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: 10/31/2017

Date of reporting period: 01/31/2017


Item 1 – Schedule of Investments


Consolidated Schedule of Investments January 31, 2017 (Unaudited)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Common Stocks               
Shares
    Value  

Aerospace & Defense — 0.4%

      

United Technologies Corp.

             25,650     $ 2,813,035  

Real Estate Investment Trusts (REITs) — 0.0%

      

Ovation Acquisition I LLC, (Acquired 12/28/15,
cost $8,635) (a)

             561       561  

Total Common Stocks 0.4%

                     2,813,596  
      
                          
Asset-Backed Securities          

Par

(000)

        

Asset-Backed Securities — 31.0%

      

ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A2D,
1.07%, 2/25/36 (b)

     USD       6,159       5,779,789  

Adirondack Park CLO Ltd., Series 2013-1A, Class E, 5.67%, 4/15/24 (b)(c)

       2,000       1,924,010  

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

      

Class B2R, 3.68%, 7/15/26

       1,300       1,302,981  

Class CR, 4.63%, 7/15/26

       1,000       998,935  

ALM XIV Ltd., Series 2014-14A, Class C, 4.49%, 7/28/26 (b)(c)(d)

       3,610       3,562,059  

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

       2,000       2,122,993  

AMMC CDO (b)(c):

      

Series 2015-16A, Class C, 4.12%, 4/14/27

       1,250       1,250,758  

Series 2016-1A, Class E, 7.88%, 10/15/28

       1,000       956,000  

AMMC CLO 18, Ltd., Series 2016-18A, Class E2, 8.19%, 5/26/28 (b)(c)

       1,000       1,001,561  

AMMC CLO IX, Ltd., Series 2011-9A, Class ER, 8.67%, 1/15/22 (b)(c)

       1,000       1,000,336  

AMMC CLO XII Ltd., Series 2013-12A, Class D1, 4.63%, 5/10/25 (b)(c)(d)

       1,000       987,803  

Anchorage Capital CLO 3 Ltd., Series 2014-3A, Class BR, 3.51%, 4/28/26 (b)(c)

       1,000       1,001,673  

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

 

   

Class C, 3.87%, 4/15/27

       700       705,141  

Class D, 4.42%, 4/15/27

       1,000       964,031  

Anchorage Capital CLO Ltd., Series 2012-1A, Class DR, 8.27%, 1/13/27 (b)(c)

       1,000       1,006,809  
Asset-Backed Securities           Par
(000)
    Value  

Asset-Backed Securities (continued)

      

Apidos CDO, Series 2012-9AR, Class CR, 3.78%, 7/15/23 (b)(c)(d)

     USD       1,250     $ 1,251,293  

Apidos CLO XII, Series 2013-12A, Class D, 4.07%, 4/15/25 (b)(c)(d)

       1,000       975,347  

Ares CLO Ltd., Class D (b)(c):

      

Series 2015-1A, 7.17%, 12/05/25

       1,000       993,438  

Series 2016-41A, 5.09%, 1/15/29

       900       879,672  

Arrowpoint CLO Ltd., Series 2013-1A, Class CR, 5.51%, 11/15/28 (b)(c)

       800       786,000  

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

      

Class D, 4.52%, 7/16/25 (d)

       1,000       995,720  

Class E, 5.52%, 7/16/25

       2,000       1,919,097  

Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 2A,
0.91%, 11/25/36 (b)

       4,948       4,260,096  

Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 4.52%, 7/15/24 (b)(c)(d)

       1,750       1,746,005  

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

      

Class B, 4.07%, 4/18/27 (d)

       1,000       1,000,004  

Class C, 4.72%, 4/18/27

       1,000       985,271  

Betony CLO Ltd., Series 2015-1A, Class D, 4.62%, 4/15/27 (b)(c)

       1,000       959,016  

C-BASS Trust, Series 2006-CB7, Class A4, 0.93%, 10/25/36 (b)

       8,426       5,679,972  

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

      

Series 2013-2A, Class D,
4.77%, 4/18/25 (d)

       1,250       1,254,673  

Series 2014-1A, Class CR, 3.77%, 4/17/25

       1,500       1,504,323  

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

      

Class A2, 0.89%, 10/25/36

       5,834       3,558,424  

Class A5, 0.85%, 10/25/36

       12,019       7,294,114  

CIFC Funding Ltd. (b)(c):

      

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

       2,000       1,998,003  

Series 2014-3A, Class D, 4.44%, 7/22/26

       480       478,328  

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

       3,628       3,621,120  

Flatiron CLO Ltd., Series 2012-1A, Class CR, 5.35%, 10/25/21 (b)(c)

       1,375       1,374,206  
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    1


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Asset-Backed Securities           Par
(000)
    Value  

Asset-Backed Securities (continued)

      

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

      

Series 2006-A, 0.93%, 5/25/36

     USD       25,554     $ 14,889,139  

Series 2006-D, 0.92%, 11/25/36

       23,080       10,007,007  

GoldenTree Loan Opportunities VII Ltd.,
Series 2013-7A, Class D,
4.34%, 4/25/25 (b)(c)

       1,250       1,233,739  

GSAMP Trust (b):

      

Series 2006-FM2, Class A2C, 0.92%, 9/25/36

       11,642       5,289,095  

Series 2007-FM2, Class A2B, 0.86%, 1/25/37

       8,000       4,827,478  

Highbridge Loan Management Ltd. (b)(c):

      

Series 3A-2014, Class D, 6.02%, 1/18/25

       1,000       965,460  

Series 4A-2014, Class B, 4.04%, 7/28/25

       2,000       2,002,244  

Series 8A-2016, Class E, 8.93%, 4/20/27

       1,000       997,337  

Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-E, Class 2A3, 0.94%, 4/25/37 (b)

       13,248       8,960,287  

HPS Loan Management Ltd., Series 10A-16 (b)(c):

      

Class C, 4.58%, 1/20/28

       2,500       2,399,750  

Class D, 7.43%, 1/20/28

       1,000       957,012  

LCM XVI LP, Series 16A, Class E, 5.62%, 7/15/26 (b)(c)

 

    1,000       931,577  

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

       5,938       4,444,270  

Long Beach Mortgage Loan Trust, Series 2006-1, Class 1A, 0.99%, 2/25/36 (b)

       5,943       5,192,992  

Madison Park Funding IX Ltd., Series 2012-9AR, Class C1R, 3.76%, 8/15/22 (b)(c)(d)

       1,000       1,000,788  

Madison Park Funding X Ltd., Series 2012-10A,
Class ER, 8.65%, 1/20/29 (b)(c)

       1,000       979,800  

Madison Park Funding XV Ltd., Series 2014-15A, Class B1, 4.29%, 1/27/26 (b)(c)

       1,600       1,604,394  

Madison Park Funding XVI Ltd., Series 2015-16A, Class C, 4.73%, 4/20/26 (b)(c)(d)

       1,000       982,397  
Asset-Backed Securities           Par
(000)
    Value  

Asset-Backed Securities (continued)

      

Master Asset-Backed Securities Trust (b):

      

Series 2006-HE2, Class A3, 0.92%, 6/25/36

     USD       11,285     $ 5,803,544  

Series 2006-WMC2, Class A5, 1.02%, 4/25/36

       8,424       3,687,039  

Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A3, 0.92%, 11/25/36 (b)

       14,437       6,734,562  

Neuberger Berman CLO XVIII, Ltd.,
Series 2014-18A, Class DR,
8.63%, 11/14/27 (b)(c)

       1,000       1,001,354  

Octagon Investment Partners XIV Ltd.,
Series 2012-1A, Class C,
5.02%, 1/15/24 (b)(c)(d)

       1,000       999,181  

Octagon Investment Partners XXI Ltd.,
Series 2014-1A, Class C,
4.55%, 11/14/26 (b)(c)

       1,000       996,932  

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

       5,000       5,005,162  

OZLM Funding II Ltd., Series 2012-2A (b)(c):

      

Class CR, 4.89%, 10/30/27

       1,250       1,239,250  

Class DR, 8.19%, 10/30/27

       1,250       1,203,250  

OZLM Funding IV Ltd., Series 2013-4A, Class C, 4.24%, 7/22/25 (b)(c)(d)

       1,250       1,227,906  

OZLM XV, Ltd., Series 2016-15A, Class D, 8.07%, 1/20/29 (b)(c)

       1,000       948,400  

Pretium Mortgage Credit Partners LLC,
Series 2016-NPL3, Class A1,
4.38%, 5/27/31 (c)(e)

       6,173       6,222,829  

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

       1,500       1,502,067  

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

       4,505       2,685,789  

Saxon Asset Securities Trust, Series 2007-3,
Class 2A3, 1.17%, 9/25/47 (b)

       5,000       3,911,186  

Scholar Funding Trust, Series 2013-A,
Class R, 0.00%

       (f)      2,577,442  

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

       4,100       4,112,293  

Sound Point CLO X Ltd., Series 2015-3A, Class E, 7.78%, 1/20/28 (b)(c)

       1,000       1,026,743  

Sound Point CLO XIV Ltd, Series 2016-3A, Class E, 7.53%, 1/23/29 (b)(c)

       1,000       965,500  
 

 

                
2    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Asset-Backed Securities           Par
(000)
    Value  

Asset-Backed Securities (continued)

      

Symphony CLO XV Ltd., Series 2014-15A,
Class D, 4.77%, 10/17/26 (b)(c)

     USD       3,500     $ 3,480,147  

TICP CLO I Ltd., Series 2015-1A, Class C, 4.03%, 7/20/27 (b)(c)

       1,000       996,028  

Treman Park CLO LLC, Series 2015-1A,
Class D, 4.89%, 4/20/27 (b)(c)

       1,500       1,505,169  

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

      

Class C, 4.52%, 7/15/25 (d)

       1,250       1,225,388  

Class D, 5.42%, 7/15/25

       1,000       941,029  

US Residential Opportunity Fund III Trust, Series 2016-2III, Class A, 3.47%, 8/27/36 (c)(e)

       4,593       4,568,636  

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

      

Class C, 4.17%, 4/15/27 (d)

       1,000       1,001,241  

Class D, 4.87%, 4/15/27

       520       516,028  

Venture XXI CLO Ltd., Series 2015-21A,
Class D, 4.62%, 7/15/27 (b)(c)

       480       463,571  

Vibrant Clo III, Ltd., Series 2015-3A (b)(c):

      

Class A2R, 3.08%, 4/20/26

       1,000       997,771  

Class BR, 3.98%, 4/20/26

       1,500       1,500,000  

VOLT XLVI LLC, Series 2016-NPL6, Class A1, 3.84%, 6/25/46 (c)(e)

       4,145       4,157,835  

Voya CLO Ltd. (b)(c):

      

Series 2012-2AR, Class CR, 3.97%, 10/15/22 (d)

       1,350       1,351,372  

Series 2016-3A, Class C, 4.67%, 10/18/27

       435       430,154  

Series 2016-3A, Class D, 7.67%, 10/18/27

       385       376,107  

WaMu Asset-Backed Certificates Trust,
Series 2007-HE3, Class 2A3,
1.01%, 5/25/47 (b)

       10,710       7,253,067  

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

       2,098       2,120,535  

York CLO-3 Ltd., Series 2016-1A, Class E, 6.71%, 7/20/25 (b)(c)

             1,000       952,602  

Total Asset-Backed Securities 31.0%

                     221,430,876  
      
                          
Corporate Bonds                         

Advertising Agencies — 0.0%

      

Kinross Gold Corp., 6.88%, 9/01/41

             80       80,300  
Corporate Bonds           Par
(000)
    Value  

Aerospace & Defense — 1.1%

      

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

     USD       840     $ 714,000  

Bombardier, Inc. (c):

      

8.75%, 12/01/21

       886       957,987  

6.00%, 10/15/22

       271       264,903  

6.13%, 1/15/23

       184       179,860  

7.50%, 3/15/25 (d)

       620       621,550  

Harris Corp., 3.83%, 4/27/25 (d)

       750       764,367  

KLX, Inc., 5.88%, 12/01/22 (c)(d)

       640       670,400  

Lockheed Martin Corp., 4.70%, 5/15/46 (d)

       400       427,353  

TransDigm, Inc.:

      

5.50%, 10/15/20

       262       263,965  

6.00%, 7/15/22 (d)

       1,998       2,012,985  

6.50%, 7/15/24 (d)

       421       421,526  

6.50%, 5/15/25

       185       185,925  

6.38%, 6/15/26 (c)(d)

       55       54,175  

United Technologies Corp., 3.75%, 11/01/46 (d)

       700       657,506  
      

 

 

 
                       8,196,502  

Air Freight & Logistics — 0.3%

      

FedEx Corp. (d):

      

3.90%, 2/01/35

       500       478,438  

4.75%, 11/15/45

       500       515,578  

XPO Logistics, Inc.:

      

5.75%, 6/15/21

     EUR       100       113,348  

6.50%, 6/15/22 (c)(d)

     USD       760       792,300  

6.13%, 9/01/23 (c)(d)

       281       290,133  
      

 

 

 
                       2,189,797  

Airlines — 3.4%

      

Air Canada Pass-Through Trust, Series 2013-1, Class B, 5.38%, 11/15/22 (c)(d)

       2,616       2,668,709  

American Airlines Pass-Through Trust:

      

4.95%, 8/15/26

       1,735       1,763,194  

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

 

    1,080       1,125,900  

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

 

    1,903       2,027,822  

Avianca Holdings SA / Avianca Leasing LLC / Grupo Taca Holdings, Ltd., 8.38%, 5/10/20

       426       421,740  

Continental Airlines Pass-Through Trust (d):

      

Series 2003-ERJ1, 7.88%, 1/02/20

       274       284,694  

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

       383       401,691  
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    3


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Airlines (continued)

      

Continental Airlines Pass-Through Trust (d) (continued):

 

   

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

     USD       371     $ 388,651  

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

       408       424,932  

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

      

Series 2007-1, 8.02%, 2/10/24

       1,860       2,101,872  

Series 2012-1, 6.88%, 5/07/19 (c)

       3,156       3,364,633  

United Airlines Pass-Through Trust (d):

      

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

       2,487       2,523,924  

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

       3,570       3,587,850  

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

      

Series 2011-1, 9.75%, 4/22/20

       1,997       2,232,043  

Series 2013-1, 5.38%, 5/15/23

       787       812,771  
      

 

 

 
                       24,130,426  

Auto Components — 0.5%

      

Allison Transmission, Inc., 5.00%, 10/01/24 (c)

       411       414,083  

CNH Industrial Finance Europe SA, 2.88%, 5/17/23

     EUR       175       193,399  

Delphi Automotive PLC (d):

      

4.25%, 1/15/26

     USD       400       411,052  

4.40%, 10/01/46

       280       255,662  

Faurecia, 3.63%, 6/15/23

     EUR       111       124,873  

Fiat Chrysler Finance Europe:

      

4.75%, 3/22/21

       133       156,354  

4.75%, 7/15/22

       100       118,065  

FTE Verwaltungs GmbH, 9.00%, 7/15/20

       100       113,509  

Goodyear Tire & Rubber Co., 5.00%, 5/31/26

     USD       77       77,578  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

4.88%, 3/15/19 (d)

       481       486,411  

6.25%, 2/01/22 (c)

       141       142,058  

6.75%, 2/01/24 (c)

       134       133,531  

IHO Verwaltungs GmbH (g):

      

(2.75% Cash or 3.50% PIK), 2.75%, 9/15/21

     EUR       100       110,919  

(3.25% Cash or 4.00% PIK), 3.25%, 9/15/23

       100       110,703  
Corporate Bonds           Par
(000)
    Value  

Auto Components (continued)

      

IHO Verwaltungs GmbH (g) (continued):

      

(4.13% Cash or 4.88% PIK),
4.13%, 9/15/21 (c)

     USD       214     $ 215,380  

(4.5% PIK), 3.75%, 9/15/26

     EUR       100       108,198  

(4.50% Cash or 5.25% PIK),
4.50%, 9/15/23 (c)

     USD       229       226,710  
      

 

 

 
                       3,398,485  

Automobiles — 0.3%

      

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

             2,194       2,433,172  

Banks — 1.2%

      

Allied Irish Banks PLC, 4.13%, 11/26/25 (b)

     EUR       100       111,054  

Banco Popolare, 2.75%, 7/27/20

       100       109,641  

Bank of Ireland, 4.25%, 6/11/24 (b)

       100       111,458  

Bankia SA, 4.00%, 5/22/24 (b)

       300       329,955  

CIT Group, Inc.:

      

5.25%, 3/15/18 (d)

     USD       588       607,698  

5.50%, 2/15/19 (c)

       280       294,582  

5.00%, 8/01/23 (d)

       1,015       1,058,137  

Commerzbank AG:

      

7.75%, 3/16/21

     EUR       100       129,331  

4.00%, 3/23/26

       47       51,142  

HSBC Holdings PLC, 4.38%, 11/23/26 (d)

     USD       370       371,971  

Intesa Sanpaolo SpA, 2.86%, 4/23/25

     EUR       115       120,525  

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

     USD       100       103,565  

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

       5,000       5,062,500  
      

 

 

 
                       8,461,559  

Beverages — 0.5%

      

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

       2,160       2,311,427  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 6.00%, 2/15/25 (c)

       360       362,250  

Central American Bottling Corp., 5.75%, 1/31/27 (c)

       588       592,233  
      

 

 

 
                       3,265,910  

Biotechnology — 0.3%

      

Amgen, Inc., 4.40%, 5/01/45 (d)

       1,100       1,044,823  

Gilead Sciences, Inc., 4.75%, 3/01/46 (d)

       700       725,716  
 

 

                
4    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Biotechnology (continued)

      

Senvion Holding GmbH, 6.63%, 11/15/20

     EUR       145     $ 162,914  
      

 

 

 
                       1,933,453  

Building Materials — 0.2%

      

Dry Mix Solutions Investissements SAS, 3.93%, 6/15/21 (b)

       100       108,220  

Tecnoglass, Inc., 8.20%, 1/31/22 (c)

     USD       1,511       1,499,668  

Titan Global Finance PLC, 3.50%, 6/17/21

     EUR       100       112,721  
      

 

 

 
                       1,720,609  

Building Products — 0.5%

      

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

 

   

5.63%, 4/15/21

     USD       375       385,781  

5.75%, 12/15/23

       155       161,200  

Builders FirstSource, Inc., 5.63%, 9/01/24 (c)

       94       96,585  

Building Materials Corp. of America (c):

      

5.38%, 11/15/24

       110       113,438  

6.00%, 10/15/25 (d)

       247       260,585  

Louisiana-Pacific Corp., 4.88%, 9/15/24

       106       105,735  

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

       360       372,600  

Ply Gem Industries, Inc., 6.50%, 2/01/22 (d)

       729       759,982  

Standard Industries, Inc. (c)(d):

      

5.13%, 2/15/21

       47       49,115  

5.50%, 2/15/23

       227       235,513  

USG Corp. (d):

      

8.25%, 1/15/18

       652       689,490  

5.50%, 3/01/25 (c)

       435       455,662  
      

 

 

 
                       3,685,686  

Capital Markets — 0.0%

      

AE-Rotor Holding BV, 4.97%, 3/28/18

       140       139,963  

E*Trade Financial Corp., 4.63%, 9/15/23 (d)

       194       199,093  
      

 

 

 
                       339,056  

Chemicals — 1.0%

      

Alpha 3 BV / Alpha US Bidco, Inc., 6.25%, 2/01/25 (c)

       900       900,000  

Axalta Coating Systems Dutch Holding B BV, 3.75%, 1/15/25

     EUR       100       110,649  

Axalta Coating Systems LLC, 4.88%, 8/15/24 (c)

     USD       265       268,313  
Corporate Bonds           Par
(000)
    Value  

Chemicals (continued)

      

Blue Cube Spinco, Inc., 10.00%, 10/15/25

     USD       45     $ 54,450  

CF Industries, Inc.:

      

7.13%, 5/01/20

       150       165,375  

5.15%, 3/15/34

       110       100,925  

4.95%, 6/01/43 (d)

       325       278,687  

Chemours Co.:

      

6.63%, 5/15/23 (d)

       235       233,825  

7.00%, 5/15/25

       66       65,769  

Huntsman International LLC, 4.88%, 11/15/20

       180       185,850  

Ineos Finance PLC, 4.00%, 5/01/23

     EUR       115       129,108  

Inovyn Finance PLC, 6.25%, 5/15/21

       100       114,643  

Momentive Performance Materials, Inc., 3.88%, 10/24/21 (d)

     USD       1,300       1,264,250  

Montichem Holdco 3 SA, 5.25%, 6/15/21

     EUR       109       121,784  

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

     USD       145       150,075  

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

      

10.38%, 5/01/21

       65       72,150  

6.50%, 2/01/22

       1,427       1,455,540  

PQ Corp., 6.75%, 11/15/22 (c)(d)

       355       384,287  

PSPC Escrow Corp., 6.00%, 2/01/23

     EUR       153       170,161  

Tronox Finance LLC, 6.38%, 8/15/20

     USD       94       90,358  

Versum Materials, Inc., 5.50%, 9/30/24 (c)

       140       145,600  

WR Grace & Co-Conn (c):

      

5.13%, 10/01/21

       165       173,044  

5.63%, 10/01/24 (d)

       300       316,125  
      

 

 

 
                       6,950,968  

Commercial Services & Supplies — 1.4%

      

ADT Corp.:

      

3.50%, 7/15/22

       541       511,245  

4.13%, 6/15/23

       86       82,023  

4.88%, 7/15/32 (c)

       266       214,130  

Advanced Disposal Services, Inc.,
5.63%, 11/15/24 (c)

       267       271,673  

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

       5,000       5,743,750  

Bilbao Luxembourg SA, (10.50% Cash or 11.25% PIK), 10.50%, 12/01/18 (g)

     EUR       100       110,573  

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

     USD       782       811,325  
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    5


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Commercial Services & Supplies (continued)

      

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

     USD       435     $ 455,663  

Mobile Mini, Inc., 5.88%, 7/01/24 (d)

