BLACKROCK FLOATING RATE INCOME TRUST
Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

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: 10/31/2013

Date of reporting period: 04/30/2013


Table of Contents
Item 1 –   Report to Stockholders


Table of Contents

APRIL 30, 2013

 

 

 

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    LOGO

 

BlackRock Credit Allocation Income Trust (BTZ)

BlackRock Floating Rate Income Trust (BGT)

BlackRock Multi-Sector Income Trust (BIT)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents
Table of Contents     

 

     Page  

Dear Shareholder

    3   

Semi-Annual Report:

 

Trust Summaries

    4   

The Benefits and Risks of Leveraging

    9   

Derivative Financial Instruments

    9   

Financial Statements:

 

Schedules of Investments

    10   

Statements of Assets and Liabilities

    43   

Statements of Operations

    44   

Statements of Changes in Net Assets

    45   

Statements of Cash Flows

    47   

Financial Highlights

    48   

Notes to Financial Statements

    51   

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements

    64   

Officers and Trustees

    67   

Additional Information

    68   

 

                
2    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents
Dear Shareholder

 

About this time one year ago, financial market activity was dominated by concerns about Europe’s debt crisis. Investors were also discouraged by gloomy economic reports from various parts of the world, particularly in China. As the outlook for the global economy worsened, however, investors grew increasingly optimistic that the world’s largest central banks would intervene to stimulate growth. This theme, along with the European Central Bank’s (“ECB’s”) firm commitment to preserve the euro currency bloc, drove most asset classes higher through the summer of 2012. In early September, the ECB announced its sovereign bond-buying program designed to support the region’s debt-laden countries. Days later, the US Federal Reserve announced its own much-anticipated stimulus package.

Although financial markets world-wide were buoyed by these aggressive policy actions, risk assets weakened in the fall of 2012. Global trade slowed as many European countries fell into recession and growth continued to decelerate in China. In the United States, stocks slid on lackluster corporate earnings and volatility rose in advance of the US Presidential election. In the post-election environment, investors became more concerned about the “fiscal cliff,” the automatic tax increases and spending cuts that had been scheduled to take effect at the beginning of 2013. High levels of global market volatility persisted through year-end due to fears that bipartisan gridlock would preclude a timely resolution, putting the US economy at high risk for recession. Ultimately, the worst of the fiscal cliff was averted with a last-minute tax deal, although decisions relating to spending cuts and the debt ceiling were postponed, leaving lingering uncertainty.

Investors shook off the nerve-wracking finale to 2012 and the New Year began with a powerful relief rally. Money that had been pulled to the sidelines amid year-end tax-rate uncertainty poured back into the markets in January. Key indicators signaling modest but broad-based improvements in the world’s major economies underpinned the rally. Underlying this aura of comfort was the absence of negative headlines out of Europe. Against this backdrop, global equities surged through January while rising US Treasury yields pressured high quality fixed income assets (as prices move in the opposite direction of yields).

However, bond markets regained strength in February (as yields once again dropped) when global economic momentum slowed and investors toned down their risk appetite. International stock markets weakened amid a resurgence of macro risk out of Europe. A stalemate presidential election in Italy was a reminder that political instability continued to plague the eurozone and a severe banking crisis in Cyprus underscored the fragility of the broader European banking system. In the United States, stocks continued to rise, but at a more moderate pace. Investors grew more cautious given uncertainty as to how long the central bank would continue its stimulus programs. How government spending cuts would impact the already slow economic recovery was another concern. But improving labor market data and rising home prices boosted sentiment in March, pushing major US stock indices to all-time highs. Investors scaled back their enthusiasm in April due to a series of disappointing economic reports. On the whole, US stocks have performed well thus far in 2013 as the US economy demonstrated enough resilience to allay fears of recession, but growth has remained slow enough to dissuade the US Federal Reserve from changing its stance.

Despite continued headwinds for global growth, risk assets have rallied, driven largely by investors seeking meaningful yields in the ongoing low-interest-rate environment. For the 6- and 12-month periods ended April 30, 2013, US and international stocks and high yield bonds posted strong gains. Emerging market equities lagged the rally as the uneven pace of global growth raised doubts that developing economies could thrive in the near term. US Treasury yields were highly volatile over the past 12 months, although they continue to remain low from a historical perspective. US Treasury and investment-grade bonds generated modest returns in this environment, while tax-exempt municipal bonds benefited from favorable supply-and-demand dynamics. Near-zero short term interest rates continued to keep yields on money market securities near their all-time lows.

Market conditions have improved over the past couple of years, but investors still remain highly uncertain and many of the old ways of investing no longer work. That’s why the new world of investing calls for a new approach. One that seeks out more opportunities in more places across a broader array of investments in a portfolio designed to move freely as the markets move up and down. Visit www.blackrockplan.com to learn more about how to take action.

 

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

LOGO

“Despite continued headwinds for global growth, risk assets have rallied, driven largely by investors seeking meaningful yields in the ongoing low-interest-rate environment.”

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of April 30, 2013  
    6-month     12-month  

US large cap equities
(S&P 500® Index)

    14.42     16.89

US small cap equities
(Russell 2000® Index)

    16.58        17.69   

International equities
(MSCI Europe, Australasia, Far East Index)

    16.90        19.39   

Emerging market equities
(MSCI Emerging Markets Index)

    5.29        3.97   

3-month Treasury bill
(BofA Merrill Lynch
3-Month US Treasury
Bill Index)

    0.06        0.12   

US Treasury securities
(BofA Merrill Lynch 10-Year US Treasury Index)

    1.52        5.07   

US investment grade
bonds (Barclays US Aggregate Bond Index)

    0.90        3.68   

Tax-exempt municipal
bonds (S&P Municipal Bond Index)

    2.01        5.74   

US high yield bonds

(Barclays US Corporate High Yield 2% Issuer Capped Index)

    7.26        13.95   
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.    

 

                
   THIS PAGE NOT PART OF YOUR FUND REPORT       3


Table of Contents
Trust Summary as of April 30, 2013    BlackRock Credit Allocation Income Trust

 

Trust Overview

BlackRock Credit Allocation Income Trust’s (BTZ) (the “Trust”) investment objective is to provide current income, current gains and capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in credit-related securities, including, but not limited to, investment grade corporate bonds, high yield bonds (commonly referred to as “junk” bonds), bank loans, preferred securities or convertible bonds or derivatives with economic characteristics similar to these credit-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Portfolio Management Commentary

 

 

Ÿ  

On July 27, 2012, the Board of Directors of BTZ approved separate plans of reorganization whereby BTZ would acquire all of the assets and assume all of the liabilities of Credit Allocation Income Trust (PSW), Credit Allocation Income Trust II (PSY) and Credit Allocation Income Trust III (BPP) (each a “Target Fund”) in exchange for newly issued shares of BTZ in a merger transaction. At a shareholder meeting on November 2, 2012, each Target Fund’s shareholders approved their respective plan of reorganization and BTZ shareholders approved the issuance of BTZ shares in connection with each reorganization. The reorganizations took place on December 10, 2012. On February 11, 2013, BTZ changed its name to BlackRock Credit Allocation Income Trust.

How did the Trust perform?

 

Ÿ  

For the six-month period ended April 30, 2013, the Trust returned 5.04% based on market price and 5.88% based on net asset value (“NAV”). For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds (Leveraged) category posted an average return of 5.12% based on market price and 4.83% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

 

Ÿ  

The Trust’s heavy exposure to credit sectors had a positive impact on performance as risk assets broadly rallied during the period. The Trust maintained a high level of leverage, which enhanced results in the positive market environment. A preference for companies generating cash flows sourced from the US domestic market proved beneficial. Also contributing positively to returns were the Trust’s large allocations to the higher-yielding credit sectors such as high yield bonds, subordinated financials and lower-quality investment grade bonds.

Describe recent portfolio activity.

 

Ÿ  

During the six-month period, the Trust was tactical in rotating in and out of sectors and individual credit names, but overall, did not make major changes to its overall positioning. The Trust continued to maintain a stance based on the assumption that the current low-growth, low-interest rate and low-volatility environment would continue for the near term. Thus far, the slow-growth paradigm in the United States has not proved sufficient to warrant a major change in central bank monetary policy and, as a result, credit sectors have been well supported. In this scenario where corporate funding is cheap and re-levering is a reality, the Trust remained focused on bottom-up security selection within industrials given the event-driven headline risk for a number of credits in that space.

Describe portfolio positioning at period end.

 

Ÿ  

As of period end, the Trust’s positioning remained largely consistent with the themes of 2012, which reflect a base case of the continuation of modest growth, accommodative monetary policy and low interest rates. In this environment, credit conditions remained supportive and thus the Trust retained its allocations to high yield bonds, financials, capital securities, and companies with cash flows derived from the United States.

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
4    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents
     BlackRock Credit Allocation Income Trust

 

 

Trust Information

Symbol on New York Stock Exchange (“NYSE”)

   BTZ

Initial Offering Date

   December 27, 2006

Current Distribution Rate on Closing Market Price as of April 30, 2013 ($14.42)1

   6.53%

Current Monthly Distribution per Common Share2

   $0.0785

Current Annualized Distribution per Common Share2

   $0.9420

Economic Leverage as of April 30, 20133

   31%

 

  1   

Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a tax return of capital. See the Additional Information — Section 19(a) Notices section for the estimated sources and character of distributions. Past performance does not guarantee future results.

 

  2   

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain.

 

  3   

Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 9.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

        4/30/13        10/31/12        Change      High        Low  

Market Price

     $ 14.42         $ 14.23           1.34    $ 14.44         $ 13.57   

Net Asset Value

     $ 15.70         $ 15.37           2.15    $ 15.70         $ 15.17   

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocation of the Trust’s corporate bond and US government securities investments:

 

Portfolio Composition              
     4/30/13     10/31/12  

Corporate Bonds

    79     80

Preferred Securities

    17        16   

US Treasury Obligations

    2        2   

Taxable Municipal Bonds

    1        1   

Asset-Backed Securities

    1        1   

 

Credit Quality Allocation4              
     4/30/13     10/31/12  

AAA/Aaa5

    2     3

AA/Aa

    2        2   

A

    20        25   

BBB/Baa

    41        39   

BB/Ba

    21        18   

B

    11        10   

CCC/Caa

    1        1   

Not Rated

    2        2   

 

  4   

Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings.

 

  5   

Includes US Government Sponsored Agency Securities and/or US Treasury Obligations, which were deemed AAA by the investment advisor.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    5


Table of Contents
Trust Summary as of April 30, 2013    BlackRock Floating Rate Income Trust

 

Trust Overview

BlackRock Floating Rate Income Trust’s (BGT) (the “Trust”) primary investment objective is to provide a high level of current income. The Trust’s secondary investment objective is to seek the preservation of capital. The Trust seeks to achieve its investment objectives by investing primarily, under normal conditions, at least 80% of its assets in floating and variable rate instruments of US and non-US issuers, including a substantial portion of its assets in global floating and variable rate securities including senior secured floating rate loans made to corporate and other business entities. Under normal market conditions, the Trust expects that the average effective duration of its portfolio will be no more than 1.5 years. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objectives will be achieved.

 

 

Portfolio Management Commentary     

 

How did the Trust perform?

 

Ÿ  

For the six-month period ended April 30, 2013, the Trust returned 10.55% based on market price and 6.56% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 8.61% based on market price and 6.32% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

 

Ÿ  

Security selection in the technology and gaming sectors contributed positively to results, as did the Trust’s tactical allocation to fixed-rate high yield corporate bonds, which outperformed floating rate loan interests (bank loans) over the period. The Trust’s preference for non-US loan credits versus emerging market sovereign bonds had a positive impact as well.

 

Ÿ  

Conversely, security selection in the electric and media non-cable sectors detracted from performance. The Trust’s large exposures to the wireless and media cable sectors also had a negative impact.

Describe recent portfolio activity.

 

Ÿ  

During the six-month period, the Trust maintained its focus on the higher quality portions of the loan market in terms of loan structure, liquidity and overall credit quality. The Trust sought issuers with attractive risk-reward characteristics and superior fundamentals, while avoiding lower-rated, less-liquid loan names that have rallied significantly, but offer a less compelling risk-reward trade-off. More specifically, with the average loan trading at or just above par today (leaving little or no potential for price appreciation and increased risk for unfavorable re-pricing), the Trust placed an emphasis on attaining attractive coupon income and investing in strong companies that are better positioned to endure the continued fragile economic environment.

Describe portfolio positioning at period end.

 

Ÿ  

At period end, the Trust held 81% of its total portfolio in floating rate loan interests, 15% in corporate bonds and 3% in asset-backed securities, with the remainder invested in a mix of common stocks and other interests. The Trust’s largest sector exposures included health care, consumer services and gaming. The Trust ended the period with leverage at approximately 29% of its total managed assets.

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
6    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents
     BlackRock Floating Rate Income Trust

 

 

Trust Information

Symbol on NYSE

   BGT

Initial Offering Date

   August 30, 2004

Current Distribution Rate on Closing Market Price as of April 30, 2013 ($16.00)1

   5.81%

Current Monthly Distribution per Common Share2

   $0.0775

Current Annualized Distribution per Common Share2

   $0.9300

Economic Leverage as of April 30, 20133

   29%

 

1   

Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

 

2   

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain.

 

3   

Represents the loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 9.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

       

4/30/13

       10/31/12        Change      High        Low  

Market Price

     $ 16.00         $ 15.07           6.17    $ 16.23         $ 13.90   

Net Asset Value

     $ 14.86         $ 14.52           2.34    $ 14.86         $ 14.45   

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocation of the Trust’s corporate bonds:

 

Portfolio Composition               
     

4/30/13

    10/31/12  

Floating Rate Loan Interests

     81     80

Corporate Bonds

     15        16   

Asset-Backed Securities

     3        2   

Foreign Agency Obligations

            1   

Common Stocks

     1        1   

 

Credit Quality Allocation4               
     

4/30/13

    10/31/12  

BBB/Baa

     13     19

BB/Ba

     28        36   

B

     56        42   

CCC/Caa

     2        2   

Not Rated

     1        1   

 

4   

Using the higher of S&P's or Moody's ratings.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    7


Table of Contents
Trust Summary as of April 30, 2013    BlackRock Multi-Sector Income Trust

 

Trust Overview     

BlackRock Multi-Sector Income Trust’s (BIT) (the “Trust”) primary investment objective is to seek high current income, with a secondary objective of capital appreciation. The Trust seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its assets in loan and debt instruments and other investments with similar economic characteristics. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information      

Symbol on NYSE

   BIT

Initial Offering Date

   February 27, 2013

Current Distribution Rate on Closing Market Price as of April 30, 2013 ($19.16)1

   7.31%

Current Monthly Distribution per Common Share2

   $0.1167

Current Annualized Distribution per Common Share2

   $1.4004

Economic Leverage as of April 30, 20133

   23%

 

1   

Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a tax return of capital. See the Additional Information — Section 19(a) Notices section for the estimated sources and character of distributions. Past performance does not guarantee future results.

 

2   

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain.

 

3   

Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 9.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

        4/30/13        2/27/134        Change      High        Low  

Market Price

     $ 19.16         $ 20.00           (4.20 )%     $ 20.50         $ 18.69   

Net Asset Value

     $ 19.54         $ 19.10           2.30    $ 19.54         $ 19.05   

 

4   

Commencement of operations.

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocation of the Trust’s corporate bond and US government securities investments:

 

Portfolio Composition        
      4/30/13  

Corporate Bonds

     40

Non-Agency Mortgage-Backed Securities

     20   

Asset-Backed Securities

     19   

Preferred Securities

     10   

Floating Rate Loan Interests

     7   

US Government Sponsored Agency Securities

     4   

 

Credit Quality Allocation5        
      4/30/13  

AAA/Aaa6

     8

AA/Aa

       

A

     1   

BBB/Baa

     3   

BB/Ba

     33   

B

     43   

CCC/Caa

     9   

Not Rated

     3   

 

5   

Using the higher of S&P’s or Moody’s ratings.

 

6   

Includes US Government-Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor.

 

                
8    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents
The Benefits and Risks of Leveraging     

 

 

The Trusts may utilize leverage to seek to enhance the yield and NAV of their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

The Trusts may utilize leverage by borrowing through a credit facility and/or entering into reverse repurchase agreements. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Trust on its longer-term portfolio investments. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders will benefit from the incremental net income.

The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Trusts had not used leverage.

To illustrate these concepts, assume a Trust’s capitalization is $100 million and it borrows for an additional $30 million, creating a total value of $130 million available for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Trust pays borrowing costs and interest expense on the $30 million of borrowings based on the lower short-term interest rates. At the same time, the securities purchased by the Trust with assets received from the borrowings earn income based on long-term interest rates. In this case, the borrowing costs and interest expense of the borrowings is significantly lower than the income earned on the Trust’s long-term investments, and therefore the Trust’s shareholders are the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Trust pays higher short-term interest rates whereas the Trust’s total portfolio earns income based on lower long-term interest rates.

Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Trusts’ borrowings does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAV positively or negatively in addition to the impact on Trust performance from borrowings discussed above.

The use of leverage may enhance opportunities for increased income to the Trusts, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Trusts’ net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Trust’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders will be reduced. Each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Trust to incur losses. The use of leverage may limit each Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Trusts are permitted to issue senior securities representing indebtedness up to 33 1/3% of their total managed assets (each Trust’s net assets plus the proceeds of any outstanding borrowings). If the Trusts segregate liquid assets having a value not less than the repurchase price (including accrued interest), a reverse repurchase agreement will not be considered a senior security and therefore will not be subject to this limitation. In addition, each Trust voluntarily limits its aggregate economic leverage to 50% of its managed assets. As of April 30, 2013, the Trusts had aggregate economic leverage from reverse repurchase agreements and/or borrowings through a credit facility as a percentage of their total managed assets as follows:

 

      Percent of
Economic
Leverage
 

BTZ

     31

BGT

     29

BIT

     23

 

Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps, as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate and/or foreign currency exchange rate risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Trust to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Trust can realize on an investment, may result in lower dividends paid to shareholders or may cause a Trust to hold an investment that it might otherwise sell. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    9


Table of Contents

Schedule of Investments April 30, 2013 (Unaudited)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities          

Par  

(000)

    Value  

321 Henderson Receivables I LLC, Series 2012-1A, Class A,
4.21%, 2/16/65 (a)

    USD         2,897      $ 3,210,589   

Atrium CDO Corp., Series 5A, Class A4,
0.68%, 7/20/20 (a)(b)

       9,000        8,415,000   

SLM Student Loan Trust, Series 2004-B, Class A2, 0.48%, 6/15/21 (b)

             4,788        4,715,960   
Total Asset-Backed Securities – 1.0%                      16,341,549   
      
                          
Corporate Bonds                      

Aerospace & Defense — 0.5%

      

Bombardier, Inc., 4.25%, 1/15/16 (a)

       1,390        1,450,813   

Huntington Ingalls Industries, Inc.:

      

6.88%, 3/15/18

       1,430        1,581,937   

7.13%, 3/15/21

       2,000        2,225,000   

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

       3,418        3,768,345   
      

 

 

 
                       9,026,095   

Airlines — 0.6%

      

American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 10/15/21

       755        798,718   

Continental Airlines Pass-Through Trust:

      

Series 2009-2, Class B, 9.25%, 5/10/17

       3,626        4,065,125   

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

       2,040        2,080,800   

Delta Air Lines Pass-Through Trust, Series 2002-1, Class G-1, 6.72%, 1/02/23

       3,582        3,994,039   
      

 

 

 
                       10,938,682   

Auto Components — 1.1%

      

Delphi Corp., 6.13%, 5/15/21

       870        973,312   

Ford Motor Co., 7.45%, 7/16/31

       3,660        4,869,912   

Icahn Enterprises LP, 8.00%, 1/15/18

       9,200        9,890,000   

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

       2,470        2,500,875   
      

 

 

 
                       18,234,099   

Beverages — 0.7%

      

Anheuser-Busch InBev Worldwide, Inc., 1.38%, 7/15/17 (c)

       3,375        3,420,218   

Constellation Brands, Inc.:

      

7.25%, 5/15/17

       6,615        7,706,475   

4.25%, 5/01/23 (d)

       1,240        1,240,000   
      

 

 

 
                       12,366,693   

Building Products — 0.5%

      

Building Materials Corp. of America (a):

      

7.00%, 2/15/20

       1,430        1,565,850   

6.75%, 5/01/21

       3,600        3,987,000   

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

       440        447,700   

Momentive Performance Materials, Inc., 8.88%, 10/15/20

       1,030        1,122,700   

Texas Industries, Inc., 9.25%, 8/15/20

       1,342        1,494,653   
      

 

 

 
                       8,617,903   

Capital Markets — 4.6%

      

Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)

    USD         10,000      $ 12,018,350   

The Goldman Sachs Group, Inc. (c):

      

6.25%, 9/01/17

       625        735,201   

6.15%, 4/01/18

       1,650        1,949,425   

7.50%, 2/15/19

       5,165        6,512,988   

5.25%, 7/27/21

       1,175        1,362,367   

5.75%, 1/24/22

       5,500        6,566,989   

6.25%, 2/01/41

       15,000        18,712,755   

Morgan Stanley:

      

0.76%, 10/15/15 (b)

       1,325        1,308,422   

5.63%, 9/23/19 (c)

       6,770        7,886,684   

5.75%, 1/25/21 (c)

       5,495        6,540,545   

5.50%, 7/28/21

       2,695        3,162,900   

3.75%, 2/25/23

       2,000        2,075,688   

UBS AG:

      

2.25%, 1/28/14 (c)

       3,170        3,209,777   

5.88%, 7/15/16

       5,025        5,642,462   
      

 

 

 
                       77,684,553   

Chemicals — 2.6%

      

Ashland, Inc., 3.88%, 4/15/18 (a)

       1,745        1,797,350   

Axiall Corp., 4.88%, 5/15/23 (a)

       367        383,515   

Basell Finance Co. BV, 8.10%, 3/15/27 (a)

       6,000        8,265,000   

Celanese US Holdings LLC, 5.88%, 6/15/21

       2,615        2,928,800   

Eagle Spinco, Inc., 4.63%, 2/15/21 (a)

       1,674        1,757,700   

Huntsman International LLC:

      

4.88%, 11/15/20

       1,651        1,729,422   

8.63%, 3/15/21 (c)

       2,000        2,300,000   

INEOS Finance Plc (a):

      

8.38%, 2/15/19

       255        287,513   

7.50%, 5/01/20

       2,080        2,324,400   

Linde Finance BV, 7.38%, 7/14/66 (b)

    EUR         2,086        3,193,572   

LyondellBasell Industries NV, 5.75%, 4/15/24 (c)

    USD         6,370        7,674,894   

Nufarm Australia Ltd., 6.38%, 10/15/19 (a)

       990        1,017,225   

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

       885        898,275   

Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp., 6.50%, 4/15/21 (a)

       1,450        1,486,250   

Rockwood Specialties Group, Inc., 4.63%, 10/15/20

       5,926        6,251,930   

Tronox Finance LLC, 6.38%, 8/15/20 (a)

       737        735,157   

US Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.38%, 5/01/21 (a)

       617        658,648   
      

 

 

 
                       43,689,651   

Commercial Banks — 4.2%

      

Asciano Finance Ltd., 5.00%, 4/07/18 (a)

       3,000        3,300,603   

Associated Banc-Corp, 5.13%, 3/28/16 (c)

       7,430        8,147,471   

Branch Banking & Trust Co. (b):

      

0.60%, 9/13/16

       3,750        3,715,402   

0.59%, 5/23/17

       2,250        2,214,403   

CIT Group, Inc.:

      

4.25%, 8/15/17

       4,600        4,876,000   

5.25%, 3/15/18

       4,030        4,453,150   

 

Portfolio Abbreviations

 

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

 

ARB

 

Airport Revenue Bonds

CAD

 

Canadian Dollar

CHF

 

Swiss Franc

DIP

 

Debtor-In-Possession

EUR

 

Euro

FKA

 

Formerly Known As

GBP

 

British Pound

RB

 

Revenue Bonds

TBA

 

To Be Announced

USD

 

US Dollar

 

See Notes to Financial Statements.

 

                
10    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Corporate Bonds

         

Par  

(000)

    Value  

Commercial Banks (concluded)

      

CIT Group, Inc. (concluded):

      

6.63%, 4/01/18 (a)

    USD         335      $ 391,113   

5.50%, 2/15/19 (a)

       3,500        3,946,250   

5.00%, 8/15/22

       1,440        1,610,394   

City National Corp., 5.25%, 9/15/20 (c)

       2,900        3,292,390   

Discover Bank, 8.70%, 11/18/19

       748        1,004,910   

HSBC Finance Corp., 6.68%, 1/15/21 (c)

       5,150        6,231,773   

Rabobank Nederland, 3.95%, 11/09/22 (c)

       3,775        3,891,402   

Regions Financial Corp., 5.75%, 6/15/15

       6,110        6,654,566   

RESPARCS Funding LP I, 8.00% (e)

       4,000        820,000   

Santander Holdings USA, Inc., 3.00%, 9/24/15

       3,750        3,880,639   

SpareBank 1 Boligkreditt SA, 1.25%, 5/02/18 (a)(d)

       1,725        1,720,175   

SVB Financial Group, 5.38%, 9/15/20 (c)

       2,850        3,258,858   

Wachovia Bank NA, 6.60%, 1/15/38 (c)

       3,620        4,918,443   

Wells Fargo & Co., 3.45%, 2/13/23 (c)

       2,325        2,372,411   
      

 

 

 
                       70,700,353   

Commercial Services & Supplies — 3.9%

      

ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a)

       1,003        1,095,778   

The ADT Corp., 4.13%, 6/15/23 (a)

       4,175        4,382,907   

Aviation Capital Group Corp. (a):

      

7.13%, 10/15/20 (c)

       31,000        35,616,241   

6.75%, 4/06/21

       7,850        8,764,454   

Casella Waste Systems, Inc., 7.75%, 2/15/19

       716        692,730   

Corrections Corp. of America, 7.75%, 6/01/17

       10,585        11,045,447   

Covanta Holding Corp., 6.38%, 10/01/22

       2,245        2,456,580   

HDTFS, Inc., 6.25%, 10/15/22

       1,560        1,745,250   

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

       930        1,039,275   
      

 

 

 
                       66,838,662   

Communications Equipment — 0.9%

      

Avaya, Inc., 10.50%, 3/01/21 (a)(c)

       2,628        2,424,330   

Brocade Communications Systems, Inc., 6.88%, 1/15/20 (c)

       8,695        9,564,500   

Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20

       2,400        2,706,000   
      

 

 

 
                       14,694,830   

Computers & Peripherals — 0.1%

      

NetApp, Inc., 2.00%, 12/15/17

             1,450        1,460,981   

Construction & Engineering — 0.1%

      

Weekley Homes LLC, 6.00%, 2/01/23 (a)

             825        855,938   

Construction Materials — 0.7%

      

HD Supply, Inc.:

      

8.13%, 4/15/19

       6,745        7,630,281   

7.50%, 7/15/20 (a)

       2,905        3,144,663   

11.50%, 7/15/20

       1,530        1,820,700   
      

 

 

 
                       12,595,644   

Consumer Finance — 4.1%

      

Capital One Bank USA NA, 3.38%, 2/15/23

       11,610        11,813,430   

Daimler Finance North America LLC, 2.63%, 9/15/16 (a)(c)

       11,550        12,049,307   

Discover Financial Services, 3.85%, 11/21/22

       3,252        3,404,242   

Experian Finance Plc, 2.38%, 6/15/17 (a)(c)

       2,550        2,607,087   

Ford Motor Credit Co. LLC:

      

8.00%, 12/15/16

       4,000        4,814,860   

5.88%, 8/02/21

       9,420        10,991,755   

Inmarsat Finance Plc, 7.38%, 12/01/17 (a)

       5,620        5,964,225   

SLM Corp.:

      

3.88%, 9/10/15

       5,000        5,189,615   

6.25%, 1/25/16

       11,620        12,636,750   
      

 

 

 
                       69,471,271   

Containers & Packaging — 1.9%

      

Ardagh Packaging Finance Plc (a):

      

7.38%, 10/15/17

    USD         410      $ 452,025   

9.13%, 10/15/20

       1,130        1,276,900   

7.00%, 11/15/20

       445        470,588   

4.88%, 11/15/22

       658        672,805   

Ball Corp.:

      

7.13%, 9/01/16

       5,000        5,281,250   

6.75%, 9/15/20

       7,360        8,123,600   

Bemis Co., Inc., 6.80%, 8/01/19

       200        242,617   

Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21

       3,128        3,456,440   

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

       557        568,836   

Graphic Packaging International, Inc., 4.75%, 4/15/21

       1,285        1,336,400   

Reynolds Group Issuer, Inc., 5.75%, 10/15/20

       4,620        4,839,450   

Sealed Air Corp. (a):

      

6.50%, 12/01/20

       2,330        2,603,775   

8.38%, 9/15/21

       700        819,000   

Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (a)

       1,740        1,805,250   
      

 

 

 
                       31,948,936   

Diversified Consumer Services — 0.5%

      

313 Group, Inc., 6.38%, 12/01/19 (a)

       2,600        2,619,500   

Rent-A-Center, Inc., 4.75%, 5/01/21 (a)

       1,769        1,782,267   

Service Corp. International, 4.50%, 11/15/20

       4,382        4,469,640   
      

 

 

 
                       8,871,407   

Diversified Financial Services — 8.8%

      

Aircastle Ltd., 6.25%, 12/01/19

       3,162        3,525,630   

Ally Financial, Inc.:

      

4.50%, 2/11/14

       3,900        3,987,750   

8.30%, 2/12/15

       5,290        5,878,512   

8.00%, 11/01/31

       5,240        6,897,150   

Bank of America Corp.:

      

3.75%, 7/12/16 (c)

       5,525        5,877,440   

5.30%, 3/15/17 (c)

       13,440        15,115,162   

5.00%, 5/13/21 (c)

       17,100        19,569,616   

5.70%, 1/24/22

       2,590        3,087,011   

3.30%, 1/11/23 (c)

       4,410        4,466,576   

Blackstone Holdings Finance Co. LLC, 4.75%, 2/15/23 (a)(c)

       2,800        3,133,250   

Carlyle Holdings Finance LLC, 3.88%, 2/01/23 (a)(c)

       1,500        1,564,300   

Citigroup, Inc. (c):

      

4.45%, 1/10/17

       4,800        5,308,032   

8.50%, 5/22/19

       464        624,178   

Countrywide Financial Corp., 6.25%, 5/15/16 (c)

       8,069        9,003,140   

DPL, Inc.:

      

6.50%, 10/15/16

       955        1,021,850   

7.25%, 10/15/21

       2,685        2,859,525   

General Motors Financial Co., Inc., 6.75%, 6/01/18

       1,700        1,942,250   

ING Bank NV, 5.00%, 6/09/21 (a)(c)

       8,000        9,158,232   

Intesa Sanpaolo SpA, 3.13%, 1/15/16

       5,450        5,448,022   

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

       2,105        2,189,200   

Jefferies Group LLC, 5.13%, 1/20/23

       1,850        2,007,515   

LeasePlan Corp. NV, 3.00%, 10/23/17 (a)(c)

       6,775        6,939,632   

Macquarie Bank Ltd., 5.00%, 2/22/17 (a)(c)

       2,325        2,591,952   

Moody’s Corp., 6.06%, 9/07/17

       20,000        21,640,460   

Reynolds Group Issuer, Inc.:

      

7.13%, 4/15/19

       1,588        1,711,070   

9.00%, 4/15/19

       110        118,800   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    11


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Corporate Bonds

         

Par  

(000)

    Value  

Diversified Financial Services (concluded)

      

Reynolds Group Issuer, Inc. (concluded):

      

7.88%, 8/15/19

    USD         2,480      $ 2,777,600   

9.88%, 8/15/19

       855        959,737   

6.88%, 2/15/21

       365        397,850   
      

 

 

 
                       149,801,442   

Diversified Telecommunication Services — 3.6%

  

    

AT&T, Inc., 6.30%, 1/15/38 (c)

       12,000        15,070,260   

CenturyLink, Inc., Series V, 5.63%, 4/01/20

       1,660        1,772,291   

Level 3 Financing, Inc.:

      

8.13%, 7/01/19

       11,171        12,316,027   

8.63%, 7/15/20

       2,240        2,531,200   

Lynx I Corp., 5.38%, 4/15/21 (a)

       1,394        1,488,095   

Telecom Italia Capital SA, 6.18%, 6/18/14

       3,350        3,518,157   

Telefonica Emisiones SAU:

      

3.19%, 4/27/18

       6,550        6,629,628   

4.57%, 4/27/23

       3,450        3,540,466   

Verizon Communications, Inc., 7.35%, 4/01/39 (c)

       7,825        10,969,304   

Windstream Corp., 7.88%, 11/01/17

       2,280        2,661,900   
      

 

 

 
                       60,497,328   

Electric Utilities — 3.8%

      

CMS Energy Corp., 5.05%, 3/15/22

       9,900        11,574,268   

Dominion Resources, Inc., 8.88%, 1/15/19 (c)

