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 52nd Street, New York, NY 10055

 

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

 

Date of fiscal year end: 08/31/2012

 

Date of reporting period: 11/30/2011

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments November 30, 2011 (Unaudited)

BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Asset-Backed Securities — 5.9%

 

 

 

 

 

 

 

321 Henderson Receivables I LLC,
Series 2010-3A, Class A, 3.82%,
12/15/48 (a)

 

USD

4,759

 

$

4,771,334

 

ARES CLO Funds, Series 2005-
10A, Class B, 0.74%,
9/18/17 (a)(b)

 

 

1,500

 

 

1,338,120

 

Ballyrock CDO Ltd., Series 2006-
1A, Class B, 0.86%,
8/28/19 (a)(b)

 

 

1,500

 

 

1,177,500

 

CSAM Funding, Series 2A,
Class B1, 7.05%, 10/15/16

 

 

750

 

 

731,250

 

Canaras Summit CLO Ltd.,
Series 2007-1A, Class B, 0.83%,
6/19/21 (a)(b)

 

 

1,735

 

 

1,376,809

 

Capital One Multi-Asset Execution
Trust, Series 4-3C, 6.63%,
4/19/17 (b)

 

GBP

2,650

 

 

4,210,463

 

Conseco Financial Corp.,
Series 1995-5, Class M1,
7.65%, 9/15/26 (b)

 

USD

1,123

 

 

1,155,611

 

Countrywide Asset-Backed
Certificates (b):

 

 

 

 

 

 

 

Series 2007-6, Class 2A1,
0.36%, 9/25/37

 

 

112

 

 

110,016

 

Series 2007-7, Class 2A2,
0.42%, 10/25/47

 

 

3,230

 

 

2,489,054

 

Series 2007-10, Class 2A1,
0.31%, 6/25/47

 

 

1,607

 

 

1,542,293

 

Series 2007-12, Class 2A1,
0.61%, 8/25/47

 

 

1,817

 

 

1,695,557

 

Gannett Peak CLO Ltd.,
Series 2006-1X, Class A2,
0.78%, 10/27/20 (b)

 

 

1,330

 

 

984,200

 

GSAA Trust, Series 2007-3,
Class 1A2, 0.43%, 3/25/47 (b)

 

 

3,270

 

 

1,248,684

 

Portola CLO Ltd., Series 2007-1X,
Class B1, 1.91%, 11/15/21 (b)

 

 

1,770

 

 

1,467,861

 

SLC Student Loan Trust,
Series 2006-A, Class A4, 0.52%,
1/15/19 (b)

 

 

1,506

 

 

1,474,831

 

Santander Consumer Acquired
Receivables Trust,
Series 2011-S1A, Class D,
3.15%, 8/15/16 (a)

 

 

2,990

 

 

2,963,536

 

Santander Drive Auto Receivables
Trust (a):

 

 

 

 

 

 

 

Series 2011-S1A, Class D,
3.10%, 5/15/17

 

 

1,611

 

 

1,604,129

 

Series 2011-S2A, Class B,
2.06%, 6/15/17

 

 

844

 

 

841,856

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Asset-Backed Securities (concluded)

 

 

 

 

 

 

 

Santander Drive Auto Receivables
Trust(a) (concluded):

 

 

 

 

 

 

 

Series 2011-S2A, Class C,
2.86%, 6/15/17

 

USD

874

 

$

865,570

 

Spirit Issuer Plc, Series A2, 2.02%,
12/28/31 (b)

 

GBP

1,800

 

 

2,202,736

 

T2 Income Fund CLO Ltd.,
Series 2007-1A, Class B, 1.00%,
7/15/19 (a)(b)

 

USD

1,515

 

 

1,353,213

 

 

 

 

 

 

 

35,604,623

 

Interest Only Asset-Backed Securities — 0.3%

 

 

 

 

 

 

 

Sterling Bank Trust, Series 2004-2,
Class Note, 2.08%, 3/30/30 (a)

 

 

12,647

 

 

984,078

 

Sterling Coofs Trust, Series 1,
2.36%, 4/15/29

 

 

11,284

 

 

885,058

 

 

 

 

 

 

 

1,869,136

 

Total Asset-Backed Securities – 6.2%

 

 

 

 

 

37,473,759

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 

Auto Components — 1.2%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession Holding Co.
LLP, Class B Membership Interest

 

 

114,746

 

 

2,331,526

 

Delphi Debtor-in-Possession Holding Co.
LLP, Class B Membership Interest

 

 

267,741

 

 

5,300,734

 

 

 

 

 

 

 

7,632,260

 

Construction & Engineering — 0.0%

 

 

 

 

 

 

 

USI United Subcontractors

 

 

6,116

 

 

42,809

 

Diversified Financial Services — 0.5%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

254,615,286

 

 

2,874,607

 

Hotels, Restaurants & Leisure — 0.1%

 

 

 

 

 

 

 

BLB Worldwide Holdings, Inc.

 

 

51,947

 

 

305,189

 

Travelport Worldwide Ltd.

 

 

176,501

 

 

88,250

 

 

 

 

 

 

 

393,439

 

Metals & Mining — 0.0%

 

 

 

 

 

 

 

Euramax International

 

 

234

 

 

64,268

 

Software — 0.1%

 

 

 

 

 

 

 

Bankruptcy Management Solutions,
Inc.

 

 

880

 

 

4

 

HMH Holdings/EduMedia

 

 

238,664

 

 

357,996

 

 

 

 

 

 

 

358,000

 

Total Common Stocks – 1.9%

 

 

 

 

 

11,365,383

 

 

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

 

 

EUR

Euro

GBP

British Pound

GO

General Obligation Bonds

USD

US Dollar

 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

1


 

 

 

 

Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Aerospace & Defense — 0.3%

 

 

 

 

 

 

 

Kratos Defense & Security
Solutions, Inc., 10.00%,
6/01/17

 

USD

1,966

 

$

1,980,745

 

Airlines — 1.5%

 

 

 

 

 

 

 

American Airlines Pass-Through
Trust, Series 2011-2, Class A,
8.63%, 4/15/23 (d)

 

 

898

 

 

862,080

 

American Airlines, Inc., 10.50%,
10/15/12 (c)(e)

 

 

2,890

 

 

2,579,325

 

Continental Airlines, Inc., 6.75%,
9/15/15 (a)(d)

 

 

1,350

 

 

1,312,875

 

Delta Air Lines, Inc., Series B,
9.75%, 12/17/16 (d)

 

 

330

 

 

349,571

 

United Air Lines, Inc., 12.75%,
7/15/12 (d)

 

 

2,455

 

 

2,553,408

 

US Airways Pass-Through Trust,
10.88%, 10/22/14

 

 

1,625

 

 

1,592,500

 

 

 

 

 

 

 

9,249,759

 

Auto Components — 0.4%

 

 

 

 

 

 

 

B-Corp Merger Sub, Inc., 8.25%,
6/01/19 (a)

 

 

240

 

 

218,400

 

Delphi Corp., 6.13%,
5/15/21 (a)(d)

 

 

780

 

 

785,850

 

Titan International, Inc., 7.88%,
10/01/17

 

 

1,330

 

 

1,381,538

 

 

 

 

 

 

 

2,385,788

 

Beverages — 0.3%

 

 

 

 

 

 

 

Crown European Holdings SA:

 

 

 

 

 

 

 

7.13%, 8/15/18

 

EUR

657

 

 

882,810

 

7.13%, 8/15/18 (a)

 

 

716

 

 

962,089

 

 

 

 

 

 

 

1,844,899

 

Building Products — 0.4%

 

 

 

 

 

 

 

Building Materials Corp. of
America (a)(d):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

USD

1,345

 

 

1,392,075

 

6.75%, 5/01/21

 

 

1,120

 

 

1,114,400

 

Momentive Performance Materials,
Inc., 9.00%, 1/15/21

 

 

270

 

 

192,375

 

 

 

 

 

 

 

2,698,850

 

Capital Markets — 1.0%

 

 

 

 

 

 

 

American Capital Ltd., 7.96%,
12/31/13 (d)(f)

 

 

1,675

 

 

1,683,040

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17 (g)

 

 

2,515

 

 

2,841,950

 

3.82%, 8/31/19 (a)(h)(i)

 

 

249

 

 

220,988

 

SteelRiver Transmission Co. LLC,
4.71%, 6/30/17 (a)(d)

 

 

1,264

 

 

1,291,381

 

 

 

 

 

 

 

6,037,359

 

Chemicals — 2.1%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%,
2/01/15

 

 

1,100

 

 

1,065,625

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Chemicals (concluded)

 

 

 

 

 

 

 

Celanese US Holdings LLC, 5.88%,
6/15/21 (d)

 

USD

805

 

$

819,087

 

Hexion US Finance Corp., 9.00%,
11/15/20

 

 

735

 

 

576,975

 

Kinove German Bondco GmbH,
9.63%, 6/15/18 (a)

 

 

1,000

 

 

905,000

 

Lyondell Chemical Co., 11.00%,
5/01/18

 

 

1,899

 

 

2,045,648

 

LyondellBasell Industries NV,
6.00%, 11/15/21 (a)

 

 

200

 

 

204,000

 

Nova Chemicals Corp., 8.38%,
11/01/16

 

 

5,500

 

 

5,940,000

 

Solutia, Inc., 7.88%, 3/15/20

 

 

1,155

 

 

1,230,075

 

 

 

 

 

 

 

12,786,410

 

Commercial Banks — 1.8%

 

 

 

 

 

 

 

CIT Group, Inc., 5.25%,
4/01/14 (a)(d)

 

 

5,500

 

 

5,390,000

 

Regions Financial Corp.:

 

 

 

 

 

 

 

6.38%, 5/15/12 (d)

 

 

4,590

 

 

4,601,475

 

4.88%, 4/26/13

 

 

907

 

 

884,325

 

 

 

 

 

 

 

10,875,800

 

Commercial Services & Supplies — 0.8%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%,
3/15/15 (d)

 

 

1,425

 

 

1,578,187

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

980

 

 

1,004,500

 

Brickman Group Holdings, Inc.,
9.13%, 11/01/18 (a)

 

 

163

 

 

145,070

 

Iron Mountain, Inc., 7.75%,
10/01/19

 

 

760

 

 

784,700

 

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

 

 

915

 

 

915,000

 

West Corp., 8.63%, 10/01/18

 

 

165

 

 

164,588

 

 

 

 

 

 

 

4,592,045

 

Communications Equipment — 0.2%

 

 

 

 

 

 

 

Avaya, Inc., 9.75%, 11/01/15

 

