BlackRock Floating Rate Income Trust (BGT)
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 811-21566
Name of Fund: BlackRock Floating Rate Income Trust (BGT)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service:
John M. Perlowski, Chief Executive Officer, BlackRock Floating
Rate 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: 10/31/2012
Date of reporting period: 07/31/2012
Item 1 – Schedule of Investments
|
|
|
|
|
|
| Consolidated Schedule of Investments July 31, 2012 (Unaudited) |
|
BlackRock Floating Rate Income Trust (BGT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
Par
(000) |
|
|
Value |
|
| American Airlines Pass-Through
Trust, Series 2011-2, Class A, |
|
|
|
|
|
| 8.63%, 4/15/23 |
|
USD |
335 |
|
|
$ |
352,393 |
|
| Fraser Sullivan CLO Ltd., Series
2012-7A, Class C, 4.47%,
|
|
|
|
|
|
| 4/20/23 (a)(b) |
|
|
575 |
|
|
|
503,269 |
|
| Gannett Peak CLO Ltd., Series 2006-
|
|
|
|
|
|
|
|
|
| 1X, Class A2, 0.81%, 10/27/20 (b) |
|
|
715 |
|
|
|
579,150 |
|
| Goldentree Loan Opportunities VI
Ltd., Series 2012-6A, Class D, |
|
|
|
|
|
|
|
|
| 4.66%, 4/17/22 (a)(b) |
|
|
950 |
|
|
|
850,250 |
|
| Greyrock CDO Ltd., Series 2005-1X,
Class A2L, 0.89%, 11/15/17 (b) |
|
|
1,495 |
|
|
|
1,302,294 |
|
| LCM LP, Series 11A, Class D2,
4.41%, 4/19/22 (a)(b) |
|
|
1,000 |
|
|
|
875,000 |
|
| MAPS CLO Fund LLC, Series
2005-1A, Class C, 1.42%,
12/21/17 (a)(b) |
|
|
705 |
|
|
|
666,860 |
|
| Race Point CLO, Series 2012-6A,
|
|
|
|
|
|
|
|
|
| Class D, 4.97%, 5/24/23 (a)(b) |
|
|
675 |
|
|
|
609,863 |
|
| Symphony CLO Ltd., Class D (a)(b): |
|
|
|
|
|
|
|
|
| Series 2012-9A, 4.71%, 4/16/22 |
|
|
775 |
|
|
|
690,447 |
|
| Series 2012-10A, 5.69%, 7/23/23 |
|
|
925 |
|
|
|
855,625 |
|
| |
|
| Total Asset-Backed Securities – 2.2% |
|
|
|
7,285,151 |
|
| |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks (c) |
|
Shares |
|
|
|
|
| |
|
| Auto Components – 0.3% |
|
|
|
|
|
| Delphi Automotive Plc |
|
|
43,786 |
|
|
|
1,243,073 |
|
| |
|
| Construction & Engineering – 0.0% |
|
|
|
|
|
| USI United Subcontractors |
|
|
7,645 |
|
|
|
15,289 |
|
| |
|
| Hotels, Restaurants & Leisure – 0.2% |
|
|
|
|
|
| BLB Worldwide Holdings, Inc. |
|
|
50,832 |
|
|
|
575,063 |
|
| |
|
| Metals & Mining – 0.1% |
|
|
|
|
|
|
|
|
| Euramax International |
|
|
1,135 |
|
|
|
329,208 |
|
| |
|
| Paper & Forest Products – 0.1% |
|
|
|
|
|
| Ainsworth Lumber Co. Ltd. |
|
|
55,255 |
|
|
|
105,788 |
|
| Ainsworth Lumber Co. Ltd. |
|
|
62,685 |
|
|
|
120,013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
225,801 |
|
| |
|
| Software – 0.3% |
|
|
|
|
|
|
|
|
| Bankruptcy Management
Solutions, Inc. |
|
|
2,947 |
|
|
|
29 |
|
|
|
|
|
|
|
|
|
|
| Common Stocks |
|
Shares |
|
|
Value |
|
| Software (concluded) |
|
|
|
|
|
|
|
|
| HMH Holdings/EduMedia |
|
|
41,612 |
|
|
$ |
964,026 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
964,055 |
|
| |
|
| Total Common Stocks – 1.0% |
|
|
|
|
|
|
3,352,489 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
Par
(000) |
|
|
|
|
| Auto Components – 0.7% |
|
|
|
|
|
|
|
|
| Icahn Enterprises LP: |
|
|
|
|
|
|
|
|
| 7.75%, 1/15/16 |
|
USD |
1,515 |
|
|
|
1,592,644 |
|
| 8.00%, 1/15/18 |
|
|
660 |
|
|
|
701,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,293,894 |
|
| |
|
| Beverages – 1.0% |
|
|
|
|
|
|
|
|
| Central European Distribution
Corp., 3.32%, 5/15/14 |
|
EUR |
1,500 |
|
|
|
1,734,863 |
|
| Refresco Group BV (b): |
|
|
|
|
|
|
|
|
| 4.69%, 5/15/18 |
|
|
1,000 |
|
|
|
1,131,968 |
|
| 4.69%, 5/15/18 (a) |
|
|
500 |
|
|
|
565,984 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,432,815 |
|
| |
|
| Building Products – 0.2% |
|
|
|
|
|
|
|
|
| Grohe Holding GmbH, 4.66%, |
|
|
|
|
|
|
|
|
| 9/15/17 (a)(b) |
|
|
700 |
|
|
|
818,216 |
|
| |
|
| Capital Markets – 0.1% |
|
|
|
|
|
|
|
|
| E*Trade Financial Corp., 3.61%, |
|
|
|
|
|
|
|
|
| 8/31/19 (a)(d)(e) |
|
USD |
439 |
|
|
|
340,774 |
|
| |
|
| Chemicals – 0.3% |
|
|
|
|
|
|
|
|
| Hexion US Finance Corp., 6.63%,
4/15/20 |
|
|
565 |
|
|
|
577,713 |
|
| Ineos Finance Plc, 8.38%,
2/15/19 (a) |
|
|
285 |
|
|
|
294,975 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
872,688 |
|
| |
|
| Commercial Banks – 1.3% |
|
|
|
|
|
|
|
|
| VTB Bank OJSC Via VTB Capital SA, |
|
|
|
|
|
| 6.88%, 5/29/18 |
|
|
3,940 |
|
|
|
4,215,800 |
|
| |
|
| Commercial Services & Supplies – 0.2% |
|
|
|
|
|
| AWAS Aviation Capital Ltd., 7.00%, |
|
|
|
|
|
|
|
|
| 10/17/16 (a) |
|
|
538 |
|
|
|
565,345 |
|
| |
|
| Communications Equipment – 0.5% |
|
|
|
|
|
| Zayo Group LLC /Zayo Capital, Inc. (a): |
|
|
|
|
|
| 8.13%, 1/01/20 |
|
|
1,010 |
|
|
|
1,068,075 |
|
| 10.13%, 7/01/20 |
|
|
665 |
|
|
|
709,887 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,777,962 |
|
| |
|
| Consumer Finance – 0.3% |
|
|
|
|
|
|
|
|
| Inmarsat Finance Plc, 7.38%, |
|
|
|
|
|
|
|
|
| 12/01/17 (a) |
|
|
1,015 |
|
|
|
1,096,200 |
|
| |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME TRUST |
|
JULY 31, 2012 |
|
1 |
|
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Trust
(BGT) (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
Par
(000) |
|
|
Value |
|
| Containers & Packaging – 0.7% |
|
|
|
|
|
| Ardagh Packaging Finance Plc: |
|
|
|
|
|
| 7.38%, 10/15/17 |
|
EUR |
300 |
|
|
$ |
387,576 |
|
| 7.38%, 10/15/17 (a) |
|
|
400 |
|
|
|
516,768 |
|
| GCL Holdings SCA, 9.38%, |
|
|
|
|
|
| 4/15/18 (a) |
|
|
329 |
|
|
|
372,418 |
|
| Smurfit Kappa Acquisitions (a): |
|
|
|
|
|
| 7.25%, 11/15/17 |
|
|
355 |
|
|
|
467,913 |
|
| 7.75%, 11/15/19 |
|
|
416 |
|
|
|
555,353 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,300,028 |
|
| |
|
| Diversified Financial Services – 0.5% |
|
|
|
|
|
| Ally Financial, Inc., 2.67%, |
|
|
|
|
|
|
|
|
| 12/01/14 (b) |
|
USD |
795 |
|
|
|
771,101 |
|
| Reynolds Group Issuer, Inc.: |
|
|
|
|
|
|
|
|
| 7.13%, 4/15/19 |
|
|
325 |
|
|
|
345,312 |
|
| 6.88%, 2/15/21 |
|
|
490 |
|
|
|
521,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,638,263 |
|
| |
|
| Diversified Telecommunication Services – 0.2% |
|
| ITC Deltacom, Inc., 10.50%, |
|
|
|
|
|
|
|
|
| 4/01/16 |
|
|
530 |
|
|
|
571,075 |
|
| |
|
| Energy Equipment & Services – 0.7% |
|
|
|
|
|
| Compagnie Générale de Géophysique, Veritas, 7.75%, 5/15/17 1,795 |
|
|
|
|
|
|
1,869,044 |
|
| Frac Tech Services LLC, 8.13%, |
|
|
|
|
|
| 11/15/18 (a) |
|
|
410 |
|
|
|
416,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,285,194 |
|
| |
|
| Health Care Equipment & Supplies – 0.3% |
|
|
|
|
|
| Ontex IV SA, 4.62%,
4/15/18 (b) |
|
EUR |
1,000 |
|
|
|
1,138,120 |
|
| |
|
| Health Care Providers & Services – 1.3% |
|
|
|
|
|
| Crown Newco 3 Plc, 7.00%, |
|
|
|
|
|
| 2/15/18 (a) |
|
GBP |
1,750 |
|
|
|
2,723,160 |
|
| HCA, Inc., 6.50%, 2/15/20 |
|
USD |
1,055 |
|
|
|
1,178,963 |
|
| Tenet Healthcare Corp., 6.25%, |
|
|
|
|
|
| 11/01/18 |
|
|
495 |
|
|
|
533,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,436,104 |
|
| |
|
| Hotels, Restaurants & Leisure – 0.1% |
|
|
|
|
|
| Carlson Wagonlit BV, 6.88%, |
|
|
|
|
|
|
|
|
| 6/15/19 (a) |
|
|
200 |
|
|
|
206,500 |
|
| |
|
| Household Durables – 0.4% |
|
|
|
|
|
|
|
|
| Beazer Homes USA, Inc., 12.00%, |
|
|
|
|
|
| 10/15/17 |
|
|
1,135 |
|
|
|
1,224,381 |
|
| Berkline/Benchcraft LLC, 4.50%, |
