UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-21566

 

Name of Fund: BlackRock Floating Rate Income Trust (BGT)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

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

 

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

 

Date of fiscal year end: 10/31/2011

 

Date of reporting period: 07/31/2011

 

Item 1 – Schedule of Investments

 

 

 

 

 

 

Schedule of Investments July 31, 2011 (Unaudited)

BlackRock Floating Rate Income Trust (BGT)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

ARES CLO Funds, Series 2005-10A,
Class B, 0.64%, 9/18/17 (a)(b)

 

USD

1,000

 

$

909,720

 

Ballyrock CDO Ltd., Series
2006-1A, Class B, 0.67%,
8/28/19 (a)(b)

 

 

1,000

 

 

845,000

 

Canaras Summit CLO Ltd.,
Series 2007-1A, Class B,
0.73%, 6/19/21 (a)(b)

 

 

930

 

 

759,605

 

Chatham Light CLO Ltd.,
Series 2005-2A Class A2,
0.66%, 8/03/19 (a)(b)

 

 

1,000

 

 

897,500

 

Flagship CLO, Series 2006-1A,
Class B, 0.60%, 9/20/19 (a)(b)

 

 

1,196

 

 

971,750

 

Frankin CLO Ltd., Series 6A,
Class B, 0.72%, 8/09/19 (a)(b)

 

 

1,180

 

 

1,026,600

 

Gannett Peak CLO Ltd.,
Series 2006-1X, Class A2,
0.66%, 10/27/20

 

 

715

 

 

584,513

 

Greyrock CDO Ltd., Series 2005-1X,
Class A2L, 0.73%, 11/15/17

 

 

1,495

 

 

1,295,268

 

Landmark CDO Ltd., Series 2006-8A,
Class B, 0.61%, 10/19/20 (a)(b)

 

 

1,335

 

 

1,141,999

 

MAPS CLO Fund LLC, Series 2005-1A,
Class C, 1.20%, 12/21/17 (a)(b)

 

 

705

 

 

623,432

 

Portola CLO Ltd., Series 2007-1X,
Class B1, 1.76%, 11/15/21

 

 

950

 

 

858,420

 

T2 Income Fund CLO Ltd.,
Series 2007-1A, Class B,
0.85%, 7/15/19 (a)(b)

 

 

815

 

 

740,199

 

Total Asset-Backed Securities – 3.1%

 

 

 

 

 

10,654,006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 

Construction & Engineering — 0.0%

 

 

 

 

 

 

 

USI United Subcontractors
Common

 

 

7,645

 

 

76,445

 

Hotels, Restaurants & Leisure — 0.2%

 

 

 

 

 

 

 

BLB Worldwide Holdings, Inc.

 

 

50,832

 

 

542,225

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

Euramax International

 

 

1,135

 

 

368,940

 

Paper & Forest Products — 0.1%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

55,255

 

 

127,229

 

Ainsworth Lumber Co. Ltd. (a)

 

 

62,685

 

 

144,337

 

 

 

 

 

 

 

271,566

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

Value

 

Software — 0.1%

 

 

 

 

 

 

 

Bankruptcy Management
Solutions, Inc.

 

 

2,947

 

$

30

 

HMH Holdings/EduMedia

 

 

115,632

 

 

462,528

 

 

 

 

 

 

 

462,558

 

Total Common Stocks – 0.5%

 

 

 

 

 

1,721,734

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

Airlines — 0.2%

 

 

 

 

 

 

 

Air Canada, 9.25%, 8/01/15 (a)

 

USD

590

 

 

606,225

 

Auto Components — 1.0%

 

 

 

 

 

 

 

Icahn Enterprises LP, 7.75%,
1/15/16

 

 

3,175

 

 

3,294,062

 

Beverages — 0.8%

 

 

 

 

 

 

 

Central European Distribution
Corp., 2.62%, 5/15/14

 

EUR

1,500

 

 

1,918,261

 

Refresco Group BV, 5.42%,
5/15/18 (a)

 

 

500

 

 

718,388

 

 

 

 

 

 

 

2,636,649

 

Building Products — 0.3%

 

 

 

 

 

 

 

Grohe Holding GmbH, 5.17%,
9/15/17

 

 

700

 

 

