BLACKROCK CREDIT ALLOCATION 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 811-21972

Name of Fund:   BlackRock Credit Allocation Income Trust (BTZ)

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Credit Allocation 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: 10/31/2015

Date of reporting period: 04/30/2015


Item 1 – Report to Stockholders


APRIL 30, 2015

 

 

 

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    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   

Semi-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

    54   

Statements of Operations

    55   

Statements of Changes in Net Assets

    56   

Statements of Cash Flows

    58   

Financial Highlights

    59   

Notes to Financial Statements

    62   

Officers and Trustees

    76   

Additional Information

    77   

 

                
2    SEMI-ANNUAL REPORT    APRIL 30, 2015   


The Markets in Review

 

Dear Shareholder,

Financial market performance was generally positive for the 6- and 12-month periods ended April 30, 2015, although volatility increased from the remarkably low levels seen in recent years. In 2014, as the U.S. Federal Reserve (the “Fed”) gradually reduced its bond buying program (which ultimately ended in October), U.S. interest rates surprisingly trended lower and stock prices forged ahead despite high valuations on the back of a multi-year bull market.

Around mid-year, however, geopolitical tensions intensified in Ukraine and the Middle East and oil prices became highly volatile, stoking worries about economic growth outside the United States. As the U.S. economy continued to post stronger data, investors grew concerned that the Fed would raise short-term rates sooner than previously anticipated. The U.S. dollar appreciated and global credit markets tightened, ultimately putting a strain on investor flows, and financial markets broadly weakened in the third quarter.

U.S. economic growth picked up considerably in the fourth quarter while the broader global economy showed signs of slowing. U.S. markets significantly outperformed international markets during this period even as the European Central Bank (“ECB”) and the Bank of Japan eased monetary policy, which drove further strengthening in the U.S. dollar. Oil prices plummeted due to a global supply-and-demand imbalance, sparking a selloff in energy-related assets and stress in emerging markets. Fixed income investors piled into U.S. Treasuries as their persistently low yields became attractive as compared to international sovereign debt.

Equity markets reversed in 2015, with U.S. stocks underperforming international markets. Investors had held high expectations for the U.S. economy, but after a harsh winter, first-quarter data disappointed and high valuations took their toll on U.S. stocks. The continued appreciation of the dollar was an additional headwind for exporters. Although U.S. economic momentum had broadly weakened, the labor market — a key determinant for the Fed’s decision on the future of interest rate policy — showed improvement, keeping investors on edge about when to expect the first rate hike.

In contrast, economic reports in Europe and Asia easily beat investors’ very low expectations, and accommodative policies from central banks in those regions helped international equities rebound. The ECB’s asset purchase program was the largest in scale and effect on the markets. Global sentiment improved with a ceasefire in Ukraine and an improving outlook for Greece’s continued membership in the eurozone. Emerging market stocks rebounded in April as oil prices appeared to stabilize.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely 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 April 30, 2015  
    6-month     12-month  

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

    4.40     12.98

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

    4.65        9.71   

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

    6.81        1.66   

Emerging market equities
(MSCI Emerging Markets
Index)

    3.92        7.80   

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

Bill Index)

    0.01        0.02   

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

    3.59        8.03   

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

    2.06        4.46   

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

    1.27        4.86   

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

    1.52        2.59   
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 April 30, 2015    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.

 

Portfolio Management Commentary

 

How did the Trust perform?

 

Ÿ  

For the six-month period ended April 30, 2015, the Trust returned 3.66% based on market price and 2.71% based on NAV. For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds (Leveraged) category posted an average return of 3.16% based on market price and 1.90% based on NAV. All returns reflect reinvestment of dividends and/or distributions. 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.

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

What factors influenced performance?

 

Ÿ  

The Trust’s positions in high-yield bonds and capital securities (which combine the features of corporate bonds and preferred stock and typically offer higher yields than corporate debt since they are lower in the capital structure), which outperformed the broader investment-grade corporate bond market, made a positive contribution to performance during the six-month period. On a sector basis, allocations to the financials, industrials and utilities sectors had a positive impact on performance.

 

Ÿ  

The Trust utilized derivatives during the period for the purposes of managing risk in its allocation to financials and targeting specific positioning with respect to the yield curve. On balance, these positions detracted from performance. The Trust also held a conservative duration positioning during the period, which prevented it from fully benefiting from the modest decline in bond yields.

Describe recent portfolio activity.

 

Ÿ  

The Trust had a bias toward higher quality securities, and it continued to look for opportunities to increase credit quality. In addition, the Trust reduced its overweight position in 30-year corporate bonds late in 2014.

Ÿ  

The Trust added to its position in the energy sector by increasing exposure to the midstream sub-sector, which is largely made up of gas pipeline companies. The Trust remained overweight in financials, particularly in the life insurance industry, as the financial sector typically features lower event risk than the industrials sector. Within the financial sector, the Trust maintained an allocation to capital securities given the attractive yield premium available by moving down the capital structure.

Describe portfolio positioning at period end.

 

Ÿ  

The Trust remained defensively positioned on the belief that overall valuations in the credit sectors were not particularly attractive. However, the investment advisor continued to look for ways to capitalize on market volatility and idiosyncratic opportunities. The Trust maintained a bias toward higher-quality securities and sought to avoid the risks associated with events such as mergers and acquisitions or other activities designed to benefit equity investors over bondholders.

 

Ÿ  

The Trust remained underweight in the industrials sector, with its largest underweights in the consumer cyclical, consumer non-cyclical, technology, and energy industries. Within the energy space, the Trust held a significant position in gas pipeline companies, which are less sensitive to fluctuations in the price of the underlying commodity.

 

Ÿ  

Believing U.S. bond yields are too low given the nation’s healthy economic fundamentals, the Trust closed the period with a short duration (or an interest-rate sensitivity below that of the benchmark). The Trust maintained a bias toward a flattening yield curve on the belief that rate hikes by the U.S. Federal Reserve could have a disproportionate impact on short-term bonds. (Prices and yields move in opposite directions). The Trust is more cautious on the international debt markets, however, as quantitative easing actions in Europe and Asia are likely to exacerbate a misallocation of capital flows and further delay the undertaking of true fiscal reform.

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.

 

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 April 30, 2015 ($13.54)1

  7.13%

Current Monthly Distribution per Common Share2

  $0.0805

Current Annualized Distribution per Common Share2

  $0.9660

Economic Leverage as of April 30, 20153

  32%

 

  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.

 

                
4    SEMI-ANNUAL REPORT    APRIL 30, 2015   


     BlackRock Credit Allocation Income Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

           
      4/30/15      10/31/14      Change      High      Low  

Market Price

     $13.54         $13.54         0.00%         $13.65         $12.92   

Net Asset Value

     $15.22         $15.36         (0.91)%         $15.41         $14.93   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments
Portfolio Composition   4/30/15     10/31/141  

Corporate Bonds

    76     78

Preferred Securities

    16        16   

Asset-Backed Securities

    4        3   

U.S. Treasury Obligations

    2        1   

Municipal Bonds

    1        1   

Foreign Agency Obligations

    1        1   

Other2

             

 

  1   

Information has been revised to conform to current year presentation.

 

  2   

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

Credit Quality Allocation3,4  

4/30/15

    10/31/141  

AAA/Aaa5

    3     2

AA/Aa

    2        2   

A

    19        17   

BBB/Baa

    45        45   

BB/Ba

    19        21   

B

    9        9   

CCC/Caa

    1        2   

N/R

    2        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 advisor 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 advisor has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

 

                
   SEMI-ANNUAL REPORT   

APRIL 30, 2015

   5


Trust Summary as of April 30, 2015    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.

 

Portfolio Management Commentary

 

How did the Trust perform?

 

Ÿ  

For the six-month period ended April 30, 2015, the Trust returned 5.78% based on market price and 3.98% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 5.86% based on market price and 2.60% based on NAV. All returns reflect reinvestment of dividends. 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.

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

What factors influenced performance?

 

Ÿ  

After declining in late 2014 along with global risk markets more generally, the market for floating rate loan interests (i.e. bank loans) recovered steadily from around mid-December through the end of the period. Within the loan portfolio, individual security selection in the electric sector, particularly Energy Future Holdings Corp., as well as a focus on higher quality companies in the independent energy sector, were the most significant positive contributors. The Trust’s use of leverage was also a contributor in a strong market for loans, as were modest allocations to collateralized loan obligations (“CLOs”) and high yield bonds.

 

Ÿ  

Allocations to loans within metals & mining and oil field services detracted from performance as those sectors declined.

 

Describe recent portfolio activity.

 

Ÿ  

Throughout the six-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. During the period, the Trust modestly increased its exposure to loans rated BB and B, while reducing exposure to CCC-rated loans. The Trust also modestly increased holdings of CLOs given attractive valuations. With respect to individual holdings, the Trust reduced its position in Caesars Entertainment Resort Properties LLC as the company continued its restructuring, and added to its position in Valeant Pharmaceuticals International as the company did a large acquisition financing.

Describe portfolio positioning at period end.

 

Ÿ  

At period end, the Trust held 93% of its total portfolio in bank loans, with the remainder primarily in corporate bonds and collateralized loan obligations. The Trust continued to favor loans rated B where the investment advisor was comfortable with credit quality, in view of the incremental income they offered versus BB loans. The Trust had a cautious stance with respect to loans rated CC and below and nonrated loans, as well as smaller, less liquid loans. The Trust’s largest portfolio positions included Valeant Pharmaceuticals (pharmaceuticals), Level 3 Communications (wirelines) and HD Supply (building materials).

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.

 

Trust Information

Symbol on NYSE

   BGT

Initial Offering Date

   August 30, 2004

Current Distribution Rate on Closing Market Price as of April 30, 2015 ($13.50)1

   5.80%

Current Monthly Distribution per Common Share2

   $0.0653

Current Annualized Distribution per Common Share2

   $0.7836

Economic Leverage as of April 30, 20153

   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 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.

 

                
6    SEMI-ANNUAL REPORT   

APRIL 30, 2015

  


     BlackRock Floating Rate Income Trust

 

 

Market Price and Net Asset Value Per Share Summary                              

 

      4/30/15      10/31/14      Change      High      Low  

Market Price

   $ 13.50       $ 13.18         2.43    $ 13.73       $ 12.58   

Net Asset Value

   $ 14.67       $ 14.57         0.69    $ 14.68       $ 14.12   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments
Portfolio Composition   

4/30/15

    10/31/141  

Floating Rate Loan Interests

     93     93

Corporate Bonds

     4        4   

Asset-Backed Securities

     2        2   

Common Stocks

     1        1   

Other

     2       3  

 

  1   

Information has been revised to conform to current year presentation.

 

  2   

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

 

  3   

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

 

Credit Quality Allocation4,5   

4/30/15

    10/31/141  

BBB/Baa

     6     7

BB/Ba

     45        38   

B

     42        43   

CCC/Caa

     4        4   

N/R

     3        8   

 

  4   

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.

 

  5   

Excludes Short-Term Securities and Options Purchased.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    7


Trust Summary as of April 30, 2015    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 objective will be achieved.

 

Portfolio Management Commentary

 

How did the Trust perform?

 

Ÿ  

For the six-month period ended April 30, 2015, the Trust returned 3.42% based on market price and 3.75% based on NAV. For the same period, the closed-end Lipper General Bond Funds category posted an average return of 2.42% based on market price and 1.70% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV.

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

What factors influenced performance?

 

Ÿ  

The Trust’s positions in high yield corporate bonds and bank capital securities were the most significant contributors to performance. The Trust also received positive contributions from its exposures to securitized assets in the form of commercial mortgage-backed securities, asset-backed securities (“ABS”) and non-agency mortgage-backed securities (“MBS”).

 

Ÿ  

The main detractor from the Trust’s performance came from its long positioning with respect to duration (sensitivity to interest rate movements).

Describe recent portfolio activity.

 

Ÿ  

With valuations increasingly stretched and market volatility elevated as event risk increased within the corporate credit space, the Trust’s exposure to corporate and high yield credit was marginally reduced over the reporting period. In contrast, the Trust’s exposure to ABS was increased as the investment manager viewed valuations there as relatively attractive given continued strong market fundamentals of healthy demand and limited supply. The Trust also added marginally to non-agency MBS as their spreads offered more attractive income than other fixed income securities.

Describe portfolio positioning at period end.

 

Ÿ  

The Trust continued to hold significant exposure to high yield and structured credit—including ABS and non-agency MBS—in order to maximize income within a market environment that is supportive of fixed income spread sectors.

 

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.

 

Trust Information     

Symbol on NYSE

  BIT

Initial Offering Date

  February 27, 2013

Current Distribution Rate on Closing Market Price as of April 30, 2015 ($17.59)1

  7.96%

Current Monthly Distribution per Common Share2

  $0.1167

Current Annualized Distribution per Common Share2

  $1.4004

Economic Leverage as of April 30, 20153

  43%

 

  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.

 

                
8    SEMI-ANNUAL REPORT   

APRIL 30, 2015

  


     BlackRock Multi-Sector Income Trust

 

 

Market Price and Net Asset Value Per Share Summary                              

 

     

4/30/15

     10/31/14      Change     High      Low  

Market Price

   $ 17.59       $ 17.79         (1.12 )%    $ 17.98       $ 16.57   

Net Asset Value

   $ 19.71       $ 19.87         (0.81 )%    $ 19.90       $ 19.15   

 

Market Price and Net Asset Value History Since Inception

 

LOGO

 

  1   

Commencement of operations.

 

Overview of the Trust’s Total Investments
Portfolio Composition  

4/30/15

    10/31/141  

Corporate Bonds

    33     35

Non-Agency Mortgage-Backed Securities

    29        29   

Asset-Backed Securities

    18        15   

Preferred Securities

    12        14   

Floating Rate Loan Interests

    5        5   

Short-Term Securities

    1        1   

Foreign Agency Obligations

    2        1   

Other2

             

 

  1   

Information has been revised to conform to current year presentation.

 

  2   

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

 

Credit Quality Allocation3,4  

4/30/15

    10/31/141  

A

    3     3

BBB/Baa

    20        17   

BB/Ba

    26        25   

B

    15        17   

CCC/Caa

    20        21   

CC/Ca

    5        5   

D

             

N/R

    11        12   

 

  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.

 

                
   SEMI-ANNUAL REPORT   

APRIL 30, 2015

   9


The Benefits and Risks of Leveraging     

 

The Trusts may utilize leverage to seek to enhance the yield 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 will be 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 each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Trust’s 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, the 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 the Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, the Trust’s financing cost of leverage is significantly lower than the income earned on the Trust’s longer-term investments acquired from leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit Common 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 Trust’s return on assets purchased with leverage proceeds, income to shareholders will be lower than if the Trust had not used leverage. Furthermore, the value of the Trust’s 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 Trust’s obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trust’s NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Trust’s intended leveraging strategy will be successful.

Leverage also generally cause greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the net asset value and market price of a Trust’s shares than if the Trust were not leveraged. In addition, the 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 Trust to incur losses. The use of leverage may limit the Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. The Trust incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shares. Moreover, to the extent the calculation of the Trust’s investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trust’s investment advisor will be higher than if the Trust 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”), BTZ and BGT are each permitted to issue debt up to 33 1/3% of their total managed assets and BIT is permitted to issue debt 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 the Trust’s obligations under the reverse repurchase agreement (including accrued interest), then such transaction will not be considered a senior security and will not be subject to the foregoing limitations and requirements under the 1940 Act.

 

Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities 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. Derivative financial instruments also 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 derivative financial instrument. The Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial 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 are discussed in detail in the Notes to Financial Statements.

 

                
10    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments April 30, 2015 (Unaudited)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities (a)   

Par  

(000)

    Value  

ACAS CLO Ltd., Class C (b):

      

Series 2014-1A, 3.18%, 7/18/26

     USD        750      $ 742,657   

Series 2014-2A, 3.47%, 1/15/27

       1,000        999,981   

ALM XII Ltd., Series 2015-12A, Class B, 3.53%, 4/16/27 (b)

       1,000        1,000,000   

ALM XIV Ltd., Series 2014-14A (b):

      

Class B, 3.23%, 7/28/26

       5,000        4,969,570   

Class C, 3.73%, 7/28/26

       5,000        4,781,378   

Anchorage Capital CLO Ltd., 3.28%, 4/28/26 (b)

       1,000        982,330   

Apidos CDO, Series 2012-9AR, Class CR, 3.18%, 7/15/23 (b)

       1,000        1,000,000   

Apidos CLO XVII, Series 2014-17A, Class B, 3.12%, 4/17/26 (b)

       1,000        990,874   

Apidos CLO XVIII, Series 2014-18A, Class C, 3.93%, 7/22/26 (b)

       1,800        1,749,029   

Atlas Senior Loan Fund V Ltd., Series 2014-1A (b):

      

Class C, 3.28%, 7/16/26

       1,000        984,970   

Class D, 3.73%, 7/16/26

       2,000        1,905,710   

Atlas Senior Loan Fund VI Ltd., Series 2014-6A, Class D, 3.98%, 10/15/26 (b)

       3,000        2,894,316   

Atrium CDO Corp., Series 5A, Class A4, 0.65%, 7/20/20 (b)

       9,000        8,778,333   

Babson CLO Ltd., Series 2014-3A (b):

      

Class C1, 3.28%, 1/15/26

       1,500        1,500,000   

Class D1, 3.78%, 1/15/26

       1,000        953,750   

Battalion CLO VII Ltd., Series 2014-7A, Class C, 4.17%, 10/17/26 (b)

       1,000        976,457   

Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class B, 3.08%, 7/20/26 (b)

       1,250        1,221,875   

Benefit Street Partners CLO V Ltd., Series 2014-VA, Class D, 3.83%, 10/20/26 (b)

       1,500        1,446,384   

Benefit Street Partners CLO VI, Ltd., Series 2015-VIA, Class B, 3.20%, 4/18/27 (b)

       1,000        987,200   

Betony CLO, Ltd., Series 2015-1A, Class C, 3.41%, 4/15/27 (b)

       1,000        997,500   

BlueMountain CLO Ltd., Series 2011-1A, Class D, 4.26%, 8/16/22 (b)

       2,000        1,999,957   

Bowman Park CLO Ltd., Series 2014-1A, Class D2, 4.21%, 11/23/25 (b)

       1,000        996,197   

Carlyle Global Market Strategies CLO 2015-1, Ltd., Series 2015-1A, Class C, 3.41%, 4/20/27 (b)

       1,000        996,887   

Carlyle Global Market Strategies CLO Ltd., Series 2014-5A, Class C, 4.43%, 10/16/25 (b)

       1,000        1,000,684   

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

      

Class C1, 3.08%, 7/22/26

       1,500        1,472,763   

Class D, 3.68%, 7/22/26

       1,400        1,333,804   

Dryden 34 Senior Loan Fund, Series 2014-34A, Class C, 3.08%, 10/15/26 (b)

       750        740,473   

Galaxy CLO Ltd., Series 2014-18A, Class C1, 3.28%, 10/15/26 (b)

       1,750        1,749,970  

GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class D, 3.78%, 10/29/26 (b)

       1,000        970,430   

Highbridge Loan Management 4-2014, Ltd., Series 4A-2014, Class B, 3.28%, 7/28/25 (b)

       1,000        981,677   
Asset-Backed Securities (a)   

Par  

(000)

    Value  

ING IM CLO Ltd., Series 2012-4A, Class C, 4.78%, 10/15/23 (b)

     USD        1,000      1,002,647   

Jamestown CLO Ltd., Series 2014-4A, Class C, 3.78%, 7/15/26 (b)

       3,250        3,111,735   

LCM XVIII LP, Series 18A, Class C1, 3.45%, 4/20/27 (b)

       1,000        1,000,000   

Limerock CLO III LLC, Series 2014-3A, Class C, 3.83%, 10/20/26 (b)

       1,000        969,000   

Madison Park Funding Ltd. (b):

      

Series 2012-10A, Class D, 4.53%, 1/20/25

       3,000        3,000,690   

Series 2012-8AR, Class CR, 3.08%, 4/22/22

       1,350        1,355,190   

Series 2012-8AR, Class DR, 4.13%, 4/22/22

       1,500        1,506,088   

Series 2014-14A, Class D, 3.88%, 7/20/26

       2,000        1,938,008   

Madison Park Funding XIII, Ltd., Series 2014-13A, Class C, 3.03%, 1/19/25 (b)

       1,000        988,333   

Madison Park Funding XV, Ltd., Series 2014-15A, Class B1, 3.46%, 1/27/26 (b)

       2,400        2,407,070   

Madison Park Funding XVI, Ltd., Series 2015-16A, Class B, 3.30%, 4/20/26 (b)

       1,000        990,100   

Octagon Investment Partners XX Ltd., Series 2014-1A (b):

      

Class C, 3.06%, 8/12/26

       750        736,287   

Class D, 3.91%, 8/12/26

       900        871,993   

Octagon Loan Funding Ltd., Series 2014-1A, Class D, 3.91%, 11/18/26 (b)

       1,500        1,451,048   

OZLM VII Ltd., Series 2014-7A, Class C, 3.87%, 7/17/26 (b)

       1,500        1,451,554   

OZLM VIII Ltd., Series 2014-8A, Class B, 3.27%, 10/17/26 (b)

       900        894,821   

OZLM XI, Ltd., Series 2015-11A, Class B, 3.27%, 1/30/27 (b)

       1,000        993,498   

Regatta IV Funding Ltd., Series 2014-1A (b):

      

Class C, 3.23%, 7/25/26

       1,500        1,477,234   

Class D, 3.78%, 7/25/26

       1,000        958,626   

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

      

Class B, 3.23%, 10/25/26

       1,000        987,488   

Class C, 3.68%, 10/25/26

       1,000        955,309   

Silver Spring CLO Ltd., Series 2014-1A, Class D, 3.72%, 10/15/26 (b)

       750        697,687   

SLM Student Loan Trust, Series 2004-B, Class A2, 0.47%, 6/15/21

       2,368        2,354,586   

Sound Point CLO Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (b)

       1,000        957,500   

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

      

Class C, 3.47%, 10/17/26

       1,500        1,502,116   

Class D, 4.02%, 10/17/26

       1,000        984,500   

Symphony CLO, Ltd., Series 2012-10AR, Class CR, 3.12%, 7/23/23 (b)

       1,000        1,000,000   

Venture XIII CLO Ltd., Series 2013-13A, Class D, 3.81%, 6/10/25 (b)

       800        778,012   

Venture XVIII CLO Ltd., Series 2014-18A, Class C, 3.35%, 10/15/26 (b)

       800        795,042   

Voya CLO Ltd., Class C (b):

      

Series 2014-3A, 3.88%, 7/25/26

       1,250        1,218,222   

Series 2014-4A, 4.28%, 10/14/26

       1,000        999,977   

 

Portfolio Abbreviations

 

ADS    American Depositary Shares      FKA    Formerly Known As    NZD    New Zealand Dollar
ARB    Airport Revenue Bonds      GBP    British Pound    OTC    Over-the-Counter
AUD    Australian Dollar      IDR    Indonesian Rupiah    PIK    Payment-In-Kind
BRL    Brazilian Real      JPY    Japanese Yen    PLN    Polish Zloty
BZDIOVER    Overnight Brazil CETIP Interbank Rate      KRW    South Korean Won    RB    Revenue Bonds
CAD    Canadian Dollar      LIBOR    London Interbank Offered Rate    REMIC    Real Estate Mortgage Investment Conduit
CLO    Collateralized Loan Obligation      MXIBTIIE    Mexico Interbank TIIE 28 Day    RUB    Russian Ruble
DIP    Debtor-In-Possession      MXN    Mexican Peso    TRY    Turkish Lira
EUR    Euro      MYR    Malaysian Ringgit    USD    U.S. Dollar
EURIBOR    Euro Interbank Offered Rate      NOK    Norwegian Krone    ZAR    South African Rand

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    11


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities (a)   

Par  

(000)

    Value  

WhiteHorse IX Ltd., Series 2014-9A, Class C, 2.97%, 7/17/26 (b)

     USD        1,500      $ 1,426,671   
Total Asset-Backed Securities — 5.7%                      93,866,188   
      
                          
Corporate Bonds                      

Aerospace & Defense — 0.6%

      

Huntington Ingalls Industries, Inc.:

      

7.13%, 3/15/21

       2,000        2,145,000   

5.00%, 12/15/21 (b)

       536        554,090   

TransDigm, Inc.:

      

6.00%, 7/15/22

       4,585        4,613,656   

6.50%, 7/15/24

       2,140        2,171,779   
      

 

 

 
                       9,484,525   

Air Freight & Logistics — 0.1%

      

XPO Logistics, Inc., 7.88%, 9/01/19 (b)

             1,548        1,644,750   

Airlines — 1.1%

      

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

       692        682,485   

Continental Airlines Pass-Through Trust:

      

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

       2,460        2,706,209   

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

       2,040        2,162,400   

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

       3,200        3,711,744   

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

       3,100        3,146,500   

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

       4,200        4,357,500   

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

       1,517        1,577,173   
      

 

 

 
                       18,344,011   

Auto Components — 1.6%

      

The Goodyear Tire & Rubber Co., 6.50%, 3/01/21

       1,600        1,692,800   

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

3.50%, 3/15/17

       265        266,325   

4.88%, 3/15/19

       3,950        4,024,655   

6.00%, 8/01/20

       3,108        3,267,907   

5.88%, 2/01/22

       3,816        3,944,409   

Schaeffler Finance BV, 4.75%, 5/15/21 (b)

       2,470        2,525,575   

Schaeffler Holding Finance BV (b)(c):

      

6.25%, (6.25% Cash) 11/15/19

       1,112        1,184,280   

6.75%, (6.75% Cash) 11/15/22

       2,417        2,646,615   

TRW Automotive, Inc. (b):

      

4.50%, 3/01/21

       2,400        2,433,000   

4.45%, 12/01/23

       2,600        2,635,750   

ZF North America Capital, Inc. (b):

      

4.00%, 4/29/20

       545        548,406   

4.50%, 4/29/22

       291        290,454   

4.75%, 4/29/25

       868        870,170   
      

 

 

 
                       26,330,346   

Automobiles — 0.6%

      

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

       3,660        4,968,476   

General Motors Co.:

      

4.88%, 10/02/23

       1,875        2,030,662   

6.25%, 10/02/43

       940        1,121,905   

5.20%, 4/01/45

       1,530        1,618,833   
      

 

 

 
                       9,739,876   

Banks — 5.3%

      

Associated Banc-Corp, 5.13%, 3/28/16 (d)

       7,430        7,673,325   

CIT Group, Inc.:

      

4.25%, 8/15/17

       4,600        4,680,500   

5.25%, 3/15/18

       4,030        4,177,095   
Corporate Bonds   

Par  

(000)

    Value  

Banks (concluded)

      

CIT Group, Inc. (concluded):

      

6.63%, 4/01/18 (b)

     USD        335      359,288   

5.50%, 2/15/19 (b)

       5,147        5,385,049   

5.00%, 8/01/23

       660        674,438   

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

       2,900        3,322,370   

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 3.95%, 11/09/22 (d)

       3,775        3,872,312   

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

       12,000        13,701,660   

Discover Bank, 8.70%, 11/18/19

       748        916,005   

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

       5,000        4,760,000   

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

       5,150        6,077,000   

Regions Financial Corp., 5.75%, 6/15/15

       6,110        6,144,803   

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

       10,080        11,040,070   

Santander Holdings USA, Inc., 3.00%, 9/24/15

       3,750        3,773,962   

Wells Fargo & Co. (d):

      

3.45%, 2/13/23

       2,325        2,369,321   

4.13%, 8/15/23

       4,000        4,253,316   

5.61%, 1/15/44

       4,119        4,792,934   
      

 

 

 
                       87,973,448   

Building Products — 0.2%

      

Building Materials Corp. of America, 6.75%, 5/01/21 (b)

       2,700        2,868,750   

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

       610        637,450   
      

 

 

 
                       3,506,200   

Cable Television Services — 0.1%

      

SBA Communications Corp., 4.88%, 7/15/22 (b)

             1,445        1,428,744   

Capital Markets — 3.0%

      

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

       1,348        1,432,250   

The Goldman Sachs Group, Inc. (d):

      

6.25%, 9/01/17

       625        690,476   

7.50%, 2/15/19

       5,165        6,128,613   

5.25%, 7/27/21

       1,175        1,329,622   

5.75%, 1/24/22

       5,500        6,382,799   

6.25%, 2/01/41

       15,000        18,934,335   

Morgan Stanley (d):

      

5.63%, 9/23/19

       6,770        7,666,240   

5.50%, 7/28/21

       2,695        3,106,144   

UBS AG, 5.88%, 7/15/16

       3,450        3,639,871   
      

 

 

 
                       49,310,350   

Chemicals — 1.8%

      

Ashland, Inc., 3.88%, 4/15/18

       1,745        1,797,350   

Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21 (b)

       617        669,445   

Axiall Corp., 4.88%, 5/15/23

       367        370,670   

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

       6,000        8,170,782   

Celanese US Holdings LLC, 5.88%, 6/15/21

       2,615        2,869,962   

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

       2,500        2,726,993   

Chemtura Corp., 5.75%, 7/15/21

       632        653,330   

Eagle Spinco, Inc., 4.63%, 2/15/21

       2,370        2,399,625   

Huntsman International LLC:

      

4.88%, 11/15/20

       775        782,750   

8.63%, 3/15/21

       806        854,360   

5.13%, 11/15/22 (b)

       2,495        2,521,509   

NOVA Chemicals Corp. (b):

      

5.25%, 8/01/23

       2,277        2,396,543   

5.00%, 5/01/25

       905        953,644   

Platform Specialty Products Corp., 6.50%, 2/01/22 (b)

       1,693        1,769,185   
      

 

 

 
                       28,936,148   

Commercial Services & Supplies — 3.1%

      

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

       1,003        1,060,673   

 

See Notes to Financial Statements.

 

                
12    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Corporate Bonds   

Par  

(000)

    Value  

Commercial Services & Supplies (concluded)

      

Aviation Capital Group Corp. (b):

      

7.13%, 10/15/20 (d)

     USD        31,000      $ 36,394,527   

6.75%, 4/06/21

       7,850        9,117,382   

Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (b)

       301        287,455   

Covanta Holding Corp., 6.38%, 10/01/22

       2,245        2,385,312   

Mobile Mini, Inc., 7.88%, 12/01/20

       930        976,500   
      

 

 

 
                       50,221,849   

Communications Equipment — 0.2%

      

CommScope, Inc. (b):

      

5.00%, 6/15/21

       527        527,000   

5.50%, 6/15/24

       564        568,230   

Harris Corp., 5.05%, 4/27/45

       1,790        1,793,612   
      

 

 

 
                       2,888,842   

Construction & Engineering — 0.3%

      

AECOM Technology Corp. (b):

      

5.75%, 10/15/22

       333        344,655   

5.88%, 10/15/24

       2,311        2,393,942   

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

       413        421,301   

Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)

       673        681,413   

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

       825        792,000   
      

 

 

 
                       4,633,311   

Construction Materials — 0.7%

      

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

       1,907        2,007,118   

HD Supply, Inc.:

      

11.00%, 4/15/20

       2,740        3,109,900   

7.50%, 7/15/20

       2,905        3,115,612   

5.25%, 12/15/21 (b)

       3,278        3,400,925   
      

 

 

 
                       11,633,555   

Consumer Finance — 3.1%

      

Ally Financial, Inc.:

      

5.13%, 9/30/24

       855        887,062   

4.63%, 3/30/25

       235        234,266   

8.00%, 11/01/31

       5,665        7,109,575   

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

       11,610        11,672,195   

Countrywide Financial Corp., 6.25%, 5/15/16 (d)

       8,069        8,479,147   

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

       3,252        3,340,090   

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

       2,550        2,575,559   

Navient Corp.:

      

3.88%, 9/10/15

       5,000        5,032,500   

6.25%, 1/25/16

       11,620        11,968,600   
      

 

 

 
                       51,298,994   

Containers & Packaging — 0.7%

      

Beverage Packaging Holdings Luxembourg II SA, 5.63%, 12/15/16 (b)

       3,944        3,993,300   

Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21

       3,128        3,288,310   

Pactiv LLC, 7.95%, 12/15/25

       163        166,260   

Sealed Air Corp. (b):

      

6.50%, 12/01/20

       2,330        2,592,125   

8.38%, 9/15/21

       700        789,250   

5.13%, 12/01/24

       649        676,582   
      

 

 

 
                       11,505,827   

Diversified Consumer Services — 0.3%

      

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

             4,382        4,480,595   

Diversified Financial Services — 10.4%

      

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

       5,000        5,059,320   

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

       3,937        4,345,464   
Corporate Bonds   

Par  

(000)

    Value  

Diversified Financial Services (concluded)

      

Bank of America Corp. (d):

      

3.75%, 7/12/16

     USD        5,525      5,696,131   

5.00%, 5/13/21

       17,100        19,158,686   

5.70%, 1/24/22

       2,590        3,001,787   

4.00%, 4/01/24

       6,975        7,304,534   

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

       13,440        14,317,793   

Barclays PLC, 4.38%, 9/11/24

       2,100        2,097,075   

Citigroup, Inc. (d):

      

4.45%, 1/10/17

       4,800        5,045,688   

8.50%, 5/22/19

       464        574,101   

6.68%, 9/13/43

       4,125        5,292,693   

Deutsche Bank AG, 4.50%, 4/01/25

       3,985        3,901,960   

Ford Motor Credit Co. LLC:

      

8.00%, 12/15/16

       4,000        4,413,728   

5.88%, 8/02/21

       9,420        11,007,477   

General Motors Financial Co., Inc.:

      

6.75%, 6/01/18

       1,700        1,921,884   

4.38%, 9/25/21

       2,260        2,400,979   

4.25%, 5/15/23

       1,681        1,735,128   

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

       8,000        9,079,160   

Intesa Sanpaolo SpA, 3.13%, 1/15/16

       5,450        5,515,057   

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

       2,105        2,078,687   

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

       4,000        4,102,052   

Lloyds Banking Group PLC, 4.50%, 11/04/24

       6,875        7,048,243   

Moody’s Corp., 6.06%, 9/07/17

       20,000        20,881,640   

Mubadala GE Capital, Ltd., 3.00%, 11/10/19 (b)

       5,000        4,963,500   

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

       4,000        1,746,800   

Reynolds Group Issuer, Inc.:

      

9.00%, 4/15/19

       370        387,575   

7.88%, 8/15/19

       2,480        2,610,200   

9.88%, 8/15/19

       147        156,647   

5.75%, 10/15/20

       3,142        3,283,390   

6.88%, 2/15/21

       105        110,316   

Royal Bank of Scotland Group PLC:

      

6.13%, 12/15/22

       425        471,499   

6.10%, 6/10/23

       2,500        2,746,417   

5.13%, 5/28/24

       5,250        5,422,426   

Societe Generale SA, 4.25%, 4/14/25 (b)

       2,600        2,502,685   
      

 

 

 
                       170,380,722   

Diversified Telecommunication Services — 5.6%

      

AT&T, Inc.:

      

6.30%, 1/15/38 (d)

       12,000        14,046,180   

4.30%, 12/15/42

       265        242,536   

4.35%, 6/15/45

       367        339,140   

CenturyLink, Inc.:

      

5.63%, 4/01/20

       1,375        1,448,549   

6.45%, 6/15/21

       285        306,375   

Frontier Communications Corp.:

      

6.25%, 9/15/21

       980        972,650   

7.63%, 4/15/24

       2,400        2,445,000   

Level 3 Financing, Inc.:

      

8.13%, 7/01/19

       11,171        11,740,721   

5.38%, 8/15/22

       2,250        2,297,812   

5.13%, 5/01/23 (b)

       1,653        1,648,868   

5.38%, 5/01/25 (b)

       1,985        1,982,519   

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

       6,550        6,809,557   

Verizon Communications, Inc. (d):

      

5.15%, 9/15/23

       8,775        9,903,930   

6.40%, 9/15/33

       9,475        11,532,506   

7.35%, 4/01/39

       7,825        10,519,703   

6.55%, 9/15/43

       13,225        16,547,318   
      

 

 

 
                       92,783,364   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    13


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Corporate Bonds   

Par  

(000)

