UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

 

Investment Company Act file number 811-21349

 

Name of Fund: BlackRock Limited Duration Income Trust (BLW)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Limited Duration Income Trust, 55 East 52^nd Street, New York, NY 10055

 

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

 

Date of fiscal year end: 08/31/2014

 

Date of reporting period: 05/31/2014

 

Item 1 – Schedule of Investments

Consolidated Schedule of Investments May 31, 2014 (Unaudited)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Common Stocks			Shares		Value
Auto Components — 0.0%
Lear Corp.			807	$		71,056
Construction & Engineering — 0.0%
USI United Subcontractors (a)			6,454			109,718
Diversified Consumer Services — 0.2%
Cengage Thomson Learning (a)			38,155			1,380,753
Diversified Financial Services — 0.4%
Kcad Holdings I Ltd. (a)			384,412,912			2,406,425
Hotels, Restaurants & Leisure — 0.2%
BLB Worldwide Holdings, Inc. (a)			51,947			1,603,864
Paper & Forest Products — 0.2%
NewPage Holdings, Inc.			13,780			1,171,300
Software — 0.3%
HMH Holdings/EduMedia (a)			128,441			2,340,195
Total Common Stocks — 1.3%					9,083,311
Asset-Backed Securities			Par (000)
Asset-Backed Securities — 4.7%
ACAS CLO Ltd. (b)(c):
	Series 2007-1A, Class A1S, 0.44%, 4/20/21	USD	746		736,254
	Series 2013-1A, Class D, 3.83%, 4/20/25		750		725,625
Adirondack Park CLO Ltd., Series 2013-1A, Class D, 3.88%, 4/15/24 (b)(c)			1,750		1,694,173
Aircraft Lease Securitisation Ltd., Series 2007-1A, Class G3, 0.41%, 5/10/32 (b)(c)			658		638,291
ALM Loan Funding, Series 2013-7RA (b)(c):
	Class C, 3.68%, 4/24/24		1,210		1,167,344
	Class D, 5.23%, 4/24/24		1,040		993,483
Atrium CDO Corp., Series 9A, Class D, 3.73%, 2/28/24 (b)(c)			1,100		1,059,103
Battalion CLO IV Ltd., Series 2013-4A, Class C, 3.58%, 10/22/25 (b)(c)			500		468,127
Capital One Multi-Asset Execution Trust, Series 4-3C, 6.63%, 4/19/17		GBP	2,650		4,446,910
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 4.23%, 2/14/25 (b)(c)		USD	250		246,432
CarMax Auto Owner Trust, Series 2012-3, Class D, 2.29%, 4/15/19			2,530		2,575,887
Asset-Backed Securities			Par (000)		Value
Asset-Backed Securities (concluded)
Cent CLO, Series 2014-21A, Class C, 3.73%, 7/27/26 (b)(c)(d)		USD	1,000	$	940,000
Central Park CLO Ltd., Series 2011-1A, Class D, 3.43%, 7/23/22 (b)(c)			500		492,597
Countrywide Asset-Backed Certificates, Series 2007-7, Class 2A2, 0.31%, 10/25/47 (b)			1,444		1,417,908
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (c)			2,661		2,531,607
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.23%, 4/20/23 (b)(c)			1,090		1,081,329
GSAA Trust, Series 2007-3, Class 1A2, 0.32%, 3/25/47 (b)			2,775		1,381,256
Halcyon Loan Advisors Funding Ltd., Series 2013-1A, Class C, 3.73%, 4/15/25 (b)(c)			1,000		948,555
Jamestown CLO Ltd., Series 2014-4A, Class C, 3.73%, 7/15/26 (b)(c)(d)			1,165		1,097,849
Madison Park Funding Ltd, Series 2012-10A, Class D, 4.48%, 1/20/25 (b)(c)			700		702,741
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.73%, 10/23/25 (b)(c)			420		403,576
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D, 3.58%, 7/17/25 (b)(c)			2,000		1,912,408
OZLM Funding Ltd., Series 2012-2A, Class C, 4.57%, 10/30/23 (b)(c)			500		501,379
Regatta Funding LP, Series 2013-2A, Class C, 4.23%, 1/15/25 (b)(c)			500		491,547
Santander Drive Auto Receivables Trust, Series 2011-S2A, Class B, 2.06%, 6/15/17 (c)			115		114,633
World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22			3,000		3,065,829
					31,834,843
Interest Only Asset-Backed Securities — 0.2%
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (c)			8,130		592,001

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Asset-Backed Securities			Par (000)		Value
Interest Only Asset-Backed Securities (concluded)
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (c)		USD	8,771	$	594,754
					1,186,755
Total Asset-Backed Securities — 4.9%					33,021,598
Corporate Bonds
Aerospace & Defense — 0.5%
DigitalGlobe, Inc., 5.25%, 2/01/21 (e)			928		911,760
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21			570		622,725
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (c)			339		370,357
Transdigm, Inc. (c)(d):
	6.00%, 7/15/22		730		735,475
	6.50%, 7/15/24		690		700,350
					3,340,667
Airlines — 2.9%
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (c)			651		675,933
American Airlines Pass-Through Trust, Series 2013-2 (c):
	Class A, 4.95%, 7/15/24 (e)		3,749		4,043,864
	Class B, 5.60%, 1/15/22		736		770,651
	Class C, 6.00%, 1/15/17 (e)		2,600		2,717,000
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (e)			2,090		2,225,850
Continental Airlines, Inc., 6.75%, 9/15/15 (c)(e)			1,350		1,367,550
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18			226		258,527
United Continental Holdings, Inc., 6.00%, 12/01/20 (e)			950		990,375
US Airways Pass-Through Trust, Class C (e):
	Series 2011-1, 10.88%, 10/22/14		615		636,363
	Series 2012-1, 9.13%, 10/01/15		1,754		1,858,795
Virgin Australia Trust, Series 2013-1 (c):
	Class A, 5.00%, 4/23/25		772		821,625
	Class B, 6.00%, 4/23/22		1,627		1,704,157
Corporate Bonds			Par (000)		Value
Airlines (concluded)
Virgin Australia Trust, Series 2013-1 (c) (concluded):
	Class C, 7.13%, 10/23/18	USD	1,181	$	1,219,250
					19,289,940
Auto Components — 1.2%
Affinia Group, Inc., 7.75%, 5/01/21 (e)			1,095		1,168,913
Autodis SA, 6.50%, 2/01/19		EUR	100		141,637
Brighthouse Group PLC, 7.88%, 5/15/18		GBP	100		177,048
Grupo Antolin Dutch BV, 4.75%, 4/01/21		EUR	206		285,541
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19		USD	2,058		2,106,877
Jaguar Land Rover Automotive PLC, 8.25%, 3/15/20		GBP	554		1,045,025
Pittsburgh Glass Works LLC, 8.00%, 11/15/18 (c)		USD	445		486,163
Rhino Bondco SpA, 7.25%, 11/15/20		EUR	110		161,192
Schaeffler Holding Finance BV:
	2.75%, 5/15/19		405		550,797
	6.88% (6.88% Cash or 7.63% PIK), 8/15/18 (c)(e)(f)	USD	1,085		1,146,031
	6.88% (6.88% Cash), 8/15/18 (f)	EUR	375		539,935
Titan International, Inc., 6.88%, 10/01/20 (c)		USD	555		573,731
					8,382,890
Auto Parts — 0.0%
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20			260		281,450
Automobiles — 0.9%
Chrysler Group LLC/CG Co-Issuer, Inc.:
	8.00%, 6/15/19 (e)		1,087		1,187,548
	8.25%, 6/15/21		1,165		1,328,100
Ford Motor Co., 4.25%, 11/15/16 (g)			434		830,296
General Motors Co., 3.50%, 10/02/18 (c)(e)			2,478		2,539,950
					5,885,894
Beverages — 0.0%
Constellation Brands, Inc., 7.25%, 5/15/17			82		94,300

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Corporate Bonds			Par (000)		Value
Building Products — 1.1%
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (c)		USD	385	$	398,475
BMBG Bond Finance SCA, 5.33%, 10/15/20 (b)		EUR	200		274,674
Builders FirstSource, Inc., 7.63%, 6/01/21 (c)(e)		USD	890		952,300
Building Materials Corp. of America, 6.75%, 5/01/21 (c)(e)			1,030		1,112,400
Cemex Finance LLC, 6.00%, 4/01/24 (c)			1,045		1,072,431
CPG Merger Sub LLC, 8.00%, 10/01/21 (c)(e)			1,030		1,089,225
Ply Gem Industries, Inc., 6.50%, 2/01/22 (c)			745		730,100
USG Corp., 9.75%, 1/15/18 (e)			1,390		1,666,263
					7,295,868
Capital Markets — 1.0%
American Capital Ltd., 6.50%, 9/15/18 (c)(e)			975		1,043,250
Blackstone CQP Holdco LP, 2.32%, 3/18/19			695		700,477
E*Trade Financial Corp., 0.00%, 8/31/19 (c)(g)(h)			249		491,775
The Goldman Sachs Group, Inc., 3.30%, 5/03/15 (e)			3,285		3,365,703
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (c)(e)			1,064		1,123,968
					6,725,173
Chemicals — 1.4%
Ashland, Inc., 3.88%, 4/15/18 (e)			675		693,562
Chemtura Corp., 5.75%, 7/15/21			200		206,250
Huntsman International LLC:
	8.63%, 3/15/21 (e)		655		730,325
	5.13%, 4/15/21	EUR	331		467,084
INEOS Group Holdings SA:
	6.13%, 8/15/18 (c)	USD	680		703,800
	6.50%, 8/15/18	EUR	328		468,351
	5.75%, 2/15/19		340		478,881
LSB Industries, Inc., 7.75%, 8/01/19 (c)		USD	301		321,318
Nufarm Australia Ltd., 6.38%, 10/15/19 (c)(e)			320		332,800
Orion Engineered Carbons Bondco GmbH, 9.63%, 6/15/18 (c)(e)			898		967,595
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 (e)			3,175		3,258,344
US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding BV:
	5.75%, 2/01/21	EUR	200		292,396
Corporate Bonds			Par (000)		Value
Chemicals (concluded)
US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding BV (concluded):
	7.38%, 5/01/21 (c)	USD	398	$	435,810
					9,356,516
Commercial Banks — 0.8%
CIT Group, Inc.:
	5.00%, 5/15/17		890		951,188
	5.50%, 2/15/19 (c)(e)		1,370		1,479,600
HSBC Holdings PLC, 6.25%, 3/19/18		EUR	1,000		1,600,120
Nordea Bank AB, 4.50%, 3/26/20			1,020		1,591,472
					5,622,380
Commercial Services & Supplies — 1.3%
AA Bond Co., Ltd., 9.50%, 7/31/43		GBP	306		575,749
ACCO Brands Corp., 6.75%, 4/30/20		USD	100		104,625
ADS Waste Holdings, Inc., 8.25%, 10/01/20			292		316,090
ARAMARK Corp., 5.75%, 3/15/20 (e)			712		757,390
Aviation Capital Group Corp., 4.63%, 1/31/18 (c)(e)			1,000		1,050,509
Bilbao Luxembourg SA, 10.50% (10.50% Cash or 11.25% PIK) 12/01/18 (f)		EUR	100		143,131
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (c)(e)		USD	617		654,020
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18			306		311,355
Covanta Holding Corp., 6.38%, 10/01/22			100		107,625
Mobile Mini, Inc., 7.88%, 12/01/20			915		1,011,075
United Rentals North America, Inc.:
	5.75%, 7/15/18 (e)		494		527,345
	7.63%, 4/15/22		1,518		1,721,032
	5.75%, 11/15/24		1,039		1,075,365
West Corp., 8.63%, 10/01/18			165		174,900
					8,530,211
Communications Equipment — 2.0%
ADC Telecommunications, Inc., 3.50%, 7/15/15 (g)			6,670		6,736,700
Alcatel-Lucent USA, Inc. (c):
	4.63%, 7/01/17 (e)		800		822,000
	6.75%, 11/15/20		1,560		1,657,500
Avaya, Inc., 7.00%, 4/01/19 (c)			437		432,630

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Corporate Bonds			Par (000)		Value
Communications Equipment (concluded)
CommScope, Inc. (c):
	5.00%, 6/15/21	USD	215	$	216,075
	5.50%, 6/15/24		221		222,105
Zayo Group LLC/Zayo Capital, Inc. (e):
	8.13%, 1/01/20		1,800		1,966,500
	10.13%, 7/01/20		1,460		1,686,300
					13,739,810
Construction & Engineering — 0.1%
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (c)			165		176,550
Officine MaccaFerri SpA, 5.75%, 6/01/21 (d)		EUR	150		208,501
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (c)		USD	258		273,480
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23			320		320,800
					979,331
Construction Materials — 1.3%
HD Supply, Inc. (e):
	8.13%, 4/15/19		4,285		4,724,212
	11.00%, 4/15/20		770		910,525
	7.50%, 7/15/20		2,696		2,925,160
					8,559,897
Consumer Finance — 0.7%
Ford Motor Credit Co. LLC (e):
	3.88%, 1/15/15		2,475		2,525,198
	7.00%, 4/15/15		400		422,112
Hyundai Capital America, 3.75%, 4/06/16 (c)(e)			1,285		1,347,817
IVS F. SpA, 7.13%, 4/01/20		EUR	235		340,394
Springleaf Finance Corp.:
	7.75%, 10/01/21	USD	52		58,110
	8.25%, 10/01/23		94		106,220
					4,799,851
Containers & Packaging — 0.4%
Berry Plastics Corp., 9.75%, 1/15/21			290		334,225
Beverage Packaging Holdings Luxembourg II SA, 6.00%, 6/15/17 (c)(e)			1,560		1,591,200
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 (e)			144		154,800
SGD Group SAS, 5.63%, 5/15/19		EUR	100		139,739
Corporate Bonds			Par (000)		Value
Containers & Packaging (concluded)
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%, 5/01/22 (c)		USD	267	$	269,670
					2,489,634
Distributors — 0.1%
VWR Funding, Inc., 7.25%, 9/15/17 (e)			874		928,625
Diversified Consumer Services — 0.3%
APX Group, Inc.:
	6.38%, 12/01/19		76		77,900
	8.75%, 12/01/20		357		364,140
Garda World Security Corp., 7.25%, 11/15/21 (c)			275		289,094
Laureate Education, Inc., 9.25%, 9/01/19 (c)			1,020		1,071,000
					1,802,134
Diversified Financial Services — 2.4%
Aircastle Ltd., 6.25%, 12/01/19 (e)			367		397,278
Ally Financial, Inc. (e):
	8.30%, 2/12/15		2,460		2,576,850
	8.00%, 11/01/31		3,146		3,924,382
CE Energy AS, 7.00%, 2/01/21		EUR	150		214,185
Co-Operative Group Holdings, 5.63%, 7/08/20 (i)		GBP	190		335,994
DPL, Inc., 6.50%, 10/15/16		USD	70		75,600
Jefferies Finance LLC/JFIN Co-Issuer Corp. (c):
	7.38%, 4/01/20 (e)		585		614,250
	6.88%, 4/15/22		456		459,420
Leucadia National Corp., 8.13%, 9/15/15 (e)			1,870		2,027,080
Macquarie Bank Ltd./London, 10.25%, 6/20/57 (b)			1,450		1,647,925
Reynolds Group Issuer, Inc.:
	7.13%, 4/15/19 (e)		1,294		1,358,700
	9.00%, 4/15/19		180		190,800
	9.88%, 8/15/19		535		589,169
	5.75%, 10/15/20 (e)		800		832,000
	6.88%, 2/15/21 (e)		820		883,550
					16,127,183
Diversified Telecommunication Services — 3.7%
CenturyLink, Inc., Series V, 5.63%, 4/01/20 (e)			906		958,095
Level 3 Communications, Inc., 8.88%, 6/01/19 (e)			735		804,825
Level 3 Financing, Inc.:
	3.82%, 1/15/18 (b)(c)		411		417,165
	8.13%, 7/01/19 (e)		3,083		3,368,177