995,739

 

Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp., 3.37%,
8/31/19 (a)(d)(e)

 

USD

439

 

 

674,414

 

Chemicals — 0.2%

 

 

 

 

 

 

 

OXEA Finance/Cy SCA, 9.50%,
7/15/17 (a)

 

 

679

 

 

723,135

 

Commercial Banks — 3.4%

 

 

 

 

 

 

 

CIT Group, Inc., 7.00%, 5/01/17

 

 

4,425

 

 

4,436,062

 

VTB Capital SA:

 

 

 

 

 

 

 

6.47%, 3/04/15

 

 

3,000

 

 

3,183,750

 

6.88%, 5/29/18

 

 

3,940

 

 

4,191,175

 

 

 

 

 

 

 

11,810,987

 

Commercial Services & Supplies — 0.2%

 

 

 

 

 

 

 

AWAS Aviation Capital Ltd., 7.00%,
10/15/16 (a)

 

 

861

 

 

877,820

 

Containers & Packaging — 0.8%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc,
7.38%, 10/15/17 (a)

 

EUR

400

 

 

574,760

 

GCL Holdings SCA, 9.38%,
4/15/18 (a)

 

 

329

 

 

459,739

 

 

Portfolio Abbreviations

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

 

 

CAD

Canadian Dollar

CHF

Swiss Franc

CLO

Collateral Loan Obligations

EUR

Euro

FKA

Formerly Known As

GBP

British Pound

USD

US Dollar

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JULY 31, 2011

1


 

 

 

 

 

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)

 

 

 

 

 

 

 

Graphic Packaging International,
Inc., 9.50%, 6/15/17

 

USD

270

 

$

299,025

 

Smurfit Kappa Acquisitions (a):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

655

 

 

950,581

 

7.75%, 11/15/19

 

 

416

 

 

609,705

 

 

 

 

 

 

 

2,893,810

 

Diversified Financial Services — 0.8%

 

 

 

 

 

 

 

Ally Financial, Inc., 2.45%,
12/01/14 (b)

 

USD

1,350

 

 

1,289,174

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

7.13%, 4/15/19

 

 

655

 

 

636,988

 

7.88%, 8/15/19 (f)

 

 

300

 

 

303,375

 

6.88%, 2/15/21

 

 

490

 

 

470,400

 

 

 

 

 

 

 

2,699,937

 

Diversified Telecommunication
Services — 0.2%

 

 

 

 

 

 

 

ITC Deltacom, Inc., 10.50%,
4/01/16

 

 

530

 

 

559,813

 

Electronic Equipment, Instruments
& Components — 0.2%

 

 

 

 

 

 

 

CDW LLC, 8.00%, 12/15/18 (a)

 

 

630

 

 

664,650

 

Energy Equipment & Services — 0.0%

 

 

 

 

 

 

 

Compagnie Generale de
Geophysique-Veritas, 7.75%,
5/15/17

 

 

45

 

 

46,575

 

Health Care Providers & Services — 1.3%

 

 

 

 

 

 

 

HCA, Inc.:

 

 

 

 

 

 

 

6.50%, 2/15/20 (f)

 

 

1,430

 

 

1,451,450

 

7.25%, 9/15/20

 

 

1,230

 

 

1,297,650

 

7.50%, 2/15/22 (f)

 

 

1,690

 

 

1,715,350

 

Tenet Healthcare Corp., 9.00%,
5/01/15

 

 

95

 

 

101,175

 

 

 

 

 

 

 

4,565,625

 

Household Durables — 0.5%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%,
10/15/17

 

 

1,500

 

 

1,653,750

 

IT Services — 0.3%

 

 

 

 

 

 

 

First Data Corp., 7.38%, 6/15/19 (a)

 

 

940

 

 

947,050

 

Independent Power Producers &
Energy Traders — 1.3%

 

 

 

 

 

 

 

Energy Future Holdings Corp.,
10.00%, 1/15/20

 

 

1,000

 

 

1,050,144

 

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

 

 

2,350

 

 

2,479,588

 

NRG Energy, Inc., 7.63%,
1/15/18 (a)

 

 

990

 

 

1,007,325

 

 

 

 

 

 

 

4,537,057

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Machinery — 1.2%

 