       515       536,887  

Park Aerospace Holdings Ltd., 5.25%, 8/15/22 (c)(h)

 

    285       292,125  

Ritchie Bros Auctioneers, Inc., 5.38%, 1/15/25 (c)

       221       225,696  

Silk Bidco AS, 7.50%, 2/01/22

     EUR       108       124,481  

United Rentals North America, Inc.:

      

7.63%, 4/15/22

     USD       52       54,470  

5.75%, 11/15/24 (d)

       450       475,312  

5.88%, 9/15/26

       90       93,488  
      

 

 

 
                       10,002,841  

Communications Equipment — 0.4%

      

Alcatel-Lucent USA, Inc., 6.45%, 3/15/29 (d)

       1,335       1,392,271  

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

       20       21,313  

CommScope, Inc., 5.00%, 6/15/21 (c)

       170       174,462  

Nokia OYJ, 6.63%, 5/15/39 (d)

       245       256,618  

Zayo Group LLC/Zayo Capital, Inc.:

      

6.38%, 5/15/25 (d)

       1,037       1,097,281  

5.75%, 1/15/27 (c)

       252       257,998  
      

 

 

 
                       3,199,943  

Construction & Engineering — 0.3%

      

Aeropuerto Internacional de Tocumen SA, 5.63%, 5/18/36 (c)

       808       850,420  

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

 

    620       612,250  

Engility Corp., 8.88%, 9/01/24 (c)

       298       318,860  
      

 

 

 
                       1,781,530  

Construction Materials — 0.5%

      

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

       295       286,887  

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

       353       378,592  

HD Supply, Inc. (c)(d):

      

5.25%, 12/15/21

       1,265       1,332,994  

5.75%, 4/15/24

       884       930,410  

LKQ Italia Bondco SpA, 3.88%, 4/01/24

     EUR       202       230,161  

PulteGroup, Inc.:

      

5.50%, 3/01/26

     USD       213       217,793  

6.00%, 2/15/35

       48       46,320  

Rexel SA, 3.50%, 6/15/23

     EUR       223       250,346  
      

 

 

 
                       3,673,503  
Corporate Bonds           Par
(000)
    Value  

Consumer Discretionary — 0.0%

      

The Nielsen Co. Luxembourg SARL,
5.00%, 2/01/25 (c)

     USD       208     $ 206,700  

Silversea Cruise Finance Ltd., 7.25%, 2/01/25 (c)

       113       116,131  
      

 

 

 
                       322,831  

Consumer Finance — 0.8%

      

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

       3,475       4,126,562  

Navient Corp.:

      

5.00%, 10/26/20 (d)

       370       367,225  

6.63%, 7/26/21

       173       176,027  

5.50%, 1/25/23

       162       152,888  

7.25%, 9/25/23

       306       308,295  

6.13%, 3/25/24

       132       124,905  

5.88%, 10/25/24

       138       127,305  

5.63%, 8/01/33

       105       83,213  

OneMain Financial Holdings LLC (c):

      

6.75%, 12/15/19

       186       192,975  

7.25%, 12/15/21

       130       132,763  
      

 

 

 
                       5,792,158  

Containers & Packaging — 1.4%

      

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

      

6.75%, 1/31/21 (c)(d)

       630       651,262  

4.25%, 1/15/22

     EUR       200       222,355  

6.75%, 5/15/24

       156       183,348  

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. (c):

      

6.25%, 1/31/19

     USD       403       410,456  

4.63%, 5/15/23

       252       254,363  

7.25%, 5/15/24 (d)

       1,809       1,937,891  

Bahia Sul Holdings GmbH, 5.75%, 7/14/26 (c)

       354       354,460  

Ball Corp., 5.00%, 3/15/22 (d)

       440       462,000  

Crown European Holdings SA:

      

4.00%, 7/15/22

     EUR       103       122,224  

3.38%, 5/15/25

       154       168,944  

Flex Acquisition Co., Inc., 6.88%, 1/15/25 (c)

     USD       174       176,893  

JH-Holding Finance SA, 8.25%, 12/01/22 (g)

     EUR       102       118,361  

Reynolds Group Issuer, Inc.:

      

5.75%, 10/15/20 (d)

     USD       590       607,452  

8.25%, 2/15/21

       413       425,215  

4.52%, 7/15/21 (b)(c)(d)

       866       890,897  

5.13%, 7/15/23 (c)

       194       198,404  

7.00%, 7/15/24 (c)(d)

       839       893,954  

Sappi Papier Holding GmbH, 4.00%, 4/01/23

     EUR       200       227,774  
 

 

                
6    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Containers & Packaging (continued)

      

Sealed Air Corp.:

      

4.88%, 12/01/22 (c)(d)

     USD       100     $ 103,125  

4.50%, 9/15/23

     EUR       100       119,690  

6.88%, 7/15/33 (c)

     USD       44       46,200  

Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%, 5/01/22 (c)(d)

       598       606,970  

Suzano Trading Ltd., 5.88%, 1/23/21 (c)

       583       616,523  

Verallia Packaging SASU, 5.13%, 8/01/22

     EUR       100       114,562  
      

 

 

 
                       9,913,323  

Diversified Consumer Services — 0.4%

      

APX Group, Inc.:

      

6.38%, 12/01/19

     USD       265       273,612  

8.75%, 12/01/20

       360       373,500  

7.88%, 12/01/22

       144       156,240  

7.88%, 12/01/22 (c)(h)

       230       249,550  

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23 (c)(d)

       1,515       1,641,881  

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

       215       225,213  

Tereos Finance Groupe I SA, 4.13%, 6/16/23

     EUR       100       111,998  
      

 

 

 
                       3,031,994  

Diversified Financial Services — 1.1%

      

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 3.95%, 2/01/22 (d)

     USD       1,750       1,782,830  

Aircastle Ltd., 6.25%, 12/01/19 (d)

       784       850,640  

Deutsche Bank AG, 4.25%, 10/14/21 (c)(d)

       1,150       1,156,664  

FBM Finance, Inc., 8.25%, 8/15/21 (c)

       130       138,775  

Ford Motor Credit Co. LLC, 4.39%, 1/08/26 (d)

       1,250       1,258,531  

Garfunkelux Holdco 3 SA, 8.50%, 11/01/22

     GBP       100       129,197  

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

     USD       326       334,052  

Hexion 2 US Finance Corp., 10.38%, 2/01/22 (c)(h)

       190       193,800  

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

       845       853,450  

Mercury Bondco PLC, (8.25% Cash, 9.00% PIK), 8.25%, 5/30/21 (g)

     EUR       358       408,554  

UniCredit SpA:

      

6.95%, 10/31/22

       270       333,383  
Corporate Bonds           Par
(000)
    Value  

Diversified Financial Services (continued)

      

UniCredit SpA (continued):

      

5.75%, 10/28/25 (b)

     EUR       207     $ 236,710  
      

 

 

 
                       7,676,586  

Diversified Telecommunication Services — 2.6%

 

 

AT&T, Inc., 4.75%, 5/15/46 (d)

     USD       2,545       2,324,646  

CenturyLink, Inc.:

      

6.45%, 6/15/21 (d)

       771       819,187  

Series U, 7.65%, 3/15/42

       174       158,231  

Series Y, 7.50%, 4/01/24

       190       201,162  

Cincinnati Bell, Inc., 7.00%, 7/15/24 (c)(d)

       798       842,887  

Consolidated Communications, Inc., 6.50%, 10/01/22

       113       113,282  

Frontier Communications Corp.:

      

7.13%, 3/15/19

       380       404,700  

8.50%, 4/15/20

       130       138,528  

7.13%, 1/15/23 (d)

       65       58,175  

7.63%, 4/15/24 (d)

       650       573,625  

6.88%, 1/15/25 (d)

       1,205       1,010,694  

11.00%, 9/15/25

       435       439,894  

Level 3 Financing, Inc.:

      

5.38%, 8/15/22

       140       144,550  

5.63%, 2/01/23 (d)

       105       107,363  

5.13%, 5/01/23 (d)

       360       362,700  

5.38%, 1/15/24 (d)

       294       297,307  

5.38%, 5/01/25 (d)

       420       428,665  

5.25%, 3/15/26 (c)

       186       185,302  

OTE PLC, 3.50%, 7/09/20

     EUR       200       217,256  

SBA Communications Corp., 4.88%, 9/01/24 (c)(d)

     USD       309       301,615  

Telecom Italia Capital SA:

      

6.38%, 11/15/33

       91       91,824  

6.00%, 9/30/34 (d)

       834       821,490  

Telecom Italia Finance SA, 7.75%, 1/24/33

     EUR       81       111,803  

Telecom Italia SpA:

      

3.25%, 1/16/23

       273       306,875  

3.63%, 1/19/24

       146       165,642  

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

     USD       6,500       8,016,983  

Windstream Corp., 7.75%, 10/01/21

       31       31,627  

Windstream Services LLC, 7.50%, 6/01/22

       94       90,945  
      

 

 

 
                       18,766,958  

Electric Utilities — 0.7%

      

AES Corp., 4.88%, 5/15/23 (d)

       350       348,250  

Baltimore Gas & Electric Co., 3.50%, 8/15/46 (d)

       500       454,554  

Duke Energy Corp., 4.80%, 12/15/45 (d)

       1,500       1,591,650  
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    7


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Electric Utilities (continued)

      

Pampa Energia SA, 7.50%, 1/24/27 (c)

     USD       758     $ 750,389  

Southern Co., 4.40%, 7/01/46 (d)

       1,000       989,543  

Virginia Electric & Power Co., Series A, 6.00%, 5/15/37 (d)

       750       927,568  
      

 

 

 
                       5,061,954  

Electrical Equipment — 0.1%

      

Areva SA, 4.88%, 9/23/24

     EUR       100       111,128  

Belden, Inc., 5.50%, 4/15/23

       111       127,457  

Trionista TopCo GmbH, 6.88%, 4/30/21

       213       241,430  
      

 

 

 
                       480,015  

Electronic Equipment, Instruments & Components — 0.2%

 

 

CDW LLC/CDW Finance Corp.:

      

6.00%, 8/15/22 (d)

     USD       770       812,350  

5.00%, 9/01/23 (d)

       550       561,000  

5.50%, 12/01/24

       28       29,155  

SESI LLC, 7.13%, 12/15/21

       60       61,575  
      

 

 

 
                       1,464,080  

Energy Equipment & Services — 0.8%

      

Ensco PLC:

      

4.50%, 10/01/24

       207       185,265  

5.20%, 3/15/25

       45       40,725  

Gates Global LLC/Gates Global Co.,
6.00%, 7/15/22 (c)(d)

       659       649,939  

Genesis Energy LP/Genesis Energy Finance Corp., 6.75%, 8/01/22

       150       158,625  

Halliburton Co., 3.80%, 11/15/25 (d)

       750       762,839  

Noble Holding International Ltd., 4.63%, 3/01/21

       12       11,460  

Pattern Energy Group, Inc., 5.88%, 2/01/24 (c)

       163       166,260  

Pioneer Energy Services Corp., 6.13%, 3/15/22

       325       296,563  

Precision Drilling Corp., 6.50%, 12/15/21

       120       123,300  

Transocean, Inc.:

      

6.00%, 3/15/18

       330       337,012  

7.38%, 4/15/18

       35       35,963  

5.55%, 10/15/22 (d)

       722       657,020  

9.00%, 7/15/23 (c)(d)

       1,206       1,283,636  

Trinidad Drilling, Ltd., 6.63%, 2/15/25 (c)(h)

       282       288,345  

Weatherford International Ltd.:

      

7.75%, 6/15/21

       307       316,977  

9.88%, 2/15/24 (c)

       273       294,840  
Corporate Bonds           Par
(000)
    Value  

Energy Equipment & Services (continued)

      

Weatherford International, Ltd., 8.25%, 6/15/23

     USD       35     $ 35,700  
      

 

 

 
                       5,644,469  

Environmental, Maintenance, & Security Service — 0.1%

 

 

Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18

     EUR       100       110,379  

Tervita Escrow Corp., 7.63%, 12/01/21 (c)

     USD       472       489,700  
      

 

 

 
                       600,079  

Food & Staples Retailing — 0.9%

      

Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC (c):

      

6.63%, 6/15/24

       254       264,719  

5.75%, 3/15/25 (d)

       347       344,831  

B&M European Value Retail SA, 4.13%, 2/01/22 (h)

     GBP       100       128,120  

Casino Guichard Perrachon SA:

      

5.98%, 5/26/21

     EUR       200       254,715  

4.56%, 1/25/23

       200       241,714  

CVS Health Corp., 5.13%, 7/20/45 (d)

     USD       750       824,873  

Dollar Tree, Inc., 5.75%, 3/01/23 (d)

       2,510       2,658,090  

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

       75       79,298  

Rite Aid Corp.:

      

6.75%, 6/15/21 (d)

       329       342,160  

6.13%, 4/01/23 (c)(d)

       181       188,466  

7.70%, 2/15/27

       359       430,800  

Tesco PLC, 6.00%, 12/14/29

     GBP       50       68,837  

Walgreens Boots Alliance, Inc., 4.80%, 11/18/44 (d)

     USD       750       763,671  
      

 

 

 
                       6,590,294  

Food Products — 0.8%

      

Acosta, Inc., 7.75%, 10/01/22 (c)(d)

       370       324,675  

Aramark Services, Inc.:

      

5.13%, 1/15/24 (c)

       27       28,057  

5.13%, 1/15/24 (d)

       483       501,914  

4.75%, 6/01/26 (c)(d)

       252       250,992  

Arcor SAIC, 6.00%, 7/06/23 (c)

       470       491,150  

Darling Global Finance BV, 4.75%, 5/30/22

     EUR       107       122,726  

FAGE International SA/FAGE USA Dairy Industry, Inc., 5.63%, 8/15/26 (c)

     USD       200       202,624  
 

 

                
8    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Food Products (continued)

      

JBS USA LLC/JBS USA Finance, Inc. (c):

      

7.25%, 6/01/21

     USD       40     $ 41,320  

5.88%, 7/15/24

       169       174,493  

5.75%, 6/15/25

       558       572,787  

Marfrig Holdings Europe BV, 8.00%, 6/08/23 (c)(d)

       486       512,122  

Minerva Luxembourg SA, 6.50%, 9/20/26 (c)

       286       284,213  

Post Holdings, Inc. (c):

      

6.75%, 12/01/21

       120       127,200  

7.75%, 3/15/24 (d)

       721       798,060  

8.00%, 7/15/25

       419       471,375  

5.00%, 8/15/26 (d)

       238       230,115  

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

       307       320,480  

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

       159       166,751  

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

       211       229,463  
      

 

 

 
                       5,850,517  

Health Care Equipment & Supplies — 0.5%

      

Crimson Merger Sub, Inc., 6.63%, 5/15/22 (c)(d)

       641       580,105  

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

       1,127       974,855  

IDH Finance PLC, 6.25%, 8/15/22

     GBP       100       117,183  

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

      

5.63%, 10/15/23 (d)

     USD       342       303,097  

5.50%, 4/15/25

       380       327,275  

Medtronic, Inc., 4.50%, 3/15/42 (d)

       1,000       1,044,078  

Teleflex, Inc.:

      

3.88%, 8/01/17 (i)

       110       299,406  

4.88%, 6/01/26

       63       62,685  
      

 

 

 
                       3,708,684  

Health Care Providers & Services — 2.8%

      

Acadia Healthcare Co., Inc.:

      

5.63%, 2/15/23 (d)

       524       531,860  

6.50%, 3/01/24

       69       71,674  

Aetna, Inc., 4.38%, 6/15/46

       600       601,447  

Alere, Inc., 6.38%, 7/01/23 (c)

       265       268,147  

Amsurg Corp., 5.63%, 7/15/22 (d)

       810       834,300  

Centene Corp.:

      

5.63%, 2/15/21 (d)

       403       423,069  

4.75%, 5/15/22 (d)

       487       494,305  

6.13%, 2/15/24

       40       42,500  
Corporate Bonds           Par
(000)
    Value  

Health Care Providers & Services (continued)

      

CHS/Community Health Systems, Inc.:

      

8.00%, 11/15/19

     USD       87     $ 77,430  

6.88%, 2/01/22 (d)

       471       342,653  

DaVita HealthCare Partners, Inc.:

      

5.13%, 7/15/24 (d)

       657       648,787  

5.00%, 5/01/25

       7       6,832  

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

       205       208,588  

HCA, Inc.:

      

6.50%, 2/15/20 (d)

       1,103       1,205,027  

7.50%, 2/15/22 (d)

       800       910,000  

5.88%, 3/15/22 (d)

       124       134,695  

4.75%, 5/01/23

       56       58,030  

5.88%, 5/01/23

       90       95,850  

5.00%, 3/15/24 (d)

       645       671,606  

5.38%, 2/01/25 (d)

       562       573,240  

5.25%, 4/15/25 (d)

       1,220       1,284,050  

5.88%, 2/15/26 (d)

       508       528,320  

5.25%, 6/15/26 (d)

       520       542,100  

4.50%, 2/15/27 (d)

       511       503,974  

HealthSouth Corp.:

      

5.75%, 11/01/24 (d)

       501       509,141  

5.75%, 9/15/25 (d)

       126       126,315  

2.00%, 12/01/43 (i)

       375       425,859  

Hologic, Inc.:

      

5.25%, 7/15/22 (c)(d)

       417       434,722  

Series 2012, 2.00%, 3/01/42 (e)(i)

       153       209,036  

MEDNAX, Inc., 5.25%, 12/01/23 (c)(d)

       239       246,768  

MPH Acquisition Holdings LLC, 7.13%, 6/01/24 (c)

 

    847       898,879  

New Amethyst Corp., 6.25%, 12/01/24 (c)

       131       137,878  

RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23 (c)

       350       361,375  

Surgery Center Holdings, Inc., 8.88%, 4/15/21 (c)

       82       88,765  

Tenet Healthcare Corp.:

      

6.00%, 10/01/20 (d)

       1,150       1,213,250  

7.50%, 1/01/22 (c)

       165       176,963  

8.13%, 4/01/22 (d)

       1,294       1,306,940  

6.75%, 6/15/23 (d)

       974       920,430  

Thermo Fisher Scientific, Inc., 2.95%, 9/19/26 (d)

       1,000       945,214  

UnitedHealth Group, Inc., 4.38%, 3/15/42 (d)

       750       768,399  
      

 

 

 
                       19,828,418  

 

 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    9


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Hotels, Restaurants & Leisure — 3.9%

      

Boyd Gaming Corp., 6.88%, 5/15/23

     USD       290     $ 311,402  

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

       1,840       1,920,500  

CPUK Finance Ltd., 7.00%, 2/28/42

     GBP       168       223,507  

Enterprise Inns PLC, 6.00%, 10/06/23

       3,320       4,344,096  

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

     USD       334       335,252  

International Game Technology PLC, 4.75%, 2/15/23

     EUR       107       126,335  

Jacobs Entertainment, Inc., 7.88%, 2/01/24 (c)(h)

     USD       79       81,271  

KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC (c):

      

5.00%, 6/01/24

       45       45,844  

5.25%, 6/01/26

       159       160,854  

McDonald’s Corp., 3.70%, 1/30/26 (d)

       750       760,679  

MGM Resorts International:

      

8.63%, 2/01/19

       84       93,240  

6.75%, 10/01/20 (d)

       118       130,685  

6.63%, 12/15/21 (d)

       1,550       1,728,250  

7.75%, 3/15/22

       10       11,647  

4.63%, 9/01/26 (d)

       146       141,438  

MGP Escrow Issuer LLC/MGP Escrow Co-Issuer, Inc., 5.63%, 5/01/24 (c)(d)

       1,397       1,458,119  

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

       1,130       1,177,370  

PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20

     EUR       208       233,181  

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

     USD       460       469,200  

Sabre GLBL, Inc., 5.25%, 11/15/23 (c)(d)

       317       320,963  

Scientific Games International, Inc.:

      

7.00%, 1/01/22 (c)(d)

       185       197,719  

10.00%, 12/01/22

       905       927,281  

Six Flags Entertainment Corp. (c):

      

5.25%, 1/15/21 (d)

       310       318,525  

4.88%, 7/31/24

       97       96,273  

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

       1,085       1,128,400  

Thomas Cook Group PLC, 6.25%, 6/15/22

     EUR       100       111,577  

Unique Pub Finance Co. PLC:

      

Series A3, 6.54%, 3/30/21

     GBP       1,874       2,539,585  

Series M, 7.40%, 3/28/24

       6,400       8,533,816  
Corporate Bonds           Par
(000)
    Value  

Hotels, Restaurants & Leisure (continued)

      

Vue International Bidco PLC, 7.88%, 7/15/20

     GBP       117     $ 152,926  

Yum! Brands, Inc., 3.88%, 11/01/23

     USD       110       107,250  
      

 

 

 
                       28,187,185  

Household Durables — 0.8%

      

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

       750       761,250  

CalAtlantic Group, Inc.:

      

8.38%, 1/15/21

       144       167,760  

5.38%, 10/01/22

       6       6,218  

5.25%, 6/01/26

       10       9,925  

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

       830       856,975  

Lennar Corp.:

      

4.50%, 11/15/19 (d)

       320       332,000  

4.75%, 4/01/21

       42       43,575  

4.13%, 1/15/22

       139       140,175  

4.75%, 11/15/22

       210       215,382  

4.88%, 12/15/23 (d)

       146       148,555  

4.75%, 5/30/25 (d)

       410       413,075  

Mattamy Group Corp., 6.88%, 12/15/23 (c)

       123       126,690  

Newell Brands, Inc., 4.20%, 4/01/26 (d)

       1,000       1,035,858  

PulteGroup, Inc., 6.38%, 5/15/33 (d)

       469       470,172  

Riverbed Technology, Inc., 8.88%, 3/01/23 (c)

       180       191,250  

Standard Pacific Corp., 5.88%, 11/15/24

       35       36,400  

Tempur Sealy International, Inc., 5.50%, 6/15/26

       45       44,325  

TRI Pointe Group, Inc.:

      

4.38%, 6/15/19 (d)

