BlackRock Multi-Sector Income Trust

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: 811-22774

Name of Fund:  BlackRock Multi-Sector Income Trust (BIT)

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 10/31/2016

Date of reporting period: 01/31/2016


Item 1 – Schedule of Investments


Consolidated Schedule of Investments January 31, 2016 (Unaudited)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities  

Par  

(000)

    Value  

Asset-Backed Securities — 34.5%

  

ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A2D, 0.73%, 2/25/36 (a)

  USD  6,775      $ 6,023,745   

Adirondack Park CLO Ltd., Series 2013-1A, Class E, 5.27%, 4/15/24 (a)(b)

    2,000        1,452,400   

ALM Loan Funding, Series 2013-7RA, Class D, 5.62%, 4/24/24 (a)(b)

    1,000        955,552   

ALM VI Ltd., Series 2012-6A (a)(b)(c):

   

Class B2R, 3.42%, 7/15/26

      1,300        1,238,900   

Class CR, 4.37%, 7/15/26

    1,000        920,800   

ALM XIV Ltd., Series 2014-14A, Class C, 4.07%, 7/28/26 (a)(b)(c)

    3,610        3,180,803   

American Homes 4 Rent, Series 2014-SFR2, Class E, 6.23%, 10/17/36 (b)

    2,000        2,040,555   

AMMC CDO, Series 2015-16A, Class C, 3.72%, 4/14/27 (a)(b)

    1,250        1,219,775   

AMMC CLO XII Ltd., Series 2013-12A, Class D1, 4.09%, 5/10/25 (a)(b)(c)

    1,000        908,456   

Anchorage Capital CLO 3 Ltd., Series 2014-3A, Class B, 3.62%, 4/28/26 (a)(b)

    1,000        946,006   

Anchorage Capital CLO 6 Ltd.,
Series 2015-6A (a)(b):

   

Class C, 3.47%, 4/15/27

    700        664,930   

Class D, 4.02%, 4/15/27

    1,000        883,700   

Apidos CDO, Series 2012-9AR, Class CR, 3.52%, 7/15/23 (a)(b)

    1,250        1,216,500   

Apidos CLO XII, Series 2013-12A, Class D, 3.67%, 4/15/25 (a)(b)(c)

    1,000        888,619   

Atrium X, Series 10A (a)(b):

   

Class D, 4.12%, 7/16/25 (c)

    1,000        911,606   

Class E, 5.12%, 7/16/25

    2,000        1,593,007   

Bear Stearns Asset Backed Securities I Trust 2006-HE9, Series 2006-HE9, Class 2A, 0.57%, 11/25/36 (a)

    5,616        4,673,235   

Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 4.12%, 7/15/24 (a)(b)(c)

    1,750        1,577,930   

Benefit Street Partners CLO VI Ltd., Series 2015-VIA (a)(b):

   

Class B, 3.67%, 4/18/27 (c)

    1,000        982,500   

Class C, 4.32%, 4/18/27

    1,000        907,500   

Betony CLO Ltd., Series 2015-1A, Class D, 4.22%, 4/15/27 (a)(b)

    1,000        890,431   
Asset-Backed Securities   

Par  

(000)

    Value  

Asset-Backed Securities (continued)

  

C-BASS Trust, Series 2006-CB7, Class A4, 0.59%, 10/25/36 (a)

   USD 9,140      $ 6,387,147   

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

    

Series 2012-1AR, Class DR, 4.37%, 4/20/22

     1,000        970,000   

Series 2012-4A, Class D, 5.12%, 1/20/25

     2,350        2,285,862   

Series 2013-2A, Class D, 4.37%, 4/18/25

     1,250        1,147,240   

Carrington Mortgage Loan Trust, Series 2006-FRE2 (a):

    

Class A2, 0.55%, 10/25/36

     6,530        3,652,332   

Class A5, 0.51%, 10/25/36

     6,925        3,854,648   

CIFC Funding Ltd. (a)(b):

    

Series 2012-1AR, Class B1R, 4.46%, 8/14/24 (c)

     2,000        1,886,111   

Series 2014-3A, Class D, 4.02%, 7/22/26

     480        418,535   

Countrywide Asset-Backed Certificates, Series 2006-BC5, Class 2A3, 0.60%, 3/25/37 (a)

     3,805        3,946,531   

DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (b)

     3,685        3,680,852   

Fieldstone Mortgage Investment Trust, Series 2006-3, Class 2A3, 0.59%, 11/25/36 (a)

     12,086        6,421,700   

Flatiron CLO Ltd., Series 2012-1A, Class C, 5.12%, 10/25/24 (a)(b)(c)

     1,375        1,329,256   

Fremont Home Loan Trust, Class 2A3 (a):

    

Series 2006-A, 0.59%, 5/25/36

       26,418        14,823,422   

Series 2006-D, 0.58%, 11/25/36

     24,316        10,391,227   

GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class D, 3.92%, 4/25/25 (a)(b)

     1,250        1,135,840   

GSAMP Trust (a):

    

Series 2006-FM2, Class A2C, 0.58%, 9/25/36

     12,265        5,558,098   

Series 2007-FM2, Class A2B, 0.52%, 1/25/37

     8,797        5,093,290   

Highbridge Loan Management 4-2014 Ltd., Series 4A-2014, Class B, 3.62%, 7/28/25 (a)(b)

     2,500        2,339,957   

Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-E, Class 2A3, 0.60%, 4/25/37 (a)

     14,698        8,820,236   

Jamestown CLO I Ltd., Series 2012-1A, Class C, 4.33%, 11/05/24 (a)(b)(c)

     2,550        2,312,717   
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016    1


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Asset-Backed Securities   

Par  

(000)

    Value  

Asset-Backed Securities (continued)

  

Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class M2, 7.17%, 4/15/40 (a)

   USD  6,302      $ 4,236,635   

Long Beach Mortgage Loan Trust 2006-1, Series 2006-1, Class 1A, 0.65%, 2/25/36 (a)

     6,685        5,339,141   

Madison Park Funding IX Ltd., Series 2012-9AR, Class C1R, 3.21%, 8/15/22 (a)(b)(c)

     1,000        987,157   

Madison Park Funding Ltd. (a):

    

Series 2012-10A, Class D, 4.87%, 1/20/25 (b)(c)

     1,000        961,412   

Series 2012-8X, Class E, 5.97%, 4/22/22

     3,000        2,743,342   

Madison Park Funding XV Ltd., Series 2014-15A, Class B1, 3.87%, 1/27/26 (a)(b)

     1,600        1,559,843   

Madison Park Funding XVI Ltd., Series 2015-16A (a)(b)(c):

    

Class B, 3.62%, 4/20/26

     1,000        985,300   

Class C, 4.32%, 4/20/26

     1,000        945,400   

Mastr Asset-Backed Securities Trust (a):

    

Series 2006-HE2, Class A3, 0.58%, 6/25/36

       12,105        6,229,536   

Series 2006-WMC2, Class A5, 0.68%, 4/25/36

     9,178        3,791,448   

Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A3, 0.58%, 11/25/36 (a)

     15,329        6,543,542   

Octagon Investment Partners XIV Ltd., Series 2012-1A, Class C, 4.62%, 1/15/24 (a)(b)(c)

     1,000        928,182   

Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D, 3.97%, 7/17/25 (a)(b)(c)

     2,250        2,001,301   

Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 4.01%, 11/14/26 (a)(b)

     1,000        883,610   

OHA Credit Partners VII Ltd., Series 2012-7A, Class D, 4.37%, 11/20/23 (a)(b)(c)

     3,000        2,825,271   

OneMain Financial Issuance Trust (b):

    

Series 2015-1A, Class D, 6.63%, 3/18/26

     575        578,473   

Series 2015-2A, Class C, 4.32%, 7/18/25 (c)

     5,000        4,939,200   

Series 2015-2A, Class D, 5.64%, 7/18/25

     2,500        2,453,300   
Asset-Backed Securities   

Par  

(000)

    Value  

Asset-Backed Securities (continued)

  

OZLM Funding IV Ltd., Series 2013-4A, Class C, 3.82%, 7/22/25 (a)(b)(c)

   USD  1,250      $ 1,119,431   

OZLM Funding Ltd., Series 2012-2A, Class C, 4.97%, 10/30/23 (a)(b)(c)

     2,000        1,906,624   

Race Point CLO Ltd., Series 2011-5AR, Class ER, 6.34%, 12/15/22 (a)(b)

     1,500        1,512,676   

Renaissance Home Equity Loan Trust, Series 2007-3, Class AF2, 7.00%, 9/25/37 (d)

     4,671        2,698,216   

Santander Drive Auto Receivables Trust (b)(e):

    

Series 2014-S2, 0.00%, 11/16/18

     3        6,296,400   

Series 2014-S3, 0.00%, 2/19/19

     3        9,031,200   

Series 2014-S4, 0.00%, 4/16/19

     3        11,829,600   

Saxon Asset Securities Trust, Series 2007-3, Class 2A3, 0.83%, 9/25/47 (a)

