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: 05/31/2012

Item 1 – Schedule of Investments

 
 
Consolidated Schedule of Investments May 31, 2012 (Unaudited) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

 

    Par
(000)		 Value
Asset-Backed Securities      
Asset-Backed Securities — 5.9%      
321 Henderson Receivables I LLC,      
Series 2010-3A, Class A, 3.82%,      
12/15/48 (a) USD 4,529 $ 4,622,240
American Airlines Pass-Through      
Trust, Series 2011-2, Class A,      
8.63%, 10/15/21 (b)   871 915,064
AmeriCredit Automobile      
Receivables Trust, Series 2012-      
2, Class D, 3.38%, 4/09/18   1,990 1,996,959
Capital One Multi-Asset Execution      
Trust, Series 4-3C, 6.63%,      
4/19/17 (c) GBP 2,650 4,178,051
Conseco Financial Corp., Series      
1995-5, Class M1, 7.65%,      
9/15/26 (c) USD 795 811,949
Countrywide Asset-Backed Certificates (c):      
Series 2007-10, Class 2A1,      
0.29%, 6/25/47   843 833,044
Series 2007-12, Class 2A1,      
0.59%, 8/25/47   1,270 1,252,179
Series 2007-6, Class 2A1,      
0.34%, 9/25/37   19 18,580
Series 2007-7, Class 2A2,      
0.40%, 10/25/47   3,230 2,961,813
CSAM Funding, Series 2A, Class      
B1, 7.05%, 10/15/16   750 755,850
Ford Credit Floorplan Master Owner    
Trust:      
Series 2010-5, Class C,      
2.07%, 9/15/15 (a)   890 895,044
Series 2011-2, Class C,      
2.37%, 9/15/15   1,125 1,125,697
Series 2011-2, Class D,      
2.86%, 9/15/15   1,145 1,145,623
Fraser Sullivan CLO Ltd., Series      
2012-7A, Class C, 4.47%,      
4/20/23 (a)(c)   1,090 968,465
Gannett Peak CLO Ltd., Series      
2006-1X, Class A2, 0.83%,      
10/27/20 (c)   1,330 1,083,950
Goldentree Loan Opportunities VI      
Ltd., Series 2012-6A, Class D,      
4.61%, 4/17/22 (a)(c)   1,500 1,387,050
GSAA Trust, Series 2007-3, Class      
1A2, 0.41%, 3/25/47 (c)   3,161 1,221,537
Santander Consumer Acquired      
Receivables Trust, Series 2011-      
S1A, Class D, 3.15%, 8/15/16 (a)   2,532 2,516,265
Santander Drive Auto Receivables Trust:    
Series 2011-S1A, Class D,      
3.10%, 5/15/17 (a)   1,230 1,226,893
Series 2011-S2A, Class B,      
2.06%, 6/15/17 (a)   645 644,880

 

    Par
(000)		 Value
Asset-Backed Securities      
Asset-Backed Securities (concluded)    
Santander Drive Auto Receivables Trust    
(concluded):      
Series 2011-S2A, Class C,      
2.86%, 6/15/17 (a) USD 668 $ 666,948
Series 2012-3, Class D,      
3.64%, 5/15/18   2,865 2,867,783
SLC Student Loan Trust, Series      
2006-A, Class A4, 0.59%,      
1/15/19 (c)   1,169 1,164,333
Spirit Issuer Plc, Series A2, 3.73%,      
12/28/31 GBP 1,800 1,858,687
      37,118,884
Interest Only Asset-Backed Securities — 0.3%  
Sterling Bank Trust, Series 2004-2,    
Class Note, 2.08%, 3/30/30 (a) USD 11,873 905,281
Sterling Coofs Trust, Series 1,      
2.36%, 4/15/29   10,799 843,651
      1,748,932
Total Asset-Backed Securities – 6.2%   38,867,816
 
    Shares  
Common Stocks (d)      
Auto Components — 1.3%      
Delphi Automotive Plc   267,741 7,772,519
Construction & Engineering — 0.0%      
USI United Subcontractors   6,116 12,231
Diversified Financial Services — 0.4%    
Kcad Holdings I Ltd.   300,277,327 2,380,298
Hotels, Restaurants & Leisure — 0.1%    
BLB Worldwide Holdings, Inc.   51,947 618,169
Travelport Worldwide Ltd.   176,501 88,251
      706,420
Metals & Mining — 0.0%      
Euramax International   234 67,773
Software — 0.0%      
Bankruptcy Management      
Solutions, Inc. (d)   880 26
HMH Holdings/EduMedia (d)   238,664 2,387
      2,413
Total Common Stocks – 1.8%     10,941,654
       
       

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 20121
 

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

 

    Par
(000)		 Value
Corporate Bonds      
Aerospace & Defense — 0.4%      
Huntington Ingalls Industries, Inc.,      
7.13%, 3/15/21 USD 650 $ 674,375
Kratos Defense & Security      
Solutions, Inc., 10.00%,      
6/01/17   1,966 2,083,960
      2,758,335
Airlines — 1.4%      
Continental Airlines, Inc., 6.75%,      
9/15/15 (a)(b)   1,350 1,360,125
Delta Air Lines, Inc., Series 2009-      
1, Class B, 9.75%, 6/17/18 (b)   262 280,685
United Air Lines, Inc., 12.75%,      
7/15/12 (b)   2,455 2,479,752
US Airways Pass Through Trust:      
Series 2011-1, Class C, Series      
2011-1, Class C, 10.88%,      
10/22/14   1,599 1,646,811
Series 2012-1, Class C,      
9.13%, 10/01/15 (e)   2,706 2,706,000
      8,473,373
Auto Components — 0.4%      
Baker Corp. International, Inc.,      
8.25%, 6/01/19 (a)   240 240,000
Jaguar Land Rover Plc, 8.25%,      
3/15/20 GBP 554 837,602
Titan International, Inc., 7.88%,      
10/01/17 (b) USD 1,330 1,376,550
      2,454,152
Beverages — 0.3%      
Crown European Holdings SA:      
7.13%, 8/15/18 (a) EUR 716 945,094
7.13%, 8/15/18   657 867,217
      1,812,311
Building Products — 0.4%      
Building Materials Corp. of America      
(a)(b):      
7.00%, 2/15/20 USD 1,345 1,412,250
6.75%, 5/01/21   1,030 1,053,175
      2,465,425
Capital Markets — 1.1%      
American Capital Ltd., 7.96%,      
12/31/13 (e)   1,675 1,679,707
Deutsche Bank AG, 1.67%,      
3/09/17 EUR 816 871,258
E*Trade Financial Corp.:      
12.50%, 11/30/17 USD 2,515 2,885,962
2.36%, 8/31/19 (a)(f)(g)   249 210,094
SteelRiver Transmission Co. LLC,      
4.71%, 6/30/17 (a)   1,224 1,272,021
      6,919,042

 

    Par
(000)		 Value
Corporate Bonds      
Chemicals — 2.7%      
American Pacific Corp., 9.00%,      
2/01/15 USD 1,100 $ 1,094,500
Celanese US Holdings LLC, 5.88%,      
6/15/21 (b)   805 839,212
Hexion US Finance Corp.:      
6.63%, 4/15/20 (a)   755 764,437
9.00%, 11/15/20   735 641,288
Huntsman International LLC,      
8.63%, 3/15/21   655 733,600
Ineos Finance Plc (a):      
8.38%, 2/15/19 (b)   1,665 1,710,787
7.50%, 5/01/20   1,015 1,004,850
Ineos Group Holdings Plc, 8.50%,      
2/15/16 (a)   345 311,363
Kinove German Bondco GmbH,      
9.63%, 6/15/18 (a)   1,000 1,022,500
LyondellBasell Industries NV,      
5.75%, 4/15/24 (a)(b)   2,520 2,583,000
Nova Chemicals Corp., 8.38%,      
11/01/16 (b)   5,500 6,056,875
      16,762,412
Commercial Banks — 2.4%      
CIT Group, Inc. (b):      
5.25%, 4/01/14 (a)   3,614 3,677,245
4.75%, 2/15/15 (a)   2,409 2,396,955
5.00%, 5/15/17   890 874,425
5.50%, 2/15/19 (a)   2,040 1,983,900
HSBC Bank Plc, 3.10%, 5/24/16      
(a)(b)   2,560 2,640,361
HSBC Holdings Plc, 6.25%,      
3/19/18 EUR 1,000 1,352,672
Nordea Bank AB, 4.50%, 3/26/20   1,020 1,238,627
Regions Financial Corp., 4.88%,      
4/26/13 (b) USD 907 920,605
      15,084,790
Commercial Services & Supplies — 1.0%    
ARAMARK Corp., 8.50%, 2/01/15   980 1,003,285
ARAMARK Holdings Corp., 8.63%,      
5/01/16 (a)(h)   890 910,034
Brickman Group Holdings, Inc.,      
9.13%, 11/01/18 (a)   63 60,480
Covanta Holding Corp., 6.38%,      
10/01/22 (b)   1,130 1,171,673
Iron Mountain, Inc., 7.75%,      
10/01/19 (b)   610 649,650
Mead Products LLC/ACCO Brands      
Corp., 6.75%, 4/30/20 (a)   600 616,500
Mobile Mini, Inc., 7.88%,      
12/01/20 (b)   915 960,750
Verisure Holding AB:      
8.75%, 9/01/18 EUR 526 609,749
8.75%, 12/01/18   221 228,178
West Corp., 8.63%, 10/01/18 USD 165 172,012
      6,382,311

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 20122
 

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

 

    Par
(000)		 Value
Corporate Bonds      
Communications Equipment — 0.2%    
Avaya, Inc., 9.75%, 11/01/15 (b) USD 510 $ 420,750
Hughes Satellite Systems Corp.,      
6.50%, 6/15/19 (b)   850 862,750
      1,283,500
Construction Materials — 0.4%      
HD Supply, Inc., 8.13%, 4/15/19      
(a)(b)   2,400 2,502,000
Consumer Finance — 1.0%      
Ford Motor Credit Co. LLC (b):      
7.80%, 6/01/12   1,665 1,665,000
3.88%, 1/15/15   2,475 2,578,119
7.00%, 4/15/15   400 449,000
Hyundai Capital America, 3.75%,      
4/06/16 (a)(b)   1,285 1,318,799
      6,010,918
Containers & Packaging — 0.5%      
Ardagh Packaging Finance Plc:      
7.38%, 10/15/17 (a) EUR 587 747,601
7.38%, 10/15/17   100 127,359
Berry Plastics Corp.:      
4.34%, 9/15/14 (c) USD 700 685,125
8.25%, 11/15/15 (b)   490 518,175
9.75%, 1/15/21   670 696,800
Beverage Packaging Holdings      
Luxembourg II SA, 8.00%,      
12/15/16 EUR 223 242,651
Sealed Air Corp., 8.38%, 9/15/21      
(a)(b) USD 295 324,500
      3,342,211
Diversified Financial Services — 4.7%    
Ally Financial, Inc. (b):      
8.30%, 2/12/15   2,460 2,632,200
7.50%, 9/15/20   1,630 1,788,925
8.00%, 11/01/31   2,140 2,407,500
8.00%, 11/01/31   950 1,061,781
Banque Paribas, 6.95%, 7/22/13 (b)   2,100 2,165,262
CNG Holdings, Inc., 9.38%,      
5/15/20 (a)   700 703,500
DPL, Inc., 7.25%, 10/15/21 (a)(b)   255 277,312
The Goldman Sachs Group, Inc. (b):    
5.13%, 1/15/15   3,515 3,623,322
3.30%, 5/03/15   3,285 3,237,305
Intesa Sanpaolo SpA, 2.38%,      
12/21/12 (b)   3,335 3,237,748
Morgan Stanley (b):      
5.25%, 11/02/12   795 804,424
5.30%, 3/01/13   825 841,500
Reynolds Group Issuer, Inc.:      
7.75%, 10/15/16 EUR 165 209,633
7.13%, 4/15/19 (a)(b) USD 1,990 2,044,725
9.88%, 8/15/19 (a)   1,855 1,850,362
6.88%, 2/15/21 (a)(b)   1,475 1,497,125
8.50%, 2/15/21 (a)   220 204,050