       225       228,937  

4.88%, 7/01/21

       210       215,250  

5.88%, 6/15/24 (d)

       140       144,900  

William Lyon Homes ,Inc., 5.88%, 1/31/25 (c)

       141       140,119  
      

 

 

 
                       5,728,791  

Household Products — 0.3%

      

ACCO Brands Corp., 5.25%, 12/15/24 (c)

       202       203,283  

Prestige Brands, Inc., 6.38%, 3/01/24 (c)

       176       183,480  

Spectrum Brands, Inc. (d):

      

6.63%, 11/15/22

       710       752,600  

6.13%, 12/15/24

       681       720,157  
      

 

 

 
                       1,859,520  

 

 

 

                
10    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Independent Power and Renewable Electricity Producers — 0.5%

 

Calpine Corp. (d):

      

6.00%, 1/15/22 (c)

     USD       64     $ 66,960  

5.38%, 1/15/23

       240       236,400  

5.88%, 1/15/24 (c)

       240       251,400  

Dynegy, Inc.:

      

6.75%, 11/01/19 (d)

       925       949,281  

7.38%, 11/01/22

       30       29,625  

7.63%, 11/01/24

       140       133,350  

8.00%, 1/15/25 (c)

       26       24,960  

NRG Energy, Inc.:

      

7.88%, 5/15/21

       82       85,075  

6.63%, 3/15/23

       45       46,350  

7.25%, 5/15/26 (c)

       233       243,776  

6.63%, 1/15/27 (c)(d)

       641       636,193  

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

       130       132,600  

QEP Resources, Inc., 5.38%, 10/01/22 (d)

       694       700,940  

TerraForm Power Operating LLC, 6.38%, 2/01/23 (c)(e)

       90       92,475  
      

 

 

 
                       3,629,385  

Industrial Conglomerates — 0.2%

      

Cortes NP Acquisition Corp., 9.25%, 10/15/24 (c)

       357       377,303  

General Electric Co., 4.13%, 10/09/42 (d)

       750       764,319  
      

 

 

 
                       1,141,622  

Insurance — 1.7%

      

Allstate Corp., 5.75%, 8/15/53 (b)(d)

       2,000       2,107,500  

American International Group, Inc., 4.80%, 7/10/45 (d)

       500       509,155  

Aon PLC, 3.88%, 12/15/25 (d)

       1,280       1,308,885  

Assicurazioni Generali SpA (b):

      

7.75%, 12/12/42

     EUR       100       127,032  

5.50%, 10/27/47

       100       111,683  

Groupama SA, 6.00%, 1/23/27

       100       110,732  

HUB International Ltd. (c):

      

9.25%, 2/15/21

     USD       195       201,581  

7.88%, 10/01/21 (d)

       738       773,055  

Prudential Financial, Inc., 5.63%, 6/15/43 (b)(d)

       6,000       6,322,500  

Wayne Merger Sub LLC, 8.25%, 8/01/23 (c)(d)

       705       744,656  
      

 

 

 
                       12,316,779  

Internet Software & Services — 0.2%

      

Equinix, Inc. (d):

      

4.88%, 4/01/20

       144       147,960  

5.88%, 1/15/26

       389       413,312  
Corporate Bonds           Par
(000)
    Value  

Internet Software & Services (continued)

      

Netflix, Inc.:

      

5.50%, 2/15/22

     USD       15     $ 16,069  

5.75%, 3/01/24 (d)

       368       396,060  

5.88%, 2/15/25

       26       28,210  

4.38%, 11/15/26 (c)

       382       374,838  
      

 

 

 
                       1,376,449  

IT Services — 0.9%

      

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

       287       298,480  

Fidelity National Information Services, Inc., 3.00%, 8/15/26 (d)

       1,000       941,041  

First Data Corp. (c)(d):

      

7.00%, 12/01/23

       1,673       1,774,216  

5.75%, 1/15/24

       2,908       2,998,875  

Western Digital Corp., 10.50%, 4/01/24 (c)

       287       337,943  
      

 

 

 
                       6,350,555  

Machinery — 0.2%

      

Gardner Denver, Inc., 6.88%, 8/15/21 (c)

       155       154,612  

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

       55       55,550  

SPX FLOW, Inc. (c):

      

5.63%, 8/15/24

       330       336,600  

5.88%, 8/15/26

       175       179,375  

Terex Corp., 5.63%, 2/01/25 (c)

       354       361,540  

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 6.38%, 5/01/22

     EUR       142       163,805  
      

 

 

 
                       1,251,482  

Media — 7.4%

      

Adria Bidco BV, 7.88%, 11/15/20

       100       113,029  

Altice Financing SA:

      

5.25%, 2/15/23

       108       123,599  

7.50%, 5/15/26 (c)(d)

     USD       1,291       1,362,005  

Altice Luxembourg SA, 6.25%, 2/15/25

     EUR       100       113,294  

Altice US Finance I Corp. (c):

      

5.38%, 7/15/23 (d)

     USD       980       1,020,425  

5.50%, 5/15/26

       288       295,200  

AMC Networks, Inc.:

      

4.75%, 12/15/22 (d)

       344       350,880  

5.00%, 4/01/24

       161       164,220  

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

       1,500       1,572,261  

Cablevision SA, 6.50%, 6/15/21 (c)

       389       400,670  
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    11


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Media (continued)

      

Cablevision Systems Corp.:

      

8.63%, 9/15/17

     USD       126     $ 130,647  

7.75%, 4/15/18 (d)

       517       544,142  

8.00%, 4/15/20

       286       316,087  

CBS Radio, Inc., 7.25%, 11/01/24 (c)

       264       275,054  

CCO Holdings LLC/CCO Holdings Capital Corp.:

      

5.25%, 9/30/22 (d)

       560       579,723  

5.13%, 2/15/23 (d)

       709       735,587  

5.13%, 5/01/23 (c)(d)

       719       745,962  

5.75%, 2/15/26 (c)(d)

       233       246,907  

5.50%, 5/01/26 (c)(d)

       470       492,325  

5.13%, 5/01/27 (c)(h)

       372       378,975  

5.88%, 5/01/27 (c)(d)

       808       857,240  

Cellnex Telecom SA, 2.38%, 1/16/24

     EUR       100       106,712  

Cequel Communications Holdings I LLC/Cequel Capital Corp. (c):

      

6.38%, 9/15/20

     USD       145       148,988  

5.13%, 12/15/21

       62       62,853  

5.13%, 12/15/21 (d)

       715       723,937  

7.75%, 7/15/25 (d)

       1,630       1,803,187  

Charter Communications Operating LLC/Charter Communications Operating Capital, 6.48%, 10/23/45 (d)

       3,000       3,410,244  

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

       508       541,020  

Clear Channel Worldwide Holdings, Inc.:

      

6.50%, 11/15/22 (d)

       3,013       3,145,572  

6.50%, 11/15/22

       185       186,665  

Series B, 7.63%, 3/15/20 (d)

       884       886,210  

Columbus Cable Barbados Ltd., 7.38%, 3/30/21 (c)(d)

       1,195       1,269,687  

Comcast Corp., 4.60%, 8/15/45 (d)

       1,750       1,795,157  

CSC Holdings LLC (d):

      

10.13%, 1/15/23 (c)

       1,388       1,609,219  

5.25%, 6/01/24

       921       925,605  

6.63%, 10/15/25 (c)

       350       381,937  

10.88%, 10/15/25 (c)

       933       1,110,270  

Discovery Communications LLC, 4.95%, 5/15/42 (d)

       400       363,771  

DISH DBS Corp. (d):

      

6.75%, 6/01/21

       430       461,983  

5.88%, 7/15/22

       287       298,336  

5.88%, 11/15/24

       158       159,778  

7.75%, 7/01/26

       1,220       1,365,644  

DISH Network Corp., 3.38%, 8/15/26 (c)(i)

       293       342,261  
Corporate Bonds           Par
(000)
    Value  

Media (continued)

      

eircom Finance DAC, 4.50%, 5/31/22

     EUR       100     $ 112,549  

GTT Escrow Corp., 7.88%, 12/31/24 (c)

     USD       87       91,133  

Hughes Satellite Systems Corp. (c)(d):

      

5.25%, 8/01/26

       484       484,000  

6.63%, 8/01/26

       201       207,533  

iHeartCommunications, Inc.:

      

9.00%, 12/15/19

       474       396,679  

10.63%, 3/15/23

       1,256       989,100  

Intelsat Jackson Holdings SA:

      

7.25%, 4/01/19

       585       502,734  

7.25%, 10/15/20

       125       98,125  

5.50%, 8/01/23 (d)

       867       606,900  

Interpublic Group of Cos., Inc., 4.20%, 4/15/24 (d)

       1,000       1,027,302  

LG Finance Co. Corp., 5.88%, 11/01/24 (c)

       101       102,768  

LGE HoldCo VI BV, 7.13%, 5/15/24

     EUR       177       217,583  

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, 7.88%, 5/15/24 (c)

     USD       101       93,551  

MDC Partners, Inc., 6.50%, 5/01/24 (c)(d)

       438       381,060  

Midcontinent Communications / Midcontinent Finance Corp. (c):

      

6.25%, 8/01/21 (d)

       250       260,312  

6.88%, 8/15/23

       138       148,178  

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

       629       634,504  

National CineMedia LLC, 5.75%, 8/15/26

       98       99,715  

Nexstar Escrow Corp., 5.63%, 8/01/24 (c)

       267       266,666  

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

       355       362,544  

Numericable Group SA, 5.38%, 5/15/22

     EUR       116       130,607  

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

      

5.25%, 2/15/22

     USD       102       105,570  

5.63%, 2/15/24

       202       210,837  

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

       350       372,312  

SFR Group SA (c)(d):

      

6.00%, 5/15/22

       1,492       1,534,895  

7.38%, 5/01/26

       2,171       2,227,989  
 

 

                
12    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Media (continued)

      

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

     USD       704     $ 714,560  

Telesat Canada/Telesat LLC, 8.88%, 11/15/24 (c)

       199       213,427  

Time Warner, Inc.:

      

4.65%, 6/01/44

       111       106,533  

4.85%, 7/15/45 (d)

       389       380,650  

Tribune Media Co., 5.88%, 7/15/22 (d)

       1,013       1,023,130  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

      

4.00%, 1/15/25

     EUR       117       131,034  

5.00%, 1/15/25 (c)

     USD       200       203,000  

3.50%, 1/15/27

     EUR       188       200,835  

6.25%, 1/15/29

       100       121,109  

Univision Communications, Inc. (c)(d):

      

5.13%, 5/15/23

     USD       1,174       1,165,923  

5.13%, 2/15/25

       800       763,504  

UPCB Finance IV Ltd., 4.00%, 1/15/27

     EUR       114       123,304  

Virgin Media Finance PLC, 5.75%, 1/15/25 (c)(d)

     USD       850       862,750  

Virgin Media Receivables Financing Notes I DAC, 5.50%, 9/15/24

     GBP       100       127,077  

Virgin Media Secured Finance PLC:

      

5.50%, 8/15/26 (c)

     USD       200       203,000  

4.88%, 1/15/27

     GBP       130       161,905  

6.25%, 3/28/29

       175       233,029  

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

     USD       980       1,019,200  

Wind Acquisition Finance SA:

      

7.00%, 4/23/21

     EUR       122       137,152  

7.38%, 4/23/21 (c)(d)

     USD       1,130       1,175,087  
      

 

 

 
                       52,648,623  

Metals & Mining — 3.3%

      

Alcoa Nederland Holding BV, 7.00%, 9/30/26 (c)

       200       219,000  

Alcoa, Inc.:

      

5.87%, 2/23/22 (d)

       900       966,510  

5.13%, 10/01/24

       405       420,127  

5.90%, 2/01/27

       120       127,824  

Anglo American Capital PLC:

      

4.45%, 9/27/20 (c)

       100       103,500  

4.13%, 4/15/21 (c)

       200       203,000  

3.50%, 3/28/22

     EUR       100       116,856  

4.13%, 9/27/22 (c)(d)

     USD       400       403,560  

3.25%, 4/03/23

     EUR       100       115,061  

4.88%, 5/14/25 (c)

     USD       200       202,500  

ArcelorMittal:

      

7.25%, 2/25/22

       24       27,060  
Corporate Bonds           Par
(000)
    Value  

Metals & Mining (continued)

      

ArcelorMittal (continued):

      

8.00%, 10/15/39

     USD       108     $ 120,150  

7.75%, 3/01/41

       352       382,800  

BHP Billiton Finance USA, Ltd., 4.13%, 2/24/42 (d)

       250       248,283  

Cliffs Natural Resources, Inc., 8.25%, 3/31/20 (c)

       230       248,975  

Constellium NV (c)(d):

      

8.00%, 1/15/23

       1,500       1,582,500  

5.75%, 5/15/24

       500       481,250  

First Quantum Minerals Ltd., 7.00%, 2/15/21 (c)(d)

       680       697,000  

Freeport-McMoRan, Inc.:

      

2.30%, 11/14/17

       322       321,597  

2.38%, 3/15/18

       2,868       2,859,396  

3.10%, 3/15/20

       1,330       1,320,025  

4.00%, 11/14/21

       276       269,100  

3.55%, 3/01/22

       696       650,760  

3.88%, 3/15/23

       1,668       1,538,730  

5.40%, 11/14/34

       140       122,282  

5.45%, 3/15/43

       1,386       1,191,960  

Grinding Media, Inc. / MC Grinding Media Canada, Inc., 7.38%, 12/15/23 (c)

       215       227,094  

Joseph T Ryerson & Son, Inc., 11.00%, 5/15/22 (c)

       192       213,965  

Kaiser Aluminum Corp., 5.88%, 5/15/24

       124       129,890  

Kinross Gold Corp., 5.95%, 3/15/24

       50       52,462  

Novelis Corp. (c)(d):

      

6.25%, 8/15/24

       1,024       1,077,760  

5.88%, 9/30/26

       1,191       1,208,865  

Rio Tinto Finance USA Ltd., 4.75%, 3/22/42 (d)

       400       433,247  

Steel Dynamics, Inc.:

      

5.13%, 10/01/21 (d)

       970       1,003,950  

5.25%, 4/15/23 (d)

       525       546,656  

5.00%, 12/15/26 (c)

       15       15,262  

Teck Resources Ltd.:

      

3.00%, 3/01/19 (d)

       240       241,200  

3.75%, 2/01/23 (d)

       648       629,370  

8.50%, 6/01/24 (c)

       418       486,447  

6.13%, 10/01/35

       102       104,295  

6.00%, 8/15/40 (d)

       686       687,715  

6.25%, 7/15/41

       88       90,420  

5.20%, 3/01/42 (d)

       673       625,890  

5.40%, 2/01/43

       181       170,140  

United States Steel Corp., 8.38%, 7/01/21 (c)(d)

       357       396,270  
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    13


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Metals & Mining (continued)

      

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

     USD       442     $ 457,046  
      

 

 

 
                       23,737,750  

Multi-Utilities — 0.1%

      

NGL Energy Partners LP/NGL Energy Finance Corp.:

      

5.13%, 7/15/19

       150       150,000  

6.88%, 10/15/21

       240       247,200  

7.50%, 11/01/23 (c)

       225       236,813  
      

 

 

 
                       634,013  

Multiline Retail — 0.1%

      

Neiman Marcus Group Ltd., 8.00%, 10/15/21 (c)(d)

 

    329       203,158  

Target Corp., 4.00%, 7/01/42 (d)

       300       292,260  
      

 

 

 
                       495,418  

Oil, Gas & Consumable Fuels — 9.9%

      

Alta Mesa Holdings LP / Alta Mesa Finance Services Corp., 7.88%, 12/15/24 (c)

       139       149,425  

Anadarko Petroleum Corp., 4.50%, 7/15/44 (d)

       500       482,556  

Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 9/15/24 (c)

       65       66,463  

Antero Resources Corp.:

      

5.13%, 12/01/22

       92       92,690  

5.63%, 6/01/23

       88       89,760  

Apache Corp., 4.75%, 4/15/43 (d)

       800       818,426  

California Resources Corp., 8.00%, 12/15/22 (c)(d)

 

    575       511,750  

Callon Petroleum Co., 6.13%, 10/01/24 (c)

       248       262,570  

Carrizo Oil & Gas, Inc., 6.25%, 4/15/23 (d)

       690       708,112  

Cenovus Energy, Inc.:

      

5.70%, 10/15/19

       51       55,093  

5.20%, 9/15/43

       25       24,587  

Cheniere Corpus Christi Holdings LLC (c):

      

7.00%, 6/30/24 (d)

       698       779,142  

5.88%, 3/31/25

       819       866,092  

Chesapeake Energy Corp.:

      

4.27%, 4/15/19 (b)

       642       640,395  

6.63%, 8/15/20

       239       240,195  

6.88%, 11/15/20

       224       224,000  

4.88%, 4/15/22 (d)

       520       483,600  

8.00%, 12/15/22 (c)

       60       64,050  

8.00%, 1/15/25 (c)

       377       386,189  

5.50%, 9/15/26 (c)(i)

       200       213,125  
Corporate Bonds           Par
(000)
    Value  

Oil, Gas & Consumable Fuels (continued)

      

ConocoPhillips Co., 4.95%, 3/15/26 (d)

     USD       700     $ 768,928  

CONSOL Energy, Inc.:

      

5.88%, 4/15/22 (d)

       3,210       3,105,675  

8.00%, 4/01/23

       76       77,900  

Continental Resources, Inc.:

      

5.00%, 9/15/22

       9       9,180  

4.50%, 4/15/23 (d)

       228       225,150  

3.80%, 6/01/24 (d)

       549       512,629  

4.90%, 6/01/44 (d)

       310       272,800  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:

      

6.00%, 12/15/20

       35       36,050  

6.25%, 4/01/23

       35       36,138  

CrownRock LP/CrownRock Finance, Inc. (c):

      

7.13%, 4/15/21 (d)

       961       1,001,842  

7.75%, 2/15/23

       160       173,400  

DCP Midstream LLC (c):

      

4.75%, 9/30/21

       160       163,200  

6.45%, 11/03/36

       213       217,260  

6.75%, 9/15/37

       278       289,120  

Denbury Resources, Inc.:

      

9.00%, 5/15/21 (c)(d)

       625       682,812  

5.50%, 5/01/22 (d)

       508       435,610  

4.63%, 7/15/23

       48       38,340  

Diamondback Energy, Inc., 5.38%, 5/31/25 (c)

       242       249,865  

Energy Transfer Equity LP (d):

      

5.88%, 1/15/24

       940       1,003,450  

5.50%, 6/01/27

       415       429,525  

Energy Transfer Partners LP:

      

6.13%, 12/15/45 (d)

       500       545,171  

5.30%, 4/15/47

       350       344,521  

Ensco Jersey Finance, Ltd., 3.00%, 1/31/24 (c)(i)

       601       656,592  

Ensco PLC, 8.00%, 1/31/24 (c)

       92       95,457  

Enterprise Products Operating LLC,
3.75%, 2/15/25 (d)

       1,250       1,267,041  

EP Energy LLC/Everest Acquisition Finance, Inc.:

      

9.38%, 5/01/20

       370       370,000  

8.00%, 11/29/24 (c)

       304       328,320  

Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21 (c)(d)

       380       406,600  

Genesis Energy LP/Genesis Energy Finance Corp.:

      

6.00%, 5/15/23

       59       60,623  

5.63%, 6/15/24

       449       452,368  

GNL Quintero SA:

      

4.63%, 7/31/29 (c)(d)

       286       286,972  
 

 

                
14    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Oil, Gas & Consumable Fuels (continued)

      

GNL Quintero SA (continued):

      

4.63%, 7/31/29

     USD       279     $ 279,949  

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (c)

       381       403,860  

Gulfport Energy Corp.:

      

6.63%, 5/01/23

       84       87,780  

6.00%, 10/15/24 (c)(d)

       368       374,900  

6.38%, 5/15/25 (c)(d)

       240       246,000  

Halcon Resources Corp., 8.63%, 2/01/20 (c)

       295       308,275  

Hess Corp., 4.30%, 4/01/27 (d)

       750       751,246  

Hilcorp Energy I LP/Hilcorp Finance Co., 5.75%, 10/01/25 (c)

       197       198,724  

Kinder Morgan Energy Partners LP, 4.25%, 9/01/24 (d)

 

    2,500       2,555,205  

Matador Resources Co.:

      

6.88%, 4/15/23

       460       485,300  

6.88%, 4/15/23 (c)(d)

       531       560,205  

MEG Energy Corp. (c):

      

6.50%, 3/15/21 (d)

       2,036       2,090,361  

7.00%, 3/31/24

       65       61,100  

6.50%, 1/15/25

       1,012       1,022,120  

MPLX LP, 4.88%, 6/01/25 (d)

       790       828,261  

Murphy Oil Corp.:

      

6.88%, 8/15/24 (d)

       288       308,880  

6.13%, 12/01/42

       80       76,000  

Nabors Industries, Inc. (c):

      

5.50%, 1/15/23 (d)

       196       204,820  

0.75%, 1/15/24 (i)

       472       476,130  

Newfield Exploration Co., 5.63%, 7/01/24

       15       15,788  

NGPL PipeCo LLC (c):

      

7.12%, 12/15/17 (d)

       1,167       1,202,010  

7.77%, 12/15/37

       705       779,025  

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

       1,700       1,764,112  

Noble Holding International, Ltd., 7.75%, 1/15/24

       772       767,175  

Oasis Petroleum, Inc.:

      

6.50%, 11/01/21

       450       460,125  

6.88%, 3/15/22 (d)

       490       502,250  

6.88%, 1/15/23

       115       117,731  

2.63%, 9/15/23 (i)

       120       159,900  

ONEOK, Inc.:

      

4.25%, 2/01/22

       80       81,600  

7.50%, 9/01/23 (d)

       377       438,263  

Paramount Resources Ltd., 6.88%, 6/30/23 (c)(d)

       1,235       1,321,450  

Parsley Energy LLC/Parsley Finance Corp. (c):

      