       5,000        3,496,580   

Scholar Funding Trust, Series 2013-A, Class R, 0.00% (b)(f)

     —  (g)      3,469,200   

SMB Private Education Loan Trust, Series 2015-C, Class C, 4.50%, 9/17/46 (b)

     4,100        3,925,459   

Symphony CLO Ltd., Series 2012-10AR, Class CR, 3.17%, 7/23/23 (a)(b)(c)

     1,500        1,480,031   

Symphony CLO XV Ltd., Series 2014-15A, Class D, 4.37%, 10/17/26 (a)(b)

     3,500        3,304,700   

TICP CLO I Ltd., Series 2015-1A, Class C, 3.62%, 7/20/27 (a)(b)

     1,000        965,724   

Treman Park CLO LLC, Series 2015-1A, Class D, 4.48%, 4/20/27 (a)(b)

     1,500        1,368,750   

Tyron Park CLO Ltd., Series 2013-1A (a)(b):

    

Class C, 4.12%, 7/15/25 (c)

     1,250        1,138,866   

Class D, 5.02%, 7/15/25

     1,000        759,999   

Venture XX CLO Ltd., Series 2015-20A (a)(b):

    

Class C, 3.77%, 4/15/27 (c)

     1,000        969,600   

Class D, 4.47%, 4/15/27

     520        469,820   

Venture XXI CLO Ltd., Series 2015-21A, Class D, 4.22%, 7/15/27 (a)(b)

     480        430,800   

Voya CLO Ltd., Series 2012-2AR, Class CR, 3.57%, 10/15/22 (a)(b)(c)

     1,350        1,337,647   
 

 

                
2    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Asset-Backed Securities  

Par  

(000)

    Value  

Asset-Backed Securities (continued)

  

WaMu Asset-Backed Certificates Trust, Series 2007-HE3, Class 2A3, 0.67%, 5/25/47 (a)

    USD        11,451      $ 7,059,682   

Westvue Mortgage Loan Trust, Series 2015-1A, Class A, 4.50%, 9/25/20 (b)

      3,387        3,347,832   
     

 

 

 
                      237,382,881   
Total Asset-Backed Securities — 34.5%        237,382,881   
     
                         
Common Stocks          Shares         

Real Estate Investment Trusts (REITs) — 0.0%

  

Ovation Acquisition I, LLC (Acquired 12/31/15, cost $8,635) (h)

            561        561   
Total Common Stocks — 0.0%        561   
     
                         
Corporate Bonds         

Par   

(000)

    Value  

Aerospace & Defense — 0.5%

  

Accudyne Industries Borrower/Accudyne Industries LLC, 7.75%, 12/15/20 (b)(c)

    USD        690        472,650   

TransDigm, Inc. (c):

     

7.50%, 7/15/21

      312        318,240   

6.00%, 7/15/22

      2,020        1,979,600   

6.50%, 7/15/24

      650        635,375   
     

 

 

 
                      3,405,865   

Airlines — 5.4%

  

Air Canada Pass-Through Trust, Series 2013-1 (b)(c):

     

Class B, 5.38%, 11/15/22

      2,878        2,827,230   

Class C, 6.63%, 5/15/18

      761        760,049   

American Airlines Pass-Through Trust (c):

     

Series 2013-1, Class C, 6.13%, 7/15/18 (b)

      1,500        1,530,000   

Series 2013-2, Class A, 4.95%, 7/15/24

      2,100        2,221,165   

Series 2013-2, Class B, 5.60%, 1/15/22 (b)

      2,472        2,502,400   

Series 2013-2, Class C, 6.00%, 1/15/17 (b)

      2,763        2,770,237   
Corporate Bonds   

Par  

(000)

    Value  

Airlines (continued)

  

Continental Airlines Pass-Through Trust (c):

      

Series 2003-ERJ1, 7.88%, 1/02/20

     USD        4,192      $ 4,380,771   

Series 2007-1, Class B, 6.90%, 10/19/23

       1,319        1,364,653   

Series 2012-1, Class B, 6.25%, 10/11/21

       429        450,234   

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

       678        708,510   

Delta Air Lines Pass-Through Trust, Class B (c):

      

Series 2007-1, 8.02%, 2/10/24

       2,102        2,348,909   

Series 2012-1, 6.88%, 5/07/19 (b)

       3,505        3,767,639   

United Airlines Pass-Through Trust (c):

      

Series 2014-2, Class B, 4.63%, 3/03/24

       2,750        2,763,750   

Series 2015-1, Class A, 3.70%, 6/01/24

       3,570        3,605,700   

US Airways Pass-Through Trust, Class B (c):

      

Series 2011-1, 9.75%, 4/22/20

       2,224        2,502,164   

Series 2013-1, 5.38%, 5/15/23

       2,901        2,922,382   
      

 

 

 
                       37,425,793   

Auto Components — 0.7%

  

Dana Holding Corp., 6.75%, 2/15/21 (c)

       1,257        1,269,570   

Icahn Enterprises LP/Icahn Enterprises Finance Corp. (c):

      

3.50%, 3/15/17

       170        168,725   

6.00%, 8/01/20

       434        407,374   

5.88%, 2/01/22

       954        852,638   

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

       1,045        1,045,000   

Schaeffler Holding Finance BV, (6.75% Cash), 6.75%, 11/15/22 (b)(i)

       850        888,250   
      

 

 

 
                       4,631,557   

Automobiles — 0.3%

  

General Motors Co., 6.25%, 10/02/43 (c)

             2,194        2,204,077   

Banks — 0.9%

  

CIT Group, Inc.:

      

5.25%, 3/15/18 (c)

       588        607,474   

5.50%, 2/15/19 (b)

       280        289,100   
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016    3


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Banks (continued)

  

CIT Group, Inc. (continued):

      

5.00%, 8/01/23

     USD        880      $ 879,450   

Rizal Commercial Banking Corp., 4.25%, 1/22/20

       100        104,414   

Sberbank of Russia Via SB Capital SA, 5.25%, 5/23/23 (b)

       5,000        4,440,000   
      

 

 

 
                       6,320,438   

Beverages — 0.4%

  

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

       2,160        2,236,840   

Ball Corp.:

      

4.38%, 12/15/20 (c)

       273        282,811   

5.00%, 3/15/22

       440        455,400   
      

 

 

 
                       2,975,051   

Building Products — 0.4%

  

American Builders & Contractors Supply Co., Inc. (b)(c):

      

5.63%, 4/15/21

       375        382,500   

5.75%, 12/15/23

       173        176,460   

Building Materials Corp. of America (b):

      

5.38%, 11/15/24

       140        137,900   

6.00%, 10/15/25 (c)

       922        940,440   

Cemex SAB de CV, 5.88%, 3/25/19 (b)(c)

       200        189,340   

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

       290        297,250   

USG Corp., 9.75%, 1/15/18 (c)

       572        629,200   
      

 

 

 
                       2,753,090   

Capital Markets — 0.5%

  

AE-Rotor Holding BV, 4.97%, 3/28/18

       1,600        1,639,950   

American Capital Ltd., 6.50%, 9/15/18 (b)(c)

       700        719,250   

E*Trade Financial Corp. (c):

      

5.38%, 11/15/22

       430        452,575   

4.63%, 9/15/23

       490        482,650   
      

 

 

 
                       3,294,425   

Chemicals — 0.5%

  

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

       570        598,141   

Huntsman International LLC, 4.88%, 11/15/20 (c)

       1,309        1,161,737   

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

       40        39,150   
Corporate Bonds           Par
(000)
    Value  

Chemicals (continued)

  

PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (c)

     USD        246      $ 254,748   

Platform Specialty Products Corp. (b)(c):

      

10.38%, 5/01/21

       65        60,613   

6.50%, 2/01/22

       956        750,460   

WR Grace & Co-Conn (b):

      

5.13%, 10/01/21

       49        49,245   

5.63%, 10/01/24 (c)

       300        298,500   
      

 

 

 
                       3,212,594   

Commercial Services & Supplies — 1.4%

  

ARAMARK Corp., 5.75%, 3/15/20 (c)

       672        697,217   

Aviation Capital Group Corp., 6.75%, 4/06/21 (b)(c)

       5,000        5,587,500   

Iron Mountain, Inc., 6.00%, 10/01/20 (b)(c)

       555        591,075   

United Rentals North America, Inc.:

      

8.25%, 2/01/21

       140        145,950   

7.63%, 4/15/22 (c)

       1,909        1,963,884   

5.75%, 11/15/24 (c)

       800        738,000   
      

 

 

 
                       9,723,626   

Communications Equipment — 1.0%

  

Alcatel-Lucent USA, Inc. (c):

      