 

 

 

 

 

 

KION Finance SA, 5.53%, 4/15/18

 

EUR

3,000

 

$

4,095,511

 

Media — 4.1%

 

 

 

 

 

 

 

CCH II LLC, 13.50%, 11/30/16

 

 

224

 

 

263,800

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

501

 

 

544,838

 

Series B, 9.25%, 12/15/17

 

 

1,704

 

 

1,861,620

 

Kabel BW Erste Beteiligungs
GmbH, 5.39%, 3/15/18

 

EUR

2,000

 

 

2,873,799

 

Odeon & UCI Finco Plc, 9.00%,
8/01/18

 

GBP

914

 

 

1,451,527

 

Unitymedia Hessen GmbH & Co. KG:

 

 

 

 

 

 

 

8.13%, 12/01/17 (a)

 

EUR

500

 

 

748,984

 

8.13%, 12/01/17 (a)

 

USD

2,500

 

 

2,687,500

 

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

 

GBP

1,197

 

 

2,122,002

 

Ziggo Finance BV, 6.13%,
11/15/17 (a)

 

EUR

1,005

 

 

1,415,202

 

 

 

 

 

 

 

13,969,272

 

Metals & Mining — 1.0%

 

 

 

 

 

 

 

FMG Resources August 2006
Property Ltd., 7.00%,
11/01/15 (a)

 

USD

1,055

 

 

1,093,244

 

Foundation PA Coal Co.,
7.25%, 8/01/14

 

 

505

 

 

516,362

 

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

 

EUR

285

 

 

422,826

 

Novelis, Inc., 8.38%, 12/15/17

 

USD

1,170

 

 

1,273,837

 

 

 

 

 

 

 

3,306,269

 

Oil, Gas & Consumable Fuels — 4.1%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc.:

 

 

 

 

 

 

 

6.00%, 6/01/19

 

 

460

 

 

474,375

 

6.25%, 6/01/21

 

 

825

 

 

853,875

 

Coffeyville Resources LLC, 9.00%,
4/01/15 (a)

 

 

342

 

 

371,925

 

Gazprom OAO Via RBS AG, 9.63%,
3/01/13

 

 

7,230

 

 

8,043,375

 

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

 

 

1,500

 

 

1,635,000

 

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

 

 

4,000

 

 

2,576,000

 

 

 

 

 

 

 

13,954,550

 

Paper & Forest Products — 0.4%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.,
11.00%, 7/29/15 (a)(h)

 

 

532

 

 

484,057

 

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

 

 

420

 

 

430,500

 

Verso Paper Holdings LLC,
Series B, 4.02%, 8/01/14 (b)

 

 

450

 

 

416,250

 

 

 

 

 

 

 

1,330,807

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JULY 31, 2011

2


 

 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Trust (BGT)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Pharmaceuticals — 0.3%

 

 

 

 

 

 

 

Valeant Pharmaceuticals
International, 6.50%, 7/15/16
(a)

 

USD

1,045

 

$

1,024,100

 

Specialty Retail — 0.2%

 

 

 

 

 

 

 

Academy Ltd., 9.25%, 8/01/19 (a)

 

 

75

 

 

76,125

 

House of Fraser Plc, 8.88%,
8/15/18

 

GBP

349

 

 

552,868

 

 

 

 

 

 

 

628,993

 

Transportation Infrastructure — 0.4%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18 (a)

 

CHF

1,100

 

 

1,420,335

 

Wireless Telecommunication
Services — 0.9%

 

 

 

 

 

 

 

Cricket Communications, Inc.,
7.75%, 5/15/16

 

USD

1,950

 

 

2,079,188

 

iPCS, Inc., 2.40%, 5/01/13 (b)

 

 

1,155

 

 

1,131,900

 

 

 

 

 

 

 

3,211,088

 

Total Corporate Bonds – 24.3%

 

 

 

 

 

83,128,223

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

 

 

 

 

 

 

Aerospace & Defense — 2.1%

 

 

 

 

 

 

 

DynCorp International, Term Loan,
6.25%, 7/05/16

 

 

1,033

 

 

1,037,622

 

Hawker Beechcraft Acquisition Co., LLC:

 

 

 

 

 

 

 