|
|
|
|
|
| 11/03/12 (c)(f) |
|
|
400 |
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,224,381 |
|
| |
|
| Independent Power Producers & Energy Traders – 1.1% |
|
| Calpine Corp., 7.25%,
10/15/17 (a) |
|
|
125 |
|
|
|
135,313 |
|
| Energy Future Holdings Corp., |
|
|
|
|
|
|
|
|
| 10.00%, 1/15/20 |
|
|
725 |
|
|
|
783,906 |
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
Par
(000) |
|
|
Value |
|
| Independent Power Producers & Energy Traders (concluded) |
|
| Energy Future Intermediate Holding Co. LLC, 10.00%, |
|
|
|
|
|
|
|
|
| 12/01/20 |
|
USD |
2,525 |
|
|
$ |
2,780,656 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,699,875 |
|
| |
|
| Machinery – 1.0% |
|
|
|
|
|
|
|
|
| KION Finance SA, 4.75%, |
|
|
|
|
|
|
|
|
| 4/15/18 (a)(b) |
|
EUR |
3,000 |
|
|
|
3,119,063 |
|
| UR Merger Sub Corp., 5.75%, |
|
|
|
|
|
|
|
|
| 7/15/18 (a) |
|
USD |
210 |
|
|
|
219,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,338,513 |
|
| |
|
| Media – 3.9% |
|
|
|
|
|
|
|
|
| Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
| 9.25%, 12/15/17 |
|
|
501 |
|
|
|
538,575 |
|
| Series B, 9.25%, 12/15/17 |
|
|
1,704 |
|
|
|
1,840,320 |
|
| Odeon & UCI Finco Plc, 9.00%, |
|
|
|
|
|
|
|
|
| 8/01/18 (a) |
|
GBP |
914 |
|
|
|
1,390,024 |
|
| Unitymedia Hessen GmbH & Co. KG: |
|
|
|
|
|
| 8.13%, 12/01/17 |
|
EUR |
500 |
|
|
|
662,878 |
|
| 8.13%, 12/01/17 (a) |
|
USD |
2,500 |
|
|
|
2,712,500 |
|
| 4.91%, 3/15/18 (b) |
|
|
2,000 |
|
|
|
2,460,799 |
|
| Virgin Media Secured Finance Plc, |
|
|
|
|
|
|
|
|
| 7.00%, 1/15/18 |
|
GBP |
1,197 |
|
|
|
2,036,238 |
|
| Ziggo Finance BV, 6.13%, |
|
|
|
|
|
|
|
|
| 11/15/17 (a) |
|
EUR |
1,005 |
|
|
|
1,326,202 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,967,536 |
|
| |
|
| Metals & Mining – 0.1% |
|
|
|
|
|
|
|
|
| New World Resources NV, 7.88%, |
|
|
|
|
|
|
|
|
| 5/01/18 |
|
|
285 |
|
|
|
336,637 |
|
| |
|
| Oil, Gas & Consumable Fuels – 3.0% |
|
|
|
|
|
| Coffeyville Resources LLC, 9.00%, |
|
|
|
|
|
| 4/01/15 (a) |
|
USD |
342 |
|
|
|
363,375 |
|
| EP Energy LLC/EP Energy Finance, |
|
|
|
|
|
| Inc., 6.88%, 5/01/19 (a) |
|
|
385 |
|
|
|
410,987 |
|
| Gazprom OAO Via RBS AG, 9.63%, |
|
|
|
|
|
| 3/01/13 |
|
|
3,230 |
|
|
|
3,385,040 |
|
| KazmunaiGaz Finance Sub BV, |
|
|
|
|
|
|
|
|
| 8.38%, 7/02/13 |
|
|
1,500 |
|
|
|
1,582,275 |
|
| OGX Petroleo e Gas Participacoes |
|
|
|
|
|
| SA, 8.50%, 6/01/18 (a) |
|
|
1,600 |
|
|
|
1,410,000 |
|
| Petroleos de Venezuela SA, 5.25%, |
|
|
|
|
|
| 4/12/17 |
|
|
4,000 |
|
|
|
2,905,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,056,877 |
|
| |
|
| Paper & Forest Products – 0.3% |
|
|
|
|
|
|
|
|
| Ainsworth Lumber Co. Ltd., |
|
|
|
|
|
|
|
|
| 11.00%, 7/29/15 (a)(g) |
|
|
559 |
|
|
|
497,385 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME TRUST |
|
JULY 31, 2012 |
|
2 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Trust
(BGT) (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
Par
(000) |
|
|
Value |
|
| Paper & Forest Products (concluded) |
|
|
|
|
|
| Longview Fibre Paper & Packaging, |
|
|
|
|
|
| Inc., 8.00%, 6/01/16 (a) |
|
USD |
420 |
|
|
$ |
433,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
931,035 |
|
| |
|
| Pharmaceuticals – 0.1% |
|
|
|
|
|
|
|
|
| Valeant Pharmaceuticals |
|
|
|
|
|
|
|
|
| International, 6.50%, 7/15/16 (a) |
|
|
235 |
|
|
|
249,100 |
|
| |
|
| Real Estate Management & Development – 0.1% |
|
| Realogy Corp., 7.63%, 1/15/20 (a) |
|
|
445 |
|
|
|
477,819 |
|
| |
|
| Specialty Retail – 0.1% |
|
|
|
|
|
|
|
|
| House of Fraser Funding Plc, |
|
|
|
|
|
|
|
|
| 8.88%, 8/15/18 (a) |
|
GBP |
349 |
|
|
|
492,462 |
|
| |
|
| Transportation Infrastructure – 0.3% |
|
|
|
|
|
| Aguila 3 SA, 7.88%, 1/31/18 (a) |
|
CHF |
1,100 |
|
|
|
1,191,488 |
|
| |
|
| Wireless Telecommunication Services – 2.8% |
|
|
|
|
|
| Cricket Communications, Inc., |
|
|
|
|
|
|
|
|
| 7.75%, 5/15/16 |
|
USD |
1,950 |
|
|
|
2,067,000 |
|
| iPCS, Inc., 2.59%, 5/01/13 (b) |
|
|
1,155 |
|
|
|
1,146,338 |
|
| Matterhorn Mobile SA, 5.94%, |
|
|
|
|
|
|
|
|
| 5/15/19 (b) |
|
EUR |
3,000 |
|
|
|
3,737,339 |
|
| Sprint Nextel Corp. (a): |
|
|
|
|
|
|
|
|
| 9.00%, 11/15/18 |
|
USD |
790 |
|
|
|
922,325 |
|
| 7.00%, 3/01/20 |
|
|
1,460 |
|
|
|
1,591,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,464,402 |
|
| |
|
| Total Corporate Bonds – 21.6% |
|
|
|
|
|
|
72,419,103 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
|
|
|
|
|
| Aerospace & Defense – 1.6% |
|
|
|
|
|
| DynCorp International, Term |
|
|
|
|
|
|
|
|
| Loan B, 6.25%, 7/07/16 |
|
|
455 |
|
|
|
453,823 |
|
| SI Organization, Inc., New Term |
|
|
|
|
|
|
|
|
| Loan B, 4.50%, 11/22/16 |
|
|
1,077 |
|
|
|
1,047,807 |
|
| Spirit Aerosystems, Inc., Term |
|
|
|
|
|
|
|
|
| Loan B, 3.75%, 4/18/19 |
|
|
968 |
|
|
|
968,484 |
|
| TransDigm, Inc.: |
|
|
|
|
|
|
|
|
| Add on Term Loan B2, 4.00%, |
|
|
|
|
|
| 2/14/17 |
|
|
453 |
|
|
|
453,178 |
|
| Term Loan (First Lien), 4.00%, |
|
|
|
|
|
| 2/14/17 |
|
|
1,676 |
|
|
|
1,677,540 |
|
| Wesco Aircraft Hardware Corp., |
|
|
|
|
|
|
|
|
| Term Loan B, 4.25%, 4/07/17 |
|
|
818 |
|
|
|
816,914 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,417,746 |
|
| |
|
| Airlines – 0.5% |
|
|
|
|
|
|
|
|
| Delta Air Lines, Inc., Credit New |
|
|
|
|
|
|
|
|
| Term Loan B, 5.50%, 4/20/17 |
|
|
1,635 |
|
|
|
1,637,037 |
|
| |
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
Par
(000) |
|
|
Value |
|
| Auto Components – 2.5% |
|
|
|
|
|
|
|
|
| August LuxUK Holding Co. Sarl, |
|
|
|
|
|
|
|
|
| Luxco Term Loan, 6.25%, |
|
|
|
|
|
|
|
|
| 4/27/18 |
|
USD |
147 |
|
|
$ |
146,955 |
|
| August US Holding Co., Inc., Term |
|
|
|
|
|
| Loan B, 6.25%, 4/27/18 |
|
|
113 |
|
|
|
113,045 |
|
| Autoparts Holdings Ltd., Term Loan |
|
|
|
|
|
| (First Lien), 6.50%, 7/28/17 |
|
|
1,638 |
|
|
|
1,592,590 |
|
| Federal-Mogul Corp.: |
|
|
|
|
|
|
|
|
| Term Loan B, 2.18% - 2.19%, |
|
|
|
|
|
| 12/29/14 |
|
|
1,702 |
|
|
|
1,615,786 |
|
| Term Loan C, 2.18% - 2.19%, |
|
|
|
|
|
| 12/28/15 |
|
|
475 |
|
|
|
451,286 |
|
| The Goodyear Tire & Rubber Co., |
|
|
|
|
|
| Term Loan (Second Lien), |
|
|
|
|
|
|
|
|
| 4.75%, 4/30/19 |
|
|
1,705 |
|
|
|
1,685,512 |
|
| GPX International Tire Corp., |
|
|
|
|
|
|
|
|
| Term Loan (c)(f): |
|
|
|
|
|
|
|
|
| 0.00%, 3/30/12 |
|
|
274 |
|
|
|
– |
|
| 0.00%, 3/31/12 (g) |
|
|
4 |
|
|
|
– |
|
| Schaeffler AG, Term Loan C2, |
|
|
|
|
|
|
|
|
| 6.00%, 1/27/17 |
|
|
1,700 |
|
|
|
1,703,400 |
|
| UCI International, Inc., Term Loan, |
|
| 5.50%, 7/26/17 |
|
|
936 |
|
|
|
935,357 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,243,931 |
|
| |
|
| Beverages – 0.0% |
|
|
|
|
|
|
|
|
| Le-Nature’s, Inc., Tranche B Term |
|
| Loan, 0.00%, 3/01/11 (c)(f) |
|
|
1,000 |
|
|
|
100 |
|
| |
|
| Biotechnology – 0.4% |
|
|
|
|
|
|
|
|
| Grifols, Inc., Term Loan B, 4.50%, |
|
|
|
|
|
| 6/01/17 |
|
|
1,471 |
|
|
|
1,468,113 |
|
| |
|
| Building Products – 2.7% |
|
|
|
|
|
|
|
|
| Armstrong World Industries, Inc., |
|
|
|
|
|
|
|
|
| Term Loan B, 4.00%, 3/09/18 |
|
|
2,056 |
|
|
|
2,047,280 |
|
| CPG International, Inc., Term Loan |
|
|
|
|
|
| B, 6.00%, 2/18/17 |
|
|
2,118 |
|
|
|
2,054,217 |
|
| Goodman Global, Inc., Initial Term |
|
|
|
|
|
| Loan (First Lien), 5.75%, |