       8,000        10,934,088   

Duke Energy Corp., 3.55%, 9/15/21 (c)

       3,650        3,930,499   

Great Plains Energy, Inc., 5.29%, 6/15/22

       5,550        6,402,291   

Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17

       1,744        1,944,508   

Nisource Finance Corp.:

      

6.40%, 3/15/18

       3,580        4,329,462   

5.25%, 2/15/43

       2,075        2,237,332   

Oncor Electric Delivery Co. LLC (c):

      

4.10%, 6/01/22

       4,150        4,606,093   

5.30%, 6/01/42

       2,750        3,254,034   

Progress Energy, Inc., 7.00%, 10/30/31 (c)

       12,000        16,007,904   
      

 

 

 
                       65,220,479   

Electrical Equipment — 0.1%

      

GrafTech International Ltd., 6.38%, 11/15/20 (a)

             2,385        2,504,250   

Electronic Equipment, Instruments & Components — 0.3%

  

 

Jabil Circuit, Inc., 8.25%, 3/15/18

       2,600        3,146,000   

NXP BV, 3.03%, 10/15/13 (b)

       1,357        1,355,304   
      

 

 

 
                       4,501,304   

Energy Equipment & Services — 3.8%

      

Atwood Oceanics, Inc., 6.50%, 2/01/20

       375        408,750   

CGG, Veritas, 6.50%, 6/01/21

       2,390        2,533,400   

Energy Transfer Partners LP, 5.20%, 2/01/22

       10,200        11,661,874   

Ensco Plc, 4.70%, 3/15/21 (c)

       6,640        7,552,648   

FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a)

       2,658        2,844,060   

Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21 (a)

       293        308,383   

Hornbeck Offshore Services, Inc., 5.88%, 4/01/20

       950        998,688   

MEG Energy Corp. (a):

      

6.50%, 3/15/21

       3,652        3,916,770   

6.38%, 1/30/23

       325        342,875   

Oil States International, Inc.:

      

6.50%, 6/01/19

       2,155        2,316,625   

5.13%, 1/15/23 (a)

       1,175        1,207,313   

Peabody Energy Corp.:

      

6.00%, 11/15/18

       2,527        2,729,160   

6.25%, 11/15/21

       2,728        2,908,730   

Corporate Bonds

         

Par  

(000)

    Value  

Energy Equipment & Services (concluded)

      

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

    USD         1,430      $ 1,547,975   

Seadrill Ltd., 5.63%, 9/15/17 (a)

       6,254        6,394,715   

Tervita Corp., 8.00%, 11/15/18 (a)

       2,143        2,244,792   

Transocean, Inc.:

      

2.50%, 10/15/17

       1,300        1,324,307   

6.50%, 11/15/20

       3,795        4,500,335   

6.38%, 12/15/21

       4,655        5,575,852   

6.80%, 3/15/38

       3,300        3,851,440   
      

 

 

 
                       65,168,692   

Food & Staples Retailing — 0.4%

      

Wal-Mart Stores, Inc., 5.25%, 9/01/35 (c)

             5,150        6,247,604   

Food Products — 1.7%

      

Kellogg Co., 7.45%, 4/01/31

       5,000        6,974,720   

Kraft Foods Group, Inc., 5.00%, 6/04/42

       5,000        5,666,080   

Mondelez International, Inc.:

      

6.50%, 8/11/17

       4,450        5,371,804   

6.13%, 8/23/18

       4,840        5,886,892   

Pinnacle Foods Finance LLC, 4.88%, 5/01/21 (a)

       917        943,364   

Post Holdings, Inc., 7.38%, 2/15/22

       3,068        3,405,480   
      

 

 

 
                       28,248,340   

Gas Utilities — 0.3%

      

El Paso Natural Gas Co. LLC, 8.63%, 1/15/22

       2,345        3,277,072   

Targa Resources Partners LP, 7.88%, 10/15/18

       2,355        2,590,500   
      

 

 

 
                       5,867,572   

Health Care Equipment & Supplies — 0.6%

      

Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)

       8,000        9,220,000   

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

       1,660        1,805,250   
      

 

 

 
                       11,025,250   

Health Care Providers & Services — 3.2%

      

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

       1,550        1,697,250   

CHS/Community Health Systems, Inc., 5.13%, 8/15/18

       1,620        1,733,400   

HCA, Inc.:

      

8.50%, 4/15/19

       665        733,163   

6.50%, 2/15/20

       7,876        9,096,780   

7.88%, 2/15/20

       135        149,681   

7.25%, 9/15/20

       11,347        12,580,986   

4.75%, 5/01/23

       2,012        2,097,510   

INC Research LLC, 11.50%, 7/15/19 (a)

       2,009        2,199,855   

inVentiv Health, Inc., 9.00%, 1/15/18 (a)

       1,530        1,617,975   

Tenet Healthcare Corp.:

      

6.25%, 11/01/18

       3,162        3,565,155   

8.88%, 7/01/19

       3,750        4,237,500   

4.50%, 4/01/21 (a)

       304        310,080   

UnitedHealth Group, Inc., 6.88%, 2/15/38 (c)

       10,000        13,897,260   
      

 

 

 
                       53,916,595   

Health Care Technology — 0.4%

      

Amgen, Inc., 5.15%, 11/15/41 (c)

             6,500        7,450,619   

Hotels, Restaurants & Leisure — 0.4%

      

Caesars Operating Escrow LLC/Caesars Escrow Corp., 9.00%, 2/15/20 (a)

       795        783,075   

MCE Finance Ltd., 5.00%, 2/15/21 (a)

       3,895        3,948,556   

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

       1,718        1,778,130   
      

 

 

 
                       6,509,761   

Household Durables — 0.8%

      

Beazer Homes USA, Inc., 6.63%, 4/15/18

       2,330        2,539,700   

DR Horton, Inc., 4.38%, 9/15/22

       2,145        2,182,537   

KB Home, 7.25%, 6/15/18

       1,990        2,233,775   

 

See Notes to Financial Statements.

 

                
12    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Corporate Bonds

         

Par  

(000)

    Value  

Household Durables (concluded)

      

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

    USD         3,015      $ 3,606,694   

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

       1,537        1,571,583   

United Rentals North America, Inc., 5.75%, 7/15/18

       793        864,370   
      

 

 

 
                       12,998,659   

Household Products — 0.1%

      

Spectrum Brands Escrow Corp. (a):

      

6.38%, 11/15/20

       810        884,925   

6.63%, 11/15/22

       1,110        1,223,775   
      

 

 

 
                       2,108,700   

Independent Power Producers & Energy Traders — 1.3%

  

 

The AES Corp.:

      

9.75%, 4/15/16

       3,320        4,017,200   

4.88%, 5/15/23

       684        697,680   

Calpine Corp. (a):

      

7.25%, 10/15/17

       1,341        1,419,784   

7.50%, 2/15/21

       634        716,420   

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

       6,370        7,293,650   

GenOn REMA LLC, Series C, 9.68%, 7/02/26

       1,690        1,859,000   

Laredo Petroleum, Inc.:

      

9.50%, 2/15/19

       965        1,100,100   

7.38%, 5/01/22

       900        990,000   

NRG Energy, Inc., 6.63%, 3/15/23 (a)

       838        913,420   

QEP Resources, Inc.:

      

5.38%, 10/01/22

       1,927        2,052,255   

5.25%, 5/01/23

       1,000        1,062,500   
      

 

 

 
                       22,122,009   

Insurance — 5.5%

      

A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (a)

       1,204        1,271,725   

American International Group, Inc.:

      

3.80%, 3/22/17 (c)

       5,070        5,500,945   

8.25%, 8/15/18

       2,125        2,755,681   

6.40%, 12/15/20 (c)

       8,710        10,897,935   

Aon Corp., 5.00%, 9/30/20 (c)

       7,700        9,031,245   

Aon Plc, 4.25%, 12/12/42 (a)

       6,500        6,530,471   

Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)

       3,750        4,079,497   

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

       3,400        4,168,917   

Manulife Financial Corp., 4.90%, 9/17/20 (c)

       10,425        11,967,337   

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

       1,455        1,480,463   

Principal Financial Group, Inc., 8.88%, 5/15/19 (c)

       2,825        3,858,504   

Prudential Financial, Inc., 6.63%, 12/01/37 (c)

       10,000        13,136,390   

QBE Insurance Group Ltd., 2.40%, 5/01/18 (a)

       3,250        3,270,897   

Swiss Re Solutions Holding Corp., 7.75%, 6/15/30 (c)

       2,000        2,754,632   

XL Group Ltd., 5.75%, 10/01/21 (c)

       10,085        12,112,125   
      

 

 

 
                       92,816,764   

Internet Software & Services — 0.1%

      

Equinix, Inc., 4.88%, 4/01/20

       357        373,065   

VeriSign, Inc., 4.63%, 5/01/23 (a)

       1,425        1,460,625   
      

 

 

 
                       1,833,690   

IT Services — 1.5%

      

Ceridian Corp. (a):

      

8.88%, 7/15/19

       8,860        10,399,425   

11.00%, 3/15/21

       2,158        2,438,540   

Epicor Software Corp., 8.63%, 5/01/19

       2,400        2,616,000   

Corporate Bonds

         

Par  

(000)

    Value  

IT Services (concluded)

      

First Data Corp.:

      

7.38%, 6/15/19 (a)(c)

    USD         3,155      $ 3,431,062   

6.75%, 11/01/20 (a)

       2,720        2,917,200   

8.25%, 1/15/21 (a)

       121        128,563   

12.63%, 1/15/21

       1,227        1,331,295   

SunGard Data Systems, Inc.,
7.38%, 11/15/18

       2,460        2,656,800   
      

 

 

 
                       25,918,885   

Life Sciences Tools & Services — 1.6%

      

Bio-Rad Laboratories, Inc., 8.00%, 9/15/16

       12,000        12,761,160   

Life Technologies Corp., 6.00%, 3/01/20 (c)

       12,000        14,081,712   
      

 

 

 
                       26,842,872   

Machinery — 1.0%

      

Ingersoll-Rand Global Holding Co. Ltd., 9.50%, 4/15/14 (c)

       10,000        10,800,470   

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

       2,191        2,281,379   

UR Merger Sub Corp.:

      

7.38%, 5/15/20

       2,025        2,293,312   

7.63%, 4/15/22

       1,853        2,126,318   
      

 

 

 
                       17,501,479   

Media — 7.4%

      

A&E Television Networks LLC, 3.25%, 8/22/19

       5,000        5,125,000   

AMC Networks, Inc.:

      

7.75%, 7/15/21

       1,330        1,529,500   

4.75%, 12/15/22

       685        703,838   

Cinemark USA, Inc., 5.13%, 12/15/22 (a)

       349        361,215   

Clear Channel Worldwide Holdings, Inc. (a):

      

6.50%, 11/15/22

       2,758        2,930,375   

6.50%, 11/15/22

       7,447        7,986,907   

Cox Communications, Inc., 8.38%, 3/01/39 (a)(c)

       10,000        15,255,080   

CSC Holdings LLC, 8.63%, 2/15/19

       4,005        4,876,087   

DIRECTV Holdings LLC, 5.00%, 3/01/21 (c)

       8,575        9,766,445   

DISH DBS Corp., 7.00%, 10/01/13

       5,000        5,106,250   

Intelsat Jackson Holdings SA, 7.25%, 4/01/19

       710        781,000   

The Interpublic Group of Cos., Inc.:

      

10.00%, 7/15/17

       4,000        4,260,000   

3.75%, 2/15/23

       6,025        6,060,975   

The New York Times Co., 6.63%, 12/15/16

       1,725        1,921,219   

News America, Inc., 6.15%, 3/01/37 (c)

       9,575        11,769,485   

SES, 3.60%, 4/04/23 (a)

       2,675        2,778,790   

Time Warner Cable, Inc., 6.75%, 6/15/39 (c)

       11,600        14,360,324   

Time Warner, Inc., 7.70%, 5/01/32 (c)

       12,000        17,078,148   

Unitymedia Hessen GmbH & Co KG/Unitymedia NRW GmbH (a):

      

7.50%, 3/15/19

       3,530        3,868,015   

5.50%, 1/15/23

       1,000        1,035,000   

Virgin Media Secured Finance Plc, 7.00%, 1/15/18

       7,750        8,253,750   
      

 

 

 
                       125,807,403   

Metals & Mining — 3.9%

      

AngloGold Ashanti Holdings Plc, 5.13%, 8/01/22

       5,000        5,036,215   

ArcelorMittal:

      

9.50%, 2/15/15

       1,623        1,832,628   

4.25%, 2/25/15

       711        735,937   

4.25%, 8/05/15

       1,325        1,384,385   

4.25%, 3/01/16

       725        752,188   

5.00%, 2/25/17

       1,005        1,066,112   

6.13%, 6/01/18

       2,575        2,820,640   

Barrick Gold Corp.:

      

2.90%, 5/30/16 (c)

       3,625        3,776,039   

4.10%, 5/01/23 (a)

       5,000        5,010,180   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    13


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Corporate Bonds

         

Par  

(000)

    Value  

Metals & Mining (concluded)

      

FMG Resources August 2006 Property Ltd. (a)(c):

      

6.38%, 2/01/16

    USD         5,485      $ 5,690,687   

6.00%, 4/01/17

       4,927        5,124,080   

Freeport-McMoRan Copper & Gold, Inc.:

      

3.55%, 3/01/22

       4,700        4,701,603   

3.88%, 3/15/23 (a)

       8,900        8,971,084   

Freeport-McMoRan Corp., 7.13%, 11/01/27

       8,500        10,371,445   

New Gold, Inc. (a):

      

7.00%, 4/15/20

       440        466,400   

6.25%, 11/15/22

       1,795        1,848,850   

Novelis, Inc.:

      

8.38%, 12/15/17

       1,130        1,237,350   

8.75%, 12/15/20

       3,285        3,728,475   

Steel Dynamics, Inc. (a):

      

6.38%, 8/15/22

       1,430        1,565,850   

5.25%, 4/15/23

       163        168,705   
      

 

 

 
                       66,288,853   

Multi-Utilities — 1.3%

      

CenterPoint Energy, Inc. (c):

      

5.95%, 2/01/17

       9,000        10,442,781   

6.50%, 5/01/18

       9,675        11,948,180   
      

 

 

 
                       22,390,961   

Multiline Retail — 0.4%

      

Dollar General Corp., 4.13%, 7/15/17

       3,230        3,535,419   

Dufry Finance SCA, 5.50%, 10/15/20 (a)

       3,460        3,610,330   
      

 

 

 
                       7,145,749   

Oil, Gas & Consumable Fuels — 14.0%

      

Access Midstream Partners LP:

      

5.88%, 4/15/21

       2,000        2,160,000   

6.13%, 7/15/22

       1,600        1,760,000   

Anadarko Petroleum Corp., 6.38%, 9/15/17

       75        89,771   

Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (a)

       656        690,440   

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

       245        258,475   

BP Capital Markets Plc (c):

      

5.25%, 11/07/13

       2,100        2,152,807   

3.20%, 3/11/16

       2,800        2,991,131   

Carrizo Oil & Gas, Inc., 7.50%, 9/15/20

       1,600        1,736,000   

Chesapeake Energy Corp.:

      

7.25%, 12/15/18

       2,470        2,859,025   

6.63%, 8/15/20 (c)

       1,500        1,696,875   

6.13%, 2/15/21 (c)

       1,565        1,721,500   

5.75%, 3/15/23

       3,235        3,509,975   

Concho Resources, Inc.:

      

6.50%, 1/15/22

       562        623,820   

5.50%, 10/01/22

       226        241,255   

5.50%, 4/01/23

       221        235,365   

CONSOL Energy, Inc., 6.38%, 3/01/21

       1,520        1,588,400   

Continental Resources, Inc.:

      

5.00%, 9/15/22

       1,307        1,421,362   

4.50%, 4/15/23 (a)

       700        746,375   

DCP Midstream LLC, 4.75%, 9/30/21 (a)

       1,074        1,168,986   

DCP Midstream Operating LP, 3.88%, 3/15/23

       2,690        2,756,508   

Denbury Resources, Inc., 4.63%, 7/15/23

       2,572        2,597,720   

El Paso Corp., 7.75%, 1/15/32

       4,537        5,170,696   

El Paso Pipeline Partners Operating Co. LLC:

      

6.50%, 4/01/20

       5,075        6,256,272   

5.00%, 10/01/21

       1,850        2,134,182   

Enbridge Energy Partners LP, 9.88%, 3/01/19

       6,000        8,206,248   

Energy Transfer Partners LP, 6.50%, 2/01/42

       2,340        2,818,415   

Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19

       3,465        3,759,525   

Enterprise Products Operating LLC, 6.50%, 1/31/19

       12,000        14,975,436   

Oil, Gas & Consumable Fuels (continued)

  

    

EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19

    USD         3,833      $ 4,197,135   

Kinder Morgan Energy Partners LP, 6.85%, 2/15/20 (c)

       12,000        15,259,248   

Kodiak Oil & Gas Corp., 8.13%, 12/01/19

       3,145        3,577,437   

Linn Energy LLC, 7.75%, 2/01/21

       1,175        1,286,625   

Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/01/19 (a)

       3,340        3,490,300   

Marathon Petroleum Corp., 3.50%, 3/01/16

       4,600        4,918,739   

MarkWest Energy Partners LP:

      

6.25%, 6/15/22

       1,369        1,523,012   

5.50%, 2/15/23

       395        433,513   

4.50%, 7/15/23

       1,250        1,303,125   

Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21 (a)

       355        362,100   

Newfield Exploration Co.:

      

6.88%, 2/01/20

       1,965        2,141,850   

5.63%, 7/01/24

       168        180,600   

Nexen, Inc., 6.40%, 5/15/37 (c)

       4,615        6,039,761   

Oasis Petroleum, Inc.:

      

7.25%, 2/01/19

       915        992,775   

6.50%, 11/01/21

       1,025        1,127,500   

Offshore Group Investment Ltd., 7.13%, 4/01/23 (a)

       963        1,001,520   

ONEOK Partners LP, 8.63%, 3/01/19

       10,000        13,316,020   

PBF Holding Co. LLC, 8.25%, 2/15/20

       440        497,200   

PDC Energy, Inc., 7.75%, 10/15/22 (a)

       1,225        1,338,313   

Petrobras International Finance Co.:

      

3.88%, 1/27/16 (c)

       12,550        13,180,123   

5.38%, 1/27/21

       7,425        8,199,182   

Petrohawk Energy Corp., 10.50%, 8/01/14 (c)

       2,080        2,199,600   

Petroleum Geo-Services ASA, 7.38%, 12/15/18 (a)

       1,770        1,969,125   

Pioneer Natural Resources Co., 6.88%, 5/01/18

       1,665        2,031,435   

Plains Exploration & Production Co., 6.88%, 2/15/23

       2,671        3,041,601   

Premier Oil Plc, 5.00%, 6/09/18

       11,500        12,075,000   

Range Resources Corp.:

      

6.75%, 8/01/20

       1,760        1,953,600   

5.75%, 6/01/21

       1,018        1,112,165   

5.00%, 8/15/22

       107        113,955   

Regency Energy Partners LP/Regency Energy Finance Corp., 4.50%, 11/01/23 (a)

       1,024        1,059,840   

Rosetta Resources, Inc., 5.63%, 5/01/21 (d)

       983        1,024,778   

Ruby Pipeline LLC, 6.00%, 4/01/22 (a)

       10,000        11,622,420   

Sabine Pass Liquefaction LLC (a):

      

5.63%, 2/01/21

       7,393        7,651,755   

5.63%, 4/15/23

       1,947        2,000,542   

Sabine Pass LNG LP

      

7.50%, 11/30/16

       5,965        6,740,450   

6.50%, 11/01/20 (a)

       1,920        2,059,200   

SandRidge Energy, Inc.:

      

8.75%, 1/15/20

       139        149,425   

7.50%, 2/15/23

       1,950        2,008,500   

SM Energy Co.:

      

6.63%, 2/15/19

       750        807,188   

6.50%, 11/15/21

       1,160        1,276,000   

6.50%, 1/01/23

       730        806,650   

Targa Resources Partners LP, 6.88%, 2/01/21

       1,265        1,407,313   

Tennessee Gas Pipeline Co. LLC, 8.00%, 2/01/16

       2,802        3,309,952   

Tesoro Corp., 5.38%, 10/01/22

       800        852,000   

Western Gas Partners LP, 5.38%, 6/01/21

       5,125        5,878,165   

 

See Notes to Financial Statements.

 

                
14    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Corporate Bonds

         

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (concluded)

  

    

Western Refining, Inc., 6.25%, 4/01/21 (a)

    USD         594      $ 614,790   

The Williams Cos., Inc., 8.75%, 3/15/32

       2,478        3,459,082   
      

 

 

 
                       237,917,173   

Paper & Forest Products — 2.3%

      

Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (a)

       127        138,430   

Boise Paper Holdings LLC:

      

9.00%, 11/01/17

       415        447,163   

8.00%, 4/01/20

       1,625        1,824,062   

Clearwater Paper Corp., 4.50%, 2/01/23 (a)

       532        529,340   

International Paper Co. (c):

      

7.50%, 8/15/21

       9,675        12,784,023   

8.70%, 6/15/38

       4,000        6,024,608   

7.30%, 11/15/39

       10,000        13,705,970   

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

       1,115        1,165,175   

PH Glatfelter Co., 5.38%, 10/15/20

       1,570        1,656,350   
      

 

 

 
                       38,275,121   

Pharmaceuticals — 2.3%

      

AbbVie, Inc., 2.90%, 11/06/22 (a)(c)

       5,675        5,791,150   

Actavis, Inc. (FKA Watson Pharmaceuticals, Inc.), 3.25%, 10/01/22 (c)

       7,520        7,492,665   

Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)

    EUR         400        600,529   

Merck & Co., Inc., 6.50%, 12/01/33 (c)

    USD         6,420        9,225,566   

Mylan, Inc., 6.00%, 11/15/18 (a)

       3,250        3,564,138   

Roche Holdings, Inc., 7.00%, 3/01/39 (a)(c)

       6,130        9,136,679   

Valeant Pharmaceuticals International (a):

      

6.50%, 7/15/16

       417        434,462   

6.38%, 10/15/20

       2,355        2,608,163   
      

 

 

 
                       38,853,352   

Professional Services — 0.4%

      

The Dun & Bradstreet Corp., 3.25%, 12/01/17

             5,750        5,940,917   

Real Estate Investment Trusts (REITs) — 2.9%

      

AvalonBay Communities, Inc., 6.10%, 3/15/20 (c)

       10,000        12,275,880   

Developers Diversified Realty Corp.:

      

4.75%, 4/15/18

       2,140        2,396,933   

7.88%, 9/01/20

       2,650        3,438,269   

ERP Operating LP, 5.75%, 6/15/17 (c)

       10,000        11,743,770   

Felcor Lodging LP, 5.63%, 3/01/23 (a)

       999        1,035,214   

HCP, Inc., 5.38%, 2/01/21 (c)

       3,450        4,092,228   

Host Hotels & Resorts LP, 3.75%, 10/15/23

       3,600        3,672,000   

UDR, Inc., 4.25%, 6/01/18

       5,225        5,801,098   

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

       3,835        4,321,550   
      

 

 

 
                       48,776,942   

Real Estate Management & Development — 0.6%

  

Lennar Corp., 4.75%, 11/15/22 (a)

       1,805        1,818,538   

Realogy Corp. (a)(c):

      

7.88%, 2/15/19

       1,430        1,596,238   

7.63%, 1/15/20

       2,085        2,392,537   

The Realogy Group LLC/The Sunshine Group Florida Ltd., 3.38%, 5/01/16 (a)

       1,958        1,967,790   

Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19

       1,625        1,846,406   
      

 

 

 
                       9,621,509   

Road & Rail — 1.7%

      

The Hertz Corp.:

      

4.25%, 4/01/18 (a)

       983        1,021,091   

6.75%, 4/15/19

       1,167        1,292,453   

5.88%, 10/15/20

       925        1,010,563   

7.38%, 1/15/21

       310        351,075   

Road & Rail (concluded)

  

    

Kansas City Southern de Mexico SA de C.V., 3.00%, 5/15/23 (a)(d)

    USD         3,227      $ 3,236,571   

Norfolk Southern Corp., 6.00%, 3/15/2105 (c)

       17,200        21,655,574   
      

 

 

 
                       28,567,327   

Semiconductors & Semiconductor Equipment — 0.5%

  

KLA-Tencor Corp., 6.90%, 5/01/18

       5,515        6,639,652   

NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (a)

       1,655        1,754,300   
      

 

 

 
                       8,393,952   

Software — 0.6%

      

IAC/InterActiveCorp, 4.75%, 12/15/22 (a)

       2,461        2,473,305   

Infor US, Inc., 9.38%, 4/01/19

       2,190        2,496,600   

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

       2,722        2,830,880   

Symantec Corp., 2.75%, 6/15/17

       2,050        2,123,162   
      

 

 

 
                       9,923,947   

Specialty Retail — 1.2%

      

AutoNation, Inc., 6.75%, 4/15/18

       6,125        7,082,031   

Limited Brands, Inc., 7.00%, 5/01/20

       3,050        3,564,688   

New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (a)(f)

       485        505,006   

QVC, Inc., 7.38%, 10/15/20 (a)

       355        393,903   

Sally Holdings LLC/Sally Capital, Inc., 6.88%, 11/15/19

       2,015        2,254,281   

VF Corp., 5.95%, 11/01/17

       5,000        5,968,840   
      

 

 

 
                       19,768,749   

Textiles, Apparel & Luxury Goods — 0.1%

      

PVH Corp., 4.50%, 12/15/22

             973        1,003,406   

Tobacco — 2.1%

      

Altria Group, Inc., 10.20%, 2/06/39 (c)

       13,392        22,800,723   

Imperial Tobacco Finance Plc, 2.05%, 2/11/18 (a)

       4,250        4,308,476   

Lorillard Tobacco Co., 3.50%, 8/04/16

       8,375        8,866,864   
      

 

 

 
                       35,976,063   

Trading Companies & Distributors — 0.3%

      

Doric Nimrod Air Finance Alpha Ltd. Pass Through Trust, Series 2012-1, Class A, 5.13%, 11/30/24 (a)(c)

             4,385        4,763,426   

Transportation Infrastructure — 1.0%

      

Penske Truck Leasing Co. LP/PTL Finance Corp. (a):

      

3.75%, 5/11/17

       10,500        11,385,392   

4.88%, 7/11/22

       5,550        6,110,583   
      

 

 

 
                       17,495,975   

Wireless Telecommunication Services — 4.9%

      

America Movil SAB de CV (c):

      

2.38%, 9/08/16

       12,495        12,980,206   

3.13%, 7/16/22

       1,275        1,297,474   

American Tower Corp.:

      

4.50%, 1/15/18

       6,500        7,204,366   

5.05%, 9/01/20

       500        564,327   

5.90%, 11/01/21

       3,770        4,504,833   

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

       1,880        1,969,300   

Crown Castle Towers LLC (a):

      

5.50%, 1/15/37

       4,000        4,578,204   

4.17%, 8/15/37

       3,000        3,322,356   

6.11%, 1/15/40

       4,555        5,597,293   

Digicel Group Ltd., 8.25%, 9/30/20 (a)

       3,440        3,680,800   

Digicel Ltd. (a):

      

8.25%, 9/01/17

       125        131,563   

6.00%, 4/15/21

       1,285        1,288,213   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    15


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Corporate Bonds

         

Par  

(000)

    Value  

Wireless Telecommunication Services (concluded)

  

    

SBA Tower Trust, 5.10%, 4/15/42 (a)

    USD         13,975      $ 15,613,108   

Softbank Corp., 4.50%, 4/15/20 (a)

       2,265        2,346,413   

Sprint Capital Corp., 6.88%, 11/15/28

       1,610        1,646,225   

Sprint Nextel Corp. (a):

      

9.00%, 11/15/18

       5,290        6,506,700   

7.00%, 3/01/20

       8,970        10,203,375   
      

 

 

 
                       83,434,756   
Total Corporate Bonds — 114.2%                      1,937,443,573   
      
                          
Preferred Securities                      
Capital Trusts                      

Capital Markets — 3.2%

      

Ameriprise Financial, Inc., 7.52%, 6/01/66 (b)(c)

       3,000        3,360,000   

State Street Capital Trust IV, 1.28%, 6/01/67 (b)

       60,845        51,337,969   
      

 

 

 
                       54,697,969   

Commercial Banks — 2.5%

      

Barclays Bank Plc (a)(b)(e):

      

5.93% (c)

       2,125        2,167,500   

7.43%

       2,225        2,425,250   

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

       5,000        5,331,250   

Credit Agricole SA, 8.38% (a)(b)(c)(e)

       5,000        5,568,750   

HSBC Capital Funding LP/Jersey Channel Islands, 10.18% (a)(b)(c)(e)

       11,835        17,160,750   

M&T Capital Trust II, 8.28%, 6/01/27

       4,540        4,585,400   

Standard Chartered Plc, 7.01% (a)(b)(e)

       5,000        5,472,500   
      

 

 

 
                       42,711,400   

Diversified Financial Services — 3.1%

  

General Electric Capital Corp., Series B, 6.25% (b)(c)(e)

       9,100        10,060,341   

JPMorgan Chase Capital XXI, Series U, 1.25%, 1/15/87 (b)

       20,000        16,275,000   

JPMorgan Chase Capital XXIII, 1.29%, 5/15/77 (b)(c)

       32,745        25,739,207   
      

 

 

 
                       52,074,548   

Electric Utilities — 1.0%

      

Electricite de France SA, 5.25% (a)(b)(e)

       7,430        7,473,614   

PPL Capital Funding, Inc., 6.70%, 3/30/67 (b)

       8,300        8,818,750   
      

 

 

 
                       16,292,364   

Insurance — 9.6%

      

ACE Capital Trust II, 9.70%, 4/01/30 (c)

       7,000        10,255,000   

The Allstate Corp., 6.50%, 5/15/67 (b)

       10,400        11,616,800   

American General Capital II, 8.50%, 7/01/30

       500        678,667   

American International Group, Inc., 8.18%, 5/15/68 (b)

       3,755        5,078,638   

AXA SA (a)(b)(e):

      

6.38%

       4,900        4,912,250   

6.46%

       6,000        6,045,000   

Bank One Capital III, 8.75%, 9/01/30 (c)

       2,000        2,844,102   

The Chubb Corp., 6.38%, 3/29/67 (b)

       7,400        8,232,500   

Great-West Life & Annuity Insurance Co. Capital LP II, 7.15%, 5/16/46 (a)(b)(c)

       500        531,250   

Hartford Financial Services Group, Inc., 8.13%, 6/15/68 (b)

       3,500        4,161,500   

Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)

       8,325        12,903,750   

Lincoln National Corp., 7.00%, 5/17/66 (b)

       9,005        9,252,637   

MetLife, Inc., 6.40%, 12/15/66

       9,775        10,913,836   

Capital Trusts

         

Par  

(000)

    Value  

Insurance (concluded)

      

Mitsui Sumitomo Insurance Co. Ltd., 7.00%, 3/15/72 (a)(b)

    USD          4,800      $ 5,602,093   

Nippon Life Insurance Co., 5.00%, 10/18/42 (a)(b)

       10,675        11,164,513   

Northwestern Mutual Life Insurance Co., 6.06%, 3/30/40 (a)(c)

       12,000        15,462,960   

Principal Life Insurance Co., 8.00%, 3/01/44 (a)(c)

       2,500        2,685,010   

Prudential Financial, Inc., 5.88%, 9/15/42 (b)

       6,100        6,591,782   

Prudential Plc, 6.50% (e)

       6,000        6,032,712   

Reinsurance Group of America, Inc., 6.75%, 12/15/65 (b)

       12,000        12,210,000   

Sompo Japan Insurance, Inc., 5.33%, 3/28/73 (a)(b)

       4,000        4,139,820   

Swiss Re Capital I LP, 6.85% (a)(b)(e)

       4,450        4,761,500   

ZFS Finance USA Trust II, 6.45%, 12/15/65 (a)(b)(c)

       6,800        7,344,000   
      

 

 

 
                       163,420,320   

Media — 0.3%

      

NBCUniversal Enterprise, Inc., 5.25% (a)(e)

             5,600        5,619,158   

Multi-Utilities — 0.3%

      

Dominion Resources, Inc.,
7.50%, 6/30/66 (b)

             4,400        4,889,500   

Oil, Gas & Consumable Fuels — 1.3%

  

Enterprise Products Operating LLC, 7.00%, 6/01/67 (b)

       2,500        2,700,000   

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

       7,325        8,414,594   

TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)

       9,400        10,035,440   
      

 

 

 
                       21,150,034   

Road & Rail — 0.3%

      

BNSF Funding Trust I, 6.61%, 12/15/55 (b)

             3,750        4,293,750   
Total Capital Trusts — 21.6%                      365,149,043   
      
                          

Preferred Stocks

         

Shares

        

Auto Components — 0.1%

      

Dana Holding Corp., 4.00% (a)(g)

             16,300        2,383,875   

Capital Markets — 0.2%

      

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

             162,450        4,176,589   

Real Estate Investment Trusts (REITs) — 0.5%

  

Sovereign Real Estate Investment Trust, 12.00% (a)

             7,000        9,211,076   

Wireless Telecommunication Services — 1.1%

  

Centaur Funding Corp., 9.08% (a)

             15,143        19,155,895   
Total Preferred Stocks – 1.9%                      34,927,435   
      
                          
Trust Preferreds                      

Diversified Financial Services — 0.7%

  

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

             426,060        11,487,081   

Machinery — 0.4%

      

Stanley Black & Decker, Inc., 5.75%, 7/25/52

             228,000        6,014,640   
Total Trust Preferreds — 1.1%                      17,501,721   
Total Preferred Securities — 24.6%                      417,578,199   

 

See Notes to Financial Statements.