 

    Par
(000)		 Value
Corporate Bonds      
Diversified Financial Services (concluded)    
SLM Corp., Series A, 5.00%,      
10/01/13 USD 150 $ 153,188
WMG Acquisition Corp., 9.50%,    
6/15/16 (a)   280 298,900
      29,038,762
Diversified Telecommunication Services — 1.5%  
ITC Deltacom, Inc., 10.50%,      
4/01/16   1,350 1,420,875
Level 3 Financing, Inc.:      
4.51%, 2/15/15 (b)(c)   1,725 1,643,063
8.13%, 7/01/19   3,083 3,083,000
Qwest Communications      
International, Inc., 8.00%,      
10/01/15 (b)   2,500 2,640,762
Windstream Corp., 8.13%,      
8/01/13   590 620,975
      9,408,675
Electronic Equipment, Instruments & Components — 1.2%  
Agilent Technologies, Inc., 4.45%,    
9/14/12 (b)   7,325 7,397,876
Energy Equipment & Services — 1.8%    
Calfrac Holdings LP, 7.50%,      
12/01/20 (a)(b)   1,105 1,038,700
Compagnie Générale de Géophysique    
Veritas:      
7.75%, 5/15/17   330 339,900
6.50%, 6/01/21   2,115 2,072,700
Frac Tech Services LLC, 8.13%,    
11/15/18 (a)(b)   1,690 1,673,100
Gulfmark Offshore, Inc., 6.38%,    
3/15/22 (a)   185 185,925
Hornbeck Offshore Services, Inc.,    
5.88%, 4/01/20 (a)   375 367,500
Key Energy Services, Inc., 6.75%,    
3/01/21 (b)   1,040 1,043,900
Oil States International, Inc.,      
6.50%, 6/01/19 (b)   725 748,563
Peabody Energy Corp., 6.25%,      
11/15/21 (a)(b)   2,085 2,079,787
Transocean, Inc., (b)      
4.95%, 11/15/15   1,040 1,122,827
5.05%, 12/15/16   180 196,548
6.00%, 3/15/18   230 259,188
      11,128,638
Food & Staples Retailing — 0.1%    
Bakkavor Finance 2 Plc, 8.25%,    
2/15/18 GBP 105 131,888
Rite Aid Corp., 9.25%, 3/15/20 (a) USD 615 588,863
      720,751
Food Products — 0.2%      
Constellation Brands, Inc., 6.00%,    
5/01/22 (b)   660 701,250

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 20123
 

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

 

    Par
(000)		 Value
Corporate Bonds      
Food Products (concluded)      
Post Holdings, Inc., 7.38%,      
2/15/22 (a)(b) USD 370 $ 376,475
      1,077,725
Gas Utilities — 0.3%      
Florida Gas Transmission Co. LLC,      
4.00%, 7/15/15 (a)(b)   2,000 2,110,672
Health Care Equipment & Supplies — 1.2%    
Bausch & Lomb, Inc., 9.88%,      
11/01/15   170 178,075
Biomet, Inc., 10.38%, 10/15/17 (h)   1,165 1,239,997
CareFusion Corp., 5.13%, 8/01/14 (b)   3,000 3,226,041
DJO Finance LLC:      
10.88%, 11/15/14   587 597,272
8.75%, 3/15/18 (a)   300 301,500
7.75%, 4/15/18   540 436,050
Fresenius Medical Care US      
Finance II, Inc., 5.63%, 7/31/19      
(a)(b)   960 952,800
Teleflex, Inc., 6.88%, 6/01/19 (b)   675 715,500
      7,647,235
Health Care Providers & Services — 2.7%    
Aviv Healthcare Properties LP:      
7.75%, 2/15/19   645 670,800
7.75%, 2/15/19 (a)   350 360,500
Crown Newco 3 Plc, 7.00%,      
2/15/18 GBP 541 794,184
HCA, Inc. (b):      
6.50%, 2/15/20 USD 2,845 3,005,031
5.88%, 3/15/22   4,210 4,178,425
IASIS Healthcare LLC, 8.38%,      
5/15/19   1,375 1,292,500
Omnicare, Inc., 7.75%, 6/01/20 (b)   1,135 1,245,663
Tenet Healthcare Corp.:      
10.00%, 5/01/18 (b)   3,032 3,456,480
8.88%, 7/01/19   395 439,438
United Surgical Partners      
International, Inc., 9.00%,      
4/01/20 (a)   590 612,125
Vanguard Health Holding Co. II      
LLC, 7.75%, 2/01/19 (a)   800 784,000
      16,839,146
Health Care Technology — 0.8%      
IMS Health, Inc., 12.50%, 3/01/18      
(a)(b)   4,300 5,031,000
Hotels, Restaurants & Leisure — 2.9%    
Affinity Gaming LLC/Affinity      
Gaming Finance Corp., 9.00%,      
5/15/18 (a)   330 330,000
Caesars Entertainment Operating      
Co., Inc., 11.25%, 6/01/17   300 318,750

 

    Par
(000)		 Value
Corporate Bonds      
Hotels, Restaurants & Leisure (concluded)    
Caesars Operating Escrow LLC.,      
8.50%, 2/15/20 (a)(b) USD 1,400 $ 1,394,750
Carlson Wagonlit BV, 6.88%,      
6/15/19 (a)   370 368,150
Enterprise Inns Plc:      
6.50%, 12/06/18 GBP 2,232 2,628,129
6.88%, 2/15/21   2,070 2,312,956
Gategroup Finance Luxembourg      
SA, 6.75%, 3/01/19 EUR 290 350,517
Spirit Issuer Plc (c):      
1.58%, 12/28/28 GBP 3,325 3,279,674
5.47%, 12/28/34   4,500 4,993,488
Travelport LLC, 6.47%, 12/01/16      
(a)(h) USD 946 683,502
Tropicana Entertainment LLC,      
9.63%, 12/15/14 (d)(i)   375 —
Wynn Las Vegas LLC, 5.38%,      
3/15/22 (a)(b)   1,410 1,365,938
      18,025,854
Household Durables — 0.9%      
Beazer Homes USA, Inc., 12.00%,      
10/15/17   2,325 2,505,188
Berkline/Benchcraft LLC, 4.50%,      
11/03/12 (d)(i)   200 —
Libbey Glass, Inc., 6.88%,      
5/15/20 (a)   250 250,625
Spie BondCo 3 SCA, 11.00%,      
8/15/19 EUR 348 407,711
Standard Pacific Corp., 8.38%,      
1/15/21 USD 2,400 2,568,000
      5,731,524
Independent Power Producers & Energy Traders — 2.8%  
AES Corp.:      
7.75%, 10/15/15 (b)   2,440 2,708,400
9.75%, 4/15/16 (b)   710 832,475
7.38%, 7/01/21 (a)   185 199,800
Calpine Corp. (a)(b):      
7.25%, 10/15/17   405 427,275
7.50%, 2/15/21   530 553,850
Energy Future Holdings Corp.,      
10.00%, 1/15/20 (b)   2,805 2,980,312
Energy Future Intermediate Holding Co.    
LLC (b):      
10.00%, 12/01/20   5,970 6,432,675
11.75%, 3/01/22 (a)   1,495 1,524,900
Laredo Petroleum, Inc.:      
9.50%, 2/15/19   655 727,050
7.38%, 5/01/22 (a)   590 603,275
QEP Resources, Inc., 5.38%,      
10/01/22 (b)   476 465,290
      17,455,302
Industrial Conglomerates — 1.5%      
Sequa Corp. (a):      
11.75%, 12/01/15   2,950 3,130,688

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 20124
 

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

 

    Par
(000)		 Value
Corporate Bonds      
Industrial Conglomerates (concluded)    
Sequa Corp. (a) (concluded):      
13.50%, 12/01/15 USD 5,870 $ 6,229,536
      9,360,224
Insurance — 1.9%      
Allied World Assurance Co.      
Holdings, Ltd., 7.50%, 8/01/16 (b)   3,000 3,462,669
American International Group, Inc.,      
3.00%, 3/20/15 (b)   3,120 3,150,723
CNO Financial Group, Inc., 9.00%,      
1/15/18 (a)(b)   2,353 2,494,180
Forethought Financial Group, Inc.,      
8.63%, 4/15/21 (a)(b)   750 779,479
Genworth Financial, Inc., 7.63%,      
9/24/21 (b)   990 960,754
MPL 2 Acquisition Canco, Inc.,      
9.88%, 8/15/18 (a)   595 511,700
Muenchener Rueckversicherungs      
AG, 6.00%, 5/26/41 (c) EUR 400 474,683
      11,834,188
IT Services — 0.6%      
Epicor Software Corp., 8.63%,      
5/01/19 USD 1,260 1,263,150
First Data Corp.:      
7.38%, 6/15/19 (a)(b)   1,175 1,175,000
8.25%, 1/15/21 (a)   90 87,300
12.63%, 1/15/21   1,018 959,465
      3,484,915
Machinery — 0.7%      
UR Financing Escrow Corp. (a):      
5.75%, 7/15/18 (b)   1,244 1,265,770
7.38%, 5/15/20   805 825,125
7.63%, 4/15/22   2,518 2,574,655
      4,665,550
Media — 6.2%      
AMC Networks, Inc., 7.75%,      
7/15/21 (a)(b)   525 582,750
CCH II LLC, 13.50%, 11/30/16   4,106 4,598,763
CCO Holdings LLC, 7.88%,      
4/30/18 (b)   1,095 1,174,387
Cengage Learning Acquisitions,      
Inc., 11.50%, 4/15/20 (a)   1,000 997,500
Checkout Holding Corp., 7.65%,      
11/15/15 (a)(f)   1,570 612,300
Clear Channel Communications,      
Inc., 9.00%, 3/01/21   1,045 898,700
Clear Channel Worldwide Holdings, Inc.:    
9.25%, 12/15/17   933 998,310
7.63%, 3/15/20 (a)   2,860 2,731,300
Series B, 9.25%, 12/15/17 (b)   5,007 5,382,525
DIRECTV Holdings LLC, 3.13%,      
2/15/16 (b)   3,000 3,122,829
DISH DBS Corp. (b):      
7.00%, 10/01/13   1,267 1,336,685