|
|
|
|
|
|
|
|
| 10/28/16 |
|
|
3,714 |
|
|
|
3,713,978 |
|
| Momentive Performance |
|
|
|
|
|
|
|
|
| Materials, Inc. (Nautilus), |
|
|
|
|
|
|
|
|
| Extended Term Loan, 3.66%, |
|
|
|
|
|
|
|
|
| 5/05/15 |
|
EUR |
808 |
|
|
|
909,548 |
|
| United Subcontractors, Inc., Term |
|
|
|
|
|
| Loan (First Lien), 4.47%, |
|
|
|
|
|
|
|
|
| 6/30/15 |
|
USD |
198 |
|
|
|
178,130 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,903,153 |
|
| |
|
| Capital Markets – 1.5% |
|
|
|
|
|
|
|
|
| American Capital Ltd., Term |
|
|
|
|
|
|
|
|
| Loan B, 7.50%, 12/31/13 |
|
|
168 |
|
|
|
165,994 |
|
| HarbourVest Partners LLC, Term |
|
|
|
|
|
| Loan (First Lien), 6.25%, |
|
|
|
|
|
|
|
|
| 12/16/16 |
|
|
1,885 |
|
|
|
1,875,635 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME TRUST |
|
JULY 31, 2012 |
|
3 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Trust
(BGT) (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
Par
(000) |
|
|
Value |
|
| Capital Markets (concluded) |
|
|
|
|
|
|
|
|
| Nuveen Investments, Inc.: |
|
|
|
|
|
|
|
|
| (First Lien) Term Loan, 5.95% - |
|
|
|
|
|
| 5.96%, 5/13/17 |
|
USD |
750 |
|
|
$ |
747,519 |
|
| Extended Term Loan, 5.95% - |
|
|
|
|
|
| 5.97%, 5/12/17 |
|
|
1,773 |
|
|
|
1,764,817 |
|
| Incremental Term Loan, |
|
|
|
|
|
|
|
|
| 7.25%, 5/13/17 |
|
|
425 |
|
|
|
426,330 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,980,295 |
|
| |
|
| Chemicals – 6.1% |
|
|
|
|
|
|
|
|
| American Rock Salt Holdings LLC, |
|
|
|
|
|
| Term Loan, 5.50%, 4/25/17 |
|
|
1,605 |
|
|
|
1,546,834 |
|
| Chemtura Corp., Exit Term Loan B, |
|
|
|
|
|
| 5.50%, 8/27/16 |
|
|
1,800 |
|
|
|
1,802,250 |
|
| Gentek, Inc., Term Loan B, 5.00%, |
|
|
|
|
|
|
|
|
| 10/06/15 |
|
|
1,049 |
|
|
|
1,042,938 |
|
| Ineos US Finance LLC: |
|
|
|
|
|
|
|
|
| 3 Year Term Loan, 5.50%, |
|
|
|
|
|
|
|
|
| 5/04/15 |
|
|
234 |
|
|
|
235,711 |
|
| 6 Year Term Loan, 6.50%, |
|
|
|
|
|
|
|
|
| 5/04/18 |
|
|
6,643 |
|
|
|
6,504,969 |
|
| MDI Holdings LLC, Tranche C Term |
|
|
|
|
|
| Loan, 2.36%, 4/11/14 |
|
EUR |
1,352 |
|
|
|
1,642,629 |
|
| Nexeo Solutions LLC, Term Loan B, |
|
|
|
|
|
| 5.00%, 9/08/17 |
|
USD |
1,383 |
|
|
|
1,351,394 |
|
| PolyOne Corp., Term Loan, 5.00%, |
|
|
|
|
|
| 12/20/17 |
|
|
483 |
|
|
|
483,540 |
|
| PQ Corp., Term Loan B, 4.00%, |
|
|
|
|
|
| 7/30/14 |
|
|
2,302 |
|
|
|
2,240,584 |
|
| Styron Sarl LLC, Term Loan B, |
|
|
|
|
|
|
|
|
| 6.00% - 6.75%, 8/02/17 |
|
|
512 |
|
|
|
474,521 |
|
| Tronox Worldwide LLC: |
|
|
|
|
|
|
|
|
| Delayed Draw Term Loan, |
|
|
|
|
|
|
|
|
| 4.25%, 2/08/18 |
|
|
347 |
|
|
|
340,419 |
|
| Term Loan B, 4.25%, 2/08/18 |
|
|
1,273 |
|
|
|
1,248,202 |
|
| Univar, Inc., Term Loan B, 5.00%, |
|
|
|
|
|
| 6/30/17 |
|
|
1,461 |
|
|
|
1,449,228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,363,219 |
|
| |
|
| Commercial Services & Supplies – 4.2% |
|
| ACCO Brands Corp., New Term |
|
|
|
|
|
|
|
|
| Loan B, 4.25%, 4/30/19 |
|
|
2,174 |
|
|
|
2,178,597 |
|
| Altegrity, Inc, Tranche D Term |
|
|
|
|
|
|
|
|
| Loan, 7.75%, 2/20/15 |
|
|
1,804 |
|
|
|
1,792,683 |
|
| AWAS Aviation Capital Ltd., Senior |
|
|
|
|
|
| Secured Term Loan, 0.00%, |
|
|
|
|
|
|
|
|
| 7/16/18 |
|
|
270 |
|
|
|
269,325 |
|
| AWAS Finance Luxembourg Sarl, |
|
|
|
|
|
|
|
|
| Term Loan B, 5.25%, 6/10/16 |
|
|
1,911 |
|
|
|
1,904,436 |
|
| Delos Aircraft, Inc., Term Loan 2, |
|
|
|
|
|
|
|
|
| 4.75%, 4/12/16 |
|
|
1,675 |
|
|
|
1,687,562 |
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
Par
(000) |
|
|
Value |
|
| Commercial Services & Supplies (concluded) |
|
| KAR Auction Services, Inc., Term |
|
|
|
|
|
| Loan B, 5.00%, 5/19/17 |
|
USD |
2,176 |
|
|
$ |
2,187,926 |
|
| Protection One Alarm Monitoring, |
|
|
|
|
|
|
|
|
| Inc., Term Loan, 5.75%, |
|
|
|
|
|
|
|
|
| 3/21/19 |
|
|
1,357 |
|
|
|
1,357,455 |
|
| Synagro Technologies, Inc., Term |
|
|
|
|
|
| Loan B, 2.25%, 4/02/14 |
|
|
1,723 |
|
|
|
1,483,218 |
|
| Volume Services America, Inc., |
|
|
|
|
|
|
|
|
| Term Loan B, 10.50% - 10.75%, |
|
|
|
|
|
| 9/16/16 |
|
|
1,204 |
|
|
|
1,203,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,064,765 |
|
| |
|
| Communications Equipment – 3.7% |
|
|
|
|
|
| Avaya, Inc.: |
|
|
|
|
|
|
|
|
| Term Loan B1, 3.22%, |
|
|
|
|
|
|
|
|
| 10/24/14 |
|
|
1,070 |
|
|
|
989,387 |
|
| Term Loan B3, 4.97%, |
|
|
|
|
|
|
|
|
| 10/26/17 |
|
|
323 |
|
|
|
279,868 |
|
| CommScope, Inc., Term Loan B, |
|
|
|
|
|
| 4.25%, 1/12/18 |
|
|
1,751 |
|
|
|
1,746,208 |
|
| Telesat Canada, Term Loan A, |
|
|
|
|
|
| 4.41%, 3/24/17 |
|
CAD |
6,670 |
|
|
|
6,301,865 |
|
| Zayo Group LLC, Term Loan B, |
|
|
|
|
|
| 7.13%, 7/02/19 |
|
USD |
3,100 |
|
|
|
3,132,953 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,450,281 |
|
| |
|
| Construction & Engineering – 0.8% |
|
|
|
|
|
| BakerCorp. International, Inc., |
|
|
|
|
|
|
|
|
| Term Loan B, 4.75%, 6/01/18 |
|
|
678 |
|
|
|
674,929 |
|
| Safway Services LLC, First Out |
|
|
|
|
|
|
|
|
| Tranche Loan, 9.00%, 12/16/17 |
|
|
2,100 |
|
|
|
2,100,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,774,929 |
|
| |
|
| Construction Materials – 1.8% |
|
|
|
|
|
|
|
|
| HD Supply, Inc., Senior Debt B, |
|
|
|
|
|
|
|
|
| 7.25%, 10/12/17 |
|
|
5,910 |
|
|
|
6,006,038 |
|
| |
|
| Consumer Finance – 0.8% |
|
|
|
|
|
|
|
|
| Springleaf Finance Corp., Term |
|
|
|
|
|
|
|
|
| Loan, 5.50%, 5/10/17 |
|
|
2,820 |
|
|
|
2,691,916 |
|
| |
|
| Containers & Packaging – 0.8% |
|
|
|
|
|
| Sealed Air Corp., Term Loan B, |
|
|
|
|
|
|
|
|
| 4.75%, 10/03/18 |
|
|
1,602 |
|
|
|
1,619,749 |
|
| Smurfit Kappa Acquisitions: |
|
|
|
|
|
|
|
|
| Term Loan B4, 3.79% - 4.30%, |
|
|
|
|
|
| 6/30/16 |
|
EUR |
456 |
|
|
|
561,401 |
|
| Term Loan C4, 4.04% - 4.54%, |
|
|
|
|
|
| 3/31/17 |
|
|
450 |
|
|
|
557,829 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,738,979 |
|
| |
|
| Diversified Consumer Services – 3.6% |
|
| Coinmach Service Corp.: |
|
|
|
|
|
|
|
|
| Delayed Draw Term Loan, |
|
|
|
|
|
|
|
|
| 3.25%, 11/20/14 |
|
USD |
484 |
|
|
|
463,756 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME TRUST |
|
JULY 31, 2012 |
|
4 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Trust
(BGT) (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
Par
(000) |
|
|
Value |
|
| Diversified Consumer Services (concluded) |
|
| Coinmach Service Corp. (concluded): |
|
|
|
|
|
| Term Loan B, 3.25%, |
|
|
|
|
|
|
|
|
| 11/20/14 |
|
USD |
2,212 |
|
|
$ |
2,120,725 |
|
| Education Management LLC, Term |
|
|
|
|
|
| Loan C3, 8.25%, 3/29/18 |
|
|
823 |
|
|
|
785,331 |
|
| Laureate Education, Inc., Extended |
|
|
|
|
|
| Term Loan, 5.25%, 8/15/18 |
|
|
4,326 |
|
|
|
4,158,710 |
|
| ServiceMaster Co.: |
|
|
|
|
|
|
|
|
| Delayed Draw Term Loan, |
|
|
|
|
|
| 2.75%, 7/24/14 |
|
|
251 |
|
|
|
249,555 |
|
| Term Loan, 2.75% - 2.97%, |
|
|
|
|
|
| 7/24/14 |
|
|
2,520 |
|
|
|
2,506,053 |
|
| Weight Watchers International, |
|
|
|
|
|
| Inc., Term Loan F, 3.75%, |
|
|
|
|
|
|
|
|
| 3/15/19 |
|
|
1,716 |
|
|
|
1,709,987 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,994,117 |
|
| |
|
| Diversified Financial Services – 2.3% |
|
|
|
|
|
| Residential Capital LLC.: |
|
|
|
|
|
|
|
|
| DIP Term Loan A1, 5.00%, |
|
|
|
|
|
| 11/18/14 |
|
|
1,550 |
|
|
|