    Value  

Electric Utilities — 3.8%

      

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

     USD        9,900      $ 11,184,891   

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

       3,650        3,865,387   

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

       5,550        6,312,975   

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

       4,810        5,011,857   

Mirant Mid-Atlantic Pass-Through Trust:

      

Series B, 9.13%, 6/30/17

       1,039        1,103,780   

Series C, 10.06%, 12/30/28

       1,568        1,728,323   

NiSource Finance Corp., 6.80%, 1/15/19

       3,075        3,589,309   

Oncor Electric Delivery Co. LLC (d):

      

4.10%, 6/01/22

       4,150        4,516,366   

5.30%, 6/01/42

       2,750        3,336,418   

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

       12,000        15,864,744   

Puget Energy, Inc.:

      

6.00%, 9/01/21

       275        324,725   

5.63%, 7/15/22

       5,550        6,439,843   
      

 

 

 
                       63,278,618   

Electrical Equipment — 0.1%

      

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

             2,385        2,039,175   

Electronic Equipment, Instruments & Components — 0.4%

  

 

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

       2,600        3,009,500   

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

       475        477,612   

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

       1,415        1,422,075   

WireCo WorldGroup, Inc., 9.50%, 5/15/17

       1,605        1,412,400   
      

 

 

 
                       6,321,587   

Energy Equipment & Services — 0.9%

      

Energy Transfer Partners LP, 5.20%, 2/01/22

       10,200        11,108,575   

Ensco PLC, 4.50%, 10/01/24

       2,930        2,886,654   

Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21

       293        290,802   

Transocean, Inc., 6.00%, 3/15/18

       540        538,650   
      

 

 

 
                       14,824,681   

Food & Staples Retailing — 1.2%

      

Family Tree Escrow LLC (b):

      

5.25%, 3/01/20

       335        350,913   

5.75%, 3/01/23

       3,443        3,615,150   

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

       4,415        5,932,656   

Rite Aid Corp.:

      

6.75%, 6/15/21

       761        805,709   

6.13%, 4/01/23 (b)

       2,974        3,081,807   

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

       5,150        6,240,940   
      

 

 

 
                       20,027,175   

Food Products — 1.1%

      

Barry Callebaut Services NV, 5.50%, 6/15/23 (b)

       2,600        2,775,500   

Kellogg Co., Series B, 7.45%, 4/01/31 (d)

       3,425        4,589,233   

Mondelez International, Inc.:

      

6.50%, 8/11/17

       4,450        4,967,424   

6.13%, 8/23/18

       4,840        5,535,445   

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

       715        750,750   
      

 

 

 
                       18,618,352   

Gas Utilities — 0.1%

      

Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.88%, 2/01/21

             1,265        1,328,250   

Health Care Equipment & Supplies — 0.5%

      

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

       1,865        1,892,975   

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

       4,565        4,917,071   

Teleflex, Inc., 6.88%, 6/01/19

       1,660        1,720,175   
      

 

 

 
                       8,530,221   
Corporate Bonds   

Par  

(000)

    Value  

Health Care Providers & Services — 4.1%

      

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

     USD        435      433,913   

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

       1,856        1,884,211   

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19

       1,550        1,610,062   

CHS/Community Health Systems, Inc.:

      

5.13%, 8/15/18

       1,620        1,680,750   

6.88%, 2/01/22

       1,111        1,179,049   

DaVita HealthCare Partners, Inc.:

      

5.13%, 7/15/24

       1,990        2,025,074   

5.00%, 5/01/25

       1,871        1,867,492   

HCA Holdings, Inc., 7.75%, 5/15/21

       4,549        4,844,685   

HCA, Inc.:

      

3.75%, 3/15/19

       4,364        4,494,920   

6.50%, 2/15/20

       10,421        11,879,940   

5.88%, 3/15/22

       340        380,375   

4.75%, 5/01/23

       676        709,800   

HealthSouth Corp.:

      

5.13%, 3/15/23

       512        527,360   

5.75%, 11/01/24

       889        937,895   

Omnicare, Inc.:

      

4.75%, 12/01/22

       289        315,733   

5.00%, 12/01/24

       183        199,470   

Tenet Healthcare Corp.:

      

6.25%, 11/01/18

       736        796,536   

4.75%, 6/01/20

       1,450        1,471,750   

6.00%, 10/01/20

       3,645        3,891,037   

4.50%, 4/01/21

       73        72,726   

4.38%, 10/01/21

       7,335        7,243,312   

8.13%, 4/01/22

       4,907        5,354,764   

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

       10,000        13,969,350   
      

 

 

 
                       67,770,204   

Health Care Technology — 0.4%

      

Amgen, Inc., 5.15%, 11/15/41 (d)

             6,500        7,028,066   

Hotels, Restaurants & Leisure — 0.8%

      

CDW LLC/CDW Finance Corp.:

      

6.00%, 8/15/22

       1,380        1,486,950   

5.00%, 9/01/23

       582        599,460   

5.50%, 12/01/24

       2,458        2,612,854   

MGM Resorts International, 6.00%, 3/15/23

       1,935        2,003,934   

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

       2,215        2,286,988   

Pinnacle Entertainment, Inc., 6.38%, 8/01/21

       1,586        1,685,125   

Sabre GLBL, Inc., 5.38%, 4/15/23 (b)

       594        605,880   

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

       1,718        1,773,835   
      

 

 

 
                       13,055,026   

Household Durables — 1.2%

      

Beazer Homes USA, Inc., 6.63%, 4/15/18

       2,330        2,414,462   

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

       1,647        1,704,645   

K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b)

       1,557        1,630,958   

KB Home, 7.25%, 6/15/18

       1,990        2,154,175   

Shea Homes LP / Shea Homes Funding Corp. (b):

      

5.88%, 4/01/23

       910        934,934   

6.13%, 4/01/25

       920        943,000   

Standard Pacific Corp., 8.38%, 1/15/21

       3,015        3,527,550   

Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (b)

       767        768,918   

Tri Pointe Holdings, Inc. (b):

      

4.38%, 6/15/19

       920        906,200   

5.88%, 6/15/24

       625        616,406   

United Rentals North America, Inc.:

      

7.38%, 5/15/20

       2,025        2,183,537   

7.63%, 4/15/22

       1,853        2,042,932   
      

 

 

 
                       19,827,717   

 

See Notes to Financial Statements.

 

                
14    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Corporate Bonds   

Par  

(000)

    Value  

Household Products — 0.1%

      

Spectrum Brands, Inc.:

      

6.38%, 11/15/20

     USD        810      $ 858,600   

6.63%, 11/15/22

       1,110        1,187,700   
      

 

 

 
                       2,046,300   

Independent Power and Renewable Electricity Producers — 0.8%

  

 

Baytex Energy Corp., 5.13%, 6/01/21 (b)

       435        424,125   

Calpine Corp.:

      

6.00%, 1/15/22 (b)

       878        928,485   

5.38%, 1/15/23

       2,333        2,353,414   

5.88%, 1/15/24 (b)

       823        880,610   

5.50%, 2/01/24

       1,749        1,749,000   

5.75%, 1/15/25

       1,770        1,778,939   

Dynegy, Inc., 6.75%, 11/01/19 (b)

       2,195        2,293,775   

NRG REMA LLC, 9.68%, 7/02/26

       1,130        1,226,050   

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

       1,927        1,951,087   
      

 

 

 
                       13,585,485   

Insurance — 5.3%

      

A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (b)

       1,204        1,240,120   

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

       8,710        10,451,225   

Aon Corp., 5.00%, 9/30/20 (d)

       7,700        8,624,593   

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

       6,500        6,253,611   

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

       3,400        3,965,593   

Manulife Financial Corp., 4.90%, 9/17/20 (d)

       10,425        11,605,986   

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)

       1,455        1,545,937   

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

       12,000        15,342,504   

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

       2,825        3,532,725   

Prudential Financial, Inc., 6.63%, 12/01/37 (d)

       10,000        13,008,100   

XLIT Ltd., 5.75%, 10/01/21 (d)

       10,085        11,713,818   
      

 

 

 
                       87,284,212   

Internet Software & Services — 0.1%

      

Netflix, Inc. (b):

      

5.50%, 2/15/22

       563        592,558   

5.88%, 2/15/25

       339        361,035   
      

 

 

 
                       953,593   

IT Services — 0.5%

      

Epicor Software Corp., 8.63%, 5/01/19

       2,400        2,508,000   

First Data Corp. (b):

      

7.38%, 6/15/19

       2,905        3,017,569   

6.75%, 11/01/20

       1,768        1,882,920   

8.25%, 1/15/21

       250        265,077   
      

 

 

 
                       7,673,566   

Life Sciences Tools & Services — 0.8%

      

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

             12,000        13,806,468   

Media — 6.2%

      

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

       9,575        11,739,390   

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

       5,000        5,038,000   

Altice Financing SA, 6.63%, 2/15/23 (b)

       1,313        1,352,390   

Altice Finco SA, 7.63%, 2/15/25 (b)

       551        561,676   

Altice SA (b):

      

7.75%, 5/15/22

       3,245        3,277,482   

7.63%, 2/15/25

       1,515        1,532,120   

AMC Networks, Inc.:

      

7.75%, 7/15/21

       1,330        1,449,700   

4.75%, 12/15/22

       685        697,844   

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

       349        360,761   
Corporate Bonds   

Par  

(000)

    Value  

Media (concluded)

      

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

     USD        10,205      10,764,207   

COX Communications, Inc., 8.38%, 3/01/39 (b)(d)

       5,000        6,878,035   

CSC Holdings LLC, 8.63%, 2/15/19

       4,005        4,638,190   

DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.00%, 3/01/21 (d)

       8,575        9,488,117   

DISH DBS Corp., 5.88%, 11/15/24

       2,462        2,425,070   

Gray Television, Inc., 7.50%, 10/01/20

       713        757,563   

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

       3,345        3,407,863   

Intelsat Jackson Holdings SA:

      

7.25%, 4/01/19

       710        735,738   

5.50%, 8/01/23

       2,909        2,738,096   

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

       6,025        6,173,691   

Live Nation Entertainment, Inc., 7.00%, 9/01/20 (b)

       463        493,095   

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

       1,471        1,518,808   

Numericable Group SA, 6.00%, 5/15/22 (b)

       9,000        9,219,375   

Outfront Media Capital LLC / Outfront Media Capital Corp.:

      

5.25%, 2/15/22

       249        257,715   

5.63%, 2/15/24

       122        127,033   

Sirius XM Radio, Inc., 4.25%, 5/15/20 (b)

       2,300        2,288,500   

Time Warner Cable, Inc.:

      

4.13%, 2/15/21

       1,136        1,133,186   

4.00%, 9/01/21

       575        572,031   

6.55%, 5/01/37

       3,519        3,643,928   

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 (b)

       1,000        1,046,250   

Univision Communications, Inc. (b):

      

5.13%, 5/15/23

       4,793        4,846,921   

5.13%, 2/15/25

       999        1,006,493   

Virgin Media Secured Finance PLC, 5.38%, 4/15/21 (b)

       1,255        1,312,625   
      

 

 

 
                       101,481,893   

Metals & Mining — 3.1%

      

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

       2,451        2,641,989   

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

       5,000        4,819,235   

ArcelorMittal, 6.13%, 6/01/18

       2,575        2,748,813   

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

       2,194        2,089,785   

Constellium NV:

      

4.63%, 5/15/21

     EUR        490        530,114   

5.75%, 5/15/24 (b)

     USD        1,178        1,133,825   

Freeport-McMoRan Corp., 7.13%, 11/01/27 (d)

       8,500        9,865,032   

Freeport-McMoRan, Inc. (d):

      

3.55%, 3/01/22

       4,700        4,410,757   

3.88%, 3/15/23

       8,900        8,373,645   

Novelis, Inc., 8.75%, 12/15/20

       3,285        3,506,737   

Peabody Energy Corp., 6.50%, 9/15/20

       1,020        632,400   

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

       3,870        3,805,371   

Steel Dynamics, Inc.:

      

5.13%, 10/01/21 (b)

       1,105        1,129,863   

6.38%, 8/15/22

       1,430        1,533,675   

5.25%, 4/15/23

       163        166,668   

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

       2,785        3,014,762   
      

 

 

 
                       50,402,671   

Multi-Utilities — 1.3%

      

CenterPoint Energy, Inc. (d):

      

5.95%, 2/01/17

       9,000        9,727,110   

6.50%, 5/01/18

       9,675        10,970,057   
      

 

 

 
                       20,697,167   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    15


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Corporate Bonds   

Par  

(000)

    Value  

Multiline Retail — 0.2%

      

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

     USD        3,460      $ 3,604,718   

Offshore Drilling & Other Services — 0.1%

      

Sensata Technologies BV (b):

      

5.63%, 11/01/24

       695        741,913   

5.00%, 10/01/25

       1,418        1,464,085   
      

 

 

 
                       2,205,998   

Oil, Gas & Consumable Fuels — 15.3%

      

Access Midstream Partners LP/ACMP Finance Corp.:

      

6.13%, 7/15/22

       1,668        1,793,100   

4.88%, 5/15/23

       343        347,998   

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

       75        83,341   

Antero Resources Finance Corp.:

      

6.00%, 12/01/20

       750        765,938   

5.38%, 11/01/21

       649        655,490   

Berry Petroleum Co., 6.38%, 9/15/22

       3,207        2,637,757   

Bonanza Creek Energy, Inc.:

      

6.75%, 4/15/21

       1,145        1,165,037   

5.75%, 2/01/23

       1,555        1,512,237   

California Resources Corp.:

      

5.50%, 9/15/21

       1,389        1,316,077   

6.00%, 11/15/24

       6,012        5,651,280   

Chesapeake Energy Corp.:

      

6.88%, 11/15/20

       493        506,558   

5.75%, 3/15/23

       1,151        1,125,102   

Cimarex Energy Co., 4.38%, 6/01/24

       527        533,588   

Concho Resources, Inc.:

      

5.50%, 10/01/22

       226        229,978   

5.50%, 4/01/23

       1,995        2,022,431   

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

       6,131        5,625,192   

Continental Resources, Inc.:

      

5.00%, 9/15/22

       11,232        11,400,480   

4.50%, 4/15/23

       469        472,169   

Denbury Resources, Inc., 5.50%, 5/01/22

       604        572,290   

El Paso LLC:

      

7.80%, 8/01/31

       197        236,298   

7.75%, 1/15/32

       4,586        5,472,813   

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

       2,345        2,929,958   

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

       5,075        5,866,294   

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

       6,000        7,517,556   

Energy Transfer Equity LP:

      

7.50%, 10/15/20

       1,028        1,156,500   

5.88%, 1/15/24

       3,913        4,108,650   

Enterprise Products Operating LLC, Series N, 6.50%, 1/31/19 (d)

       12,000        13,881,312   

EP Energy LLC/Everest Acquisition Finance, Inc., Series WI, 6.88%, 5/01/19

       2,693        2,776,483   

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

       5,105        4,951,850   

Kinder Morgan Energy Partners LP:

      

6.85%, 2/15/20 (d)

       12,000        14,028,276   

4.25%, 9/01/24

       2,170        2,195,109   

5.40%, 9/01/44

       3,615        3,556,831   

Kinder Morgan, Inc.:

      

5.30%, 12/01/34

       1,310        1,300,374   

5.55%, 6/01/45

       2,560        2,555,894   

Laredo Petroleum, Inc., 7.38%, 5/01/22

       231        247,170   

Linn Energy LLC/Linn Energy Finance Corp.:

      

6.25%, 11/01/19

       1,047        884,715   

8.63%, 4/15/20

       1,797        1,636,384   

7.75%, 2/01/21

       475        408,500   

Marathon Petroleum Corp., 3.50%, 3/01/16 (d)

       4,600        4,691,880   

MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.25%, 6/15/22

       1,369        1,447,717   
Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (concluded)

      

MEG Energy Corp. (b):

      

6.50%, 3/15/21

     USD        3,839      3,791,012   

7.00%, 3/31/24

       3,598        3,544,750   

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

       3,500        3,780,000   

Newfield Exploration Co., 5.38%, 1/01/26

       701        729,040   

Nexen, Inc., 6.40%, 5/15/37 (d)

       4,615        5,661,973   

NGPL PipeCo LLC, 9.63%, 6/01/19 (b)

       902        929,060   

Oasis Petroleum, Inc.:

      

7.25%, 2/01/19

       915        933,758   

6.50%, 11/01/21

       1,025        1,030,125   

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

       10,000        11,983,240   

Pacific Drilling SA, 5.38%, 6/01/20 (b)

       613        519,518   

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

       1,225        1,304,625   

Peabody Energy Corp.:

      

6.00%, 11/15/18

       2,527        1,991,592   

6.25%, 11/15/21 (d)

       1,483        889,800   

Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. II, 8.38%, 6/01/20

       2,221        2,434,771   

Petrobras International Finance Co. SA:

      

3.88%, 1/27/16

       12,550        12,570,331   

5.38%, 1/27/21

       3,385        3,248,923   

Petroleos Mexicanos (d):

      

3.50%, 1/30/23

       5,000        4,831,250   

4.88%, 1/18/24

       2,000        2,109,600   

Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b)

  

    3,980        3,711,350   

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

       1,665        1,885,160   

Range Resources Corp.:

      

5.00%, 8/15/22

       32        32,480   

5.00%, 3/15/23

       75        76,125   

Regency Energy Partners LP/Regency Energy Finance Corp., 4.50%, 11/01/23

       4,351        4,470,652   

RHP Hotel Properties LP / RHP Finance Corp., 5.00%, 4/15/23 (b)

       607        614,588   

Rockies Express Pipeline LLC, 6.88%, 4/15/40 (b)

       580        632,200   

Rosetta Resources, Inc., 5.63%, 5/01/21

       3,448        3,452,310   

RSP Permian, Inc., 6.63%, 10/01/22 (b)

       789        818,982   

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

       10,000        10,840,740   

Sabine Pass Liquefaction LLC:

      

5.63%, 4/15/23

       7,393        7,466,930   

5.75%, 5/15/24

       2,869        2,897,690   

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

       5,965        6,360,181   

Sanchez Energy Corp., Series WI, 6.13%, 1/15/23

       1,141        1,118,180   

SandRidge Energy, Inc.:

      

8.75%, 1/15/20

       114        84,645   

7.50%, 2/15/23

       1,291        852,060   

Seventy Seven Energy, Inc., 6.50%, 7/15/22

       469        268,503   

SM Energy Co., 6.50%, 1/01/23

       322        338,100   

Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21

       1,614        1,678,560   

Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.25%, 10/15/22 (b)

       1,519        1,612,039   

Ultra Petroleum Corp., 5.75%, 12/15/18 (b)

       293        275,420   

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

       5,125        5,703,556   

Whiting Petroleum Corp.:

      

5.00%, 3/15/19

       3,019        3,011,452   

5.75%, 3/15/21

       1,171        1,187,839   

The Williams Cos., Inc.:

      

3.70%, 1/15/23

       5,000        4,727,725   

4.55%, 6/24/24

       830        815,906   

8.75%, 3/15/32

       2,478        3,014,589   

5.75%, 6/24/44

       685        644,431   

WPX Energy, Inc., 5.25%, 9/15/24

       856        789,660   
      

 

 

 
                       251,932,028   

 

See Notes to Financial Statements.

 

                
16    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Corporate Bonds   

Par  

(000)

    Value  

Paper & Forest Products — 2.0%

      

Clearwater Paper Corp., 4.50%, 2/01/23

     USD        532      $ 524,020   

International Paper Co. (d):

      

7.50%, 8/15/21

       9,675        12,115,606   

8.70%, 6/15/38

       4,000        5,736,960   

7.30%, 11/15/39

       10,000        12,990,660   

Louisiana-Pacific Corp., 7.50%, 6/01/20

       2,130        2,268,450   
      

 

 

 
                       33,635,696   

Pharmaceuticals — 3.6%

      

AbbVie, Inc., 2.90%, 11/06/22 (d)

       5,675        5,610,464   

Actavis Funding SCS:

      

3.45%, 3/15/22

       4,610        4,684,092   

3.85%, 6/15/24

       6,000        6,108,000   

3.80%, 3/15/25

       1,650        1,667,780   

4.75%, 3/15/45

       1,450        1,465,862   

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

      

7.00%, 12/15/20

       241        253,653   

7.25%, 1/15/22

       499        527,693   

6.00%, 2/01/25

       1,601        1,642,026   

Forest Laboratories, Inc. (b):

      

4.38%, 2/01/19

       2,924        3,122,466   

5.00%, 12/15/21

       1,631        1,803,023   

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

       1,613        1,649,292   

Mallinckrodt International Finance SA, 5.75%, 8/01/22 (b)

       2,130        2,204,550   

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

      

4.88%, 4/15/20

       517        525,401   

5.50%, 4/15/25

       447        455,940   

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

       6,420        8,640,993   

Valeant Pharmaceuticals International (b):

      

6.75%, 8/15/18

       6,955        7,363,606   

5.38%, 3/15/20

       1,391        1,426,644   

6.38%, 10/15/20

       2,355        2,481,581   

5.63%, 12/01/21

       1,615        1,655,375   

5.50%, 3/01/23

       979        991,238   

5.88%, 5/15/23

       3,205        3,289,131   

6.13%, 4/15/25

       1,622        1,673,701   
      

 

 

 
                       59,242,511   

Professional Services — 0.5%

      

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

       2,048        2,158,080   

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

       5,750        5,898,954   
      

 

 

 
                       8,057,034   

Real Estate Investment Trusts (REITs) — 2.7%

      

AvalonBay Communities, Inc., 6.10%, 3/15/20 (d)

       10,000        11,620,380   

DDR Corp.:

      

4.75%, 4/15/18

       2,140        2,298,621   

7.88%, 9/01/20

       2,650        3,283,186   

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

       10,000        10,914,180   

Felcor Lodging LP, 5.63%, 3/01/23

       999        1,038,960   

HCP, Inc., 5.38%, 2/01/21 (d)

       3,450        3,879,891   

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

       3,600        3,613,727   

iStar Financial, Inc.:

      

4.00%, 11/01/17

       825        813,986   

5.00%, 7/01/19

       580        577,825   

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

       5,225        5,589,078   
      

 

 

 
                       43,629,834   

Real Estate Management & Development — 0.6%

  

Lennar Corp., 4.75%, 11/15/22

       1,805        1,825,306   

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

       4,485        4,143,813   

Realogy Corp., 7.63%, 1/15/20 (b)(d)

       2,085        2,220,525   
Corporate Bonds   

Par  

(000)

    Value  

Real Estate Management & Development (concluded)

  

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

      

4.50%, 4/15/19

     USD        803      816,731   

5.25%, 12/01/21

       344        351,740   
      

 

 

 
                       9,358,115   

Road & Rail — 1.5%

  

The Hertz Corp.:

      

4.25%, 4/01/18

       983        997,745   

6.75%, 4/15/19

       1,167        1,207,600   

5.88%, 10/15/20

       925        941,188   

7.38%, 1/15/21

       310        326,275   

Norfolk Southern Corp., 6.00%, 3/15/05 (d)

       17,200        21,219,141   
      

 

 

 
                       24,691,949   

Semiconductors & Semiconductor Equipment — 0.4%

  

Micron Technology, Inc. (b):

      

5.25%, 1/15/24

       1,190        1,178,100   

5.50%, 2/01/25

       3,590        3,572,050   

NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (b)

       1,655        1,758,437   
      

 

 

 
                       6,508,587   

Software — 0.5%

  

Infor US, Inc., 6.50%, 5/15/22 (b)

       2,425        2,491,688   

MSCI, Inc., 5.25%, 11/15/24 (b)

       587        610,480   

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

       4,435        4,479,350   
      

 

 

 
                       7,581,518   

Specialty Retail — 1.1%

  

AutoNation, Inc., 6.75%, 4/15/18

       6,125        6,879,122   

L Brands, Inc., 7.00%, 5/01/20

       3,050        3,522,750   

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

       2,750        2,860,000   

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

       5,000        5,570,450   
      

 

 

 
                       18,832,322   

Textiles Apparel & Shoes — 0.1%

  

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

             1,674        1,655,168   

Textiles, Apparel & Luxury Goods — 0.1%

  

Levi Strauss & Co., 5.00%, 5/01/25 (b)

       699        698,563   

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

       1,406        1,458,725   
      

 

 

 
                       2,157,288   

Thrifts & Mortgage Finance — 0.1%

  

Radian Group, Inc., 5.50%, 6/01/19

             1,378        1,446,900   

Tobacco — 2.1%

  

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

       13,392        23,257,766   

Lorillard Tobacco Co., 3.50%, 8/04/16

       8,375        8,600,204   

Reynolds American, Inc.:

      

3.25%, 11/01/22

       970        959,445   

4.85%, 9/15/23

       1,120        1,230,795   
      

 

 

 
                       34,048,210   

Trading Companies & Distributors — 0.4%

  

Doric Nimrod Air Alpha Pass-Through Trust, Series 2013-1 (b):

      

Class A, 5.25%, 5/30/25

       2,739        2,910,280   

Class B, 6.13%, 11/30/21

       3,419        3,649,262   
      

 

 

 
                       6,559,542   

Transportation Infrastructure — 0.9%

  

CEVA Group PLC (b):

      

4.00%, 5/01/18

       3,310        3,028,650   

7.00%, 3/01/21

       1,067        1,053,662   

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

       10,500        11,288,046   
      

 

 

 
                       15,370,358   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    17


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Corporate Bonds   

Par  

(000)

    Value  

Wireless Telecommunication Services — 5.4%

  

America Movil SAB de CV:

      

2.38%, 9/08/16

     USD        12,495      $ 12,694,045   

3.13%, 7/16/22 (d)

       1,275        1,291,652   

American Tower Corp.:

      

4.50%, 1/15/18

       6,500        6,955,208   

5.05%, 9/01/20

       500        551,537   

5.90%, 11/01/21 (d)

       3,770        4,310,501   

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

       1,380        1,456,728   

Crown Castle Towers LLC (b):

      

5.50%, 1/15/37

       4,000        4,183,868   

4.17%, 8/15/37

       3,000        3,120,552   

6.11%, 1/15/40

       4,555        5,189,088   

Digicel Group Ltd. (b):

      

8.25%, 9/30/20

       2,615        2,697,111   

7.13%, 4/01/22

       825        781,172   

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

       1,285        1,247,362   

SBA Tower Trust, 5.10%, 4/15/42 (b)

       13,975        14,534,196   

Sprint Communications, Inc. (b):

      

9.00%, 11/15/18

       5,290        6,019,015   

7.00%, 3/01/20

       9,302        10,290,337   

Sprint Corp.:

      

7.88%, 9/15/23

       2,715        2,725,181   

7.13%, 6/15/24

       1,755        1,686,994   

T-Mobile USA, Inc.:

      

6.63%, 4/28/21

       2,680        2,827,400   

6.73%, 4/28/22

       2,495        2,629,106   

6.00%, 3/01/23

       580        591,049   

6.84%, 4/28/23

       1,405        1,485,787   

6.38%, 3/01/25

       1,845        1,894,797   
      

 

 

 
                       89,162,686   
Total Corporate Bonds — 109.2%                      1,796,786,346   
      
                          
Foreign Agency Obligations                      

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

       5,000        4,687,500   

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

       4,400        5,054,500   

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

             2,300        2,361,525   
Total Foreign Agency Obligations — 0.7%                      12,103,525   
      
                          
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        5,665,200   

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

             10,000        13,233,300   
Total Municipal Bonds — 1.1%                      18,898,500   
      
                          
U.S. Government Sponsored Agency Securities                

Agency Obligations — 0.2%

      

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

             3,945        3,622,484   
U.S. Treasury Obligations   

Par  

(000)

    Value  

U.S. Treasury Bonds (d):

      

3.38%, 5/15/44

     USD        8,650      9,751,526   

3.00%, 11/15/44

       1,075        1,131,186   

2.50%, 2/15/45

       40,830        38,788,500   

U.S. Treasury Notes (d):

      

1.50%, 5/31/19

       1,898        1,915,200   

1.63%, 6/30/19

       750        760,195   

1.63%, 7/31/19

       1,235        1,250,823   

1.25%, 1/31/20

       1,180        1,171,058   

2.38%, 8/15/24

             5,915        6,092,450   
Total U.S. Treasury Obligations — 3.7%                      60,860,938   
      
                          
Preferred Securities                      
Capital Trusts                      

Banks — 2.9%

  

BNP Paribas SA, 7.20% (a)(b)(d)(e)

       5,000        6,012,500   

Credit Agricole SA, 8.38% (a)(b)(e)

       5,000        5,908,750   

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

       3,250        3,477,500   

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

       11,835        18,048,375   

HSBC Holdings PLC, 6.38% (a)(e)

       4,695        4,847,587   

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

       5,540        5,740,825   

Wells Fargo & Co. (a)(e):

      

Series S, 5.90%

       1,090        1,141,775   

Series U, 5.88%

       2,655        2,817,619   
      

 

 

 
                       47,994,931   

Capital Markets — 2.0%

  

Ameriprise Financial, Inc., 7.52%, 6/01/66 (a)

       3,000        3,105,000   

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

       2,950        2,964,750   

Morgan Stanley (a)(e):

      

Series H, 5.45%

       2,200        2,216,500   

Series J, 5.55%

       6,530        6,562,650   

State Street Capital Trust IV, 1.27%, 6/15/37 (a)

       20,845        17,926,700   
      

 

 

 
                       32,775,600   

Consumer Finance — 0.3%

  

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

             4,510        4,450,806   

Diversified Financial Services — 4.3%

  

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

      

Series AA, 6.10%

       5,640        5,752,800   

Series K, 8.00%

       2,420        2,586,375   

Series M, 8.13%

       950        1,026,000   

Series U, 5.20%

       5,785        5,560,831   

Barclays PLC, 6.63% (a)(e)

       4,885        4,843,004   

Citigroup, Inc. (a)(e):

      

5.90%

       2,210        2,227,956   

5.95%

       7,000        6,962,809   

General Electric Capital Corp. (a)(e):

      

Series B, 6.25% (d)

       9,100        10,237,500   

Series C, 5.25%

       1,200        1,278,000   

JPMorgan Chase & Co. (a)(e):

      

Series 1, 7.90%

       3,650        3,887,250   

Series Q, 5.15%

       4,000        3,877,500   

Series R, 6.00% (d)

       14,130        14,518,575   

Series S, 6.75%

       7,775        8,492,633   
      

 

 

 
                       71,251,233   

Electric Utilities — 0.5%

  

PPL Capital Funding, Inc., Series A, 6.70%, 3/30/67 (a)

             8,300        7,680,405   

Insurance — 7.3%

  

ACE Capital Trust II, 9.70%, 4/01/30 (d)

       7,000        10,521,000   

The Allstate Corp., 6.50%, 5/15/67 (a)

       10,400        12,110,800   

 

See Notes to Financial Statements.

 

                
18    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Capital Trusts   

Par  

(000)

    Value  

Insurance (concluded)

  

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

     USD        3,755      $ 5,200,675   

AXA SA (a)(b)(e):

      

6.38%

       4,900        5,494,125   

6.46%

       6,000        6,363,600   

Bank One Capital III, 8.75%, 9/01/30 (d)

       2,000        2,927,748   

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

       7,400        7,844,000   

Equitable of Iowa Cos. Capital Trust II, Series B, 8.42%, 4/01/27

       5,000        6,004,070   

Farmers Exchange Capital II, 6.15%, 11/01/53 (a)(b)

       4,890        5,487,524   

Great-West Life & Annuity Insurance Capital LP II, 7.15%, 5/16/46 (a)(b)(d)

       500        514,375   

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

       5,050        5,711,550   

ING US, Inc., 5.65%, 5/15/53 (a)

       4,750        4,975,625   

Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)

       8,325        12,737,250   

MetLife, Inc., 6.40%, 12/15/36 (d)

       9,775        11,510,062   

Reinsurance Group of America, Inc., 6.75%, 12/15/65 (a)

       12,000        11,520,000   

Swiss Re Capital I LP, 6.85% (a)(b)(e)

       4,450        4,650,250   

ZFS Finance USA Trust II, 6.45%, 12/15/65 (a)(b)(d)

       6,800        7,078,800   
      

 

 

 
                       120,651,454   

Multi-Utilities — 0.3%

  

Dominion Resources, Inc., 7.50%, 6/30/66 (a)

             4,400        4,459,840   

Oil, Gas & Consumable Fuels — 1.3%

  

Enterprise Products Operating LLC (a):

      

7.00%, 6/01/67

       2,500        2,537,500   

Series A, 8.38%, 8/01/66

       9,325        9,909,678   

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

       9,400        9,071,000   
      

 

 

 
                       21,518,178   

Real Estate Investment Trusts (REITs) — 0.6%

  

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

             7,000        9,152,500   

Road & Rail — 0.4%

  

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

             6,125        6,974,844   
Total Capital Trusts — 19.9%                      326,909,791   
      
                          
Preferred Stocks           Shares         

Banks — 0.9%

  

Wells Fargo & Co., 5.85% (a)(e)

             550,500        14,483,655   

Capital Markets — 0.7%

  

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

       162,450        4,035,258   

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

       31,650        859,298   

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

       220,495        5,937,930   
      

 

 

 
                       10,832,486   
Preferred Stocks        
Shares
    Value  

Consumer Finance — 0.0%

  

Ally Financial, Inc., Series A, 8.50% (a)(e)

         24,509      $ 649,489   

Diversified Financial Services — 0.8%

  

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

         488,320        13,292,070   

Electric Utilities — 0.1%

  

Entergy Louisiana LLC, 5.25%

         90,000        2,264,400   

Insurance — 0.2%

      

The Allstate Corp., Series E, 6.63% (e)

         125,000        3,385,000   

Machinery — 0.1%

      

Stanley Black & Decker, Inc., 6.25% (k)

         11,107        1,297,964   

Media — 0.4%

      

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

         5,600        5,908,000   

Real Estate Investment Trusts (REITs) — 0.2%

      

Ventas Realty LP/Ventas Capital Corp., 5.45%

       75,000        1,875,750   

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

       50,000        1,225,000   
      

 

 

 
                   3,100,750   

Wireless Telecommunication Services — 1.1%

      

Centaur Funding Corp., 9.08% (b)

         15,143        18,890,892   
Total Preferred Stocks — 4.5%        74,104,706   
      
                      
Trust Preferred                    

Diversified Financial Services — 0.5%

      

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

         300,141        7,758,999   
Total Preferred Securities — 24.9%        408,773,496   

Total Long-Term Investments

(Cost — $2,245,807,858) — 145.5%

  

  

    2,394,911,477   
      
                      
Short-Term Securities                    

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.08% (l)(m)

         2,496,572        2,496,572   
Total Short-Term Securities
(Cost — $2,496,572) — 0.2%
        2,496,572   
Options Purchased
(Cost — $13,186,335) — 0.3%
        4,565,541   
Total Investments Before Options Written
(Cost — $2,261,490,765) — 146.0%
        2,401,973,590   
Options Written
(Premiums Received — $7,454,970) — (0.0)%
        (807,635
Total Investments, Net of Options Written
(Cost — $2,254,035,795) — 146.0%
        2,401,165,955   
Liabilities in Excess of Other Assets — (46.0)%        (755,972,144
      

 

 

 
Net Assets — 100.0%      $ 1,645,193,811   
      

 

 

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    19


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

 

Notes to Schedule of Investments

 

(a)   Variable rate security. Rate shown is as of report date.

 

(b)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(c)   Represents a 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.

 

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

 

(e)   Security is perpetual in nature and has no stated maturity date.

 

(f)   Non-income producing security.

 

(g)   Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

(h)   Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

(i)   When-issued security. Unsettled when-issued transactions were as follows:

 

Counterparty      Value        Unrealized
Appreciation
 

Credit Suisse Securities (USA) LLC

     $ 1,892,975         $ 27,975   

 

(j)   Zero-coupon bond.

 

(k)   Convertible security.

 

(l)   During the six months ended April 30, 2015, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at October 31,
2014
       Net
Activity
       Shares Held
at April 30,
2015
       Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

       4,283,291           (1,786,719        2,496,572         $ 2,607   

 

(m)   Represents the current yield as of report date.