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Corporate Bonds			Par (000)		Value
Diversified Telecommunication Services (concluded)
Level 3 Financing, Inc. (concluded):
	7.00%, 6/01/20	USD	495	$	535,837
	6.13%, 1/15/21 (c)(e)		1,682		1,778,715
Telecom Italia SpA:
	6.13%, 11/15/16 (g)	EUR	300		506,069
	6.38%, 6/24/19	GBP	200		365,561
	4.88%, 9/25/20	EUR	220		324,127
	4.50%, 1/25/21		270		389,754
	5.88%, 5/19/23	GBP	450		787,919
Telenet Finance V Luxembourg SCA:
	6.25%, 8/15/22	EUR	271		398,516
	6.75%, 8/15/24		397		596,641
Verizon Communications, Inc., 3.65%, 9/14/18 (e)		USD	13,000		13,931,684
Windstream Corp., 7.75%, 10/15/20			46		49,910
					25,212,995
Electric Utilities — 0.3%
ContourGlobal Power Holdings SA, 7.13%, 6/01/19 (c)			728		737,100
Homer City Generation LP (f):
	8.14% (8.14% Cash or 8.64% PIK), 10/01/19		345		367,425
	8.73% (8.73% Cash or 9.23% PIK), 10/01/26		599		640,181
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17			538		586,304
					2,331,010
Electrical Equipment — 0.1%
Belden, Inc., 5.50%, 4/15/23		EUR	140		198,475
Techem Energy Metering Service GmbH & Co., 7.88%, 10/01/20			106		161,833
					360,308
Energy Equipment & Services — 0.9%
Calfrac Holdings LP, 7.50%, 12/01/20 (c)		USD	503		536,953
CGG SA, 7.75%, 5/15/17 (e)			330		333,300
Gulfmark Offshore, Inc., 6.38%, 3/15/22			185		192,400
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 (e)			375		390,000
MEG Energy Corp. (c)(e):
	6.50%, 3/15/21		358		379,033
	7.00%, 3/31/24		864		933,120
Peabody Energy Corp. (e):
	6.00%, 11/15/18		1,004		1,046,670
	6.25%, 11/15/21		991		991,000
Corporate Bonds			Par (000)		Value
Energy Equipment & Services (concluded)
Precision Drilling Corp., 5.25%, 11/15/24 (c)		USD	522	$	527,220
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (c)(e)			535		555,062
Transocean, Inc., 6.00%, 3/15/18 (e)			230		259,413
					6,144,171
Food & Staples Retailing — 0.7%
Brakes Capital, 7.13%, 12/15/18		GBP	1,655		2,812,253
Premier Foods Finance PLC:
	5.52%, 3/15/20 (b)		115		193,823
	6.50%, 3/15/21		100		173,084
R&R Ice Cream PLC:
	5.50%, 5/15/20		105		173,361
	9.25% (9.25% Cash), 5/15/18 (f)	EUR	314		436,590
Rite Aid Corp., 9.25%, 3/15/20		USD	1,095		1,248,300
					5,037,411
Food Products — 0.3%
Findus Bondco SA:
	9.13%, 7/01/18	EUR	187		277,214
	9.50%, 7/01/18	GBP	100		182,295
Post Holdings, Inc., 6.75%, 12/01/21 (c)		USD	252		267,120
Smithfield Foods, Inc.:
	5.88%, 8/01/21 (c)		193		205,062
	6.63%, 8/15/22		783		858,364
Univeg Holding BV, 7.88%, 11/15/20		EUR	135		187,709
					1,977,764
Gas Utilities — 0.2%
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 7.88%, 10/15/18 (e)		USD	1,515		1,605,900
Health Care Equipment & Supplies — 0.8%
3AB Optique Developpement SAS, 5.63%, 4/15/19		EUR	170		225,363
Biomet, Inc., 6.50%, 10/01/20 (e)		USD	418		449,350
CareFusion Corp., 5.13%, 8/01/14 (e)			3,000		3,021,675
DJO Finance LLC/DJO Finance Corp., 8.75%, 3/15/18 (e)			413		443,975
IDH Finance PLC, 6.00%, 12/01/18		GBP	113		196,987
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19		USD	328		376,380

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Corporate Bonds			Par (000)		Value
Health Care Equipment & Supplies (concluded)
Teleflex, Inc., 6.88%, 6/01/19 (e)		USD	675	$	719,718
					5,433,448
Health Care Providers & Services — 1.8%
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp.:
	7.75%, 2/15/19 (e)		995		1,062,162
	6.00%, 10/15/21		232		244,760
CHS/Community Health Systems, Inc.:
	5.13%, 8/15/18 (e)		490		515,113
	6.88%, 2/01/22 (c)		1,604		1,688,210
Crown Newco 3 PLC, 7.00%, 2/15/18		GBP	335		592,130
HCA Holdings, Inc., 7.75%, 5/15/21		USD	285		313,856
HCA, Inc.:
	3.75%, 3/15/19 (e)		1,121		1,140,617
	6.50%, 2/15/20		160		181,800
	5.88%, 3/15/22		82		89,278
	4.75%, 5/01/23		108		108,000
Hologic, Inc., 6.25%, 8/01/20 (e)			1,289		1,369,562
Kindred Healthcare, Inc., 6.38%, 4/15/22 (c)			186		189,023
Tenet Healthcare Corp.:
	6.25%, 11/01/18		614		676,935
	5.00%, 3/01/19 (c)		350		357,000
	4.75%, 6/01/20		520		526,500
	8.00%, 8/01/20		775		844,750
	6.00%, 10/01/20		461		495,575
	8.13%, 4/01/22 (e)		898		1,021,475
Voyage Care Bondco PLC, 6.50%, 8/01/18		GBP	355		618,853
					12,035,599
Hotels, Restaurants & Leisure — 4.8%
Caesars Entertainment Operating Co., Inc.:
	8.50%, 2/15/20	USD	455		361,725
	9.00%, 2/15/20		3,704		2,953,940
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18		EUR	540		769,226
Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (g)		GBP	100		176,923
Enterprise Inns PLC, 6.50%, 12/06/18			926		1,677,730
Gamenet SpA, 7.25%, 8/01/18		EUR	100		140,404
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18 (c)		USD	357		370,388
Greektown Holdings LLC/Greektown Mothership Corp., 8.88%, 3/15/19 (c)			485		497,125
Corporate Bonds			Par (000)		Value
Hotels, Restaurants & Leisure (concluded)
Intralot Finance Luxembourg SA, 9.75%, 8/15/18		EUR	480	$	745,916
Isle of Capri Casinos, Inc.:
	7.75%, 3/15/19	USD	70		74,550
	5.88%, 3/15/21		294		298,410
MCE Finance Ltd., 5.00%, 2/15/21 (c)(e)			941		938,647
PNK Finance Corp., 6.38%, 8/01/21 (c)			268		282,070
Six Flags Entertainment Corp., 5.25%, 1/15/21 (c)(e)			576		587,520
Snai SpA, 7.63%, 6/15/18		EUR	205		300,823
Spirit Issuer PLC (b):
	Series A1, 1.07%, 12/28/28	GBP	603		863,616
	Series A2, 3.22%, 12/28/31		1,800		2,836,128
	Series A5, 5.47%, 12/28/34		4,500		7,278,893
	Series A6, 2.32%, 12/28/36		2,670		4,285,244
Station Casinos LLC, 7.50%, 3/01/21 (e)		USD	2,245		2,435,825
Travelport LLC/Travelport Holdings, Inc., 11.88%, 9/01/16 (c)			78		77,628
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(j)			375		—
The Unique Pub Finance Co. PLC:
	Series A3, 6.54%, 3/30/21	GBP	1,326		2,346,137
	Series A4, 5.66%, 6/30/27		801		1,360,024
Vougeot Bidco PLC, 7.88%, 7/15/20			218		396,928
Wynn Macau Ltd., 5.25%, 10/15/21 (c)(e)		USD	428		439,770
					32,495,590
Household Durables — 1.4%
Algeco Scotsman Global Finance PLC, 9.00%, 10/15/18		EUR	530		780,267
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (c)		USD	510		513,825
Beazer Homes USA, Inc.:
	6.63%, 4/15/18		910		973,700
	5.75%, 6/15/19 (c)		523		520,385
Berkline/Benchcraft LLC, 1.00%, 11/03/14 (a)(j)			200		—
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (c)(e)			925		975,875
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (c)			259		267,417
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (c)(e)			2,130		2,300,400
KB Home, 7.25%, 6/15/18 (e)			880		985,600

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Corporate Bonds			Par (000)		Value
Household Durables (concluded)
Spie BondCo 3 SCA, 11.00%, 8/15/19		EUR	248	$	383,206
Standard Pacific Corp., 8.38%, 1/15/21 (e)		USD	1,000		1,190,000
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (c)			597		602,970
					9,493,645
Household Products — 0.2%
Ontex IV SA, 9.00%, 4/15/19		EUR	353		524,499
Spectrum Brands, Inc.:
	6.38%, 11/15/20	USD	250		270,938
	6.63%, 11/15/22		285		312,075
					1,107,512
Independent Power Producers & Energy Traders — 1.2%
The AES Corp., 7.75%, 10/15/15 (e)			972		1,049,760
Baytex Energy Corp. (c)(d):
	5.13%, 6/01/21		170		172,125
	5.63%, 6/01/24		141		141,881
Calpine Corp. (c):
	7.50%, 2/15/21		147		159,862
	6.00%, 1/15/22		143		153,368
	5.88%, 1/15/24		438		458,805
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.75%, 3/01/22 (a)(c)(j)			3,408		4,064,040
NRG Energy, Inc.:
	7.63%, 1/15/18 (e)		913		1,041,961
	6.25%, 5/01/24 (c)		536		554,760
NRG REMA LLC:
	Series B, 9.24%, 7/02/17		85		88,346
	Series C, 9.68%, 7/02/26 (e)		415		452,350
					8,337,258
Insurance — 1.5%
Allied World Assurance Co., Ltd., 7.50%, 8/01/16 (e)			3,000		3,392,598
CNO Financial Group, Inc., 6.38%, 10/01/20 (c)(e)			304		329,840
Forethought Financial Group, Inc., 8.63%, 4/15/21 (c)(e)			750		858,115
Galaxy Bidco Ltd., 6.38%, 11/15/20		GBP	100		170,560
Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (c)		USD	255		273,488
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c)			595		642,600
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b)		EUR	400		650,453
Corporate Bonds			Par (000)		Value
Insurance (concluded)
Prudential Holdings LLC, 8.70%, 12/18/23 (c)(e)		USD	2,871	$	3,649,620
TMF Group Holding BV, 9.88%, 12/01/19		EUR	310		466,503
					10,433,777
Internet Software & Services — 0.3%
Cerved Group SpA:
	6.38%, 1/15/20		100		147,902
	8.00%, 1/15/21		100		151,310
IAC/InterActiveCorp, 4.88%, 11/30/18		USD	695		728,012
Interactive Data Corp., 5.88%, 4/15/19 (c)			741		746,557
					1,773,781
IT Services — 2.1%
Ceridian Corp., 8.88%, 7/15/19 (c)(e)			1,395		1,572,862
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (c)(e)			1,004		1,157,110
Ceridian LLC/Comdata, Inc., 8.13%, 11/15/17 (c)(d)			655		661,550
Epicor Software Corp., 8.63%, 5/01/19 (e)			1,260		1,368,675
First Data Corp.:
	7.38%, 6/15/19 (c)		1,775		1,903,687
	6.75%, 11/01/20 (c)(e)		1,250		1,342,188
	11.75%, 8/15/21		582		646,020
SunGard Data Systems, Inc., 6.63%, 11/01/19 (e)			1,040		1,099,800
The Western Union Co., 2.88%, 12/10/17 (e)			4,000		4,129,616
WEX, Inc., 4.75%, 2/01/23 (c)(e)			550		532,813
					14,414,321
Machinery — 0.1%
Amsted Industries, Inc., 5.00%, 3/15/22 (c)			298		298,745
Galapagos Holding SA, 7.00%, 6/15/22		EUR	100		137,855
Galapagos SA, 5.38%, 6/15/21			100		137,678
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19		USD	167		178,064
					752,342
Media — 4.9%
Adria Bidco BV, 7.88%, 11/15/20		EUR	140		206,108
Altice Financing SA, 6.50%, 1/15/22 (c)		USD	850		896,750
Altice SA:
	7.25%, 5/15/22	EUR	400		573,532

