BLACKROCK FLOATING RATE INCOME TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-21566

Name of Fund: BlackRock Floating Rate Income Trust (BGT)

Fund Address:    100 Bellevue Parkway, Wilmington, DE 19809

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

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

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

Date of fiscal year end: 10/31/2016

Date of reporting period: 10/31/2016


Item 1 – Report to Stockholders


OCTOBER 31, 2016

 

 

ANNUAL REPORT

 

    LOGO

 

BlackRock Credit Allocation Income Trust (BTZ)

BlackRock Floating Rate Income Trust (BGT)

BlackRock Multi-Sector Income Trust (BIT)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents     

 

     Page  

The Markets in Review

    3   

Annual Report:

 

Trust Summaries

    4   

The Benefits and Risks of Leveraging

    10   

Derivative Financial Instruments

    10   
Financial Statements:  

Schedules of Investments

    11   

Statements of Assets and Liabilities

    73   

Statements of Operations

    74   

Statements of Changes in Net Assets

    75   

Statements of Cash Flows

    77   

Financial Highlights

    78   

Notes to Financial Statements

    81   

Report of Independent Registered Public Accounting Firm

    95   

Important Tax Information

    96   

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement

    97   

Automatic Dividend Reinvestment Plan

    101   

Officers and Trustees

    102   

Additional Information

    105   

 

 

 

                
2    ANNUAL REPORT    OCTOBER 31, 2016   


The Markets in Review

 

Dear Shareholder,

Central bank policy decisions have continued to provide support to financial markets, while changing economic outlooks and geopolitical risks have been major drivers of investor sentiment. After ending its near-zero interest rate policy at the end of 2015, the Federal Reserve (the “Fed”) remained in focus as investors considered the anticipated pace of future rate hikes. With the European Central Bank and the Bank of Japan having moved into stimulus mode, the divergence in global monetary policies drove heightened market volatility at the beginning of 2016 and caused the U.S. dollar to strengthen considerably.

Financial markets had a rough start to the year as the strong dollar challenged U.S. companies that generate revenues overseas and pressured emerging market currencies and commodities prices. Low and volatile oil prices and signs of slowing growth in China were also meaningful factors behind the decline in risk assets early in the year. However, as the first quarter wore on, these pressures abated and a more tempered outlook for U.S. rate hikes helped the markets rebound.

Volatility spiked in late June when the United Kingdom shocked investors with its vote to leave the European Union. Uncertainty around how the British exit might affect the global economy and political landscape drove investors to high-quality assets, pushing already low global yields to even lower levels. However, risk assets recovered swiftly in July as economic data suggested that the consequences had thus far been contained to the United Kingdom.

In a second episode of surprise vote results, equities fell sharply after the news of Donald Trump’s victory in the U.S. presidential election, but quickly recovered, and the yield curve steepened due to expectations for rising inflation. Broadly, a reflation theme has been building amid signs of rising price pressures, central banks signaling a greater tolerance to let inflation run hotter, and policy emphasis shifting from monetary to fiscal stimulus.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to adjust accordingly as market conditions change over time. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of October 31, 2016  
    6-month     12-month  

U.S. large cap equities
(S&P 500® Index)

    4.06     4.51

U.S. small cap equities
(Russell 2000® Index)

    6.13        4.11   

International equities
(MSCI Europe, Australasia,
Far East Index)

    (0.16     (3.23

Emerging market equities
(MSCI Emerging Markets Index)

    9.41        9.27   

3-month Treasury bills
(BofA Merrill Lynch 3-Month
U.S. Treasury Bill Index)

    0.17        0.31   

U.S. Treasury securities
(BofA Merrill Lynch
10-Year U.S. Treasury
Index)

    0.46        4.24   

U.S. investment grade bonds
(Bloomberg Barclays U.S.
Aggregate Bond Index)

    1.51        4.37   

Tax-exempt municipal
bonds (S&P Municipal
Bond Index)

    0.98        4.53   

U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer
Capped Index)

    7.59        10.16   
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.    

 

                
   THIS PAGE NOT PART OF YOUR FUND REPORT       3


Trust Summary as of October 31, 2016    BlackRock Credit Allocation Income Trust

 

Trust Overview

BlackRock Credit Allocation Income Trust’s (BTZ) (the “Trust”) investment objective is to provide current income, current gains and capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in credit-related securities, including, but not limited to, investment grade corporate bonds, high yield bonds (commonly referred to as “junk” bonds), bank loans, preferred securities or convertible bonds or derivatives with economic characteristics similar to these credit-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information     

Symbol on New York Stock Exchange (“NYSE”)

  BTZ

Initial Offering Date

  December 27, 2006

Current Distribution Rate on Closing Market Price as of October 31, 2016 ($12.87)1

  6.57%

Current Monthly Distribution per Common Share2

  $0.0705

Current Annualized Distribution per Common Share2

  $0.8460

Economic Leverage as of October 31, 20163

  29%

 

  1   

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 consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results.

 

  2   

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.

 

  3   

Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 10.

 

Performance and Portfolio Management Commentary

 

Returns for the 12 months ended October 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BTZ1,2

    10.43     9.61

Lipper Corporate BBB-Rated Debt Funds (Leveraged)3

    9.82     7.16

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

 

 

The Trust’s allocations to high yield bonds and capital securities aided performance, as did its positions in the financials, midstream energy and wireline industries. (Capital securities are dividend-paying securities that combine some features of both corporate bonds and preferred stocks, while generally providing higher yields to compensate for being less senior in the issuer’s capital structure.) The largest detractors from absolute performance included the Trust’s duration positioning and its allocation to the metals and mining industry.

 

 

The Trust held derivatives in the form of futures, swaps, swaptions and options in order to manage duration and convexity risk. (Duration is a measure of interest rate sensitivity; convexity measures how duration changes as interest rates change.) Derivatives were also used to aid in implementing the Trust’s yield curve positioning. The Trust used credit default swaps, including those linked to broad indices or individual secu-

   

rities, to manage credit risk. In addition, the Trust employed leverage to enhance yield.

Describe recent portfolio activity.

 

 

The Trust became increasingly defensive over the year, as the investment adviser looked to focus less on market risk and more on idiosyncratic opportunities and bottom-up security selection. After maintaining an overweight position in financials relative to industrials for several years, the investment adviser reduced the Trust’s weighting in financials. In addition, it significantly decreased exposure to the insurance, financial companies, and banking industries. The investment adviser also lowered the Trust’s overall allocation to industrials, mainly by taking down its allocations to the basic industries, energy, communications, and consumer areas. The Trust increased its weighting in technology, as many large issuers in the sector issued new debt at attractive levels.

Describe portfolio positioning at period end.

 

 

From a sector perspective, the Trust maintained its exposure to financials, with a preference for U.S. banks and brokers. Although financials lagged the rally in industrials, the investment adviser believed the capital and liquidity of U.S. banks remained strong.

 

 

The Trust’s largest position was in the cable & satellite sector, where the investment adviser saw strong fundamental trends and compelling valuations. The Trust also held an allocation to pharmaceuticals based on their attractive valuations, rising earnings and improving balance sheets. Additionally, the Trust had a large exposure to the pipeline industry on the belief that companies in this area had adequate cash to support both their balance sheets and credit ratings. However, the investment adviser recognized that industry fundamentals were somewhat challenging, and that pipeline issues remained sensitive volatility in oil prices. The Trust maintained an allocation to high yield bonds at the close of the period.

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
4    ANNUAL REPORT    OCTOBER 31, 2016   


     BlackRock Credit Allocation Income Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      10/31/16      10/31/15      Change      High      Low  

Market Price

   $ 12.87       $ 12.53         2.71    $ 13.70       $ 11.60   

Net Asset Value

   $ 14.61       $ 14.33         1.95    $ 14.90       $ 13.23   

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments
Portfolio Composition   10/31/16     10/31/15  

Corporate Bonds

    71     76

Preferred Securities

    17        19   

Asset-Backed Securities

    4        4   

U.S. Treasury Obligations

    6          

Municipal Bonds

    1        1   

Foreign Agency Obligations

    1          

Other

    1       2  

 

  1   

Includes a less than 1% holding in each of the following investment types: Short-Term Securities, U.S. Government Sponsored Agency Securities, Options Purchased, Options Written and Common Stocks.

 

  2   

Includes a less than 1% holding in each of the following investment types: Foreign Agency Obligations, Options Purchased, Options Written, U.S. Government Sponsored Agency Securities and Short-Term Securities.

Credit Quality Allocation3,4   10/31/16     10/31/15  

AAA/Aaa5

    7     1

AA/Aa

    3        2   

A

    17        19   

BBB/Baa

    47        48   

BB/Ba

    16        18   

B

    8        9   

CCC/Caa

    1        1   

N/R

    1        2   

 

  3   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) 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.

 

  4   

Excludes Short-Term Securities, Options Purchased and Options Written.

 

  5   

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.

 

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    5


Trust Summary as of October 31, 2016    BlackRock Floating Rate Income Trust

 

Trust Overview

BlackRock Floating Rate Income Trust’s (BGT) (the “Trust”) primary investment objective is to provide a high level of current income. The Trust’s secondary investment objective is to seek the preservation of capital. The Trust seeks to achieve its investment objectives by investing primarily, under normal conditions, at least 80% of its assets in floating and variable rate instruments of U.S. and non-U.S. issuers, including a substantial portion of its assets in global floating and variable rate securities including senior secured floating rate loans made to corporate and other business entities. Under normal market conditions, the Trust expects that the average effective duration of its portfolio will be no more than 1.5 years. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objectives will be achieved.

 

Trust Information

Symbol on NYSE

  BGT

Initial Offering Date

  August 30, 2004

Current Distribution Rate on Closing Market Price as of October 31, 2016 ($13.58)1

  5.15%

Current Monthly Distribution per Common Share2

  $0.0583

Current Annualized Distribution per Common Share2

  $0.6996

Economic Leverage as of October 31, 20163

  30%

 

  1   

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 consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results.

 

  2   

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.

 

  3   

Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 10.

 

Performance and Portfolio Management Commentary

 

Returns for the 12 months ended October 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BGT1,2

    12.25     7.27

Lipper Loan Participation Funds3

    15.20     8.16

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

 

 

Over the 12-month period, the broad floating rate bank loan market (i.e., bank loans) provided a positive return, but gains were well below other credit markets, namely the high yield area. The Trust’s general outlook on bank loans and credit markets improved as volatility subsided and performance turned positive on an absolute basis. However, the Trust’s exposure to integrated energy companies within the broader energy sector detracted from performance, despite gains more broadly across commodity-related sectors over the period. Small positions in convertible securities also negatively affected results.

 

 

The Trust’s exposure to loans in the technology, health care, and consumer services sectors contributed positively to performance. Performance for high yield bonds was positive and ahead of that for loans

   

during the period, and the Trust’s tactical allocation to this asset class contributed to results.

Describe recent portfolio activity.

 

 

Throughout the 12-month period, the Trust maintained its focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. The Trust continued to concentrate its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. From a sector perspective, the Trust added to names in the technology and health care sectors, while trimming exposure to pharmaceuticals and lodging. The Trust selectively added to its high yield bond position.

Describe portfolio positioning at period end.

 

 

At period end, the Trust held 92% of its total portfolio in bank loans, with the remainder primarily in corporate bonds and CLOs. The Trust continued to favor loans rated B where the investment adviser is comfortable with credit quality, in view of the incremental income they offered versus BB loans. Additionally, the Trust held a modest position in BB-rated loans, while maintaining minimal exposure to loans rated CCC and below, especially avoiding the riskier segments among lower-rated loans within sectors such as energy, metals & mining, and media. Top issuer positions included Level 3 Financing, Inc. (Wirelines), Altice US Financing I Corp./Numericable Group SA (Cable & Satellite), and First Data Corp. (Technology). The strategy maintained a modest stake in more conservative high yield bonds.

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
6    ANNUAL REPORT    OCTOBER 31, 2016   


     BlackRock Floating Rate Income Trust

 

 

Market Price and Net Asset Value Per Share Summary                              

 

      10/31/16      10/31/15      Change      High      Low  

Market Price

   $ 13.58       $ 12.77         6.34    $ 13.82       $ 11.52   

Net Asset Value

   $ 14.41       $ 14.18         1.62    $ 14.41       $ 13.43   

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments
Portfolio Composition    10/31/16     10/31/15  

Floating Rate Loan Interests

     92     93

Corporate Bonds

     4        3   

Asset-Backed Securities

     2        4   

Short-Term Securities

     2        1 

Other2

              

 

  1   

Includes a less than 1% holding in Short-Term Securities.

 

  2  

Includes a less than 1% holding in each of the following investment types: Non-Agency Mortgage — Backed Securities, Other Interests, Investment Companies, Warrants, Common Stocks and Options Purchased.

Credit Quality Allocation3,4    10/31/16     10/31/15  

A

     5      1

BBB/Baa

     8     8   

BB/Ba

     43        45   

B

     41        39   

CCC/Caa

     3        3   

N/R

     5        4   

 

  3   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s 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.

 

  4  

Excludes Short-Term Securities and Options Purchased.

 

  5   

Represents less than 1% of total investments.

 

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    7


Trust Summary as of October 31, 2016    BlackRock Multi-Sector Income Trust

 

Trust Overview

BlackRock Multi-Sector Income Trust’s (BIT) (the “Trust”) primary investment objective is to seek high current income, with a secondary objective of capital appreciation. The Trust seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its assets in loan and debt instruments and other investments with similar economic characteristics. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objectives will be achieved.

 

Trust Information     

Symbol on NYSE

  BIT

Initial Offering Date

  February 27, 2013

Current Distribution Rate on Closing Market Price as of October 31, 2016 ($16.76)1

  8.36%

Current Monthly Distribution per Common Share2

  $0.1167

Current Annualized Distribution per Common Share2

  $1.4004

Economic Leverage as of October 31, 20163

  37%

 

  1   

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 consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results.

 

  2   

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.

 

  3   

Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 10.

 

Performance and Portfolio Management Commentary

 

Returns for the 12 months ended October 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BIT1,2

    13.56     10.51

Lipper General Bond Funds3

    13.49     8.59

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

 

 

The Trust’s positions in high yield corporate bonds, mortgage-backed securities (“MBS”), asset-backed securities (“ABS”) and investment grade bonds were the most significant contributors to performance. The Trust’s stance with respect to duration (sensitivity to interest rate movements) and yield curve positioning also added to returns.

 

 

The Trust’s allocations in foreign commercial mortgage-backed securities (“CMBS”) and senior loans detracted from performance.

Describe recent portfolio activity.

 

 

During the period, the Trust’s spread duration (sensitivity to credit spreads) was increased as its spread sector exposure was rotated away from MBS, capital securities and ABS, and toward investment grade credit. These changes were made as divergent central bank monetary policies, improving oil prices and investors’ desire for yield created a strong technical backdrop that supported credit-based assets. In addition, the Trust’s allocation in longer-dated credit was increased in anticipation of demand from foreign investors shifting toward the back end of the credit curve as a result of the higher cost of hedging U.S. dollar exposure. Additionally, the Trust’s high yield allocation was tilted toward U.S. issuers due to concerns regarding the potential negative consequences of the U.K.’s planned exit from the European Union. The Trust’s duration was increased in the expectation of continued low interest rates over the near term, based on tepid U.S. economic data and dovish rhetoric from the Fed. Additionally, the Trust’s allocation to floating rate securities was reduced.

Describe portfolio positioning at period end.

 

 

The Trust maintained a diversified exposure to non-government spread sectors, including non-agency MBS, high yield corporates, capital securities, ABS, collateralized loan obligations, CMBS and senior loans. The Trust also held marginal exposure to government-related sectors such as supranationals (multinational foreign government obligations) and foreign agencies.

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
8    ANNUAL REPORT    OCTOBER 31, 2016   


     BlackRock Multi-Sector Income Trust

 

 

Market Price and Net Asset Value Per Share Summary                              

 

      10/31/16      10/31/15      Change      High      Low  

Market Price

   $ 16.76       $ 16.31         2.76    $ 17.43       $ 14.70   

Net Asset Value

   $ 18.91       $ 18.91         0.00    $ 19.05       $ 17.16   

 

Market Price and Net Asset Value History Since Inception

 

LOGO

 

  1   

Commencement of operations.

 

Overview of the Trust’s Total Investments
Portfolio Composition   10/31/16     10/31/15  

Corporate Bonds

    41     33

Asset-Backed Securities

    19        21   

Non-Agency Mortgage-Backed Securities

    18        25   

Preferred Securities

    12        13   

Floating Rate Loan Interests

    5        5   

Foreign Agency Obligations

    4        2   

Short-Term Securities

    1        1   

Other

    1       2  

 

  1   

Includes a less than 1% holding in each of the following investment types: Common Stocks, U.S. Treasury Obligations, Options Purchased and Options Written.

 

  2   

Includes a less than 1% holding in each of the following investment types: Options Purchased and Options Written.

Credit Quality Allocation3,4   10/31/16     10/31/15  

AAA/Aaa5

    6        

AA/Aa

    2       

A

    8        3

BBB/Baa

    18        17   

BB/Ba

    22        28   

B

    20        12   

CCC/Caa

    16        19   

CC/Ca

    5        5   

C

    1          

N/R

    8        16   

 

  3  

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s 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.

 

  4   

Excludes Short-Term Securities, Options Purchased and Options Written.

 

  5   

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.

 

  6   

Represents less than 1% of total investments.

 

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    9


The Benefits and Risks of Leveraging     

 

The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Trusts (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Trusts’ shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV.

To illustrate these concepts, assume a Trust’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trusts’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trusts had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Trusts’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest

rates can influence the Trusts’ NAVs positively or negatively. Changes in

the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Trusts’ intended leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Trust’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s shares than if the Trust were not leveraged. In addition, each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trusts to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of the Trusts’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trust’ investment adviser will be higher than if the Trusts did not use leverage.

Each Trust may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Financial Statements.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Trusts are permitted to issue debt up to 33 1/3% of their total managed assets. BIT is permitted to use economic leverage (which includes leverage attributable to reverse repurchase agreements) of up to 50% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

If a Trust segregates or designates on its books and records cash or liquid assets having values not less than the value of a Trust’s obligations under the reverse repurchase agreement (including accrued interest) then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements under the 1940 Act.

 

 

Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the

transaction or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

                
10    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments October 31, 2016

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Common Stocks          

Shares

    Value  

Oil, Gas & Consumable Fuels — 0.0%

  

Denbury Resources, Inc.

             12,160      $ 29,014   

Real Estate Investment Trusts (REITs) — 0.0%

  

Ovation Acquisition I LLC, (Acquired 12/28/15, cost $45,445) (a)

             2,951        2,951   
Total Common Stocks — 0.0%                      31,965   
      
                          
Asset-Backed Securities (b)   

Par  

(000)

        

Asset-Backed Securities — 5.6%

      

ACAS CLO Ltd., Series 2014-1A, Class C, 3.78%, 7/18/26 (c)

     USD        750        747,982   

ALM Loan Funding (c):

      

Series 2012-5A, Class BR, 3.88%, 10/18/27

       1,000        1,005,989   

Series 2013-7R2A, Class B, 3.48%, 4/24/24

       3,000        2,980,073   

ALM XII Ltd., Series 2015-12A, Class B, 4.13%, 4/16/27 (c)

       1,000        1,005,665   

ALM XIV Ltd., Series 2014-14A, Class C, 4.34%, 7/28/26 (c)

       4,500        4,390,475   

ALM XVII Ltd., Series 2015-17A, Class B1, 4.28%, 1/15/28 (c)

       1,400        1,437,172   

AMMC CLO Ltd., Series 2015-17A, Class C, 4.07%, 11/15/27 (c)

       1,000        993,918   

Anchorage Capital CLO 3, Ltd., Series 2014-3A, Class C, 4.39%, 4/28/26 (c)

       1,000        1,000,008   

Apidos CDO, Series 2012-9AR, Class CR, 3.78%, 7/15/23 (c)

       1,000        1,000,077   

Apidos CLO XVIII, Series 2014-18A, Class C, 4.53%, 7/22/26 (c)

       1,300        1,282,128   

Ares CLO Ltd., Series 2012-2A, Class CR, 3.57%, 10/12/23 (c)

       1,000        997,810   

Atlas Senior Loan Fund II, Ltd., Series 2012-2A, Class DR, 4.73%, 1/30/24 (c)

       750        746,869   

Atlas Senior Loan Fund Ltd. (c):

      

Series 2012-1A, Class B1LR, 4.66%, 8/15/24

       2,000        2,000,089   

Series 2014-6A, Class D, 4.58%, 10/15/26

       3,000        2,900,705   

Atrium CDO Corp. (c):

      

Series 5A, Class A4, 1.20%, 7/20/20

       9,000        8,960,273   

Series 9A, Class D, 4.33%, 2/28/24

       1,000        982,552   

Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class B, 3.68%, 7/20/26 (c)

       1,250        1,250,000   

Benefit Street Partners CLO VI Ltd., Series 2015-VIA, Class B, 3.93%, 4/18/27 (c)

       1,000        1,002,500   

Bowman Park CLO Ltd., Series 2014-1A, Class D2, 4.77%, 11/23/25 (c)

       1,000        960,909   
Asset-Backed Securities (b)   

Par  

(000)

    Value  

Asset-Backed Securities (continued)

      

Carlyle Global Market Strategies CLO Ltd. (c):

      

Series 2012-2A, Class C1R, 3.78%, 7/20/23

     USD        1,000      $ 1,003,167   

Series 2013-3A, Class C, 4.28%, 7/15/25

       1,000        970,438   

Series 2014-5A, Class C, 5.03%, 10/16/25

       1,000        1,000,273   

Series 2015-1A, Class C, 4.03%, 4/20/27

       500        504,273   

Series 2016-1A, Class C, 5.78%, 4/20/27

       1,000        1,006,500   

Series 2016-3A, Class C, 4.79%, 10/20/29

       1,000        999,940   

CIFC Funding Ltd., Series 2014-3A (c):

      

Class C1, 3.68%, 7/22/26

       1,500        1,498,818   

Class D, 4.28%, 7/22/26

       1,071        1,015,494   

Dryden 34 Senior Loan Fund, Series 2014-34A, Class C, 3.68%, 10/15/26 (c)

       250        249,994   

GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class D, 4.25%, 10/29/26

       1,000        977,471   

Highbridge Loan Management Ltd. (c):

      

Series 4A-2014, Class B, 3.89%, 7/28/25

       750        750,185   

Series 6A-2015, Class C, 3.85%, 5/05/27

       1,500        1,497,199   

Series 8A-2016, Class D, 5.73%, 4/20/27

       500        481,975   

ING IM CLO Ltd., Series 2013-2A, Class C, 4.38%, 4/25/25 (c)

       1,000        975,745   

LCM XVIII LP, Series 18A, Class C1, 4.03%, 4/20/27 (c)

       1,000        1,000,207   

Limerock CLO III LLC, Series 2014-3A, Class C, 4.48%, 10/20/26 (c)

       1,000        946,268   

Madison Park Funding IX Ltd., Series 2012-9AR, Class C1R, 3.67%, 8/15/22 (c)

       2,000        2,000,793   

Madison Park Funding Ltd. (c):

      

Series 2012-8AR, Class CR, 3.68%, 4/22/22

       1,350        1,350,881   

Series 2012-8AR, Class DR, 4.73%, 4/22/22

       1,500        1,499,230   

Series 2014-14A, Class D, 4.48%, 7/20/26

       2,000        1,964,752   

Madison Park Funding XIII Ltd., Series 2014-13A, Class C, 3.63%, 1/19/25 (c)

       1,000        1,002,460   

Madison Park Funding XIV, Ltd., Series 2014-14A, Class C1, 3.98%, 7/20/26 (c)

       1,250        1,250,250   

Madison Park Funding XV Ltd., Series 2014-15A, Class B1, 4.14%, 1/27/26 (c)

       2,400        2,401,947   

Madison Park Funding XVI Ltd., Series 2015-16A, Class B, 3.88%, 4/20/26 (c)

       1,000        1,002,800   

Mill Creek II CLO, Ltd., Series 2016-1A, Class D, 5.73%, 4/20/28 (c)

       1,000        1,007,600   

Oak Hill Credit Partners XII Ltd., Series 2015-12A, Class C2, 4.13%, 1/23/27 (c)

       1,600        1,602,400   

Octagon Investment Partners 26 Ltd., Series 2016-1A, Class D, 5.83%, 4/15/27 (c)

       500        500,677   

Octagon Investment Partners XX Ltd., Series 2014-1A, Class C, 3.62%, 8/12/26 (c)

       750        748,350   

Octagon Loan Funding Ltd., Series 2014-1A, Class D, 4.45%, 11/18/26 (c)

       1,500        1,444,507   
 
Portfolio Abbreviations

 

ABS    Asset-Backed Security      COP    Certificates of Participation    NOK    Norwegian Krone
ADS    American Depositary Shares      EUR    Euro    NZD    New Zealand Dollar
ARB    Airport Revenue Bonds      FKA    Formerly Known As    OTC    Over-the-Counter
ARS    Argentine Peso      GBP    British Pound    PIK    Payment-In-Kind
AUD    Australian Dollar      INR    Indian Rupee    RB    Revenue Bonds
BRL    Brazilian Real      JPY    Japanese Yen    REMIC    Real Estate Mortgage Investment Conduit
BZDIOVER    1-Day Brazil Interbank Deposit      KRW    South Korean Won    RUB    Russian Ruble
CAD    Canadian Dollar      KRWCD    3-Month Certificate of Deposit Rate    SEK    Swedish Krona
CHF    Swiss Franc      LOC    Letter of Credit    TRY    Turkish Lira
CLO    Collateralized Loan Obligation      MXIBTIIE    Mexico Interbank TIIE 28 Day    TWD    Taiwan Dollar
CLP    Chilean Peso      MXN    Mexican Peso    USD    U.S. Dollar
CNH    Yuan Renminbi Offshore      MYR    Malaysian Ringgit    ZAR    South African Rand
CNY    Chinese Renminbi              

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    11


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Asset-Backed Securities (b)   

Par  

(000)

    Value  

Asset-Backed Securities (continued)

      

OZLM VI Ltd., Series 2014-6A, Class B, 3.78%, 4/17/26 (c)

     USD        1,100      $ 1,105,806   

OZLM VII Ltd., Series 2014-7A, Class C, 4.48%, 7/17/26 (c)

       1,500        1,440,821   

OZLM XI Ltd., Series 2015-11A, Class B, 3.76%, 1/30/27 (c)

       2,750        2,750,031   

Regatta IV Funding Ltd., Series 2014-1A, Class C, 3.83%, 7/25/26 (c)

       1,500        1,500,095   

Regatta V Funding Ltd., Series 2014-1A (c):

      

Class B, 3.88%, 10/25/26

       1,000        1,000,096   

Class C, 4.33%, 10/25/26

       1,000        919,963   

SLM Private Credit Student Loan Trust, Series 2004-B, Class A2, 1.05%, 6/15/21

       522        521,154   

Symphony CLO Ltd., Series 2016-17A, Class D, 5.76%, 4/15/28 (c)

       1,000        1,012,000   

Symphony CLO XV Ltd., Series 2014-15A (c):

      

Class C, 4.08%, 10/17/26

       2,500        2,499,978   

Class D, 4.63%, 10/17/26

       1,000        991,460   

Venture XIII CLO Ltd., Series 2013-13A, Class D, 4.40%, 6/10/25 (c)

       800        785,015   

Vibrant CLO II, Ltd., Series 2013-2A, Class C, 4.48%, 7/24/24 (c)

       1,000        979,017   

Voya CLO Ltd., Series 2014-4A, Class C, 4.88%, 10/14/26 (c)

       1,000        983,373   

Webster Park CLO Ltd., Series 2015-1A, Class B1, 3.98%, 1/20/27 (c)

             4,000        4,055,152   
Total Asset-Backed Securities — 5.6%                      88,843,749   
      
                          
Corporate Bonds                      

Aerospace & Defense — 0.6%

      

Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (c)

       536        561,460   

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

       725        737,832   

Mexico City Airport Trust, 4.25%, 10/31/26 (c)

       1,350        1,375,650   

TransDigm, Inc.:

      

6.00%, 7/15/22

       4,360        4,545,300   

6.50%, 7/15/24

       1,560        1,641,900   
      

 

 

 
                       8,862,142   

Air Freight & Logistics — 0.1%

      

XPO Logistics, Inc. (c):

      

6.50%, 6/15/22

       1,421        1,477,840   

6.13%, 9/01/23

       496        510,260   
      

 

 

 
                       1,988,100   

Airlines — 1.0%

      

American Airlines Group, Inc., 4.63%, 3/01/20 (c)

       692        696,325   

Continental Airlines Pass-Through Trust:

      

Series 2009-2, Class B, 9.25%, 11/10/18

       1,574        1,603,752   

Series 2012-3, Class C, 6.13%, 4/29/18

       2,040        2,142,000   

Delta Air Lines Pass-Through Trust, Series 2002-1, Class G-1, 6.72%, 7/02/24

       3,042        3,498,774   

Turkish Airlines Pass Through Trust, Series 2015-1 Class A, 4.20%, 9/15/28 (c)

       2,807        2,687,573   

United Airlines Pass-Through Trust, Series 2014-1, Class B, 4.75%, 10/11/23

       3,616        3,705,993   

Virgin Australia Trust, Series 2013-1, Class B, 6.00%, 4/23/22 (c)

       1,001        1,015,907   
      

 

 

 
                       15,350,324   

Auto Components — 0.5%

      

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

       734        748,680   

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

       535        539,681   
Corporate Bonds   

Par  

(000)

    Value  

Auto Components (continued)

      

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

4.88%, 3/15/19

     USD        3,950      $ 3,932,225   

6.00%, 8/01/20

       3,108        3,053,610   
      

 

 

 
                       8,274,196   

Automobiles — 0.5%

      

Ford Motor Co., 7.45%, 7/16/31

       3,660        4,809,006   

General Motors Co.:

      

4.88%, 10/02/23

       1,875        2,018,878   

6.25%, 10/02/43

       940        1,076,296   
      

 

 

 
                       7,904,180   

Banks — 4.3%

      

CIT Group, Inc.:

      

4.25%, 8/15/17

       4,600        4,658,880   

5.25%, 3/15/18

       4,030        4,173,710   

5.50%, 2/15/19 (c)

       3,967        4,175,267   

5.00%, 8/01/23

       660        702,966   

City National Corp., 5.25%, 9/15/20 (d)

       2,900        3,243,789   

Cooperatieve Rabobank UA, 3.95%, 11/09/22 (d)

       3,775        3,957,374   

Credit Suisse Group AG, 6.50%, 8/08/23 (c)

       6,000        6,532,500   

Discover Bank/Greenwood, 8.70%, 11/18/19

       748        867,530   

Fifth Third Bancorp, 5.10% (b)(e)

       5,000        4,826,000   

HSBC Finance Corp., 6.68%, 1/15/21 (d)

       5,150        5,877,958   

Intesa Sanpaolo SpA, 5.71%, 1/15/26 (c)

       3,840        3,656,817   

Lloyds Banking Group PLC, 4.65%, 3/24/26

       3,015        3,103,267   

Royal Bank of Scotland Group PLC, 6.00%, 12/19/23

       10,080        10,404,929   

Wells Fargo & Co.:

      

3.45%, 2/13/23

       2,325        2,386,482   

4.13%, 8/15/23 (d)

       4,000        4,266,620   

5.61%, 1/15/44 (d)

       4,119        4,829,956   
      

 

 

 
                       67,664,045   

Beverages — 0.6%

      

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

       6,170        7,055,623   

Molson Coors Brewing Co., 4.20%, 7/15/46

       1,665        1,664,556   
      

 

 

 
                       8,720,179   

Biotechnology — 0.4%

      

Amgen, Inc., 4.66%, 6/15/51 (c)(d)

             6,709        6,861,207   

Building Products — 0.3%

      

American Builders & Contractors Supply Co., Inc., 5.75%, 12/15/23 (c)

       424        442,020   

Builders FirstSource, Inc., 5.63%, 9/01/24 (c)

       586        591,860   

Building Materials Corp. of America, 6.00%, 10/15/25 (c)

       2,038        2,175,463   

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

       610        631,350   

Standard Industries, Inc., 5.13%, 2/15/21 (c)

       420        441,000   
      

 

 

 
                       4,281,693   

Capital Markets — 2.9%

      

E*Trade Financial Corp., 5.38%, 11/15/22

       1,348        1,440,817   

Goldman Sachs Group, Inc.:

      

6.25%, 9/01/17

       625        649,755   

7.50%, 2/15/19 (d)

       5,165        5,806,927   

5.25%, 7/27/21

       1,175        1,320,628   

5.75%, 1/24/22

       5,500        6,358,918   

6.25%, 2/01/41 (d)

       15,000        19,211,985   

Morgan Stanley (d):

      

5.63%, 9/23/19

       6,770        7,453,675   

5.50%, 7/28/21

       2,695        3,059,138   
      

 

 

 
                       45,301,843   
 

 

See Notes to Financial Statements.

 

                
12    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Corporate Bonds   

Par  

(000)

    Value  

Chemicals — 1.2%

      

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

     USD        715      $ 725,725   

Basell Finance Co. BV, 8.10%, 3/15/27 (c)(d)

       6,000        8,001,210   

CF Industries, Inc., 5.38%, 3/15/44

       3,625        3,100,633   

Chemours Co.:

      

6.63%, 5/15/23

       220        213,400   

7.00%, 5/15/25

       869        845,103   

Huntsman International LLC:

      

4.88%, 11/15/20

       72        74,714   

5.13%, 11/15/22

       2,495        2,582,325   

NOVA Chemicals Corp., 5.25%, 8/01/23 (c)

       772        786,475   

Platform Specialty Products Corp. (c):

      

10.38%, 5/01/21

       165        178,200   

6.50%, 2/01/22

       1,372        1,330,840   

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

       935        1,008,631   
      

 

 

 
                       18,847,256   

Commercial Services & Supplies — 3.2%

      

ADS Waste Holdings, Inc., 8.25%, 10/01/20

       1,003        1,048,135   

Aviation Capital Group Corp. (c):

      

7.13%, 10/15/20

       31,000        36,647,270   

6.75%, 4/06/21

       7,850        9,314,261   

Intelsat Jackson Holdings SA, 7.25%, 4/01/19

       808        651,450   

United Rentals North America, Inc.:

      

7.63%, 4/15/22

       1,853        1,970,443   

5.50%, 5/15/27 (f)

       790        786,050   
      

 

 

 
                       50,417,609   

Communications Equipment — 0.3%

      

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

       2,242        2,354,100   

CommScope, Inc., 5.50%, 6/15/24 (c)

       254        266,065   

Zayo Group LLC/Zayo Capital, Inc., 6.38%, 5/15/25

       2,126        2,238,295   
      

 

 

 
                       4,858,460   

Construction & Engineering — 0.2%

      

AECOM Co.:

      

5.75%, 10/15/22

       333        349,510   

5.88%, 10/15/24

       2,311        2,440,994   

BlueLine Rental Finance Corp., 7.00%, 2/01/19 (c)

       413        360,342   

Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23

       825        750,750   
      

 

 

 
                       3,901,596   

Construction Materials — 0.5%

      

Allegion US Holding Co., Inc., 5.75%, 10/01/21

       1,907        1,985,664   

HD Supply, Inc. (c):

      

5.25%, 12/15/21

       3,278        3,482,875   

5.75%, 4/15/24

       1,701        1,786,050   

PulteGroup, Inc., 5.50%, 3/01/26

       926        963,040   
      

 

 

 
                       8,217,629   

Consumer Finance — 1.5%

      

Ally Financial, Inc.:

      

5.13%, 9/30/24

       590        622,450   

4.63%, 3/30/25

       136        138,380   

8.00%, 11/01/31

       5,795        6,925,025   

Capital One Bank USA NA, 3.38%, 2/15/23 (d)

       6,610        6,751,745   

Discover Financial Services, 3.85%, 11/21/22

       3,252        3,355,875   

Experian Finance PLC, 2.38%, 6/15/17 (c)(d)

       2,550        2,563,979   

Navient Corp.:

      

6.63%, 7/26/21

       461        464,457   

7.25%, 9/25/23

       996        992,265   

Total System Services, Inc., 3.80%, 4/01/21

       1,630        1,719,450   
      

 

 

 
                       23,533,626   
Corporate Bonds   

Par  

(000)

    Value  

Containers & Packaging — 0.4%

      

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 6.25%, 1/31/19 (c)

     USD        400      $ 407,500   

Ball Corp., 4.38%, 12/15/20

       681        725,265   

Reynolds Group Issuer, Inc.:

      

5.75%, 10/15/20

       2,866        2,941,319   

6.88%, 2/15/21

       105        108,675   

7.00%, 7/15/24 (c)

       1,247        1,332,731   

Sealed Air Corp., 6.88%, 7/15/33 (c)

       182        195,650   
      

 

 

 
                       5,711,140   

Diversified Consumer Services — 0.4%

      

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

       1,295        1,375,937   

Service Corp. International, 4.50%, 11/15/20

       4,382        4,458,685   
      

 

 

 
                       5,834,622   

Diversified Financial Services — 8.5%

      

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:

      

4.63%, 10/30/20

       961        1,011,452   

4.63%, 7/01/22

       518        540,663   

Air Lease Corp., 3.75%, 2/01/22

       5,000        5,261,460   

Aircastle Ltd., 6.25%, 12/01/19

       3,937        4,286,409   

Bank of America Corp.:

      

5.00%, 5/13/21 (d)

       17,100        18,957,812   

5.70%, 1/24/22

       2,590        2,991,875   

4.45%, 3/03/26

       1,765        1,884,079   

Bank of America NA, 5.30%, 3/15/17 (d)

       13,440        13,634,746   

Barclays PLC, 4.38%, 9/11/24

       2,100        2,108,446   

Citigroup, Inc. (d):

      

4.45%, 1/10/17

       4,800        4,830,096   

6.68%, 9/13/43

       4,125        5,308,376   

Credit Suisse Group Funding Guernsey Ltd., 4.55%, 4/17/26 (c)(d)

       5,000        5,244,090   

Double Eagle Acquisition, Inc., 7.50%, 10/01/24 (c)

       739        761,170   

Ford Motor Credit Co. LLC:

      

8.00%, 12/15/16

       4,000        4,031,000   

5.88%, 8/02/21

       9,420        10,696,674   

General Motors Financial Co., Inc.:

      

6.75%, 6/01/18

       1,700        1,824,085   

4.38%, 9/25/21

       2,260        2,399,752   

4.25%, 5/15/23

       1,681        1,744,601   

ING Bank NV, 5.00%, 6/09/21 (c)(d)

       8,000        8,979,392   

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

       1,705        1,692,212   

Leucadia National Corp., 5.50%, 10/18/23

       4,000        4,200,128   

Lloyds Banking Group PLC (c):

      

4.58%, 12/10/25

       1,985        2,017,084   

5.30%, 12/01/45

       1,120        1,181,986   

Moody’s Corp., 6.06%, 9/07/17

       20,000        20,422,140   

Resparcs Funding LP I, 8.00% (e)(g)

       4,000        703,168   

Royal Bank of Scotland Group PLC:

      

6.10%, 6/10/23

       2,500        2,591,312   

5.13%, 5/28/24

       5,250        5,197,762   
      

 

 

 
                       134,501,970   

Diversified Telecommunication Services — 6.1%

  

AT&T, Inc.:

      

5.00%, 3/01/21 (d)

       8,575        9,426,154   

6.30%, 1/15/38 (d)

       12,000        13,921,668   

4.30%, 12/15/42

       265        243,993   

4.35%, 6/15/45

       367        336,674   

CenturyLink, Inc.:

      

6.45%, 6/15/21

       1,660        1,772,050   

Series Y, 7.50%, 4/01/24

       150        156,188   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    13


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Corporate Bonds   

Par  

(000)

    Value  

Diversified Telecommunication Services (continued)

  

 

Frontier Communications Corp.:

      

6.25%, 9/15/21

     USD        980      $ 931,000   

7.13%, 1/15/23

       55        49,466   

7.63%, 4/15/24

       1,309        1,165,010   

6.88%, 1/15/25

       3,964        3,319,850   

Level 3 Financing, Inc.:

      

5.38%, 8/15/22

       2,095        2,152,613   

5.13%, 5/01/23

       1,183        1,194,830   

5.38%, 1/15/24

       754        769,080   

5.38%, 5/01/25

       2,003        2,033,045   

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

       1,658        1,658,000   

Telefonica Emisiones SAU, 3.19%, 4/27/18

       6,550        6,690,059   

Verizon Communications, Inc.:

      

5.15%, 9/15/23 (d)

       8,775        10,037,371   

6.40%, 9/15/33

       9,475        11,818,954   

7.35%, 4/01/39 (d)

       7,825        10,693,496   

6.55%, 9/15/43 (d)

       13,225        17,328,651   
      

 

 

 
                       95,698,152   

Electric Utilities — 4.8%

  

CMS Energy Corp., 5.05%, 3/15/22

       9,900        11,196,969   

Duke Energy Corp., 3.55%, 9/15/21 (d)

       3,650        3,897,353   

Emera, Inc., Series 16-A, 6.75%, 6/15/76 (b)

       7,500        8,287,500   

Great Plains Energy, Inc., 5.29%, 6/15/22 (h)

       5,550        6,151,304   

Midland Cogeneration Venture LP, 5.25%, 3/15/25 (c)

       4,102        4,131,531   

NiSource Finance Corp., 6.80%, 1/15/19 (d)

       3,075        3,406,783   

Oncor Electric Delivery Co. LLC (d):

      

4.10%, 6/01/22

       4,150        4,547,445   

5.30%, 6/01/42

       2,750        3,420,002   

Progress Energy, Inc., 7.00%, 10/30/31 (d)

       12,000        15,974,064   

Puget Energy, Inc.:

      

6.00%, 9/01/21

       275        316,885   

5.63%, 7/15/22

       5,550        6,329,603   

Southern Co., 4.40%, 7/01/46

       7,500        7,920,915   
      

 

 

 
                       75,580,354   

Electronic Equipment, Instruments & Components — 0.5%

  

CDW LLC/CDW Finance Corp.:

      

6.00%, 8/15/22

       1,050        1,113,000   

5.00%, 9/01/23

       306        314,231   

5.50%, 12/01/24

       2,458        2,581,662   

Jabil Circuit, Inc., 8.25%, 3/15/18

       2,600        2,808,000   

Sanmina Corp., 4.38%, 6/01/19 (c)

       1,415        1,475,138   
      

 

 

 
                       8,292,031   

Energy Equipment & Services — 0.7%

  

Genesis Energy LP/Genesis Energy Finance Corp.:

      

5.75%, 2/15/21

       473        471,818   

6.75%, 8/01/22

       1,175        1,207,312   

GrafTech International Ltd., 6.38%, 11/15/20

       890        676,400   

Halliburton Co., 5.00%, 11/15/45

       6,615        7,227,205   

Noble Holding International Ltd.:

      

4.63%, 3/01/21

       85        71,780   

7.20%, 4/01/25

       180        146,700   

Transocean, Inc., 6.00%, 3/15/18 (d)

       880        882,640   
      

 

 

 
                       10,683,855   

Food & Staples Retailing — 1.8%

  

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

      

6.63%, 6/15/24

       775        804,062   

5.75%, 3/15/25

       1,120        1,105,653   

CVS Health Corp.:

      

4.75%, 12/01/22

       289        324,002   

5.00%, 12/01/24

       183        208,800   

5.13%, 7/20/45 (d)

       3,879        4,525,206   
Corporate Bonds   

Par  

(000)

    Value  

Food & Staples Retailing (continued)

  

 

Dollar Tree, Inc.:

      

5.25%, 3/01/20

     USD        105      $ 108,938   

5.75%, 3/01/23

       4,723        5,029,995   

H.J. Heinz Finance Co., 7.13%, 8/01/39 (c)

       4,415        6,034,528   

Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.88%, 1/15/24

       191        204,848   

Rite Aid Corp.:

      

6.75%, 6/15/21

       541        568,050   

6.13%, 4/01/23 (c)

       2,974        3,137,570   

Wal-Mart Stores, Inc., 5.25%, 9/01/35 (d)

       5,150        6,579,424   
      

 

 

 
                       28,631,076   

Food Products — 1.2%

  

Aramark Services, Inc., 5.13%, 1/15/24 (c)

       815        853,713   

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

       830        856,975   

Kraft Foods, Inc.:

      

6.50%, 8/11/17 (d)

       4,450        4,626,127   

6.13%, 8/23/18

       4,840        5,271,539   

Kraft Heinz Foods Co., 4.38%, 6/01/46

       2,475        2,510,105   

Post Holdings, Inc. (c):

      

7.75%, 3/15/24

       1,502        1,660,010   

8.00%, 7/15/25

       743        847,020   

5.00%, 8/15/26

       1,349        1,308,530   

Smithfield Foods, Inc., 5.88%, 8/01/21 (c)

       715        745,388   

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

       431        462,894   
      

 

 

 
                       19,142,301   

Health Care Equipment & Supplies — 0.6%

      

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

       2,065        1,894,637   

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

      

4.88%, 4/15/20

       517        518,939   

5.75%, 8/01/22

       1,370        1,298,075   

5.63%, 10/15/23

       506        475,640   

Medtronic, Inc., 4.63%, 3/15/45 (d)

       4,565        5,164,672   
      

 

 

 
                       9,351,963   

Health Care Providers & Services — 3.6%

      

Acadia Healthcare Co., Inc., 5.13%, 7/01/22

       191        187,180   

Amsurg Corp., 5.63%, 7/15/22

       1,466        1,495,320   

Centene Corp.:

      

5.63%, 2/15/21

       875        917,884   

6.13%, 2/15/24

       645        686,925   

CHS/Community Health Systems, Inc.:

      

5.13%, 8/15/18

       1,620        1,605,825   

6.88%, 2/01/22

       1,111        847,138   

DaVita HealthCare Partners, Inc.:

      

5.13%, 7/15/24

       1,990        1,946,469   

5.00%, 5/01/25

       335        323,275   

HCA, Inc.:

      

3.75%, 3/15/19

       4,364        4,462,190   

6.50%, 2/15/20

       10,421        11,541,257   

7.50%, 2/15/22

       2,214        2,519,532   

5.88%, 3/15/22

       340        374,000   

4.75%, 5/01/23

       236        245,735   

5.38%, 2/01/25

       440        449,108   

5.88%, 2/15/26

       1,297        1,361,850   

HealthSouth Corp.:

      

5.13%, 3/15/23

       512        517,120   

5.75%, 11/01/24

       637        656,906   

Hologic, Inc., 5.25%, 7/15/22 (c)

       742        784,739   

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

       587        613,415   

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

       829        886,947   
 

 

See Notes to Financial Statements.