Letter of Credit Linked
Deposit, 2.25%, 3/26/14

 

 

49

 

 

39,817

 

Term Loan, 2.19% - 2.25%,
3/26/14

 

 

825

 

 

676,551

 

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

 

 

1,588

 

 

1,576,462

 

Scitor Corp., Term Loan B,
5.00%, 2/15/17

 

 

669

 

 

664,051

 

TransDigm, Inc., Term Loan (First
Lien), 4.00%, 2/14/17

 

 

1,990

 

 

1,990,000

 

Wesco Aircraft Hardware Corp.,
Term Loan B, 4.25%, 4/07/17

 

 

1,200

 

 

1,203,300

 

 

 

 

 

 

 

7,187,803

 

Airlines — 0.8%

 

 

 

 

 

 

 

Delta Air Lines, Inc., New Term
Loan B, 5.50%, 4/20/17

 

 

3,025

 

 

3,010,823

 

Auto Components — 0.8%

 

 

 

 

 

 

 

Autoparts Holdings Ltd., Term
Loan, 1.00%, 7/28/17

 

 

1,650

 

 

1,658,250

 

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

 

 

945

 

 

948,795

 

 

 

 

 

 

 

2,607,045

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Beverages — 0.1%

 

 

 

 

 

 

 

Le-Nature’s, Inc, Tranche B Term
Loan, 9.50%, 3/01/11 (c)(g)

 

USD

1,000

 

$

380,000

 

Biotechnology — 0.2%

 

 

 

 

 

 

 

Grifols SA, Term Loan B,
6.00%, 6/01/17

 

 

805

 

 

807,851

 

Building Products — 2.7%

 

 

 

 

 

 

 

Armstrong World Industries, Inc.,
Term Loan B, 4.00%, 3/09/18

 

 

1,397

 

 

1,395,482

 

CPG International I, Inc., Term Loan B,
6.00%, 2/18/17

 

 

2,139

 

 

2,131,228

 

Goodman Global, Inc., Initial Term Loan
(First Lien), 5.75%, 10/28/16

 

 

3,960

 

 

3,971,577

 

Momentive Performance Materials
(Blitz 06-103 GmbH):

 

 

 

 

 

 

 

Tranche B-1 Term Loan,
3.69%, 5/05/15

 

 

582

 

 

570,506

 

Tranche B-2B Term Loan,
4.89%, 5/05/15

 

EUR

816

 

 

1,136,496

 

United Subcontractors, Inc.,
Term Loan (First Lien),
1.75%, 6/30/15

 

USD

179

 

 

161,251

 

 

 

 

 

 

 

9,366,540

 

Capital Markets — 1.6%

 

 

 

 

 

 

 

American Capital Ltd., Term Loan
B, 7.50%, 12/31/13

 

 

624

 

 

624,439

 

HarbourVest Partners, Term Loan
(First Lien), 6.25%, 12/14/16

 

 

2,265

 

 

2,270,687

 

Marsico Parent Co., LLC, Term
Loan, 5.19% - 5.25%, 12/14/14

 

 

369

 

 

259,044

 

Nuveen Investments, Inc. (First Lien):

 

 

 

 

 

 

 

Extended Term Loan,
5.75% - 5.76%, 5/12/17

 

 

1,773

 

 

1,768,509

 

Non-Extended Term Loan,
3.25%, 11/13/14

 

 

750

 

 

734,974

 

 

 

 

 

 

 

5,657,653

 

Chemicals — 6.3%

 

 

 

 

 

 

 

AZ Chemical Inc.,, Term Loan,
4.75%, 11/21/16

 

 

1,019

 

 

1,018,177

 

American Rock Salt Co., LLC, Term
Loan B, 5.50%, 4/25/17

 

 

1,471

 

 

1,471,312

 

Ashland, Inc., Term Loan B, 1.00%,
7/30/18

 

 

1,300

 

 

1,301,828

 

Chemtura Corp., Term Facility,
5.50%, 8/27/16

 

 

1,800

 

 

1,804,500

 

Gentek, Inc., Term Loan B,
5.00% - 5.75%, 10/06/15

 

 

1,942

 

 

1,951,675

 

MacDermid, Inc., Tranche C Term
Loan, 3.52%, 4/11/14

 