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Corporate Bonds			Par (000)		Value
Media (continued)
Altice SA (concluded):
	7.75%, 5/15/22 (c)	USD	1,050	$	1,103,812
AMC Networks, Inc., 7.75%, 7/15/21 (e)			865		966,637
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. (c):
	5.25%, 2/15/22		105		107,625
	5.63%, 2/15/24		85		87,338
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(j)			509		—
Clear Channel Communications, Inc.:
	9.00%, 12/15/19		345		367,425
	9.00%, 3/01/21		966		1,031,205
Clear Channel Worldwide Holdings, Inc.:
	7.63%, 3/15/20		677		727,775
	6.50%, 11/15/22 (e)		965		1,026,519
	6.50%, 11/15/22		213		227,910
Columbus International, Inc., 7.38%, 3/30/21 (c)			1,375		1,455,781
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.13%, 2/15/16 (e)			3,000		3,120,537
DISH DBS Corp. (e):
	7.13%, 2/01/16		200		218,000
	4.25%, 4/01/18		1,330		1,389,850
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (c)			305		329,400
Gannett Co., Inc. (c):
	5.13%, 10/15/19		197		205,373
	5.13%, 7/15/20		218		225,630
	6.38%, 10/15/23		304		324,520
Gray Television, Inc., 7.50%, 10/01/20 (e)			428		459,030
Inmarsat Finance PLC, 4.88%, 5/15/22 (c)(d)			825		833,250
Intelsat Jackson Holdings SA:
	7.25%, 10/15/20 (e)		1,660		1,792,800
	5.50%, 8/01/23 (c)		515		512,425
Intelsat Luxembourg SA, 6.75%, 6/01/18			800		849,000
Lamar Media Corp., 5.38%, 1/15/24 (c)			240		249,000
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (c)			185		202,113
The McClatchy Co., 9.00%, 12/15/22			330		377,437
MDC Partners, Inc., 6.75%, 4/01/20 (c)			733		775,147
Corporate Bonds			Par (000)		Value
Media (concluded)
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (c)		USD	245	$	253,575
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c)			345		358,800
Numericable Group SA:
	4.88%, 5/15/19 (c)		1,770		1,805,400
	5.38%, 5/15/22	EUR	110		158,194
	6.00%, 5/15/22 (c)	USD	1,530		1,587,375
	5.63%, 5/15/24	EUR	260		374,550
	6.25%, 5/15/24 (c)	USD	510		533,587
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (c)			580		619,150
Sirius XM Holdings, Inc., 5.75%, 8/01/21 (c)(e)			424		446,260
Sterling Entertainment Corp., 10.00%, 12/15/19			1,175		1,198,500
Townsquare Radio LLC/Townsquare Radio, Inc., 9.00%, 4/01/19 (c)			789		873,817
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 7.50%, 3/15/19			1,440		1,544,400
Virgin Media Secured Finance PLC, 6.00%, 4/15/21		GBP	1,274		2,223,566
VTR Finance BV, 6.88%, 1/15/24 (c)		USD	512		542,722
Ziggo Bond Co. BV, 8.00%, 5/15/18 (c)		EUR	113		168,669
					33,330,494
Metals & Mining — 1.6%
ArcelorMittal (e):
	4.25%, 8/05/15	USD	738		757,373
	6.13%, 6/01/18		612		670,905
Constellium NV:
	4.63%, 5/15/21	EUR	195		272,792
	5.75%, 5/15/24 (c)	USD	358		369,188
Eco-Bat Finance PLC, 7.75%, 2/15/17		EUR	495		700,063
Global Brass & Copper, Inc., 9.50%, 6/01/19 (e)		USD	695		794,037
Kaiser Aluminum Corp., 8.25%, 6/01/20 (e)			510		576,300
Novelis, Inc., 8.75%, 12/15/20 (e)			2,375		2,639,219
Perstorp Holding AB, 8.75%, 5/15/17 (c)			290		311,750
Steel Dynamics, Inc., 6.38%, 8/15/22			555		604,256
ThyssenKrupp AG, 3.13%, 10/25/19		EUR	400		560,541

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Corporate Bonds			Par (000)		Value
Metals & Mining (concluded)
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (c)(e)		USD	2,156	$	2,296,140
					10,552,564
Multiline Retail — 0.1%
The Neiman Marcus Group Ltd., 8.00%, 10/15/21 (c)(e)			856		941,600
Oil, Gas & Consumable Fuels — 4.3%
Access Midstream Partners LP/ACMP Finance Corp.:
	4.88%, 5/15/23		455		475,475
	4.88%, 3/15/24		209		218,928
Antero Resources Finance Corp., 5.38%, 11/01/21 (e)			774		805,927
Athlon Holdings LP/Athlon Finance Corp. (c):
	7.38%, 4/15/21		254		275,590
	6.00%, 5/01/22		265		270,963
Bonanza Creek Energy, Inc., 6.75%, 4/15/21			95		101,413
Chaparral Energy, Inc., 7.63%, 11/15/22			305		324,825
Cimarex Energy Co., 4.38%, 6/01/24 (d)			206		209,605
Concho Resources, Inc., 5.50%, 4/01/23			1,365		1,460,550
CONSOL Energy, Inc.:
	8.25%, 4/01/20		1,890		2,055,375
	5.88%, 4/15/22 (c)		1,388		1,440,050
El Paso LLC, 7.80%, 8/01/31			116		125,570
Energy Transfer Equity LP, 5.88%, 1/15/24 (c)			875		905,625
Energy XXI Gulf Coast, Inc., 6.88%, 3/15/24 (c)			278		280,085
EnQuest PLC, 7.00%, 4/15/22 (c)			428		442,980
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 (e)			630		674,100
Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 (c)(e)			1,285		1,408,785
Kinder Morgan, Inc., 5.63%, 11/15/23 (c)			457		460,854
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (e)			875		971,250
Laredo Petroleum, Inc., 7.38%, 5/01/22			515		570,363
Lightstream Resources Ltd., 8.63%, 2/01/20 (c)			379		394,160
Linn Energy LLC/Linn Energy Finance Corp.:
	8.63%, 4/15/20 (e)		903		978,626
	7.75%, 2/01/21		215		231,931
Corporate Bonds			Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21		USD	344	$	356,040
Oasis Petroleum, Inc.:
	7.25%, 2/01/19		380		404,700
	6.50%, 11/01/21		410		438,700
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20			202		221,190
Petrobras Global Finance BV, 3.00%, 1/15/19 (e)			768		751,104
Range Resources Corp.:
	6.75%, 8/01/20 (e)		815		882,237
	5.75%, 6/01/21		161		174,283
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (c)			143		155,155
Rosetta Resources, Inc., 5.63%, 5/01/21			379		389,423
Sabine Pass Liquefaction LLC (e):
	5.63%, 4/15/23		754		774,735
	5.75%, 5/15/24 (c)		1,411		1,449,802
Sabine Pass LNG LP, 7.50%, 11/30/16 (e)			3,110		3,444,325
SandRidge Energy, Inc.:
	8.75%, 1/15/20		94		101,520
	7.50%, 3/15/21		225		239,625
	7.50%, 2/15/23 (e)		921		980,865
SM Energy Co., 6.63%, 2/15/19			60		63,675
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21			636		690,060
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (e)			176		183,920
Ultra Petroleum Corp., 5.75%, 12/15/18 (c)			425		448,375
Whiting Petroleum Corp., 5.00%, 3/15/19 (e)			1,426		1,502,647
					28,735,411
Paper & Forest Products — 0.2%
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (c)(e)			728		766,220
NewPage Corp., 11.38%, 12/31/14 (a)(j)			3,177		—
Sappi Papier Holding GmbH, 8.38%, 6/15/19 (c)(e)			305		337,025
					1,103,245
Pharmaceuticals — 1.2%
Capsugel SA, 7.00% (7.00% Cash or 7.75% PIK), 5/15/19 (c)(f)			156		160,290

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Corporate Bonds			Par (000)		Value
Pharmaceuticals (concluded)
Endo Finance LLC/Endo Finco, Inc., 7.25%, 1/15/22 (c)		USD	121	$	131,890
Forest Laboratories, Inc. (c):
	4.38%, 2/01/19		585		633,262
	4.88%, 2/15/21		207		225,889
	5.00%, 12/15/21		550		602,250
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (c)			759		785,565
Salix Pharmaceuticals Ltd., 6.00%, 1/15/21 (c)			140		150,150
Valeant Pharmaceuticals International, Inc. (c):
	6.75%, 8/15/18 (e)		2,214		2,391,120
	6.88%, 12/01/18 (e)		1,210		1,273,525
	6.38%, 10/15/20 (e)		613		655,910
	7.50%, 7/15/21		335		371,850
	5.63%, 12/01/21		520		539,500
					7,921,201
Professional Services — 0.1%
Truven Health Analytics, Inc., 10.63%, 6/01/20 (e)			540		599,400
Real Estate Investment Trusts (REITs) — 0.6%
Cantor Commercial Real Estate Co. LP/CCRE Finance Corp., 7.75%, 2/15/18 (c)(e)			634		681,550
Felcor Lodging LP, 6.75%, 6/01/19 (e)			820		873,300
iStar Financial, Inc., 4.88%, 7/01/18			449		459,102
Rayonier AM Products, Inc., 5.50%, 6/01/24 (c)			349		353,363
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (e)			1,300		1,435,698
					3,803,013
Real Estate Management & Development — 0.9%
Realogy Corp. (c):
	7.63%, 1/15/20 (e)		1,279		1,422,887
	9.00%, 1/15/20		301		343,893
Realogy Group LLC/Realogy Co-Issuer Corp., 4.50%, 4/15/19 (c)			759		760,897
The Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (c)(e)			558		567,068
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (c)			220		229,900
RPG Byty Sro, 6.75%, 5/01/20		EUR	220		313,388
Corporate Bonds			Par (000)		Value
Real Estate Management & Development (concluded)
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 (e)		USD	2,110	$	2,305,175
					5,943,208
Road & Rail — 1.1%
Asciano Finance, Ltd., 3.13%, 9/23/15 (c)(e)			3,400		3,462,642
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (c)			1,170		1,218,262
The Hertz Corp.:
	7.50%, 10/15/18		540		570,375
	6.75%, 4/15/19		405		432,844
	5.88%, 10/15/20		435		460,013
	7.38%, 1/15/21 (e)		675		740,812
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (c)			319		325,380
					7,210,328
Semiconductors & Semiconductor Equipment — 0.2%
NXP BV/NXP Funding LLC (c)(e):
	3.75%, 6/01/18		950		954,750
	5.75%, 2/15/21		560		598,500
					1,553,250
Software — 0.7%
Infor Software Parent LLC/Infor Software Parent, Inc., 7.13% (7.13% Cash or 7.88% PIK), 5/01/21 (c)(f)			744		758,880
Infor US, Inc., 9.38%, 4/01/19 (e)			2,000		2,237,500
Nuance Communications, Inc., 5.38%, 8/15/20 (c)(e)			1,715		1,745,012
					4,741,392
Specialty Retail — 0.5%
Guitar Center, Inc., 9.63%, 4/15/20 (c)(e)			300		271,500
Magnolia BC SA, 9.00%, 8/01/20		EUR	274		390,348
Michaels Stores, Inc., 7.75%, 11/01/18		USD	317		335,228
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00% (8.00% Cash or 8.75% PIK), 6/15/18 (c)(f)			218		222,905
New Look Bondco I PLC, 8.75%, 5/14/18		GBP	100		180,610
Party City Holdings, Inc., 8.88%, 8/01/20		USD	374		415,140
PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75% (8.75% Cash or 9.50% PIK), 8/15/19 (c)(f)			252		259,560

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Corporate Bonds			Par (000)		Value
Specialty Retail (concluded)
QVC, Inc., 7.50%, 10/01/19 (c)(e)		USD	410	$	432,837
Sally Holdings LLC/Sally Capital, Inc., 5.50%, 11/01/23 (e)			508		520,700
					3,028,828
Textiles, Apparel & Luxury Goods — 0.2%
Levi Strauss & Co., 6.88%, 5/01/22			380		420,850
SIWF Merger Sub, Inc., 6.25%, 6/01/21 (c)			645		651,450
The William Carter Co., 5.25%, 8/15/21 (c)			346		360,705
					1,433,005
Trading Companies & Distributors — 0.2%
Ashtead Capital, Inc., 6.50%, 7/15/22 (c)(e)			1,054		1,148,860
Transportation Infrastructure — 1.7%
Aguila 3 SA, 7.88%, 1/31/18 (c)			848		899,406
Federal Express Corp. 2012 Pass-Through Trust, 2.63%, 1/15/18 (c)(e)			917		933,446
Penske Truck Leasing Co. LP/PTL Finance Corp. (c)(e):
	3.13%, 5/11/15		3,372		3,450,776
	3.38%, 3/15/18		6,155		6,450,711
					11,734,339
Wireless Telecommunication Services — 2.0%
Digicel Ltd., 6.00%, 4/15/21 (c)(e)			2,073		2,114,460
The Geo Group, Inc., 5.88%, 1/15/22			340		351,900
Phones4u Finance PLC, 9.50%, 4/01/18		GBP	207		362,153
Sprint Communications, Inc. (c)(e):
	9.00%, 11/15/18	USD	2,020		2,454,300
	7.00%, 3/01/20		1,361		1,568,552
Sprint Corp. (c):
	7.88%, 9/15/23 (e)		2,325		2,627,250
	7.13%, 6/15/24		405		436,388
T-Mobile USA, Inc.:
	6.63%, 4/28/21 (e)		1,380		1,486,950
	6.13%, 1/15/22		75		79,500
	6.73%, 4/28/22 (e)		1,455		1,571,400
	6.50%, 1/15/24		535		568,438
					13,621,291
Total Corporate Bonds — 59.3%					400,580,015

 