6.25%, 6/01/24

       201       216,075  

5.38%, 1/15/25

       136       139,400  
Corporate Bonds           Par
(000)
    Value  

Oil, Gas & Consumable Fuels (continued)

      

PDC Energy, Inc., 6.13%, 9/15/24 (c)

     USD       220     $ 229,900  

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

       2,000       1,895,344  

Petrobras Argentina SA, 7.38%, 7/21/23 (c)(d)

       895       908,425  

Petrobras Global Finance BV:

      

4.88%, 3/17/20

       171       174,249  

8.38%, 5/23/21 (d)

       1,718       1,915,570  

8.75%, 5/23/26

       193       217,395  

7.38%, 1/17/27

       404       419,433  

Petrobras International Finance Co.:

      

5.75%, 1/20/20

       171       178,097  

5.38%, 1/27/21 (d)

       1,872       1,884,262  

Petroleos Mexicanos:

      

5.38%, 3/13/22 (c)

       47       47,914  

4.63%, 9/21/23

       309       301,275  

6.50%, 3/13/27 (c)

       601       618,098  

Precision Drilling Corp., 7.75%, 12/15/23 (c)

       90       97,200  

QEP Resources, Inc.:

      

6.88%, 3/01/21

       176       186,120  

5.25%, 5/01/23

       40       39,800  

Raizen Fuels Finance SA, 5.30%, 1/20/27 (c)

       543       541,914  

Range Resources Corp. (c):

      

5.88%, 7/01/22 (d)

       579       606,502  

5.00%, 8/15/22 (d)

       91       91,546  

5.00%, 3/15/23

       280       277,900  

Resolute Energy Corp., 8.50%, 5/01/20

       282       287,640  

Rockies Express Pipeline LLC (c)(d):

      

5.63%, 4/15/20

       875       927,500  

6.88%, 4/15/40

       596       612,390  

Rowan Cos., Inc.:

      

4.88%, 6/01/22

       85       80,856  

7.38%, 6/15/25

       543       567,435  

RSP Permian, Inc.:

      

6.63%, 10/01/22

       290       306,313  

5.25%, 1/15/25 (c)

       178       182,005  

Sabine Pass Liquefaction LLC:

      

5.63%, 2/01/21

       100       108,000  

5.63%, 4/15/23 (d)

       1,775       1,925,875  

5.75%, 5/15/24

       10       10,888  

5.63%, 3/01/25 (d)

       176       191,180  

5.88%, 6/30/26 (c)(d)

       120       133,050  

Sanchez Energy Corp. (d):

      

7.75%, 6/15/21

       536       546,720  

6.13%, 1/15/23

       943       905,280  

SESI LLC, 6.38%, 5/01/19

       110       110,413  

Seven Generations Energy Ltd. (c):

      

8.25%, 5/15/20 (d)

       196       208,005  
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    15


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Oil, Gas & Consumable Fuels (continued)

      

Seven Generations Energy Ltd. (c) (continued):

      

6.75%, 5/01/23

     USD       59     $ 63,130  

Shell International Finance BV, 4.38%, 5/11/45 (d)

       450       457,516  

SM Energy Co.:

      

6.50%, 11/15/21

       100       103,125  

6.13%, 11/15/22 (d)

       27       27,878  

5.00%, 1/15/24

       5       4,763  

5.63%, 6/01/25 (d)

       495       482,625  

6.75%, 9/15/26

       165       171,600  

Southwestern Energy Co.:

      

5.80%, 1/23/20 (d)

       1,169       1,206,992  

4.10%, 3/15/22

       191       177,153  

6.70%, 1/23/25

       65       65,325  

Suncor Energy, Inc., 6.50%, 6/15/38 (d)

       800       1,024,782  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (c):

      

5.50%, 9/15/24 (d)

       490       497,350  

5.13%, 2/01/25

       155       160,425  

5.38%, 2/01/27

       130       134,713  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

      

6.38%, 8/01/22

       95       98,230  

5.25%, 5/01/23

       16       16,400  

6.75%, 3/15/24

       82       89,585  

Tesoro Corp. (c)(d):

      

4.75%, 12/15/23

       527       541,492  

5.13%, 12/15/26

       736       767,280  

Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.13%, 10/15/21

       44       46,035  

Weatherford International LLC, 6.80%, 6/15/37

       30       25,725  

Weatherford International Ltd.:

      

4.50%, 4/15/22

       107       95,230  

6.50%, 8/01/36

       85       72,038  

7.00%, 3/15/38

       94       81,310  

5.95%, 4/15/42

       83       64,922  

Whiting Petroleum Corp.:

      

5.00%, 3/15/19 (d)

       851       865,892  

6.25%, 4/01/23

       10       10,100  

WildHorse Resource Development Corp., 6.88%, 2/01/25 (c)(h)

       281       279,946  

Williams Cos., Inc.:

      

3.70%, 1/15/23

       63       61,898  

5.75%, 6/24/44 (d)

       1,137       1,151,212  

Williams Partners LP, 4.50%, 11/15/23 (d)

       1,750       1,840,347  
Corporate Bonds           Par
(000)
    Value  

Oil, Gas & Consumable Fuels (continued)

      

WPX Energy, Inc.:

      

7.50%, 8/01/20

     USD       80     $ 86,800  

6.00%, 1/15/22

       247       256,880  

8.25%, 8/01/23

       215       244,563  

5.25%, 9/15/24 (d)

       435       428,340  

YPF SA:

      

8.50%, 3/23/21

       83       89,951  

8.50%, 3/23/21 (c)

       193       209,164  

8.50%, 7/28/25

       97       102,074  
      

 

 

 
                       70,822,064  

Paper & Forest Products — 0.1%

      

Mercer International, Inc., 6.50%, 2/01/24 (c)

       94       94,940  

Pfleiderer GmbH, 7.88%, 8/01/19

     EUR       168       188,592  

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

     USD       390       390,000  
      

 

 

 
                       673,532  

Pharmaceuticals — 2.0%

      

AbbVie, Inc. (d):

      

3.20%, 5/14/26

       775       734,459  

4.45%, 5/14/46

       1,000       936,818  

Actavis Funding SCS (d):

      

3.80%, 3/15/25

       1,000       998,190  

4.75%, 3/15/45

       500       493,078  

DPx Holdings BV, 7.50%, 2/01/22 (c)

       135       143,100  

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

      

5.38%, 1/15/23

       620       519,250  

6.00%, 7/15/23

       459       391,298  

Forest Laboratories LLC, 5.00%, 12/15/21 (c)(d)

       718       776,720  

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

       314       325,850  

inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24 (c)

       444       465,090  

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (c)(d)

       1,166       1,235,960  

Mylan NV, 3.95%, 6/15/26 (c)(d)

       1,000       946,588  

NBTY, Inc., 7.63%, 5/15/21 (c)(d)

       733       767,818  

Shire Acquisitions Investments Ireland DAC, 3.20%, 9/23/26 (d)

       300       281,685  

Synlab Bondco PLC, 6.25%, 7/01/22

     EUR       145       170,294  

Synlab Unsecured Bondco PLC, 8.25%, 7/01/23

       100       119,267  
 

 

                
16    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Pharmaceuticals (continued)

      

Tennessee Merger Sub, Inc., 6.38%, 2/01/25 (c)(h)

     USD       831     $ 816,457  

Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 (d)

       500       453,277  

Valeant Pharmaceuticals International, Inc. (c):

      

6.75%, 8/15/18 (d)

       1,517       1,496,141  

5.38%, 3/15/20

       55       47,300  

6.75%, 8/15/21

       1,276       1,078,220  

5.63%, 12/01/21 (d)

       839       662,810  

5.88%, 5/15/23

       67       51,004  

6.13%, 4/15/25

       216       161,730  
      

 

 

 
                       14,072,404  

Producer Durables: Miscellaneous — 0.0%

      

Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl,
10.00%, 11/30/24 (c)

             210       226,800  

Real Estate Investment Trusts (REITs) — 0.2%

      

American Tower Corp., 3.38%, 10/15/26

       250       237,182  

ATF Netherlands BV, 2.13%, 3/13/23

     EUR       100       106,804  

Hilton Domestic Operating Co., Inc., 4.25%, 9/01/24 (c)

     USD       204       200,175  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.50%, 9/01/26 (c)

       533       510,347  

Starwood Property Trust, Inc., 5.00%, 12/15/21 (c)

       278       282,517  
      

 

 

 
                       1,337,025  

Real Estate Management & Development — 1.1%

 

   

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

       2,000       2,029,428  

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

       4,360       4,063,869  

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

 

   

4.50%, 4/15/19

       205       211,662  

5.25%, 12/01/21

       495       509,850  

4.88%, 6/01/23

       1,125       1,096,875  
      

 

 

 
                       7,911,684  

Road & Rail — 1.2%

      

Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (c):

 

   

5.13%, 6/01/22 (d)

       850       826,625  

6.38%, 4/01/24

       30       29,475  

5.25%, 3/15/25 (d)

       725       663,375  
Corporate Bonds           Par
(000)
    Value  

Road & Rail (continued)

      

Avis Budget Finance PLC, 4.13%, 11/15/24

     EUR       100     $ 105,035  

Burlington Northern Santa Fe LLC, 4.38%, 9/01/42 (d)

     USD       500       518,641  

Herc Rentals, Inc. (c):

      

7.50%, 6/01/22

       106       114,480  

7.75%, 6/01/24

       10       10,825  

Hertz Corp.:

      

4.25%, 4/01/18 (d)

       400       400,000  

5.88%, 10/15/20

       175       165,375  

7.38%, 1/15/21 (d)

       85       82,238  

5.50%, 10/15/24 (c)

       305       256,200  

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

 

    4,000       4,245,000  

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

       613       616,065  

Union Pacific Corp., 4.05%, 11/15/45 (d)

       500       499,053  
      

 

 

 
                       8,532,387  

Semiconductors & Semiconductor Equipment — 1.1%

 

 

Advanced Micro Devices, Inc., 7.50%, 8/15/22

       89       97,789  

Analog Devices, Inc., 3.50%, 12/05/26 (d)

       320       314,982  

Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 1/15/27 (c)

       2,600       2,580,172  

Microchip Technology, Inc., 2.13%, 12/15/37 (i)

       75       211,453  

Micron Technology, Inc.:

      

5.25%, 8/01/23 (c)(d)

       343       343,857  

5.50%, 2/01/25

       40       40,200  

5.63%, 1/15/26 (c)

       82       82,123  

Series G, 3.00%, 11/15/43 (i)

       860       879,887  

Microsemi Corp., 9.13%, 4/15/23 (c)

       41       47,560  

NXP BV/NXP Funding LLC (c):

      

4.13%, 6/15/20 (d)

       760       786,600  

4.13%, 6/01/21

       203       209,577  

4.63%, 6/15/22 (d)

       410       431,525  

3.88%, 9/01/22

       200       203,250  

4.63%, 6/01/23

       224       236,880  

QUALCOMM, Inc., 4.65%, 5/20/35 (d)

       400       411,499  

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

       15       14,993  

Sensata Technologies UK Financing Co. PLC, 6.25%, 2/15/26 (c)(d)

       540       579,150  

Xilinx, Inc., 2.63%, 6/15/17 (i)

       65       131,341  
      

 

 

 
                       7,602,838  

 

 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    17


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Software — 1.5%

      

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

     USD       580     $ 597,516  

BMC Software Finance, Inc., 8.13%, 7/15/21 (c)(d)

       882       851,130  

Inception Merger Sub, Inc./Rackspace Hosting, Inc., 8.63%, 11/15/24 (c)(d)

       609       631,837  

Infinity Acquisition LLC/Infinity Acquisition Finance Corp., 7.25%, 8/01/22 (c)

       51       44,753  

Infor US, Inc., 6.50%, 5/15/22 (d)

       1,857       1,905,746  

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

       516       496,650  

JDA Escrow LLC/JDA Bond Finance, Inc., 7.38%, 10/15/24 (c)

       209       219,450  

Microsoft Corp., 3.70%, 8/08/46 (d)

       1,750       1,600,979  

Nuance Communications, Inc. (c):

      

5.38%, 8/15/20 (d)

       47       48,175  

6.00%, 7/01/24

       220       224,950  

5.63%, 12/15/26

       121       120,849  

Oracle Corp., 4.00%, 7/15/46 (d)

       1,500       1,407,663  

PTC, Inc., 6.00%, 5/15/24

       119       126,731  

Solera LLC/Solera Finance, Inc.,
10.50%, 3/01/24 (c)(d)

       1,020       1,160,250  

SS&C Technologies Holdings, Inc.,
5.88%, 7/15/23 (d)

       584       607,360  

TIBCO Software, Inc., 11.38%, 12/01/21 (c)

       742       816,200  

Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 2/01/23

     EUR       100       101,516  
      

 

 

 
                       10,961,755  

Specialty Retail — 0.4%

      

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

     USD       740       756,650  

JC Penney Corp., Inc.:

      

6.38%, 10/15/36

       119       96,093  

7.40%, 4/01/37

       261       223,807  

L Brands, Inc., 6.88%, 11/01/35 (d)

       384       374,400  

Lowe’s Cos., Inc., 4.65%, 4/15/42 (d)

       400       424,718  

Penske Automotive Group, Inc., 5.50%, 5/15/26

       212       210,940  

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

       427       441,731  

THOM Europe SAS, 7.38%, 7/15/19

     EUR       100       112,835  
      

 

 

 
                       2,641,174  

Technology Hardware, Storage & Peripherals — 0.5%

 

 

Apple, Inc., 4.65%, 2/23/46 (d)

     USD       1,500       1,578,723  
Corporate Bonds           Par
(000)
    Value  

Technology Hardware, Storage & Peripherals (continued)

 

Diamond 1 Finance Corp./Diamond 2 Finance Corp. (c):

      

4.42%, 6/15/21

     USD       145     $ 150,908  

7.13%, 6/15/24 (d)

       774       847,436  

6.02%, 6/15/26

       170       183,546  

8.35%, 7/15/46

       150       187,289  

Western Digital Corp., 7.38%, 4/01/23 (c)(d)

       495       544,500  
      

 

 

 
                       3,492,402  

Textiles, Apparel & Luxury Goods — 0.0%

      

BiSoho SAS, 5.88%, 5/01/23

     EUR       100       116,180  

Hanesbrands, Inc., 4.63%, 5/15/24 (c)

     USD       59       58,410  

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

       59       61,065  
      

 

 

 
                       235,655  

Thrifts & Mortgage Finance — 0.1%

      

Jerrold Finco PLC, 6.25%, 9/15/21

     GBP       100       129,700  

MGIC Investment Corp., 5.75%, 8/15/23

     USD       181       189,145  

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

       390       407,550  
      

 

 

 
                       726,395  

Tobacco — 0.3%

      

Altria Group, Inc., 4.50%, 5/02/43 (d)

       750       756,887  

Philip Morris International, Inc., 4.38%, 11/15/41 (d)

       900       892,792  

Reynolds American, Inc., 5.85%, 8/15/45 (d)

       715       830,760  
      

 

 

 
                       2,480,439  

Trading Companies & Distributors — 0.4%

      

Doric Nimrod Air Alpha Ltd. Pass-Through Trust (c):

      

Series 2012-1, Class B, 6.50%, 5/30/21

       359       369,473  

Series 2013-1, Class A, 5.25%, 5/30/25 (d)

       2,182       2,274,871  
      

 

 

 
                       2,644,344  

Transportation Infrastructure — 0.2%

      

CEVA Group PLC, 7.00%, 3/01/21 (c)(d)

       510       441,150  

CMA CGM SA, 7.75%, 1/15/21

     EUR       100       101,203  

Empresa de Transporte de Pasajeros Metro SA, 5.00%, 1/25/47 (c)

     USD       264       263,670  
 

 

                
18    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Corporate Bonds           Par
(000)
    Value  

Transportation Infrastructure (continued)

      

Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40%, 11/15/26 (c)(d)

     USD       390     $ 373,690  

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

       520       529,731  
      

 

 

 
                       1,709,444  

Utilities — 0.2%

      

AES Panama SRL, 6.00%, 6/25/22 (c)

       291       300,167  

ContourGlobal Power Holdings SA, 5.13%, 6/15/21

     EUR       100       113,833  

Emera US Finance LP, 4.75%, 6/15/46

     USD       200       203,250  

Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 7/27/23 (c)

       967       1,015,350  
      

 

 

 
                       1,632,600  

Wireless Telecommunication Services — 3.1%

      

Communications Sales & Leasing, Inc./CSL Capital LLC:

 

   

6.00%, 4/15/23 (c)

       77       80,850  

8.25%, 10/15/23 (d)

       1,069       1,159,865  

7.13%, 12/15/24 (c)(d)

       429       436,507  

Digicel Group Ltd. (c):

      

8.25%, 9/30/20

       295       261,444  

7.13%, 4/01/22

       294       235,071  

Digicel Ltd., 6.00%, 4/15/21 (c)(d)

       5,000       4,661,500  

GEO Group, Inc.:

      

5.13%, 4/01/23 (d)

       553       543,322  

5.88%, 10/15/24

       57       57,499  

6.00%, 4/15/26

       71       71,533  

Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 2/15/25 (c)(h)

       319       318,202  

Softbank Corp., 4.50%, 4/15/20 (c)(d)

       1,500       1,537,500  

Sprint Capital Corp.:

      

6.90%, 5/01/19

       155       165,463  

6.88%, 11/15/28 (d)

       2,084       2,146,520  

Sprint Communications, Inc.:

      

9.00%, 11/15/18 (c)(d)

       2,486       2,722,170  

7.00%, 3/01/20 (c)

       270       293,287  

7.00%, 8/15/20 (d)

       240       256,800  

Sprint Corp.:

      

7.25%, 9/15/21

       115       123,223  

7.88%, 9/15/23 (d)

       1,526       1,667,155  

7.13%, 6/15/24 (d)

       1,444       1,508,980  

7.63%, 2/15/25

       70       75,031  

T-Mobile USA, Inc.:

      

6.63%, 4/28/21 (d)

       250       260,625  
Corporate Bonds           Par
(000)
    Value  

Wireless Telecommunication Services (continued)

 

   

T-Mobile USA, Inc. (continued):

      

6.73%, 4/28/22 (d)

     USD       945     $ 982,800  

6.00%, 3/01/23

       40       42,300  

6.84%, 4/28/23 (d)

       610       651,175  

6.50%, 1/15/24 (d)

       440       474,144  

6.50%, 1/15/26

       260       285,675  

Trust F/1401, 6.95%, 1/30/44

       752       686,200  

Wind Acquisition Finance SA, 4.00%, 7/15/20

     EUR       100       109,849  
      

 

 

 
                       21,814,690  

Total Corporate Bonds - 67.0%

                     479,051,304  
      
                          
Floating Rate Loan Interests (b)                         

Air Freight & Logistics — 0.0%

      

CEVA Group PLC, Synthetic LOC, 11.38%, 3/19/21

     USD       29       25,394  

CEVA Intercompany BV, Dutch Term Loan, 3.78%, 3/19/21

       30       26,142  

CEVA Logistics Canada ULC, Canadian Term Loan, 4.75%, 3/19/21

       5       3,949  

CEVA Logistics US Holdings, Inc., Term Loan, 4.75%, 3/19/21

       43       37,229  
      

 

 

 
                       92,714  

Auto Components — 0.1%

      

Gates Global, Inc., Term Loan B, 4.25%, 7/06/21

             455       453,713  

Building Products — 0.0%

      

Wilsonart LLC, 2016 Term Loan, 5.02%, 12/19/23

             242       243,754  

Chemicals — 0.0%

      

Atotech B.V., 2017 Term Loan B1, 6.50%, 1/31/24

       142       142,710  

Chemours Co., Term Loan B, 6.50%, 5/12/22

       26       25,727  

MacDermid, Inc., Term Loan B5, 4.00%, 6/07/20

       108       109,040  
      

 

 

 
                       277,477  

Commercial Services & Supplies — 0.1%

      

Advanced Disposal Services. Inc., Term Loan B3, 3.50%, 11/10/23

     USD       285     $ 287,976  
 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    19


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Floating Rate Loan Interests           Par
(000)
    Value  

Commercial Services & Supplies (continued)

      

Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.76%, 11/26/20

     USD       207     $ 206,862  
      

 

 

 
                       494,838  

Containers & Packaging — 0.1%

      

Flex Acquisition Company, Inc., 1st Lien Term Loan, 7.40%, 12/29/23

             552       556,488  

Diversified Financial Services — 0.7 %

      

Aviron Capital LLC, Term Loan, 5.25%, 10/31/17

       11,081       4,266,266  

Lone Star LSPT Future Funding, Mezzanine Term Loan, 4.00%, 9/09/20

       368       368,346  
      

 

 

 
                       4,634,612  

Diversified Telecommunication Services — 0.2%

      

Consolidated Communications, Inc., Term Loan B2, 3.78%, 10/05/23

       368       370,694  

Virgin Media Investment Holdings Ltd., Term Loan I, 5.00%, 1/31/25

       656       659,693  

Zayo Group LLC:

      

2017 Delayed Draw Term Loan B3, 5.27%, 1/12/24

       226       227,790  

2017 Term Loan B2, 5.27%, 1/19/24

       468       471,706  
      

 

 

 
                       1,729,883  

Electric Utilities — 0.1%

      

TEX Operations Co. LLC:

      

Exit Term Loan B, 1.88%, 8/04/23

       454       455,538  

Exit Term Loan C, 5.00%, 8/04/23

       95       95,058  

Vistra Operations Company LLC, 2016 Term
Loan B2, 5.00%, 12/14/23

       354       357,540  
      

 

 

 
                       908,136  

Energy Equipment & Services — 0.1%

      

Weatherford International Ltd., Term Loan, 4.53%, 7/13/20

             337       323,063  

Food & Staples Retailing — 0.1%

      

BJ’s Wholesale Club, Inc.:

      

2017 1st Lien Term Loan, 5.00%, 2/03/24

       231       230,351  
Floating Rate Loan Interests           Par
(000)
    Value  

Food & Staples Retailing (continued)

      

BJ’s Wholesale Club, Inc. (continued):

      