 

510

 

 

399,075

 

EH Holding Corp., 6.50%,
6/15/19 (a)

 

 

850

 

 

830,875

 

 

 

 

 

 

 

1,229,950

 

Consumer Finance — 0.8%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.80%, 6/01/12 (d)

 

 

1,665

 

 

1,715,260

 

7.00%, 4/15/15

 

 

400

 

 

430,596

 

6.63%, 8/15/17 (d)

 

 

1,066

 

 

1,143,517

 

Hyundai Capital America, 3.75%,
4/06/16 (a)(d)

 

 

1,285

 

 

1,283,728

 

 

 

 

 

 

 

4,573,101

 

Containers & Packaging — 0.9%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc:

 

 

 

 

 

 

 

7.38%, 10/15/17

 

EUR

100

 

 

129,331

 

7.38%, 10/15/17 (a)

 

 

587

 

 

759,173

 

Berry Plastics Corp., 8.25%,
11/15/15 (d)

 

USD

1,445

 

 

1,531,700

 

Graphic Packaging International,
Inc., 9.50%, 6/15/17

 

 

510

 

 

555,900

 

 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

2


 

 

 

 

Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)
 (Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Containers & Packaging (concluded)

 

 

 

 

 

 

 

Pregis Corp., 12.38%, 10/15/13

 

USD

610

 

$

567,300

 

Sealed Air Corp., 8.38%,
9/15/21 (a)

 

 

295

 

 

314,913

 

Smurfit Kappa Acquisitions (a):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

520

 

 

712,698

 

7.75%, 11/15/19

 

 

726

 

 

985,281

 

 

 

 

 

 

 

5,556,296

 

Diversified Financial Services — 4.1%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15 (d)

 

USD

2,460

 

 

2,490,750

 

7.50%, 9/15/20 (d)

 

 

1,630

 

 

1,574,988

 

8.00%, 11/01/31

 

 

2,240

 

 

2,128,000

 

8.00%, 11/01/31

 

 

1,100

 

 

1,013,819

 

Citigroup, Inc., 4.75%, 5/19/15 (d)

 

 

3,000

 

 

3,015,684

 

FCE Bank Plc, 4.75%, 1/19/15

 

EUR

816

 

 

1,052,600

 

JPMorgan Chase & Co., 3.40%,
6/24/15 (d)

 

USD

6,000

 

 

6,097,674

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

8.75%, 10/15/16 (a)(d)

 

 

2,125

 

 

2,194,063

 

8.75%, 10/15/16

 

EUR

340

 

 

447,721

 

7.13%, 4/15/19 (a)(d)

 

USD

1,990

 

 

1,945,225

 

7.88%, 8/15/19 (a)

 

 

865

 

 

869,325

 

6.88%, 2/15/21 (a)(d)

 

 

1,475

 

 

1,408,625

 

8.25%, 2/15/21 (a)

 

 

445

 

 

378,250

 

SLM Corp., Series A, 5.00%,
10/01/13

 

 

150

 

 

149,979

 

WMG Acquisition Corp., 9.50%,
6/15/16 (a)

 

 

280

 

 

294,000

 

 

 

 

 

 

 

25,060,703

 

Diversified Telecommunication Services — 2.8%

 

 

 

 

 

 

 

ITC Deltacom, Inc., 10.50%,
4/01/16

 

 

1,350

 

 

1,392,188

 

Level 3 Escrow, Inc., 8.13%,
7/01/19 (a)

 

 

2,533

 

 

2,393,685

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

4.20%, 2/15/15 (b)

 

 

1,725

 

 

1,541,719

 

8.75%, 2/15/17

 

 

895

 

 

890,525

 

Qwest Communications International,
Inc. (d):

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

610

 

 

613,813

 

8.00%, 10/01/15

 

 

2,500

 

 

2,668,750

 

Series B, 7.50%, 2/15/14

 

 

3,470

 

 

3,491,687

 

Qwest Corp., 8.38%, 5/01/16 (d)

 

 

2,590

 

 

2,936,412

 

TW Telecom Holdings, Inc., 8.00%,
3/01/18

 

 

470

 

 

493,500

 

Windstream Corp., 8.13%,
8/01/13

 

 

590

 

 

623,925

 

 

 

 

 

 

 

17,046,204

 

Electronic Equipment, Instruments & Components — 1.2%

 

 

 

 

 

 

 

Agilent Technologies, Inc., 4.45%,
9/14/12 (d)

 

 

7,325

 

 

7,484,267

 

Energy Equipment & Services — 1.1%

 

 

 

 

 

 

 

Compagnie Generale de
Geophysique - Veritas, 7.75%,
5/15/17

 

 

330

 

 

328,350

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Energy Equipment & Services (concluded)

 

 

 

 

 

 

 

Frac Tech Services LLC, 7.63%,
11/15/18 (a)(d)

 

USD

1,690

 

$

1,702,675

 

Key Energy Services, Inc., 6.75%,
3/01/21 (d)

 

 

1,040

 

 

1,028,300

 

Oil States International, Inc.,
6.50%, 6/01/19

 

 

465

 

 

467,325

 

Peabody Energy Corp., 6.25%,
11/15/21 (a)

 

 

3,080

 

 

3,103,100

 

SunCoke Energy, Inc., 7.63%,
8/01/19 (a)

 

 

260

 

 

254,800

 

 

 

 

 

 

 

6,884,550

 

Gas Utilities — 0.5%

 

 

 

 

 

 

 

Florida Gas Transmission Co. LLC,
4.00%, 7/15/15 (a)(d)

 

 

2,000

 

 

2,109,670

 

Targa Resources Partners LP,
6.88%, 2/01/21 (a)(d)

 

 

690

 

 

690,000

 

 

 

 

 

 

 

2,799,670

 

Health Care Equipment & Supplies — 1.1%

 

 

 

 

 

 

 

CareFusion Corp., 5.13%,
8/01/14 (d)

 

 

3,000

 

 

3,245,517

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14 (d)

 

 

2,625

 

 

2,474,062

 

7.75%, 4/15/18

 

 

540

 

 

433,350

 

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

 

 

675

 

 

682,594

 

 

 

 

 

 

 

6,835,523

 

Health Care Providers & Services — 2.3%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP,
7.75%, 2/15/19

 

 

645

 

 

609,525

 

HCA, Inc.:

 

 

 

 

 

 

 

6.50%, 2/15/20

 

 

2,845

 

 

2,830,775

 

7.25%, 9/15/20 (d)

 

 

1,575

 

 

1,618,313

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

1,295

 

 

1,364,606

 

Tenet Healthcare Corp., 10.00%,
5/01/18 (d)

 

 

6,742

 

 

7,584,750

 

 

 

 

 

 

 

14,007,969

 

Health Care Technology — 0.8%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%,
3/01/18 (a)

 

 

4,300

 

 

4,794,500

 

Hotels, Restaurants & Leisure — 2.9%

 

 

 

 

 

 

 

Enterprise Inns Plc:

 

 

 

 

 

 

 

6.50%, 12/06/18

 

GBP

2,232

 

 

2,407,478

 

6.88%, 2/15/21

 

 

2,070

 

 

2,110,956

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

USD

1,135

 

 

1,271,200

 

11.13%, 11/15/17

 

 

1,100

 

 

1,230,625

 

Punch Taverns Finance B, Ltd.,
Series A7, 4.77%, 6/30/33

 

GBP

1,295

 

 

1,417,364

 

Spirit Issuer Plc (b):

 

 

 

 

 

 

 

1.16%, 12/28/28

 

 

3,325

 

 

3,547,284

 

5.47%, 12/28/34

 

 

4,500

 

 

4,765,536

 

Travelport LLC, 6.37%,
12/01/16 (b)

 

USD

926

 

 

680,341

 

 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

3


 

 

 

 

Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

Tropicana Entertainment LLC,
Series WI, 9.63%,
12/15/14 (c)(e)

 

USD

375

 

$

37

 

 

 

 

 

 

 

17,430,821

 

Household Durables — 0.8%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%,
10/15/17

 

 

3,800

 

 

3,952,000

 

Berkline/Benchcraft LLC, 4.50%,
11/03/12 (c)(i)

 

 

200

 

 

—

 

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

 

 

860

 

 

793,350

 

 

 

 

 

 

 

4,745,350

 

Independent Power Producers & Energy Traders — 2.4%

 

 

 

 

 

 

 

AES Corp.:

 

 

 

 

 

 

 

7.75%, 10/15/15

 

 

2,440

 

 

2,604,700

 

9.75%, 4/15/16

 

 

710

 

 

802,300

 

7.38%, 7/01/21 (a)

 

 

440

 

 

458,700

 

Calpine Corp. (a):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

2,150

 

 

2,193,000

 

7.50%, 2/15/21

 

 

1,020

 

 

1,040,400

 

Energy Future Holdings Corp.,
10.00%, 1/15/20 (d)

 

 

3,870

 

 

3,966,750

 

Energy Future Intermediate
Holding Co. LLC, 10.00%,
12/01/20

 

 

2,720

 

 

2,801,600

 

NRG Energy, Inc., 7.63%, 1/15/18

 

 

710

 

 

699,350

 

 

 

 

 

 

 

14,566,800

 

Industrial Conglomerates — 1.6%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,950

 

 

3,119,625

 

13.50%, 12/01/15

 

 

5,870

 

 

6,266,224

 

 

 

 

 

 

 

9,385,849

 

Insurance — 1.3%

 

 

 

 

 

 

 

Allied World Assurance Co.
Holdings, Ltd., 7.50%,
8/01/16 (d)

 

 

3,000

 

 

3,373,446

 

CNO Financial Group, Inc., 9.00%,
1/15/18 (a)

 

 

2,353

 

 

2,470,650

 

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

 

 

750

 

 

749,022

 

Genworth Financial, Inc., 7.63%,
9/24/21 (d)

 

 

990

 

 

898,021

 

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

 

 

595

 

 

523,600

 

 

 

 

 

 

 

8,014,739

 

IT Services — 0.5%

 

 

 

 

 

 

 

Eagle Parent Canada, Inc., 8.63%,
5/01/19 (a)

 

 

1,260

 

 

1,168,650

 

First Data Corp. (a):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

 

1,405

 

 

1,320,700

 

8.25%, 1/15/21

 

 

95

 

 

82,175

 

12.63%, 1/15/21

 

 

793

 

 

654,225

 

 

 

 

 

 

 

3,225,750

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Machinery — 0.2%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%,
11/15/14

 

USD

1,500

 

$

945,000

 