1,556,789 |
|
| DIP Term Loan A2, 6.75%, |
|
|
|
|
|
| 11/18/14 |
|
|
225 |
|
|
|
227,063 |
|
| Reynolds Group Holdings, Inc., |
|
|
|
|
|
|
|
|
| Term Loan B, 6.75%, 2/09/18 |
|
EUR |
4,884 |
|
|
|
6,019,922 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,803,774 |
|
| |
|
| Diversified Telecommunication Services – 4.1% |
|
| Hawaiian Telcom Communications, |
|
| Inc., Term Loan B, 7.00%, |
|
|
|
|
|
|
|
|
| 2/28/17 |
|
USD |
1,470 |
|
|
|
1,467,251 |
|
| Integra Telecom Holdings, Inc., |
|
|
|
|
|
|
|
|
| Term Loan B, 9.25%, 4/15/15 |
|
|
1,985 |
|
|
|
1,913,177 |
|
| Level 3 Financing, Inc.: |
|
|
|
|
|
|
|
|
| Term Loan B2, 5.75%, |
|
|
|
|
|
| 9/03/18 |
|
|
4,100 |
|
|
|
4,108,979 |
|
| Term Loan B3, 5.75%, |
|
|
|
|
|
| 8/31/18 |
|
|
2,025 |
|
|
|
2,029,435 |
|
| Tranche A Term Loan, |
|
|
|
|
|
| 2.50% - 2.71%, 3/13/14 |
|
|
2,550 |
|
|
|
2,539,800 |
|
| US Telepacific Corp., Term Loan B, |
|
|
|
|
|
| 5.75%, 2/23/17 |
|
|
1,903 |
|
|
|
1,777,792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,836,434 |
|
| |
|
| Electronic Equipment, Instruments & Components – 0.8% |
|
| CDW LLC(FKA CDW Corp.), |
|
|
|
|
|
|
|
|
| Extended Term Loan, 4.00%, |
|
|
|
|
|
|
|
|
| 7/14/17 |
|
|
1,359 |
|
|
|
1,319,211 |
|
| Sensata Technologies Finance Co. |
|
|
|
|
|
| LLC, Term Loan, 4.00%, |
|
|
|
|
|
|
|
|
| 5/11/18 |
|
|
1,416 |
|
|
|
1,415,508 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,734,719 |
|
| |
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
Par
(000) |
|
|
Value |
|
| Energy Equipment & Services – 3.4% |
|
|
|
|
|
| Dynegy Midwest Generation LLC, |
|
|
|
|
|
| Coal Co. Term Loan, 9.25%, |
|
|
|
|
|
|
|
|
| 8/04/16 |
|
USD |
1,136 |
|
|
$ |
1,165,891 |
|
| Dynegy Power LLC, Gas Co. Term |
|
|
|
|
|
| Loan, 9.25%, 8/04/16 |
|
|
1,444 |
|
|
|
1,498,963 |
|
| MEG Energy Corp., Term Loan B, |
|
|
|
|
|
| 4.00%, 3/16/18 |
|
|
6,054 |
|
|
|
6,051,707 |
|
| Tervita Corp.: |
|
|
|
|
|
|
|
|
| Incremental Term Loan, |
|
|
|
|
|
|
|
|
| 6.50%, 10/17/14 |
|
|
925 |
|
|
|
925,933 |
|
| Term Loan B, 3.25%, 11/14/14 |
|
|
1,792 |
|
|
|
1,755,719 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,398,213 |
|
| |
|
| Food & Staples Retailing – 2.8% |
|
|
|
|
|
| AB Acquisitions UK Topco 2 Ltd., |
|
|
|
|
|
| Facility B1, 3.57%, 7/09/15 |
|
GBP |
4,525 |
|
|
|
6,679,777 |
|
| Iceland Foods Group Ltd., Term |
|
|
|
|
|
| Loan B1, 6.07%, 4/13/19 |
|
|
1,000 |
|
|
|
1,574,576 |
|
| US Foods, Inc., Extended Term |
|
|
|
|
|
| Loan B, 5.75%, 3/31/17 |
|
USD |
1,304 |
|
|
|
1,240,315 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,494,668 |
|
| |
|
| Food Products – 3.6% |
|
|
|
|
|
|
|
|
| Advance Pierre Foods: |
|
|
|
|
|
|
|
|
| Term Loan (First Lien), 7.00%, |
|
|
|
|
|
|
|
|
| 9/30/16 |
|
|
1,430 |
|
|
|
1,435,389 |
|
| Term Loan (Second Lien), |
|
|
|
|
|
|
|
|
| 11.25%, 9/29/17 |
|
|
1,530 |
|
|
|
1,536,701 |
|
| Birds Eye Iglo Group Ltd. (Liberator |
|
|
|
|
|
| Midco Ltd.), Term Loan B, |
|
|
|
|
|
|
|
|
| 4.66%, 4/30/16 |
|
EUR |
2,620 |
|
|
|
3,216,672 |
|
| Del Monte Corp., Term Loan, |
|
|
|
|
|
|
|
|
| 4.50%, 3/08/18 |
|
USD |
2,508 |
|
|
|
2,446,742 |
|
| Michael Foods Group, Inc., Term |
|
|
|
|
|
| Loan B, 4.25%, 2/23/18 |
|
|
312 |
|
|
|
310,947 |
|
| Pinnacle Foods Finance LLC, Term |
|
|
|
|
|
| Loan E, 4.75%, 10/17/18 |
|
|
1,380 |
|
|
|
1,373,204 |
|
| Solvest Ltd. (Dole): |
|
|
|
|
|
|
|
|
| Tranche B-2 Term Loan, |
|
|
|
|
|
|
|
|
| 5.04%, 7/06/18 |
|
|
579 |
|
|
|
578,655 |
|
| Tranche C-2 Term Loan, |
|
|
|
|
|
|
|
|
| 5.00% - 6.00%, 7/06/18 |
|
|
1,035 |
|
|
|
1,035,489 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,933,799 |
|
| |
|
| Health Care Equipment & Supplies – 5.0% |
|
|
|
|
|
| Bausch & Lomb, Inc., Term Loan B, |
|
|
|
|
|
| 5.25%, 5/17/19 |
|
|
2,325 |
|
|
|
2,322,466 |
|
| Biomet, Inc., Term Loan B, |
|
|
|
|
|
|
|
|
| 3.25% - 3.47%, 3/25/15 |
|
|
480 |
|
|
|
478,761 |
|
| BSN Medical, Term Loan B, 6.00%, |
|
|
|
|
|
| 7/27/19 |
|
|
2,000 |
|
|
|
2,005,000 |
|
| DJO Finance LLC: |
|
|
|
|
|
|
|
|
| Term Loan B2, 5.25%, |
|
|
|
|
|
|
|
|
| 11/01/16 |
|
|
413 |
|
|
|
408,635 |
|
| Term Loan B3, 6.25%, |
|
|
|
|
|
|
|
|
| 9/15/17 |
|
|
2,778 |
|
|
|
2,776,648 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME TRUST |
|
JULY 31, 2012 |
|
5 |
|
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Trust
(BGT) (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
Par
(000) |
|
|
Value |
|
| Health Care Equipment & Supplies (concluded) |
|
| Hologic, Inc., Term Loan B, 4.50%, |
|
|
|
|
|
| 7/19/19 |
|
USD |
5,395 |
|
|
$ |
5,428,719 |
|
| Hupah Finance, Inc., Term Loan B, |
|
|
|
|
|
|
|
|
| 6.25%, 1/21/19 |
|
|
958 |
|
|
|
963,183 |
|
| Immucor, Inc., Term Loan B, |
|
|
|
|
|
|
|
|
| 7.25%, 8/17/18 |
|
|
1,747 |
|
|
|
1,753,892 |
|
| LHP Hospital Group, Inc., Term |
|
|
|
|
|
|
|
|
| Loan, 9.00%, 7/03/18 |
|
|
570 |
|
|
|
570,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,707,304 |
|
| |
|
| Health Care Providers & Services – 3.7% |
|
|
|
|
|
| CHS/Community Health Systems, Inc., Non-Extended Term Loan, |
|
|
|
|
|
|
|
|
| 2.50% - 2.72%, 7/25/14 |
|
|
1,126 |
|
|
|
1,122,249 |
|
| ConvaTec, Inc., Term Loan,
5.75%, 12/22/16 |
|
|
1,186 |
|
|
|
1,187,037 |
|
| DaVita, Inc., Term Loan B,
4.50%, 10/20/16 |
|
|
2,195 |
|
|
|
2,190,754 |
|
| Emergency Medical Services Corp., Term Loan, 5.25%, 5/25/18 |
|
|
1,641 |
|
|
|
1,639,830 |
|
| Harden Healthcare LLC: |
|
|
|
|
|
|
|
|
| Term Loan A, 8.50%, 3/02/15 |
|
|
735 |
|
|
|
720,013 |
|
| Tranche A Additional Term Loan, 7.75%, 3/02/15 |
|
|
1,218 |
|
|
|
1,180,173 |
|
| HCA, Inc., Tranche B-3 Term Loan, |
|
|
|
|
|
|
|
|
| 3.50%, 5/01/18 |
|
|
630 |
|
|
|
619,088 |
|
| inVentiv Health, Inc.: |
|
|
|
|
|
|
|
|
| Combined Term Loan,
6.50%, 8/04/16 |
|
|
700 |
|
|
|
651,417 |
|
| Incremental Term Loan B-3,
6.75%, 5/15/18 |
|
|
448 |
|
|
|
422,469 |
|
| Medpace, Inc., Term Loan, |
|
|
|
|
|
|
|
|
| 6.50% - 7.25%, 6/16/17 |
|
|
1,436 |
|
|
|
1,371,493 |
|
| US Renal Care, Inc., First Lien |
|
|
|
|
|
|
|
|
| Term Loan, 6.25% - 7.25%, |
|
|
|
|
|
|
|
|
| 7/02/19 |
|
|
1,370 |
|
|
|
1,380,275 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,484,798 |
|
| |
|
| Health Care Technology – 1.2% |
|
|
|
|
|
| IMS Health, Inc., Term Loan B, |
|
|
|
|
|
| 4.50%, 8/25/17 |
|
|
1,485 |
|
|
|
1,485,617 |
|
| Kinetic Concepts, Inc., Term |
|
|
|
|
|
|
|
|
| Loan B, 7.00%, 5/04/18 |
|
|
1,746 |
|
|
|
1,768,490 |
|
| MedAssets, Inc., Term Loan, |
|
|
|
|
|
|
|
|
| 5.25%, 11/16/16 |
|
|
925 |
|
|
|
927,397 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,181,504 |
|
| |
|
| Hotels, Restaurants & Leisure – 6.5% |
|
|
|
|
|
| Alpha D2 , Ltd., New Term Loan B, |
|
|
|
|
|
| 5.75%, 4/28/17 |
|
|
1,387 |
|
|
|
1,387,953 |
|
| Ameristar Casinos, Inc., Term |
|
|
|
|
|
|
|
|
| Loan B, 4.00%, 4/16/18 |
|
|
1,543 |
|
|
|
1,545,379 |
|
| Boyd Gaming Corp., Incremental |
|
|
|
|
|
|
|
|
| Term Loan, 6.00%, 12/17/15 |
|
|
1,034 |
|
|
|
1,036,218 |
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
Par
(000) |
|
|
Value |
|
| Hotels, Restaurants & Leisure (concluded) |
|
| Caesars Entertainment Operating Co., Inc.: |
|
|
|
|
|
|
|
|
| Extended Term Loan B6,
5.50%, 1/26/18 |
|
USD |
250 |
|
|