Floating Rate Loan Interests (b)			Par (000)		Value
Aerospace & Defense — 0.8%
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20		USD	1,287	$	1,288,609
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21			1,375		1,355,241
Transdigm, Inc.:
	Term Loan C, 3.75%, 2/28/20		652		647,442
	Term Loan D, 3.75%, 5/31/21		300		298,017
TransUnion LLC, Term Loan, 4.00%, 3/17/21			1,580		1,574,407
					5,163,716
Air Freight & Logistics — 0.4%
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21			678		663,441
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21			715		699,629
Ceva Logisitics U.S. Holdings, Inc., Term Loan, 6.50%, 3/19/21			986		965,006
Ceva Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21			123		120,626
					2,448,702
Airlines — 0.2%
Northwest Airlines, Inc., Term Loan:
	2.18%, 3/10/17		451		436,665
	1.56%, 9/10/18		621		588,911
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19			658		656,566
					1,682,142
Auto Components — 1.2%
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20			801		803,287
Autoparts Holdings Ltd.:
	1st Lien Term Loan, 6.50%, 7/28/17		963		962,696
	2nd Lien Term Loan, 10.50%, 1/29/18		1,500		1,425,000
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19			858		859,995
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19			2,985		2,995,448
Transtar Holding Co., 1st Lien Term Loan, 5.75%, 10/09/18			1,248		1,243,748
					8,290,174

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)			Par (000)		Value
Automobiles — 0.1%
Chrysler Group LLC:
	2018 Term Loan B, 3.25%, 12/31/18	USD	345	$	342,844
	Term Loan B, 3.50%, 5/24/17		650		650,000
					992,844
Beverages — 0.0%
Le-Nature's, Inc., Tranche B Term Loan, 3/01/2011 (a)(j)			1,000		—
Building Products — 0.9%
Continental Building Products LLC, 1st Lien Term Loan, 4.25%, 8/28/20			910		909,860
CPG International, Inc., Term Loan, 4.75%, 9/30/20			1,643		1,642,591
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21			945		935,550
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21			285		283,219
Momentive Performance Materials, Inc., DIP Term Loan B, 4.00%, 4/30/15			375		375,311
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21			125		123,594
United Subcontractors, Inc., Term Loan, 4.24%, 6/30/15			172		162,963
Wilsonart LLC:
	Incremental Term Loan B2, 4.00%, 10/31/19		768		759,918
	Term Loan B, 4.00%, 10/31/19		810		801,151
					5,994,157
Capital Markets — 0.3%
Affinion Group, Inc.:
	2nd Lien Term Loan, 8.50%, 10/12/18		633		634,746
	Term Loan B, 6.75%, 4/30/18		525		526,259
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17			581		580,674
					1,741,679
Chemicals — 1.9%
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19			320		320,458
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19			166		166,270
Axalta Coating Systems US Holdings, Inc., Term Loan, 4.00%, 2/01/20			2,094		2,092,039
Floating Rate Loan Interests (b)			Par (000)		Value
Chemicals (concluded)
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20		USD	45	$	45,403
Chromaflo Technologies Corp.:
	1st Lien Term Loan, 4.50%, 12/02/19		658		657,527
	2nd Lien Term Loan, 8.25%, 5/30/20		560		562,800
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19			771		772,896
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18			663		658,844
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/07/20			665		664,310
Minerals Technology, Inc., Term Loan B, 4.00%, 5/09/21			1,825		1,829,563
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17			1,261		1,257,318
OXEA Finance LLC:
	2nd Lien Term Loan, 8.25%, 7/15/20		705		711,465
	Term Loan B2, 4.25%, 1/15/20		677		676,600
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18			778		781,400
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20			660		656,712
Tronox Pigments (Netherlands) BV, Term Loan, 4.00%, 3/19/20			934		934,272
					12,787,877
Commercial Banks — 0.1%
Redtop Acquisitions Ltd.:
	1st Lien Term Loan, 4.50%, 12/03/20		419		420,521
	2nd Lien Term Loan, 8.25%, 6/03/21		354		362,965
					783,486
Commercial Services & Supplies — 2.2%
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19			1,471		1,461,964
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18			1,219		1,218,723
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20			1,570		1,573,605
Catalent Pharma Solutions, Inc.:
	Term Loan, 6.50%, 12/29/17		370		372,775
	Term Loan B, 4.50%, 9/15/21		1,250		1,254,688

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)			Par (000)		Value
Commercial Services & Supplies (concluded)
Connolly LLC:
	1st Lien Term Loan, 5.00%, 1/29/21	USD	1,175	$	1,184,553
	2nd Lien Term Loan, 8.00%, 4/23/22		1,000		1,008,750
Koosharem LLC, Exit Term Loan, 8.75%, 4/29/20			1,875		1,889,062
Livingston International, Inc.:
	1st Lien Term Loan, 5.00%, 4/16/19		774		774,150
	2nd Lien Term Loan, 9.00%, 4/20/20		352		354,060
Protection One, Inc., Term Loan, 4.25%, 3/21/19			570		569,559
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19			1,782		1,779,276
US Ecology, Inc., Term Loan, 3.75%, 5/15/21			375		376,875
West Corp., Term Loan B10, 3.25%, 6/30/18			982		970,737
					14,788,777
Communications Equipment — 1.5%
Alcatel-Lucent USA, Inc., Term Loan C, 4.50%, 1/30/19			4,246		4,252,113
Applied Systems, Inc.:
	1st Lien Term Loan, 4.25%, 1/25/21		329		329,794
	2nd Lien Term Loan, 7.50%, 1/23/22		265		269,372
Avaya, Inc., Extended Term Loan B3, 4.73%, 10/26/17			763		737,188
CommScope, Inc., Term Loan B3, 2.65% - 2.73%, 1/21/17			435		436,131
Telesat Canada, Term Loan A, 4.37%, 3/24/17		CAD	1,697		1,557,584
Zayo Group LLC, Term Loan B, 4.00%, 7/02/19		USD	2,759		2,753,208
					10,335,390
Construction & Engineering — 0.4%
Centaur Acquisition LLC:
	1st Lien Term Loan, 5.25%, 2/20/19		1,230		1,230,359
	2nd Lien Term Loan, 8.75%, 2/15/20		710		717,100
USIC Holdings, Inc., 1st Lien Term Loan, 4.00%, 7/10/20			471		466,134
					2,413,593

 

Floating Rate Loan Interests (b)				Par (000)		Value
Construction Materials — 0.5%
Filtration Group Corp.:
		1st Lien Term Loan, 4.50%, 11/21/20	USD	504	$	506,674
		2nd Lien Term Loan, 8.25%, 11/21/21		605		615,587
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18				1,873		1,871,828
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19				378		379,677
						3,373,766
Containers & Packaging — 0.3%
Ardagh Holdings USA, Inc.:
		Incremental Term Loan, 4.00%, 12/17/19		385		384,357
		Term Loan B, 4.25%, 12/17/19		489		489,235
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21				998		993,244
						1,866,836
Distributors — 0.4%
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20				2,094		2,085,867
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18				200		200,500
VWR Funding, Inc., Term Loan, 3.40%, 4/03/17				454		454,233
						2,740,600
Diversified Consumer Services — 0.6%
Allied Security Holdings LLC, 1st Lien Term Loan, 4.25%, 2/12/21				517		514,952
Garda World Security Corp.:
		Delayed Draw Term Loan, 4.00%, 11/06/20		76		75,801
		Term Loan B, 4.00%, 11/06/20		298		296,313
ROC Finance LLC, Term Loan, 5.00%, 6/20/19				627		615,880
ServiceMaster Co., Term Loan, 4.25%, 1/31/17				1,035		1,035,075
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20				1,661		1,311,419
						3,849,440
Diversified Financial Services — 0.8%
AssuredPartners Capital, Inc.:
		1st Lien Term Loan, 4.50%, 3/31/21		625		624,738

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)				Par (000)		Value
Diversified Financial Services (concluded)
AssuredPartners Capital, Inc. (concluded):
		2nd Lien Term Loan, 7.75%, 4/04/22	USD	425	$	424,469
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18				1,513		1,513,709
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18				448		448,442
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20				1,122		1,126,396
WMG Acquisition Corp., Term Loan, 3.75%, 7/01/20				1,246		1,224,228
						5,361,982
Diversified Telecommunication Services — 1.6%
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20				2,232		2,241,802
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19				1,729		1,734,384
Integra Telecom, Inc.:
		2nd Lien Term Loan, 9.75%, 2/22/20		1,270		1,292,682
		Term Loan B, 5.25%, 2/22/19		1,163		1,166,786
Level 3 Financing, Inc., 2019 Term Loan B, 4.00%, 1/15/20				3,365		3,370,048
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17				990		991,925
						10,797,627
Electric Utilities — 0.3%
American Energy - Utica LLC, Incremental Term Loan, 11.00%, 9/30/18				965		1,018,075
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20				853		856,649
						1,874,724
Electrical Equipment — 1.0%
Texas Competitive Electric Holdings Co. LLC:
		DIP Term Loan, 3.75%, 5/05/16		426		427,051
		Extended Term Loan, 4.74%, 10/10/17		7,640		6,110,930
						6,537,981
Electronic Equipment, Instruments & Components — 0.1%
CDW LLC, Term Loan, 3.25%, 4/29/20				842		829,931
Floating Rate Loan Interests (b)				Par (000)		Value
Energy Equipment & Services — 0.3%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20			USD	1,102	$	1,102,656
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20				645		646,484
						1,749,140
Food & Staples Retailing — 0.2%
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20				240		244,749
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19				903		902,353
						1,147,102
Food Products — 1.5%
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17				705		703,601
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20				652		650,910
Del Monte Foods, Inc., 1st Lien Term Loan, 4.25%, 2/18/21				643		641,914
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18				1,506		1,504,342
Dole Food Co., Inc., Term Loan B, 4.50% - 5.75%, 11/01/18				1,062		1,062,104
Hearthside Food Solutions LLC, Term Loan, 4.50%, 4/07/21				675		677,248
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19				1,042		1,052,546
Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/20				1,188		1,181,003
Reddy Ice Corp.:
		1st Lien Term Loan, 6.75% - 7.75%, 5/01/19		1,475		1,445,598
		2nd Lien Term Loan, 10.75%, 11/01/19		1,380		1,269,600
						10,188,866
Health Care Equipment & Supplies — 2.3%
Arysta LifeScience Corp.:
		1st Lien Term Loan, 4.50%, 5/29/20		1,474		1,475,085
		2nd Lien Term Loan, 8.25%, 11/30/20		530		535,300
Biomet, Inc., Term Loan B2, 3.65% - 3.73%, 7/25/17				1,236		1,236,947
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18				548		545,814
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17				1,701		1,703,818

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)				Par (000)		Value
Health Care Equipment & Supplies (concluded)
Fresenius SE & Co. KGaA, Incremental Term Loan B, 2.57%, 6/30/19			EUR	608	$	826,332
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19			USD	1,313		1,309,221
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18				635		634,096
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18				503		482,736
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21				1,825		1,835,275
National Vision, Inc.:
		1st Lien Term Loan, 4.00%, 3/12/21		1,255		1,236,943
		2nd Lien Term Loan, 6.75%, 3/07/22		340		338,725
Onex Carestream Finance LP:
		1st Lien Term Loan, 5.00%, 6/07/19		621		622,086
		2nd Lien Term Loan, 9.50%, 12/07/19		720		732,352
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 5/07/21				2,175		2,183,439
						15,698,169
Health Care Providers & Services — 2.0%
American Renal Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/20/19				846		845,392
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18				474		474,593
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21				3,995		4,016,201
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16				1,169		1,170,239
DaVita, Inc., Term Loan B, 4.50%, 10/20/16				1,935		1,934,981
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20				900		902,726
Genesis HealthCare Corp., Term Loan B, 10.00% - 10.75%, 9/25/17				1,027		1,045,216
Ikaria, Inc.:
		1st Lien Term Loan, 5.00%, 2/12/21		540		541,690
		2nd Lien Term Loan, 8.75%, 2/14/22		270		273,599
inVentiv Health, Inc.:
		Combined Term Loan, 7.50%, 8/04/16		300		301,092
Floating Rate Loan Interests (b)				Par (000)		Value
Health Care Providers & Services (concluded)
inVentiv Health, Inc. (concluded):
		Incremental Term Loan B3, 7.75%, 5/15/18	USD	232	$	231,646
MPH Acquisition Holdings LLC, Term Loan, 4.00%, 3/31/21				785		779,894
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/31/21				580		582,175
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18				596		592,522
						13,691,966
Health Care Technology — 0.1%
IMS Health, Inc., Term Loan, 3.50%, 3/17/21				630		625,703
Hotels, Restaurants & Leisure — 5.3%
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20				506		507,082
Belmond Interfin Ltd., Term Loan B, 4.00%, 3/21/21				630		631,184
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20				1,257		1,256,855
Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 3/01/17				3,305		3,269,009
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20				3,912		3,893,448
Caesars Growth Properties Holdings LLC, Term Loan B, 6.25%, 5/08/21				2,350		2,335,618
Diamond Resorts Corp., Term Loan, 5.50%, 4/23/21				1,825		1,836,406
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20				585		592,313
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20				1,919		1,911,283
Intrawest ULC, Term Loan, 5.50%, 11/26/20				613		623,431
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21				5,085		5,086,271
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20				648		647,130
Marina District Finance Co., Inc., Term Loan B, 6.75%, 8/15/18				921		933,313
MGM Resorts International, Term Loan B, 3.50%, 12/20/19				1,072		1,068,656
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20				791		790,356