8.88%, 1/01/20 (b)

       942        1,009,117   

6.45%, 3/15/29

       1,325        1,371,375   

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

       610        593,225   

CommScope, Inc., 4.38%, 6/15/20 (b)(c)

       450        457,875   

Nokia OYJ, 6.63%, 5/15/39 (c)

       245        248,675   

Zayo Group LLC/Zayo Capital, Inc., 10.13%, 7/01/20 (c)

       3,257        3,501,275   
      

 

 

 
                       7,181,542   

Construction & Engineering — 0.2%

  

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

       183        143,655   

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

       900        882,000   
      

 

 

 
                       1,025,655   

Construction Materials — 0.7%

  

American Tire Distributors, Inc., 10.25%, 3/01/22 (b)(c)

       695        576,850   

Beacon Roofing Supply, Inc., 6.38%, 10/01/23 (b)(c)

       93        95,906   

HD Supply, Inc.:

      

7.50%, 7/15/20 (c)

       3,488        3,627,520   
 

 

                
4    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Construction Materials (continued)

      

HD Supply, Inc. (continued):

      

5.25%, 12/15/21 (b)

     USD        590      $ 606,963   
      

 

 

 
                       4,907,239   

Consumer Finance — 1.6%

      

Ally Financial, Inc., 8.00%, 11/01/31 (c)

       9,315        10,479,375   

Navient Corp.:

      

5.00%, 10/26/20 (c)

       370        320,050   

5.50%, 1/25/23

       30        24,375   

6.13%, 3/25/24

       30        24,638   

5.88%, 10/25/24

       45        35,662   
      

 

 

 
                       10,884,100   

Containers & Packaging — 0.3%

      

Ardagh Packaging Finance PLC, 9.13%, 10/15/20 (b)

       600        601,500   

Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, 1/15/23 (c)

       460        455,400   

Reynolds Group Issuer, Inc., 8.50%, 5/15/18

       200        193,000   

Sealed Air Corp. (b):

      

4.88%, 12/01/22 (c)

       100        100,687   

5.13%, 12/01/24

       422        422,000   

5.50%, 9/15/25 (c)

       440        448,800   
      

 

 

 
                       2,221,387   

Diversified Consumer Services — 0.2%

      

APX Group, Inc., 6.38%, 12/01/19 (c)

       289        276,356   

Laureate Education, Inc., 9.25%, 9/01/19 (b)(c)

       395        216,263   

Service Corp. International, 5.38%, 5/15/24 (c)

       860        909,450   
      

 

 

 
                       1,402,069   

Diversified Financial Services — 1.5%

      

AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust:

      

4.63%, 10/30/20 (c)

       947        932,795   

5.00%, 10/01/21 (c)

       780        780,000   

4.63%, 7/01/22

       410        398,725   

Aircastle Ltd., 6.25%, 12/01/19 (c)

       2,624        2,768,320   

DPL, Inc., 6.50%, 10/15/16 (c)

       112        114,240   

General Motors Financial Co., Inc., 4.25%, 5/15/23 (c)

       326        316,923   

Intesa Sanpaolo SpA, 5.02%, 6/26/24 (b)(c)

       2,290        2,196,348   
Corporate Bonds           Par
(000)
    Value  

Diversified Financial Services (continued)

      

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

     USD        845      $ 705,575   

Reynolds Group Issuer, Inc.:

      

9.00%, 4/15/19 (c)

       300        288,750   

9.88%, 8/15/19 (c)

       979        956,972   

5.75%, 10/15/20

       346        346,433   

8.25%, 2/15/21

       130        121,225   
      

 

 

 
                       9,926,306   

Diversified Telecommunication Services — 2.4%

      

AT&T, Inc., 4.75%, 5/15/46 (c)

       2,545        2,256,611   

CenturyLink, Inc. (c):

      

6.45%, 6/15/21

       239        232,877   

Series V, 5.63%, 4/01/20

       595        583,844   

Frontier Communications Corp. (c):

      

7.13%, 1/15/23

       65        54,112   

7.63%, 4/15/24

       265        221,275   

6.88%, 1/15/25

       253        201,135   

11.00%, 9/15/25 (b)

       573        552,229   

Level 3 Financing, Inc.:

      

5.38%, 8/15/22

       240        243,600   

5.63%, 2/01/23

       690        705,525   

5.13%, 5/01/23 (c)

       1,110        1,115,550   

5.38%, 1/15/24 (b)(c)

       294        296,940   

5.38%, 5/01/25 (c)

       1,980        1,992,375   

Verizon Communications, Inc., 6.55%, 9/15/43 (c)

       6,500        7,588,464   

Windstream Corp. (c):

      

7.75%, 10/15/20

       450        372,375   

6.38%, 8/01/23

       555        400,987   
      

 

 

 
                       16,817,899   

Electric Utilities — 0.3%

      

AES Corp., 8.00%, 6/01/20 (c)

       280        305,200   

Star Energy Geothermal Wayang Windu Ltd., 6.13%, 3/27/20

       1,700        1,640,500   
      

 

 

 
                       1,945,700   

Electronic Equipment, Instruments & Components — 0.3%

  

 

CDW LLC/CDW Finance Corp., 6.00%, 8/15/22 (c)

       1,010        1,061,763   

CDW LLC/CDW Finance Corp., 5.00%, 9/01/23 (c)

       920        929,200   
      

 

 

 
                       1,990,963   

Energy Equipment & Services — 0.0%

      

Peabody Energy Corp., 6.00%, 11/15/18

             506        43,010   

Food & Staples Retailing — 0.8%

      

Diamond Foods, Inc., 7.00%, 3/15/19 (b)(c)

       730        755,550   
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016    5


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds   

Par  

(000)

    Value  

Food & Staples Retailing (continued)

  

 

Dollar Tree Inc., 5.75%, 3/01/23 (b)(c)

     USD        2,640      $ 2,781,900   

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

       75        77,625   

Rite Aid Corp. (c):

      

6.75%, 6/15/21

       329        347,917   

6.13%, 4/01/23 (b)

       1,727        1,821,985   
      

 

 

 
                       5,784,977   

Food Products — 0.4%

  

 

Acosta Inc., 7.75%, 10/01/22 (b)(c)

       490        403,025   

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

       483        498,697   

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

       363        373,890   

Post Holdings, Inc. (b):

      

6.75%, 12/01/21

       270        282,447   

7.75%, 3/15/24 (c)

       570        607,050   

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

       307        311,605   

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

       169        173,859   

WhiteWave Foods Co., 5.38%, 10/01/22 (c)

       211        224,188   
      

 

 

 
                       2,874,761   

Forest Products — 0.1%

  

 

JBS USA LLC/JBS USA Finance, Inc., 5.75%, 6/15/25 (b)(c)

             590        451,350   

Health Care Equipment & Supplies — 0.2%

  

 

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

       1,235        1,037,400   

Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 5.63%, 10/15/23 (b)(c)

       351        329,063   
      

 

 

 
                       1,366,463   

Health Care Providers & Services — 2.4%

  

 

Acadia Healthcare Co., Inc., 5.63%, 2/15/23 (c)

       218        205,465   

Alere, Inc., 7.25%, 7/01/18 (c)

       730        754,638   

Amsurg Corp., 5.63%, 7/15/22 (c)

       1,350        1,355,062   

Centene Corp., 4.75%, 5/15/22 (c)

       470        451,200   

Centene Escrow Corp. (b)(j):

      

5.63%, 2/15/21

       403        410,053   

6.13%, 2/15/24

       238        244,545   

CHS/Community Health Systems, Inc., 6.88%, 2/01/22 (c)

       1,018        921,290   

DaVita HealthCare Partners, Inc., 5.13%, 7/15/24 (c)

       2,500        2,514,062   
Corporate Bonds   

Par  

(000)

    Value  

Health Care Providers & Services (continued)

  

 

ExamWorks Group, Inc., 5.63%, 4/15/23 (c)

     USD        310      $ 311,511   

HCA, Inc.:

      

6.50%, 2/15/20 (c)

       1,103        1,216,057   

7.50%, 2/15/22

       800        888,000   

5.88%, 3/15/22 (c)

       124        132,990   

4.75%, 5/01/23 (c)

       161        161,403   

5.88%, 5/01/23

       90        93,825   

5.25%, 4/15/25 (c)

       1,500        1,537,500   

5.88%, 2/15/26 (c)

       508        518,160   

HealthSouth Corp. (c):

      

5.75%, 11/01/24

       961        948,593   

5.75%, 9/15/25 (b)

       316        306,457   

Hologic, Inc., 5.25%, 7/15/22 (b)(c)

       680        703,800   

MEDNAX, Inc., 5.25%, 12/01/23 (b)(c)

       239        244,975   

Tenet Healthcare Corp. (c):

      

6.00%, 10/01/20

       1,150        1,216,125   

8.13%, 4/01/22

       1,007        1,009,518   
      

 