Navistar International Corp.,
8.25%, 11/01/21

 

 

400

 

 

417,000

 

 

 

 

 

 

 

1,362,000

 

Media — 5.4%

 

 

 

 

 

 

 

AMC Networks, Inc., 7.75%,
7/15/21 (a)

 

 

525

 

 

555,188

 

CCH II LLC, 13.50%, 11/30/16 (d)

 

 

4,106

 

 

4,732,209

 

CCO Holdings LLC (d):

 

 

 

 

 

 

 

7.25%, 10/30/17

 

 

720

 

 

735,300

 

7.88%, 4/30/18

 

 

1,525

 

 

1,580,281

 

Cengage Learning Acquisitions,
Inc., 10.50%, 1/15/15 (a)

 

 

260

 

 

188,500

 

Checkout Holding Corp., 10.98%,
11/15/15 (a)(h)

 

 

1,570

 

 

777,150

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

933

 

 

977,318

 

Series B, 9.25%, 12/15/17 (d)

 

 

5,272

 

 

5,548,780

 

DIRECTV Holdings LLC, 3.13%,
2/15/16 (d)

 

 

3,000

 

 

3,043,728

 

DISH DBS Corp.:

 

 

 

 

 

 

 

7.00%, 10/01/13 (d)

 

 

1,450

 

 

1,518,875

 

7.13%, 2/01/16

 

 

200

 

 

205,500

 

6.75%, 6/01/21

 

 

660

 

 

643,500

 

Intelsat Luxemburg SA, 11.50%,
2/04/17 (g)

 

 

280

 

 

256,900

 

Interactive Data Corp., 10.25%,
8/01/18

 

 

2,210

 

 

2,364,700

 

Kabel BW Erste Beteiligungs
GmbH, 7.50%, 3/15/19 (a)

 

 

1,440

 

 

1,440,000

 

NAI Entertainment Holdings LLC,
8.25%, 12/15/17 (a)(d)

 

 

1,445

 

 

1,506,412

 

Nielsen Finance LLC, 7.75%,
10/15/18

 

 

1,400

 

 

1,480,500

 

ProtoStar I Ltd., 18.00%,
10/15/12 (a)(c)(e)(i)

 

 

3,454

 

 

1,727

 

Unitymedia Hessen GmbH & Co.
KG, 8.13%, 12/01/17 (a)(d)

 

 

4,090

 

 

4,222,925

 

Virgin Media Secured Finance Plc,
6.50%, 1/15/18 (d)

 

 

1,000

 

 

1,055,000

 

 

 

 

 

 

 

32,834,493

 

Metals & Mining — 1.8%

 

 

 

 

 

 

 

Freeport-McMoRan Copper & Gold,
Inc., 8.38%, 4/01/17 (d)

 

 

3,000

 

 

3,191,250

 

New World Resources NV, 7.88%,
5/01/18

 

EUR

995

 

 

1,230,023

 

Novelis, Inc., 8.75%, 12/15/20 (d)

 

USD

3,875

 

 

4,088,125

 

Xstrata Canada Financial Corp.,
2.85%, 11/10/14 (a)(d)

 

 

2,450

 

 

2,471,430

 

 

 

 

 

 

 

10,980,828

 

Multiline Retail — 0.4%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%,
7/15/17 (d)(g)

 

 

2,458

 

 

2,716,090

 

 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

4


 

 

 

 

Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels — 5.6%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc.:

 

 

 

 

 

 

 

6.00%, 6/01/19

 

USD

300

 

$

286,500

 

6.25%, 6/01/21

 

 

200

 

 

191,000

 

Anadarko Petroleum Corp., 5.95%,
9/15/16

 

 

719

 

804,092

 

Arch Coal, Inc. (a):

 

 

 

 

 

 

 

7.00%, 6/15/19

 

 

305

 

 

297,375

 

7.25%, 6/15/21

 

 

990

 

 

960,300

 

BP Capital Markets Plc, 5.25%,
11/07/13 (d)

 

 

6,000

 

6,441,996

 

Berry Petroleum Co., 8.25%,
11/01/16

 

 

550

 

566,500

 

Chesapeake Oilfield Operating LLC,
6.63%, 11/15/19 (a)

 

 

365

 

359,981

 

Coffeyville Resources LLC, 9.00%,
4/01/15 (a)(d)

 

 

634

 

675,210

 

Consol Energy, Inc., 8.25%,
4/01/20 (d)

 

 

2,150

 

2,311,250

 

Crosstex Energy LP, 8.88%,
2/15/18

 

 

135

 

143,775

 

Denbury Resources, Inc. (d):

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

971

 

 

1,054,749

 

6.38%, 8/15/21

 

 

810

 

 

826,200

 

El Paso Corp., 7.00%, 6/15/17

 

 

2,265

 

 

2,462,046

 

Forest Oil Corp., 8.50%, 2/15/14

 

 

255

 

 

274,125

 

Linn Energy LLC:

 

 

 

 

 

 

 

8.63%, 4/15/20

 

 

1,000

 

 

1,045,000

 

7.75%, 2/01/21 (a)

 

 

1,470

 

 

1,470,000

 

Niska Gas Storage US LLC, 8.88%,
3/15/18

 

 

660

 

643,500

 

OGX Petroleo e Gas Participacoes
SA, 8.50%, 6/01/18 (a)

 

 

5,045

 

4,792,750

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19 (a)

 

 

475

 

 

484,500

 

6.50%, 11/01/21

 

 

410

 

 

398,725

 

Petrohawk Energy Corp. (d):

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

840

 

 

935,550

 

7.88%, 6/01/15

 

 

1,130

 

 

1,203,450

 

7.25%, 8/15/18

 

 

740

 

 

828,800

 

Plains Exploration & Production Co.:

 

 

 

 

 

 

 

7.75%, 6/15/15

 

 

750

 

 

780,938

 

6.75%, 2/01/22

 

 

665

 

 

678,300

 

Range Resources Corp., 5.75%,
6/01/21 (d)

 

 

1,735

 

1,852,112

 

SandRidge Energy, Inc., 7.50%,
3/15/21

 

 

1,160

 

1,061,400

 

 

 

 

 

 

 

33,830,124

 

Paper & Forest Products — 0.5%

 

 

 

 

 

 

 

Longview Fibre Paper & Packaging,
Inc., 8.00%, 6/01/16 (a)

 

 

395

 

396,975

 

NewPage Corp., 11.38%,
12/31/14 (c)(d)(e)

 

 

3,445

 

2,402,888

 

 

 

 

 

 

 

2,799,863

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Pharmaceuticals — 0.4%

 

 

 

 

 

 

 

Valeant Pharmaceuticals
International, 6.50%,
7/15/16 (a)(d)

 

USD

2,310

 

$

2,234,925

 

Real Estate Investment Trusts (REITs) — 0.5%

 

 

 

 

 

 

 

FelCor Lodging LP, 6.75%,
6/01/19 (a)

 

 

1,610

 

1,497,300

 

Ventas Realty LP/Ventas Capital
Corp., 4.75%, 6/01/21 (d)

 

 

1,300

 

1,250,020

 

 

 

 

 

 

 

2,747,320

 

Real Estate Management & Development — 1.4%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

265

 

 

202,063

 

12.00%, 4/15/17

 

 

225

 

 

168,750

 

7.88%, 2/15/19 (a)

 

 

3,020

 

 

2,597,200

 

Shea Homes LP, 8.63%,
5/15/19 (a)

 

 

1,165

 

1,065,975

 

The Unique Pub Finance Co. Plc:

 

 

 

 

 

 

 

Series A3, 6.54%, 3/30/21

 

GBP

1,700

 

 

1,840,320

 

Series A4, 5.66%, 6/30/27

 

 

509

 

 

487,128

 

Series M, 7.40%, 3/28/24

 

 

2,750

 

 

1,898,370

 

 

 

 

 

 

 

8,259,806

 

Road & Rail — 1.4%

 

 

 

 

 

 

 

Asciano Finance Ltd., 3.13%,
9/23/15 (a)(d)

 

USD

3,400

 

3,307,177

 

Avis Budget Car Rental LLC,
8.25%, 1/15/19

 

 

205

 

197,313

 

Florida East Coast Railway Corp.,
8.13%, 2/01/17 (a)

 

 

530

 

528,012

 

The Hertz Corp. (a):

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

635

 

 

636,587

 

6.75%, 4/15/19

 

 

1,030

 

 

999,100

 

7.38%, 1/15/21

 

 

2,585

 

 

2,559,150

 

 

 

 

 

 

 

8,227,339

 

Semiconductors & Semiconductor Equipment — 0.5%

 

 

 

 

 

 

 

National Semiconductor Corp.,
6.15%, 6/15/12 (d)

 

 

3,000

 

3,086,721

 

Tobacco — 0.5%

 

 

 

 

 

 

 

Reynolds American, Inc., 7.63%,
6/01/16 (d)

 

 

2,500

 

2,975,962

 

Transportation Infrastructure — 0.1%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18 (a)

 

 

498

 

 

473,100

 

Wireless Telecommunication Services — 2.3%

 

 

 

 

 

 

 

Cricket Communications, Inc.,
7.75%, 5/15/16 (d)

 

 

2,250

 

2,244,375

 

Crown Castle Towers LLC, 4.52%,
1/15/35 (a)(d)

 

 

3,000

 

3,135,186

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

720

 

 

709,200

 

9.13%, 1/15/15 (g)

 

 

2,267

 

 

2,232,995

 

8.25%, 9/01/17

 

 

1,335

 

 

1,314,975

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

8.38%, 3/15/12 (d)

 

 

925

 

 

941,187

 

6.88%, 11/15/28

 

 

640

 

 

446,400

 

 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

5


 

 

 

 

Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

Sprint Nextel Corp., 9.00%,
11/15/18 (a)

 

USD

2,680

 

$

2,700,100

 

 

 

 

 

 

 

13,724,418

 

Total Corporate Bonds – 54.9%

 

 

 

 

 

332,346,686

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

 

 

 

 

 

 

Aerospace & Defense — 0.2%

 

 

 

 

 

 

 

TransDigm, Inc., Term Loan (First
Lien), 4.00%, 2/14/17

 

 

1,489

 

1,473,327

 

Airlines — 0.2%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit New
Term Loan B, 5.50%, 4/20/17

 

 

1,397

 

1,328,770

 

Auto Components — 1.1%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term
Loan, 2.75%, 8/07/14

 

 

4,693

 

4,521,743

 

Autoparts Holdings, Ltd.:

 

 

 

 

 

 

 

First Lien Term Loan, 6.50%,
7/28/17

 