$ |
219,500 |
|
| Incremental Term Loan B4,
9.50%, 10/31/16 |
|
|
1,374 |
|
|
|
1,384,484 |
|
| Term Loan B1, 3.25%, 1/28/15 |
|
|
493 |
|
|
|
448,846 |
|
| Term Loan B3, 3.25% - 3.46%, 1/28/15 |
|
|
4,849 |
|
|
|
4,413,215 |
|
| DineEquity, Inc., Term Loan B, |
|
|
|
|
|
|
|
|
| 4.25% - 5.25%, 10/19/17 |
|
|
72 |
|
|
|
72,535 |
|
| Dunkin’ Brands, Inc., Term |
|
|
|
|
|
|
|
|
| Loan B2, 4.00%, 11/23/17 |
|
|
2,084 |
|
|
|
2,068,734 |
|
| OSI Restaurant Partners LLC: |
|
|
|
|
|
|
|
|
| Revolver, 2.50%, 6/14/13 |
|
|
38 |
|
|
|
37,593 |
|
| Term Loan B, 2.56%, 6/14/14 |
|
|
59 |
|
|
|
58,124 |
|
| Sabre, Inc., Non Extended Initial |
|
|
|
|
|
|
|
|
| Term Loan, 2.25%, 9/30/14 |
|
|
613 |
|
|
|
598,483 |
|
| SeaWorld Parks & Entertainment, Inc., Term Loan B, 4.00%, 8/17/17 |
|
|
1,171 |
|
|
|
1,167,162 |
|
| Six Flags Theme Parks, Inc., Tranche B Term Loan (First Lien), 4.25%, 12/20/18 |
|
|
1,885 |
|
|
|
1,881,965 |
|
| Station Casinos, Inc., Term |
|
|
|
|
|
|
|
|
| Loan B1, 3.25%, 6/17/16 |
|
|
1,054 |
|
|
|
990,822 |
|
| Twin River Worldwide Holdings, Inc., Term Loan, 8.50%, 11/05/15 |
|
|
1,172 |
|
|
|
1,175,353 |
|
| Wendy’s/Arby’s Restaurants LLC, |
|
|
|
|
|
|
|
|
| Term Loan B, 4.75%, 5/15/19 |
|
|
3,225 |
|
|
|
3,233,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,719,428 |
|
| |
|
| Household Durables – 0.0% |
|
|
|
|
|
|
|
|
| Berkline/Benchcraft LLC, Term |
|
|
|
|
|
|
|
|
| Loan B, 14.00%, 11/03/11 (c)(f) |
|
|
164 |
|
|
|
27,631 |
|
| |
|
| Household Products – 0.5% |
|
|
|
|
|
|
|
|
| Prestige Brands, Inc., Term Loan, |
|
|
|
|
|
|
|
|
| 5.25% - 6.25%, 1/31/19 |
|
|
1,608 |
|
|
|
1,619,246 |
|
| |
|
| Independent Power Producers & Energy Traders – 0.9% |
|
| The AES Corp., Term Loan,
4.25%, 6/01/18 |
|
|
2,674 |
|
|
|
2,675,229 |
|
| GenOn Energy, Inc., Term Loan B, |
|
|
|
|
|
|
|
|
| 6.00%, 12/01/17 |
|
|
330 |
|
|
|
332,053 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,007,282 |
|
| |
|
| Industrial Conglomerates – 1.3% |
|
|
|
|
|
|
|
|
| Sequa Corp.: |
|
|
|
|
|
|
|
|
| Incremental Term Loan,
6.25%, 12/03/14 |
|
|
437 |
|
|
|
437,214 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME TRUST |
|
JULY 31, 2012 |
|
6 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Trust
(BGT) (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
Par
(000) |
|
|
Value |
|
| Industrial Conglomerates (concluded) |
|
| Sequa Corp. (concluded): |
|
|
|
|
|
|
|
|
| Term Loan, 3.72%, 12/03/14 |
|
USD |
4,132 |
|
|
$ |
4,078,521 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,515,735 |
|
| |
|
| Insurance – 0.7% |
|
|
|
|
|
|
|
|
| Asurion LLC, Term Loan (First |
|
|
|
|
|
| Lien), 5.50%, 5/24/18 |
|
|
801 |
|
|
|
798,546 |
|
| CNO Financial Group, Inc., Term |
|
|
|
|
|
| Loan B, 6.25%, 9/30/16 |
|
|
1,417 |
|
|
|
1,418,069 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,216,615 |
|
| |
|
| Internet Software & Services – 0.4% |
|
|
|
|
|
| Web.com Group, Inc., Term Loan |
|
|
|
|
|
| B, 7.00%, 10/27/17 |
|
|
1,191 |
|
|
|
1,178,401 |
|
| |
|
| IT Services – 4.1% |
|
|
|
|
|
|
|
|
| Ceridian Corp., Extended Term |
|
|
|
|
|
| Loan, 6.00%, 5/31/17 |
|
|
1,077 |
|
|
|
1,061,797 |
|
| First Data Corp.: |
|
|
|
|
|
|
|
|
| Extended Term Loan B, 4.25%, |
|
|
|
|
|
| 3/23/18 |
|
|
7,420 |
|
|
|
6,900,401 |
|
| Term Loan B-1, 3.00%, |
|
|
|
|
|
|
|
|
| 9/24/14 |
|
|
696 |
|
|
|
675,834 |
|
| Term Loan B-3, 3.00%, |
|
|
|
|
|
|
|
|
| 9/24/14 |
|
|
281 |
|
|
|
272,619 |
|
| InfoGroup, Inc., Term Loan, 5.75%, |
|
|
|
|
|
| 5/25/18 |
|
|
442 |
|
|
|
385,683 |
|
| iPayment, Inc., Term Loan B, |
|
|
|
|
|
| 5.75%, 5/08/17 |
|
|
332 |
|
|
|
332,621 |
|
| NeuStar, Inc., Term Loan B, 5.00%, |
|
|
|
|
|
| 11/08/18 |
|
|
1,092 |
|
|
|
1,093,115 |
|
| SunGard Data Systems, Inc. (Solar |
|
|
|
|
|
| Capital Corp.), Tranche B Term |
|
|
|
|
|
| Loan, 3.87% - 4.09%, 2/26/16 |
|
|
271 |
|
|
|
270,894 |
|
| TransUnion LLC, Term Loan B, |
|
|
|
|
|
| 5.50%, 2/12/18 |
|
|
2,824 |
|
|
|
2,836,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,829,277 |
|
| |
|
| Leisure Equipment & Products – 0.6% |
|
|
|
|
|
| Eastman Kodak Co., DIP Term |
|
|
|
|
|
|
|
|
| Loan B, 8.50%, 7/19/13 |
|
|
663 |
|
|
|
661,769 |
|
| Freedom Group, Inc., Term Loan, |
|
|
|
|
|
| 5.50%, 4/19/19 |
|
|
1,295 |
|
|
|
1,296,619 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,958,388 |
|
| |
|
| Machinery – 2.1% |
|
|
|
|
|
|
|
|
| Intelligrated, Inc., First Lien Term |
|
|
|
|
|
| Loan, 6.75%, 6/30/19 |
|
|
1,200 |
|
|
|
1,182,000 |
|
| Rexnord Corp., Term Loan B, |
|
|
|
|
|
|
|
|
| 5.00%, 4/02/18 |
|
|
636 |
|
|
|
639,069 |
|
| Terex Corp.: |
|
|
|
|
|
|
|
|
| Term Loan, 6.00%, 4/28/17 |
|
EUR |
352 |
|
|
|
431,348 |
|
| Term Loan B, 5.50%, 4/28/17 |
|
USD |
1,589 |
|
|
|
1,596,690 |
|
| Tomkins LLC, Term Loan B, 4.25%, |
|
|
|
|
|
| 9/29/16 |
|
|
1,860 |
|
|
|
1,863,185 |
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
Par
(000) |
|
|
Value |
|
| Machinery (concluded) |
|
|
|
|
|
|
|
|
| Wabash National Corp., Term |
|
|
|
|
|
| Loan B, 6.00%, 5/02/19 |
|
USD |
1,461 |
|
|
$ |
1,448,551 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,160,843 |
|
| |
|
| Media – 18.5% |
|
|
|
|
|
|
|
|
| Acosta, Inc., Term Loan, 5.75%, |
|
|
|
|
|
|
|
|
| 3/01/18 |
|
|
627 |
|
|
|
626,535 |
|
| Affinion Group, Inc., Term Loan B, |
|
|
|
|
|
| 5.00%, 7/15/15 |
|
|
742 |
|
|
|
644,391 |
|
| AMC Entertainment, Inc., Term |
|
|
|
|
|
| Loan B3, 4.25%, 2/22/18 |
|
|
846 |
|
|
|
841,344 |
|
| AMC Networks, Inc., Term Loan B, |
|
|
|
|
|
| 4.00%, 12/31/18 |
|
|
1,782 |
|
|
|
1,771,985 |
|
| Atlantic Broadband Finance LLC, |
|
|
|
|
|
| 1st Lien Term Loan, 5.25%, |
|
|
|
|
|
|
|
|
| 4/04/19 |
|
|
970 |
|
|
|
970,970 |
|
| Bresnan Telecommunications Co. |
|
|
|
|
|
| LLC, Term Loan B, 4.50%, |
|
|
|
|
|
|
|
|
| 12/14/17 |
|
|
798 |
|
|
|
799,206 |
|
| Capsugel Healthcare Ltd., Term |
|
|
|
|
|
| Loan, 5.25%, 8/01/18 |
|
|
1,233 |
|
|
|
1,239,727 |
|
| Catalina Marketing Corp., |
|
|
|
|
|
|
|
|
| Extended Term Loan B, 5.75%, |
|
|
|
|
|
| 9/29/17 |
|
|
1,440 |
|
|
|
1,370,633 |
|
| Cengage Learning Acquisitions, Inc.: |
|
|
|
|
|
| Non-Extended Term Loan, |
|
|
|
|
|
|
|
|
| 2.50%, 7/03/14 |
|
|
197 |
|
|
|
179,392 |
|
| Tranche 1 Incremental Term |
|
|
|
|
|
| Loan, 7.50%, 7/03/14 |
|
|
1,112 |
|
|
|
1,056,536 |
|
| Charter Communications Operating LLC: |
|
|
|
|
|
| Term Loan C, 3.50%, 9/06/16 |
|
|
484 |
|
|
|
481,362 |
|
| Term Loan D, 4.00%, 5/15/19 |
|
|
188 |
|
|
|
187,967 |
|
| Clarke American Corp., Term |
|
|
|
|
|
|
|
|
| Facility B, 2.75% - 2.96%, |
|
|
|
|
|
|
|
|
| 6/30/14 |
|
|
50 |
|
|
|
45,337 |
|
| Clear Channel Communications, Inc.: |
|
|
|
|
|
| Term Loan B, 3.90%, 1/28/16 |
|
|
2,100 |
|
|
|
1,588,293 |
|
| Term Loan C, 3.90%, 1/28/16 |
|
|
413 |
|
|
|
309,074 |
|
| Cumulus Media, Inc., Term Loan, |
|
|
|
|
|
| 5.75%, 9/17/18 |
|
|
1,243 |
|
|
|
1,245,974 |
|
| EMI Music Publishing Ltd., Term |
|
|
|
|
|
| Loan B, 5.50%, 11/14/17 |
|
|
1,215 |
|
|
|
1,220,565 |
|
| Gray Television, Inc., Term Loan B, |
|
|
|
|
|
| 3.75%, 12/31/14 |
|
|
1,467 |
|
|
|
1,454,586 |
|
| Houghton Mifflin Harcourt |
|
|
|
|
|
|
|
|
| Publishing Co., DIP Term Loan B, |
|
|
|
|
|
| 7.25%, 6/01/18 |
|
|
1,157 |