 

 
                       16,145,229   

Hotels, Restaurants & Leisure — 4.0%

  

 

Boyd Gaming Corp., 6.88%, 5/15/23 (c)

       1,095        1,111,425   

Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20 (c)

       2,506        2,330,580   

Enterprise Inns PLC, 6.00%, 10/06/23

     GBP        3,320        4,647,879   

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

     USD        460        443,035   

Jarden Corp., 5.00%, 11/15/23 (b)(c)

       328        337,020   

MGM Resorts International (c):

      

6.63%, 12/15/21

       1,550        1,592,625   

6.00%, 3/15/23

       520        518,375   

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

       829        865,269   

Pinnacle Entertainment, Inc., 6.38%, 8/01/21 (c)

       720        763,200   

Sabre GLBL, Inc. (b):

      

5.38%, 4/15/23

       295        296,475   

5.25%, 11/15/23 (c)

       152        150,480   

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

       590        600,797   

Station Casinos LLC, 7.50%, 3/01/21 (c)

       1,305        1,344,150   

Unique Pub Finance Co. PLC:

      

Series A3, 6.54%, 3/30/21

     GBP        2,245        3,279,179   

Series M, 7.40%, 3/28/24

       6,400        8,982,565   
      

 

 

 
                       27,263,054   
 

 

                
6    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds   

Par  

(000)

    Value  

Household Durables — 1.1%

  

 

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

     USD        750      $ 658,125   

Century Communities, Inc., 6.88%, 5/15/22 (c)

       830        749,075   

DR Horton, Inc., 4.00%, 2/15/20 (c)

       450        455,625   

Lennar Corp. (c):

      

4.50%, 11/15/19

       450        462,375   

4.75%, 5/30/25

       410        391,550   

Meritage Homes Corp., 4.50%, 3/01/18 (c)

       600        598,500   

PulteGroup, Inc., 6.38%, 5/15/33 (c)

       600        603,000   

Shea Homes LP / Shea Homes Funding Corp., 5.88%, 4/01/23 (b)(c)

       440        440,000   

Standard Pacific Corp., 8.38%, 1/15/21 (c)

       2,000        2,285,000   

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

       177        166,380   

TRI Pointe Holdings, Inc. (c):

      

4.38%, 6/15/19

       415        402,550   

5.88%, 6/15/24

       280        271,600   
      

 

 

 
                       7,483,780   

Household Products — 0.2%

  

 

Spectrum Brands, Inc.:

      

6.63%, 11/15/22

       710        756,150   

6.13%, 12/15/24 (b)

       720        748,800   
      

 

 

 
                       1,504,950   

Independent Power and Renewable Electricity Producers — 1.2%

  

Calpine Corp.:

      

6.00%, 1/15/22 (b)(c)

       254        263,842   

5.38%, 1/15/23

       4,000        3,640,000   

5.88%, 1/15/24 (b)(c)

       240        246,000   

Dynegy, Inc., 6.75%, 11/01/19 (c)

       1,030        993,950   

NRG Energy, Inc.:

      

7.63%, 1/15/18 (c)

       2,735        2,762,350   

6.25%, 7/15/22 (c)

       112        92,400   

6.25%, 5/01/24

       50        39,875   

NRG Yield Operating LLC, 5.38%, 8/15/24 (c)

       130        109,200   
      

 

 

 
                       8,147,617   

Insurance — 0.3%

  

 

CNO Financial Group, Inc., 5.25%, 5/30/25 (c)

       346        349,460   

HUB International Ltd., 9.25%, 2/15/21 (b)(j)

       145        148,263   
Corporate Bonds   

Par  

(000)

    Value  

Insurance (continued)

  

 

Trader Corp., 9.88%, 8/15/18 (b)(c)

     USD        1,400      $ 1,449,000   
      

 

 

 
                       1,946,723   

Internet Software & Services — 0.3%

  

 

Blue Coat Holdings, Inc., 8.38%, 6/01/23 (b)(c)

       412        416,120   

Equinix, Inc. (c):

      

4.88%, 4/01/20

       144        149,400   

5.88%, 1/15/26

       721        746,235   

Netflix, Inc., 5.75%, 3/01/24 (c)

       590        606,225   
      

 

 

 
                       1,917,980   

IT Services — 1.0%

  

 

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

       287        226,730   

First Data Corp. (b)(c):

      

5.38%, 8/15/23

       424        432,480   

7.00%, 12/01/23

       2,584        2,603,380   

5.00%, 1/15/24

       744        744,000   

5.75%, 1/15/24

       2,678        2,657,915   
      

 

 

 
                       6,664,505   

Media — 6.3%

  

 

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

       560        550,200   

Altice US Finance I Corp., 5.38%, 7/15/23 (b)(c)

       1,380        1,386,900   

Altice US Finance II Corp., 7.75%, 7/15/25 (b)(c)

       770        704,550   

Altice US Finance SA, 7.75%, 7/15/25 (b)

       660        590,700   

AMC Networks, Inc., 4.75%, 12/15/22 (c)

       344        342,280   

Bharti Airtel International Netherlands BV, 5.13%, 3/11/23

       3,000        3,085,500   

CCO Holdings LLC/CCO Holdings Capital Corp.:

      

5.25%, 9/30/22

       325        329,063   

5.13%, 2/15/23 (c)

       709        707,228   

5.13%, 5/01/23 (b)

       300        300,000   

5.88%, 5/01/27 (b)(c)

       1,010        994,850   

CCO Safari II LLC, 6.48%, 10/23/45 (b)(c)

       3,000        3,020,214   

CCOH Safari LLC, 5.75%, 2/15/26 (b)(c)

       995        989,398   

Clear Channel International BV, 8.75%, 12/15/20 (b)(c)

       508        500,380   

Clear Channel Worldwide Holdings, Inc. (c):

      

6.50%, 11/15/22

       2,728        2,526,810   

Series B, 7.63%, 3/15/20

       5,274        4,351,050   
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016    7


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

  

 

Columbus International, Inc.,
7.38%, 3/30/21 (b)(c)

     USD        1,195      $ 1,197,987   

CSC Holdings LLC, 5.25%, 6/01/24 (c)

       540        476,550   

DISH DBS Corp.:

      

5.13%, 5/01/20 (c)

       1,052        1,044,110   

6.75%, 6/01/21

       500        510,000   

5.88%, 11/15/24

       840        748,650   

Gannett Co., Inc., 6.38%, 10/15/23 (c)

       1,400        1,477,000   

Gray Television, Inc., 7.50%, 10/01/20 (c)

       891        918,844   

iHeartCommunications, Inc., 9.00%, 12/15/19 (c)

       320        219,600   

Intelsat Jackson Holdings SA (c):

      

7.25%, 10/15/20

       1,250        1,075,000   

5.50%, 8/01/23

       2,241        1,787,197   

Lamar Media Corp., 5.75%, 2/01/26 (b)

       83        85,490   

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

       199        208,950   

Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (b)(c)

       250        252,500   

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

       629        629,786   

Neptune Finco Corp. (b):

      

10.13%, 1/15/23 (c)

       528        558,360   

6.63%, 10/15/25 (c)

       550        570,625   

10.88%, 10/15/25

       200        211,500   

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

       765        771,694   

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

       2,995        2,950,075   

Outfront Media Capital LLC/Outfront Media Capital Corp. (c):

      

5.25%, 2/15/22

       502        513,295   

5.63%, 2/15/24

       94        96,115   

RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (b)(c)

       350        351,750   

Sirius XM Radio, Inc. (b)(c):

      

4.25%, 5/15/20

       994        1,008,910   

5.38%, 4/15/25

       1,080        1,085,400   

Tribune Media Co., 5.88%, 7/15/22 (b)(c)

       836        833,910   

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

       487        509,197   
Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

  

 

Univision Communications, Inc., 5.13%, 5/15/23 (b)(c)

     USD        1,360      $ 1,319,200   

Virgin Media Finance PLC, 6.38%, 4/15/23 (b)(c)

       805        825,125   

WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b)(c)

       980        935,900   
      

 

 

 
                       43,551,843   

Metals & Mining — 1.0%

  

 

Alcoa, Inc., 5.87%, 2/23/22 (c)

       900        795,938   

ArcelorMittal, 6.13%, 6/01/18

       314        285,740   

Commercial Metals Co., 4.88%, 5/15/23 (c)

       984        817,950   

Constellium NV (b)(c):

      

8.00%, 1/15/23

       1,500        1,286,250   

5.75%, 5/15/24

       750        562,500   

Freeport-McMoRan, Inc., 2.38%, 3/15/18

       34        21,760   

Novelis, Inc., 8.75%, 12/15/20 (c)

       1,517        1,378,801   

Steel Dynamics, Inc., 5.13%, 10/01/21 (c)