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)				Par (000)		Value
Hotels, Restaurants & Leisure (concluded)
Playa Resorts Holding BV, Term Loan B, 4.00%, 8/06/19			USD	721	$	722,277
Sabre, Inc.:
		Incremental Term Loan, 4.50%, 2/19/19		398		398,748
		Term Loan B, 4.25%, 2/19/19		563		562,875
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20				3,150		3,153,621
Travelport LLC:
		2nd Lien PIK Term Loan 2, 4.00%, 12/01/16 (f)		1,055		1,063,603
		2nd Lien Term Loan 1, 9.50%, 1/29/16		1,178		1,211,449
		Refinancing Term Loan, 6.25%, 6/26/19		1,573		1,606,211
Twin River Management Group, Inc., Term Loan B, 5.25%, 11/09/18				1,416		1,409,513
						35,510,652
Household Products — 0.3%
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19				1,153		1,149,869
Prestige Brands, Inc., Term Loan, 3.75%, 1/31/19				436		434,155
Spectrum Brands, Inc., Term Loan C, 3.50%, 9/04/19				549		547,600
						2,131,624
Independent Power Producers & Energy Traders — 0.4%
Calpine Corp., Term Loan B1, 4.00%, 4/01/18				1,051		1,052,678
La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20				1,623		1,623,980
						2,676,658
Industrial Conglomerates — 0.3%
Sequa Corp., Term Loan B, 5.25%, 6/19/17				2,355		2,327,820
Insurance — 1.1%
Alliant Holdings I, Inc., Term Loan B, 4.25%, 12/20/19				1,049		1,050,693
Asurion LLC:
		2nd Lien Term Loan, 8.50%, 3/03/21		445		456,681
		Term Loan B1, 5.00%, 5/24/19		1,500		1,504,977
CNO Financial Group, Inc., Term Loan B2, 3.75%, 9/20/18				1,312		1,310,897
Cooper Gay Swett & Crawford Ltd.:
		1st Lien Term Loan, 5.00%, 4/16/20		1,052		1,015,228
Floating Rate Loan Interests (b)				Par (000)		Value
Insurance (concluded)
Cooper Gay Swett & Crawford Ltd. (concluded):
		2nd Lien Term Loan, 8.25%, 10/16/20	USD	500	$	482,500
Sedgwick, Inc.:
		1st Lien Term Loan, 3.75%, 3/01/21		1,105		1,086,127
		2nd Lien Term Loan, 6.75%, 2/28/22		665		661,915
						7,569,018
Internet Software & Services — 0.9%
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/28/21				1,225		1,222,942
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21				1,250		1,254,462
Interactive Data Corp., Term Loan B, 4.75%, 4/30/21				1,450		1,459,976
W3 Co.:
		1st Lien Term Loan, 5.75%, 3/13/20		1,030		1,014,156
		2nd Lien Term Loan, 9.25%, 9/11/20		404		403,988
Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17				475		476,595
						5,832,119
IT Services — 1.7%
Ceridian Corp., Term Loan B, 4.40%, 5/09/17				1,080		1,080,645
First Data Corp.:
		2018 Term Loan, 4.15%, 9/24/18		1,615		1,616,502
		Extended 2018 Term Loan B, 4.15%, 3/24/18		7,044		7,042,935
InfoGroup, Inc., Term Loan, 7.50%, 5/25/18				754		667,893
Sungard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/25/19				800		795,000
SunGard Data Systems, Inc., Term Loan E, 4.00%, 3/08/20				379		379,750
						11,582,725
Leisure Equipment & Products — 0.1%
Bauer Performance Sports Ltd., Term Loan B, 4.50%, 4/15/21				575		575,000
Machinery — 1.4%
Alliance Laundry Systems LLC, Refinancing Term Loan, 4.50%, 12/10/18				1,063		1,062,072

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)				Par (000)		Value
Machinery (concluded)
Faenza Acquisition GmbH:
		Term Loan B1, 4.25%, 8/31/20	USD	458	$	458,129
		Term Loan B3, 4.25%, 8/28/20		139		138,874
Gardner Denver, Inc., Term Loan:
		4.25%, 7/30/20		1,341		1,339,859
		4.75%, 7/30/20	EUR	222		303,919
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18			USD	1,084		1,080,128
Mirror Bidco Corp., Term Loan, 4.25%, 12/28/19				1,427		1,423,406
Navistar International Corp., Term Loan B, 5.75%, 8/17/17				525		533,816
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20				1,320		1,316,050
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19				576		575,193
Terex Corp., Term Loan, 4.00%, 4/28/17			EUR	175		237,068
Wabash National Corp., Term Loan B, 4.50%, 5/08/19			USD	996		993,068
						9,461,582
Media — 5.1%
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20				1,170		1,169,421
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20				465		471,975
Cengage Learning Acquisitions, Inc.:
		1st Lien Term Loan, 7.00%, 3/31/20		2,440		2,470,500
		4.75%, 7/03/14 (j)		2,005		—
Charter Communications Operating LLC, Term Loan E, 3.00%, 7/01/20				1,176		1,159,000
Clear Channel Communications, Inc.:
		Term Loan B, 3.80%, 1/29/16		316		313,109
		Term Loan C, 3.80%, 1/29/16		190		186,730
		Term Loan D, 6.90%, 1/30/19		4,063		4,012,725
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20				1,358		1,360,987
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19				208		200,934
Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20				888		890,508
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19				684		684,498
Floating Rate Loan Interests (b)				Par (000)		Value
Media (concluded)
IMG Worldwide, Inc.:
		1st Lien Term Loan, 5.25%, 5/06/21	USD	995	$	999,229
		2nd Lien Term Loan, 8.25%, 5/01/22		1,065		1,076,321
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19				2,514		2,515,832
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20				395		400,431
Live Nation Entertainment, Inc., Term Loan B1, 3.50%, 8/17/20				562		559,831
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20				696		698,372
Mediacom Communications Corp., Term Loan F, 2.63%, 1/31/18				780		771,872
NEP/NCP Holdco, Inc.:
		2nd Lien Term Loan, 9.50%, 7/22/20		340		349,350
		Incremental Term Loan, 4.25%, 1/22/20		1,663		1,660,289
Numericable U.S. LLC:
		Term Loan B1, 4.50%, 5/21/20		1,106		1,107,620
		Term Loan B2, 4.50%, 5/21/20		957		958,242
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20				997		995,804
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20				1,172		1,171,336
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20				2,430		2,422,697
UPC Financing Partnership, Term Loan AG, 4.02%, 3/31/21			EUR	442		605,809
Virgin Media Investment Holdings Ltd.:
		Term Loan B, 3.50%, 6/05/20	USD	410		406,585
		Term Loan E, 4.25%, 6/05/23	GBP	2,340		3,916,774
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19			USD	732		735,525
						34,272,306
Metals & Mining — 1.2%
Ameriforge Group, Inc.:
		1st Lien Term Loan, 5.00%, 12/19/19		938		939,333
		2nd Lien Term Loan, 8.75%, 12/19/20		470		474,700
FMG Resources August 2006 Property Ltd., Term Loan B, 3.75%, 6/30/19				1,394		1,391,746
Novelis, Inc., Term Loan, 3.75%, 3/10/17				3,841		3,839,644

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)				Par (000)		Value
Metals & Mining (concluded)
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17			USD	1,515	$	1,547,390
						8,192,813
Multiline Retail — 1.3%
99 ¢ Only Stores, Term Loan, 4.50%, 1/11/19				783		786,254
Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20				148		143,992
BJ's Wholesale Club, Inc.:
		1st Lien Term Loan, 4.50%, 9/26/19		588		587,342
		2nd Lien Term Loan, 8.50%, 3/26/20		575		591,531
HEMA Holding BV:
		Extended 2nd Lien Term Loan, 6.01%, 1/05/18	EUR	2,600		3,266,574
		Extended Term Loan B, 4.63%, 12/06/17		323		432,816
		Extended Term Loan C, 4.63%, 12/06/17		295		396,372
Hudson's Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20			USD	948		956,184
The Neiman Marcus Group, Inc., Term Loan, 4.25%, 10/26/20				1,647		1,641,795
						8,802,860
Oil, Gas & Consumable Fuels — 1.6%
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18				1,502		1,477,664
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21				488		488,617
EP Energy LLC, Term Loan B3, 3.50%, 5/24/18				1,127		1,124,560
Fieldwood Energy LLC:
		1st Lien Term Loan, 3.88%, 9/28/18		468		467,361
		2nd Lien Term Loan, 8.38%, 9/30/20		420		431,924
Moxie Patriot LLC, Term Loan B1, 6.75%, 12/18/20				1,645		1,677,900
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15				1,081		1,091,781
Offshore Group Investment Ltd., Term Loan B:
		5.00%, 10/25/17		301		299,344
		5.75%, 3/28/19		535		531,135
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19				900		918,000
Power Buyer LLC:
		1st Lien Term Loan, 4.25%, 5/06/20		269		265,695
Floating Rate Loan Interests (b)				Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Power Buyer LLC (concluded):
		2nd Lien Term Loan, 8.25%, 11/06/20	USD	275	$	272,594
		Delayed Draw Term Loan, 4.25%, 5/06/20		14		14,221
Raven Power Finance LLC, Term Loan, 5.25%, 12/19/20				476		482,850
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20				1,017		1,019,149
WTG Holdings III Corp.:
		1st Lien Term Loan, 4.75%, 1/15/21		299		299,250
		2nd Lien Term Loan, 8.50%, 1/15/22		160		160,400
						11,022,445
Pharmaceuticals — 1.6%
Akorn, Inc., Term Loan B, 4.50%, 4/16/21				885		886,106
Amneal Pharmaceuticals LLC, Term Loan, 5.75% - 7.00%, 11/01/19				607		609,226
Endo Luxembourg Finance Co. I Sarl, Term Loan B, 3.25%, 2/28/21				855		847,878
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.15%, 2/27/21				2,105		2,094,644
JLL/Delta Dutch Newco BV, 2021 Term Loan, 4.25%, 3/11/21				920		909,484
Mallinckrodt International Finance SA, Term Loan B, 3.50%, 3/19/21				795		790,031
Par Pharmaceutical Cos, Inc., Term Loan B2, 4.00%, 9/30/19				1,649		1,641,573
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18				1,395		1,395,895
Valeant Pharmaceuticals International, Inc.:
		Series C2, Term Loan B, 3.75%, 12/11/19		552		549,647
		Series E, Term Loan B, 3.75%, 8/05/20		832		830,339
						10,554,823
Professional Services — 0.6%
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18				610		610,018
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 2/28/22				850		850,000

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)				Par (000)		Value
Professional Services (concluded)
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19			USD	1,059	$	1,077,838
TriNet Group, Inc., Term Loan B2, 5.00%, 8/14/20				602		605,364
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19				1,169		1,156,601
						4,299,821
Real Estate Investment Trusts (REITs) — 0.4%
IStar Financial, Inc., Term Loan, 4.50%, 10/16/17				2,690		2,693,922
Starwood Property Trust, Inc., Term Loan B, 3.50%, 4/17/20				345		342,628
						3,036,550
Real Estate Management & Development — 0.5%
CityCenter Holdings LLC, Term Loan B, 5.00%, 10/16/20				1,032		1,039,082
Realogy Corp.:
		Extended Letter of Credit, 4.40%, 10/10/16		101		101,152
		Term Loan B, 3.75%, 3/05/20		2,106		2,106,241
						3,246,475
Road & Rail — 0.2%
Road Infrastructure Investment LLC:
		1st Lien Term Loan, 4.25%, 3/31/21		1,015		1,009,925
		2nd Lien Term Loan, 7.75%, 9/21/21		675		670,498
						1,680,423
Semiconductors & Semiconductor Equipment — 0.7%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21				3,500		3,508,750
Freescale Semiconductor, Inc.:
		Term Loan B4, 4.25%, 2/28/20		721		721,942
		Term Loan B5, 5.00%, 1/15/21		378		379,594
						4,610,286
Software — 1.6%
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20				843		844,641
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20				462		452,859
GCA Services Group, Inc.:
		2nd Lien Term Loan, 9.25%, 10/22/20		560		562,800
		Term Loan B, 4.25% - 5.50%, 11/01/19		552		551,381
Floating Rate Loan Interests (b)				Par (000)		Value
Software (concluded)
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20			USD	1,135	$	1,126,077
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21				610		580,263
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20				235		237,204
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20				1,837		1,900,815
Mitchell International, Inc.:
		1st Lien Term Loan, 4.50%, 10/12/20		633		635,262
		2nd Lien Term Loan, 8.50%, 10/11/21		1,200		1,224,000
RP Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18				911		908,686
Shield Finance Co. Sarl, Term Loan, 5.00%, 1/27/21				340		341,275
Sophia LP, Term Loan B, 4.00%, 7/19/18				852		852,527
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20				835		838,390
						11,056,180
Specialty Retail — 1.0%
Academy Ltd., Term Loan, 4.50%, 8/03/18				1,720		1,723,037
Burlington Coat Factory Warehouse Corp., Term Loan B2, 4.25%, 2/23/17				191		191,716
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19				522		524,555
Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20				470		469,408
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19				2,443		2,426,939
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17				895		897,047
Toys 'R' Us-Delaware, Inc., Term Loan B3, 5.25%, 5/25/18				242		187,332
						6,420,034
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18				1,250		1,237,005
J. Crew Group, Inc., Term Loan B, 4.00% - 5.25%, 3/05/21				640		635,840
Nine West Holdings, Inc.:
		Guarantee Term Loan, 6.25%, 3/05/19		555		556,388