 

                
14    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Corporate Bonds   

Par  

(000)

    Value  

Health Care Providers & Services (continued)

      

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

     USD        1,109      $ 1,124,249   

Tenet Healthcare Corp.:

      

6.25%, 11/01/18

       736        778,320   

4.75%, 6/01/20

       1,450        1,482,625   

6.00%, 10/01/20

       3,645        3,839,570   

4.50%, 4/01/21

       73        73,000   

8.13%, 4/01/22

       1,907        1,864,092   

6.75%, 6/15/23

       1,758        1,615,163   

UnitedHealth Group, Inc., 6.88%, 2/15/38 (d)

       10,000        13,988,470   
      

 

 

 
                       57,188,304   

Hotels, Restaurants & Leisure — 0.6%

      

Boyd Gaming Corp., 6.38%, 4/01/26 (c)

       71        75,970   

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

       1,970        1,950,300   

GLP Capital LP / GLP Financing II, Inc., 4.38%, 4/15/21

       143        150,508   

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

      

5.00%, 6/01/24

       600        624,000   

5.25%, 6/01/26

       650        677,625   

MGM Resorts International, 6.75%, 10/01/20

       214        237,540   

MGP Escrow Issuer LLC/MGP Escrow Co-Issuer, Inc., 5.63%, 5/01/24 (c)

       627        667,379   

New Red Finance, Inc., 6.00%, 4/01/22 (c)

       2,215        2,314,675   

Sabre GLBL, Inc. (c):

      

5.38%, 4/15/23

       594        609,592   

5.25%, 11/15/23

       294        301,717   

Six Flags Entertainment Corp., 5.25%, 1/15/21 (c)

       1,718        1,769,540   
      

 

 

 
                       9,378,846   

Household Durables — 0.8%

      

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

       1,647        1,671,705   

CalAtlantic Group, Inc., 8.38%, 1/15/21

       3,015        3,580,313   

Lennar Corp.:

      

4.75%, 11/15/22

       1,805        1,877,200   

4.88%, 12/15/23

       466        475,320   

Newell Brands, Inc.:

      

3.85%, 4/01/23

       2,585        2,743,228   

4.20%, 4/01/26

       955        1,031,890   

TRI Pointe Group, Inc.:

      

4.38%, 6/15/19

       920        940,700   

5.88%, 6/15/24

       625        647,656   
      

 

 

 
                       12,968,012   

Household Products — 0.2%

      

Spectrum Brands, Inc.:

      

6.63%, 11/15/22

       1,110        1,189,787   

6.13%, 12/15/24

       231        252,945   

5.75%, 7/15/25

       1,002        1,084,665   
      

 

 

 
                       2,527,397   

Independent Power and Renewable Electricity Producers — 0.7%

  

Calpine Corp.:

      

6.00%, 1/15/22 (c)

       1,548        1,618,140   

5.88%, 1/15/24 (c)

       823        868,265   

5.75%, 1/15/25

       1,064        1,034,740   

Dynegy, Inc., 6.75%, 11/01/19

       1,945        1,968,515   

NRG Energy, Inc.:

      

6.25%, 5/01/24

       135        130,950   

7.25%, 5/15/26 (c)

       1,581        1,555,561   

6.63%, 1/15/27 (c)

       2,521        2,361,068   

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

       1,927        1,907,730   
      

 

 

 
                       11,444,969   
Corporate Bonds   

Par  

(000)

    Value  

Industrial Conglomerates — 0.0%

      

Cortes NP Acquisition Corp., 9.25%, 10/15/24 (c)

     USD        623      $ 650,646   

Insurance — 3.0%

      

American International Group, Inc., 6.40%, 12/15/20 (d)

       8,710        10,141,375   

Aon Corp., 5.00%, 9/30/20 (d)

       7,700        8,480,187   

Aon PLC, 4.25%, 12/12/42 (d)

       6,500        6,262,178   

Forethought Financial Group, Inc., 8.63%, 4/15/21 (c)

       3,400        3,877,340   

Northwestern Mutual Life Insurance Co., 6.06%, 3/30/40 (c)(d)

       12,000        15,439,404   

Principal Financial Group, Inc., 8.88%, 5/15/19

       2,825        3,318,270   
      

 

 

 
                       47,518,754   

Internet Software & Services — 0.1%

      

Equinix, Inc., 5.88%, 1/15/26

       1,061        1,134,124   

Netflix, Inc., 5.50%, 2/15/22

       563        609,448   
      

 

 

 
                       1,743,572   

IT Services — 0.8%

      

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

       1,755        1,847,138   

Fidelity National Information Services, Inc., 5.00%, 10/15/25

       1,935        2,177,719   

First Data Corp. (c):

      

6.75%, 11/01/20

       1,768        1,829,880   

5.38%, 8/15/23

       764        790,740   

7.00%, 12/01/23

       5,545        5,808,387   

5.75%, 1/15/24

       410        416,150   
      

 

 

 
                       12,870,014   

Life Sciences Tools & Services — 0.8%

      

Life Technologies Corp., 6.00%, 3/01/20 (d)

             12,000        13,369,836   

Media — 7.2%

      

21st Century Fox America, Inc., 6.15%, 3/01/37 (d)

       9,575        11,662,120   

A&E Television Networks LLC, 3.11%, 8/22/19

       5,000        5,113,500   

Altice Financing SA, 7.50%, 5/15/26 (c)

       2,172        2,237,160   

Altice Luxembourg SA (c):

      

7.75%, 5/15/22

       2,362        2,466,814   

7.63%, 2/15/25

       1,752        1,822,080   

Altice US Finance I Corp. (c):

      

5.38%, 7/15/23

       2,919        2,986,283   

5.50%, 5/15/26

       1,211        1,235,220   

AMC Networks, Inc.:

      

4.75%, 12/15/22

       685        698,700   

5.00%, 4/01/24

       432        437,400   

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

      

5.88%, 4/01/24

       1,759        1,860,142   

5.75%, 2/15/26

       499        519,896   

5.50%, 5/01/26

       1,219        1,248,719   

Charter Communications Operating LLC/Charter Communications Operating Capital (c):

      

4.91%, 7/23/25

       5,000        5,392,755   

6.38%, 10/23/35

       479        552,159   

6.48%, 10/23/45

       4,584        5,371,760   

6.83%, 10/23/55

       3,540        4,220,947   

Cinemark USA, Inc., 5.13%, 12/15/22

       349        358,598   

Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22

       11,711        11,890,420   

Cox Communications, Inc., 8.38%, 3/01/39 (c)(d)

       5,000        6,481,580   

CSC Holdings LLC:

      

8.63%, 2/15/19

       4,005        4,445,550   

6.63%, 10/15/25 (c)

       832        901,680   

DISH DBS Corp., 7.75%, 7/01/26

       1,901        2,087,545   

Grupo Televisa SAB, 5.00%, 5/13/45 (d)

       3,345        3,165,718   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    15


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

      

Hughes Satellite Systems Corp. (c):

      

5.25%, 8/01/26

     USD        1,017      $ 1,001,745   

6.63%, 8/01/26

       685        678,150   

Intelsat Jackson Holdings SA:

      

7.25%, 10/15/20

       380        288,088   

5.50%, 8/01/23 (d)

       1,127        746,638   

Interpublic Group of Cos., Inc., 3.75%, 2/15/23

       6,025        6,269,591   

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

       1,246        1,062,215   

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c)

       1,471        1,485,710   

Nexstar Escrow Corp., 5.63%, 8/01/24 (c)

       495        491,288   

Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (c)

       475        484,500   

Outfront Media Capital LLC/Outfront Media Capital Corp.:

      

5.25%, 2/15/22

       249        257,715   

5.63%, 2/15/24

       122        126,880   

SFR Group SA (c):

      

6.00%, 5/15/22

       4,544        4,659,054   

7.38%, 5/01/26

       5,843        5,901,430   

Time Warner Cable, Inc., 6.55%, 5/01/37

       3,519        4,129,543   

Time Warner, Inc.:

      

4.65%, 6/01/44

       28        28,985   

4.85%, 7/15/45

       40        42,481   

Tribune Media Co., 5.88%, 7/15/22

       1,308        1,308,000   

Univision Communications, Inc. (c):

      

5.13%, 5/15/23

       5,293        5,372,395   

5.13%, 2/15/25

       999        1,001,497   

Virgin Media Secured Finance PLC (c):

      

5.38%, 4/15/21

       1,255        1,295,374   

5.50%, 8/15/26

       487        491,261   
      

 

 

 
                       114,279,286   

Metals & Mining — 3.3%

      

Alcoa, Inc., 5.13%, 10/01/24

       1,903        1,983,916   

Alcoa Nederland Holding BV (c):

      

6.75%, 9/30/24

       310        320,850   

7.00%, 9/30/26

       291        299,672   

Anglo American Capital PLC, 4.45%, 9/27/20 (c)

       136        138,720   

AngloGold Ashanti Holdings PLC, 5.13%, 8/01/22

       5,000        5,115,235   

ArcelorMittal:

      

6.13%, 6/01/18

       2,575        2,729,500   

7.75%, 3/01/41

       455        477,750   

Commercial Metals Co., 4.88%, 5/15/23

       2,194        2,172,060   

Constellium NV:

      

4.63%, 5/15/21

     EUR        490        486,797   

5.75%, 5/15/24 (c)

     USD        1,728        1,529,280   

First Quantum Minerals Ltd. (c):

      

7.00%, 2/15/21

       303        287,661   

7.25%, 5/15/22

       912        862,980   

FMG Resources August 2006 Property Ltd., 9.75%, 3/01/22 (c)

       826        958,160   

Freeport-McMoRan, Inc.:

      

2.38%, 3/15/18

       4,664        4,605,700   

4.00%, 11/14/21

       500        472,500   

3.55%, 3/01/22

       1,251        1,147,792   

3.88%, 3/15/23

       5,360        4,837,400   

5.40%, 11/14/34

       2,250        1,937,812   

5.45%, 3/15/43

       1,147        952,010   

Novelis Corp. (c):

      

6.25%, 8/15/24

       2,862        2,976,480   

5.88%, 9/30/26

       2,060        2,085,750   

Southern Copper Corp., 5.88%, 4/23/45

       3,870        3,866,339   

Steel Dynamics, Inc.:

      

5.13%, 10/01/21

       1,105        1,151,962   

6.38%, 8/15/22

       1,430        1,490,775   
Corporate Bonds   

Par  

(000)

    Value  

Metals & Mining (continued)

      

Steel Dynamics, Inc. (continued):

      

5.25%, 4/15/23

     USD        309      $ 319,815   

5.50%, 10/01/24

       240        253,200   

Teck Resources Ltd.:

      

3.00%, 3/01/19

       119        117,215   

8.00%, 6/01/21 (c)

       1,202        1,313,185   

8.50%, 6/01/24 (c)

       799        924,843   

6.00%, 8/15/40

       1,861        1,795,865   

6.25%, 7/15/41

       721        713,790   

5.20%, 3/01/42

       640        577,600   

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

       944        1,003,000   

Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (c)

       1,472        1,457,280   
      

 

 

 
                       51,362,894   

Multi-Utilities — 1.2%

      

CenterPoint Energy, Inc. (d):

      

5.95%, 2/01/17

       9,000        9,094,815   

6.50%, 5/01/18

       9,675        10,292,120   
      

 

 

 
                       19,386,935   

Multiline Retail — 0.2%

      

Dufry Finance SCA, 5.50%, 10/15/20 (c)

             3,460        3,559,475   

Offshore Drilling & Other Services — 0.0%

      

Sensata Technologies BV, 5.63%, 11/01/24 (c)

             695        736,700   

Oil, Gas & Consumable Fuels — 14.4%

      

Access Midstream Partners LP/ACMP Finance Corp.:

      

6.13%, 7/15/22

       1,668        1,731,854   

4.88%, 5/15/23

       343        347,379   

Anadarko Petroleum Corp., 6.38%, 9/15/17

       75        78,150   

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

       1,492        1,007,100   

Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 (c)

       1,231        1,304,860   

CONSOL Energy, Inc., 5.88%, 4/15/22

       7,210        6,664,744   

Continental Resources, Inc.:

      

5.00%, 9/15/22

       7,519        7,368,620   

4.50%, 4/15/23

       469        446,723   

DCP Midstream LLC, 6.75%, 9/15/37 (c)

       1,527        1,595,715   

Denbury Resources, Inc., 9.00%, 5/15/21 (c)

       182        187,460   

Devon Energy Corp., 5.85%, 12/15/25

       4,000        4,585,048   

El Paso LLC:

      

7.80%, 8/01/31

       197        244,177   

7.75%, 1/15/32

       4,586        5,608,238   

El Paso Natural Gas Co. LLC, 8.63%, 1/15/22

       2,345        2,923,830   

El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/01/20

       5,075        5,693,434   

Enbridge Energy Partners LP, 9.88%, 3/01/19 (d)

       6,000        6,934,974   

Energy Transfer Equity LP:

      

7.50%, 10/15/20

       598        651,820   

5.88%, 1/15/24

       5,241        5,326,821   

5.50%, 6/01/27

       870        848,250   

Energy Transfer Partners LP:

      

5.20%, 2/01/22

       10,200        11,179,067   

6.13%, 12/15/45

       3,579        3,731,311   

Enterprise Products Operating LLC:

      

4.90%, 5/15/46

       5,375        5,530,499   

Series N, 6.50%, 1/31/19 (d)

       12,000        13,274,964   

Gulfport Energy Corp., 6.00%, 10/15/24 (c)

       444        452,325   

Hilcorp Energy I LP/Hilcorp Finance Co., 5.00%, 12/01/24 (c)

       3,666        3,574,350   

Kinder Morgan Energy Partners LP:

      

6.85%, 2/15/20 (d)

       12,000        13,524,288   

4.25%, 9/01/24

       2,170        2,237,292   

5.40%, 9/01/44

       3,615        3,621,279   
 

 

See Notes to Financial Statements.

 

                
16    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

      

MEG Energy Corp. (c):

      

6.50%, 3/15/21

     USD        3,839      $ 3,311,137   

7.00%, 3/31/24

       3,100        2,542,000   

Midcontinent Express Pipeline LLC, 6.70%, 9/15/19 (c)

       3,500        3,666,250   

Murphy Oil Corp., 6.88%, 8/15/24

       752        793,326   

Nexen Energy ULC, 6.40%, 5/15/37

       2,000        2,532,700   

NGPL PipeCo LLC (c):

      

7.12%, 12/15/17

       2,859        2,987,655   

9.63%, 6/01/19

       902        947,100   

Noble Energy, Inc.:

      

5.63%, 5/01/21

       1,784        1,849,726   

5.05%, 11/15/44

       3,500        3,531,661   

ONEOK Partners LP, 8.63%, 3/01/19 (d)

       10,000        11,390,800   

PDC Energy, Inc., 7.75%, 10/15/22

       1,225        1,301,563   

Petroleos Mexicanos:

      

3.50%, 1/30/23 (d)

       5,000        4,722,500   

4.63%, 9/21/23 (c)

       3,965        3,954,294   

4.88%, 1/18/24 (d)

       2,000        2,008,460   

Pioneer Natural Resources Co., 6.88%, 5/01/18

       1,665        1,784,847   

Plains All American Pipeline LP/PAA Finance Corp.:

      

4.70%, 6/15/44

       1,498        1,380,782   

4.90%, 2/15/45

       2,102        1,996,192   

Range Resources Corp., 5.00%, 8/15/22 (c)

       32        31,200   

Rockies Express Pipeline LLC (c):

      

5.63%, 4/15/20

       295        309,381   

6.88%, 4/15/40

       580        604,650   

RSP Permian, Inc., 6.63%, 10/01/22

       789        831,409   

Ruby Pipeline LLC, 6.00%, 4/01/22 (c)

       10,000        10,292,310   

Sabine Pass Liquefaction LLC:

      

5.63%, 4/15/23

       10,510        11,166,875   

5.75%, 5/15/24

       2,575        2,723,062   

5.88%, 6/30/26 (c)

       1,481        1,596,074   

5.00%, 3/15/27 (c)

       774        787,545   

Sabine Pass LNG LP, 7.50%, 11/30/16

       4,471        4,488,437   

Sanchez Energy Corp.:

      

7.75%, 6/15/21

       153        142,290   

6.13%, 1/15/23

       2,119        1,811,745   

SM Energy Co.:

      

6.50%, 1/01/23

       177        176,115   

5.00%, 1/15/24

       181        168,330   

Southwestern Energy Co.:

      

7.50%, 2/01/18

       63        65,993   

5.80%, 1/23/20

       1,166        1,160,170   

4.10%, 3/15/22

       710        635,450   

6.70%, 1/23/25

       169        160,973   

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

      

6.88%, 2/01/21

       1,449        1,499,715   

6.38%, 8/01/22

       255        262,650   

5.25%, 5/01/23

       37        36,726   

6.75%, 3/15/24

       184        196,880   

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

      

6.13%, 10/15/21

       125        130,781   

6.25%, 10/15/22

       1,519        1,610,140   

6.38%, 5/01/24

       342        368,505   

TransCanada PipeLines Ltd., 4.88%, 1/15/26

       4,485        5,142,873   

Weatherford International Ltd.:

      

4.50%, 4/15/22

       75        67,500   

6.50%, 8/01/36

       45        35,550   

Western Gas Partners LP, 5.38%, 6/01/21

       5,125        5,588,326   

Whiting Petroleum Corp.:

      

6.25%, 4/01/23 (i)

       116        113,602   

6.25%, 4/01/23

       1,697        1,565,483   
Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

      

Williams Cos., Inc.:

      

3.70%, 1/15/23

     USD        2,245      $ 2,172,037   

4.55%, 6/24/24

       1,253        1,274,928   

8.75%, 3/15/32

       2,478        3,060,330   

5.75%, 6/24/44

       685        699,984   

Williams Partners LP, 5.10%, 9/15/45

       5,075        4,876,882   

WPX Energy, Inc., 6.00%, 1/15/22

       164        163,590   
      

 

 

 
                       227,394,056   

Paper & Forest Products — 2.0%

      

International Paper Co. (d):

      

7.50%, 8/15/21

       9,675        11,883,309   

8.70%, 6/15/38

       4,000        5,892,964   

7.30%, 11/15/39

       10,000        13,146,570   
      

 

 

 
                       30,922,843   

Pharmaceuticals — 3.7%

      

AbbVie, Inc. (d):

      

2.90%, 11/06/22

       5,675        5,744,587   

4.70%, 5/14/45

       3,255        3,358,343   

Actavis Funding SCS:

      

3.45%, 3/15/22

       7,335        7,615,204   

3.85%, 6/15/24

       6,000        6,241,230   

4.75%, 3/15/45

       1,450        1,520,951   

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

      

6.00%, 7/15/23

       1,514        1,317,180   

6.50%, 2/01/25

       730        615,025   

Forest Laboratories, Inc. (c):

      

4.38%, 2/01/19

       2,924        3,071,384   

5.00%, 12/15/21

       1,631        1,820,662   

Grifols Worldwide Operations Ltd., 5.25%, 4/01/22

       1,613        1,681,553   

Merck & Co., Inc., 6.50%, 12/01/33

       6,420        8,707,433   

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

       7,500        7,480,650   

Valeant Pharmaceuticals International, Inc. (c):

      

6.75%, 8/15/18

       6,135        5,987,760   

5.38%, 3/15/20

       62        53,630   

7.00%, 10/01/20

       447        400,065   

6.38%, 10/15/20

       1,015        875,438   

7.50%, 7/15/21

       273        242,970   

5.63%, 12/01/21

       1,137        932,340   

5.50%, 3/01/23

       31        24,335   

5.88%, 5/15/23

       665        523,688   

6.13%, 4/15/25

       116        91,640   
      

 

 

 
                       58,306,068   

Professional Services — 0.4%

      

Dun & Bradstreet Corp., 3.25%, 12/01/17

             5,750        5,835,186   

Real Estate Investment Trusts (REITs) — 3.2%

      

American Tower Corp.:

      

4.50%, 1/15/18

       6,500        6,719,758   

5.05%, 9/01/20

       500        550,252   

5.90%, 11/01/21 (d)

       3,770        4,359,123   

AvalonBay Communities, Inc., 6.10%, 3/15/20

       10,000        11,357,080   

DDR Corp.:

      

4.75%, 4/15/18

       2,140        2,215,872   

7.88%, 9/01/20

       2,650        3,158,811   

ERP Operating LP, 5.75%, 6/15/17 (d)

       10,000        10,276,570   

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

       881        883,202   

Host Hotels & Resorts LP, 3.75%, 10/15/23 (d)

       3,600        3,624,617   

iStar, Inc., 4.00%, 11/01/17

       825        826,031   

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.50%, 9/01/26 (c)

       740        727,050   

UDR, Inc., 4.25%, 6/01/18 (d)

       5,225        5,438,692   
      

 

 

 
                       50,137,058   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    17


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Corporate Bonds   

Par  

(000)

    Value  

Real Estate Management & Development — 0.4%

  

 

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

     USD        4,485      $ 4,043,142   

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

      

4.50%, 4/15/19

       803        833,113   

5.25%, 12/01/21

       344        361,630   

4.88%, 6/01/23

       1,332        1,332,000   
      

 

 

 
                       6,569,885   

Road & Rail — 1.1%

      

Hertz Corp.:

      

6.75%, 4/15/19

       420        428,488   

5.88%, 10/15/20

       925        950,438   

7.38%, 1/15/21

       310        319,300   

5.50%, 10/15/24 (c)

       954        926,239   

Norfolk Southern Corp., 6.00%, 3/15/05

       12,700        14,690,115   
      

 

 

 
                       17,314,580   

Semiconductors & Semiconductor Equipment — 0.3%

  

NXP BV/NXP Funding LLC (c):

      

4.13%, 6/15/20

       951        1,003,305   

4.13%, 6/01/21

       1,461        1,559,617   

4.63%, 6/15/22

       490        534,100   

4.63%, 6/01/23

       204        223,380   

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

       1,418        1,453,450   
      

 

 

 
                       4,773,852   

Software — 0.9%

      

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

       2,034        2,034,000   

Infor US, Inc., 6.50%, 5/15/22

       2,425        2,506,844   

Informatica LLC, 7.13%, 7/15/23 (c)

       477        444,802   

Nuance Communications, Inc., 5.38%, 8/15/20 (c)

       4,435        4,556,962   

Oracle Corp., 2.65%, 7/15/26 (d)

       4,890        4,823,628   

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

       313        330,998   
      

 

 

 
                       14,697,234   

Specialty Retail — 0.8%

      

L Brands, Inc.:

      

7.00%, 5/01/20

       3,050        3,477,000   

6.88%, 11/01/35

       1,119        1,186,140   

Penske Automotive Group, Inc., 5.38%, 12/01/24

       1,951        1,960,755   

VF Corp., 5.95%, 11/01/17 (d)

       5,000        5,224,950   
      

 

 

 
                       11,848,845   

Technology Hardware, Storage & Peripherals — 0.6%

  

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

      

5.88%, 6/15/21

       615        648,184   

7.13%, 6/15/24

       747        818,305   

8.35%, 7/15/46

       6,005        7,276,205   

Western Digital Corp., 7.38%, 4/01/23 (c)

       1,199        1,311,406   
      

 

 

 
                       10,054,100   

Textiles, Apparel & Luxury Goods — 0.2%

      

Levi Strauss & Co., 5.00%, 5/01/25

       699        725,212   

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

       304        316,160   

William Carter Co., 5.25%, 8/15/21

       1,406        1,462,240   
      

 

 

 
                       2,503,612   

Thrifts & Mortgage Finance — 0.1%

  

Radian Group, Inc., 5.25%, 6/15/20

             1,045        1,098,556   

Tobacco — 1.8%

      

Altria Group, Inc., 10.20%, 2/06/39 (d)

       13,392        24,669,684   

Reynolds American, Inc.:

      

4.85%, 9/15/23

       1,120        1,263,557   
Corporate Bonds   

Par  

(000)

    Value  

Tobacco (continued)

      

Reynolds American, Inc. (continued):

      

5.85%, 8/15/45

     USD        2,335      $ 2,903,120   
      

 

 

 
                       28,836,361   

Trading Companies & Distributors — 0.3%

  

Doric Nimrod Air Alpha Ltd. Pass-Through Trust, Series 2013-1 (c):

      

Class A, 5.25%, 5/30/25

       2,326        2,448,033   

Class B, 6.13%, 11/30/21

       2,486        2,604,456   
      

 

 

 
                       5,052,489   

Transportation Infrastructure — 0.8%

  

CEVA Group PLC, 4.00%, 5/01/18 (c)

       1,800        1,606,500   

Penske Truck Leasing Co. LP/PTL Finance Corp., 4.88%, 7/11/22 (c)

       10,500        11,623,027   
      

 

 

 
                       13,229,527   

Wireless Telecommunication Services — 1.5%

  

America Movil SAB de CV, 3.13%, 7/16/22 (d)

       1,275        1,307,372   

Crown Castle International Corp., 5.25%, 1/15/23

       1,380        1,542,026   

Crown Castle Towers LLC, 6.11%, 1/15/40 (c)

       4,555        5,025,500   

Digicel Group Ltd., 7.13%, 4/01/22 (c)

       370        293,114   

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

       1,285        1,149,690   

Sprint Communications, Inc., 9.00%, 11/15/18 (c)

       5,290        5,819,000   

Sprint Corp., 7.13%, 6/15/24

       1,755        1,649,700   

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 3/20/23 (c)

       1,193        1,201,947   

T-Mobile USA, Inc.:

      

6.63%, 4/28/21

       2,680        2,810,650   

6.73%, 4/28/22

       2,495        2,607,275   

6.84%, 4/28/23

       645        688,860   
      

 

 

 
                       24,095,134   
Total Corporate Bonds — 98.1%                1,550,066,575   
      
                          
Foreign Agency Obligations  

Brazilian Government International Bond, 5.00%, 1/27/45

       4,525        3,993,313   

Indonesia Government International Bond, 5.88%, 1/15/24 (c)

       4,400        5,104,365   

Mexico Government International Bond, 4.75%, 3/08/44

             2,300        2,294,250   
Total Foreign Agency Obligations — 0.7%                      11,391,928   
      
                          
Municipal Bonds                      

City of Chicago Illinois, Refunding ARB, O’Hare International Airport, General 3rd Lien, Build America Bonds, Series B, 6.85%, 1/01/38

       5,000        5,584,400   

Metropolitan Transportation Authority, RB, Build America Bonds, Series B-1, 6.55%, 11/15/31

             10,000        13,233,400   
Total Municipal Bonds — 1.2%                18,817,800   
      
                          
Preferred Securities                      
Capital Trusts                      

Banks — 3.5%

      

BNP Paribas SA (b)(c)(e):

      

7.20%

       5,000        5,643,750   
 

 

See Notes to Financial Statements.

 

                
18    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Capital Trusts   

Par  

(000)

    Value  

Banks (continued)

      

BNP Paribas SA (b)(c)(e) (continued):

      

7.38%

     USD        4,535      $ 4,654,044   

Capital One Financial Corp., Series E, 5.55% (b)(e)

       5,000        5,055,545   

Citigroup, Inc. (b)(e):

      

5.90%

       2,210        2,301,715   

5.95%

       7,000        7,157,500   

Credit Suisse Group AG, 7.50% (b)(c)(e)

       3,250        3,363,750   

HSBC Capital Funding LP, 10.18% (b)(c)(e)

       11,835        17,870,850   

Nordea Bank AB, 6.13% (b)(c)(e)

       5,540        5,463,825   

Wells Fargo & Co. (b)(e):

      

Series K, 7.98%

       809        843,382   

Series S, 5.90%

       281        293,996   

Series U, 5.88%

       2,655        2,852,466   
      

 

 

 
                       55,500,823   

Capital Markets — 2.3%

  

Charles Schwab Corp., Series E, 4.63% (b)(e)

       6,805        6,779,481   

Goldman Sachs Group, Inc., Series L, 5.70% (b)(e)

       2,950        2,986,875   

Morgan Stanley, Series H, 5.45% (b)(e)

       8,675        8,697,555   

State Street Capital Trust IV, 1.85%, 6/01/77 (b)

       17,845        15,346,700   

State Street Corp., Series F, 5.25% (b)(e)

       1,855        1,948,678   
      

 

 

 
                       35,759,289   

Consumer Finance — 0.3%

  

American Express Co., Series C, 4.90% (b)(e)

             4,510        4,426,565   

Diversified Financial Services — 4.2%

      

Bank of America Corp. (b)(e):

      

Series AA, 6.10%

       6,630        6,926,759   

Series K, 8.00%

       2,420        2,465,375   

Series U, 5.20% (d)

       5,785        5,647,606   

Barclays PLC, 6.63% (b)(e)

       7,385        6,775,737   

Credit Agricole SA, 8.13% (b)(c)(e)

       5,000        5,369,200   

JPMorgan Chase & Co. (b)(e):

      

6.75%

       7,775        8,630,250   

Series 1, 7.90%

       3,650        3,762,238   

Series Q, 5.15%

       4,000        3,990,000   

Series R, 6.00% (d)

       14,130        14,730,525   

Royal Bank of Scotland Group PLC (b)(e):

      

8.00%

       970        921,500   

8.63%

       5,135        5,109,325   

Societe Generale SA, 7.38% (b)(c)(e)

       1,980        1,963,170   
      

 

 

 
                       66,291,685   

Electric Utilities — 0.5%

  

PPL Capital Funding, Inc., Series A, 6.70%, 3/20/67 (b)

             8,300        7,407,750   

Industrial Conglomerates — 0.7%

  

General Electric Co., Series D, 5.00% (b)(e)

             10,777        11,417,154   

Insurance — 4.8%

      

ACE Capital Trust II, 9.70%, 4/1/30 (d)

       7,000        10,570,000   

Allstate Corp, 6.50%, 5/15/67 (b)

       10,400        12,220,000   

American International Group, Inc., 8.18%, 5/15/68 (b)

       3,755        5,029,436   

Bank One Capital III, 8.75%, 9/1/30

       2,000        2,843,954   

Chubb Corp., 6.38%, 3/29/67 (b)(d)

       7,400        6,974,500   

Equitable of Iowa Cos. Capital Trust II, Series B, 8.42%, 4/1/27

       5,000        5,951,810   

Farmers Exchange Capital II, 6.15%, 11/1/53 (b)(c)

       4,890        5,111,712   

Great-West Life & Annuity Insurance Capital LP II, 3.36%, 5/16/46 (b)(c)

       500        398,750   

Hartford Financial Services Group, Inc., 8.13%, 6/15/68 (b)

       5,050        5,517,125   
Capital Trusts   

Par  

(000)

    Value  

Insurance (continued)

      

MetLife, Inc., 6.40%, 12/15/66

     USD        5,000      $ 5,600,000   

Principal Financial Group, Inc., 4.70%, 5/15/55 (b)

       5,000        4,950,000   

Reinsurance Group of America, Inc., 3.52%, 12/15/65 (b)

       12,000        10,128,000   
      

 

 

 
                       75,295,287   

Media — 0.4%

      

NBCUniversal Enterprise, Inc., 5.25% (c)(e)

             5,600        5,965,680   

Oil, Gas & Consumable Fuels — 1.3%

      

Enterprise Products Operating LLC (b):

      

7.00%, 6/1/67

       2,500        2,118,750   

Series A, 4.59%, 8/1/66

       9,325        8,870,406   

TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)

       9,400        7,520,000   

TransCanada Trust, 5.63%, 5/20/75 (b)

       2,755        2,785,994   
      

 

 

 
                       21,295,150   

Real Estate Investment Trusts (REITs) — 0.6%

  

Sovereign Real Estate Investment Trust, 12.00% (c)(e)

             7,000        8,968,750   

Road & Rail — 0.4%

  

BNSF Funding Trust I, 6.61%, 12/15/55 (b)

             6,125        7,051,406   
Total Capital Trusts — 19.0%                      299,379,539   
      
                          
Preferred Stocks           Shares         

Banks — 1.8%

      

Citigroup, Inc., Series K, 6.88% (b)(e)

       488,320        14,009,901   

Wells Fargo & Co., 5.85% (b)(e)

       550,500        14,665,320   
      

 

 

 
                       28,675,221   

Capital Markets — 0.7%

  

Goldman Sachs Group, Inc., Series J, 5.50% (b)(e)

       162,450        4,235,071   

SCE Trust III, 5.75% (b)(e)

       31,650        908,355   

State Street Corp., Series D, 5.90% (b)(e)

       220,495        6,184,885   
      

 

 

 
                       11,328,311   

Electric Utilities — 0.2%

  

Entergy Louisiana LLC, 5.25% (e)

             90,000        2,322,900   

Machinery — 0.1%

      

Stanley Black & Decker, Inc., 6.25% (e)(j)

             11,107        1,300,408   

Real Estate Investment Trusts (REITs) — 0.2%

  

Ventas Realty LP/Ventas Capital Corp., 5.45% (e)

       75,000        1,989,000   

Vornado Realty Trust, Series K, 5.70% (e)

       50,000        1,266,500   
      

 

 

 
                       3,255,500   

Wireless Telecommunication Services — 1.1%

  

Centaur Funding Corp., 9.08% (c)(e)

             15,143        17,868,740   
Total Preferred Stocks — 4.1%                      64,751,080   
      
                          
Trust Preferred — 0.5%                      

Diversified Financial Services — 0.5%

      

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)

             300,141        7,561,166   
Total Preferred Securities — 23.6%                      371,691,785   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    19


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

U.S. Government Sponsored Agency Securities   

Par  

(000)

    Value  

Agency Obligations — 0.2%

      

Fannie Mae, 0.00%, 10/09/19 (d)(k)

     USD        3,945      $ 3,779,476   
      
                          
U.S. Treasury Obligations               

U.S. Treasury Bonds:

      

2.88%, 8/15/45

       400        423,875   

2.50%, 5/15/46 (d)

       75,480        74,097,207   

U.S. Treasury Notes, 1.63%, 2/15/26 (d)

             68,325        67,193,401   
Total U.S. Treasury Obligations — 9.0%                      141,714,483   
Total Long-Term Investments
(Cost — $2,064,858,170) — 138.4%
        2,186,337,761   
Short-Term Securities — 0.6%          

Shares

    Value  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.22% (l)(m)

             9,872,272      $ 9,872,272   
Total Short-Term Securities
(Cost — $9,872,272) — 0.6%
        9,872,272   
Options Purchased (Cost — $3,515,234) — 0.2%        2,517,779   
Total Investments Before Options Written
(Cost — $2,078,245,676) — 139.2%
        2,198,727,812   
Options Written (Premiums Received — $951,118) — (0.0)%        (678,865
Total Investments, Net of Options Written
(Cost — $2,077,294,558) — 139.2%
        2,198,048,947   

Liabilities in Excess of Other Assets — (39.2)%

  

    (618,878,590
      

 

 

 

Net Assets — 100.0%

       $ 1,579,170,357   
      

 

 

 
 
Notes to Schedule of Investments

 

(a)   Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $2,951 and an original cost of $45,445, which was less than 0.05% of its net assets.

 

(b)   Variable rate security. Rate as of period end.

 

(c)   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.

 

(d)   All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

 

(e)   Perpetual security with no stated maturity date.

 

(f)   When-issued security.

 

(g)   Issuer filed for bankruptcy and/or is in default.

 

(h)   Step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate as of period end.

 

(i)   Convertible security.

 

(j)   Non-income producing security.

 

(k)   Zero-coupon bond.

 

(l)   During the year ended October 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   Shares Held
at October 31,
2015
    Net
Activity
    Shares Held
at October 31,
2016
    Value at
October 31,
2016
    Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

    610,104        (610,104                 $ 50,698   

BlackRock Liquidity Funds, T-Fund, Institutional Class

           9,872,272      $ 9,872,272      $ 9,872,272        5,257   

Total

        $ 9,872,272      $ 55,955   
       

 

 

   

 

 

 

 

(m)   Current yield as of period end.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry subclassifications for reporting ease.

 

Reverse Repurchase Agreements  
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral   Remaining
Contractual Maturity
of the Agreements1
 

Deutsche Bank Securities, Inc.

    0.19     3/05/15        Open      $ 3,570,225      $ 3,581,644      U.S. Government Sponsored Agency Securities     Open/Demand   

Barclays Capital, Inc.

    0.55     12/17/15        Open        6,863,500        6,896,950      Capital Trusts     Open/Demand   

Barclays Capital, Inc.

    0.55     12/17/15        Open        10,770,000        10,822,489      Corporate Bonds     Open/Demand   

Barclays Capital, Inc.

    0.55     12/17/15        Open        4,499,250        4,521,178      Corporate Bonds     Open/Demand   

Barclays Capital, Inc.

    0.55     12/17/15        Open        710,625        714,088      Corporate Bonds     Open/Demand   

Barclays Capital, Inc.

    0.55     12/17/15        Open        5,906,250        5,935,035      Corporate Bonds     Open/Demand   

Barclays Capital, Inc.

    0.55     12/17/15        Open        1,184,375        1,190,147      Corporate Bonds     Open/Demand   

Barclays Capital, Inc.

    0.55     12/17/15        Open        4,691,813        4,714,679      Corporate Bonds     Open/Demand   

Barclays Capital, Inc.

    0.55     12/17/15        Open        2,514,500        2,526,755      Corporate Bonds     Open/Demand   

Barclays Capital, Inc.

    0.55     12/17/15        Open        4,867,413        4,891,134      Corporate Bonds     Open/Demand   

 

See Notes to Financial Statements.

 

                
20    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Reverse Repurchase Agreements (continued)  
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral   Remaining
Contractual Maturity
of the Agreements1
 

Barclays Capital, Inc.

    0.55     12/17/15        Open      $ 8,268,750      $ 8,309,049      Corporate Bonds     Open/Demand   

Barclays Capital, Inc.

    0.55     12/17/15        Open        2,768,500        2,781,993      Corporate Bonds     Open/Demand   

Barclays Capital, Inc.

    0.60     12/17/15        Open        9,843,750        9,896,086      Capital Trusts     Open/Demand   

Barclays Capital, Inc.

    0.60     12/17/15        Open        11,820,000        11,882,843      Corporate Bonds     Open/Demand   

Credit Suisse Securities (USA) LLC

    0.65     12/17/15        Open        2,199,375        2,212,043      Corporate Bonds     Open/Demand   

Credit Suisse Securities (USA) LLC

    0.65     12/17/15        Open        2,664,063        2,679,407      Corporate Bonds     Open/Demand   

Credit Suisse Securities (USA) LLC

    0.65     12/17/15        Open        522,500        525,509      Corporate Bonds     Open/Demand   

Credit Suisse Securities (USA) LLC

    0.70     12/17/15        Open        5,113,969        5,145,690      Corporate Bonds     Open/Demand   

Credit Suisse Securities (USA) LLC

    0.70     12/17/15        Open        6,318,969        6,358,164      Corporate Bonds     Open/Demand   

Credit Suisse Securities (USA) LLC

    0.70     12/17/15        Open        4,978,969        5,009,852      Corporate Bonds     Open/Demand   

Credit Suisse Securities (USA) LLC

    0.70     12/17/15        Open        2,641,781        2,658,168      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        8,008,000        8,053,414      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        4,507,938        4,533,503      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        3,202,500        3,220,662      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        3,202,500        3,220,662      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        21,125,880        21,245,687      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        3,319,388        3,338,212      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        17,613,000        17,712,885      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        6,405,000        6,441,323      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        6,675,000        6,712,855      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        4,056,625        4,079,631      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        3,336,375        3,355,296      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        17,212,500        17,310,114      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        3,595,688        3,616,079      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        3,940,000        3,962,344      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        9,989,438        10,046,089      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        13,740,000        13,817,921      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        4,594,625        4,620,682      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        4,930,000        4,957,959      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        6,413,813        6,450,186      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        3,285,000        3,303,630      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        3,801,038        3,822,594      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        12,630,000        12,701,626      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        7,395,000        7,436,938      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/17/15        Open        10,175,000        10,232,704      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    1.00     12/17/15        Open        5,460,000        5,508,382      Corporate Bonds     Open/Demand   

HSBC Securites (USA), Inc.

    0.65     12/18/15        Open        11,575,000        11,641,042      Capital Trusts     Open/Demand   

RBC Capital Markets LLC

    0.64     12/22/15        Open        9,022,500        9,073,026      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.64     12/22/15        Open        3,995,370        4,017,744      Corporate Bonds     Open/Demand   

UBS Securities LLC

    0.75     12/22/15        Open        8,400,000        8,454,950      Corporate Bonds     Open/Demand   

UBS Securities LLC

    0.75     12/22/15        Open        3,227,188        3,248,299      Corporate Bonds     Open/Demand   

UBS Securities LLC

    0.75     12/22/15        Open        5,784,800        5,822,642      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.85     3/22/16        Open        8,847,167        8,884,050      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.85     4/29/16        Open        649,142        650,309      Corporate Bonds     Open/Demand   

RBC Capital Markets LLC

    0.85     5/05/16        Open        42,462,500        42,578,588      U.S. Treasury Obligations     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        2,953,000        2,963,212      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        5,432,000        5,450,786      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        9,685,000        9,718,494      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        4,479,000        4,494,490      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        4,984,000        5,001,236      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        5,055,000        5,072,482      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        10,853,000        10,890,533      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        3,043,000        3,053,524      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        4,668,000        4,684,144      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        16,684,000        16,741,699      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        3,210,000        3,221,101      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        10,157,000        10,192,126      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        5,097,000        5,114,627      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        3,291,000        3,302,381      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        1,941,000        1,947,713      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        6,237,000        6,258,570      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        7,208,000        7,232,928      Corporate Bonds     Open/Demand   

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        5,698,000        5,717,706      Corporate Bonds     Open/Demand   

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    21


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

Reverse Repurchase Agreements (continued)  
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral     Remaining
Contractual Maturity
of the Agreements1
 

Deutsche Bank Securities, Inc.

    0.85     6/09/16        Open      $ 25,000,000      $ 25,063,354        U.S. Treasury Obligations        Open/Demand   

Credit Suisse Securities (USA) LLC

    0.85     6/15/16        Open        3,776,032        3,786,180        Corporate Bonds        Open/Demand   

Credit Suisse Securities (USA) LLC

    0.85     6/27/16        Open        1,257,469        1,260,855        Corporate Bonds        Open/Demand   

RBC Capital Markets LLC

    0.85     7/11/16        Open        7,404,000        7,420,124        Corporate Bonds        Open/Demand   

BNP Paribas Securities Corp.

    0.85     9/14/16        Open        76,406,250        76,471,450        U.S. Treasury Obligations        Open/Demand   

RBC Capital Markets LLC

    0.85     9/14/16        Open        5,000,000        5,005,200        Corporate Bonds        Open/Demand   

Credit Suisse Securities (USA) LLC

    0.85     9/22/16        Open        4,566,000        4,570,116        Corporate Bonds        Open/Demand   

Barclays Capital, Inc.

    0.80     9/23/16        Open        475,875        476,213        Corporate Bonds        Open/Demand   

Credit Suisse Securities (USA) LLC

    (0.50 )%      9/29/16        Open        4,844,938        4,842,784        Capital Trusts        Open/Demand   

Credit Suisse Securities (USA) LLC

    0.70     10/06/16        Open        4,645,500        4,647,758        Corporate Bonds        Open/Demand   

RBC Capital Markets LLC

    0.64     10/24/16        Open        6,399,795        6,400,478        Corporate Bonds        Open/Demand   

Total

  

  $ 635,747,411      $ 638,327,195       
 

 

 

   

 

 

     

1   Certain agreements have no stated maturity and can be terminated by either party at any time.

      

 

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts                    
Contracts
Long (Short)
       Issue   Expiration     Notional Value     Unrealized
Appreciation
(Depreciation)
        
  60         2-Year U.S. Treasury Note     December 2016        USD        13,088,438      $ (2,268  
  800         5-Year U.S. Treasury Note     December 2016        USD        96,637,500        30,250     
  (219      10-Year U.S. Treasury Note     December 2016        USD        28,387,875        296,300     
  (309      Long U.S. Treasury Bond     December 2016        USD        50,280,094        2,274,954     
  (128      Ultra U.S. Treasury Bond     December 2016        USD        22,520,000        1,415,536           
  Total                 $ 4,014,772     
            

 

 

 

 

OTC Interest Rate Swaptions Purchased                                      
Description   Counterparty     Put/
Call
    Exercise
Rate
    Pay/
Receive
Exercise Rate
    Floating Rate
Index
    Expiration
Date
    Notional
Amount
(000)
    Value  

30-Year Interest Swap

    Bank of America N.A.        Put        2.20     Pay        3-month LIBOR        1/13/17        USD        28,000      $ 474,962   

10-Year Interest Swap

    Citibank N.A.        Put        1.75     Pay        3-month LIBOR        2/23/17        USD        75,000        1,053,100   

30-Year Interest Swap

    Goldman Sachs Bank USA        Put        2.65     Pay        3-month LIBOR        4/13/17        USD        98,225        831,129   

Total

                  $ 2,359,191   
                 

 

 

 

 

OTC Options Purchased                            
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Notional
Amount
(000)
    Value  

USD Currency

  Put   Barclays Bank PLC     12/23/16      JPY     98.00      USD     82,000      $ 158,588   

 

OTC Interest Rate Swaptions Written                                      
Description   Counterparty     Put/
Call
    Exercise
Rate
    Pay/
Receive
Exercise Rate
    Floating Rate
Index
    Expiration
Date
    Notional
Amount
(000)
    Value  

2-Year Interest Rate Swap

    Bank of America N.A.        Call        0.70     Pay        3-month LIBOR        3/15/18        USD        77,900      $ (104,243

2-Year Interest Rate Swap

    Bank of America N.A.        Call        0.80     Pay        3-month LIBOR        3/19/18        USD        77,900        (138,368

2-Year Interest Rate Swap

    Bank of America N.A.        Put        1.70     Receive        3-month LIBOR        3/15/18        USD        77,900        (216,471

2-Year Interest Rate Swap

    Bank of America N.A.        Put        1.70     Receive        3-month LIBOR        3/19/18        USD        77,900        (219,783

Total

                  $ (678,865
                 

 

 

 

 

See Notes to Financial Statements.

 

                
22    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

 

OTC Credit Default Swaps — Buy Protection                                
Issuer/Index   Pay
Fixed
Rate
    Counterparty     Expiration
Date
    Notional
Amount
(000)
    Value     Premiums
Paid
(Received)
    Unrealized
Depreciation
 

Southwest Airlines Co.

    1.00     Goldman Sachs Bank USA        12/20/16        USD        2,535      $ (6,132   $ 3,629      $ (9,761

Southwest Airlines Co.

    1.00     Goldman Sachs International        12/20/16        USD        1,465        (3,544     1,978        (5,522

Southwest Airlines Co.

    1.00 %     Royal Bank of Scotland PLC        12/20/16        USD        4,000        (9,779     5,869        (15,648

STMicro Electronics

    1.00     Barclays Bank PLC        6/20/17        EUR        1,500        (11,147     11,088        (22,235

Cigna Corp.

    1.00     Goldman Sachs Bank USA        9/20/17        USD        4,500        (43,056     (1,944     (41,112

Cigna Corp.

    1.00     Goldman Sachs International        9/20/17        USD        2,800        (26,791     (1,301     (25,490

General Dynamics Corp.

    1.00     Credit Suisse International        9/20/17        USD        5,585        (53,581     (26,114     (27,467

Humana, Inc.

    1.00     Goldman Sachs Bank USA        9/20/17        USD        4,500        (42,346     13,382        (55,728

Humana, Inc.

    1.00     Goldman Sachs International        9/20/17        USD        2,800        (26,348     8,955        (35,303

Lockheed Martin Corp.

    1.00     Credit Suisse International        9/20/17        USD        5,585        (53,074     (8,982     (44,092

Northrop Grumman Corp.

    1.00     Credit Suisse International        9/20/17        USD        4,715        (45,819     (20,292     (25,527

Raytheon Co.

    1.00     Credit Suisse International        9/20/17        USD        4,715        (45,500     (20,837     (24,663

Citigroup, Inc.

    1.00     Deutsche Bank AG        3/20/19        USD        16,700        (240,622     (34,923     (205,699

Prudential Financial, Inc.

    1.00     Citibank N.A.        6/20/21        USD        1,920        (11,359     25,752        (37,111

Prudential Financial, Inc.

    1.00     Goldman Sachs International        6/20/21        USD        1,155        (6,833     16,477        (23,310

Prudential Financial, Inc.

    1.00     JPMorgan Chase Bank N.A.        6/20/21        USD        9,500        (56,202     111,524        (167,726

Total

            $ (682,133   $ 84,261      $ (766,394
           

 

 

 

 

OTC Credit Default Swaps — Sell Protection                                    
Issuer/Index   Receive
Fixed
Rate
    Counterparty   Expiration
Date
    Credit
Rating1
  Notional
Amount
(000)2
    Value     Premiums
Paid
(Received)
    Unrealized
Appreciation
 

Anadarko Petroleum Corp.

    1.00   Credit Suisse International     6/20/17      BBB     USD        2,425      $ 13,566      $ (16,288   $ 29,854   

Anadarko Petroleum Corp.

    1.00   Morgan Stanley Capital Services LLC     6/20/17      BBB     USD        10        56        (79     135   

Anadarko Petroleum Corp.

    1.00   UBS AG     6/20/17      BBB     USD        994        5,560        (7,738     13,298   

Anthem, Inc. (FKA WellPoint, Inc.)

    1.00   Goldman Sachs Bank USA     9/20/17      A-     USD        4,500        40,197        (7,696     47,893   

Anthem, Inc. (FKA WellPoint, Inc.)

    1.00   Goldman Sachs International     9/20/17      A-     USD        2,800        25,011        (5,150     30,161   

Comcast Corp.

    1.00   Credit Suisse International     9/20/17      A-     USD        12,200        114,746        9,875        104,871   

United Health Group, Inc.

    1.00   Goldman Sachs Bank USA     9/20/17      A+     USD        4,500        42,241        (1,936     44,177   

United Health Group, Inc.

    1.00   Goldman Sachs International     9/20/17      A+     USD        2,800        26,284        (1,296     27,580   

MetLife, Inc.

    1.00   Deutsche Bank AG     3/20/18      A-     USD        3,025        33,968        (36,303     70,271   

Bank of America Corp.

    1.00   Deutsche Bank AG     3/20/19      BBB+     USD        16,700        243,653        62,268        181,385   

American Tower Corp.

    1.00   Morgan Stanley Capital Services LLC     6/20/21      BBB-     USD        10,000        (218,291     (380,047     161,756   

Total

  

  $ 326,991      $ (384,390   $ 711,381   
             

 

 

 

1    Using Standard & Poor’s rating of the issuer or the underlying securities of the index, as applicable.

       

2    The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

       

 

Transactions in Options Written for the Year Ended October 31, 2016

 

    Calls           Puts  
          Notional (000)                 Notional (000)  
     Contracts     USD     Premiums
Received
           Contracts     USD     Premiums
Received
 

Outstanding options, beginning of year

                           3,396        $ 1,061,185   

Options written

           311,600      $ 1,911,135                 863,600        2,662,644   

Options exercised

                                           

Options expired

                           (3,396       (1,061,185

Options closed

           (155,800     (1,397,330              (707,800     (2,225,331
 

 

 

     

 

 

 

Outstanding options, end of year

           155,800      $ 513,805                 155,800      $ 437,313   
 

 

 

     

 

 

 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    23


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total         

Futures contracts

   Net unrealized appreciation1                               $ 4,017,040             $ 4,017,040     

Options purchased

   Investments at value — unaffiliated2                        $ 158,588        2,359,191               2,517,779     

Swaps — OTC

   Unrealized appreciation on OTC swaps; Swap premiums paid          $ 982,178                                    982,178     
    

 

 

 

Total

            $ 982,178             $ 158,588      $ 6,376,231             $ 7,516,997     
    

 

 

 
                  
Liabilities — Derivative Financial Instruments                                                        

Futures contracts

   Net unrealized depreciation1                               $ 2,268             $ 2,268     

Options written

   Options written at value                                 678,865               678,865     

Swaps — OTC

   Unrealized depreciation on OTC swaps; Swap premiums received          $ 1,337,320                                    1,337,320     
    

 

 

 

Total

            $ 1,337,320                    $ 681,133             $ 2,018,453     
    

 

 

 

1   Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

       

 

2   Includes options purchased at value as reported in the Schedule of Investments.

      

 

For the year ended October 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest Rate
Contracts
    Other
Contracts
    Total         

Futures contracts

                              $ 2,037,293             $ 2,037,293     

Options purchased1

                $ 868,677               (7,565,293            (6,696,616  

Options written

                                2,227,280               2,227,280     

Swaps

         $ 396,121                      (16,734,108            (16,337,987  
 

 

 

 

Total

         $ 396,121      $ 868,677             $ (20,034,828          $ (18,770,030  
 

 

 

 

1   Options purchased are included in net realized gain (loss) from investments.

      

 
               
Net Change in Unrealized Appreciation (Depreciation) on:                                                        

Futures contracts

                              $ 6,831,632             $ 6,831,632     

Options purchased1

                $ 85,760      $ (1,101,752     3,614,646               2,598,654     

Options written

                                (767,707            (767,707  

Swaps

         $ (461,960                   12,111,749               11,649,789     
 

 

 

 

Total

         $ (461,960   $ 85,760      $ (1,101,752   $ 21,790,320             $ 20,312,368     
 

 

 

 

1   Options purchased are included in net change in unrealized appreciation (depreciation) on investments.

      

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:  

Average notional value of contracts — long

  $ 170,178,563   

Average notional value of contracts — short

  $ 269,012,540   
Options:  

Average value of option contracts purchased

  $ 199,210   

Average market value of option contracts written

  $ 1,037,850 1 

Average notional amount of swaption contracts purchased

  $ 276,256,250   

Average notional amount of swaption contracts written

  $ 371,700,000   
Credit default swaps:  

Average notional value — buy protection

  $ 96,540,288   

Average notional value — sell protection

  $ 54,954,000   
Interest rate swaps:  

Average notional value — pays fixed rate

  $ 59,575,000   

Average notional value — receives fixed rate

  $ 10,900,000 1 

1    Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

       

 

See Notes to Financial Statements.