 

    Par
(000)		 Value
Corporate Bonds      
Media (concluded)      
DISH DBS Corp. (b)(concluded):      
7.13%, 2/01/16 USD 200 $ 214,000
5.88%, 7/15/22 (a)   795 775,125
Intelsat Jackson Holdings SA,      
7.25%, 10/15/20 (a)   1,950 1,935,375
Intelsat Luxemburg SA:      
11.25%, 2/04/17   360 353,700
11.50%, 2/04/17 (h)   280 275,100
Interactive Data Corp., 10.25%,      
8/01/18   2,210 2,447,575
Lamar Media Corp., 5.88%,      
2/01/22 (a)(b)   675 679,219
NAI Entertainment Holdings LLC,      
8.25%, 12/15/17 (a)(b)   1,445 1,575,050
ProQuest LLC, 9.00%, 10/15/18 (a)   600 516,000
ProtoStar I Ltd., 18.00%,      
10/15/12 (a)(d)(g)(i)   3,454 1,727
Truven Health Analytics, Inc.,      
10.63%, 6/01/20 (a)(j)   540 531,900
Unitymedia Hessen GmbH & Co. KG:    
8.13%, 12/01/17 (a)(b)   4,090 4,314,950
7.50%, 3/15/19   1,440 1,519,222
Virgin Media Secured Finance Plc,      
6.50%, 1/15/18 (b)   1,000 1,090,000
      38,664,992
Metals & Mining — 1.9%      
Eco-Bat Finance Plc, 7.75%,      
2/15/17 EUR 495 590,645
FMG Resources August 2006 Property    
Ltd. (a):      
6.88%, 2/01/18 USD 615 604,238
6.88%, 4/01/22 (b)   1,135 1,092,438
Global Brass and Copper, Inc.,      
9.50%, 6/01/19 (a)(j)   695 701,950
Kaiser Aluminum Corp., 8.25%,      
6/01/20 (a)(b)   510 512,550
New Gold, Inc., 7.00%, 4/15/20 (a)   175 178,500
New World Resources NV, 7.88%,      
5/01/18 EUR 995 1,134,968
Novelis, Inc., 8.75%, 12/15/20 (b) USD 3,875 4,097,812
Schmolz + Bickenbach      
Luxembourg SA, 9.88%,      
5/15/19 EUR 365 433,270
Xstrata Canada Financial Corp.,      
2.85%, 11/10/14 (a)(b) USD 2,450 2,507,009
      11,853,380
Oil, Gas & Consumable Fuels — 7.0%    
Alpha Natural Resources, Inc. (b):      
6.00%, 6/01/19   305 272,975
6.25%, 6/01/21   835 743,150
Berry Petroleum Co., 6.38%,      
9/15/22   485 494,700

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 20125
 

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

 

    Par
(000)		 Value
Corporate Bonds      
Oil, Gas & Consumable Fuels (continued)    
BP Capital Markets Plc, 5.25%,    
11/07/13 (b) USD 6,000 $ 6,362,148
CCS, Inc., 11.00%, 11/15/15 (a) 1,310 1,355,850
Chaparral Energy, Inc., 7.63%,      
11/15/22 (a)   305 311,863
Chesapeake Energy Corp. (b):      
6.88%, 11/15/20   405 383,738
6.13%, 2/15/21   620 582,800
Chesapeake Midstream Partners    
LP, 6.13%, 7/15/22 (b)   510 484,500
Chesapeake Oilfield Operating LLC,    
6.63%, 11/15/19 (a)   5 4,325
Coffeyville Resources LLC, 9.00%,    
4/01/15 (a)(b)   274 291,810
Concho Resources, Inc., 5.50%,    
10/01/22 (b)   560 550,200
Consol Energy, Inc., 8.25%,      
4/01/20 (b)   2,150 2,150,000
Crosstex Energy LP, 8.88%,      
2/15/18   135 141,750
Denbury Resources, Inc., 8.25%,    
2/15/20   71 76,680
Everest Acquisition LLC/Everest    
Acquisition Finance, Inc. (a):      
6.88%, 5/01/19   455 466,375
9.38%, 5/01/20   345 353,625
Forest Oil Corp., 8.50%, 2/15/14 125 131,250
Holly Energy Partners LP, 6.50%,    
3/01/20 (a)   215 213,925
Kinder Morgan Energy Partners LP,    
5.95%, 2/15/18 (b)   3,215 3,746,337
Kodiak Oil & Gas Corp., 8.13%,    
12/01/19 (a)   1,045 1,076,350
Linn Energy LLC:      
6.25%, 11/01/19 (a)   2,400 2,286,000
8.63%, 4/15/20   515 545,900
7.75%, 2/01/21   695 710,637
Oasis Petroleum, Inc.:      
7.25%, 2/01/19   475 489,250
6.50%, 11/01/21   410 410,000
Offshore Group Investments Ltd.:    
11.50%, 8/01/15 (a)   560 596,400
11.50%, 8/01/15   445 473,925
OGX Petroleo e Gas Participacoes SA (a):      
8.50%, 6/01/18 (b)   7,230 6,958,875
8.38%, 4/01/22   805 762,737
PetroBakken Energy Ltd., 8.63%,    
2/01/20 (a)   1,760 1,786,400
Petrohawk Energy Corp., 7.25%,    
8/15/18 (b)   740 843,394
Plains Exploration & Production    
Co., 6.75%, 2/01/22   110 108,900
Range Resources Corp. (b):      
5.75%, 6/01/21   1,735 1,787,050
5.00%, 8/15/22   805 772,800

 

    Par
(000)		 Value
Corporate Bonds      
Oil, Gas & Consumable Fuels (concluded)    
Ruby Pipeline LLC, 4.50%,      
4/01/17 (a)(b) USD 1,215 $ 1,232,730
Samson Investment Co., 9.75%,      
2/15/20 (a)   380 378,100
SandRidge Energy, Inc.:      
7.50%, 3/15/21   320 310,400
8.13%, 10/15/22 (a)   290 285,650
SESI LLC (b):      
6.38%, 5/01/19   755 792,750
7.13%, 12/15/21 (a)   745 812,050
SM Energy Co., 6.50%, 11/15/21   605 618,612
Targa Resources Partners LP,      
6.88%, 2/01/21 (b)   690 710,700
      43,867,611
Paper & Forest Products — 0.4%      
Longview Fibre Paper & Packaging,      
Inc., 8.00%, 6/01/16 (a)   395 392,038
NewPage Corp., 11.38%,      
12/31/14 (d)(i)   3,445 2,135,900
      2,527,938
Pharmaceuticals — 0.7%      
Aristotle Holding, Inc., 2.65%,      
2/15/17 (a)(b)   2,710 2,759,197
Valeant Pharmaceuticals      
International, 6.50%, 7/15/16      
(a)(b)   1,260 1,285,200
      4,044,397
Real Estate Investment Trusts (REITs) — 0.5%    
Felcor Lodging LP, 6.75%,      
6/01/19   1,610 1,614,025
Ventas Realty LP/Ventas Capital      
Corp., 4.75%, 6/01/21 (b)   1,300 1,358,673
      2,972,698
Real Estate Management & Development — 1.4%  
Punch Taverns Finance Plc, Series      
A2R, 6.82%, 7/15/20 GBP 1,230 1,705,831
Realogy Corp.:      
11.50%, 4/15/17 USD 215 190,275
12.00%, 4/15/17   225 199,125
7.88%, 2/15/19 (a)(b)   2,865 2,721,750
7.63%, 1/15/20 (a)(b)   1,425 1,464,188
9.00%, 1/15/20 (a)(b)   480 480,000
Shea Homes LP, 8.63%, 5/15/19   1,750 1,824,375
      8,585,544
Road & Rail — 1.2%      
Asciano Finance Ltd., 3.13%,      
9/23/15 (a)(b)   3,400 3,391,867
Avis Budget Car Rental LLC,      
8.25%, 1/15/19   60 62,100
Florida East Coast Railway Corp.,      
8.13%, 2/01/17   530 543,250
The Hertz Corp.:      
7.50%, 10/15/18   540 562,275

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 20126
 

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

 

    Par
(000)		 Value
Corporate Bonds      
Road & Rail (concluded)      
The Hertz Corp. (concluded):      
6.75%, 4/15/19 USD 375 $ 383,438
6.75%, 4/15/19 (a)   405 414,112
7.38%, 1/15/21   2,160 2,265,300
      7,622,342
Software — 0.3%      
Lawson Software, Inc., 9.38%,      
4/01/19 (a)   2,060 2,121,800
Specialty Retail — 0.3%      
Claire's Stores, Inc., 9.00%,      
3/15/19 (a)   605 605,000
Sally Holdings LLC (b):      
6.88%, 11/15/19 (a)   920 979,800
5.75%, 6/01/22   425 429,781
      2,014,581
Textiles, Apparel & Luxury Goods — 0.1%    
Levi Strauss & Co., 6.88%,      
5/01/22 (a)   380 377,150
Tobacco — 0.5%      
Reynolds American, Inc., 7.63%,    
6/01/16 (b)   2,500 3,018,408
Transportation Infrastructure — 0.9%    
Aguila 3 SA, 7.88%, 1/31/18 (a) 498 507,960
Federal Express Corp. 2012 Pass    
Through Trust, 2.63%, 1/15/18    
(a)(b)   1,468 1,465,169
Penske Truck Leasing Co. LP / PTL    
Finance Corp., 3.13%, 5/11/15      
(a)(b)   3,372 3,397,779
      5,370,908
Wireless Telecommunication Services — 2.5%    
Cricket Communications, Inc.,      
7.75%, 5/15/16 (b)   2,250 2,373,750
Crown Castle Towers LLC, 4.52%,    
1/15/35 (a)   3,000 3,153,171
Digicel Group Ltd. (a):      
8.88%, 1/15/15   720 709,200
9.13%, 1/15/15   2,267 2,232,995
8.25%, 9/01/17   1,335 1,341,675
Sprint Capital Corp., 6.88%,      
11/15/28 (b)   1,470 1,091,475
Sprint Nextel Corp. (a)(b):      
9.00%, 11/15/18   3,070 3,323,275
7.00%, 3/01/20   1,620 1,632,150
      15,857,691
Total Corporate Bonds – 61.9%   386,108,257
     

 