 

Ÿ  

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

 

Ÿ  

As of April 30, 2015, reverse repurchase agreements outstanding were as follows:

 

Counterparty      Interest
Rate
       Trade
Date
       Maturity
Date1
       Face Value        Face Value
Including
Accrued
Interest
 

UBS Securities LLC

       0.32        2/5/14           Open         $ 956,709         $ 960,562   

UBS Securities LLC

       0.33        2/10/14           Open           6,197,000           6,222,222   

Barclays Capital, Inc.

       0.35        2/28/14           Open           7,944,000           7,976,979   

UBS Securities LLC

       0.30        5/8/14           Open           9,646,000           9,674,777   

UBS Securities LLC

       (0.50 )%         5/13/14           Open           2,016,000           2,006,144   

UBS Securities LLC

       0.32        5/13/14           Open           2,182,000           2,188,827   

UBS Securities LLC

       0.32        5/13/14           Open           7,149,000           7,171,368   

UBS Securities LLC

       0.32        5/13/14           Open           8,649,000           8,676,062   

UBS Securities LLC

       0.34        5/13/14           Open           10,604,000           10,639,252   

UBS Securities LLC

       0.34        5/13/14           Open           683,000           685,271   

UBS Securities LLC

       0.34        5/13/14           Open           5,229,000           5,246,384   

UBS Securities LLC

       0.34        5/13/14           Open           4,668,000           4,683,519   

UBS Securities LLC

       0.34        5/13/14           Open           1,256,000           1,260,176   

UBS Securities LLC

       0.35        5/13/14           Open           6,046,000           6,066,691   

UBS Securities LLC

       0.35        5/13/14           Open           1,115,000           1,118,816   

UBS Securities LLC

       0.35        5/13/14           Open           6,061,000           6,081,742   

UBS Securities LLC

       0.35        5/13/14           Open           5,546,000           5,564,980   

UBS Securities LLC

       0.35        5/13/14           Open           3,255,000           3,266,139   

UBS Securities LLC

       0.35        5/13/14           Open           23,285,000           23,364,686   

UBS Securities LLC

       0.35        5/13/14           Open           11,160,000           11,198,192   

UBS Securities LLC

       0.35        5/13/14           Open           10,880,000           10,917,234   

Barclays Capital, Inc.

       0.35        5/14/14           Open           11,233,000           11,297,618   

Barclays Capital, Inc.

       0.35        5/14/14           Open           6,234,000           6,261,352   

Barclays Capital, Inc.

       0.35        5/14/14           Open           1,213,000           1,219,860   

Barclays Capital, Inc.

       0.35        5/14/14           Open           2,791,000           2,807,327   

RBC Capital Markets, LLC

       0.34        5/28/14           Open           6,960,000           6,982,218   

RBC Capital Markets, LLC

       0.34        5/30/14           Open           3,510,000           3,521,138   

Barclays Capital, Inc.

       (1.75 )%         6/25/14           Open           1,319,870           1,299,980   

RBC Capital Markets, LLC

       0.34        6/26/14           Open           13,680,000           13,719,923   

 

See Notes to Financial Statements.

 

                
20    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

 

Ÿ  

As of April 30, 2015, reverse repurchase agreements outstanding were as follows (continued):

 

Counterparty      Interest
Rate
       Trade
Date
       Maturity
Date1
       Face Value        Face Value
Including
Accrued
Interest
 

RBC Capital Markets, LLC

       0.34        6/30/14           Open         $ 3,324,750         $ 3,334,327   

Barclays Capital, Inc.

       0.40        7/1/14           Open           10,010,000           10,043,353   

BNP Paribas Securities Corp.

       0.39        7/7/14           Open           8,155,000           8,177,875   

BNP Paribas Securities Corp.

       0.39        7/7/14           Open           12,217,000           12,251,269   

BNP Paribas Securities Corp.

       0.39        7/7/14           Open           5,672,000           5,688,378   

BNP Paribas Securities Corp.

       0.16        7/28/14           Open           1,886,138           1,887,153   

HSBC Securities (USA) Inc.

       0.40        7/31/14           Open           11,957,143           11,993,546   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

       0.16        7/31/14           Open           8,833,813           8,839,547   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

       0.18        8/8/14           Open           1,235,000           1,236,643   

BNP Paribas Securities Corp.

       0.39        8/12/14           Open           4,625,000           4,638,031   

BNP Paribas Securities Corp.

       0.39        8/12/14           Open           2,035,000           2,040,622   

RBC Capital Markets, LLC

       0.34        9/11/14           Open           10,797,300           10,820,958   

RBC Capital Markets, LLC

       0.16        9/18/14           Open           5,092,687           5,095,552   

BNP Paribas Securities Corp.

       0.39        9/23/14           Open           5,162,000           5,173,041   

BNP Paribas Securities Corp.

       0.39        9/23/14           Open           4,782,000           4,792,228   

RBC Capital Markets, LLC

       0.34        9/30/14           Open           10,459,250           10,480,291   

Barclays Capital, Inc.

       0.40        10/7/14           Open           13,545,000           13,576,003   

BNP Paribas Securities Corp.

       0.39        10/7/14           Open           11,991,000           12,015,015   

BNP Paribas Securities Corp.

       0.39        10/7/14           Open           7,463,000           7,477,947   

BNP Paribas Securities Corp.

       0.33        10/28/14           Open           5,630,000           5,639,496   

BNP Paribas Securities Corp.

       0.33        10/28/14           Open           5,381,000           5,390,076   

BNP Paribas Securities Corp.

       0.34        10/28/14           Open           9,428,000           9,444,384   

BNP Paribas Securities Corp.

       0.34        10/28/14           Open           11,100,000           11,119,289   

BNP Paribas Securities Corp.

       0.34        10/28/14           Open           15,615,000           15,642,135   

BNP Paribas Securities Corp.

       0.34        10/28/14           Open           5,034,000           5,042,748   

BNP Paribas Securities Corp.

       0.34        10/28/14           Open           3,288,000           3,293,714   

BNP Paribas Securities Corp.

       0.34        10/28/14           Open           2,966,000           2,971,154   

Barclays Capital, Inc.

       0.35        10/29/14           Open           734,000           754,796   

Barclays Capital, Inc.

       0.35        10/29/14           Open           9,152,000           9,173,182   

Barclays Capital, Inc.

       0.35        10/29/14           Open           2,514,000           2,535,568   

Barclays Capital, Inc.

       0.35        10/29/14           Open           4,668,000           4,689,955   

Barclays Capital, Inc.

       0.35        10/29/14           Open           4,956,000           4,978,341   

Barclays Capital, Inc.

       0.35        10/29/14           Open           4,995,000           5,017,727   

Barclays Capital, Inc.

       0.35        10/29/14           Open           5,182,000           5,205,114   

RBC Capital Markets, LLC

       0.34        10/30/14           Open           3,480,000           3,485,982   

RBC Capital Markets, LLC

       0.34        10/30/14           Open           3,389,025           3,394,850   

RBC Capital Markets, LLC

       0.34        10/30/14           Open           8,162,000           8,176,030   

RBC Capital Markets, LLC

       0.34        11/10/14           Open           10,449,000           10,465,974   

BNP Paribas Securities Corp.

       0.39        12/2/14           Open           4,412,000           4,418,250   

RBC Capital Markets, LLC

       0.34        12/10/14           Open           4,450,875           4,456,844   

RBC Capital Markets, LLC

       0.34        12/10/14           Open           7,410,000           7,419,938   

RBC Capital Markets, LLC

       0.34        12/18/14           Open           7,965,500           7,975,506   

RBC Capital Markets, LLC

       0.34        12/18/14           Open           11,093,500           11,107,435   

RBC Capital Markets, LLC

       0.34        12/18/14           Open           10,625,000           10,638,346   

RBC Capital Markets, LLC

       0.34        12/18/14           Open           22,230,720           22,258,644   

RBC Capital Markets, LLC

       0.34        12/18/14           Open           6,870,375           6,879,005   

RBC Capital Markets, LLC

       0.34        12/18/14           Open           17,700,000           17,722,233   

RBC Capital Markets, LLC

       0.34        12/18/14           Open           8,896,562           8,907,737   

RBC Capital Markets, LLC

       0.34        12/18/14           Open           18,040,500           18,063,161   

BNP Paribas Securities Corp.

       0.45        12/19/14           Open           10,280,000           10,297,091   

BNP Paribas Securities Corp.

       0.45        12/19/14           Open           7,373,000           7,385,258   

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           528,000           528,883   

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           556,000           556,907   

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           474,000           474,773   

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           4,189,000           4,196,563   

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           3,197,000           3,202,772   

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           4,926,000           4,934,894   

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           2,287,000           2,291,129   

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           3,627,000           3,633,549   

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           2,740,000           2,744,947   

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           2,028,000           2,031,662   

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           6,719,000           6,731,132   

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           873,000           874,576   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    21


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

 

Ÿ  

As of April 30, 2015, reverse repurchase agreements outstanding were as follows (concluded):

 

Counterparty      Interest
Rate
       Trade
Date
       Maturity
Date1
       Face Value        Face Value
Including
Accrued
Interest
      

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open         $ 3,411,000         $ 3,417,159     

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           6,940,000           6,952,531     

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           8,972,000           8,988,199     

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           7,344,000           7,357,260     

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           1,223,000           1,225,208     

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           3,657,000           3,663,603     

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           4,083,000           4,090,372     

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           6,627,000           6,638,965     

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           3,954,000           3,961,139     

Credit Suisse Securities (USA) LLC

       0.40        12/19/14           Open           1,203,000           1,205,172     

RBC Capital Markets, LLC

       0.34        12/19/14           Open           7,710,000           7,719,685     

UBS Securities LLC

       0.40        12/19/14           Open           9,435,000           9,448,943     

Credit Suisse Securities (USA) LLC

       0.50        12/19/14           Open           3,368,000           3,374,081     

RBC Capital Markets, LLC

       0.39        2/27/15           Open           3,990,000           3,992,723     

RBC Capital Markets, LLC

       0.39        3/2/15           Open           6,045,000           6,048,929     

Deutsche Bank Securities, Inc.

       0.04        3/5/15           Open           1,148,906           1,148,960     

Deutsche Bank Securities, Inc.

       0.13        3/5/15           Open           1,162,300           1,162,625     

Deutsche Bank Securities, Inc.

       0.14        3/5/15           Open           353,063           353,162     

Deutsche Bank Securities, Inc.

       0.17        3/5/15           Open           3,570,225           3,571,280     

HSBC Securities (USA) Inc.

       0.38        3/12/15           Open           8,240,466           8,244,815     

RBC Capital Markets, LLC

       0.39        3/30/15           Open           15,120,000           15,125,242     

RBC Capital Markets, LLC

       0.39        3/30/15           Open           4,439,000           4,440,539     

RBC Capital Markets, LLC

       0.34        4/1/15           Open           4,014,075           4,015,174     

RBC Capital Markets, LLC

       0.39        4/2/15           Open           3,483,000           3,484,094     

BNP Paribas Securities Corp.

       0.39        4/6/15           Open           5,675,000           5,676,475     

Credit Suisse Securities (USA) LLC

       0.40        4/7/15           Open           5,499,000           5,500,466     

Credit Suisse Securities (USA) LLC

       0.09        4/23/15           Open           39,707,175           39,708,322     

Credit Suisse Securities (USA) LLC

       0.45        4/27/15           Open           5,322,969           5,323,235     

BNP Paribas Securities Corp.

       0.42        4/29/15           Open           3,345,000           3,345,078     

BNP Paribas Securities Corp.

       0.40        4/30/15           Open           2,894,325           2,894,357       

Total

                    $ 788,263,221         $ 789,870,761     
                   

 

 

 

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

     

 

 

Ÿ  

As of April 30, 2015, financial futures contracts outstanding were as follows:

 

Contracts
Long/(Short)
    Issue   Exchange   Expiration   Notional Value     Unrealized
Appreciation
(Depreciation)
      
  132      2-Year U.S. Treasury Note   Chicago Board of Trade   June 2015     USD      28,943,063      $ 107,882     
  2,709      5-Year U.S. Treasury Note   Chicago Board of Trade   June 2015     USD    325,439,790        2,568,493     
  (250   10-Year U.S. Treasury Note   Chicago Board of Trade   June 2015     USD      32,093,750        11,809     
  (1,007   Long U.S. Treasury Bond   Chicago Board of Trade   June 2015     USD    160,710,906        (687,487  
  631      Ultra Long U.S. Treasury Bond   Chicago Board of Trade   June 2015     USD    103,799,500        (1,938,524  
  (2,700   90-Day Euro-Dollar   Chicago Mercantile   March 2016     USD    669,633,750        (2,618,453  
  (840   90 Day Euro Future   Chicago Mercantile   December 2016     USD    207,112,500        (662,642  
  (900   90 Day Euro Future   Chicago Mercantile   March 2017     USD    221,546,250        (676,224    
  Total              $ (3,895,146  
         

 

 

 

Ÿ  

As of April 30, 2015, exchange-traded options purchased were as follows:

 

Description      Put/
Call
     Strike Price        Expiration
Date
       Contracts        Value       

90-Day Euro-Dollar

     Put        USD         98.00           12/14/15           1,698         $ 10,613     

90-Day Euro-Dollar

     Put        USD         99.00           12/14/15           1,698           116,737     

Eurodollar 1-Year Mid-Curve Option

     Put        USD         98.50           6/12/15           3,850           24,063     

S&P 500 E Mini-Index

     Put        USD    2,025.00           6/19/15           600           757,500       

Total

                         $ 908,913     
                        

 

 

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

 

Ÿ  

As of April 30, 2015, OTC interest rate swaptions purchased were as follows:

 

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

10-Year Interest Rate Swap

   Barclays Bank PLC      Put         2.30      Pay         3-month LIBOR         10/06/15       USD     29,700       $ 514,712   

10-Year Interest Rate Swap

   Credit Suisse International      Put         2.30      Pay         3-month LIBOR         10/06/15       USD     30,300         525,111   

30-Year Interest Rate Swap

   Deutsche Bank AG      Put         3.05      Pay         3-month LIBOR         1/08/16       USD     63,150         1,400,445   

5-Year Interest Rate Swap

   JPMorgan Chase Bank N.A.      Put         4.50      Pay         3-month LIBOR         8/07/18       USD     203,300         1,216,360   

Total

                        $ 3,656,628   
                       

 

 

 

 

Ÿ  

As of April 30, 2015, exchange-traded options written were as follows:

 

Description      Put/
Call
     Strike
Price
       Expiration
Date
       Contracts        Value  

90-Day Euro-Dollar

     Put        USD    98.50           12/14/15           3,396         $ (63,675

 

Ÿ  

As of April 30, 2015, OTC interest rate swaptions written were as follows:

 

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

5-Year Interest Rate Swap

   JPMorgan Chase Bank N.A.      Put         6.00     Receive         3-month LIBOR         8/07/18         USD    406,600       $ (743,960

 

Ÿ  

As of April 30, 2015, centrally cleared interest rate swaps outstanding were as follows:

 

Fixed
Rate
  Floating Rate   Clearinghouse   Effective
Date
  Expiration
Date
  Notional
Amount
(000)
    Unrealized
Appreciation
(Depreciation)
      
1.45%1   3-month LIBOR   Chicago Mercantile   N/A   10/28/18     USD    13,800      $ (88,755  
1.50%1   3-month LIBOR   Chicago Mercantile   N/A   11/30/18     USD    10,700        (81,218  
1.78%1   3-month LIBOR   Chicago Mercantile   N/A   1/17/19     USD    22,900        (385,412  
2.21%1   3-month LIBOR   London Clearing House   N/A   10/18/20     USD    65,000        (1,887,538  
2.79%1   3-month LIBOR   Chicago Mercantile   N/A   10/11/23     USD    68,000        (4,209,765  
2.79%1   3-month LIBOR   Chicago Mercantile   N/A   11/18/23     USD    10,600        (654,342  
3.03%1   3-month LIBOR   Chicago Mercantile   N/A   1/08/24     USD    10,900        (885,884  
3.05%1   3-month LIBOR   Chicago Mercantile   N/A   2/15/40     USD      8,769        (968,157  
3.05%1   3-month LIBOR   Chicago Mercantile   N/A   2/15/40     USD      8,769        (963,745  
3.06%1   3-month LIBOR   Chicago Mercantile   N/A   2/15/40     USD      8,769        (992,521  
3.03%1   3-month LIBOR   Chicago Mercantile   N/A   2/15/40     USD      8,769        (944,936  
2.54%2   3-month LIBOR   Chicago Mercantile   N/A   1/12/45     USD    23,600        49,361     
2.38%1   3-month LIBOR   Chicago Mercantile   N/A   4/24/45     USD         980        32,117     
2.39%1   3-month LIBOR   Chicago Mercantile   N/A   4/24/45     USD         980        29,839     
2.42%1   3-month LIBOR   Chicago Mercantile   N/A   4/24/45     USD    16,975        395,495     
2.42%1   3-month LIBOR   Chicago Mercantile   N/A   4/24/45     USD    18,225        434,963       
Total             $ (11,120,498  
           

 

 

1    Trust pays the fixed rate and receives the floating rate.

       

   

2    Trust receives the fixed rate and pays the floating rate.

       

   

 

Ÿ  

As of April 30, 2015, OTC credit default swaps — buy protection outstanding were as follows:

 

Issuer   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      $ (35,434   $ 39,706      $ (75,140  

Southwest Airlines Co.

    1.00   Goldman Sachs International   12/20/16     USD      1,465        (20,478     22,946        (43,424  

Southwest Airlines Co.

    1.00   Royal Bank of Scotland PLC   12/20/16     USD      4,000        (55,657     68,135        (123,792  

STMicro Electronics

    1.00   Barclays Bank PLC   6/20/17     EUR      1,500        (28,790     26,746        (55,536  

Cigna Corp.

    1.00   Goldman Sachs Bank USA   9/20/17     USD      4,500        (98,830     (5,157     (93,673  

Cigna Corp.

    1.00   Goldman Sachs International   9/20/17     USD      2,800        (61,493     (3,208     (58,285  

General Dynamic Corp.

    1.00   Credit Suisse International   9/20/17     USD      5,585        (123,023     (66,436     (56,587  

Humana, Inc.

    1.00   Goldman Sachs Bank USA   9/20/17     USD      4,500        (89,238     35,488        (124,726  

Humana, Inc.

    1.00   Goldman Sachs International   9/20/17     USD      2,800        (55,526     22,081        (77,607  

Lockheed Martin Corp.

    1.00   Credit Suisse International   9/20/17     USD      5,585        (124,655     (23,117     (101,538  

Northrop Grumman Corp.

    1.00   Credit Suisse International   9/20/17     USD      4,715        (105,231     (51,599     (53,632  

Raytheon Co.

    1.00   Credit Suisse International   9/20/17     USD      4,715        (104,740     (54,963     (49,777  

Citigroup, Inc.

    1.00   Deutsche Bank AG   3/20/19     USD    16,700        (258,297     (55,473     (202,824  

YUM! Brands, Inc.

    1.00   Deutsche Bank AG   3/20/19     USD    20,000        (497,222     (290,910     (206,312    

Total

          $ (1,658,614   $ (335,761   $ (1,322,853  
         

 

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    23


Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

 

Ÿ  

As of April 30, 2015, OTC credit default swaps — sold protection outstanding were as follows:

 

Issuer   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      $ 37,213      $ (52,027   $ 89,240   

Anadarko Petroleum Corp.

    1.00   Morgan Stanley Capital Services LLC   6/20/17   BBB   USD 10        154        (237     391   

Anadarko Petroleum Corp.

    1.00   UBS AG   6/20/17   BBB   USD 994        15,254        (23,196     38,450   

Athem, Inc. (FKA WellPoint, Inc.)

    1.00   Goldman Sachs Bank USA   9/20/17   A-   USD 4,500        88,664        (20,408     109,072   

Athem, Inc. (FKA WellPoint, Inc.)

    1.00   Goldman Sachs International   9/20/17   A-   USD 2,800        55,169        (12,698     67,867   

Comcast Corp.

    1.00   Credit Suisse International   9/20/17   A-   USD 12,200        257,019        25,167        231,852   

United Health Group, Inc.

    1.00   Goldman Sachs Bank USA   9/20/17   A+   USD 4,500        97,440        (5,135     102,575   

United Health Group, Inc.

    1.00   Goldman Sachs International   9/20/17   A+   USD 2,800        60,630        (3,195     63,825   

MetLife, Inc.

    1.00   Deutsche Bank AG   3/20/18   A-   USD 3,025        51,177        (70,944     122,121   

Bank of America Corp.

    1.00   Deutsche Bank AG   3/20/19   A-   USD 16,700        317,409        98,909        218,500   

Valero Energy Corp.

    1.00   Barclays Bank PLC   9/20/19   BBB   USD 153        1,679        588        1,091   

Valero Energy Corp.

    1.00   Citibank N.A.   9/20/19   BBB   USD     24        263        180        83   

Total

            $ 982,071      $ (62,996   $ 1,045,067   
           

 

 

 

1    Using S&P’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.

       

 

 

Ÿ  

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. 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. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

  Ÿ  

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)

 

  Ÿ  

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

As of April 30, 2015, 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

            $ 79,319,793         $ 14,546,395         $ 93,866,188   

Corporate Bonds

              1,791,748,346           5,038,000           1,796,786,346   

Foreign Agency Obligations

              12,103,525                     12,103,525   

Municipal Bonds

              18,898,500                     18,898,500   

U.S. Government Sponsored Agency Securities

              3,622,484                     3,622,484   

U.S. Treasury Obligations

              60,860,938                     60,860,938   

Preferred Securities

  $ 57,064,813           351,708,683                     408,773,496   

Short-Term Securities

    2,496,572                               2,496,572   

Options Purchased:

                

Interest rate contracts

    151,413           3,656,628                     3,808,041   

Equity contracts

    757,500                               757,500   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 60,470,298         $ 2,321,918,897         $ 19,584,395         $ 2,401,973,590   
 

 

 

      

 

 

      

 

 

      

 

 

 
                

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (concluded)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments1                 

Assets:

                

Credit contracts

            $ 1,045,067                   $ 1,045,067   

Interest rate contracts

  $ 2,688,184           941,775                     3,629,959   

Liabilities:

                

Credit contracts

              (1,322,853                  (1,322,853

Interest rate contracts

    (6,647,005        (12,806,233                  (19,453,238
 

 

 

 

Total

  $ (3,958,821      $ (12,142,244                $ (16,101,065
 

 

 

 

1   Derivative financial instruments are swaps, financial futures contracts and options written. Swaps and financial futures 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 April 30, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash

  $ 1,080,433                             $ 1,080,433   

Cash pledged as collateral for OTC derivatives

    1,300,000                               1,300,000   

Cash pledged for centrally cleared swaps

    8,540,000                               8,540,000   

Cash pledged for financial futures contracts

    3,405,000                               3,405,000   

Cash pledged as collateral for reverse repurchase agreements

    1,180,000                               1,180,000   

Foreign currency at value

    5,003                               5,003   

Liabilities:

                

Cash received as collateral for OTC derivatives

            $ (640,000                  (640,000

Reverse repurchase agreements

              (789,870,761                  (789,870,761
 

 

 

 

Total

  $ 15,510,436         $ (790,510,761                $ (775,000,325
 

 

 

 

During the six months ended April 30, 2015, there were no transfers between Level 1 and Level 2.

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 year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Asset-Backed
Securities
       Corporate
Bonds
       Total  

Assets:

           

Opening Balance, as of October 31, 2014

  $ 5,930,350         $ 21,431,574         $ 27,361,924   

Transfers into Level 3

    3,359,388                     3,359,388   

Transfers out of Level 3

    (2,870,550        (4,477,824        (7,348,374

Accrued discounts/premiums

    10,019                     10,019   

Net realized gain (loss)

    2,576           (230,000        (227,424

Net change in unrealized appreciation (depreciation)1,2

    257,564           (415,750        (158,186

Purchases

    9,050,798                     9,050,798   

Sales

    (1,193,750        (11,270,000        (12,463,750
 

 

 

      

 

 

      

 

 

 

Closing Balance, as of April 30, 2015

  $ 14,546,395         $ 5,038,000         $ 19,584,395   
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at April 30, 20152

  $ 225,751         $ 38,000         $ 263,751   
 

 

 

 

 

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 investments still held at April 30, 2015 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.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    25


Schedule of Investments April 30, 2015 (Unaudited)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Common Stocks   

Shares

    Value  

Construction & Engineering — 0.1%

  

USI United Subcontractors

             8,067      $ 225,888   

Diversified Consumer Services — 0.6%

  

Cengage Thomson Learning

       19,588        488,074   

Houghton Mifflin Harcourt Co. (a)

       75,047        1,715,575   
      

 

 

 
                       2,203,649   

Household Durables — 0.0%

  

Berkline Benchcraft Equity LLC (a)

             6,155          

Paper & Forest Products — 0.1%

  

Norbord, Inc.

             8,280        166,216   
Total Common Stocks — 0.8%                      2,595,753   
      
                          
Asset-Backed Securities   

Par  

(000)

        

ALM Loan Funding, Series 2013-7RA (b)(c):

      

Class C, 3.73%, 4/24/24

     USD        630        616,879   

Class D, 5.28%, 4/24/24

       550        524,405   

ALM XIV Ltd., Series 2014-14A, Class C, 3.73%, 7/28/26 (b)(c)

       713        681,346   

Apidos CDO XI, Series 2012-11A, Class D, 4.52%, 1/17/23 (b)(c)

       500        500,087   

Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 3.98%, 10/15/26 (b)(c)

       525        506,505   

Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (b)(c)

       500        487,403   

Carlyle Global Market Strategies CLO Ltd. (b)(c):

      

Series 2012-4A, Class D, 4.78%, 1/20/25

       450        450,624   

Series 2013-1A, Class C, 4.26%, 2/14/25

       250        249,996   

Series 2014-5A, Class C, 4.43%, 10/16/25

       1,250        1,250,855   

Cent CLO 22, Ltd., Series 2014-22A, Class C, 3.98%, 11/07/26 (b)(c)

       750        727,200   

Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.28%, 4/20/23 (b)(c)

       575        575,047   

LCM XVIII LP, Series 18A, Class INC, 3.45%, 4/20/27 (b)(c)

       1,500        1,320,000   

Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.78%, 10/23/25 (b)(c)

       250        242,693   

North End CLO Ltd., Series 2013-1A, Class D, 3.78%, 7/17/25 (b)(c)

       500        483,300   

Octagon Investment Partners XVII Ltd.,
Series 2013-1A, Class D, 3.46%, 10/25/25 (b)(c)

   

    750        708,084   

OZLM Funding Ltd., Series 2012-2A, Class C, 4.60%, 10/30/23 (b)(c)

       500        501,330   

Symphony CLO Ltd., Series 2012-9A, Class D, 4.53%, 4/16/22 (b)(c)

       775        776,715   

Treman Park CLO LLC, Series 2015-1A, Class D, 4.12%, 4/20/27 (b)(c)

       700        689,500   

Voya CLO, Ltd., Series 2014-4A, Class SUB, 4.28%, 10/14/26 (c)

       1,000        955,300   
      

 

 

 
                       12,247,269   
Total Asset-Backed Securities — 3.5%                      12,247,269   
      
                          
Corporate Bonds                      

Airlines — 0.6%

      

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

       600        609,000   

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

       1,585        1,632,550   
      

 

 

 
                       2,241,550   

Auto Components — 0.1%

  

Icahn Enterprises LP/Icahn Enterprises Finance Corp., 3.50%, 3/15/17

     USD        410      412,050   

Capital Markets — 0.5%

  

Blackstone CQP Holdco LP, 9.30%, 3/18/19

       581        575,567   

E*Trade Financial Corp., 0.00%, 8/31/19 (c)(d)(e)

  

    439        1,234,209   
      

 

 

 
                       1,809,776   

Commercial Services & Supplies — 0.2%

  

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.01%, 12/01/17 (b)

       179        179,448   

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c)

       357        363,524   
      

 

 

 
                       542,972   

Communications Equipment — 0.2%

  

Altice Financing SA, 6.63%, 2/15/23 (c)

       335        345,050   

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

       232        233,160   
      

 

 

 
                       578,210   

Construction & Engineering — 0.1%

  

 

Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (c)

             237        239,962   

Containers & Packaging — 0.2%

  

 

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 3.27%, 12/15/19 (b)(c)

             700        690,375   

Diversified Telecommunication Services — 0.5%

  

 

Level 3 Financing, Inc.:

      

3.83%, 1/15/18 (b)

       607        611,553   

6.13%, 1/15/21

       337        356,799   

5.13%, 5/01/23 (c)

       645        643,387   
      

 

 

 
                       1,611,739   

Health Care Equipment & Supplies — 0.1%

  

 

DJO Finance LLC, 8.13%, 6/15/21 (c)(f)

             190        192,850   

Health Care Providers & Services — 0.4%

  

 

Care UK Health & Social Care PLC, 5.57%, 7/15/19 (b)

     GBP        482        712,125   

DaVita HealthCare Partners, Inc., 5.00%, 5/01/25

     USD        375        374,297   

Tenet Healthcare Corp., 5.50%, 3/01/19 (c)

       397        399,481   
      

 

 

 
                       1,485,903   

Household Durables — 0.0%

  

 

Berkline/Benchcraft LLC, 4.50%, 11/03/15 (a)(g)

             400          

Media — 0.2%

  

 

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

       248        256,060   

Numericable Group SA, 6.00%, 5/15/22 (c)

       512        524,480   
      

 

 

 
                       780,540   

Metals & Mining — 0.1%

  

 

Novelis, Inc., 8.38%, 12/15/17

             155        161,200   

Oil, Gas & Consumable Fuels — 0.3%

  

 

California Resources Corp., 5.50%, 9/15/21

       300        284,250   

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

       380        348,650   

EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19

       385        396,935   
      

 

 

 
                       1,029,835   

Pharmaceuticals — 0.7%

  

 

Endo Finance LLC/Endo Finco, Inc., 6.00%, 2/01/25 (c)

       630        646,144   

Valeant Pharmaceuticals International, Inc. (c):

      

5.38%, 3/15/20

       860        882,037   

5.88%, 5/15/23

       515        528,519   

6.13%, 4/15/25

       285        294,084   
      

 

 

 
                       2,350,784   

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Corporate Bonds   

Par  

(000)

    Value  

Road & Rail — 0.1%

  

 

Florida East Coast Holdings Corp., 6.75%, 5/01/19 (c)

     USD        480      $ 477,600   

Wireless Telecommunication Services — 0.8%

  

 

Communications Sales & Leasing, Inc., 6.00%, 4/15/23 (c)

       295        296,183   

Digicel Group Ltd., 8.25%, 9/30/20 (c)

       830        856,062   

Sprint Communications, Inc., 7.00%, 3/01/20 (c)

       1,465        1,620,656   

T-Mobile USA, Inc., 6.13%, 1/15/22

       135        139,219   
      

 

 

 
                       2,912,120   
Total Corporate Bonds — 5.1%                      17,517,466   
      
                          
Floating Rate Loan Interests (b)               

Aerospace & Defense — 2.3%

  

BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21

       1,796        1,813,455   

DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20

       1,338        1,340,482   

TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21

       725        761,250   

Transdigm, Inc.:

      

Term Loan C, 3.75%, 2/28/20

       508        509,515   

Term Loan D, 3.75%, 6/04/21

       521        521,875   

TransUnion LLC, Term Loan, 4.00%, 4/09/21

       2,886        2,897,567   
      

 

 

 
                       7,844,144   

Air Freight & Logistics — 0.4%

  

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

       423        395,607   

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

       441        413,013   

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

       69        64,691   

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

       609        569,674   
      

 

 

 
                       1,442,985   

Airlines — 0.4%

  

Northwest Airlines, Inc.:

      

2.25%, 3/10/17

       316        308,890   

1.63%, 9/10/18

       337        322,279   

1.64%, 9/10/18

       170        163,094   

US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19

       693        693,173   
      

 

 

 
                       1,487,436   

Auto Components — 3.7%

  

Autoparts Holdings Ltd.:

      

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

       1,506        1,486,378   

2nd Lien Term Loan, 10.50%, 1/29/18

       546        515,970   

Dayco Products LLC, Term Loan B, 5.25%, 12/12/19

       960        961,097   

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

       894        886,317   

Gates Global, Inc., Term Loan B, 4.25%, 7/05/21

       5,393        5,392,900   

Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19

       1,421        1,432,896   

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

      

PIK, 13.00%, 3/30/2012

       4          

12.25%, 3/31/2012

       274          

INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20

       1,230        1,239,791   

UCI International, Inc., Term Loan B, 5.50%, 7/26/17

       910        892,188   
      

 

 

 
                       12,807,537   

Automobiles — 0.4%

  

Chrysler Group LLC, Term Loan B:

      

2018, 3.25%, 12/31/18

     USD        500      500,305   

3.50%, 5/24/17

       859        859,579   
      

 

 

 
                       1,359,884   

Banks — 0.3%

  

Redtop Acquisitions Ltd.:

      

1st Lien Term Loan, 4.50%, 12/03/20

       869        872,259   

2nd Lien Term Loan, 8.25%, 6/03/21

       183        183,829   
      

 

 

 
                       1,056,088   

Beverages — 0.0%

  

Le-Nature’s, Inc., Tranche B Term Loan, 10.25%, 3/01/2011 (a)(g)

             1,000          

Building Products — 4.0%

  

Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20

       867        866,636   

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

       3,672        3,653,648   

GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21

       886        861,684   

Hanson Building Products Ltd., 1st Lien Term Loan, 6.50%, 2/18/22

       410        411,815   

Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21

       1,059        1,056,652   

Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21

       1,870        1,891,353   

Nortek, Inc., Term Loan, 3.75%, 10/30/20

       1,270        1,264,683   

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

       614        613,033   

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

       1,046        1,049,253   

United Subcontractors, Inc., Term Loan, 4.28%, 6/30/15

       214        210,136   

Wilsonart LLC:

      

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

       509        507,713   

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

       1,520        1,517,476   
      

 

 

 
                       13,904,082   

Capital Markets — 0.4%

  

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

       799        764,688   

American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17

       486        485,947   
      

 

 

 
                       1,250,635   

Chemicals — 4.7%

  

Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19

       589        592,191   

Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19

       305        307,259   

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

       1,186        1,188,575   

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

       71        71,240   

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

       720        724,190   

Chemtura Corp., Term Loan B, 3.50%, 8/27/16

       141        140,806   

Chromaflo Technologies Corp.:

      

1st Lien Term Loan, 4.50%, 12/02/19

       691        688,385   

2nd Lien Term Loan, 8.25%, 6/02/20

       295        289,089   

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

       1,251        1,227,923   

INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18

       518        519,143   

Klockner-Pentaplast of America, Inc., Term Loan, 5.00%, 4/10/20

       445        446,273   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    27


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Chemicals (concluded)

  

MacDermid, Inc.:

      

1st Lien Term Loan, 4.50%, 6/07/20

     USD        1,722      $ 1,736,591   

Term Loan B2, 4.75%, 6/07/20

       458        462,944   

Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21

       1,259        1,264,344   

Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17

       844        832,621   

OXEA Finance LLC:

      

2nd Lien Term Loan, 8.25%, 7/15/20

       845        781,625   

Term Loan B2, 4.25%, 1/15/20

       1,409        1,378,618   

Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18

       410        411,563   

Solenis International LP:

      

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

       940        943,801   

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

       1,055        1,022,474   

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

       349        347,916   

Trinseo Materials Operating SCA, Term Loan B, 4.25%, 10/13/21

       345        346,401   

Univar, Inc., Term Loan B, 5.00%, 6/30/17

       598        600,079   
      

 

 

 
                       16,324,051   

Commercial Services & Supplies — 6.3%

  

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

       1,854        1,848,364   

ARAMARK Corp.:

      

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

       1,698        1,704,290   

Term Loan F, 3.25%, 2/24/21

       527        527,337   

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

       2,295        2,269,631   

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

       2,766        2,788,283   

Connolly Corp.:

      