 

                
24    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

     Assets     Liabilities  

Derivative Financial Instruments:

   

Futures contracts

  $ 52,813      $ 301,265   

Options

    2,517,779 2       678,865   

Swaps — OTC1

    982,178        1,337,320   
 

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

  $ 3,552,770      $ 2,317,450   
 

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

    (52,813     (301,265
 

 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 3,499,957      $ 2,016,185   
 

 

 

 

1    Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities.

       

2    Includes options purchased at value as reported in the Schedule of Investments.

       

The following tables present the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Trust:

 

Counterparty   Derivative Assets
Subject to an MNA
by  Counterparty
   

Derivatives Available

for Offset1

    Non-cash
Collateral
Received
   

Cash
Collateral

Received2

    Net Amount of
Derivative Assets3
        

Bank of America N.A.

  $ 474,962      $ (474,962                       

Barclays Bank PLC

    169,676        (22,235                 $ 147,441     

Citibank N.A.

    1,078,852        (37,111          $ (1,041,741         

Credit Suisse International

    144,600        (144,600                       

Deutsche Bank AG

    313,925        (276,925            (37,000         

Goldman Sachs Bank USA

    940,210        (118,177            (700,000     122,033     

Goldman Sachs International

    85,150        (85,150                       

JPMorgan Chase Bank N.A.

    111,524        (111,524                       

Morgan Stanley Capital Services LLC

    161,891        (161,891                       

Royal Bank of Scotland PLC

    5,869        (5,869                       

UBS AG

    13,298        (7,738                   5,560     
 

 

 

 

Total

  $ 3,499,957      $ (1,446,182          $ (1,778,741   $ 275,034     
 

 

 

 
           
Counterparty   Derivative Liabilities
Subject to an MNA
by  Counterparty
   

Derivatives Available

for Offset1

    Non-cash
Collateral
Pledged
   

Cash
Collateral

Pledged4

    Net Amount of
Derivative Liabilities5
        

Bank of America N.A.

  $ 678,865      $ (474,962          $ (80,000   $ 123,903     

Barclays Bank PLC

    22,235        (22,235                       

Citibank N.A.

    37,111        (37,111                       

Credit Suisse International

    214,262        (144,600                   69,662     

Deutsche Bank AG

    276,925        (276,925                       

Goldman Sachs Bank USA

    118,177        (118,177                       

Goldman Sachs International

    97,372        (85,150                   12,222     

JPMorgan Chase Bank N.A.

    167,726        (111,524                   56,202     

Morgan Stanley Capital Services LLC

    380,126        (161,891                   218,235     

Royal Bank of Scotland PLC

    15,648        (5,869                   9,779     

UBS AG

    7,738        (7,738                       
 

 

 

 

Total

  $ 2,016,185      $ (1,446,182          $ (80,000   $ 490,003     
 

 

 

 

1   The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

      

 

2   Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

      

 

3   Net amount represents the net amount receivable from the counterparty in the event of default.

      

 

4   Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

      

 

5   Net amount represents the net amount payable due to the counterparty in the event of default.

      

 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    25


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 
Long-Term Investments:                 

Asset-Backed Securities

            $ 73,656,797         $ 15,186,952         $ 88,843,749   

Common Stocks

              29,014           2,951           31,965   

Corporate Bonds

              1,544,953,075           5,113,500           1,550,066,575   

Foreign Agency Obligations

              11,391,928                     11,391,928   

Municipal Bonds

              18,817,800                     18,817,800   

Preferred Securities

  $ 46,882,340           317,248,279                     364,130,619   

Trust Preferred

    7,561,166                               7,561,166   

U.S. Government Sponsored Agency Securities

              3,779,476                     3,779,476   

U.S. Treasury Obligations

              141,714,483                     141,714,483   

Short-Term Securities

    9,872,272                               9,872,272   
Options Purchased:                 

Foreign currency exchange contracts

              158,588                     158,588   

Interest rate contracts

              2,359,191                     2,359,191   
 

 

 

 

Total

  $ 64,315,778         $ 2,114,108,631         $ 20,303,403         $ 2,198,727,812   
 

 

 

 
                
Derivative Financial Instruments1                                         

Assets:

                

Credit contracts

            $ 711,381                   $ 711,381   

Interest rate contracts

  $ 4,017,040                               4,017,040   

Liabilities:

                

Credit contracts

              (766,394                  (766,394

Interest rate contracts

    (2,268        (678,865                  (681,133
 

 

 

 

Total

  $ 4,014,772         $ (733,878                $ 3,280,894   
 

 

 

 

1    Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts, and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

        

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                

Foreign currency at value

  $ 17,051                             $ 17,051   

Cash pledged:

                

Collateral — OTC derivatives

    80,000                               80,000   

Collateral — reverse repurchase agreements

    1,521,000                               1,521,000   

Futures contracts

    1,776,000                               1,776,000   

Liabilities:

                

Bank overdraft

            $ (132,344                  (132,344

Cash received:

                

Collateral — OTC derivatives

              (2,330,000                  (2,330,000

Collateral — reverse repurchase agreements

              (3,632,000                  (3,632,000

Reverse repurchase agreements

              (638,327,195                  (638,327,195
 

 

 

 

Total

  $ 3,394,051         $ (644,421,539                $ (641,027,488
 

 

 

 

During the year ended October 31, 2016, there were no transfers between Level 1 and Level 2.

 

See Notes to Financial Statements.

 

                
26    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (concluded)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

    

Asset-Backed

Securities

      

Corporate

Bonds

      

Common

Stocks

       Total  

Assets:

                

Opening Balance, as of October 31, 2015

  $ 11,525,615         $ 5,079,000                   $ 16,604,615   

Transfers into Level 3

                                    

Transfers out of Level 3

    (4,913,200                            (4,913,200

Accrued discounts/premiums

    14,355                               14,355   

Net realized gain (loss)

    (53,539                            (53,539

Net change in unrealized appreciation (depreciation)1,2

    312,466           34,500         $ (42,494        304,472   

Purchases

    12,606,755                     45,445           12,652,200   

Sales

    (4,305,500                            (4,305,500
 

 

 

 

Closing Balance, as of October 31, 2016

  $ 15,186,952         $ 5,113,500         $ 2,951         $ 20,303,403   
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at October 31, 20162

  $ 342,375         $ 34,500         $ (42,494      $ 334,381   
 

 

 

 

1    Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

       

2    Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on derivative financial instruments still held at October 31, 2016 is generally due to derivative financial instruments s no longer held or categorized as Level 3 at period end.

        

The Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    27


Schedule of Investments October 31, 2016

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares     Value  

Construction & Engineering — 0.4%

      

USI United Subcontractors

             8,067      $ 1,210,121   

Electric Utilities — 0.1%

      

Vistra Energy Corp

             28,707        436,346   

Health Care Management Services — 0.0%

      

New Millennium HoldCo, Inc. (a)

             9,191        16,084   

Household Durables — 0.0%

      

Berkline Benchcraft Equity LLC (a)

             6,155          

Oil, Gas & Consumable Fuels — 0.0%

      

Southcross Holdings LP

             63        22,050   

Specialty Retail — 0.0%

      

Things Remembered, Inc.

             551,052        6   
Total Common Stocks — 0.5%        1,684,607   
      
                          
Asset-Backed Securities (b)(c)    Par  
(000)
        

ALM Loan Funding:

      

Series 2012-5A, Class BR, 3.88%, 10/18/27

     USD        310        311,857   

Series 2013-7RA, Class C, 4.33%, 4/24/24

       630        624,490   

Series 2013-7RA, Class D, 5.88%, 4/24/24

       550        516,298   

ALM XIV Ltd., Series 2014-14A, Class C, 4.34%, 7/28/26

       463        451,243   

ALM XVII Ltd., Series 2015-17A, Class C1, 5.03%, 1/15/28

       250        245,000   

AMMC CLO Ltd., Series 2014-15A, Class D, 5.03%, 12/09/26

       250        245,625   

Apidos CDO XI, Series 2012-11A, Class D, 5.13%, 1/17/23

       500        500,136   

Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 4.58%, 10/15/26

       525        507,623   

Atrium CDO Corp., Series 9A, Class D, 4.33%, 2/28/24

       500        491,276   

Carlyle Global Market Strategies CLO Ltd., Class C:

      

Series 2013-1A, 4.82%, 2/14/25

       250        249,991   

Series 2014-5A, 5.03%, 10/16/25

       1,250        1,250,342   

CIFC Funding Ltd., Series 2014-2A, Class A3L, 3.68%, 5/24/26

       275        274,505   

Highbridge Loan Management Ltd., Series 2015-7A, Class C, 4.20%, 11/15/26

       250        250,550   

LCM XVIII LP, Series 18A, Class INC, 3.45%, 4/20/27

       750        486,297   

Symphony CLO Ltd., Series 2016-17A, Class D, 5.76%, 4/15/28

       250        253,000   

Treman Park CLO LLC, Series 2015-1A, Class D, 4.74%, 4/20/27

       700        690,108   

Webster Park CLO Ltd., Series 2015-1A:

      

Class B1, 3.98%, 1/20/27

       250        253,447   

Class C, 4.93%, 1/20/27

       250        250,152   
      

 

 

 
                       7,851,940   
Total Asset-Backed Securities — 2.3%        7,851,940   
      
                          
Corporate Bonds                      

Airlines — 0.6%

  

American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (c)

       585        588,237   

US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18

       1,585        1,616,700   
      

 

 

 
                       2,204,937   
Corporate Bonds    Par  
(000)
    Value  

Capital Markets — 0.2%

      

Blackstone CQP Holdco LP, 2.32%, 3/19/19

     USD        634      $ 640,760   

Commercial Services & Supplies — 0.1%

      

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.59%, 12/01/17 (b)

             179        179,151   

Communications Equipment — 0.1%

      

Avaya, Inc., 7.00%, 4/01/19 (c)

             225        182,813   

Containers & Packaging — 1.4%

      

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (b)(c):

      

3.85%, 12/15/19

       920        934,950   

4.15%, 5/15/21

       680        693,600   

Reynolds Group Issuer, Inc., 4.38%, 7/15/21 (b)(c)

       3,125        3,187,500   
      

 

 

 
                       4,816,050   

Diversified Telecommunication Services — 0.3%

  

   

Level 3 Financing, Inc.:

      

4.76%, 1/15/18 (b)

       607        607,759   

6.13%, 1/15/21

       337        347,952   
      

 

 

 
                       955,711   

Electric Utilities — 0.0%

      

Texas Competitive Holdings Co., 11.50%, 10/01/20 (a)(d)

             654        13,080   

Health Care Providers & Services — 0.0%

      

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

             45        45,619   

Household Durables — 0.0%

      

Berkline/Benchcraft LLC, 4.50%, 6/01/17 (a)(d)

             400          

Independent Power and Renewable Electricity Producers — 0.3%

  

NRG Energy, Inc., 6.25%, 7/15/22

             925        927,312   

IT Services — 0.0%

      

WEX, Inc., 4.75%, 2/01/23 (c)

             155        154,225   

Media — 1.2%

      

Altice Financing SA (c):

      

6.63%, 2/15/23

       335        345,050   

7.50%, 5/15/26

       515        530,450   

Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22

       989        1,007,297   

CSC Holdings LLC, 5.50%, 4/15/27 (c)

       435        441,253   

SFR Group SA (c):

      

6.00%, 5/15/22

       512        524,964   

6.25%, 5/15/24

       630        629,603   

7.38%, 5/01/26

       820        828,200   
      

 

 

 
                       4,306,817   

Metals & Mining — 0.5%

      

Freeport-McMoRan, Inc.:

      

2.38%, 3/15/18

       1,143        1,128,712   

3.10%, 3/15/20

       295        283,938   

Teck Resources Ltd., 4.50%, 1/15/21

       184        184,920   
      

 

 

 
                       1,597,570   

Oil, Gas & Consumable Fuels — 1.3%

      

Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 (c)

       415        439,900   

Concho Resources, Inc., 5.50%, 4/01/23

       50        51,150   

CONSOL Energy, Inc., 5.88%, 4/15/22

       1,085        1,002,947   

CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (c)

       50        51,500   

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

       125        132,187   

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

       615        639,600   

Gulfport Energy Corp., 6.00%, 10/15/24 (c)

       110        112,063   
 

 

See Notes to Financial Statements.

 

                
28    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

Corporate Bonds    Par  
(000)
    Value  

Oil, Gas & Consumable Fuels (continued)

      

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

     USD        50      $ 52,000   

NGPL PipeCo LLC, 7.12%, 12/15/17 (c)

       234        244,530   

RSP Permian, Inc., 6.63%, 10/01/22

       50        52,688   

Sabine Pass Liquefaction LLC:

      

5.63%, 4/15/23

       945        1,004,062   

5.88%, 6/30/26 (c)

       390        420,303   

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50%, 9/15/24 (c)

       195        194,025   
      

 

 

 
                       4,396,955   
Total Corporate Bonds — 6.0%        20,421,000   
      
                          
Floating Rate Loan Interests (b)                      

Aerospace & Defense — 2.3%

  

BE Aerospace, Inc., 2014 Term Loan B, 3.85%, 12/16/21

       1,355        1,362,354   

Camp International Holding Co.:

      

2016 1st Lien Term Loan, 4.75%, 8/11/23

       640        640,000   

2016 2nd Lien Term Loan, 8.25%, 8/12/24

       195        198,900   

Engility Corp.:

      

Term Loan B1, 4.78%, 8/12/20

       220        221,925   

Term Loan B2, 5.75%, 8/12/23

       414        418,951   

TransDigm, Inc.:

      

2015 Term Loan E, 3.75%, 5/14/22

       501        499,018   

2016 Extended Term Loan F, 3.75%, 6/09/23

       3,955        3,937,314   

Term Loan D, 3.84%, 6/04/21

       701        699,012   
      

 

 

 
                       7,977,474   

Air Freight & Logistics — 1.1%

      

CEVA Group PLC, Synthetic LOC, 6.50%, 3/19/21

       538        428,010   

CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21

       552        439,046   

CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21

       93        74,358   

CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21

       752        598,261   

XPO Logistics, Inc., Term Loan B2, 4.25%, 10/30/21

       2,195        2,205,584   
      

 

 

 
                       3,745,259   

Airlines — 0.1%

      

Northwest Airlines, Inc.:

      

3.08%, 3/10/17

       79        78,605   

2.46%, 9/10/18

       289        283,873   
      

 

 

 
                       362,478   

Auto Components — 1.7%

      

Autoparts Holdings Ltd.:

      

1st Lien Term Loan, 7.00%, 7/29/17

       1,446        1,395,268   

2nd Lien Term Loan, 11.00%, 1/29/18

       546        472,290   

FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19

       880        791,875   

Gates Global, Inc., Term Loan B, 4.25%, 7/06/21

       2,440        2,404,086   

Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.86%, 4/30/19

       562        564,835   

GPX International Tire Corp., Term Loan (a)(d):

      

12.25%, 3/31/2012

       274          

PIK, 13.00%, 3/30/2012 (e)

       4          
      

 

 

 
                       5,628,354   

Automobiles — 0.6%

      

FCA US LLC, Term Loan B:

      

2018, 3.25%, 12/31/18

       291        290,822   

3.50%, 5/24/17

       1,642        1,643,100   
      

 

 

 
                       1,933,922   
Floating Rate Loan Interests    Par  
(000)
    Value  

Banks — 0.3%

      

Redtop Acquisitions Ltd., 1st Lien Term Loan, 4.50%, 12/03/20

     USD        856      $ 852,607   

Biotechnology — 0.2%

      

AMAG Pharmaceuticals, Inc., 2015 1st Lien Term Loan, 4.75%, 8/13/21

             494        494,000   

Building Materials — 1.2%

      

Forterra, Inc., Term Loan B, 5.00%, 10/18/23

       495        494,228   

USAGM HoldCo LLC:

      

2015 2nd Lien Term Loan, 9.50%, 7/28/23

       395        392,037   

2015 Term Loan, 4.75%, 7/28/22

       519        518,529   

2016 Incremental Delayed Draw Term Loan, 5.50%, 7/28/22

       449        450,185   

2016 Incremental Term Loan, 5.50%, 7/28/22

       2,040        2,047,447   
      

 

 

 
                       3,902,426   

Building Products — 3.0%

      

Continental Building Products LLC, 1st Lien Term Loan, 3.59%, 8/10/23

       688        689,244   

CPG International, Inc., Term Loan, 4.75%, 9/30/20

       3,204        3,216,482   

GYP Holdings III Corp., 1st Lien Term Loan, 4.50%, 4/01/21

       958        956,551   

Jeld-Wen, Inc., Term Loan B:

      

Consolidated, 4.42%, 10/14/22

       285        284,288   

5.25%, 10/15/21

       1,143        1,150,389   

Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21

       785        788,597   

Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20

       1,366        1,366,772   

Wilsonart LLC:

      

Incremental Term Loan B2, 4.00%, 10/31/19

       501        500,682   

Term Loan B, 4.00%, 10/31/19

       1,139        1,139,120   
      

 

 

 
                       10,092,125   

Capital Markets — 0.6%

      

Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18

       390        379,547   

RPI Finance Trust, Term Loan B5, 3.03%, 10/14/22

       1,644        1,658,204   
      

 

 

 
                       2,037,751   

Chemicals — 4.4%

      

Allnex (Luxembourg) & Cy SCA, 2016 Term Loan B2, 5.13%, 9/13/23

       262        264,534   

Allnex USA, Inc., Term Loan B3, 5.13%, 9/13/23

       198        199,298   

Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20

       1,140        1,147,755   

CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20

       70        69,955   

Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 2/07/22

       685        686,375   

Chemours Co., Term Loan B, 3.75%, 5/12/22

       764        753,709   

Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19

       182        168,238   

Huntsman International LLC:

      

2013 Incremental Term Loan, 3.75%, 10/01/21

       856        859,353   

2016 Term Loan B, 4.25%, 4/01/23

       498        500,609   

Klockner-Pentaplast of America, Inc.:

      

1st Lien Term Loan, 4.25%, 4/28/20

       683        689,915   

German Borrower, 4.25%, 4/28/20

       292        294,835   

MacDermid, Inc.:

      

2016 Term Loan, 5.00%, 6/07/23

       1,039        1,046,965   

Term Loan B3, 5.50%, 6/07/20

       2,007        2,021,665   

OXEA Finance LLC, Term Loan B2, 4.25%, 1/15/20

       1,781        1,698,236   

PQ Corp., Term Loan, 5.75%, 11/04/22

       855        853,789   

Royal Holdings, Inc.:

      

2015 1st Lien Term Loan, 4.50%, 6/19/22

       686        689,099   

2015 2nd Lien Term Loan, 8.50%, 6/19/23

       285        279,300   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    29


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

Floating Rate Loan Interests    Par  
(000)
    Value  

Chemicals (continued)

      

Solenis International LP:

      

1st Lien Term Loan, 4.25%, 7/31/21

     USD        926      $ 924,609   

2nd Lien Term Loan, 7.75%, 7/31/22

       1,055        1,029,680   

Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20

       277        276,285   

Versum Materials, Inc., Term Loan, 3.34%, 9/20/23

       590        592,702   
      

 

 

 
                       15,046,906   

Commercial Services & Supplies — 6.7%

      

ADMI Corp., 2015 Term Loan B, 5.25%, 4/30/22

       720        724,659   

ADS Waste Holdings, Inc., Term Loan B2, 3.75%, 10/09/19

       1,445        1,445,181   

Aramark Services, Inc.:

      

Term Loan E, 3.25%, 9/07/19

       1,059        1,062,888   

Term Loan F, 3.34%, 2/24/21

       519        521,943   

Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20

       1,730        1,705,587   

Camelot UK Holdco Ltd., Term Loan B, 4.75%, 10/03/23

       1,320        1,321,096   

Casella Waste Systems, Inc., Term Loan B, 4.00%, 10/03/23

       580        580,725   

Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21

       2,600        2,612,578   

Creative Artists Agency LLC, Term Loan B, 5.00%, 12/17/21

       629        632,770   

Dealer Tire LLC, 2016 Term Loan B, 5.50%, 12/22/21

       639        642,265   

Employbridge LLC, Exit Term Loan, 7.50%, 5/16/20

       230        204,314   

GCA Services Group, Inc., 2016 Term Loan, 5.98%, 3/01/23

       1,164        1,173,242   

KAR Auction Services, Inc.:

      

Term Loan B2, 4.06%, 3/11/21

       806        809,992   

Term Loan B3, 4.38%, 3/09/23

       1,070        1,080,653   

Livingston International, Inc., 1st Lien Term Loan, 5.50%, 4/18/19

       793        756,657   

Prime Security Services Borrower LLC:

      

1st Lien Term Loan, 4.75%, 7/01/21

       116        116,409   

2016 Incremental Term Loan B1, 4.75%, 5/02/22

       737        742,283   

PSSI Holdings LLC, Term Loan B, 4.75%, 12/02/21

       987        989,881   

Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19

       2,221        2,207,414   

TruGreen Limited Partnership, 1st Lien Term Loan B, 6.50%, 4/13/23

       628        633,138   

US Ecology, Inc., Term Loan, 3.75%, 6/17/21

       393        394,478   

US Security Associates Holdings, Inc., 2016 Term Loan, 6.00%, 7/14/23

       1,311        1,308,885   

Waste Industries USA, Inc., 2016 Term Loan, 3.50%, 2/27/20

       1,248        1,249,600   
      

 

 

 
                       22,916,638   

Communications Equipment — 2.2%

      

Applied Systems, Inc.:

      

1st Lien Term Loan, 4.00%, 1/25/21

       562        562,523   

2nd Lien Term Loan, 7.50%, 1/24/22

       227        228,839   

CommScope, Inc., Term Loan B5, 3.75%, 12/29/22

       554        556,712   

Riverbed Technology, Inc., 2016 Term Loan, 5.00%, 4/24/22

       1,209        1,217,709   

Telesat Canada, Term Loan A, 3.88%, 3/28/17

     CAD        1,868        1,385,622   

Zayo Group LLC, Term Loan B, 3.75%, 5/06/21

     USD        3,407        3,422,735   
      

 

 

 
                       7,374,140   

Construction & Engineering — 0.9%

      

AECOM Technology Corp., 2014 Term Loan B, 3.75%, 10/15/21

       88        88,154   

CNT Holdings III Corp., Term Loan B, 5.25%, 1/22/23

       826        831,012   
Floating Rate Loan Interests    Par  
(000)
    Value  

Construction & Engineering (continued)

      

Safway Group Holding LLC, Term Loan B, 5.75%, 8/19/23

     USD        2,090      $ 2,090,000   
      

 

 

 
                       3,009,166   

Construction Materials — 0.8%

      

Filtration Group Corp., 1st Lien Term Loan, 4.25%, 11/21/20

       2,157        2,156,134   

Headwaters, Inc., 2016 Term Loan B, 4.00%, 3/24/22

       444        446,119   

McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19

       262        259,466   
      

 

 

 
                       2,861,719   

Containers & Packaging — 2.0%

      

Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/21

       1,101        1,111,063   

Berlin Packaging LLC, 2014 1st Lien Term Loan, 4.50%, 10/01/21

       195        195,731   

Berry Plastics Holding Corp., Term Loan H, 3.75%, 10/01/22

       3,219        3,228,796   

BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20

       2,325        2,339,331   
      

 

 

 
                       6,874,921   

Distributors — 0.6%

      

American Builders & Contractors Supply Co., Term Loan B, 3.50%, 9/23/23

       1,621        1,626,811   

American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21

       572        565,495   
      

 

 

 
                       2,192,306   

Diversified Consumer Services — 4.8%

      

AssuredPartners, Inc., 2015 1st Lien Term Loan, 5.75%, 10/21/22

       1,922        1,929,642   

Bright Horizons Family Solutions, Inc.:

      

Incremental Term Loan B1, 5.75%, 1/30/20

       314        315,186   

Term Loan B, 5.25%, 1/30/20

       1,695        1,701,410   

CT Technologies Intermediate Holdings, Inc., 1st Lien Term Loan, 5.25%, 12/01/21

       729        720,796   

J.D. Power and Associates, 1st Lien Term Loan, 5.25%, 9/07/23

       780        784,875   

Laureate Education, Inc., Term Loan B, 8.87%, 3/17/21

       148        146,808   

Nomad Foods Europe Midco Ltd., Term Loan C1, 3.50%, 6/30/20

     EUR        606        664,022   

ROC Finance LLC, Term Loan, 5.00%, 6/20/19

     USD        1,038        1,036,415   

Serta Simmons Holdings LLC:

      

1st Lien Term Loan, 4.50%, 10/20/23

       2,920        2,918,949   

2nd Lien Term Loan, 9.00%, 10/20/24

       655        659,506   

ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21

       4,599        4,601,543   

Wand Intermediate I LP, 1st Lien Term Loan, 4.75%, 9/17/21

       794        797,235   
      

 

 

 
                       16,276,387   

Diversified Financial Services — 1.3%

      

AlixPartners LLP, 2016 Term Loan B, 4.00%, 7/28/22

       1,168        1,170,022   

Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21

       590        589,253   

Jefferies Finance LLC, Term Loan, 4.50%, 5/14/20

       1,679        1,666,159   

SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20

       1,015        1,020,956   
      

 

 

 
                       4,446,390   
 

 

See Notes to Financial Statements.

 

                
30    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

Floating Rate Loan Interests    Par  
(000)
    Value  

Diversified Telecommunication Services — 3.6%

      

Consolidated Communications, Inc., 2016 Term Loan B, 4.00%, 10/04/23

     USD        415      $ 417,855   

Hawaiian Telcom Communications, Inc., Term Loan B, 5.25%, 6/06/19

       1,412        1,418,335   

Integra Telecom, Inc.:

      

2015 1st Lien Term Loan, 5.25%, 8/14/20

       1,374        1,366,647   

2nd Lien Term Loan, 9.75%, 2/12/21

       459        440,623   

Level 3 Financing, Inc.:

      

2013 Term Loan B, 4.00%, 1/15/20

       4,685        4,706,082   

2019 Term Loan, 4.00%, 8/01/19

       2,452        2,462,619   

Telenet International Finance Sarl, Term Loan AD, 4.36%, 6/30/24

       1,492        1,492,513   
      

 

 

 
                       12,304,674   

Electric Utilities — 2.0%

      

Energy Future Intermediate Holding Co. LLC, 2016 DIP Term Loan, 4.25%, 6/30/17

       3,761        3,782,528   

PrimeLine Utility Services LLC, Term Loan, 6.50%, 11/12/22

       849        853,226   

TEX Operations Co. LLC:

      

Exit Term Loan B, 5.00%, 8/04/23

       1,678        1,690,152   

Exit Term Loan C, 5.00%, 8/04/23

       383        385,717   

Texas Competitive Electric Holding, 5.00%, 10/10/17 (a)(d)

       1,050        19,882   
      

 

 

 
                       6,731,505   

Electronic Equipment, Instruments & Components — 0.1%

  

CPI Acquisition, Inc., Term Loan B, 5.50%, 8/17/22

             481        472,095   

Energy Equipment & Services — 0.5%

      

Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21

       530        423,977   

Weatherford International Ltd., Term Loan, 1.97%, 7/13/20

       1,159        1,100,904   
      

 

 

 
                       1,524,881   

Food & Staples Retailing — 3.2%

  

Albertsons LLC:

      

2016 Term Loan B4, 4.50%, 8/25/21

       2,774        2,794,046   

2016 Term Loan B5, 4.75%, 12/21/22

       217        219,459   

Hostess Brands LLC:

      

1st Lien Term Loan, 4.50%, 8/03/22

       1,327        1,335,302   

2nd Lien Term Loan, 8.50%, 8/03/23

       316        317,796   

Rite Aid Corp.:

      

5.75%, 8/21/20

       681        683,218   

4.88%, 6/21/21

       1,629        1,633,452   

US Foods, Inc., 2016 Term Loan B, 4.00%, 6/27/23

       4,040        4,063,670   
      

 

 

 
                       11,046,943   

Food Products — 2.7%

  

Blue Ribbon LLC, Term Loan, 5.00%, 11/13/21

       1,076        1,081,004   

Chobani LLC, 1st Lien Term Loan, 5.25%, 9/30/23

       965        975,258   

CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20

       486        472,906   

Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18

       1,510        1,514,091   

Pinnacle Foods Finance LLC:

      

2016 Term Loan I, 3.28%, 1/13/23

       481        485,093   

Term Loan G, 3.39%, 4/29/20

       995        999,722   

Reddy Ice Corp.:

      

1st Lien Term Loan, 6.75%, 5/01/19

       970        917,003   

2nd Lien Term Loan, 10.75%, 11/01/19

       328        268,960   

Reynolds Group Holdings, Inc., 2016 Term Loan, 4.25%, 2/05/23

       2,553        2,558,484   
      

 

 

 
                       9,272,521   
Floating Rate Loan Interests    Par  
(000)
    Value  

Health Care Equipment & Supplies — 3.8%

  

Alere, Inc.:

      

2015 Term Loan A, 3.53%, 6/18/20

     USD        285      $ 283,709   

2015 Term Loan B, 4.25%, 6/18/22

       1,171        1,165,501   

Auris Luxembourg III Sarl, Term Loan B4, 4.25%, 1/15/22

       1,510        1,516,819   

Capsugel Holdings US, Inc., Term Loan B, 4.00%, 7/31/21

       2,361        2,369,784   

Cotiviti Corp., Term Loan B, 3.61%, 9/28/23

       1,603        1,603,530   

DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20

       1,389        1,373,334   

Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18

       1,395        1,361,572   

National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21

       1,906        1,891,653   

Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21

       1,387        1,353,535   
      

 

 

 
                       12,919,437   

Health Care Providers & Services — 10.6%

  

Acadia Healthcare Co., Inc.:

      

Term Loan B, 3.75%, 2/11/22

       289        288,855   

Term Loan B2, 3.75%, 2/16/23

       1,315        1,318,902   

Air Medical Group Holdings, Inc., Term Loan B, 4.25%, 4/28/22

       280        277,550   

Amsurg Corp., 1st Lien Term Loan B, 3.50%, 7/16/21

       1,762        1,761,086   

CHG Healthcare Services, Inc., 2016 Term Loan B, 4.75%, 6/07/23

       2,099        2,114,671   

Community Health Systems, Inc.:

      

Term Loan F, 4.08%, 12/31/18

       866        844,139   

Term Loan G, 3.75%, 12/31/19

       1,204        1,137,360   

Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, 6.50%, 2/07/22

       936        937,696   

DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21

       5,801        5,796,009   

Envision Healthcare Corp., Term Loan:

      

4.25%, 5/25/18

       1,640        1,641,428   

B2, 4.50%, 10/28/22

       591        592,386   

Genoa, a QoL Healthcare Co. LLC, 2016 1st Lien Term Loan, 4.75%, 10/25/23

       585        585,000   

HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22

       886        893,121   

HCA, Inc.:

      

Term Loan B6, 3.78%, 3/17/23

       3,191        3,222,876   

Term Loan B7, 3.59%, 2/15/24

       490        493,902   

inVentiv Health, Inc., 2016 Term Loan B, 4.75%, 9/28/23

       2,528        2,526,502   

MPH Acquisition Holdings LLC, 2016 Term Loan B, 5.00%, 6/07/23

       1,617        1,633,616   

National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21

       297        296,830   

NVA Holdings, Inc.:

      

1st Lien Term Loan, 4.75%, 8/14/21

       302        302,321   

2016 Term Loan, 5.50%, 8/14/21

       561        560,519   

Precyse Acquisition Corp., 2016 1st Lien Term Loan, 6.50%, 10/20/22

       1,006        1,012,657   

Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22

       1,866        1,856,819   

Surgery Center Holdings, Inc., 1st Lien Term Loan, 4.75%, 11/03/20

       1,183        1,185,618   

Surgical Care Affiliates, Inc., Incremental Term Loan B, 3.75%, 3/17/22

       1,552        1,555,906   

Team Health, Inc., 2016 Term Loan, 3.84%, 11/23/22

       1,333        1,334,557   

U.S. Renal Care, Inc., 2015 Term Loan B, 5.25%, 12/31/22

       1,030        985,453   

Vizient, Inc., 2016 Term Loan B, 5.00%, 2/13/23

       1,117        1,128,934   
      

 

 

 
                       36,284,713   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    31


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

Floating Rate Loan Interests    Par  
(000)
    Value  

Health Care Technology — 1.0%

      

Emdeon Business Services LLC, Term Loan B3, 3.75%, 11/02/18

     USD        196      $ 196,123   

IMS Health, Inc., Term Loan, 3.50%, 3/17/21

       1,960        1,969,549   

Press Ganey Holdings, Inc.:

      

1st Lien Term Loan, 4.25%, 10/21/23

       840        840,000   

2nd Lien Term Loan, 8.25%, 10/21/24

       310        313,875   
      

 

 

 
                       3,319,547   

Hotels, Restaurants & Leisure — 7.7%

      

Amaya Holdings BV:

      

1st Lien Term Loan, 5.00%, 8/01/21

       1,637        1,635,098   

2nd Lien Term Loan, 8.00%, 8/01/22

       602        599,301   

AMF Bowling Centers, Inc., 2016 Term Loan, 6.00%, 8/17/23

       718        714,108   

Boyd Gaming Corp.:

      

Term Loan B, 4.00%, 8/14/20

       483        486,586   

Term Loan B2, 3.52%, 9/15/23

       1,050        1,057,287   

Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20

       1,473        1,406,614   

Burger King Newco Unlimited Liability Co., Term Loan B2, 3.75%, 12/10/21

       2,868        2,879,596   

Caesars Entertainment Operating Co., Inc., Term Loan B7, 11.50%, 3/01/17

       1,015        1,185,804   

Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20

       4,599        4,622,104   

CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21

       848        850,350   

Eldorado Resorts LLC, Term Loan B, 4.25%, 7/23/22

       1,473        1,478,600   

ESH Hospitality, Inc., 2016 Term Loan B, 3.75%, 8/30/23

       2,000        2,010,260   

Hilton Worldwide Finance LLC:

      

Term Loan B1, 3.50%, 10/26/20

       140        140,932   

Term Loan B2, 3.03%, 10/25/23

       1,011        1,016,101   

La Quinta Intermediate Holdings LLC, Term Loan B, 3.75%, 4/14/21

       507        505,358   

RHP Hotel Properties LP, Term Loan B, 3.59%, 1/15/21

       772        775,762   

Sabre, Inc.:

      

Incremental Term Loan, 4.50%, 2/19/19

       250        250,918   

Term Loan B, 4.00%, 2/19/19

       1,332        1,336,728   

Scientific Games International, Inc.:

      

2014 Term Loan B1, 6.00%, 10/18/20

       714        717,415   

2014 Term Loan B2, 6.00%, 10/01/21

       495        496,596   

Station Casinos LLC, 2016 Term Loan B, 3.75%, 6/08/23

       1,025        1,029,264   

Yum! Brands Inc., 1st Lien Term Loan B, 3.29%, 6/16/23

       898        906,728   
      

 

 

 
                       26,101,510   

Household Products — 0.7%

  

Bass Pro Group LLC, 2015 Term Loan, 4.00%, 6/05/20

       488        487,830   

Spectrum Brands, Inc., 2016 Term Loan, 3.25%, 6/23/22

       2,014        2,029,635   
      

 

 

 
                       2,517,465   

Independent Power and Renewable Electricity Producers — 3.1%

  

Aria Energy Operating LLC, Term Loan, 5.50%, 5/27/22

       756        732,711   

Calpine Construction Finance Co., LP, Term Loan B1, 3.09%, 5/03/20

       980        972,523   

Calpine Corp.:

      

Term Loan B5, 3.59%, 5/27/22

       313        313,721   

Term Loan B6, 4.00%, 1/15/23

       1,310        1,315,720   

Term Loan B7, 3.84%, 5/31/23

       799        804,126   

Dynegy, Inc., Escrow, 5.00%, 6/27/23

       2,674        2,680,886   
Floating Rate Loan Interests    Par  
(000)
    Value  

Independent Power and Renewable Electricity Producers (continued)

  

Granite Acquisition, Inc.:

      

Term Loan B, 5.00%, 12/19/21

     USD        2,036      $ 2,013,717   

Term Loan C, 5.00%, 12/19/21

       91        90,181   

NRG Energy, Inc., 2016 Term Loan B, 3.50%, 6/30/23

       1,052        1,053,678   

Terra-Gen Finance Co. LLC, Term Loan B, 5.25%, 12/09/21

       676        605,429   
      

 

 

 
                       10,582,692   

Industrial Conglomerates — 0.6%

  

Sequa Corp., Term Loan B, 5.25%, 6/19/17

       318        291,582   

Vertiv Co., Term Loan B, 6.00%, 9/29/23

       1,865        1,853,344   
      

 

 

 
                       2,144,926   

Insurance — 2.9%

  

Acrisure LLC, 2015 1st Lien Term Loan, 6.50%, 5/19/22

       492        492,079   

Alliant Holdings I, Inc., Incremental Term Loan B2, 5.25%, 8/12/22

       1,037        1,042,587   

AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20

       349        353,126   

Asurion LLC:

      

Term Loan B1, 5.00%, 5/24/19

       1,582        1,582,169   

Term Loan B4, 5.00%, 8/04/22

       1,246        1,251,333   

Term Loan B5, 4.75%, 11/3/23

       1,500        1,500,000   

Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 10.00%, 8/31/21 (e)

       720        724,802   

Sedgwick Claims Management Services, Inc.:

      

1st Lien Term Loan, 3.75%, 3/01/21

       1,146        1,136,678   

2016 1st Lien Term Loan, 5.25%, 3/01/21

       529        528,839   

2nd Lien Term Loan, 6.75%, 2/28/22

       1,230        1,219,237   
      

 

 

 
                       9,830,850   

Internet & Direct Marketing Retail — 0.6%

  

Harbor Freight Tools USA, Inc., 2016 Term Loan B, 4.14%, 8/19/23

             1,882        1,893,941   

Internet Software & Services — 1.5%

      

Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21

       1,540        1,548,230   

Rackspace Hosting, Inc., 1st Lien Term Loan, 5.00%, 10/26/23

       2,460        2,447,700   

W3 Co., 2nd Lien Term Loan, 9.25%, 9/11/20

       419        169,675   

WaveDivision Holdings LLC, Term Loan B, 4.00%, 10/15/19

       896        898,413   
      

 

 

 
                       5,064,018   

IT Services — 4.4%

  

Abacus Innovations Corp., Term Loan B, 3.28%, 8/16/23

       2,510        2,527,043   

Cision US Inc., Term Loan B, 7.00%, 6/16/23

       758        731,187   

First Data Corp., 2016 Term Loan, 3.52%, 3/24/21

       7,577        7,607,641   

Global Payments Inc., Reprice Term Loan B, 4.03%, 10/19/22

       1,013        1,019,217   

Vantiv LLC, 2014 Term Loan B, 3.25%, 10/14/23

       675        678,848   

WEX, Inc., Term Loan B, 4.25%, 7/01/23

       2,324        2,348,881   
      

 

 

 
                       14,912,817   

Leisure Products — 0.2%

  

Bauer Performance Sports Ltd., Term Loan B, 5.00%, 4/15/21

             668        663,843   

Machinery — 2.2%

      

Faenza Acquisition GmbH:

      

Term Loan B1, 4.25%, 8/30/20

       628        631,121   

Term Loan B3, 4.25%, 8/30/20

       192        192,900   

Global Brass & Copper, Inc., 2016 Term Loan B, 5.25%, 7/18/23

       700        707,875   
 

 

See Notes to Financial Statements.

 

                
32    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

Floating Rate Loan Interests    Par  
(000)
    Value  

Machinery (continued)

      

Infiltrator Systems, Inc., 2016 Term Loan B, 4.50%, 5/27/22

     USD        917      $ 916,723   

Mueller Water Products, Inc., Term Loan B, 4.00%, 11/26/21

       491        495,244   

Navistar International Corp., Term Loan B, 6.50%, 8/07/20

       587        589,598   

Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20

       1,498        1,501,504   

Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19

       2,199        2,018,278   

Wabash National Corp., 2015 Term Loan B, 4.25%, 3/16/22

       568        568,192   
      

 

 

 
                       7,621,435   

Media — 13.5%

  

Altice US Finance I Corp., 2016 Term Loan B, 4.00%, 12/31/25

       3,066        3,074,625   

AMC Entertainment, Inc., New Term Loan B, 3.50%, 12/15/23

       445        443,887   

CBS Radio, Inc., Term Loan B, 4.50%, 10/17/23

       925        929,625   

Cengage Learning Acquisitions, Inc., 2016 Term Loan B, 5.25%, 6/07/23

       128        125,439   

Charter Communications Operating LLC, 2016 Term Loan I, 3.50%, 1/24/23

       3,950        3,972,626   

CSC Holdings, LLC, 2016 Term Loan, 3.88%, 10/11/24

       2,155        2,161,745   

Entercom Radio, LLC, 2016 Term Loan, 4.50%, 10/25/23

       340        341,700   

Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20

       978        976,917   

Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21

       1,361        1,344,975   

iHeartCommunications, Inc.:

      

Extended Term Loan E, 8.03%, 7/30/19

       315        237,299   

Term Loan D, 7.28%, 1/30/19

       3,806        2,875,157   

Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19

       2,317        2,212,928   

Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22

       735        722,748   

Live Nation Entertainment, Inc, Term Loan B1, 3.59%, 10/26/23

       296        295,850   

MCC Iowa LLC, Term Loan J, 3.75%, 6/30/21

       318        318,482   

Mediacom Communications Corp., Term Loan F, 2.96%, 3/31/18

       497        496,628   

MGOC, Inc., Term Loan B, 4.00%, 7/31/20

       1,251        1,250,486   

Mission Broadcasting, Inc., 2016 Term Loan B2, 3.00%, 9/26/23

       247        248,018   

Nexstar Broadcasting, Inc., 2016 Term Loan B, 3.85%, 9/21/23

       2,773        2,783,307   

Numericable Group SA, Term Loan B5, 4.56%, 7/31/22

       174        174,194   

Numericable U.S. LLC:

      

Term Loan B10, 4.00%, 1/13/25

       1,610        1,602,401   

Term Loan B6, 4.75%, 2/10/23

       2,432        2,431,911   

Term Loan B7, 5.14%, 1/15/24

       746        752,407   

SBA Senior Finance II LLC, Term Loan B1, 3.34%, 3/24/21

       2,682        2,684,455   

Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20

       120        120,129   

Trader Corp., Term Loan, 5.00%, 9/28/23

       965        969,825   

Tribune Media Co., Term Loan, 3.75%, 12/27/20

       2,390        2,401,609   

Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20

       4,296        4,303,054   

UPC Financing Partnership, Term Loan AN, 4.08%, 8/31/24

       754        757,439   

Virgin Media Investment Holdings Ltd.:

      

Term Loan E, 4.25%, 6/30/23

     GBP        1,105        1,354,211   

Term Loan F, 3.50%, 6/30/23

     USD        2,405        2,414,780   
Floating Rate Loan Interests    Par  
(000)
    Value  

Media (continued)

  

Ziggo Financing Partnership:

      

Term Loan B1, 3.50%, 1/15/22

     USD        741      $ 740,852   

Term Loan B2A, 3.50%, 1/15/22

       444        444,116   

Term Loan B3, 3.70%, 1/15/22

       138        137,807   
      

 

 

 
                       46,101,632   

Metals & Mining — 0.8%

      

Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20

       265        35,333   

FMG Resources August 2006 Property Ltd., Term Loan B, 3.75%, 6/30/19

       170        170,245   

Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22

       2,195        2,200,584   

WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, 6.50%, 7/13/23

       460        462,300   
      

 

 

 
                       2,868,462   

Multiline Retail — 1.7%

      

BJ’s Wholesale Club, Inc.:

      

1st Lien Term Loan, 4.50%, 9/26/19

       2,161        2,163,244   

2nd Lien Term Loan, 8.50%, 3/26/20

       387        388,400   

Dollar Tree, Inc., Term Loan B3, 3.06%, 7/06/22

       744        750,422   

Hudson’s Bay Co., 2015 Term Loan B, 4.25%, 9/30/22

       1,360        1,359,212   

Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20

       1,109        1,019,177   
      

 

 

 
                       5,680,455   

Oil, Gas & Consumable Fuels — 5.1%

      

Advanced Disposal Services Inc, Term Loan, 3.50%, 11/10/23

       613        613,900   

California Resources Corp.:

      

Second Out Term Loan, 11.38%, 12/31/21

       1,575        1,691,156   

Term Loan A, 3.53%, 10/01/19

       1,047        1,012,227   

Chesapeake Energy Corp., Term Loan, 8.50%, 8/23/21

       2,025        2,162,995   

CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18

       652        659,480   

Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21

       629        320,789   

Energy Transfer Equity LP, Term Loan:

      

2015, 4.04%, 12/02/19

       642        642,116   

3.29%, 12/02/19

       120        118,980   

EWT Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21

       1,021        1,023,678   

Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21

       545        528,650   

MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20

       1,948        1,834,637   

Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20

       849        828,659   

Power Buyer LLC, 1st Lien Term Loan, 4.25%, 5/06/20

       306        305,482   

PowerTeam Services LLC, 2nd Lien Term Loan, 8.25%, 11/06/20

       285        283,575   

Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21

       875        833,797   

Seventy Seven Operating LLC, Term Loan B, 3.89%, 6/25/20

       159        146,568   

Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21

       33        26,431   

Southcross Holdings Borrower LP, Exit Term Loan B, 3.50%, 4/13/23

       58        48,076   

Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/28/22

       483        491,061   

TPF II Power LLC, Term Loan B, 5.00%, 10/02/21

       1,226        1,237,153   

Ultra Resources, Inc., Revolver, 4.61%, 4/06/17 (a)(d)

       754        730,249   

Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22

       1,685        1,676,275   
      

 

 

 
                       17,215,934   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    33


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

Floating Rate Loan Interests    Par  
(000)
    Value  

Personal Products — 0.9%

      

Prestige Brands, Inc., Term Loan B3, 3.50%, 9/03/21

     USD        1,360      $ 1,367,078   

Revlon Consumer Products Corp., 2016 Term Loan B, 4.25%, 9/07/23

       1,850        1,853,274   
      

 

 

 
                       3,220,352   

Pharmaceuticals — 5.5%

      

Akorn, Inc., Term Loan B, 5.25%, 4/16/21

       1,535        1,544,897   

CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19

       501        500,030   

DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21

       3,736        3,737,593   

Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.75%, 9/26/22

       858        856,645   

Grifols Worldwide Operations USA, Inc., Term Loan B, 3.46%, 2/27/21

       2,566        2,586,685   

Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22

       3,926        3,919,227   

NBTY, Inc., Term Loan B, 5.00%, 5/05/23

       1,079        1,081,761   

Valeant Pharmaceuticals International, Inc.:

      

Series A3 Tranche A, 4.29%, 10/20/18

       278        277,123   

Series C2 Term Loan B, 5.25%, 12/11/19

       2,924        2,917,479   

Series D2 Term Loan B, 5.00%, 2/13/19

       415        413,317   

Series E Term Loan B, 5.25%, 8/05/20

       669        666,457   

Series F1 Term Loan B, 5.60%, 4/01/22

       325        323,781   
      

 

 

 
                       18,824,995   

Professional Services — 2.8%

      

Acosta Holdco, Inc., 2015 Term Loan, 4.25%, 9/26/21

       371        356,186   

Advantage Sales & Marketing, Inc.:

      

2014 1st Lien Term Loan, 4.25%, 7/23/21

       688        681,229   

2014 2nd Lien Term Loan, 7.50%, 7/25/22

       267        252,204   

Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18

       1,735        1,738,529   

SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19

       1,058        1,050,292   

Sterling Infosystems, Inc., 1st Lien Term Loan B, 5.75%, 6/20/22

       1,002        996,561   

TransUnion LLC, Term Loan B2, 3.50%, 4/09/21

       4,484        4,495,353   
      

 

 

 
                       9,570,354   

Real Estate Investment Trusts (REITs) — 1.4%

  

   

Communications Sales & Leasing, Inc., Term Loan B, 4.50%, 10/24/22

       1,463        1,468,256   

MGM Growth Properties LLC, 2016 Term Loan B, 4.00%, 4/25/23

       3,344        3,349,836   
      

 

 

 
                       4,818,092   

Real Estate Management & Development — 1.5%

      

CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20

       1,319        1,325,428   

DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.25%, 11/04/21

       1,151        1,148,102   

Realogy Corp.:

      

2016 Term Loan B, 3.75%, 7/20/22

       1,919        1,933,996   

Term Loan A, 2.53%, 10/23/20

       673        669,727   
      

 

 

 
                       5,077,253   

Road & Rail — 0.2%

      

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, 5.00%, 6/13/23

             770        774,335   

Semiconductors & Semiconductor Equipment — 2.8%

  

   

Avago Technologies Cayman Ltd., Term Loan B3, 3.53%, 2/01/23

       5,373        5,425,919   

Cavium, Inc., Term Loan B, 3.75%, 8/16/22

       575        576,437   

Microsemi Corp., 2015 Term Loan B, 3.75%, 1/15/23

       272        274,056   
Floating Rate Loan Interests    Par  
(000)
    Value  

Semiconductors & Semiconductor Equipment (continued)

  

   

NXP B.V., Term Loan F, 3.41%, 12/07/20

     USD        2,713      $ 2,720,974   

ON Semiconductor Corp., Incremental Term Loan, 3.78%, 3/31/23

       660        663,630   
      

 

 

 
                       9,661,016   

Software — 8.7%

      

BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20

       1,655        1,629,058   

DTI Holdco, Inc., 2016 Term Loan B, 6.25%, 9/21/23

       960        950,698   

Infor US, Inc., Term Loan B5, 3.75%, 6/03/20

       2,292        2,284,238   

Informatica Corp., Term Loan, 4.50%, 8/05/22

       2,502        2,454,148   

IQOR US, Inc., Term Loan B, 6.00%, 4/01/21

       454        418,655   

Kronos, Inc.:

      

1st Lien Term Loan, 5.00%, 10/04/23

       2,835        2,846,283   

2nd Lien Term Loan, 9.75%, 4/30/20

       1,088        1,100,210   

2nd Lien Term Loan, 9.25%, 10/04/24

       1,045        1,076,204   

Initial Incremental Term Loan, 4.50%, 10/30/19

       1,275        1,279,854   

Landslide Holdings, Inc., 2016 1st Lien Term Loan, 5.50%, 9/27/22

       660        664,950   

Mitchell International, Inc.:

      

1st Lien Term Loan, 4.50%, 10/13/20

       1,310        1,304,594   

2nd Lien Term Loan, 8.50%, 10/11/21

       1,000        986,250   

RP Crown Parent LLC, 2016 Term Loan B, 4.50%, 10/12/23

       1,365        1,364,229   

SolarWinds, Inc., 2016 Term Loan, 5.50%, 2/05/23

       1,995        2,003,977   

Solera LLC, Term Loan B, 5.75%, 3/03/23

       597        603,251   

Sophia LP, 2015 Term Loan B, 4.75%, 9/30/22

       1,464        1,465,614   

SS&C Technologies, Inc.:

      

2015 Term Loan B1, 4.00%, 7/08/22

       2,946        2,966,811   

2015 Term Loan B2, 4.00%, 7/08/22

       358        360,822   

Tibco Software Inc., Term Loan B, 6.50%, 12/04/20

       1,042        1,042,138   

Vertafore, Inc., 2016 1st Lien Term Loan, 4.75%, 6/30/23

       2,965        2,973,806   
      

 

 

 
                       29,775,790   

Specialty Retail — 2.6%

  

Academy Ltd., 2015 Term Loan B, 5.00%, 7/01/22

       702        680,428   

Aspen Merger Sub Inc, 1st Lien Term Loan, 5.25%, 9/27/23

       500        504,585   

Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20

       788        792,659   

Leslie’s Poolmart, Inc., 2016 Term Loan, 5.25%, 8/16/23

       745        749,656   

Michaels Stores, Inc., 2016 Term Loan B1, 3.75%, 1/27/23

       2,719        2,738,765   

Party City Holdings, Inc., Term Loan B, 4.49%, 8/19/22

       1,753        1,757,014   

Petco Animal Supplies, Inc.:

      

2016 Term Loan B1, 5.00%, 1/26/23

       506        510,209   

2016 Term Loan B2, 5.14%, 1/26/23

       993        1,000,251   

Things Remembered, Inc., 2016 Term Loan, 1.00%, 2/29/20

       556        239,198   
      

 

 

 
                       8,972,765   

Technology Hardware, Storage & Peripherals — 0.6%

  

Dell Inc., 2016 Term Loan B, 4.00%, 9/07/23

       1,595        1,605,894   

Linxens France SA, Term Loan, 5.00%, 10/14/22

       476        476,400   
      

 

 

 
                       2,082,294   

Textiles, Apparel & Luxury Goods — 0.6%

  

Ascend Performance Materials LLC, Term Loan B, 6.50%, 8/12/22

       1,493        1,486,857   

J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21

       209        159,018   

Samsonite International SA, Term Loan B, 4.00%, 5/12/23

       305        307,669   
      

 

 

 
                       1,953,544   
 

 

See Notes to Financial Statements.