2017 2nd Lien Term Loan, 4.79%, 2/03/25

     USD       158     $ 159,580  
      

 

 

 
                       389,931  

Health Care Equipment & Supplies — 0.2%

      

Alere, Inc., 2015 Term Loan B, 4.09%, 6/18/22

       326       325,831  

DJO Finance LLC, 2015 Term Loan, 5.25%, 6/08/20

       413       402,112  

Immucor, Inc., Refinancing Term Loan B2, 4.25%, 8/17/18

       459       447,637  

Mallinckrodt International Finance SA, Term
Loan B, 4.25%, 3/19/21

       110       110,000  
      

 

 

 
                       1,285,580  

Health Care Providers & Services — 0.2%

      

Community Health Systems, Inc.:

      

Term Loan G, 6.54%, 12/31/19

       96       91,052  

Term Loan H, 6.54%, 1/27/21

       51       48,198  

inVentiv Health, Inc., 2016 Term Loan B, 6.95%, 11/09/23

       385       388,207  

MPH Acquisition Holdings LLC, 2016 Term
Loan B, 9.25%, 6/07/23

       169       171,546  

Team Health, Inc., 1st Lien Term Loan, 4.70%, 2/06/24

       408       407,237  

Vizient, Inc., 2016 Term Loan B, 5.50%, 2/13/23

       113       114,599  
      

 

 

 
                       1,220,839  

Hotels, Restaurants & Leisure — 3.2%

      

Amaya Holdings BV, 1st Lien Term Loan, 4.25%, 8/01/21

       313       314,155  

Caesars Entertainment Resort Properties LLC, Term Loan B, 3.52%, 10/11/20

       3,314       3,342,780  

Four Seasons Holdings Inc., 1st Lien Term Loan, 4.25%, 11/30/23

       47       47,573  

Hilton Ft. Lauderdale, Mezzanine Term Loan 5, 3.78%, 8/04/19

       6,500       6,305,000  

Hilton Los Cabos, B-Note, 4.25%, 9/18/18

       5,375       5,294,375  

Hilton Orlando, Mezzanine A3, 3.75%, 7/09/19

       7,250       7,250,000  
      

 

 

 
                       22,553,883  

 

 

 

                
20    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Floating Rate Loan Interests           Par
(000)
    Value  

Industrial Conglomerates — 0.1%

      

Cortes NP Acquisition Corp., Term Loan B, 8.50%, 11/30/23

     USD       838     $ 841,687  

Insurance — 0.1%

      

Alliant Holdings I, Inc., 2015 Term Loan B, 4.50%, 8/12/22

       136       136,562  

AssuredPartners, Inc., 2016 Term Loan B, 5.00%, 10/21/22

       193       195,276  

Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, 5.00%, 3/01/21

       471       472,478  
      

 

 

 
                       804,316  

IT Services — 0.0%

      

TKC Holdings, Inc., 2017 Term Loan, 1.00%, 2/01/23

             272       272,680  

Machinery — 0.1%

      

Signode Industrial Group US, Inc., Term Loan B, 5.00%, 5/01/21

       164       165,301  

Silver II US Holdings LLC, Term Loan, 4.25%, 12/13/19

       482       456,273  
      

 

 

 
                       621,574  

Media — 0.3%

      

iHeartCommunications, Inc., Term Loan D, 4.00%, 1/30/19

       1,169       968,285  

Intelsat Jackson Holdings SA, Term Loan B2, 8.95%, 6/30/19

       1,245       1,224,330  

Ziggo Secured Finance Partnership, Term Loan E, 5.50%, 4/23/25

       263       263,521  
      

 

 

 
                       2,456,136  

Metals & Mining — 0.0%

      

FMG Resources August 2006 Property Ltd., Term Loan B, 4.25%, 6/30/19

             198       199,041  

Multiline Retail — 0.0%

      

Neiman Marcus Group, Inc., 2020 Term Loan, 466.85% - 5.25%, 10/25/20

             330       272,378  

Oil, Gas & Consumable Fuels — 0.5%

      

California Resources Corp.:

      

Second Out Term Loan, 5.50%, 12/31/21

       850       955,732  

Term Loan A, 7.00%, 10/01/19

       613       596,480  

Chesapeake Energy Corp., Term Loan, 6.54%, 8/23/21

       1,674       1,830,703  

Energy Transfer Equity, L.P., 2017 Term Loan B, 1.00%, 2/02/24

       305       304,720  
Floating Rate Loan Interests           Par
(000)
    Value  

Oil, Gas & Consumable Fuels (continued)

      

MEG Energy Corp., 2017 Term Loan B, 4.25%, 12/31/23

     USD       165     $ 165,595  
      

 

 

 
                       3,853,230  

Pharmaceuticals — 0.2%

      

DPx Holdings BV, 2014 Incremental Term Loan, 6.04%, 3/11/21

       280       281,794  

Jaguar Holding Co. II, 2015 Term Loan B, 5.00%, 8/18/22

       478       480,488  

NBTY, Inc., Term Loan B, 9.51%, 5/05/23

       176       177,161  

Valeant Pharmaceuticals International, Inc.:

      

Series A3 Tranche A, 3.75%, 10/20/18

       75       74,476  

Series C2 Term Loan B, 4.00%, 12/11/19

       40       40,102  

Series D2 Term Loan B, 4.00%, 2/13/19

       25       24,863  

Series E Term Loan B, 4.00%, 8/05/20

       300       300,866  
      

 

 

 
                       1,379,750  

Professional Services — 0.1%

      

Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, 4.25%, 7/23/21

       298       295,947  

Information Resources, Inc., 1st Lien Term Loan, 6.70%, 1/18/24

       86       86,753  
      

 

 

 
                       382,700  

Semiconductors & Semiconductor Equipment — 0.0%

 

 

Microsemi Corp., 2015 Term Loan B, 5.00%, 1/15/23

             46       45,884  

Software — 0.4%

      

BMC Software Finance, Inc., Term Loan, 4.76%, 9/10/20

       801       799,165  

Kronos Incorporated:

      

1st Lien Term Loan, 3.75%, 11/01/23

       639       645,793  

2nd Lien Term Loan, 4.75%, 11/01/24

       624       643,452  

Optiv Security, Inc., 1st Lien Term Loan, 4.50%, 2/01/24

       244       245,322  

RP Crown Parent, LLC, 2016 Term Loan B, 3.77%, 10/12/23

       198       199,386  

Tibco Software Inc., 2017 Term Loan B, 4.50%, 12/04/20

       602       606,169  
      

 

 

 
                       3,139,287  

 

 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    21


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Floating Rate Loan Interests           Par
(000)
    Value  

Specialty Retail — 0.0%

      

Leslie’s Poolmart, Inc., 2016 Term Loan, 4.00%, 8/16/23

     USD       42     $ 42,530  

Textiles, Apparel & Luxury Goods — 0.0%

 

 

Ascend Performance Materials LLC, Term Loan B, 5.25%, 8/12/22

             312       313,891  

Wireless Telecommunication Services — 0.1%

      

Radiate Holdco LLC, 1st Lien Term Loan, 4.75%, 2/01/24

             312       314,290  

Total Floating Rate Loan Interests 7.0%

                     50,104,285  
      
                          
Foreign Agency Obligations                         

Argentina Bonar Bonds:

      

21.78%, 3/28/17 (b)

     ARS       13,744       863,826  

9.00%, 11/29/18

     USD       144       159,578  

Argentine Bonos del Tesoro:

      

22.75%, 3/05/18

     ARS       9,149       594,171  

21.20%, 9/19/18

       18,297       1,195,865  

18.20%, 10/03/21

       176       11,738  

16.00%, 10/17/23

       1,975       129,463  

15.50%, 10/17/26

       70       4,807  

Argentine Republic Government International Bond:

 

   

6.25%, 4/22/19 (c)(d)

     USD       6,334       6,691,871  

6.88%, 4/22/21

       150       159,525  

5.83%, 12/31/33 (b)

     ARS       54       24,783  

7.82%, 12/31/33

     EUR       701       764,761  

7.63%, 4/22/46 (c)(d)

     USD       2,767       2,735,180  

Brazil Notas do Tesouro Nacional Series B, 6.00%, 5/15/21

     BRL       1,400       1,339,004  

Brazilian Government International Bond, 5.00%, 1/27/45 (d)

     USD       595       508,725  

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

     EUR       2,950       3,449,923  

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

     USD       800       785,200  

Dominican Republic International Bond, 5.95%, 1/25/27 (c)

       937       937,000  

Egypt Government International Bond, 6.13%, 1/31/22 (c)

       1,218       1,228,950  

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

       3,415       3,848,562  

Mexican Udibonos, 3.50%, 12/14/17

     MXN       1,655       80,941  

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

     USD       5,430       5,247,378  

Republic of Argentina:

      

3.88%, 1/15/22

     EUR       172       180,107  

5.63%, 1/26/22 (c)

     USD       5,314       5,324,628  

7.50%, 4/22/26 (c)(d)

       3,437       3,588,228  

6.88%, 1/26/27 (c)

       871       862,290  
Foreign Agency Obligations           Par
(000)
    Value  

Republic of Poland Government Bond:

      

1.75%, 7/25/21

     PLN       9,038     $ 2,145,586  

2.25%, 4/25/22

       7,850       1,874,340  

Russian Federal Bond - OFZ:

      

7.50%, 8/18/21

     RUB       57,993       947,189  

8.15%, 2/03/27

       63,092       1,059,313  

7.05%, 1/19/28

       63,442       974,489  

Slovenia Government International Bond, 5.85%, 5/10/23 (c)

     USD       766       869,871  

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

       3,000       3,005,496  

Turkey Government Bond, 10.60%, 2/11/26

     TRY       5,034       1,326,826  

Turkey Government International Bond, 4.88%, 4/16/43

     USD       2,314       1,886,812  

YPF SA, 8.88%, 12/19/18 (c)

             1,495       1,641,211  

Total Foreign Agency Obligations 7.9%

                     56,447,637  
      
                          
Non-Agency Mortgage-Backed Securities                         

Collateralized Mortgage Obligations — 21.7%

      

American Home Mortgage Assets Trust, Series 2006-5, Class A1, 1.52%, 11/25/46 (b)

       6,153       3,175,840  

CHL Mortgage Pass-Through Trust:

      

Series 2006-3, Class 1A1,
1.01%, 3/25/36 (b)

       12,607       10,129,381  

Series 2007-J2, Class 2A1,
1.42%, 7/25/37 (b)

       5,175       2,584,929  

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

       2,858       2,180,622  

Citigroup Mortgage Loan Trust,
Series 2006-AR7, Class 2A3A, 3.11%, 11/25/36 (b)

       7,228       5,540,952  

Countrywide Alternative Loan Trust:

      

Series 2005-61, Class 2A1, 1.05%, 12/25/35 (b)

       3,586       3,168,359  

Series 2005-9CB, Class 1A3, 1.22%, 5/25/35 (b)

       4,298       3,484,891  

Series 2006-40T1, Class 2A5, 1.17%, 12/25/36 (b)

       2,818       820,016  

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

       3,289       2,276,834  

Series 2006-J7, Class 2A1, 2.10%, 11/20/36 (b)

       7,275       4,350,405  

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

       2,291       1,578,635  

Series 2006-OA14, Class 3A1, 1.45%, 11/25/46 (b)

       11,374       9,535,373  
 

 

                
22    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Non-Agency Mortgage-Backed Securities           Par
(000)
    Value  

Collateralized Mortgage Obligations (continued)

      

Countrywide Alternative Loan Trust (continued):

      

Series 2006-OA16, Class A2, 0.96%, 10/25/46 (b)

     USD       7,499     $ 6,410,496  

Series 2006-OA18, Class A1, 0.89%, 12/25/46 (b)

       4,595       4,066,002  

Series 2006-OA22, Class A1, 0.93%, 2/25/47 (b)

       4,240       3,582,141  

Series 2006-OA6, Class 1A1A, 0.98%, 7/25/46 (b)

       8,353       6,150,007  

Series 2006-OA8, Class 1A1, 0.96%, 7/25/46 (b)

       3,338       2,766,371  

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

       6,101       4,504,599  

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

       2,961       2,234,476  

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

       10,751       7,641,034  

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

       8,685       7,097,255  

Series 2007-4CB, Class 1A3, 1.12%, 4/25/37 (b)

       5,395       4,105,925  

Series 2007-OA2, Class 1A1, 1.44%, 3/25/47 (b)

       5,680       3,921,899  

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA5, Class 3A1, 0.97%, 4/25/46 (b)

       10,168       8,799,382  

Fannie Mae (b):

      

Series 2016-C06, 5.02%, 4/25/29

       545       578,579  

Series 2016-C07, Class 2M2, 5.12%, 4/25/29

       3,455       3,647,624  

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

      

Series 2014-C02, 3.37%, 5/25/24

       7,872       7,900,111  

Series 2014-C03, 3.77%, 7/25/24

       5,950       6,071,763  

Freddie Mac Mortgage-Backed Securities,
Series 4480, Class ZX,
4.00%, 11/15/44 (d)

       4,794       4,954,116  

Morgan Stanley Re-REMIC Trust,
Series 2010-R5, Class 7B,
1.16%, 5/26/37 (c)(e)

       15,477       10,446,956  

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

       9,009       3,930,229  

Residential Asset Securitization Trust,
Series 2006-A8, Class 2A5,
1.37%, 8/25/36 (b)

       7,465       2,435,480  
Non-Agency Mortgage-Backed Securities           Par
(000)
    Value  

Collateralized Mortgage Obligations (continued)

 

   

WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A,
1.37%, 5/25/47 (b)

     USD       5,471     $ 4,865,599  
      

 

 

 
                       154,936,281  

Commercial Mortgage-Backed Securities — 5.9%

 

   

Bank of America Merrill Lynch Commercial Mortgage Securities Trust,
Series 2013-DSMZ, Class M,
6.46%, 9/15/18 (b)(c)

       7,500       7,148,250  

CD Commercial Mortgage Trust,
Series 2007-CD5, Class C,
6.12%, 11/15/44 (b)

       3,372       3,345,916  

CDGJ Commercial Mortgage Trust,
Series 2014-BXCH, Class EPA,
5.02%, 12/15/27 (b)(c)

       4,599       4,627,378  

CG-CCRE Commercial Mortgage Trust,
Series 2014-FL1, Class E,
5.35%, 6/15/31 (b)(c)

       1,931       1,927,887  

Commercial Mortgage Pass-Through Certificates (b)(c):

      

Series 2014-FL5, Class HFL1, 4.02%, 7/15/31

       6,057       5,856,379  

Series 2014-LC15, Class D,
4.94%, 4/10/47 (d)

       1,330       1,107,941  

Series 2014-PAT, Class E, 3.92%, 8/13/27

       1,000       997,516  

Series 2014-PAT, Class F, 3.21%, 8/13/27

       3,000       2,902,544  

Series 2014-PAT, Class G, 2.36%, 8/13/27

       2,000       1,802,770  

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

       1,062       1,060,494  

GAHR Commercial Mortgage Trust:
Series 2015-NRF, Class GFX,
3.38%, 12/15/34 (b)(c)

       2,500       2,398,350  

Great Wolf Trust (b)(c):

      

Series 2015-WFMZ, Class M, 7.76%, 5/15/32

       3,300       3,261,384  

Series 2015-WOLF, Class F, 5.77%, 5/15/34

       1,080       1,061,061  

Madison Avenue Trust,
Series 2013-650M, Class E,
4.03%, 10/12/32 (b)(c)

       5,000       4,951,704  
      

 

 

 
                       42,449,574  

Total Non-Agency Mortgage-Backed Securities 27.6%

 

    197,385,855  

 

 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    23


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Preferred Securities                         
Capital Trusts           Par
(000)
    Value  

Banks — 4.2%

      

Banco Bilbao Vizcaya Argentaria SA, 8.88% (b)(j)

     USD       200     $ 233,172  

Banco Nacional de Comercio Exterior SNC, 3.80% (b)(c)

       583       555,307  

Banco Santander SA, 6.25% (b)(j)

       200       205,379  

Bank of Ireland, 7.38% (b)(j)

       200       221,945  

BNP Paribas SA, 7.20% (b)(c)(d)(j)

       4,000       4,335,000  

Capital One Financial Corp.,
Series E, 5.55% (b)(d)(j)

       3,500       3,569,580  

Citigroup, Inc. (b)(d)(j):

      

5.90%

       2,250       2,327,625  

5.95%

       3,700       3,763,825  

Series R, 6.13%

       1,170       1,229,085  

Cooperatieve Rabobank UA, 6.63% (b)(j)

       200       231,343  

DNB Bank ASA, Series ...., 6.50% (b)(j)

       200       205,754  

Fifth Third Bancorp, Series J, 4.90% (b)(d)(j)

       3,000       2,898,750  

Intesa Sanpaolo SpA, 7.00% (b)(j)

       234       247,235  

Wells Fargo & Co. (b)(d)(j):

      

Series S, 5.90%

       8,800       9,048,160  

Series U, 5.88%

       770       818,606  
      

 

 

 
                       29,890,766  

Capital Markets — 1.2%

      

Goldman Sachs Group, Inc.,
Series L, 5.70% (b)(d)(j)

       967       998,089  

Morgan Stanley, Series H, 5.45% (b)(d)(j)

       5,007       5,082,105  

State Street Corp., Series F, 5.25% (b)(d)(j)

       1,875       1,938,281  

UBS Group AG, 5.75% (b)(j)

       200       230,743  
      

 

 

 
                       8,249,218  

Chemicals — 0.0%

      

Lanxess AG, 4.50% (b)

       50       56,283  

Solvay Finance SA, 5.12% (b)(j)

       100       116,664  
      

 

 

 
                       172,947  

Diversified Financial Services — 5.6%

      

Bank of America Corp.(b)(d)(j):

      

Series AA, 6.10%

       2,865       2,986,763  

Series U, 5.20%

       1,750       1,717,188  

Series V, 5.13%

       705       705,881  

Series X, 6.25%

       6,175       6,446,700  

Bank of New York Mellon Corp.,
Series D, 4.50% (b)(d)(j)

       6,067       5,551,972  

Barclays PLC, 7.88% (b)(j)

       200       205,500  

HBOS Capital Funding LP, 6.85% (j)

       100       101,425  
Capital Trusts           Par
(000)
    Value  

Diversified Financial Services — (continued)

      

JPMorgan Chase & Co.:

      

Series Q, 5.15% (b)(d)(j)

     USD       5,500     $ 5,383,125  

Series V, 5.00% (b)(d)(j)

       3,830       3,834,787  

Macquarie Bank Ltd., 10.25% (b)

       10,000       10,237,380  

Royal Bank of Scotland Group PLC, 8.63% (b)(j)

       200       206,500  

Societe Generale SA (b)(c)(j):

      

6.00% (d)

       3,000       2,782,500  

7.38%

       200       200,370  
      

 

 

 
                       40,360,091  

Diversified Telecommunication Services — 0.1%

      

Telefonica Europe BV (b)(j):

      

3.75%

       100       106,061  

4.20%

       300       333,565  
      

 

 

 
                       439,626  

Electric Utilities — 1.0%

      

Electricite de France SA, 5.25% (b)(c)(d)(j)

       7,500       7,153,125  

Enel SpA (b):

      

6.50%

       102       118,505  

7.75%

       100       138,150  

Gas Natural Fenosa Finance BV, 4.13% (b)(j)

       100       109,569  
      

 

 

 
                       7,519,349  

Industrial Conglomerates — 0.9%

      

General Electric Co., Series D, 5.00% (b)(d)(j)

             5,921       6,157,840  

Insurance — 0.2%

      

Voya Financial, Inc., 5.65% (b)(d)

             1,090       1,095,450  

Oil, Gas & Consumable Fuels — 0.0%

      

DCP Midstream LLC, 5.85% (b)(c)

       50       44,875  

TOTAL SA, 3.88% (b)(j)

       100       113,622  
      

 

 

 
                       158,497  

Total Capital Trust 13.2%

                     94,043,784  

 

 

 

                
24    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Preferred Stocks           

Shares

    Value  

Banks — 0.3%

       

Citigroup, Inc., Series K, 6.88% (b)(j)

              75,000     $ 2,085,750  

Capital Markets — 1.9%

       

Goldman Sachs Group, Inc.,
Series J, 5.50% (b)(j)

        395,017       10,116,385  

Morgan Stanley, 6.88% (b)(j)

        100,000       2,754,000  

SCE Trust III, 5.75% (b)(j)

        23,730       620,777  
       

 

 

 
                        13,491,162  

Diversified Financial Services — 0.3%

       

Morgan Stanley, Series K, 5.85% (b)(j)

              89,329       2,243,945  

Real Estate Investment Trusts (REITs) — 1.9%

 

 

Firstar Realty LLC, 8.88% (c)(j)

        10,000       12,250,000  

SunTrust Real Estate Investment Corp.,
9.00% (c)(j)

        15       1,688,513  
       

 

 

 
                        13,938,513  

Total Preferred Stocks 4.4%

                      31,759,370  

Total Preferred Securities 17.6%

                      125,803,154  
Warrants — 0.0%           

Shares

    Value  

Diversified Financial Services — 0.0%

 

    

Aviron Capital LLC (Expires 10/27/17) (k)

 

     10        

Total Long-Term Investments

(Cost — $1,133,637,907) — 158.5%

 

 

           $ 1,133,036,707  
       
                           

Short-Term Securities

       

BlackRock Liquidity Funds, T-Fund,
Institutional Class, 0.40% (l)(m)

 

     3,838,673       3,838,673  

Total Short-Term Securities

(Cost — $3,838,673) 0.5%

 

 

             3,838,673  

Options Purchased

(Cost — $230,032) — 0.0%

 

 

             303,248  

Total Investments Before Options Written

(Cost — $1,137,706,612*) — 159.0%

 

 

             1,137,178,628  
Options Written
(Premiums Received —
$127,085) — (0.0)%
               (91,049

Total Investments, Net of Options Written

(Cost — $1,137,579,527) — 159.0%

 

 

       1,137,087,579  

Liabilities in Excess of Other Assets (59.0)%

 

    (422,108,332
       

 

 

 

Net Assets 100.0%

 

     $ 714,979,247  
       

 

 

 

 

*   As of January 31, 2017, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

   $ 1,123,032,253  
  

 

 

 

Gross unrealized appreciation

   $ 34,664,467  

Gross unrealized depreciation

     (20,518,092
  

 

 

 

Net unrealized appreciation

   $ 14,146,375  
  

 

 

 
 

 

Notes to Schedule of Investments

 

(a)   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.

