 | ||||||||||
5.50%, 02/01/50 | 156 | 128,513 | ||||||||||
13,814,911 |
Security | Par (000) | Value | ||||||||||
Personal Products — 0.0% | ||||||||||||
Coty, Inc./HFC Prestige Products, Inc./HFC | ||||||||||||
Prestige International U.S. LLC, 4.75%, 01/15/29 (e) | USD | 5 | $ | 4,525 | ||||||||
Pharmaceuticals — 0.3% | ||||||||||||
Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28 (a) | EUR | 100 | 93,777 | |||||||||
Elanco Animal Health, Inc., 6.40%, 08/28/28 | USD | 50 | 47,575 | |||||||||
Gruenenthal GmbH, 4.13%, 05/15/28 (a) | EUR | 100 | 96,073 | |||||||||
Jazz Securities DAC, 4.38%, 01/15/29 (e) | USD | 200 | 178,230 | |||||||||
Option Care Health, Inc., 4.38%, 10/31/29 (e) | 79 | 69,102 | ||||||||||
Organon & Co./Organon Foreign Debt Co.-Issuer BV (e) | ||||||||||||
4.13%, 04/30/28 | 200 | 177,080 | ||||||||||
5.13%, 04/30/31 | 200 | 173,176 | ||||||||||
PRA Health Sciences, Inc., 2.88%, 07/15/26 (e) | 200 | 181,011 | ||||||||||
Prestige Brands, Inc., 3.75%, 04/01/31 (e) | 70 | 57,727 | ||||||||||
Teva Pharmaceutical Finance Netherlands II BV, 3.75%, 05/09/27 | EUR | 100 | 92,279 | |||||||||
Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 | USD | 35 | 30,367 | |||||||||
1,196,397 | ||||||||||||
Real Estate — 0.0% | ||||||||||||
VICI Properties LP/VICI Note Co., Inc., 4.50%, 01/15/28 (e) | 30 | 27,529 | ||||||||||
Real Estate Management & Development — 0.2% | ||||||||||||
Cushman & Wakefield U.S. Borrower LLC, 6.75%, 05/15/28 (e) | 101 | 96,390 | ||||||||||
DIC Asset AG, 2.25%, 09/22/26 (a) | EUR | 100 | 61,016 | |||||||||
Howard Hughes Corp. (e) | ||||||||||||
5.38%, 08/01/28 | USD | 2 | 1,802 | |||||||||
4.13%, 02/01/29 | 51 | 42,713 | ||||||||||
4.38%, 02/01/31 | 63 | 50,971 | ||||||||||
Realogy Group LLC/Realogy Co.-Issuer Corp. (e) | ||||||||||||
5.75%, 01/15/29 | 531 | 401,643 | ||||||||||
5.25%, 04/15/30 | 43 | 31,369 | ||||||||||
Starwood Property Trust, Inc., 4.38%, 01/15/27 (e) | 25 | 21,877 | ||||||||||
VICI Properties LP, 5.13%, 05/15/32 | 272 | 251,858 | ||||||||||
959,639 | ||||||||||||
Road & Rail — 0.1% | ||||||||||||
Seaspan Corp., 5.50%, 08/01/29 (e) | 101 | 76,538 | ||||||||||
United Rentals North America, Inc., 6.00%, 12/15/29 | 505 | 501,844 | ||||||||||
578,382 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.2% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 | 200 | 189,178 | ||||||||||
Broadcom, Inc. | ||||||||||||
4.11%, 09/15/28 | 47 | 43,710 | ||||||||||
4.15%, 11/15/30 | 27 | 24,196 | ||||||||||
2.45%, 02/15/31 (e) | 55 | 43,319 | ||||||||||
4.30%, 11/15/32 | 117 | 103,117 | ||||||||||
2.60%, 02/15/33 (e) | 70 | 52,542 | ||||||||||
3.42%, 04/15/33 (e) | 77 | 61,732 | ||||||||||
3.47%, 04/15/34 (e) | 3 | 2,393 |
S C H E D U L E O F IN V E S T M E N T S | 29 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Semiconductors & Semiconductor Equipment (continued) | ||||||||||||
Marvell Technology, Inc., 2.95%, 04/15/31 | USD | 104 | $ | 83,651 | ||||||||
Sensata Technologies BV, 4.00%, 04/15/29 (e) | 36 | 31,050 | ||||||||||
Sensata Technologies, Inc. (e) | ||||||||||||
4.38%, 02/15/30 | 231 | 201,087 | ||||||||||
3.75%, 02/15/31 | 49 | 40,309 | ||||||||||
Synaptics, Inc., 4.00%, 06/15/29 (e) | 121 | 101,948 | ||||||||||
978,232 | ||||||||||||
Software — 0.7% | ||||||||||||
Black Knight InfoServ LLC, 3.63%, 09/01/28 (e) | 122 | 105,835 | ||||||||||
Boxer Parent Co., Inc. (e) | ||||||||||||
7.13%, 10/02/25 | 148 | 143,932 | ||||||||||
9.13%, 03/01/26 | 318 | 300,006 | ||||||||||
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29 (e) | 224 | 219,099 | ||||||||||
Cloud Software Group Holdings, Inc., 6.50%, 03/31/29 (e) | 783 | 659,506 | ||||||||||
Elastic NV, 4.13%, 07/15/29 (e) | 120 | 96,924 | ||||||||||
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32 (e) | 73 | 60,641 | ||||||||||
MicroStrategy, Inc., 6.13%, 06/15/28 (e) | 144 | 102,967 | ||||||||||
MSCI, Inc. (e) | ||||||||||||
3.63%, 09/01/30 | 64 | 53,200 | ||||||||||
3.88%, 02/15/31 | 11 | 9,146 | ||||||||||
3.63%, 11/01/31 | 41 | 33,906 | ||||||||||
3.25%, 08/15/33 | 58 | 44,791 | ||||||||||
Open Text Corp., 6.90%, 12/01/27 | 270 | 270,000 | ||||||||||
Oracle Corp. | ||||||||||||
6.15%, 11/09/29 | 175 | 181,644 | ||||||||||
2.95%, 04/01/30 | 29 | 24,726 | ||||||||||
6.25%, 11/09/32 | 545 | 570,408 | ||||||||||
PTC, Inc., 4.00%, 02/15/28 (e) | 80 | 72,003 | ||||||||||
SS&C Technologies, Inc., 5.50%, 09/30/27 (e) | 398 | 372,686 | ||||||||||
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25 (e) | 188 | 129,479 | ||||||||||
3,450,899 | ||||||||||||
Specialty Retail (e) — 0.1% | ||||||||||||
Arko Corp., 5.13%, 11/15/29 | 58 | 45,541 | ||||||||||
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 02/15/29 | 253 | 237,616 | ||||||||||
Staples, Inc., 7.50%, 04/15/26 | 82 | 70,576 | ||||||||||
353,733 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.0% | ||||||||||||
Coherent Corp., 5.00%, 12/15/29 (e) | 189 | 162,999 | ||||||||||
Textiles, Apparel & Luxury Goods (e) — 0.0% | ||||||||||||
Crocs, Inc. | ||||||||||||
4.25%, 03/15/29 | 11 | 9,318 | ||||||||||
4.13%, 08/15/31 | 49 | 39,933 | ||||||||||
Kontoor Brands, Inc., 4.13%, 11/15/29 | 32 | 26,115 | ||||||||||
Levi Strauss & Co., 3.50%, 03/01/31 | 78 | 61,908 | ||||||||||
137,274 | ||||||||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||||||
Enact Holdings, Inc., 6.50%, 08/15/25 (e) | 129 | 126,595 | ||||||||||
Home Point Capital, Inc., 5.00%, 02/01/26 (e) | 58 | 40,106 | ||||||||||
MGIC Investment Corp., 5.25%, 08/15/28 | 47 | 43,338 |
Security | Par (000) | Value | ||||||||||
Thrifts & Mortgage Finance (continued) | ||||||||||||
Nationstar Mortgage Holdings, Inc. (e) | ||||||||||||
6.00%, 01/15/27 | USD | 54 | $ | 48,330 | ||||||||
5.13%, 12/15/30 | 34 | 26,260 | ||||||||||
5.75%, 11/15/31 | 37 | 28,768 | ||||||||||
Rocket Mortgage LLC/Rocket Mortgage Co.- Issuer, Inc., 2.88%, 10/15/26 (e) | 98 | 84,002 | ||||||||||
397,399 | ||||||||||||
Transportation — 0.0% | ||||||||||||
XPO Escrow Sub LLC, 7.50%, 11/15/27 | 34 | 34,405 | ||||||||||
Utilities (e) — 0.0% | ||||||||||||
Consensus Cloud Solutions, Inc. | ||||||||||||
6.00%, 10/15/26 | 23 | 21,511 | ||||||||||
6.50%, 10/15/28 | 20 | 18,395 | ||||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28 | 42 | 37,659 | ||||||||||
Vistra Operations Co. LLC | ||||||||||||
5.50%, 09/01/26 | 5 | 4,817 | ||||||||||
5.00%, 07/31/27 | 5 | 4,640 | ||||||||||
4.38%, 05/01/29 | 45 | 38,773 | ||||||||||
125,795 | ||||||||||||
Wireless Telecommunication Services �� 0.3% | ||||||||||||
Altice France SA/France (e) | ||||||||||||
8.13%, 02/01/27 | 334 | 304,234 | ||||||||||
5.50%, 01/15/28 | 229 | 179,334 | ||||||||||
SBA Communications Corp. | ||||||||||||
3.13%, 02/01/29 | 109 | 90,632 | ||||||||||
3.88%, 02/15/27 | 410 | 370,441 | ||||||||||
T-Mobile USA, Inc. | ||||||||||||
3.38%, 04/15/29 | 67 | 59,012 | ||||||||||
3.50%, 04/15/31 | 26 | 22,459 | ||||||||||
VICI Properties LP/VICI Note Co., Inc. (e) | ||||||||||||
5.63%, 05/01/24 | 18 | 17,825 | ||||||||||
3.50%, 02/15/25 | 34 | 32,056 | ||||||||||
4.63%, 06/15/25 | 161 | 154,359 | ||||||||||
4.50%, 09/01/26 | 3 | 2,823 | ||||||||||
4.25%, 12/01/26 | 34 | 31,719 | ||||||||||
4.63%, 12/01/29 | 133 | 121,030 | ||||||||||
4.13%, 08/15/30 | 124 | 108,520 | ||||||||||
Vmed O2 U.K. Financing I PLC, 4.75%, 07/15/31 (e) | 200 | 162,470 | ||||||||||
1,656,914 | ||||||||||||
Total Corporate Bonds — 21.6% (Cost: $126,743,895) | 105,114,737 | |||||||||||
Floating Rate Loan Interests | ||||||||||||
Aerospace & Defense (h) — 3.3% | ||||||||||||
Atlas CC Acquisition Corp. | ||||||||||||
Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 8.98%, 05/25/28 | 2,456 | 2,057,406 | ||||||||||
Term Loan C, (3 mo. LIBOR + 4.25%, 0.75% Floor), 8.98%, 05/25/28 | 499 | 418,456 | ||||||||||
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 8.73%, 10/31/26 | 808 | 798,401 |
30 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Aerospace & Defense (continued) | ||||||||||||
Cobham Ultra U.S. Co-Borrower LLC, USD Term Loan B, (6 mo. LIBOR + 3.75%, 0.50% Floor), 7.06%, 08/03/29 | USD | 325 | $ | 315,429 | ||||||||
Dynasty Acquisition Co., Inc. | ||||||||||||
2020 CAD Term Loan B2, (1 mo. LIBOR + 3.50%), 7.92%, 04/06/26 | 1,172 | 1,114,524 | ||||||||||
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 7.92%, 04/06/26 | 2,179 | 2,073,268 | ||||||||||
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 9.94%, 04/09/26 | 762 | 590,783 | ||||||||||
Peraton Corp. | ||||||||||||
2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%, 0.75% Floor), 12.09%, 02/01/29 | 1,474 | 1,398,219 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 02/01/28 | 5,048 | 4,920,761 | ||||||||||
TransDigm, Inc., 2020 Term Loan F, (3 mo. LIBOR + 2.25%), 6.98%, 12/09/25 | 2,369 | 2,337,439 | ||||||||||
16,024,686 | ||||||||||||
Air Freight & Logistics (h) — 0.3% | ||||||||||||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 8.49%, 04/06/28 | 510 | 466,238 | ||||||||||
Kestrel Bidco, Inc., Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 7.35%, 12/11/26 | 364 | 330,277 | ||||||||||
PECF USS Intermediate Holding III Corp., Term Loan B, (1 mo. LIBOR + 4.25%, 0.50% Floor), 8.63%, 12/15/28 | 688 | 571,766 | ||||||||||
1,368,281 | ||||||||||||
Airlines (h) — 2.1% | ||||||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 8.99%, 04/20/28 | 1,434 | 1,425,900 | ||||||||||
Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 8.13%, 08/11/28 | 1,793 | 1,768,733 | ||||||||||
American Airlines, Inc. | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 6.14%, 01/29/27 | 147 | 139,355 | ||||||||||
2018 Term Loan B, (1 mo. LIBOR + 1.75%), 6.14%, 06/27/25 | 860 | 824,742 | ||||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 10.00%, 06/21/27 | 2,712 | 2,785,752 | ||||||||||
United Airlines, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.11%, 04/21/28 | 3,262 | 3,214,798 | ||||||||||
10,159,280 | ||||||||||||
Auto Components (h) — 2.2% | ||||||||||||
Adient U.S. LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 04/10/28 | 717 | 708,339 | ||||||||||
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 04/30/26 | 3,217 | 3,145,632 | ||||||||||
USI, Inc. | ||||||||||||
2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 7.98%, 12/02/26 | 245 | 243,271 |
Security | Par (000) | Value | ||||||||||
Auto Components (continued) | ||||||||||||
USI, Inc. (continued) | ||||||||||||
2022 Incremental Term Loan, (1 mo. SOFR CME + 3.75%, 0.50% Floor), 8.33%, 11/22/29 | USD | 4,303 | $ | 4,256,779 | ||||||||
Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 7.38%, 02/05/26 | 2,278 | 2,155,610 | ||||||||||
10,509,631 | ||||||||||||
Banks (h) — 0.7% | ||||||||||||
DirecTV Financing LLC, Term Loan, (1 mo. LIBOR + 5.00%, 0.75% Floor), 9.38%, 08/02/27 | 2,058 | 1,999,138 | ||||||||||
LABL, Inc., 2021 USD 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 0.50% Floor), 9.38%, 10/29/28 | 1,405 | 1,329,695 | ||||||||||
3,328,833 | ||||||||||||
Beverages (h) — 0.7% | ||||||||||||
Naked Juice LLC | ||||||||||||
2nd Lien Term Loan, (3 mo. SOFRTE + 6.00%, 0.50% Floor), 10.68%, 01/24/30 | 1,565 | 1,230,776 | ||||||||||
Term Loan, (3 mo. SOFRTE + 3.25%, 0.50% Floor), 7.93%, 01/24/29 | 2,602 | 2,321,231 | ||||||||||
3,552,007 | ||||||||||||
Building Materials — 0.1% | ||||||||||||
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.57%, 04/12/28 (h) | 313 | 279,651 | ||||||||||
Building Products (h) — 1.7% | ||||||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 11/23/27 | 1,274 | 1,112,492 | ||||||||||
CPG International LLC, 2022 Term Loan B, (1 mo. SOFR CME + 2.50%, 0.50% Floor), 6.92%, 04/28/29 | 705 | 684,075 | ||||||||||
Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 6.63%, 07/28/28 | 720 | 669,670 | ||||||||||
LSF10 XL Bidco SCA, 2021 EUR Term Loan B4, (3 mo. EURIBOR + 3.93%), 6.13%, 04/12/28 | EUR | 853 | 733,573 | |||||||||
New AMI I LLC, 2022 Term Loan B, (1 mo. SOFRTE + 6.00%, 0.50% Floor), 10.32%, 03/08/29 | USD | 735 | 626,769 | |||||||||
Standard Industries, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.25%, 0.50% Floor), 6.43%, 09/22/28 | 1,415 | 1,396,220 | ||||||||||
Wilsonart LLC, 2021 Term Loan E, (3 mo. LIBOR + 3.25%, 1.00% Floor), 7.98%, 12/31/26 | 3,023 | 2,870,168 | ||||||||||
8,092,967 | ||||||||||||
Capital Markets (h) — 3.0% | ||||||||||||
Ascensus Holdings, Inc. | ||||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%, 0.50% Floor), 10.25%, 08/02/29 | 2,373 | 2,060,200 | ||||||||||
Term Loan, (3 mo. LIBOR + 3.50%, 0.50% Floor), 8.25%, 08/02/28 | 3,099 | 2,953,439 | ||||||||||
Deerfield Dakota Holding LLC | ||||||||||||
2020 USD Term Loan B, (1 mo. SOFR CME + 3.75%, 1.00% Floor), 8.07%, 04/09/27 | 5,636 | 5,253,767 | ||||||||||
2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 11.13%, 04/07/28 | 1,594 | 1,510,315 | ||||||||||
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 7.75%, 11/12/27 | 1,332 | 1,273,388 |
S C H E D U L E O F IN V E S T M E N T S | 31 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Capital Markets (continued) | ||||||||||||
FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 6.88%, 06/27/25 | USD | — | (l) | $ | 184 | |||||||
Focus Financial Partners LLC, 2021 Term Loan B4, (1 mo. SOFR CME + 2.50%, 0.50% Floor), 6.82%, 06/30/28 | 1,293 | 1,265,814 | ||||||||||
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 04/12/24 | 520 | 505,449 | ||||||||||
14,822,556 | ||||||||||||
Chemicals — 4.0% | ||||||||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 8.83%, 08/27/26 (h) | 2,899 | 2,718,467 | ||||||||||
Axalta Coating Systems U.S. Holdings, Inc., 2022 USD Term Loan B, (3 mo. SOFR CME + 3.00%, 0.50% Floor), 7.51%, 12/20/29 | 1,068 | 1,068,000 | ||||||||||
CPC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.48%, 12/29/27 (h) | 644 | 462,703 | ||||||||||
Discovery Purchaser Corp., Term Loan, (3 mo. SOFR CME + 4.375%, 0.50% Floor), 7.97%, 10/04/29 (h) | 1,143 | 1,039,273 | ||||||||||
Element Solutions, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 6.32%, 01/31/26 (h) | 1,746 | 1,740,826 | ||||||||||
Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 7.88%, 06/30/27 (h) | 1,226 | 1,172,334 | ||||||||||
Lonza Group AG, USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.73%, 07/03/28 (h) | 944 | 862,490 | ||||||||||
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 7.23%, 03/02/26 (h) | 2,489 | 2,464,106 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 7.64%, 05/15/24 (h) | 1,323 | 1,317,056 | ||||||||||
OQ Chemicals Corp., 2017 USD Term Loan B2, (3 mo. LIBOR + 3.25%), 7.00%, 10/14/24 (h) | 1,515 | 1,427,379 | ||||||||||
PQ Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.50%, 0.50% Floor), 6.91%, 06/09/28 (h) | 1,523 | 1,496,800 | ||||||||||
Pregis TopCo Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 0.50% Floor), 8.13%, 07/31/26 (h) | 617 | 596,712 | ||||||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.41%, 03/16/27 (h) | 931 | 902,558 | ||||||||||
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 7.39%, 08/02/28 (h) | 1,433 | 1,390,643 | ||||||||||
Starfruit Finco BV, 2018 USD Term Loan B, (3 mo. LIBOR + 2.75%), 7.16%, 10/01/25 (h) | 328 | 322,518 | ||||||||||
W.R. Grace Holdings LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.50% Floor), 8.50%, 09/22/28 (h) | 470 | 460,553 | ||||||||||
19,442,418 | ||||||||||||
Commercial Services & Supplies (h) — 3.3% | ||||||||||||
Allied Universal Holdco LLC, 2021 USD | ||||||||||||
Incremental Term Loan B, (1 mo. LIBOR + 3.75%, 0.50% Floor), 8.17%, 05/12/28 | 2,304 | 2,184,569 |
Security | Par (000) | Value | ||||||||||
Commercial Services & Supplies (continued) | ||||||||||||
Amentum Government Services Holdings LLC, 2022 Term Loan, (3 mo. SOFR CME + 4.00%), 8.64%, 02/15/29 | USD | 686 | $ | 666,490 | ||||||||
Asurion LLC | ||||||||||||
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 7.38%, 11/03/24 | 907 | 878,689 | ||||||||||
2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 7.63%, 12/23/26 | 668 | 594,368 | ||||||||||
2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 9.63%, 01/31/28 | 985 | 764,490 | ||||||||||
2021 Second Lien Term Loan B4, (1 mo. LIBOR + 5.25%), 9.63%, 01/20/29 | 1,402 | 1,083,550 | ||||||||||
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.00%), 6.38%, 10/08/28 | 612 | 608,082 | ||||||||||
Covanta Holding Corp. | ||||||||||||
2021 Term Loan B, (1 mo. SOFR CME + 2.50%, 0.50% Floor), 6.82%, 11/30/28 | 992 | 983,522 | ||||||||||
2021 Term Loan C, (1 mo. SOFR CME + 2.50%, 0.50% Floor), 6.82%, 11/30/28 | 75 | 74,229 | ||||||||||
Creative Artists Agency LLC, 2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 8.63%, 11/27/26 | 1,693 | 1,678,100 | ||||||||||
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 8.48%, 05/09/25 | 432 | 399,801 | ||||||||||
Packers Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%, 0.75% Floor), 7.54%, 03/09/28 | 1,124 | 980,924 | ||||||||||
Prime Security Services Borrower LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.75% Floor), 6.50%, 09/23/26 | 1,479 | 1,464,587 | ||||||||||
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 8.38%, 08/27/25 | 3,230 | 3,203,034 | ||||||||||
Viad Corp., Initial Term Loan, (1 mo. LIBOR + 5.00%, 0.50% Floor), 9.38%, 07/30/28 | 687 | 646,062 | ||||||||||
16,210,497 | ||||||||||||
Communications Equipment — 0.4% | ||||||||||||
ViaSat, Inc., Term Loan, (1 mo. SOFR CME + 4.50%, 0.50% Floor), 8.94%, 03/02/29 (h) | 1,788 | 1,735,952 | ||||||||||
Construction & Engineering (h) — 1.5% | ||||||||||||
Arc Falcon I, Inc., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 0.50% Floor), 11.38%, 09/30/29 (c) | 815 | 702,937 | ||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 8.49%, 06/21/24 | 2,161 | 1,928,521 | ||||||||||
Pike Corp., 2021 Incremental Term Loan B, (1 mo. LIBOR + 3.00%), 7.39%, 01/21/28 | 925 | 910,849 | ||||||||||
SRS Distribution, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 06/02/28 | 2,409 | 2,298,879 | ||||||||||
USIC Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.88%, 05/12/28 | 1,546 | 1,472,398 | ||||||||||
7,313,584 |
32 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Construction Materials (h) — 1.5% | ||||||||||||
Core & Main LP, 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 6.88%, 07/27/28 | USD | 3,559 | $ | 3,507,075 | ||||||||
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 7.38%, 03/29/25 | 2,099 | 2,073,933 | ||||||||||
Oscar AcquisitionCo. LLC, Term Loan B, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 9.18%, 04/29/29 | 959 | 905,280 | ||||||||||
Tamko Building Products LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 7.57%, 06/01/26 | 762 | 734,612 | ||||||||||
7,220,900 | ||||||||||||
Containers & Packaging (h) — 1.5% | ||||||||||||
Charter Next Generation, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 12/01/27 | 2,985 | 2,894,392 | ||||||||||
Mauser Packaging Solutions Holding Co., | ||||||||||||
2017 Term Loan B, (1 mo. LIBOR + 3.25%), 7.37%, 04/03/24 | 2,028 | 1,977,062 | ||||||||||
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 8.13%, 07/31/26 | 540 | 524,212 | ||||||||||
Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.94%, 08/18/27 | 1,028 | 822,696 | ||||||||||
Trident TPI Holdings, Inc. | ||||||||||||
2021 Delayed Draw Term Loan, (1 mo. LIBOR + 4.00%, 0.50% Floor), 8.60%, 09/15/28 | 126 | 120,754 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%, 0.50% Floor), 8.73%, 09/15/28 | 884 | 847,610 | ||||||||||
7,186,726 | ||||||||||||
Distributors — 1.3% | ||||||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 6.38%, 01/15/27 (h) | 1,056 | 1,045,886 | ||||||||||
Dealer Tire Financial LLC, Term Loan B2, (1 mo. SOFR CME + 4.50%, 0.50% Floor), 8.82%, 12/14/27 | 2,660 | 2,621,221 | ||||||||||
TMK Hawk Parent Corp. (h) | ||||||||||||
2020 Super Priority First Out Term Loan A, (3 mo. LIBOR + 9.50%, 1.00% Floor), 14.26%, 05/30/24 (c) | 1,009 | 922,906 | ||||||||||
2020 Super Priority Second Out Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 8.26%, 08/28/24 | 3,213 | 1,638,622 | ||||||||||
6,228,635 | ||||||||||||
Diversified Consumer Services — 1.9% | ||||||||||||
2U, Inc., Term Loan, (3 mo. LIBOR + 5.75%, 0.75% Floor), 10.16%, 12/30/24 (h) | 1,258 | 1,200,462 | ||||||||||
Ascend Learning LLC (h) | ||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%, 0.50% Floor), 10.13%, 12/10/29 | 681 | 581,404 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 12/11/28 | 1,688 | 1,593,003 | ||||||||||
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%, 0.50% Floor), 6.69%, 11/24/28 (h) | 812 | 795,564 | ||||||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 8.33%, 07/11/25 (h) | 1,111 | 1,067,313 |
Security | Par (000) | Value | ||||||||||
Diversified Consumer Services (continued) | ||||||||||||
OLA Netherlands BV, Term Loan, (1 mo. SOFR CME + 6.25%, 0.75% Floor), 10.67%, 12/15/26 | USD | 750 | $ | 705,216 | ||||||||
PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.16%, 10/28/27 (h) | 872 | 764,193 | ||||||||||
Serta Simmons Bedding LLC (h) | ||||||||||||
2020 Super Priority First Out Term Loan, (3 mo. LIBOR + 7.50%), 12.27%, 08/10/23 | 413 | 405,606 | ||||||||||
2020 Super Priority Second Out Term Loan, (3 mo. LIBOR + 7.50%, 1.00% Floor), 12.27%, 08/10/23 | 845 | 384,650 | ||||||||||
Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%, 0.50% Floor), 8.58%, 01/15/27 (h) | 1,658 | 1,613,731 | ||||||||||
Voyage Australia Pty. Ltd., USD Term Loan B, (3 mo. LIBOR + 3.50%, 0.50% Floor), 7.74%, 07/20/28 (c)(h) | 288 | 272,909 | ||||||||||
9,384,051 | ||||||||||||
Diversified Financial Services (h) — 5.1% | ||||||||||||
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3 mo. SOFR CME + 4.00%, 0.50% Floor), 8.73%, 02/16/28 | 380 | 373,036 | ||||||||||
Advisor Group, Inc., 2021 Term Loan, (1 mo. LIBOR + 4.50%), 8.88%, 07/31/26 | 914 | 892,343 | ||||||||||
AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%, 0.50% Floor), 7.13%, 02/04/28 | 1,524 | 1,509,134 | ||||||||||
Castlelake Aviation Ltd., Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.52%, 10/22/26 | 1,361 | 1,346,837 | ||||||||||
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.50%, 0.50% Floor), 6.88%, 09/01/28 | 1,384 | 1,341,769 | ||||||||||
Delta TopCo, Inc. | ||||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 11.65%, 12/01/28 | 330 | 256,987 | ||||||||||
2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.15%, 12/01/27 | 501 | 461,588 | ||||||||||
EG America LLC, 2018 USD Term Loan, (3 mo. LIBOR + 4.00%), 8.73%, 02/07/25 | 1,137 | 1,071,075 | ||||||||||
Gainwell Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.73%, 10/01/27 | 2,822 | 2,641,914 | ||||||||||
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 7.89%, 07/03/24 (c) | 1,314 | 1,311,076 | ||||||||||
KKR Apple Bidco LLC | ||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%, 0.50% Floor), 10.13%, 09/21/29 | 218 | 209,592 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 2.75%, 0.50% Floor), 7.13%, 09/23/28 | 529 | 520,646 | ||||||||||
LBM Acquisition LLC, Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 7.12%, 12/17/27 | 437 | 377,764 | ||||||||||
Radiate Holdco LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 7.63%, 09/25/26 | 2,224 | 1,798,785 | ||||||||||
RVR Dealership Holdings LLC, Term Loan B, (1 mo. SOFRTE + 3.75%, 0.75% Floor), 8.17%, 02/08/28 | 640 | 587,511 |
S C H E D U L E O F IN V E S T M E N T S | 33 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3 mo. LIBOR + 2.00%), 6.73%, 11/05/28 | USD | 1,175 | $ | 1,167,362 | ||||||||
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3 mo. LIBOR + 2.50%), 6.91%, 01/23/25 | 1,699 | 1,651,264 | ||||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.00%), 8.73%, 07/30/25 | 916 | 892,092 | ||||||||||
Veritas U.S., Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 9.73%, 09/01/25 | 3,329 | 2,333,932 | ||||||||||
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 7.38%, 02/28/27 | 1,458 | 1,412,915 | ||||||||||
White Cap Buyer LLC, Term Loan B, (1 mo. SOFR CME + 3.75%), 8.07%, 10/19/27 | 1,089 | 1,051,165 | ||||||||||
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 6.82%, 04/30/28 | 1,876 | 1,826,173 | ||||||||||
25,034,960 | ||||||||||||
Diversified Telecommunication Services (h) — 1.4% | ||||||||||||
Cablevision Lightpath LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.57%, 11/30/27 | 332 | 316,783 | ||||||||||
Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.88%, 10/02/27 | 713 | 626,918 | ||||||||||
Frontier Communications Holdings LLC, 2021 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.50%, 05/01/28 | 1,753 | 1,668,397 | ||||||||||
Iridium Satellite LLC, 2021 Term Loan B2, (1 mo. LIBOR + 2.50%, 0.75% Floor), 6.92%, 11/04/26 | 1,583 | 1,566,859 | ||||||||||
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 6.13%, 03/01/27 | 1,299 | 1,242,269 | ||||||||||
Virgin Media SFA Finance Ltd., GBP Term Loan L, (1 mo. SONIA + 3.25%), 6.21%, 01/15/27 | GBP | 1,400 | 1,561,359 | |||||||||
6,982,585 | ||||||||||||
Electric Utilities (h) — 0.8% | ||||||||||||
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 7.24%, 12/15/27 | USD | 1,110 | 1,097,718 | |||||||||
Triton Water Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%, 0.50% Floor), 8.23%, 03/31/28 | 2,798 | 2,592,215 | ||||||||||
3,689,933 | ||||||||||||
Electrical Equipment (h) — 0.7% | ||||||||||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (6 mo. LIBOR + 4.75%, 0.75% Floor), 9.48%, 06/23/28 | 1,337 | 1,267,989 | ||||||||||
AZZ, Inc., Term Loan B, (1 mo. SOFR CME + 4.25%, 0.50% Floor), 8.67%, 05/13/29 | 228 | 238,072 | ||||||||||
Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%, 0.75% Floor), 6.88%, 03/31/27 | 2,135 | 2,086,540 | ||||||||||
3,592,601 |
Security | Par (000) | Value | ||||||||||
Electronic Equipment, Instruments & Components — 0.3% | ||||||||||||
Coherent Corp., 2022 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.13%, 07/02/29 (h) | USD | 1,488 | $ | 1,469,105 | ||||||||
Entertainment — 0.2% | ||||||||||||
Delta 2 Lux SARL, Term Loan B, (3 mo. SOFR CME + 3.25%, 0.50% Floor), 7.57%, 01/15/30 (h) | 1,104 | 1,102,620 | ||||||||||
Environmental, Maintenance & Security Service (h) — 0.5% | ||||||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 6.13%, 09/07/27 | 1,735 | 1,732,165 | ||||||||||
TruGreen LP, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 8.38%, 11/02/27 | 1,068 | 945,438 | ||||||||||
2,677,603 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||||
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 6.39%, 05/11/24 (h) | 270 | 267,870 | ||||||||||
Food & Staples Retailing (h) — 0.5% | ||||||||||||
Nomad Foods U.S. LLC, 2022 Term Loan B, (3 mo. SOFR CME + 3.75%, 0.50% Floor), 8.23%, 11/12/29 | 911 | 907,489 | ||||||||||
U.S. Foods, Inc. | ||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 2.00%), 6.38%, 09/13/26 | 631 | 623,634 | ||||||||||
2021 Term Loan B, (1 mo. LIBOR + 2.75%), 7.13%, 11/22/28 | 854 | 848,582 | ||||||||||
2,379,705 | ||||||||||||
Food Products (h) — 2.3% | ||||||||||||
8th Avenue Food & Provisions, Inc. | ||||||||||||
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 8.13%, 10/01/25 | 1,178 | 976,116 | ||||||||||
2021 Incremental Term Loan, (1 mo. LIBOR + 4.75%, 0.75% Floor), 9.13%, 10/01/25 | 1,335 | 1,104,517 | ||||||||||
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 7.88%, 10/25/27 | 2,438 | 2,385,747 | ||||||||||
Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 6.63%, 01/29/27 | 3,255 | 3,162,419 | ||||||||||
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 7.63%, 02/05/26 | 1,669 | 1,646,510 | ||||||||||
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%, 0.75% Floor), 7.91%, 06/08/28 | 1,345 | 1,306,733 | ||||||||||
UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. SOFR CME + 3.00%), 7.44%, 01/20/28 | 603 | 596,217 | ||||||||||
11,178,259 | ||||||||||||
Gas Utilities — 0.6% | ||||||||||||
Freeport LNG Investments LLLP, Term Loan B, (3 mo. LIBOR + 3.50%, 0.50% Floor), 7.74%, 12/21/28 (h) | 3,018 | 2,863,161 | ||||||||||
Health Care Equipment & Supplies (h) — 1.4% | ||||||||||||
Electron BidCo, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.00%, 0.50% Floor), 7.38%, 11/01/28 | 1,919 | 1,865,682 |
34 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Health Care Equipment & Supplies (continued) | ||||||||||||
Insulet Corp., Term Loan B, (3 mo. SOFR CME + 3.25%), 7.69%, 05/04/28 | USD | 675 | $ | 664,186 | ||||||||
Medline Borrower LP, USD Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 10/23/28 | 3,752 | 3,560,971 | ||||||||||
Venga Finance SARL, 2021 USD Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 9.48%, 12/04/28 | 568 | 519,303 | ||||||||||
6,610,142 | ||||||||||||
Health Care Providers & Services (h) — 2.5% | ||||||||||||
CHG Healthcare Services, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 09/29/28 | 899 | 877,660 | ||||||||||
Envision Healthcare Corp. | ||||||||||||
2022 First Out Term Loan, (3 mo. SOFR CME + 7.88%, 1.00% Floor), 12.61%, 03/31/27 | 210 | 185,931 | ||||||||||
2022 Second Out Term Loan, (3 mo. SOFR CME + 4.25%, 1.00% Floor), 8.83%, 03/31/27 | 1,397 | 475,001 | ||||||||||
EyeCare Partners LLC | ||||||||||||
2020 Term Loan, (3 mo. LIBOR + 3.75%), 8.48%, 02/18/27 | 1,935 | 1,541,484 | ||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.50% Floor), 11.48%, 11/15/29 | 508 | 412,889 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 3.75%, 0.50% Floor), 8.48%, 11/15/28 | 468 | 392,029 | ||||||||||
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 9.23%, 03/05/26 | 927 | 791,727 | ||||||||||
Ingenovis Health, Inc., Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.14%, 03/06/28 | 1,398 | 1,327,575 | ||||||||||
Orbcomm, Inc., Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 8.81%, 09/01/28 | 763 | 650,078 | ||||||||||
PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.88%, 02/14/25 | 46 | 43,149 | ||||||||||
Sotera Health Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.16%, 12/11/26 | 2,247 | 2,067,240 | ||||||||||
Surgery Center Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.05%, 08/31/26 | 509 | 502,262 | ||||||||||
Vizient, Inc., 2022 Term Loan B, (1 mo. SOFR CME + 2.25%, 0.50% Floor), 6.67%, 04/28/29 | 292 | 291,872 | ||||||||||
WCG Purchaser Corp., 2019 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 8.38%, 01/08/27 | 1,404 | 1,270,281 | ||||||||||
WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 12/22/28 | 1,600 | 1,595,869 | ||||||||||
12,425,047 |
Security | Par (000) | Value | ||||||||||
Health Care Services (h) — 0.3% | ||||||||||||
Azalea Topco, Inc., Term Loan, (1 mo. LIBOR + 3.50%), 7.88%, 07/24/26 | USD | 845 | $ | 771,788 | ||||||||
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 0.50% Floor), 11.38%, 11/01/29 | 536 | 493,120 | ||||||||||
1,264,908 | ||||||||||||
Health Care Technology (h) — 2.2% | ||||||||||||
AthenaHealth Group, Inc. | ||||||||||||
2022 Delayed Draw Term loan, (3 mo. SOFR CME + 3.50%), 7.82%, 02/15/29 | 321 | 96,283 | ||||||||||
2022 Term Loan B, (1 mo. SOFR CME + 3.50%, 0.50% Floor), 7.82%, 02/15/29 | 2,618 | 2,260,916 | ||||||||||
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 7.13%, 10/10/25 | 621 | 603,167 | ||||||||||
Polaris Newco LLC, USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.50% Floor), 8.73%, 06/02/28 | 3,255 | 2,963,442 | ||||||||||
Press Ganey Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 07/24/26 | 2,310 | 2,117,806 | ||||||||||
Verscend Holding Corp., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 0.50% Floor), 11.38%, 04/02/29 (c) | 2,740 | 2,698,900 | ||||||||||
10,740,514 | ||||||||||||
Hotels, Restaurants & Leisure — 5.8% | ||||||||||||
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 8.13%, 02/02/26 (h) | 240 | 216,394 | ||||||||||
Aristocrat Technologies, Inc., 2022 Term Loan B, (3 mo. SOFR CME + 2.25%, 0.50% Floor), 6.93%, 05/24/29 (h) | 87 | 87,308 | ||||||||||
Bally’s Corp., 2021 Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.54%, 10/02/28 (h) | 789 | 727,712 | ||||||||||
Burger King (Restaurant Brands Int), Term Loan B4, (3 mo. LIBOR + 1.75%), 6.14%, 11/19/26 (h) | 2,708 | 2,657,324 | ||||||||||
Caesars Resort Collection LLC (h) | ||||||||||||
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 7.13%, 12/23/24 | 1,195 | 1,191,581 | ||||||||||
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 7.88%, 07/21/25 | 604 | 601,965 | ||||||||||
Carnival Corp., USD Term Loan B, (1 mo. LIBOR + 3.00%, 0.75% Floor), 7.38%, 06/30/25 (h) | 1,238 | 1,183,945 | ||||||||||
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 6.39%, 03/17/28 (h) | 684 | 676,414 | ||||||||||
ECL Entertainment LLC, Term Loan, (1 mo. LIBOR + 7.50%, 0.75% Floor), 11.88%, 05/01/28 (h) | 808 | 805,010 | ||||||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 7.73%, 03/08/24 (h) | 3,337 | 2,498,841 | ||||||||||
Fertitta Entertainment LLC, 2022 Term Loan B, (1 mo. SOFRTE + 4.00%, 0.50% Floor), 8.32%, 01/27/29 (h) | 3,262 | 3,095,314 |
S C H E D U L E O F IN V E S T M E N T S | 35 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Flutter Financing B.V., 2022 USD Term Loan B, (3 mo. SOFR CME + 3.25%, 0.50% Floor), 8.09%, 07/22/28 (h) | USD | 1,013 | $ | 1,007,693 | ||||||||
Four Seasons Hotels Ltd., 2022 Term Loan B, (1 mo. SOFR CME + 3.25%, 0.50% Floor), 7.67%, 11/30/29 (h) | 2,379 | 2,378,015 | ||||||||||
IRB Holding Corp., 2020 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 7.13%, 02/05/25 (h) | 1,371 | 1,356,695 | ||||||||||
Penn National Gaming, Inc., 2022 Term Loan B, (1 mo. SOFR CME + 2.75%, 0.50% Floor), 7.17%, 05/03/29 (h) | 1,281 | 1,266,530 | ||||||||||
Playa Resorts Holding B.V., 2022 Term Loan B, (3 mo. SOFR CME + 4.25%, 0.50% Floor), 8.58%, 01/05/29 | 411 | 399,956 | ||||||||||
Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 7.13%, 03/13/28 (h) | 1,509 | 1,437,455 | ||||||||||
Scientific Games International, Inc., 2022 USD Term Loan, (1 mo. SOFR CME + 3.00%, 0.50% Floor), 7.42%, 04/14/29 (h) | 707 | 696,076 | ||||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 6.98%, 07/21/26 (h) | 1,045 | 1,028,821 | ||||||||||
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%, 0.25% Floor), 6.64%, 02/08/27 (h) | 1,958 | 1,908,196 | ||||||||||
Travelport Finance Luxembourg SARL (h) | ||||||||||||
2020 Super Priority Term Loan, (3 mo. LIBOR + 1.50%, 1.00% Floor, 8.75% PIK), 6.23%, 02/28/25 (i) | 31 | 30,569 | ||||||||||
2021 Consented Term Loan, (3 mo. LIBOR + 6.75%), 11.48%, 05/29/26 | 1,228 | 828,890 | ||||||||||
Whatabrands LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 08/03/28 (h) | 1,986 | 1,916,849 | ||||||||||
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 6.13%, 05/30/25 (h) | 173 | 172,244 | ||||||||||
28,169,797 | ||||||||||||
Household Durables (h) — 1.1% | ||||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (6 mo. LIBOR + 4.25%, 0.50% Floor), 8.98%, 05/17/28 | 1,426 | 1,061,622 | ||||||||||
Hunter Douglas, Inc., USD Term Loan B1, (3 mo. SOFR CME + 3.50%), 7.86%, 02/26/29 | 2,088 | 1,828,735 | ||||||||||
Snap One Holdings Corp., Term Loan B, (1 mo. LIBOR + 4.50%, 0.50% Floor), 8.88%, 12/08/28 (c) | 515 | 469,717 | ||||||||||
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.75%, 10/06/28 | 723 | 589,317 | ||||||||||
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 7.63%, 10/30/27 | 1,701 | 1,428,829 | ||||||||||
5,378,220 |
Security | Par (000) | Value | ||||||||||
Household Products — 0.1% | ||||||||||||
Spectrum Brands, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.00%, 0.50% Floor), 6.60%, 03/03/28 (h) | USD | 472 | $ | 462,168 | ||||||||
Independent Power and Renewable Electricity Producers (h) — 0.7% | ||||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 6.38%, 01/15/25 | 655 | 652,897 | ||||||||||
Calpine Corp. | ||||||||||||
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 6.38%, 08/12/26 | 1,040 | 1,025,264 | ||||||||||
Term Loan B9, (1 mo. LIBOR + 2.00%), 6.39%, 04/05/26 | 1,883 | 1,857,195 | ||||||||||
3,535,356 | ||||||||||||
Industrial Conglomerates — 1.6% | ||||||||||||
AVSC Holding Corp. | ||||||||||||
2020 Term Loan B1, (3 mo. LIBOR + 3.25%, 1.00% Floor), 7.68%, 03/03/25 (h) | 866 | 792,427 | ||||||||||
2020 Term Loan B3, (3 mo. LIBOR + 15.00%), 15.00%, 10/15/26 | 793 | 840,274 | ||||||||||
Diamond BC BV, 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.16%, 09/29/28 (h) | 1,519 | 1,466,257 | ||||||||||
Stitch Aquisition Corp., Term Loan B, (3 mo. LIBOR + 6.75%, 0.75% Floor), 11.48%, 07/28/28 (h) | 956 | 809,332 | ||||||||||
Vertical U.S. Newco, Inc., Term Loan B, (6 mo. LIBOR + 3.50%, 0.50% Floor), 6.87%, 07/30/27 (h) | 1,674 | 1,611,109 | ||||||||||
Vertiv Group Corp., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 6.89%, 03/02/27 (h) | 2,143 | 2,057,864 | ||||||||||
7,577,263 | ||||||||||||
Insurance (h) — 4.2% | ||||||||||||
Alliant Holdings Intermediate LLC | ||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 05/09/25 | 2,390 | 2,356,151 | ||||||||||
2021 Term Loan B4, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.85%, 11/06/27 | 3,283 | 3,204,027 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 05/09/25 | 1,166 | 1,149,362 | ||||||||||
AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 6.63%, 02/19/28 | 2,954 | 2,898,089 | ||||||||||
AssuredPartners, Inc. | ||||||||||||
2020 Term Loan B, (1 mo. LIBOR + 3.50%), 7.88%, 02/12/27 | 1,281 | 1,241,954 | ||||||||||
2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 02/12/27 | 764 | 738,577 | ||||||||||
Hub International Ltd. | ||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 3.00%), 7.33%, 04/25/25 | 2,339 | 2,310,566 | ||||||||||
2021 Term Loan B, (3 mo. LIBOR + 3.25%, 0.75% Floor), 7.53%, 04/25/25 | 2,971 | 2,940,920 | ||||||||||
2022 Term Loan B, (3 mo. SOFR CME + 4.00%, 0.75% Floor), 8.22%, 11/10/29 | 468 | 462,412 | ||||||||||
NFP Corp., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 7.63%, 02/15/27 | 163 | 155,546 |
36 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Insurance (continued) | ||||||||||||
Ryan Specialty Group LLC, Term Loan, (1 mo. SOFR CME + 3.00%, 0.75% Floor), 7.42%, 09/01/27 | USD | 1,171 | $ | 1,161,205 | ||||||||
Sedgwick Claims Management Services, Inc. | ||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 8.13%, 09/03/26 | 1,346 | 1,319,648 | ||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 8.63%, 09/03/26 | 719 | 708,342 | ||||||||||
20,646,799 | ||||||||||||
Interactive Media & Services (h) — 1.5% | ||||||||||||
Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 2.75%, 0.75% Floor), 7.48%, 06/26/28 | 1,529 | 1,509,081 | ||||||||||
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 7.38%, 10/30/26 | 2,044 | 2,010,187 | ||||||||||
Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 6.38%, 08/10/27 | 1,687 | 1,668,837 | ||||||||||
Grab Holdings, Inc., Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 8.89%, 01/29/26 | 1,972 | 1,942,689 | ||||||||||
7,130,794 | ||||||||||||
Internet & Direct Marketing Retail (h) — 0.6% | ||||||||||||
CNT Holdings I Corp., 2020 Term Loan, (3 mo. SOFR CME + 3.50%, 0.75% Floor), 7.24%, 11/08/27 | 1,612 | 1,557,414 | ||||||||||
Go Daddy Operating Co. LLC, 2022 Term Loan B5, (1 mo. SOFR CME + 3.25%), 7.57%, 10/21/29 | 1,275 | 1,271,634 | ||||||||||
PUG LLC, 2021 Incremental Term Loan B, (1 mo. LIBOR + 4.25%, 0.50% Floor), 8.63%, 02/12/27 (c) | 323 | 266,403 | ||||||||||
3,095,451 | ||||||||||||
Internet Software & Services — 0.3% | ||||||||||||
Uber Technologies, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 8.23%, 02/25/27 (h) | 1,534 | 1,530,159 | ||||||||||
IT Services — 5.7% | ||||||||||||
Aruba Investments Holdings LLC (h) | ||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 0.75% Floor), 12.14%, 11/24/28 | 1,275 | 1,153,875 | ||||||||||
2020 USD Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.14%, 11/24/27 | 678 | 657,066 | ||||||||||
Boxer Parent Co., Inc., 2021 USD Term Loan, (1 mo. LIBOR + 3.75%), 8.13%, 10/02/25 (h) | 1,767 | 1,688,794 | ||||||||||
Camelot Finance SA, Term Loan B, (1 mo. LIBOR + 3.00%), 7.38%, 10/30/26 (h) | 1,882 | 1,849,788 | ||||||||||
CCC Intelligent Solutions, Inc., Term Loan, (1 mo. LIBOR + 2.25%, 0.50% Floor), 6.63%, 09/21/28 (h) | 1,477 | 1,462,309 | ||||||||||
CoreLogic, Inc. | ||||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.50% Floor), 10.94%, 06/04/29 | 1,248 | 874,224 | ||||||||||
Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.94%, 06/02/28 (h) | 2,952 | 2,453,959 | ||||||||||
Fleetcor Technologies Operating Co. LLC, | ||||||||||||
2021 Term Loan B4, (1 mo. LIBOR + 1.75%), 6.13%, 04/28/28 (h) | 1,941 | 1,918,189 | ||||||||||
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1 mo. LIBOR + 4.00%, 0.75% Floor), 8.38%, 12/01/27 (h) | 4,293 | 4,112,881 |
Security | Par (000) | Value | ||||||||||
IT Services (continued) | ||||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 7.88%, 02/12/27 (h) | USD | 2,225 | $ | 1,832,028 | ||||||||
Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 12.73%, 10/09/28 (h) | 3,730 | 3,702,025 | ||||||||||
TierPoint LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 05/05/26 (h) | 851 | 793,023 | ||||||||||
Trans Union LLC (h) | ||||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 6.13%, 11/16/26 | 1,636 | 1,611,216 | ||||||||||
2021 Term Loan B6, (1 mo. LIBOR + 2.25%, 0.50% Floor), 6.63%, 12/01/28 | 2,104 | 2,080,847 | ||||||||||
Virtusa Corp., First Lien Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 02/11/28 (h) | 598 | 575,953 | ||||||||||
WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 6.63%, 03/31/28 (h) | 859 | 852,385 | ||||||||||
ZoomInfo LLC, 2021 Term Loan B, (1 mo. SOFR CME + 3.00%), 7.48%, 02/02/26 (h) | 192 | 191,099 | ||||||||||
27,809,661 | ||||||||||||
Leisure Products (h) — 0.3% | ||||||||||||
Fender Musical Instruments Corp., 2021 Term Loan B, (3 mo. SOFRTE + 4.00%, 0.50% Floor), 8.42%, 12/01/28 (c) | 853 | 684,983 | ||||||||||
MND Holdings III Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 8.23%, 06/19/24 | 765 | 729,282 | ||||||||||
Peloton Interactive, Inc., Term Loan, (2 mo. SOFR CME + 6.50%, 0.50% Floor), 11.76%, 05/25/27 | 298 | 291,802 | ||||||||||
1,706,067 | ||||||||||||
Life Sciences Tools & Services (h) — 2.3% | ||||||||||||
Avantor Funding, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.25%, 0.50% Floor), 6.63%, 11/08/27 | 1,835 | 1,824,210 | ||||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 8.88%, 02/04/27 | 2,847 | 2,504,414 | ||||||||||
ICON Luxembourg SARL, LUX Term Loan, (3 mo. LIBOR + 2.25%, 0.50% Floor), 7.00%, 07/03/28 | 2,222 | 2,212,933 | ||||||||||
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3 mo. SOFRTE + 3.00%, 0.50% Floor), 6.96%, 10/19/27 | 1,294 | 1,267,937 | ||||||||||
Parexel International Corp., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 11/15/28 | 2,982 | 2,866,746 | ||||||||||
PRA Health Sciences, Inc., US Term Loan, (3 mo. LIBOR + 2.25%, 0.50% Floor), 7.00%, 07/03/28 | 553 | 551,355 | ||||||||||
11,227,595 | ||||||||||||
Machinery (h) — 2.9% | ||||||||||||
Albion Acquisitions Ltd., USD Term Loan, (3 mo. LIBOR + 5.25%, 0.50% Floor), 9.57%, 08/17/26 | 1,607 | 1,515,519 | ||||||||||
Clark Equipment Co., 2022 Term Loan B, (3 mo. SOFR CME + 2.50%, 0.50% Floor), 7.18%, 04/20/29 | 263 | 258,986 |
S C H E D U L E O F IN V E S T M E N T S | 37 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Machinery (continued) | ||||||||||||
Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.50%, 05/14/28 | USD | 343 | $ | 338,020 | ||||||||
Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 10/21/28 | 1,026 | 1,005,492 | ||||||||||
Fluidra SA, 2022 USD Term Loan B, (1 mo. SOFR CME + 2.00%), 6.42%, 01/29/29 | 269 | 255,210 | ||||||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. SOFR CME + 1.75%), 6.17%, 03/01/27 | 2,476 | 2,453,240 | ||||||||||
Madison IAQ LLC, Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.99%, 06/21/28 | 3,262 | 3,027,179 | ||||||||||
SPX Flow, Inc., 2022 Term Loan, (1 mo. SOFR CME + 4.50%, 0.50% Floor), 8.92%, 04/05/29 | 1,201 | 1,112,120 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 8.15%, 03/28/25 | 4,206 | 3,919,705 | ||||||||||
Zurn LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.00%, 0.50% Floor), 6.38%, 10/04/28 | 111 | 110,464 | ||||||||||
13,995,935 | ||||||||||||
Media (h) — 10.2% | ||||||||||||
Altice Financing SA | ||||||||||||
2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 6.83%, 07/15/25 | 646 | 624,398 | ||||||||||
USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 6.83%, 01/31/26 | 1,723 | 1,653,778 | ||||||||||
Altice France SA/France, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 8.65%, 08/14/26 | 2,773 | 2,573,553 | ||||||||||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.00%), 7.27%, 04/22/26 | 1,313 | 706,996 | ||||||||||
Cable One, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 6.38%, 05/03/28 | 430 | 419,253 | ||||||||||
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 6.14%, 04/30/25 | 2,567 | 2,550,145 | ||||||||||
City Football Group Ltd., Term Loan, (1 mo. LIBOR + 3.00%, 0.50% Floor), 7.36%, 07/21/28 | 1,473 | 1,373,132 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 7.91%, 08/21/26 | 3,364 | 3,057,309 | ||||||||||
CMG Media Corp., 2021 Term Loan, (3 mo. LIBOR + 3.50%), 8.23%, 12/17/26 | — | (l) | 192 | |||||||||
Connect Finco SARL, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 7.89%, 12/11/26 | 7,205 | 7,111,922 | ||||||||||
CSC Holdings LLC | ||||||||||||
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 6.57%, 07/17/25 | 576 | 542,734 | ||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 6.82%, 04/15/27 | 1,836 | 1,633,892 | ||||||||||
E.W. Scripps Co., 2020 Term Loan B3, (1 mo. LIBOR + 2.75%, 0.75% Floor), 7.13%, 01/07/28 | 471 | 456,930 | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 7.64%, 12/01/23 | 749 | 558,046 | ||||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 6.63%, 03/24/25 | 1,514 | 1,442,265 |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 6.13%, 10/17/26 | USD | 2,250 | $ | 2,194,100 | ||||||||
MH Sub I LLC | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 8.13%, 09/13/24 | 3,440 | 3,337,013 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 8.13%, 09/13/24 | 1,677 | 1,627,604 | ||||||||||
2021 2nd Lien Term Loan, (3 mo. SOFR CME + 6.25%), 10.65%, 02/23/29 | 1,724 | 1,536,757 | ||||||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 6.88%, 09/18/26 | 912 | 903,386 | ||||||||||
Sinclair Television Group, Inc., 2022 Term Loan B4, (1 mo. SOFR CME + 3.75%), 8.17%, 04/21/29 | 1,573 | 1,491,687 | ||||||||||
UFC Holdings LLC, 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.75% Floor), 7.11%, 04/29/26 | 769 | 740,378 | ||||||||||
UPC Financing Partnership, 2021 USD Term Loan AX, (1 mo. LIBOR + 2.93%), 7.24%, 01/31/29 | 672 | 655,096 | ||||||||||
Virgin Media Bristol LLC | ||||||||||||
2020 USD Term Loan Q, (1 mo. LIBOR + 3.25%), 7.57%, 01/31/29 | 1,212 | 1,198,971 | ||||||||||
USD Term Loan N, (1 mo. LIBOR + 2.50%), 6.82%, 01/31/28 | 2,578 | 2,531,284 | ||||||||||
Voyage Digital Ltd., USD Term Loan B, (3 mo. SOFRTE + 4.50%, 0.50% Floor), 8.78%, 05/11/29 (c) | 881 | 865,165 | ||||||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 7.14%, 05/18/25 | 2,584 | 2,522,957 | ||||||||||
WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.13%), 6.51%, 01/20/28 | 1,854 | 1,830,090 | ||||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 7.38%, 03/09/27 | 4,386 | 3,540,183 | ||||||||||
49,679,216 | ||||||||||||
Oil, Gas & Consumable Fuels (h) — 1.4% | ||||||||||||
Ascent Resources Utica Holdings LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 12.94%, 11/01/25 | 555 | 585,415 | ||||||||||
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 8.13%, 12/13/25 | 1,061 | 1,003,347 | ||||||||||
Lealand Finance Co. BV | ||||||||||||
2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 7.38%, 06/28/24 | 46 | 28,764 | ||||||||||
2020 Take Back Term Loan, (1 mo. LIBOR + 1.00%), 5.38%, 06/30/25 | 343 | 179,375 | ||||||||||
M6 ETX Holdings II Midco LLC, Term Loan B, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 9.16%, 09/19/29 | 229 | 229,209 | ||||||||||
Medallion Midland Acquisition LLC, 2021 Term Loan, (3 mo. SOFR CME + 3.75%, 0.75% Floor), 8.59%, 10/18/28 | 1,672 | 1,654,036 | ||||||||||
Murphy USA, Inc., Term Loan B, (1 mo. LIBOR + 1.75%, 0.50% Floor), 5.93%, 01/31/28 | 565 | 566,097 | ||||||||||
Oryx Midstream Services Permian Basin LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.92%, 10/05/28 | 2,688 | 2,651,763 | ||||||||||
6,898,006 |
38 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Personal Products (h) — 1.1% | ||||||||||||
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (3 mo. SOFRTE + 6.00%, 1.00% Floor), 10.51%, 12/22/26 | USD | 355 | $ | 342,082 | ||||||||
Prestige Brands, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.00%, 0.50% Floor), 6.38%, 07/03/28 | 178 | 176,610 | ||||||||||
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.48%, 10/01/26 | 5,305 | 5,071,807 | ||||||||||
5,590,499 | ||||||||||||
Pharmaceuticals (h) — 2.0% | ||||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.50%), 8.09%, 05/04/25 | 1,065 | 951,250 | ||||||||||
Bausch Health Cos., Inc., 2022 Term Loan B, (1 mo. SOFR CME + 5.25%, 0.50% Floor), 9.67%, 02/01/27 | 979 | 740,861 | ||||||||||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%, 0.50% Floor), 6.38%, 02/22/28 | 1,851 | 1,818,636 | ||||||||||
Elanco Animal Health, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 5.87%, 08/01/27 | 1,280 | 1,226,719 | ||||||||||
Jazz Financing Lux SARL, USD Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 05/05/28 | 1,915 | 1,895,380 | ||||||||||
Option Care Health, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.75%, 0.50% Floor), 7.13%, 10/27/28 | 608 | 602,520 | ||||||||||
Organon & Co., USD Term Loan, (3 mo. LIBOR + 3.00%, 0.50% Floor), 7.75%, 06/02/28 | 1,360 | 1,344,648 | ||||||||||
Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 7.73%, 11/18/27 (c) | 1,281 | 1,188,758 | ||||||||||
9,768,772 | ||||||||||||
Professional Services (h) — 1.2% | ||||||||||||
Dun & Bradstreet Corp. | ||||||||||||
2022 Incremental Term Loan B2, (1 mo. SOFR CME + 3.25%), 7.57%, 01/18/29 | 620 | 609,072 | ||||||||||
Term Loan, (1 mo. LIBOR + 3.25%), 7.64%, 02/06/26 | 2,021 | 1,998,829 | ||||||||||
Element Materials Technology Group | ||||||||||||
U.S. Holdings, Inc. | ||||||||||||
2022 USD Delayed Draw Term Loan, (3 mo. SOFR CME + 4.25%, 0.50% Floor), 8.93%, 07/06/29 | 529 | 515,863 | ||||||||||
2022 USD Term Loan, (3 mo. SOFR CME + 4.25%, 0.50% Floor), 8.93%, 07/06/29 | 1,147 | 1,117,702 | ||||||||||
Galaxy U.S. Opco, Inc., Term Loan, (1 mo. SOFR CME + 4.75%, 0.50% Floor), 9.07%, 04/29/29 | 1,749 | 1,578,473 | ||||||||||
5,819,939 |
Security | Par (000) | Value | ||||||||||
Real Estate Management & Development (h) — 0.8% | ||||||||||||
Chariot Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 11/03/28 | USD | 2,150 | $ | 2,023,048 | ||||||||
Cushman & Wakefield U.S. Borrower LLC, | ||||||||||||
2020 Term Loan B, (1 mo. LIBOR + 2.75%), 7.13%, 08/21/25 | 2,038 | 1,987,235 | ||||||||||
4,010,283 | ||||||||||||
Road & Rail (h) — 0.4% | ||||||||||||
Avis Budget Car Rental LLC, 2020 Term Loan B, (1 mo. LIBOR + 1.75%), 6.14%, 08/06/27 | 569 | 549,645 | ||||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.50%), 9.58%, 08/04/25 | 1,327 | 1,182,801 | ||||||||||
1,732,446 | ||||||||||||
Semiconductors & Semiconductor Equipment (h) — 0.3% | ||||||||||||
MKS Instruments, Inc., 2022 USD Term Loan B, 08/17/29 (m) | 993 | 978,866 | ||||||||||
ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 6.42%, 09/19/26 | — | (l) | 21 | |||||||||
Synaptics, Inc., Term Loan B, (6 mo. LIBOR + 2.25%, 0.50% Floor), 7.40%, 12/02/28 | 548 | 535,731 | ||||||||||
1,514,618 | ||||||||||||
Software — 10.6% | ||||||||||||
Applied Systems, Inc. | ||||||||||||
2021 2nd Lien Term Loan, (3 mo. SOFR CME + 6.75%, 0.75% Floor), 11.33%, 09/19/25 (h) | 630 | 622,913 | ||||||||||
2022 Extended 1st Lien Term Loan, 09/18/26 (m) | 431 | 428,306 | ||||||||||
Barracuda Networks, Inc., 2022 Term Loan, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 8.59%, 08/15/29 (h) | 661 | 636,305 | ||||||||||
Central Parent, Inc., 2022 USD Term Loan B, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 9.08%, 07/06/29 (h) | 634 | 627,514 | ||||||||||
Cloudera, Inc. (h) | ||||||||||||
2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%, 0.50% Floor), 10.38%, 10/08/29 | 676 | 562,209 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.50% Floor), 8.13%, 10/08/28 | 1,234 | 1,157,551 | ||||||||||
Cornerstone OnDemand, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.50% Floor), 8.13%, 10/16/28 (h) | 1,050 | 934,558 | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 05/28/24 (h) | 497 | 416,225 | ||||||||||
E2open LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.68%, 02/04/28 (h) | 250 | 244,994 | ||||||||||
Epicor Software Corp., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 12.13%, 07/31/28 (h) | 1,886 | 1,854,881 | ||||||||||
Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. SOFR CME + 3.75%), 8.48%, 03/11/28 (h) | 1,192 | 1,166,835 | ||||||||||
Informatica LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 7.19%, 10/27/28 (h) | 3,343 | 3,273,025 | ||||||||||
Instructure Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 6.12%, 10/30/28 (c)(h) | 639 | 626,387 |
S C H E D U L E O F IN V E S T M E N T S | 39 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
IPS Corp. (h) | ||||||||||||
2021 2nd Lien Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 11.38%, 10/01/29 (c) | USD | 919 | $ | 771,960 | ||||||||
2021 Delayed Draw Term Loan, 3.50%, 10/02/28 | 94 | 83,205 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 10/02/28 | 523 | 465,147 | ||||||||||
Magenta Buyer LLC (h) | ||||||||||||
2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 9.17%, 07/27/28 | 2,094 | 1,782,771 | ||||||||||
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 0.75% Floor), 12.67%, 07/27/29 | 1,907 | 1,493,734 | ||||||||||
McAfee Corp., 2022 USD Term Loan B, (1 mo. SOFR CME + 3.75%), 7.97%, 03/01/29 (h) | 3,035 | 2,817,432 | ||||||||||
Planview Parent, Inc. (h) | ||||||||||||
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 11.98%, 12/18/28 | 824 | 729,240 | ||||||||||
Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.73%, 12/17/27 | 901 | 834,615 | ||||||||||
Proofpoint, Inc. (h) | ||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.98%, 08/31/28 | 2,469 | 2,368,777 | ||||||||||
2nd Lien Term Loan, (3 mo. LIBOR + 6.25%, 0.50% Floor), 10.98%, 08/31/29 | 1,281 | 1,225,494 | ||||||||||
RealPage, Inc. (h) | ||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 0.50% Floor), 7.38%, 04/24/28 | 5,429 | 5,151,907 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.75% Floor), 10.88%, 04/23/29 | 2,629 | 2,517,348 | ||||||||||
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 7.63%, 05/30/25 (h) | 578 | 549,736 | ||||||||||
Severin Acquisition LLC, 2018 Term Loan B, (3 mo. SOFR CME + 3.00%), 7.09%, 08/01/25 (h) | 2,406 | 2,385,509 | ||||||||||
Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.50% Floor), 8.23%, 10/07/27 (h) | 1,964 | 1,891,061 | ||||||||||
SS&C Technologies, Inc. (h) | ||||||||||||
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 6.13%, 04/16/25 | 388 | 381,081 | ||||||||||
2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 6.13%, 04/16/25 | 315 | 309,601 | ||||||||||
2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 6.13%, 04/16/25 | 1,639 | 1,608,606 | ||||||||||
Tempo Acquisition LLC, 2022 Term Loan B, (1 mo. SOFR CME + 3.00%), 7.32%, 08/31/28 (h) | 4,209 | 4,192,295 | ||||||||||
TIBCO Software, Inc., 2022 USD Term Loan, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 9.18%, 03/30/29 (h) | 3,298 | 2,939,342 | ||||||||||
Ultimate Software Group, Inc. (h) | ||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.25%, 0.50% Floor), 9.00%, 05/03/27 | 1,216 | 1,113,447 | ||||||||||
2021 Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.00%, 05/04/26 | 1,101 | 1,046,097 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 8.13%, 05/04/26 | 2,255 | 2,170,615 | ||||||||||
51,380,723 |
Security | Par (000) | Value | ||||||||||
Specialty Retail (h) — 3.7% | ||||||||||||
Belron Finance U.S. LLC | ||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 6.94%, 11/13/25 | USD | 1,967 | $ | 1,954,746 | ||||||||
2019 USD Term Loan B3, (3 mo. LIBOR + 2.25%), 6.69%, 10/30/26 | 1,128 | 1,121,059 | ||||||||||
2021 USD Term Loan B, (3 mo. LIBOR + 2.50%, 0.50% Floor), 7.06%, 04/13/28 | 1,711 | 1,691,055 | ||||||||||