 

                
34    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

Floating Rate Loan Interests    Par  
(000)
    Value  

Thrifts & Mortgage Finance — 0.5%

  

IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21

     USD        1,698      $ 1,712,807   

Trading Companies & Distributors — 1.2%

      

Beacon Roofing Supply, Inc., Term Loan B, 3.50%, 10/01/22

       867        869,083   

HD Supply, Inc.:

      

Incremental Term Loan B1, 3.59%, 8/13/21

       2,302        2,303,945   

Incremental Term Loan B2, 3.63%, 10/17/23

       625        625,394   

Nexeo Solutions LLC, 2016 Term Loan, 5.25%, 6/09/23

       155        155,579   
      

 

 

 
                       3,954,001   

Transportation — 0.2%

  

Gruden Acquisition, Inc., 1st Lien Term Loan, 5.75%, 8/18/22

             774        692,222   

Wireless Telecommunication Services — 2.8%

      

Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 6/15/20 (a)(d)(e)

       4,672        4,347,859   

LTS Buyer LLC:

      

1st Lien Term Loan, 4.09%, 4/13/20

       3,001        3,004,190   

2nd Lien Term Loan, 8.00%, 4/12/21

       548        548,137   

T-Mobile USA, Inc., Term Loan B, 3.50%, 11/09/22

       1,695        1,707,307   
      

 

 

 
                       9,607,493   
Total Floating Rate Loan Interests — 139.6%        475,798,578   
      
                          
Investment Companies           Shares         

Capital Markets — 0.4%

      

Eaton Vance Floating-Rate Income Trust

       34        490   

Eaton Vance Senior Income Trust

       8,925        57,031   

iShares iBoxx $ High Yield Corporate Bond ETF (f)

       16,868        1,450,985   
      

 

 

 
                       1,508,506   
Total Investment Companies — 0.4%                      1,508,506   
      
                          
Non-Agency Mortgage-Backed Securities           Par  
(000)
        

Collateralized Mortgage Obligations — 0.2%

  

Hilton USA Trust, Series 2013-HLT, Class EFX, 4.60%, 11/05/30 (b)(c)

     USD        598        597,971   
Other Interests (g)           Beneficial
Interest
(000)
    Value  

Auto Components — 0.0%

  

Lear Corp. Escrow

     USD        500      $ 5   

Construction Materials — 0.1%

      

USI Senior Holdings

             8        242,024   
Total Other Interests — 0.1%                      242,029   
      
                          
Warrants           Shares         

Chemicals — 0.0%

      

British Vita Holdings Co. (Non-Expiring)

             166          

Software — 0.0%

      

Bankruptcy Management Solutions, Inc.:

      

Expires 7/01/18

       181        1,493   

Expires 7/01/19

       195        731   

Expires 7/01/20

       292        803   

HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)

       1,501        1,323   
      

 

 

 
                       4,350   
Total Warrants — 0.0%                      4,350   
Total Long-Term Investments
(Cost — $508,069,013) — 149.1%
                     508,108,981   
      
                          
Short-Term Securities                      

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.22% (f)(h)

             7,275,589        7,275,589   

Total Short-Term Securities

(Cost — $7,275,589) — 2.1%

                     7,275,589   
Options Purchased
(Cost — $25,422) — 0.0%
                  
Total Investments (Cost — $515,370,024) — 151.2%          515,384,570   

Liabilities in Excess of Other Assets — (51.2)%

  

      (174,440,476
      

 

 

 

Net Assets — 100.0%

       $ 340,944,094   
      

 

 

 
 
Notes to Schedule of Investments

 

(a)   Non-Income producing security.

 

(b)   Variable rate security. Rate as of period end.

 

(c)   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.

 

(d)   Issuer filed for bankruptcy and/or is in default.

 

(e)   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.

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    35


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

 

(f)   During the year ended October 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   Shares Held
at October 31,
2015
    Shares
Purchased
    Shares
Sold
    Shares Held
at October 31,
2016
   

Value at
October 31,

2016

    Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

    1,094,113               (1,094,113 )1                  $ 1,322   

BlackRock Liquidity Funds, T-Fund, Institutional Class

           7,275,589 2           $ 7,275,589      $ 7,275,589        260   

iShares iBoxx $ High Yield Corporate Bond ETF

           16,868               16,868        1,450,985        18,254   

Total

          $ 8,726,574      $ 19,836   
         

 

 

   

 

 

 

1    Represents net shares sold.

       

   

2    Represents net shares purchased.

       

   

 

(g)   Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

(h)   Current yield as of period end.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry subclassifications for reporting ease.

 

Derivative Financial Instruments Outstanding as of Period End

 

Forward Foreign Currency Exchange Contracts  
Currency
Purchased
    Currency
Sold
    Counterparty   Settlement
Date
    Unrealized
Appreciation
(Depreciation)
        
USD     1,030,065      CAD     1,352,000      JPMorgan Chase Bank N.A.     11/03/16      $ 22,073     
USD     83,065      EUR     74,000      Royal Bank of Scotland PLC     11/03/16        1,828     
USD     1,436,576      GBP     1,107,000      Nomura International PLC     11/03/16        81,582     
USD     1,004,515      CAD     1,346,000      BNP Paribas S.A.     12/05/16        779     
USD     78,904      EUR     72,000      Goldman Sachs International     12/05/16        (241  
USD     1,317,218      GBP     1,083,000      Royal Bank of Scotland PLC     12/05/16        (9,268        

Total

  

      $ 96,753     
           

 

 

 

 

OTC Options Purchased  
Description   Put/
Call
  Counterparty   Expiration
Date
   

Strike
Price

    Contracts     Value  

Marsico Parent Superholdco LLC

  Call   Goldman Sachs & Co.     12/14/19        USD        942.86        USD    26          

 

OTC Total Return Swaps                                              
Reference Entity   Fixed Rate
Floating Rate
    Counterparty   Effective
Date
    Expiration
Date
    Notional
Amount
(000)
    Value     Premiums
Paid
(Received)
    Unrealized
Appreciation
 

IBoxx USD Liquid High Yield Index

    3-Month  LIBOR 1    JPMorgan Chase Bank N.A.     N/A        12/20/16        USD    345      $ 20,215             $ 20,215   

1    Trust pays the floating rate and receives the total return of the reference entity.

       

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
   

Interest

Rate

Contracts

    Other
Contracts
    Total         

Forward foreign currency exchange contracts

   Unrealized appreciation on forward foreign currency exchange contracts                        $ 106,262                    $ 106,262     

Swaps — OTC

   Unrealized appreciation on OTC swaps                               $ 20,215               20,215     
    

 

 

 

Total

                          $ 106,262      $ 20,215             $ 126,477     
    

 

 

 

 

See Notes to Financial Statements.

 

                
36    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

Liabilities — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
   

Interest

Rate

Contracts

    Other
Contracts
    Total  

Forward foreign currency exchange contracts

   Unrealized depreciation on forward foreign currency exchange contracts                        $ 9,509                    $ 9,509   

For the year ended October 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total         

Forward foreign currency exchange contracts

                       $ 286,497                    $ 286,497     

Swaps

         $ (15,862                 $ (881            (16,743  
 

 

 

 

Total

         $ (15,862          $ 286,497      $ (881          $ 269,754     
 

 

 

 
               
Net Change in Unrealized Appreciation (Depreciation) on:                                                        

Forward foreign currency exchange contracts

                       $ 85,697                    $ 85,697     

Swaps

                              $ 20,215               20,215     
 

 

 

 

Total

                       $ 85,697      $ 20,215             $ 105,912     
 

 

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Forward foreign currency exchange contracts:   

Average amounts purchased — in USD

  $ 7,112,173   

Average amounts sold — in USD

  $ 83,919   
Credit default swaps:  

Average notional value — buy protection

  $ 400,000   
Total return swaps:   

Average notional value

  $ 258,750   

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

     Assets     Liabilities  

Forward foreign currency exchange contracts

  $ 106,262      $ 9,509   

Swaps – OTC1

    20,215          
 

 

 

   

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

  $ 126,477      $ 9,509   
 

 

 

   

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

             
 

 

 

   

 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 126,477      $ 9,509   
 

 

 

   

 

 

 

1    Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities.

       

The following table presents the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Trust:

 

Counterparty   Derivative Assets
Subject to an MNA
by Counterparty
    Derivatives Available
for Offset1
    Non-cash
Collateral
Received
    Cash
Collateral
Received
    Net Amount of
Derivative Assets2
        

BNP Paribas S.A.

  $ 779                           $ 779     

JPMorgan Chase Bank N.A.

    42,288                             42,288     

Nomura International PLC

    81,582                             81,582     

Royal Bank of Scotland PLC

    1,828      $ (1,828                       
 

 

 

 

Total

  $ 126,477      $ (1,828                 $ 124,649     
 

 

 

 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    37


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
    Derivatives
Available
for Offset
    Non-cash
Collateral
Pledged
    Cash
Collateral
Pledged
    Net Amount of
Derivative Liabilities3
        

Goldman Sachs International

  $ 241                           $ 241     

Royal Bank of Scotland PLC

    9,268      $ (1,828                   7,440     
 

 

 

 

Total

  $ 9,509      $ (1,828                 $ 7,681     
 

 

 

 

1   The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

      

 

2   Net amount represents the net amount receivable from the counterparty in the event of default.

      

 

3   Net amount represents the net amount payable due to the counterparty in the event of default.

      

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about the Trust’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 
Long-Term Investments:                 

Asset-Backed Securities

            $ 6,354,166         $ 1,497,774         $ 7,851,940   

Common Stocks

  $ 436,346           16,084           1,232,177           1,684,607   

Corporate Bonds

              20,407,920           13,080           20,421,000   

Floating Rate Loan Interests

              453,371,002           22,427,576           475,798,578   

Investment Companies

    1,508,506                               1,508,506   

Non-Agency Mortgage-Backed Securities

              597,971                     597,971   

Other Interests

              242,024           5           242,029   

Warrants

                        4,350           4,350   

Options Purchased

                                    

Unfunded Floating Rate Loan Interests1

              3,211                     3,211   

Short-Term Securities

    7,275,589                               7,275,589   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 9,220,441         $ 480,992,378         $ 25,174,962         $ 515,387,781   
 

 

 

      

 

 

      

 

 

      

 

 

 
                                          
Derivative Financial Instruments 2                 

Assets:

                

Foreign currency contracts

            $ 106,262                   $ 106,262   

Interest rate contracts

              20,215                     20,215   

Liabilities:

                

Foreign currency contracts

              (9,509                  (9,509
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

            $ 116,968                   $ 116,968   
 

 

 

      

 

 

      

 

 

      

 

 

 

1   Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

      

2   Derivative financial instruments are swaps and forward foreign currency exchange contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                

Foreign currency at value

  $ 37,360                             $ 37,360   

Cash

    1,061,042                               1,061,042   

Liabilities:

                

Bank borrowings payable

            $ (148,000,000                  (148,000,000
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 1,098,402         $ (148,000,000                $ (146,901,598
 

 

 

      

 

 

      

 

 

      

 

 

 

During the year ended October 31, 2016, there were no transfers between Level 1 and Level 2.

 

See Notes to Financial Statements.

 

                
38    ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (concluded)

  

BlackRock Floating Rate Income Trust (BGT)

 

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Common
Stocks
    Asset-Backed
Securities
    Corporate
Bonds
   

Floating
Rate Loan

Interests

    Other
Interests
    Warrants     Total  

Assets:

             

Opening Balance, as of October 31, 2015

  $ 242,024      $ 4,308,660      $ 584,504      $ 20,360,572      $ 173,792      $ 8,643      $ 25,678,195   

Transfers into Level 31

           248,783               7,212,173                      7,460,956   

Transfers out of Level 32

           (1,211,028     (584,504     (5,976,292     (169,417            (7,941,241

Accrued discounts/premiums

           2,196               46,841                      49,037   

Net realized gain (loss)

           (186,454            (983,469                   (1,169,923

Net change in unrealized appreciation (depreciation)3,4

    983,889        59,673        13,080        503,396        (4,370     (4,293     1,551,375   

Purchases

    6,264        959,447               9,423,848                      10,389,559   

Sales

           (2,683,503            (8,159,493                   (10,842,996
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Closing Balance, as of October 31, 2016

  $ 1,232,177      $ 1,497,774      $ 13,080      $ 22,427,576      $ 5      $ 4,350      $ 25,174,962   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation on investments still held at October 31, 20164

  $ 983,889      $ 40,997      $ 13,080      $ 142,791      $ (4,370   $ (4,293   $ 1,172,094   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

1   As of October 31, 2015, the Trust used observable inputs in determining the value of certain investments. As of October 31, 2016, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

        

2   As of October 31, 2015, the Trust used significant unobservable inputs in determining the value of certain investments. As of October 31, 2016, the Trust used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

        

3   Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations.

      

4   Any difference between net change in unrealized appreciation (depreciation) on investments still held at October 31, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

       

The Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    39


Consolidated Schedule of Investments October 31, 2016

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Common Stocks        
Shares
    Value  

Aerospace & Defense — 0.4%

      

United Technologies Corp.

             25,650      $ 2,621,430   

Oil, Gas & Consumable Fuels — 0.0%

      

Denbury Resources, Inc.

             43,560        103,935   

Real Estate Investment Trusts (REITs) — 0.0%

  

Ovation Acquisition I LLC, (Acquired 12/28/15, cost $8,635) (a)

             561        561   
Total Common Stocks — 0.4%        2,725,926   
      
                          
Asset-Backed Securities    Par  
(000)
        

Asset-Backed Securities — 30.4%

      

ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A2D, 0.83%, 2/25/36 (b)

     USD        6,190        5,643,961   

Adirondack Park CLO Ltd., Series 2013-1A, Class E, 5.53%, 4/15/24 (b)(c)

       2,000        1,793,775   

ALM Loan Funding, Series 2013-7RA, Class D, 5.88%, 4/24/24 (b)(c)

       1,000        938,724   

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

      

Class B2R, 3.48%, 7/15/26

       1,300        1,296,111   

Class CR, 4.43%, 7/15/26

       1,000        996,900   

ALM XIV Ltd., Series 2014-14A, Class C, 4.34%, 7/28/26 (b)(c)

       3,610        3,522,137   

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

       2,000        2,193,923   

AMMC CDO (b)(c):

      

Series 2015-16A, Class C, 3.98%, 4/14/27

       1,250        1,253,523   

Series 2016-1A, Class E, 7.88%, 10/15/28 (e)

       1,000        934,500   

AMMC CLO IX, Ltd., Series 2011-9A, Class ER, 8.53%, 1/15/22 (b)(c)

       1,000        1,002,143   

AMMC CLO XII Ltd., Series 2013-12A, Class D1, 4.56%, 5/10/25 (b)(c)(d)

       1,000        980,494   

Anchorage Capital CLO 2012-1, Ltd., Series 2012-1A, Class DR, 8.12%,
1/13/27 (b)(c)

       1,000        962,900   

Anchorage Capital CLO 3 Ltd., Series 2014-3A, Class BR, 3.51%, 4/28/26 (b)(c)

       1,000        1,000,000   

Anchorage Capital CLO 6 Ltd., Series 2015-6A (b)(c):

      

Class C, 3.73%, 4/15/27

       700        701,960   

Class D, 4.28%, 4/15/27

       1,000        959,524   

Apidos CDO, Series 2012-9AR, Class CR, 3.78%, 7/15/23 (b)(c)

       1,250        1,250,097   

Apidos CLO XII, Series 2013-12A, Class D, 3.93%, 4/15/25 (b)(c)(d)

       1,000        949,381   

Ares CLO Ltd., Series 2015-1A, Class D, 7.07%, 12/05/25 (b)(c)

       1,000        922,500   

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

      

Class D, 4.38%, 7/16/25 (d)

       1,000        975,555   

Class E, 5.38%, 7/16/25

       2,000        1,768,733   

Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 2A, 0.67%,
11/25/36 (b)

       5,163        4,453,303   

Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 4.38%,
7/15/24 (b)(c)(d)

       1,750        1,679,116   

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

      

Class B, 3.93%, 4/18/27 (d)

       1,000        1,002,500   

Class C, 4.58%, 4/18/27

       1,000        959,134   
Asset-Backed Securities   

Par  

(000)

    Value  

Asset-Backed Securities (continued)

      

Betony CLO Ltd., Series 2015-1A, Class D, 4.48%, 4/15/27 (b)(c)

     USD        1,000      $ 916,786   

C-BASS Trust, Series 2006-CB7, Class A4, 0.69%, 10/25/36 (b)

       8,548        5,763,047   

Carlyle Global Market Strategies CLO
Ltd. (b)(c)(d):

      

Series 2012-1AR, Class DR, 4.63%, 4/20/22

       1,000        1,000,617   

Series 2013-2A, Class D, 4.63%, 4/18/25

       1,250        1,244,302   

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

      

Class A2, 0.65%, 10/25/36

       5,977        3,596,616   

Class A5, 0.61%, 10/25/36

       12,314        7,369,755   

CIFC Funding Ltd. (b)(c):

      

Series 2012-1AR, Class B1R, 4.46%, 8/14/24 (d)

       2,000        2,000,017   

Series 2014-3A, Class D, 4.28%, 7/22/26

       480        455,123   

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

       3,642        3,568,888   

Flatiron CLO Ltd., Series 2012-1A, Class CR, 5.35%, 10/25/21 (b)(c)

       1,375        1,375,000   

Fremont Home Loan Trust, Class 2A3 (b):

      

Series 2006-A, 0.69%, 5/25/36

       25,762        15,608,044   

Series 2006-D, 0.68%, 11/25/36

       23,247        10,230,860   

GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class D, 4.18%,
4/25/25 (b)(c)

       1,250        1,207,415   

GSAMP Trust (b):

      

Series 2006-FM2, Class A2C, 0.68%, 9/25/36

       11,745        5,545,023   

Series 2007-FM2, Class A2B, 0.62%, 1/25/37

       8,227        5,125,816   

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

      

Series 4A-2014, Class B, 3.89%, 7/28/25

       2,000        2,000,494   

Series 8A-2016, Class E, 8.78%, 4/20/27

       1,000        998,393   

Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-E, Class 2A3, 0.70%, 4/25/37 (b)

       13,587        9,171,893   

LCM XVI LP, Series 16A, Class E, 5.48%, 7/15/26 (b)(c)

       1,000        865,147   

Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class M2, 7.17%, 4/15/40 (b)

       5,991        4,443,186   

Long Beach Mortgage Loan Trust, Series 2006-1, Class 1A, 0.75%, 2/25/36 (b)

       6,134        5,377,764   

Madison Park Funding IX Ltd., Series 2012-9AR, Class C1R, 3.67%, 8/15/22 (b)(c)(d)

       1,000        1,000,397   

Madison Park Funding Ltd., Series 2012-8X, Class E, 6.23%, 4/22/22 (b)

       3,000        2,995,240   

Madison Park Funding X Ltd., Series 2012-10A, Class ER, 8.46%, 1/20/29 (b)(c)

       1,000        979,800   

Madison Park Funding XV Ltd., Series 2014-15A, Class B1, 4.14%, 1/27/26 (b)(c)

       1,600        1,601,298   

Madison Park Funding XVI Ltd., Series 2015-16A (b)(c)(d):

      

Class B, 3.88%, 4/20/26

       1,000        1,002,800   

Class C, 4.58%, 4/20/26

       1,000        985,141   

Mastr Asset-Backed Securities Trust (b):

      

Series 2006-HE2, Class A3, 0.68%, 6/25/36

       11,526        6,391,680   

Series 2006-WMC2, Class A5, 0.78%, 4/25/36

       8,823        3,909,728   

Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A3, 0.68%, 11/25/36 (b)

       14,673        6,846,959   
 

 

See Notes to Financial Statements.

 

                
40    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Asset-Backed Securities   

Par  

(000)

    Value  

Asset-Backed Securities (continued)

      

Octagon Investment Partners XIV Ltd., Series 2012-1A, Class C, 4.88%,
1/15/24 (b)(c)(d)

     USD        1,000      $ 999,965   

Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 4.47%,
11/14/26 (b)(c)

       1,000        971,915   

OHA Credit Partners VII Ltd., Series 2012-7A, Class D, 4.81%, 11/20/23 (b)(c)(d)

       3,000        2,999,816   

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

       5,000        4,950,219   

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

      

Class CR, 4.87%, 10/30/27

       1,250        1,239,250   

Class DR, 8.17%, 10/30/27

       1,250        1,203,250   

OZLM Funding IV Ltd., Series 2013-4A, Class C, 4.08%, 7/22/25 (b)(c)(d)

       1,250        1,202,706   

Pretium Mortgage Credit Partners LLC, Series 2016-NPL3, Class A1, 4.38%, 5/27/31 (c)(f)

       6,361        6,422,122   

Race Point CLO Ltd., Series 2011-5AR, Class ER, 6.34%, 12/15/22 (b)(c)

       1,500        1,500,177   

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

       4,554        2,785,565   

Saxon Asset Securities Trust, Series 2007-3, Class 2A3, 0.93%, 9/25/47 (b)

       5,000        3,819,991   

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

       (g)      2,849,898   

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

       4,100        4,090,266   

Sound Point CLO X Ltd., Series 2015-3A, Class E, 7.63%, 1/20/28 (b)(c)

       1,000        942,676   

Sound Point CLO XIV Ltd, Series 2016-3A, Class E, 7.53%, 1/23/29 (b)(c)(e)

       1,000        918,100   

Symphony CLO XV Ltd., Series 2014-15A, Class D, 4.63%, 10/17/26 (b)(c)

       3,500        3,470,109   

TICP CLO I Ltd., Series 2015-1A, Class C, 3.88%, 7/20/27 (b)(c)

       1,000        988,238   

Treman Park CLO LLC, Series 2015-1A, Class D, 4.74%, 4/20/27 (b)(c)

       1,500        1,478,803   

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

      

Class C, 4.38%, 7/15/25 (d)

       1,250        1,225,264   

Class D, 5.28%, 7/15/25

       1,000        870,593   

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

       4,839        4,830,853   

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

      

Class C, 4.03%, 4/15/27 (d)

       1,000        1,000,198   

Class D, 4.73%, 4/15/27

       520        496,544   

Venture XXI CLO Ltd., Series 2015-21A, Class D, 4.48%, 7/15/27 (b)(c)

       480        436,751   

VOLT XLVI LLC, Series 2016-NPL6, Class A1, 3.84%, 6/25/46 (c)(f)

       4,514        4,537,133   

Voya CLO Ltd. (b)(c):

      

Series 2012-2AR, Class CR, 3.63%, 10/15/22 (d)

       1,350        1,350,675   

Series 2016-3A, Class C, 4.67%, 10/18/27

       435        425,474   

Series 2016-3A, Class D, 7.67%, 10/18/27

       385        364,826   

WaMu Asset-Backed Certificates Trust, Series 2007-HE3, Class 2A3, 0.77%, 5/25/47 (b)

       10,979        7,371,428   

Westvue Mortgage Loan Trust, Series 2015-1A, Class A, 4.50%, 9/25/20 (c)(f)

       2,309        2,341,641   
Asset-Backed Securities   

Par  

(000)

    Value  

Asset-Backed Securities (continued)

      

York CLO-3 Ltd., Series 2016-1A, Class E, 6.56%, 7/20/25 (b)(c)

     USD        1,000      $ 894,848   
Total Asset-Backed Securities — 30.4%        220,697,417   
      
                          
Corporate Bonds                      

Aerospace & Defense — 1.1%

  

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

       840        667,800   

Bombardier, Inc. (c):

      

7.50%, 3/15/18

       21        22,247   

5.50%, 9/15/18

       502        517,447   

4.75%, 4/15/19

       149        148,255   

6.00%, 10/15/22

       33        29,288   

6.13%, 1/15/23

       369        320,299   

7.50%, 3/15/25

       706        631,870   

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

       750        783,800   

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

       345        351,106   

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

       400        453,630   

TransDigm, Inc.:

      

5.50%, 10/15/20

       262        269,205   

7.50%, 7/15/21 (d)

       312        329,940   

6.00%, 7/15/22 (d)

       1,833        1,910,902   

6.50%, 7/15/24 (d)

       356        374,690   

6.38%, 6/15/26 (c)

       541        553,227   

United Technologies Corp., 3.75%, 11/01/46

       700        694,319   
      

 

 

 
                       8,058,025   

Air Freight & Logistics — 0.3%

      

FedEx Corp.:

      

3.90%, 2/01/35

       500        496,753   

4.75%, 11/15/45 (d)

       500        543,725   

XPO Logistics, Inc.:

      

5.75%, 6/15/21

     EUR        100        114,353   

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

     USD        760        790,400   

6.13%, 9/01/23 (c)

       341        350,804   
      

 

 

 
                       2,296,035   

Airlines — 3.2%

      

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

       2,747        2,877,466   

American Airlines Pass-Through Trust (d):

      

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

       1,080        1,120,500   

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

       1,998        2,180,083   

Continental Airlines Pass-Through Trust (d):

      

Series 2003-ERJ1, 7.88%, 1/02/20

       365        380,536   

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

       383        406,474   

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

       371        393,289   

Series 2012-3, Class C, 6.13%, 4/29/18

       408        428,400   

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

      

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

       1,860        2,120,473   

Series 2012-1, 6.88%, 5/07/19 (c)

       3,330        3,595,865   

United Airlines Pass-Through Trust (d):

      

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

       2,487        2,530,140   

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

       3,570        3,784,200   

US Airways Pass-Through Trust, Class B (d):

      

Series 2011-1, 9.75%, 4/22/20

       1,997        2,242,029   

Series 2013-1, 5.38%, 5/15/23

       816        842,513   
      

 

 

 
                       22,901,968   

Auto Components — 0.4%

      

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

       461        470,220   

CNH Industrial Finance Europe SA, 2.88%, 5/17/23

     EUR        175        198,254   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    41


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds   

Par  

(000)

    Value  

Auto Components (continued)

      

Delphi Automotive PLC (d):

      

4.25%, 1/15/26

     USD        400      $ 432,699   

4.40%, 10/01/46

       280        275,899   

Faurecia, 3.63%, 6/15/23

     EUR        111        126,286   

Fiat Chrysler Finance Europe:

      

4.75%, 3/22/21

       133        161,878   

4.75%, 7/15/22

       100        121,345   

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

       100        115,297   

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

     USD        77        77,674   

Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19 (d)

       481        478,836   

IHO Verwaltungs GmbH (h):

      

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

     EUR        100        112,296   

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

       100        111,435   

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

     USD        214        218,126   

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

     EUR        100        108,412   

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

     USD        229        230,746   
      

 

 

 
                       3,239,403   

Automobiles — 0.3%

      

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

             2,194        2,512,121   

Banks — 1.1%

      

Allied Irish Banks PLC, 4.13%, 11/26/25 (b)

     EUR        100        107,305   

Bank of Ireland, 4.25%, 6/11/24 (b)

       100        110,346   

Bankia SA, 4.00%, 5/22/24 (b)

       300        330,351   

CIT Group, Inc.:

      

5.25%, 3/15/18 (d)

     USD        588        608,968   

5.50%, 2/15/19 (c)

       280        294,700   

5.00%, 8/01/23 (d)

       880        937,288   

Commerzbank AG:

      

7.75%, 3/16/21

     EUR        100        130,627   

4.00%, 3/23/26

       47        52,056   

Intesa Sanpaolo SpA, 2.86%, 4/23/25

       115        123,330   

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

     USD        100        104,993   

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

       5,000        4,900,000   
      

 

 

 
                       7,699,964   

Beverages — 0.3%

      

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

             2,160        2,470,040   

Biotechnology — 0.3%

      

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

       1,100        1,118,472   

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

       700        755,909   

Senvion Holding GmbH, 6.63%, 11/15/20

     EUR        145        166,003   
      

 

 

 
                       2,040,384   

Building Materials — 0.0%

      

Dry Mix Solutions Investissements SAS, 3.95%, 6/15/21 (b)

       100        109,841   

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

       100        113,343   
      

 

 

 
                       223,184   

Building Products — 0.5%

      

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

      

5.63%, 4/15/21

     USD        375        387,187   

5.75%, 12/15/23

       155        161,588   

Builders FirstSource, Inc., 5.63%, 9/01/24 (c)

       94        94,940   

Building Materials Corp. of America (c):

      

5.38%, 11/15/24

       110        113,713   
Corporate Bonds   

Par  

(000)

    Value  

Building Products (continued)

      

Building Materials Corp. of America (c) (continued):

      

6.00%, 10/15/25 (d)

     USD        247      $ 263,660   

HeidelbergCement AG, 2.25%, 3/30/23

     EUR        100        114,989   

Louisiana-Pacific Corp., 4.88%,
9/15/24 (c)

     USD        106        104,145   

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

       360        372,600   

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

       729        760,784   

Standard Industries, Inc. (c)(d):

      

5.13%, 2/15/21

       47        49,350   

5.50%, 2/15/23

       257        267,280   

USG Corp.:

      

9.50%, 1/15/18 (d)

       652        702,530   

5.88%, 11/01/21 (c)

       80        83,800   

5.50%, 3/01/25 (c)(d)

       435        463,275   
      

 

 

 
                       3,939,841   

Capital Markets — 0.1%

      

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

       140        140,176   

E*Trade Financial Corp. (d):

      

5.38%, 11/15/22

       185        197,738   

4.63%, 9/15/23

       490        508,375   
      

 

 

 
                       846,289   

Chemicals — 0.8%

      

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

     EUR        100        109,912   

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

     USD        265        268,975   

CF Industries, Inc., 4.95%, 6/01/43 (d)

       430        356,744   

Chemours Co.:

      

6.63%, 5/15/23 (d)

       430        417,100   

7.00%, 5/15/25

       165        160,463   

Huntsman International LLC, 4.88%, 11/15/20

       180        186,786   

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

     EUR        115        128,663   

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

       100        114,908   

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

     USD        1,140        1,014,600   

Montichem Holdco 3 SA, 5.25%, 6/15/21

     EUR        109        120,702   

NOVA Chemicals Corp., 5.25%, 8/01/23 (c)

     USD        145        147,719   

Platform Specialty Products Corp. (c)(d):

      

10.38%, 5/01/21

       65        70,200   

6.50%, 2/01/22

       1,427        1,384,190   

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

       355        382,956   

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

     EUR        153        162,077   

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

     USD        185        189,162   

WR Grace & Co-Conn, 5.63%, 10/01/24 (c)(d)

       300        324,750   
      

 

 

 
                       5,539,907   

Commercial Services & Supplies — 1.4%

      

AA Bond Co., Ltd., 5.50%, 7/31/43

     GBP        100        121,788   

ADT Corp.:

      

3.50%, 7/15/22

     USD        506        479,435   

4.13%, 6/15/23

       86        84,092   

4.88%, 7/15/32 (c)

       149        126,650   

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

       267        268,335   

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

       5,000        5,932,650   

Bilbao Luxembourg SA, (10.50% Cash or 11.25% PIK), 11.06%, 12/01/18 (h)

     EUR        100        110,550   

Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (c)

     USD        782        783,955   

Intelsat Jackson Holdings SA, 7.25%, 4/01/19

       347        279,769   

Iron Mountain, Inc., 6.00%, 10/01/20 (c)(d)

       435        460,556   

Mobile Mini, Inc., 5.88%, 7/01/24

       515        536,887   

Silk Bidco AS, 7.50%, 2/01/22

     EUR        108        124,390   
 

 

See Notes to Financial Statements.

 

                
42    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds   

Par  

(000)

    Value  

Commercial Services & Supplies (continued)

      

United Rentals North America, Inc.:

      

7.63%, 4/15/22

     USD        144      $ 153,127   

5.75%, 11/15/24 (d)

       450        466,875   

5.88%, 9/15/26

       90        91,674   

5.50%, 5/15/27 (e)

       178        177,110   
      

 

 

 
                       10,197,843   

Communications Equipment — 0.5%

      

Alcatel-Lucent USA, Inc., 6.45%, 3/15/29 (d)

       1,565        1,725,412   

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

       610        640,500   

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

       170        173,825   

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

       245        264,600   

Zayo Group LLC/Zayo Capital, Inc., 6.38%, 5/15/25 (d)

       1,107        1,165,472   
      

 

 

 
                       3,969,809   

Construction & Engineering — 0.2%

      

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

       808        852,440   

BlueLine Rental Finance Corp., 7.00%, 2/01/19 (c)(d)

       643        561,017   

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

       298        303,960   
      

 

 

 
                       1,717,417   

Construction Materials — 0.5%

      

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

       295        271,217   

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

       353        377,710   

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

      

5.25%, 12/15/21

       1,265        1,344,063   

5.75%, 4/15/24

       1,157        1,214,850   

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

     EUR        202        235,882   

PulteGroup, Inc.:

      

5.50%, 3/01/26

     USD        213        221,520   

6.00%, 2/15/35

       48        47,760   

Rexel SA, 3.50%, 6/15/23

     EUR        223        250,918   
      

 

 

 
                       3,963,920   

Consumer Finance — 1.0%

      

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

     USD        4,555        5,443,225   

Navient Corp.:

      

5.00%, 10/26/20 (d)

       370        365,375   

6.63%, 7/26/21

       173        174,297   

5.50%, 1/25/23

       162        147,015   

7.25%, 9/25/23

       471        469,234   

6.13%, 3/25/24

       132        120,780   

5.88%, 10/25/24

       138        123,165   

5.63%, 8/01/33

       105        83,213   

OneMain Financial Holdings LLC (c):

      

6.75%, 12/15/19

       186        192,510   

7.25%, 12/15/21

       130        134,550   
      

 

 

 
                       7,253,364   

Containers & Packaging — 1.5%

      

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

      

6.75%, 1/31/21 (c)(d)

       630        648,900   

4.25%, 1/15/22

     EUR        100        113,068   

6.75%, 5/15/24

       156        182,380   

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. (c):

      

6.25%, 1/31/19

     USD        403        410,556   

4.63%, 5/15/23

       252        254,520   

7.25%, 5/15/24 (d)

       1,574        1,660,570   

Bahia Sul Holdings GmbH, 5.75%, 7/14/26 (c)

       354        350,035   
Corporate Bonds   

Par  

(000)

    Value  

Containers & Packaging (continued)

      

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

     USD        440      $ 473,000   

Crown European Holdings SA:

      

4.00%, 7/15/22

     EUR        103        123,810   

3.38%, 5/15/25

       154        173,331   

Fibria Overseas Finance Ltd., 5.25%, 5/12/24

     USD        538        550,778   

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

     EUR        102        120,376   

Reynolds Group Issuer, Inc.:

      

9.88%, 8/15/19

     USD        245        251,125   

5.75%, 10/15/20

       590        605,505   

8.25%, 2/15/21

       1,191        1,244,298   

4.38%, 7/15/21 (b)(c)

       866        883,320   

5.13%, 7/15/23 (c)

       139        142,692   

7.00%, 7/15/24 (c)

       714        763,087   

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

     EUR        200        228,058   

Sealed Air Corp.:

      

4.88%, 12/01/22 (c)(d)

     USD        100        105,375   

4.50%, 9/15/23

     EUR        100        121,301   

6.88%, 7/15/33 (c)

     USD        99        106,425   

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

       498        502,980   

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

       583        601,948   

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

     EUR        100        115,154   
      

 

 

 
                       10,732,592   

Diversified Consumer Services — 0.4%

      

APX Group, Inc.:

      

6.38%, 12/01/19

     USD        455        469,219   

8.75%, 12/01/20

       125        120,938   

7.88%, 12/01/22

       144        151,561   

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

       1,196        1,270,750   

Service Corp. International, 5.38%, 5/15/24 (d)

       385        404,250   

Tereos Finance Groupe I SA, 4.13%, 6/16/23

     EUR        100        112,591   
      

 

 

 
                       2,529,309   

Diversified Financial Services — 1.1%

      

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 3.95%, 2/01/22 (d)

     USD        1,750        1,783,635   

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

       784        853,580   

Deutsche Bank AG:

      

4.25%, 10/14/21 (c)(d)

       1,150        1,157,574   

4.50%, 5/19/26

     EUR        100        105,090   

Double Eagle Acquisition, Inc., 7.50%, 10/01/24 (c)

     USD        300        309,000   

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

       130        135,850   

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

       1,250        1,316,174   

Garfunkelux Holdco 3 SA, 8.50%, 11/01/22

     GBP        100        120,870   

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

     USD        326        338,334   

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

       845        838,662   

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

     EUR        358        413,003   

UniCredit SpA:

      

6.95%, 10/31/22

       270        335,190   

5.75%, 10/28/25 (b)

       207        238,825   
      

 

 

 
                       7,945,787   

Diversified Telecommunication Services — 2.8%

  

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

     USD        2,545        2,490,476   

CenturyLink, Inc.:

      

6.45%, 6/15/21 (d)

       709        756,857   

Series U, 7.65%, 3/15/42

       174        154,860   

Series Y, 7.50%, 4/01/24

       70        72,888   

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

       651        681,922   

Consolidated Communications, Inc., 6.50%, 10/01/22

       113        111,305   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    43


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds          

Par  

(000)

    Value  

Diversified Telecommunication Services (continued)

  

Frontier Communications Corp.:

      

7.13%, 3/15/19

     USD        195      $ 208,650   

7.13%, 1/15/23 (d)

       65        58,459   

7.63%, 4/15/24 (d)

       650        578,500   

6.88%, 1/15/25 (d)

       1,155        967,312   

11.00%, 9/15/25

       485        496,592   

Level 3 Financing, Inc.:

      

5.38%, 8/15/22

       140        143,850   

5.63%, 2/01/23 (d)

       296        304,140   

5.13%, 5/01/23 (d)

       900        909,000   

5.38%, 1/15/24 (d)

       294        299,880   

5.38%, 5/01/25 (d)

       550        558,250   

5.25%, 3/15/26 (c)

       186        188,790   

OTE PLC, 3.50%, 7/09/20

     EUR        200        222,624   

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

     USD        641        641,000   

Telecom Italia Capital SA:

      

6.38%, 11/15/33

       91        93,230   

6.00%, 9/30/34 (d)

       834        829,830   

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

     EUR        81        116,634   

Telecom Italia SpA:

      

3.25%, 1/16/23

       273        315,321   

3.63%, 1/19/24

       146        168,934   

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

     USD        6,500        8,516,917   

Windstream Corp., 7.75%, 10/01/21

       31        30,729   

Windstream Services LLC, 7.50%, 6/01/22

       94        88,830   
      

 

 

 
                       20,005,780   

Electric Utilities — 1.0%

      

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

       350        347,267   

AES Gener SA, 5.00%, 7/14/25 (c)(d)

       1,032        1,057,809   

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

       500        488,145   

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

       1,500        1,680,553   

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

       1,000        1,056,122   

Star Energy Geothermal Wayang Windu Ltd., 6.13%, 3/27/20 (d)

       1,700        1,763,750   

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

       750        982,958   
      

 

 

 
                       7,376,604   

Electrical Equipment — 0.1%

      

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

     EUR        111        129,161   

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

       213        246,214   
      

 

 

 
                       375,375   

Electronic Equipment, Instruments & Components — 0.2%

  

CDW LLC/CDW Finance Corp.:

      

6.00%, 8/15/22 (d)

     USD        770        816,200   

5.00%, 9/01/23 (d)

       550        564,795   

5.50%, 12/01/24

       357        374,961   
      

 

 

 
                       1,755,956   

Energy Equipment & Services — 0.4%

      

Ensco PLC, 4.50%, 10/01/24

       162        129,600   

Gates Global LLC/Gates Global Co., 6.00%, 7/15/22 (c)(d)

       418        395,010   

Genesis Energy LP/Genesis Energy Finance Corp., 6.75%, 8/01/22

       150        154,125   

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

       750        780,210   

Noble Holding International Ltd.:

      

4.63%, 3/01/21

       30        25,334   

7.20%, 4/01/25

       40        32,600   

Transocean, Inc.:

      

6.00%, 3/15/18

       195        195,585   

7.38%, 4/15/18

       35        35,438   

8.13%, 12/15/21

       221        213,309   
Corporate Bonds          

Par  

(000)

    Value  

Energy Equipment & Services (continued)

      

Transocean, Inc. (continued):

      

5.55%, 10/15/22

     USD        722      $ 617,310   

Weatherford International Ltd., 7.75%, 6/15/21

       210        212,100   
      

 

 

 
                       2,790,621   

Environmental, Maintenance, & Security Service — 0.0%

  

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

     EUR        100        111,970   

Food & Staples Retailing — 1.1%

      

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

      

6.63%, 6/15/24

     USD        254        263,525   

5.75%, 3/15/25 (d)

       347        342,555   

Casino Guichard Perrachon SA:

      

5.98%, 5/26/21

     EUR        200        258,520   

3.31%, 1/25/23

       200        243,155   

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

     USD        750        874,943   

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

       2,510        2,673,150   

Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.88%, 1/15/24

       75        80,438   

Rite Aid Corp.:

      

6.75%, 6/15/21 (d)

       329        345,450   

6.13%, 4/01/23 (c)(d)

       1,648        1,738,640   

7.70%, 2/15/27

       359        445,160   

Tesco PLC, 6.00%, 12/14/29

     GBP        50        67,082   

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

     USD        750        803,038   
      

 

 

 
                       8,135,656   

Food Products — 0.9%

      

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

       464        397,880   

Aramark Services, Inc.:

      

5.13%, 1/15/24

       483        505,942   

5.13%, 1/15/24 (c)

       137        143,508   

4.75%, 6/01/26 (c)

       252        252,000   

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

       470        498,200   

Darling Global Finance BV, 4.75%, 5/30/22

     EUR        107        123,039   

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

     USD        200        206,500   

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

      

7.25%, 6/01/21

       40        41,000   

5.88%, 7/15/24

       169        169,845   

5.75%, 6/15/25

       558        546,840   

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

       486        501,795   

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

       511        500,473   

Post Holdings, Inc. (c):

      

6.75%, 12/01/21

       120        128,400   

7.75%, 3/15/24 (d)

       840        928,368   

8.00%, 7/15/25

       395        450,300   

5.00%, 8/15/26 (d)

       143        138,710   

Smithfield Foods, Inc., 5.88%, 8/01/21 (c)(d)

       307        320,047   

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

       159        170,766   

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

       211        237,375   
      

 

 

 
                       6,260,988   

Health Care Equipment & Supplies — 0.5%

      

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

       641        549,658   

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

       1,235        1,133,112   

IDH Finance PLC, 6.25%, 8/15/22

     GBP        100        119,891   

Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 5.63%,
10/15/23 (c)(d)

     USD        193        181,420   

Medtronic, Inc., 4.50%, 3/15/42

       1,000        1,103,507   

Teleflex, Inc.:

      

3.88%, 8/01/17 (i)

       110        255,956   
 

 

See Notes to Financial Statements.