EUR

1,430

 

 

2,018,430

 

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

 

USD

1,397

 

 

1,391,700

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JULY 31, 2011

3


 

 

 

 

 

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

 

Chemicals (concluded)

 

 

 

 

 

 

 

PQ Corp. (FKA Niagara Acquisition,
Inc.), Original Term Facility (First
Lien), 3.44% - 3.51%, 7/30/14

 

USD

1,307

 

$

1,264,182

 

Rockwood Specialties Group, Inc.,
Term Loan B, 3.75%, 2/09/18

 

 

900

 

 

903,235

 

Styron Sarl, Term Loan, 6.00%,
8/02/17

 

 

2,257

 

 

2,256,580

 

Tronox Worldwide LLC, Exit Term
Loan, 7.00%, 10/15/15

 

 

3,184

 

 

3,199,920

 

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

 

 

2,985

 

 

2,976,472

 

 

 

 

 

 

 

21,558,011

 

Commercial Banks — 0.9%

 

 

 

 

 

 

 

CIT Group, Inc., Tranche 3 Term
Loan, 6.25%, 8/11/15

 

 

3,211

 

 

3,217,805

 

Commercial Services & Supplies — 3.1%

 

 

 

 

 

 

 

AWAS Capital, Inc., New First Lien
Term Loan, 7.75%, 6/10/16

 

 

617

 

 

619,292

 

AWAS Finance Luxembourg Sarl,
Loan, 5.25%, 6/10/16

 

 

650

 

 

648,375

 

Altegrity, Inc. (FKA US
Investigations Services, Inc.),
Tranche D Term Loan, 7.75%,
2/20/15

 

 

1,998

 

 

2,007,179

 

Delos Aircraft, Inc., Term Loan 2,
7.00%, 3/17/16

 

 

2,175

 

 

2,183,156

 

KAR Auction Services, Inc., Term
Loan B, 5.00%, 5/19/17

 

 

2,200

 

 

2,205,894

 

Synagro Technologies, Inc., Term
Loan (First Lien), 2.19%,
4/02/14

 

 

1,742

 

 

1,610,934

 

Volume Services America, Inc.
(Centerplate), Term Loan B,
10.50% - 10.75%, 9/16/16

 

 

1,216

 

 

1,216,572

 

 

 

 

 

 

 

10,491,402

 

Communications Equipment — 1.6%

 

 

 

 

 

 

 

Avaya, Inc., Term Loan B:

 

 

 

 

 

 

 

3.01%, 10/24/14

 

 

1,181

 

 

1,134,601

 

4.76%, 10/26/17

 

 

2,007

 

 

1,934,054

 

CommScope, Inc., Term Loan B,
5.00%, 1/14/18

 

 

2,294

 

 

2,300,704

 

 

 

 

 

 

 

5,369,359

 

Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Brand Energy & Infrastructure
Services, Inc. (FR Brand
Acquisition Corp.), Synthetic
Letter of Credit, Term Loan (First
Lien), 0.13%, 2/20/14

 

 

500

 

 

455,000

 

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

 

 

2,100

 

 

2,100,000

 

 

 

 

 

 

 

2,555,000

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Consumer Finance — 1.7%

 

 

 

 

 

 

 

Springleaf Finance Corp., Term
Loan, 5.50%, 5/10/17

 

USD

6,000

 

$

5,864,064

 

Containers & Packaging — 1.2%

 

 

 

 

 

 

 

BakerCorp International, Inc., Term
Loan B, 5.00%, 6/01/18

 

 

850

 

 

850,531

 

Graham Packaging Co., LP:

 

 

 

 

 

 

 

Term Loan C, 6.75%, 4/04/14

 

 

713

 

 

713,176

 

Term Loan D, 6.00%, 9/23/16

 

 

1,390

 

 

1,390,458

 

Smurfit Kappa Acquisitions (JSG):

 

 

 

 

 

 

 

Term B1, 4.47% - 4.73%,
12/01/14

 

EUR

458

 

 

656,008

 

Term Loan Facility C1,
4.71% - 4.98%, 12/31/14

 

 

453

 

 

648,369

 

 

 

 

 

 

 

4,258,542

 

Diversified Consumer Services — 2.9%

 