EG Group Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.25%, 0.50% Floor), 8.98%, 03/31/26 | 500 | 466,380 | ||||||||||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 11/24/28 (c) | 596 | 584,060 | ||||||||||
Mavis Tire Express Services Corp., 2021 Term Loan B, (1 mo. SOFR CME + 4.00%, 0.75% Floor), 8.50%, 05/04/28 | 2,644 | 2,517,211 | ||||||||||
MED ParentCo LP, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 8.63%, 08/31/26 | 1,838 | 1,561,204 | ||||||||||
Midas Intermediate Holdco II LLC, (1 mo. SOFR CME + 8.35%, 0.75% Floor), 12.67%, 06/30/27 | 2,741 | 2,366,414 | ||||||||||
PetSmart, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 02/11/28 | 3,255 | 3,178,613 | ||||||||||
Restoration Hardware, Inc., 2022 Incremental Term Loan, (1 mo. SOFR CME + 3.25%, 0.50% Floor), 7.67%, 10/20/28 | 751 | 700,650 | ||||||||||
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 11/01/28 | 812 | 754,015 | ||||||||||
Woof Holdings, Inc. | ||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.10%, 12/21/27 | 482 | 452,657 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 0.75% Floor), 11.60%, 12/21/28 | 495 | 445,500 | ||||||||||
17,793,564 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.1% | ||||||||||||
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 9.38%, 07/23/26 (h) | 688 | 456,195 | ||||||||||
Textiles, Apparel & Luxury Goods — 0.2% | ||||||||||||
Crocs, Inc., Term Loan B, (3 mo. SOFRTE + 3.50%, 0.50% Floor), 7.80%, 02/20/29 (h) | 1,179 | 1,154,227 | ||||||||||
Trading Companies & Distributors (h) — 0.5% | ||||||||||||
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 6.63%, 05/19/28 | 1,214 | 1,202,384 | ||||||||||
ION Trading Finance Ltd., 2021 USD Term Loan, (3 mo. LIBOR + 4.75%), 9.48%, 04/03/28 | 595 | 562,641 | ||||||||||
SRS Distribution, Inc., 2022 Incremental Term Loan, (1 mo. SOFR CME + 3.50%), 7.92%, 06/02/28 | 864 | 823,915 | ||||||||||
2,588,940 |
40 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Wireless Telecommunication Services (h) — 0.9% | ||||||||||||
GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.16%, 04/30/28 | USD | 963 | $ | 953,909 | ||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 6.14%, 04/11/25 | 3,301 | 3,286,011 | ||||||||||
4,239,920 | ||||||||||||
Total Floating Rate Loan Interests — 108.9% (Cost: $558,203,105) | 530,032,281 | |||||||||||
Shares | ||||||||||||
Investment Companies | ||||||||||||
Fixed Income Funds — 0.1% | ||||||||||||
Invesco Senior Loan ETF | 16,200 | 332,586 | ||||||||||
Total Investment Companies — 0.1% (Cost: $349,754) | 332,586 | |||||||||||
Benefical Interest (000) | ||||||||||||
Other Interests | ||||||||||||
IT Services (c)(n) — 0.0% | ||||||||||||
Millennium Corp. Claim | USD | 1,084 | — | |||||||||
Millennium Lender Claim Trust | 1,156 | — | ||||||||||
Total Other Interests — 0.0% (Cost:$ — ) | — | |||||||||||
Par (000) | ||||||||||||
Preferred Securities | ||||||||||||
Capital Trusts — 0.4% | ||||||||||||
Aerospace & Defense — 0.0% | ||||||||||||
Air France-KLM, 6.50%, 12/31/99 | EUR | 100 | 105,258 | |||||||||
Automobiles — 0.0% | ||||||||||||
General Motors Financial Co., Inc., Series C, 5.70% (g)(h) | USD | 50 | 42,319 | |||||||||
Banks — 0.0% | ||||||||||||
PNC Financial Services Group, Inc., Series V, 6.20% (g)(h) | 92 | 89,907 | ||||||||||
Diversified Financial Services (g)(h) — 0.3% | ||||||||||||
Barclays PLC, 4.38% | 200 | 152,500 | ||||||||||
HSBC Holdings PLC, 6.00% | 600 | 550,686 | ||||||||||
JPMorgan Chase & Co. | ||||||||||||
Series FF, 5.00% | 765 | 699,922 | ||||||||||
Series HH, 4.60% | 166 | 146,287 | ||||||||||
1,549,395 | ||||||||||||
Diversified Telecommunication Services — 0.0% | ||||||||||||
Telefonica Europe BV, 7.13% (a)(g)(h) | EUR | 100 | 109,186 | |||||||||
Electric Utilities — 0.0% | ||||||||||||
Edison International, Series B, 5.00% (g)(h) | USD | 55 | 45,977 | |||||||||
Security | Par (000) | Value | ||||||||||
Independent Power and Renewable Electricity Producers — 0.0% | ||||||||||||
Vistra Corp., 7.00% (e)(g)(h) | USD | 77 | $ | 70,065 | ||||||||
Utilities — 0.1% | ||||||||||||
Electricite de France SA, 3.38% (a)(g)(h) | EUR | 200 | 154,248 | |||||||||
2,166,355 | ||||||||||||
Shares | ||||||||||||
Preferred Stocks — 0.1% | ||||||||||||
Capital Markets — 0.1% | ||||||||||||
Goldman Sachs Group, Inc., Series J, 5.50% (g)(h) . | 13,550 | 334,008 | ||||||||||
Insurance — 0.0% | ||||||||||||
Alliant Holdings, Inc. (c) | 83 | 75,612 | ||||||||||
409,620 | ||||||||||||
Total Preferred Securities — 0.5% (Cost: $2,865,053) | 2,575,975 | |||||||||||
Warrants | ||||||||||||
Consumer Discretionary — 0.0% | ||||||||||||
Service King (Carnelian Point), (Expires 06/30/27, Strike Price USD 10.00) (b) | 3,030 | — | ||||||||||
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) (b) | 1,152 | 14,515 | ||||||||||
Transportation Infrastructure — 0.0% | ||||||||||||
Turbo Cayman Ltd. (b)(c) | 1 | — | ||||||||||
Total Warrants — 0.0% (Cost: $ — ) | 14,515 | |||||||||||
Total Long-Term Investments — 131.3% (Cost: $702,238,011) | 638,698,802 | |||||||||||
Short-Term Securities | ||||||||||||
Money Market Funds — 0.1% | ||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 4.03% (o)(p) | 482,274 | 482,274 | ||||||||||
Total Short-Term Securities — 0.1% (Cost: $482,274) | 482,274 | |||||||||||
Total Investments — 131.4% (Cost: $702,720,285) | 639,181,076 | |||||||||||
Liabilities in Excess of Other Assets — (31.4)% | (152,615,923 | ) | ||||||||||
Net Assets — 100.0% | $ | 486,565,153 | ||||||||||
(a) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(b) | Non-income producing security. |
(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,603, representing less than 0.05% of its net assets as of period end, and an original cost of $255,714. |
(e) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(f) | Issuer filed for bankruptcy and/or is in default. |
(g) | Perpetual security with no stated maturity date. |
S C H E D U L E O F IN V E S T M E N T S | 41 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) |
(h) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(i) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(j) | Convertible security. |
(k) | Zero-coupon bond. |
(l) | Rounds to less than 1,000. |
(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) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(o) | Affiliate of the Fund. |
(p) | Annualized 7-day yield as of period end. |
Affiliated Issuer | Value at 12/31/21 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 12/31/22 | Shares Held at 12/31/22 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | $ | 435,992 | $ | 46,282 | (a) | $ | — | $ | — | $ | — | $ | 482,274 | 482,274 | $ | 49,288 | $ | — | ||||||||||||||||||
(a) | Represents net amount purchased (sold). |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 287,887 | GBP | 236,000 | Morgan Stanley & Co. International PLC | 03/15/23 | $ | 2,078 | |||||||||||||
USD | 1,686,364 | GBP | 1,379,000 | Westpac Banking Corp. | 03/15/23 | 16,322 | ||||||||||||||
18,400 | ||||||||||||||||||||
USD | 822,277 | EUR | 768,000 | Bank of America N.A. | 03/15/23 | (3,771 | ) | |||||||||||||
USD | 1,987,038 | EUR | 1,859,000 | Bank of America N.A. | 03/15/23 | (12,471 | ) | |||||||||||||
(16,242 | ) | |||||||||||||||||||
$ | 2,158 | |||||||||||||||||||
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.38.V2 | 5.00 | % | Quarterly | 06/20/27 | B | USD | 3,906 | $ | 88,308 | $ | 27,708 | $ | 60,600 | |||||||||||||||||||||||||||||||
(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. |
42 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) |
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating | (a) | Notional Amount (000) (b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||||||
CenturyLink, Inc. | 1.00 | % | Quarterly | Barclays Bank PLC | 12/20/23 | N/R | USD | 170 | $ | (1,898 | ) | $ | (2,662 | ) | $ | 764 | ||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | Bank of America N.A. | 12/20/26 | B+ | EUR | 10 | (1,513 | ) | (351 | ) | (1,162 | ) | |||||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | Barclays Bank PLC | 12/20/26 | B+ | EUR | 5 | (768 | ) | 179 | (947 | ) | ||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | Credit Suisse International | 12/20/26 | B+ | EUR | 5 | (747 | ) | 183 | (930 | ) | ||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | Credit Suisse International Morgan Stanley & Co. | 12/20/26 | B+ | EUR | 10 | (1,513 | ) | 347 | (1,860 | ) | ||||||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | International PLC | 12/20/26 | B+ | EUR | 10 | (1,513 | ) | 411 | (1,924 | ) | ||||||||||||||||||||||||||||||
CMA CGM SA | 5.00 | Quarterly | Credit Suisse International | 06/20/27 | BB+ | EUR | 20 | 762 | 829 | (67 | ) | |||||||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | Bank of America N.A. | 12/20/27 | CCC- | EUR | 15 | (3,864 | ) | (3,529 | ) | (335 | ) | |||||||||||||||||||||||||||||
$ | (11,054 | ) | $ | (4,593 | ) | $ | (6,461 | ) | ||||||||||||||||||||||||||||||||||
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
Centrally Cleared Swaps (a) | $ | 27,708 | $ | — | $ | 60,600 | $ | — | ||||||||
OTC Swaps | 1,949 | (6,542 | ) | 764 | (7,225 | ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 18,400 | $ | — | $ | — | $ | 18,400 | ||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps (a) | — | 60,600 | — | — | — | — | 60,600 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid | — | 2,713 | — | — | — | — | 2,713 | |||||||||||||||||||||
$ | — | $ | 63,313 | $ | — | $ | 18,400 | $ | — | $ | — | $ | 81,713 | |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 16,242 | $ | — | $ | — | $ | 16,242 | ||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received | — | 13,767 | — | — | — | — | 13,767 | |||||||||||||||||||||
$ | — | $ | 13,767 | $ | — | $ | 16,242 | $ | — | $ | — | $ | 30,009 | |||||||||||||||
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
S C H E D U L E O F IN V E S T M E N T S | 43 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (374 | ) | $ | — | $ | (374 | ) | ||||||||||||
Forward foreign currency exchange contracts | — | — | — | 600,851 | — | — | 600,851 | |||||||||||||||||||||
Options purchased (a) | — | (1,296 | ) | — | — | (486 | ) | — | (1,782 | ) | ||||||||||||||||||
Swaps | — | 14,460 | — | — | — | — | 14,460 | |||||||||||||||||||||
$ | — | $ | 13,164 | $ | — | $ | 600,851 | $ | (860 | ) | $ | — | $ | 613,155 | ||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 90,227 | $ | — | $ | — | $ | 90,227 | ||||||||||||||
Swaps | — | (57,967 | ) | — | — | — | — | (57,967 | ) | |||||||||||||||||||
$ | — | $ | (57,967 | ) | $ | — | $ | 90,227 | $ | — | $ | — | $ | 32,260 | ||||||||||||||
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
Forward foreign currency exchange contracts: | ||||
Average amounts purchased — in USD | $ | 5,778,718 | ||
Options: | ||||
Average value of option contracts purchased | $ | — | (a) | |
Average notional value of swaption contracts purchased | $ | — | (a) | |
Credit default swaps: | ||||
Average notional value — sell protection | $ | 6,039,048 |
(a) | Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
Assets | Liabilities | |||||||
Derivative Financial Instruments | ||||||||
Forward foreign currency exchange contracts | $ | 18,400 | $ | 16,242 | ||||
Swaps — centrally cleared | 14 | — | ||||||
Swaps — OTC (a) | 2,713 | 13,767 | ||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 21,127 | 30,009 | ||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (14 | ) | — | |||||
Total derivative assets and liabilities subject to an MNA | $ | 21,113 | $ | 30,009 | ||||
(a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset | (a) | Non-Cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets | (b)(c) | |||||||||||||
Barclays Bank PLC | $ | 943 | $ | (943 | ) | $ | — | $ | — | $ | — | |||||||||
Credit Suisse International | 1,359 | (1,359 | ) | — | — | — | ||||||||||||||
Morgan Stanley & Co. International PLC | 2,489 | (1,924 | ) | — | — | 565 | ||||||||||||||
Westpac Banking Corp. | 16,322 | — | — | — | 16,322 | |||||||||||||||
$ | 21,113 | $ | (4,226 | ) | $ | — | $ | — | $ | 16,887 | ||||||||||
44 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) |
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offse | t (a) | Non-Cash Collateral Pledged | Cash Collateral Pledged | (d) | Net Amount of Derivative Liabilities | (b)(e) | ||||||||||||
Bank of America N.A | $ | 21,619 | $ | — | $ | — | $ | — | $ | 21,619 | ||||||||||
Barclays Bank PLC | 3,609 | (943 | ) | — | (2,666 | ) | — | |||||||||||||
Credit Suisse International | 2,857 | (1,359 | ) | — | — | 1,498 | ||||||||||||||
Morgan Stanley & Co. International PLC | 1,924 | (1,924 | ) | — | — | — | ||||||||||||||
$ | 30,009 | $ | (4,226 | ) | $ | — | $ | (2,666 | ) | $ | 23,117 | |||||||||
(a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(c) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(d) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
(e) | Net amount represents the net amount payable due to counterparty in the event of default. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 163,074 | $ | — | $ | 163,074 | ||||||||
Common Stocks | ||||||||||||||||
Construction & Engineering | 45,275 | — | — | 45,275 | ||||||||||||
Diversified Financial Services | — | — | 10,753 | 10,753 | ||||||||||||
Electrical Equipment | 30,777 | — | — | 30,777 | ||||||||||||
Metals & Mining | — | 832 | 1,603 | 2,435 | ||||||||||||
Oil, Gas & Consumable Fuels | 149,577 | — | — | 149,577 | ||||||||||||
Semiconductors & Semiconductor Equipment | 3,421 | — | — | 3,421 | ||||||||||||
Specialty Retail | — | 223,396 | — | 223,396 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Aerospace & Defense | — | 4,349,477 | — | 4,349,477 | ||||||||||||
Airlines | — | 3,245,196 | — | 3,245,196 | ||||||||||||
Auto Components | — | 2,018,652 | 1 | 2,018,653 | ||||||||||||
Automobiles | — | 1,700,459 | — | 1,700,459 | ||||||||||||
Banks | — | 230,066 | — | 230,066 | ||||||||||||
Beverages | — | 1,946,719 | — | 1,946,719 | ||||||||||||
Building Materials | — | 972,004 | — | 972,004 | ||||||||||||
Building Products | — | 1,433,566 | — | 1,433,566 | ||||||||||||
Capital Markets | — | 2,022,627 | — | 2,022,627 | ||||||||||||
Chemicals | — | 2,797,620 | — | 2,797,620 | ||||||||||||
Commercial Services & Supplies | — | 1,081,045 | — | 1,081,045 | ||||||||||||
Communications Equipment | — | 625,772 | — | 625,772 | ||||||||||||
Construction Materials | — | 174,968 | — | 174,968 | ||||||||||||
Consumer Discretionary | — | 2,391,468 | — | 2,391,468 | ||||||||||||
Consumer Finance | — | 3,151,227 | — | 3,151,227 | ||||||||||||
Containers & Packaging | — | 568,012 | — | 568,012 | ||||||||||||
Diversified Consumer Services | — | 2,449,919 | — | 2,449,919 | ||||||||||||
Diversified Financial Services | — | 1,675,465 | — | 1,675,465 | ||||||||||||
Diversified Telecommunication Services | — | 3,394,329 | — | 3,394,329 | ||||||||||||
Electric Utilities | — | 518,041 | — | 518,041 | ||||||||||||
Electrical Equipment | — | 364,931 | — | 364,931 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 1,268,478 | — | 1,268,478 | ||||||||||||
Energy Equipment & Services | — | 725,371 | — | 725,371 | ||||||||||||
Environmental, Maintenance & Security Service | — | 842,972 | — | 842,972 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | — | 1,352,679 | — | 1,352,679 | ||||||||||||
Food & Staples Retailing | — | 1,250,986 | — | 1,250,986 |
S C H E D U L E O F IN V E S T M E N T S | 45 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Corporate Bonds (continued) | ||||||||||||||||
Food Products | $ | — | $ | 1,202,890 | $ | — | $ | 1,202,890 | ||||||||
Gas Utilities | — | 24,649 | — | 24,649 | ||||||||||||
Health Care Equipment & Supplies | — | 309,236 | — | 309,236 | ||||||||||||
Health Care Providers & Services | — | 3,556,065 | — | 3,556,065 | ||||||||||||
Health Care Technology | — | 671,961 | — | 671,961 | ||||||||||||
Hotels, Restaurants & Leisure | — | 4,565,071 | — | 4,565,071 | ||||||||||||
Household Durables | — | 838,681 | — | 838,681 | ||||||||||||
Household Products | — | 111,233 | — | 111,233 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 698,524 | — | 698,524 | ||||||||||||
Insurance | — | 2,473,223 | — | 2,473,223 | ||||||||||||
Interactive Media & Services | — | 447,204 | — | 447,204 | ||||||||||||
Internet Software & Services | — | 2,021,817 | — | 2,021,817 | ||||||||||||
IT Services | — | 3,011,328 | — | 3,011,328 | ||||||||||||
Leisure Products | — | 176,761 | — | 176,761 | ||||||||||||
Machinery | — | 2,517,181 | — | 2,517,181 | ||||||||||||
Marine | — | 51,735 | — | 51,735 | ||||||||||||
Media | — | 12,522,465 | — | 12,522,465 | ||||||||||||
Metals & Mining | — | 2,654,557 | — | 2,654,557 | ||||||||||||
Mortgage Real Estate Investment Trusts (REITs) | — | 8,922 | — | 8,922 | ||||||||||||
Multiline Retail | — | 89,978 | — | 89,978 | ||||||||||||
Multi-Utilities | — | 72,295 | — | 72,295 | ||||||||||||
Offshore Drilling & Other Services | — | 657,878 | — | 657,878 | ||||||||||||
Oil, Gas & Consumable Fuels | 77,168 | 13,737,743 | — | 13,814,911 | ||||||||||||
Personal Products | — | 4,525 | — | 4,525 | ||||||||||||
Pharmaceuticals | — | 1,196,397 | — | 1,196,397 | ||||||||||||
Real Estate | — | 27,529 | — | 27,529 | ||||||||||||
Real Estate Management & Development | — | 959,639 | — | 959,639 | ||||||||||||
Road & Rail | — | 578,382 | — | 578,382 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 978,232 | — | 978,232 | ||||||||||||
Software | — | 3,450,899 | — | 3,450,899 | ||||||||||||
Specialty Retail | — | 353,733 | — | 353,733 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 162,999 | — | 162,999 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 137,274 | — | 137,274 | ||||||||||||
Thrifts & Mortgage Finance | — | 397,399 | — | 397,399 | ||||||||||||
Transportation | — | 34,405 | — | 34,405 | ||||||||||||
Utilities | — | 125,795 | — | 125,795 | ||||||||||||
Wireless Telecommunication Services | — | 1,656,914 | — | 1,656,914 | ||||||||||||
Floating Rate Loan Interests | — | 518,666,120 | 11,366,161 | 530,032,281 | ||||||||||||
Investment Companies | 332,586 | — | — | 332,586 | ||||||||||||
Other Interests | — | — | — | — | ||||||||||||
Preferred Securities | ||||||||||||||||
Capital Trusts | ||||||||||||||||
Aerospace & Defense | 105,258 | — | — | 105,258 | ||||||||||||
Automobiles | — | 42,319 | — | 42,319 | ||||||||||||
Banks | — | 89,907 | — | 89,907 | ||||||||||||
Diversified Financial Services | — | 1,549,395 | — | 1,549,395 | ||||||||||||
Diversified Telecommunication Services | — | 109,186 | — | 109,186 | ||||||||||||
Electric Utilities | — | 45,977 | — | 45,977 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 70,065 | — | 70,065 | ||||||||||||
Utilities | — | 154,248 | — | 154,248 | ||||||||||||
Preferred Stocks | 334,008 | — | 75,612 | 409,620 | ||||||||||||
Warrants | 14,515 | — | — | 14,515 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Money Market Funds | 482,274 | — | — | 482,274 | ||||||||||||
Liabilities | ||||||||||||||||
Unfunded Floating Rate Loan Interests (a) | — | (42,384 | ) | — | (42,384 | ) | ||||||||||
$ | 1,574,859 | $ | 626,109,703 | $ | 11,454,130 | $ | 639,138,692 | |||||||||
Derivative Financial Instruments (b) | ||||||||||||||||
Assets | ||||||||||||||||
Credit Contracts | $ | — | $ | 61,364 | $ | — | $ | 61,364 | ||||||||
Foreign Currency Exchange Contracts | — | 18,400 | — | 18,400 |
46 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Debt Strategies Fund, Inc. (DSU) |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Liabilities | ||||||||||||||||
Credit Contracts | $— | $(7,225) | $— | $(7,225) | ||||||||||||
Foreign Currency Exchange Contracts | — | (16,242) | — | (16,242) | ||||||||||||
$ | — | $ | 56,297 | $ | — | $ | 56,297 | |||||||||
(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. |
Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Preferred Stocks | Unfunded Floating Rate Loan Interests | Total | ||||||||||||||||||||||
Assets/Liabilities | ||||||||||||||||||||||||||||
Opening balance, as of December 31, 2021 | $ | 11,700 | $ | 1 | $ | 26,559,403 | — | (a) | $ | 86,236 | $ | (259 | ) | $ | 26,657,081 | |||||||||||||
Transfers into Level 3 (b) | — | — | 7,499,870 | — | — | — | 7,499,870 | |||||||||||||||||||||
Transfers out of Level 3 (c) | — | — | (12,270,852 | ) | — | — | 259 | (12,270,593 | ) | |||||||||||||||||||
Accrued discounts/premiums | — | — | 23,129 | — | — | — | 23,129 | |||||||||||||||||||||
Net realized gain (loss) | — | — | 61,645 | — | — | — | 61,645 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) (d)(e) | 656 | — | (840,677 | ) | — | (10,624 | ) | — | (850,645 | ) | ||||||||||||||||||
Purchases | — | — | 1,052,992 | — | — | — | 1,052,992 | |||||||||||||||||||||
Sales | — | — | (10,719,349 | ) | — | — | — | (10,719,349 | ) | |||||||||||||||||||
Closing balance, as of December 31, 2022 | $ | 12,356 | $ | 1 | $ | 11,366,161 | — | (a) | $ | 75,612 | $ | — | $ | 11,454,130 | ||||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2022 (e) | $ | 656 | $ | — | $ | (724,235 | ) | — | $ | (10,624 | ) | $ | — | $ | (734,203 | ) | ||||||||||||
(a) | Rounds to less than $1. |
(b) | As of December 31, 2021, the Fund used observable inputs in determining the value of certain investments. As of December 31, 2022, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(c) | As of December 31, 2021, the Fund used significant unobservable inputs in determining the value of certain investments. As of December 31, 2022, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(d) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2022 is generally due to investments no longer held or categorized as Level 3 at period end. |
S C H E D U L E O F IN V E S T M E N T S | 47 |
Schedule of Investments December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||||||
Common Stocks | ||||||||||||
Construction & Engineering — 0.0% | ||||||||||||
McDermott International Ltd. (a) | 123,933 | $ | 39,659 | |||||||||
Diversified Financial Services — 0.0% | ||||||||||||
Kcad Holdings I Ltd. (b) | 309,827,230 | 3,098 | ||||||||||
Electrical Equipment — 0.0% | ||||||||||||
SunPower Corp. (a) | 1,860 | 33,536 | ||||||||||
Metals & Mining — 0.0% | ||||||||||||
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $214,007) (b)(c) | 6,099 | 1,342 | ||||||||||
Semiconductors & Semiconductor Equipment — 0.0% | ||||||||||||
Maxeon Solar Technologies Ltd. (a) | 232 | 3,726 | ||||||||||
Software — 0.0% | ||||||||||||
Avaya Holdings Corp. (a) | 66 | 13 | ||||||||||
Specialty Retail — 0.1% | ||||||||||||
NMG Parent LLC | 3,613 | 548,437 | ||||||||||
Total Common Stocks — 0.1% (Cost: $5,727,052) | 629,811 | |||||||||||
Par (000) | ||||||||||||
Corporate Bonds | ||||||||||||
Airlines — 0.3% | ||||||||||||
Allegiant Travel Co., 8.50%, 02/05/24 (a)(d) | USD | 1,195 | 1,192,012 | |||||||||
Auto Components — 0.1% | ||||||||||||
Clarios Global LP, 6.75%, 05/15/25 (a)(d) | 446 | 447,031 | ||||||||||
Building Materials — 0.0% | ||||||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29 (a)(d) | 118 | 109,861 | ||||||||||
Building Products — 0.0% | ||||||||||||
White Cap Buyer LLC, 6.88%, 10/15/28 (a)(d) | 250 | 216,252 | ||||||||||
Capital Markets — 0.0% | ||||||||||||
AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27 (a)(d) | 119 | 119,595 | ||||||||||
Chemicals (a)(d) — 0.1% | ||||||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28 | 51 | 42,698 | ||||||||||
WR Grace Holdings LLC, 5.63%, 08/15/29 | 388 | 313,221 | ||||||||||
355,919 | ||||||||||||
Construction Materials — 0.2% | ||||||||||||
Wesco Aircraft Holdings, Inc., 9.00%, 11/15/26 (a)(d) | 1,028 | 688,760 | ||||||||||
Diversified Telecommunication Services — 0.0% | ||||||||||||
Zayo Group Holdings, Inc., 6.13%, 03/01/28 (a)(d) | 251 | 142,337 | ||||||||||
Electric Utilities (a) — 0.0% | ||||||||||||
Pike Corp., 5.50%, 09/01/28 (d) | 144 | 125,891 | ||||||||||
Texas Competitive Electric Holdings, 1.00%, 11/10/21 (b)(e) | 1,710 | — | ||||||||||
125,891 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.2% | ||||||||||||
Vertiv Group Corp., 4.13%, 11/15/28 (a)(d) | 901 | 765,850 | ||||||||||
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services — 0.1% | ||||||||||||
Medline Borrower LP, 5.25%, 10/01/29 (a)(d) | USD | 384 | $ | 305,000 | ||||||||
Hotels, Restaurants & Leisure (a)(d) — 0.2% | ||||||||||||
Caesars Entertainment, Inc., 4.63%, 10/15/29 | 390 | 317,386 | ||||||||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 6.75%, 01/15/30 | 641 | 517,030 | ||||||||||
834,416 | ||||||||||||
Insurance — 0.1% | ||||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27 (a)(d) | 357 | 320,893 | ||||||||||
Internet Software & Services (a)(d) — 0.2% | ||||||||||||
Expedia Group, Inc., 6.25%, 05/01/25 | 337 | 339,857 | ||||||||||
Uber Technologies, Inc., 4.50%, 08/15/29 | 381 | 331,948 | ||||||||||
671,805 | ||||||||||||
Machinery — 0.2% | ||||||||||||
Madison IAQ LLC, 5.88%, 06/30/29 (a)(d) | 1,203 | 824,535 | ||||||||||
Media — 0.3% | ||||||||||||
Liberty Broadband Corp., 2.75%, 09/30/50 (a)(d) | 513 | 499,637 | ||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23 (a)(d)(f) | 244 | 71,765 | ||||||||||
Odeon Finco PLC, 12.75%, 11/01/27 | 607 | 528,090 | ||||||||||
Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 09/15/26 (a)(d) | 573 | 420,983 | ||||||||||
1,520,475 | ||||||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||||||
Occidental Petroleum Corp., 6.63%, 09/01/30 (a) | 619 | 639,662 | ||||||||||
Real Estate Management & Development — 0.1% | ||||||||||||
Realogy Group LLC/Realogy Co.-Issuer Corp., 5.75%, 01/15/29 (a)(d) | 510 | 385,759 | ||||||||||
Wireless Telecommunication Services — 0.0% | ||||||||||||
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25 (a)(d) | 138 | 132,308 | ||||||||||
Total Corporate Bonds — 2.2% (Cost: $11,243,440) | 9,798,361 | |||||||||||
Floating Rate Loan Interests (g) | ||||||||||||
Aerospace & Defense — 3.1% | ||||||||||||
Atlas CC Acquisition Corp. | ||||||||||||
Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 8.98%, 05/25/28 | 2,847 | 2,384,935 | ||||||||||
Term Loan C, (3 mo. LIBOR + 4.25%, 0.75% Floor), 8.98%, 05/25/28 | 579 | 485,071 | ||||||||||
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 8.73%, 10/31/26 | 707 | 699,130 | ||||||||||
Cobham Ultra U.S. Co-Borrower LLC, USD Term Loan B, (6 mo. LIBOR + 3.75%, 0.50% Floor), 7.06%, 08/03/29 | 373 | 361,873 | ||||||||||
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 9.94%, 04/09/26 | 762 | 590,782 | ||||||||||
Peraton Corp. | ||||||||||||
2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%, 0.75% Floor), 12.09%, 02/01/29 | 1,700 | 1,611,844 |
48 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Aerospace & Defense (continued) | ||||||||||||
Peraton Corp. (continued) | ||||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 02/01/28 | USD | 5,700 | $ | 5,556,431 | ||||||||
TransDigm, Inc., 2020 Term Loan F, (3 mo. LIBOR + 2.25%), 6.98%, 12/09/25 | 2,520 | 2,486,457 | ||||||||||
14,176,523 | ||||||||||||
Air Freight & Logistics — 0.3% | ||||||||||||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 8.49%, 04/06/28 | 579 | 529,488 | ||||||||||
Kestrel Bidco, Inc., Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 7.35%, 12/11/26 | 414 | 375,369 | ||||||||||
PECF USS Intermediate Holding III Corp., Term Loan B, (1 mo. LIBOR + 4.25%, 0.50% Floor), 8.63%, 12/15/28 | 806 | 669,836 | ||||||||||
1,574,693 | ||||||||||||
Airlines — 2.6% | ||||||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 8.99%, 04/20/28 | 1,636 | 1,626,782 | ||||||||||
Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 8.13%, 08/11/28 | 2,037 | 2,009,250 | ||||||||||
American Airlines, Inc. | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 6.14%, 01/29/27 | 275 | 261,226 | ||||||||||
2018 Term Loan B, (1 mo. LIBOR + 1.75%), 6.14%, 06/27/25 | 1,253 | 1,201,601 | ||||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 10.00%, 06/21/27 | 3,109 | 3,194,013 | ||||||||||
United Airlines, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.11%, 04/21/28 | 3,688 | 3,635,046 | ||||||||||
11,927,918 | ||||||||||||
Auto Components — 2.4% | ||||||||||||
Adient U.S. LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 04/10/28 | 813 | 802,719 | ||||||||||
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 04/30/26 | 3,646 | 3,565,477 | ||||||||||
USI, Inc. | ||||||||||||
2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 7.98%, 12/02/26 | 213 | 211,540 | ||||||||||
2022 Incremental Term Loan, (1 mo. SOFR CME + 3.75%, 0.50% Floor), 8.33%, 11/22/29 | 3,731 | 3,690,755 | ||||||||||
Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 7.38%, 02/05/26 | 2,572 | 2,433,729 | ||||||||||
10,704,220 | ||||||||||||
Banks — 0.8% | ||||||||||||
DirecTV Financing LLC, Term Loan, (1 mo. LIBOR + 5.00%, 0.75% Floor), 9.38%, 08/02/27 | 2,373 | 2,305,038 | ||||||||||
LABL, Inc., 2021 USD 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 0.50% Floor), 9.38%, 10/29/28 | 1,605 | 1,518,982 | ||||||||||
3,824,020 |
Security | Par (000) | Value | ||||||||||
Beverages — 0.9% | ||||||||||||
Naked Juice LLC | ||||||||||||
2nd Lien Term Loan, (3 mo. SOFRTE + 6.00%, 0.50% Floor), 10.68%, 01/24/30 | USD | 1,804 | $ | 1,418,900 | ||||||||
Term Loan, (3 mo. SOFRTE + 3.25%, 0.50% Floor), 7.93%, 01/24/29 | 3,007 | 2,682,425 | ||||||||||
4,101,325 | ||||||||||||
Building Materials — 0.1% | ||||||||||||
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.57%, 04/12/28 | 266 | 237,835 | ||||||||||
Building Products — 2.0% | ||||||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 11/23/27 | 1,466 | 1,280,021 | ||||||||||
CPG International LLC, 2022 Term Loan B, (1 mo. SOFR CME + 2.50%, 0.50% Floor), 6.92%, 04/28/29 | 798 | 774,060 | ||||||||||
Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 6.63%, 07/28/28 | 819 | 762,029 | ||||||||||
LSF10 XL Bidco SCA, 2021 EUR Term Loan B4, (3 mo. EURIBOR + 3.93%), 6.13%, 04/12/28 | EUR | 853 | 733,573 | |||||||||
New AMI I LLC, 2022 Term Loan B, (1 mo. SOFRTE + 6.00%, 0.50% Floor), 10.32%, 03/08/29 | USD | 846 | 721,363 | |||||||||
Standard Industries, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.25%, 0.50% Floor), 6.43%, 09/22/28 | 1,611 | 1,589,639 | ||||||||||
Wilsonart LLC, 2021 Term Loan E, (3 mo. LIBOR + 3.25%, 1.00% Floor), 7.98%, 12/31/26 | 3,172 | 3,011,687 | ||||||||||
8,872,372 | ||||||||||||
Capital Markets — 3.9% | ||||||||||||
Ascensus Holdings, Inc. | ||||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%, 0.50% Floor), 10.25%, 08/02/29 | 2,698 | 2,343,173 | ||||||||||
Term Loan, (3 mo. LIBOR + 3.50%, 0.50% Floor), 8.25%, 08/02/28 | 3,545 | 3,378,238 | ||||||||||
Deerfield Dakota Holding LLC | ||||||||||||
2020 USD Term Loan B, (1 mo. SOFR CME + 3.75%, 1.00% Floor), 8.07%, 04/09/27 | 6,179 | 5,759,578 | ||||||||||
2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 11.13%, 04/07/28 | 1,806 | 1,711,185 | ||||||||||
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 7.75%, 11/12/27 | 1,515 | 1,448,316 | ||||||||||
FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 6.88%, 06/27/25 | 614 | 612,021 | ||||||||||
Focus Financial Partners LLC, 2021 Term Loan B4, (1 mo. SOFR CME + 2.50%, 0.50% Floor), 6.82%, 06/30/28 | 1,470 | 1,438,958 | ||||||||||
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 04/12/24 | 1,170 | 1,136,132 | ||||||||||
17,827,601 | ||||||||||||
Chemicals — 4.6% | ||||||||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (6 mo. SOFR CME + 4.75%, 0.75% Floor), 8.83%, 08/27/26 | 2,514 | 2,355,542 | ||||||||||
Axalta Coating Systems U.S. Holdings, Inc., 2022 USD Term Loan B, (3 mo. SOFR CME + 3.00%, 0.50% Floor), 7.51%, 12/20/29 | 1,252 | 1,252,000 | ||||||||||
CPC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.48%, 12/29/27 | 728 | 523,455 |
S C H E D U L E O F IN V E S T M E N T S | 49 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Chemicals (continued) | ||||||||||||
Discovery Purchaser Corp., Term Loan, (3 mo. SOFR CME + 4.375%, 0.50% Floor), 7.97%, 10/04/29 | USD | 1,328 | $ | 1,207,484 | ||||||||
Element Solutions, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 6.32%, 01/31/26 | 1,985 | 1,976,634 | ||||||||||
Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 7.88%, 06/30/27 | 1,392 | 1,330,459 | ||||||||||
Lonza Group AG, USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.73%, 07/03/28 | 1,074 | 981,343 | ||||||||||
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 7.23%, 03/02/26 | 2,162 | 2,140,150 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 7.64%, 05/15/24 | 1,498 | 1,491,717 | ||||||||||
OQ Chemicals Corp., 2017 USD Term Loan B2, (3 mo. LIBOR + 3.25%), 7.00%, 10/14/24 | 1,719 | 1,619,193 | ||||||||||
PQ Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.50%, 0.50% Floor), 6.91%, 06/09/28 | 1,730 | 1,700,118 | ||||||||||
Pregis TopCo Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 0.50% Floor), 8.13%, 07/31/26 | 701 | 676,377 | ||||||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.41%, 03/16/27 | 1,054 | 1,021,852 | ||||||||||
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 7.39%, 08/02/28 | 1,644 | 1,595,909 | ||||||||||
Starfruit Finco BV, 2018 USD Term Loan B, (3 mo. LIBOR + 2.75%), 7.16%, 10/01/25 | 159 | 156,505 | ||||||||||
W.R. Grace Holdings LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.50% Floor), 8.50%, 09/22/28 | 536 | 524,546 | ||||||||||
20,553,284 | ||||||||||||
Commercial Services & Supplies — 4.1% | ||||||||||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1 mo. LIBOR + 3.75%, 0.50% Floor), 8.17%, 05/12/28 | 2,622 | 2,486,552 | ||||||||||
Amentum Government Services Holdings LLC, 2022 Term Loan, (1 mo. SOFR CME + 4.00%), 8.64%, 02/15/29 | 787 | 765,157 | ||||||||||
Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 6.13%, 03/11/25 | 155 | 153,519 | ||||||||||
Asurion LLC | ||||||||||||
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 7.38%, 11/03/24 | 1,127 | 1,092,090 | ||||||||||
2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 7.63%, 12/23/26 | 768 | 683,080 | ||||||||||
2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 9.63%, 01/31/28 | 1,117 | 866,399 | ||||||||||
2021 Second Lien Term Loan B4, (1 mo. LIBOR + 5.25%), 9.63%, 01/20/29 | 1,596 | 1,233,485 | ||||||||||
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.00%), 6.38%, 10/08/28 | 697 | 692,702 | ||||||||||
Covanta Holding Corp. | ||||||||||||
2021 Term Loan B, (1 mo. SOFR CME + 2.50%, 0.50% Floor), 6.82%, 11/30/28 | 1,135 | 1,125,131 | ||||||||||
2021 Term Loan C, (1 mo. SOFR CME + 2.50%, 0.50% Floor), 6.82%, 11/30/28 | 85 | 84,916 | ||||||||||
Creative Artists Agency LLC, 2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 8.63%, 11/27/26 | 1,950 | 1,932,803 |
Security | Par (000) | Value | ||||||||||
Commercial Services & Supplies (continued) | ||||||||||||
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 8.48%, 05/09/25 | USD | 515 | $ | 477,472 | ||||||||
Packers Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%, 0.75% Floor), 7.54%, 03/09/28 | 1,317 | 1,146,329 | ||||||||||
Prime Security Services Borrower LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.75% Floor), 6.50%, 09/23/26 | 1,928 | 1,908,667 | ||||||||||
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 8.38%, 08/27/25 | 3,117 | 3,090,512 | ||||||||||
Viad Corp., Initial Term Loan, (1 mo. LIBOR + 5.00%, 0.50% Floor), 9.38%, 07/30/28 | 782 | 735,174 | ||||||||||
18,473,988 | ||||||||||||
Communications Equipment — 0.4% | ||||||||||||
ViaSat, Inc., Term Loan, (1 mo. SOFR CME + 4.50%, 0.50% Floor), 8.94%, 03/02/29 | 2,016 | 1,957,704 | ||||||||||
Construction & Engineering — 1.7% | ||||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 8.49%, 06/21/24 | 2,529 | 2,256,496 | ||||||||||
Pike Corp., 2021 Incremental Term Loan B, (1 mo. LIBOR + 3.00%), 7.39%, 01/21/28 | 1,045 | 1,029,084 | ||||||||||
SRS Distribution, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 06/02/28 | 2,772 | 2,644,443 | ||||||||||
USIC Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.88%, 05/12/28 | 1,751 | 1,668,513 | ||||||||||
7,598,536 | ||||||||||||
Construction Materials — 1.8% | ||||||||||||
Core & Main LP, 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 6.88%, 07/27/28 | 4,099 | 4,038,680 | ||||||||||
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 7.38%, 03/29/25 | 2,378 | 2,348,956 | ||||||||||
Oscar AcquisitionCo. LLC, Term Loan B, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 9.18%, 04/29/29 | 1,105 | 1,043,757 | ||||||||||
Tamko Building Products LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 7.57%, 06/01/26 | 864 | 832,812 | ||||||||||
8,264,205 | ||||||||||||
Containers & Packaging — 1.8% | ||||||||||||
Charter Next Generation, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 12/01/27 | 3,497 | 3,390,838 | ||||||||||
Mauser Packaging Solutions Holding Co., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 7.37%, 04/03/24 | 2,367 | 2,308,199 | ||||||||||
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. SOFR CME + 3.75%), 8.19%, 07/31/26 | 615 | 597,151 | ||||||||||
Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.94%, 08/18/27 | 1,177 | 941,412 | ||||||||||
Trident TPI Holdings, Inc., 2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%, 0.50% Floor), 8.73%, 09/15/28 | 1,148 | 1,100,061 | ||||||||||
8,337,661 | ||||||||||||
Distributors — 1.4% | ||||||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 6.38%, 01/15/27 | 1,194 | 1,182,449 |
50 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Distributors (continued) | ||||||||||||
Dealer Tire Financial LLC, Term Loan B2, (1 mo. SOFR CME + 4.50%, 0.50% Floor), 8.82%, 12/14/27 | USD | 2,545 | $ | 2,507,732 | ||||||||
TMK Hawk Parent Corp. | ||||||||||||
2020 Super Priority First Out Term Loan A, (3 mo. LIBOR + 9.50%, 1.00% Floor), 14.26%, 05/30/24 (b) | 958 | 877,438 | ||||||||||
2020 Super Priority Second Out Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 8.26%, 08/28/24 | 3,049 | 1,555,141 | ||||||||||
6,122,760 | ||||||||||||
Diversified Consumer Services — 2.3% | ||||||||||||
2U, Inc., Term Loan, (3 mo. LIBOR + 5.75%, 0.75% Floor), 10.16%, 12/30/24 | 1,425 | 1,360,273 | ||||||||||
Ascend Learning LLC | ||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%, 0.50% Floor), 10.13%, 12/10/29 | 781 | 666,779 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 12/11/28 | 1,924 | 1,816,304 | ||||||||||
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%, 0.50% Floor), 6.69%, 11/24/28 | 928 | 909,077 | ||||||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 8.33%, 07/11/25 | 1,175 | 1,128,327 | ||||||||||
OLA Netherlands BV, Term Loan, (1 mo. SOFR CME + 6.25%, 0.75% Floor), 10.67%, 12/15/26 | 859 | 807,275 | ||||||||||
PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.16%, 10/28/27 | 1,021 | 895,165 | ||||||||||
Serta Simmons Bedding LLC | ||||||||||||
2020 Super Priority First Out Term Loan, (3 mo. LIBOR + 7.50%), 12.27%, 08/10/23 | 465 | 456,790 | ||||||||||
2020 Super Priority Second Out Term Loan, (3 mo. LIBOR + 7.50%, 1.00% Floor), 12.27%, 08/10/23 | 728 | 331,487 | ||||||||||
Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%, 0.50% Floor), 8.58%, 01/15/27 | 1,780 | 1,732,125 | ||||||||||
Voyage Australia Pty. Ltd., USD Term Loan B, (3 mo. LIBOR + 3.50%, 0.50% Floor), 7.74%, 07/20/28 (b) | 327 | 309,767 | ||||||||||
10,413,369 | ||||||||||||
Diversified Financial Services — 5.7% | ||||||||||||
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3 mo. SOFR CME + 4.00%, 0.50% Floor), 8.73%, 02/16/28 | 429 | 420,551 | ||||||||||
Advisor Group, Inc., 2021 Term Loan, (1 mo. LIBOR + 4.50%), 8.88%, 07/31/26 | 1,021 | 996,929 | ||||||||||
AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%, 0.50% Floor), 7.13%, 02/04/28 | 1,731 | 1,714,773 | ||||||||||
Castlelake Aviation Ltd., Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.52%, 10/22/26 | 1,598 | 1,581,902 | ||||||||||
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.50%, 0.50% Floor), 6.88%, 09/01/28 | 1,596 | 1,547,782 | ||||||||||
Delta TopCo, Inc. | ||||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 11.65%, 12/01/28 | 385 | 299,819 |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
Delta TopCo, Inc. (continued) | ||||||||||||
2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.15%, 12/01/27 | USD | 589 | $ | 542,465 | ||||||||
EG America LLC, 2018 USD Term Loan, (3 mo. LIBOR + 4.00%), 8.73%, 02/07/25 | 904 | 851,447 | ||||||||||
Gainwell Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.73%, 10/01/27 | 3,262 | 3,054,089 | ||||||||||
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 7.89%, 07/03/24 (b) | 1,673 | 1,668,517 | ||||||||||
KKR Apple Bidco LLC | ||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%, 0.50% Floor), 10.13%, 09/21/29 | 248 | 238,435 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 2.75%, 0.50% Floor), 7.13%, 09/23/28 | 602 | 592,795 | ||||||||||
LBM Acquisition LLC, Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 7.12%, 12/17/27 | 509 | 440,133 | ||||||||||
Radiate Holdco LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 7.63%, 09/25/26 | 2,560 | 2,070,474 | ||||||||||
RVR Dealership Holdings LLC, Term Loan B, (1 mo. SOFRTE + 3.75%, 0.75% Floor), 8.17%, 02/08/28 | 731 | 671,359 | ||||||||||
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3 mo. LIBOR + 2.00%), 6.73%, 11/05/28 | 1,340 | 1,331,290 | ||||||||||
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3 mo. LIBOR + 2.50%), 6.91%, 01/23/25 | 418 | 406,584 | ||||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.00%), 8.73%, 07/30/25 | 225 | 218,802 | ||||||||||
Veritas U.S., Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 9.73%, 09/01/25 | 3,720 | 2,607,789 | ||||||||||
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 7.38%, 02/28/27 | 1,660 | 1,607,966 | ||||||||||
White Cap Buyer LLC, Term Loan B, (1 mo. SOFR CME + 3.75%), 8.07%, 10/19/27 | 1,229 | 1,186,464 | ||||||||||
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 6.82%, 04/30/28 | 1,617 | 1,574,052 | ||||||||||
25,624,417 | ||||||||||||
Diversified Telecommunication Services — 1.6% | ||||||||||||
Cablevision Lightpath LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.57%, 11/30/27 | 381 | 363,350 | ||||||||||
Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.88%, 10/02/27 | 808 | 710,465 | ||||||||||
Frontier Communications Holdings LLC, 2021 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.50%, 05/01/28 | 1,977 | 1,881,880 | ||||||||||
Iridium Satellite LLC, 2021 Term Loan B2, (1 mo. LIBOR + 2.50%, 0.75% Floor), 6.92%, 11/04/26 | 1,803 | 1,784,471 | ||||||||||
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 6.13%, 03/01/27 | 1,496 | 1,430,857 | ||||||||||
Virgin Media SFA Finance Ltd., GBP Term Loan L, (1 mo. SONIA + 3.25%), 6.21%, 01/15/27 | GBP | 1,000 | 1,115,256 | |||||||||
7,286,279 |
S C H E D U L E O F IN V E S T M E N T S | 51 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Electric Utilities — 0.9% | ||||||||||||
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 7.24%, 12/15/27 | USD | 1,255 | $ | 1,241,891 | ||||||||
Triton Water Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%, 0.50% Floor), 8.23%, 03/31/28 | 3,216 | 2,979,536 | ||||||||||
4,221,427 | ||||||||||||
Electrical Equipment — 0.9% | ||||||||||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (6 mo. LIBOR + 4.75%, 0.75% Floor), 9.48%, 06/23/28 | 1,529 | 1,449,665 | ||||||||||
AZZ, Inc., Term Loan B, (1 mo. SOFR CME + 4.25%, 0.50% Floor), 8.67%, 05/13/29 | 262 | 262,022 | ||||||||||
Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%, 0.75% Floor), 6.88%, 03/31/27 | 2,419 | 2,363,432 | ||||||||||
4,075,119 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.4% | ||||||||||||
Coherent Corp., 2022 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.13%, 07/02/29 | 1,701 | 1,678,977 | ||||||||||
Entertainment — 0.3% | ||||||||||||
Delta 2 Lux SARL, Term Loan B, (3 mo. SOFR CME + 3.25%, 0.50% Floor), 7.57%, 01/15/30 | 1,291 | 1,289,386 | ||||||||||
Environmental, Maintenance & Security Service — 0.7% | ||||||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 6.13%, 09/07/27 | 1,968 | 1,964,421 | ||||||||||
TruGreen LP, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 8.38%, 11/02/27 | 1,211 | 1,073,048 | ||||||||||
3,037,469 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.2% | ||||||||||||
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 6.39%, 05/11/24 | 865 | 859,873 | ||||||||||
Food & Staples Retailing — 0.6% | ||||||||||||
Nomad Foods U.S. LLC, 2022 Term Loan B, (3 mo. SOFR CME + 3.75%, 0.50% Floor), 8.23%, 11/12/29 | 1,012 | 1,008,109 | ||||||||||
U.S. Foods, Inc. | ||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 2.00%), 6.38%, 09/13/26 | 713 | 705,193 | ||||||||||
2021 Term Loan B, (1 mo. LIBOR + 2.75%), 7.13%, 11/22/28 | 977 | 970,507 | ||||||||||
2,683,809 | ||||||||||||
Food Products — 2.4% | ||||||||||||
8th Avenue Food & Provisions, Inc. | ||||||||||||
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 8.13%, 10/01/25 | 1,189 | 985,483 | ||||||||||
2021 Incremental Term Loan, (1 mo. LIBOR + 4.75%, 0.75% Floor), 9.13%, 10/01/25 | 1,523 | 1,260,488 | ||||||||||
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 7.88%, 10/25/27 | 2,743 | 2,683,211 | ||||||||||
Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 6.63%, 01/29/27 | 3,551 | 3,449,701 | ||||||||||
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 7.63%, 02/05/26 | 402 | 396,141 |
Security | Par (000) | Value | ||||||||||
Food Products (continued) | ||||||||||||
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%, 0.75% Floor), 7.91%, 06/08/28 | USD | 1,523 | $ | 1,479,755 | ||||||||
UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. SOFR CME + 3.00%), 7.44%, 01/20/28 | 683 | 675,715 | ||||||||||
10,930,494 | ||||||||||||
Gas Utilities — 0.7% | ||||||||||||
Freeport LNG Investments LLLP, Term Loan B, (3 mo. LIBOR + 3.50%, 0.50% Floor), 7.74%, 12/21/28 | 3,480 | 3,301,476 | ||||||||||
Health Care Equipment & Supplies — 1.7% | ||||||||||||
Electron BidCo, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.00%, 0.50% Floor), 7.38%, 11/01/28 | 2,191 | 2,129,887 | ||||||||||
Insulet Corp., Term Loan B, (3 mo. SOFR CME + 3.25%), 7.69%, 05/04/28 | 765 | 753,390 | ||||||||||
Medline Borrower LP, USD Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 10/23/28 | 4,348 | 4,125,649 | ||||||||||
Venga Finance SARL, 2021 USD Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 9.48%, 12/04/28 | 649 | 593,156 | ||||||||||
7,602,082 | ||||||||||||
Health Care Providers & Services — 3.0% | ||||||||||||
CHG Healthcare Services, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 09/29/28 | 1,023 | 999,182 | ||||||||||
Envision Healthcare Corp. | ||||||||||||
2022 First Out Term Loan, (3 mo. SOFR CME + 7.88%, 1.00% Floor), 12.61%, 03/31/27 | 177 | 156,513 | ||||||||||
2022 Second Out Term Loan, (3 mo. SOFR CME + 4.25%, 1.00% Floor), 8.83%, 03/31/27 | 1,176 | 399,846 | ||||||||||
EyeCare Partners LLC | ||||||||||||
2020 Term Loan, (3 mo. LIBOR + 3.75%), 8.48%, 02/18/27 | 1,669 | 1,329,382 | ||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.50% Floor), 11.48%, 11/15/29 | 581 | 472,449 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 3.75%, 0.50% Floor), 8.48%, 11/15/28 | 535 | 448,648 | ||||||||||
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 9.23%, 03/05/26 | 1,044 | 891,655 | ||||||||||
Ingenovis Health, Inc., Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.14%, 03/06/28 | 1,620 | 1,538,532 | ||||||||||
Orbcomm, Inc., Term Loan B, (1 mo. LIBOR + 4.25%, 0.75% Floor), 8.81%, 09/01/28 | 872 | 742,670 | ||||||||||
PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.88%, 02/14/25 | 52 | 48,658 | ||||||||||
Sotera Health Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.16%, 12/11/26 | 2,539 | 2,335,880 | ||||||||||
Surgery Center Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.05%, 08/31/26 | 595 | 586,713 | ||||||||||
Vizient, Inc., 2022 Term Loan B, (1 mo. SOFR CME + 2.25%, 0.50% Floor), 6.67%, 04/28/29 | 336 | 335,553 |
52 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
WCG Purchaser Corp., 2019 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 8.38%, 01/08/27 | USD | 1,442 | $ | 1,304,831 | ||||||||
WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 12/22/28 | 1,856 | 1,851,732 | ||||||||||
13,442,244 | ||||||||||||
Health Care Services — 0.3% | ||||||||||||
Azalea Topco, Inc., Term Loan, (1 mo. LIBOR + 3.50%), 7.88%, 07/24/26 | 968 | 884,421 | ||||||||||
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 0.50% Floor), 11.38%, 11/01/29 | 611 | 562,120 | ||||||||||
1,446,541 | ||||||||||||
Health Care Technology — 2.6% | ||||||||||||
AthenaHealth Group, Inc. | �� | |||||||||||
2022 Delayed Draw Term loan, (3 mo. SOFR CME + 3.50%), 7.82%, 02/15/29 | 367 | 110,296 | ||||||||||
2022 Term Loan B, (1 mo. SOFR CME + 3.50%, 0.50% Floor), 7.82%, 02/15/29 | 2,999 | 2,589,877 | ||||||||||
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 7.13%, 10/10/25 | 719 | 698,709 | ||||||||||
Polaris Newco LLC, USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.50% Floor), 8.73%, 06/02/28 | 4,160 | 3,786,656 | ||||||||||
Press Ganey Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 07/24/26 | 1,689 | 1,548,230 | ||||||||||
Verscend Holding Corp., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 0.50% Floor), 11.38%, 04/02/29 (b) | 3,092 | 3,045,620 | ||||||||||
11,779,388 | ||||||||||||
Hotels, Restaurants & Leisure — 7.0% | ||||||||||||
Aristocrat Technologies, Inc., 2022 Term Loan B, (3 mo. SOFR CME + 2.25%, 0.50% Floor), 6.93%, 05/24/29 | 101 | 100,779 | ||||||||||
Bally’s Corp., 2021 Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.54%, 10/02/28 | 899 | 829,296 | ||||||||||
Burger King (Restaurant Brands Int), Term Loan B4, (3 mo. LIBOR + 1.75%), 6.14%, 11/19/26 | 2,430 | 2,384,561 | ||||||||||
Caesars Resort Collection LLC | ||||||||||||
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 7.13%, 12/23/24 | 1,526 | 1,520,927 | ||||||||||
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 7.88%, 07/21/25 | 691 | 689,070 | ||||||||||
Carnival Corp., USD Term Loan B, (1 mo. LIBOR + 3.00%, 0.75% Floor), 7.38%, 06/30/25 | 1,443 | 1,379,941 | ||||||||||
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 6.39%, 03/17/28 | 773 | 764,853 | ||||||||||
ECL Entertainment LLC, Term Loan, (1 mo. LIBOR + 7.50%, 0.75% Floor), 11.88%, 05/01/28 | 572 | 570,379 | ||||||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 7.73%, 03/08/24 | 3,872 | 2,899,121 | ||||||||||
Fertitta Entertainment LLC, 2022 Term Loan B, (1 mo. SOFRTE + 4.00%, 0.50% Floor), 8.32%, 01/27/29 | 4,124 | 3,913,045 |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Flutter Financing B.V., 2022 USD Term Loan B, (3 mo. SOFR CME + 3.25%, 0.50% Floor), 8.09%, 07/22/28 | USD | 1,182 | $ | 1,175,312 | ||||||||
Four Seasons Hotels Ltd., 2022 Term Loan B, (1 mo. SOFR CME + 3.25%, 0.50% Floor), 7.67%, 11/30/29 | 3,065 | 3,064,032 | ||||||||||
IRB Holding Corp., 2020 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 7.13%, 02/05/25 | 1,573 | 1,556,813 | ||||||||||
Penn National Gaming, Inc., 2022 Term Loan B, (1 mo. SOFR CME + 2.75%, 0.50% Floor), 7.17%, 05/03/29 | 1,483 | 1,465,726 | ||||||||||
Playa Resorts Holding B.V., 2022 Term Loan B, (3 mo. SOFR CME + 4.25%, 0.50% Floor), 8.58%, 01/05/29 | 479 | 466,129 | ||||||||||
Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 7.13%, 03/13/28 | 1,504 | 1,432,386 | ||||||||||
Scientific Games International, Inc., 2022 USD Term Loan, (1 mo. SOFR CME + 3.00%, 0.50% Floor), 7.42%, 04/14/29 | 814 | 800,830 | ||||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 6.98%, 07/21/26 | 1,110 | 1,092,844 | ||||||||||
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%, 0.25% Floor), 6.64%, 02/08/27 | 2,049 | 1,997,133 | ||||||||||
Travelport Finance Luxembourg SARL, 2021 Consented Term Loan, 05/29/26 (h) | 1,440 | 994,646 | ||||||||||
Whatabrands LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 08/03/28 | 2,262 | 2,183,450 | ||||||||||
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 6.13%, 05/30/25 | 534 | 532,899 | ||||||||||
31,814,172 | ||||||||||||
Household Durables — 1.7% | ||||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (6 mo. LIBOR + 4.25%, 0.50% Floor), 8.98%, 05/17/28 | 1,645 | 1,224,252 | ||||||||||
Hunter Douglas, Inc., USD Term Loan B1, (3 mo. SOFR CME + 3.50%), 7.86%, 02/26/29 | 2,408 | 2,109,405 | ||||||||||
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 6.13%, 02/04/27 | 1,491 | 1,477,705 | ||||||||||
Snap One Holdings Corp., Term Loan B, (1 mo. LIBOR + 4.50%, 0.50% Floor), 8.88%, 12/08/28 (b) | 591 | 539,587 | ||||||||||
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.75%, 10/06/28 | 825 | 671,773 | ||||||||||
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 7.63%, 10/30/27 | 2,031 | 1,706,017 | ||||||||||
7,728,739 | ||||||||||||
Household Products — 0.1% | ||||||||||||
Spectrum Brands, Inc., 2021 Term Loan, (3 mo. LIBOR + 2.00%, 0.50% Floor), 6.60%, 03/03/28 | 534 | 522,828 | ||||||||||
Independent Power and Renewable Electricity Producers — 0.6% | ||||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 6.38%, 01/15/25 | 501 | 499,626 |
S C H E D U L E O F IN V E S T M E N T S | 53 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Independent Power and Renewable Electricity Producers (continued) | ||||||||||||
Calpine Corp. | ||||||||||||
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 6.38%, 08/12/26 | USD | 702 | $ | 692,641 | ||||||||
Term Loan B9, (1 mo. LIBOR + 2.00%), 6.39%, 04/05/26 | 1,504 | 1,482,452 | ||||||||||
2,674,719 | ||||||||||||
Industrial Conglomerates — 1.9% | ||||||||||||
AVSC Holding Corp. | ||||||||||||
2020 Term Loan B1, (3 mo. LIBOR + 3.25%, 1.00% Floor), 7.68%, 03/03/25 | 1,005 | 919,086 | ||||||||||
2020 Term Loan B3, (3 mo. LIBOR + 15.00%), 15.00%, 10/15/26 | 918 | 967,060 | ||||||||||
Diamond BC BV, 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.16%, 09/29/28 | 1,731 | 1,670,471 | ||||||||||
Stitch Aquisition Corp., Term Loan B, (3 mo. LIBOR + 6.75%, 0.75% Floor), 11.48%, 07/28/28 | 1,086 | 919,695 | ||||||||||
Vertical U.S. Newco, Inc., Term Loan B, (6 mo. LIBOR + 3.50%, 0.50% Floor), 6.87%, 07/30/27 | 1,896 | 1,823,743 | ||||||||||
Vertiv Group Corp., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 6.89%, 03/02/27 | 2,436 | 2,339,387 | ||||||||||
8,639,442 | ||||||||||||
Insurance — 5.1% | ||||||||||||
Alliant Holdings Intermediate LLC | ||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 05/09/25 | 2,884 | 2,842,720 | ||||||||||
2021 Term Loan B4, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.85%, 11/06/27 | 3,788 | 3,697,226 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 05/09/25 | 1,013 | 999,044 | ||||||||||
AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 6.63%, 02/19/28 | 3,363 | 3,298,415 | ||||||||||
AssuredPartners, Inc. | ||||||||||||
2020 Term Loan B, (1 mo. LIBOR + 3.50%), 7.88%, 02/12/27 | 1,404 | 1,361,028 | ||||||||||
2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 02/12/27 | 880 | 850,947 | ||||||||||
Hub International Ltd. | ||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 3.00%), 7.33%, 04/25/25 | 2,847 | 2,812,410 | ||||||||||
2021 Term Loan B, (3 mo. LIBOR + 3.25%, 0.75% Floor), 7.53%, 04/25/25 | 2,666 | 2,639,054 | ||||||||||
2022 Term Loan B, (3 mo. SOFR CME + 4.00%, 0.75% Floor), 8.22%, 11/10/29 | 547 | 540,469 | ||||||||||
NFP Corp., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 7.63%, 02/15/27 | 186 | 177,228 | ||||||||||
Ryan Specialty Group LLC, Term Loan, (1 mo. SOFR CME + 3.00%, 0.75% Floor), 7.42%, 09/01/27 | 1,359 | 1,348,118 | ||||||||||
Sedgwick Claims Management Services, Inc. 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 12/31/25 | 786 | 763,594 | ||||||||||
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 8.13%, 09/03/26 | 1,018 | 997,636 | ||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 8.63%, 09/03/26 | 815 | 803,461 | ||||||||||
23,131,350 |
Security | Par (000) | Value | ||||||||||
Interactive Media & Services — 1.6% | ||||||||||||
Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 2.75%, 0.75% Floor), 7.48%, 06/26/28 | USD | 1,733 | $ | 1,709,709 | ||||||||
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 7.38%, 10/30/26 | 2,338 | 2,300,108 | ||||||||||
Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 6.38%, 08/10/27 | 732 | 724,420 | ||||||||||