1st Lien Term Loan, 5.00%, 5/14/21

       1,836        1,847,031   

2nd Lien Term Loan, 8.00%, 5/14/22

       900        898,875   

Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21

       638        644,388   

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

       549        555,483   

KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21

       821        820,593   

Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20

       1,439        1,430,148   

Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19

       806        795,579   

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

       3,371        3,374,090   

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

       518        518,632   

Waste Industries USA, Inc., Term Loan B, 4.25%, 2/27/20

       561        565,574   

West Corp., Term Loan B10, 3.25%, 6/30/18

       1,405        1,406,750   
      

 

 

 
                       21,995,048   

Communications Equipment — 3.5%

  

Amaya Holdings BV:

      

1st Lien Term Loan, 5.00%, 8/01/21

       507        507,770   

2nd Lien Term Loan, 8.00%, 8/01/22

       3,285        3,314,762   

Applied Systems, Inc.:

      

1st Lien Term Loan, 4.25%, 1/25/21

       871        872,948   

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

       230        231,295   

Avaya, Inc., Term Loan B7, 6.25%, 4/30/20

       1,735        1,718,014   

CommScope, Inc., Term Loan B3, 2.83%, 1/21/17

       416        415,912   

Riverbed Technology, Inc., Term Loan B, 6.00%, 4/24/22

       370        373,885   

Telesat Canada, Term Loan A, 4.10%, 3/24/17

     CAD        2,417        1,998,514   

Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19

     USD        2,722        2,721,887   
      

 

 

 
                       12,154,987   
Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Construction & Engineering — 0.4%

  

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

     USD        514      519,105   

Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/20/20

       745        749,343   
      

 

 

 
                       1,268,448   

Construction Materials — 1.7%

  

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

       583        585,894   

HD Supply, Inc., Term Loan B, 4.00%, 6/28/18

       4,443        4,456,959   

Headwaters, Inc., Term Loan B, 4.50%, 3/24/22

       450        451,627   

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

       394        388,460   
      

 

 

 
                       5,882,940   

Containers & Packaging — 0.8%

  

Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21

       1,523        1,526,677   

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

       913        922,231   

Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21

       471        472,616   
      

 

 

 
                       2,921,524   

Distributors — 0.9%

  

ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20

       1,795        1,798,131   

American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21

       950        961,068   

Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19

       489        460,647   

VWR Funding, Inc., Term Loan, 3.43%, 4/03/17

       31        30,930   
      

 

 

 
                       3,250,776   

Diversified Consumer Services — 2.9%

  

Allied Security Holdings LLC:

      

1st Lien Term Loan, 4.25%, 2/12/21

       1,749        1,750,728   

2nd Lien Term Loan, 8.00%, 8/13/21

       864        866,280   

Bright Horizons Family Solutions, Inc.:

      

Incremental Term Loan B1, 4.50%, 1/30/20

       319        321,594   

Term Loan B, 4.00%, 1/30/20

       1,471        1,476,184   

CT Technologies Intermediate Holdings, Inc., 2014 Term Loan, 6.00%, 12/01/21

       354        355,883   

Iglo Foods Midco Ltd., Term Loan B, 4.25%, 6/30/20

     EUR        1,020        1,145,464   

ROC Finance LLC, Term Loan, 5.00%, 6/20/19

     USD        650        643,059   

ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21

       3,258        3,267,719   

Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20

       260        138,242   
      

 

 

 
                       9,965,153   

Diversified Financial Services — 3.6%

  

AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21

       1,629        1,630,671   

Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21

       599        602,241   

IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21

       1,178        1,181,810   

Onex Wizard US Acquisition, Inc., Term Loan, 5.25%, 3/13/22

       1,270        1,283,754   

Reynolds Group Holdings, Inc., Dollar Term Loan, 4.50%, 12/01/18

       3,899        3,935,723   

SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20

       1,555        1,562,436   

SIG Euro Holdings AG & Co. KG, 2013 Term Loan, 4.50%, 12/02/18

     EUR        878        993,834   

TransFirst, Inc.:

      

2014 1st Lien Term Loan, 5.50%, 11/12/21

     USD        829        834,952   

 

See Notes to Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Diversified Financial Services (concluded)

  

TransFirst, Inc. (concluded):

      

2014 2nd Lien Term Loan, 9.00%, 11/12/22

     USD        461      $ 464,362   
      

 

 

 
                       12,489,783   

Diversified Telecommunication Services — 4.6%

  

Altice Financing SA, Term Loan:

      

Delayed Draw, 5.50%, 7/02/19

       1,071        1,087,943   

5.25%, 2/04/22

       425        429,781   

Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20

       1,838        1,849,419   

GCI Holdings, Inc., Term Loan B, 4.75%, 2/02/22

       1,470        1,480,114   

Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19

       1,433        1,437,768   

Integra Telecom, Inc.:

      

2nd Lien Term Loan, 9.75%, 2/21/20

       520        516,589   

Term Loan B, 5.25%, 2/22/19

       1,210        1,214,234   

Level 3 Financing, Inc.:

      

2019 Term Loan, 4.00%, 8/01/19

       902        903,786   

2020 Term Loan B, 4.00%, 1/15/20

       4,685        4,695,260   

Incremental Term Loan B5, 4.50%, 1/31/22

       2,245        2,246,414   
      

 

 

 
                       15,861,308   

Electric Utilities — 1.2%

  

American Energy — Utica LLC:

      

2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18

       136        121,985   

2nd Lien Term Loan, 5.50%, 9/30/18

       638        574,180   

Incremental 2nd Lien Term Loan, 11.00%, 9/30/18

       136        122,003   

Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 6/19/16

       3,237        3,254,897   
      

 

 

 
                       4,073,065   

Electrical Equipment — 0.7%

  

Southwire Co., Term Loan, 3.25%, 2/10/21

       609        607,176   

Texas Competitive Electric Holdings Co. LLC:

      

DIP Term Loan, 3.75%, 5/05/16

       1,203        1,208,809   

Extended Term Loan, 4.67%, 10/10/17 (a)(g)

       1,050        649,089   
      

 

 

 
                       2,465,074   

Electronic Equipment, Instruments & Components — 0.5%

  

CDW LLC, Term Loan, 3.25%, 4/29/20

             1,750        1,747,337   

Energy Equipment & Services — 1.6%

  

Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20

       2,539        2,553,416   

Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21

       209        211,500   

MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20

       2,946        2,906,586   
      

 

 

 
                       5,671,502   

Food & Staples Retailing — 1.0%

  

New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21

       896        898,482   

Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20

       540        546,075   

Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19

       1,077        1,080,335   

US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19

       1,027        1,030,386   
      

 

 

 
                       3,555,278   

Food Products — 3.3%

  

CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20

       512        514,761   

Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18

       1,813        1,814,645   
Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Food Products (concluded)

  

Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18

     USD        1,572      1,580,227   

Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21

       1,315        1,320,546   

Pabst Brewing Company, Inc., Term Loan, 5.75%, 10/21/21

       1,157        1,161,640   

Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19

       1,008        1,012,118   

Pinnacle Foods Finance LLC:

      

Incremental Term Loan H, 3.00%, 4/29/20

       1,031        1,030,618   

Term Loan G, 3.00%, 4/29/20

       995        993,835   

Post Holdings Inc., Series A Incremental Term Loan, 3.75%, 6/02/21

       623        625,768   

Reddy Ice Corp.:

      

1st Lien Term Loan, 6.75%, 5/01/19

       985        864,162   

2nd Lien Term Loan, 10.75%, 11/01/19

       725        551,000   
      

 

 

 
                       11,469,320   

Health Care Equipment & Supplies — 4.9%

  

Auris Luxembourg III Sarl, Term Loan B, 5.50%, 1/17/22

       765        771,694   

Biomet, Inc., Term Loan B2, 3.68%, 7/25/17

       1,361        1,361,201   

Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18

       946        947,449   

DJO Finance LLC:

      

2015 Term Loan, 4.25%, 4/21/20

       1,920        1,931,520   

2017 Term Loan, 4.25%, 9/15/17

       2,276        2,274,730   

Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18

       1,666        1,670,954   

Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18

       1,699        1,704,804   

Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21

       1,401        1,403,732   

Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21

       967        787,924   

National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21

       1,935        1,923,174   

Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21

       1,873        1,866,476   

Sage Products Holdings III LLC, Refinancing Term Loan B2, 5.00%, 12/13/19

       253        255,562   
      

 

 

 
                       16,899,220   

Health Care Providers & Services — 8.3%

  

Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22

       293        296,321   

Air Medical Group Holdings, Inc., Term Loan B, 4.50%, 4/06/22

       900        899,037   

Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20

       900        877,500   

Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21

       1,789        1,795,249   

Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18

       645        645,866   

Aspen Dental Management, Inc., 2015 Term Loan B, 5.50%, 4/10/22

       525        527,956   

CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19

       1,044        1,047,817   

Community Health Systems, Inc.:

      

Term Loan D, 4.25%, 1/27/21

       4,774        4,802,310   

Term Loan F, 3.43%, 12/31/18

       986        990,997   

ConvaTec, Inc., Term Loan, 4.00%, 12/22/16

       1,102        1,100,775   

Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/07/22

       950        957,125   

DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21

       5,890        5,905,979   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    29


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Health Care Providers & Services (concluded)

  

Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20

     USD        625      $ 626,451   

Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18

       906        909,958   

Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17

       527        537,512   

HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22

       170        171,753   

HCA, Inc., Term Loan B5, 2.93%, 3/31/17

       853        854,098   

MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21

       1,212        1,210,872   

National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21

       764        765,489   

Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20

       686        690,857   

Surgical Care Affiliates, Inc., Term Loan B, 4.25%, 3/17/22

       1,273        1,276,180   

Tenet Healthcare Corp., Interim Term Loan, 4.50%, 3/22/16

       1,400        1,400,000   

U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19

       534        536,090   
      

 

 

 
                       28,826,192   

Health Care Technology — 1.0%

  

Emdeon Business Services LLC, Term Loan B3, 3.75%, 12/02/18

       199        199,374   

IMS Health, Inc., Term Loan, 3.50%, 3/17/21

       1,990        1,988,905   

MedAssets, Inc., Term Loan B, 4.00%, 12/13/19

       1,134        1,133,036   
      

 

 

 
                       3,321,315   

Hotels, Restaurants & Leisure — 10.4%

  

Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20

       1,465        1,473,138   

Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20

       1,804        1,745,095   

Burger King Newco Unlimited Liability Co., 2014 Term Loan B, 4.50%, 12/12/21

       3,400        3,436,805   

Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20

       3,662        3,499,893   

CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21

       980        985,729   

Dave & Buster’s, Inc., Term Loan, 4.25%, 7/25/20

       410        412,024   

Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21

       1,088        1,093,466   

ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19

       580        585,440   

Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20

       2,388        2,395,785   

Intrawest ULC, Term Loan, 4.75%, 12/09/20

       775        778,823   

La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21

       5,005        5,018,861   

Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20

       1,725        1,726,197   

MGM Resorts International, Term Loan B, 3.50%, 12/20/19

       2,149        2,147,839   

Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20

       906        908,640   

RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21

       784        789,367   

Sabre, Inc.:

      

Incremental Term Loan, 4.50%, 2/19/19

       305        306,306   

Term Loan B, 4.00%, 2/19/19

       1,410        1,416,375   

Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20

       932        940,847   

Station Casinos LLC, Term Loan B, 4.25%, 3/02/20

       3,225        3,242,968   

Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 5.75%, 9/02/21

       2,040        2,059,328   
Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Hotels, Restaurants & Leisure (concluded)

  

Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20

     USD        472      471,495   

Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19

       570        572,298   
      

 

 

 
                       36,006,719   

Household Products — 1.0%

  

Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19

       1,677        1,682,663   

Prestige Brands, Inc., Term Loan, 4.13%, 1/31/19

       561        562,881   

Spectrum Brands, Inc.:

      

Term Loan A, 3.00%, 9/04/17

       461        461,803   

Term Loan C, 3.50%, 9/04/19

       895        895,987   
      

 

 

 
                       3,603,334   

Independent Power and Renewable Electricity Producers — 1.6%

  

Calpine Corp., Term Loan B1, 4.00%, 4/01/18

       2,658        2,672,070   

Granite Acquisition Inc.:

      

Term Loan B, 5.00%, 12/19/21

       1,897        1,921,106   

Term Loan C, 5.00%, 12/19/21

       84        84,741   

Terra-Gen Finance Co. LLC, Term Loan B, 5.25%, 12/09/21

       1,007        1,017,550   
      

 

 

 
                       5,695,467   

Industrial Conglomerates — 0.4%

  

Sequa Corp., Term Loan B, 5.25%, 6/19/17

             1,501        1,358,935   

Insurance — 2.2%

  

Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19

       1,098        1,098,753   

AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20

       619        624,318   

CNO Financial Group, Inc., Term Loan B2, 3.75%, 9/28/18

       1,367        1,363,209   

Cooper Gay Swett & Crawford of Delaware Holding Corp., 1st Lien Term Loan, 5.00%, 4/16/20

       975        926,713   

Sedgwick Claims Management Services, Inc.:

      

1st Lien Term Loan, 3.75%, 3/01/21

       1,163        1,155,561   

2nd Lien Term Loan, 6.75%, 2/28/22

       1,230        1,212,706   

York Risk Services Holding Corp.isk Services Holding Corp., Term Loan B, 4.75%, 10/01/21

       1,287        1,289,038   
      

 

 

 
                       7,670,298   

Internet Software & Services — 2.1%

  

Dealertrack Technologies, Inc., Term Loan B, 3.25%, 2/28/21

       1,163        1,162,117   

Go Daddy Operating Co. LLC, Term Loan B, 4.50%, 5/13/21

       1,563        1,573,614   

Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21

       3,419        3,439,172   

W3 Co.:

      

1st Lien Term Loan, 5.75%, 3/13/20

       770        694,872   

2nd Lien Term Loan, 9.25%, 9/11/20

       419        377,055   
      

 

 

 
                       7,246,830   

IT Services — 3.4%

  

First Data Corp.:

      

2018 Extended Term Loan, 3.68%, 3/24/18

       7,645        7,659,158   

2018 Term Loan, 3.68%, 9/24/18

       730        730,912   

Genpact International, Inc., Term Loan B, 3.50%, 8/30/19

       1,142        1,145,660   

InfoGroup, Inc., Term Loan, 7.50%, 5/26/18

       314        299,176   

SunGard Data Systems, Inc.:

      

Term Loan C, 3.93%, 2/28/17

       925        925,583   

Term Loan E, 4.00%, 3/08/20

       170        171,183   

Vantiv LLC, 2014 Term Loan B, 3.75%, 6/13/21

       1,049        1,052,919   
      

 

 

 
                       11,984,591   

 

See Notes to Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Leisure Products — 0.3%

  

Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21

     USD        977      $ 969,360   

Machinery — 2.3%

      

Alliance Laundry Systems LLC:

      

2nd Lien Term Loan, 9.50%, 12/10/19

       286        287,080   

Refinancing Term Loan, 4.25%, 12/10/18

       871        872,892   

Allison Transmission, Inc., Term Loan B3, 3.50%, 8/23/19

       735        738,859   

Faenza Acquisition GmbH:

      

Term Loan B1, 4.25%, 8/30/20

       706        711,253   

Term Loan B3, 4.25%, 8/30/20

       209        210,860   

Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20

       791        791,089   

Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21

       499        502,067   

Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20

       1,490        1,494,210   

Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19

       1,783        1,738,420   

Wabash National Corp., 2015 Term Loan B, 4.25%, 3/16/22

       698        702,152   
      

 

 

 
                       8,048,882   

Manufacture Goods — 0.1%

  

KP Germany Erste GmbH, 1st Lien Term Loan, 5.00%, 4/22/20

             190        190,715   

Media — 10.9%

  

Cengage Learning Acquisitions, Inc.:

      

1st Lien Term Loan, 7.00%, 3/31/20

       3,653        3,672,498   

Term Loan, 0.00%, 7/03/15 (a)(g)

       1,296          

Clear Channel Communications, Inc., Term Loan D, 6.93%, 1/30/19

       3,932        3,759,867   

Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21

       677        678,110   

Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20

       1,204        1,207,294   

Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19

       754        755,379   

Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19

       2,622        2,619,097   

Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22

       910        912,275   

Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20

       300        301,302   

MCC Iowa LLC:

      

Term Loan I, 2.65%, 6/30/17

       665        663,313   

Term Loan J, 3.75%, 6/30/21

       323        322,663   

Media General, Inc., Term Loan B, 4.25%, 7/31/20

       1,607        1,617,851   

Mediacom Communications Corp., Term Loan F, 2.65%, 3/31/18

       505        499,220   

Mediacom Illinois LLC, Term Loan G, 3.75%, 6/30/21

       826        826,370   

Numericable U.S. LLC:

      

Term Loan B1, 4.50%, 5/21/20

       1,354        1,358,823   

Term Loan B2, 4.50%, 5/21/20

       1,171        1,175,568   

Salem Communications Corp., Term Loan B, 4.50%, 3/13/20

       348        347,846   

SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21

       1,816        1,814,768   

Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20

       1,137        1,133,907   

Tribune Co., 2013 Term Loan, 4.00%, 12/27/20

       2,905        2,918,009   

Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20

       3,339        3,340,918   
Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Media (concluded)

  

Virgin Media Investment Holdings Ltd.:

      

Term Loan B, 3.50%, 6/07/20

     USD        697      696,976   

Term Loan E, 4.25%, 6/30/23

     GBP        1,105        1,701,551   

WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19

     USD        2,398        2,408,816   

Ziggo Financing Partnership:

      

Term Loan B1, 3.50%, 1/15/22

       1,108        1,108,083   

Term Loan B2A, 3.50%, 1/15/22

       719        718,841   

Term Loan B3, 3.50%, 1/15/22

       1,182        1,182,236   
      

 

 

 
                       37,741,581   

Metals & Mining — 0.8%

  

Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20

       265        228,563   

Novelis, Inc., Term Loan, 3.75%, 3/10/17

       1,571        1,572,582   

Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17

       816        815,715   
      

 

 

 
                       2,616,860   

Multiline Retail — 2.3%

  

99¢ Only Stores, Term Loan, 4.50%, 1/11/19

       1,117        1,115,057   

BJ’s Wholesale Club, Inc.:

      

1st Lien Term Loan, 4.50%, 9/26/19

       3,069        3,084,845   

2nd Lien Term Loan, 8.50%, 3/26/20

       375        378,829   

Dollar Tree, Inc., Term Loan B, 4.25%, 3/09/22

       1,270        1,285,723   

Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20

       367        368,858   

The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20

       1,633        1,636,288   
      

 

 

 
                       7,869,600   

Oil, Gas & Consumable Fuels — 4.6%

  

American Energy — Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20

       565        465,119   

Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18

       1,126        837,279   

CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18

       1,237        1,246,177   

Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21

       2,263        1,828,576   

EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18

       1,170        1,154,649   

Fieldwood Energy LLC, 1st Lien Term Loan, 3.88%, 9/28/18

       588        569,334   

Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21

       545        549,540   

Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15

       226        224,457   

Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19

       66        42,846   

Packers Holdings LLC, Term Loan B, 5.00%, 12/02/21

       1,002        1,011,259   

Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20

       865        868,244   

Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19

       555        541,125   

Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20

       285        278,944   

Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21

       1,097        1,086,277   

Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21

       162        151,646   

Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21

       715        706,561   

Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21

       576        564,137   

Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/28/22

       683        688,412   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    31


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (concluded)

  

TPF II Power LLC, Term Loan B, 5.50%, 10/02/21

     USD        983      $ 999,427   

Veresen Midstream Limited Partnership, Term Loan B, 6.00%, 3/31/22

       1,025        1,035,250   

WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21

       1,037        1,042,059   
      

 

 

 
                       15,891,318   

Personal Products — 0.1%

  

Prestige Brands, Inc., Term Loan B2, 4.50%, 9/03/21

             248        249,118   

Pharmaceuticals — 6.8%

      

Akorn, Inc., Term Loan B, 4.50%, 4/16/21

       1,358        1,359,031   

Amneal Pharmaceuticals LLC, Term Loan:

      

Incremental, 4.50%, 11/01/19

       400        401,500   

5.00%, 11/01/19

       633        637,430   

CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19

       508        508,935   

Concordia Healthcare Corp., Term Loan B, 4.75%, 3/30/22

       520        523,900   

Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21

       713        712,358   

Grifols Worldwide Operations USA, Inc., Term Loan B, 3.18%, 2/27/21

       2,606        2,611,523   

Horizon Pharma Holdings USA, Inc., Term Loan B, 5.00%, 4/22/21

       335        337,094   

JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21

       1,543        1,542,410   

Mallinckrodt International Finance SA:

      

Incremental Term Loan B1, 3.50%, 3/19/21

       876        876,449   

Term Loan B, 3.25%, 3/19/21

       1,406        1,404,577   

Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19

       2,264        2,266,080   

Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18

       2,924        2,936,179   

Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18

       1,261        1,260,981   

Valeant Pharmaceuticals International, Inc.:

      

Series C2 Term Loan B, 3.50%, 12/11/19

       975        977,890   

Series D2 Term Loan B, 3.50%, 2/13/19

       943        945,844   

Series E Term Loan B, 3.50%, 8/05/20

       1,158        1,161,049   

Series F1 Term Loan B, 4.00%, 4/01/22

       3,069        3,088,762   
      

 

 

 
                       23,551,992   

Professional Services — 2.2%

  

Acosta Holdco, Inc., 2014 Term Loan, 4.25%, 9/26/21

       833        841,928   

Advantage Sales & Marketing, Inc.:

      

2014 1st Lien Term Loan, 4.25%, 7/23/21

       1,309        1,312,651   

2014 2nd Lien Term Loan, 7.50%, 7/25/22

       465        466,744   

Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18

       1,251        1,254,325   

Intertrust Group Holding BV:

      

2nd Lien Term Loan, 8.00%, 4/16/22

       625        625,587   

Term Loan B4, 4.27%, 4/16/21

     EUR        988        1,119,462   

SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19

     USD        1,107        1,107,400   

Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19

       1,025        1,025,137   
      

 

 

 
                       7,753,234   

Real Estate Management & Development — 1.6%

  

CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20

       1,396        1,404,445   

DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21

       1,314        1,325,631   
Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Real Estate Management & Development (concluded)

  

Realogy Corp.:

      

Extended Letter of Credit, 0.02%, 10/10/16

     USD        109      108,050   

Term Loan B, 3.75%, 3/05/20

       2,869        2,879,245   
      

 

 

 
                       5,717,371   

Road & Rail — 1.2%

  

Coyote Logistics LLC, Term Loan, 6.25%, 3/26/22

       750        754,065   

Hertz Corp., Term Loan B2, 3.50%, 3/11/18

       883        882,764   

PODS LLC, 1st Lien Term Loan, 5.25%, 2/02/22

       650        657,312   

Road Infrastructure Investment LLC:

      

1st Lien Term Loan, 4.25%, 3/31/21

       1,233        1,216,379   

2nd Lien Term Loan, 7.75%, 9/21/21

       600        550,500   
      

 

 

 
                       4,061,020   

Semiconductors & Semiconductor Equipment — 1.8%

  

Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21

       2,867        2,878,831   

Freescale Semiconductor, Inc.:

      

Term Loan B4, 4.25%, 2/28/20

       2,161        2,169,095   

Term Loan B5, 5.00%, 1/15/21

       428        431,959   

NXP BV, Term Loan D, 3.25%, 1/11/20

       857        856,144   
      

 

 

 
                       6,336,029   

Software — 3.5%

  

GCA Services Group, Inc.:

      

2nd Lien Term Loan, 9.25%, 10/22/20

       400        402,000   

Term Loan B, 4.25%, 11/01/19

       1,036        1,036,754   

Infor US, Inc.:

      

Term Loan B3, 3.75%, 6/03/20

       522        520,849   

Term Loan B5, 3.75%, 6/03/20

       2,631        2,625,558   

IQOR US, Inc., Term Loan B, 6.00%, 4/01/21

       540        507,140   

Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20

       307        308,818   

Kronos, Inc.:

      

2nd Lien Term Loan, 9.75%, 4/30/20

       1,088        1,122,283   

Initial Incremental Term Loan, 4.50%, 10/30/19

       896        900,954   

Mitchell International, Inc.:

      

1st Lien Term Loan, 4.50%, 10/12/20

       1,330        1,333,519   

2nd Lien Term Loan, 8.50%, 10/11/21

       1,000        997,000   

Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18

       1,937        1,942,309   

Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20

       195        197,560   

Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20

       350        350,875   
      

 

 

 
                       12,245,619   

Specialty Retail — 4.6%

  

Academy Ltd., Term Loan, 4.50%, 8/03/18

       1,251        1,256,302   

Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20

       800        805,824   

General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19

       1,563        1,558,008   

Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19

  

    1,218        1,219,501   

Michaels Stores, Inc.:

      

Incremental 2014 Term Loan B2, 4.00%, 1/28/20

       1,772        1,780,222   

Term Loan B, 3.75%, 1/28/20

       894        896,061   

Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19

       2,609        2,615,385   

Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17

       1,819        1,825,004   

PetSmart, Inc., 1st Lien Term Loan, 5.00%, 3/11/22

       3,155        3,192,324   

Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18

       936        790,727   
      

 

 

 
                       15,939,358   

 

See Notes to Financial Statements.

 

                
32    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Technology Hardware, Storage & Peripherals — 0.6%

  

Dell, Inc.:

      

Term Loan C, 3.75%, 10/29/18

     USD        977      $ 979,320   

Term Loan B, 4.50%, 4/29/20

       1,213        1,217,108   
      

 

 

 
                       2,196,428   

Textiles, Apparel & Luxury Goods — 1.8%

  

ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21

       1,312        1,315,029   

Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18

       1,395        1,241,148   

J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21

       1,465        1,371,061   

Kate Spade & Co., Term Loan B, 4.00%, 4/09/21

       1,330        1,330,283   

Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19

       1,015        1,020,590   
      

 

 

 
                       6,278,111   

Transportation Infrastructure — 0.2%

  

Penn Products Terminals LLC, Term Loan B, 4.75%, 3/19/22

             695        702,572   

Wireless Telecommunication Services — 1.0%

      

Communications Sales & Leasing, Inc., Term Loan B, 5.00%, 9/30/22

       820        817,950   

Crown Castle Operating Co., Term Loan B2, 3.00%, 1/31/21

       1,205        1,205,160   

LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20

       1,601        1,599,473   
      

 

 

 
                       3,622,583   
Total Floating Rate Loan Interests — 131.6%        456,843,037   
      
                          
Non-Agency Mortgage-Backed Securities — 0.2%                

Collateralized Mortgage Obligations — 0.2%

  

Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c)

             813        831,763   
Investment Companies               
Shares
    Value  

Capital Markets — 0.0%

      

Eaton Vance Floating-Rate Income Trust

       34      $ 502   

Eaton Vance Senior Income Trust

             8,925        58,459   
Total Investment Companies0.0%                58,961   
Other Interests (h)           Beneficial
Interest
(000)
    Value  

Auto Components — 0.0%

  

 

Lear Corp. Escrow

     USD        500        4,375   

Construction Materials — 0.1%

  

 

USI Senior Holdings

             8        169,417   
Total Other Interests — 0.1%                173,792   
      
                          
Warrants (i)           Shares         

Chemicals — 0.0%

  

 

British Vita Holdings Co. (Non-Expiring)

             166          

Software — 0.0%

  

 

Bankruptcy Management Solutions, Inc.:

      

Expires 07/01/19

       195          

Expires 07/01/20

       292          

Expires 07/02/18

       181          

HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant,
Expires 6/22/19, Strike Price $42.27)

       1,501        12,506   
      

 

 

 
                       12,506   
Total Warrants0.0%                      12,506   
Total Long-Term Investments
(Cost — $491,537,364) — 141.3%
        490,280,547   
Options Purchased
(Cost — $25,422) — 0.0%
                  
Total Investments
(Cost — $491,562,786) — 141.3%
        490,280,547   

Liabilities in Excess of Other Assets — (41.3)%

  

    (143,238,644
      

 

 

 
Net Assets — 100.0%        $ 347,041,903   
      

 

 

 

 

Notes to Schedule of Investments

 

(a)   Non-income producing security.

 

(b)   Variable rate security. Rate shown is as of report date.

 

(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)   Zero-coupon bond.

 

(e)   Convertible security.

 

(f)   When-issued security. Unsettled when-issued transactions were as follows:

 

Counterparty   Value        Unrealized
Appreciation
 

Credit Suisse Securities (USA) LLC

  $ 192,850         $ 2,850   

 

(g)   Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

(h)   Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

(i)   Warrants entitle the Trust to purchase a predetermined 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.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    33


Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

 

Ÿ  

During the six months ended April 30, 2015, investments in issuers considered to be an affiliate of the Trust for purposes of section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at October 31,
2014
       Net
Activity
       Shares Held
at April 30,
2015
       Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

       2,630,534           (2,630,534                $ 196   

 

Ÿ  

For Trust compliance purposes, the Trust’s industry classifications refer to any 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 advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

Ÿ  

As of April 30, 2015, forward foreign currency contracts outstanding were as follows:

 

Currency
Purchased
       Currency
Sold
    Counterparty   Settlement
Date
      

Unrealized
Appreciation

(Depreciation)

      
CAD        280,000         USD        228,227      JPMorgan Chase Bank N.A.     7/21/15         $ 3,592     
USD        1,884,867         CAD        2,309,000      Royal Bank of Canada     7/21/15           (26,815  
USD        2,642,243         EUR        2,455,000      UBS AG     7/21/15           (117,177  
USD        1,947,277         GBP        1,317,000      Barclays Bank PLC     7/21/15           (73,244    
Total                         $ (213,644  
                       

 

 

 

Ÿ  

As of April 30, 2015, OTC options purchased outstanding were as follows:

 

Description    Counterparty      Put/
Call
       Strike
Price
       Expiration
Date
       Contracts        Value  

Marsico Parent Superholdco LLC

   Goldman Sachs & Co.        Call           USD           942.86           12/14/19           26             

 

Ÿ  

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. 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. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

  Ÿ  

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)

 

  Ÿ  

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

As of April 30, 2015, 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:

                

Common Stocks

  $ 1,881,791                   $ 713,962         $ 2,595,753   

Asset-Backed Securities

            $ 8,071,969           4,175,300           12,247,269   

Corporate Bonds

              16,941,899           575,567           17,517,466   

Floating Rate Loan Interests

              431,947,151           24,895,886           456,843,037   

Non-Agency Mortgage-Backed Securities

              831,763                     831,763   

Investment Companies

    58,961                               58,961   

Other Interests

              169,417           4,375           173,792   

Warrants

                        12,506           12,506   
 

 

 

 

Total

  $ 1,940,752         $ 457,962,199         $ 30,377,596         $ 490,280,547   
 

 

 

 

 

See Notes to Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (concluded)

  

BlackRock Floating Rate Income Trust (BGT)

 

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments1                 

Assets:

                

Foreign currency exchange contracts

            $ 3,592              $ 3,592   

Liabilities:

                

Foreign currency exchange contracts

              (217,236             (217,236
 

 

 

 

Total

            $ (213,644           $ (213,644
 

 

 

 

1    Derivative financial instruments are 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 April 30, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

   

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash

  $ 4,413,903                        $ 4,413,903   

Foreign currency at value

    43,558                          43,558   

Liabilities:

                

Bank borrowings payable

            $ (141,000,000             (141,000,000
 

 

 

 

Total

  $ 4,457,461         $ (141,000,000           $ (136,542,539
 

 

 

 

During the six months ended April 30, 2015, there were no transfers between Level 1 and Level 2.

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 year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Asset-Backed
Securities
    Common
Stocks
    Corporate
Bonds
   

Floating

Rate Loan
Interests

    Other
Interests
    Warrants     Total  

Assets:

             

Opening Balance, as of October 31, 2014

  $ 715,650      $ 153,282      $ 560,826      $ 37,080,633      $ 4,375      $ 1,214      $ 38,515,980   

Transfers into Level 31

    466,391        541,118               8,945,478               8,274        9,961,261   

Transfers out of Level 32

                         (22,900,584                   (22,900,584

Accrued discounts/premiums

    6,031               (267     26,329                      32,093   

Net realized gain (loss)

                         (120,886            (4,686     (125,572

Net change in unrealized appreciation (depreciation)3,4

    84,228        19,562        (11,100     (3,216            11,069        100,543   

Purchases

    2,903,000               26,108        7,272,319                      10,201,427   

Sales

                         (5,404,187            (3,365     (5,407,552
 

 

 

 

Closing Balance, end of period April 30, 2015

  $ 4,175,300      $ 713,962      $ 575,567      $ 24,895,886      $ 4,375      $ 12,506      $ 30,377,596   
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at April 30, 20154

  $ 84,227      $ 19,563      $ (11,100   $ (113,213          $ 4,233      $ (16,290
 

 

 

 

1  As of October 31, 2014, the Trust used observable inputs in determining the value of certain investments. As of April 30, 2015, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $9,961,261 transferred from Level 2 to Level 3 in the disclosure hierarchy.

       

2  As of October 31, 2014, the Trust used significant unobservable inputs in determining the value of certain investments. As of April 30, 2015, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $22,900,584 transferred from Level 3 to Level 2 in the disclosure hierarchy.