 

                
16    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

(Percentages shown are based on Net Assets)

 

Taxable Municipal Bonds          

Par  

(000)

    Value  

City of Chicago Illinois, Refunding ARB, O’Hare International Airport, Build America Bonds, 6.85%, 1/01/38

     USD        5,000      $ 5,857,050   

Metropolitan Transportation Authority, RB, Build America Bonds, 6.55%, 11/15/31

             10,000        13,114,400   

Total Taxable Municipal Bonds — 1.1%

  

    18,971,450   
      
                          
US Government Sponsored Agency Securities                

Agency Obligations — 0.2%

      

Fannie Mae, 1.81%, 10/09/19 (c)(h)

             3,945        3,514,218   
      
                          

US Treasury Obligations

  

US Treasury Bonds (c):

      

3.75%, 8/15/41

       3,364        3,967,942   

3.13%, 11/15/41

       2,675        2,812,928   

3.00%, 5/15/42

       2,500        2,559,765   

2.75%, 8/15/42

       6,320        6,137,314   

US Treasury Notes (c):

      

0.75%, 2/28/18

       2,695        2,709,106   

1.25%, 10/31/19

       645        655,632   

1.63%, 11/15/22

       6,500        6,490,861   

2.00%, 2/15/23

             14,885        15,319,925   

Total US Treasury Obligations — 2.4%

  

    40,653,473   
Total Long-Term Investments
(Cost — $2,225,935,190) — 143.5%
                     2,434,502,462   
Short-Term Securities        

Shares

    Value  

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.08% (i)(j)

         4,448,337      $ 4,448,337   
Total Short-Term Securities
(Cost — $4,448,337) — 0.3%
                 4,448,337   
      
                      
Options Purchased               
(Cost — $537,500) — 0.0%                  205,850   
Total Investments Before Options Written
(Cost — $2,230,921,027) — 143.8%
                 2,439,156,649   
      
                      
Options Written               
(Premiums Received — $312,000) — (0.1)%                  (140,547
Total Investments, Net of Options Written — 143.7%        2,439,016,102   

Liabilities in Excess of Other Assets — (43.7)%

         (742,247,208
      

 

 

 
Net Assets — 100.0%        $ 1,696,768,894   
      

 

 

 
Notes to Schedule of investments

 

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

 

(d)   When-issued security. Unsettled when-issued transactions were as follows:

 

Counterparty      Value        Unrealized
Appreciation
 

Bank of America Corp.

     $ 4,476,571         $ 22,899   

JPMorgan Chase & Co.

     $ 2,744,953         $ 45,854   

 

(e)   Security is perpetual in nature and has no stated maturity date.

 

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

 

(g)   Convertible security.

 

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

 

(i)   Investments in issuers considered to be an affiliate of the Trust during the six months ended April 30, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at October 31,
2012
       Net
Activity
       Shares Held
at April 30,
2013
       Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

       1,652,656           2,795,681           4,448,337         $ 5,003   

 

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

 

Ÿ  

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.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    17


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

 

Ÿ  

Reverse repurchase agreements outstanding as of April 30, 2013 were as follows:

 

Counterparty    Interest
Rate
       Trade
Date
       Maturity
Date
      

Face

Value

       Face Value
Including
Accrued
Interest
 
Barclays Capital, Inc.      0.35        7/25/12           Open         $ 4,751,663         $ 4,764,029   
Barclays Capital, Inc.      0.35        7/25/12           Open               2,330,231                 2,336,575   
Barclays Capital, Inc.      0.35        9/28/12           Open           909,000           910,900   
Barclays Capital, Inc.      0.35        12/04/12           Open           2,878,785           2,882,759   
Barclays Capital, Inc.      0.35        12/04/12           Open           4,648,560           4,654,978   
Barclays Capital, Inc.      0.35        12/04/12           Open           2,284,800           2,287,954   
Barclays Capital, Inc.      0.35        12/04/12           Open           1,363,903           1,365,786   
Barclays Capital, Inc.      0.35        12/04/12           Open           2,288,430           2,291,589   
Barclays Capital, Inc.      0.35        12/04/12           Open           1,252,800           1,254,530   
Barclays Capital, Inc.      0.35        12/04/12           Open           293,860           294,266   
Barclays Capital, Inc.      0.35        12/04/12           Open           1,238,410           1,240,120   
Barclays Capital, Inc.      0.35        12/04/12           Open           557,095           557,864   
Barclays Capital, Inc.      0.35        12/04/12           Open           678,015           678,951   
Barclays Capital, Inc.      0.35        12/04/12           Open           665,477           666,396   
Barclays Capital, Inc.      0.35        12/04/12           Open           5,131,200           5,138,284   
Barclays Capital, Inc.      0.35        12/04/12           Open           2,510,400           2,513,866   
Barclays Capital, Inc.      0.35        12/04/12           Open           717,187           718,178   
Barclays Capital, Inc.      0.35        12/04/12           Open           1,740,594           1,742,997   
Barclays Capital, Inc.      0.35        12/04/12           Open           1,542,562           1,544,692   
Barclays Capital, Inc.      0.35        12/04/12           Open           1,225,120           1,226,811   
Barclays Capital, Inc.      0.35        12/04/12           Open           4,705,170           4,711,666   
Barclays Capital, Inc.      0.35        12/04/12           Open           1,027,200           1,028,618   
UBS Securities LLC      (0.50 )%         12/27/12           Open           2,053,725           2,050,359   
UBS Securities LLC      0.10        12/27/12           Open           6,975,150           6,977,436   
UBS Securities LLC      0.25        12/27/12           Open           2,768,512           2,770,781   
UBS Securities LLC      0.32        12/27/12           Open           2,530,000           2,532,654   
UBS Securities LLC      0.32        12/27/12           Open           1,201,500           1,202,760   
UBS Securities LLC      0.32        12/27/12           Open           8,560,000           8,568,978   
UBS Securities LLC      0.34        12/27/12           Open           4,715,000           4,720,255   
UBS Securities LLC      0.34        12/27/12           Open           6,220,725           6,227,658   
UBS Securities LLC      0.34        12/27/12           Open           11,492,250           11,505,057   
UBS Securities LLC      0.34        12/27/12           Open           9,441,250           9,451,772   
UBS Securities LLC      0.34        12/27/12           Open           11,047,125           11,059,436   
UBS Securities LLC      0.34        12/27/12           Open           4,326,075           4,330,896   
UBS Securities LLC      0.34        12/27/12           Open           706,250           707,037   
UBS Securities LLC      0.34        12/27/12           Open           1,298,375           1,299,822   
UBS Securities LLC      0.34        12/27/12           Open           952,000           953,061   
UBS Securities LLC      0.35        12/27/12           Open           11,625,000           11,638,336   
UBS Securities LLC      0.35        12/27/12           Open           4,825,000           4,830,535   
UBS Securities LLC      0.35        12/27/12           Open           21,971,250           21,999,212   
UBS Securities LLC      0.35        12/27/12           Open           11,349,000           11,362,020   
UBS Securities LLC      0.35        12/27/12           Open           6,111,438           6,118,449   
UBS Securities LLC      0.35        12/27/12           Open           1,140,000           1,141,308   
UBS Securities LLC      0.35        12/27/12           Open           3,306,250           3,310,043   
UBS Securities LLC      0.36        12/27/12           Open           7,820,075           7,829,303   
UBS Securities LLC      0.37        12/27/12           Open           2,856,000           2,859,464   
Credit Suisse Securities (USA) LLC      0.35        1/09/13           Open           18,617,625           18,637,898   
Deutsche Bank Securities, Inc.      (1.00 )%         1/09/13           Open           5,245,031           5,228,713   
Credit Suisse Securities (USA) LLC      0.35        1/14/13           Open           18,056,250           18,075,034   
UBS Securities LLC      0.33        1/17/13           Open           6,352,950           6,359,006   
UBS Securities LLC      0.32        1/18/13           Open           14,280,000           14,293,074   
BNP Paribas Securities Corp.      0.05        1/29/13           Open           5,940,800           5,941,559   
Credit Suisse Securities (USA) LLC      0.35        1/29/13           Open           14,670,000           14,683,122   
Deutsche Bank Securities, Inc.      0.07        1/29/13           Open           3,442,012           3,442,628   
Citigroup Global Markets, Inc.      (0.38 )%         1/31/13           Open           2,301,075           2,298,942   
Deutsche Bank Securities, Inc.      (4.50 )%         2/07/13           Open           1,896,562           1,877,123   
BNP Paribas Securities Corp.      0.02        2/11/13           Open           6,337,500           6,337,778   
Credit Suisse Securities (USA) LLC      (0.25 )%         2/13/13           Open           1,426,875           1,426,122   
Credit Suisse Securities (USA) LLC      0.35        2/22/13           Open           3,070,937           3,072,968   
Credit Suisse Securities (USA) LLC      0.35        2/25/13           Open             11,500,000             11,507,267   
BNP Paribas Securities Corp.      0.34        2/28/13           Open           8,705,000           8,710,097   
Deutsche Bank Securities, Inc.      0.00        3/01/13           Open           4,138,344           4,138,344   
Deutsche Bank Securities, Inc.      (0.75 )%         3/05/13           Open           1,494,575           1,492,800   

 

See Notes to Financial Statements.

 

                
18    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

 

Ÿ  

Reverse repurchase agreements outstanding as of April 30, 2013 were as follows (continued):

 

Counterparty      Interest
Rate
       Trade
Date
       Maturity
Date
      

Face

Value

       Face Value
Including
Accrued
Interest
 
UBS Securities LLC        0.35        3/12/13           Open         $ 6,132,500         $ 6,135,421   
UBS Securities LLC        (0.50 )%         3/13/13           Open           2,061,777           2,060,373   
BNP Paribas Securities Corp.        0.34        3/21/13           Open           12,292,000           12,296,760   
Credit Suisse Securities (USA) LLC        0.35        3/28/13           Open           10,309,438           10,312,845   
UBS Securities LLC        0.32        3/28/13           Open           2,249,437           2,250,117   
UBS Securities LLC        0.34        3/28/13           Open           5,572,613           5,574,402   
UBS Securities LLC        0.37        3/28/13           Open           1,477,500           1,478,016   
Barclays Capital, Inc.        0.35        4/02/13           Open           4,206,113           4,207,258   
Barclays Capital, Inc.        0.35        4/02/13           Open           6,163,125           6,164,803   
Barclays Capital, Inc.        0.35        4/02/13           Open           1,205,312           1,205,641   
Barclays Capital, Inc.        0.35        4/02/13           Open           2,858,194           2,858,972   
Barclays Capital, Inc.        0.35        4/02/13           Open           2,502,062           2,502,744   
Barclays Capital, Inc.        0.35        4/02/13           Open           2,054,850           2,055,409   
Barclays Capital, Inc.        0.35        4/02/13           Open           6,330,800           6,332,523   
BNP Paribas Securities Corp.        0.19        4/02/13           Open           3,839,165           3,839,753   
BNP Paribas Securities Corp.        0.20        4/02/13           Open           2,490,625           2,491,026   
BNP Paribas Securities Corp.        0.35        4/02/13           Open           5,810,000           5,811,582   
BNP Paribas Securities Corp.        0.37        4/02/13           Open           582,647           582,815   
BNP Paribas Securities Corp.        0.37        4/02/13           Open           490,732           490,873   
BNP Paribas Securities Corp.        0.37        4/02/13           Open           5,475,000           5,476,576   
BNP Paribas Securities Corp.        0.37        4/02/13           Open           4,957,000           4,958,427   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           597,400           597,563   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           476,875           477,005   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           1,252,295           1,252,636   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           5,483,469           5,484,961   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           13,702,500           13,706,230   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           2,360,375           2,361,018   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           7,590,500           7,592,566   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           3,747,563           3,748,583   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           3,607,400           3,608,382   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           3,633,656           3,634,645   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           6,307,031           6,308,748   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           860,781           861,016   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           4,077,375           4,078,485   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           8,587,500           8,589,838   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           9,537,500           9,540,096   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           1,699,441           1,699,904   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           526,500           526,643   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           3,567,375           3,568,346   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           2,171,875           2,172,466   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           11,181,744           11,184,788   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           2,285,625           2,286,247   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           2,915,000           2,915,794   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           6,173,719           6,175,399   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           20,623,680           20,629,294   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           5,266,463           5,267,896   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           2,132,000           2,132,580   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           8,760,213           8,762,597   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           3,261,094           3,261,982   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           12,448,144           12,451,532   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           3,007,500           3,008,319   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           5,154,000           5,155,403   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           2,873,500           2,874,282   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           837,900           838,128   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           2,637,656           2,638,374   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           872,969           873,206   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           2,880,000           2,880,784   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           3,664,406           3,665,404   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open             10,490,000             10,492,856   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           8,018,569           8,020,752   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           4,604,531           4,605,785   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           3,695,812           3,696,819   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           4,197,375           4,198,518   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    19


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

 

Ÿ  

Reverse repurchase agreements outstanding as of April 30, 2013 were as follows (concluded):

 

Counterparty      Interest
Rate
       Trade
Date
       Maturity
Date
      

Face

Value

       Face Value
Including
Accrued
Interest
 
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open         $ 532,125         $ 532,270   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           10,825,000           10,827,947   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           7,353,913           7,355,914   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           5,396,175           5,397,644   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           8,703,625           8,705,994   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           1,143,000           1,143,311   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           7,339,594           7,341,592   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           2,639,763           2,640,481   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           15,710,963           15,715,239   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           6,912,938           6,914,819   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           6,073,125           6,074,778   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           980,156           980,423   
Credit Suisse Securities (USA) LLC        0.35        4/02/13           Open           5,351,063           5,352,519   
Deutsche Bank Securities, Inc.        (0.63 )%         4/02/13           Open           1,344,200           1,343,547   
Deutsche Bank Securities, Inc.        0.03        4/02/13           Open           653,062           653,078   
Deutsche Bank Securities, Inc.        0.20        4/02/13           Open           2,735,187           2,735,628   
Barclays Capital, Inc.        0.35        4/10/13           Open           12,018,000           12,020,454   
UBS Securities LLC        0.32        4/12/13           Open           6,936,000           6,937,171   
Deutsche Bank Securities, Inc.        (0.25 )%         4/17/13           Open           2,107,500           2,107,368   
Credit Suisse Securities (USA) LLC        0.35        4/23/13           Open           7,076,875           7,077,425   
BNP Paribas Securities Corp.        (0.05 )%         4/29/13           Open           14,996,638           14,996,617   
BNP Paribas Securities Corp.        0.19        4/29/13           Open           2,711,844           2,711,858   
BNP Paribas Securities Corp.        0.34        4/29/13           Open           4,295,000           4,295,041   
Citigroup Global Markets, Inc.        (0.50 )%         4/30/13           Open           1,862,500           1,862,500   

Total

                    $ 750,036,395         $ 750,416,740   
                   

 

 

      

 

 

 

 

Ÿ  

Financial futures contracts as of April 30, 2013 were as follows:

 

Contracts
Purchased/(Sold)
  Issue      Exchange   Expiration  

Notional
Value

    Unrealized
Appreciation
(Depreciation)
 

488

  2-Year US Treasury Note      Chicago Board of Trade   June 2013     USD        107,665,000      $ 75,465   

3

  30-Year US Treasury Bond      Chicago Board of Trade   June 2013     USD        445,125        14,570   

(372)

  5-Year US Treasury Note      Chicago Board of Trade   June 2013     USD        46,366,312        (327,355)   

(1,661)

  10-Year US Treasury Note      Chicago Board of Trade   June 2013     USD        221,509,922        (4,234,552)   

(376)

  Ultra Long US Treasury Bond      Chicago Board of Trade   June 2013     USD        61,793,250        (1,501,650

Total

               $ (5,973,522
              

 

 

 

 

Ÿ  

Foreign currency exchange contracts as of April 30, 2013 were as follows:

 

Currency Purchased      Currency Sold      Counterparty      Settlement Date      Unrealized
Depreciation
 

USD  3,297,710

     EUR  2,517,351      Deutsche Bank AG      7/23/13      $ (19,324

 

Ÿ  

Exchange-traded options purchased as of April 30, 2013 were as follows:

 

Description      Put/
Call
    

Strike
Price

       Expiration
Date
       Contracts        Market Value  
10-Year US Treasury Note      Put        USD  125.50           8/23/13           420         $ 32,812   

 

Ÿ  

Over-the-counter interest rate swaptions purchased as of April 30, 2013 were as follows:

 

Description    Counterparty      Put/
Call
     Exercise
Rate
     Pay/
Receive
Exercise
Rate
     Floating Rate
Index
     Expiration
Date
     Notional
Amount
(000)
    Market
Value
 
2-Year Interest Rate Swap      Deutsche Bank AG         Put         0.71      Pay         6-Month LIBOR         6/28/13         USD  61,000      $ 254   
10-Year Interest Rate Swap      Deutsche Bank AG         Put         4.50      Pay         3-Month LIBOR         2/02/17         USD    8,000        172,784   

Total

                       $ 173,038   
                      

 

 

 

 

See Notes to Financial Statements.

 

                
20    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

 

Ÿ  

Over-the-counter interest rate swaptions written as of April 30, 2013 were as follows:

 

Description    Counterparty      Put/
Call
     Exercise
Rate
     Pay/
Receive
Exercise
Rate
     Floating Rate
Index
     Expiration
Date
     Notional
Amount
(000)
    Market
Value
 
10-Year Interest Rate Swap      Deutsche Bank AG         Put         6.00      Receive         3-Month LIBOR         2/02/17         USD  16,000      $ (140,547

 

Ÿ  

Credit default swaps — buy protection outstanding as of April 30, 2013 were as follows:

 

Issuer      Pay
Fixed
Rate
       Counterparty      Expiration
Date
       Notional
Amount
(000)
    Unrealized
Depreciation
 
The New York Times Co.        1.00      Barclays Plc        12/20/16           USD    1,725      $ (65,898
Southwest Airlines Co.        1.00      Goldman Sachs Group, Inc.        12/20/16           USD    2,035        (189,071
Southwest Airlines Co.        1.00      Royal Bank of Scotland Group Plc        12/20/16           USD    4,000        (196,900
STMicro Electronics        1.00      Barclays Plc        6/20/17           EUR    1,500        (79,980
Cigna Corp.        1.00      Goldman Sachs Group, Inc.        9/20/17           USD    7,300        (176,771
General Dynamic Corp.        1.00      Credit Suisse Group AG        9/20/17           USD    5,585        (27,071
Humana, Inc.        1.00      Goldman Sachs Group, Inc.        9/20/17           USD    7,300        (131,525
Lockheed Martin Corp.        1.00      Credit Suisse Group AG        9/20/17           USD    5,585        (82,588
Northrop Grumman Corp.        1.00      Credit Suisse Group AG        9/20/17           USD    4,715        (42,964
Raytheon Co.        1.00      Credit Suisse Group AG        9/20/17           USD    4,715        (36,882
Viacom, Inc.        1.00      Credit Suisse Group AG        9/20/17           USD  12,200        (181,034
SLM Corp.        5.00      JPMorgan Chase & Co.        3/20/18           USD  17,000        (58,397
Darden Restaurants, Inc.        1.00      Goldman Sachs Group, Inc.        6/20/18           USD    1,825        (55,531
Kohl’s Corp.        1.00      BNP Paribas SA        6/20/18           USD    2,875        (30,528

Total

                      $ (1,355,140
                     

 

 

 

 

Ÿ  

Credit default swaps — sold protection outstanding as of April 30, 2013 were as follows:

 

Issuer    Receive
Fixed
Rate
     Counterparty    Expiration
Date
     Credit
Rating1
   Notional
Amount
(000)2
    Unrealized
Appreciation
 
Anadarko Petroleum Corp.      1.00    Credit Suisse Group AG      6/20/17       BBB-      USD    2,425      $ 120,076   
Anadarko Petroleum Corp.      1.00    Morgan Stanley      6/20/17       BBB-      USD         10        539   
Anadarko Petroleum Corp.      1.00    UBS AG      6/20/17       BBB-      USD       994        52,828   
Comcast Corp.      1.00    Credit Suisse Group AG      9/20/17       A-      USD  12,200        305,760   
United Health Group, Inc.      1.00    Goldman Sachs Group, Inc.      9/20/17       Not Rated      USD    7,300        207,539   
WellPoint, Inc.      1.00    Goldman Sachs Group, Inc.      9/20/17       A-      USD    7,300        164,174   
MetLife, Inc.      1.00    Deutsche Bank AG      3/20/18       A-      USD    3,025        108,715   

Total

                 $    959,631   
                

 

 

 

 

1   

Using S&P’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.

 

Ÿ  

Interest rate swaps outstanding as of April 30, 2013 were as follows:

 

Fixed Rate      Floating Rate        Counterparty/
Exchange
     Expiration
Date
       Notional
Amount
(000)
    Unrealized
Appreciation
(Depreciation)
 
0.44%3        3-month LIBOR         Chicago Mercantile        8/29/14           USD  56,600      $ (95,842
2.71%3        3-month LIBOR         Credit Suisse Group AG        8/21/42           USD       300                  6,503   
2.97%3        3-month LIBOR         Deutsche Bank AG        1/31/43           USD  10,000        (317,420
2.93%4        3-month LIBOR         Deutsche Bank AG        4/15/43           USD    2,000        46,492   

Total

                      $ (360,267
                     

 

 

 

 

3   

Trust pays the fixed rate and receives the floating rate.

 

4   

Trust pays the floating rate and receives the fixed rate.

 

Ÿ  

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 statement purposes as follows:

 

Ÿ  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Trust has the ability to access

 

Ÿ  

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)

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    21


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

 

Ÿ  

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)

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 level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

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 Note 1 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of April 30, 2013:

 

     Level 1        Level 2        Level 3        Total  
Assets:                 
Investments:                 

Long-Term Investments:

                

Asset-Backed Securities

            $ 7,926,549         $ 8,415,000         $ 16,341,549   

Corporate Bonds

              1,920,243,573           17,200,000           1,937,443,573   

Preferred Securities

  $ 15,663,670           401,914,529                     417,578,199   

Taxable Municipal Bonds

              18,971,450                     18,971,450   

US Government Sponsored Agency Securities

              3,514,218                     3,514,218   

US Treasury Obligations

              40,653,473                     40,653,473   

Short-Term Securities

    4,448,337                               4,448,337   

Options Purchased:

                

Interest Rate Contracts

    32,812           173,038                     205,850   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 20,144,819         $ 2,393,396,830           $25,615,000         $ 2,439,156,649   
 

 

 

      

 

 

      

 

 

      

 

 

 
                
     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments1                 
Assets:                 

Credit contracts

            $ 959,631                   $ 959,631   

Interest rate contracts

  $ 90,035           52,995                     143,030   
Liabilities:                 

Credit contracts

              (1,355,140)                     (1,355,140)   

Foreign currency exchange contracts

              (19,324)                     (19,324)   

Interest rate contracts

    (6,063,557)           (553,808)                     (6,617,365)   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ (5,973,522)         $ (915,646)                   $ (6,889,168)   
 

 

 

      

 

 

      

 

 

      

 

 

 

 

1   

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

Certain of the Trust’s assets and liabilities are held at carrying amount or face value, which approximates fair value for financial statement purposes. As of April 30, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1          Level 2          Level 3      Total  
Assets:                 

Cash pledged as collateral for centrally cleared swaps

  $ 110,000                        $ 110,000   

Cash pledged as collateral for financial futures contracts

    4,017,940                          4,017,940   

Cash pledged as collateral for swaps

    1,850,000                          1,850,000   
Liabilities:                 

Cash received as collateral for reverse repurchase agreements

            $ (8,667,000             (8,667,000

Reverse repurchase agreements

              (750,036,395             (750,036,395
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 5,977,940         $ (758,703,395           $ (752,725,455
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between Level 1 and Level 2 during the six months ended April 30, 2013.

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

Schedule of Investments (concluded)

  

BlackRock Credit Allocation Income Trust (BTZ)

 

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
    Corporate
Bonds
    Total  

Assets:

     

Opening Balance, as of October 31, 2012

  $ 3,982,000      $ 8,192,550      $ 12,174,550   

Transfers into Level 31

                    

Transfers out of Level 31

                    

Accrued discounts/premiums

    57,923               57,923   

Net realized gain (loss)

                    

Net change in unrealized appreciation/depreciation2

    329,921        517,450        847,371   

Purchases

    4,045,156        8,490,000        12,535,156   

Sales

                    
 

 

 

   

 

 

   

 

 

 

Closing Balance, as of April 30, 2013

  $ 8,415,000        $17,200,000      $ 25,615,000   
 

 

 

   

 

 

   

 

 

 
1   

Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

 

2   

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of April 30, 2013 was $847,371.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    23


Table of Contents

Consolidated Schedule of Investments April 30, 2013 (Unaudited)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities          

Par
(000)

    Value  

ACAS CLO Ltd., Series 2012-1A, Class D, 5.13%, 9/20/23 (a)(b)

    USD         750      $ 755,625   

Anchorage Capital CLO Ltd., Series 2012-1A, Class B, 3.16%, 1/13/25 (a)(b)

       1,000        989,200   

Apidos CDO XI, Series 2012-11A, Class D, 4.74%, 1/17/23 (a)(b)

       500        491,250   

Atrium CDO Corp., Series 9A, Class D, 3.96%, 2/28/24 (a)(b)

       500        472,250   

Carlyle Global Market Strategies, Series 2013-1A, Class C, 4.29%, 2/14/25 (a)(b)

       250        249,000   

Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.78%, 1/20/25 (a)(b)

       450        450,000   

Cavalry CLO Ltd., Series 2A, Class D, 4.38%, 1/17/24 (a)(b)

       500        486,250   

Cent CLO LP, Series 2013-17A, Class C, 3.79%, 1/30/25 (a)(b)

       500        474,710   

Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.28%, 4/20/23 (a)(b)

       575        566,778   

Goldentree Loan Opportunities VI Ltd., Series 2012-6A, Class D, 4.48%, 4/17/22 (a)(b)

       950        947,340   

Highbridge Loan Management Ltd., Series 2012-1A, Class C, 5.28%, 9/20/22 (a)(b)

       925        927,775   

ING IM CLO Ltd. (a)(b):

      

Series 2012-2A, Class D, 4.83%, 10/15/22

       950        950,000   

Series 2012-4A, Class C, 4.78%, 10/15/23

       500        501,875   

LCM XI LP, Series 11A, Class D2, 4.23%, 4/19/22 (a)(b)

       1,000        1,000,000   

Marea CLO Ltd., Series 2012-1A, Class D, 4.83%, 10/16/23 (a)(b)

       1,000        998,000   

Octagon Investment Partners XIV Ltd., Series 2012-1A, Class C, 4.56%, 1/15/24 (a)(b)

       600        588,000   

OZLM Funding Ltd. (a)(b):

      

Series 2012-2A, Class C, 4.63%, 10/30/23

       500        498,950   

Series 2013-3A, Class C, 4.15%, 1/22/25

       250        246,100   

Race Point VI CLO Ltd., Series 2012-6A, Class D, 4.79%, 5/24/23 (a)(b)

       675        673,042   

Symphony CLO IX LP, Series 2012-9A, Class D, 4.53%, 4/16/22 (a)(b)

       775        772,830   

Symphony CLO X Ltd., Series 2012-10A, Class D, 5.53%, 7/23/23 (a)(b)

       925        931,937   

West CLO Ltd., Series 2012-1A, Class C, 5.05%, 10/30/23 (a)(b)

             845        851,549   

Total Asset-Backed Securities – 4.2%

  

    14,822,461   
      
   
Common Stocks           Shares         

Auto Components — 0.0%

      

Lear Corp.