|
|
|
1,155,654 |
|
| Hubbard Broadcasting, Term |
|
|
|
|
|
| Loan B (Second Lien), 5.25%, |
|
|
|
|
|
| 4/28/17 |
|
|
993 |
|
|
|
992,431 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME TRUST |
|
JULY 31, 2012 |
|
7 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Trust
(BGT) (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
Par
(000) |
|
|
Value |
|
| Media (concluded) |
|
|
|
|
|
|
|
|
| Intelsat Jackson Holdings SA, |
|
|
|
|
|
| Tranche B Term Loan, 5.25%, |
|
|
|
|
|
| 4/02/18 |
|
USD |
9,459 |
|
|
$ |
9,460,919 |
|
| Interactive Data Corp., Term |
|
|
|
|
|
| Loan B, 4.50%, 2/12/18 |
|
|
3,589 |
|
|
|
3,593,236 |
|
| Kabel Deutschland GmbH: |
|
|
|
|
|
|
|
|
| Term Loan A1, 3.66%, |
|
|
|
|
|
|
|
|
| 3/31/14 |
|
EUR |
3,043 |
|
|
|
3,736,906 |
|
| Term Loan D, 4.16%, |
|
|
|
|
|
|
|
|
| 12/13/16 |
|
|
1,000 |
|
|
|
1,234,706 |
|
| Term Loan E, 3.41%, 6/15/18 |
|
|
4,000 |
|
|
|
4,907,868 |
|
| Term Loan F, 4.25%, 2/01/19 |
|
USD |
2,045 |
|
|
|
2,039,029 |
|
| Lavena Holding 4 GmbH |
|
|
|
|
|
|
|
|
| (Prosiebensat.1 Media AG): |
|
|
|
|
|
|
|
|
| Term Loan B, 2.95%, 3/06/15 |
|
EUR |
304 |
|
|
|
319,144 |
|
| Term Loan C, 3.32%, 3/04/16 |
|
|
608 |
|
|
|
642,027 |
|
| Liberty Cablevision of Puerto Rico |
|
|
|
|
|
|
|
|
| Ltd., Term Loan B, 2.25%, |
|
|
|
|
|
|
|
|
| 6/13/14 |
|
USD |
1,425 |
|
|
|
1,417,875 |
|
| LIN Television Corp., Term Loan B, |
|
|
|
|
|
| 5.00%, 12/21/18 |
|
|
866 |
|
|
|
867,814 |
|
| Newsday LLC: |
|
|
|
|
|
|
|
|
| Fixed Rate Term Loan, |
|
|
|
|
|
|
|
|
| 10.50%, 8/01/13 |
|
|
1,500 |
|
|
|
1,520,160 |
|
| Term Loan, 6.71%, 8/01/13 |
|
|
1,250 |
|
|
|
1,253,125 |
|
| Nielsen Finance LLC, Class B |
|
|
|
|
|
|
|
|
| Term Loan, 4.00%, 5/02/16 |
|
|
1,701 |
|
|
|
1,704,142 |
|
| Serpering Investments B.V. |
|
|
|
|
|
|
|
|
| (Casema NV), Term Loan B, |
|
|
|
|
|
| 3.16%, 3/31/17 |
|
EUR |
619 |
|
|
|
762,009 |
|
| Sinclair Television Group, Inc., |
|
|
|
|
|
|
|
|
| Tranche B Term Loan, 4.00%, |
|
|
|
|
|
| 10/28/16 |
|
USD |
1,403 |
|
|
|
1,401,333 |
|
| Thomson Reuters (Healthcare) |
|
|
|
|
|
|
|
|
| Inc., Term Loan B, 6.75%, |
|
|
|
|
|
| 6/06/19 |
|
|
1,360 |
|
|
|
1,360,571 |
|
| Univision Communications, Inc., |
|
|
|
|
|
| Extended Term Loan, 4.50%, |
|
|
|
|
|
| 3/31/17 |
|
|
1,467 |
|
|
|
1,403,686 |
|
| UPC Broadband Holding B.V., Term |
|
|
|
|
|
| Loan U, 4.38%, 12/29/17 |
|
EUR |
775 |
|
|
|
942,950 |
|
| UPC Financing Partnership: |
|
|
|
|
|
|
|
|
| Term Loan, 4.75%, 12/29/17 |
|
USD |
1,180 |
|
|
|
1,177,546 |
|
| Term Loan T, 3.75%, |
|
|
|
|
|
|
|
|
| 12/30/16 |
|
|
195 |
|
|
|
192,888 |
|
| WC Luxco Sarl, Term Loan B3, |
|
|
|
|
|
|
|
|
| 4.25%, 3/15/18 |
|
|
528 |
|
|
|
527,533 |
|
| Weather Channel, Term Loan B, |
|
|
|
|
|
|
|
|
| 4.25%, 2/13/17 |
|
|
2,251 |
|
|
|
2,252,455 |
|
| WideOpen West Finance, LLP, First |
|
|
|
|
|
| Lien Term Loan, 6.25%, |
|
|
|
|
|
|
|
|
| 7/12/18 |
|
|
1,370 |
|
|
|
1,355,272 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62,255,156 |
|
| |
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
Par
(000) |
|
|
Value |
|
| Metals & Mining – 2.3% |
|
|
|
|
|
|
|
|
| Constellium Holdco B.V., Term |
|
|
|
|
|
|
|
|
| Loan B, 9.25%, 5/25/18 |
|
USD |
795 |
|
|
$ |
779,100 |
|
| Novelis, Inc.: |
|
|
|
|
|
|
|
|
| Incremental Term Loan B2, |
|
|
|
|
|
|
|
|
| 4.00%, 3/10/17 |
|
|
391 |
|
|
|
388,166 |
|
| Term Loan, 4.00%, 3/10/17 |
|
|
3,279 |
|
|
|
3,249,138 |
|
| SunCoke Energy, Inc., Term |
|
|
|
|
|
|
|
|
| Loan B, 4.00%, 7/26/18 |
|
|
842 |
|
|
|
834,138 |
|
| Walter Energy, Inc., Term Loan B, |
|
|
|
|
|
| 4.00%, 4/02/18 |
|
|
2,608 |
|
|
|
2,569,778 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,820,320 |
|
| |
|
| Multiline Retail – 2.0% |
|
|
|
|
|
|
|
|
| 99 Cents Only Stores, Term |
|
|
|
|
|
|
|
|
| Loan B, 5.25%, 1/11/19 |
|
|
1,308 |
|
|
|
1,309,794 |
|
| Hema Holding B.V.: |
|
|
|
|
|
|
|
|
| Term Loan (Second Lien), |
|
|
|
|
|
|
|
|
| 5.37%, 1/05/17 |
|
EUR |
3,800 |
|
|
|
4,363,802 |
|
| Term Loan B, 2.37%, 7/06/15 |
|
|
167 |
|
|
|
195,327 |
|
| Term Loan C, 3.12%, 7/05/16 |
|
|
167 |
|
|
|
194,301 |
|
| The Neiman Marcus Group, Inc., |
|
|
|
|
|
|
|
|
| Term Loan, 4.75%, 5/16/18 |
|
USD |
750 |
|
|
|
743,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,806,894 |
|
| |
|
| Oil, Gas & Consumable Fuels – 2.1% |
|
|
|
|
|
| Chesapeake Energy Corp., |
|
|
|
|
|
|
|
|
| Unsecured Term Loan, 8.50%, |
|
|
|
|
|
| 12/01/17 |
|
|
2,460 |
|
|
|
2,452,841 |
|
| Everest Acquisition LLC, Term |
|
|
|
|
|
| Loan B, 6.50%, 5/24/18 |
|
|
1,160 |
|
|
|
1,173,050 |
|
| Gibson Energy ULC, New Term |
|
|
|
|
|
| Loan B, 4.75%, 6/15/18 |
|
|
2,043 |
|
|
|
2,045,075 |
|
| Obsidian Natural Gas Trust, Term |
|
|
|
|
|
| Loan, 7.00%, 11/02/15 |
|
|
1,332 |
|
|
|
1,332,227 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,003,193 |
|
| |
|
| Paper & Forest Products – 0.2% |
|
|
|
|
|
| NewPage Corp., DIP Term Loan, |
|
|
|
|
|
| 8.00%, 3/07/13 |
|
|
550 |
|
|
|
555,159 |
|
| Verso Paper Finance Holdings LLC, |
|
|
|
|
|
| Term Loan, 6.72% - 7.47%, |
|
|
|
|
|
|
|
|
| 2/01/13 (g) |
|
|
433 |
|
|
|
216,748 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
771,907 |
|
| |
|
| Pharmaceuticals – 3.6% |
|
|
|
|
|
|
|
|
| Aptalis Pharma, Inc., Term Loan B, |
|
|
|
|
|
| 5.50%, 2/10/17 |
|
|
2,660 |
|
|
|
2,612,134 |
|
| Pharmaceutical Product |
|
|
|
|
|
|
|
|
| Development, Inc., Term Loan B, |
|
|
|
|
|
| 6.25%, 12/05/18 |
|
|
3,211 |
|
|
|
3,246,078 |
|
| Quintiles Transnational Corp., |
|
|
|
|
|
|
|
|
| Term Loan B, 5.00%, 6/08/18 |
|
|
1,307 |
|
|
|
1,305,153 |
|
| RPI Finance Trust: |
|
|
|
|
|
|
|
|
| Incremental Tranche 2, 4.00%, |
|
|
|
|
|
| 11/09/18 |
|
|
244 |
|
|
|
243,649 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME TRUST |
|
JULY 31, 2012 |
|
8 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Trust
(BGT) (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
Par
(000) |
|
|
Value |
|
| Pharmaceuticals (concluded) |
|
|
|
|
|
| RPI Finance Trust (concluded): |
|
|
|
|
|
| Term Loan Tranche 2, 4.00%, |
|
|
|
|
|
| 5/09/18 |
|
USD |
903 |
|
|
$ |
897,075 |
|
| Valeant Pharmaceuticals International, |
|
|
|
|
|
| Inc.: |
|
|
|
|
|
|
|
|
| Add-On Term Loan B, 4.75%, |
|
|
|
|
|
| 2/13/19 |
|
|
1,411 |
|
|
|
1,411,463 |
|
| Series A Tranche B, 4.75%, |
|
|
|
|
|
| 2/13/19 |
|
|
1,155 |
|
|
|
1,156,444 |
|
| Warner Chilcott Corp.: |
|
|
|
|
|
|
|
|
| Term Loan B-1, 4.25%, |
|
|
|
|
|
|
|
|
| 3/15/18 |
|
|
767 |
|
|
|
767,321 |
|
| Term Loan B-2, 4.25%, |
|
|
|
|
|
|
|
|
| 3/15/18 |
|
|
384 |
|
|
|
383,661 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,022,978 |
|
| |
|
| Professional Services – 1.2% |
|
|
|
|
|
| Booz Allen Hamilton, Inc., New |
|
|
|
|
|
| Term Loan B, 4.50%, 8/11/19 |
|
|
1,715 |
|
|
|
1,720,145 |
|
| Emdeon, Inc., Term Loan B1, |
|
|
|
|
|
|
|
|
| 5.00%, 11/02/18 |
|
|
1,676 |
|
|
|
1,677,181 |
|
| ON Assignment, Inc., Term Loan B, |
|
|
|
|
|
| 5.00%, 5/15/19 |
|
|
669 |
|
|
|
664,027 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,061,353 |
|
| |
|
| Real Estate Investment Trusts (REITs) – 0.8% |
|
| iStar Financial, Inc.: |
|
|
|
|
|
|
|
|
| Term Loan A1, 5.00%, |
|
|
|
|
|
|
|
|
| 6/28/13 |
|
|
2,473 |
|