 

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

 

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

 

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

 

(e)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(f)   Amount is less than $500.

 

(g)   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.

 

(h)   When-issued security.

 

(i)   Convertible security.

 

(j)   Perpetual security with no stated maturity date.

 

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

 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    25


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

 

(l)   During the period ended January 31, 2017, investments in issuers considered to be an affiliate 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,
2016
     Net
Activity
     Shares Held
at January 31,
2017
     Value
at January 31,
2017
     Income      Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     6,322,410        (2,483,737      3,838,673      $ 3,838,673      $ 2,688      $ 35         

 

(m)   Current yield as of period end.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to 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 adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

Reverse Repurchase Agreements

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

RBC Capital Markets, LLC

    1.00     5/02/16       Open     $ 464,800     $ 468,325     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/04/16       Open       120,085       120,989     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     5/04/16       Open       784,550       790,751     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/05/16       Open       638,000       642,750     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/05/16       Open       451,000       454,357     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     5/06/16       Open       813,400       819,131     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.75     5/09/16       Open       425,685       428,044     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     5/09/16       Open       379,500       382,164     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     5/09/16       Open       211,185       212,667     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     5/10/16       Open       270,400       272,298     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     5/10/16       Open       135,548       136,495     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     5/10/16       Open       562,238       566,169     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/10/16       Open       620,400       624,967     Corporate Bonds   Open/Demand

 

                
26    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

RBC Capital Markets, LLC

    1.00     5/16/16       Open     $ 1,747,655     $ 1,760,277     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/17/16       Open       595,875       600,357     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.90     5/24/16       Open       215,000       216,349     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/25/16       Open       346,768       349,195     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     5/25/16       Open       371,900       374,483     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     5/26/16       Open       236,931       238,595     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     6/01/16       Open       354,750       357,025     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.90     6/07/16       Open       63,550       63,930     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.90     6/07/16       Open       478,800       481,637     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     6/29/16       Open       170,150       171,171     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     7/07/16       Open       234,000       235,352     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     7/08/16       Open       181,770       182,749     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     7/13/16       Open       128,296       128,977     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     7/19/16       Open       342,336       344,115     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     8/02/16       Open       324,675       326,226     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     8/02/16       Open       2,140,789       2,151,672     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     8/19/16       Open       494,998       497,114     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     8/19/16       Open       971,800       976,173     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     8/19/16       Open       507,000       509,282     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     8/19/16       Open       312,405       313,811     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     8/19/16       Open       759,720       763,139     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.10     8/19/16       Open       1,020,305       1,025,356     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     9/13/16       Open       154,400       154,966     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     9/19/16       Open       476,138       477,924     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     9/29/16       Open       511,406       513,093     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/04/16       Open       105,210       105,540     Corporate Bonds   Open/Demand

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    27


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

Deutsche Bank Securities, Inc.

    1.10     10/07/16       Open     $ 853,230     $ 856,280     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.75     10/11/16       Open       43,593       43,693     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     10/13/16       Open       61,843       62,036     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/13/16       Open       172,480       172,993     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.10     10/14/16       Open       619,650       621,657     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16       Open       515,000       515,961     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16       Open       1,473,750       1,476,501     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16       Open       511,250       512,204     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16       Open       955,000       956,783     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16       Open       623,750       624,914     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16       Open       609,000       610,137     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16       Open       1,462,500       1,465,230     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16       Open       1,503,750       1,506,557     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16       Open       1,072,500       1,074,502     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16       Open       1,087,500       1,089,530     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16       Open       1,080,000       1,082,016     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16       Open       992,500       994,353     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16       Open       513,750       514,709     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/19/16       Open       950,000       951,740     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16       Open       436,838       438,175     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16       Open       415,188       416,459     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16       Open       270,570       271,399     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16       Open       383,625       384,800     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16       Open       605,625       607,480     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16       Open       1,461,250       1,465,725     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/19/16       Open       387,500       388,687     Corporate Bonds   Open/Demand

 

                
28    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

RBC Capital Markets, LLC

    0.64     10/20/16       Open     $ 304,500     $ 305,058     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       947,250       948,985     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       465,750       466,603     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       375,000       375,687     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       817,500       818,997     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       756,000       757,384     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       990,000       991,813     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       252,500       252,962     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       967,500       969,272     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       793,125       794,577     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       415,000       415,760     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       1,010,000       1,011,849     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       543,750       544,746     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       450,000       450,824     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       783,750       785,185     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       376,500       377,189     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       1,275,000       1,277,335     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       745,938       747,303     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       716,250       717,562     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       759,375       760,766     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       950,625       952,366     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       982,500       984,299     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       1,234,375       1,236,635     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       1,022,500       1,024,372     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       536,250       537,232     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       751,875       753,252     Corporate Bonds   Open/Demand

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    29


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

RBC Capital Markets, LLC

    0.64     10/20/16       Open     $ 503,750     $ 504,672     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       860,625       862,201     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       473,625       474,492     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       791,250       792,699     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       420,000       420,769     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       537,500       538,484     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       930,000       931,703     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       755,625       757,009     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       263,900       264,383     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/20/16       Open       1,030,000       1,031,886     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/20/16       Open       160,950       161,375     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.05     10/20/16       Open       249,120       249,868     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     10/21/16       Open       162,000       162,473     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/21/16       Open       874,650       877,055     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.64     10/25/16       Open       446,000       446,769     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/25/16       Open       480,700       481,930     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/25/16       Open       399,840       400,863     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/25/16       Open       364,000       364,932     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/25/16       Open       344,715       345,597     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     10/25/16       Open       423,300       424,384     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/25/16       Open       435,000       436,172     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/25/16       Open       394,050       395,112     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/25/16       Open       409,640       410,744     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/25/16       Open       360,500       361,471     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/25/16       Open       350,470       351,414     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/26/16       Open       1,569,048       1,573,232     Corporate Bonds   Open/Demand

 

                
30    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

RBC Capital Markets, LLC

    1.00     10/27/16       Open     $ 114,400     $ 114,696     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/27/16       Open       1,201,420       1,204,524     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     10/28/16       Open       132,525       132,864     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    0.95     11/03/16       Open       546,000       547,239     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     11/04/16       Open       358,620       359,424     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     11/07/16       Open       770,800       772,509     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     11/09/16       Open       675,000       676,709     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.15     11/10/16       Open       488,000       489,294     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.15     11/10/16       Open       482,000       483,278     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.15     11/10/16       Open       474,000       475,257     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.15     11/10/16       Open       538,000       539,426     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.15     11/10/16       Open       547,000       548,450     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.15     11/10/16       Open       587,000       588,556     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.15     11/10/16       Open       615,000       616,631     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.15     11/10/16       Open       479,000       480,270     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.15     11/10/16       Open       476,000       477,262     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.90     11/10/16       Open       528,885       529,916     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     11/10/16       Open       411,750       412,598     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     11/10/16       Open       871,080       872,967     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     11/10/16       Open       86,625       86,813     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.75     11/14/16       Open       212,245       212,585     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     11/14/16       Open       336,000       336,683     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     11/16/16       Open       849,920       852,018     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     11/16/16       Open       892,355       894,557     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.15     11/17/16       Open       932,000       934,263     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.15     11/17/16       Open       1,062,000       1,064,578     Corporate Bonds   Open/Demand

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    31


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

RBC Capital Markets, LLC

    1.00     11/18/16       Open     $ 183,888     $ 184,250     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    0.50     11/21/16       Open       1,452,500       1,451,068       Open/Demand

RBC Capital Markets, LLC

    0.64     11/22/16       Open       271,700       272,028     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     11/23/16       Open       757,000       758,699     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     11/23/16       Open       960,000       962,155     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     11/29/16       Open       180,600       180,895     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     11/30/16       Open       448,000       448,905     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     11/30/16       Open       725,000       726,465     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.75     12/07/16       Open       2,774,638       2,778,861     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/07/16       Open       744,625       746,007     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.00     12/07/16       Open       284,610       285,037     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.95     12/12/16       Open       312,960       313,373     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/14/16       Open       765,922       767,372     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    0.90     12/15/16       Open       1,350,000       1,351,586     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.00     12/15/16       Open       3,483,300       3,487,848     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.20     12/15/16       Open       4,606,250       4,613,466     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.25     12/15/16       Open       5,902,500       5,912,133     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.50     12/15/16       Open       240,938       241,409     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.50     12/15/16       Open       649,440       650,712     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.50     12/15/16       Open       766,838       768,339     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.50     12/15/16       Open       2,019,375       2,023,330     Capital Trusts   Open/Demand

Barclays Capital, Inc.

    1.50     12/15/16       Open       960,563       962,444     Capital Trusts   Open/Demand

Barclays Capital, Inc.

    1.50     12/15/16       Open       935,900       937,733     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.50     12/15/16       Open       2,788,266       2,793,727     Foreign Agency Obligations   Open/Demand

Credit Suisse Securities (USA) LLC

    1.50     12/15/16       Open       2,092,544       2,096,642     Foreign Agency Obligations   Open/Demand

Credit Suisse Securities (USA) LLC

    1.50     12/15/16       Open       385,263       386,017     Foreign Agency Obligations   Open/Demand

Credit Suisse Securities (USA) LLC

    1.50     12/15/16       Open       400,950       401,735     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/15/16       Open       71,000       71,126     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/15/16       Open       515,000       515,913     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.00     12/15/16       Open       2,753,000       2,756,594     Capital Trusts   Open/Demand

HSBC Securities (USA), Inc.

    1.00     12/15/16       Open       3,406,000       3,410,447     Corporate Bonds   Open/Demand

 

                
32    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

HSBC Securities (USA), Inc.

    1.30     12/15/16       Open     $ 1,203,000     $ 1,205,042     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     12/16/16       Open       5,018,750       5,024,884     Capital Trusts   Open/Demand

UBS Securities LLC

    1.00     12/16/16       Open       4,000,000       4,004,889     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.00     12/16/16       Open       6,928,125       6,936,593     Capital Trusts   Open/Demand

UBS Securities LLC

    1.00     12/16/16       Open       8,250,000       8,260,083     Capital Trusts   Open/Demand

UBS Securities LLC

    1.00     12/16/16       Open       5,287,500       5,293,963     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       124,000       124,189     Capital Trusts   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       9,612,500       9,627,186     Capital Trusts   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       4,771,613       4,778,902     Capital Trusts   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       1,035,450       1,037,032     Capital Trusts   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       1,549,125       1,551,492     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       637,050       638,023     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       734,700       735,822     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       537,225       538,046     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       853,875       855,180     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       435,256       435,921     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       286,750       287,188     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       1,051,986       1,053,593     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       695,400       696,462     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       19,910       19,940     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       471,170       471,890     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       4,050,000       4,056,188     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       4,090,000       4,096,249     Capital Trusts   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       2,493,750       2,497,560     Capital Trusts   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       4,048,875       4,055,061     Capital Trusts   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       3,062,500       3,067,179     Capital Trusts   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       3,438,950       3,444,204     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       3,209,750       3,214,654     Capital Trusts   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       2,553,750       2,557,652     Capital Trusts   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       706,160       707,239     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       92,055       92,196     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       752,188       753,337     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       217,273       217,604     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       326,630       327,129     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       1,163,661       1,165,439     Capital Trusts   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       808,860       810,096     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       432,150       432,810     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       544,635       545,467     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       418,500       419,139     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       1,866,150       1,869,001     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       2,141,703       2,144,975     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       836,455       837,733     Capital Trusts   Open/Demand

UBS Securities LLC

    1.25     12/16/16       Open       1,568,875       1,571,272     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.11     12/19/16       Open       7,730,000       7,740,249     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     12/19/16       Open       378,000       378,659     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     12/19/16       Open       214,000       214,373     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     12/19/16       Open       1,566,000       1,568,731     Corporate Bonds   Open/Demand

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    33


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

BNP Paribas Securities Corp.

    1.46     12/19/16       Open     $ 663,000     $ 664,156     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     12/19/16       Open       1,158,000       1,160,019     Corporate Bonds   Open/Demand

BNP Paribas Securities Corp.

    1.46     12/19/16       Open       727,000       728,268     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.00     12/19/16       Open       802,424       803,360     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.55     12/19/16       Open       532,988       533,951     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.55     12/19/16       Open       723,531       724,840     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     12/19/16       Open       496,600       497,217     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       212,875       213,223     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       316,725       317,255     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       488,000       488,816     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       276,920       277,383     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       817,225       818,592     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       208,250       208,598     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       187,790       188,104     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       1,293,750       1,295,913     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       319,800       320,335     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       426,720       427,434     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       82,250       82,388     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       47,450       47,529     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       445,050       445,794     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       126,325       126,536     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       432,450       433,173     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       125,400       125,610     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       242,875       243,281     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       258,000       258,431     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       58,500       58,598     Corporate Bonds   Open/Demand

 

                
34    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

RBC Capital Markets, LLC

    1.40     12/19/16       Open     $ 195,383     $ 195,709     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       306,175       306,687     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/19/16       Open       345,425       346,003     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     12/20/16       Open       2,430,000       2,432,977     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     12/20/16       Open       1,892,250       1,894,568     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     12/20/16       Open       1,742,000       1,744,134     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.05     12/20/16       Open       1,944,000       1,946,381     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       345,000       345,584     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       757,000       758,281     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       750,000       751,269     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       73,000       73,123     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       128,000       128,217     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       298,000       298,504     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       572,000       572,968     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,405,000       1,407,377     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,089,000       1,090,842     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       2,425,000       2,429,102     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,969,000       1,972,331     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       696,281       697,458     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       296,000       296,501     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       2,167,000       2,170,666     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       2,038,000       2,041,448     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       2,574,776       2,579,131     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,160,196       1,162,158     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       5,529,000       5,538,353     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       2,038,000       2,041,448     Corporate Bonds   Open/Demand

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    35


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open     $ 348,000     $ 348,589     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,564,000       1,566,646     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       2,297,000       2,300,886     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       2,018,000       2,021,414     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       97,000       97,164     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       795,000       796,345     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       206,000       206,348     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       548,000       548,927     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,496,000       1,498,531     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       2,534,625       2,538,913     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,820,000       1,823,079     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,433,250       1,435,675     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       293,000       293,496     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       431,393       432,123     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       585,000       585,990     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,036,395       1,038,148     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       531,090       531,988     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       484,000       484,799     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       549,000       549,929     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       554,835       555,774     Capital Trusts   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       1,439,000       1,441,434     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       386,019       386,672     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       351,844       352,439     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       2,479,699       2,483,894     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       618,750       619,797     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       228,165       228,551     Corporate Bonds   Open/Demand

 

                
36    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open     $ 626,106     $ 627,165     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       122,000       122,206     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       368,000       368,623     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       667,590       668,719     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       767,340       768,638     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       365,000       365,617     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       134,622       134,850     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       348,000       348,589     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       545,625       546,548     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       403,000       403,682     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       311,000       311,526     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     12/20/16       Open       366,000       366,619     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/20/16       Open       417,150       417,831     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/20/16       Open       443,625       444,350     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/20/16       Open       482,885       483,674     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/20/16       Open       439,450       440,168     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/20/16       Open       927,200       928,714     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/20/16       Open       432,820       433,527     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/20/16       Open       1,519,560       1,522,042     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/20/16       Open       442,900       443,623     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/20/16       Open       335,325       335,873     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/20/16       Open       408,250       408,917     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/20/16       Open       454,005       454,747     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/20/16       Open       645,150       646,204     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    0.25     12/21/16       Open       550,545       550,702     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     12/21/16       Open       518,475       519,089     Corporate Bonds   Open/Demand

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    37


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

RBC Capital Markets, LLC

    1.04     12/21/16       Open     $ 1,216,000     $ 1,217,440     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     12/21/16       Open       2,187,000       2,189,590     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     12/21/16       Open       1,405,920       1,407,585     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.15     12/21/16       Open       481,000       481,630     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       607,050       608,018     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       741,400       742,582     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       327,000       327,521     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       460,350       461,084     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       342,100       342,645     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       930,315       931,798     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       694,875       695,983     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       930,388       931,871     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       528,598       529,440     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       662,025       663,081     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       526,050       526,889     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       386,100       386,716     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       593,175       594,121     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       736,000       737,174     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       638,400       639,418     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       232,313       232,683     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       106,600       106,770     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       351,750       352,311     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       378,750       379,354     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     12/21/16       Open       312,375       312,873     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     12/22/16       Open       452,585       453,151     Corporate Bonds   Open/Demand

Morgan Stanley & Co. LLC

    1.77     1/03/17       2/02/17       4,111,563       4,117,435     Asset-Backed Securities   Up to 30 Days

 

                
38    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

BNP Paribas Securities Corp.

    1.77     1/03/17       2/03/17     $ 1,073,000     $ 1,074,424     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.77     1/03/17       2/03/17       827,000       828,098     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.77     1/03/17       2/03/17       824,000       825,094     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.77     1/03/17       2/03/17       1,116,000       1,117,481     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.77     1/03/17       2/03/17       827,000       828,098     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.92     1/03/17       2/03/17       797,000       798,148     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.92     1/03/17       2/03/17       809,000       810,165     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.92     1/03/17       2/03/17       1,352,000       1,353,947     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.92     1/03/17       2/03/17       781,000       782,125     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.92     1/03/17       2/03/17       983,000       984,416     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.92     1/03/17       2/03/17       1,612,000       1,614,321     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.92     1/03/17       2/03/17       998,000       999,437     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.92     1/03/17       2/03/17       794,000       795,143     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.92     1/03/17       2/03/17       807,000       808,162     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.92     1/03/17       2/03/17       1,010,000       1,011,454     Asset-Backed Securities   Up to 30 Days

BNP Paribas Securities Corp.

    1.92     1/03/17       2/03/17       798,000       799,149     Asset-Backed Securities   Up to 30 Days

Barclays Capital, Inc.

    2.27     1/03/17       2/06/17       7,629,697       7,642,705     Corporate Bonds   Open/Demand

JPMorgan Securities LLC

    2.12     1/05/17       2/03/17       2,677,000       2,681,090     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.50     1/06/17       Open       5,470,993       5,476,236     Foreign Agency Obligations   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/06/17       Open       1,242,000       1,243,151     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/06/17       Open       730,000       730,676     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/06/17       Open       718,000       718,665     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       463,750       464,058     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       382,193       382,446     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       440,000       440,292     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       267,000       267,177     Corporate Bonds   Open/Demand

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    39


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

RBC Capital Markets, LLC

    1.04     1/06/17       Open     $ 357,825     $ 358,063     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       353,350       353,585     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       729,375       729,860     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       290,625       290,818     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       300,800       301,000     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       442,500       442,794     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       287,250       287,441     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       482,500       482,821     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       508,750       509,088     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       503,750       504,085     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       240,625       240,785     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       644,000       644,428     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       411,000       411,273     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       1,017,500       1,018,176     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/06/17       Open       253,125       253,293     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/06/17       Open       250,965       251,189     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/09/17       Open       44,000       44,041     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/09/17       Open       764,660       765,284     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/10/17       Open       170,000       170,137     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.00     1/11/17       Open       517,000       516,713       Open/Demand

UBS Securities LLC

    1.25     1/11/17       Open       677,740       678,187     Corporate Bonds   Open/Demand

Citigroup Global Markets

    0.25     1/12/17       Open       1,213,600       1,213,431     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/12/17       Open       164,640       164,736     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/13/17       Open       811,440       811,882     Corporate Bonds   Open/Demand

JPMorgan Securities LLC

    1.00     1/17/17       2/01/17       4,735,000       4,736,841     Non-Agency Mortgage-Backed Securities   Up to 30 Days

 

                
40    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

RBC Capital Markets, LLC

    1.40     1/17/17       Open     $ 673,200     $ 673,593     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/17/17       Open       670,320       670,711     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/17/17       Open       1,733,888       1,734,899     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/17/17       Open       502,848       503,141     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/18/17       Open       537,600       537,893     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/18/17       Open       1,449,000       1,449,789     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/18/17       Open       693,504       693,882     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/18/17       Open       687,608       687,982     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/18/17       Open       1,288,064       1,288,765     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/18/17       Open       819,400       819,846     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/18/17       Open       653,808       654,164     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/18/17       Open       1,575,040       1,575,898     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/18/17       Open       736,800       737,144     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/19/17       Open       410,000       410,149     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/20/17       Open       174,000       174,056     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/20/17       Open       403,760       403,948     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/20/17       Open       2,396,192       2,397,310     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/20/17       Open       955,296       955,742     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/20/17       Open       888,216       888,631     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/20/17       Open       441,840       442,046     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/20/17       Open       358,904       359,071     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/20/17       Open       361,088       361,257     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/20/17       Open       475,992       476,214     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/20/17       Open       434,248       434,451     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/20/17       Open       412,824       412,952     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/20/17       Open       1,432,088       1,432,534     Corporate Bonds   Open/Demand

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    41


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (continued)

 

                     
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral  

Remaining
Contractual Maturity

of the Agreements1

UBS Securities LLC

    1.25     1/20/17       Open     $ 3,779,063     $ 3,780,112     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     1/20/17       Open       324,809       324,998     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/23/17       Open       569,080       569,235     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/23/17       Open       238,850       238,924     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.05     1/23/17       Open       325,800       325,867     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/24/17       Open       538,328       538,458     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     1/24/17       Open       296,843       296,904     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     1/24/17       Open       277,038       277,095     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/25/17       Open       211,200       211,241     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/26/17       Open       43,522       43,525     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/26/17       Open       885,366       885,437     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/26/17       Open       685,438       685,493     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    1.25     1/26/17       Open       270,000       270,019     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     1/26/17       Open       1,263,244       1,263,331     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/27/17       Open       495,000       495,020     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/27/17       Open       17,200       17,201     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/27/17       Open       328,700       328,713     Corporate Bonds   Open/Demand

UBS Securities LLC

    1.25     1/27/17       Open       363,715       363,728     Corporate Bonds   Open/Demand

Deutsche Bank Securities, Inc.