 

1,000

 

999,070

 

Second Lien Term Loan,
10.50%, 1/29/18

 

 

1,500

 

1,440,000

 

 

 

 

 

 

 

6,960,813

 

Beverages — 0.0%

 

 

 

 

 

 

 

Le-Nature’s, Inc, Tranche B Term
Loan, 3/01/11 (i)

 

 

1,000

 

100

 

Building Products — 1.5%

 

 

 

 

 

 

 

CPG International I, Inc., Term
Loan B, 6.00%, 2/18/17

 

 

993

 

927,987

 

Goodman Global, Inc.:

 

 

 

 

 

 

 

Initial Term Loan (First Lien),
5.75%, 10/28/16

 

 

4,421

 

4,406,912

 

Term Loan (Second Lien),
9.00%, 10/30/17

 

 

1,473

 

1,472,109

 

Momentive Performance Materials
(Blitz 06-103 GmbH), Tranche
B-2B Term Loan, 4.70%,
5/05/15

 

EUR

1,520

 

1,891,576

 

United Subcontractors, Inc., Term
Loan (First Lien), 4.37%,
6/30/15

 

USD

145

 

 

123,157

 

 

 

 

 

 

 

8,821,741

 

Capital Markets — 0.8%

 

 

 

 

 

 

 

HarbourVest Partners, Term Loan
(First Lien), 6.25%, 12/16/16

 

 

2,426

 

2,413,830

 

Marsico Parent Co. LLC, Term
Loan, 5.25% – 5.44%,
12/14/14

 

 

367

 

 

138,905

 

Nuveen Investments, Inc. (First Lien):

 

 

 

 

 

 

 

Extended Term Loan, 3.37%,
5/12/17

 

 

1,137

 

1,076,281

 

Extended Term Loan, 3.42%,
5/13/17

 

 

790

 

773,213

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Capital Markets (concluded)

 

 

 

 

 

 

 

Nuveen Investments, Inc. (First Lien)
(concluded):

 

 

 

 

 

 

Non-Extended Term Loan,
5.87% – 6.00%, 11/13/14

 

USD

198

 

$

186,472

 

 

 

 

 

 

 

4,588,701

 

Chemicals — 1.9%

 

 

 

 

 

 

 

Chemtura Corp., Exit Term Loan B,
5.50%, 8/27/16

 

 

1,100

 

1,098,625

 

Gentek, Inc., Term Loan B,
5.00% – 5.75%, 10/06/15

 

 

1,074

 

1,059,670

 

MDI Holdings, LLC, Tranche C Term
Loan, 3.38%, 4/11/14

 

EUR

460

 

595,206

 

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

 

USD

1,294

 

1,241,760

 

PQ Corp., Original Term Loan (First
Lien), 3.51% – 3.68%, 7/30/14

 

 

1,423

 

1,334,069

 

Styron Sarl, LLC, Term Loan B,
6.00%, 8/02/17

 

 

2,281

 

1,962,589

 

Tronox Worldwide LLC, Exit Term
Loan, 7.00%, 10/15/15

 

 

2,630

 

2,626,022

 

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

 

 

1,724

 

1,661,746

 

 

 

 

 

 

 

11,579,687

 

Commercial Services & Supplies — 1.9%

 

 

 

 

 

 

 

Adesa, Inc. (KAR Holdings, Inc.),
Term Loan B, 5.00%, 5/19/17

 

 

1,496

 

1,475,382

 

Altegrity, Inc., Tranche D Term
Loan, 7.75%, 2/20/15

 

 

3,718

 

3,699,429

 

AWAS Finance Luxembourg Sarl.,
Term Loan B, 5.25%, 6/10/16

 

 

1,147

 

1,133,796

 

Delos Aircraft, Inc., Term Loan B2,
7.00%, 3/17/16

 

 

1,454

 

1,455,300

 

Synagro Technologies, Inc., Term
Loan B, 2.25% – 2.26%,
4/02/14

 

 

1,144

 

 

964,878

 

Volume Services America, Inc.
(Centerplate), Term Loan B,
10.50% – 10.75%, 9/16/16

 

 

2,574

 

 

2,532,173

 

 

 

 

 

 

 

11,260,958

 

Communications Equipment — 0.4%

 

 

 

 

 

 

 

Avaya, Inc., Term Loan B, 3.26%,
10/24/14

 

 

1,211

 

1,124,687

 

CommScope, Inc., Term Loan B,
5.00%, 1/14/18

 

 

1,244

 

1,237,531

 

 

 

 

 

 

 

2,362,218

 

Construction & Engineering — 0.6%

 

 

 

 

 

 

 

Safway Services, LLC, First Out
Tranche Loan, 9.00%, 12/16/17

 

 

3,750

 

3,750,000

 

Consumer Finance — 0.3%

 

 

 

 

 

 

 

Springleaf Financial Funding Co.,
Term Loan, 5.50%, 5/10/17

 

 

2,355

 

2,041,502

 

 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

6


 

 

 

 

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

 

Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Sealed Air Corp., Term Loan,
4.75%, 10/03/18

 

USD

612

 

$

616,970

 

Diversified Consumer Services — 1.8%

 

 

 

 

 

 

 

Coinmach Service Corp., Term
Loan, 3.25 – 3.32%, 11/20/14

 

 

4,583

 

 

4,074,584

 

Laureate Education Inc., Extended
Term Loan, 5.25%, 8/15/18

 

 

4,588

 

 

4,274,164

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Closing Date Term Loan,
2.75% - 2.83%, 7/24/14

 

 

2,505

 

 

2,370,306

 

Delayed Draw Term Loan,
2.76%, 7/24/14

 

 

250

 

 

236,047

 

 

 

 

 

 

 

10,955,101

 

Diversified Financial Services — 0.6%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.,
Tranche C Term Loan,
5.25% - 6.50%, 8/09/18

 

 

3,500

 

 

3,437,000

 

Diversified Telecommunication Services — 1.5%

 

 

 

 

 

 

 

Hawaiian Telcom Communications,
Inc., Term Loan, 9.00%,
11/01/15

 

 

2,167

 

 

2,178,835

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Incremental Tranche A Term
Loan, 2.65%, 3/13/14

 

 

1,150

 

 

1,079,563

 

Term Loan B2, 5.75%,
9/03/18

 

 

3,000

 

 

2,902,500

 

Term Loan B3, 5.75%,
8/31/18

 

 

2,800

 

 

2,709,000

 

US Telepacific Corp., New Term
Loan B, 5.75%, 2/23/17

 

 

500

 

 

472,375

 

 

 

 

 

 

 

9,342,273

 

Electric Utilities — 0.1%

 

 

 

 

 

 

 

TPF Generation Holdings LLC:

 

 

 

 

 

 

 

Synthetic Letter of Credit
Deposit (First Lien), 2.37%,
12/13/13

 

 

151

 

 

143,392

 

Synthetic Revolving Deposit,
2.37%, 12/15/11

 

 

47

 

 

44,951

 

Term Loan (First Lien), 2.37%,
12/13/13

 

 

257

 

 

244,368

 

 

 

 

 

 

 

432,711

 

Electronic Equipment, Instruments & Components — 0.8%

 

 

 

 

 

 

 

CDW LLC, Non-Extended Term
Loan, 3.75%, 10/10/14

 

 

3,012

 

 

2,892,376

 

Sensata Technologies Finance
Company, LLC, Term Loan,
4.00%, 5/11/18

 

 

1,696

 

 

1,671,721

 

 

 

 

 

 

 

4,564,097

 

Energy Equipment & Services — 1.7%

 

 

 

 

 

 

 

CCS Corp., Tranche B Term Loan,
3.37%, 11/14/14

 

 

1,644

 

 

1,499,180

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Energy Equipment & Services (concluded)

 

 

 

 

 

 

 

Dynegy Holdings, Inc.:

 

 

 

 

 

 

 

Coal Co. Term Loan, 9.25%,
8/04/16

 

USD

2,332

 

$

2,327,826

 

Gas Co. Term Loan, 9.25%,
8/04/16

 

 

4,268

 

 

4,298,815

 

MEG Energy Corp., Tranche B Term
Loan, 4.00%, 3/16/18

 

 

2,000

 

 

1,977,860

 

 

 

 

 

 

 

10,103,681

 

Food & Staples Retailing — 0.1%

 

 

 

 

 

 

 

US Foodservice, Inc., Term Loan B,
2.75 – 2.76%, 7/03/14

 

 

694

 

 

630,352

 

Food Products — 1.4%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan
(Second Lien):

 

 

 

 

 

 

 

7.00%, 9/30/16

 

 

4,059

 

 

4,033,631

 

11.25%, 9/29/17

 

 

1,300

 

 

1,292,954

 

Del Monte Corp., Term Loan B,
4.50%, 3/08/18

 

 

1,994

 

 

1,883,858

 

Pinnacle Foods Finance LLC,
Tranche D Term Loan, 6.00%,
4/02/14

 

 

1,198

 

 

1,198,136

 

Solvest, Ltd. (Dole):

 

 

 

 

 

 

 

Tranche B-1 Term Loan,
5.00% – 6.00%, 7/06/18

 

 

98

 

 

96,815

 

Tranche C-1 Term Loan,
5.00% – 6.00%, 7/06/18

 

 

181

 

 

179,798

 

 

 

 

 

 

 

8,685,192

 

Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

Biomet, Inc., Term Loan B,
3.26 – 3.36%, 3/25/15

 

 

369

 

 

355,506

 

Iasis Healthcare LLC, Term Loan,
5.00%, 5/03/18

 

 

1,087

 

 

1,044,559

 

Immucor, Inc., Term Loan B,
7.25%, 8/17/18

 

 

300

 

 

301,050

 

 

 

 

 

 

 

1,701,115

 

Health Care Providers & Services — 3.2%

 

 

 

 

 

 

 

Ardent Health Services, Term Loan
(First Lien), 6.50%, 9/15/15

 

 

1

 

 

1,282

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
2.51%, 7/25/14

 

 

116

 

 

111,591

 

Non-Extended Term Loan,
2.51% – 2.77%, 7/25/14

 

 

2,253

 

 

2,172,102

 

ConvaTec, Inc., Dollar Term Loan,
5.75%, 12/22/16

 

 

1,290

 

 

1,263,155

 

DaVita, Inc., Tranche B Term Loan,
4.50%, 10/20/16

 

 

1,985

 

 

1,975,075

 

Emergency Medical Services, Term
Loan, 5.25% – 6.00%, 5/25/18

 

 

1,244

 

 

1,204,883

 

Harden Healthcare, Inc.:

 

 

 

 

 

 

 

Tranche A Additional Term
Loan, 7.75%, 3/02/15

 

 

3,548

 

 

3,476,676

 

Tranche A Term Loan, 8.50%,
3/02/15

 

 

589

 

 

576,812

 

 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

7


 

 

 

 

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 Providers & Services (concluded)

 

 

 

 

 

 

 

HCA, Inc., Tranche B-1 Term Loan,
3.62%, 5/01/18

 

USD

340

 

$

321,348

 

Health Management Associates,
New Term Loan B, 3.36%,
11/16/18

 

 

1,030

 

 

1,025,282

 

inVentiv Health, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B3,
6.75%, 5/15/18

 

 

998

 

 

975,056

 

Term Loan B, 6.50%, 8/04/16

 

 

2,210

 

 

2,158,520

 

Medpace, Inc., Term Loan,
6.50% – 7.25%, 6/16/17

 

 

2,843

 

 

2,714,946

 

Renal Advantage Holdings, Inc.,
Tranche B Term Loan, 5.75%,
12/16/16

 

 

1,390

 

 

1,386,026

 

 

 

 

 

 

 

19,362,754

 

Health Care Technology — 0.5%

 

 

 

 

 

 

 

IMS Health, Inc., Tranche B Dollar
Term Loan, 4.50%, 8/25/17

 

 

1,835

 

 

1,829,255

 

Kinetic Concepts, Inc., Term Loan
B, 7.00%, 5/04/18

 

 

620

 

 

622,908

 

MedAssets, Inc., Term Loan B,
5.25%, 11/16/16

 

 

819

 

 

809,835

 

 

 

 

 

 

 

3,261,998

 

Hotels, Restaurants & Leisure — 2.2%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co.,
Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B4,
9.50%, 10/31/16

 

 

1,240

 

 

1,221,275

 

Term Loan B1, 3.42%,
1/28/15

 

 

449

 

 

382,642

 

Term Loan B2,
3.26% – 3.42%, 1/28/15

 

 

500

 

 

426,900

 

Term Loan B3,
3.32% – 3.42%, 1/28/15

 

 

6,439

 

 

5,493,103

 

Dunkin’ Brands, Inc., New Term
Loan B, 4.00%, 11/23/17

 

 

1,634

 

 

1,607,311

 

OSI Restaurant Partners LLC, Pre-
Funded RC Loan, 0.16% - 2.75%,
6/14/13

 

 

32

 

 

30,509

 

SeaWorld Parks & Entertainment,
Inc., Term Loan B, 4.00%,
8/17/17

 

 

358

 

 

355,829

 

Six Flags Theme Parks, Inc.,
Tranche B Term Loan (First
Lien), 5.25% – 6.00%, 6/30/16

 

 

1,958

 

 

1,947,169

 

Travelport LLC:

 

 

 

 

 

 

 

Extended Term Loan
Tranche A, 6.00%, 9/28/12

 

 

419

 

 

209,071

 

Extended Term Loan
Tranche B, 13.87%, 12/01/16

 

 

1,270

 

 

232,857

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

Twin River Worldwide Holdings,
Inc., Term Loan, 8.50%,
11/05/15

 

USD

1,310

 

$

1,293,479

 

 

 

 

 

 

 

13,200,145

 

Household Durables — 0.0%

 

 

 

 

 

 

 

Berkline/Benchcraft LLC, Term
Loan, 14.00%, 11/03/13 (c)(e)

 

 

150

 

 

7,483

 

Independent Power Producers & Energy Traders — 0.5%

 

 

 

 

 

 

 

The AES Corp., US Term Loan,
4.75%, 6/01/18

 

 

1,493

 

 

1,475,709

 

Texas Competitive Electric
Holdings Co., LLC (TXU),
Extended Term Loan, 4.75%,
10/10/17

 

 

2,843

 

 

1,850,871

 

 

 

 

 

 

 

3,326,580

 

Industrial Conglomerates — 0.3%

 

 

 

 

 

 

 

Sequa Corp.:

 

 

 

 

 

 

 

Incremental Term Loan,
7.00%, 12/03/14

 

 

340

 

 

339,150

 

Term Loan, 3.63% - 3.70%,
12/03/14

 

 

1,824

 

 

1,757,730

 

 

 

 

 

 

 

2,096,880

 

Internet Software & Services — 0.1%

 

 

 

 

 

 

 

Web.com Group, Inc., Term Loan B,
7.00%, 10/27/17

 

 

1,000

 

 

882,500

 

IT Services — 2.0%

 

 

 

 

 

 

 

Ceridian Corp., US Term Loan,
3.26% – 3.38%, 11/10/14

 

 

1,366

 

 

1,211,428

 

First Data Corp.:

 

 

 

 

 

 

 

Extended Term Loan B, 4.26%,
3/23/18

 

 

4,689

 

 

3,914,734

 

Initial Tranche B-1 Term Loan,
3.01%, 9/24/14

 

 

860

 

 

761,139

 

Initial Tranche B-3 Term Loan,
3.01%, 9/24/14

 

 

109

 

 

96,107

 

infoGROUP, Inc., Term Loan,
5.75%, 5/22/18

 

 

1,061

 

 

1,015,817

 

NeuStar, Inc., Term Loan B, 5.00%,
11/08/18

 

 

2,055

 

 

2,053,253

 

TransUnion LLC, Replacement
Term Loan, 4.75%, 2/12/18

 

 

3,255

 

 

3,239,119

 

 

 

 

 

 

 

12,291,597

 

Machinery — 0.6%

 

 

 

 

 

 

 

Terex Corp.:

 

 

 

 

 

 

 

Term Loan, 6.03%, 4/28/17

 

EUR

310

 

 

408,216

 

Term Loan B, 5.50%, 4/28/17

 

USD

1,000

 

 

997,500

 

Tomkins Plc, Term Loan B, 4.25%,
9/21/16

 

 

2,163

 

 

2,145,037

 

 

 

 

 

 

 

3,550,753

 

Media — 6.3%

 

 

 

 

 

 

 

Affinion Group, Inc., Tranche B
Term Loan, 5.00%, 10/10/16

 

 

1,478

 

 

1,347,128

 

 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

8


 

 

 

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

 

Media (concluded)

 

 

 

 

 

 

 

AMC Networks, Inc., Term Loan B,
4.00%, 12/31/18

 

USD

2,195

 

$

2,176,220

 

Capsugel Healthcare Ltd., Term
Loan, 5.25%, 8/01/18

 

 

1,400

 

 

1,398,684

 

Cengage Learning Acquisitions,
Inc. (Thomson Learning),
Tranche 1 Incremental Term
Loan, 7.50%, 7/03/14

 

 

2,041

 

 

1,881,570

 

Charter Communications Operating,
LLC:

 

 

 

 

 

 

 

Term Loan B, 7.25%, 3/06/14

 

 

64

 

 

63,479

 

Term Loan C, 3.62%, 9/06/16

 

 

3,051

 

 

2,993,919

 

Clear Channel Communications,
Inc., Term Loan B, 3.91%,
1/28/16

 

 

2,385

 

 

1,774,583

 

Cumulus Media, Inc., Term Loan,
5.75%, 9/17/18

 

 

1,500

 

 

1,459,380

 

HMH Publishing Co., Ltd., Tranche
A Term Loan, 6.44%, 6/12/14

 

 

3,200

 

 

2,200,204

 

Hubbard Broadcasting, Term Loan
B (Second Lien), 5.25%,
4/28/17

 

 

898

 

 

882,039

 

Intelsat Jackson Holdings SA,
Tranche B Term Loan, 5.25%,
4/02/18

 

 

5,473

 

 

5,399,552

 

Interactive Data Corp., New Term
Loan B, 4.50%, 2/12/18

 

 

2,388

 

 

2,340,240

 

Lavena Holding 4 GmbH
(Prosiebensat.1 Media AG):

 

 

 

 

 

 

 

Facility B1, 4.20%, 3/06/15

 

EUR

304

 

 

312,648

 

Facility C1, 4.45%, 3/04/16

 

 

304

 

 

314,689

 

Second Lien Term Loan,
5.58%, 9/02/16

 

 

904

 

 

746,581

 

Mediacom Illinois, LLC, Tranche D
Term Loan, 5.50%, 3/31/17

 

USD

980

 

 

962,850

 

Newsday LLC, Fixed Rate Term
Loan, 10.50%, 8/01/13

 

 

4,505

 

 

4,634,519

 

Sunshine Acquisition Ltd., Term
Facility, 5.50%, 6/01/12

 

 

1,976

 

 

1,947,991

 

Univision Communications, Inc.,
Extended First Lien Term Loan,
4.51%, 3/31/17

 

 

2,290

 

 

2,048,995

 

UPC Broadband Holding B.V., Term
Loan U, 5.37%, 12/29/17

 

EUR

692

 

 

871,206

 

UPC Financing Partnership, New
Term Loan, 4.75%, 12/29/17

 

USD

805

 

 

785,881

 

WC Luxco Sarl, Term Loan B3,
4.25%, 3/15/18

 

 

625

 

 

615,265

 

Weather Channel, Term Loan B,
4.25%, 2/13/17

 

 

1,118

 

 

1,112,154

 

 

 

 

 

 

 

38,269,777

 

Metals & Mining — 0.8%

 

 

 

 

 

 

 

Novelis, Inc., Term Loan, 3.75%,
3/10/17

 

 

3,325

 

 

3,265,293

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Metals & Mining (concluded)

 

 

 

 

 

 

 

Walter Energy, Inc., Term Loan B,
4.00%, 4/02/18

 

USD

1,712

 

$

1,679,111

 

 

 

 

 

 

 

4,944,404

 

Multi-Utilities — 0.1%

 

 

 

 

 

 

 

FirstLight Power Resources, Inc.,
Term B Advance (First Lien),
2.81%, 11/01/13

 

 

375

 

 

360,362

 

Mach Gen, LLC, Synthetic Letter of
Credit Loan (First Lien), 2.37%,
2/22/13

 

 

69

 

 

62,087

 

 

 

 

 

 

 

422,449

 

Multiline Retail — 0.6%

 

 

 

 

 

 

 

Hema Holding BV:

 

 

 

 

 

 

 

Facility B, 3.36%, 7/06/15

 

EUR

338

 

 

404,443

 

Facility C, 4.11%, 7/05/16

 

 

338

 

 

406,716

 

Facility D (Second Lien),
6.36%, 1/05/17

 

 

2,600

 

 

2,853,134

 

 

 

 

 

 

 

3,664,293

 