       

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

     

4  Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at April 30, 2015 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.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    35


Schedule of Investments April 30, 2015 (Unaudited)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities   

Par  

(000)

    Value  

ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A2D,
0.48%, 2/25/36 (a)

     USD        6,775      $ 5,979,527   

Adirondack Park CLO Ltd., Series 2013-1A (a)(b):

      

Class D, 3.93%, 4/15/24 (c)

       3,250        3,185,866   

Class E, 4.93%, 4/15/24

       2,000        1,824,510   

ALM Loan Funding, Series 2013-7RA (a)(b):

      

Class C, 3.73%, 4/24/24 (c)

       4,000        3,916,692   

Class D, 5.28%, 4/24/24

       1,000        953,464   

ALM V Ltd., Series 2012-5A, Class C, 4.76%, 2/13/23 (a)(b)(c)

       4,000        4,000,045   

ALM XIV Ltd., Series 2014-14A, Class C, 3.73%, 7/28/26 (a)(b)(c)

       3,610        3,452,155   

American Homes 4 Rent, Series 2014-SFR2, Class E, 6.23%, 10/17/36 (b)

       2,000        2,162,752   

AMMC CDO, Series 2015-16A, Class C, 3.37%, 4/14/27 (a)(b)(d)

       1,250        1,237,500   

AMMC CLO XII Ltd., Series 2013-12A, Class D1, 4.01%, 5/10/25 (a)(b)(c)

       1,000        978,274   

Anchorage Capital CLO 3 Ltd., 3.28%, 4/28/26

       1,000        982,330   

Anchorage Capital CLO 6, Ltd.,
Series 2015-6A (a)(b):

      

Class C, 3.13%, 4/15/27

       1,000        977,300   

Class D, 3.68%, 4/15/27

       1,000        942,900   

Apidos CDO, Series 2012-9AR, Class CR, 3.18%, 7/15/23 (a)(b)(c)

       1,250        1,250,000   

Apidos CLO XII, Series 2013-12A, Class D, 3.33%, 4/15/25 (a)(b)(c)

       1,000        946,880   

Atrium X, Series 10A (a)(b):

      

Class D, 3.78%, 7/16/25 (c)

       1,000        971,200   

Class E, 4.78%, 7/16/25

       2,000        1,817,962   

Benefit Street Partners CLO Ltd., Series 2012-IA, Class C, 4.78%, 10/15/23 (a)(b)(c)

       2,750        2,762,395   

Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.78%, 7/15/24 (a)(b)(c)

       1,750        1,671,538   

Benefit Street Partners CLO V Ltd., Series 2014-VA, Class D, 3.83%, 10/20/26 (a)(b)(c)

       2,750        2,651,705   

Benefit Street Partners CLO VI, Ltd.,
Series 2015-VIA (a)(b):

      

Class B, 3.20%, 4/18/27

       1,000        987,200   

Class C, 3.85%, 4/18/27 (c)

       1,000        964,100   

Betony CLO, Ltd., Series 2015-1A (a)(b):

      

Class C, 3.41%, 4/15/27

       1,000        997,500   

Class D, 3.86%, 4/15/27

       1,000        958,750   

Brookside Mill CLO Ltd., Series 2013-1A, Class D, 3.32%, 4/17/25 (a)(b)(c)

       1,250        1,159,384   

C-BASS Trust, Series 2006-CB7, Class A4, 0.33%, 10/25/36 (a)

       9,821        6,879,422   

Carlyle Global Market Strategies CLO 2012-1 LLC, Series 2012-1AR, Class DR, 4.02%, 4/20/22 (a)(b)

       1,000        1,000,000   

Carlyle Global Market Strategies CLO Ltd., Class D (a)(b)(c):

      

Series 2012-4A, 4.78%, 1/20/25

       2,350        2,353,260   

Series 2013-2A, 4.03%, 4/18/25

       1,250        1,232,514   

Carrington Mortgage Loan Trust,
Series 2006-FRE2 (a):

      

Class A2, 0.30%, 10/25/36

       6,943        4,139,345   

Class A5, 0.26%, 10/25/36

       7,362        4,379,842   

Central Park CLO Ltd., Series 2011-1A, Class D, 3.48%, 7/23/22 (a)(b)(c)

       2,250        2,247,551   

CIFC Funding Ltd. (a)(b):

      

Series 2012-1AR, Class B1R, 4.41%, 8/14/24 (c)

       2,000        2,000,802   

Series 2013-2A, Class B1L, 3.88%, 4/21/25 (c)

       1,000        973,758   

Series 2014-3A, Class D, 3.68%, 7/22/26

       480        457,304   
Asset-Backed Securities   

Par  

(000)

    Value  

Citigroup Mortgage Loan Trust, Inc.,
Series 2005-HE3, Class M2,
0.66%, 9/25/35 (a)

     USD        4,800      $ 4,516,574   

Countrywide Asset-Backed Certificates, Series 2006-BC5, Class 2A3,
0.35%, 3/25/37 (a)

       4,644        4,556,990   

DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (b)

       3,746        3,813,941   

Fieldstone Mortgage Investment Trust, Series 2006-3, Class 2A3, 0.34%, 11/25/36 (a)

       12,924        7,573,127   

Flatiron CLO Ltd., Series 2012-1A, Class C, 4.78%, 10/25/24 (a)(b)(c)

       1,375        1,376,394   

Fremont Home Loan Trust, Class 2A3 (a):

      

Series 2006-A, 0.34%, 5/25/36

       27,099        15,600,729   

Series 2006-D, 0.33%, 11/25/36

       25,062        12,096,702   

GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class D, 3.58%, 4/25/25 (a)(b)

       1,250        1,205,458   

GSAMP Trust (a):

      

Series 2005-AHL2, Class A2C, 0.42%, 12/25/35

       5,918        5,386,488   

Series 2006-FM2, Class A2C, 0.33%, 9/25/36

       12,660        5,899,771   

Series 2007-FM2, Class A2B, 0.27%, 1/25/37

       9,228        5,472,287   

Halcyon Loan Advisors Funding Ltd.,
Series 2013-1A, Class C,
3.78%, 4/15/25 (a)(b)(c)

       2,000        1,860,000   

Highbridge Loan Management 4-2014, Ltd., Series 4A-2014, Class B,
3.28%, 7/28/25 (a)(b)(c)

       2,500        2,454,192   

Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-E, Class 2A3,
0.35%, 4/25/37 (a)

       15,542        10,262,941   

ING IM CLO Ltd., Series 2013-2A, Class C, 3.78%, 4/25/25 (a)(b)(c)

       1,000        968,891   

Jamestown CLO I Ltd., Series 2012-1A, Class C, 4.26%, 11/05/24 (a)(b)(c)

       2,550        2,550,000   

Jamestown CLO IV Ltd., Series 2014-4A, Class C, 3.78%, 7/15/26 (a)(b)

       1,335        1,278,205   

Madison Park Funding Ltd. (a):

      

Series 2012-10A, Class D, 4.53%, 1/20/25 (b)(c)

       1,000        1,000,230   

Series 2012-8X, Class E, 5.63%, 4/22/22

       3,000        2,949,677   

Madison Park Funding XV, Ltd., Series 2014-15A, Class B1, 3.46%, 1/27/26 (a)(b)(c)

       1,600        1,604,713   

Madison Park Funding XVI, Ltd.,
Series 2015-16A (a)(b):

      

Class B, 3.30%, 4/20/26

       1,000        990,100   

Class C, 4.00%, 4/20/26

       1,000        972,900   

Mastr Asset-Backed Securities Trust (a):

      

Series 2006-HE2, Class A3, 0.33%, 6/25/36

       12,949        7,198,140   

Series 2006-WMC2, Class A5, 0.43%, 4/25/36

       9,458        4,476,533   

Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A3,
0.33%, 11/25/36 (a)

       15,991        8,494,426   

Octagon Investment Partners XIV Ltd., Series 2012-1A, Class C,
4.28%, 1/15/24 (a)(b)(c)

       1,000        991,565   

Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D,
3.62%, 7/17/25 (a)(b)(c)

       2,250        2,138,134   

Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C,
3.90%, 11/14/26 (a)(b)

       1,000        968,178   

 

See Notes to Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities   

Par  

(000)

    Value  

OHA Credit Partners VII Ltd., Series 2012-7A, Class D, 4.26%, 11/20/23 (a)(b)(c)

     USD        3,000      $ 2,999,931   

OneMain Financial Issuance Trust 2015-1, Series 2015-1A, Class D, 6.63%, 3/18/26 (b)

       5,075        5,224,916   

OZLM Funding IV Ltd., Series 2013-4A, Class C, 3.78%, 7/22/25 (a)(b)(c)

       1,250        1,192,464   

OZLM Funding Ltd., Series 2012-2A, Class C, 4.60%, 10/30/23 (a)(b)(c)

       2,000        2,005,319   

Race Point CLO Ltd., Series 2011-5AR, Class ER, 6.27%, 12/15/22 (a)(b)

       1,500        1,513,636   

Renaissance Home Equity Loan Trust, Series 2007-3, Class AF2,
7.00%, 9/25/37 (e)

       4,779        3,163,805   

Saxon Asset Securities Trust, Series 2007-3, Class 2A3, 0.58%, 9/25/47 (a)

       5,000        3,495,530   

Scholar Funding Trust, Series 2013-A,
Class R, 0.00% (b)(f)

       (g)      3,852,923   

Symphony CLO, Ltd., Series 2012-10AR, Class CR, 3.12%, 7/23/23 (a)(b)

       1,500        1,500,000   

Symphony CLO XV Ltd., Series 2014-15A, Class D, 4.02%, 10/17/26 (a)(b)

       3,500        3,445,750   

TICP CLO II, Ltd., 3.38%, 7/20/27 (d)

       1,000        993,500   

Treman Park CLO LLC, Series 2015-1A, Class D, 4.12%, 4/20/27 (a)(b)

       1,500        1,477,500   

Tyron Park CLO Ltd., Series 2013-1A (a)(b):

      

Class C, 3.75%, 7/15/25 (c)

       1,250        1,210,576   

Class D, 4.65%, 7/15/25

       1,000        896,368   

Venture XX CLO, Ltd., Series 2015-20A (a)(b):

      

Class C, 3.43%, 4/15/27

       1,000        993,300   

Class D, 4.13%, 4/15/27

       1,000        967,000   

Voya CLO, Ltd., Series 2012-2AR, Class CR, 3.22%, 10/15/22 (a)(b)

       1,350        1,350,000   

WaMu Asset-Backed Certificates Trust, Series 2007-HE3, Class 2A3,
0.42%, 5/25/47 (a)

             11,451        7,487,683   
Total Asset-Backed Securities — 31.1%                      235,823,214   
      
                          
Corporate Bonds                      

Airlines — 5.1%

  

Air Canada Pass-Through Trust,
Series 2013-1 (b)(c):

      

Class B, 5.38%, 11/15/22

       3,139        3,319,274   

Class C, 6.63%, 5/15/18

       761        808,106   

American Airlines Pass-Through Trust (c):

      

Series 2013-1, Class C,
6.13%, 7/15/18 (b)

       1,500        1,575,000   

Series 2013-2, Class A, 4.95%, 7/15/24

       2,290        2,498,410   

Series 2013-2, Class B,
5.60%, 1/15/22 (b)

       2,665        2,794,993   

Series 2013-2, Class C,
6.00%, 1/15/17 (b)

       2,800        2,842,000   

Continental Airlines Pass-Through Trust (c):

      

Series 2003-ERJ1, 7.88%, 1/02/20

       6,184        6,531,948   

Series 2007-1, Class B, 6.90%, 10/19/23

       3,409        3,668,643   

Series 2012-1, Class B, 6.25%, 10/11/21

       458        489,389   

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

       678        718,680   

Delta Air Lines Pass-Through Trust, Class B (c):

      

Series 2007-1, 8.02%, 2/10/24

       2,224        2,596,261   

Series 2012-1, 6.88%, 5/07/19 (b)

       4,084        4,522,549   

United Airlines Pass-Through Trust, Series 2014-2, Class B, 4.63%, 3/03/24 (c)

       2,750        2,832,500   

US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 5/15/23 (c)

       3,066        3,212,030   
      

 

 

 
                       38,409,783   
Corporate Bonds   

Par  

(000)

    Value  

Auto Components — 1.2%

  

Dana Holding Corp., 6.75%, 2/15/21 (c)

     USD        1,257      $ 1,327,706   

Icahn Enterprises LP/Icahn Enterprises Finance Corp. (c):

      

3.50%, 3/15/17

       170        170,850   

4.88%, 3/15/19

       2,898        2,952,772   

6.00%, 8/01/20

       2,174        2,285,852   

5.88%, 2/01/22

       1,334        1,378,889   

Schaeffler Finance BV, 4.75%, 5/15/21 (b)(c)

       1,045        1,068,513   
      

 

 

 
                       9,184,582   

Automobiles — 0.9%

  

Chrysler Group LLC/CG Co-Issuer, Inc., 8.00%, 6/15/19 (c)

       1,212        1,269,631   

General Motors Co. (c):

      

3.50%, 10/02/18

       2,669        2,746,481   

6.25%, 10/02/43

       2,194        2,618,574   
      

 

 

 
                       6,634,686   

Banks — 2.5%

  

CIT Group, Inc., 5.25%, 3/15/18 (c)

       9,558        9,906,867   

Fifth Third Bancorp, 5.10% (a)(c)(h)

       5,000        4,760,000   

Rizal Commercial Banking Corp., 4.25%, 1/22/20

       100        104,704   

Sberbank of Russia Via SB Capital SA, 5.25%, 5/23/23 (b)

       5,000        4,000,000   
      

 

 

 
                       18,771,571   

Building Products — 0.8%

  

American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (b)(c)

       375        386,250   

Builders FirstSource, Inc., 7.63%, 6/01/21 (b)(c)

       1,100        1,146,750   

Building Materials Corp. of America, 6.75%, 5/01/21 (b)(c)

       3,125        3,320,313   

Cemex SAB de CV, 5.88%, 3/25/19 (b)(c)

       200        206,400   

USG Corp., 9.75%, 1/15/18 (c)

       572        662,090   
      

 

 

 
                       5,721,803   

Capital Markets — 0.5%

  

AE-Rotor Holding BV, 4.97%, 3/28/18 (c)

       1,600        1,664,672   

American Capital Ltd., 6.50%, 9/15/18 (b)(c)

       700        728,088   
      

 

 

 
                       2,392,760   

Chemicals — 0.0%

  

PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (c)

             246        264,472   

Commercial Services & Supplies — 1.5%

  

ARAMARK Corp., 5.75%, 3/15/20 (c)

       672        700,560   

Aviation Capital Group Corp.,
6.75%, 4/06/21 (b)(c)

       5,000        5,807,250   

Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (b)(c)

       207        197,685   

United Rentals North America, Inc. (c):

      

8.25%, 2/01/21

       1,942        2,094,932   

7.63%, 4/15/22

       2,440        2,690,100   
      

 

 

 
                       11,490,527   

Communications Equipment — 0.7%

  

Alcatel-Lucent USA, Inc., 8.88%, 1/01/20 (b)(c)

       942        1,038,555   

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

       691        694,455   

Zayo Group LLC/Zayo Capital, Inc., 10.13%, 7/01/20 (c)

       3,257        3,696,695   
      

 

 

 
                       5,429,705   

Construction & Engineering — 0.3%

  

Alam Synergy Property Ltd., 6.95%, 3/27/20 (c)

       2,000        1,940,000   

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

       183        186,678   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    37


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Corporate Bonds   

Par  

(000)

    Value  

Construction & Engineering (concluded)

  

Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)(c)

     USD        290      $ 293,625   
      

 

 

 
                       2,420,303   

Construction Materials — 1.3%

  

HD Supply, Inc. (c):

      

11.00%, 4/15/20

       2,900        3,291,500   

7.50%, 7/15/20

       6,388        6,851,130   
      

 

 

 
                       10,142,630   

Distributors — 0.1%

  

VWR Funding, Inc., 7.25%, 9/15/17 (c)

             652        681,340   

Diversified Consumer Services — 0.1%

  

APX Group, Inc., 6.38%, 12/01/19 (c)

       289        288,278   

Laureate Education, Inc., 10.00%, 9/01/19 (b)(c)

       395        385,125   
      

 

 

 
                       673,403   

Diversified Financial Services — 3.2%

  

Aircastle Ltd., 6.25%, 12/01/19 (c)

       2,624        2,896,240   

Ally Financial, Inc., 8.00%, 11/01/31 (c)

       9,315        11,690,325   

DPL, Inc., 6.50%, 10/15/16 (c)

       112        117,600   

General Motors Financial Co., Inc. (c):

      

3.25%, 5/15/18

       235        240,339   

4.25%, 5/15/23

       326        336,497   

Intesa Sanpaolo SpA, 5.02%, 6/26/24 (b)(c)

       2,290        2,306,751   

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

       845        834,438   

Reynolds Group Issuer, Inc. (c):

      

9.88%, 8/15/19

       979        1,043,247   

5.75%, 10/15/20

       4,941        5,163,345   
      

 

 

 
                       24,628,782   

Diversified Telecommunication Services — 3.2%

  

AT&T, Inc., 4.75%, 5/15/46 (d)

       2,545        2,488,084   

CenturyLink, Inc., Series V, 5.63%, 4/01/20 (c)

       834        878,611   

Cequel Communications Escrow 1 LLC/Cequel Capital Corp., 6.38%, 9/15/20 (b)(c)

       662        697,582   

Consolidated Communications, Inc., 10.88%, 6/01/20 (c)

       1,264        1,425,160   

Level 3 Communications, Inc., 8.88%, 6/01/19 (c)

       1,234        1,292,615   

Level 3 Financing, Inc., 8.13%, 7/01/19 (c)

       7,722        8,115,822   

Verizon Communications, Inc., 6.55%, 9/15/43 (c)

       6,500        8,132,897   

Windstream Corp. (c):

      

7.75%, 10/15/20

       450        462,375   

6.38%, 8/01/23

       555        489,788   
      

 

 

 
                       23,982,934   

Electric Utilities — 0.7%

  

Star Energy Geothermal Wayang Windu Ltd., 6.13%, 3/27/20 (c)

             5,000        5,062,500   

Energy Equipment & Services — 0.8%

  

MEG Energy Corp., 6.50%, 3/15/21 (b)(c)

       3,586        3,541,175   

Peabody Energy Corp. (c):

      

6.00%, 11/15/18

       176        138,710   

6.25%, 11/15/21

       3,625        2,175,000   
      

 

 

 
                       5,854,885   

Food & Staples Retailing — 0.1%

  

Rite Aid Corp. (c):

      

6.75%, 6/15/21

       329        348,329   

6.13%, 4/01/23 (b)

       177        183,416   
      

 

 

 
                       531,745   

Food Products — 0.2%

  

Barry Callebaut Services NV, 5.50%, 6/15/23 (b)

       1,200        1,281,000   

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

       307        322,350   
      

 

 

 
                       1,603,350   
Corporate Bonds   

Par  

(000)

    Value  

Health Care Equipment & Supplies — 1.2%

      

Biomet, Inc. (c):

      

6.50%, 8/01/20

     USD        5,795      $ 6,135,456   

6.50%, 10/01/20

       2,904        3,041,940   
      

 

 

 
                       9,177,396   

Health Care Providers & Services — 4.0%

  

CHS/Community Health Systems, Inc., 6.88%, 2/01/22 (c)

       3,548        3,765,315   

DaVita HealthCare Partners, Inc.,
5.13%, 7/15/24 (c)

       2,500        2,544,062   

HCA, Inc. (c):

      

6.50%, 2/15/20

       7,143        8,143,020   

5.88%, 3/15/22

       124        138,725   

4.75%, 5/01/23

       161        169,050   

Hologic, Inc., 6.25%, 8/01/20 (c)

       3,216        3,332,580   

Tenet Healthcare Corp. (c):

      

6.25%, 11/01/18

       6,087        6,587,656   

6.00%, 10/01/20

       1,150        1,227,625   

8.13%, 4/01/22

       4,137        4,514,501   
      

 

 

 
                       30,422,534   

Hotels, Restaurants & Leisure — 2.9%

  

Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Prope, 8.00%, 10/01/20 (c)

       2,773        2,773,000   

Enterprise Inns PLC, 6.00%, 10/06/23

     GBP        3,320        5,083,611   

The Unique Pub Finance Co. PLC:

      

Series A3, 6.54%, 3/30/21

       2,509        4,034,611   

Series M, 7.40%, 3/28/24

       6,400        10,118,717   
      

 

 

 
                       22,009,939   

Household Durables — 0.9%

  

Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (b)(c)

     USD        2,750        2,880,625   

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

       750        776,250   

Standard Pacific Corp., 8.38%, 1/15/21 (c)

       2,000        2,340,000   

Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (b)(c)

       177        177,443   

Tri Pointe Holdings, Inc. (b)(c):

      

4.38%, 6/15/19

       415        408,775   

5.88%, 6/15/24

       280        276,150   
      

 

 

 
                       6,859,243   

Independent Power and Renewable Electricity Producers — 1.3%

  

Calpine Corp. (c):

      

6.00%, 1/15/22 (b)

       254        268,605   

5.38%, 1/15/23

       4,000        4,035,000   

5.88%, 1/15/24 (b)

       240        256,800   

NRG Energy, Inc., 7.63%, 1/15/18 (c)

       2,735        3,029,012   

NRG REMA LLC, Series C, 9.68%, 7/02/26 (c)

       1,750        1,898,750   
      

 

 

 
                       9,488,167   

Insurance — 0.3%

  

A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (b)(c)

       680        700,400   

MPL 2 Acquisition Canco, Inc.,
9.88%, 8/15/18 (b)(c)

       1,400        1,487,500   
      

 

 

 
                       2,187,900   

Internet Software & Services — 0.0%

  

Equinix, Inc., 4.88%, 4/01/20 (c)

             144        148,680   

IT Services — 1.4%

  

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

       702        739,733   

Epicor Software Corp., 8.63%, 5/01/19 (c)

       425        444,125   

 

See Notes to Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Corporate Bonds   

Par  

(000)

    Value  

IT Services (concluded)

  

First Data Corp. (b)(c):

      

7.38%, 6/15/19

     USD        5,071      $ 5,267,501   

6.75%, 11/01/20

       3,111        3,313,215   

SunGard Data Systems, Inc., 6.63%, 11/01/19 (c)

       1,126        1,173,855   
      

 

 

 
                       10,938,429   

Media — 6.7%

  

Bharti Airtel International Netherlands BV, 5.13%, 3/11/23 (c)

       3,000        3,250,500   

Cablevision Systems Corp., 5.88%, 9/15/22 (c)

       700        742,000   

CCO Holdings LLC/CCO Holdings Capital Corp., 5.13%, 2/15/23 (c)

       7,029        6,947,815   

Clear Channel Worldwide Holdings, Inc. (c):

      

7.63%, 3/15/20

       5,274        5,550,885   

6.50%, 11/15/22

       2,573        2,720,947   

Columbus International, Inc.,
7.38%, 3/30/21 (b)(c)

       1,560        1,698,450   

DISH DBS Corp., 5.13%, 5/01/20 (c)

       5,500        5,561,875   

Gannett Co., Inc., 6.38%, 10/15/23 (c)

       1,400        1,515,500   

Gray Television, Inc., 7.50%, 10/01/20 (c)

       891        946,687   

iHeartCommunications, Inc., 9.00%, 12/15/19 (c)

       700        692,125   

Inmarsat Finance PLC, 4.88%, 5/15/22 (b)(c)

       1,000        1,005,000   

Intelsat Jackson Holdings SA (c):

      

7.25%, 10/15/20

       1,250        1,288,906   

5.50%, 8/01/23

       2,241        2,109,341   

Live Nation Entertainment, Inc.,
7.00%, 9/01/20 (b)(c)

       199        211,935   

Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (b)(c)

       250        260,000   

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

       629        649,443   

Numericable Group SA, 6.00%, 5/15/22 (b)(c)

       3,000        3,073,125   

Outfront Media Capital LLC/Outfront Media Capital Corp. (c):

      

5.25%, 2/15/22

       3,117        3,226,095   

5.63%, 2/15/24

       94        97,878   

RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (b)(c)

       630        674,888   

Sirius XM Radio, Inc., 4.25%, 5/15/20 (b)(c)

       994        989,030   

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 (b)(c)

       5,287        5,531,524   

Virgin Media Finance PLC, 6.38%, 4/15/23 (b)(c)

       805        847,262   

WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b)(c)

       980        1,038,800   
      

 

 

 
                       50,630,011   

Metals & Mining — 1.6%

  

ArcelorMittal, 6.13%, 6/01/18 (c)

       1,900        2,028,250   

Commercial Metals Co., 4.88%, 5/15/23 (c)

       984        937,260   

Novelis, Inc., 8.75%, 12/15/20 (c)

       7,164        7,647,570   

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

       1,140        1,234,050   
      

 

 

 
                       11,847,130   

Multiline Retail — 0.3%

  

The Neiman Marcus Group Ltd. (b)(c):

      

8.00%, 10/15/21

       927        994,208   

8.75%, (8.75% Cash or 9.50% PIK), 10/15/21 (i)

       963        1,035,225   
      

 

 

 
                       2,029,433   

Oil, Gas & Consumable Fuels — 1.9%

  

Antero Resources Finance Corp.,
5.38%, 11/01/21 (c)

       284        286,840   

Bonanza Creek Energy, Inc., 6.75%, 4/15/21 (c)

       99        100,733   

Chesapeake Energy Corp., 5.75%, 3/15/23 (c)

       1,145        1,119,237   
Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (concluded)

  

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

     USD        383      $ 396,405   

Kinder Morgan Energy Partners LP (c):

      

6.55%, 9/15/40

       300        326,264   

5.00%, 8/15/42

       1,130        1,055,743   

5.00%, 3/01/43

       570        532,224   

Kinder Morgan, Inc., 5.63%, 11/15/23 (b)(c)

       486        535,955   

MIE Holdings Corp., 6.88%, 2/06/18 (c)

       2,000        1,548,440   

Pacific Drilling SA, 5.38%, 6/01/20 (b)(c)

       267        226,283   

Pertamina Persero PT, 5.63%, 5/20/43 (b)(c)

       2,000        1,932,600   

Range Resources Corp. (c):

      

5.00%, 8/15/22

       91        92,365   

5.00%, 3/15/23

       211        214,165   

Regency Energy Partners LP/Regency Energy Finance Corp., 4.50%, 11/01/23 (c)

       297        305,168   

Rosetta Resources, Inc., 5.63%, 5/01/21 (c)

       3,286        3,290,107   

Sabine Pass Liquefaction LLC, 6.25%, 3/15/22 (c)

       752        789,600   

Sinopec Group Overseas Development 2015 Ltd., 2.50%, 4/28/20 (b)

       243        241,111   

Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (c)

       703        731,120   

Whiting Petroleum Corp., 5.00%, 3/15/19 (c)

       878        875,805   
      

 

 

 
                       14,600,165   

Pharmaceuticals — 0.8%

  

Forest Laboratories, Inc., 5.00%, 12/15/21 (b)(c)

       718        793,728   

Grifols Worldwide Operations Ltd.,
5.25%, 4/01/22 (b)(c)

       1,094        1,118,615   

Valeant Pharmaceuticals International, Inc. (b)(c):

      

6.75%, 8/15/18

       1,807        1,913,161   

6.75%, 8/15/21

       1,276        1,336,610   

5.63%, 12/01/21

       1,182        1,211,550   
      

 

 

 
                       6,373,664   

Real Estate Investment Trusts (REITs) — 0.2%

  

Felcor Lodging LP, 6.75%, 6/01/19 (c)

             1,261        1,306,711   

Real Estate Management & Development — 3.9%

  

Caifu Holdings Ltd., 8.75%, 1/24/20 (c)

       3,000        2,852,865   

Kaisa Group Holdings Ltd.,
10.25%, 1/08/20 (c)(j)(k)

       2,000        1,120,000   

Lai Sun International Finance 2012 Ltd., 5.70%, 1/18/18

       2,000        2,050,000   

Lodha Developers International, Ltd., 12.00%, 3/13/20

       350        347,375   

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

       4,360        4,028,322   

Punch Taverns Finance B Ltd.:

      

7.37%, 9/30/21

     GBP        2,930        4,766,778   

Series A6, 5.94%, 9/30/22

       6,346        9,643,696   

Realogy Corp., 7.63%, 1/15/20 (b)(c)

     USD        2,454        2,613,510   

Sparkle Assets Ltd., 6.88%, 1/30/20 (c)

       2,000        2,095,400   

Vingroup JSC, 11.63%, 5/07/18

       250        270,941   
      

 

 

 
                       29,788,887   

Road & Rail — 0.5%

  

The Hertz Corp. (c):

      

4.25%, 4/01/18

       400        406,000   

7.38%, 1/15/21

       3,075        3,236,438   
      

 

 

 
                       3,642,438   

Software — 0.4%

  

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

       1,605        1,621,050   

Rolta Americas LLC, 8.88%, 7/24/19

       200        173,500   

Sophia LP/Sophia Finance, Inc.,
9.75%, 1/15/19 (b)(c)

       1,220        1,311,500   
      

 

 

 
                       3,106,050   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    39


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Corporate Bonds   

Par  

(000)

    Value  

Specialty Retail — 0.2%

  

Party City Holdings, Inc., 8.88%, 8/01/20 (c)

     USD        623      $ 673,619   

Sally Holdings LLC/Sally Capital, Inc., 5.75%, 6/01/22 (c)

       647        687,437   
      

 

 

 
                       1,361,056   

Technology Hardware, Storage & Peripherals — 0.1%

  

Pacific Emerald Property Ltd., 9.75%, 7/25/18

             1,000        1,062,500   

Textiles, Apparel & Luxury Goods — 0.3%

  

Springs Industries, Inc., 6.25%, 6/01/21 (c)

       1,434        1,417,868   

The William Carter Co., 5.25%, 8/15/21 (c)

       604        626,650   
      

 

 

 
                       2,044,518   

Trading Companies & Distributors — 0.5%

  

Doric Nimrod Air Alpha 2013-1 Pass-Through Trust, 5.25%, 5/30/25 (b)(c)

       2,739        2,910,280   

Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust, Series 2012-1, Class B,
6.50%, 5/30/21 (b)(c)

       986        1,038,640   
      

 

 

 
                       3,948,920   

Wireless Telecommunication Services — 4.0%

  

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

       6,565        6,930,014   

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

       5,000        4,853,550   

Softbank Corp., 4.50%, 4/15/20 (b)(c)

       1,500        1,535,625   

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

       8,131        9,251,533   

Sprint Corp., 7.88%, 9/15/23 (c)

       1,922        1,929,207   

T-Mobile USA, Inc. (c):

      

6.63%, 4/28/21

       3,820        4,030,100   

6.73%, 4/28/22

       945        995,794   

6.84%, 4/28/23

       610        645,075   
      

 

 

 
                       30,170,898   
Total Corporate Bonds — 56.6%        427,026,430   
      
                          
Floating Rate Loan Interests (a)                      

Aerospace & Defense — 0.3%

  

 

TransUnion LLC, Term Loan, 4.00%, 4/09/21

             1,925        1,933,231   

Airlines — 0.4%

  

 

Delta Air Lines, Inc., 2016 Term Loan B2, 2.43%, 4/18/16

             2,933        2,929,304   

Auto Components — 0.3%

  

 

Gates Global, Inc., Term Loan B, 4.25%, 7/05/21

             2,353        2,353,175   

Chemicals — 0.0%

  

 

Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19

       87        87,853   

Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19

       45        45,582   
      

 

 

 
                       133,435   

Commercial Services & Supplies — 0.4%

  

 

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

       630        628,069   

ARAMARK Corp., Term Loan E, 3.25%, 9/07/19

       437        438,246   

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

       1,923        1,924,941   
      

 

 

 
                       2,991,256   

Communications Equipment — 0.3%

  

 

Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19

             1,910        1,910,217   

Construction Materials — 0.3%

  

 

HD Supply, Inc., Term Loan B, 4.00%, 6/28/18

             2,480        2,487,507   
Floating Rate Loan Interests (a)   

Par  

(000)

    Value  

Distributors — 0.1%

  

 

ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20

     USD        591      $ 592,111   

Diversified Consumer Services — 0.1%

  

 

Bright Horizons Family Solutions, Inc., Term Loan B, 4.00%, 1/30/20

       489        490,426   

Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20

       235        125,036   
      

 

 

 
                       615,462   

Diversified Telecommunication Services — 0.3%

  

 

Level 3 Financing, Inc., 2020 Term Loan B, 4.00%, 1/15/20

             2,275        2,279,982   

Electronic Equipment, Instruments & Components — 0.0%

  

 

CDW LLC, Term Loan, 3.25%, 4/29/20

             294        293,599   

Energy Equipment & Services — 0.2%

  

 

Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20

             1,611        1,620,372   

Food Products — 0.2%

  

 

Pinnacle Foods Finance LLC, Term Loan G, 3.00%, 4/29/20

             1,457        1,456,395   

Health Care Equipment & Supplies — 0.1%

  

 

Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18

             733        735,647   

Hotels, Restaurants & Leisure — 3.3%

  

 

Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20

       1,812        1,731,661   

Hilton Ft. Lauderdale, Mezzanine Term Loan 5, 6.18%, 8/04/19

       6,500        6,500,000   

Hilton Los Cabos, B-Note, 8.18%, 9/18/18

       5,375        5,375,000   

Hilton Orlando, Mezzanine A3, 6.43%, 8/01/16

       7,250        7,250,000   

Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20

       2,202        2,209,431   

MGM Resorts International, Term Loan A, 2.93%, 12/20/17

       1,222        1,221,875   

Station Casinos LLC, Term Loan B, 4.25%, 3/02/20

       911        916,329   
      

 

 

 
                       25,204,296   

Insurance — 0.8%

  

 

Dallas Design District, Mezzanine Term Loan, 6.88%, 11/09/16

       4,000        4,000,000   

Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, 3.75%, 3/01/21

       1,985        1,971,842   
      

 

 

 
                       5,971,842   

IT Services — 0.4%

  

   

First Data Corp., 2018 Extended Term Loan, 3.68%, 3/24/18

       3,000        3,005,640   

SunGard Data Systems, Inc., Term Loan E, 4.00%, 3/08/20

       227        228,244   
      

 

 

 
                       3,233,884   

Machinery — 0.3%

  

   

Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20

       843        842,778   

Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19

       1,144        1,115,325   
      

 

 

 
                       1,958,103   

Media — 0.2%

  

   

Clear Channel Communications, Inc., Term Loan D, 6.93%, 1/30/19

       675        645,570   

Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20

       490        490,223   

Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 6/07/20

       598        598,630   
      

 

 

 
                       1,734,423   

 

See Notes to Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (a)   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels — 0.2%

  

   

Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19

     USD        1,176      $ 761,460   

Power Buyer LLC:

      

1st Lien Term Loan, 4.25%, 5/06/20

       681        680,349   

Delayed Draw Term Loan, 4.25%, 5/06/20

       36        36,420   
      

 

 

 
                       1,478,229   

Pharmaceuticals — 0.1%

  

   

Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19

             736        736,567   

Real Estate Management & Development — 0.1%

  

   

Realogy Corp., Term Loan B, 3.75%, 3/05/20

             877        880,201   

Semiconductors & Semiconductor Equipment — 0.1%

  

   

Freescale Semiconductor, Inc., Term Loan B4, 4.25%, 2/28/20

             490        491,885   

Specialty Retail — 0.1%

  

   

Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19

             978        979,932   

Technology Hardware, Storage & Peripherals — 0.5%

  

   

Walton Portland Holdings VI LLC, Mezzanine Term Loan, 6.93%, 7/06/16

             3,750        3,750,000   
Total Floating Rate Loan Interests — 9.1%                68,751,055   
      
                          
Foreign Agency Obligations                      

Cyprus Government International Bond (b):

      

3.75%, 11/01/15

     EUR        2,025        2,270,360   

4.63%, 2/03/20

       2,950        3,482,996   

Iceland Government International Bond, 5.88%, 5/11/22 (c)

     USD        3,415        3,956,916   

Indonesia Government International Bond, 6.63%, 2/17/37 (b)

       124        150,505   

Mexican Bonos, 5.00%, 12/11/19

     MXN        7,200        464,722   

Mexico Government International Bond:

      

3.63%, 3/15/22

     USD        78        80,535   

4.00%, 10/02/23

       118        124,018   

Poland Government Bond, 3.25%, 7/25/25

     PLN        660        193,003   

Russian Federal Bond:

      

7.60%, 7/20/22

     RUB        2,615        43,177   

7.00%, 8/16/23

       13,105        204,327   

8.15%, 2/03/27

       3,480        57,764   

Slovenia Government International Bond, 5.85%, 5/10/23 (b)(c)

     USD        766        907,434   

Sri Lanka Government International Bond, 5.88%, 7/25/22 (c)

             3,000        3,051,000   
Total Foreign Agency Obligations2.0%                14,986,757   
      
                          
Non-Agency Mortgage-Backed Securities                      

Collateralized Mortgage Obligations — 32.7%

  

   

Alternative Loan Trust:

      

Series 2005-61, Class 2A1, 0.46%, 12/25/35 (a)(c)

       4,499        3,915,407   

Series 2005-9CB, Class 1A3, 0.63%, 5/25/35 (a)(c)

       6,424        5,365,479   

Series 2006-40T1, Class 2A5, 0.58%, 12/25/36 (a)

       3,520        1,634,849   

Series 2006-7CB, Class 2A1, 6.50%, 5/25/36

       4,814        3,537,935   

Series 2006-J7, Class 2A1, 2.20%, 11/20/36 (a)

       10,096        7,229,006   

Series 2006-J8, Class A5, 6.00%, 2/25/37

       2,749        2,144,435   
Non-Agency Mortgage-Backed Securities   

Par  

(000)

    Value  

Collateralized Mortgage Obligations (continued)

  

   

Alternative Loan Trust (concluded):

      

Series 2006-OA10, Class 2A1,
0.37%, 8/25/46 (a)

     USD        9,673      $ 7,339,341   

Series 2006-OA14, Class 3A1,
0.99%, 11/25/46 (a)

       15,196        12,003,198   

Series 2006-OA16, Class A2,
0.37%, 10/25/46 (a)

       11,233        9,807,889   

Series 2006-OA18, Class A1,
0.30%, 12/25/46 (a)

       6,817        5,891,629   

Series 2006-OA22, Class A1,
0.34%, 2/25/47 (a)

       5,872        4,991,807   

Series 2006-OA6, Class 1A1A,
0.39%, 7/25/46 (a)

       12,216        9,006,934   

Series 2006-OA8, Class 1A1,
0.37%, 7/25/46 (a)

       4,023        3,256,332   

Series 2007-12T1, Class A22, 5.75%, 6/25/37

       7,758        6,449,633   

Series 2007-12T1, Class A5, 6.00%, 6/25/37

       3,764        3,183,408   

Series 2007-22, Class 2A16, 6.50%, 9/25/37

       12,687        10,124,625   

Series 2007-23CB, Class A1, 6.00%, 9/25/37

       11,514        10,234,606   

Series 2007-4CB, Class 1A3,
0.53%, 4/25/37 (a)

       7,354        5,419,837   

Series 2007-OA2, Class 1A1,
0.98%, 3/25/47 (a)

       7,270        5,442,463   

Series 2007-OA6, Class A1A,
0.32%, 6/25/37 (a)

       11,781        9,980,281   

American Home Mortgage Assets Trust, Series 2006-5, Class A1,
1.06%, 11/25/46 (a)