 

 

 

 

 

 

Coinmach Laundry Corp., Delayed
Draw Term Loan, 3.22%,
11/20/14

 

USD

489

 

 

466,016

 

Coinmach Service Corp., Term
Loan, 3.22% - 3.26%, 11/20/14

 

 

2,235

 

 

2,131,287

 

Laureate Education, 3.19%,
8/15/18

 

 

4,673

 

 

4,562,338

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Closing Date Term Loan,
2.76% - 2.69%, 7/24/14

 

 

2,498

 

 

2,412,037

 

Delayed Draw Term Loan,
2.69%, 7/24/14

 

 

249

 

 

240,203

 

 

 

 

 

 

 

9,811,881

 

Diversified Financial Services — 2.1%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.,
Term Loan B, 6.88%, 2/09/18

 

EUR

4,988

 

 

7,070,984

 

Diversified Telecommunication
Services — 2.8%

 

 

 

 

 

 

 

Hawaiian Telcom Communications,
Inc., Term Loan, 9.00%,
11/01/15

 

USD

1,814

 

 

1,856,272

 

Integra Telecom Holdings, Inc.,
Term Loan, 9.25%, 4/15/15

 

 

2,005

 

 

2,005,752

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Add on Term Loan, 11.50%,
3/13/14

 

 

1,450

 

 

1,524,917

 

Tranche A Incremental Term
Loan, 2.44% - 2.50%,
3/13/14

 

 

2,550

 

 

2,461,207

 

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

 

 

1,921

 

 

1,909,160

 

 

 

 

 

 

 

9,757,308

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JULY 31, 2011

4


 

 

 

 

 

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

 

Electronic Equipment, Instruments
& Components — 1.9%

 

 

 

 

 

 

 

Aeroflex, Inc., Term Loan B, 4.25%,
5/09/18

 

USD

1,750

 

$

1,740,375

 

CDW LLC (FKA CDW Corp.):

 

 

 

 

 

 

 

Extended Term Loan B, 4.50%,
7/14/17

 

 

1,115

 

 

1,080,935

 

Non-Extended Term Loan,
3.94%, 10/10/14

 

 

1,612

 

 

1,583,927

 

Flextronics International Ltd.,
Closing Date Loan B, 2.44%,
10/01/12

 

 

2,158

 

 

2,136,867

 

 

 

 

 

 

 

6,542,104

 

Energy Equipment & Services — 2.3%

 

 

 

 

 

 

 

CCS Corp., Term Loan B, 3.25%,
11/14/14

 

 

1,810

 

 

1,719,988

 

MEG Energy Corp., Term Loan B,
4.00%, 3/16/18

 

 

6,100

 

 

6,094,071

 

 

 

 

 

 

 

7,814,059

 

Food & Staples Retailing — 3.0%

 

 

 

 

 

 

 

AB Acquisitions UK Topco 2 Ltd.
(FKA Alliance Boots), Facility B1,
3.57%, 7/09/15

 

GBP

4,525

 

 

6,923,109

 

Bolthouse Farms, Inc., Term Loan
(First Lien), 2/11/16

 

USD

110

 

 

109,794

 

Pilot Travel Centers LLC, Term
Loan B, 4.25%, 3/30/18

 

 

485

 

 

485,831

 

U.S. Foodservice, Inc., Term Loan B:

 

 

 

 

 

 

 

2.69%, 7/03/14

 

 

1,881

 

 

1,779,393

 

5.75%, 3/31/17

 

 

1,097

 

 

1,078,734

 

 

 

 

 

 

 

10,376,861

 

Food Products — 5.9%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan
(First Lien), 7.00%, 9/30/16

 

 

2,154

 

 

2,172,570

 

(Second Lien), 11.25%,
9/29/17

 

 

1,400

 

 

1,417,500

 

Birds Eye Iglo Group Ltd. (Liberator
Midco Ltd.), Term Loan B,
5.82%, 4/30/16

 

EUR

3,000

 

 

4,296,330

 

Del Monte Corp., Term Loan B,
4.50%, 2/01/18

 

USD

6,565

 

 

6,532,175

 

Michaels Stores, Inc., Term Loan B,
4.25%, 2/23/18

 

 

1,294

 

 