             330        19,067   

Construction & Engineering — 0.0%

      

USI United Subcontractors

             8,067        8,067   

Hotels, Restaurants & Leisure — 0.3%

      

BLB Worldwide Holdings, Inc. (c)

             50,832        1,070,014   

Metals & Mining — 0.1%

      

Euramax International (c)

             1,135        227,040   

Paper & Forest Products — 0.3%

      

Ainsworth Lumber Co. Ltd. (a)(c)

       62,685        242,664   

Ainsworth Lumber Co. Ltd. (c)

       220,483        853,525   
      

 

 

 
                       1,096,189   
Common Stocks          

    
Shares

    Value  

Software — 0.3%

      

Bankruptcy Management Solutions, Inc. (c)

       2,947          

HMH Holdings/EduMedia

       41,612      $ 1,050,704   
      

 

 

 
                       1,050,704   

Total Common Stocks – 1.0%

  

    3,471,081   
      
   
Corporate Bonds           Par
(000)
        

Airlines — 0.2%

      

American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 10/15/21

    USD         200        211,708   

Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18

       415        423,300   
      

 

 

 
                       635,008   

Auto Components — 0.4%

      

Icahn Enterprises LP, 8.00%, 1/15/18

       660        709,500   

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

       540        546,750   
      

 

 

 
                       1,256,250   

Beverages — 0.6%

      

Refresco Group BV (b):

      

4.23%, 5/15/18 (a)

    EUR         500        663,743   

4.23%, 5/15/18

       1,000        1,327,486   
      

 

 

 
                       1,991,229   

Building Products — 0.5%

      

Cemex SAB de CV, 5.88%, 3/25/19 (a)

    USD         214        217,745   

Grohe Holding GmbH, 4.20%, 9/15/17 (a)(b)

    EUR         700        928,779   

Momentive Performance Materials, Inc., 8.88%, 10/15/20

    USD         425        463,250   
      

 

 

 
                       1,609,774   

Capital Markets — 0.1%

      

E*Trade Financial Corp., 0.00%, 8/31/19 (a)(d)(e)

             439        440,646   

Commercial Banks — 1.3%

      

VTB Bank OJSC Via VTB Capital SA, 6.88%, 5/29/18

             3,940        4,418,710   

Commercial Services & Supplies — 0.7%

  

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)

       478        503,137   

Verisure Holdings AB, 6.71%, 9/01/18 (b)

    EUR         1,500        2,009,996   
      

 

 

 
                       2,513,133   

Communications Equipment — 1.2%

      

Avaya, Inc., 7.00%, 4/01/19 (a)

    USD         467        449,488   

Telenet Finance IV Luxembourg S.C.A., 4.08%, 6/15/21 (b)

    EUR         1,500        1,975,426   

Zayo Group LLC/Zayo Capital, Inc.:

      

8.13%, 1/01/20

    USD         1,010        1,138,775   

10.13%, 7/01/20

       665        786,362   
      

 

 

 
                       4,350,051   

Consumer Finance — 0.3%

      

Inmarsat Finance Plc, 7.38%, 12/01/17 (a)

             1,015        1,077,169   

Containers & Packaging — 2.3%

      

Ardagh Packaging Finance Plc:

      

7.38%, 10/15/17 (a)

    EUR         400        574,190   

7.38%, 10/15/17

       300        430,643   

4.88%, 11/15/22 (a)

    USD         201        205,523   

GCL Holdings SCA, 9.38%, 4/15/18 (a)

    EUR         329        473,355   

Guala Closures SpA, 5.60%, 11/15/19 (b)

       1,500        2,007,862   

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

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 (concluded)

      

Smurfit Kappa Acquisitions:

      

7.25%, 11/15/17 (a)

    EUR         355      $ 495,568   

7.75%, 11/15/19 (a)

       416        603,705   

3.71%, 10/15/20 (b)

       2,500        3,368,101   
      

 

 

 
                       8,158,947   

Diversified Financial Services — 1.1%

      

Ally Financial, Inc., 2.49%, 12/01/14 (b)

    USD         795        797,213   

Reynolds Group Issuer, Inc.:

      

5.75%, 10/15/20

       2,345        2,456,387   

6.88%, 2/15/21

       490        534,100   
      

 

 

 
                       3,787,700   

Diversified Telecommunication Services — 0.2%

  

 

ITC Deltacom, Inc., 10.50%, 4/01/16

       477        505,620   

Lynx I Corp., 5.38%, 4/15/21 (a)

       200        213,500   
      

 

 

 
                       719,120   

Energy Equipment & Services — 0.8%

      

CGG, Veritas, 7.75%, 5/15/17

       1,795        1,848,850   

FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a)

       298        318,860   

Tervita Corp., 8.00%, 11/15/18 (a)

       618        647,355   
      

 

 

 
                       2,815,065   

Health Care Equipment & Supplies — 0.4%

      

Ontex IV SA, 4.34%, 4/15/18 (b)

    EUR         1,000        1,320,243   

Health Care Providers & Services — 1.8%

      

CHS/Community Health Systems, Inc., 5.13%, 8/15/18

    USD         954        1,020,780   

Crown Newco 3 Plc, 7.00%, 2/15/18 (a)

    GBP         1,750        2,895,056   

HCA, Inc., 6.50%, 2/15/20

    USD         1,055        1,218,525   

Tenet Healthcare Corp.:

      

6.25%, 11/01/18

       495        558,112   

4.50%, 4/01/21 (a)

       704        718,080   
      

 

 

 
                       6,410,553   

Hotels, Restaurants & Leisure — 0.1%

      

Carlson Wagonlit BV, 6.88%, 6/15/19 (a)

             200        212,000   

Household Durables — 0.1%

      

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

       400          

United Rentals North America, Inc., 5.75%, 7/15/18

       210        228,900   
      

 

 

 
                       228,900   

Independent Power Producers & Energy Traders — 1.0%

  

 

Energy Future Intermediate Holding Co. LLC:

      

10.00%, 12/01/20 (a)

    USD         585        663,244   

10.00%, 12/01/20

       2,525        2,891,125   
      

 

 

 
                       3,554,369   

IT Services — 0.2%

  

 

First Data Corp., 6.75%, 11/01/20 (a)

    USD         650        697,125   

Machinery — 1.1%

      

KION Finance SA, 4.46%, 4/15/18 (a)(b)

    EUR         3,000        4,000,237   

Media — 2.8%

      

Clear Channel Communications, Inc., 9.00%, 12/15/19 (a)

       397        397,000   

Clear Channel Worldwide Holdings, Inc. (a):

      

6.50%, 11/15/22

       509        540,813   

6.50%, 11/15/22

       1,377        1,476,832   

Odeon & UCI Finco Plc, 5.23%, 8/01/18 (b)

    EUR         1,600        2,086,050   

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

      

8.13%, 12/01/17

       148        208,533   

5.75%, 1/15/23

       1,450        1,962,092   
Corporate Bonds          

Par

(000)

    Value  

Media (concluded)

      

Virgin Media Secured Finance Plc, 7.00%, 1/15/18

    GBP         1,197      $ 1,980,218   

Ziggo Finance BV, 6.13%, 11/15/17 (a)

    EUR         1,005        1,386,403   
      

 

 

 
                       10,037,941   

Metals & Mining — 0.0%

      

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

             133        164,645   

Oil, Gas & Consumable Fuels — 1.6%

  

 

EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19

    USD         385        421,575   

KazmunaiGaz Finance Sub BV, 8.38%, 7/02/13

       1,500        1,512,900   

Offshore Group Investment Ltd., 7.13%, 4/01/23 (a)

       235        244,400   

Petroleos de Venezuela SA, 5.25%, 4/12/17

       4,000        3,470,000   
      

 

 

 
                       5,648,875   

Real Estate Management & Development — 0.3%

  

 

Country Garden Holdings Co. Ltd., 7.50%, 1/10/23 (a)

       500        521,250   

Realogy Corp., 7.63%, 1/15/20 (a)

       445        510,638   
      

 

 

 
                       1,031,888   

Specialty Retail — 1.0%

      

DFS Furniture Holdings Plc, 6.51%, 8/15/18 (b)

    GBP         2,000        3,106,700   

House of Fraser Funding Plc, 8.88%, 8/15/18 (a)

       349        566,514   
      

 

 

 
                       3,673,214   

Transportation Infrastructure — 0.4%

  

 

Aguila 3 SA, 7.88%, 1/31/18 (a)

    CHF         1,100        1,268,821   

Wireless Telecommunication Services — 2.2%

      

iPCS, Inc., 2.42%, 5/01/13 (b)

    USD         1,155        1,155,000   

Matterhorn Mobile SA, 5.48%, 5/15/19 (b)

    EUR         3,000        4,029,868   

Sprint Nextel Corp. (a):

      

9.00%, 11/15/18

    USD         790        971,700   

7.00%, 3/01/20

       1,460        1,660,750   
      

 

 

 
                       7,817,318   
Total Corporate Bonds — 22.7%                      79,838,931   
      
   
Floating Rate Loan Interests (b)  

Aerospace & Defense — 1.2%

      

DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20

       1,365        1,379,333   

DynCorp International LLC, Term Loan B, 6.25%, 7/07/16

       385        387,472   

The SI Organization, Inc., Term Loan B, 4.50%, 11/22/16

       1,069        1,062,550   

Spirit Aerosystems, Inc., Term Loan B, 3.75%, 4/18/19

       960        969,903   

Transdigm, Inc., Term Loan C, 3.75%, 2/28/20

       519        525,687   
      

 

 

 
                       4,324,945   

Airlines — 0.8%

  

 

Delta Air Lines, Inc.:

      

Term Loan, 3.53%, 9/16/15

       911        851,485   

Term Loan B, 4.25%, 4/20/17

       466        472,188   

Northwest Airlines, Inc.:

      

Term Loan, 2.30%, 3/10/17

       355        328,570   

Term Loan, 2.30%, 3/10/17

       644        596,054   

Term Loan, 1.68%, 9/10/18

       292        258,435   

Term Loan, 1.68%, 9/10/18

       289        255,779   

US Airways Group, Inc., Term Loan, 2.70%, 3/21/14

       158        157,694   
      

 

 

 
                       2,920,205   

Auto Components — 3.2%

  

 

Autoparts Holdings Ltd., First Lien Term Loan, 6.50%, 7/28/17

       1,591        1,610,621   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    25


Table of Contents

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  

Auto Components (concluded)

  

 

Federal-Mogul Corp.:

      

Term Loan B, 2.14%, 12/29/14

    USD         3,435      $ 3,253,820   

Term Loan C, 2.14%, 12/28/15

       1,431        1,356,037   

The Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19

       1,705        1,718,009   

GPX International Tire Corp. (c)(f):

      

Term Loan, 12.25%, 3/30/12

       274          

Term Loan, 13.00%, 3/30/12

       4          

Schaeffler AG, Term Loan C, 4.25%, 1/27/17

       1,120        1,131,749   

Transtar Holding Co., First Lien Term Loan, 5.50%, 10/09/18

       1,313        1,326,534   

UCI International, Inc., Term Loan B, 5.50%, 7/26/17

       926        930,510   
      

 

 

 
                       11,327,280   

Beverages — 0.0%

      

Le-Nature’s, Inc., Tranche B Term Loan, 10.25%, 3/01/11 (c)(f)

             1,000        100   

Biotechnology — 0.4%

      

Grifols, Inc., Term Loan B, 4.25%, 6/01/17

             1,457        1,472,809   

Building Products — 1.2%

      

Armstrong World Industries, Inc., Term Loan B, 3.50%, 3/16/20

       610        613,269   

CPG International, Inc., Term Loan, 5.75%, 9/18/19

       1,940        1,964,503   

United Subcontractors, Inc., First Lien Term Loan, 6.29%, 6/30/15

       208        197,247   

Wilsonart International Holdings LLC, Term Loan B, 5.50%, 10/31/19

       1,551        1,555,766   
      

 

 

 
                       4,330,785   

Capital Markets — 1.5%

      

American Capital Holdings, Inc., Term Loan, 5.50%, 8/22/16

       1,605        1,627,069   

HarbourVest Partners LLC, Term Loan B, 4.75%, 11/21/17

       935        939,561   

Nuveen Investments, Inc.:

      

1st Lien Term Loan, 5.20%, 5/13/17

       2,254        2,278,637   

2nd Lien Term Loan, 6.50%, 2/28/19

       531        534,319   
      

 

 

 
                       5,379,586   

Chemicals — 4.5%

      

AI Chem & Cy S.C.A.:

      

2nd Lien Term Loan, 8.25%, 3/12/20

       330        337,633   

Term Loan B1, 4.50%, 10/03/19

       599        606,255   

Term Loan B2, 4.50%, 10/03/19

       311        314,556   

American Rock Salt Holdings LLC, Term Loan, 5.50%, 4/25/17

       1,593        1,594,370   

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

       716        724,519   

Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19

       1,276        1,295,916   

General Chemical Corp., Term Loan, 5.00%—5.75%, 10/06/15

       948        958,540   

INEOS US Finance LLC:

      

3 Year Term Loan, 5.50%, 5/04/15

    USD         231        234,061   

6 Year Term Loan, 6.50%, 5/04/18

       847        855,750   

MacDermid, Inc., Tranche C Term Loan, 2.31%, 4/11/14

    EUR         1,271        1,669,223   

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

    USD         1,441        1,448,676   

Tronox Pigments (Netherlands) BV, Term Loan B, 4.50%, 2/08/18

       1,703        1,726,566   

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

       962        966,952   

US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20

       3,005        3,042,262   
      

 

 

 
                       15,775,279   

Floating Rate Loan Interests (b)

         

Par

(000)

    Value  

Commercial Banks — 0.5%

      

Everest Acquisition LLC, Term Loan B1, 5.00%, 5/24/18

    USD         1,755      $ 1,762,459   

Commercial Services & Supplies — 4.7%

      

ACCO Brands Corp., Term Loan B, 4.25%, 4/30/19

       1,506        1,518,194   

ADS Waste Holdings, Inc., Term Loan B, 4.25%, 10/09/19

       2,743        2,776,015   

Altegrity, Inc.:

      

Term Loan, 5.00%, 2/21/15

       545        540,776   

Tranche D Term Loan, 7.75%, 2/20/15

       469        475,407   

AWAS Finance Luxembourg 2012 SA, Term Loan, 4.75%, 7/16/18

       261        262,319   

AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16

       1,724        1,738,009   

Catalent Pharma Solutions, Inc., Term Loan, 6.25%, 12/31/17

       300        303,000   

Delos Aircraft, Inc., Term Loan 2, 4.75%, 4/12/16

       1,675        1,684,765   

Garda World Security Corp., Term Loan B, 4.50%, 11/13/19

       313        317,343   

KAR Auction Services, Inc., Term Loan B, 3.75%, 5/19/17

       1,783        1,806,896   

Livingston International, Inc.:

      

1st Lien Term Loan B, 5.00%, 4/04/19

       820        825,125   

2nd Lien Term Loan C, 9.50%, 4/09/20

       540        552,150   

Progressive Waste Solutions Ltd., Term Loan B, 3.50%, 10/24/19

       828        837,587   

Protection One, Inc., Term Loan, 4.25%, 3/21/19

       1,346        1,363,234   

West Corp., Term Loan B8, 4.25%, 6/29/18

       1,620        1,645,207   
      

 

 

 
                       16,646,027   

Communications Equipment — 3.7%

  

 

Alcatel-Lucent USA, Inc.:

      

Term Loan B, 6.25%, 8/01/16

       1,165        1,181,823   

Term Loan C, 7.25%, 1/30/19

       1,766        1,808,708   

Term Loan D, 7.50%, 1/30/19

    EUR         648        862,843   

Arris Group, Inc., Term Loan B, 3.50%, 2/07/20

       235        235,148   

Avaya, Inc.:

      

Extended Term Loan B3, 4.79%, 10/26/17

       1,074        999,248   

Term Loan B5, 8.00%, 3/30/18

       171        171,237   

CommScope, Inc., Term Loan, 3.75%, 1/12/18

       1,738        1,760,470   

Riverbed Technology, Inc., Term Loan, 4.00%, 12/18/19

       927        942,929   

Telesat Canada, Term Loan A, 4.83%, 3/24/17

    CAD         2,893        2,864,799   

Zayo Group LLC, Term Loan B, 4.50%, 7/02/19

    USD         2,065        2,086,433   
      

 

 

 
                       12,913,638   

Construction & Engineering — 1.4%

  

 

BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20

       673        677,386   

Centaur LLC:

      

1st Lien Term Loan, 5.25%, 2/15/19

       1,520        1,542,800   

2nd Lien Term Loan, 8.75%, 2/20/20

       745        756,175   

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

       2,100        2,100,000   
      

 

 

 
                       5,076,361   

Construction Materials — 1.7%

  

 

HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17

             5,866        5,937,764   

Consumer Finance — 0.7%

      

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

             2,282        2,289,511   

Containers & Packaging — 0.6%

      

Berlin Packaging LLC:

      

First Lien Term Loan, 4.75%, 4/02/19

       270        272,870   

Second Lien Term Loan, 8.75%, 4/02/20

       325        330,687   

Sealed Air Corp., Term Loan, 4.00%, 10/03/18

       1,012        1,027,519   

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

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  

Containers & Packaging (concluded)

  

 

Smurfit Kappa Acquisitions:

      

Term Loan B4, 3.71% - 3.84%, 6/30/16

    EUR         226      $ 299,137   

Term Loan C4, 3.99% - 4.09%, 3/31/17

       224        297,232   
      

 

 

 
                       2,227,445   

Distributors — 1.2%

      

ABC Supply, Inc., Term Loan, 3.50%, 4/20/20

    USD         2,855        2,877,583   

Crossmark Holdings, Inc., Term Loan, 4.50%, 12/20/19

       499        498,625   

VWR Funding, Inc., Extended Add on Term Loan, 4.20%, 4/03/17

       733        741,411   
      

 

 

 
                       4,117,619   

Diversified Consumer Services — 3.6%

      

Bright Horizons Family Solutions, Inc., Term Loan B, 4.00% - 5.25%, 1/16/20

       1,501        1,514,373   

Coinmach Service Corp.:

      

Delayed Draw Term Loan, 3.20%, 11/20/14

       480        478,750   

Term Loan B, 3.20%, 11/20/14

       1,722        1,717,786   

Education Management LLC, Term Loan C3, 8.25%, 3/29/18

       288        248,637   

Iglo Foods Midco Ltd., Term Loan F, 4.87%, 10/31/17

    EUR         2,620        3,482,622   

Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18

    USD         1,388        1,396,236   

ServiceMaster Co., Term Loan, 4.25%, 1/31/17

       1,940        1,954,669   

Weight Watchers International, Inc., Term Loan B2, 3.75%, 4/02/20

       2,000        1,993,260   
      

 

 

 
                       12,786,333   

Diversified Financial Services — 2.7%

      

CBAC Borrower LLC, Term Loan B, 8.25%, 4/24/20

       675        671,625   

Dundee Holdco 4 Limited, Term Loan B, 5.50%, 3/28/20

       555        558,929   

Reynolds Group Holdings, Inc., Term Loan, 5.00%, 9/28/18

    EUR         4,975        6,593,826   

ROC Finance LLC, Term Loan, 6.00%, 3/28/19

    USD         660        665,768   

WMG Acquisition Corp., Term Loan, 5.25%, 11/01/18

       973        985,148   
      

 

 

 
                       9,475,296   

Diversified Telecommunication Services — 4.7%

  

 

Consolidated Communications, Inc., Term Loan B3, 5.25%, 12/31/18

       2,344        2,370,989   

Hawaiian Telcom Communications, Inc., Term Loan B, 7.00%, 2/28/17

       1,456        1,480,118   

Integra Telecom Inc., Refinancing 2nd Lien Term Loan, 9.75%, 2/21/20

       650        666,386   

Integra Telecom, Inc., Term Loan, 6.00%, 2/15/19

       1,235        1,259,700   

ISS Holdings, Term Loan B12, 4.25%, 3/15/18

       2,000        2,008,060   

Level 3 Financing, Inc.:

      

2016 Term Loan B, 4.75%, 2/01/16

       438        443,364   

2019 Term Loan B, 5.25%, 8/01/19

       1,380        1,397,940   

Term Loan, 4.75%, 8/01/19

       4,920        4,970,430   

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

       1,890        1,885,346   
      

 

 

 
                       16,482,333   

Electronic Equipment, Instruments & Components — 0.3%

  

 

CDW LLC, New Term Loan, 3.50%, 4/30/20

             875        876,645   

Energy Equipment & Services — 1.8%

      

API Heat Transfer, Inc., Term Loan, 4/30/19

       1,005        1,001,231   

Dynegy Holdings, Inc.:

      

Term Loan B1, 4.00%, 4/16/20

       780        779,579   

Term Loan B2, 4.00%, 4/16/20

       1,245        1,244,328   

MEG Energy Corp., New Term Loan, 3.75%, 3/31/20

       1,386        1,400,283   

Tervita Corp., Term Loan, 6.25%, 5/01/18

       1,202        1,220,774   

Floating Rate Loan Interests (b)

         

Par

(000)

    Value  

Energy Equipment & Services (concluded)

  

 

Unifrax I LLC/Unifrax Holding Co., Term Loan, 4.25%, 11/28/18

    USD         584      $ 589,916   
      

 

 

 
                       6,236,111   

Food & Staples Retailing — 3.2%

      

Alliance Boots Holdings Ltd., Term Loan B1, 3.49%, 7/09/15

    GBP         4,525        7,015,131   

Iceland Foods Group Ltd., Term Loan B1, 5.50%, 3/08/19

       849        1,331,308   

Pilot Travel Centers LLC, Term Loan B2, 4.25%, 8/07/19

    USD         1,279        1,264,728   

Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20

       540        559,802   

Supervalu, Inc., Term Loan B, 6.25%, 3/21/19

       1,100        1,116,368   
      

 

 

 
                       11,287,337   

Food Products — 1.8%

      

AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17

       1,446        1,466,624   

Del Monte Foods Co., Term Loan, 4.00%, 3/08/18

       1,604        1,615,354   

Dole Food Co., Inc., Term Loan, 3.75%, 4/01/20

       1,610        1,620,063   

Michael Foods Group, Inc., Term Loan, 4.25%, 2/23/18

       293        296,586   

Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/22/20

       1,150        1,153,450   
      

 

 

 
                       6,152,077   

Health Care Equipment & Supplies — 3.8%

      

Bausch & Lomb, Inc., Term Loan B,
5.25%, 5/17/19

       2,308        2,332,438   

Biomet, Inc., Extended Term Loan B,
3.95% - 4.03%, 7/25/17

       899        910,483   

BSN Medical Acquisition Holding GmbH, Term Loan B, 5.00%, 8/28/19

       2,000        2,012,500   

Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19

       950        962,298   

DJO Finance LLC, Term Loan B3, 4.75%, 9/15/17

       3,167        3,217,574   

Hologic, Inc., Term Loan B, 4.50%, 8/01/19

       1,603        1,624,239   

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

       1,734        1,756,831   

LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18

       566        577,747   
      

 

 

 
                       13,394,110   

Health Care Providers & Services — 4.2%

      

American Renal Holdings, Inc.:

      

1st Lien Term Loan, 4.50%, 9/22/19

       1,595        1,598,493   

2nd Lien Term Loan, 8.50%, 2/14/20

       885        892,372   

Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18

       708        718,848   

CHG Buyer Corp., First Lien Term Loan, 5.00%, 11/22/19

       1,204        1,221,796   

ConvaTec, Inc., Term Loan, 5.00%, 12/22/16

       1,186        1,206,259   

DaVita, Inc.:

      

Term Loan B, 4.50%, 10/20/16

       2,178        2,199,928   

Term Loan B2, 4.00%, 11/01/19

       668        675,322   

Emergency Medical Services Corp., Term Loan, 4.00%, 5/25/18

       1,455        1,472,310   

Genesis HealthCare Corp., Term Loan B,
10.00% - 10.75%, 9/25/17

       571        567,675   

Harden Healthcare LLC:

      

Add on Term Loan A, 7.75%, 3/02/15

       1,084        1,063,553   

Term Loan A, 8.50%, 3/02/15

       654        648,842   

HCA, Inc., Extended Term Loan B4, 2.95%, 5/01/18

       330        330,597   

inVentiv Health, Inc.:

      

Combined Term Loan, 7.50%, 8/04/16

       183        181,590   

Incremental Term Loan B-3, 7.75%, 5/15/18

       241        239,024   

US Renal Care, Inc., First Lien Term Loan, 6.25%, 7/02/19

       1,360        1,380,121   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    27


Table of Contents

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 Providers & Services (concluded)

  

 

Vanguard Health Holdings Co. II LLC, Term Loan B, 3.75%, 1/29/16

    USD         325      $ 328,738   
      

 

 

 
                       14,725,468   

Health Care Technology — 1.1%

      

IMS Health, Inc., Term Loan B1, 3.75%, 9/01/17

       1,172        1,180,884   

Kinetic Concepts, Inc., Term Loan C1, 5.50%, 5/04/18

       1,733        1,761,570   

MedAssets, Inc., Term Loan B, 4.00%, 12/13/19

       725        733,217   
      

 

 

 
                       3,675,671   

Hotels, Restaurants & Leisure — 5.7%

      

Alpha D2 Ltd., Extended Term Loan B2, 6.00%, 4/30/19

       1,436        1,458,722   

Boyd Gaming Corp., Incremental Term Loan, 6.00%, 12/17/15

       994        1,004,105   

Caesars Entertainment Operating Co., Inc., Term Loan, 9.25%, 4/25/17

       855        869,962   

Harrah’s Property Co., Mezzanine Term Loan, 3.69%, 2/13/14

       4,893        4,492,502   

MGM Resorts International, Term Loan B, 4.25%, 12/20/19

       1,450        1,470,508   

OSI Restaurant Partners LLC, Replacement Term Loan, 3.50%, 10/28/19

       635        638,569   

Sabre, Inc., Term Loan B, 5.25%, 2/19/19

       853        865,492   

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

       1,094        1,103,639   

Station Casinos, Inc., New Term Loan B, 5.00%, 3/01/20

       3,235        3,271,911   

Travelport LLC, Extended Delayed Draw Term Loan, 4.96%, 8/21/15

       351        350,123   

Twin River Worldwide Holdings, Inc.:

      

Term Loan, 8.50%, 11/05/15

       1,161        1,170,782   

Term Loan, 5.25%, 9/27/18

       1,511        1,528,486   

Wendy’s International, Inc., Term Loan B, 4.75%, 5/15/19

       1,758        1,767,561   
      

 

 

 
                       19,992,362   

Household Products — 1.1%

      

Prestige Brands, Inc., New Term Loan, 3.75%, 1/31/19

       1,234        1,251,853   

Spectrum Brands, Inc., Term Loan, 4.50%, 12/17/19

       2,544        2,579,389   
      

 

 

 
                       3,831,242   

Independent Power Producers & Energy Traders — 0.5%

  

 

Calpine Corp., Term Loan B1, 4.00%, 4/02/18

       566        572,696   

Star West Generation LLC, Term Loan B, 5.00%, 3/13/20

       1,085        1,105,344   
      

 

 

 
                       1,678,040   

Industrial Conglomerates — 1.2%

      

Sequa Corp., Term Loan B, 5.25%, 6/19/17

             3,992        4,051,227   

Insurance — 2.3%

      

Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19

       1,132        1,144,899   

Asurion LLC, Term Loan B1, 4.50%, 5/24/19

       1,731        1,749,925   

CNO Financial Group, Inc.:

      

Term Loan B-1, 4.25%, 9/28/16

       990        999,197   

Term Loan B-2, 5.00%, 9/20/18

       1,424        1,443,074   

Cooper Gay Swett & Crawford Ltd.:

      

First Lien Term Loan, 5.22%, 4/06/20

       1,115        1,124,756   

Second Lien Term Loan, 8.25%, 10/05/20

       530        540,600   

Cunningham Lindsey Group, Inc., 1st Lien Term Loan, 5.00%, 12/10/19

       983        996,048   
      

 

 

 
                       7,998,499   

Floating Rate Loan Interests (b)

         

Par

(000)

    Value  

Internet Software & Services — 0.3%

      

Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17

    USD         1,155      $ 1,164,401   

IT Services — 4.8%

      

CCC Information Services, Inc., Term Loan, 5.25%, 12/20/19

       519        524,214   

Ceridian Corp., Extended Term Loan, 5.95%, 5/09/17

       1,813        1,844,197   

First Data Corp.:

      

2017 Term Loan, 4.20%, 3/24/17

       175        174,727   

2018 Term Loan, 4.20%, 9/24/18

       1,130        1,124,734   

Extended 2018 Term Loan B, 4.20%, 3/23/18

       6,020        5,996,550   

Genpact International, Inc., Term Loan B, 4.25%, 8/30/19

       2,070        2,105,818   

InfoGroup, Inc., Term Loan, 7.00%, 5/25/18

       314        286,612   

Light Tower Fiber LLC, 1st Lien Term Loan, 4.50%, 3/27/20

       1,630        1,646,300   

SunGard Data Systems, Inc.:

      

Term Loan D, 4.50%, 1/31/20

       678        686,358   

Term Loan E, 4.00%, 3/08/20

       195        197,254   

TransUnion LLC, Term Loan, 4.25%, 2/10/19

       2,219        2,245,633   
      

 

 

 
                       16,832,397   

Leisure Equipment & Products — 0.1%

      

FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19

             512        512,192   

Life Sciences Tools & Services — 0.2%

      

Patheon, Inc., Term Loan, 7.25%, 12/06/18

             741        752,394   

Machinery — 2.2%

      

Alliance Laundry Systems LLC:

      

First Lien Term Loan, 4.50%, 12/07/18

       522        526,912   

Second Lien Term Loan, 9.50%, 12/10/19

       286        293,881   

Dematic S.A., Term Loan, 5.25%, 12/27/19

       1,062        1,072,961   

Intelligrated, Inc., First Lien Term Loan,
4.50% - 5.50%, 7/30/18

       1,194        1,207,432   

Navistar International Corp., Term Loan B, 5.75%, 7/16/14

       549        559,237   

Rexnord LLC, Term Loan B, 4.50%, 4/02/18

       531        535,622   

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

       1,726        1,737,323   

Terex Corp.:

      

Term Loan B, 4.50%, 4/28/17

       707        721,254   

Term Loan B, 5.00%, 4/28/17

    EUR         350        463,213   

Wabash National Corp., Term Loan B,
6.00% - 7.00%, 5/02/19

    USD         711        712,905   
      

 

 

 
                       7,830,740   

Media — 12.9%

      

AMC Entertainment, Inc., Term Loan, 1.00%, 4/30/20

       700        704,543   

BBHI Acquisition LLC, Term Loan B, 4.50%, 12/14/17

       319        321,446   

Capsugel Holdings US, Inc., Term Loan B, 4.75%, 8/01/18

       1,157        1,180,286   

Catalina Marketing Corp., Extended Term Loan B, 5.70%, 9/29/17

       1,355        1,371,859   

Cengage Learning Acquisitions, Inc.:

      

Non-Extended Term Loan, 2.71%, 7/03/14

       196        152,738   

Tranche 1 Incremental, 7.50%, 7/03/14

       1,104        862,025   

Charter Communications Operating LLC:

      

Extended Term Loan C, 3.45%, 9/06/16

       113        112,919   

Term Loan D, 4.00%, 5/15/19

       187        187,427   

Clear Channel Communications, Inc.:

      

Term Loan B, 3.85%, 1/29/16

       407        372,896   

Term Loan C, 3.84%, 1/29/16

       439        396,925   

Cumulus Media, Inc., First Lien Term Loan, 4.50%, 9/17/18

       1,181        1,200,816   

 

See Notes to Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

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)

      

EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18

    USD         1,209      $ 1,223,529   

Fender Musical Instrument Corp., Term Loan B, 5.75%, 4/03/19

       190        190,296   

Foxco Acquisition Sub LLC, Term Loan B, 5.50%, 7/14/17

       1,851        1,880,203   

Getty Images, Inc., Term Loan B, 4.75%, 10/18/19

       1,087        1,102,366   

Gray Television, Inc., Term Loan B, 4.75%, 10/15/19

       1,281        1,298,924   

Houghton Mifflin Harcourt Publishing Co., DIP Term Loan B, 7.25%, 6/01/18

       1,148        1,157,013   

Hubbard Radio LLC, Term Loan B, 4.50%, 4/28/17

       887        901,537   

Intelsat Jackson Holdings SA, Term Loan B1, 4.25%, 4/02/18

       6,874        6,959,937   

Interactive Data Corp., Term Loan B, 3.75%, 2/11/18

       2,330        2,353,047   

Kabel Deutschland GmbH:

      

Term Loan F1, 3.25%, 2/01/19

       554        556,460   

Term Loan H, 3.25%, 4/17/20

    EUR         4,545        6,001,104   

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

      

Term Loan B, 2.62%, 3/06/15

       304        396,432   

Term Loan C, 3.00%, 3/04/16

       608        796,866   

NEP Supershooters LP:

      

New Term Loan, 4.75%, 1/18/20

    USD         1,756        1,786,323   

Second Lien Term Loan, 9.50%, 8/18/20

       349        362,225   

Nielsen Finance LLC, Term Loan E, 2.95%, 5/02/16

       1,190        1,204,510   

Salem Communications Corp., Term Loan B, 4.50%, 3/15/20

       1,065        1,079,644   

Univision Communications, Inc., Converted Extended Term Loan, 4.75%, 3/01/20

       1,173        1,182,827   

UPC Financing Partnership:

      

Term Loan AG, 3.87%, 3/26/21

    EUR         910        1,205,495   

Term Loan T, 3.70%, 12/30/16

    USD         195        194,707   

Virgin Media Investment Holdings:

      

Term Loan B, 4.50%, 2/15/20

    GBP         2,220        3,482,955   

Term Loan B, 3.50%, 2/17/20

    USD         1,485        1,485,668   

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

       446        452,467   

WideOpenWest Finance LLC, First Lien Term Loan, 6.25%, 7/17/18

       1,360        1,377,143   
      

 

 

 
                       45,495,558   

Metals & Mining — 4.2%

      

Ameriforge Group, Inc.:

      

First Lien Term Loan, 6.00%, 12/19/19

       998        1,009,969   

Second Lien Term Loan, 8.75% - 9.75%, 12/18/20

       495        504,593   

Constellium HoldCo BV, Term Loan B, 6.25%, 3/25/20

       2,220        2,275,500   

FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17

       3,666        3,730,106   

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

       3,056        3,105,440   

SunCoke Energy, Inc., Term Loan B,
4.00%, 7/26/18

       258        259,128   

Walter Energy, Inc., Term Loan B,
5.75%, 4/02/18

       2,004        2,028,722   

Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17

       1,696        1,742,289   
      

 

 

 
                       14,655,747   

Multiline Retail — 2.8%

      

99 Cents Only Stores, Term Loan, 5.25%, 1/11/19

       1,144        1,158,080   

Apex Tool Group LLC, Term Loan B, 4.50%,1/28/20

       1,285        1,301,499   

BJ’s Wholesale Club, Inc.:

      

Replacement Term Loan, 4.25%, 9/26/19

       1,095        1,103,241   

Second Lien Term Loan, 9.75%, 3/26/20

       545        564,418   
Floating Rate Loan Interests (b)          

Par

(000)

    Value  

Multiline Retail (concluded)

      

HEMA Holding BV:

      

Second Lien Term Loan, 5.12%, 1/05/17

    EUR         3,800      $ 4,635,336   

Term Loan B, 2.12%, 7/06/15

       167        212,523   

Term Loan C, 2.87%, 7/05/16

       167        213,622   

The Neiman Marcus Group, Inc., Extended Term Loan,
4.00%, 5/16/18

    USD         750        755,438   
                       9,944,157   

Oil, Gas & Consumable Fuels — 5.5%

  

Chesapeake Energy Corp., Unsecured Term Loan,
5.75%, 12/01/17

       2,115        2,190,484   

EMG Utica, LLC, Term Loan, 4.75%, 3/27/20

       1,160        1,165,081   

Gibson Energy ULC, Term Loan B, 4.75%, 6/15/18

       2,028        2,055,048   

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

       1,017        1,022,438   

Offshore Group Investments Ltd., Term Loan B,
5.75%, 3/28/19

       630        638,272   

Panda Temple Power LCC, Term Loan, 8.25%, 4/09/19

       940        958,800   

Philadelphia Solutions Energy, Inc., Term Loan B, 6.25%, 3/19/18

       1,565        1,592,388   

Plains Exploration & Production, 7-Year Term Loan B,
4.00%, 11/30/19

       2,395        2,396,509   

Ruby Western Pipeline Holdings LLC, Term Loan,
4.00%, 3/27/20

       1,175        1,186,750   

Samson Investment Co., Second Lien Term Loan,
6.00%, 9/25/18

       785        793,831   

Tesoro Corp., Term Loan B, 2.53%, 1/30/16

       1,440        1,458,000   

Total Safety US, Inc.:

      

1st Lien Term Loan, 5.75%, 2/21/20

       1,090        1,099,538   

2nd Lien Term Loan, 9.25%, 8/21/20

       419        427,329   

Vantage Drilling Co., Term Loan, 6.25%, 10/26/17

       2,146        2,165,232   
      

 

 

 
                       19,149,700   

Pharmaceuticals — 4.2%

      

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

       2,639        2,663,161   

Par Pharmaceutical Cos, Inc., Term Loan B,
4.25%, 9/30/19

       3,468        3,499,395   

Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18

       3,187        3,230,327   

Quintiles Transnational Corp., Term Loan B,
4.50%, 6/08/18

       1,280        1,296,020   

RPI Finance Trust, Incremental Tranche
2, 4.00%, 11/09/18

       242        243,706   

Valeant Pharmaceuticals International, Inc.:

      