       6,992        3,725,463   

American Home Mortgage Investment Trust, Series 2007-1, Class GA1C,
0.37%, 5/25/47 (a)

       4,835        3,432,616   

Banc of America Funding Trust, Series 2006-G, Class 2A1, 0.40%, 7/20/36 (a)

       2,478        2,306,165   

Bear Stearns ARM Trust, Series 2006-1, Class A1, 2.36%, 2/25/36 (a)(c)

       4,505        4,491,848   

CHL Mortgage Pass-Through Trust:

      

Series 2006-3, Class 1A1, 0.42%, 3/25/36 (a)

       15,182        12,898,722   

Series 2007-J2, Class 2A1, 0.83%, 7/25/37 (a)

       6,905        4,584,610   

Series 2007-J2, Class 2A8, 6.00%, 7/25/37

       3,813        3,185,323   

Citigroup Mortgage Loan Trust, Series 2006-AR7, Class 2A3A, 2.55%, 11/25/36 (a)

       9,544        7,825,321   

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA5, Class 3A1, 0.38%, 4/25/46 (a)

       12,216        10,666,325   

Fannie Mae Connecticut Avenue Securities, Class 1M2 (a):

      

Series 2014-C02, 2.78%, 5/25/24

       10,000        9,277,550   

Series 2014-C03, 3.18%, 7/25/24

       11,000        10,538,022   

GreenPoint Mortgage Funding Trust,
Series 2007-AR3, Class A1,
0.40%, 6/25/37 (a)

       7,465        6,245,121   

GSR Mortgage Loan Trust (a):

      

Series 2005-AR3, Class 5A1, 2.67%, 5/25/35

       3,738        3,628,894   

Series 2005-AR6, Class 2A1, 2.68%, 9/25/35 (c)

       2,553        2,559,035   

Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%, 11/05/30 (a)(b)(c)

       5,000        5,115,390   

Morgan Stanley Re-REMIC Trust, Series 2010-R5, Class 7B, 0.46%, 5/26/37 (a)(b)

       18,950        11,991,312   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    41


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Non-Agency Mortgage-Backed Securities   

Par  

(000)

    Value  

Collateralized Mortgage Obligations (concluded)

  

   

Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AF1, Class 1A2, 6.16%, 5/25/36 (a)

     USD        10,052      $ 5,649,617   

Residential Asset Securitization Trust,
Series 2006-A8, Class 2A5,
0.78%, 8/25/36 (a)

       8,672        3,407,939   

Structured Asset Mortgage Investments II Trust, Series 2006-AR1, Class 3A1, 0.41%, 2/25/36 (a)

       4,388        3,497,404   

WaMu Mortgage Pass-Through Certificates,
Series 2007-OA4, Class 1A,
0.91%, 5/25/47 (a)

       6,479        5,515,941   
      

 

 

 
                       247,501,712   

Commercial Mortgage-Backed Securities — 16.7%

  

Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2013-DSMZ, Class M, 5.87%, 9/15/18 (a)(b)

       7,500        7,500,000   

BHMS Mortgage Trust, Series 2014-MZ, Class M, 7.37%, 7/05/33 (a)(b)

       2,000        2,003,040   

CD Commercial Mortgage Trust, Series 2007-CD5, Class C, 6.33%, 11/15/44 (a)

       3,372        3,503,377   

CDGJ Commercial Mortgage Trust,
Series 2014-BXCH, Class EPA,
4.42%, 12/15/27 (a)(b)

       5,000        5,008,515   

CG-CCRE Commercial Mortgage Trust, Series 2014-FL1 (a)(b):

      

Class D, 2.92%, 6/15/31 (c)

       3,000        2,989,281   

Class E, 4.82%, 6/15/31

       1,931        1,924,222   

COMM 2014-FL5 Mortgage Trust,
Series 2014-FL5, Class HFL1, 3.43%, 7/15/31 (a)(b)

       6,057        5,814,130   

Commercial Mortgage Pass-Through Certificates (a)(b):

      

Series 2013-FL3, Class MMHP, 3.78%, 10/13/28 (c)

       4,000        4,029,456   

Series 2013-LC13, Class D, 5.22%, 8/10/46 (c)

       2,650        2,693,455   

Series 2014-CR16, Class D, 5.07%, 4/10/47 (c)

       2,000        1,971,774   

Series 2014-KYO, Class F, 3.68%, 6/11/27

       9,000        8,980,038   

Series 2014-LC15, Class D, 5.11%, 4/10/47

       3,000        2,903,157   

Series 2014-PAT, Class E, 3.33%, 8/13/27

       1,000        1,000,002   

Series 2014-PAT, Class F, 2.62%, 8/13/27

       3,000        2,848,653   

Series 2014-PAT, Class G, 1.77%, 8/13/27

       2,000        1,812,420   

Commercial Mortgage Trust, Series 2007-GG11, Class AJ, 6.25%, 12/10/49 (a)

       2,000        2,116,192   

Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class B, 4.88%, 7/15/37

       2,000        1,994,782   

Del Coronado Trust, Series 2013-HDMZ, Class M, 5.18%, 3/15/18 (a)(b)

       6,000        6,015,000   

GS Mortgage Securities Trust (a):

      

Series 2006-GG6, Class AJ, 5.71%, 4/10/38 (c)

       5,000        5,108,770   

Series 2006-GG6, Class C,
5.74%, 4/10/38 (c)

       6,480        6,523,143   

Series 2014-GSFL, Class D, 4.08%, 7/15/31 (b)(c)

       1,325        1,324,981   

Series 2014-GSFL, Class E, 6.13%, 7/15/31 (b)

       1,000        1,001,466   

JPMorgan Chase Commercial Mortgage Securities Trust (a)(b):

      

Series 2007-CB20, Class B, 6.38%, 2/12/51

       1,000        1,016,802   
Non-Agency Mortgage-Backed Securities   

Par  

(000)

    Value  

Commercial Mortgage-Backed Securities (concluded)

  

JPMorgan Chase Commercial Mortgage Securities Trust (a)(b) (concluded):

      

Series 2014-CBMZ, Class M, 6.41%, 10/15/19

     USD        2,000      $ 2,003,400   

Series 2014-DSTY, Class E, 3.93%, 6/10/27

       5,000        4,667,255   

LB-UBS Commercial Mortgage Trust (a):

      

Series 2006-C4, Class AJ, 6.05%, 6/15/38 (c)

       5,000        5,226,030   

Series 2007-C2, Class AM, 5.49%, 2/15/40 (c)

       5,000        5,288,450   

Series 2007-C7, Class B, 6.46%, 9/15/45

       871        890,526   

London & Regional Debt Securitisation No. 2 PLC, Series 2, Class A, 3.57%, 10/15/15 (a)

     GBP        3,207        4,935,289   

Madison Avenue Trust, Series 2013-650M, Class E, 4.17%, 10/12/32 (a)(b)

     USD        5,000        4,939,060   

New York Mortgage Securitization Trust, Series 2013-1, Class A, 5.43%, 8/27/24 (a)(b)

       5,000        5,025,000   

RBSSP Resecuritization Trust, Series 2013-5, Class 3A1, 0.53%, 1/26/36 (a)(b)

       2,345        2,044,282   

Talisman Finance PLC, Series 6, Class A, 0.19%, 10/22/16 (a)

     EUR        4,357        4,850,718   

Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AJ,
6.15%, 2/15/51 (a)(c)

     USD        6,000        6,307,536   
      

 

 

 
                       126,260,202   

Scientific Instruments: Control & Filter — 0.9%

      

COMM 2007-C9 Mortgage Trust, Series 2007-C9, Class E, 5.99%, 12/10/49 (a)

       5,000        5,137,340   

GAHR Commericial Mortgage Trust 2015-NRF, Series 2015-NRF, Class GFX,
3.49%, 12/15/19 (a)(b)

       2,500        2,243,153   
      

 

 

 
                       7,380,493   
Total Non-Agency Mortgage-Backed Securities — 50.3%                381,142,407   
      
                          
Preferred Securities                      
Capital Trusts                      

Banks — 4.6%

  

Bank of America Corp., Series X, 6.25% (a)(c)(h)

       4,425        4,532,859   

BNP Paribas SA, 7.20% (a)(b)(c)(h)

       7,500        9,018,750   

Fifth Third Bancorp, Series J, 4.90% (a)(c)(h)

       3,000        2,910,000   

HSBC Holdings PLC, 6.38% (a)(c)(h)

       3,700        3,820,250   

Lloyds Bank PLC, 12.00% (a)(b)(c)(h)

       3,500        5,005,000   

NBK Tier 1 Financing, Ltd., 5.75% (a)(h)

       900        905,625   

Wells Fargo & Co., Series S, 5.90% (a)(c)(h)

       8,800        9,218,000   
      

 

 

 
                       35,410,484   

Capital Markets — 1.1%

  

The Bank of New York Mellon Corp., Series D, 4.50% (a)(c)(h)

       6,067        5,809,153   

Credit Suisse Group AG, (a)(b)(c)(h):

      

6.25%

       1,035        1,024,650   

7.50%

       2,851        3,050,570   
      

 

 

 
                       9,884,373   

Diversified Financial Services — 5.9%

  

Bank of America Corp., (a)(h)

      

Series AA, 6.10%

       2,865        2,922,300   

Series U, 5.20% (c)

       1,750        1,682,188   

Citigroup, Inc., (a)(c)(h)

      

5.90%

       2,250        2,268,281   

Series D, 5.35%

       3,700        3,547,375   

General Electric Capital Corp., Series B, 6.25% (a)(c)(h)

       5,000        5,625,000   

 

See Notes to Financial Statements.

 

                
42    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Preferred Securities   

Par  

(000)

    Value  

Capital Trusts (concluded)

                        

Diversified Financial Services (concluded)

  

JPMorgan Chase & Co., (a)(c)(h)

      

Series Q, 5.15%

     USD        5,500      $ 5,331,562   

Series V, 5.00%

       2,500        2,456,250   

Macquarie Bank Ltd., 10.25%, 6/20/57 (a)(c)

       10,000        11,200,000   

Morgan Stanley, Series H, 5.45% (a)(c)(h)

       3,644        3,671,330   

Societe Generale SA, 6.00% (a)(b)(c)(h)

       5,540        5,280,174   
      

 

 

 
                       43,984,460   

Electric Utilities — 1.0%

  

Electricite de France SA, 5.25% (a)(b)(c)(h)

             7,500        7,856,250   

Insurance — 5.7%

  

The Allstate Corp, 5.75%, 8/15/53 (a)(c)

       2,000        2,180,000   

AXA SA, 6.46% (a)(b)(c)(h)

       10,000        10,606,000   

Liberty Mutual Group, Inc., 7.80%, 3/07/87 (b)(c)

       14,000        17,221,400   

Prudential Financial, Inc., 5.63%, 6/15/43 (a)(c)

       6,000        6,405,000   

Voya Financial, Inc., 5.65%, 5/15/53 (a)(c)

       1,090        1,141,775   

XL Group PLC, Series E, 6.50% (a)(c)(h)

       6,500        5,720,000   
      

 

 

 
                       43,274,175   

Oil, Gas & Consumable Fuels — 0.5%

  

Enterprise Products Operating LLC, Series A, 8.38%, 8/01/66 (a)(c)

             3,248        3,451,650   
Total Capital Trusts — 18.8%                      143,861,392   
      
                          
Preferred Stocks           Shares         

Aerospace & Defense — 0.4%

  

United Technologies Corp., 7.50% (l)

             50,000        2,941,000   

Capital Markets — 1.7%

  

The Goldman Sachs Group, Inc., Series J, 5.50% (a)(h)

       395,017        9,812,222   

Morgan Stanley, 6.88% (a)(h)

       100,000        2,740,000   

SCE Trust III, 5.75% (a)(h)

       23,730        644,270   
      

 

 

 
                       13,196,492   
Preferred Stocks        
Shares
    Value  

Diversified Financial Services — 0.3%

  

Citigroup, Inc., Series K, 6.88% (a)(h)

         75,000      $ 2,041,500   

Real Estate Investment Trusts (REITs) — 1.9%

  

Firstar Realty LLC, 8.88% (b)(h)

       10,000        12,631,250   

SunTrust Real Estate Investment Corp., 9.00% (b)(h)

       15        1,833,459   
      

 

 

 
                   14,464,709   
Total Preferred Stocks — 4.3%                  32,643,701   
Total Preferred Securities — 23.1%                  176,505,093   
Total Long-Term Investments
(Cost — $1,281,736,726) — 172.2%
            1,304,234,956   
      
                      
Short-Term Securities                    

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.08% (m)(n)

         28,388,724        28,388,724   
Total Short-Term Securities
(Cost — $28,388,724) — 3.8%
        28,388,724   
Options Purchased
(Cost — $15,024) — 0.0%
                 5,381   
Total Investments Before Options Written
(Cost — $1,310,140,474) — 176.0%
        1,332,629,061   
Options Written
(Premiums Received — $7,293) — (0.0)%
                 (8,363
Total Investments, Net of Options Written
(Cost — $1,310,133,181) — 176.0%
        1,332,620,698   
Liabilities in Excess of Other Assets — (76.0)%          (575,474,200
      

 

 

 
Net Assets — 100.0%        $ 757,146,498   
      

 

 

 

 

Notes to Schedule of Investments

 

(a)   Variable rate security. Rate shown is as of report date.

 

(b)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

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

 

(d)   When-issued security. Unsettled when-issued transactions were as follows:

 

Counterparty      Value        Unrealized
Depreciation
 

JPMorgan Securities LLC

     $ 2,488,084         $ (47,856

Jefferies Bache Ltd.

     $ 1,237,500             

Morgan Stanley & Co. International PLC

     $ 993,500             

 

(e)   Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

(f)   Zero-coupon bond.

 

(g)   Amount is less than $500.

 

(h)   Security is perpetual in nature and has no stated maturity date.

 

(i)   Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

 

(j)   Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

(k)   Non-income producing security.

 

(l)   Convertible security.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    43


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

 

(m)   During the six months ended April 30, 2015, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at October 31,
2014
       Net
Activity
       Shares Held
at April 30,
2015
       Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

       18,823,385           9,565,339           28,388,724         $ 4,743   

 

(n)   Represents the current yield as of report date.

 

Ÿ  

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

 

Ÿ  

As of April 30, 2015, reverse repurchase agreements outstanding were as follows:

 

Counterparty      Interest
Rate
       Trade
Date
       Maturity
Date1
     Face Value        Face Value
Including
Accrued
Interest
 

Deutsche Bank Securities, Inc.

       0.60        2/03/05         Open      $ 2,836,000         $ 2,840,112   

Deutsche Bank Securities, Inc.

       0.60        3/03/14         Open        2,225,000           2,240,641   

Deutsche Bank Securities, Inc.

       0.50        4/21/14         Open        1,940,000           1,950,102   

Barclays Bank PLC

       0.45        5/07/14         Open        2,528,000           2,539,344   

Barclays Capital, Inc.

       0.55        5/07/14         Open        3,248,000           3,265,815   

Deutsche Bank Securities, Inc.

       0.60        5/12/14         Open        1,095,000           1,101,461   

Deutsche Bank Securities, Inc.

       0.60        5/13/14         Open        276,000           277,619   

Deutsche Bank Securities, Inc.

       0.60        5/13/14         Open        264,000           265,549   

Deutsche Bank Securities, Inc.

       0.60        5/13/14         Open        617,000           620,620   

Deutsche Bank Securities, Inc.

       0.60        5/13/14         Open        597,000           600,502   

UBS Securities LLC

       0.40        5/13/14         Open        5,061,000           5,080,794   

UBS Securities LLC

       0.45        5/13/14         Open        7,397,000           7,429,547   

UBS Securities LLC

       0.50        5/13/14         Open        7,707,000           7,744,679   

UBS Securities LLC

       0.50        5/13/14         Open        5,837,000           5,865,536   

UBS Securities LLC

       0.55        5/13/14         Open        4,748,000           4,773,534   

UBS Securities LLC

       0.55        5/13/14         Open        2,810,000           2,825,112   

UBS Securities LLC

       0.55        5/13/14         Open        1,815,000           1,824,761   

UBS Securities LLC

       0.55        5/13/14         Open        9,085,000           9,133,857   

UBS Securities LLC

       0.55        5/13/14         Open        8,988,000           9,036,335   

UBS Securities LLC

       0.60        5/13/14         Open        2,713,000           2,728,916   

Barclays Capital, Inc.

       0.40        5/14/14         Open        5,942,000           5,965,174   

Barclays Capital, Inc.

       0.45        5/14/14         Open        10,141,000           10,185,494   

Barclays Capital, Inc.

       0.45        5/14/14         Open        5,189,000           5,214,296   

Barclays Capital, Inc.

       0.60        5/14/14         Open        1,320,000           1,327,593   

Barclays Capital, Inc.

       0.60        5/14/14         Open        6,086,000           6,121,603   

Barclays Capital, Inc.

       0.60        5/14/14         Open        881,000           885,295   

Barclays Capital, Inc.

       0.60        5/14/14         Open        950,000           955,557   

Barclays Capital, Inc.

       0.60        5/14/14         Open        2,479,000           2,488,668   

Barclays Capital, Inc.

       0.60        5/14/14         Open        2,129,000           2,140,417   

Barclays Capital, Inc.

       0.60        5/14/14         Open        1,222,000           1,228,910   

Barclays Capital, Inc.

       0.60        5/14/14         Open        3,073,000           3,090,677   

Barclays Capital, Inc.

       0.60        5/14/14         Open        1,212,000           1,219,090   

Barclays Capital, Inc.

       0.60        5/14/14         Open        793,000           797,639   

Barclays Capital, Inc.

       0.60        5/14/14         Open        799,000           803,674   

Barclays Capital, Inc.

       0.60        5/14/14         Open        1,218,000           1,224,888   

Barclays Capital, Inc.

       0.60        5/14/14         Open        1,219,000           1,226,012   

Barclays Capital, Inc.

       0.60        6/05/14         Open        1,037,177           1,042,882   

Barclays Capital, Inc.

       0.60        6/06/14         Open        657,352           660,956   

Barclays Capital, Inc.

       0.60        6/16/14         Open        2,038,000           2,048,801   

Barclays Capital, Inc.

       0.60        6/16/14         Open        1,166,000           1,172,180   

Barclays Capital, Inc.

       0.60        6/16/14         Open        892,000           896,728   

Deutsche Bank Securities, Inc.

       0.60        7/28/14         Open        2,475,000           2,486,426   

Deutsche Bank Securities, Inc.

       0.60        7/28/14         Open        2,303,000           2,313,632   

Deutsche Bank Securities, Inc.

       0.60        7/30/14         Open        1,421,250           1,427,764   

Barclays Capital, Inc.

       (1.75 )%         8/22/14         Open        3,611,406           3,567,167   

BNP Paribas Securities Corp.

       0.39        8/22/14         Open        332,000           332,790   

BNP Paribas Securities Corp.

       0.39        8/22/14         Open        688,000           689,637   

BNP Paribas Securities Corp.

       0.63        8/22/14         Open        3,730,000           3,746,449   

BNP Paribas Securities Corp.

       0.63        8/22/14         Open        362,000           363,596   

BNP Paribas Securities Corp.

       0.65        8/22/14         Open        721,000           724,281   

BNP Paribas Securities Corp.

       0.57        9/16/14         Open        6,219,000           6,241,254   

 

See Notes to Financial Statements.

 

                
44    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

As of April 30, 2015, reverse repurchase agreements outstanding were as follows (continued):

 

Counterparty      Interest
Rate
       Trade
Date
       Maturity
Date1
     Face Value        Face Value
Including
Accrued
Interest
 

BNP Paribas Securities Corp.

       0.57        9/16/14         Open      $ 7,786,000         $ 7,813,861   

BNP Paribas Securities Corp.

       0.57        9/16/14         Open        7,417,000           7,443,541   

RBC Capital Markets, LLC

       0.34        9/16/14         Open        518,700           519,807   

RBC Capital Markets, LLC

       0.65        9/16/14         Open        2,075,000           2,083,467   

Deutsche Bank Securities, Inc.

       0.60        10/02/14         Open        1,084,000           1,087,794   

Deutsche Bank Securities, Inc.

       0.60        10/02/14         Open        2,755,000           2,764,643   

Deutsche Bank Securities, Inc.

       0.60        10/02/14         Open        706,000           708,471   

Barclays Capital, Inc.

       0.60        10/29/14         Open        766,000           768,349   

Barclays Capital, Inc.

       0.60        10/29/14         Open        234,000           235,087   

Barclays Capital, Inc.

       0.60        10/29/14         Open        970,000           972,975   

Barclays Capital, Inc.

       0.60        10/29/14         Open        14,852,000           14,897,546   

Barclays Capital, Inc.

       0.60        10/29/14         Open        1,001,000           1,005,952   

Barclays Capital, Inc.

       0.60        10/29/14         Open        474,000           479,724   

Barclays Capital, Inc.

       0.60        10/29/14         Open        642,000           648,111   

Barclays Capital, Inc.

       0.60        10/29/14         Open        1,237,000           1,243,497   

Barclays Capital, Inc.

       0.60        10/29/14         Open        781,000           789,429   

Barclays Capital, Inc.

       0.65        10/29/14         Open        803,000           809,884   

Barclays Capital, Inc.

       0.65        10/29/14         Open        927,000           934,657   

Barclays Capital, Inc.

       0.75        10/29/14         Open        4,813,000           4,818,338   

Credit Suisse Securities (USA) LLC

       0.65        10/29/14         Open        590,000           591,960   

Credit Suisse Securities (USA) LLC

       0.65        10/29/14         Open        810,000           812,691   

Credit Suisse Securities (USA) LLC

       0.65        10/29/14         Open        792,000           799,270   

Barclays Capital, Inc.

       0.60        11/03/14         Open        521,213           522,768   

Barclays Bank PLC

       0.65        11/14/14         Open        1,878,730           1,884,325   

UBS Securities LLC

       0.55        11/25/14         Open        7,079,415           7,096,288   

UBS Securities LLC

       0.55        12/09/14         Open        5,700,000           5,712,366   

UBS Securities LLC

       0.55        12/09/14         Open        3,100,000           3,106,725   

UBS Securities LLC

       0.55        12/09/14         Open        4,770,000           4,780,348   

UBS Securities LLC

       0.55        12/09/14         Open        4,530,000           4,539,828   

UBS Securities LLC

       0.55        12/09/14         Open        5,020,000           5,030,891   

UBS Securities LLC

       0.55        12/09/14         Open        4,700,000           4,710,196   

UBS Securities LLC

       0.55        12/09/14         Open        4,450,000           4,459,654   

UBS Securities LLC

       0.55        12/09/14         Open        5,700,000           5,712,366   

UBS Securities LLC

       0.55        12/09/14         Open        4,290,000           4,299,307   

UBS Securities LLC

       0.55        12/09/14         Open        4,940,000           4,950,717   

UBS Securities LLC

       0.55        12/09/14         Open        5,980,000           5,992,973   

UBS Securities LLC

       0.55        12/09/14         Open        4,320,000           4,329,372   

UBS Securities LLC

       0.55        12/09/14         Open        10,552,000           10,574,892   

Barclays Bank PLC

       0.65        12/17/14         Open        4,269,000           4,279,252   

Barclays Bank PLC

       0.85        12/17/14         Open        1,445,000           1,449,538   

Barclays Bank PLC

       0.95        12/17/14         Open        2,291,000           2,299,041   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        67,000           67,150   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        140,000           140,313   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,778,000           1,782,000   

UBS Securities LLC

       0.38        12/17/14         Open        287,219           287,628   

UBS Securities LLC

       0.38        12/17/14         Open        8,558,000           8,570,195   

UBS Securities LLC

       0.55        12/17/14         Open        10,075,000           10,095,472   

UBS Securities LLC

       0.65        12/17/14         Open        576,469           577,874   

UBS Securities LLC

       0.65        12/17/14         Open        2,628,750           2,635,063   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        618,000           619,380   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,861,000           1,865,156   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,608,000           2,613,825   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,950,000           1,954,355   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        167,000           167,373   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,371,000           2,376,295   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        869,000           870,941   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,228,000           2,232,976   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        638,000           639,425   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,041,000           1,043,325   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,009,000           1,011,253   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        893,000           894,994   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        243,000           243,543   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        625,000           626,396   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    45


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

As of April 30, 2015, reverse repurchase agreements outstanding were as follows (continued):

 

Counterparty      Interest
Rate
       Trade
Date
       Maturity
Date1
     Face Value        Face Value
Including
Accrued
Interest
 

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open      $ 578,000         $ 579,291   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        179,000           179,400   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        232,000           232,518   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        608,000           609,358   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,444,000           1,447,225   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        715,000           716,597   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        107,000           107,239   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,472,000           2,477,521   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        6,450,000           6,464,405   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,872,000           1,876,181   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        334,000           334,746   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        549,000           550,226   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        821,000           822,834   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,835,000           2,841,332   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        559,000           560,248   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        597,000           598,333   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        705,000           706,574   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        3,091,000           3,097,903   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,471,000           2,476,519   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        4,812,000           4,822,747   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,554,000           1,557,471   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        617,000           618,378   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,429,000           1,432,191   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        227,000           227,507   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        246,000           246,549   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,872,000           2,878,414   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        3,722,000           3,730,312   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,787,000           2,793,224   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,212,000           1,214,707   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,315,000           1,317,937   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,867,000           2,873,403   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        589,000           590,315   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,447,000           2,452,465   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,960,000           1,964,377   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        374,000           374,835   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        3,400,000           3,407,593   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        618,000           619,380   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,794,000           1,798,007   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        417,000           417,931   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        609,000           610,360   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        368,000           368,822   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,081,000           1,083,414   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        250,000           250,558   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        823,000           824,838   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        131,000           131,293   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        143,000           143,319   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,829,000           1,833,085   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        623,000           624,391   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        613,000           614,369   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,602,000           1,605,578   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,441,000           1,444,218   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        767,000           768,713   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        185,000           185,413   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        710,000           711,586   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        351,000           351,784   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,463,000           1,466,267   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,633,000           2,638,880   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,231,000           1,233,749   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,504,000           1,507,359   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        300,000           300,670   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,998,000           2,002,462   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,639,000           2,644,894   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        406,000           406,907   

 

See Notes to Financial Statements.

 

                
46    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

As of April 30, 2015, reverse repurchase agreements outstanding were as follows (continued):

 

Counterparty      Interest
Rate
       Trade
Date
       Maturity
Date1
     Face Value        Face Value
Including
Accrued
Interest
 

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open      $ 154,000         $ 154,344   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,236,000           2,240,994   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        243,000           243,543   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        617,000           618,378   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,957,000           2,963,604   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        475,000           476,061   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        79,000           79,176   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        215,000           215,480   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,143,000           1,145,553   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,446,000           2,451,463   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        994,000           996,220   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        905,000           907,021   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        192,000           192,429   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,737,000           2,743,113   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,051,000           2,055,581   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,331,000           1,333,973   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        91,000           91,203   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,673,000           1,676,736   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        670,000           671,496   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        3,021,000           3,027,747   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        288,000           288,643   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,905,000           1,909,255   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        2,882,000           2,888,436   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        119,000           119,266   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        850,000           851,898   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        662,000           663,478   

Deutsche Bank Securities, Inc.

       0.60        12/17/14         Open        1,535,000           1,538,428   

Deutsche Bank Securities, Inc.

       0.50        12/18/14         Open        786,000           787,452   

Deutsche Bank Securities, Inc.

       0.60        12/18/14         Open        1,337,000           1,339,964   

Deutsche Bank Securities, Inc.

       0.60        12/18/14         Open        4,682,000           4,692,378   

HSBC Securities (USA), Inc.

       0.40        12/18/14         Open        2,789,510           2,793,632   

BNP Paribas Securities Corp.

       0.39        12/19/14         Open        8,020,000           8,031,555   

Deutsche Bank Securities, Inc.

       0.60        12/23/14         Open        296,000           296,636   

Deutsche Bank Securities, Inc.

       0.60        12/31/14         Open        151,000           151,305   

Deutsche Bank Securities, Inc.

       0.60        12/31/14         Open        179,000           179,361   

Barclays Capital, Inc.

       0.60        1/14/15         Open        1,012,000           1,013,805   

Deutsche Bank Securities, Inc.

       0.48        1/28/15         Open        3,520,700           3,525,066   

Deutsche Bank Securities, Inc.

       0.60        2/03/15         Open        86,000           86,125   

Barclays Capital, Inc.

       0.60        2/09/15         Open        155,000           155,209   

Deutsche Bank Securities, Inc.

       0.60        2/17/15         Open        659,000           659,791   

Deutsche Bank Securities, Inc.

       0.60        2/26/15         Open        345,000           345,368   

UBS Securities LLC

       0.60        3/02/15         Open        1,456,000           1,457,432   

Barclays Capital, Inc.

       (0.50 )%         3/23/15         Open        2,592,755           2,591,387   

BNP Paribas Securities Corp.

       1.18        4/02/15         5/06/15        8,491,000           8,497,956   

Barclays Capital, Inc.

       1.53        4/07/15         5/07/15        16,116,000           16,132,436   

Deutsche Bank Securities, Inc.

       0.60        4/07/15         Open        325,000           325,130   

BNP Paribas Securities Corp.

       1.18        4/08/15         5/11/15        24,547,000           24,564,715   

UBS Securities LLC

       0.55        4/08/15         Open        3,454,875           3,456,036   

Barclays Capital, Inc.

       1.53        4/09/15         5/11/15        16,775,000           16,790,685   

JPMorgan Securities LLC

       1.33        4/09/15         5/11/15        2,635,000           2,637,142   

BNP Paribas Securities Corp.

       1.18        4/13/15         5/13/15        5,774,000           5,777,411   

JPMorgan Securities LLC

       1.43        4/13/15         5/13/15        1,988,000           1,989,423   

JPMorgan Securities LLC

       1.33        4/16/15         5/13/15        2,546,000           2,547,411   

JPMorgan Securities LLC

       1.43        4/16/15         5/13/15        2,637,000           2,638,571   

Morgan Stanley & Co. LLC

       1.10        4/16/15         5/15/15        5,466,200           5,468,538   

Deutsche Bank Securities, Inc.

       0.70        4/16/15         Open        903,000           903,263   

RBC Capital Markets, LLC

       0.39        4/16/15         Open        250,920           250,961   

RBC Capital Markets, LLC

       0.75        4/16/15         Open        147,795           147,841   

UBS Ltd.

       0.70        4/16/15         Open        1,792,500           1,792,988   

UBS Ltd.

       0.75        4/16/15         Open        1,230,000           1,230,359   

UBS Securities LLC

       0.55        4/16/15         Open        4,165,031           4,165,986   

Barclays Capital, Inc.

       1.53        4/20/15         5/21/15        10,246,397           10,250,754   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    47


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

As of April 30, 2015, reverse repurchase agreements outstanding were as follows (concluded):

 

Counterparty      Interest
Rate
      

Trade

Date

       Maturity
Date1
  Face Value        Face Value
Including
Accrued
Interest
      

UBS Securities LLC

       0.00        4/30/15         Open   $ 1,935,532         $ 1,935,532       

Total

                 $ 580,436,896         $ 581,931,444     
                

 

 

 

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

      

 

 

Ÿ  

As of April 30, 2015, financial futures contracts outstanding were as follows:

 

Contracts

Long/(Short)

    Issue    Exchange    Expiration    Notional Value     Unrealized
Appreciation
(Depreciation)
      
  (706   2-Year U.S. Treasury Note    Chicago Board of Trade    June 2015      USD         154,801,532      $ (598,925  
  (34   10-Year U.S. Treasury Note    Chicago Board of Trade    June 2015      USD         4,364,750        14,283     
  (14   Ultra Long U.S. Treasury Bond    Chicago Board of Trade    June 2015      USD         2,303,000        34,733     
  (5   90 Day Euro Future    Chicago Mercantile    December 2016      USD         1,232,812        (4,695  
  (1   Long U.S. Treasury Bond    Chicago Board of Trade    June 2015      USD         159,594        4,523     
             28      5-Year U.S. Treasury Note    Chicago Board of Trade    June 2015      USD         3,363,719        4,123       
  Total                    $ (545,958  
               

 

 

 

Ÿ  

As of April 30, 2015, forward foreign currency contracts outstanding were as follows:

 

Currency

Purchased

      

Currency

Sold

    Counterparty   Settlement
Date
       Unrealized
Appreciation
(Depreciation)
      
BRL        127,260         USD        42,000      BNP Paribas S.A.     5/05/15         $ 238     
BRL        131,355         USD        43,879      Deutsche Bank AG     5/05/15           (282  
BRL        167,189         USD        55,849      Deutsche Bank AG     5/05/15           (359  
BRL        82,740         USD        28,000      Goldman Sachs International     5/05/15           (539  
BRL        130,200         USD        42,000      Goldman Sachs International     5/05/15           1,213     
BRL        231,116         USD        77,000      Goldman Sachs International     5/05/15           (293  
BRL        63,458         USD        21,000      Goldman Sachs International     5/05/15           62     
BRL        261,767         USD        87,442      Goldman Sachs International     5/05/15           (562  
BRL        141,806         USD        49,000      HSBC Bank PLC     5/05/15           (1,934  
BRL        142,255         USD        46,000      Morgan Stanley Capital Services LLC     5/05/15           1,215     
BRL        129,192         USD        43,156      Morgan Stanley Capital Services LLC     5/05/15           (277  
BRL        130,408         USD        43,562      Royal Bank of Scotland PLC     5/05/15           (280  
BRL        128,772         USD        43,016      Royal Bank of Scotland PLC     5/05/15           (276  
BRL        127,617         USD        42,630      Royal Bank of Scotland PLC     5/05/15           (274  
BRL        127,302         USD        42,000      UBS AG     5/05/15           252     
USD        42,511         BRL        127,260      BNP Paribas S.A.     5/05/15           273     
USD        53,000         BRL        167,189      Deutsche Bank AG     5/05/15           (2,490  
USD        42,000         BRL        131,355      Deutsche Bank AG     5/05/15           (1,597  
USD        27,639         BRL        82,740      Deutsche Bank AG     5/05/15           178     
USD        86,000         BRL        261,767      Goldman Sachs International     5/05/15           (881  
USD        21,198         BRL        63,458      Goldman Sachs International     5/05/15           136     
USD        43,493         BRL        130,200      Goldman Sachs International     5/05/15           279     
USD        77,203         BRL        231,116      Goldman Sachs International     5/05/15           496     
USD        47,370         BRL        141,806      HSBC Bank PLC     5/05/15           304     
USD        42,000         BRL        129,192      Morgan Stanley Capital Services LLC     5/05/15           (879  
USD        47,520         BRL        142,255      Morgan Stanley Capital Services LLC     5/05/15           305     
USD        42,000         BRL        128,772      Royal Bank of Scotland PLC     5/05/15           (740  
USD        42,000         BRL        127,617      Royal Bank of Scotland PLC     5/05/15           (356  
USD        40,000         BRL        130,408      Royal Bank of Scotland PLC     5/05/15           (3,282  
USD        42,525         BRL        127,302      UBS AG     5/05/15           273     
MXN        2,199,229         USD        143,000      Deutsche Bank AG     5/06/15           337     
MXN        16,764,981         USD        1,090,724      State Street Bank and Trust Co.     5/06/15           1,947     
MXN        1,071,241         USD        70,000      UBS AG     5/06/15           (181  
USD        165,000         MXN        2,545,769      Deutsche Bank AG     5/06/15           (923  
AUD        2,496,724         GBP        1,288,000      Credit Suisse International     5/07/15           (1,595  
CAD        4,654,854         USD        3,785,000      Citibank N.A.     5/07/15           72,817     
GBP        1,288,000         AUD        2,457,707      Goldman Sachs International     5/07/15           32,466     
GBP        1,271,000         NOK        14,862,683      Citibank N.A.     5/07/15           (22,801  
IDR        3,146,380,000         USD        244,000      Standard Chartered Bank     5/07/15           (1,439  
JPY        226,724,443         NZD        2,486,000      Deutsche Bank AG     5/07/15           1,991     

 

See Notes to Financial Statements.