1,292,018

 

Pinnacle Foods Finance LLC,
Tranche D Term Loan, 6.00%,
4/02/14

 

 

1,468

 

 

1,474,455

 

Sensata Technologies Finance
Company LLC, Term Loan,
4.00%, 5/11/18

 

 

2,200

 

 

2,196,856

 

Solvest Ltd. (Dole):

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 5.00%
- 6.00%, 7/06/18

 

 

245

 

 

245,255

 

Tranche C-1 Term Loan,
5.00% - 6.00%, 7/06/18

 

 

455

 

 

455,474

 

 

 

 

 

 

 

20,082,633

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Health Care Equipment & Supplies — 0.7%

 

 

 

 

 

 

 

Biomet, Inc., Euro Term Loan,
4.39% - 4.47%, 3/25/15

 

EUR

988

 

$

1,411,820

 

DJO Finance LLC (FKA ReAble
Therapeutics Finance LLC), Term
Loan, 3.19%, 5/20/14

 

USD

905

 

 

890,553

 

 

 

 

 

 

 

2,302,373

 

Health Care Providers & Services — 4.5%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Non-Extended Delayed Draw
Term Loan, 2.50%, 7/25/14

 

 

69

 

 

66,627

 

Non-Extended Term Loan,
2.50%, 7/25/14

 

 

1,342

 

 

1,294,979

 

Convatec Ltd., Dollar Term Loan,
5.75%, 12/22/16

 

 

1,219

 

 

1,217,733

 

DaVita, Inc., Tranche B Term Loan,
4.50%, 10/20/16

 

 

1,891

 

 

1,893,201

 

Emergency Medical Services Corp.,
Term Loan B, 5.25%, 5/25/18

 

 

2,195

 

 

2,181,961

 

Harden Healthcare, Inc.:

 

 

 

 

 

 

 

Tranche A Additional Term
Loan, 7.75%, 3/02/15

 

 

1,434

 

 

1,405,285

 

Tranche A Term Loan, 8.50%,
3/02/15

 

 

865

 

 

847,817

 

inVentiv Health, Inc. (FKA Ventive
Health, Inc.):

 

 

 

 

 

 

 

Incremental Term Loan B3,
6.75%, 5/15/18

 

 

750

 

 

744,690

 

Term Loan, 4.75%, 8/04/16

 

 

1,956

 

 

1,942,748

 

Medpace, Inc., Term Loan, 6.50%,
6/22/17

 

 

1,500

 

 

1,479,375

 

Renal Advantage Holdings, Inc.,
Tranche B Term Loan, 5.75%,
12/16/16

 

 

1,493

 

 

1,497,164

 

Vanguard Health Holding Co. II,
LLC (Vanguard Health Systems,
Inc.), Initial Term Loan, 5.00%,
1/29/16

 

 

732

 

 

731,296

 

 

 

 

 

 

 

15,302,876

 

Health Care Technology — 0.7%

 

 

 

 

 

 

 

IMS Health, Inc., Term Loan B,
4.50%, 8/25/17

 

 

1,500

 

 

1,501,246

 

MedAssets, Inc., Term Loan B,
5.25%, 11/16/16

 

 

1,020

 

 

1,020,802

 

 

 

 

 

 

 

2,522,048

 

Hotels, Restaurants & Leisure — 8.0%

 

 

 

 

 

 

 

Ameristar Casinos, Inc., Term
Loan B, 4.00%, 4/13/18

 

 

1,945

 

 

1,948,906

 

Dunkin’ Brands, Inc., Term Loan B,
4.25%, 11/23/17

 

 

2,287

 

 

2,284,408

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JULY 31, 2011

5


 

 

 

 

 

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

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

Gateway Casinos & Entertainment,
Ltd., Term Loan B, 6.50%,
4/20/16

 

CAD

4,418

 

$

4,615,062

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-2,
3.19% - 3.25%, 1/28/15

 

USD

1,000

 

 

899,286

 

Term Loan B-3, 3.25%,
1/28/15

 

 

7,420

 

 

6,675,923

 

Term Loan B-4, 9.50%,
10/31/16

 

 

657

 

 

683,829

 

OSI Restaurant Partners LLC, Pre-
Funded RC Loan, 2.50%, 6/14/13

 