    Par
(000)		 Value
Floating Rate Loan Interests (c)      
Aerospace & Defense — 0.2%      
TransDigm, Inc., Term Loan (First      
Lien), 4.00%, 2/14/17 USD 1,161 $ 1,151,333
Airlines — 0.1%      
Delta Air Lines, Inc., Credit - New      
Term Loan B, 5.50%, 4/20/17   691 687,213
Auto Components — 1.7%      
Allison Transmission, Inc., Term      
Loan B, 2.74%, 8/07/14   3,027 2,967,957
August LuxUK Holding Co. Sarl,      
Luxco Term Loan, 6.25%,      
4/27/18   277 277,647
Autoparts Holdings Ltd.:      
Term Loan (First Lien), 6.50%,      
7/28/17   995 962,662
Term Loan (Second Lien),      
10.50%, 1/29/18   1,500 1,357,500
Federal-Mogul Corp., Term Loan B,      
2.18%, 12/29/14   1,466 1,378,201
The Goodyear Tire & Rubber      
Company, Term Loan (Second      
Lien), 4.75%, 4/30/19   2,560 2,478,413
Schaeffler AG, Term Loan C2,      
6.00%, 1/27/17   1,335 1,328,325
      10,750,705
Beverages — 0.0%      
Le-Nature's, Inc., Tranche B Term      
Loan, 0.00%, 3/01/11 (d)(g)(i)   1,000 100
Biotechnology — 0.2%      
Grifols, Inc., Term Loan B, 4.50%,      
6/01/17   1,310 1,291,873
Building Products — 1.5%      
Armstrong World Industries, Inc.,      
Term Loan B, 4.00%, 3/09/18   1,268 1,252,351
CPG International, Inc., Term Loan      
B, 6.00%, 2/18/17   988 950,469
Goodman Global, Inc.:      
Initial Term Loan (First Lien),      
5.75%, 10/28/16   4,421 4,404,878
Term Loan (Second Lien),      
9.00%, 10/30/17   1,145 1,155,191
Momentive Performance Materials,      
Inc. (Nautilus), Extended Term      
Loan, 3.89%, 5/05/15 EUR 1,512 1,717,510
United Subcontractors, Inc., Term      
Loan (First Lien), 4.58%,      
6/30/15 USD 157 140,911
      9,621,310
Capital Markets — 0.7%      
HarbourVest Partners, Term Loan      
(First Lien), 6.25%, 12/16/16   2,198 2,198,248
Nuveen Investments, Inc.:      
(First Lien), Term Loan, 5.97%,      
5/13/17   198 194,215

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 20127
 

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

 

    Par
(000)		 Value
Floating Rate Loan Interests (c)      
Capital Markets (concluded)      
Nuveen Investments, Inc. (concluded):    
Incremental Term Loan,      
7.25%, 5/13/17 USD 790 $ 788,025
Term Loan, 5.97%, 5/12/17   1,137 1,120,606
      4,301,094
Chemicals — 2.2%      
American Rock Salt Holdings LLC,      
Term Loan, 5.50%, 4/25/17   995 943,157
Chemtura Corp., Exit Term Loan B,      
5.50%, 8/27/16   1,100 1,099,087
Gentek, Inc., Term Loan B, 5.00% -      
5.75%, 10/06/15   563 562,393
Ineos US Finance LLC, 6 year Term      
Loan, 6.50%, 5/04/18   4,840 4,740,586
MDI Holdings LLC, Tranche C Term      
Loan, 2.58%, 4/11/14 EUR 439 535,527
Nexeo Solutions LLC, Term Loan B,      
5.00% - 5.75%, 9/08/17 USD 1,287 1,253,216
PQ Corp., Term Loan B, 3.99%,      
7/30/14   2,103 2,017,051
Styron Sarl LLC, Term Loan B,      
6.00% - 6.75%, 8/02/17   621 553,585
Tronox Worldwide LLC, Term Loan      
B, 4.25%, 2/08/18   782 768,105
Univar, Inc., Term Loan B, 5.00%,      
6/30/17   1,031 1,002,055
      13,474,762
Commercial Services & Supplies — 2.0%    
ACCO Brands Corp., Term Loan B,      
4.25%, 4/30/19   955 954,006
Altegrity, Inc., Tranche D Term      
Loan, 7.75%, 2/20/15   3,395 3,366,688
AWAS Finance Luxembourg Sarl,      
Term Loan B, 5.25%, 6/10/16   1,097 1,091,820
Delos Aircraft, Inc., Term Loan B2,      
4.75%, 4/12/16   1,450 1,448,188
KAR Auction Services, Inc., Term      
Loan B, 5.00%, 5/19/17   1,489 1,485,028
Protection One Alarm Monitoring,      
Inc., Term Loan, 5.75%,      
3/16/19   830 823,426
Synagro Technologies, Inc., Term      
Loan B, 2.24%, 4/02/14   1,138 992,545
Volume Services America, Inc.,      
Term Loan B, 10.50% - 11.75%,      
9/16/16   2,561 2,546,069
      12,707,770
Communications Equipment — 1.7%    
Avaya, Inc.:      
Term Loan B1, 3.22%,      
10/24/14   1,369 1,289,169

 

    Par
(000)		 Value
Floating Rate Loan Interests (c)      
Communications Equipment (concluded)    
Avaya, Inc. (concluded):      
Term Loan B3, 4.97%,      
10/26/17 USD 628 $ 553,728
CommScope, Inc., Term Loan B,      
4.25%, 1/12/18   1,238 1,228,986
Telesat Canada, Term Loan A,      
4.38%, 3/24/17 CAD 3,940 3,671,637
Telesat LLC, Term Loan B, 4.25%,      
3/26/19 USD 3,725 3,675,122
      10,418,642
Construction & Engineering — 0.6%      
Safway Services LLC, First Out      
Tranche Loan, 9.00%, 12/16/17   3,750 3,750,000
Construction Materials — 0.4%      
HD Supply, Inc., Senior Debt B,      
7.25%, 10/12/17   2,340 2,349,360
Consumer Finance — 0.1%      
Springleaf Finance Corp., Term      
Loan, 5.50%, 5/10/17   925 852,924
Containers & Packaging — 0.1%      
Sealed Air Corp., Term Loan B,      
4.75%, 10/03/18   609 609,607
Diversified Consumer Services — 1.7%    
Coinmach Service Corp., Term      
Loan B, 3.24%, 11/20/14   4,560 4,240,357
Education Management LLC, Term      
Loan C3, 8.25%, 3/29/18   1,395 1,365,705
Laureate Education, Inc., Extended      
Term Loan, 5.25%, 8/15/18   3,565 3,415,335
ServiceMaster Co.:      
Delayed Draw Term Loan,      
2.74%, 7/24/14   128 124,505
Term Loan, 2.74% - 2.99%,      
7/24/14   1,285 1,250,300
      10,396,202
Diversified Financial Services — 0.5%    
Reynolds Group Holdings, Inc.,      
Tranche C Term Loan, 6.50%,      
8/09/18   2,845 2,852,600
Diversified Telecommunication Services — 1.4%  
Hawaiian Telcom Communications,      
Inc., Term Loan B, 7.00%,      
2/28/17   1,755 1,730,869
Level 3 Financing, Inc.:      
Term Loan B2, 5.75%,      
9/03/18   2,400 2,377,296
Term Loan B3, 5.75%,      
8/31/18   2,800 2,773,512
Tranche A Term Loan, 2.49% -      
2.72%, 3/13/14   1,150 1,118,858

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 20128
 

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

 

    Par
(000)		 Value
Floating Rate Loan Interests (c)      
Diversified Telecommunication Services (concluded)  
U.S. Telepacific Corp., Term Loan    
B, 5.75%, 2/23/17 USD 498 $ 468,505
      8,469,040
Electric Utilities — 0.0%      
TPF Generation Holdings LLC,      
Synthetic Letter of Credit Deposit    
(First Lien), 2.47%, 12/13/13 47 46,897
Electronic Equipment, Instruments & Components — 0.2%  
Sensata Technologies Finance Co.    
LLC, Term Loan, 4.00%,      
5/11/18   1,177 1,157,984
Energy Equipment & Services — 1.7%    
Dynegy Midwest Generation LLC,    
Coal Co. Term Loan, 9.25%,      
8/04/16   2,320 2,365,308
Dynegy Power LLC, Gas Co. Term    
Loan, 9.25%, 8/04/16   4,247 4,375,843
MEG Energy Corp., Term Loan B,    
4.00%, 3/16/18   1,990 1,966,200
Tervita Corp. (FKA CCS Corp.),      
Term Loan B, 3.24%, 11/14/14 1,835 1,759,738
      10,467,089
Food & Staples Retailing — 0.1%    
US Foods, Inc. (FKA US      
Foodservice, Inc.), Term Loan B,    
2.74%, 7/03/14   346 333,717
Food Products — 0.9%      
Advance Pierre Foods:      
Term Loan (First Lien), 7.00%,    
9/30/16   2,032 2,034,236
Term Loan (Second Lien),      
11.25%, 9/29/17   1,300 1,306,903
Del Monte Corp., Term Loan,      
4.50%, 3/08/18   951 926,417
Pinnacle Foods Finance LLC, Term    
Loan E, 4.75%, 10/17/18   1,132 1,122,914
Solvest Ltd. (Dole):      
Tranche B-2 Term Loan,      
5.00% - 6.00%, 7/06/18   97 96,617
Tranche C-2 Term Loan, 5.00%    
- 6.00%, 7/06/18   174 172,894
      5,659,981
Health Care Equipment & Supplies — 0.9%    
Bausch & Lomb, Inc., Term Loan B,    
5.25%, 5/17/19   2,055 2,017,928
DJO Finance LLC, Term Loan B3,    
6.25%, 9/15/17   2,170 2,143,786
Hupah Finance Inc., Term Loan B,    
6.25%, 1/21/19   1,000 1,003,130
Immucor, Inc., Term Loan B,      
7.25%, 8/17/18   648 646,412
      5,811,256

 