 

                
48    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

As of April 30, 2015, forward foreign currency contracts outstanding were as follows (continued):

 

Currency

Purchased

      

Currency

Sold

    Counterparty   Settlement
Date
       Unrealized
Appreciation
(Depreciation)
      
KRW        157,924,800         USD        144,000      Citibank N.A.     5/07/15         $ 3,214     
KRW        23,104,200         USD        21,000      JPMorgan Chase Bank N.A.     5/07/15           537     
MYR        466,176         USD        128,000      JPMorgan Chase Bank N.A.     5/07/15           2,778     
NOK        15,070,157         GBP        1,271,000      Deutsche Bank AG     5/07/15           50,354     
NZD        2,486,000         JPY        224,526,321      Citibank N.A.     5/07/15           16,419     
USD        1,893,000         CAD        2,359,979      Citibank N.A.     5/07/15           (62,887  
USD        1,892,000         CAD        2,381,199      Goldman Sachs International     5/07/15           (81,474  
USD        240,000         IDR        3,139,200,000      BNP Paribas S.A.     5/07/15           (2,007  
USD        4,000         IDR        51,640,000      Royal Bank of Scotland PLC     5/07/15           19     
USD        50,000         KRW        55,037,500      BNP Paribas S.A.     5/07/15           (1,305  
USD        115,000         KRW        122,820,000      BNP Paribas S.A.     5/07/15           510     
USD        128,000         MYR        465,408      Credit Suisse International     5/07/15           (2,562  
IDR        2,225,250,000         USD        172,000      BNP Paribas S.A.     5/08/15           (510  
MYR        468,399         USD        129,000      BNP Paribas S.A.     5/08/15           2,343     
USD        85,800         IDR        1,114,542,000      Deutsche Bank AG     5/08/15           (93  
USD        69,000         IDR        891,480,000      JPMorgan Chase Bank N.A.     5/08/15           298     
USD        129,000         MYR        473,430      JPMorgan Chase Bank N.A.     5/08/15           (3,754  
TRY        1,934,000         USD        710,168      Goldman Sachs International     5/14/15           11,354     
EUR        93,000         PLN        374,186      Goldman Sachs International     5/15/15           527     
EUR        75,000         PLN        301,240      Goldman Sachs International     5/15/15           570     
MYR        1,518,176         USD        418,000      BNP Paribas S.A.     5/15/15           6,873     
PLN        1,569,342         EUR        391,000      Deutsche Bank AG     5/15/15           (3,284  
PLN        303,236         EUR        75,000      Deutsche Bank AG     5/15/15           (16  
PLN        447,020         EUR        112,000      Goldman Sachs International     5/15/15           (1,638  
USD        418,000         MYR        1,555,712      Royal Bank of Scotland PLC     5/15/15           (17,377  
USD        127,000         ZAR        1,496,454      BNP Paribas S.A.     5/15/15           1,415     
ZAR        1,928,649         USD        163,000      BNP Paribas S.A.     5/15/15           (1,144  
TRY        1,934,000         USD        711,160      BNP Paribas S.A.     5/18/15           9,512     
TRY        1,934,000         USD        714,233      Deutsche Bank AG     5/18/15           6,440     
EUR        63,000         USD        70,505      BNP Paribas S.A.     5/29/15           256     
EUR        23,000         USD        25,648      Royal Bank of Scotland PLC     5/29/15           186     
IDR        1,123,762,000         USD        86,000      HSBC Bank PLC     5/29/15           103     
KRW        92,149,000         USD        86,000      BNP Paribas S.A.     5/29/15           (502  
PLN        224,626         EUR        56,000      Bank of America N.A.     5/29/15           (551  
USD        93,436         EUR        86,000      UBS AG     5/29/15           (3,159  
USD        103,200         IDR        1,342,735,200      BNP Paribas S.A.     5/29/15           319     
USD        86,000         KRW        91,873,800      Standard Chartered Bank     5/29/15           757     
USD        307,102         ZAR        3,702,186      Citibank N.A.     5/29/15           (2,880  
USD        123,641         ZAR        1,490,230      Citibank N.A.     5/29/15           (1,135  
USD        424,011         ZAR        5,157,325      Deutsche Bank AG     5/29/15           (7,809  
ZAR        5,192,415         USD        424,993      Goldman Sachs International     5/29/15           9,765     
ZAR        5,157,325         USD        424,749      JPMorgan Chase Bank N.A.     5/29/15           7,071     
USD        474,283         MXN        7,270,428      Bank of America N.A.     6/01/15           1,299     
USD        41,000         BRL        124,538      Deutsche Bank AG     6/02/15           72     
USD        94,000         BRL        282,141      Deutsche Bank AG     6/02/15           1,277     
USD        41,000         BRL        124,579      Goldman Sachs International     6/02/15           58     
USD        49,000         BRL        143,155      HSBC Bank PLC     6/02/15           1,954     
USD        198,174         PLN        714,971      JPMorgan Chase Bank N.A.     6/05/15           (229  
KRW        122,926,950         USD        115,000      BNP Paribas S.A.     6/08/15           (978  
USD        115,000         KRW        123,625,000      BNP Paribas S.A.     6/08/15           331     
EUR        1,754,000         GBP        1,281,336      BNP Paribas S.A.     6/10/15           4,050     
GBP        1,257,269         EUR        1,754,000      Deutsche Bank AG     6/10/15           (40,983  
MXN        29,225,610         AUD        2,426,000      Deutsche Bank AG     6/10/15           (15,830  
MXN        28,708,287         CAD        2,261,000      Goldman Sachs International     6/10/15           (6,545  
NZD        2,464,500         USD        1,869,432      BNP Paribas S.A.     6/10/15           4,854     
USD        1,892,000         CAD        2,275,055      Goldman Sachs International     6/10/15           7,363     
USD        1,901,780         NZD        2,512,000      Bank of America N.A.     6/10/15           (8,631  
USD        1,851,685         NZD        2,417,000      UBS AG     6/10/15           13,524     
EUR        144,905         USD        153,471      Goldman Sachs International     6/15/15           9,322     
USD        156,377         EUR        144,905      Morgan Stanley Capital Services LLC     6/15/15           (6,416  
USD        26,891         RUB        1,411,229      Citibank N.A.     7/14/15           194     
USD        14,617         RUB        767,099      JPMorgan Chase Bank N.A.     7/14/15           105     
USD        13,857         RUB        725,402      JPMorgan Chase Bank N.A.     7/14/15           134     
USD        51,678         RUB        2,835,853      Morgan Stanley Capital Services LLC     7/14/15           (1,969  

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    49


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

As of April 30, 2015, forward foreign currency contracts outstanding were as follows (concluded):

 

Currency

Purchased

      

Currency

Sold

    Counterparty   Settlement
Date
       Unrealized
Appreciation
(Depreciation)
      
USD        53,534         RUB        2,850,694      Morgan Stanley Capital Services LLC     7/14/15         $ (394  
USD        53,102         RUB        2,848,946      Morgan Stanley Capital Services LLC     7/14/15           (793  
USD        29,112         RUB        1,528,083      Morgan Stanley Capital Services LLC     7/14/15           204     
USD        53,226         RUB        2,957,641      Morgan Stanley Capital Services LLC     7/14/15           (2,725  
EUR        190,000         USD        205,972      Royal Bank of Scotland PLC     7/21/15           7,588     
USD        5,741,255         EUR        5,334,400      UBS AG     7/21/15           (254,610  
USD        29,274,207         GBP        19,799,000      Barclays Bank PLC     7/21/15           (1,101,112  
USD        693,812         TRY        1,934,000      BNP Paribas S.A.     8/17/15           (8,512  
USD        696,724         TRY        1,934,000      Deutsche Bank AG     8/17/15           (5,600  
USD        683,392         TRY        1,934,000      Goldman Sachs International     9/28/15           (11,017  
USD        1,178,800         EUR        1,032,000      Deutsche Bank AG     11/02/15           16,907     
USD        1,150,922         EUR        1,006,000      JPMorgan Chase Bank N.A.     11/02/15           18,302       
Total                         $ (1,368,731  
                       

 

 

 

Ÿ  

As of April 30, 2015, exchange-traded options purchased were as follows:

 

Description     

Put/

Call

     Strike
Price
       Expiration
Date
       Contracts        Value       

Eurodollar 1-Year Mid-Curve Option

     Put        USD            98.88           6/12/15           8         $ 750     

Eurodollar 1-Year Mid-Curve Option

     Put        USD        98.50           9/11/15           18           2,925     

Eurodollar 1-Year Mid-Curve Option

     Put        USD        98.63           9/11/15           7           1,706       

Total

                           $ 5,381     
                          

 

 

 

Ÿ  

As of April 30, 2015, exchange-traded options written were as follows:

 

Description      Put/
Call
       Strike
Price
       Expiration
Date
       Contracts        Value       
Eurodollar 1-Year Mid-Curve Option        Call           USD            98.75           9/11/15           13         $ (6,744  
Eurodollar 1-Year Mid-Curve Option        Call           USD        99.00           9/11/15           7           (1,619    

Total

                           $ (8,363  
                          

 

 

 

Ÿ  

As of April 30, 2015, centrally cleared credit default swaps — buy protection outstanding were as follows:

 

Issuer   Pay
Fixed Rate
    Clearinghouse     Expiration
Date
    Notional
Amount
(000)
    Unrealized
Appreciation
 
Dow Jones CDX North America Investment Grade, Series 24, Version 1     1.00     Chicago Mercantile        6/20/20        USD        1,144      $ 1,067   

 

Ÿ  

As of April 30, 2015, centrally cleared interest rate swaps outstanding were as follows:

 

Fixed
Rate
  Floating Rate   Clearinghouse      Effective
Date
     Expiration
Date
  Notional
Amount
(000)
    Unrealized
Appreciation
(Depreciation)
      
1.54%1   3-month LIBOR   Chicago Mercantile      N/A      4/30/20     USD            371      $ 723     
2.72%1   3-month LIBOR   Chicago Mercantile      N/A      9/19/24     USD        350        (19,396  
2.30%1   3-month LIBOR   Chicago Mercantile      N/A      12/03/24     USD        160        (2,869  
2.31%1   3-month LIBOR   Chicago Mercantile      N/A      12/03/24     USD        370        (6,930  
2.04%1   3-month LIBOR   Chicago Mercantile      N/A      4/30/25     USD        445        3,690     
2.04%1   3-month LIBOR   Chicago Mercantile      N/A      4/30/25     USD        121        984     
0.66%1   6-month LIBOR   Chicago Mercantile      N/A      5/05/25     EUR        235        100     
2.19%1   3-month LIBOR   Chicago Mercantile      N/A      5/05/25     USD        184        (1,165    
Total                     $ (24,863  
   

 

 

1    Trust pays the fixed rate and receives the floating rate.

       

 

Ÿ  

As of April 30, 2015, OTC credit default swaps — buy protection outstanding were as follows:

 

Issuer   Pay
Fixed Rate
    Counterparty   Expiration
Date
  Notional
Amount
(000)
    Value     Premiums
Paid
    Unrealized
Depreciation
      

Republic of South Africa

    1.00   Citibank N.A.   6/20/20     USD            344      $ 17,157      $ 18,337      $ (1,180  

Republic of South Africa

    1.00   Bank of America N.A.   6/20/20     USD        181        9,027        9,338        (311  

Republic of Turkey

    1.00   Bank of America N.A.   6/20/20     USD        346        19,628        21,487        (1,859  

Republic of Turkey

    1.00   Citibank N.A.   6/20/20     USD        175        9,927        10,835        (908  

Republic of Turkey

    1.00   Citibank N.A.   6/20/20     USD        172        9,757        10,756        (999    

Total

            $ 65,496      $ 70,753      $ (5,257  
           

 

 

 

See Notes to Financial Statements.

 

                
50    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

 

Ÿ  

As of April 30, 2015, OTC credit default swaps — sold protection outstanding were as follows:

 

Issuer/Index   Receive
Fixed Rate
    Counterparty   Expiration
Date
  Credit
Rating1
  Notional
Amount
(000)2
    Value     Premiums
Received
    Unrealized
Appreciation
      
Dow Jones CDX North America Investment Grade, Series 9     5.00   Bank of America N.A.   12/20/17   BBB   USD     10,000      $ 747,138      $ (457,425   $ 1,204,563     
Republic of Brazil     1.00   Bank of America N.A.   6/20/20   BBB   USD     177        (10,676     (12,564     1,888     
Republic of Brazil     1.00   Citibank N.A.   6/20/20   BBB   USD     175        (10,554     (10,699     145     
Republic of Brazil     1.00   Citibank N.A.   6/20/20   BBB   USD     175        (10,555     (11,128     573     
Republic of Brazil     1.00   Deutsche Bank AG   6/20/20   BBB   USD     350        (21,109     (21,684     575       

Total

              $ 694,244      $ (513,500   $ 1,207,744     
             

 

 

1    Using S&P’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.

 

Ÿ  

As of April 30, 2015, OTC interest rate swaps outstanding were as follows:

 

Fixed
Rate
  Floating
Rate
  Counterparty   Effective
Date
  Expiration
Date
  Notional
Amount
(000)
    Value     Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
      
13.16%3   1-day BZDIOVER   Bank of America N.A.   N/A   1/02/17     BRL        1,264      $ 1,918      $ 6      $ 1,912     
13.22%3   1-day BZDIOVER   Bank of America N.A.   N/A   1/02/17     BRL        1,263        1,547        7        1,540     
1.68%4   3-month LIBOR   UBS AG   N/A   4/17/17     KRW        2,485,676        (4,904     22        (4,926  
1.68%4   3-month LIBOR   UBS AG   N/A   4/20/17     KRW        911,407        (1,813     3        (1,816  
13.34%4   1-day BZDIOVER   Bank of America N.A.   N/A   1/02/18     BRL        889        1,163        (11     1,174     
12.92%4   1-day BZDIOVER   Bank of America N.A.   N/A   1/02/18     BRL        899        (1,780     (12     (1,768  
12.61%4   1-day BZDIOVER   Bank of America N.A.   N/A   1/02/18     BRL        868        (3,793            (3,793  
12.72%4   1-day BZDIOVER   Bank of America N.A.   N/A   1/02/18     BRL        532        (1,869     (2     (1,867  
12.48%4   1-day BZDIOVER   Deutsche Bank AG   N/A   1/02/19     BRL        461        (2,565     1        (2,566  
12.49%4   1-day BZDIOVER   Goldman Sachs International   N/A   1/02/19     BRL        384        (2,097     1        (2,098  
12.73%4   1-day BZDIOVER   Bank of America N.A.   N/A   1/02/19     BRL        295        (869     (1     (868  
12.74%4   1-day BZDIOVER   Bank of America N.A.   N/A   1/02/19     BRL        295        (830     (2     (828  
5.42%4   28-day MXIBTIIE   Goldman Sachs International   N/A   3/06/20     MXN        2,695        661        (40     701     
5.23%4   28-day MXIBTIIE   Bank of America N.A.   N/A   3/12/20     MXN        3,585        (1,080     (12     (1,068  
5.21%4   28-day MXIBTIIE   Deutsche Bank AG   N/A   3/16/20     MXN        4,136        (1,505     (15     (1,490  
5.15%4   28-day MXIBTIIE   Deutsche Bank AG   N/A   3/31/20     MXN        3,301        (1,939     (12     (1,927  
5.11%4   28-day MXIBTIIE   Credit Suisse International   N/A   3/31/20     MXN        2,657        (1,828     (9     (1,819  
12.35%4   1-day BZDIOVER   Bank of America N.A.   N/A   1/04/21     BRL        204        (1,382     2        (1,384  
12.35%4   1-day BZDIOVER   Credit Suisse International   N/A   1/04/21     BRL        208        (1,408     2        (1,410  
6.28%4   28-day MXIBTIIE   Citibank N.A.   N/A   9/05/24     MXN        5,400        5,762        (69     5,831     
5.84%4   28-day MXIBTIIE   Goldman Sachs International   N/A   11/19/24     MXN        5,500        (6,327     (63     (6,264  
6.04%4   28-day MXIBTIIE   Credit Suisse International   N/A   3/17/25     MXN        687        (220     (4     (216  
6.00%4   28-day MXIBTIIE   Goldman Sachs International   N/A   4/16/25     MXN        7,743        (4,414     (38     (4,376  
6.00%4   28-day MXIBTIIE   Bank of America N.A.   N/A   4/16/25     MXN        2,642        (1,433     (13     (1,420    
Total               $ (31,005   $ (259   $ (30,746  
             

 

 

3    Trust pays the fixed rate and receives the floating rate.

           

4   Trust pays the floating rate and receives the fixed rate.

           

 

Ÿ  

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. 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. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

 

  Ÿ  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

  Ÿ  

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)

 

  Ÿ  

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    51


Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

As of April 30, 2015, 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

            $ 206,522,050         $ 29,301,164         $ 235,823,214   

Corporate Bonds

              427,026,430                     427,026,430   

Floating Rate Loan Interests

              41,742,620           27,008,435           68,751,055   

Foreign Agency Obligations

              14,986,757                     14,986,757   

Non-Agency Mortgage-Backed Securities

              354,264,283           26,878,124           381,142,407   

Preferred Securities

  $ 18,178,992           156,492,642           1,833,459           176,505,093   

Short-Term Securities

    28,388,724                               28,388,724   

Options Purchased:

                

Interest rate contracts

    5,381                               5,381   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 46,573,097         $ 1,201,034,782         $ 85,021,182         $ 1,332,629,061   
 

 

 

      

 

 

      

 

 

      

 

 

 
                
     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments1                 

Assets:

                

Credit contracts

            $ 1,208,811                   $ 1,208,811   

Foreign currency exchange contracts

              333,940                     333,940   

Interest rate contracts

  $ 57,662           16,655                     74,317   

Liabilities:

                

Credit contracts

              (5,257                  (5,257

Foreign currency exchange contracts

              (1,702,671                  (1,702,671

Interest rate contracts

    (611,983        (72,264                  (684,247
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ (554,321      $ (220,786                $ (775,107
 

 

 

      

 

 

      

 

 

      

 

 

 

 

  1  

Derivative financial instruments are swaps, financial futures contracts, forward foreign currency exchange contracts and options written. Swaps, financial 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 April 30, 2015, 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

  $ 499,148                             $ 499,148   

Cash pledged for centrally cleared swaps

    65,000                               65,000   

Cash pledged as collateral for reverse repurchase agreements

    1,733,000                               1,733,000   

Cash pledged for financial futures contracts

    567,000                               567,000   

Liabilities:

                

Bank overdraft

            $ (363,535                  (363,535

Cash received as collateral for OTC derivatives

              (660,000                  (660,000

Reverse repurchase agreements

              (581,931,444                  (581,931,444
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 2,864,148         $ (582,954,979                $ (580,090,831
 

 

 

      

 

 

      

 

 

      

 

 

 

There were no transfers between Level 1 and Level 2 during the six months ended April 30, 2015.

 

See Notes to Financial Statements.

 

                
52    SEMI-ANNUAL REPORT    APRIL 30, 2015   


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
     Corporate
Bonds
     Floating
Rate Loan
Interests
     Non-Agency
Mortgage-
Backed
Securities
     Preferred
Securities
     Total  

Assets:

                

Opening Balance, as of October 31, 2014

  $ 12,930,162       $ 4,353,024       $ 26,369,600       $ 24,087,773               $ 67,740,559   

Transfers into Level 31

    1,838,553                 132,297         4,000,000       $ 1,824,665         7,795,515   

Transfers out of Level 32

    (3,543,175      (4,353,024              (4,595,625              (12,491,824

Accrued discounts/premiums

    11,647                 1,316         143,541                 156,504   

Net realized gain (loss)

    339,250                 16,844         307,889                 663,983   

Net change in unrealized appreciation (depreciation)3,4

    (395,481         (34,090      (53,301      8,794         (474,078

Purchases

    20,072,850                 4,000,000         5,814,126                 29,886,976   

Sales

    (1,952,642              (3,477,532      (2,826,279              (8,256,453
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Closing Balance, as of April 30, 2015

  $ 29,301,164               $ 27,008,435       $ 26,878,124       $ 1,833,459       $ 85,021,182   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at April 30, 20154

  $ (303,964            $ 510       $ (53,301    $ 8,794       $ (347,961
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

1    As of October 31, 2014, the Trust used observable inputs in determining the value of certain investments. As of April 30, 2015, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $7,795,515 transferred from Level 2 to Level 3 in the disclosure hierarchy.

         

2    As of October 31, 2014, the Trust used significant unobservable inputs in determining the value of certain investments. As of April 30, 2015, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $12,491,824 transferred from Level 3 to Level 2 in the disclosure hierarchy.

         

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

       

4    Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at April 30, 2015 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.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    53


Statements of Assets and Liabilities     

 

April 30, 2015 (Unaudited)   BlackRock
Credit Allocation
Income Trust
(BTZ)
    BlackRock
Floating Rate
Income  Trust
(BGT)1
    BlackRock
Multi-Sector
Income Trust
(BIT)
 
     
Assets                        

Investments at value — unaffiliated2

  $ 2,399,477,018      $ 490,280,547      $ 1,304,240,337   

Investments at value — affiliated3

    2,496,572               28,388,724   

Cash

    1,080,433        4,413,903          

Cash pledged for centrally cleared swaps

    8,540,000               65,000   

Cash pledged for financial futures contracts

    3,405,000               567,000   

Cash pledged as collateral for OTC derivatives

    1,300,000                 

Cash pledged as collateral for reverse repurchase agreements

    1,180,000               1,733,000   

Foreign currency at value4

    5,003        43,558        499,148   

Interest receivable

    30,070,938        1,850,889        11,149,083   

Investments sold receivable

           6,377,840        3,075,219   

Reverse repurchase agreements receivable

                  1,935,533   

Unrealized appreciation on OTC swaps

    1,045,067               1,218,902   

Variation margin receivable on financial futures contracts

    509,179               64,218   

Swap premiums paid

    339,946               70,797   

Variation margin receivable on centrally cleared swaps

    180,347               4,213   

Unrealized appreciation on forward foreign currency exchange contracts

           3,592        333,940   

Dividends receivable

    68,863               182,662   

Principal paydowns receivable

                  201,616   

Swaps receivable

    60,438               77,464   

Prepaid expenses

    60,208        12,707        29,678   
 

 

 

 

Total assets

    2,449,819,012        502,983,036        1,353,836,534   
 

 

 

 
     
Liabilities                        

Bank overdraft

                  363,535   

Reverse repurchase agreements

    789,870,761               581,931,444   

Bank borrowings payable

           141,000,000          

Investments purchased payable

    6,001,957        13,930,430        5,957,840   

Options written payable

    2,112,760                 

Unrealized depreciation on OTC swaps

    1,322,853               47,161   

Investment advisory fees payable

    1,226,282        298,256        879,653   

Options written at value5

    807,635               8,363   

Swap premiums received

    738,703               513,803   

Officer’s and Trustees’ fees payable

    651,121        204,683        25,533   

Cash received as collateral for OTC derivatives

    640,000               660,000   

Variation margin payable on financial futures contracts

    443,193               2,844   

Income dividends payable

    429,958        31,754        193,948   

Swaps payable

    97,789               19,328   

Unrealized depreciation on forward foreign currency exchange contracts

           217,236        1,702,671   

Interest expense payable

           106,239          

Reverse repurchase agreements payable

                  4,199,026   

Other accrued expenses payable

    282,189        152,535        184,887   
 

 

 

 

Total liabilities

    804,625,201        155,941,133        596,690,036   
 

 

 

 

Net Assets

  $ 1,645,193,811      $ 347,041,903      $ 757,146,498   
 

 

 

 
     
Net Assets Consist of                        

Paid-in capital6,7,8

  $ 1,892,035,910      $ 429,064,959      $ 727,781,455   

Undistributed net investment income

    521,122        107,682        3,944,753   

Accumulated net realized gain (loss)

    (379,199,089     (80,634,932     3,686,702   

Net unrealized appreciation (depreciation)

    131,835,868        (1,495,806     21,733,588   
 

 

 

 

Net Assets

  $ 1,645,193,811      $ 347,041,903      $ 757,146,498   
 

 

 

 

Net asset value

  $ 15.22      $ 14.67      $ 19.71   

1    Consolidated Statement of Assets and Liabilities.

     

2    Investments at cost — unaffiliated

  $ 2,258,994,193      $ 491,562,786      $ 1,281,751,750   

3   Investments at cost — affiliated

  $ 2,496,572             $ 28,388,724   

4    Foreign currency at cost

  $ 5,581      $ 43,525      $ 495,376   

5   Premiums received

  $ 7,454,970             $ 7,293   

6    Par value per share

  $ 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.      
                
54    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Statements of Operations     

 

Six Months Ended April 30, 2015 (Unaudited)   BlackRock
Credit Allocation
Income Trust
(BTZ)
    BlackRock
Floating Rate
Income  Trust
(BGT)1
    BlackRock
Multi-Sector
Income Trust
(BIT)
 
     
Investment Income                        

Interest

  $ 59,223,471      $ 11,832,557      $ 36,221,316   

Dividends — unaffiliated

    2,536,796        77,228        1,897,819   

Dividends — affiliated

    2,607        196        4,743   
 

 

 

 

Total income

    61,762,874        11,909,981        38,123,878   
 

 

 

 
     
Expenses                        

Investment advisory

    7,340,500        1,794,431        5,420,537   

Professional

    132,476        77,682        101,532   

Officer and Trustees

    103,489        24,587        34,270   

Accounting services

    87,403        27,873        51,410   

Transfer agent

    76,952        22,105        24,655   

Custodian

    68,795        77,970        65,901   

Registration

    18,501        4,667        6,620   

Printing

    16,288        7,582        10,476   

Miscellaneous

    69,547        23,398        40,080   
 

 

 

 

Total expenses excluding interest expense

    7,913,951        2,060,295        5,755,481   

Interest expense

    1,414,576        651,065        2,081,439   
 

 

 

 

Total expenses

    9,328,527        2,711,360        7,836,920   

Less fees waived by Manager

    (2,968     (338     (7,245
 

 

 

 

Total expenses after fees waived

    9,325,559        2,711,022        7,829,675   
 

 

 

 

Net investment income

    52,437,315        9,198,959        30,294,203   
 

 

 

 
     
Realized and Unrealized Gain (Loss)                        

Net realized gain (loss) from:

     

Investments

    470,422        (4,575,245     (6,278,556

Financial futures contracts

    2,008,768               (1,638,229

Foreign currency transactions

    (2,377     1,739,654        3,473,622   

Options written

    435,405               10,661   

Swaps

    (2,626,951            (35,121
 

 

 

 
    285,267        (2,835,591     (4,467,623
 

 

 

 
Net change in unrealized appreciation/depreciation on:      

Investments

    (6,466,080     6,396,829        (904,391

Financial futures contracts

    (4,319,793            148,735   

Foreign currency translations

    (32     (335,473     (1,357,447

Options written

    1,636,624               (6,758

Swaps

    (6,614,869            210,302   

Unfunded floating rate loan interests

           25,380          
 

 

 

 
    (15,764,150     6,086,736        (1,909,559
 

 

 

 

Net realized and unrealized gain (loss)

    (15,478,883     3,251,145        (6,377,182
 

 

 

 

Net Increase in Net Assets Resulting from Operations

  $ 36,958,432      $ 12,450,104      $ 23,917,021   
 

 

 

 

1   Consolidated Statement of Operations.

     

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    55


Statements of Changes in Net Assets     

 

    BlackRock Credit Allocation
Income Trust (BTZ)
 
Increase (Decrease) in Net Assets:   Six Months Ended
April 30,
2015
(Unaudited)
    Year Ended
October 31,
2014
 
   
Operations                

Net investment income

  $ 52,437,315      $ 107,032,500   

Net realized gain

    285,267        3,086,038   

Net change in unrealized appreciation (depreciation)

    (15,764,150     35,033,900   
 

 

 

 

Net increase in net assets resulting from operations

    36,958,432        145,152,438   
 

 

 

 
   
Distributions to Shareholders From1                

Net investment income

    (52,206,586     (104,413,172
 

 

 

 
   
Net Assets                

Total increase (decrease) in net assets

    (15,248,154     40,739,266   

Beginning of period

    1,660,441,965        1,619,702,699   
 

 

 

 

End of period

  $ 1,645,193,811      $ 1,660,441,965   
 

 

 

 

Undistributed net investment income, end of period

  $ 521,122      $ 290,393   
 

 

 

 

 

    BlackRock Floating Rate
Income Trust (BGT)2
 
Increase (Decrease) in Net Assets:   Six Months Ended
April 30,
2015
(Unaudited)
    Year Ended
October 31,
2014
 
   
Operations                

Net investment income

  $ 9,198,959      $ 19,977,444   

Net realized gain (loss)

    (2,835,591     7,113,737   

Net change in unrealized appreciation (depreciation)

    6,086,736        (12,444,550
 

 

 

 

Net increase in net assets resulting from operations

    12,450,104        14,646,631   
 

 

 

 
   
Distributions to Shareholders From1                

Net investment income

    (10,075,804     (19,919,709
 

 

 

 
   
Net Assets                

Total increase (decrease) in net assets

    2,374,300        (5,273,078

Beginning of period

    344,667,603        349,940,681   
 

 

 

 

End of period

  $ 347,041,903      $ 344,667,603   
 

 

 

 

Undistributed net investment income, end of period

  $ 107,682      $ 984,527   
 

 

 

 

1    Distributions for annual periods determined in accordance with federal income tax regulations.

   

2    Consolidated Statements of Changes.

   

 

 

See Notes to Financial Statements.      
                
56    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Statements of Changes in Net Assets     

 

    BlackRock Multi-Sector
Income Trust (BIT)
 
Increase (Decrease) in Net Assets:   Six Months Ended
April 30,
2015
(Unaudited)
    Year Ended
October 31,
2014
 
   
Operations                

Net investment income

  $ 30,294,203      $ 62,745,166   

Net realized gain (loss)

    (4,467,623     2,105,011   

Net change in unrealized appreciation (depreciation)

    (1,909,559     24,407,361   
 

 

 

 

Net increase in net assets resulting from operations

    23,917,021        89,257,538   
 

 

 

 
   
Distributions to Shareholders From1                

Net investment income

    (27,206,281     (53,805,642

Net realized gain

    (2,923,957       
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (30,130,238     (53,805,642
 

 

 

 
   
Net Assets                

Total increase (decrease) in net assets

    (6,213,217     35,451,896   

Beginning of period

    763,359,715        727,907,819   
 

 

 

 

End of period

  $ 757,146,498      $ 763,359,715   
 

 

 

 

Undistributed net investment income, end of period

  $ 3,944,753      $ 856,831   
 

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    57


Statements of Cash Flows     

 

Six Months Ended April 30, 2015 (Unaudited)   BlackRock
Credit Allocation
Income Trust
(BTZ)
    BlackRock
Floating Rate
Income  Trust
(BGT)1
    BlackRock
Multi-Sector
Income Trust
(BIT)
 
     
Cash Provided by Operating Activities                        

Net increase in net assets resulting from operations

  $ 36,958,432      $ 12,450,104      $ 23,917,021   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

     

Decrease in interest receivable

    1,514,497        62,268        2,070,145   

Decrease in swap receivable

    40,595               315,020   

(Increase) decrease in cash pledged for centrally cleared swaps

    (3,390,000            960,000   

Increase in cash pledged as collateral for OTC derivatives

    (800,000              

(Increase) decrease in cash pledged as financial futures contracts

    (3,052,000            432,000   

Increase in cash pledged as collateral for reverse repurchase agreements

    (1,180,000            (191,471

Increase in prepaid expenses

    (54,031     (11,130     (27,442

(Increase) decrease in variation margin receivable on financial futures contracts

    (235,617            144,577   

Decrease in variation margin receivable on centrally cleared swaps

    195,679               1,230   

(Increase) decrease in swap premiums paid

    173,942               (67,900

Decrease in swaps payable

    (30,182            (338,133

Decrease in investment advisory fees payable

    (43,534     (4,216     (98,560

Decrease in interest expense payable

    (218,946     (98,723     173,026   

Decrease in other accrued expenses payable

    (3,418     (28,408     (68,409

Increase in Officer’s and Trustees’ fees payable

    65,815        16,764        16,420   

Decrease in swap premiums received

    (123,761            (28,936

Increase in variation margin payable on financial futures contracts

    42,690               2,844   

Decrease in cash received as collateral for reverse repurchase agreements

                  (873,000

Decrease in cash received as collateral for OTC derivatives

    (100,000              

Decrease in variation margin payable on centrally cleared swaps

                  (78,574

Decrease in other liabilities

                  (832,628

Net realized gain on investments and options written

    712,082        4,607,773        8,484,415   

Net unrealized gain (loss) on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests

    4,714,667        (6,086,736     2,278,841   

Amortization of premium and accretion of discount on investments

    2,246,586        (202,418     (6,236,391

Premiums received from options written

    2,548,164               13,337   

Proceeds from sales of long-term investments and principal paydowns

    255,406,406        106,978,949        184,329,999   

Purchases of long-term investments

    (271,672,174     (102,541,837     (84,562,986

Net proceeds from sales (purchases) of short-term securities

    1,786,719        2,630,534        (9,565,339

Premiums paid on closing options written

                  (704
 

 

 

 

Net cash provided by (used for) operating activities

    25,502,611        17,772,924        120,168,402   
 

 

 

 
     
Cash Used for Financing Activities                        

Proceeds from bank borrowings

           69,000,000          

Payments on bank borrowings

           (73,000,000       

Net borrowing of reverse repurchase agreements

    27,795,131               (91,768,444

Cash dividends paid to shareholders

    (52,185,466     (10,075,764     (30,128,565

Increase (decrease) in bank overdraft

    (26,363            363,535   
 

 

 

 

Net cash provided by (used for) financing activities

    (24,416,698     (14,075,764     (121,533,474
 

 

 

 
     
Cash Impact from Foreign Exchange Fluctuations                        

Cash impact from foreign exchange fluctuations

  $ (576   $ 55      $ 23,589   
 

 

 

 
     
Cash and Foreign Currency                        

Net increase (decrease) in cash and foreign currency

    1,085,337        3,697,215        (1,341,483

Cash and foreign currency at beginning of period

    99        760,246        1,840,631   
 

 

 

 

Cash and foreign currency at end of period

  $ 1,085,436      $ 4,457,461      $ 499,148   
 

 

 

 
     
Supplemental Disclosure of Cash Flow Information                        

Cash paid during the period for interest

  $ 1,633,522      $ 749,788      $ 1,908,413   
 

 

 

 

1    Consolidated Statement of Cash Flows.

     

 

 

See Notes to Financial Statements.      
                
58    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Financial Highlights    BlackRock Credit Allocation Income Trust (BTZ)

 

    Six Months Ended
April 30,
2015
(Unaudited)
    Year Ended October 31,  
      2014     2013     2012     2011     2010  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.36      $ 14.99      $ 15.37      $ 13.94      $ 14.46      $ 12.64   
 

 

 

 

Net investment income1

    0.49        0.99        0.97        0.94        0.88        0.85   

Net realized and unrealized gain (loss)

    (0.15     0.35        (0.37     1.43        (0.54     2.14   

Distributions to Preferred Shareholders from net investment income

                                (0.01     (0.07
 

 

 

 

Net increase from investment operations

    0.34        1.34        0.60        2.37        0.33        2.92   
 

 

 

 
Distributions to Common Shareholders from:2            

Net investment income

    (0.48     (0.97     (0.98     (0.94     (0.85     (0.81

Return of capital

                                       (0.29
 

 

 

 

Total distributions

    (0.48     (0.97     (0.98     (0.94     (0.85     (1.10
 

 

 

 

Net asset value, end of period

  $ 15.22      $ 15.36      $ 14.99      $ 15.37      $ 13.94      $ 14.46   
 

 

 

 

Market price, end of period

  $ 13.54      $ 13.54      $ 12.97      $ 14.23      $ 12.08      $ 13.02   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                    

Based on net asset value

    2.71% 4      10.11%        4.86%        18.35%        3.28%        25.16%   
 

 

 

 

Based on market price

    3.66% 4      12.18%        (2.01)%        26.44%        (0.60)%        29.98%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    1.14% 5      1.11%        1.15% 6      1.20% 7      1.09% 8      1.12% 8 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.14% 5      1.11%        1.15% 6      1.20% 7      1.09% 8      1.11% 8 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

    0.97% 5      0.96%        1.00% 6      1.07% 7      0.99% 8      1.07% 8 
 

 

 

 

Net investment income

    6.42% 5      6.48%        6.43%        6.53%        6.25% 8      6.33% 8 
 

 

 

 

Distributions to Preferred Shareholders

                                0.09%        0.50%   
 

 

 

 

Net investment income to Common Shareholders

    6.42% 5      6.48%        6.43%        6.53%        6.16%        5.83%   
 

 

 

 
           
Supplemental Data                                   

Net assets Applicable to Common Shareholders, end of period (000)

  $  1,645,194      $  1,660,442      $  1,619,703      $     796,836      $     722,337      $     749,360   
 

 

 

 

Preferred Shares outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 231,000   
 

 

 

 

Asset coverage per Preferred Share at $25,000 liquidation preference, end of period

                                     $ 106,104   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 789,871      $ 759,752      $ 812,028      $ 373,716      $ 339,303          
 

 

 

 

Asset coverage, end of period $1,000

  $ 3,083      $ 3,186      $ 2,995      $ 3,132      $ 3,129          
 

 

 

 

Portfolio turnover rate

    10%        29%        43%        37%        54%        64%   
 

 

 

 

 

  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   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Includes reorganization costs associated with the Trust’s merger. 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.