       970        904,525   

Teck Resources Ltd., 3.00%, 3/01/19 (c)

       203        127,890   

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

       622        520,925   
      

 

 

 
                       6,702,279   

Multiline Retail — 0.2%

  

 

Neiman Marcus Group Ltd. (b)(c):

      

8.00%, 10/15/21

       1,012        759,000   

(8.75% Cash or 9.50% PIK), 8.75%, 10/15/21 (i)

       963        611,505   
      

 

 

 
                       1,370,505   

Offshore Drilling & Other Services — 0.0%

  

 

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

             90        86,625   

Oil, Gas & Consumable Fuels — 2.6%

  

 

Antero Resources Corp., 5.38%, 11/01/21 (c)

       285        241,538   

Bonanza Creek Energy, Inc., 6.75%, 4/15/21 (c)

       86        33,755   

Concho Resources, Inc., 5.50%, 4/01/23 (c)

       510        462,565   

Continental Resources, Inc., 3.80%, 6/01/24

       90        58,151   

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

       1,121        992,085   

Diamondback Energy, Inc., 7.63%, 10/01/21 (c)

       572        569,140   
 

 

                
8    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

  

Energy Transfer Equity LP:

      

5.88%, 1/15/24

     USD        49      $ 38,220   

5.50%, 6/01/27

       49        34,790   

MEG Energy Corp., 6.50%, 3/15/21 (b)(c)

       3,586        2,035,055   

Memorial Resource Development Corp., 5.88%, 7/01/22 (c)

       970        727,500   

MIE Holdings Corp., 6.88%, 2/06/18

       660        221,100   

MPLX LP, 4.88%, 6/01/25 (b)(c)

       790        617,028   

Newfield Exploration Co., 5.63%, 7/01/24 (c)

       132        110,550   

NGPL PipeCo LLC, 7.77%, 12/15/37 (b)(c)

       337        253,592   

Noble Energy, Inc., 5.63%, 5/01/21 (c)

       1,700        1,700,000   

ONEOK, Inc., 7.50%, 9/01/23 (c)

       150        121,875   

Pertamina Persero PT, 5.63%, 5/20/43 (b)(c)

       2,000        1,558,374   

Pratama Agung Pte Ltd., 6.25%, 2/24/20

       1,600        1,569,925   

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

       91        70,980   

Rockies Express Pipeline LLC, 5.63%, 4/15/20 (b)(c)

       630        563,850   

Sabine Pass Liquefaction LLC (c):

      

6.25%, 3/15/22

       752        692,780   

5.63%, 4/15/23

       1,980        1,737,450   

Seven Generations Energy Ltd., 8.25%, 5/15/20 (b)(c)

       1,550        1,381,437   

SM Energy Co., 6.13%, 11/15/22 (c)

       1,480        851,000   

Whiting Petroleum Corp.:

      

5.00%, 3/15/19 (c)

       648        420,795   

1.25%, 4/01/20 (b)

       1,582        857,246   
      

 

 

 
                       17,920,781   

Oil: Crude Producers — 0.1%

  

RHP Hotel Properties LP / RHP Finance Corp., 5.00%, 4/15/21 (c)

             750        759,375   

Paper & Forest Products — 0.0%

  

Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (b)(c)

             390        312,000   

Pharmaceuticals — 1.3%

  

DPx Holdings BV, 7.50%, 2/01/22 (b)

       135        126,394   

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

      

5.88%, 1/15/23

       620        615,350   

6.00%, 7/15/23

       1,240        1,246,200   
Corporate Bonds   

Par  

(000)

    Value  

Pharmaceuticals (continued)

  

Forest Laboratories, Inc., 5.00%, 12/15/21 (b)(c)

     USD        718      $ 787,049   

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

       544        552,214   

Valeant Pharmaceuticals International, Inc. (b)(c):

  

   

6.75%, 8/15/18

       1,807        1,799,094   

6.75%, 8/15/21

       1,276        1,237,720   

5.63%, 12/01/21

       1,182        1,075,620   

5.88%, 5/15/23

       1,584        1,417,680   
      

 

 

 
                       8,857,321   

Real Estate Investment Trusts (REITs) — 0.7%

  

FelCor Lodging LP, 6.00%, 6/01/25 (c)

       325        328,250   

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.63%, 10/15/21 (c)

       865        890,950   

Pakuwon Prima Pte, Ltd., 7.13%, 7/02/19

       3,350        3,303,767   
      

 

 

 
                       4,522,967   

Real Estate Management & Development — 3.7%

  

Caifu Holdings Ltd., 8.75%, 1/24/20

       3,000        3,075,843   

Lai Sun International Finance 2012 Ltd., 5.70%, 1/18/18

       2,000        1,985,920   

Lennar Corp., 4.88%, 12/15/23 (c)

       266        260,680   

Lodha Developers International Ltd., 12.00%, 3/13/20

       350        304,500   

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

       4,360        3,896,179   

Punch Taverns Finance B Ltd.:

      

7.37%, 9/30/21

     GBP        2,650        3,767,814   

Series A6, 5.94%, 9/30/22

       6,346        8,693,491   

Realogy Group LLC/Realogy Co-Issuer Corp., 5.25%, 12/01/21 (b)(c)

     USD        1,209        1,231,669   

Sparkle Assets Ltd., 6.88%, 1/30/20

       2,000        1,993,488   

Vingroup JSC, 11.63%, 5/07/18

       250        262,559   
      

 

 

 
                       25,472,143   

Road & Rail — 0.8%

  

Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 5.13%, 6/01/22 (b)(c)

       100        94,440   

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.25%, 3/15/25 (b)(c)

       640        579,200   

Hertz Corp. (c):

      

4.25%, 4/01/18

       400        398,000   
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016    9


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds   

Par  

(000)

    Value  

Road & Rail (continued)

  

Hertz Corp. (c) (continued):

      

7.38%, 1/15/21

     USD        825      $ 835,312   

Lima Metro Line 2 Finance Ltd., 5.88%, 7/05/34 (b)(c)

       4,000        3,765,000   
      

 

 

 
                       5,671,952   

Semiconductors & Semiconductor Equipment — 0.2%

  

NXP BV/NXP Funding LLC (b)(c):

      

4.13%, 6/15/20

       760        756,200   

4.63%, 6/15/22

       410        398,725   
      

 

 

 
                       1,154,925   

Software — 0.2%

  

ACI Worldwide, Inc., 6.38%, 8/15/20 (b)(c)

       580        594,500   

Informatica LLC, 7.13%, 7/15/23 (b)(c)

       570        510,150   

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

       335        335,000   

Rolta Americas LLC, 8.88%, 7/24/19

       200        94,000   
      

 

 

 
                       1,533,650   

Specialty Retail — 0.4%

  

Asbury Automotive Group, Inc., 6.00%, 12/15/24 (c)

       580        566,950   

L Brands, Inc., 6.88%, 11/01/35 (b)(c)

       589        608,879   

Michaels Stores, Inc., 5.88%, 12/15/20 (b)(c)

       440        453,200   

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

       419        406,430   

Sally Holdings LLC/Sally Capital, Inc., 5.75%, 6/01/22 (c)

       647        675,306   
      

 

 

 
                       2,710,765   

Technology Hardware, Storage & Peripherals — 0.1%

  

Pacific Emerald Property Ltd., 9.75%, 7/25/18

             1,000        950,000   

Textiles, Apparel & Luxury Goods — 0.2%

  

Levi Strauss & Co., 5.00%, 5/01/25

       89        86,775   

Springs Industries, Inc., 6.25%, 6/01/21 (c)

       1,434        1,412,490   

William Carter Co., 5.25%, 8/15/21 (c)

       134        138,020   
      

 

 

 
                       1,637,285   

Thrifts & Mortgage Finance — 0.1%

  

Radian Group, Inc., 5.25%, 6/15/20 (c)

             550        503,250   
Corporate Bonds   

Par  

(000)

    Value  

Tobacco — 0.1%

  

Reynolds American, Inc., 5.85%, 8/15/45

     USD        465      $ 515,737   

Trading Companies & Distributors — 0.5%

  

Doric Nimrod Air Alpha Pass-Through Trust, Series 2013-1, Class A,
5.25%, 5/30/25 (b)(c)

       2,467        2,509,800   

Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust, Series 2012-1, Class B, 6.50%, 5/30/21 (b)(c)

       618        634,972   
      

 

 

 
                       3,144,772   

Transportation Infrastructure — 0.1%

  

Transurban Finance Co., 4.13%, 2/02/26 (b)(c)

             520        521,126   

Wireless Telecommunication Services — 2.0%

  

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

       565        601,725   

Digicel Ltd., 6.00%, 4/15/21 (b)(c)

       5,000        4,356,250   

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

       1,210        1,210,000   

Softbank Corp., 4.50%, 4/15/20 (b)(c)

       1,500        1,493,430   

Sprint Communications, Inc.:

      

9.00%, 11/15/18 (b)(c)

       2,191        2,234,820   

7.00%, 8/15/20

       305        224,175   

Sprint Corp., 7.88%, 9/15/23 (c)

       937        667,612   

T-Mobile USA, Inc.:

      

6.63%, 4/28/21 (c)

       290        299,788   

6.73%, 4/28/22 (c)

       945        969,806   

6.84%, 4/28/23 (c)

       610        628,300   

6.50%, 1/15/24

       440        444,400   

6.50%, 1/15/26 (c)

       785        785,000   
      

 

 

 
                       13,915,306   
Total Corporate Bonds - 51.9%                      357,658,382   
      
                          
Floating Rate Loan Interests (a)                      

Airlines — 0.4%

  

Delta Air Lines, Inc., 2016 Term Loan B2, 2.68%, 4/18/16

             2,910        2,902,725   

Auto Components — 0.2%

  

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

             1,340        1,205,315   

Chemicals — 0.0%

  

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

       87        85,488   
 

 

                
10    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Floating Rate Loan Interests (a)   

Par  

(000)

    Value  

Chemicals (continued)

  

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

     USD        45      $ 44,356   

MacDermid, Inc., Term Loan B3, 5.50%, 6/07/20

       185        171,356   
      

 

 

 
                       301,200   

Commercial Services & Supplies — 0.1%

  

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

       359        345,921   

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

       209        194,698   
      

 

 

 
                       540,619   

Diversified Consumer Services — 0.1%

  

AssuredPartners, Inc., 2015 1st Lien Term Loan, 5.75%, 10/21/22

       195        191,467   

Bright Horizons Family Solutions, Inc., Term Loan B, 4.00%, 1/30/20

       485        483,181   
      

 

 

 
                       674,648   

Diversified Financial Services — 1.7%

  

Aviron Capital LLC, Term Loan, 15.32%, 10/20/16

             12,000        12,000,000   

Diversified Telecommunication Services — 0.1%

  

Level 3 Financing, Inc., 2013 Term Loan B, 4.00%, 1/15/20

             925        922,687   

Electronic Equipment, Instruments & Components — 0.0%

  

CDW LLC, Term Loan, 3.25%, 4/29/20

             292        286,209   

Energy Equipment & Services — 0.1%

  

Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20

             604        581,617   

Health Care Equipment & Supplies — 0.2%

  

Capsugel Holdings US, Inc., Term Loan B, 8.43%, 8/01/18

       45        43,909   

DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20

       449        431,667   

Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18

       728        667,481   
      

 

 

 
                       1,143,057   

Health Care Providers & Services — 0.1%

  

Envision Healthcare Corp.,
5.13%, 7/01/22 (b)(c)

       205        201,412   
Floating Rate Loan Interests (a)   

Par  

(000)

    Value  

Health Care Providers & Services (continued)

  

Envision Healthcare Corp., Term Loan, B2, 4.50%, 10/28/22

     USD        200      $ 198,392   
      

 

 

 
                       399,804   

Hotels, Restaurants & Leisure — 3.5%

  

Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20

       2,065        1,795,489   

Hilton Ft. Lauderdale, Mezzanine Term Loan 5, 6.43%, 8/04/19

       6,500        6,500,000   

Hilton Los Cabos, B-Note, 8.43%, 9/18/18

       5,375        5,375,000   

Hilton Orlando, Mezzanine A3, 6.12%, 8/01/16

       7,250        7,250,000   

MGM Resorts International, Term Loan A, 3.18%, 12/20/17

       715        708,657   

Starwood Schulte, Mezzanine Term Loan, 8.28%, 6/30/17

       2,000        1,990,000   

Station Casinos LLC, Term Loan B, 4.25%, 3/02/20

       246        240,917   
      

 

 

 
                       23,860,063   

Insurance — 0.6%

  

Dallas Design District, Mezzanine Term Loan, 7.13%, 11/09/16

       4,000        4,000,000   

Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, 3.75%, 3/01/21

       476        456,722   
      

 

 

 
                       4,456,722   

IT Services — 0.1%

  

First Data Corp., 2018 Extended Term Loan, 3.93%, 3/24/18

             1,040        1,025,482   

Machinery — 0.1%

  

Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19

             532        441,723   

Media — 0.3%

  

Cengage Learning Acquisitions, Inc., 1st Lien Term Loan, 7.00%, 3/31/20

       450        437,909   

Clear Channel Communications, Inc., Term Loan D, 7.18%, 1/30/19

       1,064        703,038   

Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19

       124        118,785   

Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20

       486        473,678   
      

 

 

 
                       1,733,410   
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016    11


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Floating Rate Loan Interests (a)   

Par  

(000)

    Value  

Pharmaceuticals — 0.1%

  

Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22

     USD        499      $ 488,667   

Valeant Pharmaceuticals International, Inc.:

      

Series E Term Loan B, 3.75%, 8/05/20

       201        192,960   

Term Loan B F1, 4.00%, 4/01/22

       133        128,146   
      

 

 

 
                       809,773   

Real Estate Management & Development — 0.7%

  

680 Madison Avenue, Mezzanine Term Loan, 5.64%, 8/09/17

       4,000        4,000,000   

Realogy Corp., Term Loan B, 3.75%, 3/05/20

       871        863,558   
      

 

 

 
                       4,863,558   

Road & Rail — 0.1%

  

Hertz Corp., Term Loan B2, 3.00%, 3/11/18

             499        492,110   

Semiconductors & Semiconductor Equipment — 0.4%

  

Avago Technologies Cayman Ltd., 2016 Term Loan B, 4.25%, 2/01/23

       1,791        1,761,055   

Microsemi Corp., 2015 Term Loan B, 5.25%, 1/15/23

       115        114,224   

NXP BV, 2015 Term Loan B, 3.75%, 12/07/20

       542        540,893   
      

 

 

 
                       2,416,172   

Specialty Retail — 0.0%

  

CNT Holdings III Corp., Term Loan B, 7.12%, 1/22/23

             214        212,573   
Total Floating Rate Loan Interests — 8.9%                      61,269,467   
      
                          
Foreign Agency Obligations                      

Argentina Bonar Bonds:

      

24.43%, 3/28/17 (a)

     ARS        304        22,341   

9.00%, 11/29/18

       323        335,758   

Cyprus Government International Bond, 4.63%, 2/03/20 (b)

     EUR        2,950        3,419,438   

Development Bank of Mongolia LLC, 5.75%, 3/21/17

     USD        1,000        930,769   

Dominican Republic International Bond, 6.88%, 1/29/26 (b)(j)

       112        113,400   

Iceland Government International Bond, 5.88%, 5/11/22

       3,415        3,926,225   
Foreign Agency Obligations   

Par  

(000)

    Value  

Indonesia Government International Bond, 4.75%, 1/08/26 (b)

     USD        207      $ 210,771   

Mexican Bonos:

      

4.75%, 6/14/18

     MXN        11        62,006   

6.50%, 6/10/21

       1,600        92,536   

10.00%, 12/05/24

     USD        1,600        112,753   

Mexican Udibonos:

      

3.50%, 12/14/17

       3,246        185,275   

4.00%, 6/13/19

       3,246        188,057   

Mexico Government International Bond, 4.13%, 1/21/26

       340        340,340   

Perusahaan Penerbit SBSN Indonesia III, 4.33%, 5/28/25 (b)

       312        303,454   

Portugal Government International Bond, 5.13%, 10/15/24 (b)

       5,430        5,576,610   

Russian Federal Bond, 7.00%, 8/16/23

     RUB        1,640        18,292   

Slovenia Government International Bond:

      

2.25%, 3/25/22

     EUR        922        1,079,304   

5.85%, 5/10/23 (b)(c)

     USD        766        878,679   

Sri Lanka Government International Bond, 5.88%, 7/25/22

     USD        3,000        2,710,869   
Total Foreign Agency Obligations — 3.0%                      20,506,877   
      
                          
Non-Agency Mortgage-Backed Securities                      

Collateralized Mortgage Obligations — 26.0%

  

Alternative Loan Trust:

      

Series 2005-61, Class 2A1, 0.71%, 12/25/35 (a)

       4,227        3,676,308   

Series 2005-9CB, Class 1A3, 0.88%, 5/25/35 (a)(c)

       5,395        4,359,857   

Series 2006-40T1, Class 2A5, 0.83%, 12/25/36 (a)

       3,273        1,361,769   

Series 2006-7CB, Class 2A1, 6.50%, 5/25/36

       3,986        2,938,004   

Series 2006-J7, Class 2A1, 2.15%, 11/20/36 (a)

       8,582        6,302,943   

Series 2006-J8, Class A5, 6.00%, 2/25/37

       2,535        1,966,338   

Series 2006-OA14, Class 3A1, 1.14%, 11/25/46 (a)