    1.45     1/30/17       Open       974,630       974,630     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.04     1/30/17       Open       189,654       189,654     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/30/17       Open       286,440       286,440     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/30/17       Open       167,232       167,232     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/30/17       Open       323,840       323,840     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/30/17       Open       927,350       927,422     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/30/17       Open       201,300       201,316     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/30/17       Open       202,230       202,246     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/30/17       Open       336,550       336,576     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/30/17       Open       404,513       404,544     Corporate Bonds   Open/Demand

RBC Capital Markets, LLC

    1.40     1/30/17       Open       221,650       221,667     Corporate Bonds   Open/Demand

 

                
42    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Reverse Repurchase Agreements (concluded)

 

                         
Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
    Type of Non-Cash Underlying  Collateral    

Remaining
Contractual Maturity

of the Agreements1

 

RBC Capital Markets, LLC

    1.40     1/30/17       Open     $ 399,500     $ 399,531       Corporate Bonds       Open/Demand  

RBC Capital Markets, LLC

    1.40     1/30/17       Open       198,600       198,615       Corporate Bonds       Open/Demand  

RBC Capital Markets, LLC

    1.40     1/30/17       Open       107,085       107,093       Corporate Bonds       Open/Demand  

RBC Capital Markets, LLC

    1.40     1/30/17       Open       2,391,450       2,391,636       Corporate Bonds       Open/Demand  

RBC Capital Markets, LLC

    1.40     1/30/17       Open       305,440       305,464       Corporate Bonds       Open/Demand  

RBC Capital Markets, LLC

    1.40     1/30/17       Open       118,990       118,999       Corporate Bonds       Open/Demand  

RBC Capital Markets, LLC

    1.40     1/30/17       Open       184,110       184,124       Corporate Bonds       Open/Demand  

RBC Capital Markets, LLC

    1.40     1/30/17       Open       270,825       270,846       Corporate Bonds       Open/Demand  

RBC Capital Markets, LLC

    1.40     1/30/17       Open       331,403       331,428       Corporate Bonds       Open/Demand  

Barclays Capital, Inc.

    2.25     1/31/17       Open       390,000       390,000       Corporate Bonds       Open/Demand  

Deutsche Bank Securities, Inc.

    1.40     1/31/17       Open       1,595,000       1,595,000       Corporate Bonds       Open/Demand  

Deutsche Bank Securities, Inc.

    1.45     1/31/17       Open       1,595,000       1,595,000       Corporate Bonds       Open/Demand  

RBC Capital Markets, LLC

    1.40     1/31/17       Open       191,774       191,774       Corporate Bonds       Open/Demand  

Total

 

  $ 432,604,278     $ 433,313,573      
       

 

 

     

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

    

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts

 

       
Contracts
Long (Short)
       Issue   Expiration     Notional Value     Unrealized
Appreciation
(Depreciation)
 
  (41      2-Year U.S. Treasury Note     March 2017     $ 8,888,672     $ (13,719
  (1      5-Year U.S. Treasury Note     March 2017     $ 117,867       (88
  (41      10-Year U.S. Treasury Note     March 2017     $ 5,103,219       (12,025
  (40      Euro BOBL     March 2017     $ 5,740,348       14,529  
  (17      Euro Bund Futures     March 2017     $ 2,975,328       7,327  
  (77      Long U.S. Treasury Bond     March 2017     $ 11,614,969       71,912  
  (95      Ultra U.S. Treasury Bond     March 2017     $ 15,265,312       131,008  
  26        90 Day Euro Future     December 2017     $ 6,402,500       8,090  
  (56      90 Day Euro Future     September 2018     $ 13,740,300       1,674  
  (26)        90 Day Euro Future     December 2018     $ 6,371,625       (11,085
 

Total

    $ 197,623  
          

 

 

 

 

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    43


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
       Currency
Sold
     Counterparty   Settlement
Date
       Unrealized
Appreciation
(Depreciation)
 
BRL     2,289,750        USD        710,000      Goldman Sachs International     2/01/17        $ 16,651  
BRL     2,042,590        USD        652,251      Goldman Sachs International     2/01/17          (4,036
BRL     1,042,530        USD        310,000      Goldman Sachs International     2/01/17          20,846  
BRL     1,047,800        USD        310,000      Morgan Stanley & Co. International PLC     2/01/17          22,519  
BRL     1,124,143        USD        358,968      Royal Bank of Scotland PLC     2/01/17          (2,221
BRL     1,407,560        USD        449,470      Royal Bank of Scotland PLC     2/01/17          (2,781
BRL     1,393,304        USD        440,000      Royal Bank of Scotland PLC     2/01/17          2,164  
BRL     1,149,668        USD        367,118      UBS AG     2/01/17          (2,272
USD     620,000        BRL        2,042,590      Goldman Sachs International     2/01/17          (28,215
USD     332,907        BRL        1,042,530      Goldman Sachs International     2/01/17          2,060  
USD     731,176        BRL        2,289,750      Goldman Sachs International     2/01/17          4,525  
USD     334,589        BRL        1,047,800      Morgan Stanley & Co. International PLC     2/01/17          2,071  
USD     440,000        BRL        1,407,560      Royal Bank of Scotland PLC     2/01/17          (6,688
USD     355,000        BRL        1,124,143      Royal Bank of Scotland PLC     2/01/17          (1,746
USD     444,918        BRL        1,393,304      Royal Bank of Scotland PLC     2/01/17          2,753  
USD     355,000        BRL        1,149,668      UBS AG     2/01/17          (9,846
USD     232,733        TRY        877,465      Goldman Sachs International     2/01/17          178  
USD     355,941        TRY        1,341,992      Goldman Sachs International     2/01/17          273  
USD     446,638        TRY        1,683,944      Goldman Sachs International     2/01/17          341  
USD     331,240        TRY        1,250,598      Goldman Sachs International     2/01/17          (206
BRL     2,289,436        USD        732,151      Goldman Sachs International     2/02/17          (5,600
BRL     2,255,616        USD        712,000      Royal Bank of Scotland PLC     2/02/17          3,819  
USD     712,000        BRL        2,289,436      Goldman Sachs International     2/02/17          (14,551
USD     721,335        BRL        2,255,616      Royal Bank of Scotland PLC     2/02/17          5,517  
EUR     2,830,000        USD        3,019,822      Citibank N.A.     2/03/17          35,263  
EUR     13,488,000        USD        14,392,708      Citibank N.A.     2/03/17          168,067  
GBP     21,362,000        USD        26,722,559      Citibank N.A.     2/03/17          151,219  
GBP     1,373,000        USD        1,717,539      Citibank N.A.     2/03/17          9,719  
GBP     10,400,000        USD        12,785,458      Northern Trust Co.     2/03/17          297,927  
MXN     12,802,911        USD        680,000      Citibank N.A.     2/03/17          (66,140
MXN     15,859,891        USD        765,686      Citibank N.A.     2/03/17          (5,254
MXN     115,415,612        USD        5,574,314      JPMorgan Chase Bank N.A.     2/03/17          (40,494
USD     928,876        EUR        880,778      Bank of America N.A.     2/03/17          (21,955
USD     2,962,175        EUR        2,830,000      Citibank N.A.     2/03/17          (92,910
USD     14,117,957        EUR        13,488,000      Citibank N.A.     2/03/17          (442,817
USD     981,617        EUR        930,774      Northern Trust Co.     2/03/17          (23,187
USD     26,188,530        GBP        21,362,000      Citibank N.A.     2/03/17          (685,248
USD     1,683,216        GBP        1,373,000      Citibank N.A.     2/03/17          (44,043
USD     714,633        GBP        585,000      Royal Bank of Scotland PLC     2/03/17          (21,307
USD     1,690,000        MXN        34,624,816      Citibank N.A.     2/03/17          29,847  
USD     376,911        MXN        7,731,714      Goldman Sachs International     2/03/17          6,199  
USD     1,020,000        MXN        18,744,989      HSBC Bank PLC     2/03/17          121,236  
USD     4,310,000        MXN        82,976,896      JPMorgan Chase Bank N.A.     2/03/17          331,515  
EUR     208,290        USD        218,750      Citibank N.A.     2/06/17          6,128  
TRY     2,278,228        USD        610,000      BNP Paribas S.A.     2/06/17          (7,045
USD     646,004        CNH        4,549,496      HSBC Bank PLC     2/06/17          (20,378
USD     232,137        EUR        208,290      Morgan Stanley & Co. International PLC     2/06/17          7,258  
USD     528,667        TRY        1,926,858      BNP Paribas S.A.     2/06/17          18,705  
USD     81,333        TRY        296,440      JPMorgan Chase Bank N.A.     2/06/17          2,878  

 

                
44    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency
Purchased
       Currency
Sold
     Counterparty   Settlement
Date
       Unrealized
Appreciation
(Depreciation)
 
BRL     4,074,083        USD     1,173,546      Goldman Sachs International     2/07/17        $ 117,533  
MXN     7,044,188        USD     340,000      Deutsche Bank AG     2/07/17          (2,441
MXN     12,999,405        USD     610,000      Goldman Sachs International     2/07/17          12,934  
MXN     7,055,680        USD     340,000      UBS AG     2/07/17          (1,891
USD     383,373        BRL     1,279,891      Goldman Sachs International     2/07/17          (22,225
USD     2,191,982        BRL     7,212,717      State Street Bank and Trust Co.     2/07/17          (93,732
USD     610,000        MXN     12,988,425      Goldman Sachs International     2/07/17          (12,408
USD     680,000        MXN     13,997,120      Goldman Sachs International     2/07/17          9,255  
GBP     408,000        USD     503,046      Bank of America N.A.     2/09/17          10,271  
MXN     2,629,345        USD     121,500      BNP Paribas S.A.     2/09/17          4,464  
MXN     5,856,570        USD     270,000      Citibank N.A.     2/09/17          10,570  
MXN     3,220,692        USD     148,500      Deutsche Bank AG     2/09/17          5,793  
USD     502,179        GBP     408,000      Citibank N.A.     2/09/17          (11,138
USD     540,000        KRW     640,170,000      Nomura International PLC     2/09/17          (15,896
USD     201,872        MXN     4,371,450      Deutsche Bank AG     2/09/17          (7,551
USD     628        MXN     13,570      Goldman Sachs International     2/09/17          (22
USD     337,500        MXN     7,294,418      JPMorgan Chase Bank N.A.     2/09/17          (11,952
ZAR     186,603        USD     13,654      BNP Paribas S.A.     2/09/17          178  
ZAR     4,847,840        USD     355,000      Citibank N.A.     2/09/17          4,343  
ZAR     4,666,680        USD     341,346      Deutsche Bank AG     2/09/17          4,568  
JPY     47,458,853        USD     410,000      HSBC Bank PLC     2/10/17          10,402  
MXN     10,177,680        USD     480,000      Goldman Sachs International     2/13/17          7,300  
RUB     140,940,485        USD     2,338,000      JPMorgan Chase Bank N.A.     2/13/17          2,327  
TWD     26,796,000        USD     840,000      Standard Chartered Bank     2/13/17          20,738  
USD     654,509        EUR     620,000      Morgan Stanley & Co. International PLC     2/13/17          (15,038
USD     480,000        MXN     10,451,760      Goldman Sachs International     2/13/17          (20,423
USD     2,338,000        RUB     141,823,080      Deutsche Bank AG     2/13/17          (16,982
USD     440,000        TWD     13,860,000      Nomura International PLC     2/13/17          (5,209
USD     400,000        TWD     12,598,000      Nomura International PLC     2/13/17          (4,671
EUR     111,546        USD     121,995      BNP Paribas S.A.     2/14/17          (1,531
EUR     296,662        USD     319,330      Citibank N.A.     2/14/17          1,051  
EUR     19,642        USD     21,190      Goldman Sachs International     2/14/17          22  
EUR     54,413        USD     57,730      Goldman Sachs International     2/14/17          1,034  
EUR     201,163        USD     216,632      UBS AG     2/14/17          615  
EUR     101,057        USD     108,827      UBS AG     2/14/17          309  
EUR     2,155        USD     2,298      UBS AG     2/14/17          29  
MXN     6,342,183        USD     300,000      Citibank N.A.     2/14/17          3,615  
MXN     618,599        USD     29,250      Citibank N.A.     2/14/17          364  
MXN     2,557,807        USD     120,750      HSBC Bank PLC     2/14/17          1,698  
USD     31,611        ARS     501,028      BNP Paribas S.A.     2/14/17          284  
USD     218,821        EUR     208,290      Citibank N.A.     2/14/17          (6,123
USD     1,373,810        EUR     1,238,439      Citibank N.A.     2/14/17          36,352  
USD     439,094        EUR     417,951      HSBC Bank PLC     2/14/17          (12,273
USD     298,714        EUR     269,171      Morgan Stanley & Co. International PLC     2/14/17          8,022  
USD     31,611        ARS     521,575      BNP Paribas S.A.     2/15/17          (984
ARS     275,570        USD     16,611      BNP Paribas S.A.     2/17/17          593  
CAD     1,883,053        GBP     1,150,000      Bank of America N.A.     2/17/17          263  
CAD     1,173,674        GBP     725,000      Deutsche Bank AG     2/17/17          (10,186
GBP     1,875,000        CAD     3,070,328      Citibank N.A.     2/17/17          (531
GBP     187,569        USD     231,274      Goldman Sachs International     2/17/17          4,746  
INR     28,571,424        USD     418,200      Deutsche Bank AG     2/17/17          4,417  

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    45


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency
Purchased
       Currency
Sold
     Counterparty   Settlement
Date
       Unrealized
Appreciation
(Depreciation)
 
JPY     31,151,285        USD     268,000      HSBC Bank PLC     2/17/17        $ 8,000  
TWD     19,659,654        USD     630,000      JPMorgan Chase Bank N.A.     2/17/17          1,602  
USD     31,611        ARS     535,800      Citibank N.A.     2/17/17          (1,839
USD     224,969        GBP     184,843      Citibank N.A.     2/17/17          (7,622
USD     3,396        GBP     2,726      Deutsche Bank AG     2/17/17          (34
USD     418,200        INR     28,598,607      Nomura International PLC     2/17/17          (4,819
USD     429,000        KRW     516,614,670      Nomura International PLC     2/17/17          (19,628
USD     630,000        TWD     20,204,100      Standard Chartered Bank     2/17/17          (19,093
USD     275,515        ZAR     3,765,749      Citibank N.A.     2/17/17          (3,222
USD     343,938        ZAR     4,676,559      Deutsche Bank AG     2/17/17          (2,216
USD     91,485        ZAR     1,250,449      Goldman Sachs International     2/17/17          (1,072
USD     8,805        ZAR     119,591      Goldman Sachs International     2/17/17          (47
USD     13,758        ZAR     186,855      JPMorgan Chase Bank N.A.     2/17/17          (73
USD     366,500        ZAR     5,012,318      Royal Bank of Scotland PLC     2/17/17          (4,507
ZAR     9,563,952        USD     690,000      BNP Paribas S.A.     2/17/17          17,914  
ZAR     4,806,445        USD     355,000      BNP Paribas S.A.     2/17/17          768  
ZAR     744,419        USD     55,000      Goldman Sachs International     2/17/17          101  
ARS     181,170        USD     11,000      BNP Paribas S.A.     2/21/17          287  
ARS     247,050        USD     15,000      JPMorgan Chase Bank N.A.     2/21/17          391  
TRY     15,102,000        USD     3,956,718      Citibank N.A.     2/21/17          23,691  
TRY     15,102,000        USD     3,948,751      Royal Bank of Scotland PLC     2/21/17          31,658  
USD     5,319,816        TRY     20,255,998      Goldman Sachs International     2/21/17          (19,024
EUR     1,229,000        RUB     78,877,220      BNP Paribas S.A.     2/22/17          19,106  
RUB     79,454,850        EUR     1,229,000      Societe Generale     2/22/17          (9,523
CAD     586,769        USD     450,000      Deutsche Bank AG     2/24/17          1,026  
TRY     15,102,000        USD     3,984,697      Citibank N.A.     2/24/17          (7,561
USD     450,000        CAD     596,852      HSBC Bank PLC     2/24/17          (8,775
USD     3,872,804        TRY     15,102,000      Royal Bank of Scotland PLC     2/24/17          (104,331
TRY     1,254,491        USD     330,000      Goldman Sachs International     2/27/17          101  
USD     215,000        CLP     140,556,250      BNP Paribas S.A.     2/27/17          (1,336
USD     437,000        CLP     285,723,710      Citibank N.A.     2/27/17          (2,769
BRL     1,132,752        USD     355,000      Royal Bank of Scotland PLC     3/02/17          1,924  
USD     440,000        BRL     1,403,974      Royal Bank of Scotland PLC     3/02/17          (2,385
USD     712,000        BRL     2,271,885      Royal Bank of Scotland PLC     3/02/17          (3,859
GBP     10,400,000        USD     12,706,210      Citibank N.A.     3/03/17          383,726  
USD     986,560        EUR     930,774      Citibank N.A.     3/03/17          (19,300
USD     933,567        EUR     880,778      Citibank N.A.     3/03/17          (18,263
USD     14,407,747        EUR     13,488,000      Citibank N.A.     3/03/17          (168,334
USD     3,022,978        EUR     2,830,000      Citibank N.A.     3/03/17          (35,319
USD     714,724        GBP     585,000      Citibank N.A.     3/03/17          (21,585
USD     1,718,371        GBP     1,373,000      Citibank N.A.     3/03/17          (9,752
USD     26,735,504        GBP     21,362,000      Citibank N.A.     3/03/17          (151,728
USD     117,340        GBP     93,000      Deutsche Bank AG     3/03/17          286  
USD     646,004        CNH     4,451,398      HSBC Bank PLC     3/06/17          (3,164
TRY     1,075,476        USD     285,833      BNP Paribas S.A.     3/10/17          (3,683
TRY     767,856        USD     204,167      Goldman Sachs International     3/10/17          (2,720
USD     490,000        TRY     1,853,278      BNP Paribas S.A.     3/10/17          3,793  
USD     235,491        MXN     5,063,997      JPMorgan Chase Bank N.A.     3/23/17          (5,641
ARS     325,260        USD     19,500      BNP Paribas S.A.     3/29/17          442  
USD     19,500        ARS     333,060      BNP Paribas S.A.     3/29/17          (920
MXN     6,591,155        USD     300,000      Goldman Sachs International     4/06/17          13,213  
MXN     6,445,174        USD     300,000      Goldman Sachs International     4/06/17          6,276  
USD     300,000        MXN     6,388,500      Goldman Sachs International     4/06/17          (3,583

 

                
46    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Forward Foreign Currency Exchange Contracts (concluded)

 

Currency
Purchased
       Currency
Sold
     Counterparty   Settlement
Date
       Unrealized
Appreciation
(Depreciation)
 
USD     2,816,406        PLN      11,674,283      BNP Paribas S.A.     4/11/17        $ (95,774
USD     1,107,609        PLN      4,632,093      HSBC Bank PLC     4/11/17          (47,878
USD     3,900        ARS      66,885      Citibank N.A.     4/12/17          (174
USD     22,100        ARS      379,899      Citibank N.A.     4/12/17          (1,041
USD     979,532        RUB      59,242,124      Credit Suisse International     4/18/17          9,921  
USD     347,071        RUB      21,122,724      Credit Suisse International     4/18/17          1,357  
USD     476,978        RUB      29,160,033      Credit Suisse International     4/18/17          (282
USD     476,393        RUB      29,160,033      Credit Suisse International     4/18/17          (867
USD     442,784        RUB      26,774,049      HSBC Bank PLC     4/18/17          4,575  
USD     356,050        RUB      21,457,363      Morgan Stanley & Co. International PLC     4/18/17          4,859  
TRY     15,102,000        USD      3,745,350      Royal Bank of Scotland PLC     6/19/17          110,945  
TRY     15,102,000        USD      3,752,423      Royal Bank of Scotland PLC     6/19/17          103,872  
USD     3,834,649        TRY      15,102,000      Citibank N.A.     6/19/17          (21,645
USD     3,828,913        TRY      15,102,000      Royal Bank of Scotland PLC     6/19/17          (27,382
USD     3,852,944        TRY      15,102,000      Citibank N.A.     6/28/17          5,895  
USD     362,400        ARS      6,468,840      BNP Paribas S.A.     7/28/17          (11,453
Total             $ (386,873
                   

 

 

 

 

OTC Options Purchased

 

                           
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Notional
Amount
(000)
    Value  

USD Currency

  Call   Morgan Stanley & Co. International PLC     02/17/17     BRL     3.50     USD     890     $ 31  

USD Currency

  Call   Citibank N.A.     02/22/17     CAD     1.36     USD     1,386       762  

USD Currency

  Call   Morgan Stanley & Co. International PLC     03/02/17     BRL     3.40     USD     670       1,355  

USD Currency

  Call   JPMorgan Chase Bank N.A.     03/03/17     TRY     3.65     USD     890       41,316  

USD Currency

  Call   HSBC Bank PLC     03/10/17     CNH     6.92     USD     820       4,146  

USD Currency

  Call   HSBC Bank PLC     03/15/17     KRW     1,185.00     USD     820       4,993  

USD Currency

  Call   HSBC Bank PLC     03/15/17     KRW     1,230.00     USD     616       939  

USD Currency

  Call   JPMorgan Chase Bank N.A.     03/23/17     TWD     32.15     USD     1,513       5,350  

USD Currency

  Call   Goldman Sachs International     04/04/17     MXN     21.45     USD     1,040       20,870  

USD Currency

  Put   Morgan Stanley & Co. International PLC     02/14/17     BRL     3.34     USD     1,050       60,569  

USD Currency

  Put   JPMorgan Chase Bank N.A.     02/17/17     BRL     3.37     USD     890       58,412  