 

  7   

Includes reorganization costs associated with the Trust’s merger. 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.

 

  8   

Does not reflect the effect of distributions to Preferred Shareholders.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    59


Financial Highlights    BlackRock Floating Rate Income Trust (BGT)

 

   

Six Months Ended
April 30,
20151

(Unaudited)

    Year Ended October 31,  
      20141     20131     20121     2011     2010  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 14.57      $ 14.79      $ 14.52      $ 13.97      $ 14.48      $ 13.29   
 

 

 

 

Net investment income2

    0.39        0.84        0.94        0.97        1.00        0.97   

Net realized and unrealized gain (loss)

    0.14        (0.22     0.38        0.68        (0.42     1.09   

Distributions to Preferred Shareholders from net investment income

                                (0.00 )3      (0.04
 

 

 

 

Net increase from investment operations

    0.53        0.62        1.32        1.65        0.58        2.02   
 

 

 

 

Distributions to Common Shareholders from net investment income4

    (0.43     (0.84     (1.05     (1.10     (1.09     (0.83
 

 

 

 

Net asset value, end of period

  $ 14.67      $ 14.57      $ 14.79      $ 14.52      $ 13.97      $ 14.48   
 

 

 

 

Market price, end of period

  $ 13.50      $ 13.18      $ 14.12      $ 15.07      $ 13.00      $ 14.52   
 

 

 

 
           
Total Return Applicable to Common Shareholders5                                                

Based on net asset value

    3.98% 6      4.60%        9.37%        12.37%        4.03%        15.55%   
 

 

 

 

Based on market price

    5.78% 6      (0.89)%        0.60%        25.33%        (3.46)%        22.41%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.60% 7      1.52%        1.57%        1.66%        1.73% 8      1.43% 8 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.60% 7      1.52%        1.57%        1.61%        1.60% 8      1.25% 8 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

    1.21% 7      1.18%        1.19%        1.25% 9      1.24% 8      1.15% 8 
 

 

 

 

Net investment income

    5.41% 7      5.71%        6.39%        6.87%        6.95% 8      7.01% 8 
 

 

 

 

Distributions to Preferred Shareholders

                                0.03%        0.27%   
 

 

 

 

Net investment income to Common Shareholders

    5.41% 7      5.71%        6.39%        6.87%        6.92%        6.74%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $  347,042      $  344,668      $  349,941      $  343,282      $  329,831      $  341,436   
 

 

 

 

Preferred Shares outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 58,800   
 

 

 

 

Asset coverage per Preferred Share at $25,000 liquidation preference, end of period (000)

                                     $ 170,174   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 141,000      $ 145,000      $ 152,000      $ 145,000      $ 122,000      $ 38,000   
 

 

 

 

Asset coverage, end of period $1,000

  $ 3,461      $ 3,377      $ 3,302      $ 3,367      $ 3,704          
 

 

 

 

Portfolio turnover rate

    20%        64%        72%        65%        89%        87%   
 

 

 

 

 

  1   

Consolidated Financial Highlights.

 

  2   

Based on average shares outstanding.

 

  3   

Amount is greater than $(0.005) per share.

 

  4   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  5   

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.

 

  6   

Aggregate total return.

 

  7   

Annualized.

 

  8   

Does not reflect the effect of distributions to Preferred Shareholders.

 

  9   

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.      
                
60    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Financial Highlights    BlackRock Multi-Sector Income Trust (BIT)

 

    Six Months Ended
April 30,
2015
(Unaudited)
    Year Ended
October 31,
2014
    Period
February 27, 20131
to October 31,
2013
 
     
Per Share Operating Performance                        

Net asset value, beginning of period

  $ 19.87      $ 18.95      $ 19.10 2 
 

 

 

 

Net investment income3

    0.79        1.62        1.02   

Net realized and unrealized gain (loss)

    (0.17     0.70        (0.35
 

 

 

 

Net increase from investment operations

    0.62        2.32        0.67   
 

 

 

 
Distributions from4:      

Net investment income

    (0.71     (1.40     (0.70

Net realized gain

    (0.07              

Return of capital

                  (0.12
 

 

 

 

Total distributions

    (0.78     (1.40     (0.82
 

 

 

 

Net asset value, end of period

  $ 19.71      $ 19.87      $ 18.95   
 

 

 

 

Market price, end of period

  $ 17.59      $ 17.79      $ 17.04   
 

 

 

 
     
Total Return5                        

Based on net asset value

    3.75% 6      13.40%        4.04% 6 
 

 

 

 

Based on market price

    3.42% 6      12.91%        (10.66)% 6 
 

 

 

 
     
Ratios to Average Net Assets                        

Total expenses

    2.10% 7      2.04%        1.67% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    2.10% 7      2.04%        1.67% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

    1.54% 7      1.52%        1.33% 7 
 

 

 

 

Net investment income

    8.13% 7      8.27%        8.05% 7 
 

 

 

 
     
Supplemental Data                        

Net assets, end of period (000)

  $ 757,146      $ 763,360      $ 727,908   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 581,931      $ 707,294      $ 552,040   
 

 

 

 

Asset coverage, end of period $1,000

  $ 2,301      $ 2,079      $ 2,319   
 

 

 

 

Portfolio turnover rate

    7%        29%        77% 8 
 

 

 

 

 

  1  

Commencement of operations.

 

  2  

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.

 

  3  

Based on average shares outstanding.

 

  4  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  5  

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.

 

  6  

Aggregate total return.

 

  7  

Annualized.

 

  8  

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 54%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    61


Notes to Financial Statements (Unaudited)     

 

1. Organization:

The following are registered under the 1940 Act as closed-end management investment companies and referred to herein collectively as the “Trusts”:

 

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 Directors and Board of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board”, and the directors/trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the NAVs of their Common Shares on a daily basis.

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 (“RIC”) 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.

2. Significant Accounting Policies:

The Trusts’ 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 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. The following is a summary of significant accounting policies followed by the Trusts:

Valuation: The Trusts’ investments are valued at fair value 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 at market value using 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 provide oversight of the pricing function for the Trusts for all financial instruments.

Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. 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, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. 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. Certain centrally cleared swaps are valued at the price determined by the relevant exchange or clearinghouse. Investments in open-end registered investment companies are valued at NAV each business day.

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.

Equity investments traded on a recognized securities exchange are valued at the official close price each day, if available. For equity investments traded on more than one exchange, the official close 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 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 business 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 business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

 

                
62    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Notes to Financial Statements (continued)     

 

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

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 Value Investments”). When determining the price for Fair Value 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 consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. 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 the Trusts’ 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 Value Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Trusts’ net assets. If events (e.g., a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Investments and be valued at their fair value, as determined in good faith by the Global Valuation Committee, or its delegate, using a pricing service and/or policies approved by the Board.

Foreign Currency: Each Trust’s books and records are maintained in U.S. dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, each Trust’s investments denominated in that currency will lose value because that currency is worth fewer U.S. dollars; 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 foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency 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. The Trusts report 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., financial futures contracts, forward foreign currency exchange contracts, swaps and options written) or certain borrowings (e.g., reverse repurchase transactions) that would be “senior securities” for 1940 Act purposes, the Trusts may segregate or designate on their books and records cash or liquid securities having a market value at least equal to the amount of the Trusts’ 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.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    63


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. 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, which are measured on a tax basis, will 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 and accumulated 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.

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. 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.

Recent Accounting Standard: In June 2014, the Financial Accounting Standards Board issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance will require expanded disclosure for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. It is effective for financial statements with fiscal years beginning on or after December 15, 2014 and interim periods beginning after March 15, 2015. Management is evaluating the impact, if any, of this guidance on the Trusts’ financial statement disclosures.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds are prorated among those funds on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with their custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

3. Securities and Other Investments:

Asset-Backed and Mortgage-Backed Securities: The Trusts may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally 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 subject to such a prepayment feature will have the effect of shortening the maturity of the security. In addition, the Trusts may subsequently have to reinvest the proceeds at lower interest rates. If the Trusts have 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.

The Trusts may purchase certain mortgage pass-through securities. 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.

Collateralized Debt Obligations: The Trusts may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and 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

 

                
64    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Notes to Financial Statements (continued)     

 

defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: The Trusts may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class 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, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. 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, the Trusts may not fully recoup their initial investment in IOs.

Zero-Coupon Bonds: The Trusts may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Capital Trusts and Trust Preferred Securities: The Trusts may invest in capital trusts and/or trust preferred securities. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation will pay interest to the trust, which will then be distributed to holders of the trust preferred 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: The Trusts may invest in 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.

Floating Rate Loan Interests: The Trusts may invest in floating rate loan interests. The floating rate loan interests held by the Trusts are typically issued to companies (the “borrower”) by banks, other financial institutions, and 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. The Trusts may invest in obligations of borrowers who are in bankruptcy proceedings. 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. 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. The Trusts consider these investments to be investments in debt securities for purposes of their investment policies.

When the Trusts purchase a floating rate loan interest, they may receive a facility fee and when they sell a floating rate loan interest, they may pay a facility fee. On an ongoing basis, the Trusts 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 the Trusts upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Trusts may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    65


Notes to Financial Statements (continued)     

 

Floating rate loan interests are usually freely callable at the borrower’s option. The Trusts 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 the Trusts having a contractual relationship only with the lender, not with the borrower. The Trusts will have 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, the Trusts 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, and the Trusts may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Trusts will assume the credit risk of both the borrower and the lender that is selling the Participation. The Trusts’ 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, the Trusts 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 the Trusts having a direct contractual relationship with the borrower, and the Trusts 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, the Trusts earn 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 April 30, 2015, the Trusts had no outstanding unfunded floating rate loan interests.

Forward Commitments and When-Issued Delayed Delivery Securities: The 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. The Trusts may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trusts may be required to pay more at settlement than the security is worth. In addition, the Trusts are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trusts’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.

Reverse Repurchase Agreements: The Trusts may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Trusts sell securities to a bank or broker-dealer and agree to repurchase the same securities at a mutually agreed upon date and price. During the term of the reverse repurchase agreement, the Trusts continue 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. The Trusts 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 and also the risk that the market value of the securities to be repurchased may decline below the repurchase price.

For financial reporting purposes, 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 the Trusts to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, the Trusts may receive a fee for use of the security by the counterparty, which may result in interest income to the Trusts.

For the six months ended April 30, 2015, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rates were as follows:

 

    

Average

Amount

Outstanding

    

Daily
Weighted

Average

Interest Rate

 

BTZ

  $ 741,444,579         0.38%   

BIT

  $ 614,114,435         0.68%   

Reverse repurchase transactions are entered into by the Trusts under Master Repurchase Agreements (each, an “MRA”), which permit the Trusts, 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 the Trusts. With reverse repurchase transactions, typically the Trusts and the counterparties 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, the Trusts receive or post securities as collateral with a market value in excess of the repurchase price to be

 

                
66    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Notes to Financial Statements (continued)     

 

paid or received by the Trusts upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Trusts are considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

As of April 30, 2015, the following table is a summary of the Trusts’ 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 Amount  

Barclays Capital, Inc.

    $ 86,837,155       $ (86,837,155                

BNP Paribas Securities Corp.

      156,701,064         (156,701,064                

Credit Suisse Securities (USA) LLC

      133,607,499         (133,607,499                

Deutsche Bank Securities, Inc.

      6,236,027         (6,236,027                

HSBC Securities (USA), Inc.

      20,238,361         (20,238,361                

Merrill Lynch, Pierce, Fenner & Smith, Inc.

      10,076,190         (10,076,190                

RBC Capital Markets LLC

      239,732,478         (239,732,478                

UBS Securities LLC

      136,441,987         (136,441,987                
   

 

 

    

 

 

    

 

 

    

 

 

 

Total

    $ 789,870,761       $ (789,870,761                
   

 

 

    

 

 

    

 

 

    

 

 

 

 

BIT                                    
Counterparty        Reverse Repurchase
Agreements
    

Fair Value of Non-cash

Collateral Pledged
Including  Accrued
Interest1

     Cash Collateral
Pledged
     Net Amount  

Barclays Bank PLC

    $ 12,451,500       $ (12,451,500                

Barclays Capital, Inc.

      132,590,109         (132,590,109                

BNP Paribas Securities Corp.

      74,227,046         (74,227,046                

Credit Suisse Securities (USA) LLC

      2,203,921         (2,203,921                

Deutsche Bank Securities, Inc.

      171,438,516         (171,438,516                

HSBC Securities (USA), Inc.

      2,793,632         (2,793,632                

JPMorgan Securities LLC

      9,812,547         (9,812,547                

Morgan Stanley & Co. LLC

      5,468,538         (5,468,538                

RBC Capital Markets, LLC

      3,002,076         (3,002,076                

UBS Limited

      3,023,347         (3,023,347                

UBS Securities LLC

      164,920,212         (164,920,212                
   

 

 

    

 

 

    

 

 

    

 

 

 

Total

    $ 581,931,444       $ (581,931,444                
   

 

 

    

 

 

    

 

 

    

 

 

 

 

  1  

Net collateral with a value of $833,588,045 for BTZ and $661,858,839 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.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, the Trusts’ use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce the Trusts’ obligation to repurchase the securities.

4. 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 economically manage their exposure to certain risks such as credit risk, equity risk, interest rate risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: The Trusts invest in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk) or changes in the value of equity securities (equity risk). Financial 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 at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

Upon entering into a financial 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 on the Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. 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 value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Trusts as unrealized appreciation (depreciation) and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    67


Notes to Financial Statements (continued)     

 

When the contract is closed, the Trusts record a realized gain or loss 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 financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

Forward Foreign Currency Exchange Contracts: The Trusts enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, 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 future date. Forward foreign currency exchange contracts, when used by the Trusts, help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Trusts as an unrealized gain or loss. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. 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.

Options: The Trusts purchase and write call and put options to increase or decrease their exposure to underlying instruments including interest rate 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. When the Trusts purchase (write) an option, an amount equal to the premium paid (received) by the Trusts is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Trusts enter into a closing transaction), the Trusts realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss 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 “covered,” meaning that the Trusts 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.

Options on swaps (“swaptions”) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swaptions is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Trusts 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 they otherwise would not, or at a price different from the current market value.

For the six months ended April 30, 2015, transactions in options written were as follows:

 

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

Outstanding options, beginning of period

                             3,396      $ 406,600      $ 7,454,970   

Options written

           $ 44,200      $ 901,516          850        44,200        1,646,648   

Options exercised

                                             

Options expired

                             (850            (327,114

Options closed

             (44,200     (901,516              (44,200     (1,319,534
   

 

 

 

 

 

 

Outstanding options, end of period

                             3,396      $ 406,600      $ 7,454,970   
   

 

 

 

 

 

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

Outstanding options, beginning of period

                             40             $ 5,938   

Options written

      25             $ 7,910          30               5,427   

Options exercised

      (5            (617                       

Options expired

                             (52            (7,569

Options closed

                             (18            (3,796
   

 

 

 

 

 

 

Outstanding options, end of period

      20             $ 7,293                          
   

 

 

 

 

 

 

Swaps: The Trusts enter into swap agreements in which the Trusts and a counterparty agree either 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”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation).

 

                
68    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Notes to Financial Statements (continued)     

 

For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and 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 OTC swap. Payments received or made by the Trusts for OTC swaps are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, the Trusts will record a realized gain or loss 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 agreement, the swap agreement 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 a 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 on the Schedules of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statements of Operations.

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.

 

Ÿ  

Credit default swaps — The 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 on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee 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 accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occur. 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.

 

Ÿ  

Interest rate swaps — The Trusts enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds, which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, 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 swaps, the notional principal amount may decline (or amortize) over time.

The following is a summary of the Trusts’ derivative financial instruments categorized by risk exposure:

 

Fair Values of Derivative Financial Instruments as of April 30, 2015  
         Value  
         BTZ     BGT     BIT  
      Statements of Assets and Liabilities Location   Derivative
Assets
    Derivative
Liabilities
    Derivative
Assets
    Derivative
Liabilities
    Derivative
Assets
    Derivative
Liabilities
 

Equity contracts

   Investments at value — unaffiliated2   $ 757,500                                      

Interest rate contracts

   Net unrealized appreciation (depreciation)1; Unrealized appreciation (depreciation) on OTC swaps; Swap premiums received; Investments at value — unaffiliated2; Options written at value     7,438,000      $ (19,453,238                 $ 79,742      $ (684,550

Foreign currency exchange contracts

   Unrealized appreciation (depreciation) on forward foreign currency exchange contracts                 $ 3,592      $ (217,236     333,940        (1,702,671

Credit contracts

   Unrealized appreciation (depreciation) on OTC swaps; Swap premiums paid     1,385,013        (2,061,556                   1,279,564        (518,757
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

     $ 9,580,513      $ (21,514,794   $ 3,592      $ (217,236   $ 1,693,246      $ (2,905,978
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  1  

Includes cumulative appreciation (depreciation) on financial futures contracts and centrally cleared swaps, if any, as reported in the Schedules 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 Schedules of Investments.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    69


Notes to Financial Statements (continued)     

 

 

The Effect of Derivative Financial Instruments in the Statements of Operations
Six Months Ended April 30, 2015

 
    BTZ      BGT      BIT           BTZ      BGT      BIT  
    Net Realized Gain (Loss) from           Net Change in Unrealized
Appreciation (Depreciation) on
 
Interest rate contracts:                    

Financial futures contracts

  $ 2,008,768               $ (1,638,229       $ (4,319,793            $ 148,735   

Swaps

    (2,248,281              (100,149         (6,729,690              27,619   

Options3

    556,668                 (12,758         (2,254,962              (1,401
Foreign currency exchange contracts :                    

Foreign currency transactions/ translations

          $ 2,130,645         3,479,397                  $ (404,735      (1,399,705
Credit contracts :                    

Swaps

    (378,670              65,028            114,821                 182,683   
Equity contracts :                    

Options3

                               80,904                   
 

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

 

Total

  $ (61,515    $ 2,130,645       $ 1,793,289          $ (13,108,720    $ (404,735    $ (1,042,069
 

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

 

 

  3   

Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation (depreciation) on investments.

For the six months ended April 30, 2015, the average quarterly balances of outstanding derivative financial instruments were as follows:

 

     BTZ     BGT     BIT  
Financial futures contracts:      

Average notional value of contracts — long

  $ 346,380,364             $ 5,707,953   

Average notional value of contracts — short

  $ 1,017,256,297             $ 126,196,876   
Forward foreign currency exchange contracts:      

Average amounts purchased in USD

  $      $ 9,996,073      $ 56,950,000   

Average amounts sold in USD

  $      $ 349,664      $ 16,945,199   
Options:      

Average value of option contracts purchased

  $ 629,563             $ 2,803   

Average value of option contracts written

  $ 116,738             $ 4,219   

Average notional value of swaption contracts purchased

  $ 296,450,000                 

Average notional value of swaption contracts written

  $ 406,600,000                 
Credit default swaps:      

Average notional value — buy protection

  $ 84,262,362             $ 2,065,420   

Average notional value — sell protection

  $ 51,556,350             $ 10,438,500   
Interest rate swaps:      

Average notional value — pays fixed rate

  $ 255,555,000             $ 1,991,709   

Average notional value — receives fixed rate

  $ 23,600,000             $ 9,260,846   

Counterparty Credit Risk: 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 of 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.

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) of the clearing broker or clearinghouse. 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.

In order to better define their contractual rights and to secure rights that will help the Trusts 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

 

                
70    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Notes to Financial Statements (continued)     

 

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 its 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 Trusts 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 party has to exceed a minimum transfer amount threshold (typically either $250,000 or $500,000) 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 Trusts and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, the Trusts bear the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stands ready to perform under the terms of their agreement with such counterparty, the Trusts 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.

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.

As of April 30, 2015, the Trusts’ derivative assets and liabilities (by type) are as follows:

 

     BTZ          BGT    

 

  BIT  
      Assets     Liabilities    

 

  Assets     Liabilities    

 

  Assets     Liabilities  
Derivative Financial Instruments:                

Financial futures contracts

  $ 509,179      $ 443,193                        $ 64,218      $ 2,844   

Forward foreign currency exchange contracts

                  $ 3,592      $ 217,236          333,940        1,702,671   

Options1

    4,565,541        807,635                          5,381        8,363   

Swaps — Centrally cleared

    180,347                                 4,213          

Swaps — OTC2

    1,385,013        2,061,556                          1,289,699     

 

 

 

560,964

 

  

 

 

 

 

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

  $ 6,640,080      $ 3,312,384        $ 3,592      $ 217,236        $ 1,697,451     

 

 

 

$

 

 

 

2,274,842

 

 

 

  

 

 

 

 

Derivatives not subject to an master netting agreement of similar agreement (“MNA”)

    (1,598,439     (506,868                       (73,812  

 

 

 

 

 

 

 

(11,207

 

 

 

 

 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 5,041,641      $ 2,805,516        $ 3,592      $ 217,236        $ 1,623,639      $

 

 

2,263,635

 

 

  

 

 

 

 

 

 

 

  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.

As of April 30, 2015, the following tables present the Trusts’ 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:

 

BTZ                                      
Counterparty        Derivative Assets
Subject to an MNA
by  Counterparty
    Derivatives
Available for
Offset1
    Non-cash Collateral
Received
  Cash Collateral
Received2
    Net
Amount of
Derivative
Assets3,4
 

Barclays Bank PLC

    $ 543,137      $ (55,536            $ 487,601   

Citibank N.A.

      263                        263   

Credit Suisse International

      871,370        (509,676              361,694   

Deutsche Bank AG

      1,839,975        (826,463              1,013,512   

Goldman Sachs Bank USA

      286,841        (286,841                

Goldman Sachs International

      176,719        (176,719                

JPMorgan Chase Bank N.A.

      1,216,360        (743,960     $ (472,400       

Morgan Stanley Capital Services LLC

      391        (237              154   

Royal Bank of Scotland PLC

      68,135        (68,135                

UBS AG

      38,450        (23,196              15,254   
   

 

 

   

 

 

   

 

 

 

 

   

 

 

 

Total

    $ 5,041,641      $ (2,690,763     $ (472,400   $ 1,878,478   
   

 

 

   

 

 

   

 

 

 

 

   

 

 

 
           

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    71


Notes to Financial Statements (continued)     

 

BTZ                                      
Counterparty        Derivative Liabilities
Subject to an MNA
by  Counterparty
    Derivatives
Available for
Offset1
    Non-cash Collateral
Pledged
  Cash Collateral
Pledged
    Net
Amount of
Derivative
Liabilities6
 

Barclays Bank PLC

    $ 55,536      $ (55,536                

Credit Suisse International

      509,676        (509,676                

Deutsche Bank AG

      826,463        (826,463                

Goldman Sachs Bank USA

      324,239        (286,841            $ 37,398   

Goldman Sachs International

      198,417        (176,719              21,698   

JPMorgan Chase Bank N.A.

      743,960        (743,960                

Morgan Stanley Capital Services LLC

      237        (237                

Royal Bank of Scotland PLC

      123,792        (68,135              55,657   

UBS AG

      23,196        (23,196                
   

 

 

   

 

 

   

 

 

 

 

   

 

 

 

Total

    $ 2,805,516      $ (2,690,763            $ 114,753   
   

 

 

   

 

 

   

 

 

 

 

   

 

 

 
           
BGT                                      
Counterparty        Derivative Assets
Subject to an MNA
by  Counterparty
    Derivatives
Available for
Offset
    Non-cash Collateral
Received
  Cash Collateral
Received
    Net
Amount of
Derivative
Assets3
 

JPMorgan Chase Bank N.A.

    $ 3,592                      $ 3,592   
   

 

 

   

 

 

   

 

 

 

 

   

 

 

 
           
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
Liabilities6
 

Barclays Bank PLC

    $ 73,244                      $ 73,244   

Royal Bank of Canada

      26,815                        26,815   

UBS AG

      117,177                        117,177   
   

 

 

   

 

 

   

 

 

 

 

   

 

 

 

Total

    $ 217,236                      $ 217,236   
   

 

 

   

 

 

   

 

 

 

 

   

 

 

 
           
BIT                                      
Counterparty        Derivative Assets
Subject to an MNA
by  Counterparty
    Derivatives
Available for
Offset1
    Non-cash Collateral
Received
  Cash Collateral
Received2
    Net
Amount of
Derivative
Assets3,4
 

Bank of America N.A.

    $ 1,243,216      $ (494,390     $ (660,000   $ 88,826   

BNP Paribas S.A.

      30,974        (14,958              16,016   

Citibank N.A.

      139,121        (114,686              24,435   

Credit Suisse International

      2        (2                

Deutsche Bank AG

      78,132        (78,132                

Goldman Sachs International

      74,313        (74,313                

HSBC Bank PLC

      2,361        (1,934              427   

JPMorgan Chase Bank N.A.

      29,225        (3,983              25,242   

Morgan Stanley Capital Services LLC

      1,724        (1,724                

Royal Bank of Scotland PLC

      7,793        (7,793                

Standard Chartered Bank

      757        (757                

State Street Bank and Trust Co.

      1,947                        1,947   

UBS AG

      14,074        (14,074                
   

 

 

   

 

 

   

 

 

 

 

   

 

 

 

Total

    $ 1,623,639        $(806,746)          $(660,000)      $ 156,893   
   

 

 

   

 

 

   

 

 

 

 

   

 

 

 
           

 

                
72    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Notes to Financial Statements (continued)     

 

BIT                                    
Counterparty        Derivative Liabilities
Subject to an MNA
by  Counterparty
    Derivatives
Available for
Offset1
    Non-cash Collateral
Pledged
  Cash Collateral
Pledged
  Net
Amount of
Derivative
Liabilities6
 

Bank of America N.A.

    $ 494,390      $ (494,390           

Barclays Bank PLC

      1,101,112                 $ 1,101,112   

BNP Paribas S.A.

      14,958        (14,958           

Citibank N.A.

      114,686        (114,686           

Credit Suisse International

      7,615        (2         7,613   

Deutsche Bank AG

      106,960        (78,132         28,828   

Goldman Sachs International

      115,828        (74,313         41,515   

HSBC Bank PLC

      1,934        (1,934           

JPMorgan Chase Bank N.A.

      3,983        (3,983           

Morgan Stanley Capital Services LLC

      13,453        (1,724         11,729   

Royal Bank of Scotland PLC

      22,585        (7,793         14,792   

Standard Chartered Bank

      1,439        (757         682   

UBS AG

      264,692        (14,074         250,618   
   

 

 

   

 

 

   

 

 

 

 

 

 

 

Total

    $ 2,263,635        $(806,746)          $ 1,456,889   
   

 

 

   

 

 

   

 

 

 

 

 

 

 

 

  1   

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

 

  2   

Excess of the 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   

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 Statement of Assets and Liabilities.

 

  5   

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

 

  6   

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

5. 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.

Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Trusts’ investment advisor, 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 necessary personnel, facilities, equipment and certain other services to the operations of each Trust. For such services, each Trust pays the Manager a monthly fee based on a percentage of BTZ’s and BGT’s average weekly (average daily for BIT’s) net assets (including any assets attributable to borrowings) at the following annual rates:

 

BTZ

    0.62%   

BGT

    0.75%   

BIT

    0.80%   

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. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investments in other affiliated investment companies, if any. These amounts are shown as fees waived by the Manager in the Statements of Operations.

The Manager provided investment management and other services to the Taxable Subsidiary. The Manager did not receive separate compensation from the Taxable Subsidiary for providing investment management or administrative services. However, BGT paid the Manager based on BGT’s net assets, which included the assets of the Taxable Subsidiary.

The Manager entered into a sub-advisory agreement with BlackRock (Singapore) Limited (“BRS”), an affiliate of the Manager, to serve as sub-advisor for BIT. 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.

Certain officers and/or Trustees of the Trusts are officers and/or directors 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.

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees. For the six months ended April 30, 2015, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchases    Sales  

BIT

     $ 24,861   

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    73


Notes to Financial Statements (continued)     

 

6. Purchases and Sales:

For the six months ended April 30, 2015, purchases and sales of investments, including paydowns and excluding short-term securities and U.S. government securities were as follows:

 

Purchases   BTZ      BGT      BIT  

Non-U.S. Government Securities

  $ 190,005,929       $ 99,712,970       $ 87,222,213   

U.S. Government Securities

    43,126,409                   
 

 

 

    

 

 

    

 

 

 

Total Purchases

  $ 233,132,338       $ 99,712,970       $ 87,222,213   
 

 

 

    

 

 

    

 

 

 
       
Sales   BTZ      BGT      BIT  

Non-U.S. Government Securities (includes paydowns)

  $ 228,888,829       $ 105,209,102       $ 181,843,956   

U.S. Government Securities

    4,780,419                   
 

 

 

    

 

 

    

 

 

 

Total Sales

  $ 233,669,248       $ 105,209,102       $ 181,843,956   
 

 

 

    

 

 

    

 

 

 

7. Income Tax Information:

It is the Trusts’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to RICs, 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 Subsidiary.

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 remains open for each of the four years ended October 31, 2014. The statute of limitations on BIT’s U.S. federal tax returns remains open for the period ended October 31, 2013 and the year ended October 31, 2014. The statutes of limitations on the Trusts’ 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 April 30, 2015, 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.

As of October 31, 2014, 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  

2015

  $ 56,798,160           

2016

    121,634,930       $ 14,130,109   

2017

    158,120,431         45,385,443   

2018

    31,756,723         16,526,601   

2019

    10,353,275         409,424   
 

 

 

 

Total

  $ 378,663,519       $ 76,451,577   
 

 

 

 

As of April 30, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

     BTZ      BGT      BIT  

Tax cost

  $ 2,261,432,911       $ 492,655,434       $ 1,307,399,056   
 

 

 

    

 

 

    

 

 

 

Gross unrealized appreciation

  $ 166,119,099       $ 4,501,332       $ 38,783,178   

Gross unrealized depreciation

    (25,578,420      (6,876,219      (13,553,173
 

 

 

    

 

 

    

 

 

 

Net unrealized appreciation (depreciation)

  $ 140,540,679       $ (2,374,887    $ 25,230,005   
 

 

 

    

 

 

    

 

 

 

8. 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 April 30, 2015, BGT has not received any notice to terminate. BGT has granted a security interest in substantially all of their assets to SSB.

The SSB Agreement allows for the following maximum commitment amounts of $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.

 

 

                
74    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Notes to Financial Statements (continued)     

 

In addition, BGT pays a facility fee and utilization fee (based on the daily unused portion of the commitments). The commitment fees are waived if the 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 April 30, 2015 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 six months ended April 30, 2015, the average amount of bank borrowings and daily weighted average interest rates for BGT with loans under the revolving credit agreements, were $139,773,481 and 0.94%, respectively.

9. Principal Risks:

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Trusts; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency, interest rate and price fluctuations. Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity with which the Trusts have unsettled or open transactions may fail to or be unable to perform on its commitments. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that they believe 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 generally approximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

The 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.

As of April 30, 2015, BIT invested a significant portion of its assets in securities in the financials sector. Changes in economic conditions affecting such sector would have a greater impact on the Trust and could affect the value, income and/or liquidity of positions in such securities.

10. 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

Shares issued and outstanding remained constant during the six months ended April 30, 2015 and year ended October 31, 2014 for each Trust.

For BIT, at April 30, 2015, 6,964 shares were owned by affiliates.

11. 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:

Each Trust paid a net investment income dividend in the following amounts per share on May 29, 2015 shareholders of record on May 15, 2015:

 

     Common
Dividend
Per Share
 

BTZ

  $ 0.0805   

BGT

  $ 0.0653   

BIT

  $ 0.1167   

Additionally, the Trusts declared a net investment income dividend on June 1, 2015 payable to Common Shareholders of record on June 15, 2015 for the same amounts noted above.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    75


Officers and Trustees     

 

Richard E. Cavanagh, Chair of the Board and Trustee

Karen P. Robards, Vice Chairperson of the Board, Chairperson of the Audit Committee and Trustee

Michael J. Castellano, Trustee and Member of the Audit Committee

Frank J. Fabozzi, Trustee and Member of the Audit Committee

Kathleen F. Feldstein, Trustee

James T. Flynn, Trustee and Member of the Audit Committee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee and Member of the Audit Committee

Barbara G. Novick, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Robert W. Crothers, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

 

 

 

 

 

 

 

Effective December 31, 2014, Paul L. Audet and Henry Gabbay resigned as Trustees of the Trusts. Effective December 31, 2014, Barbara G. Novick and John M. Perlowski were appointed to serve as Trustees of the Trusts.

 

 

       

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Custodian and Accounting Agent

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-Advisor

BlackRock (Singapore) Limited1

079912 Singapore

 

Transfer Agent

Common Shares

Computershare Trust Company, N.A.

Canton, MA 02021

 

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

Boston, MA 02116

 

 

  1   

For BIT.

 

                
76    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Additional Information     

 

Trust Certification

Each Trust is listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The 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 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.

 

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.

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. 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.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

Shareholders Who Hold Accounts with Investment Advisors, 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, including 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 share holder 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.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    77


Additional Information (continued)     

 

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 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 periodically 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.

 

Section 19(a) Notice

These amounts and sources of distributions reported are estimates and are 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 year and may be subject to changes based on the 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. Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website at http://www.blackrock.com.

April 30, 2015

 

    Total Cumulative Distributions
for the Fiscal  Year-to-Date
    % Breakdown of the Total Cumulative
Distributions for the Fiscal Year-to-Date
 
     Net Investment
Income
    Net Realized
Capital Gains
    Return of
Capital
    Total Per
Common Share
    Net Investment
Income
    Net Realized
Capital Gains
    Return of
Capital
    Total Per
Common Share
 

BTZ

  $ 0.483000                    $ 0.483000        100     0     0     100

BIT

  $ 0.784200                    $ 0.784200        100     0     0     100

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.

 

                
78    SEMI-ANNUAL REPORT    APRIL 30, 2015   


Additional Information (concluded)     

 

 

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.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2015    79


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 risk for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of 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-3-4/15-SAR    LOGO


Item 2 – Code of Ethics – Not Applicable to this semi-annual report
Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
Item 6 – Investments
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
Item 8 – Portfolio Managers of Closed-End Management Investment Companies

(a)     Not Applicable to this semi-annual report

(b)     As of the date of this filing, there have been no changes in any of the portfolio managers identified in the   most recent annual report on Form N-CSR.

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
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 – Not Applicable to this semi-annual report
(a)(2) – Certifications – Attached hereto
(a)(3) – Not Applicable
(b) – Certifications – Attached hereto

 

2


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 Credit Allocation Income Trust

 

By:

/s/ John M. Perlowski

John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Credit Allocation Income Trust
Date:  July 1, 2015

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 Credit Allocation Income Trust
Date:  July 1, 2015
By:

/s/ Neal J. Andrews

Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Credit Allocation Income Trust
Date:  July 1, 2015

 

3