Oil, Gas & Consumable Fuels — 1.0%

 

 

 

 

 

 

 

Gibson Energy, Term Loan B,
5.75%, 6/15/18

 

USD

1,496

 

 

1,490,639

 

Obsidian Natural Gas Trust, Term
Loan, 7.00%, 11/02/15

 

 

4,316

 

 

4,294,558

 

 

 

 

 

 

 

5,785,197

 

Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

NewPage Corp., Term Loan,
8.00%, 3/07/13

 

 

1,450

 

 

1,455,438

 

Verso Paper Finance Holdings LLC,
Term Loan, 6.68% - 7.43%,
2/01/13 (g)

 

 

698

 

 

348,990

 

 

 

 

 

 

 

1,804,428

 

Pharmaceuticals — 0.7%

 

 

 

 

 

 

 

Aptalis Pharma, Inc., Term Loan B,
5.50%, 2/10/17

 

 

1,489

 

 

1,416,174

 

Pharmaceutical Products
Development, Term Loan B,
6.25%, 11/19/18

 

 

2,465

 

 

1,217,574

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Term Loan B-1, 4.25%,
3/15/18

 

 

910

 

 

894,931

 

Term Loan B-2, 4.25%,
3/15/18

 

 

455

 

 

447,466

 

 

 

 

 

 

 

3,976,145

 

Professional Services — 0.5%

 

 

 

 

 

 

 

Emdeon Business Services LLC,
Term Loan B, 6.75%, 11/02/18

 

 

1,000

 

 

1,002,850

 

 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

9


 

 

 

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)

 

 

 

 

 

 

 

Fifth Third Processing Solutions
LLC, Term Loan B (First Lien),
4.50%, 11/03/16

 

USD

1,985

 

$

1,973,452

 

 

 

 

 

 

 

2,976,302

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

istar Financial, Inc., Term Loan
(Second Lien), 5.00%, 6/28/13

 

 

4,399

 

 

4,340,030

 

Real Estate Management & Development — 1.3%

 

 

 

 

 

 

 

Pivotal Promontory LLC, Term Loan
(Second Lien), 11.50%,
8/31/11 (c)(e)

 

 

750

 

 

1

 

Realogy Corp.:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
3.44%, 10/10/13

 

 

3,785

 

 

3,500,519

 

Extended Term Loan B, 4.69%,
10/10/16

 

 

4,729

 

 

4,184,823

 

 

 

 

 

 

 

7,685,343

 

Semiconductors & Semiconductor Equipment — 0.3%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc.,
Extended Term Loan B, 4.50%,
12/01/16

 

 

1,053

 

 

993,566

 

NXP B.V., Incremental Term Loan,
1.00%, 12/12/17

 

 

590

 

 

566,034

 

 

 

 

 

 

 

1,559,600

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management
Solutions, Inc., Term Loan B,
7.50%, 8/20/14

 

 

719

 

 

158,272

 

Specialty Retail — 1.7%

 

 

 

 

 

 

 

Academy Ltd., Term Loan, 6.00%,
8/03/18

 

 

1,800

 

 

1,767,006

 

Burlington Coat Factory
Warehouse Corp., Term Loan B,
6.25%, 2/23/17

 

 

593

 

 

575,797

 

General Nutrition Centers, Inc.,
Term Loan B, 4.25%, 3/02/18

 

 

1,875

 

 

1,831,256

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Term Loan B-1,
2.63% - 2.69%, 10/31/13

 

 

1,870

 

 

1,816,477

 

Term Loan B-2,
4.88% - 4.94%, 7/31/16

 

 

1,098

 

 

1,067,688

 

Petco Animal Supplies, Inc., Term
Loan B, 4.50%, 11/24/17

 

 

1,478

 

 

1,433,175

 

Toys ‘R’ Us Delaware, Inc., Initial
Loan, 6.00%, 9/01/16

 

 

1,883

 

 

1,856,444

 

 

 

 

 

 

 

10,347,843

 

Trading Companies & Distributors — 0.0%

 

 

 

 

 

 

 

Beacon Sales Acquisition, Inc.,
Term Loan B, 2.25% - 4.00%,
9/30/13

 

 

121

 

 

116,456

 

Wireless Telecommunication Services — 1.6%

 

 

 

 

 

 

 

Digicel International Finance Ltd.,
US Term Loan (Non-Rollover),
2.88%, 3/30/12

 

 

169

 

 

167,792

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

MetroPCS Wireless, Inc., Term
Loan B, 4.00% - 4.07%,
3/16/18

 

USD

1,040

 

$

1,006,615

 

Vodafone Americas Finance 2, Inc.,
Initial Loan, 6.88%, 8/11/15

 

 

8,295

 

 

8,274,290

 

 

 

 

 

 

 

9,448,697

 

Total Floating Rate Loan Interests – 42.6%

 

 

 

 

 

258,116,235

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed
Securities

 

 

 

 

 

 

 

Collateralized Mortgage Obligations — 5.0%

 

 

 

 

 

 

 

Adjustable Rate Mortgage Trust,
Series 2007-1, Class 3A21,
5.67%, 3/25/37 (b)

 

 

2,367

 

 

2,048,923

 

Citicorp Mortgage Securities, Inc.,
Series 2006-2, Class 1A7,
5.75%, 4/25/36

 

 

1,584

 

 

1,569,996

 

Countrywide Alternative Loan
Trust, Series 2005-54CB,
Class 3A4, 5.50%, 11/25/35

 

 

7,403

 

 

5,296,228

 

Countrywide Home Loan Mortgage
Pass-Through Trust:

 

 

 

 

 

 

 

Series 2005-17, Class 1A6,
5.50%, 9/25/35

 

 

2,869

 

 

2,675,779

 

Series 2006-17, Class A2,
6.00%, 12/25/36

 

 

5,067

 

 

4,274,510

 

Series 2007-16, Class A1,
6.50%, 10/25/37

 

 

2,717

 

 

2,309,694

 

Series 2007-HY5, Class 3A1,
5.87%, 9/25/37 (b)

 

 

3,183

 

 

2,326,462

 

Credit Suisse Mortgage Capital
Certificates, Series 2006-C5,
Class AM, 5.34%, 12/15/39

 

 

1,440

 

 

1,249,799

 

GSR Mortgage Loan Trust,
Series 2005-AR5, Class 2A3,
2.73%, 10/25/35 (b)

 

 

2,634

 

 

1,878,232

 

Harborview Mortgage Loan Trust,
Series 2005-8, Class 1A2A,
0.58%, 9/19/35 (b)

 

 

3,916

 

 

2,286,960

 

Morgan Stanley Reremic Trust,
Series 2010-R4, Class 4A,
0.49%, 2/26/37 (a)(b)

 

 

2,730

 

 

2,604,647

 

Wells Fargo Mortgage-Backed
Securities Trust,
Series 2005-AR2, Class 2A1,
2.72%, 3/25/35 (b)

 

 

2,300

 

 

1,930,278

 

 

 

 

 

 

 

30,451,508

 

Commercial Mortgage-Backed Securities — 10.1%

 

 

 

 

 

 

 

Banc of America Commercial Mortgage,
Inc. (b):

 

 

 

 

 

 

 

Series 2007-3, Class A2,
5.62%, 6/10/49

 

 

1,964

 

 

1,982,707

 

Series 2007-4, Class A4,
5.72%, 2/10/51

 

 

2,150

 

 

2,294,108

 

 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

10


 

 

 

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 (continued)

 

 

 

 

 

 

 

Centre Parcs Mortgage Finance
Plc, Series 2007-1, Class A2,
3.00%, 10/10/18 (b)

 

GBP

1,943

 

$

2,866,095

 

Citigroup/Deutsche Bank
Commercial Mortgage Trust,
Series 2007-CD4, Class A2B,
5.21%, 12/11/49

 

USD

1,334

 

 

1,347,756

 

Credit Suisse Mortgage Capital
Certificates (b):

 

 

 

 

 

 

 

Series 2007-C2, Class A2,
5.45%, 1/15/49

 

 

1,792

 

 

1,792,222

 

Series 2007-C3, Class A2,
5.71%, 6/15/39

 

 

3,392

 

 

3,421,402

 

Series 2007-C4, Class A3,
5.79%, 9/15/39

 

 

2,815

 

 

2,922,567

 

Series 2007-C5, Class AAB,
5.62%, 9/15/40

 

 

2,085

 

 

2,197,488

 

Extended Stay America Trust,
Series 2010-ESHA, Class C,
4.86%, 11/05/27 (a)

 

 

2,320

 

 

2,317,406

 

First Union Commercial Mortgage
Securities, Inc., Series 1997-C2,
Class G, 7.50%, 11/18/29 (b)

 

 

3,310

 

 

3,556,006

 

GS Mortgage Securities Corp. II,
Series 2006-GG6, Class AM,
5.62%, 4/10/38 (b)

 

 

3,680

 

 

3,527,114

 

Greenwich Capital Commercial Funding
Corp.:

 

 

 

 

 

 

 

Series 2006-GG7, Class AM,
5.88%, 7/10/38 (b)

 

 

1,610

 

 

1,598,101

 

Series 2007-GG9, Class A4,
5.44%, 3/10/39

 

 

2,110

 

 

2,227,369

 

JPMorgan Chase Commercial Mortgage
Securities Corp.:

 

 

 

 

 

 

 

Series 2004-LN2, Class A2,
5.12%, 7/15/41

 

 

2,315

 

 

2,454,481

 

Series 2007-CB18, Class A4,
5.44%, 6/12/47

 

 

2,110

 

 

2,232,405

 

Series 2007-CB19, Class A4,
5.74%, 2/12/49 (b)

 

 

2,140

 

 

2,309,030

 

LB-UBS Commercial Mortgage
Trust, Series 2007-C6, Class A4,
5.86%, 7/15/40 (b)

 

 

3,395

 

 

3,634,100

 

Morgan Stanley Capital I,
Series 2007-IQ15, Class A2,
5.84%, 6/11/49 (b)

 

 

2,007

 

 

2,036,025

 

Wachovia Bank Commercial Mortgage
Trust (b):

 

 

 

 

 

 

 

Series 2007-C33, Class A2,
5.85%, 2/15/51

 

 

13,935

 

 

14,060,028

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed
Securities

 

Par
(000)

 

Value

 

Commercial Mortgage-Backed Securities (concluded)

 

 

 

 

 

 

 

Wachovia Bank Commercial Mortgage
Trust (b) (concluded):

 

 

 

 

 

 

 

Series 2007-C33, Class A4,
5.90%, 2/15/51

 

USD

2,030

 

$

2,152,943

 

 

 

 

 

 

 

60,929,353

 

Total Non-Agency Mortgage-Backed Securities –
15.1%

 

 

 

 

 

91,380,861

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000)

 

 

 

 

Auto Components — 0.0%

 

 

 

 

 

 

 

Lear Corp. Escrow

 

 

1,000

 

 

10,000

 

Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

BLW JGW SPV, LLC (J.G. Wentworth
LLC Preferred Equity
Interests) (c)(k)

 

 

1

 

 

1,450,307

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International,
Inc.