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)				Par (000)		Value
Textiles, Apparel & Luxury Goods (concluded)
Nine West Holdings, Inc. (concluded):
		Term Loan B, 4.75%, 10/08/19	USD	440	$	441,377
						2,870,610
Thrifts & Mortgage Finance — 0.1%
IG Investment Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19				859		860,199
Wireless Telecommunication Services — 0.2%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20				1,538		1,531,452
Total Floating Rate Loan Interests — 50.0%						337,880,845
Foreign Agency Obligations — 0.5%
Iceland Government International Bond, 5.88%, 5/11/22				3,030		3,318,650
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 2.6%
Adjustable Rate Mortgage Trust, Series 2007-1, Class 3A21, 3.19%, 3/25/37 (b)				19		18,628
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35				5,373		4,672,872
Countrywide Home Loan Mortgage Pass-Through Trust:
		Series 2005-17, Class 1A6, 5.50%, 9/25/35		1,368		1,345,068
		Series 2006-17, Class A2, 6.00%, 12/25/36		3,011		2,730,692
		Series 2007-HY5, Class 3A1, 5.15%, 9/25/37 (b)		1,995		1,865,954
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.73%, 10/25/35 (b)				1,904		1,767,176
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.60%, 11/05/30 (b)(c)				4,162		4,309,335
Morgan Stanley Reremic Trust, Series 2010-R4, Class 4A, REMIC, 0.45%, 2/26/37 (b)(c)				783		778,221
						17,487,946
Non-Agency Mortgage-Backed Securities				Par (000)		Value
Commercial Mortgage-Backed Securities — 7.5%
Banc of America Commercial Mortgage Trust, Series 2007-4, Class A4, 5.95%, 2/10/51 (b)			USD	1,702	$	1,902,386
Commercial Mortgage Pass-Through Certificates, Series 2013-LC13, Class D, 5.05%, 8/10/46 (b)(c)				3,530		3,467,713
Commercial Mortgage Trust, Series 2013-LC6:
		Class B, 3.74%, 1/10/46		1,110		1,116,390
		Class D, 4.29%, 1/10/46 (b)(c)		1,330		1,240,059
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class AM, 5.34%, 12/15/39				1,850		2,013,967
Credit Suisse Mortgage Capital Certificates (b):
		Series 2007-C2, Class A2, 5.45%, 1/15/49		5		4,989
		Series 2007-C4, Class A3, 5.86%, 9/15/39		505		507,420
		Series 2007-C5, Class AAB, 5.62%, 9/15/40		1,315		1,399,150
		Series 2014-SURF, Class E, 3.26%, 2/15/29 (c)		1,000		1,002,099
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class AM, 5.82%, 7/10/38 (b)				1,610		1,749,564
GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (c)				1,995		2,008,317
GS Mortgage Securities Trust, Series 2006-GG6, Class AM, 5.60%, 4/10/38 (b)				3,680		3,937,107
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.08%, 11/15/45 (b)(c)				1,400		1,369,610
JPMorgan Chase Commercial Mortgage Securities Corp.:
		Series 2004-LN2, Class A2, 5.12%, 7/15/41		908		908,210
		Series 2007-CB18, Class A4, 5.44%, 6/12/47		2,110		2,310,562
		Series 2007-CB19, Class A4, 5.70%, 2/12/49 (b)		2,140		2,370,078
		Series 2012-LC9, Class XA, 1.94%, 12/15/47 (b)		14,845		1,516,686
LB-UBS Commercial Mortgage Trust (b):
		Series 2007-C2, Class AM, 5.49%, 2/15/40		2,500		2,681,165

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Non-Agency Mortgage-Backed Securities				Par (000)		Value
Commercial Mortgage-Backed Securities (concluded)
LB-UBS Commercial Mortgage Trust (b) (concluded):
		Series 2007-C6, Class A4, 5.86%, 7/15/40	USD	4,567	$	4,896,435
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A, 5.83%, 6/12/50 (b)				1,548		1,669,294
Talisman Finance PLC, Series 6, Class A, 0.51%, 10/22/16 (b)			EUR	1,766		2,346,478
Titan Europe PLC, Series 2007-1X, Class A, 0.78%, 1/20/17 (b)			GBP	2,548		4,068,416
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 5.94%, 2/15/51 (b)			USD	2,030		2,229,823
WF-RBS Commercial Mortgage Trust:
		Series 2012-C8, Class B, 4.31%, 8/15/45		1,085		1,143,321
		Series 2012-C8, Class C, 4.88%, 8/15/45 (b)		1,395		1,491,480
		Series 2014-C20, Class XA, 1.42%, 5/15/47 (b)		15,000		1,213,530
Windermere XI Cmbs PLC, Series XI-X, Class A, 0.77%, 4/24/17 (b)			GBP	49		82,544
						50,646,793
Interest Only Commercial Mortgage-Backed Securities — 0.3%
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA, 2.24%, 11/15/45 (b)(c)			USD	16,630		2,016,167
Total Non-Agency Mortgage-Backed Securities — 10.4%						70,150,906
U.S. Government Sponsored Agency Securities
Collateralized Mortgage Obligations — 1.0%
Freddie Mac Mortgage-Backed Securities:
		Series 3986, Class M, REMIC, 4.50%, 9/15/41		2,531		2,735,595
		Series K032, Class A2, 3.31%, 5/25/23 (b)		3,500		3,630,333
						6,365,928
Interest Only Collateralized Mortgage Obligations — 0.9%
Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 4.23%, 12/25/17 (b)				19,783		2,322,744
U.S. Government Sponsored Agency Securities				Par (000)		Value
Interest Only Collateralized Mortgage Obligations (concluded)
Freddie Mac Mortgage-Backed Securities, Class X1 (b):
		Series K707, 1.55%, 12/25/18	USD	42,772	$	2,635,231
		Series K710, 1.78%, 5/25/19		13,303		1,000,406
						5,958,381
Mortgage-Backed Securities — 3.7%
Fannie Mae Mortgage-Backed Securities:
		3.50%, 8/01/26		8,016		8,497,869
		5.00%, 7/01/20 - 8/01/23		6,120		6,545,421
Freddie Mac Mortgage-Backed Securities, 4.50%, 4/01/25				9,400		10,178,542
						25,221,832
Total U.S. Government Sponsored Agency Securities — 5.6%						37,546,141
Other Interests (k)				Beneficial Interest (000)
Auto Components — 0.0%
Lear Corp. Escrow				1,000			8,750
Construction Materials — 0.0%
USI Senior Holdings				6			—
Diversified Financial Services — 0.1%
J.G. Wentworth LLC Preferred Equity Interests (a)(l):
		(Acquired 11/18/13, cost $969,588)		14		151,447
		(Acquired 11/18/13, cost $969,588)		14		151,447
						302,894
Household Durables — 0.0%
Berkline Benchcraft Equity LLC				3			—
Total Other Interests — 0.1%						311,644
Preferred Securities
Capital Trusts				Par (000)
Capital Markets — 0.3%
The Goldman Sachs Group, Inc., Series L, 5.70% (b)(e)(m)				1,920		2,016,000

 

Consolidated Schedule of Investments (continued)	BlackRock Limited Duration Income Trust (BLW)
	(Percentages shown are based on Net Assets)

 

Capital Trusts				Par (000)		Value
Commercial Banks — 0.5%
Wachovia Capital Trust III, 5.57% (b)(e)(m)			USD	3,365	$	3,280,875
Diversified Financial Services — 1.7%
Bank of America Corp., Series U, 5.20% (b)(e)(m)				1,250		1,209,376
Barclays PLC, 8.00% (b)(m)				600		885,254
Citigroup, Inc., 5.95% (b)(e)(m)				1,370		1,380,275
JPMorgan Chase & Co., Series U, 6.13% (b)(e)(m)				6,690		6,740,175
Morgan Stanley, Series H, 5.45% (b)(e)(m)				1,426		1,475,910
						11,690,990
Insurance — 3.4%
The Allstate Corp., 6.13%, 5/15/67 (b)(e)				3,000		3,202,500
AXA SA, 6.46% (b)(c)(e)(m)				1,625		1,748,500
Genworth Holdings, Inc., 6.15%, 11/15/66 (b)(e)				1,850		1,743,625
ING US, Inc., 5.65%, 5/15/53 (b)				3,500		3,548,125
Liberty Mutual Group, Inc. (c):
		7.00%, 3/07/67 (b)(e)		1,575		1,669,500
		7.80%, 3/07/87		1,500		1,770,000
Hartford Financial Services Group, Inc., 8.13%, 6/15/68 (b)(e)				2,500		2,959,375
Prudential Financial, Inc., 5.63%, 6/15/43 (b)(e)				3,250		3,420,625
Swiss Re Capital I LP, 6.85% (b)(c)(e)(m)				3,000		3,210,000
						23,272,250
Total Capital Trusts — 5.9%						40,260,115
Preferred Stocks				Shares
Capital Markets — 0.1%
SCE Trust III, 5.75% (b)				21,200		570,916
Diversified Financial Services — 0.0%
Ally Financial, Inc., Series A, 8.50% (b)				8,657		239,453
Total Preferred Stocks — 0.1%						810,369
Trust Preferreds — 0.5%
Diversified Financial Services — 0.5%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)				124,413		3,362,147
						Value
Total Preferred Securities — 6.5%					$	44,432,631
Warrants (n) — 0.0%				Shares
Software — 0.0%
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)				3,100			12,798
Total Long-Term Investments (Cost — $915,058,971) — 138.6%						936,338,539
Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (o)(p)				1,821,902		1,821,902
Total Short-Term Securities (Cost — $1,821,902) — 0.3%						1,821,902
Options Purchased
(Cost — $246,671) — 0.0%						128,350
Total Investments Before Options Written (Cost — $917,127,544*) — 138.9%						938,288,791
Options Written
(Premiums Received — $187,000) — (0.0)%					$	(227,134		)
Total Investments, Net of Options Written — 138.9%						938,061,657
Liabilities in Excess of Other Assets — (38.9)%						(262,492,680		)
Net Assets — 100.0%					$	675,568,977
*	As of May 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:
Tax cost					$	919,018,204
Gross unrealized appreciation					$	36,671,232
Gross unrealized depreciation						(17,400,645		)
Net unrealized appreciation					$	19,270,587

 

Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

Notes to Consolidated 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)	When-issued security. Unsettled when-issued transactions were as follows:

 

		Counterparty											Value			Unrealized Appreciation
		Barclays Capital, Inc.										$		314,006	$		3,006
		Citigroup Global Markets, Inc.										$		2,037,849			—
		Credit Suisse Securities (USA) LLC										$		1,041,751	$		19,387
		Deutsche Bank Securities, Inc.										$		661,550	$		8,188
		Morgan Stanley & Co. LLC										$		1,435,825	$		15,825
		Wells Fargo Securities, LLC										$		209,605	$		3,605

 

(e)	All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(f)	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.
(g)	Convertible security.
(h)	Zero-coupon bond.
(i)	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.
(j)	Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(k)	Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(l)	Restricted security as to resale. As of report date, the Trust held 0.1% of its net assets, with a current value of $298,347 in this security.
(m)	Security is perpetual in nature and has no stated maturity date.
(n)	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, if any.
(o)	Investments in issuers considered to be an affiliate of the Trust during the period ended May 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

	Affiliate						Shares Held at August 31, 2013								Net Activity			Shares Held at May 31, 2014		Income
	BlackRock Liquidity Funds, TempFund, Institutional Class						1,184,093							637,809				1,821,902		$2,216

 

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

 

Portfolio Abbreviations
ABS	Asset-Backed Security
CAD	Canadian Dollar
CLO	Collateralized Loan Obligation
DIP	Debtor-In-Possession
EUR	Euro
GBP	British Pound
LIBOR	London Interbank Offered Rate
OTC	Over-the-Counter
PIK	Payment-In-Kind
REMIC	Real Estate Mortgage Investment Conduit

Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

SGD	Singapore Dollar
USD	U.S. Dollar

 

•

Reverse repurchase agreements outstanding as of May 31, 2014 were as follows:

 

Counterparty	Interest Rate	Trade Date	Maturity Date1		Face Value		Face Value Including Accrued Interest
Credit Suisse Securities (USA) LLC	0.40%	3/07/13	Open	$	1,503,125	$	1,510,657
Credit Suisse Securities (USA) LLC	0.35%	3/22/13	Open		1,496,075		1,502,431
Credit Suisse Securities (USA) LLC	0.35%	4/03/13	Open		243,800		244,805
Credit Suisse Securities (USA) LLC	0.35%	4/03/13	Open		5,701,069		5,724,570
Credit Suisse Securities (USA) LLC	0.35%	4/03/13	Open		1,233,600		1,238,685
Credit Suisse Securities (USA) LLC	0.35%	4/03/13	Open		1,277,250		1,282,515
Credit Suisse Securities (USA) LLC	0.35%	4/03/13	Open		2,861,250		2,873,045
Credit Suisse Securities (USA) LLC	0.35%	4/03/13	Open		3,119,100		3,131,958
Credit Suisse Securities (USA) LLC	0.35%	4/03/13	Open		2,958,750		2,970,947
Credit Suisse Securities (USA) LLC	0.35%	4/03/13	Open		3,213,750		3,226,998
Credit Suisse Securities (USA) LLC	0.35%	4/03/13	Open		3,695,000		3,710,232
Credit Suisse Securities (USA) LLC	0.40%	5/30/13	Open		720,960		723,908
Barclays Capital, Inc.	0.44%	6/21/13	Open		1,109,299		1,113,990
Barclays Capital, Inc.	0.60%	6/24/13	Open		1,731,221		1,741,118
Barclays Capital, Inc.	0.60%	6/24/13	Open		488,876		491,671
BNP Paribas Securities Corp.	0.34%	9/18/13	Open		13,065,000		13,096,712
Barclays Capital, Inc.	0.60%	9/27/13	Open		1,189,125		1,194,040
Barclays Capital, Inc.	0.60%	10/15/13	Open		893,525		896,950
Barclays Capital, Inc.	0.60%	10/15/13	Open		919,755		923,281
Barclays Capital, Inc.	0.60%	10/16/13	Open		803,937		807,006
Barclays Capital, Inc.	0.60%	10/17/13	Open		728,012		730,779
Barclays Capital, Inc.	0.60%	10/17/13	Open		682,594		685,188
Barclays Capital, Inc.	0.60%	10/17/13	Open		875,600		878,927
Barclays Capital, Inc.	0.60%	10/17/13	Open		1,215,287		1,219,906
Barclays Capital, Inc.	0.60%	10/21/13	Open		676,000		678,512
Barclays Capital, Inc.	0.60%	10/22/13	Open		845,434		848,576
Barclays Capital, Inc.	0.60%	10/22/13	Open		1,023,231		1,027,034
Barclays Capital, Inc.	0.60%	10/22/13	Open		788,400		791,330
Barclays Capital, Inc.	0.60%	11/15/13	Open		2,067,975		2,074,834
Barclays Capital, Inc.	0.60%	11/15/13	Open		1,356,787		1,361,288
Barclays Capital, Inc.	0.60%	11/15/13	Open		1,291,249		1,295,531
Barclays Capital, Inc.	0.60%	11/15/13	Open		1,283,400		1,287,657
Barclays Capital, Inc.	0.55%	11/18/13	Open		1,313,488		1,317,421
Deutsche Bank Securities, Inc.	0.60%	11/27/13	Open		1,227,000		1,230,783
Deutsche Bank Securities, Inc.	0.60%	11/27/13	Open		1,538,000		1,542,742
Deutsche Bank Securities, Inc.	0.60%	11/27/13	Open		2,602,000		2,610,023
Deutsche Bank Securities, Inc.	0.60%	11/27/13	Open		834,000		836,571
Deutsche Bank Securities, Inc.	0.60%	12/12/13	Open		723,000		725,073
Deutsche Bank Securities, Inc.	0.60%	12/12/13	Open		564,000		565,617
Deutsche Bank Securities, Inc.	0.60%	12/12/13	Open		549,000		550,574
Deutsche Bank Securities, Inc.	0.60%	12/12/13	Open		727,000		729,084
Deutsche Bank Securities, Inc.	0.60%	12/12/13	Open		1,323,000		1,326,793
Deutsche Bank Securities, Inc.	0.59%	12/16/13	Open		412,000		413,134
Deutsche Bank Securities, Inc.	0.58%	12/18/13	Open		996,000		998,648
Deutsche Bank Securities, Inc.	0.60%	12/18/13	Open		1,030,000		1,032,832
Deutsche Bank Securities, Inc.	0.60%	12/18/13	Open		865,000		867,379
Deutsche Bank Securities, Inc.	0.60%	12/18/13	Open		1,222,000		1,225,360
Deutsche Bank Securities, Inc.	0.50%	12/27/13	Open		1,416,000		1,419,029