    Par
(000)		 Value
Floating Rate Loan Interests (c)      
Health Care Providers & Services — 2.0%    
Ardent Health Services, Term Loan    
(First Lien), 6.50%, 9/15/15 USD 1 $ 1,272
ConvaTec, Inc., Term Loan, 5.75%,    
12/22/16   1,258 1,248,651
DaVita, Inc., Term Loan B, 4.50%,    
10/20/16   1,975 1,962,222
Emergency Medical Services, Term    
Loan, 5.25% - 6.00%, 5/25/18 632 623,257
Harden Healthcare LLC:      
Term Loan A, 8.50%, 3/02/15 533 521,879
Tranche A Additional Term      
Loan, 7.75%, 3/02/15   3,210 3,145,572
inVentiv Health, Inc.:      
Combined Term Loan, 6.50%,    
8/04/16   569 532,703
Incremental Term Loan B-3,    
6.75%, 5/15/18   433 410,334
Medpace, Inc., Term Loan, 6.50% -    
7.25%, 6/16/17   2,829 2,715,480
Wolverine Healthcare, Term Loan    
B, 1.00%, 5/12/17   1,190 1,170,663
      12,332,033
Health Care Technology — 0.2%      
IMS Health, Inc., Term Loan B,      
4.50%, 8/25/17   903 895,095
Kinetic Concepts, Inc., Term Loan    
B, 7.00%, 5/04/18   618 621,932
      1,517,027
Hotels, Restaurants & Leisure — 2.9%    
Alpha D2 Ltd.:      
Term Loan B, 5.75%, 4/28/17 980 977,344
Term Loan B, 1.00%, 6/08/18 610 603,644
Caesars Entertainment Operating Co.,    
Inc.:      
Extended Term Loan B6,      
5.49%, 1/26/18   470 413,675
Incremental Term Loan B4,      
9.50%, 10/31/16   1,234 1,241,495
Term Loan B1, 3.24%,      
1/28/15   2,104 1,920,119
Term Loan B3, 3.24% - 3.47%,    
1/28/15   6,407 5,845,959
Dunkin' Brands, Inc., Term Loan B,    
4.00%, 11/23/17   1,610 1,590,188
OSI Restaurant Partners LLC:      
Revolver, 2.72%, 6/14/13   43 42,412
Term Loan B, 2.56%, 6/14/14 113 110,823
Sabre, Inc., Non Extended Initial    
Term Loan, 2.24%, 9/30/14   675 641,392
SeaWorld Parks & Entertainment,    
Inc., Term Loan B, 4.00%,      
8/17/17   857 844,407
Six Flags Theme Parks, Inc.,      
Tranche B Term Loan (First      
Lien), 4.25%, 12/20/18   1,155 1,142,630

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 20129
 

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

 

    Par
(000)		 Value
Floating Rate Loan Interests (c)      
Hotels, Restaurants & Leisure (concluded)    
Travelport LLC:      
Extended Tranche A Term      
Loan, 6.47%, 9/28/12 USD 435 $ 169,777
Extended Tranche B Term      
Loan, 13.97%, 12/01/16 1,378 137,751
Twin River Worldwide Holdings,      
Inc., Term Loan, 8.50%,      
11/05/15   1,282 1,282,731
Wendy's International, Inc.:      
Delayed Draw Term Loan,      
0.50%, 5/15/19   593 584,683
Term Loan B, 4.75%, 5/15/19 742 732,682
      18,281,712
Household Durables — 0.0%      
Berkline/Benchcraft LLC, Term      
Loan B, 14.00%, 11/03/11 (d)(i) 161 40,978
Household Products — 0.1%      
Prestige Brands, Inc., Term Loan,    
5.25% - 6.25%, 1/31/19   894 893,814
Independent Power Producers & Energy Traders — 0.2%  
The AES Corp., Term Loan, 4.25%,    
6/01/18   1,485 1,467,002
Industrial Conglomerates — 0.4%    
Schrader International, Term Loan    
B, 6.25%, 4/26/18   213 213,578
Sequa Corp.:      
Incremental Term Loan,      
6.25%, 12/03/14   339 338,302
Term Loan, 3.72%, 12/03/14 2,324 2,278,924
      2,830,804
Insurance — 0.2%      
Asurion LLC, Term Loan (First      
Lien), 5.50%, 5/24/18   1,512 1,486,958
Internet Software & Services — 0.1%    
Web.com Group, Inc., Term Loan B,    
7.00%, 10/27/17   981 969,799
IT Services — 2.2%      
Ceridian Corp., Term Loan, 3.24%,    
11/10/14   1,352 1,277,255
First Data Corp.:      
Extended Term Loan B, 4.24%,    
3/23/18   5,739 5,184,738
Term Loan B-1, 2.99%,      
9/24/14   860 812,876
Term Loan B-3, 2.99%,      
9/24/14   109 102,640
InfoGroup Inc., Term Loan B,      
5.75%, 5/25/18   1,061 944,205
NeuStar, Inc., Term Loan B, 5.00%,    
11/08/18   2,045 2,049,837

 

    Par
(000)		 Value
Floating Rate Loan Interests (c)      
IT Services (concluded)      
TransUnion LLC, Term Loan B,      
5.50%, 2/12/18 USD 3,139 $ 3,152,631
      13,524,182
Leisure Equipment & Products — 0.3%    
Eastman Kodak Co., DIP Term      
Loan B, 8.50%, 7/19/13   1,461 1,460,195
Freedom Group, Inc., Term Loan,    
5.50%, 4/12/19   405 403,481
      1,863,676
Machinery — 1.3%      
Harbor Freight Tools USA, Inc.,      
Term Loan B, 5.50%, 11/10/17 730 723,065
Rexnord Corp., Term Loan B,      
5.00%, 4/02/18   948 941,939
Terex Corp.:      
Term Loan, 6.00%, 4/28/17 EUR 308 376,631
Term Loan B, 5.50%, 4/28/17 USD 995 994,383
Tomkins LLC, Term Loan B, 4.25%,    
9/29/16   2,152 2,140,494
Wabash National Corp., Term Loan    
B, 6.00%, 5/02/19   2,765 2,737,350
      7,913,862
Media — 6.7%      
Affinion Group, Inc., Term Loan B,    
5.00%, 7/16/15   520 480,707
AMC Networks, Inc., Term Loan B,    
4.00%, 12/31/18   2,184 2,163,041
Capsugel Healthcare Ltd., Term      
Loan, 5.25%, 8/01/18   680 679,851
Cengage Learning Acquisitions,      
Inc., Tranche 1 Incremental      
Term Loan, 7.50%, 7/03/14   2,031 1,943,355
Charter Communications Operating LLC:    
Term Loan C, 3.72%, 9/06/16 2,354 2,318,094
Term Loan D, 4.00%, 5/15/19 917 903,535
Clear Channel Communications, Inc.:    
Term Loan B, 3.89%, 1/28/16 3,303 2,568,674
Term Loan C, 3.89%, 1/28/16 783 604,600
Cumulus Media, Inc., Term Loan,    
5.75%, 9/17/18   1,495 1,483,792
EMI Music Publishing Ltd., Term    
Loan B, 1.00%, 11/14/17   990 983,813
HMH Publishing Co. Ltd., Term      
Loan, 0.00%, 6/12/14 (d)(i)   3,173 1,759,296
Hubbard Broadcasting, Term Loan    
B (Second Lien), 5.25%,      
4/28/17   836 828,496
Intelsat Jackson Holdings SA,      
Tranche B Term Loan, 5.25%,    
4/02/18   5,445 5,396,213
Interactive Data Corp., Term Loan    
B, 4.50%, 2/12/18   2,376 2,334,420
Kabel Deutschland GmbH, Term    
Loan F, 4.25%, 2/01/19   3,195 3,141,100

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 201210
 

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

 

    Par
(000)		 Value
Floating Rate Loan Interests (c)      
Media (concluded)      
Lavena Holding 4 GmbH      
(Prosiebensat.1 Media AG):      
Facility B1, 3.68%, 3/06/15 EUR 304 $ 319,787
Term Loan (Second Lien),      
5.18%, 9/02/16   904 834,522
Term Loan C, 4.06%, 3/04/16   304 321,666
Newsday LLC, Fixed Rate Term      
Loan, 10.50%, 8/01/13 USD 4,505 4,592,307
Sinclair Television Group, Inc.,      
Tranche B Term Loan, 4.00%,      
10/28/16   1,223 1,212,283
Univision Communications, Inc.,      
Extended Term Loan, 4.49%,      
3/31/17   3,915 3,587,434
UPC Broadband Holding B.V., Term      
Loan U, 4.40%, 12/29/17 EUR 97 116,743
UPC Financing Partnership:      
Term Loan, 4.75%, 12/29/17 USD 1,045 1,028,803
Term Loan T, 3.74%,      
12/30/16   355 350,119
WC Luxco Sarl, Term Loan B3,      
4.25%, 3/15/18   622 617,519
Weather Channel, Term Loan B,      
4.25%, 2/13/17   1,097 1,088,907
      41,659,077
Metals & Mining — 1.1%      
Constellium Holding Co. BV, Term      
Loan B, 9.25%, 5/22/18   620 604,500
Novelis, Inc.:      
Incremental Term Loan B2,      
4.00%, 3/10/17   2,479 2,426,757
Term Loan, 4.00%, 3/10/17   3,308 3,235,082
Walter Energy, Inc., Term Loan B,      
4.00%, 4/02/18   352 338,295
      6,604,634
Multiline Retail — 0.7%      
99 Cents Only Stores, Term Loan      
B, 5.25%, 1/11/19   913 906,195
Hema Holding BV:      
Term Loan (Second Lien),      
5.40%, 1/05/17 EUR 2,600 2,885,374
Term Loan B, 2.40%, 7/06/15   338 393,830
Term Loan C, 3.15%, 7/05/16   338 391,738
      4,577,137
Oil, Gas & Consumable Fuels — 1.6%    
Chesapeake Energy Corp.,      
Unsecured Term Loan, 8.50%,      
12/01/17 USD 4,610 4,524,715
EP Energy LLC, Term Loan B,      
6.50%, 4/24/18   1,180 1,180,744
Gibson Energy, Term Loan B,      
4.75%, 6/15/18   1,489 1,479,445

 

    Par
(000)		 Value
Floating Rate Loan Interests (c)      
Oil, Gas & Consumable Fuels (concluded)    
Obsidian Natural Gas Trust, Term    
Loan, 7.00%, 11/02/15 USD 2,618 $ 2,618,205
      9,803,109
Paper & Forest Products — 0.3%    
NewPage Corp., DIP Term Loan,    
8.00%, 3/07/13 (d)(i)   1,450 1,461,484
Verso Paper Finance Holdings LLC,    
Term Loan, 6.72% - 7.47%,      
2/01/13 (h)   722 361,247
      1,822,731
Pharmaceuticals — 0.8%      
Aptalis Pharma, Inc., Term Loan B,    
5.50%, 2/10/17   1,481 1,432,369
Pharmaceutical Product      
Development, Inc., Term Loan B,    
6.25%, 12/05/18   1,732 1,732,224
RPI Finance Trust, Incremental      
Tranche 2 Term Loan, 4.00%,    
11/09/18   465 460,931
Warner Chilcott Corp.:      
Term Loan B-1, 4.25%,      
3/15/18   905 898,210
Term Loan B-2, 4.25%,      
3/15/18   453 449,105
      4,972,839
Professional Services — 0.2%      
Emdeon, Inc., Term Loan B, 6.75%,    
11/02/18   933 931,106
ON Assignment, Inc., Term Loan B,    
5.00%, 5/15/19   640 632,800
      1,563,906
Real Estate Investment Trusts (REITs) — 0.9%    
iStar Financial, Inc.:      
Term Loan A1, 5.00%,      
6/28/13   5,274 5,250,782
Term Loan A2, 7.00%,      
6/30/14   210 209,475
      5,460,257
Real Estate Management & Development — 0.8%  
Realogy Corp.:      
Extended Letter of Credit,      
4.49%, 10/10/16   123 112,361
Extended Term Loan, 4.49%,    
10/10/16   4,773 4,350,691
Stockbridge SBE Holdings LLC,      
Term Loan B, 13.00%, 5/02/17 425 418,625
      4,881,677
Road & Rail — 0.5%      
RailAmerica, Inc., Term Loan B,      
4.00%, 3/01/19   2,230 2,219,787