|
|
2,466,455 |
|
| Term Loan A2, 7.00%, |
|
|
|
|
|
|
|
|
| 6/30/14 |
|
|
95 |
|
|
|
94,797 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,561,252 |
|
| |
|
| Real Estate Management & Development – 1.4% |
|
| Realogy Corp.: |
|
|
|
|
|
|
|
|
| Extended Letter of Credit, |
|
|
|
|
|
| 4.50%, 10/10/16 |
|
|
285 |
|
|
|
270,032 |
|
| Extended Synthetic Letter of |
|
|
|
|
|
| Credit, 3.25%, 10/10/13 |
|
|
68 |
|
|
|
63,781 |
|
| Extended Term Loan, 4.50%, |
|
|
|
|
|
| 10/10/16 |
|
|
4,318 |
|
|
|
4,091,027 |
|
| Stockbridge SBE Holdings LLC, |
|
|
|
|
|
|
|
|
| Term Loan B, 13.00%, 5/02/17 |
|
|
225 |
|
|
|
220,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,645,621 |
|
| |
|
| Road & Rail – 1.2% |
|
|
|
|
|
| Avis Budget Car Rental LLC, |
|
|
|
|
|
|
|
|
| Incremental Term Loan, 6.25%, |
|
|
|
|
|
| 9/21/18 |
|
|
564 |
|
|
|
566,466 |
|
| RAC Ltd., Term Loan B, |
|
|
|
|
|
|
|
|
| 5.30% - 5.31%, 9/28/18 |
|
GBP |
1,182 |
|
|
|
1,836,728 |
|
| RailAmerica, Inc., Term Loan B, |
|
|
|
|
|
| 4.00%, 3/01/19 |
|
USD |
1,177 |
|
|
|
1,176,073 |
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
Par
(000) |
|
|
Value |
|
| Road & Rail (concluded) |
|
|
|
|
|
| Road Infrastructure Investment |
|
|
|
|
|
| LLC, Term Loan B, 6.25%, |
|
|
|
|
|
|
|
|
| 3/30/18 |
|
USD |
623 |
|
|
$ |
620,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,199,587 |
|
| |
|
| Semiconductors & Semiconductor Equipment – 0.7% |
|
| Freescale Semiconductor, Inc., |
|
|
|
|
|
|
|
|
| Extended Term Loan B, 4.50%, |
|
|
|
|
|
| 12/01/16 |
|
|
1,636 |
|
|
|
1,535,226 |
|
| NXP B.V., Term Loan A-2, 5.50%, |
|
|
|
|
|
|
|
|
| 3/03/17 |
|
|
808 |
|
|
|
806,307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,341,533 |
|
| |
|
| Software – 3.0% |
|
|
|
|
|
|
|
|
| Bankruptcy Management Solutions, Inc.: |
|
|
|
|
|
| Term Loan (First Lien), 7.50%, |
|
|
|
|
|
| 8/20/14 |
|
|
719 |
|
|
|
213,448 |
|
| Term Loan (Second Lien), |
|
|
|
|
|
|
|
|
| 8.25%, 8/20/15 |
|
|
273 |
|
|
|
3,408 |
|
| Blackboard, Inc., Term Loan B, |
|
|
|
|
|
|
|
|
| 7.50%, 10/04/18 |
|
|
448 |
|
|
|
437,582 |
|
| Lawson Software, Inc., Term |
|
|
|
|
|
|
|
|
| Loan B, 6.25%, 4/05/18 |
|
|
4,738 |
|
|
|
4,775,983 |
|
| Magic Newco LLC, Term Loan |
|
|
|
|
|
|
|
|
| (Second Lien), 12.00%, |
|
|
|
|
|
|
|
|
| 12/06/19 |
|
|
300 |
|
|
|
291,564 |
|
| Sophia LP, Term Loan B, 6.25%, |
|
|
|
|
|
|
|
|
| 7/19/18 |
|
|
1,426 |
|
|
|
1,437,480 |
|
| SS&C Technologies, Inc.: |
|
|
|
|
|
|
|
|
| Term Loan B-1, 5.00%, |
|
|
|
|
|
|
|
|
| 6/07/19 |
|
|
2,438 |
|
|
|
2,431,718 |
|
| Term Loan B-2, 5.00%, |
|
|
|
|
|
|
|
|
| 6/07/19 |
|
|
252 |
|
|
|
251,557 |
|
| Vertafore, Inc., Term Loan B, |
|
|
|
|
|
|
|
|
| 5.25%, 7/29/16 |
|
|
339 |
|
|
|
337,746 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,180,486 |
|
| |
|
| Specialty Retail – 6.1% |
|
|
|
|
|
|
|
|
| Academy Ltd., Term Loan, 6.00%, |
|
|
|
|
|
| 8/03/18 |
|
|
1,891 |
|
|
|
1,899,726 |
|
| Amscan Holdings, Inc., Term |
|
|
|
|
|
| Loan B, 5.75%, 7/10/19 |
|
|
2,270 |
|
|
|
2,272,837 |
|
| Bass Pro Group LLC, Term Loan, |
|
|
|
|
|
| 5.25%, 6/13/17 |
|
|
1,487 |
|
|
|
1,493,435 |
|
| Burlington Coat Factory |
|
|
|
|
|
|
|
|
| Warehouse Corp., Term Loan |
|
|
|
|
|
| B1, 5.50%, 2/23/17 |
|
|
394 |
|
|
|
392,835 |
|
| Claire’s Stores, Inc., Term Loan B, |
|
|
|
|
|
| 3.00% - 3.20%, 5/29/14 |
|
|
1,540 |
|
|
|
1,469,628 |
|
| General Nutrition Centers, Inc., |
|
|
|
|
|
|
|
|
| Term Loan B, 4.25%, 3/02/18 |
|
|
2,230 |
|
|
|
2,227,837 |
|
| The Gymboree Corp., Term Loan, |
|
|
|
|
|
| 5.00%, 2/23/18 |
|
|
343 |
|
|
|
329,295 |
|
| Harbor Freight Tools USA, Inc., |
|
|
|
|
|
|
|
|
| Term Loan B, 5.50%, 11/14/17 |
|
|
1,130 |
|
|
|
1,127,650 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME TRUST |
|
JULY 31, 2012 |
|
9 |
|
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Trust
(BGT) (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (b) |
|
Par
(000) |
|
|
Value |
|
| Specialty Retail (concluded) |
|
|
|
|
|
| Jo-Ann Stores, Inc., Term Loan B, |
|
|
|
|
|
| 4.75%, 3/16/18 |
|
USD |
589 |
|
|
$ |
583,363 |
|
| Michaels Stores, Inc.: |
|
|
|
|
|
|
|
|
| Extended Term Loan B3, 5.00%, 7/29/16 |
|
|
820 |
|
|
|
824,189 |
|
| Term Loan B2, 5.00%, 7/29/16 |
|
|
780 |
|
|
|
784,228 |
|
| Petco Animal Supplies, Inc., Term |
|
|
|
|
|
| Loan B, 4.50%, 11/24/17 |
|
|
2,008 |
|
|
|
2,002,029 |
|
| Savers, Inc., Term Loan B, 6.25%, 7/09/19 |
|
|
940 |
|
|
|
948,225 |
|
| Things Remembered, Inc., Term |
|
|
|
|
|
| Loan B, 8.00%, 5/24/18 |
|
|
830 |
|
|
|
813,400 |
|
| Toys ‘R’ Us Delaware, Inc.: |
|
|
|
|
|
|
|
|
| Term Loan, 6.00%, 9/01/16 |
|
|
594 |
|
|
|
561,635 |
|
| Term Loan B2, 5.25%, 5/25/18 |
|
|
495 |
|
|
|
459,523 |
|
| Term Loan B3, 5.25%, 5/25/18 |
|
|
510 |
|
|
|
474,300 |
|
| The Yankee Candle Co., Inc., New |
|
|
|
|
|
| Term Loan B, 5.25%, 4/02/19 |
|
|
1,661 |
|
|
|
1,663,844 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,327,979 |
|
| |
|
| Textiles, Apparel & Luxury Goods – 0.8% |
|
|
|
|
|
| Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 |
|
|
2,424 |
|
|
|
2,399,686 |
|
| Phillips-Van Heusen Corp., Term |
|
|
|
|
|
|
|
|
| Loan B, 3.75%, 5/06/16 |
|
EUR |
171 |
|
|
|
209,377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,609,063 |
|
| |
|
| Wireless Telecommunication Services – 1.5% |
|
| Crown Castle International Corp., |
|
|
|
|
|
| Term Loan B, 4.00%, 1/31/19 |
|
USD |
273 |
|
|
|
272,068 |
|
| MetroPCS Wireless, Inc., Term |
|
|
|
|
|
|
|
|
| Loan B-3, 4.00%, 3/16/18 |
|
|
1,054 |
|
|
|
1,047,735 |
|
| Vodafone Americas Finance 2, Inc. (g): |
|
|
|
|
|
| Term Loan, 6.88%, 8/11/15 |
|
|
2,647 |
|
|
|
2,753,036 |
|
| Term Loan B, 6.25%, 7/11/16 |
|
|
825 |
|
|
|
841,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,914,339 |
|
| |
|
| Total Floating Rate Loan Interests – 120.4% |
|
|
|
404,064,339 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Agency Obligations |
|
|
|
|
|
|
|
|
| Argentina Bonos: |
|
|
|
|
|
|
|
|
| 0.79%, 8/03/12 (b) |
|
|
1,250 |
|
|
|
1,230,442 |
|
| 7.00%, 10/03/15 |
|
|
2,000 |
|
|
|
1,603,833 |
|
| Colombia Government |
|
|
|
|
|
|
|
|
| International Bond, 4.02%, |
|
|
|
|
|
|
|
|
| 3/17/13 (b) |
|
|
180 |
|
|
|
182,250 |
|
|
|
|
|
|
|
|
|
|
| Foreign Agency Obligations |
|
Par
(000) |
|
|
Value |
|
| Uruguay Government International Bond, 6.88%, 1/19/16 |
|
EUR |
950 |
|
|
$ |
1,337,783 |
|
| |
|
| Total Foreign Agency Obligations – 1.3% |
|
|
|
4,354,308 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Interests (h) |
|
Beneficial
Interest
(000) |
|
|
|
|
| Auto Components – 0.0% |
|
|
|
|
|
|
|
|
| Lear Corp. Escrow (c) |
|
USD |
500 |
|
|
|
5,625 |
|
| |
|
| Diversified Financial Services – 0.3% |
|
| JG Wentworth LLC Preferred Equity Interests (c) |
|
|
1 |
|
|
|
1,176,896 |
|
| |
|
| Hotels, Restaurants & Leisure – 0.0% |
|
| Wembley Contigent (c) |
|
|
2 |
|
|
|
7,500 |
|
| |
|
| Household Durables – 0.0% |
|
|
|
|
|
| Berkline Benchcraft Equity LLC (c) |
|
|
6 |
|
|
|
– |
|
| |
|
| Total Other Interests – 0.3% |
|
|
|
|
|
|
1,190,021 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Warrants (i) |
|
Shares |
|
|
|
|
| Chemicals – 0.0% |
|
|
|
|
|
|
|
|
| British Vita Holdings Co.