USD Currency

  Put   Goldman Sachs International     02/21/17     BRL     3.35     USD     870       52,643  

USD Currency

  Put   Deutsche Bank AG     03/02/17     BRL     3.20     USD     670       14,409  

USD Currency

  Put   Goldman Sachs International     03/16/17     BRL     3.15     USD     740       10,793  

USD Currency

  Put   JPMorgan Chase Bank N.A.     03/24/17     TRY     3.80     USD     595       10,938  

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    47


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

OTC Options Purchased (concluded)

 

Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Notional
Amount
(000)
    Value  

AUD Currency

  Put   JPMorgan Chase Bank N.A.     03/30/17     JPY     85.00     AUD     1,110     $ 15,722  

Total

    $ 303,248  
               

 

 

 

OTC Options Written

 

Description   Put/
Call
    Counterparty     Expiration
Date
    Strike
Price
    Notional
Amount
(000)
    Value  

USD Currency

    Call       JPMorgan Chase Bank N.A.       02/17/17       BRL       3.50       USD       890     $ (30

USD Currency

    Call       Morgan Stanley & Co. International PLC       02/24/17       BRL       3.15       USD       601       (11,050

USD Currency

    Call       Deutsche Bank AG       03/02/17       BRL       3.40       USD       670       (1,299

USD Currency

    Call       JPMorgan Chase Bank N.A.       03/03/17       TRY       3.90       USD       890       (9,855

USD Currency

    Call       HSBC Bank PLC       03/10/17       CNH       7.03       USD       1,511       (3,353

USD Currency

    Call       HSBC Bank PLC       03/15/17       KRW       1,230.00       USD       1,260       (1,928

USD Currency

    Call       JPMorgan Chase Bank N.A.       03/23/17       TWD       33.50       USD       1,513       (711

USD Currency

    Call       Goldman Sachs International       07/03/17       MXN       22.60       USD       740       (16,211

USD Currency

    Put       Morgan Stanley & Co. International PLC       02/14/17       BRL       3.18       USD       1,570       (23,456

USD Currency

    Put       Goldman Sachs International       02/21/17       BRL       3.15       USD       1,310       (15,319

USD Currency

    Put       Morgan Stanley & Co. International PLC       02/24/17       BRL       3.15       USD       601       (6,520

USD Currency

    Put       JPMorgan Chase Bank N.A.       03/24/17       TRY       3.55       USD       595       (1,317

Total

                $ (91,049
               

 

 

 

Centrally Cleared Credit Default Swaps — Buy Protection

 

Issuer / Index   Pay
Fixed
Rate
    Expiration
Date
  Notional
Amount
(000)
    Unrealized
Depreciation
 

Markit CDX North America Investment Grade Index, Series 27, Version 1

    1.00   12/20/21   USD     8,929     $ (35,017

Centrally Cleared Interest Rate Swaps

 

Fixed
Rate
     Floating
Rate
     Effective
Date
     Expiration
Date
     Notional
Amount
(000)
    Unrealized
Appreciation
(Depreciation)
        
7.36%1      1-Month MXIBTIIE      1/30/17      1/28/19        MXN      111,632     $ (10,974  
1.50%1      1-Month MXIBTIIE      2/02/17      2/02/19        USD          8,000       (1,761  
2.01%1      1-Month MXIBTIIE      2/02/17      2/02/22        USD        15,000       (24,449  
2.13%2      3-Month LIBOR      8/25/15      8/25/25        USD             110       (1,252  
2.27%1      3-Month LIBOR      9/11/15      9/11/25        USD               68       27    
1.46%1      3-Month LIBOR      6/28/16      6/28/26        USD          1,427       106,164    
1.46%1      3-Month LIBOR      6/28/16      6/28/26        USD             357       26,520    

 

                
48    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

Centrally Cleared Interest Rate Swaps (concluded)

 

Fixed Rate      Floating
Rate
     Effective
Date
     Expiration
Date
       Notional
Amount
(000)
    Unrealized
Appreciation
(Depreciation)
        
2.47%1      3-Month LIBOR      12/29/16        12/29/26          USD        10,000     $ (113,223  
8.18%2      1-Month MXIBTIIE      1/12/17        12/31/26          MXN        21,570       23,601    
8.18%2      1-Month MXIBTIIE      1/12/17        12/31/26          MXN        18,128       19,866    
3.03%2      6-Month WIBOR      1/11/17        1/11/27          PLN           3,223       3,995    
3.03%2      6-Month WIBOR      1/11/17        1/11/27          PLN           2,910       3,576    
3.03%2      6-Month WIBOR      1/12/17        1/12/27          PLN           1,775       2,284    
2.26%1      3-Month LIBOR      1/13/17        1/13/27          USD             550       4,678    
2.27%1      3-Month LIBOR      1/13/17        1/13/27          USD             230       1,747    
2.27%1      3-Month LIBOR      1/13/17        1/13/27          USD             700       5,221    
2.28%1      3-Month LIBOR      1/13/17        1/13/27          USD               80       531    
2.25%1      3-Month LIBOR      1/19/17        1/19/27          USD          3,400       31,846    
2.68%1      3-Month LIBOR      2/02/17        2/02/47          USD          8,750       (106,628        
Total                       $ (28,231  
                     

 

 

   

 

  1  

Trust pays the fixed rate and receives the floating rate.

  2   

Trust pays the floating rate and receives the fixed rate.

OTC Credit Default Swaps — Buy Protection

 

Issuer/Index   Pay Fixed Rate     Counterparty   Expiration
Date
  Notional
Amount
(000)
    Value     Premiums
Paid
(Received)
    Unrealized
Depreciation
 

United Mexican States

    1.00   Citibank N.A.   6/20/20     USD       604     $ 3,096     $ 4,005     $ (909

United Mexican States

    1.00   Bank of America N.A.   9/20/20     USD       604       4,752       5,567       (815

Federation of Russia

    1.00   Bank of America N.A.   12/20/21     USD       245       8,491       14,141       (5,650

Federation of Russia

    1.00   Bank of America N.A.   12/20/21     USD       610       21,142       35,208       (14,066

Federation of Russia

    1.00   Bank of America N.A.   12/20/21     USD       610       21,142       35,208       (14,066

Federation of Russia

    1.00   Bank of America N.A.   12/20/21     USD       245       8,491       14,141       (5,650

Federation of Russia

    1.00   Bank of America N.A.   12/20/21     USD       365       12,650       21,067       (8,417

Federation of Russia

    1.00   Bank of America N.A.   12/20/21     USD       145       5,025       8,369       (3,344

Federation of Russia

    1.00   Bank of America N.A.   12/20/21     USD       245       8,492       14,149       (5,657

Federation of Russia

    1.00   Bank of America N.A.   12/20/21     USD       610       21,142       35,227       (14,085

Federation of Russia

    1.00   Bank of America N.A.   12/20/21     USD       245       8,491       14,045       (5,554

Federation of Russia

    1.00   Bank of America N.A.   12/20/21     USD       610       21,142       34,969       (13,827

Federation of Russia

    1.00   Bank of America N.A.   12/20/21     USD       245       8,491       14,045       (5,554

Federation of Russia

    1.00   Bank of America N.A.   12/20/21     USD       610       21,142       34,969       (13,827

Federation of Russia

    1.00   JPMorgan Chase Bank N.A.   12/20/21     USD       1,333       46,184       74,195       (28,011

Republic of Argentina

    5.00   Citibank N.A.   12/20/21     USD       741       (39,612     (23,917     (15,695

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    49


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

OTC Credit Default Swaps — Buy Protection (concluded)

 

Issuer/Index   Pay Fixed Rate     Counterparty     Expiration
Date
    Notional
Amount
(000)
    Value     Premiums
Paid
(Received)
    Unrealized
Depreciation
 

Republic of Argentina

    5.00     Bank of America N.A.       12/20/21       USD       141     $ (7,514   $ (6,336   $ (1,178

Republic of Philippines

    1.00     Barclays Bank PLC       12/20/21       USD       916       (1,534     3,779       (5,313

Republic of Philippines

    1.00     JPMorgan Chase Bank N.A.       12/20/21       USD       367       (615     1,516       (2,131

Republic of Philippines

    1.00     Citibank N.A.       12/20/21       USD       196       (329     450       (779

Republic of Philippines

    1.00     Bank of America N.A.       12/20/21       USD       1,241       (2,080     10,225       (12,305

Republic of Philippines

    1.00     Citibank N.A.       12/20/21       USD       659       (1,104     4,827       (5,931

Republic of Philippines

    1.00     Bank of America N.A.       12/20/21       USD       910       (1,524     8,711       (10,235

Republic of South Africa

    1.00     HSBC Bank PLC       12/20/21       USD       175       8,402       12,710       (4,308

Republic of South Africa

    1.00     Barclays Bank PLC       12/20/21       USD       3,555       170,674       254,275       (83,601

Republic of South Africa

    1.00     JPMorgan Chase Bank N.A.       12/20/21       USD       1,500       72,015       107,911       (35,896

Republic of South Africa

    1.00     Bank of America N.A.       12/20/21       USD       590       28,326       42,445       (14,119

Republic of South Africa

    1.00     Goldman Sachs International       12/20/21       USD       364       17,452       26,000       (8,548

Republic of South Africa

    1.00     Citibank N.A.       12/20/21       USD       1,445       69,374       103,954       (34,580
Total                 $ (374,051
               

 

 

 

OTC Credit Default Swaps — Sell Protection

 

Issuer/Index   Receive
Fixed Rate
    Counterparty   Expiration
Date
  Credit
Rating1
   

Notional
Amount
(000)2

    Value     Premiums
Received
    Unrealized
Appreciation
(Depreciation)
 

Dow Jones CDX North America Investment Grade, Series 9

    5.00   Bank of America N.A.   12/20/17     BBB       USD       10,000     $ 475,016     $ (156,073   $ 631,089  

United Mexican States

    1.00   Bank of America N.A.   6/20/20     BBB+       USD       604       (3,096     (4,198     1,102  

United Mexican States

    1.00   Citibank N.A.   9/20/20     BBB+       USD       604       (4,751     (5,279     528  

UniCredit SFA

    1.00   Barclays Bank PLC   12/20/21     BBB-       EUR       20       (728     (1,142     414  

UniCredit SFA

    1.00   BNP Paribas S.A.   12/20/21     BBB-       EUR       10       (377     (465     88  

Markit CMBX North America, Series 7

    3.00   Barclays Bank PLC   1/17/47     BBB-       USD       10,000       (521,173     (540,567     19,394  

Markit CMBX North America, Series 7

    3.00   Barclays Bank PLC   1/17/47     BBB-       USD       5,000       (260,586     (269,904     9,318  

 

                
50    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

OTC Credit Default Swaps — Sell Protection (concluded)

 

Issuer/Index   Receive
Fixed Rate
    Counterparty     Expiration
Date
   

Credit
Rating1

   

Notional
Amount
(000)2

    Value     Premiums
Received
    Unrealized
Appreciation
(Depreciation)
 

Markit CMBX North America, Series 7

    3.00     Barclays Bank PLC       1/17/47       BBB-       USD       10,000     $ (521,173   $ (261,771   $ (259,402

Markit CMBX North America, Series 8

    2.00     Morgan Stanley Capital Services LLC       10/17/57       A       USD       5,000       (189,825     (578,118     388,293  

Markit CMBX North America, Series 8

    3.00     Deutsche Bank AG       10/17/57       BBB-       USD       10,000       (1,227,793     (1,418,962     191,169  

Markit CMBX North America, Series 8

    3.00     Goldman Sachs International       10/17/57       BBB-       USD       10,000       (1,227,793     (1,104,653     (123,140

Markit CMBX North America, Series 9

    2.00     Credit Suisse International       9/17/58       A       USD       2,500       (94,318     (356,977     262,659  

Markit CMBX North America, Series 9

    2.00     Morgan Stanley Capital Services LLC       9/17/58       A       USD       2,500       (94,318     (353,530     259,212  

Markit CMBX North America, Series 9

    2.00     Morgan Stanley Capital Services LLC       9/17/58       A       USD       5,000       (188,637     (700,477     511,840  

Markit CMBX North America, Series 9

    3.00     Morgan Stanley Capital Services LLC       9/17/58       BBB-       USD       2,500       (264,104     (571,370     307,266  

Total

              $ (4,123,656   $ (6,323,486   $ 2,199,830  
             

 

 

 

1   Using Standard & Poor’s rating of the issuer.

    

 

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

     

 

OTC Interest Rate Swaps

 

Fixed Rate   Floating
Rate
  Counterparty  

    Effective    

Date

 

    Expiration    

Date

  Notional
Amount
(000)
    Value     Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 
12.85%1   1-day BZDIOVER       JPMorgan Chase Bank N.A.       9/29/16   7/03/17   BRL     582     $ (270         $ (270
12.85%1   1-day BZDIOVER   JPMorgan Chase Bank N.A.   10/20/16   7/03/17   BRL     14,565       (9,703           (9,703
12.93%1   1-day BZDIOVER   Citibank N.A.   9/23/16   7/03/17   BRL     12,391       (7,238           (7,238
13.11%1   1-day BZDIOVER   Citibank N.A.   9/08/16   7/03/17   BRL     7,438       (6,415           (6,415

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    51


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

OTC Interest Rate Swaps (concluded)

 

Fixed Rate   Floating
Rate
    Counterparty     Effective
Date
    Expiration
Date
    Notional
Amount
(000)
    Value     Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 
13.13%2     1-day BZDIOVER       Bank of America N.A.       9/08/16       7/03/17       BRL       6,198     $ (5,641         $ (5,641
  1.69%1     3-Month KRWCD       Deutsche Bank AG       11/10/15       11/10/17       KRW       911,735       (1,783           (1,783
  1.92%1     3-Month KRWCD       Deutsche Bank AG       11/10/15       11/10/17       KRW       911,735       3,576             3,576  
12.10%2     1-day BZDIOVER       Bank of America N.A.       10/20/16       1/02/18       BRL       14,127       (28,706           (28,706
  7.04%1     28-day MXIBTIIE       Goldman Sachs International       11/23/16       11/21/18       MXN       76,124       (10,732           (10,732
  7.06%1     28-day MXIBTIIE       JPMorgan Chase Bank N.A.       11/23/16       11/21/18       MXN       42,610       (5,292           (5,292
  7.07%1     28-day MXIBTIIE       Citibank N.A.       11/23/16       11/21/18       MXN       35,508       (4,112           (4,112
  6.98%1     28-day MXIBTIIE       Citibank N.A.       11/30/16       11/28/18       MXN       60,600       (12,317           (12,317
  6.98%1     28-day MXIBTIIE       JPMorgan Chase Bank N.A.       11/30/16       11/28/18       MXN       34,377       (6,987           (6,987
10.98%1     1-day BZDIOVER       JPMorgan Chase Bank N.A.       10/20/16       1/02/20       BRL       1,483       4,204             4,204  
11.00%1     1-day BZDIOVER       Bank of America N.A.       10/21/16       1/02/20       BRL       2,965       9,067             9,067  
11.02%1     1-day BZDIOVER       Citibank N.A.       10/20/16       1/02/20       BRL       1,580       5,081             5,081  
11.03%1     1-day BZDIOVER       Citibank N.A.       10/21/16       1/02/20       BRL       2,814       9,408             9,408  
11.04%1     1-day BZDIOVER       JPMorgan Chase Bank N.A.       10/20/16       1/02/20       BRL       2,861       9,748             9,748  
11.10%1     1-day BZDIOVER       Goldman Sachs International       10/07/16       1/02/20       BRL       1,435       5,284             5,284  
11.38%1     1-day BZDIOVER       JPMorgan Chase Bank N.A.       9/29/16       1/02/20       BRL       335       2,078             2,078  
  6.32%1     1-Month MXIBTIIE       Morgan Stanley Capital Services LLC       7/30/15       7/17/25       MXN       5,813       (25,515   $ (22     (25,493
  6.33%1     1-Month MXIBTIIE       Citibank N.A.       7/30/15       7/17/25       MXN       2,897       (12,652     (15     (12,637
  6.32%1     1-Month MXIBTIIE       Goldman Sachs International       8/19/15       8/06/25       MXN       8,688       (38,335     (39     (38,296
  6.31%1     1-Month MXIBTIIE       Deutsche Bank AG       8/24/15       8/11/25       MXN       6,393       28,538             28,538  
  6.31%2     1-Month MXIBTIIE       Bank of America N.A.       8/24/15       8/11/25       MXN       1,723       7,674             7,674  
  6.31%2     1-Month MXIBTIIE       Bank of America N.A.       8/24/15       8/11/25       MXN       1,723       7,674             7,674  
  6.26%2     1-Month MXIBTIIE       Bank of America N.A.       6/27/16       6/15/26       MXN       38,640       (195,791           (195,791

Total

              $ (279,157   $ (76   $ (279,081
             

 

 

 

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

    

   

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

     

   

 

                
52    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

 

Portfolio Abbreviation

 

ABS    Asset-Backed Security
ARS    Argentine Peso
AUD    Australian Dollar
BRL    Brazilian Real
BZDIOVER    1-Day Brazil Interbank Deposit
CAD    Canadian Dollar
CLO    Collateralized Loan Obligation
CLP    Chilean Peso
CR    Custodian Receipt
EUR    Euro
FHLMC    Federal Home Loan Mortgage Corp.
GBP    British Pound
INR    Indian Rupee
ISDA    International Swaps and Derivatives Association, Inc.
JPY    Japanese Yen
KRW    South Korean Won
KRWCD    3-Month Certificate of Deposit Rate
LOC    Letter of Credit
MXIBTIIE    Mexico Interbank TIIE 28 Day
MXN    Mexican Peso
OTC    Over-the-Counter
PIK    Payment-In-Kind
PLN    Polish Zloty
REMIC    Real Estate Mortgage Investment Conduit
RUB    Russian Ruble
TRY    Turkish Lira
TWD    Taiwan Dollar
USD    U.S. Dollar
ZAR    South African Rand

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    53


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

   

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

 

   

Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

 

   

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 Investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value 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 investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Fund’s most recent financial statements as contained in its annual report.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:                 
Long-Term Investments:                 

Asset-Backed Securities

           $ 205,378,842        $ 16,052,034        $ 221,430,876  

Common Stocks

  $ 2,813,035                   561          2,813,596  

Corporate Bonds

             479,051,304                   479,051,304  

Floating Rate Loan Interests

             26,407,953          23,696,332          50,104,285  

Foreign Agency Obligations

             56,447,637                   56,447,637  

Non-Agency Mortgage-Backed Securities

             173,934,270          23,451,585          197,385,855  

Preferred Securities

    17,820,857          106,293,784          1,688,513          125,803,154  
Short-Term Securities:                 

Money Market Funds

    3,838,673                            3,838,673  
Options Purchased:                 

Foreign currency exchange contracts

             303,248                   303,248  

Unfunded Floating Rate Loan Interests1

             150,483                   150,483  
 

 

 

 

Total

  $ 24,472,565        $ 1,047,967,521        $ 64,889,025        $ 1,137,329,111  
 

 

 

 

 

 

                
54    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

 

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments 2                 
Assets:                 

Credit contracts

           $ 2,582,372                 $ 2,582,372  

Foreign currency exchange contracts

             2,309,497                   2,309,497  

Interest rate contracts

  $ 234,540          322,388                   556,928  

Liabilities:

                

Credit contracts

             (791,610                 (791,610

Foreign currency exchange contracts

             (2,787,419                 (2,787,419

Interest rate contracts

    (36,917        (629,700                 (666,617
 

 

 

 

Total

  $ 197,623        $ 1,005,528                 $ 1,203,151  
 

 

 

 

 

  1   

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

  2   

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

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  
Liabilities:  

Reverse repurchase agreements

           $ (433,313,573               $ (433,313,573

During the period ended January 31, 2017, there were no transfers between Level 1 and Level 2.

 

                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017    55


Consolidated Schedule of Investments (concluded)

  

BlackRock Multi-Sector Income Trust (BIT)

    

 

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

 

     Asset-Backed
Securities
   

Common

Stocks

    Corporate
Bonds
    Floating Rate
Loan
Interests
   

Non-Agency

Mortgage-

Backed

Securities

   

Preferred

Securities

           Total  
Assets:                

Opening balance, as of October 31, 2016

  $ 17,206,974     $ 561           $ 27,486,435     $ 24,015,689     $ 1,631,265       $ 70,340,924  

Transfers into Level 31

    2,442,500                                       2,442,500  

Transfers out of Level 32

    (7,815,408                 (367,669                   (8,183,077

Accrued discounts/premiums

    4,945                   1,127       60,183               66,255  

Net realized gain (loss)

    51,507                   24       130,008               181,539  

Net change in unrealized

appreciation (depreciation)3,4

    (221,364                 904       (260,135     57,248         (423,347

Purchases

    6,594,085                   580,440                     7,174,525  

Sales

    (2,211,205                 (4,004,929     (494,160             (6,710,294
 

 

 

 
Total   $ 16,052,034     $       561           $ 23,696,332     $ 23,451,585     $ 1,688,513       $ 64,889,025  
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at January 31, 20173

  $ (208,665               $ (99,096   $ (260,135   $ 57,248           $ (510,648
 

 

 

 

 

1   

As of October 31, 2016, the Trust used observable inputs in determining the value of certain investments. As of January 31, 2017, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

 

2   

As of October 31, 2016, the Trust used significant unobservable inputs in determining the value of certain investments. As of January 31, 2017, the Trust used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

 

3   

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held January 31, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.

Certain of the Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.

 

                
56    BLACKROCK MULTI-SECTOR INCOME TRUST    JANUARY 31, 2017   


 

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 Multi-Sector Income Trust
By:       /s/ John M. Perlowski            
  John M. Perlowski
 

Chief Executive Officer (principal executive officer) of

BlackRock Multi-Sector Income Trust

Date: March 23, 2017

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 Multi-Sector Income Trust

Date: March 23, 2017

 

By:       /s/ Neal J. Andrews            
 

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock Multi-Sector Income Trust

Date: March 23, 2017