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 201211
 

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

 

    Par
(000)		 Value
Floating Rate Loan Interests (c)      
Road & Rail (concluded)      
Road Infrastructure Investment      
LLC, Term Loan B, 6.25%,      
3/30/18 USD 645 $ 635,325
      2,855,112
Semiconductors & Semiconductor Equipment — 0.3%  
Freescale Semiconductor, Inc.,      
Extended Term Loan B, 4.49%,    
12/01/16   1,517 1,421,670
NXP BV, Term Loan A-2, 5.50%,      
3/03/17   402 395,400
      1,817,070
Software — 0.8%      
Bankruptcy Management      
Solutions, Inc., Term Loan (First    
Lien), 7.50%, 8/20/14   719 208,644
Lawson Software, Inc., Term Loan    
B, 6.25%, 4/05/18   2,115 2,110,854
Magic Newco LLC, Term Loan      
(Second Lien), 1.00%, 12/06/19 565 545,694
Sophia, LP, Term Loan B, 6.25%,    
7/19/18   920 921,647
SS&C Technologies:      
Term Loan B-1, 1.00%,      
5/11/19   1,378 1,372,334
Term Loan B-2, 1.00%,      
5/13/19   143 141,966
      5,301,139
Specialty Retail — 1.8%      
Academy Ltd., Term Loan, 6.00%,    
8/03/18   1,796 1,795,500
Bass Pro Group LLC, Term Loan,    
5.25%, 6/13/17   785 782,386
Burlington Coat Factory      
Warehouse Corp., Term Loan B,    
5.50%, 2/28/17   436 431,839
Claire's Stores, Inc., Term Loan B,    
2.99% - 3.22%, 5/29/14   1,024 952,218
General Nutrition Centers, Inc.,      
Term Loan B, 4.25%, 3/02/18 1,875 1,852,575
Michaels Stores, Inc., Extended      
Term Loan B3, 5.00%, 7/29/16 1,870 1,860,694
Petco Animal Supplies, Inc., Term    
Loan B, 4.50%, 11/24/17   1,213 1,196,073
Toys ‘R’ Us Delaware, Inc.:      
Term Loan, 6.00%, 9/01/16 736 719,179
Term Loan B3, 5.25%,      
5/25/18   965 914,337
The Yankee Candle Co., Inc., New    
Term Loan B, 5.25%, 4/02/19 665 659,846
      11,164,647

 

    Par
(000)		 Value
Floating Rate Loan Interests (c)      
Textiles, Apparel & Luxury Goods — 0.2%    
Ascend Performance Materials      
LLC, Term Loan B, 6.75%,      
4/10/18 USD 1,275 $ 1,238,879
Wireless Telecommunication Services — 1.7%    
Crown Castle International Corp.,    
Term Loan B, 4.00%, 1/31/19 1,017 1,002,188
MetroPCS Wireless, Inc., Term      
Loan B-3, 4.00%, 3/16/18   1,035 1,005,649
Vodafone Americas Finance 2, Inc.,    
Term Loan, 6.88%, 8/11/15 (h) 8,583 8,712,088
      10,719,925
Total Floating Rate Loan Interests – 47.2%   294,725,445
 
Non-Agency Mortgage-Backed Securities    
Collateralized Mortgage Obligations — 3.6%    
Adjustable Rate Mortgage Trust,    
Series 2007-1, Class 3A21,      
5.63%, 3/25/37 (c)   1,756 1,672,140
Citicorp Mortgage Securities, Inc.,    
Series 2006-2, Class 1A7,      
5.75%, 4/25/36   638 637,944
Countrywide Alternative Loan      
Trust, Series 2005-54CB, Class    
3A4, 5.50%, 11/25/35   7,141 5,700,525
Countrywide Home Loan Mortgage Pass-    
Through Trust:      
Series 2005-17, Class 1A6,    
5.50%, 9/25/35   2,436 2,304,475
Series 2006-17, Class A2,      
6.00%, 12/25/36   4,762 3,930,126
Series 2007-16, Class A1,      
6.50%, 10/25/37   2,487 2,179,050
Series 2007-HY5, Class 3A1,    
5.79%, 9/25/37 (c)   3,003 2,369,179
GSR Mortgage Loan Trust, Series    
2005-AR5, Class 2A3, 2.80%,    
10/25/35 (c)   2,473 1,862,342
Morgan Stanley Reremic Trust,      
Series 2010-R4, Class 4A,      
0.47%, 2/26/37 (a)(c)   2,279 2,146,076
      22,801,857
Commercial Mortgage-Backed Securities — 9.7%  
Banc of America Commercial Mortgage,    
Inc. (c):      
Series 2007-3, Class A2,      
5.80%, 6/10/49   966 966,794
Series 2007-4, Class A4,      
5.92%, 2/10/51   2,150 2,441,076
Citigroup/Deutsche Bank      
Commercial Mortgage Trust,      
Series 2007-CD4, Class A2B,      
5.21%, 12/11/49   335 337,933

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 201212
 

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

 

    Par
(000)		 Value
Non-Agency Mortgage-Backed Securities    
Commercial Mortgage-Backed Securities (continued)  
Credit Suisse Mortgage Capital    
Certificates:      
Series 2006-C5, Class AM,    
5.34%, 12/15/39 USD 1,850 $ 1,788,874
Series 2007-C2, Class A2,      
5.45%, 1/15/49 (c)   667 672,930
Series 2007-C3, Class A2,      
5.68%, 6/15/39 (c)   828 827,033
Series 2007-C4, Class A3,      
5.77%, 9/15/39 (c)   2,815 2,930,409
Series 2007-C5, Class AAB,    
5.62%, 9/15/40 (c)   2,085 2,226,461
Extended Stay America Trust,      
Series 2010-ESHA, Class C,      
4.86%, 11/05/27 (a)   2,320 2,340,541
First Union Commercial Mortgage    
Securities, Inc., Series 1997-C2,    
Class G, 7.50%, 11/18/29 (c) 3,310 3,468,142
Greenwich Capital Commercial Funding    
Corp.:      
Series 2006-GG7, Class AM,    
6.07%, 7/10/38 (c)   1,610 1,649,960
Series 2007-GG9, Class A4,    
5.44%, 3/10/39   2,110 2,301,166
GS Mortgage Securities Corp. II,    
Series 2006-GG6, Class AM,    
5.62%, 4/10/38 (c)   3,680 3,691,335
JPMorgan Chase Commercial Mortgage    
Securities Corp.:      
Series 2004-LN2, Class A2,    
5.12%, 7/15/41   2,315 2,447,309
Series 2007-CB18, Class A4,    
5.44%, 6/12/47   2,110 2,341,693
Series 2007-CB19, Class A4,    
5.92%, 2/12/49 (c)   2,140 2,403,072
LB-UBS Commercial Mortgage      
Trust, Series 2007-C6, Class A4,    
5.86%, 7/15/40 (c)   3,395 3,847,774
Morgan Stanley Capital I (c):      
Series 2007-IQ15, Class A2,    
6.04%, 6/11/49   2,007 2,005,511
Series 2012-C4, Class XA,      
2.71%, 3/15/45 (a)   15,625 2,399,004
Titan Europe Plc, Series 2006-      
4FSX, Class A1, 9.14%, 9/03/14 (c) GBP 1,781 2,743,856
Wachovia Bank Commercial Mortgage    
Trust (c):      
Series 2007-C33, Class A2,    
5.85%, 2/15/51 USD 14,207 14,187,763

 

    Par
(000)		 Value
Non-Agency Mortgage-Backed Securities    
Commercial Mortgage-Backed Securities (concluded)  
Wachovia Bank Commercial Mortgage    
Trust (c) (concluded):      
Series 2007-C33, Class A4,    
5.90%, 2/15/51 USD 2,030 $ 2,256,546
      60,275,182
Total Non-Agency Mortgage-Backed Securities –  
13.3%     83,077,039
 
    Beneficial
Interest
(000)		  
Other Interests (k)      
Auto Components — 0.0%      
Lear Corp. Escrow   1,000 7,500
Diversified Financial Services — 0.2%    
JG Wentworth LLC Preferred Equity    
Interests (d)   1 1,420,709
Household Durables — 0.0%      
Berkline Benchcraft Equity LLC 3 —
Total Other Interests – 0.2%     1,428,209
 
    Shares  
Preferred Securities      
Preferred Stocks — 0.1%      
Auto Components — 0.1%      
Dana Holding Corp., 4.00% (a)(g) 6,000 687,000
 
Trust Preferreds — 0.3%      
Diversified Financial Services — 0.3%    
GMAC Capital Trust I, Series 2,    
8.13%, 2/15/40   89,360 2,048,131
Total Preferred Securities – 0.4%   2,735,131
 
    Par
(000)		  
Taxable Municipal Bonds      
State of California, GO:      
5.25%, 4/01/14 USD 1,075 1,151,863
5.10%, 8/01/14   2,225 2,305,945

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 201213
 

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

 

    Par
(000)		 Value
Taxable Municipal Bonds      
State of California, GO, Various Purpose    
3, Mandatory Put Bonds, 5.65%,      
4/01/39 (c) USD 455 $ 473,482
State of Illinois, GO, 3.32%, 1/01/13 5,075 5,152,597
Total Taxable Municipal Bonds – 1.5%   9,083,887
 
US Government Sponsored Agency Securities    
Collateralized Mortgage Obligations — 0.6%    
Freddie Mac Mortgage-Backed      
Securities, Series 3986, Class      
M, 4.50%, 9/15/41   3,331 3,634,837
Interest Only Collateralized Mortgage Obligations — 0.9%  
Fannie Mae Mortgage-Backed      
Securities, Series 2010-126,      
Class UI, 5.50%, 10/25/40   12,610 2,007,113
FREMF Mortgage Trust, Series      
2012-K707, Class X1, 1.56%,      
12/25/18 (c)   43,358 3,698,038
      5,705,151
Mortgage-Backed Securities — 7.4%    
Fannie Mae Mortgage-Backed Securities (b):      
5.00%, 7/01/20 - 8/01/23   13,526 14,651,293
3.50%, 8/01/26   12,234 13,060,495
Freddie Mac Mortgage-Backed      
Securities, 4.50%, 4/01/25 (b)   17,029 18,483,051
      46,194,839
Total US Government Sponsored Agency Securities –  
8.9%     55,534,827
 
US Treasury Obligations - 0.3%      
US Treasury Note, 0.38%,      
4/15/15 (b)   1,745 1,746,227
 