Grab Holdings, Inc., Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 8.89%, 01/29/26 | 2,311 | 2,276,769 | ||||||||||
7,011,006 | ||||||||||||
Internet & Direct Marketing Retail — 0.8% | ||||||||||||
CNT Holdings I Corp., 2020 Term Loan, (3 mo. SOFR CME + 3.50%, 0.75% Floor), 7.24%, 11/08/27 | 1,837 | 1,775,133 | ||||||||||
Go Daddy Operating Co. LLC, 2022 Term Loan B5, (1 mo. SOFR CME + 3.25%), 7.57%, 10/21/29 | 1,489 | 1,485,069 | ||||||||||
PUG LLC, 2021 Incremental Term Loan B, (1 mo. LIBOR + 4.25%, 0.50% Floor), 8.63%, 02/12/27 (b) | 367 | 303,064 | ||||||||||
3,563,266 | ||||||||||||
Internet Software & Services — 0.4% | ||||||||||||
Uber Technologies, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 8.23%, 02/25/27 | 1,766 | 1,761,432 | ||||||||||
IT Services — 6.8% | ||||||||||||
Aruba Investments Holdings LLC | ||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 0.75% Floor), 12.14%, 11/24/28 | 1,440 | 1,303,200 | ||||||||||
2020 USD Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.14%, 11/24/27 | 765 | 741,818 | ||||||||||
Boxer Parent Co., Inc., 2021 USD Term Loan, (1 mo. LIBOR + 3.75%), 8.13%, 10/02/25 | 2,036 | 1,946,426 | ||||||||||
Camelot Finance SA, Term Loan B, (1 mo. LIBOR + 3.00%), 7.38%, 10/30/26 | 1,948 | 1,914,501 | ||||||||||
CCC Intelligent Solutions, Inc., Term Loan, (1 mo. LIBOR + 2.25%, 0.50% Floor), 6.63%, 09/21/28 | 1,683 | 1,666,170 | ||||||||||
CoreLogic, Inc. | ||||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.50% Floor), 10.94%, 06/04/29 | 1,416 | 991,558 | ||||||||||
Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.94%, 06/02/28 | 3,374 | 2,804,275 | ||||||||||
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 1.75%), 6.13%, 04/28/28 | 2,044 | 2,020,224 | ||||||||||
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1 mo. LIBOR + 4.00%, 0.75% Floor), 8.38%, 12/01/27 | 4,407 | 4,222,237 | ||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 7.88%, 02/12/27 | 2,529 | 2,082,276 | ||||||||||
Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 12.73%, 10/09/28 | 4,215 | 4,183,387 | ||||||||||
TierPoint LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 05/05/26 | 960 | 895,378 | ||||||||||
Trans Union LLC | ||||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 6.13%, 11/16/26 | 1,854 | 1,825,628 | ||||||||||
2021 Term Loan B6, (1 mo. LIBOR + 2.25%, 0.50% Floor), 6.63%, 12/01/28 | 2,405 | 2,378,561 |
54 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
IT Services (continued) | ||||||||||||
Virtusa Corp., First Lien Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 02/11/28 | USD | 699 | $ | 673,067 | ||||||||
WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 6.63%, 03/31/28 | 973 | 965,516 | ||||||||||
ZoomInfo LLC, 2021 Term Loan B, (1 mo. SOFR CME + 3.00%), 7.48%, 02/02/26 | 218 | 216,978 | ||||||||||
30,831,200 | ||||||||||||
Leisure Products — 0.5% | ||||||||||||
Fender Musical Instruments Corp., 2021 Term Loan B, (3 mo. SOFRTE + 4.00%, 0.50% Floor), 8.42%, 12/01/28 (b) | 976 | 783,633 | ||||||||||
MND Holdings III Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 8.23%, 06/19/24 | 979 | 933,036 | ||||||||||
Peloton Interactive, Inc., Term Loan, (2 mo. SOFR CME + 6.50%, 0.50% Floor), 11.76%, 05/25/27 | 344 | 337,670 | ||||||||||
2,054,339 | ||||||||||||
Life Sciences Tools & Services — 2.9% | ||||||||||||
Avantor Funding, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.25%, 0.50% Floor), 6.63%, 11/08/27 | 2,084 | 2,071,407 | ||||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 8.88%, 02/04/27 | 3,312 | 2,913,058 | ||||||||||
ICON Luxembourg SARL, LUX Term Loan, (3 mo. LIBOR + 2.25%, 0.50% Floor), 7.00%, 07/03/28 | 2,535 | 2,524,996 | ||||||||||
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3 mo. SOFRTE + 3.00%, 0.50% Floor), 6.96%, 10/19/27 | 1,491 | 1,461,176 | ||||||||||
Parexel International Corp., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 11/15/28 | 3,408 | 3,276,589 | ||||||||||
PRA Health Sciences, Inc., US Term Loan, (3 mo. LIBOR + 2.25%, 0.50% Floor), 7.00%, 07/03/28 | 632 | 629,106 | ||||||||||
12,876,332 | ||||||||||||
Machinery — 3.2% | ||||||||||||
Albion Acquisitions Ltd., USD Term Loan, (3 mo. LIBOR + 5.25%, 0.50% Floor), 9.57%, 08/17/26 | 1,835 | 1,730,701 | ||||||||||
Clark Equipment Co., 2022 Term Loan B, (3 mo. SOFR CME + 2.50%, 0.50% Floor), 7.18%, 04/20/29 | 303 | 298,078 | ||||||||||
Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.50%, 05/14/28 | 388 | 382,263 | ||||||||||
Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 10/21/28 | 1,173 | 1,149,687 | ||||||||||
Fluidra SA, 2022 USD Term Loan B, (1 mo. SOFR CME + 2.00%), 6.42%, 01/29/29 | 309 | 292,741 | ||||||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. SOFR CME + 1.75%), 6.17%, 03/01/27 | 2,224 | 2,203,268 | ||||||||||
Madison IAQ LLC, Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.99%, 06/21/28 | 3,711 | 3,443,915 | ||||||||||
SPX Flow, Inc., 2022 Term Loan, (1 mo. SOFR CME + 4.50%, 0.50% Floor), 8.92%, 04/05/29 | 1,387 | 1,291,950 |
Security | Par (000) | Value | ||||||||||
Machinery (continued) | ||||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 8.15%, 03/28/25 | USD | 3,874 | $ | 3,611,018 | ||||||||
Zurn LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.00%, 0.50% Floor), 6.38%, 10/04/28 | 126 | 125,259 | ||||||||||
14,528,880 | ||||||||||||
Media — 11.5% | ||||||||||||
Altice Financing SA | ||||||||||||
2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 6.83%, 07/15/25 | 1,084 | 1,047,679 | ||||||||||
USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 6.83%, 01/31/26 | 1,555 | 1,492,825 | ||||||||||
Altice France SA/France, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 8.65%, 08/14/26 | 3,465 | 3,214,994 | ||||||||||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.00%), 7.27%, 04/22/26 | 1,507 | 811,444 | ||||||||||
Cable One, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 6.38%, 05/03/28 | 1,030 | 1,003,522 | ||||||||||
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 6.14%, 04/30/25 | 2,605 | 2,587,590 | ||||||||||
City Football Group Ltd., Term Loan, (1 mo. LIBOR + 3.00%, 0.50% Floor), 7.36%, 07/21/28 | 1,583 | 1,476,157 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 7.91%, 08/21/26 | 3,827 | 3,478,164 | ||||||||||
CMG Media Corp., 2021 Term Loan, (3 mo. LIBOR + 3.50%), 8.23%, 12/17/26 | — | (i) | 291 | |||||||||
Connect Finco SARL, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 7.89%, 12/11/26 | 6,657 | 6,554,708 | ||||||||||
CSC Holdings LLC | ||||||||||||
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 6.57%, 07/17/25 | 1,187 | 1,171,749 | ||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 6.82%, 04/15/27 | 837 | 745,263 | ||||||||||
E.W. Scripps Co., 2020 Term Loan B3, (1 mo. LIBOR + 2.75%, 0.75% Floor), 7.13%, 01/07/28 | 551 | 534,548 | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 7.64%, 12/01/23 | 872 | 649,402 | ||||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 6.63%, 03/24/25 | 1,316 | 1,253,212 | ||||||||||
Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 6.13%, 10/17/26 | 2,531 | 2,467,405 | ||||||||||
MH Sub I LLC | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 8.13%, 09/13/24 | 3,352 | 3,251,999 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 8.13%, 09/13/24 | 1,929 | 1,872,064 | ||||||||||
2021 2nd Lien Term Loan, (3 mo. SOFR CME + 6.25%), 10.65%, 02/23/29 | 2,021 | 1,801,329 | ||||||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 6.88%, 09/18/26 | 794 | 786,299 | ||||||||||
Sinclair Television Group, Inc., 2022 Term Loan B4, (1 mo. SOFR CME + 3.75%), 8.17%, 04/21/29 | 1,813 | 1,719,073 | ||||||||||
UFC Holdings LLC, 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.75% Floor), 7.11%, 04/29/26 | 901 | 888,130 | ||||||||||
UPC Financing Partnership, 2021 USD Term Loan AX, (1 mo. LIBOR + 2.93%), 7.24%, 01/31/29 | 768 | 748,513 |
S C H E D U L E O F IN V E S T M E N T S | 55 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Virgin Media Bristol LLC | ||||||||||||
2020 USD Term Loan Q, (1 mo. LIBOR + 3.25%), 7.57%, 01/31/29 | USD | 1,335 | $ | 1,320,649 | ||||||||
USD Term Loan N, (1 mo. LIBOR + 2.50%), 6.82%, 01/31/28 | 988 | 970,220 | ||||||||||
Voyage Digital Ltd., USD Term Loan B, (3 mo. SOFRTE + 4.50%, 0.50% Floor), 8.78%, 05/11/29 (b) | 1,013 | 995,184 | ||||||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 7.14%, 05/18/25 | 2,726 | 2,662,484 | ||||||||||
WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.13%), 6.51%, 01/20/28 | 2,123 | 2,095,666 | ||||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 7.38%, 03/09/27 | 5,045 | 4,072,339 | ||||||||||
51,672,902 | ||||||||||||
Oil, Gas & Consumable Fuels — 1.5% | ||||||||||||
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 8.13%, 12/13/25 | 914 | 864,047 | ||||||||||
Lealand Finance Co. BV | ||||||||||||
2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 7.38%, 06/28/24 | 40 | 25,152 | ||||||||||
2020 Take Back Term Loan, (1 mo. LIBOR + 1.00%, 3.00% PIK), 5.38%, 06/30/25 (f) | 300 | 157,124 | ||||||||||
M6 ETX Holdings II Midco LLC, Term Loan B, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 9.16%, 09/19/29 | 266 | 266,082 | ||||||||||
Medallion Midland Acquisition LLC, 2021 Term Loan, (3 mo. SOFR CME + 3.75%, 0.75% Floor), 8.59%, 10/18/28 | 1,925 | 1,903,368 | ||||||||||
Murphy USA, Inc., Term Loan B, (1 mo. LIBOR + 1.75%, 0.50% Floor), 5.93%, 01/31/28 | 639 | 638,439 | ||||||||||
Oryx Midstream Services Permian Basin LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.92%, 10/05/28 | 3,093 | 3,051,905 | ||||||||||
6,906,117 | ||||||||||||
Personal Products — 1.4% | ||||||||||||
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (3 mo. SOFRTE + 6.00%, 1.00% Floor), 10.51%, 12/22/26 | 407 | 391,631 | ||||||||||
Prestige Brands, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.00%, 0.50% Floor), 6.38%, 07/03/28 | 205 | 203,943 | ||||||||||
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.48%, 10/01/26 | 6,060 | 5,793,672 | ||||||||||
6,389,246 | ||||||||||||
Pharmaceuticals — 2.4% | ||||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 8.09%, 05/04/25 | 1,214 | 1,084,304 | ||||||||||
Bausch Health Cos., Inc., 2022 Term Loan B, (1 mo. SOFR CME + 5.25%, 0.50% Floor), 9.67%, 02/01/27 | 1,137 | 860,656 | ||||||||||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%, 0.50% Floor), 6.38%, 02/22/28 | 1,592 | 1,563,350 | ||||||||||
Elanco Animal Health, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 5.87%, 08/01/27 | 1,470 | 1,409,028 |
Security | Par (000) | Value | ||||||||||
Pharmaceuticals (continued) | ||||||||||||
Jazz Financing Lux SARL, USD Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 05/05/28 USD | 2,187 | $ | 2,164,949 | |||||||||
Option Care Health, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.75%, 0.50% Floor), 7.13%, 10/27/28 | 701 | 694,576 | ||||||||||
Organon & Co., USD Term Loan, (3 mo. LIBOR + 3.00%, 0.50% Floor), 7.75%, 06/02/28 | 1,542 | 1,525,039 | ||||||||||
Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 7.73%, 11/18/27 (b) | 1,454 | 1,345,605 | ||||||||||
10,647,507 | ||||||||||||
Professional Services — 1.5% | ||||||||||||
Dun & Bradstreet Corp. | ||||||||||||
2022 Incremental Term Loan B2, (1 mo. SOFR CME + 3.25%), 7.57%, 01/18/29 | 712 | 698,728 | ||||||||||
Term Loan, (1 mo. LIBOR + 3.25%), 7.64%, 02/06/26 | 2,333 | 2,307,433 | ||||||||||
Element Materials Technology Group U.S. Holdings, Inc. | ||||||||||||
2022 USD Delayed Draw Term Loan, (3 mo. SOFR CME + 4.25%, 0.50% Floor), 8.93%, 07/06/29 | 608 | 592,902 | ||||||||||
2022 USD Term Loan, (3 mo. SOFR CME + 4.25%, 0.50% Floor), 8.93%, 07/06/29 | 1,317 | 1,284,622 | ||||||||||
Galaxy U.S. Opco, Inc., Term Loan, (1 mo. SOFR CME + 4.75%, 0.50% Floor), 9.07%, 04/29/29 | 2,016 | 1,819,440 | ||||||||||
6,703,125 | ||||||||||||
Real Estate Management & Development — 1.0% | ||||||||||||
Chariot Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 11/03/28 | 2,457 | 2,311,789 | ||||||||||
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 7.13%, 08/21/25 | 2,353 | 2,295,014 | ||||||||||
4,606,803 | ||||||||||||
Road & Rail — 0.4% | ||||||||||||
Avis Budget Car Rental LLC, 2020 Term Loan B, (1 mo. LIBOR + 1.75%), 6.14%, 08/06/27 | 659 | 636,717 | ||||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.50%), 9.88%, 08/04/25 | 1,176 | 1,048,326 | ||||||||||
1,685,043 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.4% | ||||||||||||
MKS Instruments, Inc., 2022 USD Term Loan B, 08/17/29 (h) | 1,157 | 1,141,190 | ||||||||||
Synaptics, Inc., Term Loan B, (6 mo. LIBOR + 2.25%, 0.50% Floor), 7.40%, 12/02/28 | 626 | 611,988 | ||||||||||
1,753,178 | ||||||||||||
Software — 12.5% | ||||||||||||
Applied Systems, Inc., 2022 Extended 1st Lien Term Loan, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 9.08%, 09/18/26 | 734 | 729,315 | ||||||||||
Barracuda Networks, Inc., 2022 Term Loan, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 8.59%, 08/15/29 | 766 | 737,382 | ||||||||||
Central Parent, Inc., 2022 USD Term Loan B, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 9.08%, 07/06/29 | 733 | 725,501 | ||||||||||
Cloudera, Inc. | ||||||||||||
2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%, 0.50% Floor), 10.38%, 10/08/29 | 780 | 648,703 |
56 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
Cloudera, Inc. (continued) | ||||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.50% Floor), 8.13%, 10/08/28 | USD | 1,442 | $ | 1,353,123 | ||||||||
Cornerstone OnDemand, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.50% Floor), 8.13%, 10/16/28 | 1,196 | 1,064,407 | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 05/28/24 | 1,028 | 861,857 | ||||||||||
E2open LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.68%, 02/04/28 | 284 | 278,886 | ||||||||||
Epicor Software Corp., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 12.13%, 07/31/28 | 2,141 | 2,105,674 | ||||||||||
Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. SOFR CME + 3.75%), 8.48%, 03/11/28 | 1,394 | 1,364,543 | ||||||||||
Informatica LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 7.19%, 10/27/28 | 3,839 | 3,758,510 | ||||||||||
Instructure Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 6.12%, 10/30/28 (b) | 729 | 714,898 | ||||||||||
IPS Corp. | ||||||||||||
2021 2nd Lien Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 11.38%, 10/01/29 (b) | 1,046 | 878,640 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 10/02/28 | 596 | 529,858 | ||||||||||
Magenta Buyer LLC | ||||||||||||
2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 9.17%, 07/27/28 | 2,420 | 2,060,248 | ||||||||||
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 0.75% Floor), 12.67%, 07/27/29 | 2,204 | 1,726,228 | ||||||||||
McAfee Corp., 2022 USD Term Loan B, (1 mo. SOFR CME + 3.75%), 7.97%, 03/01/29 | 3,476 | 3,226,652 | ||||||||||
Planview Parent, Inc. | ||||||||||||
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 11.98%, 12/18/28 | 930 | 823,050 | ||||||||||
Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.73%, 12/17/27 | 1,055 | 976,571 | ||||||||||
Proofpoint, Inc. | ||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.98%, 08/31/28 | 2,803 | 2,689,087 | ||||||||||
2nd Lien Term Loan, (3 mo. LIBOR + 6.25%, 0.50% Floor), 10.98%, 08/31/29 | 1,451 | 1,388,128 | ||||||||||
RealPage, Inc. | ||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 0.50% Floor), 7.38%, 04/24/28 | 6,224 | 5,906,827 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.75% Floor), 10.88%, 04/23/29 | 2,965 | 2,839,133 | ||||||||||
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 7.63%, 05/30/25 | 673 | 640,602 | ||||||||||
Severin Acquisition LLC, 2018 Term Loan B, (3 mo. SOFR CME + 3.00%), 7.09%, 08/01/25 | 2,769 | 2,745,201 | ||||||||||
Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.50% Floor), 8.23%, 10/07/27 | 2,304 | 2,218,857 | ||||||||||
Tempo Acquisition LLC, 2022 Term Loan B, (1 mo. SOFR CME + 3.00%), 7.32%, 08/31/28 | 4,804 | 4,784,406 |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
TIBCO Software, Inc., 2022 USD Term Loan, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 9.18%, 03/30/29 | USD | 3,841 | $ | 3,423,291 | ||||||||
Ultimate Software Group, Inc. | ||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.25%, 0.50% Floor), 9.00%, 05/03/27 | 1,402 | 1,283,564 | ||||||||||
2021 Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.00%, 05/04/26 | 1,271 | 1,206,991 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 8.13%, 05/04/26 | 2,621 | 2,522,987 | ||||||||||
56,213,120 | ||||||||||||
Specialty Retail — 4.2% | ||||||||||||
Belron Finance U.S. LLC | ||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 6.94%, 11/13/25 | 435 | 432,162 | ||||||||||
2019 USD Term Loan B3, (3 mo. LIBOR + 2.25%), 6.69%, 10/30/26 | 866 | 860,796 | ||||||||||
2021 USD Term Loan B, (3 mo. LIBOR + 2.50%, 0.50% Floor), 7.06%, 04/13/28 | 2,997 | 2,962,690 | ||||||||||
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (1 day SONIA + 4.25%), 6.54%, 06/23/25 | GBP | 1,000 | 1,102,828 | |||||||||
EG Group Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.25%, 0.50% Floor), 8.98%, 03/31/26 | USD | 567 | 529,055 | |||||||||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 11/24/28 (b) | 681 | 667,498 | ||||||||||
Mavis Tire Express Services Corp., 2021 Term Loan B, (1 mo. SOFR CME + 4.00%, 0.75% Floor), 8.50%, 05/04/28 | 2,995 | 2,851,088 | ||||||||||
MED ParentCo LP, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 8.63%, 08/31/26 | 1,702 | 1,445,507 | ||||||||||
Midas Intermediate Holdco II LLC, (1 mo. SOFR CME + 8.35%, 0.75% Floor), 12.67%, 06/30/27 | 1,720 | 1,495,233 | ||||||||||
PetSmart, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 02/11/28 | 3,682 | 3,595,870 | ||||||||||
Restoration Hardware, Inc., 2022 Incremental Term Loan, (1 mo. SOFR CME + 3.25%, 0.50% Floor), 7.67%, 10/20/28 | 866 | 807,655 | ||||||||||
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 11/01/28 | 1,407 | 1,315,435 | ||||||||||
Woof Holdings, Inc. | ||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.10%, 12/21/27 | 545 | 511,660 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 0.75% Floor), 11.60%, 12/21/28 | 560 | 504,000 | ||||||||||
19,081,477 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.1% | ||||||||||||
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 9.38%, 07/23/26 | 803 | 532,369 | ||||||||||
Textiles, Apparel & Luxury Goods — 0.3% | ||||||||||||
Crocs, Inc., Term Loan B, (3 mo. SOFRTE + 3.50%, 0.50% Floor), 7.80%, 02/20/29 | 1,374 | 1,344,446 | ||||||||||
S C H E D U L E O F IN V E S T M E N T S | 57 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Trading Companies & Distributors — 0.7% | ||||||||||||
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 6.63%, 05/19/28 | USD | 1,375 | $ | 1,360,865 | ||||||||
ION Trading Finance Ltd., 2021 USD Term Loan, (3 mo. LIBOR + 4.75%), 9.48%, 04/03/28 | 674 | 637,163 | ||||||||||
SRS Distribution, Inc., 2022 Incremental Term Loan, (1 mo. SOFR CME + 3.50%), 7.92%, 06/02/28 | 989 | 943,918 | ||||||||||
2,941,946 | ||||||||||||
Wireless Telecommunication Services — 1.0% | ||||||||||||
GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.16%, 04/30/28 | 1,093 | 1,082,657 | ||||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 6.14%, 04/11/25 | 3,343 | 3,327,812 | ||||||||||
4,410,469 | ||||||||||||
Total Floating Rate Loan Interests — 127.7% (Cost: $606,949,250) | 576,252,448 | |||||||||||
Shares | ||||||||||||
Investment Companies | ||||||||||||
Fixed Income Funds — 0.5% | ||||||||||||
Invesco Senior Loan ETF | 64,300 | 1,320,079 | ||||||||||
iShares iBoxx High Yield Corporate Bond ETF (j) | 10,000 | 736,300 | ||||||||||
2,056,379 | ||||||||||||
Total Investment Companies — 0.5% (Cost: $2,126,126) | 2,056,379 | |||||||||||
Benefical Interest (000) | ||||||||||||
Other Interests | ||||||||||||
IT Services (b)(k) — 0.0% | ||||||||||||
Millennium Corp. Claim | USD | 1,508 | — | |||||||||
Millennium Lender Claim Trust | 1,607 | — | ||||||||||
Total Other Interests — 0.0% (Cost: $ —) | — | |||||||||||
Security | Shares | Value | ||||||||||
Warrants | ||||||||||||
Consumer Discretionary — 0.0% | ||||||||||||
Service King (Carnelian Point), (Expires 06/30/27, Strike Price USD 10.00) (a) | 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) (a) | 999 | 12,587 | ||||||||||
Total Warrants — 0.0% (Cost: $ — ) | 12,587 | |||||||||||
Total Investments — 130.5% (Cost: $626,045,868) | 588,749,586 | |||||||||||
Liabilities in Excess of Other Assets — (30.5)% | (137,562,068 | ) | ||||||||||
Net Assets — 100.0% | $ | 451,187,518 | ||||||||||
(a) | Non-income producing security. |
(b) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(c) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,342, representing less than 0.05% of its net assets as of period end, and an original cost of $214,007. |
(d) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(e) | Issuer filed for bankruptcy and/or is in default. |
(f) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(g) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(h) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(i) | Rounds to less than 1,000. |
(j) | Affiliate of the Fund. |
(k) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
Affiliated Issuer | Value at 12/31/21 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 12/31/22 | Shares Held at 12/31/22 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class (a) | $ | — | $ | 76,596,610 | $ | (76,596,610 | ) | $ | — | $ | — | $ | — | — | $ | 9,089 | $ | — | ||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | — | 719,537 | — | — | 16,763 | 736,300 | 10,000 | 7,156 | — | |||||||||||||||||||||||||||
$ | — | $ | 16,763 | $ | 736,300 | $ | 16,245 | $ | — | |||||||||||||||||||||||||||
(a) | As of period end, the entity is no longer held. |
58 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
USD | 2,099,701 | GBP | 1,717,000 | Westpac Banking Corp. | 03/15/23 | $ | 20,322 | |||||||||||||||||||||||
USD | 749,471 | EUR | 700,000 | Bank of America N.A. | 03/15/23 | (3,437 | ) | |||||||||||||||||||||||
$ | 16,885 | |||||||||||||||||||||||||||||
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.38.V2 | 5.00 | % | Quarterly | 06/20/27 | B | USD | 4,544 | $ | 102,746 | $ | 32,238 | $ | 70,508 | |||||||||||||||||
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
Centrally Cleared Swaps (a) | $ | 32,238 | $ | — | $ | 70,508 | $ | — |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 20,322 | $ | — | $ | — | $ | 20,322 | ||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps (a) | — | 70,508 | — | — | — | — | 70,508 | |||||||||||||||||||||
$ | — | $ | 70,508 | $ | — | $ | 20,322 | $ | — | $ | — | $ | 90,830 | |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 3,437 | $ | — | $ | — | $ | 3,437 | ||||||||||||||
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
S C H E D U L E O F IN V E S T M E N T S | 59 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 312,043 | $ | — | $ | — | $ | 312,043 | ||||||||||||||
Swaps | — | 14,580 | — | — | — | — | 14,580 | |||||||||||||||||||||
$ | — | $ | 14,580 | $ | — | $ | 312,043 | $ | — | $ | — | $ | 326,623 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 91,334 | $ | — | $ | — | $ | 91,334 | ||||||||||||||
Swaps | — | (39,474 | ) | — | — | — | — | (39,474 | ) | |||||||||||||||||||
$ | — | $ | (39,474 | ) | $ | — | $ | 91,334 | $ | — | $ | — | $ | 51,860 | ||||||||||||||
Forward foreign currency exchange contracts: | ||||
Average amounts purchased — in USD | $ | 3,556,298 | ||
Average amounts sold — in USD | $ | 287,741 | ||
Credit default swaps: | ||||
Average notional value — sell protection | $ | 6,444,050 |
Assets | Liabilities | |||||||
Derivative Financial Instruments | ||||||||
Forward foreign currency exchange contracts | $ | 20,322 | $ | 3,437 | ||||
Swaps — centrally cleared | 14 | — | ||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 20,336 | 3,437 | ||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (14 | ) | — | |||||
Total derivative assets and liabilities subject to an MNA | $ | 20,322 | $ | 3,437 | ||||
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset | Non-Cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets (a)(b) | |||||||||||||||||||
Westpac Banking Corp. | $ | 20,322 | $ | — | $ | — | $ | — | $ | 20,322 | ||||||||||||||
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities (a)(c) | |||||||||||||||||||
Bank of America N.A. | $ | 3,437 | $ | — | $ | — | $ | — | $ | 3,437 | ||||||||||||||
(a) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable due to counterparty in the event of default. |
60 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Common Stocks | ||||||||||||||||
Construction & Engineering | $ | 39,659 | $ | — | $ | — | $ | 39,659 | ||||||||
Diversified Financial Services | — | — | 3,098 | 3,098 | ||||||||||||
Electrical Equipment | 33,536 | — | — | 33,536 | ||||||||||||
Metals & Mining | — | — | 1,342 | 1,342 | ||||||||||||
Semiconductors & Semiconductor Equipment | 3,726 | — | — | 3,726 | ||||||||||||
Software | 13 | — | — | 13 | ||||||||||||
Specialty Retail | — | 548,437 | — | 548,437 | ||||||||||||
Corporate Bonds | — | 9,798,361 | — | 9,798,361 | ||||||||||||
Floating Rate Loan Interests | — | 564,122,997 | 12,129,451 | 576,252,448 | ||||||||||||
Investment Companies | 2,056,379 | — | — | 2,056,379 | ||||||||||||
Other Interests | — | — | — | — | ||||||||||||
Warrants | 12,587 | — | — | 12,587 | ||||||||||||
Liabilities | ||||||||||||||||
Unfunded Floating Rate Loan Interests (a) | — | (48,486 | ) | — | (48,486 | ) | ||||||||||
$ | 2,145,900 | $ | 574,421,309 | $ | 12,133,891 | $ | 588,701,100 | |||||||||
Derivative Financial Instruments (b) | ||||||||||||||||
Assets | ||||||||||||||||
Credit Contracts | $ | — | $ | 70,508 | $ | — | $ | 70,508 | ||||||||
Foreign Currency Exchange Contracts | — | 20,322 | — | 20,322 | ||||||||||||
Liabilities | ||||||||||||||||
Foreign Currency Exchange Contracts | — | (3,437 | ) | — | (3,437 | ) | ||||||||||
$ | — | $ | 87,393 | $ | — | $ | 87,393 | |||||||||
(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. |
Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Unfunded Floating Rate Loan Interests | Total | |||||||||||||||||||
Assets | ||||||||||||||||||||||||
Opening balance, as of December 31, 2021 | $ | 3,891 | $ — | (a) | $ | 27,319,074 | $ — | (a) | $ (589 | ) | $ | 27,322,376 | ||||||||||||
Transfers into Level 3 (b) | — | — | 8,539,037 | — | — | 8,539,037 | ||||||||||||||||||
Transfers out of Level 3 (c) | — | — | (12,534,605 | ) | — | 589 | (12,534,016 | ) | ||||||||||||||||
Accrued discounts/premiums | — | — | 23,465 | — | — | 23,465 | ||||||||||||||||||
Net realized gain (loss) | — | — | 57,705 | — | — | 57,705 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) (d)(e) | 549 | — | (827,372 | ) | — | — | (826,823 | ) |
S C H E D U L E O F IN V E S T M E N T S | 61 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Unfunded Floating Rate Loan Interests | Total | |||||||||||||||||||
Purchases | $ | — | $ | — | $ | 1,204,048 | $ | — | $ | — | $ | 1,204,048 | ||||||||||||
Sales | — | — | (11,651,901 | ) | — | — | (11,651,901 | ) | ||||||||||||||||
Closing balance, as of December 31, 2022 | $ | 4,440 | $ | — | (a) | $ | 12,129,451 | $ | — | (a) | $ | — | $ | 12,133,891 | ||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2022 (e) | $ | 549 | $ | — | $ | (701,462 | ) | $ | — | $ | — | $ | (700,913 | ) | ||||||||||
(a) | Rounds to less than $1. |
(b) | As of December 31, 2021, the Fund used observable inputs in determining the value of certain investments. As of December 31, 2022, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(c) | As of December 31, 2021, the Fund used significant unobservable inputs in determining the value of certain investments. As of December 31, 2022, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(d) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2022 is generally due to investments no longer held or categorized as Level 3 at period end. |
62 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments December 31, 2022 | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities | ||||||||
Small Business Administration, Series 2000-1, 1.00%, 11/10/21 (a) | $ | 4 | $ | — | ||||
Sterling Coofs Trust (a) | ||||||||
Series 2004-1, Class A, 2.36%, 04/15/29 | 483 | 5,371 | ||||||
Series 2004-2, Class Note, 2.08%, 03/30/30 (b) | 384 | 3,838 | ||||||
Total Asset-Backed Securities — 0.0% (Cost: $88,076) | 9,209 | |||||||
Non-Agency Mortgage-Backed Securities | ||||||||
Collateralized Mortgage Obligations — 3.1% | ||||||||
Fannie Mae REMICS, Series 2019-36, Class NJ, 3.00%, 07/25/49 | 2,355 | 1,911,944 | ||||||
Freddie Mac REMICS, Series 5083, Class IN, 4.50%, 07/25/32 | 14,765 | 1,561,079 | ||||||
Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, (1 mo. LIBOR US + 16.62%), 8.47%, 08/25/23 (c) | 2 | 2,037 | ||||||
Seasoned Credit Risk Transfer Trust | ||||||||
Series 2018-2, Class MA, 3.50%, 11/25/57 | 584 | 554,444 | ||||||
Series 2018-4, Class MA, 3.50%, 03/25/58 | 3,321 | 3,169,364 | ||||||
Series 2019-1, Class MA, 3.50%, 07/25/58 | 1,054 | 996,862 | ||||||
Series 2019-2, Class MA, 3.50%, 08/25/58 | 419 | 394,866 | ||||||
8,590,596 | ||||||||
Commercial Mortgage-Backed Securities — 2.3% | ||||||||
CSAIL Commercial Mortgage Trust (c) | ||||||||
Series 2018-C14, Class XA, 0.56%, 11/15/51 | 2,054 | 51,935 | ||||||
Series 2019-C16, Class XA, 1.55%, 06/15/52 | 6,380 | 457,028 | ||||||
Freddie Mac, Series 5249, Class LB, 4.00%, 08/25/52 . | 6,295 | 5,713,823 | ||||||
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.95%), 5.27%, 06/15/35 (b)(c) | 153 | 147,937 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2018- C44, Class XA, 0.72%, 05/15/51 (c) | 4,842 | 140,948 | ||||||
6,511,671 | ||||||||
Interest Only Collateralized Mortgage Obligations — 0.0% | ||||||||
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37 | 140 | 24,827 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2006- AR33, Class 4AX, 0.17%, 01/25/37 (a) | 19,035 | 2 | ||||||
Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 05/15/29 (a)(c) | 6,643 | 7 | ||||||
24,836 | ||||||||
Mortgage-Backed Securities — 3.6% | ||||||||
Fannie Mae REMICS, Series 2021-26, Class AI, 3.50%, 05/25/50 | 28,431 | 4,677,097 | ||||||
Freddie Mac REMICS, Series 3745, Class LK, 4.00%, 10/15/40 | 3,500 | 3,346,093 | ||||||
Ginnie Mae, Series 2022-10, Class IT, 3.50%, 01/20/52 | 12,133 | 1,981,326 | ||||||
10,004,516 |
Security | Par (000) | Value | ||||||
Principal Only Collateralized Mortgage Obligations — 0.1% | ||||||||
CHL Mortgage Pass-Through Trust, Series 2003-J8, Class PO, 0.01%, 09/25/23 | $ | 8 | $ | 8,011 | ||||
Residential Asset Securitization Trust, Series 2005- A15, Class 1A8, 0.00%, 02/25/36 | 99 | 69,345 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-9, Class CP, 0.01%, 11/25/35 | 45 | 24,760 | ||||||
102,116 | ||||||||
Total Non-Agency Mortgage-Backed Securities — 9.1% (Cost: $26,233,824) | 25,233,735 | |||||||
U.S. Government Sponsored Agency Securities | ||||||||
Agency Obligations — 3.4% | ||||||||
Federal Housing Administration, USGI Projects, Series 99, 7.43%, 10/01/23 (a) | 5 | 5,088 | ||||||
Resolution Funding Corp. Principal Strip, 0.00%, 04/15/30 (d) | 13,000 | 9,431,219 | ||||||
9,436,307 | ||||||||
Collateralized Mortgage Obligations — 63.9% | ||||||||
Fannie Mae, Series 0040, Class K, 6.50%, 08/17/24 | 5 | 4,819 | ||||||
Fannie Mae REMICS | ||||||||
Series 1993-247, Class SN, (12 mo. LIBOR US + 63.85%), 10.00%, 12/25/23 (c) | 54,952 | |||||||
Series 2004-31, Class ZG, 7.50%, 05/25/34 | 2,168 | 2,349,107 | ||||||
Series 2004-84, Class SD, (1 mo. LIBOR US + 12.75%), 5.29%, 04/25/34 (c) | 389 | 380,764 | ||||||
Series 2005-73, Class DS, (1 mo. LIBOR US + 17.55%), 6.14%, 08/25/35 (c) | 48 | 45,531 | ||||||
Series 2010-134, Class DB, 4.50%, 12/25/40 | 6,933 | 6,771,887 | ||||||
Series 2010-136, Class CY, 4.00%, 12/25/40 | 3,060 | 2,909,099 | ||||||
Series 2010-47, Class JB, 5.00%, 05/25/30 | 2,256 | 2,234,268 | ||||||
Series 2011-117, Class CP, 4.00%, 11/25/41 | 14,351 | 13,593,226 | ||||||
Series 2011-8, Class ZA, 4.00%, 02/25/41 | 4,038 | 3,844,310 | ||||||
Series 2011-99, Class CB, 4.50%, 10/25/41 | 33,499 | 32,695,915 | ||||||
Series 2012-104, Class QD, 4.00%, 09/25/42 | 1,639 | 1,500,308 | ||||||
Series 2013-81, Class YK, 4.00%, 08/25/43 | 7,000 | 6,483,898 | ||||||
Series 2017-76, Class PB, 3.00%, 10/25/57 | 3,415 | 2,530,186 | ||||||
Series 2018-32, Class PS, (1 mo. LIBOR US + 7.23%), 2.11%, 05/25/48 (c) | 4,642 | 4,085,612 | ||||||
Series 2018-50, Class EB, 4.00%, 07/25/48 | 2,001 | 1,915,183 | ||||||
Freddie Mac REMICS | ||||||||
Series 2218, Class Z, 8.50%, 03/15/30 | 414 | 439,897 | ||||||
Series 2731, Class ZA, 4.50%, 01/15/34 | 1,710 | 1,672,144 | ||||||
Series 2927, Class BZ, 5.50%, 02/15/35 | 1,782 | 1,790,920 | ||||||
Series 3745, Class ZA, 4.00%, 10/15/40 | 1,243 | 1,178,257 | ||||||
Series 3762, Class LN, 4.00%, 11/15/40 | 2,000 | 1,890,983 | ||||||
Series 3780, Class ZA, 4.00%, 12/15/40 | 3,196 | 3,037,318 | ||||||
Series 3856, Class PB, 5.00%, 05/15/41 | 6,932 | 6,978,309 | ||||||
Series 3960, Class PL, 4.00%, 11/15/41 | 2,859 | 2,740,298 | ||||||
Series 3963, Class JB, 4.50%, 11/15/41 | 564 | 549,355 | ||||||
Series 4016, Class BX, 4.00%, 09/15/41 | 15,408 | 14,656,277 | ||||||
Series 4269, Class PM, 4.00%, 08/15/41 | 8,884 | 8,262,560 | ||||||
Series 4299, Class JY, 4.00%, 01/15/44 | 1,000 | 933,787 | ||||||
Series 4384, Class LB, 3.50%, 08/15/43 | 4,378 | 4,195,904 |
S C H E D U L E O F IN V E S T M E N T S | 63 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Collateralized Mortgage Obligations (continued) | ||||||||
Freddie Mac REMICS (continued) | ||||||||
Series 4471, Class JB, 3.50%, 09/15/43 | $ | 3,932 | $ | 3,341,740 | ||||
Series 4615, Class LB, 4.50%, 09/15/41 | 7,431 | 7,251,791 | ||||||
Series 4748, Class BM, 3.50%, 11/15/47 | 3,351 | 2,828,446 | ||||||
Series 4774, Class L, 4.50%, 03/15/48 | 5,824 | 5,709,372 | ||||||
Series 4830, Class AV, 4.00%, 10/15/33 | 1,069 | 989,202 | ||||||
Series 4880, Class LG, 3.50%, 05/15/49 | 2,196 | 1,914,992 | ||||||
Ginnie Mae | ||||||||
Series 2011-88, Class PY, 4.00%, 06/20/41 | 8,393 | 8,122,891 | ||||||
Series 2012-16, Class HJ, 4.00%, 09/20/40 | 5,773 | 5,549,247 | ||||||
Series 2015-96, Class ZM, 4.00%, 07/20/45 | 8,441 | 7,752,269 | ||||||
Series 2018-91, Class ZL, 4.00%, 07/20/48 | 6,131 | 5,312,052 | ||||||
178,447,076 | ||||||||
Interest Only Collateralized Mortgage Obligations — 4.9% | ||||||||
Fannie Mae REMIC Trust, Series 1999-W4, Class IO, 6.50%, 12/25/28 | 37 | 1,916 | ||||||
Fannie Mae REMICS | ||||||||
Series 1997-90, Class M, 6.00%, 01/25/28 | 76 | 1,493 | ||||||
Series 2006-36, Class PS, (1 mo. LIBOR US + 6.60%), 2.21%, 05/25/36 (c) | 2,400 | 191,003 | ||||||
Series 2011-134, Class ST, (1 mo. LIBOR US + 6.00%), 1.61%, 12/25/41 (c) | 13,188 | 1,378,543 | ||||||
Series 2013-10, Class PI, 3.00%, 02/25/43 | 3,885 | 535,517 | ||||||
Series 2013-45, Class EI, 4.00%, 04/25/43 | 1,371 | 129,754 | ||||||
Series 2015-66, Class AS, (1 mo. LIBOR US + 6.25%), 1.86%, 09/25/45 (c) | 12,236 | 818,543 | ||||||
Series 2017-70, Class SA, (1 mo. LIBOR US + 6.15%), 1.76%, 09/25/47 (a)(c) | 18,066 | 2,058,316 | ||||||
Series 2019-25, Class SA, (1 mo. LIBOR US + 6.05%), 1.66%, 06/25/49 (c) | 8,960 | 870,498 | ||||||
Series 2019-35, Class SA, (1 mo. LIBOR US + 6.10%), 1.71%, 07/25/49 (c) | 2,885 | 274,428 | ||||||
Series 2020-12, Class JI, 4.50%, 03/25/50 | 8,021 | 1,671,844 | ||||||
Freddie Mac REMICS | ||||||||
Series 3744, Class PI, 4.00%, 06/15/39 | 1,305 | 62,188 | ||||||
Series 3796, Class WS, (1 mo. LIBOR US + 6.55%), 2.23%, 02/15/40 (c) | 444 | 2,957 | ||||||
Series 3923, Class SD, (1 mo. LIBOR US + 6.00%), 1.68%, 09/15/41 (c) | 17,313 | 1,477,284 | ||||||
Series 3954, Class SL, (1 mo. LIBOR US + 6.00%), 1.68%, 11/15/41 (c) | 10,768 | 994,077 | ||||||
Series 4026, Class IO, 4.50%, 04/15/32 | 639 | 56,506 | ||||||
Series 4119, Class SC, (1 mo. LIBOR US + 6.15%), 1.83%, 10/15/42 (a)(c) | 235 | 25,470 | ||||||
Series 4706, Class IG, 4.00%, 07/15/47 | 8,451 | 1,468,624 | ||||||
Ginnie Mae (c) | ||||||||
Series 2009-116, Class KS, (1 mo. LIBOR US + 6.47%), 2.14%, 12/16/39 | 390 | 27,679 | ||||||
Series 2011-52, Class MJ, (1 mo. LIBOR US + 6.65%), 2.30%, 04/20/41 | 2,998 | 140,023 | ||||||
Series 2011-52, Class NS, (1 mo. LIBOR US + 6.67%), 2.34%, 04/16/41 | 3,678 | 250,444 |
Security | Par (000) | Value | ||||||
Interest Only Collateralized Mortgage Obligations (continued) | ||||||||
Ginnie Mae (c) (continued) | ||||||||
Series 2012-97, Class JS, (1 mo. LIBOR US + 6.25%), 1.92%, 08/16/42 | $ | 5,218 | $ | 145,948 | ||||
Series 2017-101, Class SL, (1 mo. LIBOR US + 6.20%), 1.85%, 07/20/47 | 9,287 | 1,013,963 | ||||||
13,597,018 | ||||||||
Mortgage-Backed Securities — 72.1% | ||||||||
Fannie Mae, Series 2020-M21, Class AX, 1.81%, 01/25/58 (c) | 1,719 | 188,212 | ||||||
Fannie Mae Mortgage-Backed Securities (e) | ||||||||
4.00%, 02/01/56 - 01/01/57 | 32,690 | 31,310,569 | ||||||
3.50%, 08/01/56 | 4,592 | 4,199,899 | ||||||
3.00%, 09/01/60 | 4,413 | 3,885,199 | ||||||
Fannie Mae REMICS, Series 2021-23, Class CI, 3.50%, 07/25/46 | 20,011 | 3,373,113 | ||||||
Freddie Mac Mortgage-Backed Securities, 5.50%, 01/01/39 (e) | 4,850 | 5,012,763 | ||||||
Freddie Mac REMICS, Series 5013, Class JI, 4.00%, 09/25/50 | 20,923 | 3,221,870 | ||||||
Freddie Mac Structured Pass-Through Certificates (c) | ||||||||
Series K094, Class X1, 0.88%, 06/25/29 | 1,404 | 63,261 | ||||||
Series K104, Class X1, 1.12%, 01/25/30 | 1,353 | 81,938 | ||||||
Series K105, Class X1, 1.52%, 01/25/30 | 1,820 | 150,911 | ||||||
Series K107, Class X1, 1.59%, 01/25/30 | 1,231 | 107,696 | ||||||
Series K109, Class X1, 1.58%, 04/25/30 | 940 | 81,163 | ||||||
Series K110, Class X1, 1.70%, 04/25/30 | 394 | 35,906 | ||||||
Series K113, Class X1, 1.38%, 06/25/30 | 1,592 | 124,887 | ||||||
Series K115, Class X1, 1.33%, 06/25/30 | 1,952 | 148,884 | ||||||
Series K120, Class X1, 1.04%, 10/25/30 | 3,893 | 233,374 | ||||||
Series K122, Class X1, 0.88%, 11/25/30 | 1,671 | 86,869 | ||||||
Series T-11, Class A9, 0.13%, 01/25/28 | 102 | 100,588 | ||||||
Ginnie Mae | ||||||||
Series 2013-63, Class IO, 0.73%, 09/16/51 (c) | 4,729 | 102,485 | ||||||
Series 2014-169, Class IO, 0.63%, 10/16/56 (c) | 12,958 | 290,072 | ||||||
Series 2016-113, Class IO, 1.18%, 02/16/58 (c) | 3,455 | 182,071 | ||||||
Series 2022-60, Class IH, 2.50%, 02/20/51 | 25,298 | 3,120,355 | ||||||
Ginnie Mae Mortgage-Backed Securities | ||||||||
7.50%, 02/15/23 - 11/15/23 | 1 | 1,113 | ||||||
8.00%, 05/15/26 - 06/15/27 | 9 | 9,201 | ||||||
5.00%, 10/20/39 | 1,058 | 1,075,888 | ||||||
Uniform Mortgage-Backed Securities | ||||||||
4.50%, 09/01/25 - 09/01/49 (e) | 18,732 | 18,480,175 | ||||||
5.50%, 02/01/33 - 10/01/39 | 3,512 | 3,638,794 | ||||||
5.00%, 06/01/33 - 02/13/53 (e)(f) | 12,150 | 12,257,575 | ||||||
2.50%, 01/18/37 - 01/01/52 (e)(f) | 17,545 | 14,937,699 | ||||||
6.50%, 10/01/38 - 10/01/39 | 1,207 | 1,271,407 | ||||||
4.00%, 01/01/41 - 05/01/52 (e) | 22,568 | 21,490,803 | ||||||
3.50%, 02/25/49 (f) | 3,664 | 3,328,021 | ||||||
2.00%, 12/01/51 (e) | 37,455 | 30,728,378 | ||||||
3.00%, 01/12/53 (f) | 40,100 | 35,182,507 | ||||||
Series 1839, Class QA, 4.00%, 08/01/49 (e) | 2,816 | 2,685,477 | ||||||
201,189,123 | ||||||||
Principal Only Collateralized Mortgage Obligations — 0.0% | ||||||||
Fannie Mae Interest Strip | ||||||||
Series 203, Class 1, 0.00%, 02/25/23 | — | (g) | 10 | |||||
Series 228, Class 1, 0.00%, 06/25/23 | — | (g) | 46 |
64 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Principal Only Collateralized Mortgage Obligations (continued) | ||||||||
Fannie Mae REMIC Trust, Series 1999-W4, Class PO, 0.00%, 02/25/29 | $ | 17 | $ | 16,021 | ||||
Fannie Mae REMICS | ||||||||
Series 1993-51, Class E, 0.00%, 02/25/23 | — | (g) | 31 | |||||
Series 1993-70, Class A, 0.00%, 05/25/23 | — | (g) | 39 | |||||
Series 2002-13, Class PR, 0.01%, 03/25/32 | 24 | 21,547 | ||||||
Series G93-2, Class KB, 0.01%, 01/25/23 | — | (g) | 10 | |||||
Freddie Mac REMICS | ||||||||
Series 1571, Class G, 0.01%, 08/15/23 | — | (g) | 275 | |||||
Series 1691, Class B, 0.01%, 03/15/24 | 14 | 13,415 | ||||||
51,394 | ||||||||
Total U.S. Government Sponsored Agency Securities — 144.3% (Cost: $465,881,140) | 402,720,918 | |||||||
Total Long-Term Investments — 153.4% (Cost: $492,203,040) | 427,963,862 | |||||||
Short-Term Securities | ||||||||
Borrowed Bond Agreement — 0.3% | ||||||||
Credit Suisse AG, 4.25%, open (Purchased 11/30/2022 to be repurchased at $785,092, Collateralized by U.S. Treasury Bonds, 2.75%,11/15/42, par and fair values of $917,000 and $735,033, respectively) (h)(i) | 753 | 753,086 | ||||||
Shares | ||||||||
Money Market Funds — 2.1% | ||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 4.03% (j)(k) | 5,814,963 | 5,814,963 | ||||||
Total Short-Term Securities — 2.4% (Cost: $6,568,049) | 6,568,049 | |||||||
Total Investments Before Borrowed Bonds and TBA Sale Commitments — 155.8% (Cost: $498,771,089) | 434,531,911 | |||||||
Security | Par (000) | Value | ||||||
Borrowed Bonds | ||||||||
U.S. Governments Obligations — (0.3)% | ||||||||
U.S. Treasury Bonds, 2.75%, 11/15/42 (l) | $ | (917 | ) | $ | (735,033 | ) | ||
Total Borrowed Bonds — (0.3)% (Proceeds: $(842,347)) | (735,033 | ) | ||||||
TBA Sale Commitments | ||||||||
Mortgage-Backed Securities — (0.1)% | ||||||||
Uniform Mortgage-Backed Securities, 5.00%, 01/12/53 (f) | (200 | ) | (197,044 | ) | ||||
Total TBA Sale Commitments — (0.1)% (Proceeds: $(199,664)) | (197,044 | ) | ||||||
Total Investments, Net of Borrowed Bonds and TBA Sale Commitments — 155.4% (Cost: $497,729,078) | 433,599,834 | |||||||
Liabilities in Excess of Other Assets — (55.4)% | (154,565,149 | ) | ||||||
Net Assets — 100.0% | $ | 279,034,685 | ||||||
(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) | Zero-coupon bond. |
(e) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(f) | Represents or includes a TBA transaction. |
(g) | Rounds to less than 1,000. |
(h) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
(i) | The amount to be repurchased assumes the maturity will be the day after the period end. |
(j) | Affiliate of the Fund. |
(k) | Annualized 7-day yield as of period end. |
(l) | All or a portion of the security has been pledged as collateral in connection with outstanding borrowed bonds. |
Affiliated Issuer | Value at 12/31/21 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 12/31/22 | Shares Held at 12/31/22 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | $ | 12,560,167 | $ | — | $ | (6,745,204 | ) (a) | $ | — | $ | — | $ | 5,814,963 | 5,814,963 | $ | 130,377 | $ | — | ||||||||||||||||||
(a) | Represents net amount purchased (sold). |
S C H E D U L E O F IN V E S T M E N T S | 65 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Income Trust, Inc. (BKT) |
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | |||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | % | 11/10/22 | 01/12/23 | $ | 4,074,509 | $ | 4,097,543 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 21,115,617 | 21,234,991 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 5,153,750 | 5,182,886 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 6,134,742 | 6,169,423 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 5,514,219 | 5,545,393 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 6,133,955 | 6,168,632 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 3,788,417 | 3,809,834 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 5,716,404 | 5,748,721 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 6,154,228 | 6,189,020 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 9,263,300 | 9,317,822 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 6,190,161 | 6,225,156 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 6,147,437 | 6,182,191 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 4,098,819 | 4,121,991 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 4,957,498 | 4,985,525 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
Royal Bank of Canada | 4.45 | 12/12/22 | 01/12/23 | 2,634,901 | 2,641,089 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
Royal Bank of Canada | 4.45 | 12/12/22 | 01/12/23 | 4,168,716 | 4,178,507 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
Royal Bank of Canada | 4.45 | 12/12/22 | 01/12/23 | 4,124,525 | 4,134,213 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
Royal Bank of Canada | 4.45 | 12/12/22 | 01/12/23 | 2,724,496 | 2,730,895 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
Royal Bank of Canada | 4.45 | 12/12/22 | 01/12/23 | 3,280,816 | 3,288,521 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
BNP Paribas S.A | 4.45 | 12/27/22 | 01/12/23 | 2,309,192 | 2,310,619 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
BNP Paribas S.A | 4.45 | 12/27/22 | 01/12/23 | 1,499,677 | 1,500,604 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
$ | 115,185,379 | $ | 115,763,576 | |||||||||||||||||||||
66 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Income Trust, Inc. (BKT) |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
10-Year U.S. Treasury Note | 348 | 03/22/23 | $ | 39,025 | $ | (214,060 | ) | |||||||||
Short Contracts | ||||||||||||||||
10-Year U.S. Ultra Long Treasury Note | 174 | 03/22/23 | 20,513 | 131,545 | ||||||||||||
U.S. Long Bond | 165 | 03/22/23 | 20,573 | 143,603 | ||||||||||||
2-Year U.S. Treasury Note | 179 | 03/31/23 | 36,695 | (32,903 | ) | |||||||||||
5-Year U.S. Treasury Note | 127 | 03/31/23 | 13,694 | 35,811 | ||||||||||||
278,056 | ||||||||||||||||
$ | 63,996 | |||||||||||||||
Paid by the Fund | Received by the Fund | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||
1-Day SOFR, 4.32% | Quarterly | 0.17% | Quarterly | N/A | 10/21/25 | USD | 137 | $ | (15,220 | ) | $ | (20 | ) | $ | (15,200 | ) | ||||||||||||||||
0.18% | Quarterly | 1-Day FEDL, 4.33% | Quarterly | N/A | 10/21/25 | USD | 137 | 15,209 | 16 | 15,193 | ||||||||||||||||||||||
$ | (11 | ) | $ | (4 | ) | $ | (7 | ) | ||||||||||||||||||||||||
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
Centrally Cleared Swaps (a) | $ | 16 | $ | (20 | ) | $ | 15,193 | $ | (15,200 | ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts (a) | $ | — | $ | — | $ | — | $ | — | $ | 310,959 | $ | — | $ | 310,959 | ||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps (a) | — | — | — | — | 15,193 | — | 15,193 | |||||||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 326,152 | $ | — | $ | 326,152 | |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts (a) | $ | — | $ | — | $ | — | $ | — | $ | 246,963 | $ | — | $ | 246,963 | ||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps (a) | — | — | — | — | 15,200 | — | 15,200 | |||||||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 262,163 | $ | — | $ | 262,163 | |||||||||||||||
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
S C H E D U L E O F IN V E S T M E N T S | 67 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Income Trust, Inc. (BKT) |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 2,390,388 | $ | — | $ | 2,390,388 | ||||||||||||||
Swaps | — | — | — | — | 2,925,079 | — | 2,925,079 | |||||||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 5,315,467 | $ | — | $ | 5,315,467 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (103,319 | ) | $ | — | $ | (103,319 | ) | ||||||||||||
Swaps | — | — | — | — | 343,085 | — | 343,085 | |||||||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 239,766 | $ | — | $ | 239,766 | |||||||||||||||
Futures contracts: | ||||
Average notional value of contracts — long | $ | 58,381,828 | ||
Average notional value of contracts — short | $ | 80,367,329 | ||
Interest rate swaps: | ||||
Average notional value — pays fixed rate | $ | 31,170,574 | ||
Average notional value — receives fixed rate | $ | 6,148,074 |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | — | $ | 9,209 | $ | 9,209 | ||||||||
Non-Agency Mortgage-Backed Securities | — | 25,233,726 | 9 | 25,233,735 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 400,632,044 | 2,088,874 | 402,720,918 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Borrowed Bond Agreement | — | 753,086 | — | 753,086 | ||||||||||||
Money Market Funds | 5,814,963 | — | — | 5,814,963 | ||||||||||||
Liabilities | ||||||||||||||||
Investments | ||||||||||||||||
Borrowed Bonds | — | (735,033 | ) | — | (735,033 | ) | ||||||||||
TBA Sale Commitments | — | (197,044 | ) | — | (197,044 | ) | ||||||||||
$ | 5,814,963 | $ | 425,686,779 | $ | 2,098,092 | $ | 433,599,834 | |||||||||
Derivative Financial Instruments (a) | ||||||||||||||||
Assets | ||||||||||||||||
Interest Rate Contracts | $ | 310,959 | $ | 15,193 | $ | — | $ | 326,152 | ||||||||
Liabilities | ||||||||||||||||
Interest Rate Contracts | (246,963 | ) | (15,200 | ) | — | (262,163 | ) | |||||||||
$ | 63,996 | $ | (7 | ) | $ | — | $ | 63,989 | ||||||||
(a) | Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
68 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities | ||||||||||||
AIMCO CLO, Series 2017-AA, Class CR, (3 mo. LIBOR US + 2.10%), 6.34%, 04/20/34 (a)(b) | USD | 1,000 | $ | 936,605 | ||||||||
Allegro CLO II-S Ltd., Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.00%), 7.28%, 10/21/28 (a)(b) | 1,000 | 915,107 | ||||||||||
ALM Ltd., Series 2020-1A, Class D, (3 mo. LIBOR US + 6.00%), 10.08%, 10/15/29 (a)(b) | 285 | 247,674 | ||||||||||
Anchorage Capital CLO 3-R Ltd., Series 2014-3RA, Class E, (3 mo. LIBOR US + 5.50%), 9.87%, 01/28/31 (a)(b) | 850 | 677,091 | ||||||||||
Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 6.97%, 01/28/31 (a)(b) | 250 | 221,126 | ||||||||||
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 7.87%, 01/28/31 (a)(b) | 1,000 | 898,396 | ||||||||||
Apidos CLO XXVI, Series 2017-26A, Class A1AR, (3 mo. LIBOR US + 0.90%), 5.09%, 07/18/29 (a)(b) | 450 | 444,453 | ||||||||||
Argent Securities Trust, Series 2006-W5, Class A1A, (1 mo. LIBOR US + 0.30%), 4.69%, 06/25/36 (a) | 4,244 | 2,787,792 | ||||||||||
Bain Capital Credit CLO Ltd. (a)(b) | ||||||||||||
Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.30%), 7.53%, 07/19/34 | 300 | 268,807 | ||||||||||
Series 2021-3A, Class D, (3 mo. LIBOR US + 3.10%), 7.42%, 07/24/34 | 250 | 224,592 | ||||||||||
Barings CLO Ltd., Series 2017-1A, Class D, 7.79%, 07/18/29 | 250 | 237,314 | ||||||||||
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A1R2, (3 mo. LIBOR US + 0.87%), 4.95%, 07/15/29 (a)(b) | 267 | 264,864 | ||||||||||
Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class CR, (3 mo. LIBOR US + 2.05%), 6.13%, 07/15/34 (a)(b) | 250 | 231,849 | ||||||||||
BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class D, (3 mo. LIBOR US + 2.90%), 6.98%, 04/15/34 (a)(b) | 500 | 454,783 | ||||||||||
Carlyle U.S. CLO Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.02%), 5.26%, 04/20/31 (a)(b) | 250 | 246,855 | ||||||||||
CarVal CLO II Ltd., Series 2019-1A, Class CR, (3 mo. LIBOR US + 2.00%), 6.24%, 04/20/32 (a)(b) | 250 | 235,424 | ||||||||||
CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), 10.68%, 07/20/32 (a)(b) | 500 | 432,979 | ||||||||||
Cayuga Park CLO Ltd., Series 2020-1A, Class B1R, (3 mo. LIBOR US + 1.65%), 5.73%, 07/17/34 (a)(b) | 250 | 238,663 | ||||||||||
Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3 mo. LIBOR US + 1.60%), 5.68%, 07/15/33 (a)(b) | 500 | 483,433 | ||||||||||
CIFC Funding I Ltd., Series 2019-1A, Class DR, (3 mo. LIBOR US + 3.10%), 7.34%, 04/20/32 (a)(b) | 500 | 473,933 | ||||||||||
CIFC Funding Ltd., Series 2013-4A, Class DRR, (3 mo. LIBOR US + 2.80%), 7.16%, 04/27/31 (a)(b) | 250 | 232,785 |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) | ||||||||||||
CIFC Funding VII Ltd. | ||||||||||||
Series 2022-7A, Class D, 9.56%, 10/22/35 | USD | 250 | $ | 244,640 | ||||||||
Series 2022-7A, Class E, 13.15%, 10/22/35 | 500 | 485,563 | ||||||||||
Citigroup Mortgage Loan Trust, Series 2006-FX1, Class A7, 5.78%, 10/25/36 | 345 | 223,920 | ||||||||||
Clear Creek CLO, Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.95%), 7.19%, 10/20/30 (a)(b) | 250 | 214,840 | ||||||||||
Countrywide Asset-Backed Certificates Trust, Series 2006-26, Class 1A, (1 mo. LIBOR US + 0.14%), 4.53%, 06/25/37 (a) | 539 | 491,416 | ||||||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 01/25/30 (b) | 216 | 203,233 | ||||||||||
Dryden 106 CLO Ltd., 13.43%, 10/15/35 | 500 | 483,500 | ||||||||||
Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3 mo. LIBOR US + 2.65%), 6.84%, 04/18/31 (a)(b) | 250 | 230,778 | ||||||||||
Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3 mo. LIBOR US + 6.80%), 11.04%, 04/20/34 (a)(b) | 250 | 229,945 | ||||||||||
Elmwood CLO IV Ltd., Series 2020-1A, Class B, (3 mo. LIBOR US + 1.70%), 5.78%, 04/15/33 (a)(b) | 500 | 482,750 | ||||||||||
Elmwood CLO V Ltd., Series 2020-2A, Class CR, (3 mo. LIBOR US + 2.00%), 6.24%, 10/20/34 (a)(b) | 436 | 406,624 | ||||||||||
Generate CLO 3 Ltd., Series 3A, Class DR, (3 mo. LIBOR US + 3.60%), 7.84%, 10/20/29 (a)(b) | 250 | 228,529 | ||||||||||
Generate CLO 4 Ltd., Series 4A, Class ER, (3 mo. LIBOR US + 6.75%), 10.99%, 04/20/32 (a)(b) | 1,000 | 892,273 | ||||||||||
Generate CLO 6 Ltd., Series 6A, Class DR, (3 mo. LIBOR US + 3.50%), 7.82%, 01/22/35 (a)(b) | 750 | 664,406 | ||||||||||
Golub Capital Partners CLO 55B Ltd., Series 2021- 55A, Class E, (3 mo. LIBOR US + 6.56%), 10.80%, 07/20/34 (a)(b) | 250 | 220,129 | ||||||||||
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E, (3 mo. LIBOR US + 6.45%), 10.53%, 04/15/33 (a)(b) | 250 | 216,740 | ||||||||||
Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class A2, (3 mo. LIBOR US + 1.80%), 5.88%, 07/15/34 (a)(b) | 250 | 241,479 | ||||||||||
Jay Park CLO Ltd., Series 2016-1A, Class CR, (3 mo. LIBOR US + 2.65%), 6.89%, 10/20/27 (a)(b) | 250 | 236,811 | ||||||||||
LCM XIII LP, Series 13A, Class AR3, (3 mo. LIBOR US + 0.87%), 5.10%, 07/19/27 (a)(b) | 527 | 521,398 | ||||||||||
Madison Park Funding XVII Ltd., Series 2015-17A, Class DR, (3 mo. LIBOR US + 3.60%), 7.88%, 07/21/30 (a)(b) | 500 | 469,277 | ||||||||||
Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR, (3 mo. LIBOR US + 0.94%), 5.22%, 10/21/30 (a)(b) | 500 | 493,040 | ||||||||||
Madison Park Funding XXIX Ltd. (a)(b) | ||||||||||||
Series 2018-29A, Class D, (3 mo. LIBOR US + 3.00%), 7.19%, 10/18/30 | 510 | 471,500 | ||||||||||
Series 2018-29A, Class E, (3 mo. LIBOR US + 5.70%), 9.89%, 10/18/30 | 250 | 225,505 |
S C H E D U L E O F IN V E S T M E N T S | 69 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) | ||||||||||||
Madison Park Funding XXV Ltd., Series 2017-25A, Class A1R, (3 mo. LIBOR US + 0.97%), 5.33%, 04/25/29 (a)(b) | USD | 985 | $ | 971,214 | ||||||||
Madison Park Funding XXVI Ltd., Series 2007-4A, Class DR, (3 mo. LIBOR US + 3.00%), 7.41%, 07/29/30 (a)(b) | 250 | 228,561 | ||||||||||
Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class B, (3 mo. LIBOR US + 1.65%), 5.73%, 07/17/34 (a)(b) | 250 | 237,848 | ||||||||||
Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ERR, (3 mo. LIBOR US + 6.50%), 10.58%, 07/15/34 (a)(b) | 790 | 686,068 | ||||||||||
Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class ER, (3 mo. LIBOR US + 6.10%), 10.33%, 01/20/32 (a)(b) | 425 | 382,079 | ||||||||||
Neuberger Berman Loan Advisers NBLA CLO 52 Ltd., Series 2022-52A, Class D, 10.33%, 10/24/35 (c) | 500 | 500,000 | ||||||||||
OCP CLO Ltd., Series 2019-16A, Class DR, (3 mo. LIBOR US + 3.15%), 7.06%, 04/10/33 (a)(b) | 250 | 228,918 | ||||||||||
Octagon 54 Ltd., Series 2021-1A, Class D, (3 mo. LIBOR US + 3.05%), 7.13%, 07/15/34 (a)(b) | 250 | 231,309 | ||||||||||
Octagon Investment Partners 31 Ltd., Series 2017- 1A, Class E, (3 mo. LIBOR US + 6.30%), 10.54%, 07/20/30 (a)(b) | 500 | 433,312 | ||||||||||
Octagon Investment Partners XV Ltd., Series 2013- 1A, Class A1RR, (3 mo. LIBOR US + 0.97%), 5.20%, 07/19/30 (a)(b) | 1,795 | 1,771,626 | ||||||||||
Octagon Investment Partners XVII Ltd., Series 2013- 1A, Class BR2, (3 mo. LIBOR US + 1.40%), 5.76%, 01/25/31 (a)(b) | 250 | 240,942 | ||||||||||
OHA Credit Partners XIII Ltd., Series 2016-13A, Class BR, (3 mo. LIBOR US + 1.70%), 5.98%, 10/25/34 (a)(b) | 250 | 239,395 | ||||||||||
OZLM VIII Ltd., Series 2014-8A, Class CRR, (3 mo. LIBOR US + 3.15%), 7.23%, 10/17/29 (a)(b) | 250 | 230,072 | ||||||||||
OZLM XXI Ltd., Series 2017-21A, Class D, (3 mo. LIBOR US + 5.54%), 9.78%, 01/20/31 (a)(b) | 250 | 199,312 | ||||||||||
Rad CLO 17 Ltd., Series 2022-17A, Class E, (3 mo. SOFR + 8.30%), 12.26%, 10/20/35 (a)(b) | 250 | 236,471 | ||||||||||
Regatta IX Funding Ltd., 7.98%, 04/17/30 | 500 | 471,284 | ||||||||||