 

 

8

 

 

763

 

Household Durables — 0.0%

 

 

 

 

 

 

 

Berkline Benchcraft Equity LLC

 

 

3

 

 

—

 

Total Other Interests – 0.2%

 

 

 

 

 

1,461,070

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Auto Components — 0.1%

 

 

 

 

 

 

 

Dana Holding Corp. (a)(c)(i)

 

 

6,000

 

 

665,250

 

Total Preferred Stocks – 0.1%

 

 

 

 

 

665,250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust Preferreds

 

 

 

 

 

 

 

Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

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

 

 

69,470

 

 

1,319,930

 

Total Trust Preferreds – 0.2%

 

 

 

 

 

1,319,930

 

Total Preferred Securities – 0.3%

 

 

 

 

 

1,985,180

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

11


 

 

 

 

Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

Value

 

State of California, GO:

 

 

 

 

 

 

 

5.25%, 4/01/14

 

USD

1,075

 

$

1,148,971

 

5.10%, 8/01/14

 

 

2,225

 

 

2,336,138

 

Various Purpose 3, Mandatory
Put Bonds, 5.65%,
4/01/39 (b)

 

 

455

 

 

480,248

 

State of Illinois, GO, 3.32%, 1/01/13

 

 

5,075

 

 

5,157,621

 

Total Taxable Municipal Bonds – 1.5%

 

 

 

 

 

9,122,978

 

 

 

 

 

 

 

 

 

 

 

US Government Sponsored
Agency Securities

 

 

 

 

 

 

 

Interest Only Collateralized Mortgage Obligations — 0.4%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities, Series 2010-126,
Class UI, 5.50%, 10/25/40

 

 

13,872

 

 

2,435,090

 

Mortgage-Backed Securities — 11.0%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities (d):

 

 

 

 

 

 

 

3.50%, 8/01/26 - 9/01/26

 

 

27,468

 

 

28,568,229

 

5.00%, 7/01/20 - 8/01/23

 

 

16,155

 

 

17,442,811

 

Freddie Mac Mortgage-Backed
Securities, 4.50%, 4/01/25 (d)

 

 

19,452

 

 

20,893,171

 

 

 

 

 

 

 

66,904,211

 

Total US Government Sponsored Agency Securities –
11.4%

 

 

 

 

 

69,339,301

 

 

 

 

 

 

 

 

 

 

 

US Treasury Obligations

 

 

 

 

 

 

 

US Treasury Notes:

 

 

 

 

 

 

 

0.38%, 7/31/13

 

 

145

 

 

145,334

 

1.50%, 7/31/16 (d)

 

 

1,505

 

 

1,548,621

 

1.00%, 8/31/16

 

 

470

 

 

472,497

 

Total US Treasury Obligations – 0.4%

 

 

 

 

 

2,166,452

 

 

 

 

 

 

 

 

 

 

 

Warrants (l)

 

Shares

 

 

 

 

Media — 0.1%

 

 

 

 

 

 

 

Cumulus Media, Inc.
(Expires 3/26/19)

 

 

114,267

 

 

330,004

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management
Solutions, Inc. (Expires 9/29/17)

 

 

435

 

 

5

 

 

 

 

 

 

 

 

 

Warrants (l)

 

Shares

 

Value

 

Software (concluded)

 

 

 

 

 

 

 

HMH Holdings/EduMedia (Expires
3/09/17)

 

 

209,988

$

2

 

 

 

 

 

 

 

7

 

Total Warrants – 0.1%

 

 

 

 

 

330,011

 

Total Long-Term Investments
(Cost – $844,644,234) – 134.6%

 

 

 

 

 

815,087,916

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.13% (m)(n)

 

 

346,143

 

 

346,143

 

Total Short-Term Securities
(Cost – $346,143) – 0.1%

 

 

 

 

 

346,143

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC,
Strike Price USD 942.86, Expires
12/21/19, Broker Goldman Sachs
Bank USA

 

 

46

 

 

—

 

Total Options Purchased
(Cost – $44,978) – 0.0%

 

 

46

 

 

—

 

Total Investments Before Outstanding Options
Written (Cost – $845,044,020*) – 134.7%

 

 

 

 

 

815,434,059

 

 

 

 

 

 

 

 

 

 

 

Options Written

 

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Put Swaptions — 0.0%

 

 

 

 

 

 

 

Sold credit default protection on Dow
Jones CDX North America
Investment Grade Series 16, Strike
Price USD 120.00, Expires
12/21/11, Broker Morgan Stanley
Capital Services, Inc.

 

USD

7,700

 

 

(37,883

)

Total Options Written
(Premiums Received – $30,030) – 0.0%

 

 

 

 

 

(37,883

)

Total Investments, Net of Outstanding Options
Written — 134.7%

 

 

 

 

 

815,396,176

 

Liabilities in Excess of Other Assets – (34.7)%

 

 

 

 

 

(210,196,925

)

Net Assets – 100.0%

 

 

 

 

$

605,199,251

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

12


 

 

 

 

Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of November 30, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

 

 

Aggregate cost

 

$

842,579,190

 

 

Gross unrealized appreciation

 

$

15,892,933

 

 

Gross unrealized depreciation

 

 

(43,038,064

)

 

Net unrealized depreciation

 

$

(27,145,131

)

 

 

(a)

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

 

 

(b)

Variable rate security. Rate shown is as of report date.

 

 

(c)

Non-income producing security.

 

 

(d)

All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.

 

 

(e)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(f)

Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date.

 

 

(g)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(h)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(i)

Convertible security.

 

 

(j)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

 

(k)

Wholly owned subsidiary.

 

 

(l)

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.

 

 

(m)

Investments in companies considered to be an affiliate of the Trust during the period, 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,
2011

 

Net Activity

 

Shares
Held at
November
30, 2011

 

Income

 

 

BlackRock Liquidity

 

 

 

 

 

 

 

 

 

 

 

Funds, TempFund,

 

 

 

 

 

 

 

 

 

 

 

Institutional Class

 

5,229,778

 

(4,883,635)

 

346,143

 

$

1,203

 

 

 

(n)

Represents the current yield as of report date.

 

 

•

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


 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

13


 

 

 

 

Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)


 

 

•

Financial futures contracts purchased as of November 30, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation
(Depreciation)

 

 

12

 

 

90-Day Eurodollar

 

 

Chicago Mercantile Exchange

 

 

December 2011

 

$

2,984,025

 

$

(108

)

 

12

 

 

90-Day Eurodollar

 

 

Chicago Mercantile Exchange

 

 

March 2012

 

$

2,982,000

 

 

3,117

 

 

8

 

 

90-Day Eurodollar

 

 

Chicago Mercantile Exchange

 

 

June 2012

 

$

1,987,200

 

 

6,878

 

 

8

 

 

90-Day Eurodollar

 

 

Chicago Mercantile Exchange

 

 

September 2012

 

$

1,986,900

 

 

12,978

 

 

8

 

 

90-Day Eurodollar

 

 

Chicago Mercantile Exchange

 

 

March 2013

 

$

1,986,400

 

 

23,678

 

 

6

 

 

90-Day Eurodollar

 

 

Chicago Mercantile Exchange

 

 

June 2013

 

$

1,489,200

 

 

21,283

 

 

6

 

 

90-Day Eurodollar

 

 

Chicago Mercantile Exchange

 

 

September 2013

 

$

1,488,300

 

 

24,059

 

 

6

 

 

90-Day Eurodollar

 

 

Chicago Mercantile Exchange

 

 

December 2013

 

$

1,486,800

 

 

26,233

 

 

6

 

 

90-Day Eurodollar

 

 

Chicago Mercantile Exchange

 

 

March 2014

 

$

1,484,850

 

 

27,584

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

145,702

 

 

 

•

Foreign currency exchange contracts as of November 30, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency Purchased

 

Currency Sold

 

Counterparty

 

Settlement Date

 

Unrealized
Appreciation
(Depreciation)

 

 

GBP

 

 

2,735,000

 

 

USD

 

 

4,328,516

 

 

Citibank NA

 

 

1/18/12

 

$

(39,405

)

 

GBP

 

 

152,000

 

 

USD

 

 

241,570

 

 

Deutsche Bank AG

 

 

1/18/12

 

 

(3,199

)

 

USD

 

 

33,056,564

 

 

GBP

 

 

21,210,500

 

 

Citibank NA

 

 

1/18/12

 

 

(206,391

)

 

EUR

 

 

215,000

 

 

USD

 

 

292,496

 

 

Deutsche Bank AG

 

 

1/25/12

 

 

(3,460

)

 

EUR

 

 

505,000

 

 

USD

 

 

685,731

 

 

Royal Bank of Scotland Plc

 

 

1/25/12

 

 

(6,832

)

 

USD

 

 

16,887,750

 

 

EUR

 

 

12,282,000

 

 

Citibank NA

 

 

1/25/12

 

 

376,391

 

 

USD

 

 

79,223

 

 

EUR

 

 

57,000

 

 

Royal Bank of Scotland Plc

 

 

1/25/12

 

 

2,595

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

119,699

 

 

 

•

Credit default swaps on single-name issues - sold protection outstanding as of November 30, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Depreciation

 

 

Aviva USA Corp.

 

 

1.00%

 

 

Deutsche Bank AG

 

 

5/25/12

 

 

BBB+

 

$

4,700

 

$

(5,528

)

 

 

1

Using Standard and Poor’s rating.

 

 

2

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

 

 

•

Credit default swaps on traded indexes - buy protection outstanding as of November 30, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 

 

Dow Jones CDX North
America Investment
Grade Index Series 16

 

 

1.00%

 

 

Morgan Stanley & Co., Inc.