 

                
44    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds          

Par  

(000)

    Value  

Health Care Equipment & Supplies (continued)

      

Teleflex, Inc. (continued):

      

4.88%, 6/01/26

     USD        63      $ 64,575   
      

 

 

 
                       3,408,119   

Health Care Providers & Services — 2.4%

      

Acadia Healthcare Co., Inc.:

      

5.63%, 2/15/23 (d)

       455        455,569   

6.50%, 3/01/24

       69        70,380   

Aetna, Inc., 4.38%, 6/15/46

       600        608,442   

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

       315        324,450   

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

       810        826,200   

Centene Corp.:

      

5.63%, 2/15/21 (d)

       403        422,751   

4.75%, 5/15/22 (d)

       487        494,305   

6.13%, 2/15/24

       40        42,600   

CHS/Community Health Systems, Inc., 6.88%, 2/01/22

       463        353,038   

DaVita HealthCare Partners, Inc.:

      

5.13%, 7/15/24 (d)

       772        755,112   

5.00%, 5/01/25

       7        6,755   

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

       205        205,000   

HCA, Inc.:

      

6.50%, 2/15/20 (d)

       1,103        1,221,572   

7.50%, 2/15/22 (d)

       800        910,400   

5.88%, 3/15/22 (d)

       124        136,400   

4.75%, 5/01/23

       56        58,310   

5.88%, 5/01/23

       90        95,485   

5.00%, 3/15/24 (d)

       450        468,675   

5.38%, 2/01/25

       562        573,633   

5.25%, 4/15/25 (d)

       1,220        1,277,950   

5.88%, 2/15/26 (d)

       508        533,400   

5.25%, 6/15/26 (d)

       520        543,400   

4.50%, 2/15/27 (d)

       511        504,613   

HealthSouth Corp.:

      

5.75%, 11/01/24 (d)

       836        862,125   

5.75%, 9/15/25 (d)

       126        130,410   

2.00%, 12/01/43 (i)

       375        435,938   

Hologic, Inc., 5.25%, 7/15/22 (c)(d)

       502        530,915   

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

       239        249,755   

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

       345        369,116   

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

       350        354,813   

Surgery Center Holdings, Inc., 8.88%, 4/15/21 (c)

       82        87,330   

Tenet Healthcare Corp. (d):

      

6.00%, 10/01/20

       1,150        1,211,387   

8.13%, 4/01/22

       637        622,667   

6.75%, 6/15/23

       974        894,862   

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

       750        813,230   
      

 

 

 
                       17,450,988   

Hotels, Restaurants & Leisure — 3.9%

  

Boyd Gaming Corp., 6.88%, 5/15/23

       290        310,300   

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

       1,840        1,909,000   

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

       1,103        1,205,028   

CPUK Finance Ltd., 7.00%, 2/28/42

     GBP        168        217,129   

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

       3,320        4,141,441   

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

     USD        484        479,160   

Gala Electric Casinos Ltd., 11.50%, 6/01/19

     GBP        64        80,391   

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

     EUR        107        127,296   
Corporate Bonds          

Par  

(000)

    Value  

Hotels, Restaurants & Leisure (continued)

  

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

      

5.00%, 6/01/24

     USD        45      $ 46,800   

5.25%, 6/01/26

       159        165,758   

McDonald’s Corp., 3.70%, 1/30/26 (d)

       750        793,772   

MGM Resorts International:

      

8.63%, 2/01/19

       170        190,719   

6.75%, 10/01/20

       32        35,520   

6.63%, 12/15/21 (d)

       1,550        1,731,164   

7.75%, 3/15/22

       10        11,575   

4.63%, 9/01/26

       256        246,400   

MGP Escrow Issuer LLC/MGP Escrow Co-Issuer, Inc., 5.63%, 5/01/24 (c)(d)

       1,397        1,486,967   

New Red Finance, Inc., 6.00%, 4/01/22 (c)(d)

       1,130        1,180,850   

PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20

     EUR        208        237,237   

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

     USD        460        473,800   

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

       317        325,321   

Scientific Games International, Inc.:

      

7.00%, 1/01/22 (c)(d)

       185        196,766   

10.00%, 12/01/22

       545        504,125   

Six Flags Entertainment Corp. (c):

      

5.25%, 1/15/21 (d)

       310        319,300   

4.88%, 7/31/24

       161        161,403   

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

       1,085        1,141,440   

Unique Pub Finance Co. PLC:

      

Series A3, 6.54%, 3/30/21

     GBP        1,969        2,581,494   

Series M, 7.40%, 3/28/24

       6,400        7,937,039   

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

       117        148,793   

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

     USD        110        109,175   
      

 

 

 
                       28,495,163   

Household Durables — 0.8%

  

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

       750        761,250   

CalAtlantic Group, Inc.:

      

8.38%, 1/15/21

       144        171,000   

5.38%, 10/01/22

       6        6,338   

5.25%, 6/01/26

       10        9,900   

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

       830        844,525   

DR Horton, Inc., 4.00%, 2/15/20 (d)

       80        83,454   

Lennar Corp.:

      

4.50%, 11/15/19 (d)

       320        337,200   

4.75%, 4/01/21

       68        72,038   

4.75%, 11/15/22

       184        191,360   

4.88%, 12/15/23 (d)

       146        148,920   

4.75%, 5/30/25 (d)

       410        415,945   

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

       1,000        1,080,513   

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

       600        619,500   

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

       180        191,700   

Standard Pacific Corp., 5.88%, 11/15/24

       35        37,363   

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

       80        82,400   

TRI Pointe Group, Inc.:

      

4.38%, 6/15/19 (d)

       225        230,062   

4.88%, 7/01/21

       210        216,300   

5.88%, 6/15/24 (d)

       140        145,075   
      

 

 

 
                       5,644,843   

Household Products — 0.2%

  

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

       176        187,000   

Spectrum Brands, Inc. (d):

      

6.63%, 11/15/22

       710        761,035   

6.13%, 12/15/24

       681        745,695   
      

 

 

 
                       1,693,730   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    45


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds          

Par  

(000)

    Value  

Independent Power and Renewable Electricity Producers — 0.5%

  

Calpine Corp. (d):

      

6.00%, 1/15/22 (c)

     USD        64      $ 66,900   

5.38%, 1/15/23

       240        237,600   

5.88%, 1/15/24 (c)

       240        253,200   

Dynegy, Inc.:

      

6.75%, 11/01/19 (d)

       1,030        1,042,453   

7.38%, 11/01/22

       30        28,931   

7.63%, 11/01/24

       140        134,050   

8.00%, 1/15/25 (c)

       26        25,090   

NRG Energy, Inc.:

      

7.88%, 5/15/21

       82        85,690   

6.63%, 3/15/23

       45        44,887   

7.25%, 5/15/26 (c)

       233        229,251   

6.63%, 1/15/27 (c)(d)

       676        633,115   

NRG Yield Operating LLC, 5.38%, 8/15/24 (d)

       130        132,600   

QEP Resources, Inc., 5.38%, 10/01/22 (d)

       1,020        1,009,800   
      

 

 

 
                       3,923,567   

Industrial Conglomerates — 0.2%

  

Cortes NP Acquisition Corp., 9.25%, 10/15/24 (c)

       380        396,862   

General Electric Co., 4.13%, 10/09/42

       750        796,141   
      

 

 

 
                       1,193,003   

Insurance — 0.5%

  

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

       500        532,157   

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

       1,280        1,357,905   

Assicurazioni Generali SpA, 5.00%, 6/08/48 (b)

     EUR        100        110,598   

HUB International Ltd. (c):

      

9.25%, 2/15/21

     USD        195        201,825   

7.88%, 10/01/21 (d)

       738        754,384   

TMF Group Holding BV, 9.88%, 12/01/19

     EUR        101        117,525   

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

     USD        705        717,337   
      

 

 

 
                       3,791,731   

Internet & Direct Marketing Retail — 0.0%

  

Netflix, Inc., 4.38%, 11/15/26 (c)

             153        150,514   

Internet Software & Services — 0.2%

      

Equinix, Inc. (d):

      

4.88%, 4/01/20

       144        149,040   

5.88%, 1/15/26

       636        679,833   

Netflix, Inc.:

      

5.50%, 2/15/22

       15        16,238   

5.75%, 3/01/24 (d)

       423        460,012   

5.88%, 2/15/25

       26        28,828   
      

 

 

 
                       1,333,951   

IT Services — 0.9%

  

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

       287        302,067   

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

       1,000        977,395   

First Data Corp. (c)(d):

      

7.00%, 12/01/23

       2,308        2,417,630   

5.75%, 1/15/24

       2,738        2,779,070   

Western Digital Corp., 10.50%, 4/01/24 (c)

       121        139,755   
      

 

 

 
                       6,615,917   

Machinery — 0.1%

  

Gardner Denver, Inc., 6.88%, 8/15/21 (c)

       155        151,900   

SPX FLOW, Inc. (c):

      

5.63%, 8/15/24

       330        334,538   

5.88%, 8/15/26

       175        177,625   
Corporate Bonds          

Par  

(000)

    Value  

Machinery (continued)

  

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

     EUR        142      $ 165,311   
      

 

 

 
                       829,374   

Media — 6.7%

  

Adria Bidco BV, 7.88%, 11/15/20

       100        114,440   

Altice Financing SA:

      

5.25%, 2/15/23

       108        123,744   

7.50%, 5/15/26 (c)

     USD        264        271,920   

Altice US Finance I Corp. (c):

      

5.38%, 7/15/23 (d)

       980        1,002,589   

5.50%, 5/15/26

       488        497,760   

AMC Networks, Inc.:

      

4.75%, 12/15/22 (d)

       344        350,880   

5.00%, 4/01/24

       161        163,013   

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

       1,500        1,612,723   

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

       389        404,560   

Cablevision Systems Corp.:

      

8.63%, 9/15/17

       126        131,670   

7.75%, 4/15/18

       517        544,789   

8.00%, 4/15/20

       202        214,120   

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

       264        274,230   

CCO Holdings LLC/CCO Holdings Capital Corp.:

      

5.25%, 9/30/22 (d)

       560        583,100   

5.13%, 2/15/23 (d)

       709        733,815   

5.13%, 5/01/23 (c)(d)

       719        742,367   

5.88%, 4/01/24 (c)(d)

       147        155,453   

5.75%, 2/15/26 (c)(d)

       233        242,757   

5.50%, 5/01/26 (c)

       470        481,459   

5.88%, 5/01/27 (c)(d)

       1,010        1,057,975   

Cellnex Telecom SA, 2.38%, 1/16/24

     EUR        100        111,504   

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

      

6.38%, 9/15/20

     USD        145        149,350   

5.13%, 12/15/21

       662        644,570   

7.75%, 7/15/25 (d)

       1,630        1,744,100   

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

       3,000        3,515,550   

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

       508        533,400   

Clear Channel Worldwide Holdings, Inc.:

      

6.50%, 11/15/22 (d)

       3,013        3,068,740   

6.50%, 11/15/22

       185        185,925   

Series B, 7.63%, 3/15/20 (d)

       884        855,270   

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

       1,195        1,278,650   

Comcast Corp., 4.60%, 8/15/45 (d)

       1,750        1,942,913   

CSC Holdings LLC:

      

10.13%, 1/15/23 (c)(d)

       1,188        1,339,470   

5.25%, 6/01/24 (d)

       1,556        1,454,860   

6.63%, 10/15/25 (c)(d)

       350        379,313   

10.88%, 10/15/25 (c)

       393        451,950   

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

       400        389,900   

DISH DBS Corp. (d):

      

6.75%, 6/01/21

       430        461,983   

5.88%, 7/15/22

       219        226,118   

5.88%, 11/15/24

       158        159,086   

7.75%, 7/01/26

       1,100        1,207,943   

DISH Network Corp., 3.38%, 8/15/26 (c)(i)

       293        335,668   

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

     EUR        100        113,069   

Hughes Satellite Systems Corp. (c):

      

5.25%, 8/01/26

     USD        244        240,340   

6.63%, 8/01/26

       321        317,790   
 

 

See Notes to Financial Statements.

 

                
46    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds          

Par  

(000)

    Value  

Media (continued)

  

iHeartCommunications, Inc. (d):

      

9.00%, 12/15/19

     USD        254      $ 192,723   

10.63%, 3/15/23

       936        675,090   

Intelsat Jackson Holdings SA (d):

      

7.25%, 10/15/20

       163        123,574   

5.50%, 8/01/23

       867        574,387   

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

       1,000        1,066,638   

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

       101        101,947   

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

     EUR        177        219,561   

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

     USD        101        109,333   

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

       423        360,608   

Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (c)(d)

       250        261,875   

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp.,
5.00%, 8/01/18 (c)(d)

       629        635,290   

National CineMedia LLC, 5.75%, 8/15/26 (c)

       98        100,940   

Nexstar Escrow Corp., 5.63%, 8/01/24 (c)

       267        264,998   

Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (c)(d)

       710        724,200   

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

     EUR        116        132,788   

Outfront Media Capital LLC/Outfront Media Capital Corp. (d):

      

5.25%, 2/15/22

     USD        102        105,570   

5.63%, 2/15/24

       364        378,560   

RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (c)(d)

       350        372,969   

SFR Group SA (c)(d):

      

6.00%, 5/15/22

       1,492        1,529,777   

7.38%, 5/01/26

       2,371        2,394,710   

Sirius XM Radio, Inc., 4.25%, 5/15/20 (c)(d)

       704        719,488   

Time Warner, Inc.:

      

4.65%, 6/01/44

       111        114,903   

4.85%, 7/15/45

       158        167,799   

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

       776        776,000   

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

      

4.00%, 1/15/25

     EUR        117        132,611   

3.50%, 1/15/27

       188        202,507   

6.25%, 1/15/29

       100        121,852   

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

      

5.13%, 5/15/23

     USD        1,029        1,044,435   

5.13%, 2/15/25

       800        802,000   

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

     EUR        114        122,797   

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

     USD        850        841,500   

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

     GBP        100        120,070   

Virgin Media Secured Finance PLC:

      

5.50%, 8/15/26 (c)

     USD        200        201,750   

4.88%, 1/15/27

     GBP        130        155,540   

6.25%, 3/28/29

       175        224,289   

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

     USD        980        1,021,650   

Wind Acquisition Finance SA:

      

7.00%, 4/23/21

     EUR        122        139,450   

7.38%, 4/23/21 (c)

     USD        930        955,575   
      

 

 

 
                       49,000,580   

Metals & Mining — 2.8%

      

Alcoa Nederland Holding BV (c):

      

6.75%, 9/30/24

       200        207,000   

7.00%, 9/30/26

       200        205,960   
Corporate Bonds          

Par  

(000)

    Value  

Metals & Mining (continued)

      

Alcoa, Inc.:

      

5.87%, 2/23/22 (d)

     USD        900      $ 962,280   

5.13%, 10/01/24

       140        145,953   

5.90%, 2/01/27

       120        126,563   

Anglo American Capital PLC:

      

4.45%, 9/27/20 (c)

       100        102,000   

4.13%, 4/15/21 (c)

       200        202,175   

3.50%, 3/28/22

     EUR        100        116,358   

4.13%, 9/27/22 (c)(d)

     USD        400        396,000   

3.25%, 4/03/23

     EUR        100        113,861   

ArcelorMittal:

      

7.25%, 2/25/22

     USD        24        27,240   

8.00%, 10/15/39

       108        116,100   

7.75%, 3/01/41

       352        369,600   

Constellium NV (c)(d):

      

8.00%, 1/15/23

       1,500        1,462,500   

5.75%, 5/15/24

       500        442,500   

First Quantum Minerals Ltd., 7.00%, 2/15/21 (c)

       515        488,928   

Freeport-McMoRan, Inc.:

      

2.30%, 11/14/17

       322        318,780   

2.38%, 3/15/18 (d)

       2,528        2,496,400   

3.10%, 3/15/20

       695        668,937   

4.00%, 11/14/21

       331        312,795   

3.55%, 3/01/22

       491        450,492   

3.88%, 3/15/23

       1,668        1,505,370   

5.40%, 11/14/34

       140        120,575   

5.45%, 3/15/43

       1,151        955,330   

Glencore Finance Europe SA, 3.38%, 9/30/20

     EUR        100        119,765   

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

     USD        192        209,760   

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

       124        130,975   

Novelis Corp. (c):

      

6.25%, 8/15/24

       1,024        1,064,960   

5.88%, 9/30/26

       1,241        1,256,512   

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

       400        437,930   

Steel Dynamics, Inc.:

      

5.13%, 10/01/21 (d)

       970        1,011,225   

5.25%, 4/15/23

       525        543,375   

Teck Resources Ltd.:

      

3.00%, 3/01/19 (d)

       240        236,400   

3.75%, 2/01/23 (d)

       338        319,621   

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

       418        483,835   

6.00%, 8/15/40 (d)

       401        386,965   

6.25%, 7/15/41

       218        215,820   

5.20%, 3/01/42

       673        607,382   

5.40%, 2/01/43

       181        163,353   

Teck Resources, Ltd., 6.13%, 10/01/35

       102        101,490   

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

       357        379,313   

Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (c)(d)

       442        437,580   
      

 

 

 
                       20,419,958   

Multi-Utilities — 0.1%

      

NGL Energy Partners LP/NGL Energy Finance Corp.:

      

6.88%, 10/15/21

       240        236,400   

7.50%, 11/01/23 (c)

       225        225,562   
      

 

 

 
                       461,962   

Multiline Retail — 0.2%

      

Neiman Marcus Group Ltd. (c)(d):

      

8.00%, 10/15/21

       722        595,650   

(8.75% Cash or 9.50% PIK), 8.75%, 10/15/21 (h)

       963        757,761   

Target Corp., 4.00%, 7/01/42

       300        315,415   
      

 

 

 
                       1,668,826   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    47


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds          

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels — 9.3%

      

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

     USD        500      $ 470,701   

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

       65        65,487   

Antero Resources Corp., 5.63%, 6/01/23

       43        43,860   

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

       800        835,494   

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

       320        216,000   

Callon Petroleum Co., 6.13%, 10/01/24 (c)

       197        202,910   

Carrizo Oil & Gas, Inc., 6.25%, 4/15/23 (d)

       790        811,725   

Cenovus Energy, Inc.:

      

5.70%, 10/15/19

       51        55,110   

5.20%, 9/15/43

       25        23,819   

Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 (c)(d)

       698        739,880   

Chesapeake Energy Corp.:

      

6.50%, 8/15/17

       45        45,731   

7.25%, 12/15/18

       45        46,238   

4.13%, 4/15/19 (b)

       402        370,845   

6.63%, 8/15/20

       239        225,855   

6.88%, 11/15/20

       224        211,120   

4.88%, 4/15/22

       520        442,000   

8.00%, 12/15/22 (c)

       60        60,863   

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

       700        785,253   

CONSOL Energy, Inc.:

      

5.88%, 4/15/22 (d)

       2,750        2,542,031   

8.00%, 4/01/23

       76        75,240   

Continental Resources, Inc.:

      

5.00%, 9/15/22

       289        283,220   

4.50%, 4/15/23

       228        217,170   

3.80%, 6/01/24 (d)

       579        532,680   

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:

      

6.00%, 12/15/20

       35        35,613   

6.25%, 4/01/23

       35        35,438   

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

      

7.13%, 4/15/21 (d)

       961        989,830   

7.75%, 2/15/23

       160        170,800   

DCP Midstream LLC (c):

      

4.75%, 9/30/21

       160        163,600   

6.45%, 11/03/36

       193        200,720   

6.75%, 9/15/37

       278        290,510   

Denbury Resources, Inc., 9.00%, 5/15/21 (c)(d)

       625        643,750   

Devon Energy Corp., 5.85%, 12/15/25 (d)

       1,350        1,547,454   

Diamondback Energy, Inc., 4.75%, 11/01/24 (c)

       91        91,000   

Encana Corp. (d):

      

3.90%, 11/15/21

       84        84,991   

5.15%, 11/15/41

       216        198,020   

Energy Transfer Equity LP (d):

      

5.88%, 1/15/24

       960        975,720   

5.50%, 6/01/27

       415        404,625   

Energy Transfer Partners LP, 6.13%, 12/15/45 (d)

       500        521,278   

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

       1,250        1,291,816   

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

       415        438,862   

Gazprom OAO Via Gaz Capital SA, 4.95%, 7/19/22 (c)

       476        488,779   

Genesis Energy LP/Genesis Energy Finance Corp.:

      

6.00%, 5/15/23

       59        59,148   

5.63%, 6/15/24

       449        444,510   

GNL Quintero SA:

      

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

       535        561,750   

4.63%, 7/31/29

       279        292,950   

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

       331        344,240   

Gulfport Energy Corp.:

      

6.63%, 5/01/23

       84        88,200   
Corporate Bonds          

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

      

Gulfport Energy Corp. (continued):

      

6.00%, 10/15/24 (c)

     USD        488      $ 497,150   

Halcon Resources Corp., 8.63%, 2/01/20 (c)

       185        188,700   

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

       750        746,638   

Hilcorp Energy I LP/Hilcorp Finance Co. (c):

      

7.63%, 4/15/21

       50        51,250   

5.75%, 10/01/25

       197        197,492   

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

       2,500        2,577,525   

Matador Resources Co., 6.88%, 4/15/23

       460        483,000   

MEG Energy Corp., 6.50%, 3/15/21 (c)(d)

       2,036        1,756,050   

MPLX LP, 4.88%, 6/01/25 (d)

       790        824,088   

Murphy Oil Corp., 6.88%, 8/15/24 (d)

       288        303,827   

NGPL PipeCo LLC (c):

      

7.12%, 12/15/17 (d)

       2,866        2,994,970   

7.77%, 12/15/37

       383        419,385   

Noble Energy, Inc., 5.63%, 5/01/21 (d)

       1,700        1,762,631   

Oasis Petroleum, Inc.:

      

6.50%, 11/01/21

       450        447,187   

6.88%, 3/15/22 (d)

       490        485,100   

6.88%, 1/15/23

       115        112,700   

ONEOK, Inc.:

      

4.25%, 2/01/22

       80        79,000   

7.50%, 9/01/23 (d)

       377        431,665   

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

       1,235        1,312,187   

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

      

7.50%, 2/15/22 (d)

       667        709,521   

6.25%, 6/01/24

       201        211,050   

PDC Energy, Inc.:

      

7.75%, 10/15/22

       236        250,750   

6.13%, 9/15/24 (c)

       220        228,800   

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

       2,000        2,006,174   

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

       895        917,375   

Petrobras Global Finance BV:

      

3.00%, 1/15/19 (d)

       665        651,035   

3.02%, 1/15/19 (b)

       560        549,500   

8.38%, 5/23/21 (d)

       1,479        1,636,218   

6.25%, 12/14/26

     GBP        194        225,672   

6.85%, 6/05/49 (d)

     USD        1,214        1,031,900   

Petrobras International Finance Co.:

      

7.88%, 3/15/19

       273        293,475   

5.75%, 1/20/20

       868        895,776   

5.38%, 1/27/21

       1,256        1,243,691   

Petroleos de Venezuela SA:

      

6.00%, 5/16/24

       1,158        434,251   

6.00%, 11/15/26

       124        45,946   

Petroleos Mexicanos, 4.63%, 9/21/23 (c)

       309        308,166   

QEP Resources, Inc.:

      

6.88%, 3/01/21

       50        52,625   

5.25%, 5/01/23

       40        39,300   

Range Resources Corp. (c):

      

5.75%, 6/01/21

       25        25,375   

5.88%, 7/01/22 (d)

       579        589,132   

5.00%, 8/15/22 (d)

       91        88,725   

5.00%, 3/15/23

       280        270,900   

Resolute Energy Corp., 8.50%, 5/01/20

       250        248,125   

Rockies Express Pipeline LLC (c):

      

5.63%, 4/15/20 (d)

       685        718,394   

6.88%, 4/15/40

       596        621,330   

RSP Permian, Inc., 6.63%, 10/01/22

       290        305,587   

Sabine Pass Liquefaction LLC:

      

6.25%, 3/15/22 (d)

       752        823,440   

5.63%, 4/15/23 (d)

       1,980        2,103,750   

5.63%, 3/01/25 (d)

       311        329,085   

5.88%, 6/30/26 (c)

       196        211,229   

5.00%, 3/15/27 (c)(d)

       324        329,670   
 

 

See Notes to Financial Statements.

 

                
48    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds          

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

      

Sanchez Energy Corp.:

      

7.75%, 6/15/21

     USD        536      $ 498,480   

6.13%, 1/15/23 (d)

       1,008        861,840   

Seven Generations Energy Ltd. (c):

      

8.25%, 5/15/20 (d)

       196        207,760   

6.75%, 5/01/23

       59        62,392   

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

       450        469,107   

SM Energy Co.:

      

6.13%, 11/15/22 (d)

       22        22,110   

5.00%, 1/15/24

       15        13,950   

5.63%, 6/01/25 (d)

       350        333,375   

6.75%, 9/15/26

       165        169,125   

Southwestern Energy Co.:

      

7.50%, 2/01/18

       40        41,900   

5.80%, 1/23/20

       644        640,780   

4.10%, 3/15/22

       216        193,320   

6.70%, 1/23/25

       65        61,913   

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

       800        1,025,717   

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

      

5.50%, 9/15/24

       490        487,550   

5.13%, 2/01/25

       95        94,762   

5.38%, 2/01/27

       55        55,000   

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

      

6.38%, 8/01/22

       95        97,850   

5.25%, 5/01/23

       16        15,882   

6.75%, 3/15/24

       82        87,740   

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

      

6.13%, 10/15/21

       44        46,035   

6.38%, 5/01/24

       124        133,610   

Transcanada Trust, Series 16-A, 5.88%, 8/15/76 (b)

       205        219,350   

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

       30        24,000   

Weatherford International Ltd.:

      

4.50%, 4/15/22

       107        96,300   

6.50%, 8/01/36

       85        67,150   

7.00%, 3/15/38

       94        77,550   

5.95%, 4/15/42

       83        62,665   

Whiting Petroleum Corp.:

      

5.00%, 3/15/19

       87        82,650   

1.25%, 6/05/20 (i)

       823        759,142   

5.75%, 3/15/21 (i)

       421        416,461   

6.25%, 4/01/23 (i)

       173        169,344   

Williams Cos., Inc.:

      

3.70%, 1/15/23

       63        60,953   

4.55%, 6/24/24

       138        140,415   

5.75%, 6/24/44

       930        950,344   

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

       1,750        1,829,964   

WPX Energy, Inc.:

      

5.25%, 1/15/17

       45        45,113   

7.50%, 8/01/20

       80        84,300   

6.00%, 1/15/22

       312        311,220   

8.25%, 8/01/23

       215        232,200   

5.25%, 9/15/24 (d)

       435        413,250   

YPF SA:

      

8.50%, 3/23/21

       83        91,275   

8.75%, 4/04/24 (c)

       519        571,393   

8.50%, 7/28/25 (c)

       1,104        1,203,360   

8.50%, 7/28/25

       97        105,730   
      

 

 

 
                       67,367,675   

Paper & Forest Products — 0.1%

      

Pfleiderer GmbH, 7.88%, 8/01/19

     EUR        168        191,412   
Corporate Bonds          

Par  

(000)

    Value  

Paper & Forest Products (continued)

      

Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (c)(d)

     USD        390      $ 375,375   
      

 

 

 
                       566,787   

Pharmaceuticals — 1.8%

      

AbbVie, Inc. (d):

      

3.20%, 5/14/26

       775        762,123   

4.45%, 5/14/46

       1,000        986,825   

Actavis Funding SCS (d):

      

3.80%, 3/15/25

       1,000        1,037,814   

4.75%, 3/15/45

       500        524,466   

Concordia International Corp., 9.00%, 4/01/22 (c)

       35        34,125   

DPx Holdings BV, 7.50%, 2/01/22 (c)

       135        142,088   

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

      

5.38%, 1/15/23

       620        527,000   

6.00%, 7/15/23

       459        399,330   

Forest Laboratories, Inc., 5.00%, 12/15/21 (c)(d)

       718        801,493   

Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (d)

       314        327,345   

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

       1,166        1,172,413   

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

       1,000        997,420   

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

       733        716,507   

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

       300        294,592   

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

     EUR        145        171,924   

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

       100        118,294   

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

     USD        500        486,268   

Valeant Pharmaceuticals International, Inc. (c):

      

6.75%, 8/15/18

       1,517        1,480,592   

5.38%, 3/15/20

       161        139,265   

6.75%, 8/15/21

       1,276        1,103,740   

5.63%, 12/01/21

       932        764,240   

5.88%, 5/15/23

       82        64,575   

6.13%, 4/15/25

       125        98,750   
      

 

 

 
                       13,151,189   

Real Estate Investment Trusts (REITs) — 0.1%

      

American Tower Corp., 3.38%, 10/15/26

       250        248,790   

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

       204        204,510   

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.50%, 9/01/26 (c)

       521        511,883   
      

 

 

 
                       965,183   

Real Estate Management & Development — 3.1%

  

Caifu Holdings Ltd., 8.75%, 1/24/20

       3,000        3,146,400   

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

       2,000        2,039,942   

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

       4,360        3,930,457   

Punch Taverns Finance B Ltd.:

      

7.37%, 9/30/21

     GBP        2,394        2,985,933   

Series A6, 5.94%, 9/30/22

       6,446        7,540,638   

Series A7, 5.27%, 3/30/24

       127        140,206   

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

      

4.50%, 4/15/19 (d)

     USD        205        212,688   

5.25%, 12/01/21

       706        742,183   

4.88%, 6/01/23 (d)

       1,575        1,575,000   

Vingroup JSC, 11.63%, 5/07/18 (d)

       250        264,500   
      

 

 

 
                       22,577,947   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    49


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds          

Par  

(000)

    Value  

Road & Rail — 1.1%

      

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

      

5.13%, 6/01/22 (d)

     USD        850      $ 833,000   

6.38%, 4/01/24

       30        30,150   

5.25%, 3/15/25 (d)

       725        688,750   

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

     EUR        100        108,677   

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

     USD        500        541,417   

Herc Rentals, Inc. (c):

      

7.50%, 6/01/22

       106        106,000   

7.75%, 6/01/24

       10        10,050   

Hertz Corp.:

      

4.25%, 4/01/18 (d)

       400        410,000   

7.38%, 1/15/21 (d)

       265        272,950   

5.50%, 10/15/24 (c)

       385        373,797   

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

       4,000        4,430,000   

Union Pacific Corp., 4.05%, 11/15/45

       500        525,311   
      

 

 

 
                       8,330,102   

Semiconductors & Semiconductor Equipment — 0.5%

  

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

       89        94,118   

Micron Technology, Inc. (c):

      

5.25%, 8/01/23 (d)

       343        336,140   

5.63%, 1/15/26

       82        79,540   

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

       41        47,253   

NXP BV/NXP Funding LLC (c):

      

4.13%, 6/15/20 (d)

       760        801,800   

4.13%, 6/01/21

       203        216,702   

4.63%, 6/15/22 (d)

       410        446,900   

3.88%, 9/01/22

       200        211,500   

4.63%, 6/01/23

       224        245,280   

ON Semiconductor Corp., Series B, 2.63%, 12/15/26 (i)

       280        321,475   

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

       400        434,760   

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

       15        15,375   

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

       540        584,550   
      

 

 

 
                       3,835,393   

Software — 1.4%

      

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

       580        597,400   

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

       392        358,680   

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

       794        794,000   

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

       51        44,115   

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

       1,505        1,555,794   

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

       521        485,832   

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

       159        164,167   

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

       1,750        1,710,051   

Nuance Communications, Inc. (c):

      

5.38%, 8/15/20 (d)

       115        118,163   

6.00%, 7/01/24

       220        231,000   

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

       1,500        1,481,295   

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

       119        125,843   

Rolta Americas LLC, 8.88%, 7/24/19 (d)(j)(k)

       200        25,750   

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

       1,020        1,140,176   

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

       584        611,740   

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

       422        407,230   

Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 2/01/23

     EUR        100        104,977   
      

 

 

 
                       9,956,213   
Corporate Bonds          

Par  

(000)

    Value  

Specialty Retail — 0.5%

      

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

     USD        740      $ 762,200   

JC Penney Corp., Inc.:

      

6.38%, 10/15/36

       143        121,550   

7.40%, 4/01/37

       261        238,815   

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

       479        507,740   

Lowe’s Cos., Inc., 4.65%, 4/15/42

       400        450,805   

Penske Automotive Group, Inc.:

      

5.38%, 12/01/24 (d)

       613        616,065   

5.50%, 5/15/26

       212        210,410   

Sally Holdings LLC/Sally Capital, Inc., 5.75%, 6/01/22 (d)

       427        444,080   

THOM Europe SAS Senior Secured 7.38%, 7/15/19

     EUR        100        115,659   
      

 

 

 
                       3,467,324   

Technology Hardware, Storage & Peripherals — 0.5%

  

 

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

     USD        1,500        1,653,216   

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

      

4.42%, 6/15/21

       145        151,628   

7.13%, 6/15/24

       514        563,064   

6.02%, 6/15/26

       170        185,309   

8.35%, 7/15/46

       150        181,754   

Western Digital Corp., 7.38%, 4/01/23 (c)(d)

       495        541,406   
      

 

 

 
                       3,276,377   

Textiles, Apparel & Luxury Goods — 0.1%

      

BiSoho SAS, 5.88%, 5/01/23

     EUR        100        117,481   

Hanesbrands, Inc. (c):

      

4.63%, 5/15/24

     USD        59        59,995   

4.88%, 5/15/26

       120        122,100   

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

       59        61,360   
      

 

 

 
                       360,936   

Thrifts & Mortgage Finance — 0.1%

      

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

     GBP        100        121,176   

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

     USD        181        190,955   

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

       390        409,988   
      

 

 

 
                       722,119   

Tobacco — 0.4%

      

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

       750        811,177   

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

       900        954,742   

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

       715        888,964   
      

 

 

 
                       2,654,883   

Trading Companies & Distributors — 0.4%

      

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

      

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

       424        440,935   

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

       2,326        2,448,032   
      

 

 

 
                       2,888,967   

Transportation Infrastructure — 0.2%

      

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

       510        413,100   

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

       390        389,563   

Transurban Finance Co., 4.13%, 2/02/26 (c)(d)

       520        550,952   
      

 

 

 
                       1,353,615   

Utilities — 0.2%

      

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

       291        303,038   

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

     EUR        100        114,935   

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

     USD        200        212,539   
 

 

See Notes to Financial Statements.

 

                
50    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds          

Par  

(000)

    Value  

Utilities (continued)

      

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

     USD        778      $ 828,570   
      

 

 

 
                       1,459,082   

Wireless Telecommunication Services — 2.6%

      

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

      

6.00%, 4/15/23 (c)

       77        79,888   

8.25%, 10/15/23 (d)

       1,099        1,159,445   

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

       5,389        4,821,538   

GEO Group, Inc.:

      

5.13%, 4/01/23 (d)

       440        383,350   

6.00%, 4/15/26

       71        61,238   

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

       1,500        1,541,250   

Sprint Capital Corp.:

      

6.90%, 5/01/19

       155        163,137   

6.88%, 11/15/28 (d)

       2,084        1,917,280   

Sprint Communications, Inc.:

      

9.00%, 11/15/18 (c)(d)

       2,191        2,410,100   

7.00%, 8/15/20

       510        530,400   

Sprint Corp.:

      

7.25%, 9/15/21

       115        117,731   

7.88%, 9/15/23

       1,526        1,510,740   

7.13%, 6/15/24 (d)

       1,024        962,560   

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 3/20/23 (c)

       490        493,675   

T-Mobile USA, Inc.:

      

6.63%, 4/28/21 (d)

       250        262,187   

6.73%, 4/28/22 (d)

       945        987,525   

6.00%, 3/01/23

       40        42,100   

6.84%, 4/28/23 (d)

       610        651,480   

6.50%, 1/15/24 (d)

       440        470,800   

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

     EUR        100        111,422   
      

 

 

 
                       18,677,846   
Total Corporate Bonds — 63.9%                      464,584,016   
      
                          
Floating Rate Loan Interests (b)                      

Aerospace & Defense — 0.0%

      

Engility Corp., Term Loan B1, 4.78%, 8/12/20

     USD        25        25,285   

Air Freight & Logistics — 0.0%

      

CEVA Group PLC, Synthetic LOC, 6.50%, 3/19/21

       30        24,257   

CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21

       31        24,974   

CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21

       5        4,064   

CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21

       44        34,991   
      

 

 

 
                       88,286   

Auto Components — 0.1%

      

Gates Global, Inc., Term Loan B, 4.25%, 7/06/21

             517        508,905   

Chemicals — 0.0%

      

Chemours Co., Term Loan B, 3.75%, 5/12/22

       27        26,579   

MacDermid, Inc., Term Loan B3, 5.50%, 6/07/20

       183        184,524   
      

 

 

 
                       211,103   

Commercial Services & Supplies — 0.1%

      

ADS Waste Holdings, Inc., Term Loan B2, 3.75%, 10/09/19

       289        289,365   

Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20

       208        204,967   
Floating Rate Loan Interests (b)          

Par  

(000)

    Value  

Commercial Services & Supplies (continued)

      

Camelot UK Holdco Ltd., Term Loan B, 4.75%, 10/03/23

     USD        353      $ 353,293   
      

 

 

 
                       847,625   

Containers & Packaging — 0.0%

      

BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20

             197        197,787   

Diversified Consumer Services — 0.2%

      

AssuredPartners, Inc., 2015 1st Lien Term Loan, 5.75%, 10/21/22

       194        194,314   

Bright Horizons Family Solutions, Inc., Term Loan B, 5.25%, 1/30/20

       481        482,968   

Laureate Education, Inc., Term Loan B, 8.87%, 3/17/21

       477        472,333   
      

 

 

 
                       1,149,615   

Diversified Financial Services — 0.6%

      

Aviron Capital LLC, Term Loan, 15.00%, 10/20/17

       11,081        4,266,266   

Lone Star LSPT Future Funding, Mortgage Loan, 0.33%, 9/09/20

       202        202,000   
      

 

 

 
                       4,468,266   

Diversified Telecommunication Services — 0.0%

  

Telenet International Finance Sarl, Term Loan AD, 4.36%, 6/30/24

             213        213,045   

Electric Utilities — 0.1%

      

TEX Operations Co. LLC:

      

Exit Term Loan B, 5.00%, 8/04/23

       591        595,481   

Exit Term Loan C, 5.00%, 8/04/23

       129        129,497   
      

 

 

 
                       724,978   

Energy Equipment & Services — 0.1%

      

Weatherford International Ltd., Term Loan, 1.97%, 7/13/20

             387        367,669   

Food Products — 0.1%

      

Chobani LLC, 1st Lien Term Loan, 5.25%, 10/07/23

             368        371,912   

Health Care Equipment & Supplies — 0.1%

      

Alere, Inc., 2015 Term Loan B, 4.25%, 6/18/22

       310        308,603   

DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20

       279        275,480   

Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18

       366        357,692   
      

 

 

 
                       941,775   

Health Care Providers & Services — 0.1%

      

inVentiv Health, Inc., 2016 Term Loan B, 4.75%, 9/28/23

       385        384,792   

MPH Acquisition Holdings LLC, 2016 Term Loan B, 5.00%, 6/07/23

       344        347,989   

Vizient, Inc., 2016 Term Loan B, 5.00%, 2/13/23

       113        114,352   
      

 

 

 
                       847,133   

Hotels, Restaurants & Leisure — 3.1%

      

Amaya Holdings BV, 1st Lien Term Loan, 5.00%, 8/01/21

       313        313,041   

Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20

       3,323        3,339,532   

Hilton Ft. Lauderdale, Mezzanine Term Loan 5, 6.54%, 8/04/19

       6,500        6,435,000   

Hilton Los Cabos, B-Note, 8.78%, 9/18/18

       5,375        5,267,500   

Hilton Orlando, Mezzanine A3, 6.78%, 7/09/19

       7,250        7,250,000   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    51


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Floating Rate Loan Interests (b)          

Par  

(000)

    Value  

Hotels, Restaurants & Leisure (continued)

      

Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20

     USD        259      $ 260,377   
      

 

 

 
                       22,865,450   

Industrial Conglomerates — 0.1%

      

Vertiv Co., Term Loan B, 6.00%, 9/29/23

             878        872,512   

Insurance — 0.6%

      

Alliant Holdings I, Inc., Incremental Term Loan B2, 5.25%, 8/12/22

       276        277,689   

Dallas Design District, Mezzanine Term Loan, 7.23%, 11/09/19

       4,000        3,900,000   

Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, 3.75%, 3/01/21

       472        468,433   
      

 

 

 
                       4,646,122   

Internet Software & Services — 0.0%

      

Rackspace Hosting, Inc., 1st Lien Term Loan, 5.00%, 10/26/23

             260        258,700   

IT Services — 0.0%

      

WEX, Inc., Term Loan B, 4.25%, 7/01/23

             158        159,280   

Machinery — 0.1%

      

Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19

             482        442,248   

Media — 0.3%

      

iHeartCommunications, Inc., Term Loan D, 7.28%, 1/30/19

       1,169        883,305   

Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19

       1,091        1,042,105   
      

 

 

 
                       1,925,410   

Metals & Mining — 0.1%

      

FMG Resources August 2006 Property Ltd., Term Loan B, 3.75%, 6/30/19

             428        427,526   

Oil, Gas & Consumable Fuels — 0.3%

      

California Resources Corp., Term Loan A, 3.53%, 10/01/19

       283        273,390   

Chesapeake Energy Corp., Term Loan, 8.50%, 8/23/21

       1,679        1,793,870   

MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20

       97        91,085   
      

 

 

 
                       2,158,345   

Pharmaceuticals — 0.2%

      

DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21

       318        318,465   

Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22

       724        723,332   

NBTY, Inc., Term Loan B, 5.00%, 5/05/23

       177        177,039   

Valeant Pharmaceuticals International, Inc.:

      

Series A3 Tranche A, 4.29%, 10/20/18

       84        83,350   

Series C2 Term Loan B, 5.25%, 12/11/19

       40        40,177   

Series D2 Term Loan B, 5.00%, 2/13/19

       25        24,920   

Series E Term Loan B, 5.25%, 8/05/20

       302        300,719   

Series F1 Term Loan B, 5.50%, 4/01/22

       86        85,250   
      

 

 

 
                       1,753,252   

Professional Services — 0.1%

      

Advantage Sales & Marketing, Inc.:

      

2014 1st Lien Term Loan, 4.25%, 7/23/21

       298        295,367   

2014 2nd Lien Term Loan, 7.50%, 7/25/22

       91        86,247   
      

 

 

 
                       381,614   

Semiconductors & Semiconductor Equipment — 0.1%

  

Avago Technologies Cayman Ltd., Term Loan B3, 3.53%, 2/01/23

       545        550,362   
Floating Rate Loan Interests (b)          

Par  

(000)

    Value  

Semiconductors & Semiconductor Equipment (continued)

  

Microsemi Corp., 2015 Term Loan B, 3.75%, 1/15/23

     USD       46      $ 46,009   
      

 

 

 
                       596,371   

Software — 0.4%

      

BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20

       776        763,492   

Kronos, Inc.:

      

1st Lien Term Loan, 9.25%, 10/04/23

       639        641,543   

2nd Lien Term Loan, 5.00%, 10/04/24

       664        683,827   

RP Crown Parent LLC, 2016 Term Loan B, 4.50%, 10/12/23

       198        197,859   

Solera LLC, Term Loan B, 5.75%, 3/03/23

       442        446,405   

Tibco Software Inc., Term Loan B, 6.50%, 12/04/20

       534        533,547   
      

 

 

 
                       3,266,673   

Specialty Retail — 0.0%

      

Leslie’s Poolmart, Inc., 2016 Term Loan, 5.25%, 8/16/23

             164        165,025   

Textiles, Apparel & Luxury Goods — 0.1%

      

Ascend Performance Materials LLC, Term Loan B, 6.50%, 8/12/22

       297        295,856   

J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21

       134        101,966   
      

 

 

 
                       397,822   
Total Floating Rate Loan Interests — 7.0%                      51,279,734   
      
                          
Foreign Agency Obligations                      

Argentina Bonar Bonds:

      

24.51%, 3/28/17 (b)

     ARS        23,955        1,579,586   

9.00%, 11/29/18

     USD        144        159,318   

Argentine Bonos del Tesoro:

      

22.75%, 3/05/18

     ARS        9,149        619,298   

21.20%, 9/19/18

       18,297        1,270,918   

18.20%, 10/03/21

       176        12,382   

16.00%, 10/17/23

       88        5,844   

15.50%, 10/17/26

       70        4,676   

Argentine Republic Government International Bond:

      

6.25%, 4/22/19 (c)(d)

     USD        6,667        7,067,020   

6.88%, 4/22/21

       361        390,602   

3.88%, 1/15/22

     EUR        561        604,753   

7.50%, 4/22/26 (c)(d)

     USD        3,437        3,754,922   

5.83%, 12/31/33 (b)

     ARS        54        24,947   

7.82%, 12/31/33

     EUR        1,152        1,360,593   

7.63%, 4/22/46 (c)(d)

     USD        2,767        3,021,564   

Brazilian Government International Bond:

      

2.88%, 4/01/21

     EUR        261        294,380   

7.13%, 1/20/37 (d)

     USD        222        253,080   

5.00%, 1/27/45 (d)

       595        525,088   

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

     EUR        2,950        3,502,290   

Development Bank of Mongolia LLC, 5.75%, 3/21/17

     USD        800        780,000   

Iceland Government International Bond, 5.88%, 5/11/22 (d)

       3,415        4,002,824   

Jordan Government International Bond, 5.75%, 1/31/27 (c)(e)

       326        324,403   

Mexican Udibonos, Inflation Protected, 3.50%, 12/14/17

     MXN        292        87,666   

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

     USD        5,430        5,375,700   
 

 

See Notes to Financial Statements.