Refinancing Term Loan C1, 3.50%, 2/13/19

       1,103        1,114,194   

Refinancing Term Loan D1, 3.50%, 12/11/19

       1,646        1,663,980   

Warner Chilcott Corp.:

      

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

       246        249,948   

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

       566        574,188   

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

       201        203,463   
      

 

 

 
                       14,738,382   

Professional Services — 2.1%

      

Booz Allen Hamilton, Inc., Term Loan B,
4.50%, 7/31/19

       1,706        1,727,755   

Emdeon Inc., Term Loan B1, 5.00%, 11/02/18

       1,269        1,279,680   

Intertrust Group Holding BV, Term Loan B1,
4.62%, 2/07/20

    EUR         1,000        1,326,419   

ON Assignment, Inc., Term Loan B, 5.00%, 5/15/19

    USD         563        566,800   

Sirva Worldwide, Inc., Term Loan, 7.50%, 3/27/19

       1,130        1,115,875   

Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/01/19

       1,350        1,365,836   
      

 

 

 
                       7,382,365   

Real Estate Investment Trusts (REITs) — 0.5%

      

iStar Financial, Inc., Term Loan, 4.50%, 9/28/17

             1,628        1,645,565   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    29


Table of Contents

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  

Real Estate Management & Development — 1.5%

  

Realogy Corp.:

      

Extended Letter of Credit, 4.45%, 10/10/16

    USD         237      $ 240,159   

Extended Synthetic Letter of Credit,
6.20%, 10/10/13

       57        56,761   

Extended Term Loan, 4.50%, 3/05/20

       4,930        4,986,991   
      

 

 

 
                       5,283,911   

Road & Rail — 0.9%

      

Genesee & Wyoming, Inc., Term Loan A,
2.70%, 9/29/17

       681        681,511   

RAC Ltd., Term Loan B,
5.49%—5.50%, 9/28/18

    GBP         1,182        1,847,119   

Road Infrastructure Investment LLC,
Term Loan B, 6.25%, 3/30/18

    USD         619        624,937   
      

 

 

 
                       3,153,567   

Semiconductors & Semiconductor Equipment — 0.9%

  

Freescale Semiconductor, Inc., Term Loan B4, 5.00%, 3/02/20

       2,130        2,159,288   

NXP BV, Term Loan C, 4.75%, 1/11/20

       1,027        1,050,542   
      

 

 

 
                       3,209,830   

Software — 3.0%

      

Bankruptcy Management Solutions, Inc.,
Term Loan (Second Lien), 8.20%, 8/20/15

       288        5,758   

Blackboard, Inc., Term Loan B, 6.25%, 10/04/18

       204        207,279   

GCA Services Group, Inc.:

      

Second Lien Term Loan, 9.25%, 10/22/20

       500        500,000   

Term Loan B, 5.25%, 11/01/19

       1,182        1,186,202   

Infor US, Inc., Term Loan B2, 5.25%, 4/05/18

       2,867        2,911,458   

Kronos, Inc., Second Lien Term Loan,
9.75%, 4/30/20

       925        975,875   

RP Crown Parent LLC, First Lien Term Loan,
6.75%, 12/21/18

       968        988,136   

Sophia LP, Term Loan B, 4.50%, 7/19/18

       1,383        1,398,979   

SS&C Technologies, Inc.:

      

Term Loan B-1, 5.00%, 6/07/19

       2,112        2,119,627   

Term Loan B-2, 5.00%, 6/07/19

       218        219,272   
      

 

 

 
                       10,512,586   

Specialty Retail — 7.2%

      

Academy Ltd., Term Loan, 4.50%, 8/03/18

       1,876        1,901,858   

Bass Pro Group LLC, Term Loan, 4.00%, 11/20/19

       1,622        1,637,098   

Burlington Coat Factory Warehouse Corp., Term Loan B1, 5.50%, 2/23/17

       365        369,057   

David’s Bridal, Inc., Term Loan B,
5.00% - 6.25%, 10/11/19

       2,185        2,212,268   

Equinox Holdings, Inc., Term Loan B, 4.50%, 1/31/20

       1,210        1,221,350   

The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18

       70        68,196   

Harbor Freight Tools USA, Inc., Term Loan B, 5.50%, 11/14/17

       973        985,051   

Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18

       585        590,260   

Leslie’s Poolmart, Inc., Term Loan B,
4.00% - 5.25%, 10/16/19

       1,958        1,984,430   

Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20

       2,205        2,225,330   

MoneyGram International, Inc., New Term Loan
B, 4.25%, 3/20/20

       780        786,131   

Party City Holdings, Inc., Term Loan B, 4.25%, 7/29/19

       2,993        3,013,687   

PETCO Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17

       2,003        2,029,094   

Reddy Ice Corp.:

      

1st Lien Term Loan, 6.75%, 3/28/19

       1,510        1,521,325   

2nd Lien, 10.75%, 11/01/19

       725        728,625   

Specialty Retail (concluded)

      

Sprouts Farmers Markets Holdings LLC, Term Loan, 4.50%, 4/23/20

    USD         810      $ 812,025   

SRAM LLC, New Term Loan B, 5.75%, 6/07/18

       520        523,250   

Things Remembered, Inc., Term Loan B,
8.00%, 5/24/18

       1,020        1,015,261   

Toys ‘R’ Us Delaware, Inc.:

      

Incremental Term Loan B2, 5.25%, 5/25/18

       491        477,279   

Term Loan B3, 5.25%, 5/25/18

       253        245,495   

The Yankee Candle Co., Inc., Term Loan B,
5.25%, 4/02/19

       858        861,735   
      

 

 

 
                       25,208,805   

Textiles, Apparel & Luxury Goods — 0.8%

  

Ascend Performance Materials LLC,
Term Loan B, 6.75%, 4/10/18

       2,156        2,188,036   

Phillips-Van Heusen Corp., Term Loan B,
3.25%, 12/19/19

       690        695,575   
      

 

 

 
                       2,883,611   

Thrifts & Mortgage Finance — 0.6%

  

Insight Global, Inc., First Lien Term Loan,
6.00%, 10/31/19

       1,202        1,212,505   

Ocwen Financial Corp., Term Loan,
5.00%, 2/15/18

       1,000        1,015,750   
      

 

 

 
                       2,228,255   

Trading Companies & Distributors — 0.4%

  

WESCO Distribution, Inc., Term Loan B,
4.50% - 5.75%, 12/12/19

             1,352        1,365,129   

Wireless Telecommunication Services — 1.8%

  

Cricket Communications, Inc., Term Loan,
4.75%, 10/10/19

       1,307        1,313,259   

MetroPCS Wireless, Inc., Term Loan B-3,
4.00% - 6.00%, 3/16/18

       549        548,966   

Vodafone Americas Finance 2, Inc.:

      

PIK Term Loan, 6.88%, 8/11/15

       3,542        3,586,427   

PIK Term Loan B, 6.25%, 7/11/16

       825        847,687   
      

 

 

 
                       6,296,339   

Total Floating Rate Loan Interests – 122.2%

  

    429,390,195   
      
                          
Other Interests (g)   Beneficial
Interest  
(000)   
        

Capital Markets — 0.0%

      

Berkline Benchcraft Equity LLC (c)

       6          

Lear Corp. Escrow (c)

       500        5,000   
      

 

 

 
                       5,000   

Construction Materials — 0.0%

      

USI Senior Holdings (c)

             8          

Diversified Financial Services — 0.2%

      

JG Wentworth LLC Preferred Equity Interests (c)

             1        716,372   

Hotels, Restaurants & Leisure — 0.2%

      

Wembley Contigent (c)

             2        525,000   
Total Other Interests — 0.4%                      1,246,372   

 

See Notes to Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Warrants (h)        

Shares

    Value  

Auto Components — 0.0%

      

Lear Corp. (Expires 11/09/14)

         36      $ 3,972   

Chemicals — 0.0%

      

British Vita Holdings Co. (Non-Expiring)

         166          

Media — 0.0%

      

New Vision Holdings LLC:

      

(Expires 9/30/14)

       19,023        29,086   

(Expires 9/30/14)

       3,424        6,293   
      

 

 

 
                   35,379   

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 6/22/19, Strike Price $42.27)

       1,501          
      

 

 

 
                     
Total Warrants – 0.0%                  39,351   

Total Long-Term Investments
(Cost — $521,667,456) — 150.5%

                 528,808,391   

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.08% (i)(j)

         5,784,472      $ 5,784,472   

Total Short-Term Securities
(Cost — $5,784,472) — 1.6%

   

    5,784,472   
      
   

Options Purchased

                   
(Cost – $25,422) – 0.0%                    

Total Investments (Cost — $527,477,350) — 152.1%

  

    534,592,863   

Liabilities in Excess of Other Assets — (52.1)%

  

    (183,094,274
      

 

 

 

Net Assets — 100.0%

  

  $ 351,498,589   
      

 

 

 

 

Notes to Schedule of Investments      

 

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

 

(h)   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 of the warrants, if any.

 

(i)   Investments in issuers considered to be an affiliate of the Trust during the six months ended April 30, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate    Shares Held
at October 31,
2012
     Net
Activity
     Shares Held
at April 30,
2013
    Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

     2,740,694         3,043,778         5,784,472      $ 1,336   

 

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

 

Ÿ  

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.

Ÿ  

Foreign currency exchange contracts as of April 30, 2013 were as follows:

 

Currency
Purchased

    

Currency
Sold

  Counterparty   Settlement
Date
  Unrealized
Appreciation
(Depreciation)
 
GBP    2,468,000      USD    3,818,070   Goldman Sachs Group, Inc.   7/17/13   $ 13,830   
USD    3,376,055      CAD    3,446,000   Barclays Plc   7/17/13     (38,480
USD    1,086,924      CHF    1,011,188   Goldman Sachs Group, Inc.   7/17/13     (1,466
USD  17,654,581      GBP  11,532,000   Barclays Plc   7/17/13     (250,390
USD    3,740,134      GBP    2,452,000   Goldman Sachs Group, Inc.   7/17/13     (66,924
USD  55,449,665      EUR  42,479,000   Barclays Plc   7/23/13     (523,310
USD    1,294,988      EUR       989,899   Citigroup, Inc.   7/23/13     (9,365
Total            $ (876,105
          

 

 

 

 

Ÿ  

Over-the-counter options purchased as of April 30, 2013 were as follows:

 

Description    Counterparty     Put/
Call
    Strike
Price
    Expiration
Date
    Contracts     Market
Value
 

Marsico Parent Superholdco LLC

     Goldman Sachs Group, Inc.        Call        USD 942.86        12/14/19        26          

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    31


Table of Contents
Consolidated Schedule of Investments (continued)    BlackRock Floating Rate Income Trust (BGT)

 

 

Ÿ  

Credit default swaps—sold protection outstanding as of April 30, 2013 were as follows:

 

Issuer    Receive
Fixed
Rate
     Counterparty      Expiration
Date
       Credit
Rating1
       Notional
Amount
(000)2
    Unrealized
Appreciation
(Depreciation)
 
Caesars Entertainment Operating Co., Inc.    5.00%      Citigroup, Inc.        12/20/15           CCC           USD  189      $ 12,687   
Caesars Entertainment Operating Co., Inc.    5.00%      Citigroup, Inc.        12/20/15           CCC           USD    91        3,325   
Caesars Entertainment Operating Co., Inc.    5.00%      JPMorgan Chase & Co.        12/20/15           CCC           USD  331        33,983   
Caesars Entertainment Operating Co., Inc.    5.00%      JPMorgan Chase & Co.        12/20/15           CCC           USD    77        4,502   
Caesars Entertainment Operating Co., Inc.    5.00%      Goldman Sachs Group, Inc.        3/20/16           CCC           USD  131        1,980   
Caesars Entertainment Operating Co., Inc.    5.00%      Goldman Sachs Group, Inc.        3/20/16           CCC           USD  131        1,980   
Caesars Entertainment Operating Co., Inc.    5.00%      Goldman Sachs Group, Inc.        3/20/16           CCC           USD  385        921   
Caesars Entertainment Operating Co., Inc.    5.00%      Goldman Sachs Group, Inc.        6/20/16           CCC           USD  500        (6,437
Caesars Entertainment Operating Co., Inc.    5.00%      Goldman Sachs Group, Inc.        3/20/17           CCC           USD  238        (14,330

Caesars Entertainment Operating Co., Inc.

   5.00%      Deutsche Bank AG        6/20/17           CCC           USD  339        (19,270

Total

                         $ 19,341   
                        

 

 

 
1   

Using S&P’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.

 

Ÿ  

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 statement purposes as follows:

 

Ÿ  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Trust has the ability to access

 

Ÿ  

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)

 

Ÿ  

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)

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 level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

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 Note 1 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of April 30, 2013:

 

    

Level 1

      

Level 2

      

Level 3

       Total  

Assets:

                
Investments:                 

Long-Term Investments:

                

Asset-Backed Securities

                      $ 14,822,461         $ 14,822,461   

Common Stocks

  $ 872,592         $ 1,312,678           1,285,811           3,471,081   

Corporate Bonds.

              79,838,931                     79,838,931   

Floating Rate Loan Interests

              383,381,452           46,008,743           429,390,195   

Other Interests.

              525,000           721,372           1,246,372   

Warrants

    3,972                     35,379           39,351   

Short-Term Securities

    5,784,472                               5,784,472   

Options Purchased:

                

Credit Contracts

                                    

Unfunded Loan Commitments

              10,349                     10,349   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 6,661,036         $ 465,068,410         $ 62,873,766         $ 534,603,212   
 

 

 

      

 

 

      

 

 

      

 

 

 
    

Level 1

      

Level 2

      

Level 3

       Total  
Derivative Financial Instruments3                  

Assets:

                

Credit contracts

            $ 59,378                   $ 59,378   

Foreign currency exchange contracts

              13,830                     13,830   

Liabilities:

                

Credit contracts

              (40,037)                     (40,037)   

Foreign currency exchange contracts

              (889,935)                     (889,935)   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

            $ (856,764)                   $ (856,764)   
 

 

 

      

 

 

      

 

 

      

 

 

 

 

  3   

Derivative financial instruments are swaps and foreign currency exchange contracts which are valued at the unrealized appreciation/depreciation on the instrument.

 

 

See Notes to Financial Statements.      
                
32    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents
Consolidated 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 statement purposes. As of April 30, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1      Level 2     Level 3     Total  

Assets:

        

Foreign currency at value

  $ 695,930                       $695,930   

Liabilities:

        

Bank overdraft

          $ (748,742)               (748,742

Loan payable

            (143,000,000)               (143,000,000)   
 

 

 

    

 

 

   

 

 

   

 

 

 

Total

  $ 695,930       $ (143,748,742)             $ (143,052,812)   
 

 

 

    

 

 

   

 

 

   

 

 

 

There were no transfers between Level 1 and Level 2 during the six months ended April 30, 2013.

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
    Floating Rate
Loan Interests
    Other Interests     Warrants     Total  

Assets:

           

Opening Balance, as of October 31, 2012

  $ 8,621,975      $ 8,096      $ 27,270,564      $ 1,394,386             $ 37,295,021   

Transfers into Level 31

           1,243,697        17,983,460             $ 67,341        19,294,498   

Transfers out of Level 32

                  (9,223,137     (7,500            (9,230,637

Accrued discounts/premiums

    32,364               81,854                      114,218   

Net realized gain (loss)

    100,991               (170,077                   (69,086

Net change in unrealized appreciation/depreciation3

    646,691        34,018        1,309,891        76,486        (31,962     2,035,124   

Purchases

    6,863,264               19,641,378                      26,504,642   

Sales

    (1,442,824            (10,885,190     (742,000            (13,070,014
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Closing Balance, as of April 30, 2013

  $ 14,822,461      $ 1,285,811      $ 46,008,743      $ 721,372      $ 35,379      $ 62,873,766   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  1   

Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period. As of October 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of April 30, 2013, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $19,294,498 transferred from Level 2 to Level 3 in the disclosure hierarchy.

 

  2   

Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period. As of October 31, 2012, the Trust used significant unobservable inputs in determining the value of certain investments. As of April 30, 2013, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $9,230,637 transferred from Level 3 to Level 2 in the disclosure hierarchy.

 

  3   

Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of April 30, 2013 was $1,514,489.

The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (“Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of April 30, 2013. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments. The table does not include Level 3 investments with values based upon third party pricing information without adjustment. The value of Level 3 investments valued using third party pricing information is $57,159,246.

 

     Value        Valuation Techniques   Unobservable  Inputs4  

Range of

Unobservable

Inputs Utilized

Assets:

          

Floating Rate Loan Interests

  $ 2,100,000         Estimated Cash Flow   Call Price   100
    851,485         Cost5   N/A  
    1,712,395         Discounted Cash Flow   Yield   9.50%
    1,015,261         Market Comparable Yield Analysis   Yield   8.125%

Warrants

    35,379         Estimated Recovery Value   Distribution Rate   $1.36 — $1.63 Per Warrant
 

 

 

      

 

 

 

 

 

Total

  $ 5,714,520            
 

 

 

          

 

  4   

A change to the unobservable input may result in a significant change to the value of the investment as follows:

 

Unobservable Input   

Impact to

Value if Input Increases

  

Impact to

Value if Input Decreases

Call Price

   Increase    Decrease

Yield

   Decrease    Increase

Distribution Rate

   Decrease    Increase

 

  5   

The Trust fair values certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. These investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    33


Table of Contents

Schedule of Investments April 30, 2013 (Unaudited)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities          

Par  

(000)

    Value  
      

ABFC Trust, Series 2006-OPT3, Class A3B, 0.36%, 11/25/36 (a)

    USD         26,440      $ 14,014,284   

ACAS CLO Ltd., Series 2013-1A, Class D, 4.09%, 4/20/25 (a)(b)

       2,500        2,387,500   

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

      

Class D, 3.93%, 4/15/24

       3,250        3,152,500   

Class E, 4.93%, 4/15/24

       2,000        1,772,000   

ALM V Ltd., Series 2012-5A, Class C, 4.79%, 2/13/23 (a)(b)

       4,000        4,000,000   

AMMC CLO XII Ltd., Series 2013-12A, Class D1, 4.03%, 5/10/25 (a)(b)

       1,000        953,400   

Apidos CLO XII, Series 2013-12A, Class D, 3.32%, 4/15/25 (a)(b)

       1,000        921,900   

ARES XXVI CLO Ltd., Series 2013-1A, Class D, 4.06%, 4/15/25 (a)(b)

       2,000        1,840,000   

Atrium CDO Corp., Series 10A (a)(b)(c):

      

Class D, 3.78%, 7/16/25

       1,000        967,000   

Class E, 4.78%, 7/16/25

       2,000        1,811,000   

Benefit Street Partners CLO Ltd., Series 2012-IA, Class C, 4.78%, 10/15/23 (a)(b)

       2,750        2,701,875   

BlueMountain CLO Ltd., Series 2013-1A, Class C, 3.68%, 5/15/25 (a)(b)(c)

       1,000        943,100   

Brookside Mill CLO Ltd., Series 2013-1A, Class D, 3.33%, 4/17/25 (a)(b)(c)

       1,250        1,165,125   

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

      

Series 2012-4A, Class D, 4.78%, 1/20/25

       1,350        1,350,000   

Series 2013-2A, Class D, 4.06%, 4/18/25

       1,250        1,206,250   

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

      

Class A2, 0.32%, 10/25/36

       8,470        4,805,609   

Class A5, 0.28%, 10/25/36

       8,982        5,074,422   

Central Park CLO Ltd., Series 2011-1A, Class D, 3.48%, 7/23/22 (a)(b)

       2,250        2,148,750   

CIFC Funding Ltd., Series 2012-1A, Class B1L, 5.54%, 8/14/24 (a)(b)

       2,000        2,020,000   

Citigroup Mortgage Loan Trust, Inc., Series 2005-HE3, Class M2, 0.68%, 9/25/35 (a)

       4,800        3,812,750   

Credit Based Asset Servicing Trust, Series 2006-CB7, Class A4, 0.36%, 10/25/36 (a)

       11,441        7,303,065   

ECP CLO Ltd., Series 2013-5A, Class C, 3.78%, 1/20/15 (a)(b)

       2,500        2,325,000   

Fieldstone Mortgage Investment Trust, Series 2006-3 (a):

      

Class 2A3, 0.36%, 11/25/36

       14,908        7,671,219   

Class 2A4, 0.44%, 11/25/36

       13,831        7,151,506   

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

      

Series 2006-A, 0.36%, 5/25/36

       29,467        15,038,304   

Series 2006-D, 0.35%, 11/25/36

       27,387        12,364,147   

GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class D, 3.56%, 4/25/25 (a)(b)(c)

       1,250        1,183,500   

GSAMP Trust (a):

      

Series 2005-AHL2, Class A2C, 0.44%, 12/25/35

       8,672        7,265,288   

Series 2007-FM2, Class A2B, 0.29%, 1/25/37

       10,278        5,784,432   

Halcyon Loan Advisors Funding Ltd., Series 2013-1A, Class C, 3.78%, 4/15/25 (a)(b)

       2,000        1,888,800   

Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-E, Class 2A3, 0.37%, 4/25/37 (a)

       15,940        9,766,725   

ING IM CLO Ltd., Series 2013-2A (a)(b):

      

Class C, 3.78%, 4/25/25

       1,000        941,000   

Class D, 5.28%, 4/25/25

       500        442,500   

Lehman XS Trust, Series 2007-1, Class 2A1, 5.88%, 2/25/37 (a)

       12,913        11,758,059   

Mastr Asset Backed Securities Trust, Series 2006-HE2, Class A3, 0.35%, 6/25/36 (a)

       14,967        7,876,599   
      

Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A3, 0.35%, 11/25/36 (a)

    USD         17,581      $ 8,151,760   

Morgan Stanley Mortgage Loan Trust, Series 2006-12XS, Class A4, 6.01%, 10/25/36 (d)

       4,215        2,547,570   

Mountain View CLO Ltd., Series 2013-1A, Class D, 3.55%, 4/12/24 (a)(b)(c)

       750        703,125   

Octagon Investment Partners XIV Ltd., Series 2012-1A, Class C, 4.56%, 1/15/24 (a)(b)

       1,000        980,000   

OHA Credit Partners VII Ltd., Series 2012-7A, Class D, 4.29%, 11/20/23 (a)(b)

       3,000        2,925,000   

OZLM Funding Ltd., Series 2012-2A, Class C, 4.63%, 10/30/23 (a)(b)

       2,000        1,995,800   

Race Point V CLO Ltd., Series 2011-5A, Class E, 6.78%, 12/15/22 (a)(b)

       1,500        1,500,000   

Renaissance Home Equity Loan Trust, Series 2007-3 (d):

      

Class AF2, 7.00%, 9/25/37

       5,000        3,055,400   

Class AF3, 7.24%, 9/25/37

       10,000        6,109,420   

Saxon Asset Securities Trust, Series 2007-3, Class 2A3, 0.60%, 9/25/47 (a)

       5,000        2,814,280   

Scholar Funding Trust, Series 2013-A, Class R, 0.00%, 1/30/45 (a)(b)

       (e)      4,121,880   

WaMu Asset-Backed Certificates Trust, Series 2007-HE3, Class 2A3, 0.44%, 5/25/47 (a)

             11,451        6,466,036   
Total Asset-Backed Securities – 26.3%                      197,177,880   
      
                          
Corporate Bonds                      

Aerospace & Defense — 0.3%

      

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

             2,005        2,210,513   

Airlines — 3.3%

      

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

      

Class B, 5.38%, 5/15/21

       3,400        3,472,250   

Class C, 6.63%, 5/15/18

       761        761,099   

Continental Airlines Pass-Through Trust:

      

Series 2003-ERJ1, Class RJO3, 7.88%, 1/02/20

       9,610        10,234,618   

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

       934        994,598   

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

       678        691,560   

Delta Air Lines Pass-Through Trust, Series 2012-1, Class B, 6.88%, 5/07/19 (b)(f)

       5,000        5,275,000   

US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 11/15/21

       3,100        3,185,250   
      

 

 

 
                       24,614,375   

Auto Components — 0.5%

  

Dana Holding Corp., 6.75%, 2/15/21

       1,257        1,376,415   

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

       1,045        1,058,063   

Titan International, Inc., 7.88%, 10/01/17 (b)

       1,500        1,612,500   
      

 

 

 
                       4,046,978   

Beverages — 0.0%

  

Constellation Brands, Inc., 4.25%, 5/01/23 (c)

             215        215,000   

Building Products — 0.7%

  

American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (b)

       375        389,531   

Building Materials Corp. of America, 6.75%, 5/01/21 (b)(f)

       3,125        3,460,938   

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

       200        203,500   

Texas Industries, Inc., 9.25%, 8/15/20

       543        604,766   

 

See Notes to Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Corporate Bonds          

Par  

(000)

    Value  
      

Building Products (concluded)

  

USG Corp., 9.75%, 1/15/18

    USD         572      $ 679,250   
      

 

 

 
                       5,337,985   

Chemicals — 0.5%

  

Celanese US Holdings LLC, 6.63%, 10/15/18

       1,555        1,698,837   

LyondellBasell Industries NV, 5.75%, 4/15/24 (f)

       1,200        1,445,820   

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

       246        249,690   

Tronox Finance LLC, 6.38%, 8/15/20 (b)

       275        274,313   
      

 

 

 
                       3,668,660   

Commercial Banks — 1.4%

  

CIT Group, Inc., 5.25%, 3/15/18 (f)

             9,558        10,561,590   

Commercial Services & Supplies — 0.9%

      

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

       672        703,920   

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

       5,000        5,582,455   
      

 

 

 
                       6,286,375   

Communications Equipment — 1.0%

  

Avaya, Inc. (b):

      

7.00%, 4/01/19

       691        665,087   

10.50%, 3/01/21

       710        654,975   

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

       5,000        5,912,500   
      

 

 

 
                       7,232,562   

Construction Materials — 1.7%

      

HD Supply, Inc.:

      

8.13%, 4/15/19

       2,068        2,339,425   

11.00%, 4/15/20

       2,900        3,567,000   

7.50%, 7/15/20 (b)

       6,388        6,915,010   
      

 

 

 
                       12,821,435   

Containers & Packaging — 0.3%

      

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

             2,000        2,260,000   

Distributors — 0.1%

      

VWR Funding, Inc., 7.25%, 9/15/17 (b)

             652        694,380   

Diversified Consumer Services — 0.3%

      

313 Group, Inc. (b):

      

6.38%, 12/01/19

       679        684,092   

8.75%, 12/01/20

       660        696,300   

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

       624        706,680   

Rent-A-Center, Inc., 4.75%, 5/01/21 (b)

       349        351,618   
      

 

 

 
                       2,438,690   

Diversified Financial Services — 5.5%

      

Aircastle Ltd., 6.25%, 12/01/19 (f)

       624        695,760   

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

       9,315        12,260,869   

Citigroup, Inc., Series D, 5.35% (f)(g)

       3,700        3,710,197   

DPL, Inc., 6.50%, 10/15/16

       638        682,660   

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

       845        878,800   

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

       10,000        11,267,500   

Nuveen Investments, Inc. (b):

      

9.13%, 10/15/17

       656        700,280   

9.50%, 10/15/20

       1,010        1,088,275   

Reynolds Group Issuer, Inc.:

      

9.88%, 8/15/19

       4,683        5,256,667   

5.75%, 10/15/20

       4,941        5,175,698   
      

 

 

 
                       41,716,706   
      

Diversified Telecommunication Services — 2.2%

  

 

CenturyLink, Inc., Series V, 5.63%, 4/01/20

    USD         834      $ 890,416   

Cequel Communications Holdings I LLC/Cequel Capital Corp., 6.38%, 9/15/20 (b)

       662        705,030   

Consolidated Communications Finance Co., 10.88%, 6/01/20 (b)

       1,264        1,455,180   

Level 3 Communications, Inc., 8.88%, 6/01/19 (b)

       1,234        1,363,570   

Level 3 Financing, Inc., 8.13%, 7/01/19

       7,722        8,513,505   

Windstream Corp.:

      

7.88%, 11/01/17

       2,003        2,338,502   

7.50%, 4/01/23

       320        348,800   

6.38%, 8/01/23

       690        714,150   
      

 

 

 
                       16,329,153   

Electrical Equipment — 0.1%

      

General Cable Corp., 5.75%, 10/01/22 (b)

             657        679,995   

Energy Equipment & Services — 1.0%

      

CGG, Veritas, 6.50%, 6/01/21

       2,564        2,717,840   

FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (b)

       1,297        1,387,790   

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

       1,586        1,700,985   

Peabody Energy Corp. (f):

      

6.00%, 11/15/18

       176        190,080   

6.25%, 11/15/21

       1,770        1,887,262   
      

 

 

 
                       7,883,957   

Food Products — 0.1%

      

Pinnacle Foods Finance LLC, 4.88%, 5/01/21 (b)

             395        406,356   

Health Care Equipment & Supplies — 1.9%

      

Biomet, Inc. (b)(f):

      

6.50%, 8/01/20

       5,795        6,316,550   

6.50%, 10/01/20

       4,234        4,424,530   

Hologic, Inc., 6.25%, 8/01/20 (f)

       3,216        3,473,280   
      

 

 

 
                       14,214,360   

Health Care Providers & Services — 3.4%

      

CHS/Community Health Systems, Inc., 7.13%, 7/15/20

       1,000        1,117,500   

HCA, Inc., 6.50%, 2/15/20 (f)

       10,643        12,292,665   

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

       1,521        1,716,829   

Tenet Healthcare Corp.:

      

6.25%, 11/01/18 (f)

       6,087        6,863,092   

6.75%, 2/01/20

       3,171        3,440,535   
      

 

 

 
                       25,430,621   

Hotels, Restaurants & Leisure — 6.2%

      

Caesars Operating Escrow LLC/Caesars Escrow Corp., 9.00%, 2/15/20 (b)(f)

       5,890        5,801,650   

Diamond Resorts Corp., 12.00%, 8/15/18

       620        695,175   

Enterprise Inns Plc, 6.50%, 12/06/18

    GBP         8,000        12,451,652   

Punch Taverns Finance B Ltd., Series A6, 5.94%, 12/30/24

       6,346        9,364,680   

The Unique Pub Finance Co. Plc:

      

Series A3, 6.54%, 3/30/21

       6,000        9,436,600   

Series M, 7.40%, 3/28/24

       6,000        8,714,572   
      

 

 

 
                       46,464,329   

Household Durables — 1.0%

      

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

    USD         2,000        2,392,500   

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

       357        365,033   

United Rentals North America, Inc., 8.25%, 2/01/21

       4,204        4,792,560   
      

 

 

 
                       7,550,093   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    35


Table of Contents

Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Corporate Bonds          

Par  

(000)

    Value  
      

Independent Power Producers & Energy Traders — 2.0%

  

 

The AES Corp., 4.88%, 5/15/23

    USD         127      $ 129,540   

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

       10,336        11,834,720   

NRG Energy, Inc., 7.63%, 1/15/18 (f)

       3,000        3,476,250   
      

 

 

 
                       15,440,510   

Industrial Conglomerates — 0.2%

      

Sequa Corp., 7.00%, 12/15/17 (b)

             1,341        1,361,115   

Insurance — 0.3%

      

A-S Co-Issuer Subsidiary, Inc./ A-S Merger Sub LLC, 7.88%, 12/15/20 (b)

       680        718,250   

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

       1,400        1,424,500   
      

 

 

 
                       2,142,750   

Internet Software & Services — 0.1%

      

Equinix, Inc., 4.88%, 4/01/20

       144        150,480   

VeriSign, Inc., 4.63%, 5/01/23 (b)

       575        589,375   
      

 

 

 
                       739,855   

IT Services — 2.7%

      

Ceridian Corp. (b):

      

8.88%, 7/15/19

       2,007        2,355,716   

11.00%, 3/15/21

       742        838,460   

Epicor Software Corp., 8.63%, 5/01/19

       425        463,250   

First Data Corp.:

      

7.38%, 6/15/19 (b)(f)

       5,071        5,514,713   

6.75%, 11/01/20 (b)

       4,788        5,135,130   

12.63%, 1/15/21

       863        936,355   

SunGard Data Systems, Inc., 6.63%, 11/01/19 (b)

       5,003        5,321,941   
      

 

 

 
                       20,565,565   

Machinery — 0.6%

      

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

       1,077        1,121,426   

Silver II Borrower/ Silver II US Holdings LLC, 7.75%, 12/15/20 (b)

       640        686,400   

UR Merger Sub Corp., 7.63%, 4/15/22

       2,440        2,799,900   
      

 

 

 
                       4,607,726   

Media — 5.6%

      

Cablevision Systems Corp., 5.88%, 9/15/22

       700        708,750   

CCO Holdings LLC, 5.13%, 2/15/23 (f)

       7,029        7,099,290   

Clear Channel Communications, Inc., 9.00%, 12/15/19 (b)

       700        700,000   

Clear Channel Worldwide Holdings, Inc. (f):

      

6.50%, 11/15/22 (b)

       2,573        2,759,542   

Series B 7.63%, 3/15/20

       5,274        5,682,735   

DISH DBS Corp. (b)(f):

      

4.25%, 4/01/18

       1,000        982,500   

5.00%, 3/15/23

       5,501        5,335,970   

Intelsat Jackson Holdings SA:

      

7.25%, 10/15/20

       1,250        1,387,500   

6.63%, 12/15/22 (b)

       3,270        3,539,775   

Intelsat Luxembourg SA (b):

      

6.75%, 6/01/18

       3,000        3,157,500   

7.75%, 6/01/21

       2,648        2,793,640   

Lynx II Corp., 6.38%, 4/15/23 (b)

       1,316        1,424,570   

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

       5,287        5,472,045   

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

       980        1,043,700   
      

 

 

 
                       42,087,517   

Metals & Mining — 1.4%

      

ArcelorMittal, 6.13%, 6/01/18 (f)

       1,900        2,081,249   

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

       7,164        8,131,140   
      

 

 

 
                       10,212,389   
      

Multiline Retail — 0.1%

      

Dollar General Corp., 4.13%, 7/15/17 (f)

    USD         643      $ 703,800   

Oil, Gas & Consumable Fuels — 2.0%

      

Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (b)

       254        267,335   

Aurora USA Oil & Gas, Inc. (b):

      

9.88%, 2/15/17

       190        209,475   

7.50%, 4/01/20

       224        232,960   

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

       99        104,445   

Chesapeake Energy Corp., 5.75%, 3/15/23

       1,145        1,242,325   

Continental Resources, Inc., 4.50%, 4/15/23 (b)(f)

       283        301,749   

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

       383        388,745   

Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/01/19 (b)

       1,647        1,721,115   

Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21 (b)

       104        106,080   

Offshore Group Investment Ltd., 7.13%, 4/01/23 (b)

       212        220,480   

Plains Exploration & Production Co., 6.88%, 2/15/23

       597        679,833   

Range Resources Corp.:

      

5.75%, 6/01/21 (f)

       2,874        3,139,845   

5.00%, 8/15/22

       302        321,630   

Regency Energy Partners LP/Regency Energy Finance Corp., 4.50%, 11/01/23 (b)

       297        307,395   

Rosetta Resources, Inc., 5.63%, 5/01/21 (c)

       286        298,155   

Sabine Pass LNG LP, 6.50%, 11/01/20 (b)(f)

       5,124        5,495,490   
      

 

 

 
                       15,037,057   

Paper & Forest Products — 0.1%

      

Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (b)

             427        465,430   

Pharmaceuticals — 0.2%

      

Valeant Pharmaceuticals International, 6.75%, 8/15/21 (b)

             1,276        1,409,980   

Real Estate Investment Trusts (REITs) — 0.2%

      

Felcor Lodging LP, 6.75%, 6/01/19

             1,261        1,377,643   

Real Estate Management & Development — 0.7%

  

 

Realogy Corp., 7.88%, 2/15/19 (b)

       2,600        2,902,250   

The Realogy Group LLC/ The Sunshine Group Florida Ltd., 3.38%, 5/01/16 (b)

       454        456,270   

Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19

       1,505        1,710,056   
      

 

 

 
                       5,068,576   

Road & Rail — 0.5%

      

The Hertz Corp.:

      

4.25%, 4/01/18 (b)

       400        415,500   

7.38%, 1/15/21 (f)

       3,075        3,482,438   
      

 

 

 
                       3,897,938   

Software — 0.7%

      

Infor US, Inc., 9.38%, 4/01/19

       2,400        2,736,000   

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

       867        901,680   

Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (b)

       1,220        1,366,400   
      

 

 

 
                       5,004,080   

 

See Notes to Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Corporate Bonds          

Par  

(000)

    Value  
      

Specialty Retail — 0.2%

      

Party City Holdings, Inc., 8.88%, 8/01/20 (b)

    USD         623      $ 703,990   

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

       647        697,143   
      

 

 

 
                       1,401,133   

Trading Companies & Distributors — 0.2%

      

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

             1,650        1,761,710   

Wireless Telecommunication Services — 3.5%

      

Cricket Communications, Inc., 7.75%, 10/15/20

       330        335,775   

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

       6,565        6,876,837   

Digicel Ltd., 6.00%, 4/15/21 (b)

       5,000        5,012,500   

Softbank Corp., 4.50%, 4/15/20 (b)(f)

       1,500        1,553,916   

Sprint Capital Corp., 6.88%, 11/15/28

       2,299        2,350,728   

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

       8,131        10,001,130   
      

 

 

 
                       26,130,886   
Total Corporate Bonds – 53.7%                      402,479,773   
      
                          
Floating Rate Loan Interests (a)                      

Airlines — 0.4%

      

Delta Air Lines, Inc., Term Loan B2, 4.25%, 4/16/16

             2,993        3,018,206   

Auto Components — 0.2%

      

Federal-Mogul Corp.:

      

Term Loan B, 2.14%, 12/29/14

       1,321        1,251,284   

Term Loan C, 2.14%, 12/28/15

       674        638,410   
      

 

 

 
                       1,889,694   

Chemicals — 0.1%

      

AI Chem & Cy S.C.A.:

      

Term Loan B1, 4.50%, 10/03/19

       89        89,939   

Term Loan B2, 4.50%, 10/03/19

       46        46,665   

Tronox Pigments (Netherlands) BV, Term Loan B, 4.50%, 2/08/18

       250        253,515   
      

 

 

 
                       390,119   

Commercial Services & Supplies — 0.2%

      

ADS Waste Holdings, Inc., Term Loan B, 4.25%, 10/09/19

       648        656,149   

ARAMARK Corp., Term Loan D, 4.00%, 9/09/19

       450        454,775   

AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16

       125        126,031   
      

 

 

 
                       1,236,955   

Communications Equipment — 0.3%

      

Alcatel-Lucent USA, Inc., Term Loan C, 7.25%, 1/30/19

       1,496        1,532,803   

Zayo Group LLC, Term Loan B, 4.50%, 7/02/19

       997        1,007,981   
      

 

 

 
                       2,540,784   

Construction Materials — 0.1%

      

HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17

             499        504,873   

Consumer Finance — 0.3%

      

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

             2,299        2,305,748   

Distributors — 0.1%

      

ABC Supply, Inc., Term Loan, 3.50%, 4/20/20

             600        604,746   
      

Diversified Consumer Services — 0.2%

      

Bright Horizons Family Solutions, Inc., Term Loan B, 4.00%—5.25%, 1/16/20

    USD         499      $ 503,114   

ServiceMaster Co., Term Loan, 4.25%, 1/31/17

       429        432,138   

Weight Watchers International, Inc., Term Loan B2, 3.75%, 4/02/20

       500        498,315   
      

 

 

 
                       1,433,567   

Diversified Telecommunication Services — 0.3%

  

 

Level 3 Financing, Inc., Term Loan, 4.75%, 8/01/19

             2,250        2,273,063   

Electronic Equipment, Instruments & Components — 0.0%

  

CDW LLC, Term Loan, 3.50%, 4/30/20

             300        300,564   

Energy Equipment & Services — 0.4%

      

Dynergy Holdings, Inc.:

      

Term Loan B1, 4.00%, 4/16/20

       1,025        1,024,447   

Term Loan B2, 4.00%, 4/16/20

       1,640        1,639,114   
      

 

 

 
                       2,663,561   

Food Products — 0.3%

      

Dole Food Co., Inc., Term Loan, 3.75%, 4/01/20

       1,385        1,393,656   

Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/22/20

       500        501,500   
      

 

 

 
                       1,895,156   

Health Care Equipment & Supplies — 0.2%

      

Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19

       554        560,533   

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

       748        758,097   
      

 

 

 
                       1,318,630   

Health Care Providers & Services — 0.1%

      

American Renal Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/22/19

       480        481,051   

inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16

       500        495,415   

Vanguard Health Holdings Co. II LLC, Term Loan B, 3.75%, 1/29/16

       80        80,920   
      

 

 

 
                       1,057,386   

Hotels, Restaurants & Leisure — 3.4%

      

Harrah’s Property Co., Mezzanine Term Loan, 3.69%, 2/13/14

       4,025        3,695,473   

Hilton Fort Lauderdale, Mezzanine Term Loan, 7.40%, 2/22/16

       10,000        10,000,000   

Hilton Hotels Corp., Mezzanine Class G, 4.70%, 11/12/15

       9,737        9,542,188   

MGM Resorts International, Term Loan A, 3.28%, 12/20/17

       1,247        1,248,434   

Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20

       1,000        1,011,410   
      

 

 

 
                       25,497,505   

IT Services — 0.0%

      

SunGard Data Systems, Inc., Term Loan E, 4.00%, 3/08/20

             260        263,006   

Machinery — 0.2%

      

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

             1,247        1,255,291   

Media — 1.2%

      

Charter Communications Operating LLC, Term Loan E, 3.00%, 4/10/20

       2,000        1,994,580   

Clear Channel Communications, Inc., Term Loan B, 3.85%, 1/29/16

       750        687,293   

Intelsat Jackson Holdings Ltd., Term Loan, 3.20%, 2/03/14

       5,226        5,222,209   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    37


Table of Contents

Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (a)          

Par  

(000)

    Value  
      

Media (concluded)

      

Univision Communications, Inc., Refi Term Loan C2, 4.75%, 3/02/20

    USD         500      $ 504,750   

Virgin Media Investment Holdings, Term Loan B, 3.50%, 2/17/20

       700        700,315   
      

 

 

 
                       9,109,147   

Metals & Mining — 0.3%

      

Constellium HoldCo BV, Term Loan B, 6.25%, 3/25/20

       415        425,375   

FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17

       1,995        2,029,900   
      

 

 

 
                       2,455,275   

Oil, Gas & Consumable Fuels — 0.4%

      

Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17

       2,025        2,097,272   

Offshore Group Investments Ltd., Term Loan B, 5.75%, 3/28/19

       1,200        1,215,756   
      

 

 

 
                       3,313,028   

Pharmaceuticals — 0.1%

      

Par Pharmaceutical Cos., Inc., Term Loan B, 4.25%, 9/30/19

             748        754,985   

Real Estate Investment Trusts (REITs) — 0.1%

      

iStar Financial, Inc., Term Loan, 4.50%, 9/28/17

             682        689,641   

Real Estate Management & Development — 0.1%

  

 

Realogy Corp., Extended Term Loan, 4.50%, 3/05/20

             895        905,346   

Semiconductors & Semiconductor Equipment — 0.1%

  

Freescale Semiconductor, Inc., Term Loan B4, 5.00%, 3/02/20

             500        506,875   

Specialty Retail — 0.2%

      

MoneyGram International, Inc., Term Loan B, 4.25%, 3/20/20

       440        443,459   

Party City Holdings, Inc., Refi Term Loan B, 4.25%, 7/29/19

       998        1,004,562   

Sprouts Farmers Markets Holdings LLC, Term Loan, 4.50%, 4/23/20

       180        180,450   

SRAM LLC, Term Loan B, 5.75%, 6/07/18

       145        145,906   
      

 

 

 
                       1,774,377   

Wireless Telecommunication Services — 0.4%

      

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

             3,050        3,088,125   
Total Floating Rate Loan Interests — 9.7%                      73,045,653   
      
                          
Foreign Agency Obligations — 0.5%                      

Slovenia Government Bond, Series RS65, 4.38%, 4/02/14

    EUR         2,650        3,521,363   
      
                          
Non-Agency Mortgage-Backed Securities                      

Collateralized Mortgage Obligations — 18.0%

      

Alternative Loan Trust:

      

Series 2006-40T1, Class 2A5, 0.60%, 12/25/36 (a)

    USD         4,310        1,728,084   

Series 2006-4CB, Class 2A6, 5.50%, 4/25/36

       5,869        5,509,500   

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

       6,018        4,180,965   
      

Collateralized Mortgage Obligations (concluded)

  

 

Alternative Loan Trust (concluded):

      

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

    USD         3,651      $ 2,727,493   

Series 2006-OA10, Class 2A1, 0.39%, 8/25/46 (a)

       5,115        3,544,552   

Series 2006-OC2, Class 2A3, 0.49%, 2/25/36 (a)

       6,943        4,415,596   

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

       5,133        4,187,400   

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

       15,602        12,954,141   

American Home Mortgage Assets Trust, Series 2006-5, Class A1, 1.10%, 11/25/46 (a)

       8,016        4,712,907   

CHL Mortgage Pass-Through Trust:

      

Series 2005-HYB9, Class 2A1, 2.81%, 2/20/36 (a)

       12,689        10,791,262   

Series 2006-9, Class A2, 6.00%, 5/25/36

       4,422        4,125,230   

Series 2007-2, Class A16, 6.00%, 3/25/37

       7,157        6,707,710   

Series 2007-3, Class A30, 5.75%, 4/25/37

       6,506        6,011,580   

Citigroup Mortgage Loan Trust, Series 2006-AR7, Class 2A3A, 5.03%, 11/25/36 (a)

       12,632        8,876,729   

Countrywide Alternative Loan Trust, Series 2007-22, Class 2A16, 6.50%, 9/25/37

       16,478        13,095,739   

Lehman XS Trust, Series 2007-12N, Class 2A1, 0.38%, 7/25/37 (a)

       14,525        9,707,831   

Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR2, Class A1, 0.38%, 4/25/37 (a)

       9,580        8,543,896   

Morgan Stanley Re-REMIC Trust, Series 2010-R5, Class 7B, 0.45%, 5/26/37 (a)(b)

       22,552        11,952,458   

Residential Asset Securitization Trust, Series 2006-A8, Class 2A5, 0.80%, 8/25/36 (a)

       9,939        4,500,772   

WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, 0.95%, 5/25/47 (a)

       7,803        6,797,002   
      

 

 

 
                       135,070,847   

Commercial Mortgage-Backed Securities — 8.8%

  

Banc of America Commercial Mortgage Trust, Series 2008-1, Class AJ, 6.44%, 2/10/51 (a)

       5,000        5,399,265   

Del Coronado Trust, Series 2013-HDMZ, Class M, 5.20%, 3/15/18 (a)(b)

       6,000        6,021,600   

Epic Value Retail Ltd., Series VRET, Class B, 0.53%, 7/26/19 (a)

    EUR         4,000        5,046,291   

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20 (a):

      

Class AJ, 6.28%, 2/12/51

    USD         5,000        5,240,015   

Class B, 6.38%, 2/12/51 (b)

       1,000        967,979   

LB-UBS Commercial Mortgage Trust (a):

      

Series 2006-C4, Class AJ, 6.08%, 6/15/38

       5,000        5,179,390   

Series 2007-C2, Class AM, 5.49%, 2/15/40

       5,000        5,347,505   

London & Regional Debt Securitisation No 2 Plc, Series 2, Class A, 0.72%, 10/15/15 (a)

    GBP         4,968        7,458,912   

ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AJ,
5.77%, 2/12/39 (a)

    USD         6,000        6,271,800   

Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AJ, 5.51%, 2/12/44 (a)

       5,000        5,269,480   

Talisman Finance Plc, Series 6, Class A, 0.39%, 10/22/16 (a)

    EUR         7,460        9,268,905   

Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AJ, 6.12%, 2/15/51 (a)

    USD         5,000        5,087,775   
      

 

 

 
                       66,558,917   

Total Non-Agency Mortgage-Backed Securities – 26.8%

  

    201,629,764   

 

See Notes to Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Preferred Securities          

Par  

(000)

    Value  
      
Capital Trusts                      

Commercial Banks — 3.9%

      

BNP Paribas SA, 7.20% (a)(b)(f)(g)

    USD         7,500      $ 7,996,875   

BPCE SA, 12.50% (a)(b)(g)

       5,100        6,398,424   

Northgroup Preferred Capital Corp., 6.38% (a)(b)(f)(g)

       5,000        5,125,000   

Wachovia Capital Trust III, 5.57% (a)(f)(g)

       10,000        10,050,000   
      

 

 

 
                       29,570,299   

Diversified Financial Services — 1.5%

      

General Electric Capital Corp., Series B, 6.25% (a)(f)(g)

       5,000        5,527,660   

JPMorgan Chase & Co., Series Q, 5.15% (a)(f)(g)

       5,500        5,589,375   
      

 

 

 
                       11,117,035   

Electric Utilities — 1.0%

      

Electricite de France SA, 5.25% (a)(b)(f)(g)

             7,500        7,544,025   

Insurance — 5.5%

      

AXA SA, 6.46% (a)(b)(f)(g)

       10,000        10,075,000   

Genworth Holdings, Inc., 6.15%, 11/15/66 (a)(f)

       10,000        9,437,500   

Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)(f)

       10,000        15,500,000   

Sompo Japan Insurance, Inc., 5.33%, 3/28/73 (a)(b)(f)

       6,000        6,209,730   
      

 

 

 
                       41,222,230   
Total Capital Trusts — 11.9%                      89,453,589   
Preferred Stocks               
Shares
    Value  
      

Aerospace & Defense — 0.4%

      

United Technologies Corp., 7.50%

             50,000      $ 2,957,000   

Capital Markets — 0.5%

      

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

             160,000        4,113,600   

Real Estate Investment Trusts (REITs) — 2.0%

  

    

Firstar Realty LLC, 8.88% (b)

       10,000        13,015,625   

Suntrust Real Estate Investment Corp., 9.00% (b)

       15        1,854,375   
      

 

 

 
                       14,870,000   
Total Preferred Stocks — 2.9%                      21,940,600   
Total Preferred Securities — 14.8%                      111,394,189   
      
                          
US Government Sponsored Agency Securities     

Par  

(000)

        

Mortgage-Backed Securities — 4.7%

      

Fannie Mae Mortgage-Backed Securities, 3.00%, 5/15/43 (h)

    USD         34,000        35,561,875   
Total Long-Term Investments
(Cost — $1,006,635,197) — 136.5%
                     1,024,810,497   
      
   
Short-Term Securities           Shares         

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.08% (i)(j)

             12,116,795        12,116,795   
Total Short-Term Securities
(Cost — $12,116,795) — 1.6%
        12,116,795   
Total Investments (Cost — $1,018,751,992) — 138.1%        1,036,927,292   
Liabilities in Excess of Other Assets — (38.1)%        (286,338,065
      

 

 

 
Net Assets — 100.0%      $ 750,589,227   
      

 

 

 

 

Notes to Schedule of investments
(a)   Variable rate security. Rate shown is as of report date.

 

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

 

(c)   When-issued security. Unsettled when-issued transactions were as follows:

 

Counterparty      Value        Unrealized
Appreciation
 
Morgan Stanley      $ 4,936,474         $ 72,349   
Credit Suisse Group AG      $ 2,778,000             
Citigroup, Inc.      $ 943,100             
Bank of America Corp.      $ 2,563,625         $ 5,375   
JPMorgan Chase & Co.      $ 298,155         $ 12,155   

 

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

 

(e)   Amount is less than $500.

 

(f)   All or a portion of securities with an aggregate market value of $243,088,281 have been pledged as collateral for open reverse repurchase agreements.

 

(g)   Security is perpetual in nature and has no stated maturity date.

 

(h)   Represents or includes a TBA transaction. Unsettled TBA transactions as of April 30, 2013 were as follows:

 

Counterparty      Value        Unrealized
Appreciation
 
JPMorgan Securities, Inc.      $ 35,561,875         $ 292,188   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    39


Table of Contents

Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

 

(i)   Investments in issuers considered to be an affiliate of the Trust during the period ended April 30, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at October 31,
2012
       Net
Activity
       Shares Held
at April 30,
2013
       Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

                 12,116,795           12,116,795         $ 23,563   

 

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

 

Ÿ  

Reverse repurchase agreements outstanding as of April 30, 2013 were as follows:

 

Counterparty    Interest
Rate
       Trade
Date
       Maturity
Date
      

Face

Value

       Face Value
Including
Accrued
Interest
 
Barclays Capital, Inc.      0.45        4/01/13           Open         $ 9,562,500         $ 9,565,966   
UBS Securities LLC      0.45        4/01/13           Open           7,068,750           7,071,312   
Barclays Capital, Inc.      0.45        4/02/13           Open           5,250,000           5,251,837   
Barclays Capital, Inc.      0.45        4/02/13           Open           5,692,500           5,694,492   
Barclays Capital, Inc.      0.45        4/02/13           Open           9,387,500           9,390,786   
UBS Securities LLC      0.40        4/04/13           Open           4,606,250           4,607,581   
UBS Securities LLC      0.40        4/04/13           Open           1,293,000           1,293,374   
UBS Securities LLC      0.50        4/04/13           Open           7,059,375           7,061,924   
UBS Securities LLC      0.55        4/04/13           Open           1,776,500           1,777,206   
UBS Securities LLC      0.55        4/04/13           Open           8,765,306           8,768,788   
UBS Securities LLC      0.55        4/04/13           Open           1,599,637           1,600,273   
UBS Securities LLC      0.60        4/04/13           Open           2,800,781           2,801,995   
Deutsche Bank Securities, Inc.      0.55        4/05/13           Open           647,000           647,257   
Deutsche Bank Securities, Inc.      0.55        4/05/13           Open           268,000           268,106   
Deutsche Bank Securities, Inc.      0.55        4/05/13           Open           662,000           662,263   
Deutsche Bank Securities, Inc.      0.55        4/05/13           Open           176,000           176,070   
Deutsche Bank Securities, Inc.      0.55        4/05/13           Open           5,009,000           5,010,990   
Deutsche Bank Securities, Inc.      0.55        4/05/13           Open           623,000           623,247   
UBS Securities LLC      0.55        4/05/13           Open           4,772,118           4,774,013   
UBS Securities LLC      0.55        4/05/13           Open           876,250           876,598   
UBS Securities LLC      0.55        4/05/13           Open           3,048,750           3,049,961   
UBS Securities LLC      0.55        4/05/13           Open           9,086,393           9,090,002   
UBS Securities LLC      0.55        4/05/13           Open           4,857,431           4,859,361   
UBS Securities LLC      0.55        4/05/13           Open           9,127,890           9,131,516   
Barclays Capital, Inc.      0.75        4/08/13           Open           5,293,750           5,296,287   

Credit Suisse Securities (USA) LLC

     0.20        4/09/13           Open           5,860,000           5,860,716   
Deutsche Bank Securities, Inc.      0.55        4/09/13           Open           14,186,000           14,190,768   
Deutsche Bank Securities, Inc.      0.55        4/09/13           Open           10,878,000           10,881,656   
Deutsche Bank Securities, Inc.      0.55        4/09/13           Open           4,963,000           4,964,668   
UBS Securities LLC      0.50        4/09/13           Open           8,025,000           8,027,452   
UBS Securities LLC      0.50        4/09/13           Open           6,041,348           6,043,193   
Deutsche Bank Securities, Inc.      0.40        4/11/13           Open           4,551,000           4,552,011   
Deutsche Bank Securities, Inc.      0.55        4/11/13           Open           3,111,000           3,111,951   
Deutsche Bank Securities, Inc.      0.55        4/11/13           Open           7,981,050           7,983,367   
Deutsche Bank Securities, Inc.      0.55        4/11/13           Open           3,121,125           3,122,031   
Deutsche Bank Securities, Inc.      0.55        4/11/13           Open           4,991,050           4,992,499   
Deutsche Bank Securities, Inc.      0.55        4/11/13           Open           5,036,670           5,038,132   
Deutsche Bank Securities, Inc.      0.55        4/11/13           Open           2,495,810           2,496,534   
Deutsche Bank Securities, Inc.      0.45        4/26/13           Open           5,280,000           5,280,330   
Deutsche Bank Securities, Inc.      0.45        4/26/13           Open           1,470,000           1,470,092   
Deutsche Bank Securities, Inc.      0.55        4/29/13           Open           11,007,840           11,008,008   
Deutsche Bank Securities, Inc.      0.55        4/29/13           Open           5,708,075           5,708,162   
Deutsche Bank Securities, Inc.      0.55        4/29/13           Open           3,942,912           3,942,973   

Deutsche Bank Securities, Inc.

     0.55        4/30/13           Open           2,782,500           2,782,543   

Total

                  $ 220,742,061         $ 220,808,291   
                 

 

 

      

 

 

 

 

Ÿ  

Financial futures contracts as of April 30, 2013 were as follows:

 

Contracts Sold    Issue      Exchange      Expiration      Notional Value     Unrealized
Depreciation
 
      (255)      10-Year US Treasury Note         Chicago Board of Trade         June 2013         USD 34,006,641      $ (586,271)   

       (45)

     30-Year US Treasury Bond         Chicago Board of Trade         June 2013         USD   6,676,875        (328,403)   

Total

              $ (914,674)   
             

 

 

 

 

See Notes to Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust (BIT)

 

 

Ÿ  

Foreign currency exchange contracts as of April 30, 2013 were as follows:

 

Currency Purchased      Currency Sold      Counterparty      Settlement Date   Unrealized
Depreciation
 
USD   37,376,788      GBP 24,406,000      Bank of America Corp.      7/17/13   $  (517,033
USD     9,338,935      GBP   6,105,000      Bank of America Corp.      7/17/13     (139,955

USD   17,659,646

     EUR 13,545,000      Bank of America Corp.      7/23/13     (188,172

Total

                 $ (845,160
                

 

 

 

 

Ÿ  

Credit default swaps — sold protection outstanding as of April 30, 2013 were as follows:

 

Index    Receive
Fixed
Rate
     Counterparty      Expiration
Date
     Credit
Rating1
     Notional
Amount
(000)2
    Unrealized
Appreciation
 
Dow Jones CDX North America Investment Grade, Series 9      5.00      Bank of America Corp.         12/20/17         AA         USD 10,000      $ 411,224   

Markit CMBX North America BBB- Index, Series 6

     3.00      Bank of America Corp.         5/11/63         BBB-         USD   5,000        147,182   

Total

                 $   558,406   
                

 

 

 

 

1   

Using S&P’s rating of the underlying securities of the index.

 

2   

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

 

Ÿ  

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.

 

Ÿ  

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 statement purposes as follows:

 

Ÿ  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Trust has the ability to access

 

Ÿ  

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)

 

Ÿ  

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)

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 level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

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 Note 1 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of April 30, 2013:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments:

                

Asset-Backed Securities

            $ 150,501,000         $ 46,676,880         $ 197,177,880   

Corporate Bonds

              402,479,773                     402,479,773   

Floating Rate Loan Interests

              59,957,528           13,088,125           73,045,653   

Foreign Agency Obligations

              3,521,363                     3,521,363   

Non-Agency Mortgage-Backed Securities

              189,677,306           11,952,458           201,629,764   

Preferred Securities

  $ 20,086,225           89,453,589           1,854,375           111,394,189   

US Government Sponsored Agency Securities

              35,561,875                     35,561,875   

Short-Term Securities

    12,116,795                               12,116,795   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 32,203,020         $ 931,152,434         $ 73,571,838         $ 1,036,927,292   
 

 

 

      

 

 

      

 

 

      

 

 

 
                
     Level 1        Level 2        Level 3        Total  

Derivative Financial Instruments1

                

Assets:

                

Credit contracts

            $ 558,406                   $ 558,406   

Liabilities:

                

Foreign currency exchange contracts

              (845,160                  (845,160

Interest rate contracts

  $ (914,674                            (914,674
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ (914,674      $ (286,754                $ (1,201,428
 

 

 

      

 

 

      

 

 

      

 

 

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    41


Table of Contents

Schedule of Investments (concluded)

  

BlackRock Multi-Sector Income Trust (BIT)

 

 

1   

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

Certain of the Trust’s assets and liabilities are held at carrying amount or face value, which approximates fair value for financial statement purposes. As of April 30, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1       

Level 2

      

Level 3

    

Total

 

Assets:

                

Foreign currency at value

  $ 91,729                        $ 91,729   

Cash pledged as collateral for financial futures contracts

    472,000                          472,000   

Cash pledged as collateral for swaps

    600,000                          600,000   

Liabilities:

                

Bank overdraft

            $ (2,010,809             (2,010,809

Reverse repurchase agreements

              (220,742,061             (220,742,061
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 1,163,729         $ (222,752,870           $ (221,589,141
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between levels during the period ended April 30, 2013.

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
       Floating Rate
Loan Interests
       Non-Agency
Mortgage-Backed
Securities
      

Preferred

Securities

       Total  

Assets:

                     

Opening Balance, as of February 27, 20132

                                              

Transfers into Level 33

                                              

Transfers out of Level 33

                                              

Accrued discounts/premiums

  $ 6,593         $ 1,665         $ 45,838                   $ 54,096   

Net realized gain (loss)

                        (142,907                  (142,907

Net change in unrealized appreciation/depreciation4

    20,349           40,826           (45,430                  15,745   

Purchases

    46,649,938           13,045,634           12,094,957         $ 1,854,375           73,644,904   

Sales

                                              
 

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Closing Balance, as of April 30, 2013

  $ 46,676,880         $ 13,088,125         $ 11,952,458         $ 1,854,375         $ 73,571,838   
 

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
2   

Commencement of operations.

 

3   

Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

 

4   

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of April 30, 2013 was $15,745.

 

See Notes to Financial Statements.

 

                
42    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents
Statements of Assets and Liabilities     

 

April 30, 2013 (Unaudited)  

BlackRock

Credit Allocation

Income Trust
(BTZ)

   

BlackRock
Floating Rate

Income Trust
(BGT)1

    BlackRock
Multi-Sector
Income Trust
(BIT)
 
     
Assets                        

Investments at value — unaffiliated2

  $ 2,434,708,312      $ 528,808,391      $ 1,024,810,497   

Investments at value — affiliated3

    4,448,337        5,784,472        12,116,795   

Foreign currency at value4

           695,930        91,729   

Cash pledged as collateral for financial futures contracts

    4,017,940               472,000   

Cash pledged as collateral for swaps

    1,850,000               600,000   

Cash pledged as collateral for centrally cleared swaps

    110,000                 

Interest receivable

    31,753,252        2,861,916        10,350,199   

Investments sold receivable

    3,538,849        17,019,754        3,758,728   

Unrealized appreciation on swaps

    1,012,626        59,378        558,406   

Swap premiums paid

    821,518                 

Variation margin receivable

    490,394               33,750   

Swaps receivable

    200,020        14,061        73,750   

Unrealized appreciation on foreign currency exchange contracts

           13,830          

Unrealized appreciation on unfunded loan commitments

           10,349          

Dividends receivable

    4,300                 

Prepaid expenses

    66,037        10,245          
 

 

 

 

Total assets

    2,483,021,585        555,278,326        1,052,865,854   
 

 

 

 
     
Liabilities                        

Bank overdraft

           748,742        2,010,809   

Cash received as collateral for reverse repurchase agreements

    8,667,000                 

Reverse repurchase agreements

    750,036,395               220,742,061   

Loan payable

           143,000,000          

Investments purchased payable

    20,172,631        57,426,571        76,816,028   

Swap premiums received

    2,232,675        698,692        1,024,340   

Investment advisory fees payable

    1,236,570        306,296        564,963   

Unrealized depreciation on swaps

    1,768,402        40,037          

Unrealized depreciation on foreign currency exchange contracts

    19,324        889,935        845,160   

Officer’s and Trustees’ fees payable

    468,606        144,472          

Interest expense payable

    380,345        119,908        66,230   

Income dividends payable

    414,786               101,601   

Swaps payable

    420,744                 

Options written at value5

    140,547                 

Reorganization expense payable

    22,835                 

Other accrued expenses payable

    271,831        405,084        105,435   
 

 

 

 

Total liabilities

    786,252,691        203,779,737        302,276,627   
 

 

 

 

Net Assets

  $ 1,696,768,894      $ 351,498,589      $ 750,589,227   
 

 

 

 
     
Net Assets Consist of                        

Paid-in capital6,7,8

  $ 2,620,766,280      $ 429,199,610      $ 732,349,432   

Undistributed (distributions in excess of) net investment income

    (2,267,698 )       427,764        1,495,705   

Accumulated net realized loss

    (1,123,389,659     (84,384,877     (241,114

Net unrealized appreciation/depreciation

    201,659,971        6,256,092        16,985,204   
 

 

 

 

Net Assets

  $ 1,696,768,894      $ 351,498,589      $ 750,589,227   
 

 

 

 

Net asset value

  $ 15.70      $ 14.86      $ 19.54   
 

 

 

 

1 Consolidated Statement of Assets and Liabilities.

     

2 Investments at cost — unaffiliated

  $ 2,226,472,690      $ 521,692,878      $ 1,006,635,197   

3 Investments at cost — affiliated

  $ 4,448,337      $ 5,784,472      $ 12,116,795   

4 Foreign currency at cost

         $ 695,906      $ 90,799   

5 Premiums received

  $ 312,000                 

6 Par value per share

  $ 0.001      $ 0.001      $ 0.001   

7 Shares outstanding

    108,088,170        23,656,624        38,421,624   

8 Shares authorized

    unlimited        unlimited        unlimited   

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    43


Table of Contents
Statements of Operations     

 

Six Months Ended April 30, 2013 (Unaudited)  

BlackRock

Credit Allocation

Income Trust
(BTZ)

   

BlackRock
Floating Rate

Income Trust
(BGT)1

    BlackRock
Multi-Sector
Income Trust
(BIT)2
 
     
     
Investment Income                        

Interest

  $ 53,275,173      $ 14,164,983      $ 7,209,724   

Dividends — unaffiliated

    1,118,364                 

Dividends — affiliated

    5,003        1,336        23,563   
 

 

 

 

Total income

    54,398,540        14,166,319        7,233,287   
 

 

 

 
     
Expenses                        

Investment advisory

    6,654,494        1,800,368        1,047,688   

Professional

    137,358        105,704        35,054   

Officer and Trustees

    125,825        22,523        14,012   

Accounting services

    105,627        29,503        23,932   

Custodian

    54,732        70,952        17,174   

Transfer agent

    87,393        20,815        14,818   

Borrowing costs3

           85,794          

Reorganization costs

    60,581                 

Organization

                  33,000   

Printing

    16,095        9,231        6,262   

Registration

    8,869        4,525        3,286   

Miscellaneous

    46,784        26,126        10,044   
 

 

 

 

Total expenses excluding interest expense

    7,297,758        2,175,541        1,205,270   

Interest expense

    1,046,315        652,890        67,199   
 

 

 

 

Total expenses

    8,344,073        2,828,431        1,272,469   

Less fees waived by Manager

    (3,083     (743     (18,691
 

 

 

 

Total expenses after fees waived

    8,340,990        2,827,688        1,253,778   
 

 

 

 

Net investment income

    46,057,550        11,338,631        5,979,509   
 

 

 

 
     
Realized and Unrealized Gain (Loss)                        
Net realized gain (loss) from:      

Investments

    19,295,306        4,404,811        (42,606

Financial futures contracts

    2,067,701               99,413   

Foreign currency transactions

    (62,757     1,402,601        (592,744

Options written

    (1,324,013              

Swaps

    2,420,717        153,856        294,823   
 

 

 

 
    22,396,954        5,961,268        (241,114
 

 

 

 
Net change in unrealized appreciation/depreciation on:      

Investments

    22,895,376        6,272,957        18,175,300   

Financial futures contracts

    (5,433,632            (914,674

Foreign currency translations

    (11,066     (1,476,890     (833,828

Options written

    2,124,109                 

Swaps

    (2,376,871     19,341        558,406   

Unfunded loan commitments

           10,349          
 

 

 

 
    17,197,916        4,825,757        16,985,204   
 

 

 

 

Total realized and unrealized gain

    39,594,870        10,787,025        16,744,090   
 

 

 

 

Net Increase in Net Assets Resulting from Operations

  $ 85,652,420      $ 22,125,656      $ 22,723,599   
 

 

 

 

1 Consolidated Statement of Operations.

  

   

2 For the period February 27, 2013 (commencement of operations) to April 30, 2013.

  

   

3 See Note 6 of the Notes to Financial Statements for details of short-term borrowings.

  

   

 

 

See Notes to Financial Statements.      
                