Regatta XXIV Funding Ltd., Series 2021-5A, Class D, (3 mo. LIBOR US + 3.10%), 7.34%, 01/20/35 (a)(b) | 250 | 230,818 | ||||||||||
Regional Management Issuance, 3.88%, 10/17/33 (c) | 980 | 836,430 | ||||||||||
Rockford Tower CLO Ltd., Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 6.93%, 10/15/29 (a)(b) | 500 | 461,790 | ||||||||||
Sterling Coofs Trust (c) | ||||||||||||
Series 2004-1, Class A, 2.36%, 04/15/29 | 672 | 7,190 | ||||||||||
Series 2004-2, Class Note, 2.08%, 03/30/30 (b) | 1,041 | 10,405 | ||||||||||
TICP CLO I-2 Ltd., Series 2018-IA, Class C, (3 mo. LIBOR US + 3.04%), 7.37%, 04/26/28 (a)(b) | 500 | 481,299 | ||||||||||
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 11.13%, 04/15/33 (a)(b) | 250 | 223,438 |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) | ||||||||||||
Trimaran CAVU Ltd. (a)(b) | ||||||||||||
Series 2021-1A, Class D, (3 mo. LIBOR US + 3.45%), 7.77%, 04/23/32 | USD | 250 | $ | 227,623 | ||||||||
Series 2021-2A, Class D1, (3 mo. LIBOR US + 3.25%), 7.61%, 10/25/34 | 500 | 453,243 | ||||||||||
Unique Pub Finance Co. PLC (d) | ||||||||||||
Series A4, 5.66%, 06/30/27 | GBP | 35 | 42,173 | |||||||||
Series N, 6.46%, 03/30/32 | 50 | 60,451 | ||||||||||
Voya CLO Ltd., Series 2019-3A, Class BR, (3 mo. LIBOR US + 1.65%), 5.73%, 10/17/32 (a)(b) | USD | 500 | 481,431 | |||||||||
Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.35%), 7.67%, 10/24/34 (a)(b) | 500 | 453,309 | ||||||||||
Whitebox CLO III Ltd., Series 2021-3A, Class D, (3 mo. LIBOR US + 3.35%), 7.43%, 10/15/34 (a)(b) | 250 | 233,839 | ||||||||||
Total Asset-Backed Securities — 6.5% (Cost: $33,102,103) | 31,224,671 | |||||||||||
Shares | ||||||||||||
Common Stocks | ||||||||||||
Construction & Engineering — 0.0% | ||||||||||||
McDermott International Ltd. (e) | 47,837 | 15,308 | ||||||||||
Diversified Financial Services — 0.0% | ||||||||||||
Kcad Holdings I Ltd. (c) | 546,753,936 | 5,467 | ||||||||||
Household Durables — 0.0% | ||||||||||||
Berkline Benchcraft Equity LLC (c) | 3,155 | — | ||||||||||
Metals & Mining — 0.0% | ||||||||||||
Ameriforge Group, Inc. | 801 | 401 | ||||||||||
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $100,687) (c)(f) | 2,869 | 631 | ||||||||||
1,032 | ||||||||||||
Software — 0.0% | ||||||||||||
Avaya Holdings Corp. (e) | 19 | 4 | ||||||||||
Specialty Retail — 0.0% | ||||||||||||
NMG Parent LLC | 1,330 | 201,162 | ||||||||||
Total Common Stocks — 0.0% (Cost: $6,923,500) | 222,973 | |||||||||||
Par (000) | ||||||||||||
Corporate Bonds | ||||||||||||
Advertising Agencies — 0.0% | ||||||||||||
Interpublic Group of Cos., Inc., 5.40%, 10/01/48 (g) | USD | 200 | 182,757 | |||||||||
Aerospace & Defense — 2.9% | ||||||||||||
Amsted Industries, Inc., 5.63%, 07/01/27 (b) | 156 | 147,991 | ||||||||||
Boeing Co., 5.15%, 05/01/30 (g) | 1,695 | 1,653,709 | ||||||||||
Bombardier, Inc. (b) | ||||||||||||
7.50%, 03/15/25 | 39 | 38,622 | ||||||||||
7.13%, 06/15/26 (g) | 715 | 693,703 | ||||||||||
7.88%, 04/15/27 (g) | 605 | 586,835 |
70 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Aerospace & Defense (continued) | ||||||||||||
Bombardier, Inc. (b) (continued) | ||||||||||||
6.00%, 02/15/28 (g) | USD | 539 | $ | 498,424 | ||||||||
7.45%, 05/01/34 | 100 | 100,000 | ||||||||||
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26 (b)(g) | 423 | 345,803 | ||||||||||
Howmet Aerospace, Inc., 5.13%, 10/01/24 | 5 | 4,944 | ||||||||||
Northrop Grumman Corp., 3.85%, 04/15/45 (g) | 600 | 478,541 | ||||||||||
Rolls-Royce PLC, 5.75%, 10/15/27 (b)(g) | 1,018 | 969,645 | ||||||||||
Spirit AeroSystems, Inc. | ||||||||||||
7.50%, 04/15/25 (b) | 32 | 31,621 | ||||||||||
9.38%, 11/30/29 | 463 | 487,400 | ||||||||||
TransDigm, Inc. | ||||||||||||
8.00%, 12/15/25 (b) | 815 | 827,054 | ||||||||||
6.25%, 03/15/26 (b)(g) | 5,693 | 5,614,380 | ||||||||||
6.38%, 06/15/26 | 46 | 44,756 | ||||||||||
7.50%, 03/15/27 | 105 | 103,888 | ||||||||||
4.63%, 01/15/29 (g) | 457 | 401,826 | ||||||||||
4.88%, 05/01/29 (g) | 300 | 261,675 | ||||||||||
Triumph Group, Inc., 8.88%, 06/01/24 (b)(g) | 661 | 672,567 | ||||||||||
13,963,384 | ||||||||||||
Airlines — 1.4% | ||||||||||||
Air Canada, 3.88%, 08/15/26 (b)(g) | 464 | 410,980 | ||||||||||
Allegiant Travel Co., 7.25%, 08/15/27 (b) | 113 | 107,481 | ||||||||||
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 07/15/24 | 622 | 621,503 | ||||||||||
American Airlines, Inc., 11.75%, 07/15/25 (b)(g) | 609 | 653,213 | ||||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. (b) | ||||||||||||
5.50%, 04/20/26 | 217 | 209,052 | ||||||||||
5.75%, 04/20/29 (g) | 1,219 | 1,113,933 | ||||||||||
Avianca Midco 2 PLC, 9.00%, 12/01/28 (b) | 152 | 110,547 | ||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28 (b) | 9 | 8,648 | ||||||||||
Deutsche Lufthansa AG, 3.50%, 07/14/29 (d) | EUR | 100 | 90,584 | |||||||||
Finnair OYJ, 4.25%, 05/19/25 (d) | 100 | 78,349 | ||||||||||
Gol Finance SA, 7.00%, 01/31/25 (b) | USD | 200 | 87,037 | |||||||||
Hawaiian Brand Intellectual Property | ||||||||||||
Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26 (b) | 249 | 225,345 | ||||||||||
International Consolidated Airlines Group SA, 2.75%, 03/25/25 (d) | EUR | 100 | 97,445 | |||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27 (b)(g) | USD | 1,043 | 1,094,666 | |||||||||
United Airlines Pass-Through Trust (g) | ||||||||||||
Series 2020-1, Class A, 5.88%, 10/15/27 | 556 | 547,830 | ||||||||||
Series 2020-1, Class B, 4.88%, 01/15/26 | 38 | 36,248 | ||||||||||
United Airlines, Inc. (b)(g) | ||||||||||||
4.38%, 04/15/26 | 582 | 539,471 | ||||||||||
4.63%, 04/15/29 | 649 | 565,082 | ||||||||||
6,597,414 | ||||||||||||
Auto Components — 1.1% | ||||||||||||
Aptiv PLC, 4.40%, 10/01/46 (g) | 240 | 177,653 | ||||||||||
Clarios Global LP, 6.75%, 05/15/25 (b) | 486 | 487,123 | ||||||||||
Clarios Global LP/Clarios U.S. Finance Co. (b) | ||||||||||||
6.25%, 05/15/26 | 1,409 | 1,377,300 | ||||||||||
8.50%, 05/15/27 (g) | 2,612 | 2,550,609 | ||||||||||
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28 (b) | 174 | 153,098 | ||||||||||
Faurecia SE, 2.75%, 02/15/27 (d) | EUR | 100 | 90,068 | |||||||||
Goodyear Tire & Rubber Co. | ||||||||||||
5.00%, 07/15/29 | USD | 104 | 86,752 |
Security | Par (000) | Value | ||||||||||
Auto Components (continued) | ||||||||||||
Goodyear Tire & Rubber Co. (continued) | ||||||||||||
5.63%, 04/30/33 | USD | 109 | $ | 88,977 | ||||||||
ZF Finance GmbH (d) | ||||||||||||
3.00%, 09/21/25 | EUR | 100 | 98,349 | |||||||||
2.00%, 05/06/27 | 100 | 87,263 | ||||||||||
5,197,192 | ||||||||||||
Automobiles — 1.6% | ||||||||||||
Asbury Automotive Group, Inc. | ||||||||||||
4.50%, 03/01/28 | USD | 129 | 113,572 | |||||||||
4.75%, 03/01/30 | 124 | 103,708 | ||||||||||
5.00%, 02/15/32 (b) | 157 | 129,164 | ||||||||||
Constellation Automotive Financing PLC, 4.88%, 07/15/27 (d) | GBP | 100 | 78,789 | |||||||||
Ford Motor Co. | ||||||||||||
0.00%, 03/15/26 (h)(i) | USD | 406 | 383,061 | |||||||||
4.35%, 12/08/26 | 11 | 10,432 | ||||||||||
3.25%, 02/12/32 (g) | 623 | 467,214 | ||||||||||
6.10%, 08/19/32 (g) | 179 | 165,281 | ||||||||||
Ford Motor Credit Co. LLC | ||||||||||||
3.81%, 01/09/24 (g) | 629 | 611,720 | ||||||||||
4.69%, 06/09/25 | 200 | 190,293 | ||||||||||
5.13%, 06/16/25 (g) | 490 | 471,057 | ||||||||||
3.38%, 11/13/25 (g) | 200 | 180,803 | ||||||||||
4.39%, 01/08/26 (g) | 400 | 372,584 | ||||||||||
2.70%, 08/10/26 | 295 | 256,178 | ||||||||||
4.95%, 05/28/27 (g) | 200 | 186,580 | ||||||||||
2.90%, 02/16/28 (g) | 295 | 243,646 | ||||||||||
4.00%, 11/13/30 | 200 | 164,168 | ||||||||||
3.63%, 06/17/31 (g) | 400 | 314,223 | ||||||||||
General Motors Co., 5.40%, 10/15/29 (g) | 679 | 647,968 | ||||||||||
General Motors Financial Co., Inc., 2.70%, 08/20/27 (g) | 1,500 | 1,311,227 | ||||||||||
Group 1 Automotive, Inc., 4.00%, 08/15/28 (b) | 45 | 38,089 | ||||||||||
Jaguar Land Rover Automotive PLC, 4.50%, 07/15/28 (d) | EUR | 100 | 80,837 | |||||||||
Ken Garff Automotive LLC, 4.88%, 09/15/28 (b) | USD | 122 | 102,056 | |||||||||
LCM Investments Holdings II LLC, 4.88%, 05/01/29 (b) | 292 | 233,830 | ||||||||||
Lithia Motors, Inc., 3.88%, 06/01/29 (b) | 131 | 107,696 | ||||||||||
MajorDrive Holdings IV LLC, 6.38%, 06/01/29 (b) | 178 | 132,822 | ||||||||||
Penske Automotive Group, Inc. | ||||||||||||
3.50%, 09/01/25 (g) | 214 | 198,605 | ||||||||||
3.75%, 06/15/29 | 69 | 56,003 | ||||||||||
Renault SA, 2.38%, 05/25/26 (d) | EUR | 100 | 96,156 | |||||||||
TML Holdings Pte. Ltd., 4.35%, 06/09/26 (d) | USD | 200 | 178,600 | |||||||||
Wabash National Corp., 4.50%, 10/15/28 (b) | 220 | 187,349 | ||||||||||
7,813,711 | ||||||||||||
Banks — 0.8% | ||||||||||||
Banco BPM SpA, (5 year EUR Swap + 3.17%), 2.88%, 06/29/31 (a)(d) | EUR | 100 | 88,582 | |||||||||
Banco Espirito Santo SA (e)(j) | ||||||||||||
4.75%, 01/15/22 | 100 | 12,845 | ||||||||||
4.00%, 01/21/22 | 100 | 12,845 | ||||||||||
Bangkok Bank PCL, (5 year CMT + 4.73%), 5.00% | USD | 201 | 190,297 | |||||||||
Bank of Communications Co. Ltd., (5 year CMT + 3.35%), 3.80% (a)(d)(k) | 200 | 191,000 | ||||||||||
Chong Hing Bank Ltd., (5 year CMT + 3.86%), 5.70% (a)(d)(k) | 250 | 235,906 | ||||||||||
Grupo Aval Ltd., 4.38%, 02/04/30 (b) | 200 | 161,600 | ||||||||||
Intesa Sanpaolo SpA, 5.71%, 01/15/26 (b) | 200 | 192,200 |
S C H E D U L E O F IN V E S T M E N T S | 71 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Banks (continued) | ||||||||||||
Krung Thai Bank PCL, (5 year CMT + 3.53%), 4.40% (a)(d)(k) | USD | 202 | $ | 180,007 | ||||||||
Northern Trust Corp., 6.13%, 11/02/32 (g) | 219 | 230,923 | ||||||||||
Standard Chartered PLC, (3 mo. LIBOR US + 1.08%), 3.89%, 03/15/24 (a)(b)(g) | 1,500 | 1,492,771 | ||||||||||
SVB Financial Group, Series D, (5 year CMT + 3.07%), 4.25% (a)(g)(k) | 1,000 | 656,049 | ||||||||||
Wells Fargo & Co., Series BB, (5 year CMT + 3.45%), 3.90% (a)(g)(k) | 365 | 319,472 | ||||||||||
3,964,497 | ||||||||||||
Beverages — 1.5% | ||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46 (g) | 800 | 727,260 | ||||||||||
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27 (b)(g)(l) | 834 | 579,715 | ||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC (b) | ||||||||||||
6.00%, 06/15/27 (g) | 400 | 391,578 | ||||||||||
3.25%, 09/01/28 | 200 | 169,889 | ||||||||||
4.00%, 09/01/29 (g) | 2,234 | 1,770,506 | ||||||||||
Ball Corp. | ||||||||||||
2.88%, 08/15/30 | 36 | 28,732 | ||||||||||
3.13%, 09/15/31 (g) | 377 | 302,780 | ||||||||||
Canpack SA/Canpack U.S. LLC, 3.13%, 11/01/25 (b) | 211 | 183,636 | ||||||||||
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 | 34 | 35,003 | ||||||||||
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24 (b)(g) | 794 | 772,044 | ||||||||||
OI European Group BV, 2.88%, 02/15/25 (d) | EUR | 100 | 102,763 | |||||||||
Silgan Holdings, Inc., 4.13%, 02/01/28 | USD | 84 | 77,713 | |||||||||
Trivium Packaging Finance BV (b)(g) | ||||||||||||
5.50%, 08/15/26 | 1,004 | 920,604 | ||||||||||
8.50%, 08/15/27 | 1,367 | 1,254,257 | ||||||||||
7,316,480 | ||||||||||||
Biotechnology — 0.0% | ||||||||||||
Cidron Aida Finco SARL, 5.00%, 04/01/28 (d) | EUR | 100 | 91,256 | |||||||||
Building Materials (b) — 0.5% | ||||||||||||
Camelot Return Merger Sub, Inc., 8.75%, 08/01/28 | USD | 207 | 189,949 | |||||||||
James Hardie International Finance DAC, 5.00%, 01/15/28 | 200 | 183,500 | ||||||||||
Jeld-Wen, Inc., 6.25%, 05/15/25 | 146 | 136,560 | ||||||||||
Masonite International Corp. | ||||||||||||
Class C, 5.38%, 02/01/28 | 101 | 93,386 | ||||||||||
Class C, 3.50%, 02/15/30 | 214 | 173,110 | ||||||||||
New Enterprise Stone & Lime Co., Inc. | ||||||||||||
5.25%, 07/15/28 | 81 | 71,926 | ||||||||||
9.75%, 07/15/28 | 38 | 35,110 | ||||||||||
Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/28 (g) | 503 | 450,034 | ||||||||||
Standard Industries, Inc. (g) | ||||||||||||
5.00%, 02/15/27 | 209 | 192,851 | ||||||||||
4.75%, 01/15/28 | 80 | 71,991 | ||||||||||
4.38%, 07/15/30 | 683 | 556,594 | ||||||||||
3.38%, 01/15/31 | 283 | 212,958 | ||||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29 | 235 | 218,791 | ||||||||||
2,586,760 | ||||||||||||
Building Products (b) — 0.8% | ||||||||||||
Advanced Drainage Systems, Inc. 5.00%, 09/30/27 | 218 | 203,285 |
Security | Par (000) | Value | ||||||||||
Building Products (continued) | ||||||||||||
Advanced Drainage Systems, Inc. (continued) 6.38%, 06/15/30 (g) | USD | 499 | $ | 484,858 | ||||||||
Beacon Roofing Supply, Inc., 4.13%, 05/15/29 | 123 | 102,212 | ||||||||||
Foundation Building Materials, Inc., 6.00%, 03/01/29 (g) | 111 | 83,106 | ||||||||||
GYP Holdings III Corp., 4.63%, 05/01/29 | 237 | 193,503 | ||||||||||
LBM Acquisition LLC, 6.25%, 01/15/29 | 37 | 23,545 | ||||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 | 87 | 70,049 | ||||||||||
SRS Distribution, Inc. (g) | ||||||||||||
4.63%, 07/01/28 | 516 | 457,419 | ||||||||||
6.13%, 07/01/29 | 499 | 403,451 | ||||||||||
6.00%, 12/01/29 | 397 | 315,954 | ||||||||||
White Cap Buyer LLC, 6.88%, 10/15/28 (g) | 1,369 | 1,184,197 | ||||||||||
White Cap Parent LLC, (8.25% PIK), 8.25%, 03/15/26 (l) | 235 | 203,155 | ||||||||||
3,724,734 | ||||||||||||
Capital Markets — 1.4% | ||||||||||||
AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27 (b) | 77 | 77,385 | ||||||||||
Blackstone Private Credit Fund | ||||||||||||
7.05%, 09/29/25 (b) | 79 | 78,374 | ||||||||||
3.25%, 03/15/27 | 75 | 63,147 | ||||||||||
Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00% (a)(g)(k) | 2,835 | 2,260,771 | ||||||||||
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29 (b)(g) | 214 | 183,139 | ||||||||||
GLP Capital LP/GLP Financing II, Inc., 3.25%, 01/15/32 | 498 | 398,094 | ||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | ||||||||||||
6.25%, 05/15/26 (g) | 394 | 378,593 | ||||||||||
5.25%, 05/15/27 (g) | 674 | 617,114 | ||||||||||
4.38%, 02/01/29 | 295 | 249,467 | ||||||||||
Kane Bidco Ltd., 6.50%, 02/15/27 (d) | GBP | 100 | 100,343 | |||||||||
NFP Corp. (b) | ||||||||||||
4.88%, 08/15/28 (g) | USD | 595 | 506,521 | |||||||||
6.88%, 08/15/28 (g) | 1,373 | 1,131,735 | ||||||||||
7.50%, 10/01/30 | 105 | 98,740 | ||||||||||
Owl Rock Capital Corp. | ||||||||||||
4.25%, 01/15/26 | 17 | 15,606 | ||||||||||
3.40%, 07/15/26 | 63 | 55,009 | ||||||||||
Owl Rock Core Income Corp. | ||||||||||||
3.13%, 09/23/26 | 43 | 36,591 | ||||||||||
7.75%, 09/16/27 (b)(g) | 302 | 301,023 | ||||||||||
SURA Asset Management SA, 4.88%, 04/17/24 (d) | 188 | 186,590 | ||||||||||
6,738,242 | ||||||||||||
Chemicals — 1.7% | ||||||||||||
Alpek SAB de CV, 3.25%, 02/25/31 (b) | 200 | 166,163 | ||||||||||
Ashland LLC, 3.38%, 09/01/31 (b)(g) | 296 | 236,584 | ||||||||||
Avient Corp., 7.13%, 08/01/30 (b) | 164 | 160,315 | ||||||||||
Axalta Coating Systems LLC, 3.38%, 02/15/29 (b)(g) . | 447 | 368,849 | ||||||||||
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27 (b)(g) | 170 | 157,148 | ||||||||||
Celanese U.S. Holdings LLC, 6.17%, 07/15/27 (g) | 275 | 271,240 | ||||||||||
Diamond BC BV, 4.63%, 10/01/29 (b)(g) | 571 | 458,227 | ||||||||||
Element Solutions, Inc., 3.88%, 09/01/28 (b)(g) | 1,442 | 1,225,700 | ||||||||||
Equate Petrochemical BV, 4.25%, 11/03/26 (d) | 200 | 190,850 | ||||||||||
HB Fuller Co., 4.25%, 10/15/28 | 110 | 97,350 |
72 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Chemicals (continued) | ||||||||||||
Herens Holdco SARL, 4.75%, 05/15/28 (b)(g) | USD | 612 | $ | 457,415 | ||||||||
Herens Midco SARL, 5.25%, 05/15/29 (d) | EUR | 100 | 73,931 | |||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28 (b)(g) | USD | 368 | 308,099 | |||||||||
Ingevity Corp., 3.88%, 11/01/28 (b) | 84 | 72,229 | ||||||||||
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26 (b)(l) | 259 | 181,300 | ||||||||||
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29 (b) | 113 | 93,351 | ||||||||||
Minerals Technologies, Inc., 5.00%, 07/01/28 (b) | 169 | 150,511 | ||||||||||
Monitchem HoldCo 3 SA, 5.25%, 03/15/25 (d) | EUR | 100 | 102,619 | |||||||||
NOVA Chemicals Corp., 4.88%, 06/01/24 (b) | USD | 67 | 64,822 | |||||||||
Sasol Financing USA LLC, 5.50%, 03/18/31 | 200 | 161,913 | ||||||||||
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, 11/01/26 (b)(g) | 239 | 202,553 | ||||||||||
Scotts Miracle-Gro Co. | ||||||||||||
4.00%, 04/01/31 | 169 | 129,106 | ||||||||||
4.38%, 02/01/32 | 27 | 20,350 | ||||||||||
SK Invictus Intermediate II Sarl, 5.00%, 10/30/29 (b)(g) | 550 | 451,000 | ||||||||||
WESCO Distribution, Inc. (b)(g) | ||||||||||||
7.13%, 06/15/25 | 676 | 684,458 | ||||||||||
7.25%, 06/15/28 | 636 | 644,251 | ||||||||||
WR Grace Holdings LLC (b) | ||||||||||||
5.63%, 10/01/24 | 216 | 212,760 | ||||||||||
4.88%, 06/15/27 | 122 | 108,108 | ||||||||||
5.63%, 08/15/29 (g) | 1,131 | 913,022 | ||||||||||
8,364,224 | ||||||||||||
Commercial Services & Supplies — 0.8% | ||||||||||||
ADT Security Corp. | ||||||||||||
4.13%, 06/15/23 | 9 | 8,910 | ||||||||||
4.13%, 08/01/29 (b) | 27 | 22,962 | ||||||||||
4.88%, 07/15/32 (b) | 44 | 37,392 | ||||||||||
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26 (b) | 200 | 178,362 | ||||||||||
APX Group, Inc., 5.75%, 07/15/29 (b)(g) | 268 | 221,954 | ||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 03/01/29 (b)(g) | 36 | 30,796 | ||||||||||
Fortress Transportation & Infrastructure Investors LLC (b) | ||||||||||||
6.50%, 10/01/25 | 57 | 53,592 | ||||||||||
5.50%, 05/01/28 (g) | 310 | 264,464 | ||||||||||
Herc Holdings, Inc., 5.50%, 07/15/27 (b)(g) | 362 | 337,655 | ||||||||||
Hertz Corp. (b) | ||||||||||||
4.63%, 12/01/26 | 126 | 105,525 | ||||||||||
5.00%, 12/01/29 (g) | 101 | 76,619 | ||||||||||
Metis Merger Sub LLC, 6.50%, 05/15/29 (b) | 125 | 104,935 | ||||||||||
NESCO Holdings II, Inc., 5.50%, 04/15/29 (b) | 239 | 209,125 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. (b) | ||||||||||||
5.25%, 04/15/24 | 141 | 138,506 | ||||||||||
5.75%, 04/15/26 (g) | 480 | 462,000 | ||||||||||
6.25%, 01/15/28 (g) | 180 | 163,829 | ||||||||||
Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25 (b) | 187 | 183,728 | ||||||||||
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29 (b)(g) | 653 | 548,324 | ||||||||||
United Rentals North America, Inc., 5.25%, 01/15/30 | 161 | 151,272 |
Security | Par (000) | Value | ||||||||||
Commercial Services & Supplies (continued) | ||||||||||||
Williams Scotsman International, Inc. (b) | ||||||||||||
6.13%, 06/15/25 (g) | USD | 403 | $ | 398,970 | ||||||||
4.63%, 08/15/28 | 243 | 219,308 | ||||||||||
3,918,228 | ||||||||||||
Communications Equipment — 0.5% | ||||||||||||
Ciena Corp., 4.00%, 01/31/30 (b) | 104 | 91,531 | ||||||||||
CommScope Technologies LLC, 6.00%, 06/15/25 (b)(g) | 713 | 648,830 | ||||||||||
CommScope, Inc. (b) | ||||||||||||
6.00%, 03/01/26 | 132 | 121,822 | ||||||||||
8.25%, 03/01/27 | 158 | 122,450 | ||||||||||
7.13%, 07/01/28 (g) | 138 | 98,652 | ||||||||||
4.75%, 09/01/29 (g) | 416 | 335,379 | ||||||||||
Nokia OYJ, 4.38%, 06/12/27 | 149 | 140,666 | ||||||||||
Viasat, Inc. (b) | ||||||||||||
5.63%, 09/15/25 | 270 | 250,503 | ||||||||||
5.63%, 04/15/27 (g) | 67 | 60,860 | ||||||||||
6.50%, 07/15/28 (g) | 161 | 120,786 | ||||||||||
Viavi Solutions, Inc., 3.75%, 10/01/29 (b)(g) | 355 | 298,361 | ||||||||||
2,289,840 | ||||||||||||
Construction Materials (b) — 0.2% | ||||||||||||
American Builders & Contractors Supply Co., Inc. | ||||||||||||
4.00%, 01/15/28 (g) | 281 | 250,708 | ||||||||||
3.88%, 11/15/29 | 59 | 48,230 | ||||||||||
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 | 131 | 117,478 | ||||||||||
H&E Equipment Services, Inc., 3.88%, 12/15/28 | 58 | 49,404 | ||||||||||
Resideo Funding, Inc., 4.00%, 09/01/29 | 59 | 47,704 | ||||||||||
Wesco Aircraft Holdings, Inc., 9.00%, 11/15/26 | 672 | 450,240 | ||||||||||
963,764 | ||||||||||||
Consumer Discretionary — 1.3% | ||||||||||||
APi Group DE, Inc. (b) | ||||||||||||
4.13%, 07/15/29 | 132 | 109,404 | ||||||||||
4.75%, 10/15/29 | 100 | 86,686 | ||||||||||
Carnival Corp. | ||||||||||||
10.13%, 02/01/26 (d) | EUR | 100 | 105,829 | |||||||||
10.50%, 02/01/26 (b)(g) | USD | 361 | 362,718 | |||||||||
7.63%, 03/01/26 (b) | 71 | 56,274 | ||||||||||
5.75%, 03/01/27 (b)(g) | 893 | 637,638 | ||||||||||
9.88%, 08/01/27 (b) | 262 | 247,590 | ||||||||||
4.00%, 08/01/28 (b)(g) | 477 | 388,951 | ||||||||||
6.00%, 05/01/29 (b)(g) | 371 | 247,228 | ||||||||||
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28 (b)(g) | 1,138 | 1,168,282 | ||||||||||
CoreLogic, Inc., 4.50%, 05/01/28 (b)(g) | 511 | 392,039 | ||||||||||
Legends Hospitality Holding Co. LLC/Legends | ||||||||||||
Hospitality Co.-Issuer, Inc., 5.00%, 02/01/26 (b) | 91 | 80,990 | ||||||||||
Life Time, Inc. (b) | ||||||||||||
5.75%, 01/15/26 | 258 | 240,069 | ||||||||||
8.00%, 04/15/26 | 215 | 193,500 | ||||||||||
Lindblad Expeditions LLC, 6.75%, 02/15/27 (b) | 305 | 276,687 | ||||||||||
NCL Corp. Ltd. (b) | ||||||||||||
5.88%, 03/15/26 | 253 | 198,724 | ||||||||||
7.75%, 02/15/29 | 67 | 50,420 | ||||||||||
NCL Finance Ltd., 6.13%, 03/15/28 (b)(g) | 261 | 192,676 | ||||||||||
Royal Caribbean Cruises Ltd. (b) | ||||||||||||
11.50%, 06/01/25 | 120 | 128,700 | ||||||||||
4.25%, 07/01/26 | 72 | 58,201 | ||||||||||
5.50%, 08/31/26 | 91 | 76,554 |
S C H E D U L E O F IN V E S T M E N T S | 73 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Consumer Discretionary (continued) | ||||||||||||
Royal Caribbean Cruises Ltd. (b) (continued) | ||||||||||||
5.38%, 07/15/27 | USD | 134 | $ | 108,500 | ||||||||
11.63%, 08/15/27 | 176 | 176,744 | ||||||||||
5.50%, 04/01/28 (g) | 73 | 58,257 | ||||||||||
8.25%, 01/15/29 | 191 | 191,477 | ||||||||||
9.25%, 01/15/29 (g) | 345 | 354,522 | ||||||||||
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29 (b) | 57 | 45,885 | ||||||||||
6,234,545 | ||||||||||||
Consumer Finance — 1.7% | ||||||||||||
American Express Co., (5 year CMT + 2.85%), 3.55% (a)(g)(k) | 735 | 603,803 | ||||||||||
Block, Inc., 3.50%, 06/01/31 (g) | 1,224 | 976,660 | ||||||||||
Discover Financial Services, 6.70%, 11/29/32 | 85 | 86,401 | ||||||||||
Equifax, Inc., 2.60%, 12/15/25 | 59 | 54,880 | ||||||||||
Global Payments, Inc. | ||||||||||||
4.95%, 08/15/27 (g) | 100 | 97,000 | ||||||||||
3.20%, 08/15/29 (g) | 564 | 479,429 | ||||||||||
2.90%, 05/15/30 (g) | 754 | 617,803 | ||||||||||
5.40%, 08/15/32 | 86 | 81,902 | ||||||||||
HealthEquity, Inc., 4.50%, 10/01/29 (b)(g) | 640 | 559,296 | ||||||||||
MPH Acquisition Holdings LLC, 5.50%, 09/01/28 (b)(g) | 220 | 171,622 | ||||||||||
Navient Corp. | ||||||||||||
7.25%, 09/25/23 | 77 | 76,937 | ||||||||||
6.13%, 03/25/24 | 86 | 84,247 | ||||||||||
5.88%, 10/25/24 | 82 | 79,339 | ||||||||||
5.50%, 03/15/29 | 211 | 172,176 | ||||||||||
OneMain Finance Corp. | ||||||||||||
6.88%, 03/15/25 | 226 | 217,113 | ||||||||||
7.13%, 03/15/26 (g) | 305 | 290,018 | ||||||||||
3.50%, 01/15/27 | 304 | 251,703 | ||||||||||
6.63%, 01/15/28 (g) | 240 | 220,999 | ||||||||||
5.38%, 11/15/29 | 105 | 85,880 | ||||||||||
4.00%, 09/15/30 | 110 | 82,075 | ||||||||||
Sabre Global, Inc. (b) | ||||||||||||
9.25%, 04/15/25 | 164 | 163,365 | ||||||||||
7.38%, 09/01/25 | 252 | 242,182 | ||||||||||
11.25%, 12/15/27 | 90 | 92,675 | ||||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26 (b)(g) | 431 | 407,204 | ||||||||||
Shift4 Payments, Inc., 0.00%, 12/15/25 (h)(i) | 174 | 172,369 | ||||||||||
SLM Corp., 3.13%, 11/02/26 | 173 | 147,128 | ||||||||||
Verscend Escrow Corp., 9.75%, 08/15/26 (b)(g) | 1,817 | 1,780,133 | ||||||||||
8,294,339 | ||||||||||||
Containers & Packaging — 0.5% | ||||||||||||
Clydesdale Acquisition Holdings, Inc. (b)(g) | ||||||||||||
6.63%, 04/15/29 | 558 | 530,519 | ||||||||||
8.75%, 04/15/30 | 377 | 322,701 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 | 196 | 186,902 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 (g) | 424 | 411,598 | ||||||||||
Graham Packaging Co., Inc., 7.13%, 08/15/28 (b) | 60 | 50,061 | ||||||||||
Graphic Packaging International LLC (b) | ||||||||||||
4.75%, 07/15/27 | 89 | 83,771 | ||||||||||
3.50%, 03/15/28 | 17 | 14,795 | ||||||||||
3.50%, 03/01/29 | 61 | 51,974 | ||||||||||
Klabin Austria GmbH, 3.20%, 01/12/31 (b) | 200 | 161,000 |
Security | Par (000) | Value | ||||||||||
Containers & Packaging (continued) | ||||||||||||
LABL, Inc., 5.88%, 11/01/28 (b) | USD | 261 | $ | 227,402 | ||||||||
Sealed Air Corp. (b) | ||||||||||||
5.13%, 12/01/24 | 46 | 45,195 | ||||||||||
4.00%, 12/01/27 | 73 | 66,221 | ||||||||||
Suzano Austria GmbH, 3.13%, 01/15/32 | 71 | 55,291 | ||||||||||
2,207,430 | ||||||||||||
Diversified Consumer Services — 1.4% | ||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. (b) | ||||||||||||
6.63%, 07/15/26 | 1,737 | 1,589,355 | ||||||||||
9.75%, 07/15/27 (g) | 601 | 522,870 | ||||||||||
6.00%, 06/01/29 (g) | 1,356 | 984,130 | ||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28 (b)(g) | 1,348 | 1,104,257 | ||||||||||
Clarivate Science Holdings Corp. (b)(g) | ||||||||||||
3.88%, 07/01/28 | 631 | 546,696 | ||||||||||
4.88%, 07/01/29 | 459 | 390,311 | ||||||||||
Garda World Security Corp., 4.63%, 02/15/27 (b) | 132 | 116,553 | ||||||||||
Graham Holdings Co., 5.75%, 06/01/26 (b) | 140 | 137,564 | ||||||||||
Rekeep SpA, 7.25%, 02/01/26 (d) | EUR | 100 | 88,979 | |||||||||
Service Corp. International | ||||||||||||
5.13%, 06/01/29 | USD | 238 | 223,131 | |||||||||
3.38%, 08/15/30 (g) | 263 | 213,794 | ||||||||||
4.00%, 05/15/31 (g) | 333 | 280,461 | ||||||||||
Sotheby’s, 7.38%, 10/15/27 (b)(g) | 451 | 422,871 | ||||||||||
6,620,972 | ||||||||||||
Diversified Financial Services — 2.8% | ||||||||||||
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28 (b)(g) | 403 | 321,392 | ||||||||||
ASG Finance Designated Activity Co., 7.88%, 12/03/24 (b) | 200 | 193,000 | ||||||||||
Bank of America Corp., (1 day SOFR + 1.99%), 6.20%, 11/10/28 (a)(g) | 435 | 449,125 | ||||||||||
Barclays PLC | ||||||||||||
3.65%, 03/16/25 (g) | 3,600 | 3,458,315 | ||||||||||
5.20%, 05/12/26 | 200 | 194,499 | ||||||||||
Blackstone Holdings Finance Co. LLC, 5.90%, 11/03/27 (g) | 631 | 635,725 | ||||||||||
BNP Paribas SA, (5 year CMT + 3.34%), 4.63% (a)(b)(g)(k) | 1,500 | 1,158,901 | ||||||||||
Citigroup, Inc. (a)(k) | ||||||||||||
(5 year CMT + 3.42%), 3.88% (g) | 2,000 | 1,705,000 | ||||||||||
Series W, (5 year CMT + 3.60%), 4.00% | 155 | 135,024 | ||||||||||
Series Y, (5 year CMT + 3.00%), 4.15% (g) | 490 | 400,050 | ||||||||||
Credit Suisse Group AG, (1 year EURIBOR ICE Swap Rate + 4.95%), 7.75%, 03/01/29 (a)(d) | EUR | 100 | 106,291 | |||||||||
Garfunkelux Holdco 3 SA, 7.75%, 11/01/25 (d) | GBP | 100 | 93,932 | |||||||||
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24 (b)(l) | USD | 231 | 196,783 | |||||||||
Goldman Sachs Group, Inc., Series R, (5 year CMT + 3.22%), 4.95% (a)(k) | 730 | 664,289 | ||||||||||
HSBC Holdings PLC | ||||||||||||
4.38%, 11/23/26 (g) | 395 | 379,328 | ||||||||||
(5 year CMT + 3.22%), 4.00% (a)(g)(k) | 290 | 250,837 | ||||||||||
(5 year USD ICE Swap + 4.37%), 6.38% (a)(g)(k) | 500 | 484,539 | ||||||||||
(1 day SOFR + 3.35%), 7.39%, 11/03/28 (a) | 265 | 278,502 | ||||||||||
Intrum AB, 3.00%, 09/15/27 (d) | EUR | 100 | 84,903 |
74 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
ION Trading Technologies SARL, 5.75%, 05/15/28 (b) | USD | 200 | $ | 166,750 | ||||||||
Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 08/15/28 (b) | 325 | 265,112 | ||||||||||
JPMorgan Chase & Co., (1 day SOFR + 2.58%), 5.72%, 09/14/33 (a)(g) | 195 | 190,330 | ||||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. (b) | ||||||||||||
4.25%, 02/01/27 (g) | 170 | 142,805 | ||||||||||
4.75%, 06/15/29 | 67 | 54,093 | ||||||||||
Lloyds Banking Group PLC, (5 year CMT + 4.82%), 6.75% (a)(g)(k) | 450 | 427,058 | ||||||||||
Morgan Stanley, 4.00%, 07/23/25 (g) | 965 | 942,313 | ||||||||||
Spectrum Brands, Inc. (b) | ||||||||||||
5.00%, 10/01/29 | 141 | 122,025 | ||||||||||
5.50%, 07/15/30 | 154 | 135,910 | ||||||||||
13,636,831 | ||||||||||||
Diversified Telecommunication Services — 2.5% | ||||||||||||
AT&T, Inc., 4.30%, 02/15/30 (g) | 1,350 | 1,273,836 | ||||||||||
Consolidated Communications, Inc., 6.50%, 10/01/28 (b)(g) | 489 | 379,983 | ||||||||||
Level 3 Financing, Inc. (b) | ||||||||||||
3.40%, 03/01/27 (g) | 420 | 354,894 | ||||||||||
4.63%, 09/15/27 | 202 | 168,165 | ||||||||||
4.25%, 07/01/28 (g) | 919 | 723,896 | ||||||||||
3.63%, 01/15/29 | 136 | 99,585 | ||||||||||
3.75%, 07/15/29 (g) | 380 | 273,361 | ||||||||||
3.88%, 11/15/29 | 39 | 30,776 | ||||||||||
Lumen Technologies, Inc. (b) | ||||||||||||
4.00%, 02/15/27 (g) | 1,026 | 869,486 | ||||||||||
4.50%, 01/15/29 (g) | 664 | 458,301 | ||||||||||
5.38%, 06/15/29 | 42 | 30,237 | ||||||||||
Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25 (l) | 200 | 33,475 | ||||||||||
SoftBank Group Corp., 4.75%, 07/30/25 (d) | EUR | 100 | 100,087 | |||||||||
Sprint Capital Corp. (g) | ||||||||||||
6.88%, 11/15/28 | USD | 1,197 | 1,242,414 | |||||||||
8.75%, 03/15/32 | 919 | 1,093,702 | ||||||||||
Telecom Italia Capital SA | ||||||||||||
6.38%, 11/15/33 | 222 | 181,616 | ||||||||||
6.00%, 09/30/34 (g) | 432 | 326,463 | ||||||||||
7.20%, 07/18/36 | 98 | 79,566 | ||||||||||
7.72%, 06/04/38 | 44 | 36,520 | ||||||||||
Telecom Italia SpA | ||||||||||||
4.00%, 04/11/24 (d) | EUR | 150 | 156,152 | |||||||||
5.30%, 05/30/24 (b)(g) | USD | 200 | 189,488 | |||||||||
1.63%, 01/18/29 (d) | EUR | 100 | 81,329 | |||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 04/15/28 (b) | USD | 70 | 56,000 | |||||||||
Verizon Communications, Inc., 3.70%, 03/22/61 (g) | 1,000 | 697,490 | ||||||||||
Zayo Group Holdings, Inc. (b)(g) | ||||||||||||
4.00%, 03/01/27 | 3,087 | 2,279,966 | ||||||||||
6.13%, 03/01/28 | 1,772 | 1,004,863 | ||||||||||
12,221,651 | ||||||||||||
Electric Utilities — 0.6% | ||||||||||||
Black Hills Corp., 3.15%, 01/15/27 (g) | 305 | 282,064 | ||||||||||
Comision Federal de Electricidad, 4.88%, 01/15/24 | 200 | 197,663 |
Security | Par (000) | Value | ||||||||||
Electric Utilities (continued) | ||||||||||||
Empresas Publicas de Medellin ESP, 4.25%, 07/18/29 (b) | USD | 200 | $ | 158,413 | ||||||||
Enel Finance International NV, 3.63%, 05/25/27 (b)(g) | 900 | 831,739 | ||||||||||
FirstEnergy Corp. | ||||||||||||
2.65%, 03/01/30 | 87 | 70,935 | ||||||||||
Series B, 2.25%, 09/01/30 | 21 | 16,668 | ||||||||||
Series C, 3.40%, 03/01/50 (g) | 598 | 394,560 | ||||||||||
FirstEnergy Transmission LLC (b)(g) | ||||||||||||
5.45%, 07/15/44 | 458 | 426,043 | ||||||||||
4.55%, 04/01/49 | 163 | 131,891 | ||||||||||
NextEra Energy Operating Partners LP (b) | ||||||||||||
4.25%, 07/15/24 (g) | 170 | 164,900 | ||||||||||
4.25%, 09/15/24 | 9 | 8,367 | ||||||||||
Pike Corp., 5.50%, 09/01/28 (b) | 80 | 69,939 | ||||||||||
Texas Competitive Electric Holdings, 1.00%, 11/10/21 (c)(e)(j) | 780 | — | ||||||||||
2,753,182 | ||||||||||||
Electrical Equipment (b) — 0.1% | ||||||||||||
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 (g) | 416 | 401,440 | ||||||||||
GrafTech Finance, Inc., 4.63%, 12/15/28 | 136 | 111,686 | ||||||||||
513,126 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.4% | ||||||||||||
BWX Technologies, Inc. (b) | ||||||||||||
4.13%, 06/30/28 | 268 | 240,865 | ||||||||||
4.13%, 04/15/29 | 208 | 182,041 | ||||||||||
CDW LLC/CDW Finance Corp. | ||||||||||||
3.28%, 12/01/28 | 130 | 111,301 | ||||||||||
3.25%, 02/15/29 | 212 | 180,558 | ||||||||||
Imola Merger Corp., 4.75%, 05/15/29 (b)(g) | 510 | 442,483 | ||||||||||
Vertiv Group Corp., 4.13%, 11/15/28 (b)(g) | 920 | 782,000 | ||||||||||
1,939,248 | ||||||||||||
Energy Equipment & Services — 0.4% | ||||||||||||
Archrock Partners LP/Archrock Partners Finance Corp. (b) | ||||||||||||
6.88%, 04/01/27 | 170 | 162,293 | ||||||||||
6.25%, 04/01/28 (g) | 729 | 667,044 | ||||||||||
Halliburton Co., 3.80%, 11/15/25 (g) | 3 | 2,918 | ||||||||||
USA Compression Partners LP/USA Compression Finance Corp. | ||||||||||||
6.88%, 04/01/26 (g) | 355 | 340,548 | ||||||||||
6.88%, 09/01/27 | 406 | 379,610 | ||||||||||
Vallourec SA, 8.50%, 06/30/26 (d) | EUR | 25 | 26,236 | |||||||||
Weatherford International Ltd. (b) | ||||||||||||
11.00%, 12/01/24 | USD | 7 | 7,140 | |||||||||
6.50%, 09/15/28 | 215 | 210,764 | ||||||||||
8.63%, 04/30/30 (g) | 314 | 301,537 | ||||||||||
2,098,090 | ||||||||||||
Environmental, Maintenance & Security Service — 0.8% | ||||||||||||
Clean Harbors, Inc. (b)(g) | ||||||||||||
4.88%, 07/15/27 | 250 | 236,875 | ||||||||||
5.13%, 07/15/29 | 129 | 119,641 | ||||||||||
Covanta Holding Corp. | ||||||||||||
4.88%, 12/01/29 (b) | 142 | 116,336 | ||||||||||
5.00%, 09/01/30 | 70 | 56,528 | ||||||||||
GFL Environmental, Inc. (b) | ||||||||||||
4.25%, 06/01/25 | 86 | 82,147 | ||||||||||
3.75%, 08/01/25 | 136 | 128,520 |
S C H E D U L E O F IN V E S T M E N T S | 75 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Environmental, Maintenance & Security Service (continued) | ||||||||||||
GFL Environmental, Inc. (b) (continued) | ||||||||||||
5.13%, 12/15/26 (g) | USD | 243 | $ | 232,383 | ||||||||
4.00%, 08/01/28 (g) | 431 | 368,505 | ||||||||||
3.50%, 09/01/28 | 198 | 174,074 | ||||||||||
4.75%, 06/15/29 (g) | 378 | 330,844 | ||||||||||
4.38%, 08/15/29 | 317 | 268,642 | ||||||||||
Republic Services, Inc., 3.38%, 11/15/27 (g) | 750 | 698,783 | ||||||||||
Stericycle, Inc., 3.88%, 01/15/29 (b) | 162 | 141,345 | ||||||||||
Tervita Corp., 11.00%, 12/01/25 (b) | 114 | 122,558 | ||||||||||
Waste Pro USA, Inc., 5.50%, 02/15/26 (b)(g) | 601 | 530,743 | ||||||||||
3,607,924 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 1.2% | ||||||||||||
Alexandria Real Estate Equities, Inc., 4.00%, 02/01/50 (g) | 450 | 341,023 | ||||||||||
American Tower Corp. | ||||||||||||
2.90%, 01/15/30 (g) | 280 | 237,123 | ||||||||||
2.70%, 04/15/31 | 90 | 73,256 | ||||||||||
4.05%, 03/15/32 (g) | 180 | 160,523 | ||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27 (b) | 178 | 148,775 | ||||||||||
Digital Realty Trust LP, 5.55%, 01/15/28 (g) | 115 | 115,760 | ||||||||||
Equinix, Inc., 3.90%, 04/15/32 (g) | 551 | 489,532 | ||||||||||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27 (b)(g) | 142 | 117,422 | ||||||||||
Healthpeak Properties, Inc., 2.88%, 01/15/31 (g) | 1,000 | 835,730 | ||||||||||
Iron Mountain, Inc. (b) | ||||||||||||
5.00%, 07/15/28 | 32 | 28,742 | ||||||||||
5.25%, 07/15/30 | 172 | 149,468 | ||||||||||
5.63%, 07/15/32 (g) | 57 | 49,397 | ||||||||||
LMIRT Capital Pte. Ltd., 7.25%, 06/19/24 (d) | 229 | 151,140 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp. (g) | ||||||||||||
5.00%, 10/15/27 | 66 | 55,475 | ||||||||||
4.63%, 08/01/29 | 488 | 372,141 | ||||||||||
3.50%, 03/15/31 | 1,388 | 951,451 | ||||||||||
RHP Hotel Properties LP/RHP Finance Corp. | ||||||||||||
4.75%, 10/15/27 (g) | 678 | 613,598 | ||||||||||
4.50%, 02/15/29 (b) | 179 | 154,404 | ||||||||||
RLJ Lodging Trust LP (b) | ||||||||||||
3.75%, 07/01/26 | 135 | 120,229 | ||||||||||
4.00%, 09/15/29 | 97 | 78,635 | ||||||||||
Ventas Realty LP, 4.13%, 01/15/26 (g) | 650 | 630,464 | ||||||||||
VICI Properties LP/VICI Note Co., Inc., 3.88%, 02/15/29 (b) | 50 | 43,822 | ||||||||||
5,918,110 | ||||||||||||
Food & Staples Retailing — 0.9% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC (b) | ||||||||||||
3.25%, 03/15/26 (g) | 582 | 530,816 | ||||||||||
7.50%, 03/15/26 | 107 | 109,262 | ||||||||||
4.63%, 01/15/27 (g) | 429 | 398,485 | ||||||||||
5.88%, 02/15/28 | 320 | 304,218 | ||||||||||
4.88%, 02/15/30 (g) | 214 | 190,986 | ||||||||||
Bellis Acquisition Co. PLC, 3.25%, 02/16/26 (d) | GBP | 100 | 98,167 | |||||||||
Darling Ingredients, Inc., 6.00%, 06/15/30 (b)(g) | USD | 434 | 424,235 | |||||||||
Kraft Heinz Foods Co. (g) | ||||||||||||
4.88%, 10/01/49 | 245 | 212,671 |
Security | Par (000) | Value | ||||||||||
Food & Staples Retailing (continued) | ||||||||||||
Kraft Heinz Foods Co. (g) (continued) | ||||||||||||
5.50%, 06/01/50 | USD | 412 | $ | 393,747 | ||||||||
Lamb Weston Holdings, Inc. (b)(g) | ||||||||||||
4.88%, 05/15/28 | 257 | 243,508 | ||||||||||
4.13%, 01/31/30 | 312 | 275,558 | ||||||||||
4.38%, 01/31/32 | 216 | 188,719 | ||||||||||
Ocado Group PLC, 3.88%, 10/08/26 (d) | GBP | 100 | 93,089 | |||||||||
Performance Food Group, Inc., 4.25%, 08/01/29 (b)(g) | USD | 395 | 342,315 | |||||||||
Post Holdings, Inc. (b) | ||||||||||||
5.75%, 03/01/27 | 89 | 86,070 | ||||||||||
4.63%, 04/15/30 (g) | 118 | 101,803 | ||||||||||
U.S. Foods, Inc. (b) | ||||||||||||
4.75%, 02/15/29 | 335 | 297,453 | ||||||||||
4.63%, 06/01/30 | 39 | 34,344 | ||||||||||
United Natural Foods, Inc., 6.75%, 10/15/28 (b) | 34 | 32,668 | ||||||||||
4,358,114 | ||||||||||||
Food Products — 0.6% | ||||||||||||
Aramark International Finance SARL, 3.13%, 04/01/25 (d) | EUR | 138 | 141,075 | |||||||||
Aramark Services, Inc. (b)(g) | ||||||||||||
5.00%, 04/01/25 | USD | 435 | 424,467 | |||||||||
6.38%, 05/01/25 | 188 | 185,689 | ||||||||||
5.00%, 02/01/28 | 242 | 225,770 | ||||||||||
BRF SA, 4.88%, 01/24/30 (d) | 200 | 168,413 | ||||||||||
Chobani LLC/Chobani Finance Corp., Inc. (b)(g) | ||||||||||||
7.50%, 04/15/25 | 840 | 817,950 | ||||||||||
4.63%, 11/15/28 | 480 | 417,893 | ||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/01/31 (b) | 280 | 228,732 | ||||||||||
Pilgrim’s Pride Corp., 3.50%, 03/01/32 (b)(g) | 175 | 136,938 | ||||||||||
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29 (b) | 171 | 139,203 | ||||||||||
2,886,130 | ||||||||||||
Gas Utilities — 0.0% | ||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31 (b) | 91 | 77,348 | ||||||||||
Health Care Equipment & Supplies (b) — 0.2% | ||||||||||||
Avantor Funding, Inc. | ||||||||||||
4.63%, 07/15/28 (g) | 594 | 539,732 | ||||||||||
3.88%, 11/01/29 | 185 | 155,354 | ||||||||||
Embecta Corp., 6.75%, 02/15/30 | 75 | 67,687 | ||||||||||
Garden Spinco Corp., 8.63%, 07/20/30 | 199 | 210,940 | ||||||||||
973,713 | ||||||||||||
Health Care Providers & Services — 2.7% | ||||||||||||
Acadia Healthcare Co., Inc. (b) | ||||||||||||
5.50%, 07/01/28 | 115 | 109,078 | ||||||||||
5.00%, 04/15/29 | 86 | 79,094 | ||||||||||
AdaptHealth LLC (b) | ||||||||||||
6.13%, 08/01/28 | 73 | 66,918 | ||||||||||
5.13%, 03/01/30 | 26 | 22,134 | ||||||||||
AHP Health Partners, Inc., 5.75%, 07/15/29 (b) | 324 | 253,125 | ||||||||||
Cano Health LLC, 6.25%, 10/01/28 (b) | 104 | 62,920 | ||||||||||
Centene Corp. | ||||||||||||
2.45%, 07/15/28 (g) | 480 | 405,144 | ||||||||||
3.00%, 10/15/30 (g) | 584 | 478,734 |
76 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
Centene Corp. (continued) | ||||||||||||
2.50%, 03/01/31 (g) | USD | 1,002 | $ | 784,038 | ||||||||
2.63%, 08/01/31 | 270 | 212,166 | ||||||||||
CHS/Community Health Systems, Inc. (b) | ||||||||||||
5.63%, 03/15/27 (g) | 185 | 158,630 | ||||||||||
6.00%, 01/15/29 (g) | 525 | 439,152 | ||||||||||
5.25%, 05/15/30 | 267 | 201,328 | ||||||||||
4.75%, 02/15/31 | 55 | 39,931 | ||||||||||
Elevance Health, Inc. | ||||||||||||
3.65%, 12/01/27 (g) | 1,000 | 942,909 | ||||||||||
2.75%, 10/15/42 (h) | 19 | 138,941 | ||||||||||
Encompass Health Corp. | ||||||||||||
4.50%, 02/01/28 | 15 | 13,626 | ||||||||||
4.75%, 02/01/30 (g) | 472 | 414,483 | ||||||||||
4.63%, 04/01/31 | 211 | 181,358 | ||||||||||
HCA, Inc., 5.50%, 06/15/47 (g) | 650 | 577,279 | ||||||||||
Legacy LifePoint Health LLC (b) | ||||||||||||
6.75%, 04/15/25 | 190 | 178,807 | ||||||||||
4.38%, 02/15/27 | 191 | 161,552 | ||||||||||
Medline Borrower LP (b)(g) | ||||||||||||
3.88%, 04/01/29 | 487 | 392,503 | ||||||||||
5.25%, 10/01/29 | 1,030 | 818,098 | ||||||||||
Molina Healthcare, Inc. (b) | ||||||||||||
4.38%, 06/15/28 (g) | 303 | 276,515 | ||||||||||
3.88%, 11/15/30 | 80 | 67,795 | ||||||||||
3.88%, 05/15/32 (g) | 238 | 197,645 | ||||||||||
Surgery Center Holdings, Inc. (b)(g) | ||||||||||||
6.75%, 07/01/25 | 547 | 539,210 | ||||||||||
10.00%, 04/15/27 | 621 | 631,867 | ||||||||||
Teleflex, Inc. | ||||||||||||
4.63%, 11/15/27 | 80 | 76,247 | ||||||||||
4.25%, 06/01/28 (b) | 331 | 302,157 | ||||||||||
Tenet Healthcare Corp. | ||||||||||||
4.63%, 07/15/24 (g) | 204 | 198,952 | ||||||||||
4.63%, 09/01/24 (b)(g) | 367 | 356,451 | ||||||||||
4.88%, 01/01/26 (b)(g) | 958 | 905,926 | ||||||||||
6.25%, 02/01/27 (b) | 179 | 171,931 | ||||||||||
5.13%, 11/01/27 (b)(g) | 192 | 178,606 | ||||||||||
4.63%, 06/15/28 (b) | 81 | 72,474 | ||||||||||
6.13%, 10/01/28 (b) | 183 | 163,844 | ||||||||||
4.25%, 06/01/29 (b) | 48 | 41,582 | ||||||||||
6.13%, 06/15/30 (b)(g) | 353 | 336,338 | ||||||||||
UnitedHealth Group, Inc., 3.75%, 07/15/25 (g) | 1,470 | 1,437,013 | ||||||||||
13,086,501 | ||||||||||||
Health Care Technology — 0.6% | ||||||||||||
AthenaHealth Group, Inc., 6.50%, 02/15/30 (b)(g) | 1,408 | 1,037,601 | ||||||||||
Catalent Pharma Solutions, Inc. (b) | ||||||||||||
5.00%, 07/15/27 (g) | 365 | 339,639 | ||||||||||
3.13%, 02/15/29 | 157 | 125,007 | ||||||||||
3.50%, 04/01/30 (g) | 349 | 275,567 | ||||||||||
Charles River Laboratories International, Inc. (b) | ||||||||||||
4.25%, 05/01/28 | 159 | 146,434 | ||||||||||
3.75%, 03/15/29 | 34 | 30,070 | ||||||||||
4.00%, 03/15/31 | 67 | 57,955 | ||||||||||
Chrome Bidco SASU, 3.50%, 05/31/28 (d) | EUR | 100 | 89,650 | |||||||||
IQVIA, Inc. (b)(g) | ||||||||||||
5.00%, 10/15/26 | USD | 463 | 442,095 |
Security | Par (000) | Value | ||||||||||
Health Care Technology (continued) | ||||||||||||
IQVIA, Inc. (b)(g) (continued) | ||||||||||||
5.00%, 05/15/27 | USD | 437 | $ | 416,592 | ||||||||
Syneos Health, Inc., 3.63%, 01/15/29 (b)(g) | 145 | 115,470 | ||||||||||
3,076,080 | ||||||||||||
Hotels, Restaurants & Leisure — 2.8% | ||||||||||||
Accor SA, 0.70%, 12/07/27 (d) | EUR | 32 | 13,828 | |||||||||
Boyd Gaming Corp. | ||||||||||||
4.75%, 12/01/27 | USD | 179 | 166,717 | |||||||||
4.75%, 06/15/31 (b)(g) | 376 | 327,120 | ||||||||||
Boyne USA, Inc., 4.75%, 05/15/29 (b)(g) | 344 | 304,455 | ||||||||||
Burger King (Restaurant Brands Int)/New Red | ||||||||||||
Finance, Inc. (b) | ||||||||||||
5.75%, 04/15/25 | 207 | 205,385 | ||||||||||
3.88%, 01/15/28 (g) | 153 | 136,866 | ||||||||||
4.38%, 01/15/28 (g) | 134 | 119,984 | ||||||||||
4.00%, 10/15/30 | 146 | 118,232 | ||||||||||
Caesars Entertainment, Inc. (b)(g) | ||||||||||||
6.25%, 07/01/25 | 1,011 | 982,364 | ||||||||||
8.13%, 07/01/27 | 1,508 | 1,481,685 | ||||||||||
4.63%, 10/15/29 | 624 | 507,817 | ||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25 (b)(g) | 478 | 467,917 | ||||||||||
CDI Escrow Issuer, Inc., 5.75%, 04/01/30 (b)(g) | 691 | 619,433 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25 (b)(g) | 296 | 292,779 | ||||||||||
Champion Path Holdings Ltd., 4.50%, 01/27/26 (d) | 232 | 199,520 | ||||||||||
Churchill Downs, Inc., 5.50%, 04/01/27 (b)(g) | 675 | 639,600 | ||||||||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc. (b) | ||||||||||||
4.63%, 01/15/29 (g) | 483 | 408,732 | ||||||||||
6.75%, 01/15/30 | 68 | 54,849 | ||||||||||
Fortune Star BVI Ltd., 6.75%, 07/02/23 (d) | 200 | 188,000 | ||||||||||
Hilton Domestic Operating Co., Inc. | ||||||||||||
5.38%, 05/01/25 (b) | 145 | 143,522 | ||||||||||
5.75%, 05/01/28 (b) | 112 | 108,640 | ||||||||||
3.75%, 05/01/29 (b) | 146 | 126,290 | ||||||||||
4.88%, 01/15/30 (g) | 604 | 547,351 | ||||||||||
4.00%, 05/01/31 (b) | 281 | 235,093 | ||||||||||
3.63%, 02/15/32 (b) | 15 | 12,012 | ||||||||||
McDonald’s Corp., 3.70%, 01/30/26 (g) | 405 | 393,759 | ||||||||||
Melco Resorts Finance Ltd., 5.25%, 04/26/26 (d) | 250 | 219,375 | ||||||||||
Merlin Entertainments Ltd., 5.75%, 06/15/26 (b) | 200 | 187,248 | ||||||||||
MGM China Holdings Ltd., 5.88%, 05/15/26 (d) | 250 | 231,531 | ||||||||||
MGM Resorts International | ||||||||||||
6.00%, 03/15/23 | 416 | 414,523 | ||||||||||
5.75%, 06/15/25 | 29 | 28,184 | ||||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29 (b) | 235 | 199,953 | ||||||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. (b) | ||||||||||||
5.63%, 09/01/29 | 116 | 85,538 | ||||||||||
5.88%, 09/01/31 | 116 | 82,058 | ||||||||||
Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, 11/01/26 (b) | 177 | 157,247 | ||||||||||
Scientific Games International, Inc. (b) | ||||||||||||
8.63%, 07/01/25 | 203 | 207,101 | ||||||||||
7.00%, 05/15/28 | 174 | 165,980 | ||||||||||
7.25%, 11/15/29 | 51 | 48,960 |
S C H E D U L E O F IN V E S T M E N T S | 77 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Six Flags Theme Parks, Inc., 7.00%, 07/01/25 (b)(g) | USD | 269 | $ | 270,832 | ||||||||
Station Casinos LLC, 4.63%, 12/01/31 (b) | 277 | 222,202 | ||||||||||
Stonegate Pub Co. Financing PLC, 8.25%, 07/31/25 (d) | GBP | 100 | 109,047 | |||||||||
Vail Resorts, Inc., 6.25%, 05/15/25 (b) | USD | 154 | 154,000 | |||||||||
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28 (b) | 158 | 141,758 | ||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27 (b)(g) | 192 | 173,274 | ||||||||||
Wynn Macau Ltd., 5.50%, 01/15/26 (d) | 347 | 315,944 | ||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. (b)(g) | ||||||||||||
7.75%, 04/15/25 | 239 | 237,675 | ||||||||||
5.13%, 10/01/29 | 740 | 634,276 | ||||||||||
Yum! Brands, Inc. | ||||||||||||
4.75%, 01/15/30 (b)(g) | 196 | 179,830 | ||||||||||
3.63%, 03/15/31 | 96 | 80,496 | ||||||||||
5.38%, 04/01/32 | 38 | 35,198 | ||||||||||
5.35%, 11/01/43 | 71 | 58,398 | ||||||||||
13,442,578 | ||||||||||||
Household Durables — 0.5% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co. (b) | ||||||||||||
4.63%, 08/01/29 | 100 | 80,073 | ||||||||||
4.63%, 04/01/30 | 145 | 116,378 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC (b) | ||||||||||||
5.00%, 06/15/29 | 208 | 162,525 | ||||||||||
4.88%, 02/15/30 (g) | 364 | 283,799 | ||||||||||
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25 (b) | 253 | 217,104 | ||||||||||
K Hovnanian Enterprises, Inc., 7.75%, 02/15/26 (b) | 219 | 210,240 | ||||||||||
Mattamy Group Corp., 4.63%, 03/01/30 (b)(g) | 199 | 161,282 | ||||||||||
Meritage Homes Corp., 5.13%, 06/06/27 | 50 | 47,010 | ||||||||||
NCR Corp. (b) | ||||||||||||
5.75%, 09/01/27 | 220 | 210,523 | ||||||||||
5.00%, 10/01/28 | 110 | 93,779 | ||||||||||
5.13%, 04/15/29 | 145 | 121,267 | ||||||||||
6.13%, 09/01/29 | 92 | 86,025 | ||||||||||
SWF Escrow Issuer Corp., 6.50%, 10/01/29 (b)(g) | 330 | 191,219 | ||||||||||
Taylor Morrison Communities, Inc. (b) | ||||||||||||
5.88%, 06/15/27 | 245 | 235,230 | ||||||||||
5.13%, 08/01/30 | 54 | 46,777 | ||||||||||
Tempur Sealy International, Inc. (b) | ||||||||||||
4.00%, 04/15/29 | 204 | 171,393 | ||||||||||
3.88%, 10/15/31 (g) | 145 | 113,829 | ||||||||||
Tri Pointe Group, Inc./Tri Pointe Homes, Inc., 5.88%, 06/15/24 | 11 | 10,946 | ||||||||||
Tri Pointe Homes, Inc., 5.25%, 06/01/27 | 15 | 13,391 | ||||||||||
2,572,790 | ||||||||||||
Household Products — 0.1% | ||||||||||||
Berkline Benchcraft LLC, 4.50%, 06/01/22 (c)(e)(j) | 200 | — | ||||||||||
Central Garden & Pet Co. | ||||||||||||
5.13%, 02/01/28 | 15 | 13,954 | ||||||||||
4.13%, 10/15/30 | 194 | 159,353 | ||||||||||
4.13%, 04/30/31 (b) | 177 | 146,525 | ||||||||||
319,832 | ||||||||||||
Independent Power and Renewable Electricity Producers — 0.8% | ||||||||||||
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24 (d) | 200 | 175,000 |
Security | Par (000) | Value | ||||||||||
Independent Power and Renewable Electricity Producers (continued) | ||||||||||||
Calpine Corp. (b) | ||||||||||||
5.25%, 06/01/26 | USD | 221 | $ | 210,508 | ||||||||
5.13%, 03/15/28 (g) | 1,060 | 945,830 | ||||||||||
4.63%, 02/01/29 (g) | 106 | 90,954 | ||||||||||
5.00%, 02/01/31 | 43 | 36,073 | ||||||||||
Clearway Energy Operating LLC (b) | ||||||||||||
4.75%, 03/15/28 (g) | 336 | 310,110 | ||||||||||
3.75%, 01/15/32 | 262 | 210,602 | ||||||||||
Greenko Mauritius Ltd., 6.25%, 02/21/23 (d) | 200 | 198,500 | ||||||||||
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26 (d) | 200 | 181,250 | ||||||||||
NRG Energy, Inc. | ||||||||||||
6.63%, 01/15/27 | 720 | 713,916 | ||||||||||
5.75%, 01/15/28 | 63 | 59,136 | ||||||||||
5.25%, 06/15/29 (b) | 253 | 223,333 | ||||||||||
3.63%, 02/15/31 (b)(g) | 277 | 210,575 | ||||||||||
3.88%, 02/15/32 (b) | 16 | 12,017 | ||||||||||
TerraForm Power Operating LLC (b) | ||||||||||||
5.00%, 01/31/28 | 96 | 86,399 | ||||||||||
4.75%, 01/15/30 | 186 | 161,820 | ||||||||||
3,826,023 | ||||||||||||
Insurance — 2.4% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29 (b) | 231 | 188,780 | ||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer (b)(g) | ||||||||||||
4.25%, 10/15/27 | 1,166 | 1,044,302 | ||||||||||
6.75%, 10/15/27 | 1,896 | 1,704,239 | ||||||||||
5.88%, 11/01/29 | 1,182 | 972,077 | ||||||||||
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25 (g) | 360 | 344,721 | ||||||||||
AmWINS Group, Inc., 4.88%, 06/30/29 (b) | 285 | 241,722 | ||||||||||
Aon Global Ltd., 3.88%, 12/15/25 (g) | 1,115 | 1,087,052 | ||||||||||
GTCR AP Finance, Inc., 8.00%, 05/15/27 (b) | 330 | 316,100 | ||||||||||
HUB International Ltd. (b) | ||||||||||||
7.00%, 05/01/26 (g) | 1,280 | 1,253,107 | ||||||||||
5.63%, 12/01/29 | 53 | 46,289 | ||||||||||
Jones Deslauriers Insurance Management, Inc., 10.50%, 12/15/30 | 268 | 263,941 | ||||||||||
Marsh & McLennan Cos., Inc., 3.75%, 03/14/26 (g) | 750 | 727,365 | ||||||||||
Ryan Specialty Group LLC, 4.38%, 02/01/30 (b) | 135 | 116,896 | ||||||||||
Voya Financial, Inc., (3 mo. LIBOR US + 3.58%), 5.65%, 05/15/53 (a)(g) | 3,500 | 3,404,450 | ||||||||||
11,711,041 | ||||||||||||
Interactive Media & Services — 0.3% | ||||||||||||
Arches Buyer, Inc., 4.25%, 06/01/28 (b) | 110 | 86,031 | ||||||||||
Cablevision Lightpath LLC (b) | ||||||||||||
3.88%, 09/15/27 | 200 | 164,829 | ||||||||||
5.63%, 09/15/28 (g) | 400 | 297,171 | ||||||||||
iliad SA (d) | ||||||||||||
2.38%, 06/17/26 | EUR | 100 | 96,250 | |||||||||
5.38%, 06/14/27 | 100 | 106,189 | ||||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. (b) | ||||||||||||
4.75%, 04/30/27 | USD | 303 | 266,598 | �� | ||||||||
6.00%, 02/15/28 | 309 | 239,253 | ||||||||||
United Group BV, 4.88%, 07/01/24 (d) | EUR | 100 | 99,369 | |||||||||
1,355,690 | ||||||||||||
Internet Software & Services — 1.0% | ||||||||||||
ANGI Group LLC, 3.88%, 08/15/28 (b) | USD | 262 | 194,426 |
78 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Internet Software & Services (continued) | ||||||||||||
Booking Holdings, Inc., 0.75%, 05/01/25 (g)(h) | USD | 49 | $ | 65,263 | ||||||||
Gen Digital, Inc., 7.13%, 09/30/30 (b) | 231 | 226,958 | ||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc. (b) | ||||||||||||
5.25%, 12/01/27 | 303 | 286,777 | ||||||||||
3.50%, 03/01/29 | 204 | 170,787 | ||||||||||
Match Group Holdings II LLC (b) | ||||||||||||
4.63%, 06/01/28 | 157 | 139,959 | ||||||||||
5.63%, 02/15/29 | 177 | 164,610 | ||||||||||
4.13%, 08/01/30 | 198 | 161,641 | ||||||||||
3.63%, 10/01/31 (g) | 207 | 158,741 | ||||||||||
Uber Technologies, Inc. (g) | ||||||||||||
7.50%, 05/15/25 (b) | 667 | 666,514 | ||||||||||
0.00%, 12/15/25 (h)(i) | 916 | 771,507 | ||||||||||
8.00%, 11/01/26 (b) | 419 | 420,442 | ||||||||||
7.50%, 09/15/27 (b) | 622 | 622,436 | ||||||||||
6.25%, 01/15/28 (b) | 402 | 385,920 | ||||||||||
4.50%, 08/15/29 (b) | 671 | 584,612 | ||||||||||
5,020,593 | ||||||||||||
IT Services — 1.0% | ||||||||||||
Ahead DB Holdings LLC, 6.63%, 05/01/28 (b) | 150 | 120,563 | ||||||||||
Booz Allen Hamilton, Inc. (b)(g) | ||||||||||||
3.88%, 09/01/28 | 272 | 240,982 | ||||||||||
4.00%, 07/01/29 | 391 | 344,136 | ||||||||||
CA Magnum Holdings, 5.38%, 10/31/26 (b)(g) | 382 | 345,760 | ||||||||||
Camelot Finance SA, 4.50%, 11/01/26 (b)(g) | 564 | 528,609 | ||||||||||
Condor Merger Sub, Inc., 7.38%, 02/15/30 (b)(g) | 786 | 631,968 | ||||||||||
Dun & Bradstreet Corp., 5.00%, 12/15/29 (b)(g) | 503 | 430,449 | ||||||||||
Fair Isaac Corp., 4.00%, 06/15/28 (b)(g) | 366 | 332,147 | ||||||||||
Gartner, Inc. (b) | ||||||||||||
4.50%, 07/01/28 | 67 | 62,466 | ||||||||||
3.63%, 06/15/29 | 87 | 76,449 | ||||||||||
3.75%, 10/01/30 (g) | 308 | 265,486 | ||||||||||
KBR, Inc., 4.75%, 09/30/28 (b) | 206 | 181,962 | ||||||||||
La Financiere Atalian SASU, 5.13%, 05/15/25 (d) | EUR | 100 | 73,106 | |||||||||
Science Applications International Corp., 4.88%, 04/01/28 (b)(g) | USD | 289 | 267,324 | |||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25 (b) | 163 | 163,280 | ||||||||||
Twilio, Inc., 3.88%, 03/15/31 (g) | 304 | 241,180 | ||||||||||
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29 (b)(g) | 692 | 581,545 | ||||||||||
4,887,412 | ||||||||||||
Leisure Products — 0.1% | ||||||||||||
Mattel, Inc. | ||||||||||||
3.75%, 04/01/29 (b) | 74 | 64,996 | ||||||||||
6.20%, 10/01/40 | 219 | 189,033 | ||||||||||
5.45%, 11/01/41 | 278 | 226,289 | ||||||||||
480,318 | ||||||||||||
Machinery — 0.9% | ||||||||||||
ATS Corp., 4.13%, 12/15/28 (b) | 108 | 93,178 | ||||||||||
Chart Industries, Inc. | ||||||||||||
7.50%, 01/01/30 (b) | 598 | 601,163 | ||||||||||
9.50%, 01/01/31 | 92 | 94,356 | ||||||||||
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25 (b)(l) | 240 | 212,400 | ||||||||||
Madison IAQ LLC, 5.88%, 06/30/29 (b)(g) | 649 | 444,824 | ||||||||||
Mueller Water Products, Inc., 4.00%, 06/15/29 (b) | 138 | 121,268 | ||||||||||
OT Merger Corp., 7.88%, 10/15/29 (b) | 115 | 60,950 |
Security | Par (000) | Value | ||||||||||
Machinery (continued) | ||||||||||||
Stevens Holding Co., Inc., 6.13%, 10/01/26 (b) | USD | 167 | $ | 167,418 | ||||||||
Terex Corp., 5.00%, 05/15/29 (b) | 333 | 299,284 | ||||||||||
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26 (b)(g) | 852 | 767,301 | ||||||||||
TK Elevator Holdco GmbH, 7.63%, 07/15/28 (b)(g) | 400 | 326,605 | ||||||||||
TK Elevator Midco GmbH, 4.38%, 07/15/27 (d) | EUR | 205 | 194,140 | |||||||||
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27 (b)(g) | USD | 1,033 | 916,829 | |||||||||
4,299,716 | ||||||||||||
Marine — 0.0% | ||||||||||||
Huntington Ingalls Industries, Inc., 4.20%, 05/01/30 (g) | 178 | 161,558 | ||||||||||
Media — 8.4% | ||||||||||||
Altice Financing SA | ||||||||||||
3.00%, 01/15/28 (d) | EUR | 100 | 84,351 | |||||||||
5.00%, 01/15/28 (b)(g) | USD | 378 | 304,290 | |||||||||
5.75%, 08/15/29 (b)(g) | 1,324 | 1,041,409 | ||||||||||
Altice France Holding SA, 10.50%, 05/15/27 (b)(g) | 372 | 283,650 | ||||||||||
AMC Networks, Inc. | ||||||||||||
4.75%, 08/01/25 | 189 | 143,640 | ||||||||||
4.25%, 02/15/29 | 123 | 76,641 | ||||||||||
Block Communications, Inc., 4.88%, 03/01/28 (b) | 128 | 111,680 | ||||||||||
Cable One, Inc. | ||||||||||||
0.00%, 03/15/26 (h)(i) | 88 | 69,124 | ||||||||||
1.13%, 03/15/28 (h) | 620 | 460,660 | ||||||||||
4.00%, 11/15/30 (b)(g) | 298 | 233,845 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. (g) | ||||||||||||
5.13%, 05/01/27 (b) | 565 | 526,620 | ||||||||||
5.38%, 06/01/29 (b) | 731 | 661,021 | ||||||||||
6.38%, 09/01/29 (b) | 734 | 689,769 | ||||||||||
4.75%, 03/01/30 (b) | 287 | 247,513 | ||||||||||
4.50%, 08/15/30 (b) | 233 | 192,494 | ||||||||||
4.25%, 02/01/31 (b) | 764 | 612,816 | ||||||||||
4.75%, 02/01/32 (b) | 562 | 455,613 | ||||||||||
4.50%, 05/01/32 | 463 | 368,548 | ||||||||||
4.50%, 06/01/33 (b) | 260 | 199,480 | ||||||||||
4.25%, 01/15/34 (b) | 991 | 731,403 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital (g) | ||||||||||||
4.91%, 07/23/25 | 2,425 | 2,376,745 | ||||||||||
4.40%, 04/01/33 | 754 | 645,167 | ||||||||||
5.38%, 05/01/47 | 425 | 333,388 | ||||||||||
Clear Channel International BV, 6.63%, 08/01/25 (b)(g) | 384 | 366,414 | ||||||||||
Clear Channel Outdoor Holdings, Inc. (b)(g) | ||||||||||||
5.13%, 08/15/27 | 1,711 | 1,482,581 | ||||||||||
7.75%, 04/15/28 | 956 | 697,889 | ||||||||||
7.50%, 06/01/29 | 803 | 589,619 | ||||||||||
CMG Media Corp., 8.88%, 12/15/27 (b)(g) | 498 | 374,845 | ||||||||||
Comcast Corp., 3.95%, 10/15/25 (g) | 3,000 | 2,937,937 | ||||||||||
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26 (b)(g) | 1,866 | 1,729,333 | ||||||||||
CSC Holdings LLC (g) | ||||||||||||
5.25%, 06/01/24 | 164 | 152,686 | ||||||||||
6.50%, 02/01/29 (b) | 865 | 707,137 | ||||||||||
4.13%, 12/01/30 (b) | 899 | 634,541 | ||||||||||
3.38%, 02/15/31 (b) | 257 | 167,599 | ||||||||||
4.50%, 11/15/31 (b) | 875 | 607,087 | ||||||||||
Directv Financing LLC/Directv Financing Co.- Obligor, Inc., 5.88%, 08/15/27 (b)(g) | 459 | 410,649 |
S C H E D U L E O F IN V E S T M E N T S | 79 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Discovery Communications LLC, 3.45%, 03/15/25 (g) | USD | 170 | $ | 161,254 | ||||||||
DISH DBS Corp. (g) | ||||||||||||
7.75%, 07/01/26 | 601 | 484,640 | ||||||||||
5.25%, 12/01/26 (b) | 1,102 | 928,253 | ||||||||||
5.75%, 12/01/28 (b) | 847 | 676,012 | ||||||||||
Frontier Communications Holdings LLC (b) | ||||||||||||
5.88%, 10/15/27 (g) | 267 | 247,928 | ||||||||||
5.00%, 05/01/28 (g) | 668 | 582,509 | ||||||||||
6.75%, 05/01/29 (g) | 573 | 474,020 | ||||||||||
6.00%, 01/15/30 (g) | 196 | 153,972 | ||||||||||
8.75%, 05/15/30 | 300 | 305,025 | ||||||||||
GCI LLC, 4.75%, 10/15/28 (b) | 107 | 89,889 | ||||||||||
iHeartCommunications, Inc. | ||||||||||||
6.38%, 05/01/26 (g) | 264 | 243,037 | ||||||||||