 

Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

•

Reverse repurchase agreements outstanding as of May 31, 2014 were as follows (continued):

 

Counterparty	Interest Rate	Trade Date	Maturity Date1		Face Value		Face Value Including Accrued Interest
Deutsche Bank Securities, Inc.	0.55%	12/27/13	Open	$	973,000	$	975,289
Deutsche Bank Securities, Inc.	0.55%	12/27/13	Open		296,000		296,696
Deutsche Bank Securities, Inc.	0.58%	12/27/13	Open		300,000		300,744
Deutsche Bank Securities, Inc.	0.58%	12/27/13	Open		1,450,000		1,453,598
Deutsche Bank Securities, Inc.	0.58%	12/27/13	Open		593,000		594,471
Deutsche Bank Securities, Inc.	0.58%	12/27/13	Open		945,000		947,345
Deutsche Bank Securities, Inc.	0.58%	12/27/13	Open		357,000		357,886
Deutsche Bank Securities, Inc.	0.58%	12/27/13	Open		1,228,000		1,231,047
Deutsche Bank Securities, Inc.	0.60%	12/27/13	Open		1,898,000		1,902,872
Deutsche Bank Securities, Inc.	0.60%	12/27/13	Open		820,000		822,105
Deutsche Bank Securities, Inc.	0.58%	2/03/14	Open		2,254,981		2,259,304
HSBC Securities (USA), Inc.	0.55%	2/26/14	Open		2,515,741		2,519,430
Barclays Capital, Inc.	0.35%	2/28/14	Open		3,109,000		3,111,841
Barclays Capital, Inc.	0.35%	2/28/14	Open		3,202,000		3,204,926
Barclays Capital, Inc.	0.35%	2/28/14	Open		1,929,000		1,930,763
Barclays Capital, Inc.	0.60%	2/28/14	Open		935,000		936,465
Deutsche Bank Securities, Inc.	0.55%	2/28/14	Open		1,894,000		1,896,720
Deutsche Bank Securities, Inc.	0.55%	2/28/14	Open		474,000		474,681
Deutsche Bank Securities, Inc.	0.55%	2/28/14	Open		2,862,000		2,866,110
Deutsche Bank Securities, Inc.	0.55%	2/28/14	Open		1,073,000		1,074,541
Deutsche Bank Securities, Inc.	0.55%	3/10/14	Open		349,000		349,448
HSBC Securities (USA), Inc.	0.38%	3/10/14	Open		6,339,571		6,345,193
Barclays Capital, Inc.	0.60%	3/11/14	Open		629,879		630,751
Deutsche Bank Securities, Inc.	0.60%	3/20/14	Open		686,000		686,846
Deutsche Bank Securities, Inc.	(0.25%)	4/16/14	Open		700,000		699,776
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		500,000		500,351
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		1,500,000		1,501,054
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		1,000,000		1,000,703
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		800,000		800,562
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		2,100,000		2,101,476
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		900,000		900,632
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		500,000		500,351
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		500,000		500,351
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		1,300,000		1,300,914
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		900,000		900,632
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		2,000,000		2,001,406
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		1,200,000		1,200,843
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		500,000		500,351
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		600,000		600,422
Deutsche Bank Securities, Inc.	0.55%	4/16/14	Open		100,000		100,070
Deutsche Bank Securities, Inc.	0.58%	4/16/14	Open		1,200,000		1,200,889
Deutsche Bank Securities, Inc.	0.58%	4/16/14	Open		500,000		500,371
Deutsche Bank Securities, Inc.	0.58%	4/16/14	Open		1,600,000		1,601,186
Deutsche Bank Securities, Inc.	0.58%	4/16/14	Open		2,400,000		2,401,779
Deutsche Bank Securities, Inc.	0.58%	4/16/14	Open		1,500,000		1,501,112
Deutsche Bank Securities, Inc.	0.60%	4/16/14	Open		1,500,000		1,501,150
Deutsche Bank Securities, Inc.	0.60%	4/16/14	Open		500,000		500,383
Deutsche Bank Securities, Inc.	0.60%	4/16/14	Open		900,000		900,690
Deutsche Bank Securities, Inc.	0.60%	4/16/14	Open		600,000		600,460
Barclays Capital, Inc.	0.60%	4/17/14	Open		611,000		611,428

 

Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

•

Reverse repurchase agreements outstanding as of May 31, 2014 were as follows (continued):

 

Counterparty	Interest Rate	Trade Date	Maturity Date1		Face Value		Face Value Including Accrued Interest
Barclays Capital, Inc.	0.60%	4/17/14	Open	$	1,633,000	$	1,634,143
Barclays Capital, Inc.	0.60%	4/17/14	Open		286,000		286,200
Barclays Capital, Inc.	0.60%	4/17/14	Open		278,000		278,195
Barclays Capital, Inc.	0.60%	4/17/14	Open		960,000		960,672
Barclays Capital, Inc.	0.60%	4/17/14	Open		502,000		502,351
Deutsche Bank Securities, Inc.	0.55%	4/21/14	Open		899,000		899,564
Deutsche Bank Securities, Inc.	0.55%	4/21/14	Open		593,000		593,372
Deutsche Bank Securities, Inc.	0.55%	4/21/14	Open		768,000		768,482
Deutsche Bank Securities, Inc.	0.55%	4/21/14	Open		2,075,000		2,076,303
Deutsche Bank Securities, Inc.	0.55%	4/21/14	Open		848,000		848,532
Deutsche Bank Securities, Inc.	0.55%	4/21/14	Open		945,000		945,593
Deutsche Bank Securities, Inc.	0.55%	4/21/14	Open		1,498,000		1,498,941
Deutsche Bank Securities, Inc.	0.55%	4/21/14	Open		1,014,000		1,014,637
Deutsche Bank Securities, Inc.	0.55%	4/21/14	Open		1,539,000		1,539,966
Deutsche Bank Securities, Inc.	0.58%	4/21/14	Open		3,185,000		3,187,109
Deutsche Bank Securities, Inc.	0.58%	4/21/14	Open		1,244,000		1,244,824
Deutsche Bank Securities, Inc.	0.58%	4/21/14	Open		805,000		805,533
Deutsche Bank Securities, Inc.	0.58%	4/21/14	Open		142,000		142,094
Deutsche Bank Securities, Inc.	0.58%	4/21/14	Open		705,000		705,467
Deutsche Bank Securities, Inc.	0.58%	4/21/14	Open		715,000		715,473
Deutsche Bank Securities, Inc.	0.58%	4/21/14	Open		354,000		354,234
Deutsche Bank Securities, Inc.	0.58%	4/21/14	Open		467,000		467,309
Deutsche Bank Securities, Inc.	0.58%	4/21/14	Open		1,039,000		1,039,688
Deutsche Bank Securities, Inc.	0.58%	4/21/14	Open		1,180,000		1,180,781
Deutsche Bank Securities, Inc.	0.58%	4/21/14	Open		313,000		313,207
Deutsche Bank Securities, Inc.	0.58%	4/21/14	Open		200,000		200,132
Deutsche Bank Securities, Inc.	0.58%	4/21/14	Open		3,194,000		3,196,115
Deutsche Bank Securities, Inc.	0.58%	4/29/14	Open		516,000		516,283
HSBC Securities (USA), Inc.	0.55%	5/09/14	Open		1,125,644		1,126,056
UBS Securities LLC	1.00%	5/09/14	Open		879,513		878,926
Deutsche Bank Securities, Inc.	0.55%	5/13/14	Open		2,377,000		2,377,690
Deutsche Bank Securities, Inc.	0.55%	5/13/14	Open		412,000		412,120
Deutsche Bank Securities, Inc.	0.56%	5/13/14	Open		1,018,000		1,018,301
Deutsche Bank Securities, Inc.	0.58%	5/13/14	Open		580,000		580,178
Deutsche Bank Securities, Inc.	0.58%	5/13/14	Open		1,523,000		1,523,466
Deutsche Bank Securities, Inc.	0.58%	5/13/14	Open		1,460,000		1,460,447
Deutsche Bank Securities, Inc.	0.58%	5/13/14	Open		2,194,000		2,194,672
Deutsche Bank Securities, Inc.	0.58%	5/13/14	Open		1,370,000		1,370,419
Deutsche Bank Securities, Inc.	0.58%	5/13/14	Open		166,000		166,051
Deutsche Bank Securities, Inc.	0.58%	5/13/14	Open		2,227,000		2,227,682
Deutsche Bank Securities, Inc.	0.58%	5/13/14	Open		1,573,000		1,573,482
Deutsche Bank Securities, Inc.	0.58%	5/13/14	Open		804,000		804,246
Deutsche Bank Securities, Inc.	0.58%	5/13/14	Open		973,000		973,298
Deutsche Bank Securities, Inc.	0.58%	5/13/14	Open		1,178,000		1,178,361
Deutsche Bank Securities, Inc.	0.58%	5/13/14	Open		627,000		627,192
Deutsche Bank Securities, Inc.	0.59%	5/13/14	Open		841,000		841,262
Deutsche Bank Securities, Inc.	0.59%	5/13/14	Open		392,000		392,122
Deutsche Bank Securities, Inc.	0.59%	5/13/14	Open		810,000		810,252
Deutsche Bank Securities, Inc.	0.59%	5/13/14	Open		827,000		827,258
Deutsche Bank Securities, Inc.	0.60%	5/13/14	Open		933,000		933,295

 

Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

•

Reverse repurchase agreements outstanding as of May 31, 2014 were as follows (concluded):

 

Counterparty		Interest Rate	Trade Date	Maturity Date1		Face Value		Face Value Including Accrued Interest
Deutsche Bank Securities, Inc.		0.60%	5/13/14	Open	$	2,291,000	$	2,291,725
Deutsche Bank Securities, Inc.		0.60%	5/13/14	Open		2,946,000		2,946,933
Deutsche Bank Securities, Inc.		0.60%	5/13/14	Open		1,049,000		1,049,332
UBS Securities LLC		0.34%	5/13/14	Open		3,277,000		3,277,588
UBS Securities LLC		0.35%	5/13/14	Open		1,693,000		1,693,313
UBS Securities LLC		0.45%	5/13/14	Open		811,000		811,193
UBS Securities LLC		(0.50%)	5/13/14	Open		980,000		979,741
UBS Securities LLC		0.55%	5/13/14	Open		2,171,000		2,171,630
UBS Securities LLC		0.55%	5/13/14	Open		2,326,000		2,326,675
UBS Securities LLC		0.55%	5/13/14	Open		371,000		371,108
UBS Securities LLC		0.55%	5/13/14	Open		788,000		788,229
UBS Securities LLC		0.60%	5/13/14	Open		2,880,000		2,880,912
UBS Securities LLC		0.65%	5/13/14	Open		574,000		574,197
BNP Paribas Securities Corp.		0.12%	5/14/14	6/07/14		24,401,000		24,403,189
Barclays Capital, Inc.		0.40%	5/14/14	Open		3,311,000		3,311,662
Barclays Capital, Inc.		0.60%	5/14/14	Open		317,000		317,054
Barclays Capital, Inc.		(3.00%)	5/20/14	Open		280,500		280,219
Deutsche Bank Securities, Inc.		0.40%	5/23/14	Open		3,352,000		3,352,372
Deutsche Bank Securities, Inc.		0.55%	5/23/14	Open		1,291,000		1,291,197
Deutsche Bank Securities, Inc.		0.60%	5/27/14	Open		700,000		700,070
Barclays Capital, Inc.		0.60%	5/28/14	Open		2,594,000		2,594,216
Barclays Capital, Inc.		0.60%	5/28/14	Open		1,699,000		1,699,142
Barclays Capital, Inc.		0.60%	5/28/14	Open		1,244,000		1,244,104
RBC Capital Markets LLC		0.65%	5/30/14	Open		919,220		919,220
RBC Capital Markets LLC		0.65%	5/30/14	Open		362,520		362,540
Total					$	256,739,493	$	257,124,095
1 Certain agreements have no stated maturity and can be terminated by either party at any time.