44    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents
Statements of Changes in Net Assets     

 

    BlackRock Credit Allocation
Income Trust (BTZ)
        BlackRock Floating Rate
Income Trust (BGT)1
 
Increase (Decrease) in Net Assets:   Six Months Ended
April 30,
2013
(Unaudited)
    Year Ended
October 31,
2012
       

Six Months Ended

April 30,

2013
(Unaudited)

    Year Ended
October 31,
2012
 
         
Operations                                    

Net investment income

  $ 46,057,550      $ 48,604,985        $ 11,338,631      $ 22,900,163   

Net realized gain

    22,396,954        2,008,796          5,961,268        505,502   

Net change in unrealized appreciation/depreciation

    17,197,916        72,603,230          4,825,757        15,613,331   
 

 

 

     

 

 

 

Net increase in net assets resulting from operations

    85,652,420        123,217,011          22,125,656        39,018,996   
 

 

 

     

 

 

 
         
Dividends to Shareholders From                                    

Net investment income

    (48,410,759     (48,718,467 )2        (14,187,260     (25,867,315 )2 
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of dividends

                    277,776        300,131   

Net proceeds from the issuance of shares due to reorganization

    862,691,514                          
 

 

 

     

 

 

 

Net increase in net assets derived from capital share transactions

    862,691,514                 277,776        300,131   
 

 

 

     

 

 

 
         
Net Assets                                    

Total increase in net assets

    899,933,175        74,498,544          8,216,172        13,451,812   

Beginning of period

    796,835,719        722,337,175          343,282,417        329,830,605   
 

 

 

     

 

 

 

End of period

  $ 1,696,768,894      $ 796,835,719        $ 351,498,589      $ 343,282,417   
 

 

 

     

 

 

 

Undistributed (distributions in excess of) net investment income

  $ (2,267,698   $ 757,568        $ 427,764      $ 3,276,393   
 

 

 

     

 

 

 

 

1   

Consolidated Statements of Changes in Net Assets.

 

2  

Dividends are determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    45


Table of Contents
Statement of Changes in Net Assets    BlackRock Multi-Sector Income Trust (BIT)

 

Increase (Decrease) in Net Assets:

  Period
February 27, 20131
to April 30, 2013
(Unudited)
 
   
Operations            

Net investment income

    $ 5,979,509   

Net realized loss

      (241,114

Net change in unrealized appreciation/depreciation

      16,985,204   
   

 

 

 

Net increase in net assets resulting from operations

      22,723,599   
   

 

 

 
   
Dividends to Shareholders From            

Net investment income

      (4,483,804
   

 

 

 
   
Capital Share Transactions            

Net proceeds from the issuance of shares

      686,229,426   

Net proceeds from the underwriter’s over allotment option exercised

      46,120,006   
   

 

 

 

Net increase in net assets derived from capital share transactions

      732,349,432   
   

 

 

 
   
Net Assets            

Total increase in net assets

      750,589,227   

Beginning of period

        
   

 

 

 

End of period

    $ 750,589,227   
   

 

 

 

Undistributed net investment income

    $ 1,495,705   
   

 

 

 

 

1   

Commencement of operations.

 

 

See Notes to Financial Statements.      
                
46    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents
Statements of Cash Flows     

 

Six Months Ended April 30, 2013 (Unaudited)   BlackRock
Credit Allocation
Income Trust
(BTZ)
    BlackRock
Floating Rate
Income Trust
(BGT)1
    BlackRock
Multi- Sector
Income Trust
(BIT)2
 
     
Cash Provided by (Used for) Operating Activities                        

Net increase in net assets resulting from operations

  $ 85,652,420      $ 22,125,656      $ 22,723,599   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

     

(Increase) decrease in interest receivable

    (140,808 )3      144,333        (10,350,199

(Increase) decrease in swaps receivable

    37,198        (14,061     (73,750

Increase in prepaid expenses

    (24,708 )3      (665       

Increase in variation margin receivable

    (467,303            (33,750

Decrease in dividends receivable

    66,400                 

Increase in cash pledged as collateral for financial futures contracts

    (5,197,879 )3             (472,000

(Increase) decrease in cash pledged as collateral for swaps

    1,790,000               (600,000

Increase in investment advisory fees payable

    605,114        3,549        564,963   

Increase (decrease) in interest expense payable

    (64,103     10,342        66,230   

Decrease in cash received as collateral for reverse repurchase agreements

    (2,502,900              

Decrease in cash received as collateral for swaps

    (500,000              

Decrease in reorganization costs payable

    (294,700              

Increase (decrease) in other accrued expenses payable

    (1,461,999 )3      18,095        105,435   

Decrease in variation margin payable

    (334,500              

Increase in swaps payable

    223,941                 

Increase in Officer’s and Trustees’ fees payable

    265,897        12,915          

Net periodic and termination payments of swaps

    3,893,638        852,548        1,319,163   

Net realized and unrealized gain on investments and swaps

    (42,912,293     (8,463,010     (18,141,976

Amortization of premium and accretion of discount on investments and swaps

    2,566,605        (802,931     (1,472,586

Premiums received from options written

    356,773                 

Proceeds from sales of long-term investments

    471,314,152        207,759,080        173,367,751   

Purchases of long-term investments

    (424,840,091     (201,999,040     (1,105,515,385

Net proceeds from sales (purchases) of short-term securities

    1,410,604        (3,043,778     (12,116,795

Premiums paid on closing options written

    (4,233,638              
 

 

 

 

Cash provided by (used for) operating activities

    85,207,820        16,603,033        (950,629,300
 

 

 

 
     
Cash Provided by (Used for) Financing Activities                        

Cash receipts from issuance of common shares

                  732,349,432   

Cash receipts from borrowings

           154,000,000          

Cash payments on borrowings

           (156,000,000       

Net borrowings of reverse repurchase agreements

    (36,198,258            220,742,061   

Cash dividends paid to shareholders

    (48,240,752     (13,909,484     (4,382,203

Increase (decrease) in bank overdraft

    (826,690 )3      (166,749     2,010,809   
 

 

 

 

Cash provided by (used for) financing activities

    (85,265,700     (16,076,233     950,720,099   
 

 

 

 
     
Cash Impact from Foreign Exchange Fluctuations                        

Cash impact from foreign exchange fluctuations

           484        930   
 

 

 

 
     
Cash and Foreign Currency                        

Net increase (decrease) in cash and foreign currency

    (57,880     527,284        91,729   

Cash and foreign currency at beginning of period

    57,880        168,646          
 

 

 

 

Cash and foreign currency at end of period

         $ 695,930      $ 91,729   
 

 

 

 
     
Cash Flow Information                        

Cash paid during the period for interest

  $ 1,110,418      $ 642,548      $ 969   
 

 

 

 
     
Non-cash Financing Activities                        

Fair value of investments acquired through reorganization

  $ 1,252,477,573                 
 

 

 

 

Capital shares issued in reorganization

  $ 762,017,323                 
 

 

 

 

Capital shares issued in reinvestment of dividends

         $ 277,776          
 

 

 

 

1 Consolidated Statement of Cash Flows.

     

2 For the period February 27, 2013 (commencement of operations) to April 30, 2013.

     

3 Includes assets and liabilities acquired in reorganization.

     

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    47


Table of Contents
Financial Highlights    BlackRock Credit Allocation Income Trust (BTZ)

 

   

Six Months
Ended
April 30,
2013

(Unaudited)

    Year Ended October 31,  
      2012     2011     2010     2009     2008  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 15.37      $ 13.94      $ 14.46      $ 12.64      $ 10.59      $ 21.39   
 

 

 

 

Net investment income1

    0.48        0.94        0.88        0.85        0.99        1.33   

Net realized and unrealized gain (loss)

    0.36        1.43        (0.54     2.14        2.54        (10.06
Dividends to Preferred Shareholders from net investment income                   (0.01     (0.07     (0.07     (0.33
 

 

 

 

Net increase (decrease) from investment operations

    0.84        2.37        0.33        2.92        3.46        (9.06
 

 

 

 

Dividends and distributions to Common Shareholders from:

           

Net investment income

    (0.51 )2      (0.94 )3      (0.85 )3      (0.81 )3      (0.93 )3      (0.90 )3 

Tax return of capital

                         (0.29 )3      (0.48 )3      (0.84 )3 
 

 

 

 

Total dividends and distributions

    (0.51     (0.94     (0.85     (1.10     (1.41     (1.74
 

 

 

 

Net asset value, end of period

  $ 15.70      $ 15.37      $ 13.94      $ 14.46      $ 12.64      $ 10.59   
 

 

 

 

Market price, end of period

  $ 14.42      $ 14.23      $ 12.08      $ 13.02      $ 10.96      $ 9.36   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders4                                   

Based on net asset value

    5.88% 5      18.35%        3.28%        25.16%        41.06%        (44.27)%   
 

 

 

 

Based on market price

    5.04% 5      26.44%        (0.60)%        29.98%        38.38%        (43.51)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses6

    1.15% 7,8      1.20% 9      1.09%        1.12%        1.60%        1.65%   
 

 

 

 

Total expenses after fees waived and paid indirectly6

    1.14% 7,8      1.20% 9      1.09%        1.11%        1.58%        1.65%   
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense6

    1.00% 7,8      1.07% 9      0.99%        1.07%        1.24%        1.21%   
 

 

 

 

Net investment income6

    6.32% 7      6.53%        6.25%        6.33%        9.93%        7.63%   
 

 

 

 

Dividends to Preferred Shareholders

                  0.09%        0.50%        0.74%        1.89%   
 

 

 

 

Net investment income to Common Shareholders

    6.32% 7      6.53%        6.16%        5.83%        9.19%        5.74%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

  $ 1,696,769      $ 796,836      $ 722,337      $ 749,360      $ 654,999      $ 548,612   
 

 

 

 

Preferred Shares outstanding at $25,000 liquidation preference, end of period (000)

                       $ 231,000      $ 231,000      $ 231,000   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 750,036      $ 373,716      $ 339,303             $ 61,576      $ 223,512   
 

 

 

 

Average borrowings outstanding during the period (000)

  $ 682,715      $ 312,634      $ 182,843      $ 63,660      $ 76,521      $ 107,377   
 

 

 

 

Portfolio turnover

    22%        37%        54%        64%        30%        126%   
 

 

 

 

Asset coverage per Preferred Share at $25,000 liquidation preference, end of period

                       $ 106,104      $ 95,892      $ 84,384   
 

 

 

 

Asset coverage, end of period per $1,000

  $ 3,262      $ 3,132      $ 3,129                        
 

 

 

 

 

1   

Based on average shares outstanding.

 

2   

A portion of the dividends from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.

 

3   

Dividends and distributions are determined in accordance with federal income tax regulations.

 

4   

Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

5   

Aggregate total investment return.

 

6   

Do not reflect the effect of dividends to Preferred Shareholders.

 

7   

Annualized.

 

8   

Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.14%, 1.13% and 0.99%, respectively.

 

9   

Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.16%, 1.16% and 1.02%, respectively.

 

 

See Notes to Financial Statements.      
                
48    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents
Financial Highlights    BlackRock Floating Rate Income Trust (BGT)

 

    Six Months
Ended
April  30,
20131
(Unaudited)
    Year Ended October 31,     Period
January 1, 2008
to October 31,
2008
    Year Ended
December 31,
2007
 
      20121     2011     2010     2009      
             
             
Per Share Operating Performance                                           

Net asset value, beginning of period

  $ 14.52      $ 13.97      $ 14.48      $ 13.29      $ 11.24      $ 17.71      $ 19.11   
 

 

 

 

Net investment income

    0.48 2      0.97 2      1.00 2      0.97 2      0.98 2      1.42 2      2.03   

Net realized and unrealized gain (loss)

    0.46        0.68        (0.42     1.09        2.72        (6.62     (1.39

Dividends to Preferred Shareholders from net investment income

                  (0.00 )3      (0.04     (0.04     (0.24     (0.54
 

 

 

 

Net increase (decrease) from investment operations

    0.94        1.65        0.58        2.02        3.66        (5.44     0.10   
 

 

 

 

Dividends and distributions to Common Shareholders from:

             

Net investment income

    (0.60 )4      (1.10 )5      (1.09 )5      (0.83 )5      (1.19 )5      (1.03 )5      (1.14)5   

Tax return of capital

                                (0.42 )5             (0.36)5   
 

 

 

 

Total dividends and distributions

    (0.60     (1.10     (1.09     (0.83     (1.61     (1.03     (1.50
 

 

 

 

Net asset value, end of period

  $ 14.86      $ 14.52      $ 13.97      $ 14.48      $ 13.29      $ 11.24      $ 17.71   
 

 

 

 

Market price, end of period

  $ 16.00      $ 15.07      $ 13.00      $ 14.52      $ 12.58      $ 9.63      $ 15.78   
 

 

 

 
             
Total Investment Return Applicable to Common Shareholders6                                           

Based on net asset value

    6.56% 7      12.37%        4.03%        15.55%        39.51%        (31.62 )%7      0.98%   
 

 

 

 

Based on market price

    10.55% 7      25.33%        (3.46 )%      22.41%        54.14%        (34.24 )%7      (10.92)%   
 

 

 

 
             
Ratios to Average Net Assets Applicable to Common Shareholders                                           

Total expenses8

    1.65% 9      1.66%        1.73%        1.43%        1.96%        2.22% 9      1.67%   
 

 

 

 

Total expenses after fees waived and paid indirectly8

    1.64% 9      1.61%        1.60%        1.25%        1.68%        1.89% 9      1.33%   
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense8

    1.27% 9,10      1.25% 11      1.24%        1.15%        1.24%        1.21% 9      1.16%   
 

 

 

 

Net investment income8

    6.60% 9      6.87%        6.95%        7.01%        8.92%        10.56% 9      10.83%   
 

 

 

 

Dividends to Preferred Shareholders

                  0.03%        0.27%        0.38%        1.75% 9      2.88%   
 

 

 

 

Net investment income to Common Shareholders

    6.60% 9      6.87%        6.92%        6.74%        8.54%        8.81% 9      7.95%   
 

 

 

 
             
Supplemental Data                                           

Net assets applicable to Common Shareholders, end of period (000)

  $ 351,499      $ 343,282      $ 329,831      $ 341,436      $ 312,872      $ 264,590      $ 417,086   
 

 

 

 

Preferred Shares outstanding at $25,000 liquidation preference, end of period (000)

                       $ 58,800      $ 58,800      $ 58,800      $ 243,450   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 143,000      $ 145,000      $ 122,000      $ 38,000      $ 14,000      $ 123,150          
 

 

 

 

Average borrowings outstanding during the period (000)

  $ 137,304      $ 126,186      $ 120,334      $ 24,321      $ 53,156      $ 71,780      $ 10,524   
 

 

 

 

Portfolio turnover

    38%        65%        89%        87%        42%        25%        41%   
 

 

 

 

Asset coverage per Preferred Share at $25,000 liquidation preference, end of period

                       $ 170,174      $ 158,029      $ 137,505      $ 67,849   
 

 

 

 

Asset coverage, end of period per $1,000

  $ 3,458      $ 3,367      $ 3,704                               
 

 

 

 

 

1   

Consolidated Financial Highlights.

 

2   

Based on average shares outstanding.

 

3   

Amount is greater than $(0.01) per share.

 

4   

A portion of the dividends from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.

 

5   

Dividends and distributions are determined in accordance with federal income tax regulations.

 

6   

Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

7   

Aggregate total investment return.

 

8   

Do not reflect the effect of dividends to Preferred Shareholders.

 

9   

Annualized.

 

10   

For the six months ended April 30, 2013, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.22%.

 

11   

For the year ended October 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.14%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    49


Table of Contents
Financial Highlights    BlackRock Multi-Sector Income Trust (BIT)

 

    Period
February 27,
20131
to April  30,
2013
(Unaudited)
 
   
 
Per Share Operating Performance        

Net asset value, beginning of period

  $ 19.10 2 
 

 

 

 

Net investment income3

    0.16   

Net realized and unrealized gain

    0.40   
 

 

 

 

Net increase from investment operations

    0.56   
 

 

 

 

Dividends from net investment income4

    (0.12
 

 

 

 

Net asset value, end of period

  $ 19.54   
 

 

 

 

Market price, end of period

  $ 19.16   
 

 

 

 
 
Total Investment Return5        

Based on net asset value

    2.93% 6 
 

 

 

 

Based on market price

    (3.62 )%6 
 

 

 

 
 
Ratios to Average Net Assets        

Total expenses7

    1.05% 8 
 

 

 

 

Total expenses after fees waived7

    1.03% 8 
 

 

 

 

Total expenses after fees waived and excluding interest expense7

    0.97% 8 
 

 

 

 

Net investment income6

    5.04% 8 
 

 

 

 
 
Supplemental Data        

Net assets, end of period (000)

  $ 750,589   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 220,742   
 

 

 

 

Average borrowings outstanding, during the period (000)

  $ 76,441   
 

 

 

 

Portfolio turnover

    26% 9 
 

 

 

 

Asset coverage, end of period per $1,000

  $ 4,400   
 

 

 

 

 

1   

Commencement of operations.

 

2   

Net asset value, beginning of period, reflects a reduction of $0.90 per share sales charge from the initial offering price of $20.00 per share.

 

3   

Based on average shares outstanding.

 

4   

A portion of the dividends from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.

 

5   

Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

6   

Aggregate total investment return.

 

7   

Annualized.

 

8   

Certain expenses incurred during the period February 27, 2013 to April 30, 2013 have been included in the ratio, but not annualized. If these expenses were annualized, the annualized ratio of total expenses, total expenses after fees waived, total expenses after fees waived and excluding interest expense and net investment income would have been 1.07%, 1.05%, 0.99% and 5.02%, respectively.

 

9   

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 16%.

 

 

See Notes to Financial Statements.      
                
50    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents
Notes to Financial Statements (Unaudited)     

 

1. Organization and Significant Accounting Policies:

BlackRock Credit Allocation Income Trust (“BTZ”) (formerly known as BlackRock Credit Allocation Income Trust IV), BlackRock Floating Rate Income Trust (“BGT”) and BlackRock Multi-Sector Income Trust (“BIT”) (collectively, the “Trusts” or individually as a “Trust”) are registered under the 1940 Act as non-diversified, closed-end management investment companies. The Trusts are organized as Delaware statutory trusts. Prior to commencement of operations on February 27, 2013, BIT had no operations other than those relating to organizational matters and the sale of 6,964 Common Shares on December 31, 2012 to BlackRock Holdco 2, Inc., an affiliate of BIT, for $133,012. Investment operations for BIT commenced on February 27, 2013. The Trusts’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board”, and the trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the NAVs of their Common Shares on a daily basis.

Reorganization: The Board and shareholders of BTZ and the respective Boards of Directors and Board of Trustees and shareholders of each of BlackRock Credit Allocation Income Trust I, Inc. (“PSW”), BlackRock Credit Allocation Income Trust II, Inc. (“PSY”) and BlackRock Credit Allocation Income Trust IIII (“BPP”) (individually, a “Target Fund” and collectively the “Target Funds”) approved the reorganization of its respective Target Fund into BTZ pursuant to which BTZ acquired substantially all of the assets and substantially all of the liabilities of each Target Fund in exchange for an equal aggregate value of newly–issued shares of BTZ in a merger transaction.

Each shareholder of a Target Fund received shares of BTZ in an amount equal to the aggregate net asset value of such shareholder’s Target Fund shares, as determined at the close of business on December 7, 2012, less the cost of the Target Fund’s reorganization. Cash was distributed for any fractional shares.

The reorganizations were accomplished by a tax-free exchange of shares of BTZ in the following amounts and at the following conversion ratios:

 

Target Fund   Shares Prior to
Reorganization
    Conversion
Ratio
   

Shares of

BTZ

 

PSW

    10,311,941        0.74476327        7,679,944   

PSY

    40,807,418        0.80162384        32,712,181   

BPP

    18,467,785        0.85922134        15,867,888   

Each Target Fund’s net assets and composition of net assets on December 7, 2012, the date of the reorganization, were as follows:

 

     Target Funds  
     PSW     PSY     BPP  

Net assets

  $ 117,764,870      $ 501,609,101      $ 243,318,554   

Paid-in capital

  $ 220,759,069      $ 855,557,957      $ 421,683,737   

Undistributed (distributions in excess of) net investment income

  $ (271,460   $ (379,634   $ (20,963

Accumulated net realized loss

  $ (117,819,600   $ (415,840,977   $ (201,649,795

Net unrealized appreciation (depreciation)

  $ 15,096,861      $ 62,271,755      $ 23,305,575   

For financial reporting purposes, assets received and shares issued by BTZ were recorded at fair value. However, the cost basis of the investments being received from the Target Funds were carried forward to align ongoing reporting of BTZ’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

The net assets of BTZ before the acquisition were $794,732,940. The aggregate net assets of BTZ immediately after the acquisition amounted to $1,657,424,622. Each Target Fund’s fair value and cost of investments prior to the reorganization were as follows:

 

Target Fund   Fair Value of
Investments
   

Cost of

Investments

 

PSW

  $ 173,824,678      $ 158,779,261   

PSY

  $ 728,147,930      $ 666,028,086   

BPP

  $ 354,504,965      $ 331,424,010   

The purpose of these transactions was to combine four funds managed by the Manager with the same or substantially similar (but not identical) investment objectives, investment policies, strategies, risks and restrictions. Each reorganization was a tax-free event and was effective on December 10, 2012.

Assuming the acquisition had been completed on November 1, 2012 the beginning of the fiscal reporting period of BTZ, the pro forma results of operations for the six months ended April 30, 2013, are as follows:

 

Ÿ  

Net investment income: $41,071,752

 

Ÿ  

Net realized and change in unrealized gain/loss on investments: $60,501,185

 

Ÿ  

Net increase/decrease in net assets resulting from operations: $101,572,937

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Target Funds that have been included in BTZ’s Statement of Operations since December 10, 2012.

Reorganization costs incurred in connection with the reorganization were expensed by BTZ.

 

                
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The Board of Trustees approved a change in the name of BTZ from “BlackRock Credit Allocation Income Trust IV” to “BlackRock Credit Allocation Income Trust.” This change was effective February 11, 2013.

The following is a summary of significant accounting policies followed by the Trusts:

Basis of Consolidation: BGT’s accompanying consolidated financial statements include the account of BGT Subsidiary, LLC (the “Taxable Subsidiary”), which is a wholly owned taxable subsidiary of BGT. The Taxable Subsidiary enables BGT to hold an investment in J.G. Wentworth LLC Preferred Equity Interests, an operating company and to satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investments held by the Taxable Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statement of Operations for BGT. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for BGT. BGT may invest up to 25% of its total assets in the Taxable Subsidiary. Intercompany accounts and transactions, if any, have been eliminated.

The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to BGT.

Valuation: US GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The Global Valuation Methodologies Committee is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Trusts for all financial instruments.

The Trusts value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid price. If no bid price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security.

Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and swaptions are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

In the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deem relevant consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. A market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or

 

                
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Notes to Financial Statements (continued)     

 

asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Trusts’ pricing vendors, a regular review of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Trusts’ net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to affect the value of such instruments materially, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the Global Valuation Committee using a pricing service and/or policies approved by the Board.

Foreign Currency: The Trusts’ books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Trusts’ investments denominated in that currency will lose value because that currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.

The Trusts’ do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Trusts report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

Asset-Backed and Mortgage-Backed Securities: The Trusts may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. In addition, the Trusts may have to subsequently reinvest the proceeds at lower interest rates. If the Trusts have purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

The Trusts may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.

Collateralized Debt Obligations: The Trusts may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and CLOs are types of asset-backed securities. A CDO is an entity which is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches”, which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: The Trusts may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, US government

 

                
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Notes to Financial Statements (continued)     

 

agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated pre-payments of principal, the Trusts may not fully recoup their initial investment in IOs.

Zero-Coupon Bonds: The Trusts may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.

Capital Trusts: The Trusts may invest in capital trusts. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities.

Preferred Stock: The Trusts may invest in preferred stock. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Floating Rate Loan Interests: The Trusts may invest in floating rate loan interests. The floating rate loan interests the Trusts holds are typically issued to companies (the “borrower”) by banks, other financial institutions, and privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Trusts may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Trusts consider these investments to be investments in debt securities for purposes of its investment policies.

When the Trusts purchase a floating rate loan interest they may receive a facility fee and when they sell a floating rate loan interest they may pay a facility fee. On an ongoing basis, the Trusts may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Trusts upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Trusts may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. The Trusts may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in the Trusts having a contractual relationship only with the lender, not with the borrower. The Trusts will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Trusts generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Trusts may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Trusts will assume the credit risk of both the borrower and the lender that is selling the Participation. The Trusts’ investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender

 

                
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selling the Participation, the Trusts may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Trusts having a direct contractual relationship with the borrower, and the Trusts may enforce compliance by the borrower with the terms of the loan agreement.

Forward Commitments and When-Issued Delayed Delivery Securities: The Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Trusts may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trusts may be required to pay more at settlement than the security is worth. In addition, the Trusts are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trusts’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.

Reverse Repurchase Agreements: The Trusts may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Trusts sell a security to the counterparty, a bank or broker-dealer, and agree to repurchase the same security at a mutually agreed upon date and price. Certain agreements have no stated maturity and can be terminated by either party at any time. During the term of the reverse repurchase agreement, the Trusts continue to receive the principal and interest payments on the security delivered to the counterparty. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. The Trusts may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the security that the Trusts are obligated to repurchase under the agreement may decline below the repurchase price.

For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest payments to be made to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by the Trusts to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a Trust may receive a fee for use of the security by the counterparty, which may result in interest income to the Trust.

Reverse repurchase transactions are entered into by the Trusts under Master Repurchase Agreements (MRA) which permit the Trusts, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Trust. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Trust is posting securities as collateral with a market value in excess of the repurchase price to be paid by such Trust upon the maturity of the reverse repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Trust is considered an unsecured creditor with respect to such excess collateral and as such the return of such excess collateral may be delayed.

BIT has adopted the new disclosure requirements on offsetting in the following table. As such, the following table is a summary of BIT’s open reverse repurchase agreements by counterparty which are subject to a MRA on a net payment basis as of April 30, 2013:

 

Counterparty  

Reverse

Repurchase

Agreements

    Fair Value of
Non-cash
Collateral
Pledged
    Cash
Collateral
Pledged
    Net  Amount1  

Barclays Capital, Inc.

  $ 35,199,368      $ (35,199,368)                 

UBS Securities LLC

    80,834,549        (80,834,549)                 

Deutsche Bank Securities, Inc.

    98,913,658        (98,913,658)                 

Credit Suisse Securities (USA) LLC

    5,860,716        (5,860,716)                 
 

 

 

 
Total   $ 220,808,291      $ (220,808,291)                 
 

 

 

 

 

  1  

Net amount represents the net amount payable due to the counterparty in the event of default.

In the event the buyer of the security under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Trusts’ use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Trusts’ obligation to repurchase the security.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that each Trust either deliver collateral or segregate assets in connection with certain investments (e.g., financial futures contracts, foreign currency exchange contracts, swaps and options written), or certain borrowings (e.g., reverse repurchase agreements and loan payable), each Trust will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, a Trust engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer as collateral for certain investments. Typically, the Trusts are permitted to sell, re-pledge or use collateral received from the counterparty, but counterparties typically are not permitted to sell, re-pledge or use the collateral they receive.

 

                
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Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Trust’s taxable income and net capital gains, but not in excess of a Trust’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. Capital losses carried forward from years beginning before 2011 do not reduce earnings and profits, even if such carried forward losses offset current year realized gains. The character and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.

Income Taxes: It is the Trusts’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required.

Each Trust files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Trusts’ US federal tax returns, except BIT’s, remains open for each of the four years ended October 31, 2012. The statutes of limitations on the Trusts’ state and local tax returns, except BIT’s, may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standards: In December 2011, the Financial Accounting Standards Board (the “FASB”) issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset in the Statements of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. In January 2013, the FASB issued guidance that clarifies which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting will be limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. BIT adopted the disclosure provisions on offsetting during the current reporting period. The disclosures required have been included for BIT’s reverse repurchase agreements and derivative financial instruments in Note 1 and Note 2, respectively. Management is evaluating the impact of this guidance on BTZ’s and BGT’s financial statement disclosures.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust. Deferred compensation liabilities are included in Officer’s and Trustees’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to economically hedge their exposure to certain risks such as credit risk, interest rate risk or foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: The Trusts purchase and/or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk). Financial futures contracts are agreements between a Trust and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Upon entering into a financial futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as

 

                
56    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents
Notes to Financial Statements (continued)     

 

initial margin are designated on the Schedules of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Trusts as unrealized appreciation or depreciation. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

Foreign Currency Exchange Contracts: The Trusts enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Trusts, help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Trusts as an unrealized gain or loss. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that the counterparty to the contract does not perform its obligations under the agreement.

Options: The Trusts purchase and write call and put options to increase or decrease their exposure to underlying instruments (including interest rate risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised), the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Trusts purchase (write) an option, an amount equal to the premium paid (received) by the Trusts is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written).When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Trusts enter into a closing transaction), the Trusts realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Trusts write a call option, such option is “covered,” meaning that the Trusts hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

Options on swaps (swaptions) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate swap agreement (interest rate risk) at any time before the expiration of the option.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Trusts may not be able to enter into a closing transaction due to an illiquid market. Exercise of an option written could result in the Trusts purchasing or selling a security at a price different from the current market value.

Swaps: The Trusts enter into swap agreements, in which a Trust and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. These payments received or made by the Trusts are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively in the Statements of Assets and Liabilities and amortized over the term of the swap. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Trusts face the CCP through a broker. Upon entering into a centrally cleared swap, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swaps, if any, is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. When the swap is terminated, the Trusts will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts’ basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

 

Ÿ  

Credit default swaps — The Trusts enter into credit default swaps to manage their exposure to the market or certain sectors of the market,

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    57


Table of Contents
Notes to Financial Statements (continued)     

 

 

to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Trusts will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

Ÿ  

Interest rate swaps — The Trusts enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional principal amount may decline (or amortize) over time.

A derivative contract may suffer a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract. A Trust’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Trust. For OTC options purchased, each Trust bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Trust should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not, the counterparty to perform. With exchange traded purchased options and futures and centrally cleared swaps, there is minimal counterparty credit risk to the Trusts since the exchange’s clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. However, credit risk still exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, US bankruptcy laws will typically allocate that shortfall on a pro rata basis across all the broker’s customers, potentially resulting in losses to the Trusts.