5.25%, 08/15/27 (b) | 122 | 103,344 | ||||||||||
4.75%, 01/15/28 (b) | 78 | 63,519 | ||||||||||
Iliad Holding SASU (b)(g) | ||||||||||||
6.50%, 10/15/26 | 1,223 | 1,134,276 | ||||||||||
7.00%, 10/15/28 | 498 | 450,087 | ||||||||||
Lamar Media Corp. | ||||||||||||
3.75%, 02/15/28 | 39 | 34,909 | ||||||||||
4.00%, 02/15/30 | 126 | 110,124 | ||||||||||
LCPR Senior Secured Financing DAC (b)(g) | ||||||||||||
6.75%, 10/15/27 | 360 | 336,600 | ||||||||||
5.13%, 07/15/29 | 768 | 636,217 | ||||||||||
Liberty Broadband Corp. (b)(h) | ||||||||||||
1.25%, 09/30/50 | 413 | 398,545 | ||||||||||
2.75%, 09/30/50 | 478 | 465,549 | ||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23 (b)(l) | 389 | 114,855 | ||||||||||
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29 (b)(g) | 748 | 433,688 | ||||||||||
Live Nation Entertainment, Inc. (b) | ||||||||||||
4.88%, 11/01/24 | 31 | 30,016 | ||||||||||
6.50%, 05/15/27 (g) | 1,314 | 1,285,815 | ||||||||||
4.75%, 10/15/27 (g) | 279 | 248,401 | ||||||||||
3.75%, 01/15/28 | 196 | 167,007 | ||||||||||
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27 (b) | 177 | 160,253 | ||||||||||
Network i2i Ltd., (5 year CMT + 4.27%), 5.65% (a)(d)(g)(k) | 300 | 284,775 | ||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp. (b) | ||||||||||||
5.00%, 08/15/27 (g) | 454 | 408,712 | ||||||||||
4.25%, 01/15/29 | 187 | 155,160 | ||||||||||
4.63%, 03/15/30 | 81 | 67,013 | ||||||||||
Radiate Holdco LLC/Radiate Finance, Inc. (b) | ||||||||||||
4.50%, 09/15/26 | 995 | 731,026 | ||||||||||
6.50%, 09/15/28 (g) | 1,708 | 715,678 | ||||||||||
Sable International Finance Ltd., 5.75%, 09/07/27 (b) | 200 | 184,750 | ||||||||||
Sinclair Television Group, Inc., 4.13%, 12/01/30 (b)(g) | 495 | 371,095 | ||||||||||
Sirius XM Radio, Inc. (b) | ||||||||||||
3.13%, 09/01/26 (g) | 491 | 435,979 | ||||||||||
5.00%, 08/01/27 (g) | 548 | 506,550 | ||||||||||
4.00%, 07/15/28 (g) | 347 | 301,994 | ||||||||||
5.50%, 07/01/29 (g) | 384 | 350,508 | ||||||||||
4.13%, 07/01/30 | 36 | 29,708 |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Sirius XM Radio, Inc. (b) (continued) 3.88%, 09/01/31(g) | USD | 324 | $ | 252,775 | ||||||||
Stagwell Global LLC, 5.63%, 08/15/29 (b) | 101 | 83,283 | ||||||||||
Summer BC Holdco B SARL, 5.75%, 10/31/26 (d) | EUR | 100 | 90,052 | |||||||||
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28 (b) | USD | 200 | 180,000 | |||||||||
Univision Communications, Inc. (b) | ||||||||||||
5.13%, 02/15/25 | 133 | 126,668 | ||||||||||
6.63%, 06/01/27 | 234 | 225,766 | ||||||||||
7.38%, 06/30/30 | 209 | 199,741 | ||||||||||
UPC Broadband Finco BV, 4.88%, 07/15/31 (b)(g) | 449 | 373,476 | ||||||||||
Videotron Ltd., 3.63%, 06/15/29 (b) | 262 | 220,735 | ||||||||||
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28 (b) | 754 | 659,077 | ||||||||||
VZ Secured Financing BV, 3.50%, 01/15/32 (d) | EUR | 100 | 83,495 | |||||||||
Warnermedia Holdings, Inc., 4.28%, 03/15/32 (b)(g) | USD | 752 | 619,471 | |||||||||
WMG Acquisition Corp., 3.88%, 07/15/30 (b) | 136 | 117,144 | ||||||||||
Ziggo Bond Co. BV (b)(g) | ||||||||||||
6.00%, 01/15/27 | 199 | 185,154 | ||||||||||
5.13%, 02/28/30 | 225 | 181,687 | ||||||||||
Ziggo BV, 4.88%, 01/15/30 (b)(g) | 200 | 167,354 | ||||||||||
40,536,754 | ||||||||||||
Metals & Mining — 1.7% | ||||||||||||
ABJA Investment Co. Pte. Ltd., 5.95%, 07/31/24 (d) | 250 | 249,062 | ||||||||||
AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30 | 200 | 173,538 | ||||||||||
Arconic Corp. (b)(g) | ||||||||||||
6.00%, 05/15/25 | 83 | 81,597 | ||||||||||
6.13%, 02/15/28 | 378 | 354,664 | ||||||||||
ATI, Inc. | ||||||||||||
5.88%, 12/01/27 | 17 | 16,257 | ||||||||||
4.88%, 10/01/29 | 101 | 89,257 | ||||||||||
5.13%, 10/01/31 | 273 | 240,404 | ||||||||||
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29 (b) | 1,083 | 1,031,802 | ||||||||||
Carpenter Technology Corp. | ||||||||||||
6.38%, 07/15/28 | 44 | 41,845 | ||||||||||
7.63%, 03/15/30 | 326 | 326,778 | ||||||||||
Commercial Metals Co. | ||||||||||||
4.13%, 01/15/30 | 70 | 61,940 | ||||||||||
4.38%, 03/15/32 | 75 | 65,244 | ||||||||||
Constellium SE | ||||||||||||
4.25%, 02/15/26 (d) | EUR | 100 | 102,603 | |||||||||
5.88%, 02/15/26 (b)(g) | USD | 588 | 566,403 | |||||||||
5.63%, 06/15/28 (b)(g) | 500 | 462,110 | ||||||||||
3.75%, 04/15/29 (b)(g) | 756 | 614,203 | ||||||||||
JSW Steel Ltd., 5.95%, 04/18/24 (d) | 200 | 197,500 | ||||||||||
Kaiser Aluminum Corp. (b) | ||||||||||||
4.63%, 03/01/28 | 191 | 166,672 | ||||||||||
4.50%, 06/01/31 (g) | 347 | 278,901 | ||||||||||
New Gold, Inc., 7.50%, 07/15/27 (b)(g) | 545 | 478,267 | ||||||||||
Novelis Corp. (b)(g) | ||||||||||||
3.25%, 11/15/26 | 650 | 582,731 | ||||||||||
4.75%, 01/30/30 | 951 | 843,123 | ||||||||||
3.88%, 08/15/31 | 571 | 466,160 | ||||||||||
Novelis Sheet Ingot GmbH, 3.38%, 04/15/29 (d) | EUR | 200 | 181,844 | |||||||||
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29 (b) | USD | 122 | 105,493 |
80 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Metals & Mining (continued) | ||||||||||||
Stillwater Mining Co., 4.00%, 11/16/26 (d) | USD | 200 | $ | 175,787 | ||||||||
Vedanta Resources Finance II PLC, 13.88%, 01/21/24 (d) | 200 | 173,413 | ||||||||||
8,127,598 | ||||||||||||
Multiline Retail — 0.1% | ||||||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26 (b)(g) | 314 | 294,302 | ||||||||||
Multi-Utilities — 0.1% | ||||||||||||
Edison International, 6.95%, 11/15/29 (g) | 100 | 104,428 | ||||||||||
TransAlta Corp., 7.75%, 11/15/29 | 109 | 111,320 | ||||||||||
215,748 | ||||||||||||
Offshore Drilling & Other Services — 0.4% | ||||||||||||
Applied Materials, Inc., 3.90%, 10/01/25 (g) | 285 | 278,647 | ||||||||||
Entegris Escrow Corp., 4.75%, 04/15/29 (b)(g) | 1,366 | 1,245,706 | ||||||||||
Entegris, Inc. (b) | ||||||||||||
4.38%, 04/15/28 | 246 | 217,522 | ||||||||||
3.63%, 05/01/29 | 158 | 128,651 | ||||||||||
1,870,526 | ||||||||||||
Oil, Gas & Consumable Fuels — 9.3% | ||||||||||||
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26 (b)(g) | 728 | 722,137 | ||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. (b) | ||||||||||||
5.75%, 03/01/27 | 298 | 281,716 | ||||||||||
5.75%, 01/15/28 | 59 | 54,729 | ||||||||||
5.38%, 06/15/29 | 206 | 188,333 | ||||||||||
Apache Corp. | ||||||||||||
4.25%, 01/15/30 | 205 | 181,406 | ||||||||||
5.10%, 09/01/40 (g) | 269 | 222,924 | ||||||||||
5.35%, 07/01/49 | 137 | 110,682 | ||||||||||
Arcosa, Inc., 4.38%, 04/15/29 (b)(g) | 374 | 324,326 | ||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. (b) | ||||||||||||
9.00%, 11/01/27 (g) | 672 | 826,560 | ||||||||||
5.88%, 06/30/29 | 291 | 259,464 | ||||||||||
Buckeye Partners LP | ||||||||||||
4.13%, 03/01/25 (b) | 262 | 249,530 | ||||||||||
5.85%, 11/15/43 | 145 | 108,036 | ||||||||||
5.60%, 10/15/44 | 86 | 62,798 | ||||||||||
Callon Petroleum Co. | ||||||||||||
6.38%, 07/01/26 | 119 | 110,913 | ||||||||||
8.00%, 08/01/28 (b)(g) | 583 | 555,764 | ||||||||||
7.50%, 06/15/30 (b)(g) | 599 | 548,085 | ||||||||||
Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31 (d) | EUR | 100 | 77,168 | |||||||||
Cheniere Energy Partners LP (g) | ||||||||||||
4.50%, 10/01/29 | USD | 872 | 784,121 | |||||||||
4.00%, 03/01/31 | 940 | 800,278 | ||||||||||
3.25%, 01/31/32 | 639 | 507,818 | ||||||||||
Cheniere Energy, Inc., 4.63%, 10/15/28 | 77 | 69,598 | ||||||||||
Chesapeake Energy Corp. (b) | ||||||||||||
5.88%, 02/01/29 | 41 | 38,847 | ||||||||||
6.75%, 04/15/29 | 476 | 463,434 | ||||||||||
Civitas Resources, Inc., 5.00%, 10/15/26 (b) | 88 | 80,455 | ||||||||||
CNX Midstream Partners LP, 4.75%, 04/15/30 (b) | 96 | 78,784 | ||||||||||
CNX Resources Corp. | ||||||||||||
2.25%, 05/01/26 (h) | 298 | 436,868 | ||||||||||
6.00%, 01/15/29 (b) | 110 | 101,216 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
CNX Resources Corp. (continued) 7.38%, 01/15/31 (b) | USD | 205 | $ | 196,490 | ||||||||
Colgate Energy Partners III LLC (b)(g) | ||||||||||||
7.75%, 02/15/26 | 509 | 493,750 | ||||||||||
5.88%, 07/01/29 | 353 | 303,178 | ||||||||||
Comstock Resources, Inc. (b)(g) | ||||||||||||
6.75%, 03/01/29 | 647 | 583,917 | ||||||||||
5.88%, 01/15/30 | 543 | 466,817 | ||||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31 (b)(g) | 1,367 | 1,194,088 | ||||||||||
Crescent Energy Finance LLC, 7.25%, 05/01/26 (b)(g) | 708 | 667,177 | ||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. (b) | ||||||||||||
5.63%, 05/01/27 | 52 | 48,360 | ||||||||||
6.00%, 02/01/29 | 142 | 130,287 | ||||||||||
8.00%, 04/01/29 | 90 | 89,558 | ||||||||||
CrownRock LP/CrownRock Finance, Inc. (b) | ||||||||||||
5.63%, 10/15/25 (g) | 685 | 661,025 | ||||||||||
5.00%, 05/01/29 | 44 | 39,535 | ||||||||||
DCP Midstream Operating LP | ||||||||||||
5.63%, 07/15/27 | 49 | 48,606 | ||||||||||
6.45%, 11/03/36 (b) | 162 | 158,748 | ||||||||||
6.75%, 09/15/37 (b)(g) | 295 | 297,357 | ||||||||||
Diamondback Energy, Inc., 6.25%, 03/15/33 (g) | 784 | 795,733 | ||||||||||
DT Midstream, Inc. (b)(g) | ||||||||||||
4.13%, 06/15/29 | 384 | 329,898 | ||||||||||
4.38%, 06/15/31 | 518 | 434,550 | ||||||||||
Dycom Industries, Inc., 4.50%, 04/15/29 (b) | 119 | 103,577 | ||||||||||
Earthstone Energy Holdings LLC, 8.00%, 04/15/27 (b)(g) | 350 | 334,828 | ||||||||||
Ecopetrol SA, 4.13%, 01/16/25 | 198 | 188,199 | ||||||||||
eG Global Finance PLC (b) | ||||||||||||
6.75%, 02/07/25 (g) | 396 | 345,720 | ||||||||||
8.50%, 10/30/25 | 252 | 234,769 | ||||||||||
EIG Pearl Holdings SARL, 3.55%, 08/31/36 (b) | 244 | 204,625 | ||||||||||
Enbridge, Inc., (3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78 (a)(g) | 1,565 | 1,423,804 | ||||||||||
Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 01/30/28 (b)(g) | 386 | 369,603 | ||||||||||
Energy Transfer LP (g) | ||||||||||||
3.90%, 07/15/26 | 235 | 222,031 | ||||||||||
5.55%, 02/15/28 | 160 | 158,709 | ||||||||||
3.75%, 05/15/30 | 905 | 797,926 | ||||||||||
5.75%, 02/15/33 | 185 | 180,997 | ||||||||||
Series H, (5 year CMT + 5.69%), 6.50% (a)(k) | 701 | 602,860 | ||||||||||
EnLink Midstream LLC | ||||||||||||
5.63%, 01/15/28 (b)(g) | 348 | 331,469 | ||||||||||
5.38%, 06/01/29 | 339 | 313,669 | ||||||||||
6.50%, 09/01/30 (b) | 232 | 229,610 | ||||||||||
EnLink Midstream Partners LP | ||||||||||||
4.15%, 06/01/25 | 7 | 6,615 | ||||||||||
4.85%, 07/15/26 | 115 | 108,103 | ||||||||||
5.60%, 04/01/44 | 226 | 186,397 | ||||||||||
5.05%, 04/01/45 | 40 | 30,313 | ||||||||||
5.45%, 06/01/47 | 60 | 48,195 | ||||||||||
EQM Midstream Partners LP | ||||||||||||
6.00%, 07/01/25 (b) | 128 | 123,520 | ||||||||||
4.13%, 12/01/26 | 100 | 88,944 | ||||||||||
6.50%, 07/01/27 (b)(g) | 364 | 347,893 |
S C H E D U L E O F IN V E S T M E N T S | 81 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
EQM Midstream Partners LP (continued) | ||||||||||||
4.50%, 01/15/29 (b) | USD | 21 | $ | 17,638 | ||||||||
7.50%, 06/01/30 (b) | 84 | 80,936 | ||||||||||
4.75%, 01/15/31 (b)(g) | 506 | 413,655 | ||||||||||
EQT Corp., 1.75%, 05/01/26 (h) | 76 | 176,472 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | ||||||||||||
6.50%, 10/01/25 | 112 | 107,040 | ||||||||||
7.75%, 02/01/28 | 150 | 138,072 | ||||||||||
Gulfport Energy Corp., 8.00%, 05/17/26 (b) | 37 | 36,075 | ||||||||||
Harvest Midstream I LP, 7.50%, 09/01/28 (b) | 60 | 57,266 | ||||||||||
Hess Corp., 4.30%, 04/01/27 (g) | 50 | 47,753 | ||||||||||
Hess Midstream Operations LP, 4.25%, 02/15/30 (b) | 240 | 205,181 | ||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. (b) | ||||||||||||
6.25%, 11/01/28 | 145 | 131,225 | ||||||||||
5.75%, 02/01/29 | 214 | 190,474 | ||||||||||
6.00%, 04/15/30 | 27 | 24,010 | ||||||||||
6.00%, 02/01/31 | 16 | 13,801 | ||||||||||
6.25%, 04/15/32 | 7 | 6,040 | ||||||||||
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26 (d) | 200 | 186,750 | ||||||||||
HTA Group Ltd., 7.00%, 12/18/25 (b) | 200 | 183,600 | ||||||||||
IHS Holding Ltd., 6.25%, 11/29/28 (b) | 200 | 160,788 | ||||||||||
Impulsora Pipeline LLC, 6.05%, 12/31/42 (c) | 1,364 | 1,198,484 | ||||||||||
ITT Holdings LLC, 6.50%, 08/01/29 (b)(g) | 343 | 288,854 | ||||||||||
Kinder Morgan, Inc., 4.80%, 02/01/33 (g) | 517 | 479,319 | ||||||||||
Kinetik Holdings LP, 5.88%, 06/15/30 (b)(g) | 553 | 518,594 | ||||||||||
Leviathan Bond Ltd., 5.75%, 06/30/23 (b)(d) | 58 | 58,007 | ||||||||||
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26 (b) | 32 | 30,720 | ||||||||||
Matador Resources Co., 5.88%, 09/15/26 (g) | 466 | 448,040 | ||||||||||
Medco Bell Pte. Ltd., 6.38%, 01/30/27 (d) | 250 | 224,375 | ||||||||||
MPLX LP, 4.25%, 12/01/27 (g) | 185 | 174,810 | ||||||||||
Murphy Oil Corp. | ||||||||||||
5.75%, 08/15/25 | 14 | 13,756 | ||||||||||
5.88%, 12/01/27 | 56 | 53,888 | ||||||||||
6.13%, 12/01/42 | 29 | 22,620 | ||||||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 | 146 | 133,594 | ||||||||||
Nabors Industries Ltd. (b) | ||||||||||||
7.25%, 01/15/26 | 199 | 187,537 | ||||||||||
7.50%, 01/15/28 | 248 | 226,894 | ||||||||||
Nabors Industries, Inc. (g) | ||||||||||||
5.75%, 02/01/25 | 630 | 600,774 | ||||||||||
7.38%, 05/15/27 (b) | 331 | 320,638 | ||||||||||
New Fortress Energy, Inc. (b)(g) | ||||||||||||
6.75%, 09/15/25 | 762 | 720,700 | ||||||||||
6.50%, 09/30/26 | 1,162 | 1,079,149 | ||||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26 (b)(g) | 171 | 152,257 | ||||||||||
NGPL PipeCo LLC, 7.77%, 12/15/37 (b)(g) | 227 | 236,197 | ||||||||||
Northern Oil & Gas, Inc., 8.13%, 03/01/28 (b)(g) | 873 | 838,249 | ||||||||||
NuStar Logistics LP | ||||||||||||
6.00%, 06/01/26 | 163 | 156,954 | ||||||||||
6.38%, 10/01/30 | 25 | 23,117 | ||||||||||
Occidental Petroleum Corp. | ||||||||||||
6.95%, 07/01/24 | 30 | 30,571 | ||||||||||
5.88%, 09/01/25 | 117 | 116,576 | ||||||||||
8.88%, 07/15/30 | 100 | 112,900 | ||||||||||
6.63%, 09/01/30 (g) | 713 | 736,800 | ||||||||||
7.50%, 05/01/31 | 94 | 100,436 | ||||||||||
6.45%, 09/15/36 | 179 | 182,580 | ||||||||||
6.20%, 03/15/40 (g) | 899 | 879,758 | ||||||||||
6.60%, 03/15/46 | 64 | 65,855 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Odebrecht Offshore Drilling Finance Ltd., (7.72% PIK), 7.72%, 12/01/26 (b)(l) | USD | — | (m) | $ | 45 | |||||||
ONEOK, Inc., 4.35%, 03/15/29 (g) | 280 | 258,774 | ||||||||||
PDC Energy, Inc. | ||||||||||||
6.13%, 09/15/24 | 75 | 74,573 | ||||||||||
5.75%, 05/15/26 | 235 | 224,324 | ||||||||||
Permian Resources Operating LLC | ||||||||||||
6.88%, 04/01/27 (b) | 46 | 43,343 | ||||||||||
3.25%, 04/01/28 (h) | 192 | 324,192 | ||||||||||
Pertamina Persero PT, 3.65%, 07/30/29 (d) | 384 | 350,442 | ||||||||||
Petroleos Mexicanos (g) | ||||||||||||
6.50%, 03/13/27 | 130 | 118,138 | ||||||||||
8.75%, 06/02/29 | 130 | 121,452 | ||||||||||
5.95%, 01/28/31 | 158 | 119,448 | ||||||||||
6.70%, 02/16/32 | 97 | 76,024 | ||||||||||
Pioneer Natural Resources Co., 0.25%, 05/15/25 (g)(h) | 129 | 300,828 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp., 3.80%, 09/15/30 (g) | 443 | 385,003 | ||||||||||
Precision Drilling Corp., 6.88%, 01/15/29 (b) | 12 | 11,172 | ||||||||||
Puma International Financing SA, 5.13%, 10/06/24 (b) | 200 | 185,000 | ||||||||||
Range Resources Corp. | ||||||||||||
4.88%, 05/15/25 | 14 | 13,299 | ||||||||||
4.75%, 02/15/30 (b) | 17 | 14,979 | ||||||||||
Rockcliff Energy II LLC, 5.50%, 10/15/29 (b)(g) | 377 | 344,936 | ||||||||||
Rockies Express Pipeline LLC, 4.95%, 07/15/29 (b) | 51 | 45,765 | ||||||||||
Sabine Pass Liquefaction LLC, 5.90%, 09/15/37 (g) | 145 | 145,100 | ||||||||||
SM Energy Co. | ||||||||||||
5.63%, 06/01/25 | 74 | 71,039 | ||||||||||
6.75%, 09/15/26 (g) | 156 | 151,453 | ||||||||||
6.63%, 01/15/27 | 21 | 20,228 | ||||||||||
6.50%, 07/15/28 (g) | 91 | 87,248 | ||||||||||
Southwestern Energy Co. | ||||||||||||
5.70%, 01/23/25 | 18 | 17,685 | ||||||||||
5.38%, 02/01/29 (g) | 279 | 258,650 | ||||||||||
4.75%, 02/01/32 | 161 | 137,589 | ||||||||||
Sunoco LP/Sunoco Finance Corp. | ||||||||||||
6.00%, 04/15/27 | 63 | 62,036 | ||||||||||
5.88%, 03/15/28 | 124 | 117,433 | ||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (b) | ||||||||||||
6.00%, 03/01/27 | 41 | 38,278 | ||||||||||
5.50%, 01/15/28 | 34 | 30,153 | ||||||||||
6.00%, 12/31/30 | 28 | 24,212 | ||||||||||
6.00%, 09/01/31 | 131 | 112,632 | ||||||||||
Tap Rock Resources LLC, 7.00%, 10/01/26 (b)(g) | 768 | 714,317 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.88%, 01/15/29 (g) | 525 | 529,178 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28 (g) | 280 | 262,711 | ||||||||||
Transocean, Inc., 11.50%, 01/30/27 (b) | 171 | 171,428 | ||||||||||
Venture Global Calcasieu Pass LLC (b)(g) | ||||||||||||
3.88%, 08/15/29 | 870 | 761,250 | ||||||||||
4.13%, 08/15/31 | 805 | 685,856 | ||||||||||
3.88%, 11/01/33 | 1,545 | 1,262,110 | ||||||||||
Vermilion Energy, Inc., 6.88%, 05/01/30 (b) | 159 | 145,101 | ||||||||||
Vivo Energy Investments BV, 5.13%, 09/24/27 (b) | 200 | 178,225 | ||||||||||
Western Midstream Operating LP | ||||||||||||
4.75%, 08/15/28 | 37 | 33,792 | ||||||||||
5.45%, 04/01/44 | 339 | 281,614 |
82 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Western Midstream Operating LP (continued) | ||||||||||||
5.30%, 03/01/48 | USD | 199 | $ | 163,623 | ||||||||
5.50%, 08/15/48 | 99 | 82,167 | ||||||||||
5.50%, 02/01/50 (g) | 795 | 654,921 | ||||||||||
44,968,985 | ||||||||||||
Pharmaceuticals — 0.9% | ||||||||||||
AbbVie, Inc., 4.25%, 11/14/28 (g) | 1,000 | 964,572 | ||||||||||
Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28 (d) | EUR | 100 | 93,777 | |||||||||
CVS Health Corp., 1.30%, 08/21/27 (g) | USD | 1,000 | 846,635 | |||||||||
Elanco Animal Health, Inc., 6.40%, 08/28/28 | 128 | 121,793 | ||||||||||
Gruenenthal GmbH, 4.13%, 05/15/28 (d) | EUR | 100 | 96,073 | |||||||||
Jazz Securities DAC, 4.38%, 01/15/29 (b)(g) | USD | 200 | 178,230 | |||||||||
Nidda Healthcare Holding GmbH, 7.50%, 08/21/26 (d) | EUR | 100 | 101,827 | |||||||||
Option Care Health, Inc., 4.38%, 10/31/29 (b) | USD | 245 | 214,304 | |||||||||
Organon & Co./Organon Foreign Debt Co.-Issuer BV (b)(g) | ||||||||||||
4.13%, 04/30/28 | 428 | 378,951 | ||||||||||
5.13%, 04/30/31 | 398 | 344,620 | ||||||||||
PRA Health Sciences, Inc., 2.88%, 07/15/26 (b)(g) | 484 | 438,046 | ||||||||||
Prestige Brands, Inc., 3.75%, 04/01/31 (b) | 149 | 122,876 | ||||||||||
Teva Pharmaceutical Finance Netherlands II BV, 6.00%, 01/31/25 | EUR | 100 | 105,024 | |||||||||
Teva Pharmaceutical Finance Netherlands III BV, 4.75%, 05/09/27 (g) | USD | 400 | 360,450 | |||||||||
4,367,178 | ||||||||||||
Real Estate — 0.0% | ||||||||||||
VICI Properties LP/VICI Note Co., Inc., 4.50%, 01/15/28 (b) | 98 | 89,927 | ||||||||||
Real Estate Management & Development — 0.6% | ||||||||||||
Adler Group SA, 2.75%, 11/13/26 (d)(e)(j) | EUR | 100 | 42,283 | |||||||||
CIFI Holdings Group Co. Ltd., 6.00%, 07/16/25 (d)(e)(j) | USD | 200 | 50,000 | |||||||||
Country Garden Holdings Co. Ltd., 6.50%, 04/08/24 (d) | 200 | 149,600 | ||||||||||
DIC Asset AG, 2.25%, 09/22/26 (d) | EUR | 100 | 61,016 | |||||||||
Easy Tactic Ltd., (6.50% Cash or 7.50% PIK), 7.50%, 07/11/27 (l) | USD | 210 | 42,378 | |||||||||
Fantasia Holdings Group Co. Ltd. (d)(e)(j) | ||||||||||||
11.75%, 04/17/22 | 400 | 31,000 | ||||||||||
11.88%, 06/01/23 | 200 | 15,500 | ||||||||||
9.25%, 07/28/23 | 200 | 15,500 | ||||||||||
9.88%, 10/19/23 | 200 | 15,500 | ||||||||||
Greystar Real Estate Partners LLC, 5.75%, 12/01/25 (b) | 100 | 97,725 | ||||||||||
Howard Hughes Corp. (b) | ||||||||||||
5.38%, 08/01/28 | 79 | 71,158 | ||||||||||
4.13%, 02/01/29 | 149 | 124,787 | ||||||||||
4.38%, 02/01/31 | 140 | 113,270 | ||||||||||
Jingrui Holdings Ltd., 12.00%, 07/25/22 (d)(e)(j) | 200 | 18,400 | ||||||||||
MAF Sukuk Ltd., 4.64%, 05/14/29 (d)(g) | 275 | 266,802 | ||||||||||
Modern Land China Co. Ltd., 9.80%, 04/11/23 (d)(e)(j) | 431 | 24,782 | ||||||||||
Realogy Group LLC/Realogy Co.-Issuer Corp. (b) | ||||||||||||
5.75%, 01/15/29 | 456 | 344,914 | ||||||||||
5.25%, 04/15/30 | 135 | 98,484 | ||||||||||
Ronshine China Holdings Ltd., 6.75%, 08/05/24 (d)(e)(j) | 200 | 10,000 | ||||||||||
Sinic Holdings Group Co. Ltd., 10.50%, 06/18/22 (e)(j) | 200 | 2,000 |
Security | Par (000) | Value | ||||||||||
Real Estate Management & Development (continued) | ||||||||||||
Starwood Property Trust, Inc., 4.38%, 01/15/27 (b) | USD | 77 | $ | 67,381 | ||||||||
Theta Capital Pte. Ltd., 8.13%, 01/22/25 (d) | 200 | 150,787 | ||||||||||
VICI Properties LP, 5.13%, 05/15/32 (g) | 851 | 787,983 | ||||||||||
Yanlord Land HK Co. Ltd., 6.80%, 02/27/24 (d) | 200 | 192,000 | ||||||||||
Yuzhou Group Holdings Co. Ltd. (d)(e)(j) | ||||||||||||
7.70%, 02/20/25 | 200 | 17,500 | ||||||||||
8.30%, 05/27/25 | 200 | 17,500 | ||||||||||
2,828,250 | ||||||||||||
Road & Rail — 0.8% | ||||||||||||
Danaos Corp., 8.50%, 03/01/28 (b) | 100 | 96,000 | ||||||||||
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34 (b)(g) | 1,419 | 1,374,783 | ||||||||||
Seaspan Corp., 5.50%, 08/01/29 (b)(g) | 328 | 248,558 | ||||||||||
Union Pacific Corp., 3.20%, 05/20/41 (g) | 600 | 470,740 | ||||||||||
United Rentals North America, Inc., 6.00%, 12/15/29 (g) | 1,560 | 1,550,250 | ||||||||||
3,740,331 | ||||||||||||
Semiconductors & Semiconductor Equipment — 1.4% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 (g) | 600 | 567,534 | ||||||||||
Broadcom, Inc. | ||||||||||||
4.11%, 09/15/28 (g) | 1,739 | 1,617,261 | ||||||||||
4.15%, 11/15/30 | 86 | 77,069 | ||||||||||
2.45%, 02/15/31 (b)(g) | 170 | 133,895 | ||||||||||
4.30%, 11/15/32 (g) | 400 | 352,536 | ||||||||||
2.60%, 02/15/33 (b)(g) | 216 | 162,129 | ||||||||||
3.42%, 04/15/33 (b)(g) | 241 | 193,212 | ||||||||||
3.47%, 04/15/34 (b) | 9 | 7,180 | ||||||||||
Marvell Technology, Inc., 2.95%, 04/15/31 (g) | 324 | 260,606 | ||||||||||
Microchip Technology, Inc. (h) | ||||||||||||
0.13%, 11/15/24 | 125 | 134,062 | ||||||||||
1.63%, 02/15/25 | 30 | 93,458 | ||||||||||
1.63%, 02/15/27 | 30 | 59,550 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25 | 33 | 30,995 | ||||||||||
QUALCOMM, Inc., 1.65%, 05/20/32 (g) | 1,779 | 1,370,204 | ||||||||||
Sensata Technologies BV (b) | ||||||||||||
5.63%, 11/01/24 (g) | 229 | 226,797 | ||||||||||
5.00%, 10/01/25 (g) | 324 | 316,422 | ||||||||||
4.00%, 04/15/29 | 168 | 144,900 | ||||||||||
5.88%, 09/01/30 | 237 | 224,611 | ||||||||||
Sensata Technologies, Inc. (b) | ||||||||||||
4.38%, 02/15/30 (g) | 596 | 518,821 | ||||||||||
3.75%, 02/15/31 | 34 | 27,970 | ||||||||||
Synaptics, Inc., 4.00%, 06/15/29 (b) | 226 | 190,416 | ||||||||||
6,709,628 | ||||||||||||
Software — 2.4% | ||||||||||||
ACI Worldwide, Inc., 5.75%, 08/15/26 (b)(g) | 444 | 430,125 | ||||||||||
Black Knight InfoServ LLC, 3.63%, 09/01/28 (b)(g) | 386 | 334,855 | ||||||||||
Boxer Parent Co., Inc. | ||||||||||||
6.50%, 10/02/25 (d) | EUR | 100 | 101,636 | |||||||||
7.13%, 10/02/25 (b)(g) | USD | 398 | 387,060 | |||||||||
9.13%, 03/01/26 (b)(g) | 678 | 639,635 | ||||||||||
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29 (b)(g) | 558 | 545,792 | ||||||||||
Cloud Software Group Holdings, Inc., 6.50%, 03/31/29 (b)(g) | 2,441 | 2,056,008 | ||||||||||
Elastic NV, 4.13%, 07/15/29 (b)(g) | 376 | 303,695 | ||||||||||
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL, 4.63%, 05/01/28 (b) | 200 | 151,995 |
S C H E D U L E O F IN V E S T M E N T S | 83 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32 (b) | USD | 230 | $ | 191,061 | ||||||||
MicroStrategy, Inc., 6.13%, 06/15/28 (b)(g) | 451 | 322,488 | ||||||||||
MSCI, Inc. (b) | ||||||||||||
4.00%, 11/15/29 | 83 | 72,296 | ||||||||||
3.63%, 09/01/30 | 147 | 122,194 | ||||||||||
3.88%, 02/15/31 (g) | 190 | 157,971 | ||||||||||
3.63%, 11/01/31 | 129 | 106,680 | ||||||||||
3.25%, 08/15/33 | 183 | 141,323 | ||||||||||
Open Text Corp., 6.90%, 12/01/27 | 835 | 835,000 | ||||||||||
Oracle Corp. | ||||||||||||
6.15%, 11/09/29 (g) | 535 | 555,312 | ||||||||||
2.95%, 04/01/30 | 89 | 75,882 | ||||||||||
6.25%, 11/09/32 (g) | 1,563 | 1,635,868 | ||||||||||
3.60%, 04/01/50 (g) | 785 | 528,514 | ||||||||||
PTC, Inc. (b) | ||||||||||||
3.63%, 02/15/25 | 76 | 72,385 | ||||||||||
4.00%, 02/15/28 | 187 | 168,306 | ||||||||||
SS&C Technologies, Inc., 5.50%, 09/30/27 (b)(g) | 1,020 | 955,124 | ||||||||||
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25 (b)(g) | 609 | 419,430 | ||||||||||
11,310,635 | ||||||||||||
Specialty Retail (b) — 0.3% | ||||||||||||
Arko Corp., 5.13%, 11/15/29 | 181 | 142,121 | ||||||||||
PetSmart, Inc./PetSmart Finance Corp. | ||||||||||||
4.75%, 02/15/28 | 343 | 310,589 | ||||||||||
7.75%, 02/15/29 (g) | 587 | 551,306 | ||||||||||
Staples, Inc., 7.50%, 04/15/26 (g) | 411 | 353,740 | ||||||||||
1,357,756 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.1% | ||||||||||||
Coherent Corp., 5.00%, 12/15/29 (b)(g) | 495 | 426,903 | ||||||||||
Textiles, Apparel & Luxury Goods (b) — 0.1% | ||||||||||||
Crocs, Inc. | ||||||||||||
4.25%, 03/15/29 | 25 | 21,177 | ||||||||||
4.13%, 08/15/31 | 149 | 121,428 | ||||||||||
Kontoor Brands, Inc., 4.13%, 11/15/29 | 98 | 79,979 | ||||||||||
Levi Strauss & Co., 3.50%, 03/01/31 (g) | 190 | 150,801 | ||||||||||
William Carter Co., 5.63%, 03/15/27 | 160 | 153,475 | ||||||||||
526,860 | ||||||||||||
Thrifts & Mortgage Finance — 0.2% | ||||||||||||
Home Point Capital, Inc., 5.00%, 02/01/26 (b) | 194 | 134,149 | ||||||||||
MGIC Investment Corp., 5.25%, 08/15/28 (g) | 167 | 153,988 | ||||||||||
Nationstar Mortgage Holdings, Inc. (b) | ||||||||||||
6.00%, 01/15/27 | 147 | 131,565 | ||||||||||
5.13%, 12/15/30 | 104 | 80,323 | ||||||||||
5.75%, 11/15/31 | 114 | 88,635 | ||||||||||
Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc., 2.88%, 10/15/26 (b) | 442 | 378,866 | ||||||||||
967,526 | ||||||||||||
Transportation — 0.0% | ||||||||||||
XPO Escrow Sub LLC, 7.50%, 11/15/27 (g) | 106 | 107,264 | ||||||||||
Transportation Infrastructure — 0.3% | ||||||||||||
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29 (b) | 200 | 193,750 | ||||||||||
DP World Salaam, (5 year CMT + 5.75%), 6.00% (a)(d)(k) | 200 | 197,500 | ||||||||||
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27 (d) | 200 | 172,100 |
Security | Par (000) | Value | ||||||||||
Transportation Infrastructure (continued) | ||||||||||||
Heathrow Finance PLC, 4.13%, 09/01/29 (d)(n) | GBP | 100 | $ | 90,067 | ||||||||
Mexico City Airport Trust, 5.50%, 07/31/47 (d) | USD | 200 | 154,000 | |||||||||
Transurban Finance Co. Pty. Ltd., 4.13%, 02/02/26 (b)(g) | 435 | 417,825 | ||||||||||
1,225,242 | ||||||||||||
Utilities — 0.5% | ||||||||||||
American Water Capital Corp., 4.45%, 06/01/32 (g) | 900 | 861,037 | ||||||||||
Consensus Cloud Solutions, Inc. (b) | ||||||||||||
6.00%, 10/15/26 | 71 | 66,402 | ||||||||||
6.50%, 10/15/28 | 64 | 58,865 | ||||||||||
FEL Energy VI SARL, 5.75%, 12/01/40 | 185 | 157,453 | ||||||||||
Genneia SA, 8.75%, 09/02/27 (b) | 70 | 67,657 | ||||||||||
Mong Duong Finance Holdings BV, 5.13%, 05/07/29 (d) | 250 | 207,469 | ||||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28 (b)(g) | 352 | 315,615 | ||||||||||
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33 (d) | 162 | 152,968 | ||||||||||
Thames Water Kemble Finance PLC, 4.63%, 05/19/26 (d) | GBP | 168 | 171,228 | |||||||||
Vistra Operations Co. LLC (b) | ||||||||||||
5.50%, 09/01/26 | USD | 19 | 18,305 | |||||||||
5.00%, 07/31/27 | 10 | 9,281 | ||||||||||
4.38%, 05/01/29 | 140 | 120,626 | ||||||||||
2,206,906 | ||||||||||||
Wireless Telecommunication Services — 1.2% | ||||||||||||
Altice France SA/France | ||||||||||||
5.88%, 02/01/27 (d) | EUR | 100 | 93,114 | |||||||||
8.13%, 02/01/27 (b)(g) | USD | 507 | 461,816 | |||||||||
5.50%, 01/15/28 (b)(g) | 381 | 298,369 | ||||||||||
5.13%, 01/15/29 (b) | 200 | 150,382 | ||||||||||
5.13%, 07/15/29 (b)(g) | 702 | 526,320 | ||||||||||
Kenbourne Invest SA, 6.88%, 11/26/24 (b) | 275 | 259,755 | ||||||||||
Rogers Communications, Inc., 5.00%, 03/15/44 (g) | 545 | 466,905 | ||||||||||
SBA Communications Corp. | ||||||||||||
3.13%, 02/01/29 | 343 | 285,201 | ||||||||||
3.88%, 02/15/27 (g) | 1,106 | 999,286 | ||||||||||
Sprint LLC, 7.63%, 03/01/26 (g) | 506 | 532,467 | ||||||||||
VICI Properties LP/VICI Note Co., Inc. (b) | ||||||||||||
5.63%, 05/01/24 | 54 | 53,474 | ||||||||||
3.50%, 02/15/25 | 108 | 101,826 | ||||||||||
4.63%, 06/15/25 | 120 | 115,050 | ||||||||||
4.50%, 09/01/26 | 8 | 7,528 | ||||||||||
4.25%, 12/01/26 | 104 | 97,024 | ||||||||||
4.63%, 12/01/29 (g) | 414 | 376,740 | ||||||||||
4.13%, 08/15/30 (g) | 378 | 330,812 | ||||||||||
Vmed O2 U.K. Financing I PLC | ||||||||||||
4.00%, 01/31/29 (d) | GBP | 100 | 93,939 | |||||||||
4.50%, 07/15/31 (d) | 100 | 91,892 | ||||||||||
4.75%, 07/15/31 (b)(g) | USD | 797 | 647,443 | |||||||||
5,989,343 | ||||||||||||
Total Corporate Bonds — 72.6% (Cost: $391,402,699) | 350,161,030 | |||||||||||
84 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Floating Rate Loan Interests (a) | ||||||||||||
Aerospace & Defense — 1.4% | ||||||||||||
Atlas CC Acquisition Corp. | ||||||||||||
Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 8.98%, 05/25/28 | USD | 1,241 | $ | 1,040,118 | ||||||||
Term Loan C, (3 mo. LIBOR + 4.25%, 0.75% Floor), 8.98%, 05/25/28 | 253 | 211,549 | ||||||||||
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 8.73%, 10/31/26 | 283 | 280,175 | ||||||||||
Cobham Ultra U.S. Co-Borrower LLC, USD Term Loan B, (6 mo. LIBOR + 3.75%, 0.50% Floor), 7.06%, 08/03/29 | 155 | 149,974 | ||||||||||
Dynasty Acquisition Co., Inc. | ||||||||||||
2020 CAD Term Loan B2, (1 mo. LIBOR + 3.50%), 7.92%, 04/06/26 | 597 | 568,178 | ||||||||||
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 7.92%, 04/06/26 | 1,111 | 1,056,925 | ||||||||||
Peraton Corp. | ||||||||||||
2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%, 0.75% Floor), 12.09%, 02/01/29 | 455 | 431,624 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 02/01/28 | 2,253 | 2,196,420 | ||||||||||
TransDigm, Inc., 2020 Term Loan F, (3 mo. LIBOR + 2.25%), 6.98%, 12/09/25 | 849 | 837,552 | ||||||||||
6,772,515 | ||||||||||||
Air Freight & Logistics — 0.2% | ||||||||||||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 8.49%, 04/06/28 | 274 | 250,287 | ||||||||||
Kestrel Bidco, Inc., Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 7.35%, 12/11/26 | 177 | 160,683 | ||||||||||
PECF USS Intermediate Holding III Corp., Term Loan B, (1 mo. LIBOR + 4.25%, 0.50% Floor), 8.63%, 12/15/28 | 532 | 442,352 | ||||||||||
853,322 | ||||||||||||
Airlines — 1.5% | ||||||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 8.99%, 04/20/28 | 1,502 | 1,494,181 | ||||||||||
Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 8.13%, 08/11/28 | 1,172 | 1,156,190 | ||||||||||
American Airlines, Inc. | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 6.14%, 01/29/27 | 353 | 334,300 | ||||||||||
2018 Term Loan B, (1 mo. LIBOR + 1.75%), 6.14%, 06/27/25 | 653 | 626,218 | ||||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 10.00%, 06/21/27 | 1,927 | 1,979,439 | ||||||||||
United Airlines, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.11%, 04/21/28 | 1,668 | 1,644,195 | ||||||||||
7,234,523 | ||||||||||||
Auto Components — 1.0% | ||||||||||||
Adient U.S. LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 04/10/28 | 336 | 331,790 | ||||||||||
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 04/30/26 | 2,276 | 2,225,417 |
Security | Par (000) | Value | ||||||||||
Auto Components (continued) | ||||||||||||
USI, Inc. | ||||||||||||
2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 7.98%, 12/02/26 | USD | 83 | $ | 81,731 | ||||||||
2022 Incremental Term Loan, (1 mo. SOFR CME + 3.75%, 0.50% Floor), 8.33%, 11/22/29 | 1,213 | 1,200,248 | ||||||||||
Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 7.38%, 02/05/26 | 1,040 | 984,195 | ||||||||||
4,823,381 | ||||||||||||
Banks — 0.4% | ||||||||||||
DirecTV Financing LLC, Term Loan, (1 mo. LIBOR + 5.00%, 0.75% Floor), 9.38%, 08/02/27 | 1,205 | 1,170,732 | ||||||||||
LABL, Inc., 2021 USD 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 0.50% Floor), 9.38%, 10/29/28 | 608 | 575,358 | ||||||||||
1,746,090 | ||||||||||||
Beverages — 0.5% | ||||||||||||
Naked Juice LLC | ||||||||||||
2nd Lien Term Loan, (3 mo. SOFRTE + 6.00%, 0.50% Floor), 10.68%, 01/24/30 | 861 | 677,278 | ||||||||||
Term Loan, (3 mo. SOFRTE + 3.25%, 0.50% Floor), 7.93%, 01/24/29 | 2,219 | 1,979,086 | ||||||||||
2,656,364 | ||||||||||||
Building Materials — 0.0% | ||||||||||||
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.57%, 04/12/28 | 76 | 67,953 | ||||||||||
Building Products — 0.8% | ||||||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 11/23/27 | 800 | 698,753 | ||||||||||
CPG International LLC, 2022 Term Loan B, (1 mo. SOFR CME + 2.50%, 0.50% Floor), 6.92%, 04/28/29 | 359 | 348,327 | ||||||||||
Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 6.63%, 07/28/28 | 334 | 311,036 | ||||||||||
New AMI I LLC, 2022 Term Loan B, (1 mo. SOFRTE + 6.00%, 0.50% Floor), 10.32%, 03/08/29 | 394 | 335,770 | ||||||||||
Standard Industries, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.25%, 0.50% Floor), 6.43%, 09/22/28 | 671 | 661,727 | ||||||||||
Wilsonart LLC, 2021 Term Loan E, (3 mo. LIBOR + 3.25%, 1.00% Floor), 7.98%, 12/31/26 | 1,466 | 1,392,044 | ||||||||||
3,747,657 | ||||||||||||
Capital Markets — 1.3% | ||||||||||||
Ascensus Holdings, Inc. | ||||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%, 0.50% Floor), 10.25%, 08/02/29 | 231 | 200,595 | ||||||||||
Term Loan, (3 mo. LIBOR + 3.50%, 0.50% Floor), 8.25%, 08/02/28 | 1,502 | 1,431,144 | ||||||||||
Deerfield Dakota Holding LLC | ||||||||||||
2020 USD Term Loan B, (1 mo. SOFR CME + 3.75%, 1.00% Floor), 8.07%, 04/09/27 | 2,500 | 2,330,907 | ||||||||||
2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 11.13%, 04/07/28 | 792 | 750,096 | ||||||||||
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 7.75%, 11/12/27 | 573 | 548,223 |
S C H E D U L E O F IN V E S T M E N T S | 85 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Capital Markets (continued) | ||||||||||||
Focus Financial Partners LLC, 2021 Term Loan B4, (1 mo. SOFR CME + 2.50%, 0.50% Floor), 6.82%, 06/30/28 | USD | 625 | $ | 611,868 | ||||||||
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 04/12/24 | 222 | 215,428 | ||||||||||
6,088,261 | ||||||||||||
Chemicals — 1.7% | ||||||||||||
Arc Falcon I, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.50% Floor), 8.13%, 09/30/28 | 512 | 448,576 | ||||||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (6 mo. SOFR CME + 4.75%, 0.75% Floor), 8.83%, 08/27/26 | 1,030 | 965,197 | ||||||||||
Axalta Coating Systems U.S. Holdings, Inc., 2022 USD Term Loan B, (3 mo. SOFR CME + 3.00%, 0.50% Floor), 7.51%, 12/20/29 | 578 | 578,000 | ||||||||||
CPC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.48%, 12/29/27 | 284 | 204,154 | ||||||||||
Discovery Purchaser Corp., Term Loan, (3 mo. SOFR CME + 4.375%, 0.50% Floor), 7.97%, 10/04/29 | 571 | 519,182 | ||||||||||
Element Solutions, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 6.32%, 01/31/26 | 844 | 840,261 | ||||||||||
Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 7.88%, 06/30/27 | 411 | 393,085 | ||||||||||
Lonza Group AG, USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.73%, 07/03/28 | 397 | 362,827 | ||||||||||
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 7.23%, 03/02/26 | 602 | 595,561 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 7.64%, 05/15/24 | 681 | 677,681 | ||||||||||
OQ Chemicals Corp., 2017 USD Term Loan B2, (3 mo. LIBOR + 3.25%), 7.00%, 10/14/24 | 726 | 684,344 | ||||||||||
PQ Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.50%, 0.50% Floor), 6.91%, 06/09/28 | 667 | 655,455 | ||||||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.41%, 03/16/27 | 431 | 417,531 | ||||||||||
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 7.39%, 08/02/28 | 799 | 775,585 | ||||||||||
Starfruit Finco BV, 2018 USD Term Loan B, (3 mo. LIBOR + 2.75%), 7.16%, 10/01/25 | 90 | 88,786 | ||||||||||
W.R. Grace Holdings LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.50% Floor), 8.50%, 09/22/28 | 220 | 215,248 | ||||||||||
8,421,473 | ||||||||||||
Commercial Services & Supplies — 1.7% | ||||||||||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1 mo. LIBOR + 3.75%, 0.50% Floor), 8.17%, 05/12/28 | 1,237 | 1,172,854 | ||||||||||
Amentum Government Services Holdings LLC, 2022 Term Loan, (1 mo. SOFR CME + 4.00%), 8.64%, 02/15/29 | 326 | 317,284 | ||||||||||
Aramark Services, Inc. | ||||||||||||
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 6.13%, 03/11/25 | 375 | 371,600 | ||||||||||
2021 Term Loan B, (1 mo. LIBOR + 2.50%), 6.88%, 04/06/28 | 383 | 377,056 |
Security | Par (000) | Value | ||||||||||
Commercial Services & Supplies (continued) | ||||||||||||
Asurion LLC | ||||||||||||
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 7.38%, 11/03/24 | USD | 374 | $ | 362,796 | ||||||||
2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 7.63%, 12/23/26 | 1,088 | 967,658 | ||||||||||
2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 9.63%, 01/31/28 | 364 | 282,402 | ||||||||||
2021 Second Lien Term Loan B4, (1 mo. LIBOR + 5.25%), 9.63%, 01/20/29 | 646 | 499,267 | ||||||||||
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.00%), 6.38%, 10/08/28 | 422 | 419,163 | ||||||||||
Covanta Holding Corp. | ||||||||||||
2021 Term Loan B, (1 mo. SOFR CME + 2.50%, 0.50% Floor), 6.82%, 11/30/28 | 483 | 479,239 | ||||||||||
2021 Term Loan C, (1 mo. SOFR CME + 2.50%, 0.50% Floor), 6.82%, 11/30/28 | 37 | 36,169 | ||||||||||
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 8.48%, 05/09/25 | 170 | 157,795 | ||||||||||
GFL Environmental, Inc., 2020 Term Loan, (3 mo. LIBOR + 3.00%, 0.50% Floor), 7.41%, 05/30/25 | 174 | 173,698 | ||||||||||
Packers Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%, 0.75% Floor), 7.54%, 03/09/28 | 696 | 605,525 | ||||||||||
Prime Security Services Borrower LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.75% Floor), 6.50%, 09/23/26 | 604 | 598,335 | ||||||||||
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 8.38%, 08/27/25 | 1,261 | 1,250,632 | ||||||||||
Viad Corp., Initial Term Loan, (1 mo. LIBOR + 5.00%, 0.50% Floor), 9.38%, 07/30/28 | 352 | 330,457 | ||||||||||
8,401,930 | ||||||||||||
Communications Equipment — 0.2% | ||||||||||||
ViaSat, Inc., Term Loan, (1 mo. SOFR CME + 4.50%, 0.50% Floor), 8.94%, 03/02/29 | 791 | 768,130 | ||||||||||
Construction & Engineering — 0.8% | ||||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 8.49%, 06/21/24 | 1,190 | 1,061,732 | ||||||||||
Pike Corp., 2021 Incremental Term Loan B, (1 mo. LIBOR + 3.00%), 7.39%, 01/21/28 | 424 | 417,655 | ||||||||||
SRS Distribution, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 06/02/28 | 1,819 | 1,736,040 | ||||||||||
USIC Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.88%, 05/12/28 | 707 | 673,381 | ||||||||||
3,888,808 | ||||||||||||
Construction Materials — 0.8% | ||||||||||||
Core & Main LP, 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 6.88%, 07/27/28 | 1,810 | 1,783,129 | ||||||||||
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 7.38%, 03/29/25 | 1,110 | 1,096,562 | ||||||||||
Oscar AcquisitionCo. LLC, Term Loan B, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 9.18%, 04/29/29 | 496 | 468,184 | ||||||||||
Tamko Building Products LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 7.57%, 06/01/26 | 353 | 340,867 | ||||||||||
3,688,742 |
86 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Containers & Packaging — 0.8% | ||||||||||||
Charter Next Generation, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 12/01/27 | USD | 1,632 | $ | 1,582,419 | ||||||||
Mauser Packaging Solutions Holding Co., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 7.37%, 04/03/24 | 1,043 | 1,017,075 | ||||||||||
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. SOFR CME + 3.75%), 8.19%, 07/31/26 | 135 | 131,380 | ||||||||||
Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.94%, 08/18/27 | 577 | 461,538 | ||||||||||
Trident TPI Holdings, Inc. | ||||||||||||
2021 Delayed Draw Term Loan, (1 mo. LIBOR + 4.00%, 0.50% Floor), 8.60%, 09/15/28 | 64 | 61,705 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%, 0.50% Floor), 8.73%, 09/15/28 | 452 | 433,128 | ||||||||||
3,687,245 | ||||||||||||
Distributors — 0.4% | ||||||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 6.38%, 01/15/27 | 504 | 498,979 | ||||||||||
Dealer Tire Financial LLC, Term Loan B2, (1 mo. SOFR CME + 4.50%, 0.50% Floor), 8.82%, 12/14/27 | 829 | 817,514 | ||||||||||
TMK Hawk Parent Corp. | ||||||||||||
2020 Super Priority First Out Term Loan A, (3 mo. LIBOR + 9.50%, 1.00% Floor), 14.26%, 05/30/24 (c) | 162 | 147,716 | ||||||||||
2020 Super Priority Second Out Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 8.26%, 08/28/24 | 1,304 | 664,906 | ||||||||||
2,129,115 | ||||||||||||
Diversified Consumer Services — 0.9% | ||||||||||||
Ascend Learning LLC | ||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%, 0.50% Floor), 10.13%, 12/10/29 | 299 | 255,271 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 12/11/28 | 599 | 565,037 | ||||||||||
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%, 0.50% Floor), 6.69%, 11/24/28 | 755 | 740,028 | ||||||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 8.33%, 07/11/25 | 384 | 369,172 | ||||||||||
OLA Netherlands BV, Term Loan, (1 mo. SOFR CME + 6.25%, 0.75% Floor), 10.67%, 12/15/26 | 349 | 328,243 | ||||||||||
PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.16%, 10/28/27 | 580 | 508,501 | ||||||||||
Serta Simmons Bedding LLC | ||||||||||||
2020 Super Priority First Out Term Loan, (3 mo. LIBOR + 7.50%), 12.27%, 08/10/23 | 186 | 182,523 | ||||||||||
2020 Super Priority Second Out Term Loan, (3 mo. LIBOR + 7.50%, 1.00% Floor), 12.27%, 08/10/23 | 249 | 113,507 |
Security | Par (000) | Value | ||||||||||
Diversified Consumer Services (continued) | ||||||||||||
Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%, 0.50% Floor), 8.58%, 01/15/27 | USD | 1,207 | $ | 1,174,711 | ||||||||
Voyage Australia Pty. Ltd., USD Term Loan B, (3 mo. LIBOR + 3.50%, 0.50% Floor), 7.74%, 07/20/28 (c) | 135 | 127,552 | ||||||||||
4,364,545 | ||||||||||||
Diversified Financial Services — 2.8% | ||||||||||||
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3 mo. SOFR CME + 4.00%, 0.50% Floor), 8.73%, 02/16/28 | 207 | 202,649 | ||||||||||
Advisor Group, Inc., 2021 Term Loan, (1 mo. LIBOR + 4.50%), 8.88%, 07/31/26 | 915 | 893,169 | ||||||||||
AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%, 0.50% Floor), 7.13%, 02/04/28 | 768 | 760,602 | ||||||||||
Castlelake Aviation Ltd., Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.52%, 10/22/26 | 757 | 749,679 | ||||||||||
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.50%, 0.50% Floor), 6.88%, 09/01/28 | 672 | 651,309 | ||||||||||
Credito Real SAB de CV Sofom ENR, Term Loan B, (3 mo. LIBOR + 3.75%), 6.73%, 02/17/23 (c) | 24 | 465 | ||||||||||
Delta TopCo, Inc. | ||||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 11.65%, 12/01/28 | 186 | 144,847 | ||||||||||
2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.15%, 12/01/27 | 549 | 505,821 | ||||||||||
EG America LLC, 2018 USD Term Loan, (3 mo. LIBOR + 4.00%), 8.73%, 02/07/25 | 509 | 479,887 | ||||||||||
Gainwell Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.73%, 10/01/27 | 1,489 | 1,393,812 | ||||||||||
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 7.89%, 07/03/24 (c) | 675 | 673,568 | ||||||||||
KKR Apple Bidco LLC | ||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%, 0.50% Floor), 10.13%, 09/21/29 | 100 | 96,143 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 2.75%, 0.50% Floor), 7.13%, 09/23/28 | 244 | 239,848 | ||||||||||
LBM Acquisition LLC, Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 7.12%, 12/17/27 | 392 | 338,807 | ||||||||||
Radiate Holdco LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 7.63%, 09/25/26 | 867 | 700,869 | ||||||||||
RVR Dealership Holdings LLC, Term Loan B, (1 mo. SOFRTE + 3.75%, 0.75% Floor), 8.17%, 02/08/28 | 295 | 271,288 | ||||||||||
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3 mo. LIBOR + 2.00%), 6.73%, 11/05/28 | 591 | 587,158 | ||||||||||
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3 mo. LIBOR + 2.50%), 6.91%, 01/23/25 | 526 | 511,208 | ||||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.00%), 8.73%, 07/30/25 | 308 | 300,065 | ||||||||||
Veritas U.S., Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 9.73%, 09/01/25 | 1,868 | 1,309,623 | ||||||||||
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 7.38%, 02/28/27 | 1,526 | 1,478,115 |
S C H E D U L E O F IN V E S T M E N T S | 87 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
White Cap Buyer LLC, Term Loan B, (1 mo. SOFR CME + 3.75%), 8.07%, 10/19/27 | USD | 779 | $ | 752,513 | ||||||||
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 6.82%, 04/30/28 | 510 | 496,454 | ||||||||||
13,537,899 | ||||||||||||
Diversified Telecommunication Services — 0.5% | ||||||||||||
Cablevision Lightpath LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.57%, 11/30/27 | 152 | 144,856 | ||||||||||
Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.88%, 10/02/27 | 349 | 307,177 | ||||||||||
Frontier Communications Holdings LLC, 2021 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.50%, 05/01/28 | 746 | 709,970 | ||||||||||
Iridium Satellite LLC, 2021 Term Loan B2, (1 mo. LIBOR + 2.50%, 0.75% Floor), 6.92%, 11/04/26 | 680 | 672,951 | ||||||||||
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 6.13%, 03/01/27 | 439 | 419,597 | ||||||||||
2,254,551 | ||||||||||||
Electric Utilities — 0.5% | ||||||||||||
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 7.24%, 12/15/27 | 670 | 663,057 | ||||||||||
Triton Water Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%, 0.50% Floor), 8.23%, 03/31/28 | 1,666 | 1,543,537 | ||||||||||
2,206,594 | ||||||||||||
Electrical Equipment — 0.4% | ||||||||||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (6 mo. LIBOR + 4.75%, 0.75% Floor), 9.48%, 06/23/28 | 628 | 595,599 | ||||||||||
AZZ, Inc., Term Loan B, (1 mo. SOFR CME + 4.25%, 0.50% Floor), 8.67%, 05/13/29 | 110 | 109,573 | ||||||||||
Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%, 0.75% Floor), 6.88%, 03/31/27 | 1,207 | 1,180,122 | ||||||||||
1,885,294 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.2% | ||||||||||||
Coherent Corp., 2022 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.13%, 07/02/29 | 649 | 640,255 | ||||||||||
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%, 0.50% Floor), 7.38%, 02/12/25 | 134 | 132,552 | ||||||||||
772,807 | ||||||||||||
Entertainment — 0.1% | ||||||||||||
Delta 2 Lux SARL, Term Loan B, (3 mo. SOFR CME + 3.25%, 0.50% Floor), 7.57%, 01/15/30 | 609 | 608,239 | ||||||||||
Environmental, Maintenance & Security Service — 0.3% | ||||||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 6.13%, 09/07/27 | 1,050 | 1,047,896 | ||||||||||
TruGreen LP, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 8.38%, 11/02/27 | 613 | 543,257 | ||||||||||
1,591,153 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||||
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 6.39%, 05/11/24 | 724 | 719,555 | ||||||||||
Security | Par (000) | Value | ||||||||||
Food & Staples Retailing — 0.3% | ||||||||||||
Nomad Foods U.S. LLC, 2022 Term Loan B, (3 mo. SOFR CME + 3.75%, 0.50% Floor), 8.23%, 11/12/29 | USD | 426 | $ | 424,313 | ||||||||
U.S. Foods, Inc. | ||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 2.00%), 6.38%, 09/13/26 | 653 | 645,568 | ||||||||||
2021 Term Loan B, (1 mo. LIBOR + 2.75%), 7.13%, 11/22/28 | 413 | 410,197 | ||||||||||
1,480,078 | ||||||||||||
Food Products — 1.5% | ||||||||||||
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 8.13%, 10/01/25 | 651 | 539,385 | ||||||||||
B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 6.88%, 10/10/26 | 163 | 153,407 | ||||||||||
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 7.88%, 10/25/27 | 1,894 | 1,852,938 | ||||||||||
Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 6.63%, 01/29/27 | 1,992 | 1,936,551 | ||||||||||
Hostess Brands LLC, 2019 Term Loan, (3 mo. LIBOR + 2.25%, 0.75% Floor), 6.66%, 08/03/25 | 818 | 814,356 | ||||||||||
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 7.63%, 02/05/26 | 253 | 249,170 | ||||||||||
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%, 0.75% Floor), 7.91%, 06/08/28 | 667 | 647,709 | ||||||||||
UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. SOFR CME + 3.00%), 7.44%, 01/20/28 | 1,048 | 1,036,944 | ||||||||||
7,230,460 | ||||||||||||
Gas Utilities — 0.4% | ||||||||||||
Freeport LNG Investments LLLP, Term Loan B, (3 mo. LIBOR + 3.50%, 0.50% Floor), 7.74%, 12/21/28 | 1,786 | 1,694,110 | ||||||||||
Health Care Equipment & Supplies — 0.8% | ||||||||||||
Electron BidCo, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.00%, 0.50% Floor), 7.38%, 11/01/28 | 1,001 | 973,729 | ||||||||||
Insulet Corp., Term Loan B, (3 mo. SOFR CME + 3.25%), 7.69%, 05/04/28 | 284 | 279,249 | ||||||||||
Medline Borrower LP, USD Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 10/23/28 | 2,617 | 2,483,045 | ||||||||||
Venga Finance SARL, 2021 USD Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 9.48%, 12/04/28 | 262 | 239,439 | ||||||||||
3,975,462 | ||||||||||||
Health Care Providers & Services — 1.0% | ||||||||||||
CHG Healthcare Services, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 09/29/28 | 464 | 453,297 | ||||||||||
Envision Healthcare Corp. | ||||||||||||
2022 First Out Term Loan, (3 mo. SOFR CME + 7.88%, 1.00% Floor), 12.61%, 03/31/27 | 92 | 81,243 | ||||||||||
2022 Second Out Term Loan, (3 mo. SOFR CME + 4.25%, 1.00% Floor), 8.83%, 03/31/27 | 611 | 207,554 | ||||||||||
EyeCare Partners LLC | ||||||||||||
2020 Term Loan, (3 mo. LIBOR + 3.75%), 8.48%, 02/18/27 | 855 | 680,843 |
88 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
EyeCare Partners LLC (continued) | ||||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.50% Floor), 11.48%, 11/15/29 | USD | 176 | $ | 143,106 | ||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 3.75%, 0.50% Floor), 8.48%, 11/15/28 | 195 | 163,235 | ||||||||||
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 9.23%, 03/05/26 | 439 | 375,078 | ||||||||||
Orbcomm, Inc., Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 8.81%, 09/01/28 | 386 | 328,660 | ||||||||||
PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.88%, 02/14/25 | 21 | 19,280 | ||||||||||
Sotera Health Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.16%, 12/11/26 | 775 | 713,210 | ||||||||||
Surgery Center Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.05%, 08/31/26 | 279 | 275,577 | ||||||||||
Vizient, Inc., 2022 Term Loan B, (1 mo. SOFR CME + 2.25%, 0.50% Floor), 6.67%, 04/28/29 | 126 | 126,081 | ||||||||||
WCG Purchaser Corp., 2019 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 8.38%, 01/08/27 | 672 | 608,536 | ||||||||||
WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 12/22/28 | 754 | 752,205 | ||||||||||
4,927,905 | ||||||||||||
Health Care Services — 0.3% | ||||||||||||
Azalea Topco, Inc., Term Loan, (1 mo. LIBOR + 3.50%), 7.88%, 07/24/26 | 1,077 | 983,779 | ||||||||||
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 0.50% Floor), 11.38%, 11/01/29 | 247 | 227,240 | ||||||||||
1,211,019 | ||||||||||||
Health Care Technology — 0.6% | ||||||||||||
AthenaHealth Group, Inc. | ||||||||||||
2022 Delayed Draw Term loan, (3 mo. SOFR CME + 3.50%), 7.82%, 02/15/29 | 196 | 58,892 | ||||||||||
2022 Term Loan B, (1 mo. SOFR CME + 3.50%, 0.50% Floor), 7.82%, 02/15/29 | 1,601 | 1,382,955 | ||||||||||
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 7.13%, 10/10/25 | 309 | 300,053 | ||||||||||
Polaris Newco LLC, USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.50% Floor), 8.73%, 06/02/28 | 887 | 807,031 | ||||||||||
Press Ganey Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 07/24/26 | 269 | 246,738 | ||||||||||
2,795,669 | ||||||||||||
Hotels, Restaurants & Leisure — 3.7% | ||||||||||||
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 8.13%, 02/02/26 | 135 | 122,338 | ||||||||||
Aristocrat Technologies, Inc., 2022 Term Loan B, (3 mo. SOFR CME + 2.25%, 0.50% Floor), 6.93%, 05/24/29 | 46 | 45,400 | ||||||||||
Bally’s Corp., 2021 Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.54%, 10/02/28 | 299 | 275,701 | ||||||||||
Burger King (Restaurant Brands Int), Term Loan B4, (3 mo. LIBOR + 1.75%), 6.14%, 11/19/26 | 1,376 | 1,349,706 |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Caesars Resort Collection LLC | ||||||||||||
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 7.13%, 12/23/24 | USD | 895 | $ | 892,409 | ||||||||
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 7.88%, 07/21/25 | 202 | 201,709 | ||||||||||
Carnival Corp., USD Term Loan B, (1 mo. LIBOR + 3.00%, 0.75% Floor), 7.38%, 06/30/25 | 929 | 888,241 | ||||||||||
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 6.39%, 03/17/28 | 485 | 479,329 | ||||||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 7.73%, 03/08/24 | 1,982 | 1,483,924 | ||||||||||
Fertitta Entertainment LLC, 2022 Term Loan B, (1 mo. SOFRTE + 4.00%, 0.50% Floor), 8.32%, 01/27/29 | 1,984 | 1,882,776 | ||||||||||
Flutter Financing B.V., 2022 USD Term Loan B, (3 mo. SOFR CME + 3.25%, 0.50% Floor), 8.09%, 07/22/28 | 622 | 618,898 | ||||||||||
Four Seasons Hotels Ltd., 2022 Term Loan B, (1 mo. SOFR CME + 3.25%, 0.50% Floor), 7.67%, 11/30/29 | 1,364 | 1,362,992 | ||||||||||
Hilton Worldwide Finance LLC, 2019 Term Loan B2, (1 mo. LIBOR + 1.75%), 6.17%, 06/22/26 | 1,057 | 1,053,155 | ||||||||||
IRB Holding Corp. | ||||||||||||
2020 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 7.13%, 02/05/25 | 1,203 | 1,190,532 | ||||||||||
2022 Term Loan B, (1 mo. SOFRTE + 3.00%, 0.75% Floor), 7.32%, 12/15/27 | 925 | 896,556 | ||||||||||
Penn National Gaming, Inc., 2022 Term Loan B, (1 mo. SOFR CME + 2.75%, 0.50% Floor), 7.17%, 05/03/29 | 615 | 608,156 | ||||||||||
Playa Resorts Holding B.V., 2022 Term Loan B, (3 mo. SOFR CME + 4.25%, 0.50% Floor), 8.58%, 01/05/29 | 226 | 219,927 | ||||||||||
Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 7.13%, 03/13/28 | 721 | 686,787 | ||||||||||
Scientific Games International, Inc., 2022 USD Term Loan, (1 mo. SOFR CME + 3.00%, 0.50% Floor), 7.42%, 04/14/29 | 349 | 343,633 | ||||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 6.98%, 07/21/26 | 560 | 551,288 | ||||||||||
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%, 0.25% Floor), 6.64%, 02/08/27 | 1,028 | 1,001,752 | ||||||||||
Travelport Finance Luxembourg SARL, | ||||||||||||
2021 Consented Term Loan, (3 mo. LIBOR + 6.75%), 11.48%, 05/29/26 | 489 | 338,324 | ||||||||||
Whatabrands LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 08/03/28 | 1,247 | 1,203,604 | ||||||||||
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 6.13%, 05/30/25 | 199 | 198,813 | ||||||||||
17,895,950 | ||||||||||||
Household Durables — 0.7% | ||||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.25%, 0.50% Floor), 8.98%, 05/17/28 | 693 | 515,650 | ||||||||||
Hunter Douglas, Inc., USD Term Loan B1, (3 mo. SOFR CME + 3.50%), 7.86%, 02/26/29 | 1,235 | 1,082,058 |
S C H E D U L E O F IN V E S T M E N T S | 89 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Household Durables (continued) | ||||||||||||
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 6.13%, 02/04/27 | USD | 138 | $ | 136,465 | ||||||||
Snap One Holdings Corp., Term Loan B, (1 mo. LIBOR + 4.50%, 0.50% Floor), 8.88%, 12/08/28 (c) | 321 | 292,807 | ||||||||||
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.75%, 10/06/28 | 451 | 367,395 | ||||||||||
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 7.63%, 10/30/27 | 1,183 | 993,933 | ||||||||||
3,388,308 | ||||||||||||
Household Products — 0.1% | ||||||||||||
Spectrum Brands, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.00%, 0.50% Floor), 6.60%, 03/03/28 | 456 | 446,799 | ||||||||||
Independent Power and Renewable Electricity Producers — 0.2% | ||||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 6.38%, 01/15/25 | 874 | 871,249 | ||||||||||
Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 6.38%, 08/12/26 | 284 | 280,223 | ||||||||||
1,151,472 | ||||||||||||
Industrial Conglomerates — 0.9% | ||||||||||||
AVSC Holding Corp. | ||||||||||||
2020 Term Loan B1, (3 mo. LIBOR + 3.25%, 1.00% Floor), 7.68%, 03/03/25 | 654 | 598,152 | ||||||||||
2020 Term Loan B3, (3 mo. LIBOR + 15.00%), 15.00%, 10/15/26 | 354 | 372,251 | ||||||||||
Diamond BC BV, 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.16%, 09/29/28 | 1,368 | 1,320,419 | ||||||||||
Stitch Aquisition Corp., Term Loan B, (3 mo. LIBOR + 6.75%, 0.75% Floor), 11.48%, 07/28/28 | 261 | 220,727 | ||||||||||
Vertical U.S. Newco, Inc., Term Loan B, (6 mo. LIBOR + 3.50%, 0.50% Floor), 6.87%, 07/30/27 | 728 | 698,401 | ||||||||||