    Shares  
Warrants (l)      
Media — 0.1%      
Cumulus Media, Inc.      
(Issued/Exercisable 9/16/11,      
0.01 Share for 1 Warrant,      
Expires 6/03/30, Strike Price      
$2.88)   51,701 303,930

 

  Shares Value
Warrants (l)    
Software — 0.0%    
Bankruptcy Management    
Solutions, Inc. (Expires 9/29/17) 435 —
HMH Holdings/EduMedia    
(Issued/Exercisable 3/09/10,    
19 Shares for 1 warrant, Expires    
3/9/17, strike price 12.26) 209,988 $ 2
    2
Total Warrants – 0.1%   303,932
Total Long-Term Investments    
(Cost – $897,978,257) – 141.8%   884,552,424
 
Short-Term Securities    
BlackRock Liquidity Funds,    
TempFund, Institutional Class,    
0.15% (m)(n) 1,447,264 1,447,264
Total Short-Term Securities    
(Cost – $1,447,264) – 0.2%   1,447,264
 
  Contracts  
Options Purchased    
Over-the-Counter Call Options — 0.0%    
Marsico Parent Superholdco LLC,    
Strike Price USD 942.86, Expires    
12/14/19, Broker Goldman Sachs    
Bank USA 46 —
Total Options Purchased    
(Cost – $44,978) – 0.0%   —
Total Investments (Cost - $899,470,499*) – 142.0% 885,999,688
Liabilities in Excess of Other Assets – (42.0)% (261,989,111)
Net Assets – 100.0%   $ 624,010,577
       

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 201214
 

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)

 

*As of May 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:
Tax cost $ 897,005,669
Gross unrealized appreciation $ 22,003,951
Gross unrealized depreciation (33,009,932)
Net unrealized depreciation $ (11,005,981)

 

(a)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.
(b)All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.
(c)Variable rate security. Rate shown is as of report date.
(d)Non-income producing security.
(e)All or a portion of security has been pledged as collateral in connection with swaps.
(f)Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(g)Convertible security.
(h)Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(i)Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(j)When-issued security. Unsettled when-issued transactions were as follows:
Counterparty Value Unrealized
Appreciation
(Depreciation)
Goldman Sachs & Co. $ 701,950 $ 6,950 
JPMorgan Securities, Inc. $ 531,900 $(4,563)

 

(k)Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(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
May 31,
2012		 Income
BlackRock        
Liquidity        
Funds,        
TempFund,        
Institutional        
Class 5,229,778 (3,782,514) 1,447,264 $ 3,122

 

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

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:

CAD Canadian Dollar
DIP Debtor-In-Possession
EUR Euro
FKA Formerly Known As
GBP British Pound
GO General Obligation Bonds
USD US Dollar

 

•Reverse repurchase agreements outstanding as of May 31, 2012 were as follows:
Counterparty Interest
Rate		 Trade
Date		 Maturity
Date1		 Net Closing
Amount		 Face
Amount
Deutsche Bank AG (0.75)% 1/30/12 Open $ 1,730,818 $ 2,320,650
Barclays Capital, Inc. (1.25)% 2/02/12 Open 428,422 430,200
UBS Securities, LLC (1.25)% 3/07/12 Open 1,239,643 1,243,313
Credit Suisse Securities          
    (USA) LLC 0.38% 3/20/12 Open 5,989,548 5,985,000
Credit Suisse Securities          
   (USA) LLC 0.65% 3/20/12 Open 1,825,708 1,823,338
UBS Securities, LLC 0.40% 3/20/12 Open 807,245 806,600
UBS Securities, LLC 0.45% 3/20/12 Open 722,525 721,875
UBS Securities, LLC 0.54% 3/20/12 Open 751,473 750,662
UBS Securities, LLC 0.55% 3/20/12 Open 3,704,696 3,700,625
UBS Securities, LLC 0.65% 3/20/12 Open 6,748,550 6,739,788
Deutsche Bank AG 0.00% 3/21/12 Open 1,240,800 1,240,800
UBS Securities, LLC 0.20% 3/21/12 Open 1,636,707 1,636,061
Barclays Capital, Inc. 0.35% 3/22/12 Open 2,985,530 2,983,500
UBS Securities, LLC (0.25)% 3/26/12 Open 869,601 870,000
UBS Securities, LLC 0.60% 3/26/12 Open 3,614,046 3,610,075

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 201215
 

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)

 

•Reverse repurchase agreements outstanding as of May 31, 2012 were as follows (continued):
Counterparty Interest
Rate		 Trade
Date		 Maturity
Date1		 Net Closing
Amount		 Face
Amount
Barclays Capital, Inc. 0.55% 3/28/12 Open $ 3,229,280 $ 3,226,125
Barclays Capital, Inc. 0.60% 3/30/12 Open 2,251,624 2,249,300
Citigroup Global Markets,          
Inc. (0.50)% 3/30/12 Open 785,379 786,056
Credit Suisse Securities          
(USA) LLC 0.60% 3/30/12 Open 1,331,487 1,330,112
UBS Securities, LLC 0.65% 4/02/12 Open 1,686,795 1,685,000
Barclays Capital, Inc. 0.40% 4/03/12 Open 6,121,462 6,117,520
Barclays Capital, Inc. 0.60% 4/03/12 Open 4,721,369 4,716,809
Credit Suisse Securities          
(USA) LLC 0.38% 4/03/12 Open 3,739,200 3,736,912
Credit Suisse Securities          
(USA) LLC 0.65% 4/03/12 Open 8,589,530 8,580,544
Barclays Capital, Inc. 0.60% 4/04/12 Open 1,438,226 1,436,862
UBS Securities, LLC 0.60% 4/05/12 Open 4,786,148 4,781,685
Barclays Capital, Inc. 0.35% 4/09/12 Open 3,571,459 3,569,655
Credit Suisse Securities          
(USA) LLC 0.65% 4/09/12 Open 824,210 823,437
UBS Securities, LLC 0.35% 4/12/12 Open 3,543,050 3,541,363
Barclays Capital, Inc. (0.50)% 4/13/12 Open 921,954 922,569
UBS Securities, LLC 0.10% 4/16/12 Open 443,755 443,700
UBS Securities, LLC 0.60% 4/16/12 Open 2,071,553 2,070,000
UBS Securities, LLC 0.25% 4/17/12 Open 1,031,378 1,031,062
Barclays Capital, Inc. 0.40% 4/18/12 Open 14,984,048 14,976,893
BNP Paribas Securities          
Corp. 0.37% 4/18/12 Open 804,856 804,500
Credit Suisse Securities          
(USA) LLC 0.35% 4/18/12 Open 2,145,522 2,144,625
Credit Suisse Securities          
(USA) LLC 0.65% 4/18/12 Open 3,087,455 3,085,060
Credit Suisse Securities          
(USA) LLC 0.70% 4/18/12 Open 615,139 614,625
UBS Securities, LLC 0.60% 4/19/12 Open 2,638,546 2,636,700
Barclays Capital, Inc. 0.60% 4/23/12 Open 1,081,773 1,081,088
UBS Securities, LLC 0.65% 4/23/12 Open 1,068,583 1,067,850
Barclays Capital, Inc. 0.60% 4/24/12 Open 2,215,816 2,214,450
UBS Securities, LLC 0.54% 4/24/12 Open 249,478 249,340
Barclays Capital, Inc. 0.60% 4/30/12 Open 5,400,220 5,397,431
Deutsche Bank AG 0.50% 4/30/12 Open 1,417,230 1,416,620
UBS Securities, LLC 0.55% 4/30/12 Open 1,557,387 1,556,650
Barclays Capital, Inc. 0.60% 5/02/12 Open 346,390 346,222
Barclays Capital, Inc. 0.65% 5/02/12 Open 8,214,085 8,209,785
Barclays Capital, Inc. 0.00% 5/03/12 Open 340,706 340,706
Barclays Capital, Inc. 0.60% 5/03/12 Open 673,349 673,035
UBS Securities, LLC 0.34% 5/03/12 Open 3,199,615 3,198,769
Barclays Capital, Inc. 0.40% 5/07/12 Open 2,403,785 2,403,144
Barclays Capital, Inc. 0.60% 5/07/12 Open 426,084 425,914
Barclays Capital, Inc. 0.65% 5/07/12 Open 15,551,569 15,544,833
Credit Suisse Securities          
(USA) LLC 0.35% 5/07/12 Open 5,683,370 5,682,044
Credit Suisse Securities          
(USA) LLC 0.38% 5/07/12 Open 1,196,959 1,196,656
Credit Suisse Securities          
(USA) LLC 0.65% 5/07/12 Open 4,948,818 4,946,675
UBS Securities, LLC 0.00% 5/07/12 Open 503,750 503,750
UBS Securities, LLC 0.40% 5/07/12 Open 1,175,826 1,175,513
Barclays Capital, Inc. (0.25)% 5/08/12 Open 1,409,111 1,409,337

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 201216
 

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)

 

•Reverse repurchase agreements outstanding as of May 31, 2012 were as follows (concluded):
Counterparty Interest
Rate		 Trade
Date		 Maturity
Date1		 Net Closing
Amount		 Face
Amount
Barclays Capital, Inc. 0.55% 5/08/12 Open $ 1,036,355 $ 1,036,007
Barclays Capital, Inc. 0.60% 5/08/12 Open 1,915,357 1,914,624
Credit Suisse Securities          
(USA) LLC (0.25)% 5/08/12 Open 7,789,081 7,790,325
Credit Suisse Securities          
(USA) LLC 0.35% 5/08/12 Open 3,400,390 3,399,630
Credit Suisse Securities          
(USA) LLC 0.38% 5/08/12 Open 1,277,560 1,277,250
Credit Suisse Securities          
(USA) LLC 0.65% 5/08/12 Open 5,695,376 5,693,012
Credit Suisse Securities          
(USA) LLC 0.65% 5/10/12 Open 1,154,992 1,154,554
UBS Securities, LLC 0.00% 5/10/12 Open 459,375 459,375
UBS Securities, LLC 0.55% 5/10/12 Open 2,980,421 2,979,465
Credit Suisse Securities          
(USA) LLC 0.35% 5/11/12 Open 3,119,706 3,119,100
Credit Suisse Securities          
(USA) LLC 0.35% 5/14/12 Open 1,034,971 1,034,800
UBS Securities, LLC 0.65% 5/14/12 Open 789,316 789,074
Deutsche Bank AG (1.50)% 5/16/12 Open 262,136 262,300
Deutsche Bank AG (2.00)% 5/16/12 Open 709,159 709,750
Credit Suisse Securities          
(USA) LLC 0.32% 5/17/12 6/18/12 45,082,149 45,069,330
Barclays Capital, Inc. 0.55% 5/18/12 Open 1,768,496 1,768,145
Credit Suisse Securities          
(USA) LLC 0.35% 5/18/12 Open 425,879 425,825
Credit Suisse Securities          
(USA) LLC 0.65% 5/18/12 Open 735,860 735,687
Barclays Capital, Inc. 0.60% 5/23/12 Open 2,148,199 2,147,912
Credit Suisse Securities          
(USA) LLC 0.60% 5/23/12 Open 386,802 386,750
Deutsche Bank AG 0.25% 5/23/12 Open 5,880,777 5,880,450
Deutsche Bank AG 0.60% 5/23/12 Open 701,681 701,587
Deutsche Bank AG 0.23% 5/31/12 Open 1,747,192 1,747,181
Deutsche Bank AG (0.75)% 5/31/12 Open 1,004,454 1,004,475
Total       $ 260,228,325 $ 260,700,021