In order to better define its contractual rights and to secure rights that will help the Trusts mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between each Tust and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trust may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting) including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker or clearinghouse for exchange traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps). Brokers can ask for margining in excess of the minimum in certain circumstances. Collateral terms are contract specific for OTC derivatives (foreign currency exchange contracts and swaps). For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Trusts and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g. $500,000) before a transfer has to be made, which is determined at the close of business of the Trusts and additional required collateral is delivered to/pledged by the Trusts on the next business day. To the extent amounts due to the Trusts from their counterparties are not fully collateralized,

 

                
58    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents
Notes to Financial Statements (continued)     

 

contractually or otherwise, the Trusts bear the risk of loss from counterparty non-performance. See Note 1 “Segregation and Collateralization” for information with respect to collateral practices. Each Trust attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Trusts’

net assets decline by a stated percentage or the Trusts fail to meet the terms of their ISDA Master Agreements, which would cause the Trusts to accelerate payment of any net liability owed to the counterparty.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

BIT has adopted the new disclosure requirements on offsetting in the following tables.

At April 30, 2013, BIT’s derivative assets and liabilities (by type) are as follows:

 

     Assets     Liabilities  
Derivative Financial Instruments:    

Financial futures contracts

  $ 33,750     

Foreign currency exchange contracts

         $ 845,160   

Swaps

    558,406        1,024,340   
 

 

 

   

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

    592,156        1,869,500   
 

 

 

   

 

 

 

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)

    33,750          
 

 

 

   

 

 

 

Total assets and liabilities subject to MNA

  $ 558,406      $ 1,869,500   
 

 

 

   

 

 

 

The following table presents BIT’s derivative assets by counterparty net of amounts available for offset under a MNA and net of the related collateral received by the Trust as of April 30, 2013:

 

Counterparty   Derivative Assets
Subject to a MNA  by
Counterparty
  

Derivatives

Available for Offset

    

Non-cash

Collateral

Received

    

Cash

Collateral

Received

    

Net Amount of

Derivative

Assets1

 

Bank of America NA

  $558,406    $ (558,406                        

The following table presents BIT’s derivative liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral pledged by the Trust as of April 30, 2013:

 

Counterparty   Derivative Liabilities
Subject to a MNA by
Counterparty
  

Derivatives

Available for Offset

    

Non-cash

Collateral

Pledged

    

Cash

Collateral

Pledged

    

Net Amount of

Derivative

Liabilities2

 

Bank of America NA

  $1,869,500    $ (558,406            $ (600,000    $ 711,094   

 

  1   

Net amount represents the net amount receivable from the counterparty in the event of default.

  2   

Net amount represents the net amount payable due to the counterparty in the event of default.

 

Derivative Financial Instruments Categorized by Risk Exposure:

 
     Fair Values of Derivative Financial Instruments as of April 30, 2013  
   

Asset Derivatives

 
         BTZ      BGT      BIT  
     Statements of Assets and Liabilities Location   Value  

Interest rate contracts

  Net unrealized appreciation/depreciation3; Unrealized appreciation on swaps; Investments at value – unaffiliated4   $ 348,880                   

Foreign currency exchange contracts

  Unrealized appreciation on foreign currency exchange contracts           $ 13,830           

Credit contracts

  Unrealized appreciation on swaps; swap premiums paid     1,781,149         59,378       $ 558,406   
 

 

 

Total

    $ 2,130,029       $ 73,208       $ 558,406   
   

 

 

 

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    59


Table of Contents
Notes to Financial Statements (continued)     

 

Derivative Financial Instruments Categorized by Risk Exposure:

 
     Fair Values of Derivative Financial Instruments as of April 30, 2013  
    

Liability Derivatives

 
         BTZ      BGT      BIT  
     Statements of Assets and Liabilities Location   Value  

Interest rate contracts

  Net unrealized appreciation/depreciation3; Unrealized depreciation on swaps2; Options written at value   $ (6,617,366            $ (914,674

Foreign currency exchange contracts

  Unrealized depreciation on foreign currency exchange contracts     (19,324    $ (889,935      (845,160

Credit contracts

  Unrealized depreciation on swaps; swap premiums received     (3,587,815      (738,729      (1,024,340
 

 

 

 

 

 

Total

    $ (10,224,505    $ (1,628,664    $ (2,784,174
   

 

 

 

3   Includes cumulative appreciation/depreciation on financial futures contracts and centrally cleared swaps as reported in the Schedules of Investments. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities.

4   Includes options purchased at value as reported in the Schedules of Investments.

       

      

  

 

         

The Effect of Derivative Financial Instruments in the
Statements of  Operations

Six Months Ended April 30, 2013

 
        Net Realized Gain (Loss) From  
        BTZ     BGT     BIT  
Interest rate contracts:      

Financial futures contracts

  $ 2,067,701             $ 99,413   

Swaps

    2,798,586                 

Options1

    (2,799,979              
Foreign currency exchange contracts:      

Foreign currency transactions

    (59,010   $  1,595,520        (391,512

Options1

    (422,450    
Credit contracts:      

Swaps

    (377,869     153,856        294,823   
   

 

 

 

Total

  $     1,206,979      $ 1,749,376      $            2,724   
   

 

 

 

 

     Net Change in Unrealized
Appreciation/Depreciation on
 
    BTZ     BGT     BIT  
Interest rate contracts:      

Financial futures contracts

  $ (5,433,632          $ (914,674

Swaps

    (1,967,121              

Options1

    2,128,422                 
Foreign currency exchange contracts:      

Foreign currency translations

    (19,324   $ (1,530,681     (845,160
Credit contracts:      

Swaps

    (409,750     19,341        558,406   
 

 

 

 

Total

  $ (5,701,405   $ (1,511,340   $ (1,201,428
 

 

 

 

1   Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.

 

For the six months ended April 30, 2013, the average quarterly balances of outstanding derivative financial instruments were as follows:

      

  

     BTZ     BGT     BIT  
Financial futures contracts:      

Average number of contracts purchased

    705                 

Average number of contracts sold

    2,334               300   

Average notional value of contracts purchased

  $ 155,740,336                 

Average notional value of contracts sold

  $ 311,942,414             $ 40,683,516   
Foreign currency exchange contracts:      

Average number of contracts — US dollars purchased

    1        6        3   

Average number of contracts — US dollars sold

    3 2      1        12 2 

Average US dollar amounts purchased

  $ 3,343,004      $ 80,773,186      $ 64,375,369   

Average US dollar amounts sold

  $ 5,099,933 2    $ 2,904,943      $ 118,835,233 2 

 

                
60    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents
Notes to Financial Statements (continued)     

 

    BTZ     BGT     BIT  
Options:      

Average number of option contracts purchased

    35,000,210        26          

Average number of option contracts written

                    

Average notional value of option contracts purchased

  $ 35,210,000      $ 24,514          

Average notional value of option contracts written

                    

Average number of swaption contracts purchased

    6                 

Average number of swaption contracts written

    3                 

Average notional value of swaption contracts purchased

  $ 267,775,000                 

Average notional value of swaption contracts written

  $ 202,500,000                 
Credit default swaps:      

Average number of contracts — buy protection

    22                 

Average number of contracts — sell protection

    9        10        2   

Average notional value — buy protection

  $ 89,131,064                 

Average notional value — sell protection

  $ 33,254,000      $ 2,394,388      $ 15,000,000   
Interest rate swaps:      

Average number of contracts — pays fixed rate

    5                 

Average number of contracts — receives fixed rate

    3                 

Average notional value — pays fixed rate

  $ 89,800,000                 

Average notional value — receives fixed rate

  $ 14,800,000                 

 

  2   

Actual contract amount shown due to limited activity.

 

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock, Inc. (“BlackRock”).

Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Trusts’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Trust’s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Trust. For such services, each Trust pays the Manager a monthly fee based on a percentage of BTZ’s and BGT’s average weekly (average daily for BIT) net assets (including any assets attributable to borrowings) at the following annual rates:

 

BTZ

    0.62%   

BGT

    0.75%   

BIT

    0.80%   

Prior to December 10, 2012, BTZ paid the Manager an investment advisory fee computed and paid monthly based on an annual rate of 0.65%.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investment in other affiliated investment companies, if any. These amounts are shown as fees waived by Manager in the Statements of Operations.

The Manager provides investment management and other services to the Taxable Subsidiary. The Manager does not receive separate compensation from the Taxable Subsidiary for providing investment management or administrative services. However, BGT pays the Manager based on the BGT’s net assets (including any assets attributable to borrowings), which includes the assets of the Taxable Subsidiary.

The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager with respect to each Trust. The Manager also entered into a sub-advisory agreement with BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager, with respect to BTZ and BIT. On June 5, 2013, the Board approved the Manager entering into a sub-advisory agreement with BlackRock (Singapore) Limited (“BRS”), an affiliate of the Manager, with respect to BIT. The Manager pays BFM, BIM and BRS, for services they provide, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

Certain officers and/or Trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Officer and Trustees in the Statements of Operations.

4. Investments:

Purchases and sales of investments including paydowns, excluding short-term securities and US government securities for the six months ended April 30, 2013, were as follows:

 

     Purchases     Sales  

BTZ

  $ 403,228,276      $ 416,662,347   

BGT

  $ 212,121,921      $ 197,428,349   

BIT

  $ 1,152,048,871      $ 146,874,646   

Purchases and sales of US government securities for the six months ended April 30, 2013 were as follows:

 

     Purchases     Sales  

BTZ

  $ 37,170,455      $ 47,090,224   

BIT

  $      30,282,542      $   30,251,833   

For the period ended April 30, 2013, purchases and sales of mortgage dollar rolls for BIT were $70,234,250 and $70,407,758, respectively.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    61


Table of Contents
Notes to Financial Statements (continued)     

 

Transactions in options written for the six months ended April 30, 2013 were as follows:

 

    
    Calls         Puts  

BTZ

    Contracts       
 
Notional
(000)1
  
  
   
 
Premiums
Received
 
  
        Contracts       
 
Notional
(000)1
  
  
   
 
Premiums
Received
 
  

Outstanding options, beginning of period

         $ 23,500      $ 1,274,813               $ 39,500      $ 1,586,812   

Options written

           180,000        162,000                 180,000        198,000   

Options exercised

                                           

Options expired

                                  (180,000     (198,000

Options closed

           (203,500     (1,436,813              (23,500     (1,274,812

Outstanding options, end of period

                                $ 16,000      $ 312,000   
  1   

Amount shown is in the currency in which the transaction was denominated.

5. Income Tax Information:

As of October 31, 2012, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires October 31,   BTZ     BGT  

2015

  $ 47,850,027      $ 3,268,804   

2016

    113,355,213        24,616,531   

2017

    223,939,227        45,385,443   

2018

    15,223,841        16,526,601   

2019

    10,353,275        409,424   

No expiration date1

           94,239   

Total

  $ 410,721,583      $      90,301,042   
 

 

 

   

 

 

 
  1   

Must be utilized prior to losses subject to expiration

As of April 30, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

     BTZ     BGT     BIT  

Tax cost

  $ 2,231,034,019      $ 525,514,448      $ 1,018,751,992   
 

 

 

 

Gross unrealized appreciation

  $ 222,138,949      $ 14,239,069      $ 19,352,210   

Gross unrealized depreciation

    (14,016,319     (5,160,654     (1,176,910
 

 

 

 

Net unrealized appreciation

  $ 208,122,630      $ 9,078,415      $ 18,175,300   
 

 

 

 

 

6. Borrowings:

Effective March 1, 2013, BGT was party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to BGT at any time after February 24, 2014. BGT has granted a security interest in substantially all of its assets to SSB. The SSB Agreement allows for a maximum commitment amount of $172,000,000.

Advances were made by SSB to BGT, at BGT’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, BGT pays a facility fee and utilization fee (based on the daily unused portion of the commitments). The commitment fees are waived if BGT meets certain conditions. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to BGT as of April 30, 2013 are shown in the Statements of Assets and Liabilities as loan payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

BGT may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

For the six months ended April 30, 2013, the daily weighted average interest rates for BGT with loans under the revolving credit agreement was 0.96%.

For the six months ended April 30, 2013, the daily weighted average interest rates from reverse repurchase agreements were as follows:

 

BTZ

    0.33%   

BIT

    0.52%   

7. Commitments:

The Trusts may invest in floating rate loan interests. In connection with these investments, the Trusts may also enter into unfunded floating rate loan interests. In connection with these commitments, the Trusts earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Commitment fees received in advance and unrecognized are recorded in the Statements of Assets and Liabilities as deferred income.

 

                
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Table of Contents
Notes to Financial Statements (concluded)     

 

Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation or depreciation is included in the Statements of Assets and Liabilities and Statements of Operations. As of April 30, 2013, the BGT had the following unfunded floating rate loan interests:

 

Borrower   Unfunded
Floating
Rate Loan
Interest
    Value of
Underlying
Floating
Rate Loan
Interest
    Unrealized
Appreciation
 

Leslie’s Poolmart, Inc.

  $ 32,000      $ 32,424      $ 545   

Syniverse Holdings, Inc.

  $ 1,220,000      $ 1,223,819      $ 9,804   

8. Concentration, Market and Credit Risk:

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Trusts; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity with which the Trusts have unsettled or open transactions may fail to or be unable to perform on its commitments. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trust.

As of April 30, 2013, BTZ invested a significant portion of its assets in securities in the financials sector, BGT invested a significant portion of its assets in the consumer discretionary sector, and BIT invested a significant portion of its assets in the financials and consumer discretionary sectors. Changes in economic conditions affecting the financials and consumer discretionary sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

9. Capital Share Transactions:

The Trusts are each authorized to issue and unlimited number of $0.001 par value shares, which may be issued as either Common Shares or Preferred Shares.

Common Shares

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

    

Six Months
Ended

April 30,

2013

   

Year Ended

October 31,

2012

 

BGT

    18,776        21,103   

Shares issued and outstanding increased 56,260,013 from the reorganization for the six months ended April 30, 2013 and remained constant for the year ended October 31, 2012 for BTZ.

Shares issued and outstanding for the period February 27, 2013 to April 30, 2013, increased by 36,000,000 from the initial public offering and 2,414,660 from the underwriters’ exercising the over-allotment option for BIT.

Upon commencement of operations, organization costs associated with the establishment of BIT were expensed by BIT. Offering costs incurred in connection with BIT’s offering of Common Shares have been charged against the proceeds from the initial Common Share offering in the amount of $1,503,586.

For BIT, as February 27, 2013, 6,964 shares were owned by affiliates.

10. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

Each Trust paid a net investment income dividend in the following amounts per share on May 30, 2013 to Common Shareholders of record on May 15, 2013:

 

 

    

Common
Dividend
Per Share

 

BTZ

  $ 0.0785   

BGT

  $ 0.0775   

BIT

  $ 0.1167   

Additionally, the Trusts declared a net investment income dividend on June 3, 2013 payable to Common Shareholders of record on June 14, 2013 for the same amounts as noted above.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    63


Table of Contents
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements

 

The Board of Trustees (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Multi-Sector Income Trust (the “Trust”) met on December 17, 2012 and February 7, 2013 to consider the approval of the Trust’s investment advisory agreement (the “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), the Trust’s investment advisor. The Board also considered the approval of the sub-advisory agreement among the Manager, BlackRock Financial Management, Inc. (“BFM”), and the Trust (the “BFM Sub-Advisory Agreement”) and the sub-advisory agreement among the Manager, BlackRock Investment Management, LLC (“BIM” and together with BFM, the “Sub-Advisors”), and the Trust (the “BIM Sub-Advisory Agreement” and together with the BFM Sub-Advisory Agreement, the “Sub-Advisory Agreements”). The Manager and the Sub-Advisors are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreements are referred to herein as the “Agreements.”

Activities and Composition of the Board

At the time the Board considered the Agreements on December 17, 2012, the Board consisted of three individuals, two of whom were not “interested persons” of the Trust as defined in the Investment Company Act of 1940 (the “1940 Act”) (the “Independent Board Members”). At the time the Board considered the Agreements on February 7, 2013, the Board consisted of eleven individuals, seven of whom were Independent Board Members, and an additional two of whom would be Independent Board Members after the completion of the Trust’s initial public offering. The Board Members are responsible for the oversight of the operations of the Trust and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chairman of the Board is an Independent Board Member. The Board has established six standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, an Executive Committee and a Leverage Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee and the Leverage Committee, each of which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, the Board is required to consider the initial approval of the Agreements. In connection with this process, the Board assessed, among other things, the nature, scope and quality of the services to be provided to the Trust by BlackRock, its personnel and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services, risk oversight, compliance and assistance in meeting applicable legal and regulatory requirements.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the December 17, 2012 and February 7, 2013 meetings, the Board received materials specifically relating to the Agreements. The materials provided in connection with the December 17, 2012 meeting, and referred to in connection with the February 7, 2013 meeting, included information regarding (i) the investment objectives and policies of the Trust; (ii) the team of investment advisory personnel assigned to the Trust; (iii) the Trust’s management fee and estimated total operating expenses as compared with a peer group of funds as determined by Lipper, Inc. (“Lipper”); and (iv) certain anticipated direct and indirect “fallout” benefits to BlackRock from its relationship with the Trust. Periodically, the Board Members, in connection with their duties as trustees or directors of other funds in the BlackRock family of closed-end funds, have received other information including general information regarding BlackRock’s management of such funds, BlackRock’s management of relationships with service providers to such funds, resources devoted to compliance with such funds’ investment objectives and policies, the structure and expertise of BlackRock and BlackRock’s parent companies, BlackRock’s policies and procedures in respect of execution of portfolio transactions and other matters.

At in person meetings held on December 17, 2012 and February 7, 2013, the Board, including the Independent Board Members, reviewed materials relating to its consideration of the Agreements and unanimously approved the Advisory Agreement and the Sub-Advisory Agreements. In approving the Agreements, the Board considered, among other factors: (a) the nature, extent and quality of the services to be provided by BlackRock; (b) the investment performance of BlackRock portfolio management in general; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Trust; (d) economies of scale; (e) fall-out benefits to BlackRock as a result of its relationship with the Trust; (f) the policies and practices of BlackRock with respect to portfolio transactions for the Trust; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to securities lending, services related to the valuation and pricing of Trust portfolio holdings, direct and indirect benefits to BlackRock and its affiliates from their relationship with the Trust and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock:

The Board, including the Independent Board Members, reviewed the nature, extent and quality of services to be provided by BlackRock to the Trust. The Board met with BlackRock’s senior management personnel responsible for investment operations, including the senior investment officers. The Board also reviewed the materials provided by the Trust’s portfolio management team discussing the Trust’s investment objective, strategies and outlook.

The Board considered, among other factors, with respect to BlackRock: its compliance record, including whether other funds advised by BlackRock have operated within their investment objectives, policies and restrictions; the Trust’s investment objective, policies and restrictions; the number, education and experience of investment personnel generally and the

 

                
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Table of Contents

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

 

Trust’s portfolio management team; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board engaged in a review of BlackRock’s compensation structure with respect to the Trust’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to advisory services, the Board considered the quality of the administrative and non-investment advisory services to be provided to the Trust. BlackRock and its affiliates will provide the Trust with certain services (in addition to any such services provided to the Trust by third parties) and officers and other personnel as are necessary for the operations of the Trust. In particular, BlackRock and its affiliates will provide the Trust with the following administrative services including, among others: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Trust; (iii) assisting with daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; and (viii) performing other administrative functions necessary for the operation of the Trust, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Board reviewed the structure and duties of BlackRock’s fund administration, accounting, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Trust and BlackRock: In their capacity as members of the boards of directors or trustees of certain other BlackRock-advised funds, the Board Members, including the Independent Board Members, previously received and considered information about BlackRock’s investment performance for other BlackRock-advised funds. The Board, however, could not consider the performance history of the Trust because the Trust was newly organized and had not yet commenced operations as of the December 17, 2012 or February 7, 2013 meetings.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Trust: The Board, including the Independent Board Members, reviewed the Trust’s contractual management fee rate compared with the other funds in its Lipper category. It also compared the Trust’s total expenses to those of other comparable funds. The funds within the peer group were selected by Lipper, which is not affiliated with BlackRock.

The Board, including the Independent Board Members, reviewed six sub-categories of fees and expenses for the Trust compared with the other funds in its Lipper peer group: (i) contractual management fees; (ii) total expenses, including investment-related expenses and taxes; (iii) total expenses, excluding investment-related expenses and taxes; (iv) management fees (common and leveraged); (v) management fees (common) and (vi) non-management expenses.

The Board noted that, relative to the other funds in its Lipper peer group, the Trust was in the fourth quartile in each of the sub-categories, with the exception of non-management expenses, where the Trust was in the second quartile. The Board recognized the Trust’s relatively less favorable comparisons. While the funds selected for the Trust’s Lipper peer group were selected under Lipper’s selection methodology, the Board believed they may not represent the best comparables for the Trust. The Board noted that the underlying asset classes of the funds selected for the Lipper peer group vary substantially from each other and the Trust. In addition, the other funds were generally raised during substantially different vintage periods from the Trust, and may represent legacy pricing and management fee structures as opposed to current market rates. Further, certain of the sub-categories include investment related expenses or are affected by the degree to which a fund uses leverage. The Board noted that because the Trust assumed that it would use approximately 45% leverage, at the high-end of the indicated leverage range, which is higher than the funds’ in the Lipper peer group, its management fee (as a percentage of net assets) will appear higher than that for a fund that uses less leverage and its total annual operating expenses may be higher than that of a fund that has lower financing cost. The Board believed a subset of recently-issued taxable fixed income closed-end funds constituted a better representative comparison for the Trust. The Board compared the Trust’s expenses to such other funds and noted that the Trust’s total expenses compare favorably to the expenses of such funds.

The Board also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board.

As the Trust had not yet commenced operations, BlackRock was not able to provide the Board with specific information concerning the expected profits to be realized by BlackRock and its affiliates from their relationships with the Trust. BlackRock, however, noted that it will provide the Board with such information at future meetings.

Following consideration of this information, the Board, including the Independent Board Members, concluded that the fees to be paid pursuant to the Agreements were fair and reasonable in light of the services to be provided.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Trust increase. The Board also considered the extent to which the Trust may benefit from such economies and whether there should be changes in the advisory fee rate or structure in order to enable the Trust to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the asset level of the Trust.

Based on the Board’s review and consideration of the issue, the Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception. The Board noted that only one closed-end fund in the Fund Complex has breakpoints in its advisory fee structure.

 

 

                
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Table of Contents
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (concluded)

 

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Trust, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Trust, including securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that BlackRock funds may invest in affiliated exchange-traded funds without any offset against the management fees payable by the funds to BlackRock.

In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices for BlackRock closed-end funds throughout the year.

The Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Trust shares in the secondary market if they believe that the Trust’s fees and expenses are too high or if they are dissatisfied with the performance of the Trust.

The Board, including all of the Independent Board Members, concluded that these ancillary benefits that BlackRock and its affiliates could receive with regard to providing investment advisory and other services to the Trust were consistent with those generally available to other fund sponsors.

Conclusion

The Board, including a majority of the Independent Board Members, approved each of the Advisory Agreement between the Manager and the Trust, the BFM Sub-Advisory Agreement among the Manager, BFM, and the Trust and the BIM Sub-Advisory Agreement among the Manager, BIM, and the Trust. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Trust and its shareholders. In arriving at its decision to approve the Agreements, the Board, including the Independent Board Members, did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.

 

                
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Table of Contents
Officers and Trustees     

 

Richard E. Cavanagh, Chairman of the Board and Trustee

Karen P. Robards, Vice Chairperson of the Board, Chairperson of the Audit Committee and Trustee

Paul L. Audet, Trustee

Michael J. Castellano, Trustee and Member of the Audit Committee

Frank J. Fabozzi, Trustee and Member of the Audit Committee

Kathleen F. Feldstein, Trustee

James T. Flynn, Trustee and Member of the Audit Committee

Henry Gabbay, Trustee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee and Member of the Audit Committee

John M. Perlowski, President and Chief Executive Officer

Anne Ackerley, Vice President

Brendan Kyne, Vice President

Robert W. Crothers, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Brian Kindelan, Chief Compliance Officer and Anti-Money Laundering Officer

Janey Ahn, Secretary

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Advisors

BlackRock Financial Management, Inc.1

New York, NY 10022

BlackRock Investment Management LLC2

Princeton, NJ 08540

BlackRock (Singapore) Limited3

079912 Singapore

Custodian and Accounting Agent

State Street Bank and Trust Company

Boston, MA 02110

Transfer Agent

Common Shares

Computershare Trust Company, N.A.

Canton, MA 02021

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

New York, NY 10036

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

  1   

For BTZ, BGT and BIT.

 

  2   

For BTZ and BIT.

 

  3   

For BIT.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    67


Table of Contents
Additional Information     

 

Proxy Results

At a special meeting of all shareholders of BlackRock Credit Allocation Income Trust IV (“BTZ”) held on November 2, 2012, the results were as follows:

The shareholders of BTZ were being asked to approve the issuance of additional common shares of BTZ in connection with the BlackRock Credit Allocation Income Trust I, Inc. Reorganization Agreement.

With respect to the Proposal, the shares of BTZ were voted as follows:

 

Votes For    Votes Against    Abstain

25,797,344

   3,180,851    676,400

The shareholders of BTZ were being asked to approve the issuance of additional common shares of BTZ in connection with the BlackRock Credit Allocation Income Trust II, Inc. Reorganization Agreement.

With respect to the Proposal, the shares of BTZ were voted as follows:

 

Votes For    Votes Against    Abstain

25,747,278

   3,205,633    701,681

The shareholders of BTZ were being asked to approve the issuance of additional common shares of BTZ in connection with the BlackRock Credit Allocation Income Trust III, Reorganization Agreement.

With respect to the Proposal, the shares of BTZ were voted as follows:

 

Votes For    Votes Against    Abstain

25,743,556

   3,202,299    708,740

The shareholders of BTZ were being asked to approve the removal of BTZ’s investment policy requiring that BTZ invests at least 25% of its Managed Assets in securities of companies principally engaged in providing financial services and amending BTZ’s fundamental investment restriction regarding industry concentration to reflect the removal of such investment policy.

With respect to the Proposal, the shares of BTZ were voted as follows:

 

Votes For    Votes Against    Abstain

26,191,627

   2,756,410    706,559

 

Regulation Regarding Derivatives

 

Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to registered investment companies to regulation by the CFTC if a fund invests more than a prescribed level of its net assets in CFTC-regulated futures, options and swaps (“CFTC Derivatives”), or if a fund markets itself as providing investment exposure to such instruments. To the extent a Trust uses CFTC-regulated futures, options and swaps, it intends to do so below such prescribed levels and will not market itself as a “commodity pool” or a vehicle for trading such instruments. Accordingly, BlackRock Advisors, LLC has claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act (“CEA”) pursuant to Rule 4.5 under the CEA. BlackRock Advisors, LLC is not, therefore, subject to registration or regulation as a “commodity pool operator” under the CEA in respect to each Trust.

 

 

Dividend Policy

 

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the dividends paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The portion of dividend distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Dividend distributions in excess of a Trust’s taxable income and net capital gains, but not in excess of a Trust’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

                
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Table of Contents
Additional Information (continued)     

 

General Information

 

On July 29, 2010, the Manager announced that a derivative complaint had been filed by Roy Curbow and other plaintiffs, including shareholders of BTZ on July 27, 2010 in the Supreme Court of the State of New York, New York County. The complaint names the Manager, BlackRock, Inc. and certain of the trustees, officers and portfolio managers of BTZ (collectively, the “Defendants”) as defendants. The complaint alleges, among other things, that Defendants breached fiduciary duties owed to BTZ and its Common Shareholders by redeeming AMPS, at their liquidation preference. The complaint sought, among other things, unspecified damages for losses purportedly suffered by BTZ as a result of the prior redemptions and injunctive relief preventing BTZ from redeeming AMPS at their liquidation preference in the future. On March 15, 2012, the Supreme Court of the State of New York, New York County, entered an order consolidating the above-referenced derivative action with another derivative case pending in the same court which asserted essentially the same claims. On the same date, the court also authorized plaintiffs to file an amended consolidated complaint, which they filed on April 16, 2012, asserting substantially the same claims alleged in their original complaints. Defendants filed a motion to dismiss the Consolidated Shareholder Derivative Complaint (the “Consolidated Complaint”) on July 20, 2012. On September 14, 2012, plaintiffs filed an application to hold the Defendants’ motion in abeyance and allow plaintiffs to conduct limited discovery before responding to the motion. After the parties agreed to proceed with limited discovery, plaintiffs advised Defendants they would withdraw their action and, on June 10, 2013, the parties filed a stipulation dismissing the Consolidated Complaint without prejudice, subject to approval of the court. The court dismissed the case without prejudice on June 17, 2013.

On November 15, 2010, the Manager announced the intention to redeem all of the outstanding auction market preferred shares and auction preferred shares (collectively, “AMPS”) issued by five of its taxable closed-end funds: PSW, PSY, BPP, BTZ, and BGT. All such outstanding AMPS were subsequently redeemed. The redemptions encompass all remaining taxable AMPS issued by BlackRock closed-end funds and total approximately $569 million. The AMPS were redeemed with available cash or proceeds from reverse repurchase agreement financing or a credit facility on a fund-by-fund basis and, in each case, the refinancing resulted in a lower cost of financing for each fund under then-existing market conditions.

In exchange for the shareholder plaintiff’s agreement to withdraw a previously filed motion for preliminary injunction enjoining any further redemptions of AMPS, each of these funds agreed to provide the plaintiffs in those actions with 30 days prior notice of any additional redemptions. On November 24, 2010, the Manager announced that counsel for the plaintiffs filed a motion for a preliminary injunction enjoining PSY and BTZ from redeeming outstanding AMPS pending final resolution of the underlying shareholder derivative suit. On December 23, 2010, the court denied plaintiffs’ motion for a preliminary injunction.

On November 2, 2012, shareholders of BTZ approved removing BTZ’s investment policies requiring BTZ to invest at least 25% of its Managed Assets in securities of companies principally engaged in providing financial services. “Managed Assets” as used in the foregoing means the total assets of the Trust (including any assets attributable to any or borrowings that may be outstanding) minus the sum of the accrued liabilities (other than debt representing financial leverage). Shareholders of BTZ also approved amending BTZ’s fundamental investment restriction regarding industry concentration to reflect the removal of such policy.

BTZ’s fundamental investment restriction regarding industry concentration as amended is set forth below.

BTZ may not: “Invest 25% or more of the value of its total assets in securities of issuers in any one industry; provided, however, that such limitation shall not apply to obligations issued or guaranteed by the US Government or by its agents or instrumentalities.”

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, except as noted above, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

Quarterly performance, semi-annual and annual reports and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Electronic copies of most financial reports are available on the Trusts’ websites or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Trusts’ electronic delivery program.

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    69


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Additional Information (continued)     

 

General Information (concluded)

 

Householding

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your share holder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

Section 19(a) Notices

The reported amounts and sources of distributions are estimates and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the year and may be subject to changes based on the tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will explain the character of these dividends and distributions for federal income tax purposes.

April 30, 2013

 

    

Total Fiscal Year-to-Date Cumulative
Distributions by Character

  

Percent of Fiscal Year-to-Date
Cumulative Distributions by Character

      Net Investment
Income
   Net Realized
Capital Gains
   Return of
Capital
   Total Per
Common Share
   Net Investment
Income
   Net Realized
Capital Gains
   Return of
Capital
   Total Per
Common Share

BTZ

   $0.470043       $0.037957    $0.508000    93%    0%    7%    100%

BIT

   $0.102346       $0.014354    $0.116700    88%    0%    12%    100%

 

       The Trust estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in the Trust is returned to the shareholder. A return of capital does not necessarily reflect the Trust’s investment performance and should not be confused with ‘yield’ or ‘income.’ When distributions exceed total return performance, the difference will incrementally reduce the Trust’s net asset value per share.

 

                
70    SEMI-ANNUAL REPORT    APRIL 30, 2013   


Table of Contents
Additional Information (concluded)     

 

BlackRock Privacy Principles

 

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

                
   SEMI-ANNUAL REPORT    APRIL 30, 2013    71


Table of Contents

This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts leverage their Common Shares, which creates risk for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

 

LOGO

 

CE-CAFRI-3-4/13-SAR   

LOGO


Table of Contents
Item 2 –   Code of Ethics – Not Applicable to this semi-annual report
Item 3 –   Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 –   Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 –   Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
Item 6 –   Investments
  (a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
  (b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 –   Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
Item 8 –   Portfolio Managers of Closed-End Management Investment Companies
 

(a)   Not Applicable to this semi-annual report

 

(b)   As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

Item 9 –   Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
Item 10 –   Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 –   Controls and Procedures
  (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.
  (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 second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 –   Exhibits attached hereto
  (a)(1) – Code of Ethics – Not Applicable to this semi-annual report
  (a)(2) – Certifications – Attached hereto
  (a)(3) – Not Applicable
  (b) – Certifications – Attached hereto

 

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Table of Contents

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:   July 2, 2013

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:   July 2, 2013
By:   /s/ Neal J. Andrews                      
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Floating Rate Income Trust
Date:   July 2, 2013

 

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