Vertiv Group Corp., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 6.89%, 03/02/27 | 1,232 | 1,186,710 | ||||||||||
4,396,660 | ||||||||||||
Insurance — 1.7% | ||||||||||||
Alliant Holdings Intermediate LLC | ||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 05/09/25 | 830 | 817,874 | ||||||||||
2021 Term Loan B4, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.85%, 11/06/27 | 2,124 | 2,073,283 | ||||||||||
AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 6.63%, 02/19/28 | 1,005 | 985,465 | ||||||||||
AssuredPartners, Inc. | ||||||||||||
2020 Term Loan B, (1 mo. LIBOR + 3.50%), 7.88%, 02/12/27 | 534 | 517,331 | ||||||||||
2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 02/12/27 | 283 | 273,259 | ||||||||||
Hub International Ltd. | ||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 3.00%), 7.33%, 04/25/25 | 347 | 342,662 | ||||||||||
2021 Term Loan B, (3 mo. LIBOR + 3.25%, 0.75% Floor), 7.53%, 04/25/25 | 1,421 | 1,406,973 | ||||||||||
2022 Term Loan B, (3 mo. SOFR CME + 4.00%, 0.75% Floor), 8.22%, 11/10/29 | 361 | 356,690 | ||||||||||
NFP Corp., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 7.63%, 02/15/27 | 112 | 107,468 |
Security | Par (000) | Value | ||||||||||
Insurance (continued) | ||||||||||||
Ryan Specialty Group LLC, Term Loan, (1 mo. SOFR CME + 3.00%, 0.75% Floor), 7.42%, 09/01/27 | USD | 650 | $ | 644,596 | ||||||||
Sedgwick Claims Management Services, Inc. | ||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 8.13%, 09/03/26 | 519 | 508,783 | ||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 8.63%, 09/03/26 | 182 | 179,806 | ||||||||||
8,214,190 | ||||||||||||
Interactive Media & Services — 0.8% | ||||||||||||
Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 2.75%, 0.75% Floor), 7.48%, 06/26/28 | 752 | 741,644 | ||||||||||
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 7.38%, 10/30/26 | 1,202 | 1,182,203 | ||||||||||
Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 6.38%, 08/10/27 | 823 | 814,161 | ||||||||||
Grab Holdings, Inc., Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 8.89%, 01/29/26 | 1,064 | 1,048,460 | ||||||||||
3,786,468 | ||||||||||||
Internet & Direct Marketing Retail — 0.3% | ||||||||||||
CNT Holdings I Corp., 2020 Term Loan, (3 mo. SOFR CME + 3.50%, 0.75% Floor), 7.24%, 11/08/27 | 770 | 744,056 | ||||||||||
Go Daddy Operating Co. LLC, 2022 Term Loan B5, (1 mo. SOFR CME + 3.25%), 7.57%, 10/21/29 | 655 | 653,271 | ||||||||||
PUG LLC, 2021 Incremental Term Loan B, (1 mo. LIBOR + 4.25%, 0.50% Floor), 8.63%, 02/12/27 (c) | 111 | 91,245 | ||||||||||
1,488,572 | ||||||||||||
Internet Software & Services — 0.4% | ||||||||||||
Uber Technologies, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 8.23%, 02/25/27 | 1,789 | 1,784,593 | ||||||||||
IT Services — 2.4% | ||||||||||||
Aruba Investments Holdings LLC, 2020 USD Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.14%, 11/24/27 | 335 | 324,724 | ||||||||||
Boxer Parent Co., Inc., 2021 USD Term Loan, (1 mo. LIBOR + 3.75%), 8.13%, 10/02/25 | 751 | 717,372 | ||||||||||
Camelot Finance SA, Term Loan B, (1 mo. LIBOR + 3.00%), 7.38%, 10/30/26 | 1,053 | 1,034,507 | ||||||||||
CCC Intelligent Solutions, Inc., Term Loan, (1 mo. LIBOR + 2.25%, 0.50% Floor), 6.63%, 09/21/28 | 727 | 719,393 | ||||||||||
CoreLogic, Inc., Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.94%, 06/02/28 | 1,811 | 1,505,725 | ||||||||||
Fleetcor Technologies Operating Co. LLC, | ||||||||||||
2021 Term Loan B4, (1 mo. LIBOR + 1.75%), 6.13%, 04/28/28 | 947 | 936,235 | ||||||||||
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1 mo. LIBOR + 4.00%, 0.75% Floor), 8.38%, 12/01/27 | 2,233 | 2,139,008 | ||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 7.88%, 02/12/27 | 1,434 | 1,176,155 | ||||||||||
Trans Union LLC | ||||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 6.13%, 11/16/26 | 752 | 740,704 | ||||||||||
2021 Term Loan B6, (1 mo. LIBOR + 2.25%, 0.50% Floor), 6.63%, 12/01/28 | 1,389 | 1,373,680 |
90 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
IT Services (continued) | ||||||||||||
Virtusa Corp., First Lien Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 02/11/28 | USD | 307 | $ | 294,992 | ||||||||
WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 6.63%, 03/31/28 | 429 | 426,193 | ||||||||||
ZoomInfo LLC, 2021 Term Loan B, (1 mo. SOFR CME + 3.00%), 7.48%, 02/02/26 | 89 | 88,583 | ||||||||||
11,477,271 | ||||||||||||
Leisure Products — 0.1% | ||||||||||||
Fender Musical Instruments Corp., 2021 Term Loan B, (3 mo. SOFRTE + 4.00%, 0.50% Floor), 8.42%, 12/01/28 (c) | 297 | 239,236 | ||||||||||
Peloton Interactive, Inc., Term Loan, (2 mo. SOFR CME + 6.50%, 0.50% Floor), 11.76%, 05/25/27 | 165 | 162,004 | ||||||||||
401,240 | ||||||||||||
Life Sciences Tools & Services — 1.4% | ||||||||||||
Avantor Funding, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.25%, 0.50% Floor), 6.63%, 11/08/27 | 1,411 | 1,401,990 | ||||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 8.88%, 02/04/27 | 1,547 | 1,360,336 | ||||||||||
ICON Luxembourg SARL, LUX Term Loan, (3 mo. LIBOR + 2.25%, 0.50% Floor), 7.00%, 07/03/28 | 1,154 | 1,149,314 | ||||||||||
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3 mo. SOFRTE + 3.00%, 0.50% Floor), 6.96%, 10/19/27 | 964 | 944,940 | ||||||||||
Parexel International Corp., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 11/15/28 | 1,674 | 1,609,767 | ||||||||||
PRA Health Sciences, Inc., US Term Loan, (3 mo. LIBOR + 2.25%, 0.50% Floor), 7.00%, 07/03/28 | 287 | 286,353 | ||||||||||
6,752,700 | ||||||||||||
Machinery — 1.5% | ||||||||||||
Albion Acquisitions Ltd., USD Term Loan, (3 mo. LIBOR + 5.25%, 0.50% Floor), 9.57%, 08/17/26 | 755 | 712,308 | ||||||||||
Clark Equipment Co., 2022 Term Loan B, (3 mo. SOFR CME + 2.50%, 0.50% Floor), 7.18%, 04/20/29 | 165 | 162,233 | ||||||||||
Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 7.50%, 05/14/28 | 154 | 151,312 | ||||||||||
Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 10/21/28 | 493 | 482,907 | ||||||||||
Fluidra SA, 2022 USD Term Loan B, (1 mo. SOFR CME + 2.00%), 6.42%, 01/29/29 | 127 | 120,099 | ||||||||||
Gardner Denver, Inc., 2020 USD Term Loan B2, (1 mo. SOFR CME + 1.75%), 6.17%, 03/01/27 | 603 | 597,794 | ||||||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. SOFR CME + 1.75%), 6.17%, 03/01/27 | 565 | 559,273 | ||||||||||
Madison IAQ LLC, Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.99%, 06/21/28 | 1,836 | 1,703,761 | ||||||||||
SPX Flow, Inc., 2022 Term Loan, (1 mo. SOFR CME + 4.50%, 0.50% Floor), 8.92%, 04/05/29 | 592 | 547,287 |
Security | Par (000) | Value | ||||||||||
Machinery (continued) | ||||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 8.15%, 03/28/25 | USD | 1,813 | $ | 1,689,764 | ||||||||
Zurn LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.00%, 0.50% Floor), 6.38%, 10/04/28 | 441 | 439,795 | ||||||||||
7,166,533 | ||||||||||||
Media — 5.1% | ||||||||||||
Altice Financing SA | ||||||||||||
2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 6.83%, 07/15/25 | 436 | 421,342 | ||||||||||
USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 6.83%, 01/31/26 | 525 | 503,848 | ||||||||||
Altice France SA/France, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 8.65%, 08/14/26 | 1,318 | 1,222,849 | ||||||||||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.00%), 7.27%, 04/22/26 | 667 | 359,078 | ||||||||||
Cable One, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 6.38%, 05/03/28 | 406 | 395,269 | ||||||||||
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 6.14%, 04/30/25 | 604 | 600,224 | ||||||||||
City Football Group Ltd., Term Loan, (1 mo. LIBOR + 3.00%, 0.50% Floor), 7.36%, 07/21/28 | 798 | 743,735 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 7.91%, 08/21/26 | 1,961 | 1,782,597 | ||||||||||
CMG Media Corp., 2021 Term Loan, (3 mo. LIBOR + 3.50%), 8.23%, 12/17/26 | 578 | 540,431 | ||||||||||
Connect Finco SARL, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 7.89%, 12/11/26 | 3,086 | 3,045,873 | ||||||||||
CSC Holdings LLC | ||||||||||||
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 6.57%, 07/17/25 | 611 | 585,302 | ||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 6.82%, 04/15/27 | 865 | 770,356 | ||||||||||
E.W. Scripps Co., 2020 Term Loan B3, (1 mo. LIBOR + 2.75%, 0.75% Floor), 7.13%, 01/07/28 | 302 | 292,967 | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 7.64%, 12/01/23 | 370 | 275,747 | ||||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 6.63%, 03/24/25 | 1,051 | 1,001,399 | ||||||||||
Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 6.13%, 10/17/26 | 1,073 | 1,045,966 | ||||||||||
MH Sub I LLC | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 8.13%, 09/13/24 | 1,705 | 1,654,264 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 8.13%, 09/13/24 | 965 | 936,732 | ||||||||||
2021 2nd Lien Term Loan, (3 mo. SOFR CME + 6.25%), 10.65%, 02/23/29 | 1,005 | 895,364 | ||||||||||
Sinclair Television Group, Inc., 2022 Term Loan B4, (1 mo. SOFR CME + 3.75%), 8.17%, 04/21/29 | 802 | 760,468 | ||||||||||
UFC Holdings LLC, 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.75% Floor), 7.11%, 04/29/26 | 593 | 585,262 | ||||||||||
UPC Financing Partnership, 2021 USD Term Loan AX, (1 mo. LIBOR + 2.93%), 7.24%, 01/31/29 | 341 | 332,887 | ||||||||||
Virgin Media Bristol LLC, 2020 USD Term Loan Q, (1 mo. LIBOR + 3.25%), 7.57%, 01/31/29 | 917 | 907,142 |
S C H E D U L E O F IN V E S T M E N T S | 91 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Voyage Digital Ltd., USD Term Loan B, (3 mo. SOFRTE + 4.50%, 0.50% Floor), 8.78%, 05/11/29 (c) | USD | 429 | $ | 421,340 | ||||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 7.14%, 05/18/25 | 1,597 | 1,559,821 | ||||||||||
WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.13%), 6.51%, 01/20/28 | 1,220 | 1,203,952 | ||||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 7.38%, 03/09/27 | 2,342 | 1,890,229 | ||||||||||
24,734,444 | ||||||||||||
Oil, Gas & Consumable Fuels — 0.6% | ||||||||||||
Ascent Resources Utica Holdings LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 12.94%, 11/01/25 | 330 | 347,820 | ||||||||||
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 8.13%, 12/13/25 | 261 | 247,280 | ||||||||||
Lealand Finance Co. BV | ||||||||||||
2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 7.38%, 06/28/24 | 16 | 9,860 | ||||||||||
2020 Take Back Term Loan, (1 mo. LIBOR + 1.00%, 3.00% PIK), 5.38%, 06/30/25 (l) | 116 | 60,648 | ||||||||||
M6 ETX Holdings II Midco LLC, Term Loan B, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 9.16%, 09/19/29 | 103 | 102,646 | ||||||||||
Medallion Midland Acquisition LLC, 2021 Term Loan, (3 mo. SOFR CME + 3.75%, 0.75% Floor), 8.59%, 10/18/28 | 896 | 886,406 | ||||||||||
Oryx Midstream Services Permian Basin LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.92%, 10/05/28 | 1,478 | 1,457,902 | ||||||||||
3,112,562 | ||||||||||||
Personal Products — 0.6% | ||||||||||||
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.48%, 10/01/26 | 3,037 | 2,903,287 | ||||||||||
Pharmaceuticals — 1.3% | ||||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.50%), 8.09%, 05/04/25 | 748 | 667,769 | ||||||||||
Bausch Health Cos., Inc., 2022 Term Loan B, (1 mo. SOFR CME + 5.25%, 0.50% Floor), 9.67%, 02/01/27 | 593 | 449,001 | ||||||||||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%, 0.50% Floor), 6.38%, 02/22/28 | 1,037 | 1,018,904 | ||||||||||
Elanco Animal Health, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 5.87%, 08/01/27 | 609 | 583,925 | ||||||||||
Jazz Financing Lux SARL, USD Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 05/05/28 | 1,078 | 1,067,032 | ||||||||||
Option Care Health, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.75%, 0.50% Floor), 7.13%, 10/27/28 | 448 | 444,465 |
Security | Par (000) | Value | ||||||||||
Pharmaceuticals (continued) | ||||||||||||
Organon & Co., USD Term Loan, (3 mo. LIBOR + 3.00%, 0.50% Floor), 7.75%, 06/02/28 | USD | 907 | $ | 896,384 | ||||||||
Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 7.73%, 11/18/27 (c) | 1,195 | 1,108,292 | ||||||||||
6,235,772 | ||||||||||||
Professional Services — 0.9% | ||||||||||||
Dun & Bradstreet Corp. | ||||||||||||
2022 Incremental Term Loan B2, (1 mo. SOFR CME + 3.25%), 7.57%, 01/18/29 | 304 | 298,202 | ||||||||||
Term Loan, (1 mo. LIBOR + 3.25%), 7.64%, 02/06/26 | 1,957 | 1,935,604 | ||||||||||
Element Materials Technology Group U.S. Holdings, Inc. | ||||||||||||
2022 USD Delayed Draw Term Loan, (3 mo. SOFR CME + 4.25%, 0.50% Floor), 8.93%, 07/06/29 | 309 | 301,931 | ||||||||||
2022 USD Term Loan, (3 mo. SOFR CME + 4.25%, 0.50% Floor), 8.93%, 07/06/29 | 671 | 654,185 | ||||||||||
Galaxy U.S. Opco, Inc., Term Loan, (1 mo. SOFR CME + 4.75%, 0.50% Floor), 9.07%, 04/29/29 | 1,089 | 982,822 | ||||||||||
4,172,744 | ||||||||||||
Real Estate Management & Development — 0.5% | ||||||||||||
Chariot Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 11/03/28 | 1,445 | 1,359,909 | ||||||||||
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 7.13%, 08/21/25 | 1,202 | 1,172,169 | ||||||||||
2,532,078 | ||||||||||||
Road & Rail — 0.1% | ||||||||||||
Avis Budget Car Rental LLC, 2020 Term Loan B, (1 mo. LIBOR + 1.75%), 6.14%, 08/06/27 | 287 | 277,544 | ||||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.50%), 9.86%, 08/04/25 | 371 | 330,437 | ||||||||||
607,981 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | ||||||||||||
MKS Instruments, Inc., 2022 USD Term Loan B, 08/17/29 (o) | 459 | 452,541 | ||||||||||
Synaptics, Inc., Term Loan B, (6 mo. LIBOR + 2.25%, 0.50% Floor), 7.40%, 12/02/28 | 253 | 247,112 | ||||||||||
699,653 | ||||||||||||
Software — 5.1% | ||||||||||||
Applied Systems, Inc. | ||||||||||||
2021 2nd Lien Term Loan, (3 mo. SOFR CME + 6.75%, 0.75% Floor), 11.33%, 09/19/25 | 90 | 88,988 | ||||||||||
2022 Extended 1st Lien Term Loan, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 9.08%, 09/18/26 | 95 | 58,288 | ||||||||||
Barracuda Networks, Inc., 2022 Term Loan, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 8.59%, 08/15/29 | 333 | 320,559 | ||||||||||
Central Parent, Inc., 2022 USD Term Loan B, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 9.08%, 07/06/29 | 1,207 | 1,194,652 |
92 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
Cloudera, Inc. | ||||||||||||
2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%, 0.50% Floor), 10.38%, 10/08/29 | USD | 457 | $ | 380,073 | ||||||||
2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.50% Floor), 8.13%, 10/08/28 | 636 | 596,471 | ||||||||||
Cornerstone OnDemand, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.50% Floor), 8.13%, 10/16/28 | 516 | 459,329 | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 7.63%, 05/28/24 | 437 | 365,860 | ||||||||||
E2open LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.68%, 02/04/28 | 113 | 110,392 | ||||||||||
Epicor Software Corp. | ||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 12.13%, 07/31/28 | 296 | 291,116 | ||||||||||
2020 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 7.63%, 07/30/27 | 287 | 275,049 | ||||||||||
Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. SOFR CME + 3.75%), 8.48%, 03/11/28 | 613 | 600,567 | ||||||||||
Informatica LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 7.19%, 10/27/28 | 1,718 | 1,682,107 | ||||||||||
Instructure Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 6.12%, 10/30/28 (c) | 310 | 303,467 | ||||||||||
IPS Corp., 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 10/02/28 | 257 | 228,727 | ||||||||||
Magenta Buyer LLC | ||||||||||||
2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 9.17%, 07/27/28 | 1,017 | 866,007 | ||||||||||
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 0.75% Floor), 12.67%, 07/27/29 | 936 | 732,990 | ||||||||||
McAfee Corp., 2022 USD Term Loan B, (1 mo. SOFR CME + 3.75%), 7.97%, 03/01/29 | 1,634 | 1,516,794 | ||||||||||
Planview Parent, Inc., Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.73%, 12/17/27 | 473 | 437,650 | ||||||||||
Proofpoint, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.98%, 08/31/28 | 1,760 | 1,688,811 | ||||||||||
RealPage, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 0.50% Floor), 7.38%, 04/24/28 | 3,453 | 3,276,973 | ||||||||||
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 7.63%, 05/30/25 | 31 | 29,399 | ||||||||||
Restoration Hardware, Inc., Term Loan B, (1 mo. LIBOR + 2.50%, 0.50% Floor), 6.88%, 10/20/28 | 314 | 288,636 | ||||||||||
Severin Acquisition LLC, 2018 Term Loan B, (3 mo. SOFR CME + 3.00%), 7.09%, 08/01/25 | 958 | 949,645 | ||||||||||
Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.50% Floor), 8.23%, 10/07/27 | 746 | 718,843 | ||||||||||
SS&C Technologies, Inc. | ||||||||||||
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 6.13%, 04/16/25 | 557 | 546,557 | ||||||||||
2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 6.13%, 04/16/25 | 452 | 444,079 | ||||||||||
Tempo Acquisition LLC, 2022 Term Loan B, (1 mo. SOFR CME + 3.00%), 7.32%, 08/31/28 | 2,284 | 2,274,506 | ||||||||||
TIBCO Software, Inc., 2022 USD Term Loan, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 9.18%, 03/30/29 | 2,054 | 1,831,047 |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
Ultimate Software Group, Inc. | ||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.25%, 0.50% Floor), 9.00%, 05/03/27 | USD | 453 | $ | 414,830 | ||||||||
2021 Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.00%, 05/04/26 | 590 | 560,069 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 8.13%, 05/04/26 | 1,043 | 1,004,108 | ||||||||||
24,536,589 | ||||||||||||
Specialty Retail — 2.1% | ||||||||||||
Belron Finance U.S. LLC | ||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 6.94%, 11/13/25 | 179 | 177,444 | ||||||||||
2019 USD Term Loan B3, (3 mo. LIBOR + 2.25%), 6.69%, 10/30/26 | 407 | 404,854 | ||||||||||
2021 USD Term Loan B, (3 mo. LIBOR + 2.50%, 0.50% Floor), 7.06%, 04/13/28 | 1,218 | 1,203,473 | ||||||||||
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (1 day SONIA + 4.25%), 6.54%, 06/23/25 | GBP | 1,000 | 1,102,828 | |||||||||
EG Group Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.25%, 0.50% Floor), 8.98%, 03/31/26 | USD | 233 | 217,521 | |||||||||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 11/24/28 (c) | 311 | 304,643 | ||||||||||
Mavis Tire Express Services Corp., 2021 Term Loan B, (1 mo. SOFR CME + 4.00%, 0.75% Floor), 8.50%, 05/04/28 | 1,268 | 1,207,023 | ||||||||||
MED ParentCo LP, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 8.63%, 08/31/26 | 820 | 696,727 | ||||||||||
Midas Intermediate Holdco II LLC, (1 mo. SOFR CME + 8.35%, 0.75% Floor), 12.67%, 06/30/27 | 1,560 | 1,345,364 | ||||||||||
PetSmart, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.13%, 02/11/28 | 1,618 | 1,579,818 | ||||||||||
Pilot Travel Centers LLC, 2021 Term Loan B, (1 mo. SOFR CME + 2.00%), 6.42%, 08/04/28 | 428 | 422,136 | ||||||||||
Restoration Hardware, Inc., 2022 Incremental Term Loan, (1 mo. SOFR CME + 3.25%, 0.50% Floor), 7.67%, 10/20/28 | 363 | 338,694 | ||||||||||
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 11/01/28 | 1,006 | 940,655 | ||||||||||
Woof Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 8.10%, 12/21/27 | 226 | 212,039 | ||||||||||
10,153,219 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.0% | ||||||||||||
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 9.38%, 07/23/26 | 278 | 184,626 | ||||||||||
Textiles, Apparel & Luxury Goods — 0.1% | ||||||||||||
Crocs, Inc., Term Loan B, (3 mo. SOFRTE + 3.50%, 0.50% Floor), 7.80%, 02/20/29 | 613 | 600,023 | ||||||||||
Trading Companies & Distributors — 0.3% | ||||||||||||
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 6.63%, 05/19/28 | 613 | 606,360 |
S C H E D U L E O F IN V E S T M E N T S | 93 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Trading Companies & Distributors (continued) | ||||||||||||
ION Trading Finance Ltd., 2021 USD Term Loan, (3 mo. LIBOR + 4.75%), 9.48%, 04/03/28 | USD | 298 | $ | 282,252 | ||||||||
SRS Distribution, Inc., 2022 Incremental Term Loan, (1 mo. SOFR CME + 3.50%), 7.92%, 06/02/28 | 407 | 388,011 | ||||||||||
1,276,623 | ||||||||||||
Wireless Telecommunication Services — 0.3% | ||||||||||||
GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 8.16%, 04/30/28 | 431 | 426,235 | ||||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 6.14%, 04/11/25 | 1,052 | 1,047,803 | ||||||||||
1,474,038 | ||||||||||||
Total Floating Rate Loan Interests — 55.5% (Cost: $280,582,587) | 267,805,244 | |||||||||||
Foreign Agency Obligations | ||||||||||||
Bahrain — 0.1% | ||||||||||||
Bahrain Government International Bond, 6.75%, 09/20/29 (d) | 200 | 198,162 | ||||||||||
Chile — 0.0% | ||||||||||||
Chile Government International Bond, 4.34%, 03/07/42 (g) | 200 | 168,475 | ||||||||||
Colombia — 0.2% | ||||||||||||
Colombia Government International Bond | ||||||||||||
4.50%, 01/28/26 | 200 | 187,725 | ||||||||||
3.13%, 04/15/31 | 430 | 318,684 | ||||||||||
Republic of Colombia Senior Unsecured, 8.00%, 04/20/33 | 200 | 199,600 | ||||||||||
706,009 | ||||||||||||
Dominican Republic — 0.1% | ||||||||||||
Dominican Republic International Bond | ||||||||||||
5.95%, 01/25/27 (d)(g) | 157 | 153,203 | ||||||||||
4.50%, 01/30/30 (b) | 200 | 169,662 | ||||||||||
4.88%, 09/23/32 (b)(g) | 300 | 248,025 | ||||||||||
570,890 | ||||||||||||
Egypt — 0.0% | ||||||||||||
Egypt Government International Bond, 7.50%, 02/16/61 (b) | 200 | 122,000 | ||||||||||
Guatemala — 0.1% | ||||||||||||
Guatemala Government Bond | ||||||||||||
4.50%, 05/03/26 (d) | 200 | 191,662 | ||||||||||
4.65%, 10/07/41 (b) | 200 | 160,038 | ||||||||||
351,700 | ||||||||||||
Hungary — 0.0% | ||||||||||||
Hungary Government International Bond, 5.25%, 06/16/29 (b) | 200 | 190,163 | ||||||||||
Indonesia — 0.1% | ||||||||||||
Indonesia Government International Bond, 4.10%, 04/24/28 | 200 | 195,725 | ||||||||||
Security | Par (000) | Value | ||||||||||
Ivory Coast — 0.0% | ||||||||||||
Ivory Coast Government International Bond, 6.38%, 03/03/28 (d) | USD | 200 | $ | 193,500 | ||||||||
Mexico — 0.1% | ||||||||||||
Mexico Government International Bond | ||||||||||||
3.75%, 01/11/28 (g) | 200 | 188,400 | ||||||||||
2.66%, 05/24/31 | 278 | 224,624 | ||||||||||
413,024 | ||||||||||||
Morocco — 0.0% | ||||||||||||
Morocco Government International Bond, 2.38%, 12/15/27 (b) | 200 | 173,225 | ||||||||||
Nigeria — 0.0% | ||||||||||||
Nigeria Government International Bond, 8.38%, 03/24/29 (b) | 200 | 165,000 | ||||||||||
Oman — 0.1% | ||||||||||||
Oman Government International Bond, 6.50%, 03/08/47 (d) | 308 | 279,510 | ||||||||||
Panama — 0.1% | ||||||||||||
Panama Government International Bond | ||||||||||||
3.88%, 03/17/28 | 200 | 188,725 | ||||||||||
3.16%, 01/23/30 (g) | 377 | 323,702 | ||||||||||
512,427 | ||||||||||||
Paraguay — 0.0% | ||||||||||||
Paraguay Government International Bond, 5.40%, 03/30/50 (d) | 200 | 171,725 | ||||||||||
Peru — 0.1% | ||||||||||||
Corp. Financiera de Desarrollo SA, 4.75%, 07/15/25 (d) | 219 | 211,307 | ||||||||||
Peruvian Government International Bond | ||||||||||||
2.78%, 01/23/31 | 97 | 80,195 | ||||||||||
1.86%, 12/01/32 (g) | 259 | 189,038 | ||||||||||
480,540 | ||||||||||||
Romania — 0.1% | ||||||||||||
Romanian Government International Bond | ||||||||||||
5.25%, 11/25/27 (b) | 122 | 116,723 | ||||||||||
2.88%, 03/11/29 (d) | EUR | 133 | 117,482 | |||||||||
2.50%, 02/08/30 (d) | 138 | 113,912 | ||||||||||
2.12%, 07/16/31 (d) | 156 | 114,733 | ||||||||||
462,850 | ||||||||||||
Saudi Arabia — 0.1% | ||||||||||||
Saudi Government International Bond, 4.50%, 04/17/30 (d)(g) | USD | 325 | 320,998 | |||||||||
South Africa — 0.1% | ||||||||||||
Republic of South Africa Government International Bond | ||||||||||||
4.85%, 09/30/29 | 200 | 177,475 | ||||||||||
5.00%, 10/12/46 | 230 | 160,252 | ||||||||||
337,727 |
94 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Sri Lanka — 0.0% | ||||||||||||
Sri Lanka Government International Bond (d)(e)(j) | ||||||||||||
6.85%, 03/14/24 | USD | 200 | $ | 58,750 | ||||||||
6.35%, 06/28/24 | 200 | 58,475 | ||||||||||
117,225 | ||||||||||||
Ukraine — 0.0% | ||||||||||||
Ukraine Government International Bond (e)(j) | ||||||||||||
9.75%, 11/01/30 (d) | 236 | 50,710 | ||||||||||
7.25%, 03/15/35 (b) | 200 | 37,288 | ||||||||||
87,998 | ||||||||||||
Uruguay — 0.0% | ||||||||||||
Uruguay Government International Bond, 5.75%, 10/28/34 | 135 | 146,117 | ||||||||||
Total Foreign Agency Obligations — 1.3% (Cost: $7,367,177) | 6,364,990 | |||||||||||
Shares | ||||||||||||
Investment Companies | ||||||||||||
Fixed Income Funds — 1.0% | ||||||||||||
Invesco Senior Loan ETF | 230,501 | 4,732,186 | ||||||||||
Total Investment Companies — 1.0% (Cost: $4,877,550) | 4,732,186 | |||||||||||
Par (000) | ||||||||||||
Non-Agency Mortgage-Backed Securities | ||||||||||||
Collateralized Mortgage Obligations — 2.4% | ||||||||||||
Alternative Loan Trust | ||||||||||||
Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 | USD | 1,061 | 611,856 | |||||||||
Series 2006-J8, Class A5, 6.00%, 02/25/37 | 1,849 | 833,934 | ||||||||||
Series 2007-19, Class 1A1, 6.00%, 08/25/37 | 546 | 281,655 | ||||||||||
CHL Mortgage Pass-Through Trust | ||||||||||||
Series 2005-17, Class 1A6, 5.50%, 09/25/35 | 99 | 84,398 | ||||||||||
Series 2006-17, Class A2, 6.00%, 12/25/36 | 627 | 283,516 | ||||||||||
Series 2007-HY5, Class 3A1, 4.03%, 09/25/37 (a) . | 303 | 271,552 | ||||||||||
COLT Mortgage Loan Trust | ||||||||||||
Series 2022-7, Class A1, 5.16%, 04/25/67 (b) | 2,372 | 2,329,801 | ||||||||||
Series 2022-9, Class A1, 6.79%, 12/25/67 | 312 | 314,676 | ||||||||||
Ellington Financial Mortgage Trust, Series 2021-2, Class A1, 0.93%, 06/25/66 (a)(b) | 227 | 174,844 | ||||||||||
GCAT Trust, Series 2022-NQM3, Class A1, 4.35%, 04/25/67 (a)(b) | 1,508 | 1,441,242 | ||||||||||
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 3.56%, 10/25/35 (a) | 309 | 177,886 | ||||||||||
JP Morgan Mortgage Trust, Series 2022-DSC1, Class A1, 4.75%, 01/25/63 (c) | 406 | 384,933 | ||||||||||
ONSLOW Bay Financial LLC, Series 2022-NQM9, Class A1A, 6.45%, 09/25/62 | 100 | 99,511 | ||||||||||
Spruce Hill Mortgage Loan Trust, Class A1A, 4.10%, 07/25/57 | 618 | 565,876 | ||||||||||
Verus Securitization Trust Series 2022-3, Class A1, 4.13%, 02/25/67 (b) | 1,509 | 1,424,827 |
Security | Par (000) | Value | ||||||||||
Collateralized Mortgage Obligations (continued) | ||||||||||||
Verus Securitization Trust (continued) | �� | |||||||||||
Series 2022-7, Class A1, 5.15%, 07/25/67 (b) | USD | 1,785 | $ | 1,735,632 | ||||||||
Series 2022-INV2, Class A1, 6.79%, 10/25/67 | 478 | 481,722 | ||||||||||
11,497,861 | ||||||||||||
Commercial Mortgage-Backed Securities — 0.9% | ||||||||||||
BX Commercial Mortgage Trust (a)(b) | ||||||||||||
Series 2019-XL, Class A, (1 mo. SOFR CME + 1.03%), 5.37%, 10/15/36 | 1,129 | 1,115,069 | ||||||||||
Series 2021-CIP, Class A, (1 mo. LIBOR US + 0.92%), 5.24%, 12/15/38 | 1,000 | 964,891 | ||||||||||
Series 2021-XL2, Class A, (1 mo. LIBOR US + 0.69%), 5.01%, 10/15/38 | 454 | 436,437 | ||||||||||
BX Trust, Class A, 5.19%, 01/15/39 | 1,200 | 1,145,871 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2019- SMRT, Class A, 4.15%, 01/10/36 (b) | 800 | 780,016 | ||||||||||
4,442,284 | ||||||||||||
Total Non-Agency Mortgage-Backed Securities — 3.3% (Cost: $16,973,462) | 15,940,145 | |||||||||||
Benefical Interest (000) | ||||||||||||
Other Interests (c)(p) | ||||||||||||
IT Services — 0.0% | ||||||||||||
Millennium Corp. Claim | USD | 861 | — | |||||||||
Millennium Lender Claim Trust | 918 | — | ||||||||||
Total Other Interests — 0.0% (Cost: $ — ) | — | |||||||||||
Par (000) | ||||||||||||
Preferred Securities | ||||||||||||
Capital Trusts — 5.0% | ||||||||||||
Aerospace & Defense — 0.0% | ||||||||||||
Air France-KLM, 6.50%, 12/31/99 | EUR | 100 | 105,258 | |||||||||
Automobiles — 0.1% | ||||||||||||
General Motors Financial Co., Inc., Series C, 5.70% (a)(g)(k) | USD | 365 | 308,927 | |||||||||
Banks (a)(k) — 1.2% | ||||||||||||
Bank of East Asia Ltd., 5.88% (d) | 250 | 229,578 | ||||||||||
Industrial & Commercial Bank of China Ltd., 3.20% (d) | 200 | 186,750 | ||||||||||
ING Groep NV, 3.88% (g) | 1,750 | 1,275,084 | ||||||||||
Kasikornbank PCL, 5.28% (d) | 200 | 189,225 | ||||||||||
Nordea Bank Abp, 3.75% (b)(g) | 560 | 432,350 | ||||||||||
PNC Financial Services Group, Inc., Series V, 6.20% (g) | 290 | 283,402 | ||||||||||
Rizal Commercial Banking Corp., 6.50% (d) | 200 | 170,225 | ||||||||||
U.S. Bancorp, 3.70% (g) | 1,665 | 1,361,137 | ||||||||||
Wells Fargo & Co. | ||||||||||||
Series S, 5.90% (g) | 1,500 | 1,343,415 | ||||||||||
Series U, 5.88% | 384 | 370,560 | ||||||||||
5,841,726 |
S C H E D U L E O F IN V E S T M E N T S | 95 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Capital Markets — 0.5% | ||||||||||||
Bank of New York Mellon Corp., Series I, 3.75% (a)(g)(k) | USD | 3,110 | $ | 2,504,971 | ||||||||
Diversified Financial Services (a)(k) — 2.6% | ||||||||||||
Bank of America Corp. (g) | ||||||||||||
Series DD, 6.30% | 215 | 213,403 | ||||||||||
Series X, 6.25% | 1,929 | 1,852,536 | ||||||||||
Series Z, 6.50% | 143 | 141,045 | ||||||||||
Barclays PLC | ||||||||||||
4.38% (g) | 455 | 346,938 | ||||||||||
8.00% | 210 | 196,350 | ||||||||||
BNP Paribas SA, 6.88% (d) | EUR | 200 | 211,414 | |||||||||
Credit Agricole SA, 4.75% (b)(g) | USD | 200 | 160,284 | |||||||||
HSBC Holdings PLC (g) | ||||||||||||
6.25% | 695 | 678,213 | ||||||||||
6.00% | 415 | 380,891 | ||||||||||
JPMorgan Chase & Co. (g) | ||||||||||||
Series FF, 5.00% | 2,865 | 2,621,277 | ||||||||||
Series HH, 4.60% | 253 | 222,956 | ||||||||||
Lloyds Banking Group PLC, 7.50% (g) | 1,250 | 1,205,884 | ||||||||||
NatWest Group PLC, 6.00% (g) | 1,185 | 1,094,284 | ||||||||||
Societe Generale SA, 5.38% (b)(g) | 2,250 | 1,822,808 | ||||||||||
UBS Group AG, 3.88% (b)(g) | 1,500 | 1,253,477 | ||||||||||
Woori Bank, 4.25% (d) | 250 | 234,734 | ||||||||||
12,636,494 | ||||||||||||
Diversified Telecommunication Services — 0.0% | ||||||||||||
Telefonica Europe BV, 7.13% (a)(d)(k) | EUR | 100 | 109,186 | |||||||||
Electric Utilities (a) — 0.4% | ||||||||||||
Edison International, Series B, 5.00% (k) | USD | 175 | 146,291 | |||||||||
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79 (g) | 1,750 | 1,589,358 | ||||||||||
1,735,649 | ||||||||||||
Independent Power and Renewable Electricity Producers — 0.1% | ||||||||||||
Vistra Corp., 7.00% (a)(b)(k) | 240 | 218,384 | ||||||||||
Media — 0.0% | ||||||||||||
SES SA, 2.88% (a)(d)(k) | EUR | 100 | 84,951 | |||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||||
Abertis Infraestructuras Finance BV, 3.25% (a)(d)(k) | 100 | 90,346 | ||||||||||
Utilities — 0.1% | ||||||||||||
Electricite de France SA, 3.00% (a)(d)(k) | 200 | 174,579 | ||||||||||
Wireless Telecommunication Services — 0.0% | ||||||||||||
Vodafone Group PLC, 2.63%, 08/27/80 (a)(d) | 100 | 93,842 | ||||||||||
23,904,313 | ||||||||||||
Shares | ||||||||||||
Preferred Stocks — 1.9% | ||||||||||||
Banks — 0.0% | ||||||||||||
CF-B L2 (D) LLC, (Acquired 04/08/15, Cost: $134,650) (f) | 137,556 | 2,282 | ||||||||||
Security | Shares | Value | ||||||||||
Capital Markets (a)(k) — 1.9% | ||||||||||||
Goldman Sachs Group, Inc., Series J, 5.50% | 202,526 | $ | 4,992,266 | |||||||||
Morgan Stanley | ||||||||||||
Series F, 6.88% | 120,000 | 2,997,600 | ||||||||||
Series K, 5.90% | 53,253 | 1,225,352 | ||||||||||
9,215,218 | ||||||||||||
9,217,500 | ||||||||||||
Total Preferred Securities — 6.9% (Cost: $37,478,693) | 33,121,813 | |||||||||||
Par (000) | ||||||||||||
U.S. Government Sponsored Agency Securities | ||||||||||||
Mortgage-Backed Securities — 10.1% | ||||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates, Series K042, Class X1, 1.02%, 12/25/24 (a) | USD | 32,012 | 538,034 | |||||||||
Uniform Mortgage-Backed Securities (q) | ||||||||||||
4.00%, 12/01/44 - 01/12/53 (g) | 20,507 | 19,415,660 | ||||||||||
3.50%, 02/25/49 - 04/01/52 (g) | 7,420 | 6,802,840 | ||||||||||
4.50%, 01/12/53 - 02/13/53 | 10,700 | 10,296,068 | ||||||||||
5.00%, 01/12/53 - 02/13/53 | 12,000 | 11,821,907 | ||||||||||
48,874,509 | ||||||||||||
Total U.S. Government Sponsored Agency Securities — 10.1% (Cost: $50,489,621) | 48,874,509 | |||||||||||
U.S. Treasury Obligations | ||||||||||||
U.S. Treasury Notes, 3.25%, 08/31/24 (g) | 12,500 | 12,239,258 | ||||||||||
Total U.S. Treasury Obligations — 2.5% (Cost: $12,437,898) | 12,239,258 | |||||||||||
Shares | ||||||||||||
Warrants | ||||||||||||
Consumer Discretionary — 0.0% | ||||||||||||
Service King (Carnelian Point), (Expires 06/30/27, Strike Price USD 10.00) (e) | 1,720 | — | ||||||||||
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) (e) | 345 | 4,347 | ||||||||||
Total Warrants — 0.0% (Cost: $ — ) | 4,347 | |||||||||||
Total Long-Term Investments — 159.7% (Cost: $841,635,290) | 770,691,166 | |||||||||||
96 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||||||
Short-Term Securities | ||||||||||||
Money Market Funds — 0.3% | ||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 4.03% (r)(s) | 1,474,663 | $ | 1,474,663 | |||||||||
Par (000) | ||||||||||||
U.S. Government Sponsored Agency Securities — 0.0% | ||||||||||||
Uniform Mortgage-Backed Securities, 5.00%, 08/01/23 | USD | — | (m) | 308 | ||||||||
Total Short-Term Securities — 0.3% (Cost: $1,474,971) | 1,474,971 | |||||||||||
Total Investments Before TBA Sale Commitments — 160.0% (Cost: $843,110,261) | 772,166,137 | |||||||||||
TBA Sale Commitments (q) | ||||||||||||
Mortgage-Backed Securities — (0.9)% | ||||||||||||
Uniform Mortgage-Backed Securities | ||||||||||||
4.50%, 01/12/53 | (1,900 | ) | (1,828,287 | ) | ||||||||
5.00%, 01/12/53 | (2,400 | ) | (2,364,531 | ) | ||||||||
Total TBA Sale Commitments — (0.9)% (Proceeds: $(4,248,367)) | (4,192,818 | ) | ||||||||||
Total Investments, Net of TBA Sale Commitments — 159.1% (Cost: $838,861,894) | 767,973,319 | |||||||||||
Liabilities in Excess of Other Assets — (59.1)% | (285,386,116 | ) | ||||||||||
Net Assets — 100.0% | $ | 482,587,203 | ||||||||||
(a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(e) | Non-income producing security. |
(f) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $2,913, representing less than 0.05% of its net assets as of period end, and an original cost of $235,337. |
(g) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(h) | Convertible security. |
(i) | Zero-coupon bond. |
(j) | Issuer filed for bankruptcy and/or is in default. |
(k) | Perpetual security with no stated maturity date. |
(l) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(m) | Rounds to less than 1,000. |
(n) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end. |
(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) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(q) | Represents or includes a TBA transaction. |
(r) | Affiliate of the Fund. |
(s) | Annualized 7-day yield as of period end. |
Affiliated Issuer | Value at 12/31/21 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 12/31/22 | Shares Held at 12/31/22 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | $ | 4,969,680 | $ | — | $ | (3,495,017 | ) (a) | $ | — | $ | — | $ | 1,474,663 | 1,474,663 | $ | 66,945 | $ | — | ||||||||||||||||||
(a) | Represents net amount purchased (sold). |
Counterparty | Interest Rate | Trade Date | Maturity Date | (a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | (a) | |||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.37 | % (b) | 09/12/22 | Open | $ | 12,437,500 | $ | 12,524,712 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/09/22 | Open | 142,263 | 143,140 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/09/22 | Open | 199,260 | 200,489 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/09/22 | Open | 39,401 | 39,644 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/09/22 | Open | 808,350 | 813,335 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/09/22 | Open | 193,903 | 195,084 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/09/22 | Open | 345,881 | 348,039 | Corporate Bonds | Open/Demand |
S C H E D U L E O F IN V E S T M E N T S | 97 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | Interest Rate | Trade Date | Maturity Date | (a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | (a) | |||||||||||||||||
BNP Paribas S.A | 4.80 | % (b) | 11/09/22 | Open | $ | 5,066,770 | $ | 5,098,381 | Corporate Bonds | Open/Demand | ||||||||||||||||
BNP Paribas S.A | 4.80 | (b) | 11/09/22 | Open | 1,036,017 | 1,042,481 | �� | Corporate Bonds | Open/Demand | |||||||||||||||||
BNP Paribas S.A | 4.80 | (b) | 11/09/22 | Open | 854,295 | 859,625 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A | 4.80 | (b) | 11/09/22 | Open | 320,160 | 322,157 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.50 | (b) | 11/09/22 | Open | 1,044,549 | 1,050,613 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.55 | (b) | 11/09/22 | Open | 125,269 | 126,005 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.55 | (b) | 11/09/22 | Open | 77,398 | 77,852 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.59 | (b) | 11/09/22 | Open | 334,375 | 336,360 | Corporate Bonds | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. | 4.50 | (b) | 11/09/22 | Open | 751,150 | 755,511 | Corporate Bonds | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. | 4.50 | (b) | 11/09/22 | Open | 445,560 | 448,147 | Corporate Bonds | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. | 4.50 | (b) | 11/09/22 | Open | 534,000 | 537,100 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 11/09/22 | Open | 1,426,875 | 1,435,118 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 11/09/22 | Open | 393,125 | 395,396 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 11/09/22 | Open | 192,075 | 193,185 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 11/09/22 | Open | 220,150 | 221,428 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 11/09/22 | Open | 444,244 | 446,823 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 11/09/22 | Open | 210,240 | 211,461 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 11/09/22 | Open | 509,906 | 512,867 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 11/09/22 | Open | 141,250 | 142,097 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/09/22 | Open | 268,153 | 269,767 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/09/22 | Open | 724,487 | 728,851 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/09/22 | Open | 429,907 | 432,496 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.49 | (b) | 11/09/22 | Open | 1,506,431 | 1,515,155 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.49 | (b) | 11/09/22 | Open | 354,954 | 357,009 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.49 | (b) | 11/09/22 | Open | 416,512 | 418,925 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.49 | (b) | 11/09/22 | Open | 238,950 | 240,334 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.49 | (b) | 11/09/22 | Open | 239,050 | 240,434 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.49 | (b) | 11/09/22 | Open | 577,752 | 581,098 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.49 | (b) | 11/09/22 | Open | 748,720 | 753,056 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.49 | (b) | 11/09/22 | Open | 451,082 | 453,695 | Corporate Bonds | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 9,706,684 | 9,761,560 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 1,422,310 | 1,430,351 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 1,503,361 | 1,511,860 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 1,529,961 | 1,538,610 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
HSBC Securities (USA), Inc. | 4.24 | 11/10/22 | 01/12/23 | 5,906,598 | 5,939,990 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.57 | (b) | 11/10/22 | Open | 693,499 | 697,281 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.35 | (b) | 11/14/22 | Open | 737,019 | 740,744 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 11/14/22 | Open | 563,200 | 566,252 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/14/22 | Open | 396,506 | 398,666 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.50 | (b) | 11/16/22 | Open | 667,535 | 670,891 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.55 | (b) | 11/16/22 | Open | 503,851 | 506,416 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/16/22 | Open | 396,839 | 398,958 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/16/22 | Open | 700,096 | 703,835 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/16/22 | Open | 256,960 | 258,332 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A | 4.60 | (b) | 11/16/22 | Open | 242,190 | 243,438 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A | 4.80 | (b) | 11/16/22 | Open | 434,350 | 436,697 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A | 4.80 | (b) | 11/16/22 | Open | 427,461 | 429,771 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A | 4.85 | (b) | 11/16/22 | Open | 82,748 | 83,200 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.55 | (b) | 11/16/22 | Open | 207,803 | 208,860 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | (1.75 | ) (b) | 11/16/22 | Open | 73,775 | 73,570 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 11/16/22 | Open | 807,840 | 811,902 | Corporate Bonds | Open/Demand |
98 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | Interest Rate | Trade Date | Maturity Date | (a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | (a) | |||||||||||||||||
RBC Capital Markets LLC | 4.63 | % (b) | 11/16/22 | Open | $ | 950,802 | $ | 955,737 | Corporate Bonds | Open/Demand | ||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/16/22 | Open | 129,634 | 130,310 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/16/22 | Open | 202,751 | 203,809 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/16/22 | Open | 342,540 | 344,326 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/16/22 | Open | 180,600 | 181,542 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/16/22 | Open | 163,443 | 164,295 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/16/22 | Open | 72,573 | 72,951 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/16/22 | Open | 379,952 | 381,934 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/23/22 | Open | 291,555 | 292,837 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.73 | (b) | 11/23/22 | Open | 940,144 | 944,257 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 11/28/22 | Open | 608,915 | 611,165 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/28/22 | Open | 529,685 | 531,715 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/28/22 | Open | 638,250 | 640,696 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.50 | (b) | 11/29/22 | Open | 817,875 | 820,806 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.50 | (b) | 11/29/22 | Open | 442,500 | 444,086 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.50 | (b) | 11/29/22 | Open | 456,000 | 457,634 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.55 | (b) | 11/29/22 | Open | 278,281 | 279,291 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.55 | (b) | 11/29/22 | Open | 172,235 | 172,860 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.55 | (b) | 11/29/22 | Open | 394,100 | 395,530 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.55 | (b) | 11/29/22 | Open | 570,769 | 572,839 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.55 | (b) | 11/29/22 | Open | 1,422,637 | 1,427,799 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.55 | (b) | 11/29/22 | Open | 1,737,500 | 1,743,803 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.55 | (b) | 11/29/22 | Open | 1,148,437 | 1,152,604 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.55 | (b) | 11/29/22 | Open | 439,375 | 440,969 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.55 | (b) | 11/29/22 | Open | 62,114 | 62,339 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.75 | (b) | 11/29/22 | Open | 2,559,375 | 2,569,115 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.75 | (b) | 11/29/22 | Open | 281,050 | 282,120 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.75 | (b) | 11/29/22 | Open | 322,875 | 324,104 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.75 | (b) | 11/29/22 | Open | 507,812 | 509,745 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.75 | (b) | 11/29/22 | Open | 876,900 | 880,237 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.75 | (b) | 11/29/22 | Open | 1,071,875 | 1,075,954 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.75 | (b) | 11/29/22 | Open | 1,064,200 | 1,068,250 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | (1.75 | ) (b) | 11/29/22 | Open | 206,644 | 206,322 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.55 | (b) | 11/29/22 | Open | 131,024 | 131,499 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.55 | (b) | 11/29/22 | Open | 500,120 | 501,934 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.55 | (b) | 11/29/22 | Open | 208,409 | 209,165 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.55 | (b) | 11/29/22 | Open | 774,090 | 776,898 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.55 | (b) | 11/29/22 | Open | 271,825 | 272,811 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.55 | (b) | 11/29/22 | Open | 31,657 | 31,772 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.55 | (b) | 11/29/22 | Open | 225,298 | 226,115 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.55 | (b) | 11/29/22 | Open | 198,069 | 198,787 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.55 | (b) | 11/29/22 | Open | 547,150 | 549,135 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.70 | (b) | 11/29/22 | Open | 104,370 | 104,763 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.70 | (b) | 11/29/22 | Open | 287,933 | 289,015 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 208,680 | 209,474 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 380,239 | 381,686 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 312,585 | 313,775 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 385,687 | 387,155 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 151,500 | 152,077 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 260,074 | 261,063 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 553,324 | 555,429 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 285,175 | 286,260 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 317,500 | 318,708 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 329,700 | 330,955 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 143,550 | 144,096 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 555,555 | 557,669 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 338,530 | 339,818 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 465,370 | 467,141 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 808,322 | 811,399 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 142,240 | 142,781 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 200,661 | 201,425 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 1,050,881 | 1,054,880 | Corporate Bonds | Open/Demand |
S C H E D U L E O F IN V E S T M E N T S | 99 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | Interest Rate | Trade Date | Maturity Date | (a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | (a) | |||||||||||||||||
Barclays Capital, Inc. | 4.75 | % (b) | 11/29/22 | Open | $ | 433,637 | $ | 435,288 | Corporate Bonds | Open/Demand | ||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 124,800 | 125,275 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 1,110,469 | 1,114,695 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 141,738 | 142,277 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 680,074 | 682,662 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 534,060 | 536,092 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 513,590 | 515,544 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 686,594 | 689,207 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 229,856 | 230,731 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 228,883 | 229,754 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 968,540 | 972,226 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 309,760 | 310,939 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 36,915 | 37,055 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 187,059 | 187,771 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 559,446 | 561,575 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 494,092 | 495,973 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 173,750 | 174,411 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 148,096 | 148,660 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 11/29/22 | Open | 497,736 | 499,630 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.53 | (b) | 11/29/22 | Open | 2,274,187 | 2,282,397 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.53 | (b) | 11/29/22 | Open | 1,225,856 | 1,230,282 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.54 | (b) | 11/29/22 | Open | 208,075 | 208,828 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.56 | (b) | 11/29/22 | Open | 510,250 | 512,106 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.65 | (b) | 11/29/22 | Open | 563,625 | 565,720 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.65 | (b) | 11/29/22 | Open | 476,962 | 478,735 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.65 | (b) | 11/29/22 | Open | 601,944 | 604,181 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.65 | (b) | 11/29/22 | Open | 486,392 | 488,200 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.65 | (b) | 11/29/22 | Open | 613,305 | 615,584 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.65 | (b) | 11/29/22 | Open | 493,652 | 495,487 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.65 | (b) | 11/29/22 | Open | 96,425 | 96,783 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.68 | (b) | 11/29/22 | Open | 332,456 | 333,701 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.68 | (b) | 11/29/22 | Open | 374,884 | 376,287 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.68 | (b) | 11/29/22 | Open | 339,412 | 340,683 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.68 | (b) | 11/29/22 | Open | 316,988 | 318,174 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.68 | (b) | 11/29/22 | Open | 404,002 | 405,515 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.68 | (b) | 11/29/22 | Open | 393,937 | 395,412 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.68 | (b) | 11/29/22 | Open | 342,370 | 343,652 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.68 | (b) | 11/29/22 | Open | 345,470 | 346,763 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.68 | (b) | 11/29/22 | Open | 394,412 | 395,889 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.68 | (b) | 11/29/22 | Open | 347,762 | 349,064 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.68 | (b) | 11/29/22 | Open | 716,479 | 719,161 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.68 | (b) | 11/29/22 | Open | 294,000 | 295,101 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.68 | (b) | 11/29/22 | Open | 315,348 | 316,528 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/29/22 | Open | 296,079 | 297,192 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/29/22 | Open | 490,342 | 492,187 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/29/22 | Open | 380,725 | 382,157 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/29/22 | Open | 249,200 | 250,137 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/29/22 | Open | 728,000 | 730,738 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/29/22 | Open | 573,750 | 575,908 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/29/22 | Open | 446,219 | 447,897 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/29/22 | Open | 1,589,062 | 1,595,039 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/29/22 | Open | 1,082,812 | 1,086,885 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/29/22 | Open | 907,100 | 910,512 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/29/22 | Open | 3,276,000 | 3,288,321 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/29/22 | Open | 439,285 | 440,937 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/29/22 | Open | 165,938 | 166,562 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 11/29/22 | Open | 558,060 | 560,159 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.73 | (b) | 11/29/22 | Open | 432,845 | 434,485 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.73 | (b) | 11/29/22 | Open | 509,906 | 511,838 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.73 | (b) | 11/29/22 | Open | 623,407 | 625,769 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.73 | (b) | 11/29/22 | Open | 1,096,875 | 1,101,030 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.73 | (b) | 11/29/22 | Open | 277,400 | 278,451 | Corporate Bonds | Open/Demand |
100 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | Interest Rate | Trade Date | Maturity Date | (a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | (a) | |||||||||||||||||
BNP Paribas S.A. | 4.73 | % (b) | 11/29/22 | Open | $ | 345,450 | $ | 346,758 | Corporate Bonds | Open/Demand | ||||||||||||||||
BNP Paribas S.A. | 4.73 | (b) | 11/29/22 | Open | 541,969 | 544,022 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.73 | (b) | 11/29/22 | Open | 579,817 | 582,014 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.75 | (b) | 11/29/22 | Open | 850,030 | 853,265 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/29/22 | Open | 286,740 | 287,844 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/29/22 | Open | 616,005 | 618,377 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/29/22 | Open | 697,727 | 700,414 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/29/22 | Open | 370,256 | 371,682 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/29/22 | Open | 361,594 | 362,986 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/29/22 | Open | 310,115 | 311,309 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/29/22 | Open | 859,675 | 862,985 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/29/22 | Open | 553,900 | 556,032 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/29/22 | Open | 376,877 | 378,328 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/29/22 | Open | 248,640 | 249,597 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/29/22 | Open | 54,438 | 54,647 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/29/22 | Open | 713,625 | 716,372 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/29/22 | Open | 284,800 | 285,896 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 11/29/22 | Open | 471,501 | 473,317 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.85 | (b) | 11/29/22 | Open | 805,815 | 808,953 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.85 | (b) | 11/29/22 | Open | 165,250 | 165,894 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.85 | (b) | 11/29/22 | Open | 475,785 | 477,638 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.85 | (b) | 11/29/22 | Open | 900,720 | 904,228 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.85 | (b) | 11/29/22 | Open | 81,620 | 81,938 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.88 | (b) | 11/29/22 | Open | 111,090 | 111,526 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.88 | (b) | 11/29/22 | Open | 207,328 | 208,140 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.88 | (b) | 11/29/22 | Open | 551,880 | 554,044 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.88 | (b) | 11/29/22 | Open | 263,200 | 264,232 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.88 | (b) | 11/29/22 | Open | 367,200 | 368,640 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.88 | (b) | 11/29/22 | Open | 425,100 | 426,767 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.47 | (b) | 11/29/22 | Open | 1,260,000 | 1,264,481 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.47 | (b) | 11/29/22 | Open | 1,233,562 | 1,237,950 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.50 | (b) | 11/29/22 | Open | 655,000 | 657,347 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.52 | (b) | 11/29/22 | Open | 172,250 | 172,870 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.52 | (b) | 11/29/22 | Open | 328,312 | 329,495 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.52 | (b) | 11/29/22 | Open | 170,400 | 171,014 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.52 | (b) | 11/29/22 | Open | 170,200 | 170,813 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.52 | (b) | 11/29/22 | Open | 45,938 | 46,103 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.55 | (b) | 11/29/22 | Open | 209,135 | 209,894 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.55 | (b) | 11/29/22 | Open | 317,199 | 318,349 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.57 | (b) | 11/29/22 | Open | 285,123 | 286,162 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.58 | (b) | 11/29/22 | Open | 374,987 | 376,358 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.59 | (b) | 11/29/22 | Open | 299,145 | 300,241 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.59 | (b) | 11/29/22 | Open | 303,480 | 304,592 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.59 | (b) | 11/29/22 | Open | 293,550 | 294,625 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.59 | (b) | 11/29/22 | Open | 387,004 | 388,421 | Corporate Bonds | Open/Demand |