       13,324        10,743,703   

Series 2006-OA16, Class A2, 0.62%, 10/25/46 (a)

       10,365        9,058,868   

Series 2006-OA18, Class A1, 0.55%, 12/25/46 (a)

       6,341        5,480,248   

Series 2006-OA22, Class A1, 0.59%, 2/25/47 (a)

       5,483        4,548,203   
 

 

                
12    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Non-Agency Mortgage-Backed Securities   

Par  

(000)

    Value  

Collateralized Mortgage Obligations (continued)

  

Alternative Loan Trust (continued):

      

Series 2006-OA6, Class 1A1A, 0.64%, 7/25/46 (a)

     USD        10,519      $ 7,920,163   

Series 2006-OA8, Class 1A1, 0.62%, 7/25/46 (a)

       3,845        3,143,900   

Series 2007-12T1, Class A22, 5.75%, 6/25/37 (c)

       7,008        5,670,794   

Series 2007-12T1, Class A5, 6.00%, 6/25/37

       3,401        2,802,746   

Series 2007-22, Class 2A16, 6.50%, 9/25/37

       11,882        9,210,865   

Series 2007-23CB, Class A1, 6.00%, 9/25/37

       10,170        8,869,015   

Series 2007-4CB, Class 1A3, 0.78%, 4/25/37 (a)

       6,452        4,751,303   

Series 2007-OA2, Class 1A1, 1.13%, 3/25/47 (a)

       6,562        4,949,290   

American Home Mortgage Assets Trust, Series 2006-5, Class A1, 1.21%, 11/25/46 (a)

       6,671        3,214,769   

CHL Mortgage Pass-Through Trust:

      

Series 2006-3, Class 1A1, 0.67%, 3/25/36 (a)

       13,862        11,660,757   

Series 2007-J2, Class 2A1, 1.08%, 7/25/37 (a)

       5,986        3,698,189   

Series 2007-J2, Class 2A8, 6.00%, 7/25/37

       3,305        2,703,361   

Citigroup Mortgage Loan Trust, Series 2006-AR7, Class 2A3A, 2.69%, 11/25/36 (a)

       8,593        7,105,855   

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA5, Class 3A1, 0.63%, 4/25/46 (a)

       10,997        9,639,382   

Fannie Mae Connecticut Avenue Securities, Class 1M2 (a):

      

Series 2014-C02, 3.03%, 5/25/24

       10,000        8,457,352   

Series 2014-C03, 3.43%, 7/25/24

       6,000        5,270,128   

GreenPoint Mortgage Funding Trust,
Series 2007-AR3, Class A1, 0.65%, 6/25/37 (a)

       6,866        5,633,349   

Morgan Stanley Re-REMIC Trust,
Series 2010-R5, Class 7B,
0.75%, 5/26/37 (a)(b)

       17,310        10,905,350   

Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AF1, Class 1A2, 6.16%, 5/25/36 (a)

       9,657        4,891,259   

Residential Asset Securitization Trust,
Series 2006-A8, Class 2A5, 1.03%, 8/25/36 (a)

       8,180        2,910,216   
Non-Agency Mortgage-Backed Securities   

Par  

(000)

    Value  

Collateralized Mortgage Obligations (continued)

  

WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A,
1.06%, 5/25/47 (a)

     USD        6,041      $ 5,016,415   
      

 

 

 
                       178,860,699   

Commercial Mortgage-Backed Securities — 12.5%

  

Bank of America Merrill Lynch Commercial Mortgage Securities Trust,
Series 2013-DSMZ, Class M, 6.12%, 9/15/18 (a)(b)

       7,500        7,499,925   

BXHTL Mortgage Trust,
Series 2015-JWRZ (a)(b):

      

Class DR3, 4.32%, 5/15/29

       2,000        1,865,470   

Class GL3, 4.00%, 5/15/29

       2,510        2,327,931   

CD Commercial Mortgage Trust, Series 2007-CD5, Class C, 6.32%, 11/15/44 (a)(c)

       3,372        3,458,845   

CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class EPA, 4.68%, 12/15/27 (a)(b)

       5,000        4,735,002   

CG-CCRE Commercial Mortgage Trust, Series 2014-FL1 (a)(b):

      

Class D, 3.18%, 6/15/31

       3,000        2,950,911   

Class E, 5.08%, 6/15/31

       1,931        1,922,699   

Commercial Mortgage Pass-Through Certificates (a):

      

Series 2007-C9, Class E, 5.99%, 12/10/49 (c)

       5,000        5,079,275   

Series 2013-LC13, Class D, 5.21%, 8/10/46 (b)

       2,650        2,415,607   

Series 2014-FL5, Class HFL1, 3.68%, 7/15/31 (b)

       6,057        5,808,001   

Series 2014-KYO, Class F, 3.92%, 6/11/27 (b)(c)

       8,500        8,404,637   

Series 2014-LC15, Class D, 5.11%, 4/10/47 (b)(c)

       3,000        2,577,260   

Series 2014-PAT, Class E, 3.57%, 8/13/27 (b)

       1,000        965,532   

Series 2014-PAT, Class F, 2.87%, 8/13/27 (b)

       3,000        2,831,728   

Series 2014-PAT, Class G, 2.02%, 8/13/27 (b)

       2,000        1,846,520   

Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class B, 4.88%, 7/15/37

       2,000        1,998,399   

GAHR Commericial Mortgage Trust, Series 2015-NRF, Class GFX,
3.49%, 12/15/19 (a)(b)

       2,500        2,270,273   

Goldman Sachs Mortgage Securities Trust, Series 2014-GSFL (a)(b):

      

Class D, 4.33%, 7/15/31

       1,325        1,316,546   
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016    13


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Non-Agency Mortgage-Backed Securities   

Par  

(000)

    Value  

Commercial Mortgage-Backed Securities (continued)

  

Goldman Sachs Mortgage Securities Trust, Series 2014-GSFL (a)(b) (continued):

      

Class E, 6.38%, 7/15/31

     USD        1,000      $ 990,071   

Great Wolf Trust, Series 2015-WFMZ, Class M, 7.41%, 5/15/32 (a)(b)

       3,300        3,237,564   

JPMorgan Chase Commercial Mortgage Securities Trust (a)(b):

      

Series 2014-CBMZ, Class M, 6.65%, 10/15/19

       2,000        1,940,340   

Series 2014-DSTY, Class E, 3.93%, 6/10/27

       5,000        4,569,031   

London & Regional Debt Securitisation No. 2 PLC, Series 2, Class A,
3.59%, 10/15/18 (a)

     GBP        1,461        2,077,065   

Madison Avenue Trust, Series 2013-650M, Class E, 4.17%, 10/12/32 (a)(b)

     USD        5,000        4,939,152   

New York Mortgage Securitization Trust, Series 2013-1, Class A,
5.68%, 8/27/24 (a)(b)

       5,000        5,025,000   

Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AJ,
6.15%, 2/15/51 (a)(c)

       2,680        2,699,448   
      

 

 

 
                       85,752,232   
Total Non-Agency Mortgage-Backed Securities — 38.5%        264,612,931   
      
                          
Preferred Securities                      
Capital Trusts                      

Banks — 4.6%

  

BNP Paribas SA, 7.20% (a)(b)(c)(k)

       7,500        8,437,500   

Capital One Financial Corp., Series E, 5.55% (a)(c)(k)

       3,500        3,480,312   

Credit Suisse Group AG, 7.50% (a)(b)(c)(k)

       2,851        2,926,780   

Fifth Third Bancorp, Series J, 4.90% (a)(c)(k)

       3,000        2,715,000   

HSBC Holdings PLC, 6.38% (a)(c)(k)

       3,700        3,565,357   

Wells Fargo & Co. (a)(c)(k):

      

Series S, 5.90%

       8,800        8,877,000   

Series U, 5.88%

       1,280        1,349,248   
      

 

 

 
                       31,351,197   
Capital Trusts   

Par  

(000)

    Value  

Capital Markets — 1.3%

  

Credit Suisse Group AG, 6.25% (a)(b)(c)(k)

     USD        1,035      $ 1,010,332   

Goldman Sachs Group, Inc., Series L,
5.70% (a)(c)(k)

       1,300        1,282,125   

Morgan Stanley, Series H, 5.45% (a)(c)(k)

       5,104        4,925,360   

State Street Corp., Series F, 5.25% (a)(c)(k)

       1,875        1,884,375   
      

 

 

 
                       9,102,192   

Diversified Financial Services — 6.9%

  

Bank of America Corp. (a)(k)

      

Series AA, 6.10% (c)

       2,865        2,912,845   

Series U, 5.20% (c)

       1,750        1,636,250   

Series V, 5.13%

       1,100        1,042,250   

Series X, 6.25% (c)

       4,425        4,425,000   

Bank of New York Mellon Corp., Series D (a)(c)(k)

       6,067        5,491,242   

Citigroup, Inc. (a)(c)(k):