 

                
52    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Foreign Agency Obligations          

Par  

(000)

    Value  

Saudi Arabia Government Bond (c):

      

2.38%, 10/26/21

     USD        1,182      $ 1,179,045   

4.50%, 10/26/46

       363        357,101   

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

       766        907,710   

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

       3,000        3,056,616   

Turkey Government Bond:

      

8.50%, 7/10/19

     TRY        1,430        454,291   

10.50%, 1/15/20

       2,143        714,391   

Turkey Government International Bond:

      

6.75%, 4/03/18 (d)

     USD        4,164        4,387,815   

7.00%, 3/11/19 (d)

       1,300        1,405,625   

7.50%, 11/07/19 (d)

       2,550        2,830,500   

5.63%, 3/30/21

       331        349,559   

Venezuela Government International Bond, 8.25%, 10/13/24

             128        56,272   
Total Foreign Agency Obligations — 7.0%                      50,720,779   
      
                          
Non-Agency Mortgage-Backed Securities                      

Collateralized Mortgage Obligations — 21.5%

  

 

American Home Mortgage Assets Trust, Series 2006-5, Class A1, 1.44%, 11/25/46 (b)

       6,292        3,293,153   

CHL Mortgage Pass-Through Trust:

      

Series 2006-3, Class 1A1, 0.77%, 3/25/36 (b)

       12,985        10,334,035   

Series 2007-J2, Class 2A1, 1.18%, 7/25/37 (b)

       5,322        2,706,600   

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

       2,939        2,270,447   

Citigroup Mortgage Loan Trust, Series 2006-AR7, Class 2A3A, 3.10%, 11/25/36 (b)

       7,644        6,442,174   

Countrywide Alternative Loan Trust:

      

Series 2005-61, Class 2A1, 0.81%, 12/25/35 (b)

       3,712        3,252,661   

Series 2005-9CB, Class 1A3, 0.98%, 5/25/35 (b)

       4,557        3,700,946   

Series 2006-40T1, Class 2A5, 0.93%, 12/25/36 (b)

       2,896        870,574   

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

       3,368        2,382,527   

Series 2006-J7, Class 2A1, 2.20%, 11/20/36 (b)

       7,435        4,403,020   

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

       2,360        1,642,240   

Series 2006-OA14, Class 3A1, 1.37%, 11/25/46 (b)

       11,752        9,711,041   

Series 2006-OA16, Class A2, 0.72%, 10/25/46 (b)

       7,807        6,629,358   

Series 2006-OA18, Class A1, 0.65%, 12/25/46 (b)

       4,705        4,074,654   

Series 2006-OA22, Class A1, 0.69%, 2/25/47 (b)

       4,364        3,652,153   

Series 2006-OA6, Class 1A1A, 0.74%, 7/25/46 (b)

       8,687        6,346,344   

Series 2006-OA8, Class 1A1, 0.72%, 7/25/46 (b)

       3,464        2,830,709   

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

       6,361        4,763,998   

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

       3,087        2,361,928   

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

       11,042        7,971,455   

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

       9,051        7,357,382   
Non-Agency Mortgage-Backed Securities          

Par  

(000)

    Value  

Collateralized Mortgage Obligations (continued):

  

 

Countrywide Alternative Loan Trust (continued):

      

Series 2007-4CB, Class 1A3, 0.88%, 4/25/37 (b)

     USD        5,661      $ 4,288,682   

Series 2007-OA2, Class 1A1, 1.36%, 3/25/47 (b)

       5,976        4,691,542   

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA5, Class 3A1, 0.73%, 4/25/46 (b)

       10,516        9,251,981   

Fannie Mae Connecticut Avenue Securities, Class 1M2 (b):

      

Series 2014-C02, 3.13%, 5/25/24

       7,872        7,687,560   

Series 2014-C03, 3.53%, 7/25/24

       5,950        5,958,299   

Freddie Mac Mortgage-Backed Securities, Series 4480, Class ZX, 4.00%, 11/15/44

       4,746        5,234,938   

Morgan Stanley Re-REMIC Trust, Series 2010-R5, Class 7B, 0.88%, 5/26/37 (b)(c)

       16,103        11,191,432   

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

       9,132        4,073,556   

Residential Asset Securitization Trust, Series 2006-A8, Class 2A5, 1.13%, 8/25/36 (b)

       7,637        2,138,411   

WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, 1.29%, 5/25/47 (b)

       5,583        4,891,022   
      

 

 

 
                       156,404,822   

Commercial Mortgage-Backed Securities — 7.3%

  

Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2013-DSMZ, Class M, 6.22%, 9/15/18 (b)(c)

       7,500        7,085,250   

CD Commercial Mortgage Trust, Series 2007-CD5, Class C, 6.12%, 11/15/44 (b)

       3,372        3,343,008   

CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class EPA, 4.78%, 12/15/27 (b)(c)

       4,678        4,635,765   

CG-CCRE Commercial Mortgage Trust, Series 2014-FL1 (b)(c):

      

Class D, 3.28%, 6/15/31

       3,000        2,976,543   

Class E, 5.18%, 6/15/31

       1,931        1,926,939   

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

      

Series 2014-FL5, Class HFL1,
3.78%, 7/15/31

       6,057        5,739,007   

Series 2014-LC15, Class D, 4.94%, 4/10/47

       3,000        2,467,081   

Series 2014-PAT, Class E, 3.68%, 8/13/27

       1,000        985,893   

Series 2014-PAT, Class F, 2.97%, 8/13/27

       3,000        2,806,155   

Series 2014-PAT, Class G, 2.12%, 8/13/27

       2,000        1,801,040   

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

       2,000        1,997,540   

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

       2,500        2,301,936   

Goldman Sachs Mortgage Securities Trust, Series 2014-GSFL (b)(c):

      

Class D, 4.43%, 7/15/31

       1,325        1,326,722   

Class E, 6.48%, 7/15/31

       700        693,227   

Great Wolf Trust, Series 2015-WFMZ, Class M, 7.52%, 5/15/32 (b)(c)

       3,300        3,186,630   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-DSTY, Class E, 3.80%, 6/10/27 (b)(c)

       5,000        4,642,881   

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

       5,000        4,939,997   
      

 

 

 
                       52,855,614   
Total Non-Agency Mortgage-Backed Securities — 28.8%        209,260,436   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    53


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Preferred Securities          

Par  

(000)

    Value  
Capital Trusts                      

Banks — 4.2%

      

Banco Bilbao Vizcaya Argentaria SA:

      

7.00% (b)(l)

     USD        200      $ 212,153   

8.88% (b)(l)

       200        236,565   

Banco Nacional de Comercio Exterior SNC,
3.80% (b)(c)(l)

       583        577,170   

Banco Santander SA, 6.25%, 8/11/26 (b)

       200        204,060   

Bank of Ireland, 7.38% (b)(l)

       200        212,981   

BNP Paribas SA, 7.20% (b)(c)(d)(l)

       4,000        4,515,000   

Capital One Financial Corp., Series E, 5.55% (b)(d)(l)

       3,500        3,538,882   

Citigroup, Inc.:

      

5.90% (b)(d)(l)

       2,250        2,343,375   

5.95% (b)(d)(l)

       3,700        3,783,250   

Series R, 6.13% (b)(d)(l)

       1,170        1,223,118   

Cooperatieve Rabobank UA, 6.63% (b)(l)

       200        234,611   

Fifth Third Bancorp, Series J, 4.90% (b)(d)(l)

       3,000        2,904,000   

Intesa Sanpaolo SpA, 7.00% (b)(l)

       234        248,911   

Wells Fargo & Co. (b)(d)(l):

      

Series S, 5.90%

       8,800        9,207,000   

Series U, 5.88%

       997        1,071,152   
      

 

 

 
                       30,512,228   

Capital Markets — 1.2%

      

Goldman Sachs Group, Inc., Series L, 5.70% (b)(d)(l)

       1,287        1,303,088   

Morgan Stanley, Series H, 5.45% (b)(d)(l)

       5,007        5,020,018   

State Street Corp., Series F, 5.25% (b)(d)(l)

       1,875        1,969,687   

UBS Group AG, 5.75% (b)(l)

       200        229,430   
      

 

 

 
                       8,522,223   

Chemicals — 0.0%

      

Solvay Finance SA, 5.12% (b)(l)

             100        117,611   

Diversified Financial Services — 5.6%

      

Bank of America Corp. (b)(d)(l):

      

Series AA, 6.10%

       2,865        2,993,237   

Series U, 5.20%

       1,750        1,708,438   

Series V, 5.13%

       705        694,989   

Series X, 6.25%

       6,175        6,468,313   

Bank of New York Mellon Corp., Series D,
4.50% (b)(d)(l)

       6,067        5,907,741   

Barclays PLC, 7.88% (b)(l)

       200        198,800   

HBOS Capital Funding LP, 6.85% (l)

       100        101,000   

JPMorgan Chase & Co.:

      

Series Q, 5.15% (b)(d)(l)

       5,500        5,486,250   

Series V, 5.00% (b)(d)(l)

       3,830        3,753,400   

Macquarie Bank Ltd., 10.25%, 6/20/57 (b)(d)

       10,000        10,402,000   

Royal Bank of Scotland Group PLC, 8.63% (b)(l)

       200        199,000   

Societe Generale SA (b)(c)(d)(l):

      

6.00%

       3,000        2,756,100   

7.38%

       200        198,300   
      

 

 

 
                       40,867,568   

Diversified Telecommunication Services — 0.1%

  

 

Telefonica Europe BV (b)(l):

      

3.75%

       100        108,216   

4.20%

       300        336,653   
      

 

 

 
                       444,869   

Electric Utilities — 1.1%

      

Electricite de France SA, 5.25% (b)(c)(d)(l)

       7,500        7,425,000   

Enel SpA (b):

      

6.50%, 1/10/74

       102        121,335   

7.75%, 9/10/75

       100        135,773   

Gas Natural Fenosa Finance BV, 4.13% (b)(l)

  

    100        113,233   
      

 

 

 
                       7,795,341   

Industrial Conglomerates — 0.9%

      

General Electric Co., Series D, 5.00% (b)(d)(l)

  

    5,921        6,272,707   
Capital Trusts          

Par  

(000)

    Value  

Insurance — 1.3%

      

Allstate Corp, 5.75%, 8/15/53 (b)(d)

     USD        2,000      $ 2,145,400   

Prudential Financial, Inc., 5.63%, 6/15/43 (b)(d)

       6,000        6,450,000   

Voya Financial, Inc., 5.65%, 5/15/53 (b)(d)

       1,090        1,084,550   
      

 

 

 
                       9,679,950   

Oil, Gas & Consumable Fuels — 0.0%

      

DCP Midstream LLC, 5.85% (b)(c)(l)

       50        42,500   

TOTAL SA, 3.88% (b)(l)

       100        116,647   
      

 

 

 
                       159,147   
Total Capital Trusts — 14.4%                      104,371,644   
Preferred Stocks           Shares         

Banks — 0.3%

      

Citigroup, Inc., Series K, 6.88% (b)(l)

             75,000        2,151,750   

Capital Markets — 1.9%

      

Goldman Sachs Group, Inc., Series J, 5.50% (b)(l)

       395,017        10,298,093   

Morgan Stanley, 6.88% (b)(l)

       100,000        2,906,000   

SCE Trust III, 5.75% (b)(l)

       23,730        681,051   
      

 

 

 
                       13,885,144   

Real Estate Investment Trusts (REITs) — 2.0%

  

 

Firstar Realty LLC, 8.88% (c)(l)

       10,000        12,550,000   

SunTrust Real Estate Investment Corp., 9.00% (c)(l)

       15        1,631,265   
      

 

 

 
                       14,181,265   
Total Preferred Stocks — 4.2%                      30,218,159   
Total Preferred Securities — 18.6%                      134,589,803   
      
                          
U.S. Treasury Obligations — 0.5%          

Par  

(000)

        

U.S. Treasury Notes, 1.63%, 2/15/26 (d)

     USD        3,700      $ 3,638,721   
      
                          
Warrants — 0.0%           Shares         

Diversified Financial Services — 0.0%

      

Aviron Capital LLC (Expires 10/20/17) (m)

             10          

Total Long-Term Investments

(Cost — $1,136,363,945) — 156.6%

  

  

    1,137,496,832   
      
                          
Short-Term Securities                      

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.22% (n)(o)

             6,322,410        6,322,410   

Total Short-Term Securities

(Cost — $6,322,410) — 0.9%

  

  

    6,322,410   

Options Purchased

(Cost — $1,769,768) — 0.3%

  

  

    1,973,849   

Total Investments Before Options Written

(Cost — $1,144,456,123) — 157.8%

  

  

    1,145,793,091   

Options Written

(Premiums Received — $1,449,105) — (0.3)%

  

  

    (2,076,207

Total Investments, Net of Options Written

(Cost — $1,143,007,018) — 157.5%

  

  

    1,143,716,884   
Liabilities in Excess of Other Assets — (57.5)%        (417,335,839
      

 

 

 

Net Assets — 100.0%

  

  $ 726,381,045   
      

 

 

 
 

 

See Notes to Financial Statements.

 

                
54    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

 

Notes to Schedule of Investments

 

(a)   Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $561 and an original cost of $8,635, which was less than 0.05% of its net assets.

 

(b)   Variable rate security. Rate as of period end.

 

(c)   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.

 

(d)   All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

 

(e)   When-issued security.

 

(f)   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.

 

(g)   Amount is less than $500.

 

(h)   Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

 

(i)   Convertible security.

 

(j)   Non-income producing security.

 

(k)   Issuer filed for bankruptcy and/or is in default.

 

(l)   Perpetual security with no stated maturity date.

 

(m)   All or a portion of security is held by a wholly owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly owned subsidiary.

 

(n)   During the year ended October 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at October 31,
2015
       Net Activity        Shares Held
at October 31,
2016
    Value at
October 31,
2016
       Income  

BlackRock Liquidity Funds, T-Fund, Institutional Class

                 6,322,410           6,322,410      $ 6,322,410         $ 7,949   

BlackRock Liquidity Funds, TempFund, Institutional Class

       6,140,532           (6,140,532                         79,751   

Total

                 $ 6,322,410         $ 87,700   
                

 

 

 

 

(o)   Current yield as of period end.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

Reverse Repurchase Agreements                      
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of  Non-Cash
Underlying
Collateral
  Remaining
Contractual Maturity
of the Agreements1

UBS Ltd.

    0.80     6/03/15        Open      $ 158,000      $ 159,770      Corporate Bonds   Open/Demand

UBS Ltd.

    0.85     6/03/15        Open        232,500        235,333      Corporate Bonds   Open/Demand

UBS Ltd.

    0.70     11/10/15        Open        5,117,775        5,153,301      Corporate Bonds   Open/Demand

UBS Securities LLC

    0.80     12/09/15        Open        450,215        453,477      Corporate Bonds   Open/Demand

UBS Securities LLC

    0.80     12/09/15        Open        708,037        713,167      Corporate Bonds   Open/Demand

UBS Securities LLC

    0.80     12/09/15        Open        542,430        546,360      Corporate Bonds   Open/Demand

UBS Securities LLC

    0.80     12/09/15        Open        789,750        795,471      Corporate Bonds   Open/Demand

UBS Securities LLC

    0.80     12/09/15        Open        688,750        693,740      Corporate Bonds   Open/Demand

UBS Securities LLC

    0.80     12/09/15        Open        549,750        553,733      Corporate Bonds   Open/Demand

UBS Securities LLC

    0.80     12/09/15        Open        2,095,144        2,110,322      Corporate Bonds   Open/Demand

UBS Securities LLC

    0.80     12/09/15        Open        680,600        685,531      Corporate Bonds   Open/Demand

UBS Securities LLC

    0.80     12/09/15        Open        545,200        549,150      Corporate Bonds   Open/Demand

UBS Securities LLC

    0.80     12/10/15        Open        1,504,800        1,515,568      Corporate Bonds   Open/Demand

Barclays Bank PLC

    0.75     12/17/15        Open        3,504,644        3,527,935      Corporate Bonds   Open/Demand

Barclays Bank PLC

    0.85     12/17/15        Open        1,387,625        1,398,077      Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    0.60     12/17/15        Open        5,887,500        5,925,573      Capital Trusts   Open/Demand

Barclays Capital, Inc.

    0.80     12/17/15        Open        975,550        982,466      Capital Trusts   Open/Demand

Barclays Capital, Inc.

    0.80     12/17/15        Open        1,988,437        2,002,533      Capital Trusts   Open/Demand

Barclays Capital, Inc.

    0.80     12/17/15        Open        230,313        231,945      Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    0.80     12/17/15        Open        867,300        873,448      Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    0.80     12/17/15        Open        702,406        707,388      Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    0.95     12/17/15        Open        3,224,398        3,251,541      Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.65     12/17/15        Open        2,685,000        2,700,465      Capital Trusts   Open/Demand

HSBC Securities (USA), Inc.

    0.65     12/17/15        Open        3,456,000        3,475,906      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     12/17/15        Open        484,900        487,650      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.90     12/17/15        Open        202,125        203,737      Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    55


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)                      
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of  Non-Cash
Underlying
Collateral
  Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    0.90     12/17/15        Open      $ 123,488      $ 124,472      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     12/17/15        Open        737,200        743,406      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     12/17/15        Open        1,973,420        1,990,032      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     12/17/15        Open        315,900        318,559      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     12/17/15        Open        179,878        181,392      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     12/17/15        Open        275,200        277,517      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     12/17/15        Open        167,860        169,273      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     12/17/15        Open        462,075        465,965      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        767,350        774,150      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        492,900        497,268      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        398,475        402,006      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        492,800        497,167      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        241,425        243,564      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        45,390        45,792      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        45,338        45,739      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        193,590        195,305      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        103,500        104,417      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        323,900        326,770      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        124,000        125,099      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        120,080        121,144      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        80,250        80,961      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        270,100        272,493      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        373,500        376,810      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        243,000        245,153      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/17/15        Open        323,900        326,770      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     12/17/15        Open        133,200        134,439      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     12/17/15        Open        245,700        247,986      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     12/18/15        Open        406,400        409,789      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/18/15        Open        1,050,000        1,059,304      Corporate Bonds   Open/Demand

UBS Ltd.

    1.00     12/21/15        Open        1,464,000        1,476,810      Corporate Bonds   Open/Demand

UBS Ltd.

    1.00     12/21/15        Open        9,175,000        9,255,281      Capital Trusts   Open/Demand

UBS Securities LLC

    0.75     12/21/15        Open        3,540,000        3,563,231      Corporate Bonds   Open/Demand

UBS Securities LLC

    0.75     12/21/15        Open        4,963,750        4,996,325      Capital Trusts   Open/Demand

UBS Securities LLC

    0.75     12/21/15        Open        5,125,000        5,158,633      Corporate Bonds   Open/Demand

UBS Securities LLC

    0.75     12/21/15        Open        8,206,000        8,259,852      Capital Trusts   Open/Demand

UBS Securities LLC

    0.75     12/21/15        Open        7,068,750        7,115,139      Capital Trusts   Open/Demand

UBS Securities LLC

    1.00     12/21/15        Open        3,062,500        3,089,297      Capital Trusts   Open/Demand

UBS Securities LLC

    1.00     12/21/15        Open        3,135,750        3,163,188      Capital Trusts   Open/Demand

UBS Securities LLC

    1.00     12/21/15        Open        4,071,000        4,106,621      Capital Trusts   Open/Demand

UBS Securities LLC

    1.00     12/21/15        Open        3,812,500        3,845,859      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     12/21/15        Open        2,385,000        2,405,869      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.65     12/22/15        Open        52,981        53,282      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     12/28/15        Open        1,042,335        1,051,282      Corporate Bonds   Open/Demand

UBS Securities LLC

    0.60     1/21/16        Open        1,587,375        1,594,915      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.90     1/26/16        Open        88,075        88,692      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     1/26/16        Open        845,975        852,555      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     2/09/16        Open        978,412        985,642      Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     2/10/16        Open        416,000        419,062      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     2/10/16        Open        178,000        179,310      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     2/10/16        Open        640,000        644,711      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     2/10/16        Open        496,000        499,651      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     2/10/16        Open        1,034,426        1,042,041      Capital Trusts   Open/Demand

UBS Securities LLC

    1.00     2/16/16        Open        1,049,510        1,057,031      Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     2/17/16        Open        203,000        204,455      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     3/01/16        Open        3,795,000        3,820,827      Capital Trusts   Open/Demand

UBS Securities LLC

    1.00     3/01/16        Open        2,287,500        2,303,068      Capital Trusts   Open/Demand

RBC Capital Markets, LLC

    0.64     3/02/16        Open        2,187,000        2,196,487      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     3/02/16        Open        1,389,760        1,395,788      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     3/02/16        Open        717,200        722,061      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     3/10/16        Open        325,000        327,122      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     3/17/16        Open        713,000        717,456      Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.95     3/22/16        Open        1,178,000        1,184,963      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     3/22/16        Open        1,219,200        1,224,055      Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.

 

                
56    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)                      
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of  Non-Cash
Underlying
Collateral
  Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    0.64     3/22/16        Open      $ 534,750      $ 536,879      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.75     3/22/16        Open        242,223        243,353      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     3/22/16        Open        701,250        705,613      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     3/22/16        Open        732,000        736,555      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     3/23/16        Open        321,000        322,988      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     3/30/16        Open        395,000        397,348      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     3/30/16        Open        919,537        925,004      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     4/06/16        Open        38,100        38,241      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     4/06/16        Open        511,010        513,815      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.75     4/07/16        Open        150,120        150,758      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     4/07/16        Open        135,450        136,229      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     4/08/16        Open        1,315,843        1,323,262      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     4/13/16        Open        465,750        468,220      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     4/13/16        Open        628,350        631,858      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     4/13/16        Open        483,000        485,697      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     4/13/16        Open        608,000        611,395      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     4/13/16        Open        909,150        914,226      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.10     4/13/16        Open        402,675        405,148      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.10     4/13/16        Open        483,840        486,812      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.10     4/13/16        Open        490,245        493,256      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     4/20/16        Open        217,120        218,284      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     4/21/16        Open        544,000        547,062      Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     4/21/16        Open        1,409,000        1,416,932      Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     4/21/16        Open        1,953,000        1,963,994      Capital Trusts   Open/Demand

RBC Capital Markets, LLC

    0.75     4/21/16        Open        494,000        495,986      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     4/21/16        Open        381,700        383,644      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     4/21/16        Open        347,600        349,370      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     4/21/16        Open        288,000        289,467      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     4/21/16        Open        354,900        356,708      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     4/21/16        Open        480,375        482,950      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.10     4/21/16        Open        899,020        904,322      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.10     4/21/16        Open        280,688        282,343      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     4/21/16        Open        3,477,100        3,495,741      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     4/22/16        Open        311,500        313,054      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     4/28/16        Open        586,704        589,686      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.25     4/29/16        Open        499,392        500,023      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     4/29/16        Open        915,800        920,430      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/02/16        Open        464,800        467,137      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     5/04/16        Open        665,824        669,300      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/04/16        Open        120,085        120,682      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     5/04/16        Open        784,550        788,646      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     5/04/16        Open        690,858        694,331      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/05/16        Open        638,000        641,119      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/05/16        Open        451,000        453,205      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     5/06/16        Open        813,400        817,156      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     5/09/16        Open        412,000        413,991      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     5/09/16        Open        1,134,000        1,139,481      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.75     5/09/16        Open        425,685        427,228      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     5/09/16        Open        379,500        381,243      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     5/09/16        Open        211,185        212,155      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/09/16        Open        318,250        319,788      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     5/09/16        Open        608,970        611,913      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     5/09/16        Open        287,525        288,915      Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    0.80     5/10/16        Open        659,120        661,654      Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.04     5/10/16        Open        1,149,000        1,154,742      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     5/10/16        Open        292,000        293,403      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     5/10/16        Open        1,025,000        1,029,926      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     5/10/16        Open        851,000        855,090      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     5/10/16        Open        250,000        251,201      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     5/10/16        Open        728,000        731,498      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     5/10/16        Open        270,400        271,642      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     5/10/16        Open        452,880        454,948      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     5/10/16        Open        135,548        136,166      Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    57


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)                      
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of  Non-Cash
Underlying
Collateral
  Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    0.95     5/10/16        Open      $ 562,237      $ 564,804      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/10/16        Open        620,400        623,381      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     5/10/16        Open        89,505        89,935      Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25     5/11/16        Open        2,175,554        2,188,698      Foreign Agency Obligations   Open/Demand

Barclays Bank PLC

    0.65     5/12/16        Open        1,396,875        1,401,137      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     5/12/16        Open        401,625        403,510      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     5/16/16        Open        2,612,000        2,624,799      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/16/16        Open        1,747,655        1,755,811      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/17/16        Open        595,875        598,623      Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    0.75     5/18/16        Open        8,200,000        8,228,358      Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.04     5/18/16        Open        1,560,000        1,567,481      Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.04     5/18/16        Open        633,000        636,036      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     5/19/16        Open        185,000        185,533      Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.04     5/20/16        Open        360,000        361,674      Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25     5/20/16        Open        2,839,821        2,855,697      Foreign Agency Obligations   Open/Demand

RBC Capital Markets, LLC

    0.95     5/23/16        Open        343,400        344,850      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/23/16        Open        949,701        953,974      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.90     5/24/16        Open        215,000        215,855      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.75     5/25/16        Open        2,763,354        2,772,565      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/25/16        Open        346,768        348,309      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/25/16        Open        371,900        373,532      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     5/26/16        Open        236,931        237,925      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     5/27/16        Open        433,732        435,576      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     5/31/16        Open        317,285        318,625      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     6/01/16        Open        354,750        356,164      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.90     6/07/16        Open        63,550        63,784      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.90     6/07/16        Open        478,800        480,536      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     6/15/16        Open        106,000        106,403      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     6/21/16        Open        4,822,606        4,840,155      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     6/29/16        Open        170,150        170,736      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    0.80     7/07/16        Open        2,683,000        2,689,916      Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    0.80     7/07/16        Open        2,512,000        2,518,475      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    0.80     7/07/16        Open        1,812,000        1,816,671      Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    0.80     7/07/16        Open        1,890,000        1,894,872      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        556,000        557,792      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        2,283,000        2,290,356      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        729,000        731,349      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        4,614,000        4,628,867      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        2,835,000        2,844,135      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        3,137,000        3,147,108      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        2,528,000        2,536,146      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        1,489,000        1,493,798      Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        310,000        310,999      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        1,168,000        1,171,764      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        2,373,000        2,380,646      Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        2,638,000        2,646,500      Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        1,811,000        1,816,835      Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        313,000        314,009      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        355,000        356,144      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        137,000        137,441      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        234,000        234,754      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        1,412,000        1,416,550      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        587,000        588,891      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        1,127,000        1,130,631      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        719,000        721,317      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        99,000        99,319      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        849,000        851,736      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        373,000        374,202      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        300,000        300,967      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        124,000        124,400      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16        Open        1,704,000        1,709,491      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     7/07/16        Open        2,766,000        2,775,804      Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.

 

                
58    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)                      
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of  Non-Cash
Underlying
Collateral
  Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    0.95     7/08/16        Open      $ 181,770      $ 182,307      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     7/13/16        Open        128,296        128,665      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     7/19/16        Open        342,336        343,284      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     7/20/16        Open        805,800        807,969      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     7/22/16        Open        305,100        305,931      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     8/02/16        Open        324,675        325,438      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     8/02/16        Open        2,140,789        2,146,201      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     8/05/16        Open        1,279,387        1,282,373      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     8/08/16        Open        17,985        18,027      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    (0.25 )%      8/10/16        Open        1,384,000        1,383,212      Capital Trusts   Open/Demand

BNP Paribas Securities Corp.

    1.04     8/16/16        Open        223,000        223,483      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     8/19/16        Open        5,762,000        5,773,204      Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        576,000        577,232      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        314,000        314,672      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        2,576,000        2,581,510      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        457,000        457,977      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        337,000        337,721      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        604,000        605,292      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        311,318        311,983      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        608,000        609,375      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        556,000        557,257      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        454,000        455,027      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        525,000        526,187      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        528,000        529,194      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        762,000        763,723      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        768,000        769,737      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        1,032,000        1,034,333      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     8/19/16        Open        971,000        973,196      Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.95     8/19/16        Open        567,000        568,107      Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.95     8/19/16        Open        1,709,000        1,712,157      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     8/19/16        Open        494,997        495,912      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     8/19/16        Open        789,600        791,059      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     8/19/16        Open        971,800        973,690      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     8/19/16        Open        507,000        507,986      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     8/19/16        Open        714,780        716,170      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     8/19/16        Open        306,563        307,159      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     8/19/16        Open        312,405        313,012      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     8/19/16        Open        759,720        761,197      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.10     8/19/16        Open        1,020,305        1,022,487      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.10     8/19/16        Open        1,556,105        1,559,433      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.10     8/19/16        Open        1,128,150        1,130,563      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.10     8/19/16        Open        1,166,375        1,168,870      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     8/19/16        Open        397,600        398,373      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     8/19/16        Open        795,900        797,448      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     8/19/16        Open        829,855        831,469      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     8/19/16        Open        640,475        641,720      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     8/19/16        Open        1,528,125        1,531,096      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     8/19/16        Open        438,909        439,762      Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.15     8/22/16        Open        752,000        753,682      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.10     8/25/16        Open        803,305        804,876      Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25     9/08/16        Open        3,643,500        3,650,205      Foreign Agency Obligations   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25     9/08/16        Open        873,311        874,918      Foreign Agency Obligations   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25     9/08/16        Open        2,346,000        2,350,317      Foreign Agency Obligations   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25     9/08/16        Open        407,844        408,594      Foreign Agency Obligations   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25     9/08/16        Open        454,431        455,268      Foreign Agency Obligations   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25     9/08/16        Open        166,140        166,446      Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25     9/08/16        Open        505,196        506,126      Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25     9/08/16        Open        260,360        260,839      Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25     9/09/16        Open        4,315,500        4,322,842      Foreign Agency Obligations   Open/Demand

RBC Capital Markets, LLC

    0.95     9/13/16        Open        154,400        154,592      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.85     9/14/16        Open        404,110        404,549      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.90     9/14/16        Open        633,040        633,768      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     9/15/16        Open        329,560        329,934      Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    59


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)                      
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of  Non-Cash
Underlying
Collateral
  Remaining
Contractual Maturity
of the Agreements1

Deutsche Bank Securities, Inc.

    1.00     9/16/16        Open      $ 71,321      $ 71,412      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     9/19/16        Open        476,138        478,064      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.10     9/20/16        Open        133,000        133,163      Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    0.75     9/22/16        Open        915,065        915,808      Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25     9/22/16        Open        717,194        718,165      Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25     9/22/16        Open        526,887        527,601      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     9/23/16        Open        740,720        741,404      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     9/23/16        Open        67,200        67,265      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     9/29/16        Open        511,406        511,852      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/04/16        Open        105,210        105,285      Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.53     10/05/16        11/07/16        827,000        827,911      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.53     10/05/16        11/07/16        1,073,000        1,074,182      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.53     10/05/16        11/07/16        826,000        826,910      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.53     10/05/16        11/07/16        826,000        826,910      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.53     10/05/16        11/07/16        1,116,000        1,117,230      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.53     10/05/16        11/07/16        824,000        824,908      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/07/16        779,000        779,943      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/01/16        808,000        808,978      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/07/16        800,000        800,968      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/07/16        1,615,000        1,616,954      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/07/16        762,000        762,922      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/07/16        980,000        981,186      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/07/16        795,000        795,962      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/01/16        800,000        800,968      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/07/16        1,611,000        1,612,950      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/07/16        782,000        782,946      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/07/16        1,333,000        1,334,613      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/07/16        779,000        779,943      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/07/16        956,000        957,157      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/07/16        2,361,000        2,363,857      Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.68     10/05/16        11/07/16        985,000        986,192      Asset-Backed Securities   Up to 30 Days

Barclays Capital, Inc.

    2.02     10/06/16        11/04/16        9,450,094        9,464,436      Asset-Backed Securities   Up to 30 Days

J.P. Morgan Securities LLC

    1.88     10/06/16        11/04/16        5,822,000        5,829,599      Asset-Backed Securities   Up to 30 Days

Morgan Stanley & Co. LLC

    1.55     10/06/16        11/10/16        4,086,000        4,089,694      Asset-Backed Securities   Up to 30 Days

Deutsche Bank Securities, Inc.

    1.10     10/07/16        Open        853,230        853,882      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.75     10/11/16        Open        43,593        43,610      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     10/13/16        Open        61,843        61,870      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/13/16        Open        172,480        172,552      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/14/16        Open        1,425,520        1,426,102      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.10     10/14/16        Open        619,650        619,915      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/17/16        Open        459,250        459,408      Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     10/18/16        Open        325,960        326,069      Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    (2.00 )%      10/19/16        Open        495,512        495,210      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        515,000        515,119      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        1,473,750        1,474,091      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        536,337        536,461      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        511,250        511,368      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        955,000        955,221      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        623,750        623,894      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        1,019,100        1,019,336      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        609,000        609,141      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        1,462,500        1,462,838      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        1,503,750        1,504,098      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        1,072,500        1,072,748      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        1,087,500        1,087,751      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        1,080,000        1,080,250      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        992,500        992,729      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        513,750        513,869      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16        Open        950,000        950,186      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16        Open        436,837        437,003      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16        Open        415,188        415,345      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16        Open        270,570        270,673      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16        Open        268,110        268,212      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16        Open        383,625        383,770      Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.

 

                
60    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (continued)                      
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of  Non-Cash
Underlying
Collateral
  Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    1.05     10/19/16        Open      $ 605,625      $ 605,855      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16        Open        1,461,250        1,461,804      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16        Open        705,000        705,267      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16        Open        387,500        387,647      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        304,500        304,560      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        947,250        947,435      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        465,750        465,841      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        375,000        375,073      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        817,500        817,660      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        756,000        756,148      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        990,000        990,194      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        252,500        252,549      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        967,500        967,689      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        793,125        793,280      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        415,000        415,081      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        1,010,000        1,010,198      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        543,750        543,856      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        450,000        450,088      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        783,750        783,903      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        376,500        376,574      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        1,275,000        1,275,249      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        745,937        746,083      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        567,000        567,111      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        716,250        716,390      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        759,375        759,524      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        950,625        950,811      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        982,500        982,692      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        1,234,375        1,234,616      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        1,022,500        1,022,700      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        536,250        536,355      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        751,875        752,022      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        503,750        503,849      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        860,625        860,793      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        473,625        473,718      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        791,250        791,405      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        420,000        420,082      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        537,500        537,605      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        930,000        930,182      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        755,625        755,773      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        263,900        263,952      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16        Open        1,030,000        1,030,201      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/20/16        Open        160,950        160,984      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/20/16        Open        249,120        249,200      Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    0.40     10/21/16        Open        3,676,875        3,677,324      U.S. Treasury Obligations   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     10/21/16        Open        162,000        162,038      Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25     10/24/16        Open        415,530        415,617      Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    0.80     10/25/16        Open        173,250        173,269      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/25/16        Open        446,000        446,040      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/25/16        Open        480,700        480,763      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/25/16        Open        333,750        333,794      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/25/16        Open        399,840        399,893      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/25/16        Open        498,465        498,531      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/25/16        Open        364,000        364,048      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/25/16        Open        344,715        344,760      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/25/16        Open        423,300        423,356      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/25/16        Open        452,350        452,413      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/25/16        Open        350,470        350,519      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/25/16        Open        435,000        435,060      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/25/16        Open        367,425        367,476      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/25/16        Open        438,600        438,661      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/25/16        Open        396,990        397,045      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/25/16        Open        394,050        394,105      Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/25/16        Open        393,390        393,445      Corporate Bonds   Open/Demand

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    61


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements (concluded)                          
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of  Non-Cash
Underlying
Collateral
    Remaining
Contractual Maturity
of the Agreements1
 

RBC Capital Markets, LLC

    1.00     10/25/16        Open      $ 409,640      $ 409,697        Corporate Bonds        Open/Demand   

RBC Capital Markets, LLC

    1.00     10/25/16        Open        360,500        360,550        Corporate Bonds        Open/Demand   

RBC Capital Markets, LLC

    1.00     10/25/16        Open        327,860        327,906        Corporate Bonds        Open/Demand   

RBC Capital Markets, LLC

    1.00     10/25/16        Open        874,650        874,820        Corporate Bonds        Open/Demand   

RBC Capital Markets, LLC

    1.00     10/26/16        Open        1,569,048        1,569,222        Corporate Bonds        Open/Demand   

RBC Capital Markets, LLC

    1.10     10/26/16        Open        2,031,040        2,031,288        Corporate Bonds        Open/Demand   

RBC Capital Markets, LLC

    1.00     10/27/16        Open        114,400        114,403        Corporate Bonds        Open/Demand   

RBC Capital Markets, LLC

    1.00     10/27/16        Open        1,201,420        1,201,453        Corporate Bonds        Open/Demand   

UBS Securities LLC

    0.80     10/27/16        Open        840,375        840,394        Corporate Bonds        Open/Demand   

HSBC Securities (USA), Inc.

    0.95     10/28/16        Open        589,000        589,000        Corporate Bonds        Open/Demand   

RBC Capital Markets, LLC

    0.75     10/28/16        Open        78,120        78,120        Corporate Bonds        Open/Demand   

RBC Capital Markets, LLC

    1.00     10/28/16        Open        132,525        132,525        Corporate Bonds        Open/Demand   

RBC Capital Markets, LLC

    1.00     10/28/16        Open        124,950        124,950        Corporate Bonds        Open/Demand   

UBS Securities LLC

    1.00     10/28/16        Open        221,059        221,059        Corporate Bonds        Open/Demand   

UBS Securities LLC

    1.00     10/28/16        Open        424,710        424,710        Corporate Bonds        Open/Demand   

UBS Securities LLC

    1.00     10/28/16        Open        1,531,744        1,531,744        Corporate Bonds        Open/Demand   

Deutsche Bank Securities, Inc.

    1.15     10/31/16        Open        877,000        877,000        Capital Trusts        Open/Demand   

RBC Capital Markets, LLC

    0.95     10/31/16        Open        434,250        434,250        Corporate Bonds        Open/Demand   

Total

        $ 425,717,843      $ 427,328,896       
       

 

 

     

1    Certain agreements have no stated maturity and can be terminated by either party at any time.

       

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts                    
Contracts
Long (Short)
       Issue   Expiration     Notional Value     Unrealized
Appreciation
(Depreciation)
        
  (46      2-Year U.S. Treasury Note     December 2016        USD        10,034,469      $ 9,066     
  104         5-Year U.S. Treasury Note     December 2016        USD        12,562,875        (35,618  
  (86      10-Year U.S. Treasury Note     December 2016        USD        11,147,750        (6,329  
  (71      10-Year U.S. Ultra Long Treasury Note     December 2016        USD        10,047,610        185,081     
  (7      Euro BOBL     December 2016        USD        1,007,482        4,879     
  (8      Euro Bund Futures     December 2016        USD        1,424,177        21,344     
  (77      Long U.S. Treasury Bond     December 2016        USD        12,529,344        107,697     
  (1      UK Long Gilt Bond     December 2016        USD        153,416        7,502     
  (22      Ultra U.S. Treasury Bond     December 2016        USD        3,870,625        43,488           
  Total                 $ 337,110     
            

 

 

 

 

Forward Foreign Currency Exchange Contracts  
Currency
Purchased
    Currency
Sold
    Counterparty   Settlement
Date
    Unrealized
Appreciation
(Depreciation)
 
BRL     2,165,824      USD     688,000      Bank of America N.A.     11/03/16      $ (9,484
BRL     1,360,950      USD     430,000      BNP Paribas S.A.     11/03/16        (3,637
BRL     1,387,610      USD     436,204      Goldman Sachs International     11/03/16        (1,490
BRL     21,314,948      USD     6,700,496      Morgan Stanley & Co. International PLC     11/03/16        (22,881
BRL     19,919,776      USD     6,101,751      Royal Bank of Scotland PLC     11/03/16        138,780   
BRL     147,647      USD     45,249      Royal Bank of Scotland PLC     11/03/16        1,007   
EUR     2,830,000      USD     3,096,991      Citibank N.A.     11/03/16        9,764   
EUR     13,488,000      USD     14,760,498      Citibank N.A.     11/03/16        46,535   
EUR     500,000      USD     543,701      Morgan Stanley & Co. International PLC     11/03/16        5,195   
GBP     21,362,000      USD     25,968,203      Citibank N.A.     11/03/16        179,388   
GBP     1,373,000      USD     1,669,055      Citibank N.A.     11/03/16        11,530   
USD     680,841      BRL     2,165,824      Bank of America N.A.     11/03/16        2,325   
USD     427,824      BRL     1,360,950      BNP Paribas S.A.     11/03/16        1,461   
USD     430,000      BRL     1,387,610      Goldman Sachs International     11/03/16        (4,715
USD     6,835,000      BRL     21,314,948      Morgan Stanley & Co. International PLC     11/03/16        157,385   

 

See Notes to Financial Statements.

 

                
62    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Forward Foreign Currency Exchange Contracts (continued)  
Currency
Purchased
    Currency
Sold
    Counterparty   Settlement
Date
    Unrealized
Appreciation
(Depreciation)
 
USD     6,261,915      BRL     19,919,776      Royal Bank of Scotland PLC     11/03/16      $ 21,383   
USD     46,414      BRL     147,647      Royal Bank of Scotland PLC     11/03/16        159   
USD     3,186,407      EUR     2,830,000      Citibank N.A.     11/03/16        79,653   
USD     15,186,665      EUR     13,488,000      Citibank N.A.     11/03/16        379,632   
USD     92,098      EUR     82,000      Deutsche Bank AG     11/03/16        2,079   
USD     17,960      EUR     16,000      Royal Bank of Scotland PLC     11/03/16        395   
USD     145,925      EUR     130,000      Royal Bank of Scotland PLC     11/03/16        3,212   
USD     27,755,091      GBP     21,362,000      Citibank N.A.     11/03/16        1,607,500   
USD     1,783,903      GBP     1,373,000      Citibank N.A.     11/03/16        103,319   
USD     398,515      GBP     307,000      Citibank N.A.     11/03/16        22,740   
MXN     7,762,659      USD     400,000      Citibank N.A.     11/04/16        10,656   
MXN     14,858,591      USD     800,000      Citibank N.A.     11/04/16        (13,960
MXN     16,011,142      USD     821,000      Royal Bank of Scotland PLC     11/04/16        26,012   
USD     116,942      JPY     11,877,500      Barclays Bank PLC     11/04/16        3,675   
USD     117,461      JPY     11,877,500      UBS AG     11/04/16        4,195   
USD     366,300      MXN     7,080,804      Deutsche Bank AG     11/04/16        (8,284
USD     341,880      MXN     6,499,114      Deutsche Bank AG     11/04/16        (1,932
USD     394,000      MXN     7,377,429      Deutsche Bank AG     11/04/16        3,724   
CNH     1,003,210      USD     150,000      BNP Paribas S.A.     11/07/16        (2,065
CNH     1,003,145      USD     150,000      Goldman Sachs International     11/07/16        (2,075
CNH     1,231,654      USD     184,200      Goldman Sachs International     11/07/16        (2,579
CNH     1,036,531      USD     155,000      Goldman Sachs International     11/07/16        (2,152
CNH     3,148,986      USD     474,000      Goldman Sachs International     11/07/16        (9,647
CNH     1,003,390      USD     150,000      Royal Bank of Canada     11/07/16        (2,039
KRW     625,900,000      USD     550,000      Bank of America N.A.     11/07/16        (2,970
USD     1,973,000      CNH     13,024,957      Deutsche Bank AG     11/07/16        52,324   
USD     635,200      CNH     4,246,557      Morgan Stanley & Co. International PLC     11/07/16        8,997   
USD     550,000      KRW     611,435,000      HSBC Bank PLC     11/07/16        15,612   
RUB     34,287,000      USD     550,000      Deutsche Bank AG     11/08/16        (10,030
USD     550,000      RUB     34,864,500      JPMorgan Chase Bank N.A.     11/08/16        935   
RUB     23,881,100      USD     380,000      JPMorgan Chase Bank N.A.     11/10/16        (4,099
USD     380,000      RUB     24,160,400      Bank of America N.A.     11/10/16        (298
CAD     2,404,701      USD     1,820,000      BNP Paribas S.A.     11/14/16        (27,027
JPY     286,437,870      CHF     2,700,000      Barclays Bank PLC     11/14/16        2,302   
JPY     92,364,272      CHF     870,000      BNP Paribas S.A.     11/14/16        1,387   
NOK     60,900,000      SEK     66,823,834      BNP Paribas S.A.     11/14/16        (31,501
NOK     14,975,000      SEK     15,396,696      Citibank N.A.     11/14/16        106,900   
NOK     21,200,000      SEK     22,259,364      Goldman Sachs International     11/14/16        100,118   
SEK     19,911,486      NOK     18,600,000      Goldman Sachs International     11/14/16        (45,519
USD     1,820,000      CAD     2,386,302      BNP Paribas S.A.     11/14/16        40,745   
USD     1,366,551      EUR     1,238,439      HSBC Bank PLC     11/14/16        6,408   
USD     297,015      EUR     269,171      HSBC Bank PLC     11/14/16        1,393   
USD     1,795,000      KRW     2,023,113,985      Nomura International PLC     11/14/16        26,809   
USD     1,795,000      KRW     2,022,480,350      Nomura International PLC     11/14/16        27,363   
INR     43,020,420      USD     642,000      HSBC Bank PLC     11/15/16        1,802   
USD     1,340,000      INR     89,836,816      HSBC Bank PLC     11/16/16        (4,219
COP     610,080,000      USD     205,000      BNP Paribas S.A.     11/18/16        (2,639
COP     799,871,500      USD     269,000      HSBC Bank PLC     11/18/16        (3,686
USD     21,611      ARS     339,827      BNP Paribas S.A.     11/18/16        (582
USD     10,000      ARS     157,500      BNP Paribas S.A.     11/18/16        (286
USD     474,000      COP     1,379,577,000      BNP Paribas S.A.     11/18/16        16,399   
AUD     1,920,000      NZD     1,979,155      HSBC Bank PLC     11/21/16        45,619   
EUR     60,000      SEK     575,027      HSBC Bank PLC     11/21/16        2,197   
EUR     4,120,000      SEK     40,726,365      Royal Bank of Scotland PLC     11/21/16        13,304   
RUB     207,194,055      USD     3,257,000      BNP Paribas S.A.     11/21/16        (4,735
SEK     21,544,691      EUR     2,250,000      BNP Paribas S.A.     11/21/16        (84,461
SEK     18,459,871      EUR     1,930,000      JPMorgan Chase Bank N.A.     11/21/16        (74,741
USD     646,000      TWD     20,563,795      Royal Bank of Scotland PLC     11/21/16        (5,829
KRW     502,408,200      USD     444,000      JPMorgan Chase Bank N.A.     11/23/16        (4,913
MYR     2,890,968      USD     692,000      JPMorgan Chase Bank N.A.     11/23/16        (3,859
USD     444,000      KRW     506,515,200      Bank of America N.A.     11/23/16        1,324   
USD     418,630      AUD     551,000      Morgan Stanley & Co. International PLC     11/25/16        (260
USD     413,000      CLP     276,358,950      Credit Suisse International     11/25/16        (9,403
USD     205,000      ZAR     2,864,598      BNP Paribas S.A.     11/25/16        (6,482

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    63


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Forward Foreign Currency Exchange Contracts (concluded)  
Currency
Purchased
    Currency
Sold
    Counterparty   Settlement
Date
    Unrealized
Appreciation
(Depreciation)
 
USD     205,000        ZAR        2,860,340      Deutsche Bank AG     11/25/16      $ (6,168
ZAR     5,708,237        USD        410,000      Morgan Stanley & Co. International PLC     11/25/16        11,417   
USD     1,210,798        TRY        3,748,297      BNP Paribas S.A.     11/28/16        6,339   
JPY     28,312,154        USD        271,200      Citibank N.A.     11/29/16        (989
USD     410,000        ZAR        5,738,831      Deutsche Bank AG     11/29/16        (13,340
CAD     2,456,454        NZD        2,565,000      JPMorgan Chase Bank N.A.     11/30/16        (381
USD     140,800        ARS        2,297,856      BNP Paribas S.A.     12/01/16        (8,000
BRL     1,104,430        USD        344,220      Goldman Sachs International     12/02/16        (1,151
BRL     21,504,277        USD        6,835,000      Morgan Stanley & Co. International PLC     12/02/16        (155,126
USD     413,000        BRL        1,328,869      Goldman Sachs International     12/02/16        213   
USD     19,300        ARS        299,729      BNP Paribas S.A.     12/05/16        (66
USD     692,670        CLP        453,026,960      Credit Suisse International     12/05/16        730   
USD     340,000        CLP        222,275,000      Royal Bank of Scotland PLC     12/05/16        504   
USD     170,129        EUR        155,000      Barclays Bank PLC     12/05/16        (255
USD     3,100,950        EUR        2,830,000      Citibank N.A.     12/05/16        (9,925
USD     14,779,368        EUR        13,488,000      Citibank N.A.     12/05/16        (47,303
USD     25,984,096        GBP        21,362,000      Citibank N.A.     12/05/16        (180,635
USD     1,670,076        GBP        1,373,000      Citibank N.A.     12/05/16        (11,610
USD     369,745        GBP        304,000      Royal Bank of Scotland PLC     12/05/16        (2,602
USD     98,906        JPY        10,399,500      Bank of America N.A.     12/05/16        (372
USD     99,189        JPY        10,399,500      HSBC Bank PLC     12/05/16        (89
RUB     25,756,610        USD        410,000      BNP Paribas S.A.     12/07/16        (7,337
AUD     4,830,000        CAD        4,848,513      Citibank N.A.     12/15/16        54,187   
CAD     2,384,667        AUD        2,425,000      JPMorgan Chase Bank N.A.     12/15/16        (64,217
CAD     2,431,061        AUD        2,405,000      Toronto-Dominion Bank     12/15/16        (14,421
EUR     3,340,000        CAD        4,818,979      UBS AG     12/15/16        79,554   
JPY     197,698,725        CHF        1,890,000      UBS AG     12/15/16        (26,249
GBP     104,109        USD        136,377      Citibank N.A.     12/21/16        (8,798
GBP     470,000        USD        612,627      Royal Bank of Scotland PLC     12/21/16        (36,670
INR     183,401,400        USD        2,730,000      JPMorgan Chase Bank N.A.     12/21/16        927   
KRW     171,464,280        USD        156,000      HSBC Bank PLC     12/21/16        (6,167
KRW     89,046,000        USD        77,600      Nomura International PLC     12/21/16        212   
USD     621,948        GBP        470,000      Bank of America N.A.     12/21/16        45,991   
USD     382,311        GBP        288,951      Bank of America N.A.     12/21/16        28,218   
USD     2,730,000        INR        183,456,000      Nomura International PLC     12/21/16        (1,740
USD     194,800        KRW        219,763,620      Deutsche Bank AG     12/21/16        2,761   
USD     261,261        MXN        5,063,997      Royal Bank of Scotland PLC     12/21/16        (5,250
INR     185,285,100        USD        2,730,000      UBS AG     12/23/16        28,232   
USD     2,730,000        INR        183,483,300      JPMorgan Chase Bank N.A.     12/23/16        (1,410
GBP     1,720,000        USD        2,126,823      Goldman Sachs International     12/28/16        (18,602
USD     1,808,436        GBP        1,480,000      Royal Bank of Canada     12/28/16        (5,615
USD     625,833        EUR        557,814      Goldman Sachs International     1/12/17        11,441   
MXN     12,802,911        USD        680,000      Citibank N.A.     2/03/17        (9,429
USD     1,020,000        MXN        18,744,989      HSBC Bank PLC     2/03/17        38,204   
USD     4,310,000        MXN        82,976,896      JPMorgan Chase Bank N.A.     2/03/17        (36,035
USD     362,400        ARS        6,468,840      BNP Paribas S.A.     7/28/17        (9,896
Total             $ 2,498,245   
           

 

 

 

 

OTC Barrier Options Purchased  
Description   Put/
Call
  Type of
Option
  Counterparty   Expiration
Date
    Barrier
Price/Range
   

Notional

    Value  

CAD Currency

  Call   One touch   Morgan Stanley & Co. International PLC     11/30/16      CAD     1.43        USD        60,000      $ 3,039   

USD Currency

  Call   One touch   Morgan Stanley & Co. International PLC     11/30/16      MXN     23                47,976        924   

Total

                  $ 3,963   
                 

 

 

 

 

See Notes to Financial Statements.