S C H E D U L E O F IN V E S T M E N T S | 101 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | Interest Rate | Trade Date | Maturity Date | (a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | (a) | |||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.59 | % (b) | 11/29/22 | Open | $ | 388,410 | $ | 389,833 | Corporate Bonds | Open/Demand | ||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.59 | (b) | 11/29/22 | Open | 261,500 | 262,458 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.59 | (b) | 11/29/22 | Open | 285,188 | 286,232 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.59 | (b) | 11/29/22 | Open | 333,629 | 334,851 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.61 | (b) | 11/29/22 | Open | 309,375 | 310,514 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.61 | (b) | 11/29/22 | Open | 438,019 | 439,631 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.63 | (b) | 11/29/22 | Open | 244,125 | 245,028 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.65 | (b) | 11/29/22 | Open | 305,428 | 306,563 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 4.50 | (b) | 11/29/22 | Open | 83,663 | 83,962 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 4.60 | (b) | 11/29/22 | Open | 236,500 | 237,368 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 4.60 | (b) | 11/29/22 | Open | 600,702 | 602,908 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 4.65 | (b) | 11/29/22 | Open | 303,956 | 305,086 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 4.70 | (b) | 11/29/22 | Open | 83,140 | 83,453 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 4.80 | (b) | 11/29/22 | Open | 1,342,500 | 1,347,557 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 4.80 | (b) | 11/29/22 | Open | 1,035,000 | 1,038,769 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 4.80 | (b) | 11/29/22 | Open | 254,231 | 255,178 | Capital Trusts | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. | 4.50 | (b) | 11/29/22 | Open | 811,250 | 814,157 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 11/29/22 | Open | 1,451,250 | 1,456,425 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 11/29/22 | Open | 685,506 | 687,950 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 11/29/22 | Open | 947,077 | 950,454 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 11/29/22 | Open | 531,885 | 533,781 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 11/29/22 | Open | 871,250 | 874,356 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 11/29/22 | Open | 152,363 | 152,908 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 11/29/22 | Open | 1,296,446 | 1,301,092 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 11/29/22 | Open | 779,625 | 782,419 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 11/29/22 | Open | 398,569 | 399,997 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 11/29/22 | Open | 1,031,375 | 1,035,071 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 11/29/22 | Open | 324,900 | 326,064 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 11/29/22 | Open | 268,781 | 269,744 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 11/29/22 | Open | 355,500 | 356,774 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.53 | (b) | 11/29/22 | Open | 1,410,000 | 1,415,090 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.53 | (b) | 11/29/22 | Open | 598,000 | 600,159 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.53 | (b) | 11/29/22 | Open | 336,937 | 338,154 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.53 | (b) | 11/29/22 | Open | 264,338 | 265,292 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.53 | (b) | 11/29/22 | Open | 2,753 | 2,762 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.53 | (b) | 11/29/22 | Open | 1,400,727 | 1,405,784 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.53 | (b) | 11/29/22 | Open | 211,206 | 211,969 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.53 | (b) | 11/29/22 | Open | 1,378,125 | 1,383,100 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.53 | (b) | 11/29/22 | Open | �� | 377,662 | 379,026 | Corporate Bonds | Open/Demand | |||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 11/29/22 | Open | 463,150 | 464,863 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 11/29/22 | Open | 355,975 | 357,292 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 11/29/22 | Open | 312,200 | 313,355 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 11/29/22 | Open | 256,856 | 257,806 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 11/29/22 | Open | 499,905 | 501,754 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 11/29/22 | Open | 321,195 | 322,383 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 11/29/22 | Open | 44,963 | 45,129 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 11/29/22 | Open | 728,460 | 731,154 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 11/29/22 | Open | 281,320 | 282,361 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 11/29/22 | Open | 463,125 | 464,838 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 11/29/22 | Open | 332,310 | 333,539 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 272,213 | 273,224 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 246,325 | 247,241 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 426,161 | 427,745 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 281,295 | 282,340 | Corporate Bonds | Open/Demand |
102 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | Interest Rate | Trade Date | Maturity Date | (a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | (a) | |||||||||||||||||
RBC Capital Markets LLC | 4.65 | % (b) | 11/29/22 | Open | $ | 283,650 | $ | 284,704 | Corporate Bonds | Open/Demand | ||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 311,231 | 312,388 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 377,097 | 378,499 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 156,750 | 157,333 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 499,177 | 501,033 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 414,199 | 415,738 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 380,052 | 381,465 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 191,563 | 192,274 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 424,462 | 426,040 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 346,320 | 347,607 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 575,040 | 577,177 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 341,077 | 342,345 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 324,327 | 325,533 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 445,491 | 447,147 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 313,739 | 314,905 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 212,040 | 212,828 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 444,652 | 446,305 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 378,750 | 380,158 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 329,040 | 330,263 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 170,048 | 170,680 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 158,790 | 159,380 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 247,690 | 248,611 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 234,175 | 235,045 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 11/29/22 | Open | 385,387 | 386,820 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.67 | (b) | 11/29/22 | Open | 313,565 | 314,736 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.67 | (b) | 11/29/22 | Open | 392,700 | 394,167 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.62 | (b) | 11/29/22 | Open | 225,760 | 226,593 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.15 | (b) | 12/05/22 | Open | 164,588 | 165,026 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.30 | (b) | 12/05/22 | Open | 398,571 | 399,676 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.45 | (b) | 12/05/22 | Open | 452,454 | 453,757 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.54 | (b) | 12/05/22 | Open | 1,563,000 | 1,567,458 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.25 | (b) | 12/06/22 | Open | 163,660 | 164,143 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.05 | (b) | 12/08/22 | Open | 122,064 | 122,380 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.35 | (b) | 12/08/22 | Open | 745,500 | 747,354 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.45 | (b) | 12/08/22 | Open | 590,625 | 592,132 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.45 | (b) | 12/09/22 | Open | 266,875 | 267,468 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.73 | (b) | 12/09/22 | Open | 267,300 | 267,936 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.39 | (b) | 12/12/22 | Open | 98,714 | 98,919 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.45 | (b) | 12/13/22 | Open | 603,000 | 604,208 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.45 | (b) | 12/13/22 | Open | 1,507,500 | 1,510,519 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 12/13/22 | Open | 246,103 | 246,599 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 12/13/22 | Open | 177,620 | 177,978 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/13/22 | Open | 304,188 | 304,827 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.42 | (b) | 12/14/22 | Open | 398,095 | 398,843 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/14/22 | Open | 375,990 | 376,737 | Corporate Bonds | Open/Demand | ||||||||||||||||||
J.P. Morgan Securities LLC | 4.45 | 12/15/22 | 01/06/23 | 505,304 | 506,303 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
J.P. Morgan Securities LLC | 4.45 | 12/15/22 | 01/06/23 | 844,050 | 845,719 | Corporate Bonds | Up to 30 Days | |||||||||||||||||||
BofA Securities, Inc. | 1.50 | 12/15/22 | 02/03/23 | 119,850 | 119,930 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 3.50 | 12/15/22 | 02/03/23 | 92,566 | 92,710 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 3.60 | 12/15/22 | 02/03/23 | 362,500 | 363,080 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.25 | 12/15/22 | 02/03/23 | 370,301 | 371,001 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.35 | 12/15/22 | 02/03/23 | 191,239 | 191,608 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.35 | 12/15/22 | 02/03/23 | 185,133 | 185,490 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 209,625 | 210,035 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 204,000 | 204,399 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 526,875 | 527,905 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 189,638 | 190,008 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 323,595 | 324,228 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 143,500 | 143,781 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 118,631 | 118,863 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 195,000 | 195,381 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 480,495 | 481,435 | Corporate Bonds | 31 - 90 Days |
S C H E D U L E O F IN V E S T M E N T S | 103 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | Interest Rate | Trade Date | Maturity Date | (a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | (a) | |||||||||||||||||
BofA Securities, Inc. | 4.40 | % | 12/15/22 | 02/03/23 | $ | 725,580 | $ | 726,999 | Corporate Bonds | 31 - 90 Days | ||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 655,001 | 656,282 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 92,293 | 92,473 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 782,495 | 784,025 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 147,690 | 147,979 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 241,448 | 241,920 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 453,764 | 454,651 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 132,750 | 133,010 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 603,480 | 604,660 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 1,035,000 | 1,037,024 | Capital Trusts | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.40 | 12/15/22 | 02/03/23 | 1,569,800 | 1,572,870 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.45 | 12/15/22 | 02/03/23 | 60,095 | 60,214 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.45 | 12/15/22 | 02/03/23 | 133,131 | 133,395 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.45 | 12/15/22 | 02/03/23 | 271,688 | 272,225 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.45 | 12/15/22 | 02/03/23 | 893,330 | 895,097 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.45 | 12/15/22 | 02/03/23 | 211,188 | 211,605 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.45 | 12/15/22 | 02/03/23 | 141,900 | 142,181 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.45 | 12/15/22 | 02/03/23 | 205,590 | 205,997 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.45 | 12/15/22 | 02/03/23 | 180,476 | 180,833 | Foreign Agency Obligations | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 117,195 | 117,429 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 86,869 | 87,042 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 482,275 | 483,240 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 414,675 | 415,504 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 137,520 | 137,795 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 307,419 | 308,034 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 429,000 | 429,858 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 334,200 | 334,868 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 276,925 | 277,479 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 130,611 | 130,872 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 191,750 | 192,134 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 128,106 | 128,362 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 255,484 | 255,995 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 243,285 | 243,772 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 150,868 | 151,169 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 577,821 | 578,977 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 125,100 | 125,350 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 347,156 | 347,851 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 143,280 | 143,567 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 228,043 | 228,499 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 402,369 | 403,173 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 320,850 | 321,492 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 322,245 | 322,889 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 234,659 | 235,128 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 141,470 | 141,753 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 212,063 | 212,487 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 416,377 | 417,210 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 220,125 | 220,565 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 265,538 | 266,069 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 928,880 | 930,738 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 465,289 | 466,219 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 1,247,380 | 1,249,875 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.50 | 12/15/22 | 02/03/23 | 192,750 | 193,136 | Foreign Agency Obligations | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.53 | 12/15/22 | 02/03/23 | 742,000 | 743,494 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.55 | 12/15/22 | 02/03/23 | 838,500 | 840,196 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.55 | 12/15/22 | 02/03/23 | 257,950 | 258,472 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.55 | 12/15/22 | 02/03/23 | 443,000 | 443,896 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.65 | 12/15/22 | 02/03/23 | 1,423,406 | 1,426,348 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
BofA Securities, Inc. | 4.75 | 12/15/22 | 02/03/23 | 1,322,190 | 1,324,981 | Corporate Bonds | 31 - 90 Days | |||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/15/22 | Open | 118,356 | 118,606 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/16/22 | Open | 231,219 | 231,615 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.85 | (b) | 12/19/22 | Open | 635,775 | 636,803 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/20/22 | Open | 557,060 | 557,869 | Corporate Bonds | Open/Demand |
104 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | Interest Rate | Trade Date | Maturity Date | (a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | (a) | |||||||||||||||||
RBC Capital Markets LLC | 4.50 | % (b) | 12/21/22 | Open | $ | 1,489,800 | $ | 1,491,662 | Corporate Bonds | Open/Demand | ||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 12/21/22 | Open | 111,981 | 112,121 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 12/21/22 | Open | 130,863 | 131,026 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 12/21/22 | Open | 156,418 | 156,613 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 12/21/22 | Open | 130,263 | 130,425 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 12/21/22 | Open | 94,500 | 94,618 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 12/21/22 | Open | 157,050 | 157,246 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 12/21/22 | Open | 101,000 | 101,126 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.49 | (b) | 12/21/22 | Open | 61,128 | 61,204 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.50 | (b) | 12/21/22 | Open | 139,744 | 139,918 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.50 | (b) | 12/21/22 | Open | 175,056 | 175,275 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.50 | (b) | 12/21/22 | Open | 152,400 | 152,591 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.65 | (b) | 12/21/22 | Open | 100,303 | 100,432 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.50 | (b) | 12/27/22 | Open | 215,698 | 215,805 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.10 | (b) | 12/28/22 | Open | 2,437,500 | 2,438,333 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Bank PLC | 4.65 | (b) | 12/28/22 | Open | 288,405 | 288,517 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | (3.00 | ) (b) | 12/28/22 | Open | 26,865 | 26,858 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.50 | (b) | 12/28/22 | Open | 144,500 | 144,554 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.70 | (b) | 12/28/22 | Open | 423,400 | 423,566 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.70 | (b) | 12/28/22 | Open | 386,000 | 386,151 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/28/22 | Open | 223,125 | 223,213 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/28/22 | Open | 954,611 | 954,989 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/28/22 | Open | 141,063 | 141,118 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/28/22 | Open | 335,711 | 335,844 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/28/22 | Open | 711,200 | 711,482 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/28/22 | Open | 458,932 | 459,114 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/28/22 | Open | 2,083,070 | 2,083,895 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/28/22 | Open | 837,520 | 837,852 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/28/22 | Open | 223,450 | 223,538 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/28/22 | Open | 1,441,485 | 1,442,056 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.65 | (b) | 12/28/22 | Open | 1,074,804 | 1,075,220 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.68 | (b) | 12/28/22 | Open | 52,195 | 52,215 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 12/28/22 | Open | 75,480 | 75,510 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.70 | (b) | 12/28/22 | Open | 2,194,625 | 2,195,485 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.74 | (b) | 12/28/22 | Open | 459,420 | 459,601 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.75 | (b) | 12/28/22 | Open | 756,585 | 756,884 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 12/28/22 | Open | 238,738 | 238,833 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 12/28/22 | Open | 310,819 | 310,943 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 12/28/22 | Open | 1,118,542 | 1,118,990 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 12/28/22 | Open | 130,475 | 130,527 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.80 | (b) | 12/28/22 | Open | 167,090 | 167,157 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.85 | (b) | 12/28/22 | Open | 232,879 | 232,973 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.85 | (b) | 12/28/22 | Open | 1,144,587 | 1,145,050 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 4.88 | (b) | 12/28/22 | Open | 704,947 | 705,234 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.55 | (b) | 12/28/22 | Open | 496,915 | 497,103 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.59 | (b) | 12/28/22 | Open | 314,150 | 314,270 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.59 | (b) | 12/28/22 | Open | 262,990 | 263,091 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.59 | (b) | 12/28/22 | Open | 365,527 | 365,667 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.59 | (b) | 12/28/22 | Open | 597,120 | 597,348 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.60 | (b) | 12/28/22 | Open | 636,635 | 636,879 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate and Investment Bank | 4.63 | (b) | 12/28/22 | Open | 142,085 | 142,140 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 2.00 | (b) | 12/28/22 | Open | 131,520 | 131,542 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 4.60 | (b) | 12/28/22 | Open | 106,531 | 106,572 | Corporate Bonds | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. | 4.50 | (b) | 12/28/22 | Open | 289,766 | 289,875 | Corporate Bonds | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. | 4.50 | (b) | 12/28/22 | Open | 270,425 | 270,526 | Capital Trusts | Open/Demand |
S C H E D U L E O F IN V E S T M E N T S | 105 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | Interest Rate | Trade Date | Maturity Date | (a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | (a) | |||||||||||||||||
HSBC Securities (USA), Inc. | 4.50 | % (b) | 12/28/22 | Open | $ | 925,000 | $ | 925,347 | Corporate Bonds | Open/Demand | ||||||||||||||||
HSBC Securities (USA), Inc. | 4.50 | (b) | 12/28/22 | Open | 670,312 | 670,564 | Corporate Bonds | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. | 4.50 | (b) | 12/28/22 | Open | 812,500 | 812,805 | Corporate Bonds | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. | 4.50 | (b) | 12/28/22 | Open | 900,000 | 900,337 | Corporate Bonds | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. | 4.50 | (b) | 12/28/22 | Open | 701,250 | 701,513 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.35 | (b) | 12/28/22 | Open | 777,094 | 777,375 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.35 | (b) | 12/28/22 | Open | 693,000 | 693,251 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 12/28/22 | Open | 187,250 | 187,320 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 12/28/22 | Open | 625,657 | 625,891 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 12/28/22 | Open | 283,208 | 283,313 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 12/28/22 | Open | 185,209 | 185,278 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 12/28/22 | Open | 192,780 | 192,852 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 12/28/22 | Open | 175,964 | 176,029 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 12/28/22 | Open | 288,876 | 288,984 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.48 | (b) | 12/28/22 | Open | 317,250 | 317,368 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. | 4.50 | (b) | 12/28/22 | Open | 157,690 | 157,749 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.50 | (b) | 12/28/22 | Open | 339,500 | 339,627 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 12/28/22 | Open | 161,494 | 161,556 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 12/28/22 | Open | 267,840 | 267,943 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 12/28/22 | Open | 574,795 | 575,017 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 12/28/22 | Open | 225,541 | 225,628 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.63 | (b) | 12/28/22 | Open | 338,100 | 338,230 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 292,478 | 292,591 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 241,400 | 241,494 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 313,500 | 313,621 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 492,975 | 493,166 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 259,539 | 259,639 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 249,555 | 249,652 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 269,325 | 269,429 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 270,969 | 271,074 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 267,435 | 267,539 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 124,450 | 124,498 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 227,050 | 227,138 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 304,808 | 304,926 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 328,200 | 328,327 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 881,667 | 882,009 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 532,657 | 532,864 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 490,145 | 490,335 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 278,000 | 278,108 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 264,690 | 264,793 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 498,482 | 498,676 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 98,201 | 98,239 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 279,000 | 279,108 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 292,000 | 292,113 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 637,522 | 637,770 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 668,930 | 669,189 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 278,509 | 278,617 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 279,645 | 279,753 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 189,945 | 190,019 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 196,080 | 196,156 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 275,790 | 275,897 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 423,000 | 423,164 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.65 | (b) | 12/28/22 | Open | 460,845 | 461,024 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 4.67 | (b) | 12/28/22 | Open | 550,550 | 550,764 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.49 | (b) | 12/28/22 | Open | 157,140 | 157,199 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.49 | (b) | 12/28/22 | Open | 186,775 | 186,845 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.49 | (b) | 12/28/22 | Open | 265,719 | 265,818 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.49 | (b) | 12/28/22 | Open | 293,318 | 293,427 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.49 | (b) | 12/28/22 | Open | 532,325 | 532,524 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.60 | (b) | 12/28/22 | Open | 145,081 | 145,137 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.60 | (b) | 12/28/22 | Open | 125,103 | 125,150 | Corporate Bonds | Open/Demand | ||||||||||||||||||
TD Securities (USA) LLC | 4.62 | (b) | 12/28/22 | Open | 1,118,700 | 1,119,131 | Corporate Bonds | Open/Demand |
106 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Counterparty | Interest Rate | Trade Date | Maturity Date | (a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | (a) | |||||||||||||||
TD Securities (USA) LLC | 4.64 | % (b) | 12/28/22 | Open | $ | 623,819 | $ | 624,060 | Corporate Bonds | Open/Demand | ||||||||||||||
TD Securities (USA) LLC | 4.67 | (b) | 12/28/22 | Open | 388,384 | 388,535 | Corporate Bonds | Open/Demand | ||||||||||||||||
TD Securities (USA) LLC | 4.67 | (b) | 12/28/22 | Open | 264,588 | 264,690 | Corporate Bonds | Open/Demand | ||||||||||||||||
TD Securities (USA) LLC | 4.67 | (b) | 12/28/22 | Open | 321,275 | 321,400 | Corporate Bonds | Open/Demand | ||||||||||||||||
TD Securities (USA) LLC | 4.67 | (b) | 12/28/22 | Open | 286,303 | 286,414 | Corporate Bonds | Open/Demand | ||||||||||||||||
TD Securities (USA) LLC | 4.67 | (b) | 12/28/22 | Open | 285,520 | 285,631 | Corporate Bonds | Open/Demand | ||||||||||||||||
TD Securities (USA) LLC | 4.67 | (b) | 12/28/22 | Open | 280,403 | 280,512 | Corporate Bonds | Open/Demand | ||||||||||||||||
Barclays Capital, Inc. | 4.75 | (b) | 12/30/22 | Open | 191,595 | 191,595 | Corporate Bonds | Open/Demand | ||||||||||||||||
$ | 274,713,779 | $ | 275,638,800 | |||||||||||||||||||||
(a) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
(b) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
10-Year U.S. Ultra Long Treasury Note | 119 | 03/22/23 | $ | 14,029 | $ | (165,639 | ) | |||||||||
2-Year U.S. Treasury Note | 1,605 | 03/31/23 | 329,025 | (212,043 | ) | |||||||||||
5-Year U.S. Treasury Note | 377 | 03/31/23 | 40,651 | (299,926 | ) | |||||||||||
(677,608 | ) | |||||||||||||||
Short Contracts | ||||||||||||||||
10-Year Japanese Government Treasury Bonds | 34 | 03/13/23 | 37,684 | 567,840 | ||||||||||||
10-Year U.S. Treasury Note | 618 | 03/22/23 | 69,303 | 524,988 | ||||||||||||
U.S. Long Bond | 148 | 03/22/23 | 18,454 | 81,716 | ||||||||||||
Ultra U.S. Treasury Bond | 65 | 03/22/23 | 8,680 | 296,502 | ||||||||||||
1,471,046 | ||||||||||||||||
$ | 793,438 | |||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 1,099,103 | GBP | 901,000 | State Street Bank and Trust Co. | 03/15/23 | $ | 7,944 | |||||||||||||
USD | 1,106,431 | GBP | 907,000 | State Street Bank and Trust Co. | 03/15/23 | 8,006 | ||||||||||||||
15,950 | ||||||||||||||||||||
USD | 876,477 | EUR | 820,000 | Bank of America N.A. | 03/15/23 | (5,501 | ) | |||||||||||||
USD | 4,577,970 | EUR | 4,283,000 | Bank of America N.A. | 03/15/23 | (28,755 | ) | |||||||||||||
USD | 124,600 | EUR | 116,430 | JPMorgan Chase Bank N.A. | 03/15/23 | (630 | ) | |||||||||||||
USD | 266,243 | EUR | 251,250 | The Bank of New York Mellon | 03/15/23 | (3,997 | ) | |||||||||||||
(38,883 | ) | |||||||||||||||||||
$ | (22,933 | ) | ||||||||||||||||||
S C H E D U L E O F IN V E S T M E N T S | 107 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
CDX.NA.HY.39.V1 | 5.00 | % | Quarterly | 12/20/27 | USD | 6,170 | $ (47,931) | $ | 190,677 | $ | (238,608 | ) | ||||||||||||||
CDX.NA.IG.39.V1 | 1.00 | Quarterly | 12/20/27 | USD | 26,250 | (219,412) | (38,915 | ) | (180,497 | ) | ||||||||||||||||
$ | (267,343 | ) | $ | 151,762 | $ | (419,105 | ) | |||||||||||||||||||
Paid by the Fund | Received by the Fund | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
3-Month LIBOR, 4.77% | Quarterly | 1.57% | Semi-Annual | N/A | 02/11/30 | USD | 5 | $ | (724 | ) | $ | 153 | $ | (877 | ) | |||||||||||||||||||
1.61% | Semi-Annual | 3-Month LIBOR, 4.77% | Quarterly | N/A | 03/28/32 | USD | 9,300 | 1,582,065 | 138 | 1,581,927 | ||||||||||||||||||||||||
1.66% | Semi-Annual | 3-Month LIBOR, 4.77% | Quarterly | N/A | 04/25/32 | USD | 9,020 | 1,589,110 | 137 | 1,588,973 | ||||||||||||||||||||||||
1-Day SOFR, 4.32% | Annual | 3.32% | Annual | N/A | 11/28/42 | USD | 4,800 | (95,596 | ) | 115 | (95,711 | ) | ||||||||||||||||||||||
1-Day SOFR, 4.32% | Annual | 3.31% | Annual | N/A | 12/01/42 | USD | 1,600 | (33,709 | ) | 39 | (33,748 | ) | ||||||||||||||||||||||
3-Month LIBOR, 4.77% | Quarterly | 1.93% | Semi-Annual | N/A | 10/22/51 | USD | 2,500 | (735,823 | ) | 76 | (735,899 | ) | ||||||||||||||||||||||
$ | 2,305,323 | $ | 658 | $ | 2,304,665 | |||||||||||||||||||||||||||||
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating | (a) | Notional Amount (000) | (b) | Value | Upfront Premium Paid (Received | ) | Unrealized Appreciation (Depreciation | ) | |||||||||||||||||||||||||||
Casino, Guichard-Perrachon S.A | 5.00 | % | Quarterly | JPMorgan Chase Bank N.A. | 06/20/23 | CCC+ | EUR | 20 | $ | (1,025 | ) | $ | (845 | ) | $ | (180 | ) | |||||||||||||||||||||||
Novafives S.A.S | 5.00 | Quarterly | Citibank N.A. | 06/20/23 | B- | EUR | 10 | (315 | ) | (333 | ) | 18 | ||||||||||||||||||||||||||||
Thyssenkrupp AG | 1.00 | Quarterly | Bank of America N.A. | 12/20/23 | BB | EUR | 20 | (444 | ) | (424 | ) | (20 | ) | |||||||||||||||||||||||||||
Virgin Media Finance PLC | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/25 | B | EUR | 10 | 396 | 836 | (440 | ) | |||||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | Bank of America N.A. | 12/20/26 | B+ | EUR | 20 | (3,026 | ) | (701 | ) | (2,325 | ) | |||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | Barclays Bank PLC | 12/20/26 | B+ | EUR | 10 | (1,537 | ) | 357 | (1,894 | ) | ||||||||||||||||||||||||||||
Jaguar Land Rover Automotive PLC | 5.00 | Quarterly | Credit Suisse International | 12/20/26 | B+ | EUR | 10 | (1,493 | ) | 368 | (1,861 | ) | ||||||||||||||||||||||||||||
K&S AG | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/26 | BB+ | EUR | 10 | 955 | 722 | 233 | ||||||||||||||||||||||||||||||
CMA CGM SA | 5.00 | Quarterly | Credit Suisse International | 06/20/27 | BB+ | EUR | 40 | 1,524 | 1,658 | (134 | ) | |||||||||||||||||||||||||||||
CMA CGM SA | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | BB+ | EUR | 10 | 381 | 331 | 50 | ||||||||||||||||||||||||||||||
CMA CGM SA | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | BB+ | EUR | 10 | 381 | 331 | 50 | ||||||||||||||||||||||||||||||
Ladbrokes Coral Group Ltd | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | BB | EUR | 10 | (786 | ) | (1,006 | ) | 220 | ||||||||||||||||||||||||||||
Ladbrokes Coral Group Ltd | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | BB | EUR | 40 | (3,143 | ) | (6,420 | ) | 3,277 | ||||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | Bank of America N.A. | 12/20/27 | CCC- | EUR | 7 | (1,861 | ) | (1,700 | ) | (161 | ) | |||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | Barclays Bank PLC | 12/20/27 | CCC- | EUR | 4 | (1,119 | ) | (1,008 | ) | (111 | ) | |||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | Barclays Bank PLC | 12/20/27 | CCC- | EUR | 12 | (3,145 | ) | (2,833 | ) | (312 | ) | |||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | Citibank N.A. | 12/20/27 | CCC- | EUR | 4 | (913 | ) | (845 | ) | (68 | ) | |||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/27 | CCC- | EUR | 8 | (1,910 | ) | (1,750 | ) | (160 | ) | |||||||||||||||||||||||||||
Morgan Stanley & Co. | ||||||||||||||||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | International PLC | 12/20/27 | CCC- | EUR | 5 | (1,384 | ) | (1,252 | ) | (132 | ) | |||||||||||||||||||||||||||
CMBX.NA.9 | 3.00 | Monthly | Credit Suisse International | 09/17/58 | N/R | USD | 2,227 | (418,340 | ) | (229,138 | ) | (189,202 | ) | |||||||||||||||||||||||||||
Morgan Stanley & Co. | ||||||||||||||||||||||||||||||||||||||||
CMBX.NA.15 | 3.00 | Monthly | International PLC | 11/15/64 | N/R | USD | 2,318 | (442,533 | ) | (434,741 | ) | (7,792 | ) | |||||||||||||||||||||||||||
$ | (879,337 | ) | $ | (678,393 | ) | $ | (200,944 | ) | ||||||||||||||||||||||||||||||||
(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. |
108 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
Centrally Cleared Swaps (a) | $ | 191,335 | $ | (38,915 | ) | $ | 3,170,900 | $ | (1,285,340 | ) | ||||||
OTC Swaps | 4,603 | (682,996 | ) | 3,848 | (204,792 | ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts (a) | $ | — | $ | — | $ | — | $ | — | $ | 1,471,046 | $ | — | $ | 1,471,046 | ||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 15,950 | — | — | 15,950 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps (a) | — | — | — | — | 3,170,900 | — | 3,170,900 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid | — | 8,451 | — | — | — | — | 8,451 | |||||||||||||||||||||
$ | — | $ | 8,451 | $ | — | $ | 15,950 | $ | 4,641,946 | $ | — | $ | 4,666,347 | |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts (a) | $ | — | $ | — | $ | — | $ | — | $ | 677,608 | $ | — | $ | 677,608 | ||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 38,883 | — | — | 38,883 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps (a) | — | 419,105 | — | — | 866,235 | — | 1,285,340 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received | — | 887,788 | — | — | — | — | 887,788 | |||||||||||||||||||||
$ | — | $ | 1,306,893 | $ | — | $ | 38,883 | $ | 1,543,843 | $ | — | $ | 2,889,619 | |||||||||||||||
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 4,631,342 | $ | — | $ | 4,631,342 | ||||||||||||||
Forward foreign currency exchange contracts | — | — | — | 1,348,459 | — | — | 1,348,459 | |||||||||||||||||||||
Options purchased (a) | — | (5,006 | ) | — | — | 1,023,225 | — | 1,018,219 | ||||||||||||||||||||
Options written | — | (2,903 | ) | — | — | (2,977,365 | ) | — | (2,980,268 | ) | ||||||||||||||||||
Swaps | — | 204,323 | — | — | 1,622,987 | — | 1,827,310 | |||||||||||||||||||||
$ | — | $ | 196,414 | $ | — | $ | 1,348,459 | $ | 4,300,189 | $ | — | $ | 5,845,062 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 1,194,806 | $ | — | $ | 1,194,806 | ||||||||||||||
Forward foreign currency exchange contracts | — | — | — | 178,076 | — | — | 178,076 | |||||||||||||||||||||
Options purchased (b) | — | — | — | — | 214,358 | — | 214,358 |
S C H E D U L E O F IN V E S T M E N T S | 109 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Options written | $ | — | $ | — | $ | — | $ | — | $ | 416,433 | $ | — | $ | 416,433 | ||||||||||||||
Swaps | — | (318,612 | ) | — | — | 1,651,181 | — | 1,332,569 | ||||||||||||||||||||
$ | — | $ | (318,612 | ) | $ | — | $ | 178,076 | $ | 3,476,778 | $ | — | $ | 3,336,242 | ||||||||||||||
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
(b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Futures contracts: | ||||
Average notional value of contracts — long | $ | 147,378,293 | ||
Average notional value of contracts — short | $ | 82,785,572 | ||
Forward foreign currency exchange contracts: | ||||
Average amounts purchased — in USD | $ | 12,500,358 | ||
Average amounts sold — in USD | $ | 298,719 | ||
Options: | ||||
Average value of option contracts purchased | $ | 2,289 | ||
Average value of option contracts written | $ | 363 | ||
Average notional value of swaption contracts purchased | $ | 12,370,253 | ||
Average notional value of swaption contracts written | $ | 64,292,626 | ||
Credit default swaps: | ||||
Average notional value — buy protection | $ | 24,831,813 | ||
Average notional value — sell protection | $ | 15,252,404 | ||
Interest rate swaps: | ||||
Average notional value — pays fixed rate | $ | 108,677,500 | ||
Average notional value — receives fixed rate | $ | 78,724,750 |
Assets | Liabilities | |||||||||||
Derivative Financial Instruments | ||||||||||||
Futures contracts | $ | 405,135 | $ | 462,006 | ||||||||
Forward foreign currency exchange contracts | 15,950 | 38,883 | ||||||||||
Swaps — centrally cleared | 16,642 | — | ||||||||||
Swaps — OTC (a) | 8,451 | 887,788 | ||||||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 446,178 | 1,388,677 | ||||||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (421,777 | ) | (462,006 | ) | ||||||||
Total derivative assets and liabilities subject to an MNA | $ | 24,401 | $ | 926,671 | ||||||||
(a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset | (a) | Non-Cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets | (b)(c) | |||||||||||||
Barclays Bank PLC | $ | 357 | $ | (357 | ) | $ | — | $ | — | $ | — | |||||||||
Citibank N.A. | 18 | (18 | ) | — | — | — | ||||||||||||||
Credit Suisse International | 2,026 | (2,026 | ) | — | — | — | ||||||||||||||
JPMorgan Chase Bank N.A. | 6,050 | (6,050 | ) | — | — | — | ||||||||||||||
State Street Bank and Trust Co. | 15,950 | — | — | — | 15,950 | |||||||||||||||
$ | 24,401 | $ | (8,451 | ) | $ | — | $ | — | $ | 15,950 | ||||||||||
110 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | 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. | $ | 39,587 | $ | — | $ | — | $ | — | $ | 39,587 | ||||||||||
Barclays Bank PLC | 6,158 | (357 | ) | — | (5,801 | ) | — | |||||||||||||
Citibank N.A. | 1,246 | (18 | ) | — | — | �� | 1,228 | |||||||||||||
Credit Suisse International | 420,335 | (2,026 | ) | — | (418,309 | ) | — | |||||||||||||
JPMorgan Chase Bank N.A. | 11,431 | (6,050 | ) | — | — | 5,381 | ||||||||||||||
Morgan Stanley & Co. International PLC | 443,917 | — | — | (443,917 | ) | — | ||||||||||||||
The Bank of New York Mellon | 3,997 | — | — | — | 3,997 | |||||||||||||||
$ | 926,671 | $ | (8,451 | ) | $ | — | $ | (868,027 | ) | $ | 50,193 | |||||||||
(a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(c) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(d) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
(e) | Net amount represents the net amount payable due to counterparty in the event of default. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 29,870,646 | $ | 1,354,025 | $ | 31,224,671 | ||||||||
Common Stocks | ||||||||||||||||
Construction & Engineering | 15,308 | — | — | 15,308 | ||||||||||||
Diversified Financial Services | — | — | 5,467 | 5,467 | ||||||||||||
Household Durables | — | — | — | — | ||||||||||||
Metals & Mining | — | 401 | 631 | 1,032 | ||||||||||||
Software | 4 | — | — | 4 | ||||||||||||
Specialty Retail | — | 201,162 | — | 201,162 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Advertising Agencies | — | 182,757 | — | 182,757 | ||||||||||||
Aerospace & Defense | — | 13,963,384 | — | 13,963,384 | ||||||||||||
Airlines | — | 6,597,414 | — | 6,597,414 | ||||||||||||
Auto Components | — | 5,197,192 | — | 5,197,192 | ||||||||||||
Automobiles | — | 7,813,711 | — | 7,813,711 | ||||||||||||
Banks | — | 3,964,497 | — | 3,964,497 | ||||||||||||
Beverages | — | 7,316,480 | — | 7,316,480 | ||||||||||||
Biotechnology | — | 91,256 | — | 91,256 | ||||||||||||
Building Materials | — | 2,586,760 | — | 2,586,760 | ||||||||||||
Building Products | — | 3,724,734 | — | 3,724,734 | ||||||||||||
Capital Markets | — | 6,738,242 | — | 6,738,242 | ||||||||||||
Chemicals | — | 8,364,224 | — | 8,364,224 | ||||||||||||
Commercial Services & Supplies | — | 3,918,228 | — | 3,918,228 | ||||||||||||
Communications Equipment | — | 2,289,840 | — | 2,289,840 | ||||||||||||
Construction Materials | — | 963,764 | — | 963,764 | ||||||||||||
Consumer Discretionary | — | 6,234,545 | — | 6,234,545 | ||||||||||||
Consumer Finance | — | 8,294,339 | — | 8,294,339 | ||||||||||||
Containers & Packaging | — | 2,207,430 | — | 2,207,430 | ||||||||||||
Diversified Consumer Services | — | 6,620,972 | — | 6,620,972 | ||||||||||||
Diversified Financial Services | — | 13,636,831 | — | 13,636,831 | ||||||||||||
Diversified Telecommunication Services | — | 12,221,651 | — | 12,221,651 | ||||||||||||
Electric Utilities | — | 2,753,182 | — | 2,753,182 | ||||||||||||
Electrical Equipment | — | 513,126 | — | 513,126 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 1,939,248 | — | 1,939,248 |
S C H E D U L E O F IN V E S T M E N T S | 111 |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Corporate Bonds (continued) | ||||||||||||||||
Energy Equipment & Services | $ | — | $ | 2,098,090 | $ | — | $ | 2,098,090 | ||||||||
Environmental, Maintenance & Security Service | — | 3,607,924 | — | 3,607,924 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | — | 5,918,110 | — | 5,918,110 | ||||||||||||
Food & Staples Retailing | — | 4,358,114 | — | 4,358,114 | ||||||||||||
Food Products | — | 2,886,130 | — | 2,886,130 | ||||||||||||
Gas Utilities | — | 77,348 | — | 77,348 | ||||||||||||
Health Care Equipment & Supplies | — | 973,713 | — | 973,713 | ||||||||||||
Health Care Providers & Services | — | 13,086,501 | — | 13,086,501 | ||||||||||||
Health Care Technology | — | 3,076,080 | — | 3,076,080 | ||||||||||||
Hotels, Restaurants & Leisure | 13,828 | 13,428,750 | — | 13,442,578 | ||||||||||||
Household Durables | — | 2,572,790 | — | 2,572,790 | ||||||||||||
Household Products | — | 319,832 | — | 319,832 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 3,826,023 | — | 3,826,023 | ||||||||||||
Insurance | — | 11,711,041 | — | 11,711,041 | ||||||||||||
Interactive Media & Services | — | 1,355,690 | — | 1,355,690 | ||||||||||||
Internet Software & Services | — | 5,020,593 | — | 5,020,593 | ||||||||||||
IT Services | — | 4,887,412 | — | 4,887,412 | ||||||||||||
Leisure Products | — | 480,318 | — | 480,318 | ||||||||||||
Machinery | — | 4,299,716 | — | 4,299,716 | ||||||||||||
Marine | — | 161,558 | — | 161,558 | ||||||||||||
Media | — | 40,536,754 | — | 40,536,754 | ||||||||||||
Metals & Mining | — | 8,127,598 | — | 8,127,598 | ||||||||||||
Multiline Retail | — | 294,302 | — | 294,302 | ||||||||||||
Multi-Utilities | — | 215,748 | — | 215,748 | ||||||||||||
Offshore Drilling & Other Services | — | 1,870,526 | — | 1,870,526 | ||||||||||||
Oil, Gas & Consumable Fuels | 77,168 | 43,693,333 | 1,198,484 | 44,968,985 | ||||||||||||
Pharmaceuticals | — | 4,367,178 | — | 4,367,178 | ||||||||||||
Real Estate | — | 89,927 | — | 89,927 | ||||||||||||
Real Estate Management & Development | — | 2,828,250 | — | 2,828,250 | ||||||||||||
Road & Rail | — | 3,740,331 | — | 3,740,331 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 6,709,628 | — | 6,709,628 | ||||||||||||
Software | — | 11,310,635 | — | 11,310,635 | ||||||||||||
Specialty Retail | — | 1,357,756 | — | 1,357,756 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 426,903 | — | 426,903 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 526,860 | — | 526,860 | ||||||||||||
Thrifts & Mortgage Finance | — | 967,526 | — | 967,526 | ||||||||||||
Transportation | — | 107,264 | — | 107,264 | ||||||||||||
Transportation Infrastructure | — | 1,225,242 | — | 1,225,242 | ||||||||||||
Utilities | — | 2,206,906 | — | 2,206,906 | ||||||||||||
Wireless Telecommunication Services | — | 5,989,343 | — | 5,989,343 | ||||||||||||
Floating Rate Loan Interests | — | 264,094,913 | 3,710,331 | 267,805,244 | ||||||||||||
Foreign Agency Obligations | — | 6,364,990 | — | 6,364,990 | ||||||||||||
Investment Companies | 4,732,186 | — | — | 4,732,186 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 15,555,212 | 384,933 | 15,940,145 | ||||||||||||
Other Interests | — | — | — | — | ||||||||||||
Preferred Securities | ||||||||||||||||
Capital Trusts | ||||||||||||||||
Aerospace & Defense | 105,258 | — | — | 105,258 | ||||||||||||
Automobiles | — | 308,927 | — | 308,927 | ||||||||||||
Banks | — | 5,841,726 | — | 5,841,726 | ||||||||||||
Capital Markets | — | 2,504,971 | — | 2,504,971 | ||||||||||||
Diversified Financial Services | — | 12,636,494 | — | 12,636,494 | ||||||||||||
Diversified Telecommunication Services | — | 109,186 | — | 109,186 | ||||||||||||
Electric Utilities | — | 1,735,649 | — | 1,735,649 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 218,384 | — | 218,384 | ||||||||||||
Media | — | 84,951 | — | 84,951 | ||||||||||||
Oil, Gas & Consumable Fuels | — | 90,346 | — | 90,346 | ||||||||||||
Utilities | — | 174,579 | — | 174,579 | ||||||||||||
Wireless Telecommunication Services | — | 93,842 | — | 93,842 | ||||||||||||
Preferred Stocks | 9,215,218 | — | — | 9,215,218 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 48,874,509 | — | 48,874,509 | ||||||||||||
U.S. Treasury Obligations | — | 12,239,258 | — | 12,239,258 | ||||||||||||
Warrants | 4,347 | — | — | 4,347 |
112 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2022 | BlackRock Limited Duration Income Trust (BLW) |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Short-Term Securities | ||||||||||||||||
Money Market Funds | $ | 1,474,663 | $ | — | $ | — | $ | 1,474,663 | ||||||||
U.S. Government Sponsored Agency Securities | — | 308 | — | 308 | ||||||||||||
Liabilities | ||||||||||||||||
Investments | ||||||||||||||||
TBA Sale Commitments | — | (4,192,818 | ) | — | (4,192,818 | ) | ||||||||||
Unfunded Floating Rate Loan Interests (a) | — | (31,405 | ) | — | (31,405 | ) | ||||||||||
$ | 15,637,980 | $ | 745,647,781 | $ | 6,653,871 | 767,939,632 | ||||||||||
Investments Valued at NAV (b) | 2,282 | |||||||||||||||
$ | 767,941,914 | |||||||||||||||
Derivative Financial Instruments (c) | ||||||||||||||||
Assets | ||||||||||||||||
Credit Contracts | $ | — | $ | 3,848 | $ | — | $ | 3,848 | ||||||||
Foreign Currency Exchange Contracts | — | 15,950 | — | 15,950 | ||||||||||||
Interest Rate Contracts | 1,471,046 | 3,170,900 | — | 4,641,946 | ||||||||||||
Liabilities | ||||||||||||||||
Credit Contracts | — | (623,897 | ) | — | (623,897 | ) | ||||||||||
Foreign Currency Exchange Contracts | — | (38,883 | ) | — | (38,883 | ) | ||||||||||
Interest Rate Contracts | (677,608 | ) | (866,235 | ) | — | (1,543,843 | ) | |||||||||
$ | 793,438 | $ | 1,661,683 | $ | — | $ | 2,455,121 | |||||||||
(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. |
Asset-Backed Securities | Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Non-Agency Mortgage-Backed Securities | Other Interests | Unfunded Floating Rate Loan Interests | Total | |||||||||||||||||||||||||||||||||||||
Assets/Liabilities | ||||||||||||||||||||||||||||||||||||||||||||
Opening balance, as of December 31, 2021 | $ | 1,084,298 | $ | 5,841 | $ | 1,347,279 | $ | 6,516,371 | $ | — | $ | — | (a) | $ | (127 | ) | $ | 8,953,662 | ||||||||||||||||||||||||||
Transfers into Level 3 | — | — | — | 3,106,748 | — | — | — | 3,106,748 | ||||||||||||||||||||||||||||||||||||
Transfers out of Level 3 | — | — | — | (3,747,212 | ) | — | — | 127 | (3,747,085 | ) | ||||||||||||||||||||||||||||||||||
Accrued discounts/premiums | (49,868 | ) | — | — | 3,603 | — | — | — | (46,265 | ) | ||||||||||||||||||||||||||||||||||
Net realized gain (loss) | — | — | — | (2,398 | ) | 119 | — | — | (2,279 | ) | ||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) (b)(c) | (83,991 | ) | 257 | (112,080 | ) | (248,973 | ) | 7,757 | — | — | (437,030 | ) | ||||||||||||||||||||||||||||||||
Purchases | 492,500 | — | — | 1,139,634 | 378,706 | — | — | 2,010,840 | ||||||||||||||||||||||||||||||||||||
Sales | (88,914 | ) | — | (36,715 | ) | (3,057,442 | ) | (1,649 | ) | — | — | (3,184,720 | ) | |||||||||||||||||||||||||||||||
Closing balance, as of December 31, 2022 | $ | 1,354,025 | $ | 6,098 | $ | 1,198,484 | $ | 3,710,331 | $ | 384,933 | $ | — | (a) | $ | — | $ | 6,653,871 | |||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2022 (c) | $ | (85,310 | ) | $ | 257 | $ | (112,080 | ) | $ | (223,059 | ) | $ | 7,757 | $ | — | $ | — | $ | (412,435 | ) | ||||||||||||||||||||||||
(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, 2022 is generally due to investments no longer held or categorized as Level 3 at period end. |
S C H E D U L E O F IN V E S T M E N T S | 113 |
DSU | FRA | BKT | BLW | |||||||||||||
ASSETS | ||||||||||||||||
Investments, at value — unaffiliated (a) | $ | 638,698,802 | $ | 588,013,286 | $ | 428,716,948 | $ | 770,691,474 | ||||||||
Investments, at value — affiliated (b) | 482,274 | 736,300 | 5,814,963 | 1,474,663 | ||||||||||||
Cash | 4,015,984 | 3,186,869 | — | 2,066,594 | ||||||||||||
Cash pledged: | ||||||||||||||||
Collateral — reverse repurchase agreements | — | — | — | 1,207,198 | ||||||||||||
Collateral — OTC derivatives | 30,000 | — | — | 890,000 | ||||||||||||
Futures contracts | — | — | 1,130,260 | 2,377,470 | ||||||||||||
Centrally cleared swaps | 369,000 | 429,000 | 1,000 | 1,024,000 | ||||||||||||
Foreign currency, at value (c) | 4,059 | 1,024 | — | 515,340 | ||||||||||||
Receivables: | ||||||||||||||||
Investments sold | 6,913,627 | 7,273,770 | 1,316 | 3,604,251 | ||||||||||||
Reverse repurchase agreements | — | — | — | 191,595 | ||||||||||||
TBA sale commitments | — | — | 199,664 | 4,248,367 | ||||||||||||
Dividends — unaffiliated | — | — | — | 71,033 | ||||||||||||
Dividends — affiliated | 7,215 | 3,976 | 28,554 | 11,303 | ||||||||||||
Interest — unaffiliated | 4,087,371 | 2,756,295 | 3,045,882 | 8,043,786 | ||||||||||||
Due from broker | — | — | — | 1,220,000 | ||||||||||||
Principal paydowns | 1,584 | — | — | — | ||||||||||||
Variation margin on futures contracts | — | — | 278,672 | 405,135 | ||||||||||||
Variation margin on centrally cleared swaps | 14 | 14 | 36 | 16,642 | ||||||||||||
Swap premiums paid | 1,949 | — | — | 4,603 | ||||||||||||
Unrealized appreciation on: | ||||||||||||||||
Forward foreign currency exchange contracts | 18,400 | 20,322 | — | 15,950 | ||||||||||||
OTC swaps | 764 | — | — | 3,848 | ||||||||||||
Deferred offering costs | 99,943 | 9,048 | 115,813 | 110,250 | ||||||||||||
Prepaid expenses | 4,079 | 3,771 | 17,232 | 3,938 | ||||||||||||
Total assets | 654,735,065 | 602,433,675 | 439,350,340 | 798,197,440 | ||||||||||||
LIABILITIES | ||||||||||||||||
Bank overdraft | — | — | 878 | — | ||||||||||||
Cash received: | ||||||||||||||||
Collateral — reverse repurchase agreements | — | — | — | 294,376 | ||||||||||||
Collateral — TBA commitments | — | — | 2,152,000 | — | ||||||||||||
Borrowed bonds, at value (d) | — | — | 735,033 | — | ||||||||||||
TBA sale commitments, at value (e) | — | — | 197,044 | 4,192,818 | ||||||||||||
Reverse repurchase agreements, at value | — | — | 115,763,576 | 275,638,800 | ||||||||||||
Payables: | ||||||||||||||||
Investments purchased | 2,443,199 | 2,893,469 | 39,580,831 | 32,579,785 | ||||||||||||
Reverse repurchase agreements | — | — | — | 391,480 | ||||||||||||
Accounting services fees | 35,584 | 33,614 | 25,153 | 38,322 | ||||||||||||
Administration fees | — | — | 36,378 | — | ||||||||||||
Bank borrowings | 164,000,000 | 147,000,000 | — | — | ||||||||||||
Custodian fees | 16,999 | 17,861 | 7,969 | 30,523 | ||||||||||||
Interest expense and fees | 793,101 | 699,840 | 1,251 | — | ||||||||||||
Investment advisory fees | 309,026 | 386,084 | 157,136 | 358,207 | ||||||||||||
Offering costs | — | — | — | 8,226 | ||||||||||||
Directors’ and Officer’s fees | 313,570 | 571 | 172,341 | 387,368 | ||||||||||||
Other accrued expenses | 54,972 | 19,407 | 17,416 | 70,313 | ||||||||||||
Principal payups | — | — | 1,257,182 | 62,569 | ||||||||||||
Professional fees | 101,961 | 123,363 | 84,854 | 113,979 | ||||||||||||
Transfer agent fees | 29,107 | 20,025 | 23,349 | 23,389 | ||||||||||||
Variation margin on futures contracts | — | — | 103,264 | 462,006 | ||||||||||||
Swap premiums received | 6,542 | — | — | 682,996 | ||||||||||||
Unrealized depreciation on: | ||||||||||||||||
Forward foreign currency exchange contracts | 16,242 | 3,437 | — | 38,883 | ||||||||||||
OTC swaps | 7,225 | — | — | 204,792 | ||||||||||||
Unfunded floating rate loan interests | 42,384 | 48,486 | — | 31,405 | ||||||||||||
Total liabilities | 168,169,912 | 151,246,157 | 160,315,655 | 315,610,237 | ||||||||||||
NET ASSETS | $ | 486,565,153 | $ | 451,187,518 | $ | 279,034,685 | $ | 482,587,203 | ||||||||
114 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
DSU | FRA | BKT | BLW | |||||||||||||
NET ASSETS CONSIST OF | ||||||||||||||||
Paid-in capital (f)(g)(h) | $ | 652,300,917 | $ | 538,835,342 | $ | 442,873,904 | $ | 618,119,596 | ||||||||
Accumulated loss | (165,735,764 | ) | (87,647,824 | ) | (163,839,219 | ) | (135,532,393 | ) | ||||||||
NET ASSETS | $ | 486,565,153 | $ | 451,187,518 | $ | 279,034,685 | $ | 482,587,203 | ||||||||
Net asset value (f)(g)(h) | $ | 10.44 | $ | 12.81 | $ | 13.10 | (i) | $ | 13.51 | |||||||
(a) Investments, at cost — unaffiliated | $ | 702,238,011 | $ | 625,326,331 | $ | 492,956,126 | $ | 841,635,598 | ||||||||