      

5.90%

       2,250        2,216,250   

Series D, 5.95%

       3,700        3,590,110   

Series R, 6.13%

       1,935        1,946,475   

JPMorgan Chase & Co. (a)(c)(k):

      

Series Q, 5.15%

       5,500        5,239,300   

Series V, 5.00%

       3,500        3,283,437   

Macquarie Bank Ltd., 10.25%, 6/20/57 (a)

       10,000        10,731,640   

Societe Generale SA, 6.00% (a)(b)(c)(k)

       5,540        5,075,859   
      

 

 

 
                       47,590,658   

Electric Utilities — 1.0%

  

Electricite de France SA, 5.25% (a)(b)(c)(k)

             7,500        6,721,875   

Industrial Conglomerates — 0.9%

  

General Electric Co., Series D, 5.00% (a)(k)

             5,921        6,083,827   

Insurance — 3.1%

  

Allstate Corp, 5.75%, 8/15/53 (a)(c)

       2,000        2,037,500   

Liberty Mutual Group, Inc., 7.80%, 3/07/87 (b)(c)

       10,760        12,266,400   

Prudential Financial, Inc., 5.63%, 6/15/43 (a)(c)

       6,000        6,067,500   

Voya Financial, Inc., 5.65%, 5/15/53 (a)(c)

       1,090        1,057,300   
      

 

 

 
                       21,428,700   

Oil, Gas & Consumable Fuels — 0.4%

  

Enterprise Products Operating LLC, Series A, 8.38%, 8/01/66 (a)(c)

             3,248        2,598,400   
 

 

                
14    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Capital Trusts          

Par  

(000)

    Value  

Real Estate Investment Trusts (REITS) — 1.8%

  

Firstar Realty LLC, 8.88% (b)(k)

             10      $ 12,393,750   
Total Capital Trusts — 20.0%        137,270,599   
      
                          
Preferred Stocks           Shares         

Aerospace & Defense — 0.3%

  

United Technologies Corp., 7.50%

             25,650        2,249,248   

Capital Markets — 1.9%

  

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

       395,017        9,863,575   

Morgan Stanley, 6.88% (a)(k)

       100,000        2,804,000   

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

       23,730        631,455   
      

 

 

 
                       13,299,030   

Diversified Financial Services — 0.3%

  

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

             75,000        2,060,250   

Real Estate Investment Trusts (REITs) — 0.3%

  

SunTrust Real Estate Investment Corp., 9.00% (b)(k)

             15        1,833,459   
Total Preferred Stocks — 2.8%        19,441,987   
Total Preferred Securities — 22.8%        156,712,586   
      
                          
U.S. Treasury Obligations — 5.2%          

Par  

(000)

        

U.S. Treasury Notes, 2.25%, 11/15/25 (c)

     USD        34,500        35,485,148   

    

Warrants

  Shares     Value  

Diversified Financial Services — 0.0%

  

Aviron Capital LLC (Expires 10/20/16) (l)

    10          

Total Long-Term Investments

(Cost — $1,164,146,797) — 165.0%

  

  

  $     1,133,628,833   
   
                 

Short-Term Securities — 5.1%

  

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.32% (m)(n)

    35,007,969        35,007,969   

Total Short-Term Securities

(Cost — $35,007,969) — 5.1%

  

  

    35,007,969   

Options Purchased

(Cost — $286,218) — 0.0%

  

  

    275,362   

Total Investments Before Options Written

(Cost — $1,199,440,984*) — 170.1%

  

  

    1,168,912,164   

Options Written

(Premiums Received — $211,816) — (0.0)%

  

  

    (123,592

Total Investments, Net of Options Written

(Cost — $1,199,229,168) — 170.1%

  

  

    1,168,788,572   
Liabilities in Excess of Other Assets (70.1)%        (481,530,995
   

 

 

 
Net Assets100.0%     $ 687,257,577   
 

 

 

 

 

*   As of January 31, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

  $ 1,191,551,763   
 

 

 

 

Gross unrealized appreciation

  $ 16,810,939   

Gross unrealized depreciation

    (39,450,538
 

 

 

 

Net unrealized depreciation

  $ (22,639,599
 

 

 

 
 
Notes to Schedule of Investments

 

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

 

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

 

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

 

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

 

(e)   Security is eligible to receive residual cash flows.

 

(f)   Zero-coupon bond.

 

(g)   Amount is less than $500.

 

(h)   Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $561 and an original cost of $8,635 which was less than 0.05% of its net assets.

 

(i)   Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016    15


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

 

(j)   When-issued security.

 

(k)   Perpetual security with no stated maturity date.

 

(l)   All or a portion of security is held by a wholly owned subsidiary.

 

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

 

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

BlackRock Liquidity Funds, TempFund, Institutional Class

       6,140,532           28,867,437           35,007,969         $ 18,557   

 

(n)   Current yield as of period end.

 

Portfolio Abbreviations

 

ABS    Asset-Backed Security
ADS    American Depositary Shares
ARS    Argentine Peso
ARS    Auction Rate Securities
AUD    Australian Dollar
BRL    Brazilian Real
CAD    Canadian Dollar
CLO    Collateralized Loan Obligation
CNY    Chinese Renminbi
COP    Certificates of Participation
CR    Custodian Receipt
EUR    Euro
GBP    British Pound
IDR    Indonesian Rupiah
ISDA    International Swaps and Derivatives Association, Inc.
JPY    Japanese Yen
JSC    Joint Stock Company
KRW    South Korean Won
KLIBOR    Kuala Lumpur Interbank Offered Rate
LIBOR    London Interbank Offered Rate
MXIBTIIE    Mexico Interbank TIIE 28 Day
MXN    Mexican Peso
MYR    Malaysian Ringgit
NZD    New Zealand Dollar
OTC    Over-the-Counter
PIK    Payment-In-Kind.
PLN    Polish Zloty
Radian    Radian Guaranty, Inc.
REMIC    Real Estate Mortgage Investment Conduit
RUB    Russian Ruble
SEK    Swedish Krona
TRY    Turkish Lira
TWD    Taiwan Dollar
USD    U.S. Dollar
ZAR    South African Rand
   For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry subclassifications for reporting ease.

 

                
16    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Reverse Repurchase Agreements

 

Counterparty   Interest
Rate
    Trade
Date
  Maturity
Date1
  Face Value     Face Value
Including
Accrued
Interest
    Type of
Underlying
Collateral
  Remaining
Contractual
Maturity of
the Agreements

UBS Ltd.

    0.70   4/16/15   Open   $ 1,792,500      $ 1,802,608      Corporate Bonds   Open/Demand1

UBS Ltd.

    0.80   6/3/15   Open     158,000        158,850      Corporate Bonds   Open/Demand1

UBS Ltd.

    0.85   6/3/15   Open     920,000        925,257      Corporate Bonds   Open/Demand1

UBS Ltd.

    0.85   6/3/15   Open     232,500        233,828      Corporate Bonds   Open/Demand1

UBS Securities LLC

    0.65   8/12/15   Open     500,000        501,553      Corporate Bonds   Open/Demand1

UBS Securities LLC

    0.75   8/12/15   Open     2,577,000        2,583,772      Corporate Bonds   Open/Demand1

UBS Securities LLC

    0.75   8/12/15   Open     10,165,000        10,191,711      Corporate Bonds   Open/Demand1

UBS Securities LLC

    0.75   8/12/15   Open     5,320,000        5,333,980      Corporate Bonds   Open/Demand1

UBS Ltd.

    0.80   9/8/15   Open     343,943        345,051      Corporate Bonds   Open/Demand1

UBS Securities LLC

    0.65   9/21/15   Open     1,208,291        1,211,171      Corporate Bonds   Open/Demand1

UBS Securities LLC

    0.65   9/21/15   Open     2,125,000        2,130,065      Corporate Bonds   Open/Demand1

UBS Securities LLC

    0.65   9/21/15   Open     2,400,350        2,406,071      Corporate Bonds   Open/Demand1

UBS Ltd.

    0.70   11/10/15   Open     5,117,775        5,126,035      Foreign Agency Obligations   Open/Demand1

UBS Ltd.

    0.75   12/2/15   Open     465,238        465,819      Corporate Bonds   Open/Demand1

UBS Securities LLC

    0.80   12/9/15   Open     747,338        748,201      Corporate Bonds   Open/Demand1

UBS Securities LLC

    0.80   12/9/15   Open     541,325        541,951      Corporate Bonds   Open/Demand1

UBS Securities LLC

    0.80   12/9/15   Open     1,213,650        1,215,052      Capital Trusts   Open/Demand1

UBS Securities LLC

    0.80   12/9/15   Open     440,735        441,244      Corporate Bonds   Open/Demand1

UBS Securities LLC

    0.80   12/9/15   Open     387,100        387,547      Corporate Bonds   Open/Demand1