 

                
64    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

 

OTC Options Purchased  
Description   Put/
Call
    Counterparty     Expiration
Date
    Strike
Price
   

Notional

Amount
(000)

    Value  

USD Currency

    Call        Deutsche Bank AG        11/08/16        MXN        20.00        USD        1,470      $ 1,743   

USD Currency

    Call        Goldman Sachs International        11/14/16        MXN        19.00        USD        870        17,427   

USD Currency

    Call        Deutsche Bank AG        11/15/16        KRW        1,120.00        USD        890        22,245   

USD Currency

    Call        Goldman Sachs International        11/16/16        MXN        18.75        USD        730        19,232   

AUD Currency

    Call        HSBC Bank PLC        11/17/16        NZD        1.05        AUD        14,380        209,359   

AUD Currency

    Call        HSBC Bank PLC        11/17/16        NZD        1.06        AUD        14,465        130,777   

USD Currency

    Call        BNP Paribas S.A.        11/23/16        TWD        32.00        USD        820        2,385   

USD Currency

    Call        Deutsche Bank AG        11/23/16        MXN        19.90        USD        820        8,553   

USD Currency

    Call        Deutsche Bank AG        11/23/16        MXN        20.00        USD        870        8,282   

EUR Currency

    Call        Deutsche Bank AG        11/24/16        ZAR        15.65        EUR        10,095        56,052   

AUD Currency

    Call        Barclays Bank PLC        11/25/16        CAD        1.04        AUD        14,240        25,499   

NZD Currency

    Call        JPMorgan Chase Bank N.A.        11/28/16        CAD        0.97        NZD        15,375        65,737   

EUR Currency

    Call        UBS AG        11/29/16        USD        1.10        EUR        1,033        6,291   

CAD Currency

    Call        BNP Paribas S.A.        12/12/16        CAD        1.48        EUR        9,800        109,580   

AUD Currency

    Call        Deutsche Bank AG        12/13/16        CAD        1.04        AUD        9,650        36,461   

USD Currency

    Call        UBS AG        12/14/16        USD        14.65        USD        1,120        9,047   

USD Currency

    Call        Deutsche Bank AG        12/15/16        CNH        6.75        USD        240        2,680   

USD Currency

    Call        HSBC Bank PLC        12/15/16        KRW        1,145.00        USD        743        12,147   

EUR Currency

    Call        Deutsche Bank AG        12/22/16        ZAR        16.20        EUR        6,475        54,930   

GBP Currency

    Call        Deutsche Bank AG        12/29/16        USD        1.35        GBP        5,585        1,087   

EUR Currency

    Call        Morgan Stanley & Co. International PLC        12/01/16        CAD        1.47        EUR        10,040        120,100   

NOK Currency

    Put        Citibank N.A.        11/10/16        SEK        1.01        NOK        89,855          

USD Currency

    Put        Morgan Stanley & Co. International PLC        11/10/16        INR        67.80        USD        1,340        19,256   

EUR Currency

    Put        JPMorgan Chase Bank N.A.        11/17/16        SEK        9.45        EUR        9,655        117   

USD Currency

    Put        Morgan Stanley & Co. International PLC        11/23/16        BRL        3.30        USD        670        26,184   

NZD Currency

    Put        JPMorgan Chase Bank N.A.        11/28/16        CAD        0.93        NZD        15,375        29,697   

USD Currency

    Put        Deutsche Bank AG        12/01/16        INR        67.50        USD        804        7,969   

USD Currency

    Put        JPMorgan Chase Bank N.A.        12/15/16        BRL        3.15        USD        519        7,107   

USD Currency

    Put        Goldman Sachs International        12/21/16        BRL        3.20        USD        516        10,022   

GBP Currency

    Put        Deutsche Bank AG        12/22/16        GBP        1.23        GBP        5,620        150,593   

GBP Currency

    Put        HSBC Bank PLC        12/22/16        GBP        1.27        GBP        8,340        433,684   

CAD Currency

    Put        BNP Paribas S.A.        12/23/16        JPY        75.10        CAD        14,320        85,356   

GBP Currency

    Put        Royal Bank of Scotland PLC        12/29/16        USD        1.26        GBP        5,585        249,037   

USD Currency

    Put        Nomura International PLC        01/06/17        INR        67.40        USD        740        6,876   

USD Currency

    Put        JPMorgan Chase Bank N.A.        02/01/17        MXN        17.06        USD        16,775        24,374   

Total

                $ 1,969,886   
               

 

 

 

 

OTC Options Written  
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Notional
Amount
(000)
    Value  

USD Currency

  Call   Goldman Sachs International     11/08/16      MXN     20.00      USD     1,470      $ (1,850)   

NOK Currency

  Call   Citibank N.A.     11/10/16      SEK     1.05      NOK     89,855        (419,556

USD Currency

  Call   Goldman Sachs International     11/10/16      ZAR     14.50      USD     410        (347

USD Currency

  Call   Deutsche Bank AG     11/15/16      KRW     1,160.00      USD     1,340        (6,929

USD Currency

  Call   Goldman Sachs International     11/16/16      MXN     20.00      USD     1,170        (9,275

AUD Currency

  Call   HSBC Bank PLC     11/17/16      NZD     1.06      AUD     28,765        (198,662

AUD Currency

  Call   HSBC Bank PLC     11/17/16      NZD     1.05      AUD     14,465        (208,902

USD Currency

  Call   Deutsche Bank AG     11/23/16      MXN     21.50      USD     1,310        (3,525

EUR Currency

  Call   Morgan Stanley & Co. International PLC     12/01/16      CAD     1.49      EUR     15,055        (101,622

EUR Currency

  Call   BNP Paribas S.A.     12/12/16      CAD     1.50      EUR     14,700        (100,033

USD Currency

  Call   UBS AG     12/14/16      ZAR     15.50      USD     1,120        (3,065

USD Currency

  Call   Deutsche Bank AG     12/15/16      CNH     7.10      USD     240        (45

USD Currency

  Call   HSBC Bank PLC     12/15/16      KRW     1,180.00      USD     1,115        (7,341

USD Currency

  Call   JPMorgan Chase Bank N.A.     12/15/16      BRL     3.40      USD     519        (3,529

EUR Currency

  Call   Deutsche Bank AG     12/22/16      ZAR     16.60      EUR     6,475        (35,625

GBP Currency

  Call   Deutsche Bank AG     12/22/16      USD     1.32      GBP     5,620        (2,628

GBP Currency

  Call   Royal Bank of Scotland PLC     12/29/16      USD     1.35      GBP     5,585        (1,094

USD Currency

  Call   JPMorgan Chase Bank N.A.     02/01/17      MXN     21.22      USD     16,775        (154,347

USD Currency

  Put   Morgan Stanley & Co. International PLC     11/10/16      INR     66.50      USD     740        (605

USD Currency

  Put   Goldman Sachs International     11/16/16      MXN     18.10      USD     890        (3,833

GBP Currency

  Put   Bank of America N.A.     12/22/16      USD     1.18      GBP     5,620        (43,736

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    65


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

OTC Options Written (concluded)  
Description   Put/
Call
    Counterparty     Expiration
Date
    Strike
Price
    Notional
Amount
(000)
    Value  

GBP Currency

    Put        HSBC Bank PLC        12/22/16        USD        1.26        GBP        10,025      $ (463,031

CAD Currency

    Put        BNP Paribas S.A.        12/23/16        JPY        73.60        CAD        14,320        (53,936

GBP Currency

    Put        Deutsche Bank AG        12/29/16        USD        1.26        GBP        5,585        (249,338

USD Currency

    Put        Nomura International PLC        01/06/17        INR        66.40        USD        1,110        (3,353

Total

                $ (2,076,207
               

 

 

 

 

Centrally Cleared Interest Rate Swaps        
Fixed
Rate
     Floating
Rate
  Effective
Date
    Expiration
Date
    Notional
Amount
(000)
    Unrealized
Appreciation
(Depreciation)
        
  2.13 %1     3-Month LIBOR     N/A        8/25/25        USD        110      $ 4,699     
  2.27 %2     3-Month LIBOR     N/A        9/11/25        USD        68        (3,711  
  1.46 %2     3-Month LIBOR     N/A        6/28/26        USD        1,427        26,902     
  1.46 %2     3-Month LIBOR     N/A        6/28/26        USD        357        6,709           
  Total                 $ 34,599     
            

 

 

 

     

1   Trust pays the floating rate and receives the fixed rate.

      

 

     

2   Trust pays the fixed rate and receives the floating rate.

      

 

 

OTC Credit Default Swaps — Buy Protection                                
Issuer/Index   Pay
Fixed
Rate
    Counterparty     Expiration
Date
    Notional
Amount
(000)
    Value     Premiums
Paid
(Received)
   

Unrealized
Appreciation

(Depreciation)

 

United Mexican States

    1.00     Citibank N.A.        6/20/20        USD        604      $ 1,786      $ 4,298      $ (2,512

United Mexican States

    1.00     Bank of America N.A.        9/20/20        USD        604        3,389        5,945        (2,556

Federation of Malaysia

    1.00     Citibank N.A.        12/20/21        USD        873        8,474        14,664        (6,190

Federation of Malaysia

    1.00     Barclays Bank PLC        12/20/21        USD        70        678        771        (93

Federation of Russia

    1.00     JPMorgan Chase Bank N.A.        12/20/21        USD        1,333        75,308        77,937        (2,629

Republic of Argentina

    5.00     Citibank N.A.        12/20/21        USD        1,819        (98,606     (61,654     (36,952

Republic of Argentina

    5.00     Bank of America N.A.        12/20/21        USD        141        (7,622     (6,655     (967

Republic of Philippines

    1.00     BNP Paribas S.A.        12/20/21        USD        564        3,001        1,496        1,505   

Republic of Philippines

    1.00     Barclays Bank PLC        12/20/21        USD        553        2,943        2,531        412   

Republic of Philippines

    1.00     Citibank N.A.        12/20/21        USD        401        2,132        1,738        394   

Republic of Philippines

    1.00     Barclays Bank PLC        12/20/21        USD        277        1,472        1,066        406   

Republic of Philippines

    1.00     Barclays Bank PLC        12/20/21        USD        346        1,839        1,332        507   

Republic of Philippines

    1.00     Barclays Bank PLC        12/20/21        USD        138        736        533        203   

Republic of Philippines

    1.00     UBS AG        12/20/21        USD        341        1,817        1,316        501   

Republic of Philippines

    1.00     Barclays Bank PLC        12/20/21        USD        916        4,872        3,969        903   

Republic of Philippines

    1.00     JPMorgan Chase Bank N.A.        12/20/21        USD        367        1,954        1,592        362   

Republic of Philippines

    1.00     BNP Paribas S.A.        12/20/21        USD        205        1,089        592        497   

Republic of Philippines

    1.00     Citibank N.A.        12/20/21        USD        196        1,043        473        570   

Republic of Philippines

    1.00     JPMorgan Chase Bank N.A.        12/20/21        USD        989        5,264        2,387        2,877   

Republic of Philippines

    1.00     Barclays Bank PLC        12/20/21        USD        2,791        14,847        10,763        4,084   

Republic of Philippines

    1.00     Bank of America N.A.        12/20/21        USD        4,640        24,686        40,150        (15,464

Republic of Philippines

    1.00     Citibank N.A.        12/20/21        USD        659        3,504        5,070        (1,566

Republic of Philippines

    1.00     Bank of America N.A.        12/20/21        USD        910        4,839        9,149        (4,310

Republic of South Africa

    1.00     HSBC Bank PLC        12/20/21        USD        175        12,339        13,351        (1,012

Republic of South Africa

    1.00     BNP Paribas S.A.        12/20/21        USD        2,221        156,564        169,647        (13,083

Republic of South Africa

    1.00     Barclays Bank PLC        12/20/21        USD        3,555        250,657        267,102        (16,445

Republic of South Africa

    1.00     JPMorgan Chase Bank N.A.        12/20/21        USD        1,500        105,763        113,355        (7,592

Republic of South Africa

    1.00     Bank of America N.A.        12/20/21        USD        590        41,600        44,586        (2,986

Republic of South Africa

    1.00     Goldman Sachs International        12/20/21        USD        364        25,630        27,312        (1,682

Republic of South Africa

    1.00     Citibank N.A.        12/20/21        USD        1,445        101,885        109,198        (7,313

Total

            $ 753,883      $ 864,014      $ (110,131
           

 

 

 

 

See Notes to Financial Statements.

 

                
66    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

 

OTC Credit Default Swaps — Sell Protection                                      
Issuer/Index   Receive
Fixed
Rate
    Counterparty   Expiration
Date
    Credit
Rating1
    Notional
Amount
(000)2
    Value     Premiums
Paid
(Received)
   

Unrealized
Appreciation

(Depreciation)

 

Dow Jones CDX North America Investment Grade, Series 9

    5.00   Bank of America N.A.     12/20/17        BBB        USD        10,000      $ 568,836      $ (200,830   $ 769,666   

United Mexican States

    1.00   Bank of America N.A.     6/20/20        BBB+        USD        604        (1,786     (4,505     2,719   

United Mexican States

    1.00   Citibank N.A.     9/20/20        BBB+        USD        604        (3,389     (5,638     2,249   

Markit CMBX North America, Series 7

    3.00   Barclays Bank PLC     1/17/47        BBB-        USD        10,000        (845,102     (543,547     (301,555

Markit CMBX North America, Series 7

    3.00   Barclays Bank PLC     1/17/47        BBB-        USD        5,000        (422,551     (271,392     (151,159

Markit CMBX North America, Series 7

    3.00   Barclays Bank PLC     1/17/47        BBB-        USD        10,000        (845,102     (263,216     (581,886

Markit CMBX North America, Series 8

    2.00   Morgan Stanley Capital
Services LLC
    10/17/57        A        USD        5,000        (370,480     (580,295     209,815   

Markit CMBX North America, Series 8

    3.00   Goldman Sachs International     10/17/57        BBB-        USD        10,000        (1,685,119     (1,108,483     (576,636

Markit CMBX North America, Series 9

    2.00   Credit Suisse International     9/17/58        A        USD        2,500        (195,350     (358,277     162,927   

Markit CMBX North America, Series 9

    2.00   Morgan Stanley Capital
Services LLC
    9/17/58        A        USD        2,500        (195,350     (354,817     159,467   

Markit CMBX North America, Series 9

    2.00   Morgan Stanley Capital
Services LLC
    9/17/58        A        USD        5,000        (390,701     (703,027     312,326   

Markit CMBX North America, Series 9

    3.00   Morgan Stanley Capital
Services LLC
    9/17/58        BBB-        USD        2,500        (395,621     (573,450     177,829   

Total

  

  $ (4,781,715   $ (4,967,477   $ 185,762   
             

 

 

 

1   Using Standard & Poor’s rating of the issuer.

      

2   The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

      

 

OTC Interest Rate Swaps                                    
Fixed Rate     Floating
Rate
  Counterparty   Effective
Date
    Expiration
Date
    Notional
Amount
(000)
    Value     Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 
  12.85 %1    1-day BZDIOVER   JPMorgan Chase Bank N.A.     N/A        7/03/17      BRL     582      $ 230             $ 230   
  12.85 %1    1-day BZDIOVER   JPMorgan Chase Bank N.A.     N/A        7/03/17      BRL     14,565        2,836               2,836   
  12.93 %1    1-day BZDIOVER   Citibank N.A.     N/A        7/03/17      BRL     12,391        3,480               3,480   
  13.11 %1    1-day BZDIOVER   Citibank N.A.     N/A        7/03/17      BRL     7,438        151               151   
  13.13 %2    1-day BZDIOVER   Bank of America N.A.     N/A        7/03/17      BRL     6,198        (156            (156
  1.69 %1    3-Month KRWCD   Deutsche Bank AG     N/A        11/10/17      KRW     911,735        (3,180            (3,180
  1.92 %1    3-Month KRWCD   Deutsche Bank AG     N/A        11/10/17      KRW     911,735        5,458               5,458   
  12.08 %2    1-day BZDIOVER   Bank of America N.A.     N/A        1/02/18      BRL     11,358        4,899               4,899   
  12.10 %2    1-day BZDIOVER   Bank of America N.A.     N/A        1/02/18      BRL     14,127        5,154               5,154   
  12.29 %1    1-Day BZOVER   Bank of America N.A.     N/A        1/02/19      BRL     2,672        9,047               9,047   
  12.31 %1    1-Day BZOVER   JPMorgan Chase Bank N.A.     N/A        1/02/19      BRL     2,574        9,952               9,952   
  12.46 %1    1-Day BZOVER   Bank of America N.A.     N/A        1/02/19      BRL     2,677        12,258               12,258   
  12.52 %1    1-Day BZOVER   JPMorgan Chase Bank N.A.     N/A        1/02/19      BRL     2,676        13,497               13,497   
  10.98 %1    1-day BZDIOVER   JPMorgan Chase Bank N.A.     N/A        1/02/20      BRL     1,483        (3,038            (3,038
  11.00 %1    1-day BZDIOVER   Bank of America N.A.     N/A        1/02/20      BRL     2,965        (5,447            (5,447
  11.02 %1    1-day BZDIOVER   Citibank N.A.     N/A        1/02/20      BRL     1,580        (2,671            (2,671
  11.03 %1    1-day BZDIOVER   Citibank N.A.     N/A        1/02/20      BRL     2,814        (4,415            (4,415
  11.04 %1    1-day BZDIOVER   JPMorgan Chase Bank N.A.     N/A        1/02/20      BRL     2,861        (4,325            (4,325
  11.10 %1    1-day BZDIOVER   Goldman Sachs International     N/A        1/02/20      BRL     5,233        (6,757            (6,757
  11.10 %1    1-day BZDIOVER   Goldman Sachs International     N/A        1/02/20      BRL     1,435        (1,827            (1,827
  11.10 %1    1-day BZDIOVER   Goldman Sachs International     N/A        1/02/20      BRL     3,797        (4,471            (4,471
  11.38 %1    1-day BZDIOVER   JPMorgan Chase Bank N.A.     N/A        1/02/20      BRL     335        363               363   
  11.65 %1    1-day BZDIOVER   Citibank N.A.     N/A        1/02/20      BRL     4,190        13,563               13,563   
  11.68 %1    1-day BZDIOVER   Bank of America N.A.     N/A        1/02/20      BRL     5,233        18,435               18,435   
  11.88 %1    1-day BZDIOVER   JPMorgan Chase Bank N.A.     N/A        1/02/20      BRL     4,011        22,150               22,150   
  11.93 %1    1-day BZDIOVER   JPMorgan Chase Bank N.A.     N/A        1/02/20      BRL     4,078        24,467               24,467   
  2.75 %1    7-day China Fixing Repo Rates   Bank of America N.A.     N/A        5/12/21      CNY     2,270        (2,547            (2,547
  2.75 %1    7-day China Fixing Repo Rates   Bank of America N.A.     N/A        5/12/21      CNY     1,135        (1,273            (1,273
  2.75 %1    7-day China Fixing Repo Rates   Bank of America N.A.     N/A        5/12/21      CNY     2,270        (2,547            (2,547
  2.75 %1    7-day China Fixing Repo Rates   Bank of America N.A.     N/A        5/12/21      CNY     1,816        (2,037            (2,037

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    67


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

OTC Interest Rate Swaps (concluded)                                      
Fixed Rate     Floating
Rate
  Counterparty   Effective
Date
    Expiration
Date
    Notional
Amount
(000)
    Value     Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 
  10.83 %1    1-day BZDIOVER   JPMorgan Chase Bank N.A.     N/A        1/02/23        BRL        2,376      $ (11,180          $ (11,180
  10.83 %1    1-day BZDIOVER   Bank of America N.A.     N/A        1/02/23        BRL        2,263        (10,697            (10,697
  10.85 %1    1-day BZDIOVER   Citibank N.A.     N/A        1/02/23        BRL        2,445        (10,753            (10,753
  10.86 %1    1-day BZDIOVER   Bank of America N.A.     N/A        1/02/23        BRL        2,186        (9,203            (9,203
  10.96 %1    1-day BZDIOVER   Citibank N.A.     N/A        1/02/23        BRL        2,272        (5,328            (5,328
  11.04 %1    1-day BZDIOVER   JPMorgan Chase Bank N.A.     N/A        1/02/23        BRL        2,170        (2,135            (2,135
  6.32 %1    1-Month MXIBTIIE   Morgan Stanley Capital Services LLC     N/A        7/17/25        MXN        5,813        (2,294   $ (23     (2,271
  6.33 %1    1-Month MXIBTIIE   Citibank N.A.     N/A        7/17/25        MXN        2,897        (1,091     (15     (1,076
  6.32 %1    1-Month MXIBTIIE   Goldman Sachs International     N/A        8/06/25        MXN        8,688        (3,389     (40     (3,349
  6.31 %1    1-Month MXIBTIIE   Deutsche Bank AG     N/A        8/11/25        MXN        6,393        2,896               2,896   
  6.31 %2    1-Month MXIBTIIE   Bank of America N.A.     N/A        8/11/25        MXN        1,723        763               763   
  6.31 %2    1-Month MXIBTIIE   Bank of America N.A.     8/24/15        8/11/25        MXN        1,723        763               763   
  6.26 %2    1-Month MXIBTIIE   Bank of America N.A.     6/27/16        6/15/26        MXN        38,640        (34,335            (34,335
  Total                  $ 15,266      $ (78   $ 15,344   
             

 

 

 

     

1   Trust pays the floating rate and receives the fixed rate.

      

       

     

2   Trust pays the fixed rate and receives the floating rate.

      

       

 

Transactions in Options Written for the Year Ended October 31, 2016

 

    Calls  
          Notional (000)  
     Contracts     AUD     EUR     GBP     KRW     NOK     NZD     USD    

Premiums

Received

        

Outstanding options, beginning of year

                                911,735                      849      $ 10,853     

Options written

    69        80,005        55,985        11,205               89,855        25,170        42,408        1,736,954     

Options expired

           (22,495     (12,880                                 (16,771     (497,417  

Options exercised

                  (380            (911,735            (25,170     (808     (133,576  

Options closed

    (69     (14,280     (6,495                                 (209     (105,254  
 

 

 

 

Outstanding options, end of year

           43,230        36,230        11,205               89,855               25,469      $ 1,011,560     
 

 

 

 

 

    Puts  
          Notional (000)  
     Contracts     AUD     CAD     EUR     GBP     NZD     USD    

Premiums

Received

        

Outstanding options, beginning of year

                                       22,340        564      $ 101,656     

Options written

    35        13,215        27,810        64,186        43,086        95,470        43,851        1,814,171     

Options expired

                  (13,490     (28,644     (21,260     (70,290     (18,016     (857,307  

Options exercised

                         (3,632     (596            (8,674     (98,092  

Options closed

    (35     (13,215            (31,910            (47,520     (14,985     (522,883  
 

 

 

 

Outstanding options, end of year

                  14,320               21,230               2,740      $ 437,545     
 

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments          Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Futures contracts

    Net unrealized appreciation1                                  $ 379,057             $ 379,057   

Forward foreign currency exchange contracts

   
 
 
Unrealized appreciation on forward
foreign currency exchange
contracts
  
  
  
                       $ 3,602,572                      3,602,572   

Options purchased

    Investments at value — unaffiliated2;                             1,973,849                      1,973,849   

Swaps — centrally cleared

    Net unrealized appreciation1                                    38,310               38,310   

Swaps — OTC

   
 
Unrealized appreciation on OTC
swaps; Swap premiums paid
  
  
         $ 2,742,542                      150,362               2,892,904   
   

 

 

 

Total

           $ 2,742,542             $ 5,576,421      $ 567,729             $ 8,886,692   
   

 

 

 

 

See Notes to Financial Statements.

 

                
68    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Liabilities — Derivative Financial Instruments          Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Futures contracts

    Net unrealized depreciation1                                  $ 41,947             $ 41,947   

Forward foreign currency exchange contracts

   
 
 
Unrealized depreciation on
forward foreign currency
exchange contracts
  
  
  
                       $ 1,104,327                      1,104,327   

Options written

    Options written at value;                             2,076,207                      2,076,207   

Swaps — centrally cleared

    Net unrealized deppreciation1                                    3,711               3,711   

Swaps — OTC

   
 
Unrealized depreciation on OTC
swaps; Swap premiums received
  
  
         $ 6,770,374                      135,096               6,905,470   
   

 

 

 

Total

           $ 6,770,374             $ 3,180,534      $ 180,754             $ 10,131,662   
   

 

 

 

1    Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

        

2    Includes options purchased at value as reported in the Schedule of Investments.

       

For the year ended October 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total         

Futures contracts

                              $ (1,427,490          $ (1,427,490  

Forward foreign currency exchange contracts

                       $ 7,020,834                      7,020,834     

Options purchased1

                         (1,927,041     (11,487            (1,938,528  

Options written

                         1,547,563        (8,630            1,538,933     

Swaps

         $ 1,241,120                      268,710               1,509,830     
 

 

 

 

Total

         $ 1,241,120             $ 6,641,356      $ (1,178,897          $ 6,703,579     
 

 

 

 

1    Options purchased are included in net realized gain (loss) from investments.

       

 
               
Net Change in Unrealized Appreciation (Depreciation) on:                                                        

Futures contracts

                              $ 262,097             $ 262,097     

Forward foreign currency exchange contracts

                       $ 2,796,905                      2,796,905     

Options purchased1

                         212,793        (3,025            209,768     

Options written

                         (634,443     502               (633,941  

Swaps

         $ (1,340,554                   40,321               (1,300,233  
 

 

 

 

Total

         $ (1,340,554          $ 2,375,255      $ 299,895             $ 1,334,596     
 

 

 

 

1    Options purchased are included in net change in unrealized appreciation (depreciation) on investments.

       

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:  

Average notional value of contracts — long

  $ 3,140,719   

Average notional value of contracts — short

  $ 52,290,909   
Forward foreign currency exchange contracts:  

Average amounts purchased — in USD

  $ 137,977,904   

Average amounts sold — in USD

  $ 65,367,545   
Options:  

Average value of option contracts purchased

  $ 846,569   

Average value of option contracts written

  $ 742,650   

Average notional value of swaption contracts purchased

  $ 799,732 1 

Average notional value of swaption contracts written

  $ 799,732 1 
Credit default swaps:  

Average notional value — buy protection

  $ 14,105,305   

Average notional value — sell protection

  $ 59,294,496   
Interest rate swaps:  

Average notional value — pays fixed rate

  $ 7,830,084   

Average notional value — receives fixed rate

  $ 15,545,177   

1    Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

       

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    69


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

     Assets     Liabilities  

Futures contracts

  $ 6,500      $ 81,792   

Forward foreign currency exchange contracts

    3,602,572        1,104,327   

Options

    1,973,849 1      2,076,207   

Swaps — centrally cleared

           2,031   

Swaps — OTC2

    2,892,904        6,905,470   
 

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

  $ 8,475,825      $ 10,169,827   
 

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

    (6,500     (83,823
 

 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 8,469,325      $ 10,086,004   
 

 

 

 

1    Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedules of Investments.

        

2    Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities.

       

The following tables present the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Trust:

 

Counterparty   Derivative Assets
Subject to an MNA
by Counterparty
    Derivatives Available
for Offset1
    Non-cash
Collateral
Received
    Cash
Collateral
Received2
    Net Amount of
Derivative Assets3,6
        

Bank of America N.A.

  $ 1,001,392      $ (363,375          $ (630,000   $ 8,017     

Barclays Bank PLC

    326,058        (326,058                       

BNP Paribas S.A.

    437,389        (355,766                   81,623     

Citibank N.A.

    2,767,652        (848,288                   1,919,364     

Credit Suisse International

    163,657        (163,657                       

Deutsche Bank AG

    419,837        (341,024            (10,000     68,813     

Goldman Sachs International

    185,765        (185,765                       

HSBC Bank PLC

    910,553        (893,109                   17,444     

JPMorgan Chase Bank N.A.

    400,899        (378,430                   22,469     

Morgan Stanley & Co. International PLC

    352,497        (280,494                   72,003     

Morgan Stanley Capital Services LLC

    859,437        (859,437                       

Nomura International PLC

    61,260        (5,093                   56,167     

Royal Bank of Scotland PLC

    453,793        (51,445                   402,348     

UBS AG

    129,136        (29,314                   99,822     
 

 

 

 

Total

  $ 8,469,325      $ (5,081,255          $ (640,000   $ 2,748,070     
 

 

 

 
           
Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
    Derivatives Available
for Offset1
    Non-cash
Collateral
Pledged
    Cash
Collateral
Pledged4
    Net Amount of
Derivative Liabilities5
        

Bank of America N.A.

  $ 363,375      $ (363,375                       

Barclays Bank PLC

    2,129,548        (326,058          $ (1,803,490         

BNP Paribas S.A.

    355,766        (355,766                       

Citibank N.A.

    848,288        (848,288                       

Credit Suisse International

    367,680        (163,657            (204,023         

Deutsche Bank AG

    341,024        (341,024                       

Goldman Sachs International

    1,806,480        (185,765            (1,620,715         

HSBC Bank PLC

    893,109        (893,109                       

JPMorgan Chase Bank N.A.

    378,430        (378,430                       

Morgan Stanley & Co. International PLC

    280,494        (280,494                       

Morgan Stanley Capital Services LLC

    2,213,883        (859,437            (1,354,446         

Nomura International PLC.

    5,093        (5,093                       

Royal Bank of Canada

    7,654                           $ 7,654     

Royal Bank of Scotland PLC

    51,445        (51,445                       

Toronto-Dominion Bank

    14,421                             14,421     

UBS AG

    29,314        (29,314                       
 

 

 

 

Total

  $ 10,086,004      $ (5,081,255          $ (4,982,674   $ 22,075     
 

 

 

 

1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

       

 

2    Excess of collateral received from the individual counterparty is not shown for financial reporting purposes

       

 

3    Net amount represents the net amount receivable from the counterparty in the event of default.

       

 

4    Excess of collateral pledged from the individual counterparty is not shown for financial reporting purposes.

       

 

5    Net amount represents the net amount payable due to the counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

        

 

6    Net amount may also include forward foreign currency exchange contracts and currency options that are not required to be collateralized.

       

 

 

See Notes to Financial Statements.

 

                
70    ANNUAL REPORT    OCTOBER 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 
Long-Term Investments:                 

Asset-Backed Securities

            $ 203,490,443         $ 17,206,974         $ 220,697,417   

Common Stocks

  $ 2,621,430           103,935           561           2,725,926   

Corporate Bonds

              464,584,016                     464,584,016   

Floating Rate Loan Interests

              23,793,299           27,486,435           51,279,734   

Foreign Agency Obligations

              50,720,779                     50,720,779   

Non-Agency Mortgage-Backed Securities

              185,244,747           24,015,689           209,260,436   

Preferred Securities

    16,036,894           116,921,644           1,631,265           134,589,803   

U.S. Treasury Obligations

              3,638,721                     3,638,721   
Short-Term Securities:                 

Money Market Funds

    6,322,410                               6,322,410   
Options Purchased:                 

Foreign currency exchange contracts

              1,973,849                     1,973,849   

Unfunded Floating Rate Loan Interests1

              164,769                     164,769   
 

 

 

 

Total

  $ 24,980,734         $ 1,050,636,202         $ 70,340,924         $ 1,145,957,860   
 

 

 

 
                
Derivative Financial Instruments2                                         

Assets:

                

Credit contracts

            $ 1,810,219                   $ 1,810,219   

Foreign currency exchange contracts

              3,602,572                     3,602,572   

Interest rate contracts

  $ 379,057           188,672                     567,729   

Liabilities:

                

Credit contracts

              (1,734,588                  (1,734,588

Foreign currency exchange contracts

              (3,180,534                  (3,180,534

Interest rate contracts

    (41,947        (138,729                  (180,676
 

 

 

 

Total

  $ 337,110         $ 547,612                   $ 884,722   
 

 

 

 

1    Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

       

2    Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts, and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

        

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash

  $ 681,520                             $ 681,520   

Foreign currency at value

    6,001,976                               6,001,976   

Cash pledged:

                

Collateral — OTC derivatives

    5,280,000                               5,280,000   

Centrally cleared swaps

    57,590                               57,590   

Futures contracts

    647,640                               647,640   

Liabilities:

                

Cash received:

                

Collateral — reverse repurchase agreements

            $ (3,204,000                  (3,204,000

Collateral — OTC derivatives

              (640,000                  (640,000

Reverse repurchase agreements

              (427,328,896                  (427,328,896
 

 

 

 

Total

  $ 12,668,726         $ (431,172,896                $ (418,504,170
 

 

 

 

During the year ended October 31, 2016, there were no transfers between Level 1 and Level 2.

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    71


Consolidated Schedule of Investments (concluded)

  

BlackRock Multi-Sector Income Trust (BIT)

 

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Asset-Backed
Securities
    Common
Stocks
    Corporate
Bonds
    Floating
Rate Loan
Interests
   

Non-Agency

Mortgage-
Backed

Securities

   

Preferred

Securities

   

Total

 

Assets:

             

Opening balance, as of October 31, 2015

  $ 65,179,443             $ 515,294      $ 41,246,750      $ 26,217,945      $ 1,833,459      $ 134,992,891   

Transfers into Level 31

    3,957,160                             7,499,925               11,457,085   

Transfers out of Level 32

    (21,386,587            (515,294                          (21,901,881

Accrued discounts/premiums

    (1,391,078                   (191,957     255,546               (1,327,489

Net realized gain (loss)

    (9,121,226                   (306,433     440,545               (8,987,114

Net change in unrealized appreciation (depreciation)3,4

    2,907,659      $ (8,074            (7,042,953     252,704        (202,194     (4,092,858

Purchases

    6,960,635        8,635               562,258                      7,531,528   

Sales

    (29,899,032                   (6,781,230     (10,650,976            (47,331,238
 

 

 

 

Closing Balance, as of October 31, 2016

  $ 17,206,974      $ 561             $ 27,486,435      $ 24,015,689      $ 1,631,265      $ 70,340,924   
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at October 31, 20164

  $ 350,939      $ (8,074          $ (7,085,999   $ 216,367      $ (202,194   $ (6,728,961
 

 

 

 

1    As of October 31, 2015, the Trust used observable inputs in determining the value of certain investments. As of October 31, 2016, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

         

2    As of October 31, 2015, the Trust used significant unobservable inputs in determining the value of certain investments. As of October 31, 2016, the Trust used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

         

3    Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statements of Operations.

       

4    Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held October 31, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

        

The Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.

 

See Notes to Financial Statements.

 

                
72    ANNUAL REPORT    OCTOBER 31, 2016   


Statements of Assets and Liabilities     

 

October 31, 2016   BlackRock
Credit Allocation
Income Trust
(BTZ)
    BlackRock
Floating Rate
Income Trust
(BGT)
    BlackRock
Multi-Sector
Income Trust
(BIT)1
 
     
Assets   

Investments at value — unaffiliated2

  $ 2,188,855,540      $ 506,657,996      $ 1,139,470,681   

Investments at value — affiliated3

    9,872,272        8,726,574        6,322,410   

Cash

           1,061,042        681,520   
Cash pledged:      

Collateral — OTC derivatives

    80,000               5,280,000   

Futures contracts

    1,776,000               647,640   

Collateral — reverse repurchase agreements

    1,521,000                 

Centrally cleared swaps

                  57,590   

Foreign currency at value4

    17,051        37,360        6,001,976   

Receivables:

  

Interest — unaffiliated

    27,180,292        1,498,899        10,517,476   

Investments sold — unaffiliated

    17,872,081        5,909,508        7,979,194   

Due from broker — swap collateral

    520,000                 

Dividends — unaffiliated

    55,842               135,787   

Variation margin on futures contracts

    52,813               6,500   

Dividends — affiliated

    3,357        107        2,866   

Options written

                  2,900   

Reverse repurchase agreements

                  5,866,901   

Principal paydowns

                  32   

Swaps

                  12,941   

Other

    217,087        29,246        48,877   

Swap premiums paid

    270,797               932,323   

Unrealized appreciation on:

  

Forward foreign currency exchange contracts

           106,262        3,602,572   

OTC derivatives

    711,381        20,215        1,960,581   

Unfunded floating rate loan interests

           3,211        164,769   

Prepaid expenses

    10,238        2,294        4,061   
 

 

 

 

Total assets

    2,249,015,751        524,052,714        1,189,699,597   
 

 

 

 
     
Liabilities   

Bank overdraft

    132,344                 
Cash received:      

Collateral — reverse repurchase agreements

    3,632,000               3,204,000   

Collateral — OTC derivatives

    2,330,000               640,000   

Options written at value5

    678,865               2,076,207   

Reverse repurchase agreements

    638,327,195               427,328,896   

Payables:

  

Investments purchased — unaffiliated

    20,430,459        34,145,544        13,845,528   

Investment advisory fees

    1,205,715        303,257        782,631   

Officer’s and Trustees’ fees

    691,361        204,987        66,410   

Other accrued expenses

    484,671        270,079        440,035   

Variation margin on futures contracts

    301,265               81,792   

Income dividends

    294,199        28,453        178,001   

Bank borrowings

           148,000,000          

Interest expense

           146,791          

Reverse repurchase agreements

                  6,639,393   

Options written

                  23,630   

Variation margin on centrally cleared swaps

                  2,031   

Swaps

                  201   

Swap premiums received

    570,926               5,035,864   

Unrealized depreciation on:

  

Forward foreign currency exchange contracts

           9,509        1,104,327   

OTC derivatives

    766,394               1,869,606   
 

 

 

 

Total liabilities

    669,845,394        183,108,620        463,318,552   
 

 

 

 

Net Assets

  $ 1,579,170,357      $ 340,944,094      $ 726,381,045   
 

 

 

 
     
Net Assets Consist of   

Paid-in capital6,7,8

  $ 1,700,305,287      $ 413,240,053      $ 727,781,455   

Undistributed net investment income

    1,150,620        2,364,266        2,287,908   

Accumulated net realized loss

    (246,999,222     (74,803,749     (7,534,658

Net unrealized appreciation

    124,713,672        143,524        3,846,340   
 

 

 

 

Net Assets

  $ 1,579,170,357      $ 340,944,094      $ 726,381,045   
 

 

 

 

Net asset value

  $ 14.61      $ 14.41      $ 18.91   
 

 

 

 

1    Consolidated Statement of Assets and Liabilities

     

2    Investments at cost — unaffiliated

  $ 2,068,373,404      $ 506,648,389      $ 1,138,133,713   

3    Investments at cost — affiliated

  $ 9,872,272      $ 8,721,635      $ 6,322,410   

4    Foreign currency at cost

  $ 17,334      $ 37,188      $ 5,983,902   

5    Premiums received

  $ 951,118             $ 1,449,105   

6    Par value

  $ 0.001      $ 0.001      $ 0.001   

7    Shares outstanding

    108,088,170        23,663,232        38,421,624   

8    Shares authorized

    unlimited        unlimited        unlimited   

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    OCTOBER 31, 2016    73


Statements of Operations     

 

Year Ended October 31, 2016   BlackRock
Credit Allocation
Income Trust
(BTZ)
    BlackRock
Floating Rate
Income Trust
(BGT)
    BlackRock
Multi-Sector
Income Trust
(BIT)1
 
     
Investment Income   

Interest — unaffiliated

  $ 108,017,268      $ 22,629,318      $ 75,595,096   

Dividends — unaffiliated

    5,174,042        3,699        3,778,462   

Other income — unaffiliated

    340,445        150,771        51,733   

Dividends — affiliated

    55,955        19,836        87,700   

Other income — affiliated

                  23,247   

Foreign taxes withheld

    (998              
 

 

 

 

Total Investment Income

    113,586,712        22,803,624        79,536,238   
 

 

 

 
     
Expenses   

Investment advisory

    13,593,941        3,370,992        9,313,154   

Officer and Trustees

    207,594        48,694        74,114   

Accounting services

    206,163        50,528        136,408   

Transfer agent

    149,963        39,439        55,277   

Professional

    142,728        126,339        178,912   

Custodian

    120,570        143,524        159,732   

Printing

    43,106        18,313        31,275   

Registration

    38,114        8,568        13,547   

Miscellaneous

    130,023        38,384        103,200   
 

 

 

 

Total expenses excluding interest expense

    14,632,202        3,844,781        10,065,619   

Interest expense

    3,758,384        1,405,115        4,401,025   
 

 

 

 

Total expenses

    18,390,586        5,249,896        14,466,644   
Less:      

Fees waived by the Manager

    (10,828     (2,207     (17,578

Fees paid indirectly

    (1,660            (1,282
 

 

 

 

Total expenses after fees waived and paid indirectly

    18,378,098        5,247,689        14,447,784   
 

 

 

 

Net investment income

    95,208,614        17,555,935        65,088,454   
 

 

 

 
     
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) from:   

Investments — unaffiliated

    (24,826,419     (5,631,836     (23,651,903

Litigation proceeds

                  7,473,541   

Futures contracts

    2,037,293               (1,427,490

Foreign currency transactions

    (115     304,504        6,363,957   

Options written

    2,227,280               1,538,933   

Swaps

    (16,337,987     (16,743     1,509,830   

Borrowed bonds

                  9,207   
 

 

 

 
    (36,899,948     (5,344,075     (8,183,925
 

 

 

 
Net change in unrealized appreciation (depreciation) on:      

Investments

    53,952,691        9,733,150        4,732,420   

Investments — affiliated

           4,939          

Futures contracts

    6,831,632               262,097   

Foreign currency translations

    30        81,742        2,688,611   

Options written

    (767,707            (633,941

Swaps

    11,649,789        20,215        (1,300,233

Unfunded floating rate loan interests

           3,211        164,769   
 

 

 

 
    71,666,435        9,843,257        5,913,723   
 

 

 

 

Net realized and unrealized gain (loss)

    34,766,487        4,499,182        (2,270,202
 

 

 

 

Net Increase in Net Assets Resulting from Operations

  $ 129,975,101      $ 22,055,117      $ 62,818,252   
 

 

 

 

1    Consolidated Statement of Operations.

       

 

 

See Notes to Financial Statements.      
                
74    ANNUAL REPORT    OCTOBER 31, 2016   


Statements of Changes in Net Assets     

 

    BlackRock Credit Allocation Income
Trust (BTZ)
 
    Year Ended October 31,  
Increase (Decrease) in Net Assets:   2016     2015  
   
Operations   

Net investment income

  $ 95,208,614      $ 103,314,914   

Net realized loss

    (36,899,948     (15,668,157

Net change in unrealized appreciation (depreciation)

    71,666,435        (94,552,781
 

 

 

 

Net increase (decrease) in net assets resulting from operations

    129,975,101        (6,906,024
 

 

 

 
   
Distributions to Shareholders1                

From net investment income

    (93,623,404     (97,419,415

From return of capital

    (6,304,109     (6,993,757
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (99,927,513     (104,413,172
 

 

 

 
   
Net Assets                

Total increase (decrease) in net assets

    30,047,588        (111,319,196

Beginning of year

    1,549,122,769        1,660,441,965   
 

 

 

 

End of year

  $ 1,579,170,357      $ 1,549,122,769   
 

 

 

 

Undistributed net investment income, end of year

  $ 1,150,620      $ 1,190,408   
 

 

 

 

 

  1  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

    BlackRock Floating Rate Income
Trust (BGT)
 
    Year Ended October 31,  
Increase (Decrease) in Net Assets:   2016     20151  
   
Operations   

Net investment income

  $ 17,555,935      $ 18,385,851   

Net realized loss

    (5,344,075     (6,311,073

Net change in unrealized appreciation (depreciation)

    9,843,257        (2,117,191
 

 

 

 

Net increase in net assets resulting from operations

    22,055,117        9,957,587   
 

 

 

 
   
Distributions to Shareholders2                

From net investment income

    (16,554,797     (19,181,416
 

 

 

 
   
Net Assets                

Total increase (decrease) in net assets

    5,500,320        (9,223,829

Beginning of year

    335,443,774        344,667,603   
 

 

 

 

End of year

  $ 340,944,094      $ 335,443,774   
 

 

 

 

Undistributed net investment income, end of year

  $ 2,364,266      $ 82,859   
 

 

 

 

 

  1  

Consolidated Statement of Changes in Net Assets

 

  2  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    OCTOBER 31, 2016    75


Statements of Changes in Net Assets    BlackRock Multi-Sector Income Trust (BIT)

 

    Year Ended October 31,  
Increase (Decrease) in Net Assets:   20161     2015  
   
Operations   

Net investment income

  $ 65,088,454      $ 59,489,606   

Net realized loss

    (8,183,925     (13,674,058

Net change in unrealized appreciation (depreciation)

    5,913,723        (25,710,530
 

 

 

 

Net increase in net assets resulting from operations

    62,818,252        20,105,018   
 

 

 

 
   
Distributions to Shareholders2                

From net investment income

    (62,868,881     (54,109,102

From net realized gain

           (2,923,957
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (62,868,881     (57,033,059
 

 

 

 
   
Net Assets                

Total decrease in net assets

    (50,629     (36,928,041

Beginning of year

    726,431,674        763,359,715   
 

 

 

 

End of year

  $ 726,381,045      $ 726,431,674   
 

 

 

 

Undistributed (distributions in excess of) net investment income, end of year

  $ 2,287,908      $ (695,116
 

 

 

 

 

  1  

Consolidated Statement of Changes in Net Assets.

 

  2  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
76    ANNUAL REPORT    OCTOBER 31, 2016   


Statements of Cash Flows     

 

Year Ended October 31, 2016  

BlackRock

Credit
Allocation

Income Trust

(BTZ)

   

BlackRock

Floating Rate

Income Trust

(BGT)

   

BlackRock

Multi-Sector

Income Trust

(BIT)1

 
     
Cash Provided by (Used for) Operating Activities   

Net increase in net assets resulting from operations

  $ 129,975,101      $ 22,055,117      $ 62,818,252   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

     

Proceeds from sales of long term investments and principal paydowns

    651,180,393        220,995,988        678,102,000   

Purchases of long term investments

    (621,794,893     (259,747,508     (613,244,479

Net purchases of short-term securities

    (9,262,168     (6,181,476     (181,878

Amortization of premium and accretion of discount on investments

    3,837,112        (690,758     (17,473,558

Premiums paid on closing options written

    (2,456,568            (430,648

Premiums received from options written

    4,573,779               3,548,225   

Net realized loss on investments, options written and borrowed bonds

    22,682,233        5,758,685        21,768,568   

Net unrealized loss on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests

    (52,723,054     (9,843,257     (5,616,465

(Increase) Decrease in Assets:

  

Cash pledged:

     

Collateral — OTC derivatives

    (80,000            (5,280,000

Collateral — reverse repurchase agreements

    1,183,000               1,881,755   

Futures contracts

    2,526,780               133,760   

Centrally cleared swaps

    9,035,930               (55,990

Receivables:

     

Dividends — affiliated

    (3,357     (107     (2,866

Dividends — unaffiliated

    5,430                 

Interest

    2,159,457        200,830        192,821   

Swaps

    51,769               89,734   

Variation margin on futures contracts

    662,395               7,542   

Variation margin on centrally cleared swaps

                  299   

Due from broker — swap collateral

    (520,000              

Other

    (217,087     (29,246     (48,877

Swap premiums paid

    (7,191            (655,101

Prepaid expenses

    (3,707     (852     (1,741

Increase (Decrease) in Liabilities:

  

Cash received:

     

Collateral — reverse repurchase agreements

    3,632,000               3,204,000   

Collateral — OTC derivatives

    1,330,000               (20,000

Payables:

   

Swaps

    (126,776            (68,212

Interest expense

    540,048        60,505        500,757   

Investment advisory fees

    33,069        21,090        (55,978

Officer’s and Trustees’ fees

    81,614        16,506        28,440   

Other accrued expenses

    218,024        83,113        202,239   

Variation margin on futures contracts

    140,948               55,172   

Variation margin on centrally cleared swaps

    (498,178            1,844   

Swap premiums received

    (56,384            2,611,330   
 

 

 

 

Net cash provided by (used for) operating activities

    146,099,719        (27,301,370     132,010,945   
 

 

 

 
     
Cash Provided by (Used for) Financing Activities   

Cash dividends paid to Common Shareholders

    (99,992,788     (16,554,423     (62,972,222

Payments on bank borrowings

           (127,000,000       

Proceeds from bank borrowings

           171,000,000          

Increase in bank overdraft

    132,344                 

Net borrowing of reverse repurchase agreements

    (47,928,794            (65,527,739
 

 

 

 

Net cash provided by (used for) financing activities

    (147,789,238     27,445,577        (128,499,961
 

 

 

 
     
Cash Impact from Foreign Exchange Fluctuations   

Cash impact from foreign exchange fluctuations

  $ 50      $ 231      $ 22,838   
 

 

 

 
     
Cash and Foreign Currency   

Net increase (decrease) in cash and foreign currency at value

    (1,689,469     144,438        3,533,822   

Cash and foreign currency at value at beginning of year

    1,706,520        953,964        3,149,674   
 

 

 

 

Cash and foreign currency at value at end of year

  $ 17,051      $ 1,098,402      $ 6,683,496   
 

 

 

 
     
Supplemental Disclosure of Cash Flow Information   

Cash paid during the year for interest expense

  $ 3,218,336      $ $1,344,610      $ 3,900,268   
 

 

 

 

 

  1   

Consolidated Statement of Cash Flows.

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    OCTOBER 31, 2016    77


Financial Highlights    BlackRock Credit Allocation Income Trust (BTZ)

 

    Year Ended October 31,  
    2016     2015     2014     2013     2012  
         
Per Share Operating Performance                                        

Net asset value, beginning of year

  $ 14.33      $ 15.36      $ 14.99      $ 15.37      $ 13.94   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income1

    0.88        0.96        0.99        0.97        0.94   

Net realized and unrealized gain (loss)

    0.32        (1.02     0.35        (0.37     1.43   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    1.20        (0.06     1.34        0.60        2.37   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Distributions:2          

From net investment income

    (0.86     (0.91     (0.97     (0.98     (0.94

From return of capital

    (0.06     (0.06                     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.92     (0.97     (0.97     (0.98     (0.94
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 14.61      $ 14.33      $ 15.36      $ 14.99      $ 15.37   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of year

  $ 12.87      $ 12.53      $ 13.54      $ 12.97      $ 14.23   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
         
Total Return3                                        

Based on net asset value

    9.61%        0.48%        10.11%        4.86%        18.35%   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    10.43%        (0.33)%        12.18%        (2.01)%        26.44%   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
         
Ratios to Average Net Assets                                        

Total expenses

    1.20%        1.16%        1.11%        1.15% 4      1.20% 5 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and paid indirectly

    1.20%        1.15%        1.11%        1.15% 4      1.20% 5 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

    0.95%        0.97%        0.96%        1.00% 4      1.07% 5 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    6.21%        6.40%        6.48%        6.43%        6.53%   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
         
Supplemental Data                                        

Net assets, end of year (000)

  $  1,579,170      $  1,549,123      $  1,660,442      $  1,619,703      $     796,836   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Borrowings outstanding, end of year (000)

  $ 638,327      $ 685,716      $ 759,752      $ 812,028      $ 373,716   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    29%        19%        29%        43%        37%   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  1  

Based on average shares outstanding.

 

  2  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3  

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.

 

  4  

Includes reorganization costs associated with the Trust’s reorganization. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.15%, 1.15% and 1.00%, respectively.

 

  5  

Includes reorganization costs associated with the Trust’s reorganization. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.16%, 1.16% and 1.02%, respectively.

 

 

See Notes to Financial Statements.      
                
78    ANNUAL REPORT    OCTOBER 31, 2016   


Financial Highlights    BlackRock Floating Rate Income Trust (BGT)

 

    Year Ended October 31,  
    2016     20151     20141     20131     20121  
         
Per Share Operating Performance   

Net asset value, beginning of year

  $ 14.18      $ 14.57      $ 14.79      $ 14.52      $ 13.97   
 

 

 

 

Net investment income2

    0.74        0.78        0.84        0.94        0.97   

Net realized and unrealized gain (loss)

    0.19        (0.36     (0.22     0.38        0.68   
 

 

 

 

Net increase from investment operations

    0.93        0.42        0.62        1.32        1.65   
 

 

 

 

Distributions from net investment income3

    (0.70     (0.81     (0.84     (1.05     (1.10
 

 

 

 

Net asset value, end of year

  $ 14.41      $ 14.18      $ 14.57      $ 14.79      $ 14.52   
 

 

 

 

Market price, end of year

  $ 13.58      $ 12.77      $ 13.18      $ 14.12      $ 15.07   
 

 

 

 
         
Total Return4    

Based on net asset value

    7.27%        3.54%        4.60%        9.37%        12.37%   
 

 

 

 

Based on market price

    12.25%        3.08%        (0.89)%        0.60%        25.33%   
 

 

 

 
         
Ratios to Average Net Assets   

Total expenses

    1.58%        1.55%        1.52%        1.57%        1.66%   
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.58%        1.54%        1.52%        1.57%        1.61%   
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense.