(b) Investments, at cost — affiliated | $ | 482,274 | $ | 719,537 | $ | 5,814,963 | $ | 1,474,663 | ||||||||
(c) Foreign currency, at cost | $ | 4,049 | $ | 1,016 | $ | — | $ | 514,276 | ||||||||
(d) Proceeds received from borrowed bonds | $ | — | $ | — | $ | 842,347 | $ | — | ||||||||
(e) Proceeds from TBA sale commitments | $ | — | $ | — | $ | 199,664 | $ | 4,248,367 | ||||||||
(f) Shares outstanding | 46,610,312 | 35,232,197 | 21,304,278 | 35,711,253 | ||||||||||||
(g) Shares authorized | 400 million | 200 million | 200 million | Unlimited | ||||||||||||
(h) Par value | $ | 0.10 | $ | 0.10 | $ | 0.010 | $ | 0.001 | ||||||||
(i) Shares outstanding and net asset value per share 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. |
F I N A N C I A L ST A T E M E N T S | 115 |
DSU | FRA | BKT | BLW | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividends — unaffiliated | $ | 29,070 | $ | 58,889 | $ | — | $ | 667,305 | ||||||||
Dividends — affiliated | 49,288 | 16,245 | 130,377 | 66,945 | ||||||||||||
Interest — unaffiliated | 42,508,039 | 38,919,929 | 14,199,208 | 44,153,947 | ||||||||||||
Other income — unaffiliated | 499,384 | 525,581 | — | 221,673 | ||||||||||||
Total investment income | 43,085,781 | 39,520,644 | 14,329,585 | 45,109,870 | ||||||||||||
EXPENSES | ||||||||||||||||
Investment advisory | 3,959,864 | 4,941,913 | 2,031,168 | 4,467,146 | ||||||||||||
Professional | 107,361 | 90,896 | 191,815 | 103,328 | ||||||||||||
Accounting services | 77,873 | 91,871 | 64,576 | 105,934 | ||||||||||||
Custodian | 45,404 | 50,728 | 37,203 | 111,856 | ||||||||||||
Printing and postage | 17,991 | 17,527 | 12,804 | 33,708 | ||||||||||||
Registration | 14,313 | 11,365 | 20,976 | 11,663 | ||||||||||||
Transfer agent | 3,645 | 60,824 | 118,444 | 69,567 | ||||||||||||
Administration | — | — | 468,731 | — | ||||||||||||
Directors and Officer | — | 24,770 | — | — | ||||||||||||
Miscellaneous | 34,000 | 16,561 | 22,129 | 36,664 | ||||||||||||
Total expenses excluding interest expense | 4,260,451 | 5,306,455 | 2,967,846 | 4,939,866 | ||||||||||||
Interest expense and fees | 5,302,553 | 4,752,320 | 2,176,479 | 5,608,007 | ||||||||||||
Total expenses | 9,563,004 | 10,058,775 | 5,144,325 | 10,547,873 | ||||||||||||
Less: | ||||||||||||||||
Fees waived and/or reimbursed by the Manager | (1,925 | ) | (1,049 | ) | (5,297 | ) | (2,971 | ) | ||||||||
Total expenses after fees waived and/or reimbursed | 9,561,079 | 10,057,726 | 5,139,028 | 10,544,902 | ||||||||||||
Net investment income | 33,524,702 | 29,462,918 | 9,190,557 | 34,564,968 | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments — unaffiliated | (9,966,210 | ) | (6,848,764 | ) | (7,337,425 | ) | (34,140,270 | ) | ||||||||
Forward foreign currency exchange contracts | 600,851 | 312,043 | — | 1,348,459 | ||||||||||||
Foreign currency transactions | 8,212 | 21,074 | — | 218,761 | ||||||||||||
Futures contracts | (374 | ) | — | 2,390,388 | 4,631,342 | |||||||||||
Options written | — | — | — | (2,980,268 | ) | |||||||||||
Swaps | 14,460 | 14,580 | 2,925,079 | 1,827,310 | ||||||||||||
(9,343,061 | ) | (6,501,067 | ) | (2,021,958 | ) | (29,094,666 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments — unaffiliated | (43,912,857 | ) | (32,328,273 | ) | (67,553,120 | ) | (74,537,105 | ) | ||||||||
Investments — affiliated | — | 16,763 | — | — | ||||||||||||
Borrowed bonds | — | — | 310,061 | — | ||||||||||||
Forward foreign currency exchange contracts | 90,227 | 91,334 | — | 178,076 | ||||||||||||
Foreign currency translations | (1,422 | ) | (2,618 | ) | — | (46,363 | ) | |||||||||
Futures contracts | — | — | (103,319 | ) | 1,194,806 | |||||||||||
Options written | — | — | — | 416,433 | ||||||||||||
Swaps | (57,967 | ) | (39,474 | ) | 343,085 | 1,332,569 | ||||||||||
Unfunded floating rate loan interests | (41,126 | ) | (47,116 | ) | — | (31,507 | ) | |||||||||
(43,923,145 | ) | (32,309,384 | ) | (67,003,293 | ) | (71,493,091 | ) | |||||||||
Net realized and unrealized loss | (53,266,206 | ) | (38,810,451 | ) | (69,025,251 | ) | (100,587,757 | ) | ||||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (19,741,504 | ) | $ | (9,347,533 | ) | $ | (59,834,694 | ) | $ | (66,022,789 | ) | ||||
116 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
DSU | FRA | |||||||||||||||
Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/22 | Year Ended 12/31/21 | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income | $ | 33,524,702 | $ | 28,307,179 | $ | 29,462,918 | $ | 23,442,141 | ||||||||
Net realized gain (loss) | (9,343,061 | ) | 8,095,408 | (6,501,067 | ) | 6,531,134 | ||||||||||
Net change in unrealized appreciation (depreciation) | (43,923,145 | ) | (2,024,097 | ) | (32,309,384 | ) | (741,676 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | (19,741,504 | ) | 34,378,490 | (9,347,533 | ) | 29,231,599 | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS (a) | ||||||||||||||||
From net investment income | (31,579,170 | ) | (28,723,773 | ) | (27,297,906 | ) | (23,507,568 | ) | ||||||||
Return of capital | (838,309 | ) | (5,103,734 | ) | — | (4,692,282 | ) | |||||||||
Decrease in net assets resulting from distributions to shareholders | (32,417,479 | ) | (33,827,507 | ) | (27,297,906 | ) | (28,199,850 | ) | ||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
Reinvestment of distributions | 43,132 | 171,418 | — | — | ||||||||||||
Redemption of shares resulting from share repurchase program (including transaction costs) | — | — | — | (1,250,043 | ) | |||||||||||
Net increase (decrease) in net assets derived from capital share transactions | 43,132 | 171,418 | �� | — | (1,250,043 | ) | ||||||||||
NET ASSETS | ||||||||||||||||
Total increase (decrease) in net assets | (52,115,851 | ) | 722,401 | (36,645,439 | ) | (218,294 | ) | |||||||||
Beginning of year | 538,681,004 | 537,958,603 | 487,832,957 | 488,051,251 | ||||||||||||
End of year | $ | 486,565,153 | $ | 538,681,004 | $ | 451,187,518 | $ | 487,832,957 | ||||||||
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
F I N A N C I A L ST A T E M E N T S | 117 |
BKT | BLW | |||||||||||||||
Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/22 | Year Ended 12/31/21 | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income | $ | 9,190,557 | $ | 14,986,442 | $ | 34,564,968 | $ | 35,675,687 | ||||||||
Net realized gain (loss) | (2,021,958 | ) | 3,553,479 | (29,094,666 | ) | 12,937,429 | ||||||||||
Net change in unrealized appreciation (depreciation) | (67,003,293 | ) | (26,249,597 | ) | (71,493,091 | ) | (24,223,210 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | (59,834,694 | ) | (7,709,676 | ) | (66,022,789 | ) | 24,389,906 | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS (a) | ||||||||||||||||
From net investment income | (10,487,125 | ) | (18,883,406 | ) | (32,930,219 | ) | (36,216,307 | ) | ||||||||
Return of capital | (11,460,544 | ) | (7,473,844 | ) | (5,605,804 | ) | (5,785,872 | ) | ||||||||
Decrease in net assets resulting from distributions to shareholders | (21,947,669 | ) | (26,357,250 | ) | (38,536,023 | ) | (42,002,179 | ) | ||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
Reinvestment of distributions | 64,960 | 623,562 | — | 825,681 | ||||||||||||
NET ASSETS | ||||||||||||||||
Total decrease in net assets | (81,717,403 | ) | (33,443,364 | ) | (104,558,812 | ) | (16,786,592 | ) | ||||||||
Beginning of year | 360,752,088 | 394,195,452 | 587,146,015 | 603,932,607 | ||||||||||||
End of year | $ | 279,034,685 | $ | 360,752,088 | $ | 482,587,203 | $ | 587,146,015 | ||||||||
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
118 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
DSU | FRA | BKT | BLW | |||||||||||||
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES | ||||||||||||||||
Net decrease in net assets resulting from operations | $ | (19,741,504 | ) | $ | (9,347,533 | ) | $ | (59,834,694 | ) | $ | (66,022,789 | ) | ||||
Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities: | ||||||||||||||||
Proceeds from sales of long-term investments and principal paydowns/payups | 232,663,016 | 196,655,211 | 1,241,829,802 | 679,652,988 | ||||||||||||
Purchases of long-term investments | (145,218,335 | ) | (117,485,161 | ) | (1,253,359,594 | ) | (645,649,087 | ) | ||||||||
Net proceeds from sales (purchases) of short-term securities | (46,282 | ) | — | 7,022,597 | 3,686,099 | |||||||||||
Amortization of premium and accretion of discount on investments and other fees | (1,158,528 | ) | (1,174,865 | ) | 12,116,001 | (322,115 | ) | |||||||||
Paid-in-kind income | (220,746 | ) | (358,643 | ) | — | (267,081 | ) | |||||||||
Premiums paid on closing options written | — | — | — | (7,982,398 | ) | |||||||||||
Premiums received from options written | — | — | — | 1,524,357 | ||||||||||||
Net realized loss on investments and options written | 9,977,212 | 6,858,260 | 7,387,251 | 36,615,006 | ||||||||||||
Net unrealized depreciation on investments, options written, swaps, borrowed bonds, foreign currency translations and unfunded floating rate loan interests | 43,884,124 | 32,267,292 | 67,738,619 | 74,011,711 | ||||||||||||
(Increase) Decrease in Assets | ||||||||||||||||
Receivables | ||||||||||||||||
Dividends — affiliated | (7,205 | ) | (3,974 | ) | (27,693 | ) | (11,264 | ) | ||||||||
Dividends — unaffiliated | — | — | — | 1 | ||||||||||||
Interest — unaffiliated | (709,592 | ) | (664,040 | ) | (1,002,977 | ) | 458,115 | |||||||||
Variation margin on futures contracts | — | — | (266,100 | ) | (364,936 | ) | ||||||||||
Variation margin on centrally cleared swaps | 9,048 | 10,138 | (36 | ) | (16,642 | ) | ||||||||||
Swap premiums paid | (1,809 | ) | — | — | (194 | ) | ||||||||||
Prepaid expenses | (1,290 | ) | (480 | ) | (14,971 | ) | 314 | |||||||||
Deferred offering costs | (99,943 | ) | (9,048 | ) | (115,813 | ) | (110,250 | ) | ||||||||
Increase (Decrease) in Liabilities | ||||||||||||||||
Cash received | ||||||||||||||||
Collateral — reverse repurchase agreements | — | — | — | 29,911 | ||||||||||||
Collateral — OTC derivatives | — | — | (500,000 | ) | — | |||||||||||
Collateral — TBA commitments | — | — | 2,152,000 | — | ||||||||||||
Payables | ||||||||||||||||
Accounting services fees | (2,755 | ) | (1,838 | ) | (2,109 | ) | (4,778 | ) | ||||||||
Administration fees | — | — | (10,133 | ) | — | |||||||||||
Custodian fees | 3,689 | 2,337 | 908 | (1,886 | ) | |||||||||||
Interest expense and fees | 567,210 | 508,281 | 553,409 | 400,136 | ||||||||||||
Investment advisory fees | (57,524 | ) | (64,000 | ) | (44,164 | ) | (62,559 | ) | ||||||||
Directors’ and Officer’s fees | (125,937 | ) | (1,464 | ) | (130,893 | ) | (163,098 | ) | ||||||||
Other accrued expenses | 6,890 | (6,226 | ) | (9,014 | ) | 20,861 | ||||||||||
Professional fees | (6,771 | ) | (24,028 | ) | (5,781 | ) | (24,402 | ) | ||||||||
Transfer agent fees | (95,777 | ) | 11,802 | 10,863 | 10,504 | |||||||||||
Variation margin on futures contracts | — | — | 30,862 | 404,035 | ||||||||||||
Variation margin on centrally cleared swaps | — | — | (4,232 | ) | (26,424 | ) | ||||||||||
Swap premiums received | (16,685 | ) | — | — | (1,391,403 | ) | ||||||||||
Net cash provided by operating activities | 119,600,506 | 107,172,021 | 23,514,108 | 74,392,732 | ||||||||||||
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES | ||||||||||||||||
Cash dividends paid to shareholders | (35,194,046 | ) | (29,647,894 | ) | (24,080,909 | ) | (42,039,297 | ) | ||||||||
Payments for offering costs | — | — | — | 8,226 | ||||||||||||
Payments for bank borrowings | (154,000,000 | ) | (159,000,000 | ) | — | — | ||||||||||
Proceeds from bank borrowings | 70,000,000 | 83,000,000 | — | — | ||||||||||||
Increase in bank overdraft | — | — | 878 | — | ||||||||||||
Net borrowing of reverse repurchase agreements | — | — | 8,923 | (36,927,259 | ) | |||||||||||
Net cash used for financing activities | (119,194,046 | ) | (105,647,894 | ) | (24,071,108 | ) | (78,958,330 | ) | ||||||||
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS | ||||||||||||||||
Cash impact from foreign exchange fluctuations | (129 | ) | 4 | — | 6,793 | |||||||||||
F I N A N C I A L ST A T E M E N T S | 119 |
DSU | FRA | BKT | BLW | |||||||||||||
CASH AND FOREIGN CURRENCY | ||||||||||||||||
Net increase (decrease) in restricted and unrestricted cash and foreign currency | $ | 406,331 | $ | 1,524,131 | $ | (557,000 | ) | $ | (4,558,805 | ) | ||||||
Restricted and unrestricted cash and foreign currency at beginning of year | 4,012,712 | 2,092,762 | 1,688,260 | 13,859,407 | ||||||||||||
Restricted and unrestricted cash and foreign currency at end of year | $ | 4,419,043 | $ | 3,616,893 | $ | 1,131,260 | $ | 9,300,602 | ||||||||
SUPPLEMENTAL DISCLOSURE OFCASH FLOW INFORMATION | ||||||||||||||||
Cash paid during the year for interest expense | $ | 4,735,343 | $ | 4,244,039 | $ | 1,623,070 | $ | 5,207,871 | ||||||||
NON-CASH FINANCING ACTIVITIES | ||||||||||||||||
Reinvestment of distributions | $ | 43,132 | $ | — | $ | 64,960 | $ | — | ||||||||
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||||||
Cash | $ | 4,015,984 | $ | 3,186,869 | $ | — | $ | 2,066,594 | ||||||||
Cash pledged | ||||||||||||||||
Collateral — reverse repurchase agreements | — | — | — | 1,207,198 | ||||||||||||
Collateral — OTC derivatives | 30,000 | — | — | 890,000 | ||||||||||||
Futures contracts | — | — | 1,130,260 | 2,377,470 | ||||||||||||
Centrally cleared swaps | 369,000 | 429,000 | 1,000 | 1,024,000 | ||||||||||||
Foreign currency at value | 4,059 | 1,024 | — | 515,340 | ||||||||||||
Due from broker | — | — | — | 1,220,000 | ||||||||||||
$ | 4,419,043 | $ | 3,616,893 | $ | 1,131,260 | $ | 9,300,602 | |||||||||
120 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
DSU | ||||||||||||||||||||||||||||||||||||||||||||||
Period from | ||||||||||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | 03/01/19 | Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||||
12/31/22 | 12/31/21 | 12/31/20 | to 12/31/19 | 02/28/19 | 02/28/18 | (a) | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.56 | $ | 11.55 | $ | 12.25 | $ | 12.16 | $ | 12.62 | $ | 12.70 | ||||||||||||||||||||||||||||||||||
Net investment income (b) | 0.72 | 0.61 | 0.63 | 0.64 | 0.79 | 0.78 | ||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.14 | ) | 0.13 | (0.50 | ) | 0.21 | (0.43 | ) | (0.04 | ) | ||||||||||||||||||||||||||||||||||||
Net increase (decrease) from investment operations | (0.42 | ) | 0.74 | 0.13 | 0.85 | 0.36 | 0.74 | |||||||||||||||||||||||||||||||||||||||
Distributions (c) | ||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.68 | ) | (0.62 | ) | (0.61 | ) | (0.73 | ) | (0.82 | ) | (0.82 | ) | ||||||||||||||||||||||||||||||||||
Return of capital | (0.02 | ) | (0.11 | ) | (0.22 | ) | (0.03 | ) | — | — | ||||||||||||||||||||||||||||||||||||
Total distributions | (0.70 | ) | (0.73 | ) | (0.83 | ) | (0.76 | ) | (0.82 | ) | (0.82 | ) | ||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 10.44 | $ | 11.56 | $ | 11.55 | $ | 12.25 | $ | 12.16 | $ | 12.62 | ||||||||||||||||||||||||||||||||||
Market price, end of period | $ | 9.20 | $ | 11.70 | $ | 10.45 | $ | 11.20 | $ | 10.78 | $ | 11.47 | ||||||||||||||||||||||||||||||||||
Total Return (d) | ||||||||||||||||||||||||||||||||||||||||||||||
Based on net asset value | (2.97 | )% | 6.67 | % | 2.57 | % | 8.03 | % (e) | 3.86 | % | 6.60 | % (f) | ||||||||||||||||||||||||||||||||||
Based on market price | (15.51 | )% | 19.33 | % | 1.50 | % | 11.42 | % (e) | 1.30 | % | 5.35 | % | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets (g) | ||||||||||||||||||||||||||||||||||||||||||||||
Total expenses | 1.90 | % | 1.34 | % | 1.48 | % | 2.21 | % (h)(i) | 2.23 | % | 1.86 | % | ||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed | 1.90 | % | 1.34 | % | 1.47 | % | 2.21 | % (h)(i) | 2.23 | % | 1.85 | % | ||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees | 0.84 | % | 0.92 | % | 0.91 | % | 0.92 | % (h) | 0.96 | % | 0.94 | % | ||||||||||||||||||||||||||||||||||
Net investment income | 6.65 | % | 5.21 | % | 5.65 | % | 6.25 | % (h) | 6.40 | % | 6.12 | % | ||||||||||||||||||||||||||||||||||
Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 486,565 | $ | 538,681 | $ | 537,959 | $ | 605,240 | $ | 641,220 | $ | 742,204 | ||||||||||||||||||||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 164,000 | $ | 248,000 | $ | 229,000 | $ | 262,000 | $ | 278,000 | $ | 338,000 | ||||||||||||||||||||||||||||||||||
Asset coverage, end of period per $1,000 of bank borrowings (j) | $ | 3,967 | $ | 3,172 | $ | 3,349 | $ | 3,310 | $ | 3,308 | $ | 3,196 | ||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 18 | % | 47 | % | 67 | % | 53 | % | 62 | % | 59 | % | ||||||||||||||||||||||||||||||||||
(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) | Not annualized. |
(f) | Includes payment from an affiliate, which had no impact on the Fund’s total return. |
(g) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(h) | Annualized. |
(i) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%. |
(j) | 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. |
F I N A N C I A L HI G H L I G H T S | 121 |
FRA | ||||||||||||||||||||||||||||||||||||||||||||||
Period from | ||||||||||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | 09/01/19 | Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||||
12/31/22 | 12/31/21 | 12/31/20 | to 12/31/19 | 08/31/19 | 08/31/18 | (a) | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.85 | $ | 13.81 | $ | 14.55 | $ | 14.49 | $ | 14.92 | $ | 14.93 | ||||||||||||||||||||||||||||||||||
Net investment income (b) | 0.84 | 0.67 | 0.69 | 0.25 | 0.84 | 0.79 | ||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.11 | ) | 0.17 | (0.51 | ) | 0.19 | (0.40 | ) | (0.06 | ) | ||||||||||||||||||||||||||||||||||||
Net increase (decrease) from investment operations | (0.27 | ) | 0.84 | 0.18 | 0.44 | 0.44 | 0.73 | |||||||||||||||||||||||||||||||||||||||
Distributions (c) | ||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.77 | ) | (0.67 | ) | (0.70 | ) | (0.38 | ) | (0.87 | ) | (0.74 | ) | ||||||||||||||||||||||||||||||||||
Return of capital | — | (0.13 | ) | (0.22 | ) | — | — | — | ||||||||||||||||||||||||||||||||||||||
Total distributions | (0.77 | ) | (0.80 | ) | (0.92 | ) | (0.38 | ) | (0.87 | ) | (0.74 | ) | ||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 12.81 | $ | 13.85 | $ | 13.81 | $ | 14.55 | $ | 14.49 | $ | 14.92 | ||||||||||||||||||||||||||||||||||
Market price, end of period | $ | 11.26 | $ | 13.43 | $ | 12.11 | $ | 13.44 | $ | 12.46 | $ | 13.80 | ||||||||||||||||||||||||||||||||||
Total Return (d) | ||||||||||||||||||||||||||||||||||||||||||||||
Based on net asset value | (1.34 | )% | 6.48 | % | 2.76 | % | 3.41 | % (e) | 3.94 | % | 5.28 | % | ||||||||||||||||||||||||||||||||||
Based on market price | (10.57 | )% | 17.74 | % | (2.45 | )% | 11.08 | % (e) | (3.37 | )% | 3.11 | % | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets (f) | ||||||||||||||||||||||||||||||||||||||||||||||
Total expenses | 2.17 | % | 1.55 | % | 1.69 | % | 2.20 | % (g)(h) | 2.45 | % | 2.23 | % | ||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed | 2.17 | % | 1.54 | % | 1.67 | % | 2.20 | % (g)(h) | 2.45 | % | 2.22 | % | ||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees | 1.15 | % | 1.14 | % | 1.13 | % | 1.19 | % (g) | 1.16 | % | 1.20 | % | ||||||||||||||||||||||||||||||||||
Net investment income | 6.36 | % | 4.76 | % | 5.15 | % | 5.26 | % (g) | 5.74 | % | 5.27 | % | ||||||||||||||||||||||||||||||||||
Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 451,188 | $ | 487,833 | $ | 488,051 | $ | 522,545 | $ | 526,447 | $ | 555,370 | ||||||||||||||||||||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 147,000 | $ | 223,000 | $ | 208,000 | $ | 214,000 | $ | 204,000 | $ | 233,000 | ||||||||||||||||||||||||||||||||||
Asset coverage, end of period per $1,000 of bank borrowings (i) | $ | 4,069 | $ | 3,188 | $ | 3,346 | $ | 3,342 | $ | 3,582 | $ | 3,385 | ||||||||||||||||||||||||||||||||||
Portfolio turnover rate | 14 | % | 49 | % | 65 | % | 16 | % | 53 | % | 57 | % | ||||||||||||||||||||||||||||||||||
(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) | 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 2.23%. |
(i) | 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. |
122 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
BKT | ||||||||||||||||||||||||||||||||||||||||||||||||||
Period from | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | 09/01/18 | Year Ended | |||||||||||||||||||||||||||||||||||||||||||||
12/31/22 | (a) | 12/31/21 | (a) | 12/31/20 | (a) | 12/31/19 | (a) | to 12/31/18 | (a) | 08/31/18 | (a) | |||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.94 | $ | 18.54 | $ | 18.89 | $ | 18.75 | $ | 18.94 | $ | 20.21 | ||||||||||||||||||||||||||||||||||||||
Net investment income (b) | 0.43 | 0.70 | 0.86 | 0.75 | 0.25 | 0.72 | ||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (3.24 | ) | (1.06 | ) | 0.02 | 0.63 | 0.07 | (1.02 | ) | |||||||||||||||||||||||||||||||||||||||||
Net increase (decrease) from investment operations | (2.81 | ) | (0.36 | ) | 0.88 | 1.38 | 0.32 | (0.30 | ) | |||||||||||||||||||||||||||||||||||||||||
Distributions (c) | ||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.49 | ) | (0.89 | ) | (1.01 | ) | (0.89 | ) | (0.40 | ) | (0.90 | ) | ||||||||||||||||||||||||||||||||||||||
Return of capital | (0.54 | ) | (0.35 | ) | (0.22 | ) | (0.35 | ) | (0.11 | ) | (0.07 | ) | ||||||||||||||||||||||||||||||||||||||
Total distributions | (1.03 | ) | (1.24 | ) | (1.23 | ) | (1.24 | ) | (0.51 | ) | (0.97 | ) | ||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 13.10 | $ | 16.94 | $ | 18.54 | $ | 18.89 | $ | 18.75 | $ | 18.94 | ||||||||||||||||||||||||||||||||||||||
Market price, end of period | $ | 12.34 | $ | 16.95 | $ | 18.21 | $ | 18.15 | $ | 16.92 | $ | 17.31 | ||||||||||||||||||||||||||||||||||||||
Total Return (d) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Based on net asset value | (16.67 | )% | (2.01 | )% | 4.92 | % | 7.91 | % | 2.06 | % (e) | (1.14 | )% | ||||||||||||||||||||||||||||||||||||||
Based on market price | (21.50 | )% | (0.23 | )% | 7.31 | % | 14.83 | % | 0.72 | % (e) | (3.44 | )% | ||||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets (f) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total expenses | 1.65 | % | 0.94 | % | 1.18 | % | 2.06 | % | 2.08 | % (g)(h) | 1.79 | % | ||||||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed | 1.64 | % | 0.94 | % | 1.18 | % | 2.06 | % | 2.08 | % (g) | 1.79 | % | ||||||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.95 | % | 0.90 | % | 0.89 | % | 0.94 | % | 0.99 | % (g) | 1.04 | % | ||||||||||||||||||||||||||||||||||||||
Net investment income | 2.94 | % | 3.91 | % | 4.55 | % | 3.95 | % | 4.04 | % (g) | 3.72 | % | ||||||||||||||||||||||||||||||||||||||
Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 279,035 | $ | 360,752 | $ | 394,195 | $ | 401,715 | $ | 398,629 | $ | 402,763 | ||||||||||||||||||||||||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 115,764 | $ | 115,184 | $ | 156,936 | $ | 175,655 | $ | 186,799 | $ | 186,441 | ||||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (i) | 237 | % | 248 | % | 69 | % | 255 | % | 95 | % | 373 | % | ||||||||||||||||||||||||||||||||||||||
(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) 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 ratio. If these expenses were annualized, the total expenses would have been 2.11%.(i) Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Year Ended 12/31/22 | | | Year Ended 12/31/21 | | | Year Ended 12/31/20 | | | Year Ended 12/31/19 | | | Period from 09/01/18 to 12/31/18 | | | Year Ended 08/31/18 | | |||||||||||||||||||||||||||||||||
Portfolio turnover rate (excluding MDRs) | 122 | % | 119 | % | 31 | % | 136 | % | 45 | % | 181 | % | ||||||||||||||||||||||||||||||||||||||
F I N A N C I A L HI G H L I G H T S | 123 |
BLW | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 | | | Year Ended 08/31/18 | | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.44 | $ | 16.93 | $ | 17.05 | $ | 17.03 | $ | 16.71 | $ | 17.02 | ||||||||||||||||||||||||||||||||||||||
Net investment income (a) | 0.97 | 1.00 | 0.98 | 0.31 | 0.94 | 0.95 | ||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.82 | ) | (0.31 | ) | 0.08 | 0.18 | 0.33 | (0.31 | ) | |||||||||||||||||||||||||||||||||||||||||
Net increase (decrease) from investment operations | (1.85 | ) | 0.69 | 1.06 | 0.49 | 1.27 | 0.64 | |||||||||||||||||||||||||||||||||||||||||||
Distributions (b) | ||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.92 | ) | (1.02 | ) | (1.03 | ) | (0.47 | ) | (0.95 | ) | (0.95 | ) | ||||||||||||||||||||||||||||||||||||||
Return of capital | (0.16 | ) | (0.16 | ) | (0.15 | ) | — | — | — | |||||||||||||||||||||||||||||||||||||||||
Total distributions | (1.08 | ) | (1.18 | ) | (1.18 | ) | (0.47 | ) | (0.95 | ) | (0.95 | ) | ||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $ | 13.51 | $ | 16.44 | $ | 16.93 | $ | 17.05 | $ | 17.03 | $ | 16.71 | ||||||||||||||||||||||||||||||||||||||
Market price, end of period | $ | 13.07 | $ | 16.85 | $ | 15.92 | $ | 16.39 | $ | 15.44 | $ | 15.06 | ||||||||||||||||||||||||||||||||||||||
Total Return (c) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Based on net asset value | (10.96 | )% | 4.18 | % (d) | 7.58 | % | 3.11 | % (e) | 8.77 | % | 4.42 | % | ||||||||||||||||||||||||||||||||||||||
Based on market price | (15.96 | )% | 13.55 | % | 5.24 | % | 9.32 | % (e) | 9.41 | % | 0.18 | % | ||||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets (f) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total expenses | 2.04 | % | 1.18 | % | 1.39 | % | 1.64 | % (g)(h) | 1.81 | % | 1.73 | % | ||||||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed | 2.04 | % | 1.18 | % | 1.39 | % | 1.64 | % (g)(h) | 1.81 | % | 1.73 | % | ||||||||||||||||||||||||||||||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.96 | % | 0.92 | % | 0.90 | % | 0.89 | % (g) | 0.84 | % | 0.89 | % | ||||||||||||||||||||||||||||||||||||||
Net investment income | 6.70 | % | 5.90 | % | 6.07 | % | 5.32 | % (g) | 5.69 | % | 5.60 | % | ||||||||||||||||||||||||||||||||||||||
Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 482,587 | $ | 587,146 | $ | 603,933 | $ | 611,068 | $ | 610,251 | $ | 612,048 | ||||||||||||||||||||||||||||||||||||||
Borrowings outstanding, end of period (000) | $ | 275,639 | $ | 312,356 | $ | 275,105 | $ | 213,399 | $ | 202,539 | $ | 234,622 | ||||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (i) | 77 | % | 66 | % | 65 | % | 14 | % | 50 | % | 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 12/31/22 | | | Year Ended 12/31/21 | | | Year Ended 12/31/20 | | | Period from 09/01/19 to 12/31/19 | | | Year Ended 08/31/19 | | | Year Ended 08/31/18 | | |||||||||||||||||||||||||||||||||
Portfolio turnover rate (excluding MDRs) | 58 | % | 52 | % | 58 | % | 14 | % | 50 | % | 50 | % | ||||||||||||||||||||||||||||||||||||||
124 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
1. | ORGANIZATION |
Fund Name | Herein Referred To As | Organized | Diversification Classification | |||||||||
BlackRock Debt Strategies Fund, Inc. | DSU | Maryland | Diversified | |||||||||
BlackRock Floating Rate Income Strategies Fund, Inc. | FRA | Maryland | Diversified | |||||||||
BlackRock Income Trust, Inc. | BKT | Maryland | Diversified | |||||||||
BlackRock Limited Duration Income Trust | BLW | Delaware | Diversified | |||||||||
2. | SIGNIFICANT ACCOUNTING POLICIES |
N O T E S T O FI N A N C I A L ST A T E M E N T S | 125 |
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
• | Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
• | Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third-party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
• | Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV. |
• | Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
• | Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies. |
• | 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. |
126 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
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. |
• | 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). |
4. | SECURITIES AND OTHER INVESTMENTS |
N O T E S T O FI N A N C I A L ST A T E M E N T S | 127 |
128 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Fund Name | Borrower | Par | Commitment Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||
DSU | AthenaHealth Group, Inc. | $ | 320,815 | $ | 320,815 | $ | 288,849 | $ | (31,966) | |||||||||
IPS Corp. | 93,645 | 93,645 | 83,227 | (10,418) | ||||||||||||||
FRA | AthenaHealth Group, Inc. | 367,506 | 367,506 | 330,888 | (36,618) | |||||||||||||
IPS Corp. | 106,675 | 106,675 | 94,807 | (11,868) | ||||||||||||||
BLW | Arc Falcon I, Inc. | 75,553 | 75,176 | 66,147 | (9,029) | |||||||||||||
AthenaHealth Group, Inc. | 196,229 | 193,928 | 176,677 | (17,251) | ||||||||||||||
IPS Corp. | 46,066 | 46,066 | 40,941 | (5,125) | ||||||||||||||
N O T E S T O FI N A N C I A L ST A T E M E N T S | 129 |
Fund Name | Average Amount Outstanding | Weighted Average Interest Rate | ||
BKT | $ 128,487,079 | 1.67% | ||
BLW | 296,293,812 | 1.89 | ||
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 S.A. | $ | — | $ | (3,811,223 | ) | $ | — | $ | (3,811,223 | ) | $ | — | $ | — | $ | 3,811,223 | $ | — | $ | 3,811,223 | $ | — | ||||||||||||||||||||||||
Credit Suissie AG | 753,086 | — | (736,284 | ) | 16,802 | — | — | — | — | — | 16,802 | |||||||||||||||||||||||||||||||||||
HSBC Securities (USA), Inc. | — | (94,979,128 | ) | — | (94,979,128 | ) | — | — | 94,979,128 | — | 94,979,128 | — | ||||||||||||||||||||||||||||||||||
Royal Bank of Canada | — | (16,973,225 | ) | — | (16,973,225 | ) | — | — | 16,973,225 | — | 16,973,225 | — | ||||||||||||||||||||||||||||||||||
$ | 753,086 | $ | (115,763,576 | ) | $ | (736,284 | ) | $ | (115,746,774 | ) | $ | — | $ | — | $ | 115,763,576 | $ | — | $ | 115,763,576 | $ | 16,802 | ||||||||||||||||||||||||
(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 $1,251 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 $118,323,095 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. |
130 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral Pledged Including Accrued Interest | (a) | Cash Collateral Pledged/Received | (a) | Net Amount | ||||||||||
Barclays Bank PLC | $ | (17,529,315 | ) | $ | 17,529,315 | $ | — | $ | — | |||||||
Barclays Capital, Inc. | (32,189,707 | ) | 32,189,707 | — | — | |||||||||||
BNP Paribas S.A. | (66,211,938 | ) | 66,211,938 | — | — | |||||||||||
BofA Securities, Inc. | (27,809,212 | ) | 27,809,212 | — | — | |||||||||||
Credit Agricole Corporate and Investment Bank | (26,942,006 | ) | 26,942,006 | — | — | |||||||||||
Credit Suisse Securities (USA) LLC | (4,265,965 | ) | 4,265,965 | — | — | |||||||||||
HSBC Securities (USA), Inc. | (27,308,253 | ) | 27,308,253 | — | — | |||||||||||
J.P. Morgan Securities LLC | (1,352,022 | ) | 1,352,022 | — | — | |||||||||||
Nomura Securities International, Inc. | (11,577,396 | ) | 11,577,396 | — | — | |||||||||||
RBC Capital Markets LLC | (49,760,794 | ) | 49,760,794 | — | — | |||||||||||
TD Securities (USA) LLC | (10,692,192 | ) | 10,692,192 | — | — | |||||||||||
$ | (275,638,800 | ) | $ | 275,638,800 | $ | — | $ | — | ||||||||
(a) | Net collateral, including accrued interest, if any, with a value of $312,275,324 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. |
5. | DERIVATIVE FINANCIAL INSTRUMENTS |
N O T E S T O FI N A N C I A L ST A T E M E N T S | 131 |
• | 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. |
• | Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
• | Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
132 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
DSU | FRA | |||||||
Investment advisory fees | 0.55 | % | 0.75 | % |
N O T E S T O FI N A N C I A L ST A T E M E N T S | 133 |
Fund Name | Fees Waived and/or Reimbursed by the Manager | |||
DSU | $ | 1,925 | ||
FRA | 267 | |||
BKT | 5,297 | |||
BLW | 2,971 | |||
Fund Name | Fees Waived and/or Reimbursed by the Manager | |||
FRA | $ | 782 | ||
Fund Name | Purchases | Sales | Net Realized Gain (Loss) | |||||||||
DSU | $ | 456,617 | $ | 236,523 | $ | 323 | ||||||
BLW | 2,929,282 | 816,204 | (216,595 | ) | ||||||||
7. | PURCHASES AND SALES |
U.S. Government Securities | Other Securities | |||||||||||||||
Fund Name | Purchases | Sales | Purchases | Sales | ||||||||||||
DSU | $ | — | $ | — | $ | 128,492,772 | $ | 236,176,057 | ||||||||
FRA | — | — | 95,141,601 | 198,070,301 | ||||||||||||
BKT | — | — | 1,124,919,817 | 1,144,246,292 | ||||||||||||
BLW | 12,426,779 | 30,008,005 | 614,451,862 | 638,532,762 | ||||||||||||
Fund Name | Purchases | Sales | ||||||
BKT | $ | 543,965,437 | $ | 544,532,456 | ||||
BLW | 157,984,317 | 158,154,707 | ||||||
8. | INCOME TAX INFORMATION |
134 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Fund Name | Year Ended 12/31/22 | Year Ended 12/31/21 | ||||||
DSU | ||||||||
Ordinary income | $ | 31,579,170 | $ | 28,723,773 | ||||
Return of capital | 838,309 | 5,103,734 | ||||||
$ | 32,417,479 | $ | 33,827,507 | |||||
FRA | ||||||||
Ordinary income | $ | 27,297,906 | $ | 23,507,568 | ||||
Return of capital | — | 4,692,282 | ||||||
$ | 27,297,906 | $ | 28,199,850 | |||||
BKT | ||||||||
Ordinary income | $ | 10,487,125 | $ | 18,883,406 | ||||
Return of capital | 11,460,544 | 7,473,844 | ||||||
$ | 21,947,669 | $ | 26,357,250 | |||||
BLW | ||||||||
Ordinary income | $ | 32,930,219 | $ | 36,216,307 | ||||
Return of capital | 5,605,804 | 5,785,872 | ||||||
$ | 38,536,023 | $ | 42,002,179 | |||||
Fund Name | Undistributed Ordinary Income | Non-Expiring Capital Loss Carryforwards (a) | Net Unrealized Gains (Losses) (b) | Qualified Late-Year Losses (c) | Total | |||||||||||||||
DSU | $ | — | $ | (100,929,367 | ) | $ | (64,436,350 | ) | $ | (370,047 | ) | $ | (165,735,764 | ) | ||||||
FRA | 211,621 | (50,314,987 | ) | (37,544,458 | ) | — | (87,647,824 | ) | ||||||||||||
BKT | — | (99,550,857 | ) | (64,288,362 | ) | — | (163,839,219 | ) | ||||||||||||
BLW | — | (63,978,243 | ) | (70,278,715 | ) | (1,275,435 | ) | (135,532,393 | ) | |||||||||||
(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 directors and the accounting for swap agreements. |
(c) | The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year. |
Fund Name | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
DSU | $ | 703,292,132 | $ | 1,439,156 | $ | (65,482,732) | $ | (64,043,576 | ) | |||||||
FRA | 626,304,616 | 814,719 | (38,308,077) | (37,493,358 | ) | |||||||||||
BKT | 498,771,089 | 5,226,203 | (69,343,107) | (64,116,904 | ) | |||||||||||
BLW | 844,542,620 | 7,951,999 | (77,685,962) | (69,733,963 | ) | |||||||||||
9. | BANK BORROWINGS |
Fund Name | Commitment Amounts | |||
DSU | $ | 340,000,000 | ||
FRA | 274,000,000 | |||
N O T E S T O FI N A N C I A L ST A T E M E N T S | 135 |
Fund Name | Maximum Amount Borrowed | Average Amount Outstanding | Daily Weighted Average Interest Rate | |||||||||
DSU | $ | 255,000,000 | $ | 215,813,699 | 2.37% | |||||||
FRA | 233,000,000 | 195,517,808 | 2.37 |
10. | PRINCIPAL RISKS |
136 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
11. | CAPITAL SHARE TRANSACTIONS |
Year Ended | ||||||||
Fund Name | 12/31/22 | 12/31/21 | ||||||
DSU | 3,721 | 14,784 | ||||||
BKT (a) | 3,887 | 34,687 | ||||||
BLW | — | 49,148 | ||||||
(a) | Share transactions reflect 1-for-3 reverse stock split effective after the close of trading on October 17, 2022. |
N O T E S T O FI N A N C I A L ST A T E M E N T S | 137 |
12. | SUBSEQUENT EVENTS |
Fund Name | Declaration Date | Record Date | Payable/ Paid Date | Dividend Per Common Share | ||||||||||||
DSU | 01/03/23 | 01/13/23 | 01/31/23 | $ | 0.070500 | |||||||||||
02/01/23 | 02/15/23 | 02/28/23 | 0.070500 | |||||||||||||
FRA | 01/03/23 | 01/13/23 | 01/31/23 | 0.080400 | ||||||||||||
02/01/23 | 02/15/23 | 02/28/23 | 0.080400 | |||||||||||||
BKT | 01/03/23 | 01/13/23 | 01/31/23 | 0.088200 | ||||||||||||
02/01/23 | 02/15/23 | 02/28/23 | 0.088200 | |||||||||||||
BLW | 01/03/23 | 01/13/23 | 01/31/23 | 0.098100 | ||||||||||||
02/01/23 | 02/15/23 | 02/28/23 | 0.098100 | |||||||||||||
138 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Fund | Financial Highlights | |
BlackRock Debt Strategies Fund, Inc. | For each of the three years in the period ended December 31, 2022, for the period from March 1, 2019 through December 31, 2019, and for each of the two years in the period ended February 28, 2019. The presented financial highlights were consolidated through November 30, 2017 | |
BlackRock Floating Rate Income Strategies Fund, Inc. | For each of the three years in the period ended December 31, 2022, for the period from September 1, 2019 through December 31, 2019, and for each of the two years in the period ended August 31, 2019. The presented financial highlights were consolidated through November 30, 2017 | |
BlackRock Income Trust, Inc. | For each of the four years in the period ended December 31, 2022, the period from September 1, 2018 through December 31, 2018, and for the year ended August 31, 2018 | |
BlackRock Limited Duration Income Trust | For each of the three years in the period ended December 31, 2022, for the period from September 1, 2019 through December 31, 2019, and for each of the two years in the period ended August 31, 2019 |
R E P O R T O F IN D E P E N D E N T RE G I S T E R E D PU B L I C AC C O U N T I N G FI R M | 139 |
Important Tax Information (unaudited) |
Fund Name | Qualified Dividend Income | |||
BLW | $ | 2,718,163 | ||
Fund Name | Federal Obligation Interest | |||
BLW | $ | 341,523 | ||
Fund Name | Dividends-Received Deduction | |||
BLW | 4.49% | |||
Fund Name | Interest Dividends | |||
DSU | $ | 33,466,516 | ||
FRA | 29,455,717 | |||
BKT | 12,685,325 | |||
BLW | 34,883,954 | |||
Fund Name | Interest Related Dividends | |||
DSU | $ | 26,483,342 | ||
FRA | 22,488,001 | |||
BKT | 12,685,325 | |||
BLW | 24,865,803 | |||
140 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
I N V E S T M E N T OB J E C T I V E S , PO L I C I E S A N D RI S K S | 141 |
142 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
I N V E S T M E N T OB J E C T I V E S , PO L I C I E S A N D RI S K S | 143 |
• | 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. |
144 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
I N V E S T M E N T OB J E C T I V E S , PO L I C I E S A N D RI S K S | 145 |
• | 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. |
• | 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 principal 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. |
• | 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. |
146 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
I N V E S T M E N T OB J E C T I V E S , PO L I C I E S A N D RI S K S | 147 |
• | 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. |
• | The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries as well as acts of war in the region. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Fund’s investments. |
148 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
• | 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. |
• | Regulatory Risk — Derivative contracts are subject to regulation under the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) in the United States and under comparable regimes in Europe, Asia and other non-U.S. jurisdictions. Under the Dodd-Frank Act, with respect to uncleared swaps, swap dealers are required to collect variation margin from the Fund and may be required by applicable regulations to collect initial margin from the Fund. Both initial and variation margin may be comprised of cash and/or securities, subject to applicable regulatory haircuts. Shares of investment companies (other than certain money market funds) may not be posted as collateral under applicable regulations. In addition, regulations adopted by global prudential regulators that are now in effect require certain bank-regulated counterparties and certain of their affiliates to include in certain financial contracts, including many derivatives contracts, terms that delay or restrict the rights of counterparties, such as the Fund, to terminate such contracts, foreclose upon collateral, exercise other default rights or restrict transfers of credit support in the event that the counterparty and/or its affiliates are subject to certain types of resolution or insolvency proceedings. The implementation of these requirements with respect to derivatives, as well as regulations under the Dodd-Frank Act regarding clearing, mandatory trading and margining of other derivatives, may increase the costs and risks to the Fund of trading in these instruments and, as a result, may affect returns to investors in the Fund. |
I N V E S T M E N T OB J E C T I V E S , PO L I C I E S A N D RI S K S | 149 |
• | 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. |
150 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
I N V E S T M E N T OB J E C T I V E S , PO L I C I E S A N D RI S K S | 151 |
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) | 0.03 | % | ||
| $0.02 per share for open market purchases of | | ||
Dividend reinvestment plan fees | common shares | (b) | ||
Estimated Annual Expenses | ||||
Investment advisory fees (c),(d) | 0.79 | % | ||
Other expenses | 1.11 | |||
Miscellaneous | 0.09 | |||
Interest expense (e) | 1.02 | |||
Total annual expenses | 1.90 | |||
Fee waiver (d) | — | |||
Total annual Fund operating expenses after fee waiver (d) | 1.90 |
(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 the Fund. 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) | The Fund currently pays the Manager a monthly fee at an annual contractual investment advisory fee rate of 0.55% of the average daily value of the Fund’s net assets, plus the proceeds of any outstanding debt securities or borrowings used for leverage (together, “average daily Managed Assets”). |
(d) | The Fund 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 Fund’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, 2024. 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 Fund pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2024. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by Fund (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 Fund (the “Independent Directors”)) or a majority of the outstanding voting securities of Fund), upon 90 days’ written notice by Fund to the Manager. |
(e) | The Fund uses leverage in the form of a credit facility, in an amount equal to approximately 25.2% of the Fund’s Managed Assets as of December 31, 2022. The interest expense borne by the Fund will vary over time in accordance with the level of the Fund’s use of leverage and variations in market interest rates. Interest expense is required to be treated as expense of the Fund for accounting purposes. |
1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||
Total expenses incurred | $ | 29 | $ | 69 | $ | 112 | $ | 230 |
152 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
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) | 0.03 | % | ||
| $0.02 per share for open market purchases of | | ||
Dividend reinvestment plan fees | common shares | (b) | ||
Dividend reinvestment plan sale transaction fee (b) | $2.50 |
Estimated Annual Expenses | ||||
Investment advisory fees (c),(d) | 0.65 | % | ||
Other expenses | 1.00 | |||
Miscellaneous | 0.31 | |||
Interest expense (e) | 0.69 | |||
Total annual expenses | 1.65 | |||
Fee waiver (d) | 0.01 | |||
Total annual Fund operating expenses after fee waiver (d) | 1.64 |
(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 the Fund. 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) | The Fund currently pays the Manager a monthly fee at an annual contractual investment advisory fee rate of 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). |
(d) | The Fund 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 the Fund’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, 2024. 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 the Fund pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2024. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by the Fund (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 the Fund or a majority of the outstanding voting securities of the Fund), upon 90 days’ written notice by the Fund to the Manager. |
(e) | The Fund uses leverage in the form of reverse repurchase agreements representing 29.3% of Managed Assets at an annual interest expense to the Fund of 1.7% which is based on current market conditions. The actual amount of interest expenses borne by the Fund will vary over time in accordance with the level of the Fund’s use of reverse repurchase agreements and variations in market interest rates. Interest expense is required to be treated as an expense of the Fund for accounting purposes. |
1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||
Total expenses incurred | $ | 27 | $ | 62 | $ | 99 | $ | 204 |
S H A R E H O L D E R UP D A T E / | 153 |
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 | % | ||
| $0.02 per share for open market purchases of | | ||
Dividend reinvestment plan fees | common shares | (b) | ||
Dividend reinvestment plan sale transaction fee (b) | $2.50 | |||
Estimated Annual Expenses | ||||
Investment advisory fees (c),(d) | 0.87 | % | ||
Other expenses | 1.17 | |||
Miscellaneous | 0.09 | |||
Interest expense (e) | 1.08 | |||
Total annual expenses | 2.04 | |||
Fee waiver (d) | — | |||
Total annual Fund operating expenses after fee waiver (d) | 2.04 |
(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 the Fund. 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) | The Fund currently pays the Manager a monthly fee at an annual contractual investment advisory fee rate of 0.55% of the average weekly value of the Fund’s managed assets, plus 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 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). |
(d) | The Fund 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 the Fund’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, 2024. 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 the Fund pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2024. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by the Fund (upon the vote of a majority of the Trustees who are not “interested persons” (as defined in the Investment Company Act) of the Fund or a majority of the outstanding voting securities of the Fund), upon 90 days’ written notice by the Fund to the Manager. |
(e) | The Fund uses leverage in the form of reverse repurchase agreements representing 36.4% of Managed Assets at an annual interest expense to the Fund of 1.89%, which is based on current market conditions. The actual amount of interest expense borne by the Fund will vary over time in accordance with the level of the Fund’s use of reverse repurchase agreements and variations in market interest rates. Interest expense is required to be treated as an expense of the Fund for accounting purposes. |
1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||
Total expenses incurred | $ | 31 | $ | 74 | $ | 119 | $ | 245 |
154 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
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, 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 | ||||||||||||||||||||
December 31, 2021 | 12.14 | 11.47 | 11.61 | 11.69 | 4.57 | (1.88 | ) | 7,344,194 | ||||||||||||||||||||
September 30, 2021 | 11.73 | 10.93 | 11.68 | 11.65 | 0.43 | (6.18 | ) | 9,105,172 | ||||||||||||||||||||
June 30, 2021 | 11.53 | 10.86 | 11.71 | 11.61 | (1.54 | ) | (6.46 | ) | 6,975,149 | |||||||||||||||||||
March 31, 2021 | 11.00 | 10.37 | 11.64 | 11.62 | (5.50 | ) | (10.76 | ) | 10,570,729 |
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, 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 | ) | 7,412,087 | |||||||||||||||||||
June 30, 2022 | 15.36 | 12.93 | 15.51 | 14.43 | (0.97 | ) | (10.40 | ) | 18,907,464 | |||||||||||||||||||
March 31, 2022 | 16.92 | 14.85 | 16.89 | 15.66 | 0.18 | (5.17 | ) | 21,937,873 | ||||||||||||||||||||
December 31, 2021 | 18.90 | 16.95 | 17.58 | 16.95 | 7.51 | — | 16,500,738 | |||||||||||||||||||||
September 30, 2021 | 19.50 | 17.88 | 17.88 | 17.67 | 9.06 | 1.19 | 13,508,607 | |||||||||||||||||||||
June 30, 2021 | 19.23 | 18.27 | 18.18 | 18.39 | 5.78 | (0.65 | ) | 16,030,457 | ||||||||||||||||||||
March 31, 2021 | 18.51 | 18.00 | 18.54 | 18.57 | (0.16 | ) | (3.07 | ) | 14,365,814 |
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, 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 | ||||||||||||||||||||
December 31, 2021 | 17.33 | 16.38 | 16.67 | 16.41 | 3.96 | (0.18 | ) | 3,883,694 | ||||||||||||||||||||
September 30, 2021 | 17.58 | 13.09 | 16.97 | 16.96 | 3.59 | (22.82 | ) | 4,757,160 | ||||||||||||||||||||
June 30, 2021 | 17.24 | 16.55 | 17.10 | 17.00 | 0.82 | (2.65 | ) | 5,334,238 | ||||||||||||||||||||
March 31, 2021 | 16.75 | 14.83 | 17.04 | 16.32 | (1.70 | ) | (9.13 | ) | 6,372,773 |
S H A R E H O L D E R UP D A T E | 155 |
DSU — Fiscal Year Ended | Total Amount Outstanding (000) | Asset Coverage | Liquidating Preference | Average Market Value (000) | Type of Senior Security | |||||||||||||||
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 | |||||||||||||||
February 28, 2014 | 315,000 | 3,634 | N/A | 315,000 | Bank Borrowings |
156 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
A U T O M A T I C DI V I D E N D RE I N V E S T M E N T PL A N | 157 |
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. | 70 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) | George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; 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. | 72 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. | 70 RICs consisting of 102 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. | 72 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. | 70 RICs consisting of 102 Portfolios | None | ||||
Stayce D. Harris 1959 | Director (Since 2021) | Lieutenant General, Inspector General, Office of the Secretary 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. | 70 RICs consisting of 102 Portfolios | The Boeing Company (airplane manufacturer) | ||||
J. Phillip Holloman 1955 | Director (Since 2021) | President and Chief Operating Officer, Cintas Corporation from 2008 to 2018. | 70 RICs consisting of 102 Portfolios | PulteGroup, Inc. (home construction); Rockwell Automation Inc. (industrial automation) |
158 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
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 | ||||
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. | 72 RICs consisting of 104 Portfolios | PennyMac Mortgage Investment Trust | ||||
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. | 98 RICs consisting of 266 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. | 100 RICs consisting of 268 Portfolios | None |
(a) | The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. |
(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, Dr. Kester, Ms. Lynch 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. |
D I R E C T O R A N D OF F I C E R IN F O R M A T I O N | 159 |
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. | ||
Charles Park 1967 | Chief Compliance Officer (Since 2014) | Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares ® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. | ||
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., 55 East 52nd Street, New York, New York 10055. |
(b) | Officers of the Fund serve at the pleasure of the Board. |
160 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Cynthia L. Egan | Robert Fairbairn | Stayce D. Harris | ||||||||||||||||||||||
Fund Name | Votes For | Votes Withheld | Votes For | Votes Withheld | Votes For | Votes Withheld | ||||||||||||||||||
BLW | 28,376,244 | 726,008 | 28,337,243 | 765,009 | 28,381,810 | 720,442 | ||||||||||||||||||
BKT | 41,418,617 | 2,618,693 | 41,408,520 | 2,628,790 | 41,348,538 | 2,688,772 | ||||||||||||||||||
Frank J. Fabozzi | Robert Fairbairn | J. Phillip Holloman | ||||||||||||||||||||||
Fund Name | Votes For | Votes Withheld | Votes For | Votes Withheld | Votes For | Votes Withheld | ||||||||||||||||||
FRA | 24,423,706 | 1,149,621 | 24,772,010 | 801,317 | 24,704,960 | 868,367 | ||||||||||||||||||
DSU | 34,497,091 | 1,549,074 | 35,049,471 | 996,694 | 34,589,950 | 1,456,215 | ||||||||||||||||||
A D D I T I O N A L IN F O R M A T I O N | 161 |
162 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
A D D I T I O N A L IN F O R M A T I O N | 163 |
164 | 2 0 2 2 BL A C K RO C K AN N U A L RE P O R T T O SH A R E H O L D E R S |
Currency Abbreviation | ||
EUR | Euro | |
GBP | British Pound | |
USD | United States Dollar |
Portfolio Abbreviation | ||
ABS | Asset-Backed Security | |
CDI | CREST Depository Interest | |
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury | |
DAC | Designated Activity Company | |
ETF | Exchange-Traded Fund | |
EURIBOR | Euro Interbank Offered Rate | |
FEDL | Fed Funds Effective Rate | |
IO | Interest Only | |
LIBOR | London Interbank Offered Rate | |
PCL | Public Company Limited | |
PIK | Payment-in-Kind | |
PO | Principal Only | |
REIT | Real Estate Investment Trust | |
REMIC | Real Estate Mortgage Investment Conduit | |
SAB | Special Assessment Bonds | |
SCA | Societe en Commandite par Actions | |
SOFR | Secured Overnight Financing Rate | |
SOFR CME | Secured Overnight Financing Rate Chicago Mercantile Exchange | |
SOFRTE | Term Secured Overnight Financing Rate | |
SONIA | Sterling Overnight Interbank Average Rate | |
TBA | To-Be-Announced |
G L O S S A R Y O F TE R M S US E D I N TH I S RE P O R T | 165 |
(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 | Current Fiscal Year | Previous Fiscal Year | Current Fiscal Year | Previous Fiscal Year | ||||||||
BlackRock Income Trust, Inc. | $39,984 | $39,592 | $0 | $207 | $8,500 | $6,500 | $431 | $0 |
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”):
Current Fiscal Year End | Previous Fiscal Year End | |||
(b) Audit-Related Fees1 | $0 | $0 | ||
(c) Tax Fees2 | $0 | $0 | ||
(d) All Other Fees3 | $2,098,000 | $2,032,000 |
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 $2,098,000 and $2,032,000 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
(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. | $8,931 | $6,707 |
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 | |||
$2,098,000 | $2,032,000 |
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.
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://w.w.w.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 Ron Sion, Managing Director at BlackRock. Messrs. Kraeger and Sion 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 and Sion have been members of the Fund’s portfolio management team since 2016.
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. | |
Ron Sion | Managing Director of BlackRock since 2011; Director of BlackRock from 2007 to 2010. |
(a)(2) As of December 31, 2022:
(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 | 10 | 18 | 0 | 0 | 4 | ||||||
$2.15 Billion | $2.64 Billion | $17.33 Billion | $0 | $0 | $5.14 Billion | |||||||
Ron Sion | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
$0 | $0 | $0 | $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 Sion 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 Sion 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.
(a)(3) As of December 31, 2022:
Portfolio Manager Compensation Overview
The discussion below describes the portfolio managers’ compensation as of December 31, 2022.
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. | |
Ron Sion | 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.
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 ($305,000 for 2022). 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, 2022.
Portfolio Manager | Dollar Range of Equity Securities of the Fund Beneficially Owned | |
Matthew Kraeger | $10,001 - $50,000 | |
Ron Sion | $100,001 - $500,000 |
(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 – | 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) Consent of Independent Registered Public Accounting Firm
(101) Inline Interactive Data File -the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the inline XBRL document.
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 23, 2023
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 23, 2023
By: | /s/ Trent Walker | |||
Trent Walker | ||||
Chief Financial Officer (principal financial officer) of | ||||
BlackRock Income Trust, Inc. |
Date: February 23, 2023