 

•	Financial futures contracts outstanding as of May 31, 2014 were as follows:

 

Contracts Purchased/ (Sold)		Issue	Exchange			Expiration		Notional Value					Unrealized Appreciation (Depreciation)
220		2-Year U.S. Treasury Note	Chicago Board of Trade			September 2014		$	48,348,438			$	14,360
(256)		5-Year U.S. Treasury Note	Chicago Board of Trade			September 2014		$	30,658,000				(13,727	)
(115)		10-Year U.S. Treasury Note	Chicago Board of Trade			September 2014		$	14,434,297				15,150
(7)		Ultra Long U.S. Treasury Bond	Chicago Board of Trade			September 2014		$	1,051,969				(6,606	)
Total												$	9,177

Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

•

Forward foreign currency exchange contracts outstanding as of May 31, 2014 were as follows:

 

Currency Purchased			Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	2,500,000		USD	3,465,890	BNP Paribas S.A.	7/23/14	$	(58,153	)
GBP	2,000,000		USD	3,358,972	Bank of America N.A.	7/23/14		(7,860	)
USD	1,551,502		CAD	1,707,000	Deutsche Bank AG	7/23/14		(20,860	)
USD	32,225,347		EUR	23,316,000	Barclays Bank PLC	7/23/14		443,424
USD	423,608		EUR	308,000	Barclays Bank PLC	7/23/14		3,775
USD	826,007		EUR	600,000	BNP Paribas S.A.	7/23/14		8,150
USD	274,623		EUR	202,000	Deutsche Bank AG	7/23/14		(722	)
USD	138,120		EUR	100,000	Goldman Sachs Bank USA	7/23/14		1,811
USD	137,711		EUR	101,000	The Toronto-Dominion Bank	7/23/14		38
USD	48,264,232		GBP	28,729,000	Barclays Bank PLC	7/23/14		127,180
USD	678,364		GBP	400,000	Barclays Bank PLC	7/23/14		8,142
USD	80,832		GBP	48,000	Goldman Sachs Bank USA	7/23/14		406
Total							$	505,331

 

•

OTC options purchased as of May 31, 2014 were as follows:

 

Description	Counterparty	Put/ Call	Strike Price	Expiration Date	Contracts	Market Value
Marsico Parent Superholdco LLC	Goldman Sachs & Co.	Call	USD       942.86	12/14/19	46	—

 

•

OTC interest rate swaptions purchased as of May 31, 2014 were as follows:

 

Description	Counterparty	Put/ Call	Exercise  Rate	Pay/Receive Exercise Rate	Floating Rate Index	Expiration Date	Notional Amount (000)		Market Value
10-Year Interest Rate Swap	Credit Suisse Securities (USA) LLC	Call	2.40%	Receive	3-month LIBOR	9/02/14	$	18,700	$	70,778
10-Year Interest Rate Swap	Credit Suisse Securities (USA) LLC	Put	3.45%	Pay	3-month LIBOR	9/02/14	$	112,200		57,572
Total									$	128,350

 

•

OTC interest rate swaptions written as of May 31, 2014 were as follows:

 

Description	Counterparty	Put/ Call	Exercise  Rate	Pay/Receive Exercise Rate	Floating Rate Index	Expiration Date	Notional Amount (000)		Market Value
10-Year Interest Rate Swap	Credit Suisse Securities (USA) LLC	Call	2.60%	Pay	3-month LIBOR	9/02/14	USD	18,700	$	(184,387)
10-Year Interest Rate Swap	Credit Suisse Securities (USA) LLC	Put	3.10%	Receive	3-month LIBOR	9/02/14	USD	18,700		(42,747)
Total									$	(227,134)

 

Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

•

OTC credit default swaps – buy protection outstanding as of May 31, 2014 were as follows:

 

Issuer		Pay Fixed Rate		Counterparty		Expiration Date		Notional Amount (000)		Market  Value		Premiums  Paid		Unrealized  Depreciation
Australia & New Zealand Banking Group Ltd.		1.00%		Deutsche Bank AG		9/20/17		USD	1	$	(11)	$	10	$	(21)
Westpac Banking Corp.		1.00%		Deutsche Bank AG		9/20/17		USD	1		(11)		11		(22)
Total										$	(22)	$	21	$	(43)

 

•

OTC credit default swaps – sold protection outstanding as of May 31, 2014 were as follows:

 

Issuer		Receive Fixed Rate		Counterparty		Expiration Date		Credit Rating1		Notional Amount (000)2		Market     Value		Premiums    Received		Unrealized Depreciation
Caesars Entertainment Operating Co., Inc.		5.00%		Barclays Bank PLC		9/20/15		C		USD	470	$	(102,110)	$	(70,319)	$	(31,791)
Caesars Entertainment Operating Co., Inc.		5.00%		Citibank N.A.		12/20/15		C		USD	357		(89,652)		(62,026)		(27,626)
Caesars Entertainment Operating Co., Inc.		5.00%		Citibank N.A.		12/20/15		C		USD	172		(43,160)		(26,759)		(16,401)
Caesars Entertainment Operating Co., Inc.		5.00%		Goldman Sachs Bank USA		12/20/15		C		USD	382		(95,976)		(36,884)		(59,092)
Caesars Entertainment Operating Co., Inc.		5.00%		JPMorgan Chase Bank N.A.		12/20/15		C		USD	626		(156,980)		(121,702)		(35,278)
Caesars Entertainment Operating Co., Inc.		5.00%		JPMorgan Chase Bank N.A.		12/20/15		C		USD	145		(36,374)		(24,445)		(11,929)
Caesars Entertainment Operating Co., Inc.		5.00%		UBS AG		12/20/15		C		USD	840		(210,782)		(122,818)		(87,964)
Caesars Entertainment Operating Co., Inc.		5.00%		Barclays Bank PLC		3/20/16		C		USD	75		(21,279)		(11,244)		(10,035)
Caesars Entertainment Operating Co., Inc.		5.00%		Barclays Bank PLC		3/20/16		C		USD	72		(20,569)		(9,649)		(10,920)

 

Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

•

OTC credit default swaps – sold protection outstanding as of May 31, 2014 were as follows (continued):

 

Issuer		Receive Fixed Rate		Counterparty		Expiration Date		Credit Rating1		Notional Amount (000)2		Market     Value		Premiums   Received		Unrealized   Depreciation
Caesars Entertainment Operating Co., Inc.		5.00%		Citibank N.A.		3/20/16		C		USD	79	$	(22,376)	$	(10,725)	$	(11,651)
Caesars Entertainment Operating Co., Inc.		5.00%		Citibank N.A.		3/20/16		C		USD	135		(38,372)		(16,948)		(21,424)
Caesars Entertainment Operating Co., Inc.		5.00%		Goldman Sachs Bank USA		3/20/16		C		USD	247		(70,390)		(41,830)		(28,560)
Caesars Entertainment Operating Co., Inc.		5.00%		Goldman Sachs Bank USA		3/20/16		C		USD	247		(70,390)		(41,830)		(28,560)
Caesars Entertainment Operating Co., Inc.		5.00%		Goldman Sachs Bank USA		3/20/16		C		USD	739		(210,731)		(119,359)		(91,372)
Caesars Entertainment Operating Co., Inc.		5.00%		Goldman Sachs Bank USA		3/20/16		C		USD	165		(47,117)		(25,375)		(21,742)
Caesars Entertainment Operating Co., Inc.		5.00%		Goldman Sachs Bank USA		3/20/16		C		USD	634		(180,695)		(78,585)		(102,110)
Caesars Entertainment Operating Co., Inc.		5.00%		JPMorgan Chase Bank N.A.		3/20/16		C		USD	82		(23,427)		(11,914)		(11,513)
Caesars Entertainment Operating Co., Inc.		5.00%		Barclays Bank PLC		6/20/16		C		USD	440		(140,800)		(62,131)		(78,669)
Caesars Entertainment Operating Co., Inc.		5.00%		Goldman Sachs Bank USA		6/20/16		C		USD	499		(159,775)		(91,873)		(67,902)
Caesars Entertainment Operating Co., Inc.		5.00%		Goldman Sachs Bank USA		6/20/16		C		USD	970		(310,399)		(172,853)		(137,546)
Caesars Entertainment Operating Co., Inc.		5.00%		JPMorgan Chase Bank N.A.		6/20/16		C		USD	412		(131,723)		(61,363)		(70,360)

 

Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

•

OTC credit default swaps – sold protection outstanding as of May 31, 2014 were as follows (concluded):

 

Issuer		Receive Fixed Rate		Counterparty		Expiration Date		Credit Rating1		Notional Amount (000)2		Market     Value		Premiums   Received		Unrealized   Depreciation
Caesars Entertainment Operating Co., Inc.		5.00%		Citibank N.A.		9/20/16		C		USD	330	$	(117,486)	$	(85,696)	$	(31,790)
Caesars Entertainment Operating Co., Inc.		5.00%		Goldman Sachs Bank USA		9/20/16		C		USD	1,710		(608,642)		(294,660)		(313,982)
Caesars Entertainment Operating Co., Inc.		5.00%		Barclays Bank PLC		3/20/17		C		USD	72		(30,921)		(16,528)		(14,393)
Caesars Entertainment Operating Co., Inc.		5.00%		Goldman Sachs Bank USA		3/20/17		C		USD	453		(193,889)		(98,894)		(94,995)
Caesars Entertainment Operating Co., Inc.		5.00%		Goldman Sachs Bank USA		3/20/17		C		USD	147		(62,958)		(34,155)		(28,803)
Caesars Entertainment Operating Co., Inc.		5.00%		Deutsche Bank AG		6/20/17		C		USD	635		(295,962)		(150,479)		(145,483)
Total												$	(3,492,935)	$	(1,901,044)	$	(1,591,891)

 

1 Using Standard & Poor’s rating of the issuer.
2 The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.

 

•

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 investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

•	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 reporting purposes as follows:
	•	Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access
	•	Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
	•	Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust's own assumptions used in determining the fair value of investments and derivative financial instruments)
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. 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. 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. For information about the Trust's policy regarding valuation of investments and derivative financial instruments, please refer to the Trust's most recent financial statements as contained in its semi-annual report. The following tables summarize the Trust's investments and derivative financial instruments categorized in the disclosure hierarchy as of May 31, 2014:

 

				Level 1				Level 2				Level 3				Total
Assets:
Investments:
Long-Term Investments:
	Common Stocks		$		71,057		$		5,324,812		$		3,687,442		$	9,083,311
	Asset-Backed Securities				—				27,637,612				5,383,986			33,021,598
	Corporate Bonds				—				392,644,814				7,935,201			400,580,015
	Floating Rate Loan Interests				—				302,421,220				35,459,625			337,880,845
	Foreign Agency Obligations				—				3,318,650				—			3,318,650
	Non-Agency Mortgage-Backed Securities				—				70,150,906				—			70,150,906
	U.S. Government Sponsored Agency Securities				—				37,546,141				—			37,546,141
	Other Interests				302,894				—				8,750			311,644
	Preferred Securities				4,172,516				40,260,115				—			44,432,631
	Warrants				—				12,798				—			12,798
Short-Term Securities					1,821,902				—				—			1,821,902
Options Purchased:
	Interest Rate Contracts				—				128,350				—			128,350
Unfunded Loan Commitments					—				8,071				—			8,071
Liabilities:
Unfunded Loan Commitments					—				(1,713)				—			(1,713)
Total			$		6,368,369		$		879,451,776		$		52,475,004		$	938,295,149

 

 

Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

			Level 1				Level 2				Level 3				Total
Derivative Financial Instruments1
Assets:
	Interest rate contracts	$		29,510				—				—		$	29,510
	Foreign currency exchange contracts			—		$		592,926				—			592,926
Liabilities:
	Interest rate contracts			(20,333)				(227,134)				—			(247,467)
	Foreign currency exchange contracts			—				(87,595)				—			(87,595)
	Credit contracts			—				(1,591,934)				—			(1,591,934)
Total		$		9,177		$		(1,313,737)				—		$	(1,304,560)

 

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 reporting purposes. As of May 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

			Level 1				Level 2					Level 3				Total
Assets:
	Cash	$		1,096,490				—					—		$	1,096,490
	Cash pledged as collateral for OTC derivatives			1,810,000				—					—			1,810,000
	Cash pledged for financial futures contracts			378,500				—					—			378,500
	Foreign currency at value			103,691				—					—			103,691
Liabilities:
	Cash received as collateral for reverse repurchase agreements			(540,000)				—					—			(540,000)
	Reverse repurchase agreements			—		$		(257,124,095			)		—			(257,124,095)
Total		$		2,848,681		$		(257,124,095			)		—		$	(254,275,414)

 

There were no transfers between Level 1 and Level 2 during the period ended May 31, 2014.

 

Consolidated Schedule of Investments (concluded)

BlackRock Limited Duration Income Trust (BLW)

 

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

 

			Common Stocks	Asset-Backed Securities	Corporate  Bonds	Floating Rate Loan Interests	Other  Interests	Total
Assets:
Opening Balance, as of August 31, 2013			$3,050,139	$26,050,547	$7,930,102	$42,689,763	$537,766	$80,258,317
Transfers into Level 31				—	—	14,028,502	—	14,028,502
Transfers out of Level 32				(11,045,689)	—	(13,196,213)	—	(24,241,902)
Accrued discounts/premiums			—	(693,247)	—	76,839	—	(616,408)
Net realized gain			—	136,568	1,798	71,523	—	209,889
Net change in unrealized appreciation/depreciation3			637,303	646,328	5,099	(97,673)	2,508,765	3,699,822
Purchases			—	3,652,099	—	12,872,269	—	16,524,368
Sales			—	(13,362,620)	(1,798)	(20,985,385)	(3,037,781)	(37,387,584)
Closing Balance, as of May 31, 2014			$3,687,442	$5,383,986	$7,935,201	$35,459,625	$8,750	$52,475,004
Net change in unrealized appreciation/depreciation on investments still held at May 31, 20143			$637,303	$656,243	$6,825	$26,233	$3,750	$1,330,354

 

1		As of August 31, 2013, the Trust used observable inputs in determining the value of certain investments. As of May 31, 2014, 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 $14,028,502  transferred from Level 2 to Level 3 in the disclosure hierarchy.
2		As of August 31, 2013, the Trust used significant unobservable inputs in determining the value of certain investments. As of May 31, 2014, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $24,241,902 transferred from Level 3 to Level 2 in the disclosure hierarchy.
3		Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at May 31, 2014 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.

 

 

Item 2 – Controls and Procedures

2(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.

2(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 registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

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 Limited Duration Income Trust

 

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Limited Duration Income Trust

 

Date: July 23, 2014

 

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 Limited Duration Income Trust

 

Date: July 23, 2014

 

By: /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock Limited Duration Income Trust

 

Date: July 23, 2014