    1.16%        1.19%        1.18%        1.19%        1.25% 5 
 

 

 

 

Net investment income

    5.29%        5.37%        5.71%        6.39%        6.87%   
 

 

 

 
         
Supplemental Data   

Net assets, end of year (000)

  $  340,944      $  335,444      $  344,668      $  349,941      $  343,282   
 

 

 

 

Borrowings outstanding, end of year (000)

  $ 148,000      $ 104,000      $ 145,000      $ 152,000      $ 145,000   
 

 

 

 

Asset coverage, end of year per $1,000 of bank borrowings

  $ 3,304      $ 4,225      $ 3,377      $ 3,302      $ 3,367   
 

 

 

 

Portfolio turnover rate

    47%        42%        64%        72%        65%   
 

 

 

 

 

  1  

Consolidated Financial Highlights.

 

  2  

Based on average shares outstanding.

 

  3  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4  

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.

 

  5  

For the year ended October 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.14%.

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    OCTOBER 31, 2016    79


Financial Highlights    BlackRock Multi-Sector Income Trust (BIT)

 

    Year Ended October 31,     Period
February 27, 20132
to October  31,
2013
 
    20161     2015     2014    
       
Per Share Operating Performance   

Net asset value, beginning of period

  $ 18.91      $ 19.87      $ 18.95      $ 19.10 3 
 

 

 

 

Net investment income4

    1.69        1.55        1.62        1.02   

Net realized and unrealized gain (loss)

    (0.05     (1.03     0.70        (0.35
 

 

 

 

Net increase from investment operations

    1.64        0.52        2.32        0.67   
 

 

 

 
Distributions5:        

From net investment income

    (1.64     (1.40     (1.40     (0.70

From net realized gain

           (0.08              

From return of capital

                         (0.12
 

 

 

 

Total distributions

    (1.64     (1.48     (1.40     (0.82
 

 

 

 

Net asset value, end of period

  $ 18.91      $ 18.91 6    $ 19.87      $ 18.95   
 

 

 

 

Market price, end of period

  $ 16.76      $ 16.31      $ 17.79      $ 17.04   
 

 

 

 
       
Total Return7    

Based on net asset value

    10.51% 8      3.87% 6      13.40%        4.04% 9 
 

 

 

 

Based on market price

    13.56%        0.06%        12.91%        (10.66)% 9 
 

 

 

 
       
Ratios to Average Net Assets   

Total expenses

    2.05% 10      2.09% 10      2.04%        1.67% 11 
 

 

 

 

Total expenses after fees waived and paid indirectly

    2.05% 10      2.09% 10      2.04%        1.67% 11 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

    1.43% 10      1.53% 10      1.52%        1.33% 11 
 

 

 

 

Net investment income

    9.24% 10      7.97% 10      8.27%        8.05% 11 
 

 

 

 
       
Supplemental Data   

Net assets, end of period (000)

  $  726,381      $  726,432      $  763,360      $  727,908   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 427,329      $ 510,352      $ 707,294      $ 552,040   
 

 

 

 

Portfolio turnover rate

    52%        21%        29%        77% 12 
 

 

 

 

 

  1   

Consolidated Financial Highlights.

 

  2   

Commencement of operations.

 

  3   

Net asset value, beginning of period, reflects a deduction of $0.90 per share sales charge from the initial offering price of $20.00 per share.

 

  4   

Based on average shares outstanding.

 

  5   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  6   

For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value (“NAV”) per share and total return performance based on net asset value presented herein are different than the information previously published on October 31, 2015.

 

  7   

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.

 

  8   

Includes payment received from an affiliate, which had no impact on the Trust’s total return.

 

  9   

Aggregate total return.

 

  10   

Ratios do not include expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01% for the years ended October 31, 2016 and October 31, 2015.

 

  11   

Annualized.

 

  12   

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 54%.

 

 

See Notes to Financial Statements.      
                
80    ANNUAL REPORT    OCTOBER 31, 2016   


Notes to Financial Statements     

 

1. Organization:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually, a “Trust”:

 

Trust Name   Herein Referred To As     Organized     Diversification Classification  

BlackRock Credit Allocation Income Trust

    BTZ        Delaware        Non-diversified   

BlackRock Floating Rate Income Trust

    BGT        Delaware        Non-diversified   

BlackRock Multi-Sector Income Trust

    BIT        Delaware        Non-diversified   

The Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the trustees thereof are collectively referred to throughout this report as “Trustees.” The Trusts determine and make available for publication the net asset value (“NAV”) of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

Basis of Consolidation: The accompanying consolidated financial statements of BGT include the accounts of BGT Subsidiary, LLC (the “Taxable Subsidiary”). As of December 19, 2014, the Taxable Subsidiary, which was wholly owned by the Trust, was dissolved. The Taxable Subsidiary enabled BGT to hold an investment in an operating company and satisfy regulated investment company tax requirements. Income earned and gains realized on the investment held by the Taxable Subsidiary were taxable to such subsidiary. There was no tax provision required for income or realized gains during the period.

The accompanying consolidated financial statements of BIT include the accounts of BIT Subsidiary, LLC (“BIT Subsidiary”) which is a wholly-owned taxable subsidiary of BIT. The BIT Subsidiary enables BIT to hold an investment in an operating partnership and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investment held by the BIT Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statement of Operations for BIT. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for BIT. BIT may invest up to 25% of its total assets in the BIT Subsidiary. There were no assets in the BIT Subsidiary as of period end. The BIT Subsidiary is subject to the same investment policies and restrictions that apply to BIT.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Foreign Currency: Each Trust’s books and records are maintained in U.S. dollars. Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Trust does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Trust reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for federal income tax purposes.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

 

                
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Notes to Financial Statements (continued)     

 

Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. Portions of return of capital distributions under U.S. GAAP may be taxed at ordinary income rates. The character of distributions is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. Realized net capital gains can be offset by capital losses carried forward from prior years. However, certain Trusts have capital loss carryforwards from pre-2012 tax years that offset realized net capital gains but do not offset current earnings and profits. Consequently, if distributions in any tax year are less than the Trust’s current earnings and profits but greater than net investment income and net realized capital gains (taxable income), distributions in excess of taxable income are not treated as non-taxable return of capital, but rather may be taxable to shareholders at ordinary income rates. Under certain circumstances, taxable excess distributions could be significant. See Note 8, Income Tax Information, for the tax character of each Trust’s distributions paid during the year.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, if applicable. Deferred compensation liabilities are included in officer’s and trustees’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Indemnifications: In the normal course of business, each Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

Through May 31, 2016, the Trusts had an arrangement with their custodian whereby credits were earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. Credits previously earned may be utilized until December 31, 2016. Under current arrangements effective June 1, 2016, the Trusts no longer earn credits on uninvested cash, and may incur charges on uninvested cash balances and overdrafts, subject to certain conditions.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

 

Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. 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 securities for which market quotations are readily available are generally valued using the last available bid prices 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 the Trusts may hold or transact in such securities in smaller, odd lot sizes. Odd lots often 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), 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.

 

 

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be

 

                
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Notes to Financial Statements (continued)     

 

 

reflected in the computation of the Trusts’ net assets. Each business day, the Trusts use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded over-the-counter (“OTC”) or if options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

 

 

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

 

 

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

 

Futures contracts traded on exchanges are valued at their last sale price.

 

 

Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the NYSE. 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. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

 

 

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

 

 

Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service 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.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.

The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of each Trust’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.

For investments in equity or debt issued by privately-held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation methodologies that are used by third party pricing services include the market approach, income approach and the cost approach, using one or a combination of but not limited to the following inputs.

 

Standard Inputs Generally Considered By Third Party Pricing Services

Market approach

 

(i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;

(ii) recapitalizations and other transactions across the capital structure; and

(iii) market multiples of comparable issuers.

Income approach

 

(i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;

(ii) quoted prices for similar investments or assets in active markets; and

(iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

Cost approach

 

(i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;

(ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;

(iii) relevant news and other public sources; and

(iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    83


Notes to Financial Statements (continued)     

 

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation methodologies are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access

 

 

Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 Investments include equity or debt issued by privately-held companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation methodolgies may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a Trust may subsequently have to reinvest the proceeds at lower interest rates. If a Trust has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”), there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

 

                
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Notes to Financial Statements (continued)     

 

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Inflation-Indexed Bonds: Inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included as interest income in the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. With regard to municipal inflation-indexed bonds and certain corporate inflation-indexed bonds, the inflation adjustment is typically reflected in the semi-annual coupon payment. As a result, the principal value of municipal inflation-indexed bonds and such corporate inflation-indexed bonds does not adjust according to the rate of inflation.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a Trust’s initial investment in the IOs may not fully recoup.

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stock: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Warrants: Warrants entitle a Trust to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    85


Notes to Financial Statements (continued)     

 

does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a Trust will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result to proceeds from the sale to not be readily available for a Trust to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a Trust to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a Trust’s investment policies.

When a Trust purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a Trust may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a Trust upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A Trust may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A Trust may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a Trust having a contractual relationship only with the lender, not with the borrower. A Trust has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a Trust generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A Trust may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a Trust assumes the credit risk of both the borrower and the lender that is selling the Participation. A Trust’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a Trust may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a Trust having a direct contractual relationship with the borrower, and a Trust may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, the Trusts may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a Trust earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Trusts had the following unfunded floating rate loan interests:

 

     Borrower   Par      Commitment
Amount
     Value      Unrealized
Appreciation
(Depreciation)
 
BGT…  

Acrisure, LLC, 2016 Delayed Draw Term Loan

  $ 13,740       $ 13,564       $ 13,740       $ 177   
   

USAGM HoldCo LLC, 2016 Incremental Delayed Draw Term Loan

  $ 220,664       $ 218,457       $ 221,492       $ 3,034   
BIT.…  

Lone Star LSPT Future Funding, Mortgage Loan

  $ 4,998,000       $ 4,833,231       $ 4,998,000       $ 164,769   

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Trust may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a Trust may be required to pay more at settlement than the security is worth. In addition, a Trust is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Trust assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a Trust’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Borrowed Bond Agreements: Repurchase agreements may be referred to as borrowed bond agreements when entered into in connection with short sales of bonds. In a borrowed bond agreement, a Trust borrows a bond from a counterparty in exchange for cash collateral. The agreement contains a commitment

 

                
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Notes to Financial Statements (continued)     

 

that the security and the cash will be returned to the counterparty and a trust at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between a Trust and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. A Trust may also experience delays in gaining access to the collateral.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker-dealers in which a Trust sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A Trust receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a Trust continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A Trust may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a Trust suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a Trust would still be required to pay the full repurchase price. Further, a Trust remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a Trust would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short- term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a Trust to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a Trust may receive a fee for use of the security by the counterparty, which may result in interest income to a Trust.

For the year ended October 31, 2016, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for the Trusts were as follows:

 

     Average
Amount
Outstanding
     Daily
Weighted
Average
Interest Rate
 

BTZ

  $ 659,557,592         0.57%   

BIT

  $ 460,095,254         0.96%   

Reverse repurchase transactions are entered into by a Trust under Master Repurchase Agreements (each, an “MRA”), which permit a Trust, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Trust. With reverse repurchase transactions, typically a Trust and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Trust receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Trust upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Trust is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

As of period end, the following table is a summary of the Trust’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

 

BTZ                               
Counterparty   Reverse
Repurchase
Agreements
     Fair Value of  Non-cash
Collateral Pledged
Including Accrued
Interest1
     Cash
Collateral
Pledged
     Net  Amount2  

Barclays Capital, Inc.

  $ 75,558,637       $ (75,558,637                

BNP Paribas Securities Corp.

    187,529,203         (187,529,203                

Credit Suisse Securities (USA) LLC

    43,696,524         (43,696,524                

Deutsche Bank Securities, Inc.

    28,644,998         (28,451,533            $ 193,465   

HSBC Securities (USA), Inc.

    11,641,042         (11,641,042                

RBC Capital Markets LLC

    273,730,900         (273,730,900                

UBS Ltd.

    17,525,891         (17,525,891                
 

 

 

 

Total

  $ 638,327,195       $ (638,133,730            $ 193,465   
 

 

 

 
          

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    87


Notes to Financial Statements (continued)     

 

BIT                               
Counterparty   Reverse
Repurchase
Agreements
     Fair Value of Non-
cash
Collateral  Pledged
Including Accrued
Interest1
     Cash
Collateral
Pledged
     Net Amount  

Barclays Bank PLC

  $ 6,327,149       $ (6,327,149                

Barclays Capital, Inc.

    24,274,258         (24,274,258                

BNP Paribas Securities Corp.

    38,266,372         (38,266,372                

Credit Suisse Securities (USA) LLC

    20,617,141         (20,617,141                

Deutsche Bank Securities, Inc.

    84,578,614         (84,578,614                

HSBC Securities (USA), Inc.

    10,230,598         (10,230,598                

JPMorgan Securities LLC

    5,829,599         (5,829,599                

Morgan Stanley & Co. LLC

    4,089,695         (4,089,695                

RBC Capital Markets, LLC

    131,479,068         (131,479,068                

UBS Ltd.

    16,280,495         (16,280,495                

UBS Securities LLC

    85,355,907         (85,355,907                
 

 

 

 

Total

  $ 427,328,896       $ (427,328,896                
 

 

 

 

 

  1  

Net collateral with a value of $668,927,141 for BTZ and $491,739,813 for BIT has been pledged in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

  2   

Net amount represents the net amount payable due to the counterparty in the event of default.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a Trust’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a Trust’s obligation to repurchase the securities.

5. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Certain Trusts invest in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Certain Trusts enter into forward foreign currency exchange contracts to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked to market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

 

                
88    ANNUAL REPORT    OCTOBER 31, 2016   


Notes to Financial Statements (continued)     

 

Options: Certain Trusts purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Trusts write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

 

 

Swaptions — Certain Trusts purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Trusts’ 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.

 

 

Foreign Currency options — Certain Trusts purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option.

 

 

Barrier options — Certain Trusts may purchase and write a variety of options with non-standard payout structures or other features (“barrier options”) that are generally traded OTC.

The Trusts may invest in various types of barrier options, including down-and-out options, down-and-in options, double no-touch options, one-touch options and up-and-out options. Down-and-out options expire worthless to the purchaser if the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Down-and-in options expire worthless to the purchaser unless the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Double no-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument does not reach or surpass predetermined barrier price levels prior to the option’s expiration date. One-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument reaches or surpasses predetermined barrier price levels prior to the expiration date. Up-and-out options expire worthless if the price of the underlying instrument increases beyond a predetermined barrier price level prior to the expiration date.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Swaps: Certain Trusts enter into swap contracts to manage exposure to issuers, markets and securities. Such contracts are agreements between the Trusts and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Trusts’ counterparty on the swap agreement becomes the CCP. The Trusts are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    89


Notes to Financial Statements (continued)     

 

is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.

 

 

Credit default swaps — Certain Trusts enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk).

The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Trusts will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

 

Total return swaps — Certain Trusts enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one market (e.g., fixed income) with another market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. If the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Trusts receive payment from or make a payment to the counterparty.

 

 

Interest rate swaps — Certain Trusts enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Trusts’ net assets decline by a stated percentage or the Trusts fail to meet the terms of their ISDA Master Agreements. The result would cause the Trusts to accelerate payment of any net liability owed to the counterparty.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Trust and the counterparty.

Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the

 

                
90    ANNUAL REPORT    OCTOBER 31, 2016   


Notes to Financial Statements (continued)     

 

underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, they] bear the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

For such services, BTZ and BGT each pay the Manager a monthly fee at an annual rate equal to 0.62% and 0.75%, respectively, of the Trust’s average weekly value of the Trust’s managed assets. For purposes of calculating these fees, “managed assets” means the total assets of the Trust minus the sum of its accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

For such services, BIT pays the Manager a monthly fee at an annual rate equal to 0.80% of the Trust’s average daily value of the Trust’s managed assets. For purposes of calculating this fee, “managed” assets means the total assets of the Trust (including any assets attributable to money borrowed for investment purposes) minus the sum of its accrued liabilities (other than money borrowed for investment purposes).

The Manager provides investment management and other services to the BIT Subsidiary. The Manager does not receive separate compensation from the BIT Subsidiary for providing investment management or administrative services. However, the Trust pays the Manager based on the Trust’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, which includes the assets of the BIT Subsidiary.

With respect to BIT, the Manager entered into a sub-advisory agreement with BlackRock (Singapore) Limited (“BRS”) an affiliate of the Manager. The Manager pays BRS, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by BIT to the Manager.

Waivers: With respect to the Trusts, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. These amounts are included in fees waived by the Manager in the Statements of Operations. For the year ended October 31, 2016, the amounts waived were as follows:

 

BTZ    BGT    BIT

$10,828

   $379    $17,578

Effective September 1, 2016, the Manager voluntarily agreed to waive its advisory fee with respect to any portion of Trust assets invested in affiliated equity or fixed income mutual funds or affiliated exchange-traded funds. Prior to September 1, 2016, the Manager did not waive such fees. On December 2, 2016, the manager entered into a Master Advisory Fee Waiver Agreement (Agreement), contractually committing to this arrangement through June 30, 2017. The Agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ independent directors. For the year ended October 31, 2016, BGT waived $1,828 in advisory fees pursuant to these arrangements.

Officers and Trustees: Certain officers and/or trustees of the Trusts are officers and/or trustees of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Officer and Trustees in the Statements of Operations.

Other Transactions: During the year ended October 31, 2016, BIT received reimbursements of $23,247 from an affiliate, which is shown as other income-affiliated in the Statements of Operations, relating to trade processing errors.

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended October 31, 2016, the purchase and sale transactions which resulted in net realized gains (losses) with an affiliated Trust in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchases      Sales      Net
Realized
Gain
 

BIT

  $ 2,280,113       $ 141,732       $ 9,591   

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    91


Notes to Financial Statements (continued)     

 

7. Purchases and Sales:

For the year ended October 31, 2016, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:

 

Purchases   BTZ      BGT      BIT  

Non-U.S. Government Securities

  $ 355,035,314       $ 281,138,249       $ 543,009,853   

U.S. Government Securities

    268,621,502                 49,101,442   
 

 

 

 

Total Purchases

  $ 623,656,816       $ 281,138,249       $ 592,111,295   
 

 

 

 
       
Sales   BTZ      BGT      BIT  

Non-U.S. Government Securities

  $ 542,458,519       $ 220,506,088       $ 617,376,051   

U.S. Government Securities

    121,150,357                 46,740,726   
 

 

 

 

Total Sales

  $ 663,608,876       $ 220,506,088       $ 664,116,777   
 

 

 

 

8. Income Tax Information:

It is the Trusts’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required, except with respect to any taxes related to the Taxable Subsidiaries.

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on BTZ’s and BGT’s U.S. federal tax returns generally remains open for each of the four years ended October 31, 2016. The statute of limitations on BIT’s U.S. federal tax returns remains open for the period ended October 31, 2013 and the three years ended October 31, 2016. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of October 31, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. As of period end, the following permanent differences attributable to foreign currency transactions, the accounting for swap agreements, the classification of investments, income recognized from pass-through entities, amortization methods on fixed income securities and the expiration of capital loss carryforwards were reclassified to the following accounts:

 

     BTZ      BGT      BIT  

Paid-in capital

  $ (121,634,597    $ (14,130,109        

Undistributed net investment income

  $ (1,624,998    $ 1,280,269       $ 763,451   

Accumulated net realized loss

  $ 123,259,595       $ 12,849,840       $ (763,451

The tax character of distributions paid was as follows:

 

            BTZ      BGT      BIT  

Ordinary income

    10/31/16      $ 93,623,404       $ 16,554,797       $ 62,868,881   
    10/31/15        97,419,415         19,181,416         55,119,342   

Long-term capital gains

    10/31/16                          
    10/31/15                        1,913,717   

Tax return of capital

    10/31/16        6,304,109                   
    10/31/15        6,993,757                   
   

 

 

    

 

 

    

 

 

 

Total

    10/31/16      $ 99,927,513       $ 16,554,797       $ 62,868,881   
   

 

 

    

 

 

    

 

 

 
    10/31/15      $ 104,413,172       $ 19,181,416       $ 57,033,059   
   

 

 

    

 

 

    

 

 

 

As of period end, the tax components of accumulated net losses were as follows:

 

     BTZ      BGT      BIT  

Undistributed ordinary income

          $ 2,695,184       $ 18,368,132   

Capital loss carryforwards.

  $ (241,615,663      (74,727,865      (35,191,922

Net unrealized gains (losses)1

    120,480,733         (263,278      15,423,380   
 

 

 

    

 

 

    

 

 

 

Total

  $ (121,134,930    $ (72,295,959    $ (1,400,410
 

 

 

    

 

 

    

 

 

 

 

  1   

The difference between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the tax deferral of losses on wash sales and straddles, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency exchange contracts, amortization methods for premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the timing and recognition of partnership income, the accounting for swap agreements, the deferral of compensation to Directors, and the classification of investments.

 

                
92    ANNUAL REPORT    OCTOBER 31, 2016   


Notes to Financial Statements (continued)     

 

As of October 31, 2016, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires October 31,   BTZ      BGT      BIT  

No expiration date1

  $ 41,385,234       $ 12,406,397       $ 35,191,922   

2017

    158,120,431         45,385,443           

2018

    31,756,723         16,526,601           

2019

    10,353,275         409,424           
 

 

 

    

 

 

    

 

 

 

Total

  $ 241,615,663       $ 74,727,865       $ 35,191,922   
 

 

 

    

 

 

    

 

 

 
  1   

Must be utilized prior to losses subject to expiration.

As of October 31, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

     BTZ      BGT     BIT  

Tax cost

  $ 2,078,464,402       $ 515,435,923      $ 1,129,781,763   
 

 

 

    

 

 

   

 

 

 

Gross unrealized appreciation

  $ 147,908,943       $ 4,942,172      $ 37,082,094   

Gross unrealized depreciation

    (27,645,533      (4,993,525     (21,070,766
 

 

 

    

 

 

   

 

 

 

Net unrealized appreciation (depreciation)

  $ 120,263,410       $ (51,353   $ 16,011,328   
 

 

 

    

 

 

   

 

 

 

9. Bank Borrowings:

BGT is party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to BGT. As of period end, BGT has not received any notice to terminate. BGT has granted a security interest in substantially all of its assets to SSB.

The SSB Agreement allows for a maximum commitment amount of $168,000,000. Prior to August 31, 2016, the maximum commitment amount for BGT was $172,000,000.

Advances will be made by SSB to BGT, at BGT’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, BGT pays a commitment fee (based on the daily unused portion of the commitments). The commitment fees are waived if BGT meets certain conditions. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to BGT as of period end are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

BGT may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

For the year ended October 31, 2016, the average amount of bank borrowings and the daily weighted average interest rates for BGT with loans under the revolving credit agreements were $117,885,246 and 1.19%, respectively.

10. Principal Risks:

In the normal course of business, certain Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers of securities owned by the Trusts. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed income securities at market interest rates that are below each Trust portfolio’s current earnings rate.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Trusts may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that they believe the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Trust’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Trust may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trust’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation methodology or a price provided by an independent pricing service. Changes to sig-

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    93


Notes to Financial Statements (concluded)     

 

nificant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Trust’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Trust’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Trust’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Trust.

For OTC options purchased, each Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by such Trust should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent the Trusts deposit collateral with its counterparty to a written option.

With exchange-traded options purchased, futures and centrally cleared swaps, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

Concentration Risk: Certain Trusts may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid and have more volatile prices than higher quality securities.

Certain Trusts invest a significant portion of their assets in fixed income securities and/or use derivatives tied to the fixed income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed income securities will increase as interest rates fall and decrease as interest rates rise. The Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

Certain Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Schedules of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

11. Capital Share Transactions:

The Trusts are each authorized to issue an unlimited number of $0.001 par value shares, which may be issued as either Common Shares or Preferred Shares.

Common Shares

For the years ended October 31, 2016 and October 31, 2015, shares issued and outstanding remained constant for each Trust.

On October 26, 2016, the Board approved an open market share repurchase program that allows each Trust to purchase up to 5% of its outstanding common shares from time to time in open market transactions through November 30, 2017, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts.

12. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

 

     Common Dividend Per Share  
     Paid1      Declared2      Declared3      Declared4  

BTZ

  $ 0.0705       $ 0.0705       $ 0.0705           

BGT

  $ 0.0583       $ 0.0583       $ 0.0583       $ 0.0670   

BIT

  $ 0.1167       $ 0.1167       $ 0.1167       $ 0.3700   

 

  1   

Net investment income dividend paid on November 30, 2016 to shareholders of record on November 15, 2016.

 

  2   

Net investment income dividend declared on December 1, 2016, payable to shareholders of record on December 12, 2016.

 

  3   

Net investment income dividend declared on December 19, 2016, payable to shareholders of record on December 30, 2016.

 

  4   

Special dividends declared on December 19, 2016, payable to shareholders of record on December 30, 2016.

 

                
94    ANNUAL REPORT    OCTOBER 31, 2016   


Report of Independent Registered Public Accounting Firm     

 

To the Board of Trustees and Shareholders of BlackRock Credit Allocation Income Trust, BlackRock Floating Rate Income Trust and BlackRock Multi-Sector Income Trust:

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of BlackRock Credit Allocation Income Trust as of October 31, 2016, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. We have also audited the accompanying statement of assets and liabilities, including the schedule of investments, of BlackRock Floating Rate Income Trust as of October 31, 2016, and the related statements of operations, cash flows, changes in net assets, and the financial highlights for the year then ended, the consolidated statement of changes in net assets for the year ended October 31, 2015, and the consolidated financial highlights for each of the four years in the period ended October 31, 2015. We have also audited the accompanying consolidated statement of assets and liabilities of BlackRock Multi-Sector Income Trust (collectively with the aforementioned trusts above, the “Trusts”), including the consolidated schedule of investments, as of October 31, 2016, and the related consolidated statements of operations, cash flows, changes in net assets, and the financial highlights for the year then ended, the statement of changes in net assets for the year ended October 31, 2015, and the financial highlights for each of the two years in the period ended October 31, 2015 and the period February 27, 2013 (commencement of operations) to October 31, 2013. These financial statements and financial highlights are the responsibility of the Trusts’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trusts are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trusts’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2016, by correspondence with the custodians, brokers and agent banks; where replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Trusts as of October 31, 2016, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Boston, Massachusetts

December 22, 2016

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    95


Important Tax Information (Unaudited)

 

During the fiscal year ended October 31, 2016, the following information is provided with respect to the ordinary income distributions paid by the Trusts:

 

     Payable Dates     BTZ     BGT     BIT  

Qualified Dividend Income for Individuals1

    November 2015        10.42%               9.23%   
    December 2015        10.42%               11.82%   
    January 2016        10.42%               20.73%   
      February 2016 - October 2016        10.95%               3.88%   

Dividends Qualifying for the Dividend Received Deduction for Corporations1

    November 2015        8.07%               5.79%   
    December 2015        8.07%               8.25%   
    January 2016        8.07%               16.70%   
      February 2016 - October 2016        10.11%               3.88%   

Interest-Related Dividends and Qualified Short-Term Gains for Non-U.S. Residents2

    November 2015 -January 2016        72.45%        82.72%        52.27%   
      February 2016 - October 2016        68.13%        81.00%        56.10%   

 

  1   

The Trusts hereby designate the percentage indicated or the maximum amount allowable by law.

 

  2   

Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

 

                
96    ANNUAL REPORT    OCTOBER 31, 2016   


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement

 

The Board of Trustees (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”) of BlackRock Credit Allocation Income Trust (“BTZ”), BlackRock Floating Rate Income Trust (“BGT”) and BlackRock Multi-Sector Income Trust (“BIT,” and together with BGT and BTZ, each a “Trust,” and, collectively, the “Trusts”) met in person on April 28, 2016 (the “April Meeting”) and June 9-10, 2016 (the “June Meeting”) to consider the approval of each Trust’s investment advisory agreement (each, an “Advisory Agreement,” and, collectively, the “Advisory Agreements”) with BlackRock Advisors, LLC (the “Manager”), each Trust’s investment advisor. The Board of BIT also considered the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and BlackRock (Singapore) Limited (the “Sub-Advisor”), with respect to BIT. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreement are referred to herein as the “Agreements.”

Activities and Composition of the Board

On the date of the June Meeting, the Board of each Trust consisted of eleven individuals, nine of whom were not “interested persons” of such Trust as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Trusts and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of each Board is an Independent Board Member. Each Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, each Board is required to consider the continuation of its Advisory Agreement, and with respect to BIT, its Sub-Advisory Agreement, on an annual basis. The Boards have four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreements and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Boards assessed, among other things, the nature, extent and quality of the services provided to the Trusts by BlackRock, BlackRock’s personnel and affiliates, including, as applicable; investment management, administrative, and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

The Boards, acting directly and through their respective committees, consider at each of their meetings, and from time to time as appropriate, factors that are relevant to their annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Trusts and their shareholders. BlackRock also furnished additional information to the Boards in response to specific questions from the Boards. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Boards considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to their peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, paid to BlackRock and its affiliates by the Trusts for services; (c) Trust operating expenses and how BlackRock allocates expenses to the Trusts; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Trusts’ investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Trusts’ compliance with their compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Trusts’ valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Trusts; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

The Board of each of BTZ and BGT considered BlackRock’s efforts during the past several years with regard to the redemption of outstanding auction rate preferred securities (“AMPS”). As of the date of this report, each of BTZ and BGT has redeemed all of its outstanding AMPS.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, the Boards requested and received materials specifically relating to the Agreements. The Boards are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist their deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on Trust fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Trust as compared with a peer group of funds as determined by Broadridge,1 and a customized peer group selected by BlackRock (“Customized Peer Group”); (b) information on the profits realized by BlackRock and its affiliates pursuant to the

 

1   

Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    97


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement (continued)

 

Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; and (f) a summary of aggregate amounts paid by each Trust to BlackRock.

At the April Meeting, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Boards’ year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Trust for a one-year term ending June 30, 2017. The Board of BIT, including the Independent Board Members, also unanimously approved the continuation of the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to BIT, each, for a one-year term ending June 30, 2017. In approving the continuation of the Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Trusts; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Trusts; (d) the Trusts’ costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Trusts; and (g) other factors deemed relevant by the Board Members.

The Boards also considered other matters they deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, services related to the valuation and pricing of Trust portfolio holdings, and advice from independent legal counsel with respect to the review process and materials submitted for the Boards’ review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Trusts. Throughout the year, the Boards compared the Trusts’ performance to the performance of a comparable group of closed-end funds, relevant benchmark, and performance metrics, as applicable. The Boards met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. Each Board also reviewed the materials provided by its Trust’s portfolio management team discussing the Trust’s performance and the Trust’s investment objective(s), strategies and outlook.

The Boards considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and their Trusts’ portfolio management teams; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards engaged in a review of BlackRock’s compensation structure with respect to the Trusts’ portfolio management teams and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, the Boards considered the quality of the administrative and other non-investment advisory services provided to the Trusts. BlackRock and its affiliates provide the Trusts with certain administrative, shareholder, and other services (in addition to any such services provided to the Trusts by third parties) and officers and other personnel as are necessary for the operations of the Trusts. In particular, BlackRock and its affiliates provide the Trusts with administrative services including, among others: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Trusts; (iii) oversight of daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Boards in their consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Trusts, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Trusts and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Trust. In preparation for the April Meeting, the Boards were provided with reports independently prepared by Broadridge, which included a comprehensive analysis of the Trusts’ performance. The Boards also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, each Board received and reviewed information regarding the investment performance, based on net asset value (NAV), of its Trust as compared to other funds in its applicable Broadridge category and the Customized Peer Group selected by BlackRock. The Boards were provided with a description of the methodology used by Broadridge to select peer funds and periodically met with Broadridge representatives to

 

                
98    ANNUAL REPORT    OCTOBER 31, 2016   


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement (continued)

 

review its methodology. The Boards were provided with information on the composition of the Broadridge performance universes and expense universes. Each Board and its Performance Oversight Committee regularly review, and meet with Trust management to discuss, the performance of its Trust throughout the year.

In evaluating performance, the Boards recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, the Boards recognized that it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect long-term performance disproportionately.

The Board of BTZ noted that for the one-, three- and five-year periods reported, BTZ ranked in the third, first and first quartiles, respectively, against its Customized Peer Group. BlackRock believes that the Customized Peer Group is an appropriate performance metric for BTZ. The Board of BTZ and BlackRock reviewed and discussed the reasons for BTZ’s underperformance during the one-year period.

The Board of BGT noted that for each of the one-, three- and five-year periods reported, BGT ranked in the first quartile, against its Customized Peer Group. BlackRock believes that the Customized Peer Group is an appropriate performance metric for BGT.

The Board of BIT noted that for each of the one-year and since-inception periods reported, BIT ranked in the first quartile, against its Customized Peer Group. BlackRock believes that the Customized Peer Group is an appropriate performance metric for BIT.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Trusts: Each Board, including the Independent Board Members, reviewed its Trust’s contractual management fee rate compared with the other funds in its Broadridge category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. Each Board also compared its Trust’s total expense ratio, as well as its actual management fee rate as a percentage of total assets, to those of other funds in its Broadridge category. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Boards considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Boards received and reviewed statements relating to BlackRock’s financial condition. The Boards reviewed BlackRock’s profitability methodology and were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Trusts. The Boards reviewed BlackRock’s profitability with respect to the Trusts and other funds the Boards currently oversee for the year ended December 31, 2015 compared to available aggregate profitability data provided for the prior two years. The Boards reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Boards reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at an individual fund level is difficult.

The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Boards considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, the Boards considered the cost of the services provided to the Trusts by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of the Trusts and the other funds advised by BlackRock and its affiliates. As part of their analysis, the Boards reviewed BlackRock’s methodology in allocating its costs of managing the Trusts, to the Trusts. The Boards may receive and review information from independent third parties as part of their annual evaluation. The Boards considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Boards. The Boards further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing the Trusts in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.

The Board of BTZ noted that BTZ’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio ranked in the third and second quartiles, respectively, relative to the Expense Peers. The Board of BTZ also noted, however, that given the comparability limitations of the Expense Peers, BlackRock provided the Board a supplemental peer group consisting of funds that are generally similar to BTZ. The Board of BTZ noted that BTZ’s actual management fee and total expense ratio each were below median, relative to the supplemental peer group.

The Board of BGT noted that BGT’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    99


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreement (concluded)

 

The Board of BIT noted that BIT’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio ranked in the third and fourth quartiles, respectively, relative to the Expense Peers. The Board of BIT also noted, however, that given the comparability limitations of the Expense Peers, BlackRock provided the Board a supplemental peer group consisting of funds that are generally similar to BIT. The Board of BIT noted that BIT’s actual management fee and total expense ratio ranked in the second and third quartiles, respectively, relative to the supplemental peer group.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Trust increase. Each Board also considered the extent to which its Trust benefits from such economies in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Trust to more fully participate in these economies of scale. Each Board considered its Trust’s asset levels and whether the current fee was appropriate.

Based on the Boards’ review and consideration of the issue, the Boards concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception.

E. Other Factors Deemed Relevant by the Board Members: The Boards, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Trusts, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Trusts, including for administrative, securities lending and cash management services. The Boards also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that they had considered the investment by BlackRock’s funds in affiliated exchange traded funds (i.e., ETFs) without any offset against the management fees payable by the funds to BlackRock.

In connection with their consideration of the Agreements, the Boards also received information regarding BlackRock’s brokerage and soft dollar practices. The Boards received reports from BlackRock, which included information on brokerage commissions and trade execution practices throughout the year.

The Boards noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Trust shares in the secondary market if they believe that the Trust’s fees and expenses are too high or if they are dissatisfied with the performance of the Trust.

The Boards also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included the redemption of AMPS for the BlackRock closed-end funds with AMPS outstanding; developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: continuing communications concerning the redemption efforts related to AMPS; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Trust for a one-year term ending June 30, 2017, and the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to BIT, for a one-year term ending June 30, 2017. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, each Board, including the Independent Board Members, was satisfied that the terms of the Advisory Agreement were fair and reasonable and in the best interest of its Trust and its shareholders. In arriving at its decision to approve the Advisory Agreement for its Trust, each Board did not identify any single factor or group of factors as, all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Trusts reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

 

                
100    ANNUAL REPORT    OCTOBER 31, 2016   


Automatic Dividend Reinvestment Plan     

 

Pursuant to each Trust’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains and other distributions reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Trust’s Common Shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After the Trusts declare a dividend or determine to make a capital gain or other distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Trusts (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Trust’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the

same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open market purchases in connection with the reinvestment of all distributions. The automatic reinvestment of all distributions will not relieve participants of any federal, state or local income tax that may be payable on such dividends or distributions.

Each Trust reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P.O. Box 30170, College Station TX 77842-3170, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 211 Quality Circle, Suite 210, College Station, TX 77845.

 

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    101


Officers and Trustees     

 

Name, Address1
and Year of Birth
  Position(s)
Held with
the Trusts
  Length of
Time Served³
  Principal Occupation(s) During Past Five Years  

Number of BlackRock-

Advised Registered

Investment Companies

(“RICs”) Consisting of

Investment Portfolios

(“Portfolios”) Overseen4

 

Public Company and

Other Investment

Company Directorships

During Past Five Years

Independent Trustees2                    

Richard E. Cavanagh

1946

  Chair of the Board and Trustee   Since 2007   Director, The Guardian Life Insurance Company of America since 1998; Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.   74 RICs consisting of 74 Portfolios   None

Karen P. Robards

1950

  Vice Chair
of the Board and Trustee
  Since 2007   Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Investment Banker at Morgan Stanley from 1976 to 1987.   74 RICs consisting of 74 Portfolios   AtriCure, Inc. (medical devices); Greenhill & Co., Inc.

Michael J. Castellano

1946

  Trustee   Since 2011   Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) since 2015.   74 RICs consisting of 74 Portfolios   None

Cynthia L. Egan

1955

  Trustee   Since 2016   Advisor, U.S. Department of the Treasury from 2014 to 2015; a President at T. Rowe Price Group, Inc. from 2007 to 2012.   74 RICs consisting of 74 Portfolios   Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016

Frank J. Fabozzi

1948

  Trustee   Since 2007   Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.   74 RICs consisting of 74 Portfolios   None

Jerrold B. Harris

1942

  Trustee   Since 2007   Trustee, Ursinus College from 2000 to 2012; Director, Ducks Unlimited — Canada (conservation) since 2015; Director, Waterfowl Chesapeake (conservation) since 2014; Director, Ducks Unlimited, Inc. since 2013; Director, Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation from 2010 to 2012; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.   74 RICs consisting of 74 Portfolios   BlackRock Capital Investment Corp. (business development company)

R. Glenn Hubbard

1958

  Trustee   Since 2007   Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988.   74 RICs consisting of 74 Portfolios   ADP (data and information services); Metropolitan Life Insurance Company (insurance)

W. Carl Kester

1951

  Trustee   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.   74 RICs consisting of 74 Portfolios   None

Catherine A. Lynch

1961

  Trustee   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.   74 RICs consisting of 74 Portfolios   None

 

                
102    ANNUAL REPORT    OCTOBER 31, 2016   


Officers and Trustees (continued)     

 

Name, Address1
and Year of Birth
  Position(s)
Held with
the Trusts
  Length of
Time Served³
  Principal Occupation(s) During Past Five Years  

Number of BlackRock-

Advised Registered

Investment Companies

(“RICs”) Consisting of

Investment Portfolios

(“Portfolios”) Overseen4

 

Public Company and

Other Investment

Company Directorships

During Past Five Years

Interested Trustees5                    

Barbara G. Novick

1960

  Trustee   Since 2015   Vice Chairman of BlackRock, Inc. since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock, Inc. from 1988 to 2008.   100 RICs consisting of 217 Portfolios   None

John M. Perlowski

1964

  Trustee, President and Chief Executive Officer   Since 2014 (Trustee); Since 2011 (President and Chief Executive Officer)   Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Fund & Accounting Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.   128 RICs consisting of 315 Portfolios   None
 

1    The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

 

2    Each Independent Trustee will serve until his or her successor is elected and qualifies, or until his or her earlier death, resignation, retirement or removal, or until December 31 of the year in which he or she turns 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon finding of good cause therefor.

 

3    Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Independent Trustees as joining the Board in 2007, each Trustee first became a member of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998.

 

4    For purposes of this chart, “RICs” refers to investment companies registered under the 1940 Act and “Portfolios” refers to the investment programs of the BlackRock-advised funds. The Closed-End Complex is comprised of 74 RICs. Mr. Perlowski and Ms. Novick are also board members of certain complexes of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex.

 

5    Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Trusts based on their positions with BlackRock and its affiliates. Mr. Perlowski and Ms. Novick are also board members of certain complexes of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    103


Officers and Trustees (concluded)     

 

 

Name, Address1
and Year of Birth
  Position(s)
Held with
the Trusts
 

Length

of Time
Served as
an Officer

  Principal Occupation(s) During Past Five Years
Officers Who Are Not Trustees2   Time Served     

Jonathan Diorio

1980

  Vice President   Since 2015   Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015; Director of Deutsche Asset & Wealth Management from 2009 to 2011.

Neal J. Andrews

1966

  Chief Financial Officer   Since 2007   Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.

Jay M. Fife

1970

  Treasurer   Since 2007   Managing Director of BlackRock, Inc. since 2007; Director of BlackRock, Inc. in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.

Charles Park

1967

  Chief Compliance Officer   Since 2014   Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End 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   Director of BlackRock, Inc. since 2009; Assistant Secretary of the funds in the Closed-End Complex from 2008 to 2012.
 

1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

 

2    Officers of the Trusts serve at the pleasure of the Board.

 

       

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Accounting Agent and Custodian

State Street Bank and
Trust Company

Boston, MA 02110

  Independent Registered
Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
  Address of the Trusts 100 Bellevue Parkway Wilmington, DE 19809
Sub-Adviser
BlackRock (Singapore)  Limited
1
079912 Singapore
  Transfer Agent
Computershare Trust
Company, N.A.
Canton, MA 02021
 

Legal Counsel

Skadden, Arps, Slate,

Meagher & Flom LLP

Boston, MA 02116

 

 

  1  

For BIT.

 

                
104    ANNUAL REPORT    OCTOBER 31, 2016   


Additional Information     

 

Proxy Results      

The Annual Meeting of Shareholders was held on July 26, 2016 for shareholders of record on May 31, 2016, to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.

Approved the Trustees as follows:

 

     

Catherine A. Lynch1

  

Richard E. Cavanagh2

  

Cynthia L. Egan2

      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain

BIT

   31,868,833    900,570    0    31,879,157    890,246    0    31,872,710    896,693    0

BTZ

   92,677,221    3,713,375    0    92,327,393    4,063,203    0    92,682,496    3,708,100    0

BGT

   20,564,082    480,957    0    20,592,752    452,287    0    20,577,073    467,965    0
    

Jerrold B. Harris2

  

Barbara G. Novick2

              
      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain               

BIT

   31,878,156    891,247    0    31,894,577    874,826    0         

BTZ

   92,351,361    4,039,235    0    92,669,415    3,721,181    0         

BGT

   20,596,132    448,907    0    20,585,455    459,583    0               

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Michael J. Castellano, Frank J. Fabozzi, R. Glenn Hubbard, W. Carl Kester, John M. Perlowski, and Karen P. Robards.

 

  1   

Class II.

  2   

Class III.

 

Trust Certification

Each Trust is listed for trading on the NYSE and has filed with the NYSE its annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of their chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

 

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Trust’s taxable income and net capital gains, but not in excess of a Trust’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    105


Additional Information (continued)     

 

General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

In accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Trusts from time to time may purchase shares of its common shares in the open market or in private transactions.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

 

                
106    ANNUAL REPORT    OCTOBER 31, 2016   


Additional Information (concluded)     

 

 

Section 19(a) Notice

These amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the remainder of the fiscal year and may be subject to changes based on tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for federal income tax purposes.

October 31, 2016

 

    Total Fiscal Year-to-Date
Cumulative Distributions by Character
    Percentage of Fiscal Year-to-Date
Cumulative Distributions by Character
 
     Net Investment
Income
    Net Realized
Capital Gains
Short Term
    Net Realized
Capital Gains
Long Term
    Return of
Capital
    Total Per
Common Share
    Net Investment
Income
    Net Realized
Capital Gains
Short Term
    Net Realized
Capital Gains
Long Term
    Return of
Capital
    Total Per
Common Share
 

BGT

  $ 0.699600                           $ 0.699600                                      

BTZ

  $ 0.881936                    $ 0.042564      $ 0.924500                                      

BIT

  $ 1.636289                           $ 1.636289                                      

The Trusts estimate that they have distributed more than the amount of earned income and net realized 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 the Trusts are returned to the shareholder. A return of capital does not necessarily reflect the Trusts’ investment performance and should not be confused with ‘yield’ or ‘income.’ When distributions exceed total return performance, the difference will incrementally reduce the Trusts’ net asset value per share.

Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website at http://www.blackrock.com.

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

                
   ANNUAL REPORT    OCTOBER 31, 2016    107


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

LOGO

 

CE-CAFRI-3-10/16-AR    LOGO


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, by calling 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:

Michael Castellano

Frank J. Fabozzi

Catherine A. Lynch

W. Carl Kester

Karen P. Robards

The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

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 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.

 

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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 Fees3
Entity Name    Current
Fiscal Year  
End
   Previous
Fiscal Year  
End
   Current
Fiscal Year  
End
   Previous
Fiscal Year  
End
   Current
Fiscal Year  
End
   Previous
Fiscal Year  
End
  

Current

Fiscal Year  
End

  

Previous

Fiscal Year  
End

BlackRock Floating Rate Income Trust    $74,913    $74,913    $0    $0    $14,484    $14,484    $0    $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 (“Fund 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

   $2,129,000    $2,391,000

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

2 The nature of the services includes tax compliance, tax advice and tax planning.

3 Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

(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 Fund 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

 

3


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 paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:

 

    Entity Name   

Current Fiscal Year

End

  

Previous Fiscal Year

End

    
 

BlackRock Floating Rate

Income Trust

   $14,484    $14,484   

Additionally, SSAE 16 Review (Formerly, SAS No. 70) fees for the current and previous fiscal years of $2,129,000 and $2,391,000, respectively, were billed by D&T to the Investment Adviser.

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund 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.

 

Item 5 – Audit Committee of Listed Registrants

 

  (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)):

Michael Castellano

Frank J. Fabozzi

Catherine A. Lynch

W. Carl Kester

Karen P. Robards

 

  (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 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

4


Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

 

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – as of October 31, 2016.

 

  (a)(1) The registrant is managed by a team of investment professionals comprised of Leland T. Hart, Managing Director at BlackRock, James E. Keenan, Managing Director at BlackRock and C. Adrian Marshall, CFA, Director at BlackRock. Messrs. Hart, Keenan and Marshall are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Mr. Keenan has been a member of the Fund’s management team since 2007. Messrs. Hart and Marshall have been members of the Fund’s management team since 2009.

 

Portfolio Manager    Biography
Joshua Tarnow    Managing Director of BlackRock, Inc. since 2009; Senior Partner at R3 Capital Partners from 2008 to 2009; Managing Director at Lehman Brothers from 2006 to 2008.
James E. Keenan    Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007; Vice President of BlackRock, Inc. from 2004 to 2005.
C. Adrian Marshall, CFA    Director of BlackRock since 2007; Vice President of BlackRock, Inc. from 2004 to 2007.

 

5


(a)(2) As of October 31, 2016:

 

     

(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

Joshua Tarnow

   6    4    2    0    0    1
     $8.48 Billion    $447.0 Million    $603.7 Million    $0    $0    $252.9 Million

James E. Keenan

   14    25    20    0    0    4
     $28.98 Billion    $14.91 Billion    $8.56 Billion    $0    $0    $822.9 Million

C. Adrian Marshall, CFA

   6    28    11    0    3    0
     $5.62 Billion    $10.17 Billion    $1.32 Billion    $0    $1.20 Million    $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. Tarnow, Keenan and Marshall 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. Tarnow, Keenan and Marshall may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

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

 

6


(a)(3) As of October 31, 2016:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of October 31, 2016.

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
Adrian Marshall, CFA   

A combination of market-based indices (e.g., S&P Leveraged All Loan Index), certain customized indices and certain fund industry peer groups.

 

James Kennan    A combination of market-based indices (e.g., The Barclays U.S. Corporate High Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups.
Joshua Tarnow    Bank of America Merrill Lynch 3 Month U.S. Treasury Bill Index

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock. Typically, the cash portion of the discretionary incentive

 

7


compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of discretionary incentive compensation in 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. Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.

Long-Term Incentive Plan Awards — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance. Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have unvested long-term incentive awards.

Deferred Compensation Program — A portion of the compensation paid to eligible United States-based BlackRock employees may be voluntarily deferred at their election for defined periods of time into an account that tracks the performance of certain of the firm’s investment products. Any portfolio manager who is either a managing director or director at BlackRock with compensation above a specified threshold is eligible to participate in the deferred compensation 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 ($265,000 for 2016). 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 October 31, 2016.

 

   Portfolio Manager   

Dollar Range of Equity Securities

of the Fund Beneficially Owned

  
  

Joshua Tarnow

 

  

None

 

  
   James E. Keenan    None   
   C. Adrian Marshall, CFA    None   

 

8


(b) Not Applicable

 

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.

 

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

Item 11 – Controls and Procedures

(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of 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 – Exhibits attached hereto

(a)(1) – Code of Ethics – See Item 2

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(b) – Certifications – Attached hereto

 

9


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

  BlackRock Floating Rate Income Trust
               By:     /s/ John M. Perlowski                            
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Floating Rate Income Trust

Date: January 4, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

  By:       /s/ John M. Perlowski                            
      John M. Perlowski
                   Chief Executive Officer (principal executive officer) of
      BlackRock Floating Rate Income Trust

Date: January 4, 2017

 

  By:     /s/ Neal J. Andrews                            
                 Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Floating Rate Income Trust

Date: January 4, 2017

 

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