 

1Certain agreements have no stated maturity and can be terminated by either party at any time.
•Financial futures contracts purchased as of May 31, 2012 were as follows:
Contracts Issue Exchange Expiration Notional
Value		 Unrealized
Appreciation
120 5 Year US Treasury Note Chicago Board of Trade September 2012 $ 14,902,500 $ 6,731
8 90-Day Euro-Dollar Chicago Mercantile June 2012 $  1,990,500 10,178
8 90-Day Euro-Dollar Chicago Mercantile September 2012 $ 1,988,900 14,978
6 90-Day Euro-Dollar Chicago Mercantile December 2013 $ 1,489,800 29,233
8 90-Day Euro-Dollar Chicago Mercantile March 2013 $ 1,987,400 24,678
6 90-Day Euro-Dollar Chicago Mercantile September 2013 $ 1,490,175 25,934
6 90-Day Euro-Dollar Chicago Mercantile June 2013 $ 1,490,325 22,409
6 90-Day Euro-Dollar Chicago Mercantile March 2014 $ 1,489,500 32,233
Total         $ 166,374

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 201217
 

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)

 

•Financial futures contracts sold as of May 31, 2012 were as follows:
Contracts Issue Exchange Expiration Notional
Value		 Unrealized
Appreciation
(Depreciation)
15 Euro-Bund Eurex June 2012 EUR 2,190,450 $ (138,034)
60 S&P 500 E-Mini Index Future Chicago Mercantile June 2012 $ 3,927,600   147,774
Total         $ 9,740

 

•Foreign currency exchange contracts as of May 31, 2012 were as follows:
Currency Purchased   Currency Sold Counterparty Settlement Date Unrealized
Appreciation
(Depreciation)
GBP 29,000 USD 45,326 Royal Bank of Scotland Plc 6/01/12 $ (631)
CAD 3,800,000 USD 3,700,551 UBS AG 7/18/12 (25,116)
GBP 4,370,000 USD 7,068,453 Citibank NA 7/18/12 (334,820)
GBP 1,077,000 USD 1,729,871 UBS AG 7/18/12 (70,346)
USD 3,922,416 CAD 3,989,000 Citibank NA 7/18/12 64,176
USD 3,689,591 CAD 3,633,000 UBS AG 7/18/12 175,681
USD 33,178,764 GBP 20,791,500 Goldman Sachs & Co., Inc. 7/18/12 1,141,615
USD 45,313 GBP 29,000 Royal Bank of Scotland Plc 7/18/12 628
EUR 1,405,000 USD 1,761,575 Citibank NA 7/25/12 (23,760)
EUR 1,699,000 USD 2,172,124 UBS AG 7/25/12 (70,666)
USD 25,893,120 EUR 19,616,000 Citibank NA 7/25/12 1,630,497
USD 460,255 EUR 356,000 UBS AG 7/25/12 19,926
Total           $ 2,507,184

 

•Credit default swaps on single-name issues - buy protection outstanding as of May 31, 2012 were as follows:
Issuer Pay
Fixed
Rate		 Counterparty/Exchange Expiration
Date		 Notional
Amount
(000)		 Unrealized
Appreciation
Commonwealth Bank of          
Australia 1.00% Deutsche Bank AG 6/20/17 $ 1,643 $ 7,809
Commonwealth Bank of          
Australia 1.00% Deutsche Bank AG 6/20/17 $ 1,643 2,668
National Australia Bank Ltd 1.00% Deutsche Bank AG 6/20/17 $ 1,643 9,295
National Australia Bank Ltd 1.00% Deutsche Bank AG 6/20/17 $ 1,643 4,154
Total         $ 23,926

 

•Credit default swaps on traded indexes - buy protection outstanding as of May 31, 2012 were as follows:
  Pay     Notional  
  Fixed   Expiration Amount Unrealized
Index Rate Counterparty Date (000) Appreciation
Dow Jones CDX            
North America            
Investment Grade            
Index Series 16 1.00% Morgan Stanley & Co., Inc. 6/20/16 $ 7,700 $ 52,782
Dow Jones CDX            
North America            
High Yield            
Index Series 18 5.00% Bank of America NA 6/20/17 $ 6,500 162,016
Total           $ 214,798

 

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 201218
 

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)

 

• Credit default swaps on traded indexes - sold protection outstanding as of May 31, 2012 were as follows:

Index Receive
Fixed
Rate		 Counterparty/Exchange Expiration
Date		 Credit
Rating1		 Notional
Amount
(000)2		 Unrealized
Appreciation
Dow Jones CDX
North America
Investment Grade
Index Series 16		 1.00% Morgan Stanley & Co., Inc. 6/20/16 BBB+ $ 7,700 $ 60,024

 

1Using the S&P’s rating.
2The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.
•Interest rate swaps outstanding as of May 31, 2012 were as follows:
Fixed
Rate		 Floating
Rate		 Counterparty Expiration
Date		 Notional
Amount
(000)		 Unrealized
Depreciation
1.10%3 3-month LIBOR Deutsche Bank AG 5/14/17 $ 14,500 $ (71,120)

 

3Pays fixed interest rate and receives floating rate.
•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.
•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 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 instruments 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 and other significant accounting policies, please refer to the Trust's most recent financial statements as contained in its semi-annual report.

BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 201219
 

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)

 

The following tables summarize the inputs used as of May 31, 2012 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   —   $29,740,356   $9,127,460   $38,867,816 
Common Stocks   —    8,390,714    2,550,940    10,941,654 
Corporate Bonds   —    386,106,530    1,727    386,108,257 
Floating Rate                    
Loan Interests   —    270,006,704    24,718,741    294,725,445 
Non-Agency                    
Mortgage-Backed                    
Securities   —    83,077,039    —    83,077,039 
Other Interests   —    —    1,428,209    1,428,209 
Preferred                    
Securities  $2,048,131    687,000    —    2,735,131 
Taxable Municipal                    
Bonds   —    9,083,887    —    9,083,887 
US Government                    
Sponsored                    
Agency Securities   —    55,534,827    —    55,534,827 
US Treasury                    
Obligations   —    1,746,227    —    1,746,227 
Warrants   —    303,930    2    303,932 
Short-Term                    
Securities   1,447,264    —    —    1,447,264 
Liabilities:                    
Unfunded loan                    
commitments   —    (209,483)   —    (209,483)
Total  $3,495,395   $844,467,731   $37,827,079   $885,790,205 

 

Valuation Inputs  Level 1  Level 2  Level 3  Total
Derivative Financial Instruments1               
Assets:                    
Foreign                    
currency                    
exchange                    
contracts   —   $3,032,523    —   $3,032,523 
Interest rate                    
contracts   $ 314,148    —    —    314,148 
Credit                    
contracts   —    298,748    —    298,748 
Liabilities:                    
Foreign                    
currency                    
exchange                    
contracts   —    (525,339)   —    (525,339)
Interest rate                    
contracts   (138,034)   (71,120)   —    (209,154)
Total  $176,114   $2,734,812    —   $2,910,926 

 

1Derivative 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 TRUSTMAY 31, 201220
 

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)

 

Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of May 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

Valuation Inputs  Level 1  Level 2  Level 3  Total
Assets:                    
Cash  $6,000    —    —   $6,000 
Foreign                    
currency   87,501    —    —    87,501 
Cash pledged                    
as collateral                    
for reverse                    
repurchase                    
agreements   1,003,000    —    —    1,003,000 
Cash pledged                    
as collateral                    
for financial                    
futures                    
contracts   445,500    —    —    445,500 
Liabilities:                    
Cash held as                    
collateral for                    
swaps   (600,000)   —    —    (600,000)
Reverse                    
Repurchase                    
Agreements   —   $(260,700,021)   —    (260,700,021)
Total  $942,001   $(260,700,021)       $(259,758,020)

 

There were no transfers between Level 1 and Level 2 during the period ended May 31, 2012.

Certain of the Trust's investments are categorized as Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

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		  Preferred
Securities		  Warrants  Total
Assets:                                             
Opening balance, as of                                             
August 31, 2011  $11,549,300   $3,358,522   $186,065   $38,869,232   $2,829,283   $1,441,471   $384,565   $292,017   $58,910,455 
Transfers into Level 31   —    65,436    —    1,144,030    —    —    —    —    1,209,466 
Transfers out of Level 31   (953,319)   —    —    (14,585,486)   (2,829,283)   —    —    (292,010)   (18,660,098)
Accrued discounts/premiums   (194,003)   —    705    80,073    —    —    —    —    (113,225)
Net realized gain (loss)   (281,116)   —    66,012    (725,370)   —    1,455    452,430    —    (486,589)
Net change in unrealized                                             
  appreciation/depreciation2   652,493    (1,202,220)   (57,055)   635,106    —    (23,094)   (384,565)   (5)   (379,340)
Purchases   2,336,778    329,202    —    3,465,286    —    9,832    —    —    6,141,098 
Sales   (3,982,673)   —    (194,000)   (4,164,130)   —    (1,455)   (452,430)   —    (8,794,688)
Closing balance, as of                                             
May 31, 2012  $9,127,460   $2,550,940   $1,727   $24,718,741    —   $1,428,209    —   $2   $37,827,079 

 

1Transfers into and transfers out of Level 3 represent the beginning of the reporting period value. As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of May 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of period value of $18,660,098 transferred from Level 3 to Level 2 in the disclosure hierarchy.
2The change in unrealized appreciation/depreciation on investments still held as of May 31, 2012 was $(911,353).
BLACKROCK LIMITED DURATION INCOME TRUSTMAY 31, 201221
 

Consolidated Schedule of Investments (concluded) BlackRock Limited Duration Income Trust (BLW)

 

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

   Credit contracts
Liabilities:     
Opening balance, as of     
August 31, 2011  $(3,846)
Transfers into Level 31   — 
Transfers out of Level 31   — 
Accrued discounts/premiums   22,370 
Net realized gain (loss)   — 
Net change in unrealized     
appreciation/depreciation3   (3,846)
Purchases   — 
Issues4   — 
Sales   — 
Settlements5   (22,370)
Closing balance, as of     
May 31, 2012   — 

 

3The change in unrealized appreciation/depreciation on derivative financial instruments still held as of May 31, 2012 was $0.
4Issues represent upfront cash received on certain derivative financial instruments.
5Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

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 TRUSTMAY 31, 201222
 

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 25, 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: July 25, 2012

  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Limited Duration Income Trust

 

Date: July 25, 2012