 

 

6/20/16

 

$

7,700

 

$

120,107

 

 

 

•

Reverse repurchase agreements outstanding as of November 30, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date1

 

Net Closing
Amount

 

Face
Amount

 

 

Deutsche Bank NA

 

 

0.55%

 

 

7/18/11

 

 

Open

 

$

19,859,123

 

$

19,818,550

 

 

Deutsche Bank, NA

 

 

0.55%

 

 

8/15/11

 

 

Open

 

 

10,628,935

 

 

10,611,750

 

 

UBS Securities LLC

 

 

0.55%

 

 

10/04/11

 

 

Open

 

 

3,393,529

 

 

3,390,625

 

 

Deutsche Bank, NA

 

 

0.55%

 

 

10/05/11

 

 

Open

 

 

3,689,028

 

 

3,685,875

 

 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

14


 

 

 

 

Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

 

•

Reverse repurchase agreements outstanding as of November 30, 2011 were as follows (concluded):


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date1

 

Net Closing
Amount

 

Face
Amount

 

Barclays Capital, Inc.

 

0.40%

 

10/06/11

 

Open

 

$

2,570,320

 

$

2,568,750

 

Credit Suisse Securities (USA) LLC

 

0.40%

 

10/06/11

 

Open

 

 

3,507,004

 

 

3,504,862

 

Deutsche Bank, NA

 

0.35%

 

10/06/11

 

Open

 

 

3,331,781

 

 

3,330,000

 

Deutsche Bank, NA

 

0.55%

 

10/06/11

 

Open

 

 

6,267,762

 

 

6,262,500

 

Barclays Capital, Inc.

 

0.40%

 

10/12/11

 

Open

 

 

2,952,857

 

 

2,951,250

 

BNP Paribas

 

0.55%

 

10/12/11

 

Open

 

 

1,311,576

 

 

1,310,615

 

Credit Suisse Securities
(USA) LLC

 

0.45%

 

10/12/11

 

Open

 

 

4,282,797

 

 

4,280,175

 

Credit Suisse Securities
(USA) LLC

 

0.55%

 

10/12/11

 

Open

 

 

7,637,228

 

 

7,631,515

 

Deutsche Bank, NA

 

0.55%

 

10/12/11

 

Open

 

 

3,155,172

 

 

3,152,812

 

Credit Suisse Securities
(USA) LLC

 

0.55%

 

10/13/11

 

Open

 

 

2,603,712

 

 

2,601,844

 

UBS Securities LLC

 

0.35%

 

10/13/11

 

Open

 

 

2,617,121

 

 

2,615,900

 

Credit Suisse Securities
(USA) LLC

 

0.55%

 

10/14/11

 

Open

 

 

313,657

 

 

313,432

 

Deutsche Bank, NA

 

0.58%

 

10/14/11

 

Open

 

 

4,534,321

 

 

4,530,890

 

Barclays Capital, Inc.

 

0.40%

 

10/25/11

 

Open

 

 

3,150,510

 

 

3,149,250

 

Credit Suisse Securities
(USA) LLC

 

0.55%

 

10/25/11

 

Open

 

 

9,597,483

 

 

9,592,207

 

Deutsche Bank, NA

 

0.38%

 

10/25/11

 

Open

 

 

3,012,394

 

 

3,011,250

 

Barclays Capital, Inc.

 

0.40%

 

10/26/11

 

Open

 

 

24,508,433

 

 

24,498,906

 

Credit Suisse Securities
(USA) LLC

 

0.55%

 

10/27/11

 

Open

 

 

1,002,921

 

 

1,002,400

 

UBS Securities LLC

 

0.54%

 

11/08/11

 

Open

 

 

1,846,564

 

 

1,845,983

 

Deutsche Bank, NA

 

(5.50%)

 

11/14/11

 

Open

 

 

2,233,776

 

 

2,239,250

 

Credit Suisse Securities
(USA) LLC

 

0.23%

 

11/16/11

 

12/15/11

 

 

65,098,207

 

 

65,104,861

 

Credit Suisse Securities
(USA) LLC

 

0.40%

 

11/16/11

 

Open

 

 

2,360,180

 

 

2,359,000

 

Credit Suisse Securities
(USA) LLC

 

0.50%

 

11/16/11

 

Open

 

 

3,778,873

 

 

3,778,138

 

Credit Suisse Securities
(USA) LLC

 

0.55%

 

11/16/11

 

Open

 

 

9,933,961

 

 

9,931,837

 

Deutsche Bank, NA

 

0.14%

 

11/23/11

 

Open

 

 

475,297

 

 

475,288

 

Deutsche Bank, NA

 

0.14%

 

11/28/11

 

Open

 

 

1,435,186

 

 

1,435,175

 

Barclays Capital, Inc.

 

0.40%

 

11/30/11

 

Open

 

 

2,339,750

 

 

2,339,750

 

UBS Securities LLC

 

0.40%

 

11/30/11

 

Open

 

 

2,897,750

 

 

2,897,750

 

Total

 

 

 

 

 

 

 

$

216,333,396

 

$

216,210,330

 

 

 

1

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


 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

15


 

 

 

 

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 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 and liabilities

 

 

 

 

•

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)


Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its annual report.

 

 

 

The following tables summarize the inputs used as of November 30, 2011 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

—

 

$

26,572,850

 

$

10,900,909

 

$

37,473,759

 

Common Stocks

 

 

—

 

 

500,520

 

 

10,864,863

 

 

11,365,383

 

Corporate Bonds

 

 

—

 

 

332,344,922

 

 

1,764

 

 

332,346,686

 

Floating Rate Loan Interests

 

 

—

 

 

224,593,576

 

 

33,522,659

 

 

258,116,235

 

Non-Agency Mortgage-
Backed Securities

 

 

—

 

 

88,776,214

 

 

2,604,647

 

 

91,380,861

 

Other Interests

 

 

—

 

 

—

 

 

1,461,070

 

 

1,461,070

 

Preferred Securities

 

$

1,319,930

 

 

665,250

 

 

—

 

 

1,985,180

 

Taxable Municipal Bonds

 

 

—

 

 

9,122,978

 

 

—

 

 

9,122,978

 

US Government Sponsored
Agency Securities

 

 

—

 

 

69,339,301

 

 

—

 

 

69,339,301

 

US Treasury Obligations

 

 

—

 

 

2,166,452

 

 

—

 

 

2,166,452

 

Warrants

 

 

—

 

 

330,004

 

 

7

 

 

330,011

 

Short-Term Securities

 

 

346,143

 

 

—

 

 

—

 

 

346,143

 

Total

 

$

1,666,073

 

$

754,412,067

 

$

59,355,919

 

$

815,434,059

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange
contracts

 

 

—

 

$

378,986

 

 

—

 

$

378,986

 

Interest rate contracts

 

$

145,810

 

 

—

 

 

—

 

 

145,810

 

Credit contracts

 

 

—

 

 

120,107

 

 

—

 

 

120,107

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange
contracts

 

 

—

 

 

(259,287

)

 

—

 

 

(259,287

)

Interest rate contracts

 

 

(108

)

 

 

 

 

—

 

 

(108

)

Credit contracts

 

 

—

 

 

(37,883

)

$

(5,528

)

 

(43,411

)

Total

 

$

145,702

 

$

201,923

 

$

(5,528

)

$

342,097

 

 

 

1

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


 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

16


 

 

 

 

Schedule of Investments (concluded)

BlackRock Limited Duration Income Trust (BLW)


The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-
Backed
Securities

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan
Interests

 

Non-
Agency
Mortgage-
Backed
Securities

 

Other
Interests

 

Warrants

 

Preferred
Stocks

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2011

 

$

11,549,300

 

$

3,358,522

 

$

186,065

 

$

38,869,232

 

$

2,829,283

 

$

1,441,471

 

$

292,017

 

$

384,565

 

$

58,910,455

 

Accrued discounts/premiums

 

 

(65,812

)

 

—

 

 

704

 

 

84,412

 

 

1,884

 

 

—

 

 

—

 

 

—

 

 

21,188

 

Net realized gain (loss)

 

 

30

 

 

—

 

 

66,012

 

 

28,571

 

 

16,990

 

 

—

 

 

—

 

 

452,430

 

 

564,033

 

Net change in unrealized
appreciation/depreciation2

 

 

(89,224

)

 

5,182,235

 

 

(57,017

)

 

(851,617

)

 

(26,579

)

 

9,766

 

 

—

 

 

(384,565

)

 

3,782,999

 

Purchases

 

 

—

 

 

2,373,031

 

 

—

 

 

990,998

 

 

—

 

 

9,833

 

 

—

 

 

—

 

 

3,373,862

 

Sales

 

 

(493,385

)

 

—

 

 

(194,000

)

 

(1,197,381

)

 

(216,931

)

 

—

 

 

—

 

 

(452,430

)

 

(2,554,127

)

Transfers in3

 

 

—

 

 

—

 

 

—

 

 

8,380,313

 

 

—

 

 

—

 

 

—

 

 

—

 

 

8,380,313

 

Transfers out3

 

 

—

 

 

(48,925

)

 

—

 

 

(12,781,869

)

 

—

 

 

—

 

 

(292,010

)

 

—

 

 

(13,122,804

)

Balance, as of November 30, 2011

 

$

10,900,909

 

$

10,864,863

 

$

1,764

 

$

33,522,659

 

$

2,604,647

 

$

1,461,070

 

$

7

 

 

—

 

$

59,355,919

 

 

 

 

 

2

The change in the unrealized appreciation/depreciation on the securities still held on November 30, 2011 was $4,224,581.

 

 

 

 

3

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

 

 

 

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

 

 

 

 

 

Credit
Contracts

 

Liabilities:

 

 

 

 

Balance, as of August 31, 2011

 

$

(3,846

)

Accrued discounts/premiums

 

 

7,543

 

Net realized gain (loss)

 

 

—

 

Net change in unrealized
appreciation/depreciation4

 

 

(1,682

)

Purchases

 

 

—

 

Issuances5

 

 

—

 

Sales

 

 

—

 

Settlements6

 

 

(7,543

)

Transfers in7

 

 

—

 

Transfers out7

 

 

—

 

Balance, as of November 30, 2011

 

$

(5,528

)

 

 

4

The change in unrealized appreciation/depreciation on derivative financial instruments still held on November 30, 2011 was $(1,682).

 

 

5

Issuances represent upfront cash received on certain derivative financial instruments.

 

 

6

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

 

 

7

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

 

 

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets.

 

 

 

 

 

 

 

 

 

BLACKROCK LIMITED DURATION INCOME TRUST

NOVEMBER 30, 2011

17

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: January 23, 2012

 

 

 

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: January 23, 2012

 

 

 

 By: /s/ Neal J. Andrews

 

 

 

Neal J. Andrews

 

 

Chief Financial Officer (principal financial officer) of

 

 

BlackRock Limited Duration Income Trust

 

 

 

 

Date: January 23, 2012