(Non- Expiring) |
|
|
166 |
|
|
|
– |
|
| |
|
| Media – 0.0% |
|
|
|
|
|
|
|
|
| New Vision Holdings LLC: |
|
|
|
|
|
|
|
|
| (Expires 9/30/14) |
|
|
19,023 |
|
|
|
– |
|
| (Expires 9/30/14) |
|
|
3,424 |
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
– |
|
| |
|
| Software – 0.0% |
|
|
|
|
|
|
|
|
| Bankruptcy Management Solutions, Inc. (Expires 9/28/17) |
|
|
251 |
|
|
|
– |
|
| HMH Holdings/EduMedia (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 3/09/17, Strike Price $12.26) |
|
|
89,025 |
|
|
|
– |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
– |
|
| |
|
| Total Warrants – 0.0% |
|
|
|
|
|
|
– |
|
| |
|
| Total Long-Term Investments |
|
|
|
|
|
|
|
|
| (Cost – $501,189,147) – 146.8% |
|
|
|
|
|
|
492,665,411 |
|
| |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME TRUST |
|
JULY 31, 2012 |
|
10 |
|
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Trust
(BGT) (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
Value |
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
| |
|
| BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (j)(k) |
|
|
1,479,080 |
|
|
$ |
1,479,080 |
|
| |
|
| Total Short-Term Securities |
|
|
|
|
|
|
|
|
| (Cost – $1,479,080) – 0.4% |
|
|
|
|
|
|
1,479,080 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Options Purchased |
|
Contracts |
|
|
|
|
| Over-the-Counter Call Options – 0.0% |
|
| Marsico Parent Superholdco LLC, Strike Price USD 942.86, Expires 12/14/19, Broker Goldman Sachs Group, Inc. |
|
|
26 |
|
|
|
– |
|
| |
|
| Total Options Purchased |
|
|
|
|
|
|
|
|
| (Cost – $25,422) – 0.0% |
|
|
|
|
|
|
– |
|
| |
|
| Total Investments (Cost - $502,693,649*) – 147.2% |
|
|
|
494,144,491 |
|
| Liabilities in Excess of Other Assets – (47.2)% |
|
|
|
(158,473,338 |
) |
|
|
|
|
|
|
|
|
|
| Net Assets – 100.0% |
|
|
|
|
|
$ |
335,671,153 |
|
|
|
|
|
|
|
|
|
|
| * |
As of July 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
|
|
|
|
|
| Tax cost |
|
$ |
500,105,448 |
|
|
|
|
|
|
| Gross unrealized appreciation |
|
$ |
7,871,994 |
|
| Gross unrealized depreciation |
|
|
(13,832,951 |
) |
|
|
|
|
|
| Net unrealized depreciation |
|
$ |
(5,960,957 |
) |
|
|
|
|
|
| (a) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to
qualified institutional investors. |
| (b) |
Variable rate security. Rate shown is as of report date. |
| (c) |
Non-income producing security. |
| (d) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
| (e) |
Convertible security. |
| (f) |
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
|
| (g) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
| (h) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
| (i) |
Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to
adjustment under certain conditions until the expiration date, if any. |
| (j) |
Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended,
were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Affiliate |
|
Shares
Held at
October 31,
2011 |
|
|
Net
Activity |
|
|
Shares
Held at
July 31,
2012 |
|
|
Income |
|
|
|
|
|
|
| BlackRock Liquidity Funds, TempFund, Institutional Class |
|
|
1,071,567 |
|
|
|
407,513 |
|
|
|
1,479,080 |
|
|
$ |
1,069 |
|
| (k) |
Represents the current yield as of report date. |
|
| Portfolio Abbreviations |
| To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following
list: |
|
|
|
| CAD |
|
Canadian Dollar |
| CHF |
|
Swiss Franc |
| DIP |
|
Debtor-In-Possession |
| EUR |
|
Euro |
| FKA |
|
Formerly Known As |
| GBP |
|
British Pound |
| USD |
|
US Dollar |
| — |
|
For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely
recognized market indexes or rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
|
| — |
|
Credit default swaps on traded indexes - buy protection outstanding as of July 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Issuer |
|
Pay
Fixed
Rate |
|
Counterparty/Exchange |
|
Expiration
Date |
|
Notional
Amount
(000) |
|
|
Unrealized
Depreciation |
|
|
|
| Dow Jones CDX North |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| America High Yield |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Index Series 18 |
|
5.00% |
|
JPMorgan Chase & Co. |
|
6/20/17 |
|
$ |
4,455 |
|
|
|
$ (131,077) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME TRUST |
|
JULY 31, 2012 |
|
11 |
|
|
|
|
|
|
| Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Trust
(BGT) |
| — |
|
Foreign currency exchange contracts as of July 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency
Purchased |
|
|
|
Currency Sold |
|
|
|
|
Counterparty |
|
Settlement
Date |
|
Unrealized
Appreciation
(Depreciation) |
|
|
|
| USD |
|
6,171,594 |
|
CAD |
|
|
6,272,000 |
|
|
UBS AG |
|
10/17/12 |
|
$ |
(72,392 |
) |
|
|
| USD |
|
1,107,652 |
|
CHF |
|
|
1,055,000 |
|
|
Citigroup, Inc. |
|
10/17/12 |
|
|
24,876 |
|
|
|
| USD |
|
368,190 |
|
GBP |
|
|
235,000 |
|
|
Citigroup, Inc. |
|
10/17/12 |
|
|
(241 |
) |
|
|
| USD |
|
16,192,202 |
|
GBP |
|
|
10,398,000 |
|
|
UBS AG |
|
10/17/12 |
|
|
(109,678 |
) |
|
|
| USD |
|
333,478 |
|
GBP |
|
|
215,000 |
|
|
UBS AG |
|
10/17/12 |
|
|
(3,597 |
) |
|
|
| USD |
|
51,381,407 |
|
EUR |
|
|
41,856,500 |
|
|
UBS AG |
|
10/22/12 |
|
|
(170,800 |
) |
|
|
| |
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(331,832 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| — |
|
Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation
techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: |
| |
— |
|
Level 1 – unadjusted price quotations in active markets/exchanges for identical assets and liabilities |
| |
— |
|
Level 2 – other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices
for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities,
credit risks and default rates) or other market-corroborated inputs) |
| |
— |
|
Level 3 – unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the
Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
Changes in
valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have
occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not
necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies,
please refer to the Trust’s most recent financial statements as contained in its semi-annual report.
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the
disclosure hierarchy as of July 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Long Term Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
|
– |
|
|
$ |
1,208,018 |
|
|
$ |
6,077,133 |
|
|
$ |
7,285,151 |
|
| Common Stocks |
|
$ |
225,801 |
|
|
|
2,782,191 |
|
|
|
344,497 |
|
|
|
3,352,489 |
|
| Corporate Bonds |
|
|
– |
|
|
|
72,419,103 |
|
|
|
– |
|
|
|
72,419,103 |
|
| Floating Rate Loan Interests |
|
|
– |
|
|
|
376,828,797 |
|
|
|
27,235,542 |
|
|
|
404,064,339 |
|
| Foreign Agency Obligations |
|
|
– |
|
|
|
1,520,033 |
|
|
|
2,834,275 |
|
|
|
4,354,308 |
|
| Other Interests |
|
|
– |
|
|
|
– |
|
|
|
1,190,021 |
|
|
|
1,190,021 |
|
| Short-Term Securities |
|
|
1,479,080 |
|
|
|
– |
|
|
|
– |
|
|
|
1,479,080 |
|
|
|
|
|
|
| Total |
|
$ |
1,704,881 |
|
|
$ |
454,758,142 |
|
|
$ |
37,681,468 |
|
|
$ |
494,144,491 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Derivative Financial Instruments1 |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign currency exchange contracts |
|
|
– |
|
|
$ |
24,876 |
|
|
|
– |
|
|
$ |
24,876 |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit contracts |
|
|
|
|
|
|
(131,077 |
) |
|
|
|
|
|
|
(131,077 |
) |
| Foreign currency exchange contracts |
|
|
– |
|
|
|
(356,708 |
) |
|
|
– |
|
|
|
(356,708 |
) |
|
|
|
|
|
| Total |
|
|
– |
|
|
$ |
(462,909 |
) |
|
|
– |
|
|
$ |
(462,909 |
) |
|
|
|
|
|
| 1 |
Derivative financial instruments are swaps and foreign currency exchange contracts which are valued at the unrealized appreciation/depreciation on the
instrument. |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME TRUST |
|
JULY 31, 2012 |
|
12 |
|
|
|
|
|
|
| Schedule of Investments (concluded) |
|
BlackRock Floating Rate Income Trust
(BGT) |
Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for
financial reporting purposes. As of July 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cash |
|
$ |
7,341 |
|
|
|
– |
|
|
|
– |
|
|
$ |
7,341 |
|
| Foreign currency |
|
|
304,576 |
|
|
|
|
|
|
|
|
|
|
|
304,576 |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Loans payable |
|
|
– |
|
|
$ |
(139,000,000) |
|
|
|
|
|
|
|
(139,000,000) |
|
|
|
|
|
|
| Total |
|
$ |
311,917 |
|
|
$ |
(139,000,000) |
|
|
|
– |
|
|
$ |
(138,688,083) |
|
|
|
|
|
|
There were no transfers between Level 1 and Level 2 during the period ended July 31, 2012.
Certain of the Trust’s investments are categorized as Level 3 and were valued utilizing transaction prices or third party pricing information without
adjustment. Such valuations are based on unobservable inputs. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair
value: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset-Backed
Securities |
|
|
Common
Stocks |
|
|
Floating
Rate Loan
Interests |
|
|
Foreign
Agency
Obligations |
|
|
Other
Interests |
|
|
Warrants |
|
|
Total |
|
|
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Opening Balance, as of October 31, 2011 |
|
$ |
6,561,220 |
|
|
$ |
234,634 |
|
|
$ |
32,466,825 |
|
|
$ |
2,961,954 |
|
|
$ |
1,281,000 |
|
|
$ |
227 |
|
|
$ |
43,505,860 |
|
|
|
| Transfers into Level 31 |
|
|
– |
|
|
|
340,560 |
|
|
|
551,832 |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
892,392 |
|
|
|
| Transfers out of Level 31 |
|
|
– |
|
|
|
(30) |
|
|
|
(12,900,798) |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
(12,900,828) |
|
|
|
| Accrued discounts/premiums |
|
|
80,178 |
|
|
|
– |
|
|
|
57,267 |
|
|
|
118,206 |
|
|
|
– |
|
|
|
– |
|
|
|
255,651 |
|
|
|
| Net realized gain (loss) |
|
|
(90,904) |
|
|
|
(1,973,689) |
|
|
|
(800,555) |
|
|
|
– |
|
|
|
182 |
|
|
|
– |
|
|
|
(2,864,966) |
|
|
|
| Net change in unrealized appreciation/depreciation2 |
|
|
573,277 |
|
|
|
1,743,037 |
|
|
|
1,164,119 |
|
|
|
(245,885) |
|
|
|
(90,979) |
|
|
|
(227) |
|
|
|
3,143,342 |
|
|
|
| Purchases |
|
|
3,609,832 |
|
|
|
– |
|
|
|
10,414,759 |
|
|
|
– |
|
|
|
– |
|
|
|
– |
|
|
|
14,024,591 |
|
|
|
| Sales |
|
|
(4,656,470) |
|
|
|
(15) |
|
|
|
(3,717,907) |
|
|
|
– |
|
|
|
(182) |
|
|
|
– |
|
|
|
(8,374,574) |
|
|
|
|
|
|
|
|
|
|
| Closing Balance, as of July 31, 2012 |
|
$ |
6,077,133 |
|
|
$ |
344,497 |
|
|
$ |
27,235,542 |
|
|
$ |
2,834,275 |
|
|
$ |
1,190,021 |
|
|
|
– |
|
|
$ |
37,681,468 |
|
|
|
|
|
|
|
|
|
|
| 1 |
Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period. Prior to January 31, 2012, only significant
transfers into and out of Level 3 were required to be disclosed. For the interim period, February 1, 2012 through July 31, 2012, all transfers into and out of Level 3 are required to be disclosed. As of January 31, 2012, the Trust
used significant unobservable inputs in determining the value of certain investments. As of July 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of period
value of $12,900,828 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
| 2 |
The change in unrealized appreciation/depreciation on investments still held as of July 31, 2012 was $43,228. |
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.
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME TRUST |
|
JULY 31, 2012 |
|
13 |
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 Floating Rate Income Trust
|
|
|
|
|
| |
|
By: |
|
/s/ John M. Perlowski |
|
|
|
|
John M. Perlowski |
|
|
|
|
Chief Executive Officer (principal executive officer) of |
|
|
|
|
BlackRock Floating Rate Income Trust |
Date: September 25, 2012
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in
the capacities and on the dates indicated.
|
|
|
|
|
| |
|
By: |
|
/s/ John M. Perlowski |
|
|
|
|
John M. Perlowski |
|
|
|
|
Chief Executive Officer (principal executive officer) of |
|
|
|
|
BlackRock Floating Rate Income Trust |
Date: September 25, 2012
|
|
|
|
|
| |
|
By: |
|
/s/ Neal J. Andrews |
|
|
|
|
Neal J. Andrews |
|
|
|
|
Chief Financial Officer (principal financial officer) of |
|
|
|
|
BlackRock Floating Rate Income Trust |
Date: September 25, 2012