 

32

 

 

30,949

 

Penn National Gaming, Inc., Term
Loan B, 3.75%, 7/16/18

 

 

725

 

 

725,362

 

SeaWorld Parks & Entertainment,
Inc. (FKA SW Acquisitions Co.,
Inc.), Term Loan B, 4.00%,
8/17/17

 

 

1,971

 

 

1,971,762

 

Six Flags Theme Parks, Inc.,
Tranche B Term Loan (First
Lien), 5.25%, 6/30/16

 

 

2,025

 

 

2,032,920

 

Twin River Worldwide Holdings,
Inc., Term Loan, 7.75%,
11/05/15

 

 

1,339

 

 

1,340,246

 

VML US Finance LLC (FKA Venetian
Macau):

 

 

 

 

 

 

 

New Project Term Loan,
4.69%, 5/27/13

 

 

150

 

 

150,146

 

Term B Delayed Draw Project
Loan, 4.69%, 5/25/12

 

 

1,628

 

 

1,625,607

 

Term B Funded Project Loan,
4.69%, 5/27/13

 

 

2,668

 

 

2,664,134

 

 

 

 

 

 

 

27,648,540

 

Household Durables — 0.1%

 

 

 

 

 

 

 

Berkline/Benchcraft LLC, Term
Loan, 14.00%, 11/03/11 (c)(g)

 

 

139

 

 

6,972

 

Visant Corp. (FKA Jostens), Term
Loan, 5.25%, 12/22/16

 

 

468

 

 

464,332

 

 

 

 

 

 

 

471,304

 

Household Products — 0.2%

 

 

 

 

 

 

 

Armored AutoGroup, Inc., Term
Loan B, 6.00%, 11/04/16

 

 

868

 

 

863,363

 

IT Services — 3.9%

 

 

 

 

 

 

 

Ceridian Corp., US Term Loan,
3.19%, 11/10/14

 

 

1,862

 

 

1,783,842

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan,
2.94%, 9/24/14

 

 

426

 

 

397,069

 

Initial Tranche B-2 Term Loan,
4.19%, 3/23/18

 

 

7,057

 

 

6,475,999

 

Initial Tranche B-3 Term Loan,
2.94%, 9/24/14

 

 

281

 

 

261,679

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

IT Services (concluded)

 

 

 

 

 

 

 

InfoGroup, Inc., Term Loan, 5.75%,
5/22/18

 

USD

443

 

$

435,964

 

TransUnion LLC, Replacement
Term Loan, 4.75%, 2/12/18

 

 

2,853

 

 

2,853,433

 

Travelex Plc:

 

 

 

 

 

 

 

Tranche B5, 2.93%, 10/31/13

 

 

637

 

 

628,965

 

Tranche C5, 3.43%, 10/31/14

 

 

632

 

 

623,587

 

 

 

 

 

 

 

13,460,538

 

Independent Power Producers &
Energy Traders — 2.4%

 

 

 

 

 

 

 

AES Corp., Term Loan, 4.25%,
6/01/18

 

 

1,945

 

 

1,947,556

 

Calpine Corp., Term Loan, 4.50%,
4/02/18

 

 

3,215

 

 

3,183,592

 

Texas Competitive Electric
Holdings Co., LLC (TXU), Initial
Tranche B-3 Term Loan,
4.69% - 4.77%, 10/10/17

 

 

4,011

 

 

2,986,038

 

 

 

 

 

 

 

8,117,186

 

Industrial Conglomerates — 1.1%

 

 

 

 

 

 

 

Sequa Corp., Term Loan,
3.50% - 3.51%, 12/03/14

 

 

1,497

 

 

1,466,173

 

Tomkins Plc, Term Loan B, 4.25%,
9/29/16

 

 

2,189

 

 

2,188,818

 

 

 

 

 

 

 

3,654,991

 

Insurance — 0.6%

 

 

 

 

 

 

 

CNO Financial Group, Inc., Term
Loan, 6.25%, 9/30/16

 

 

1,956

 

 

1,960,509

 

Machinery — 0.8%

 

 

 

 

 

 

 

Navistar Financial Corp., Term
Loan B, 4.44%, 12/16/12

 

 

1,017

 

 

1,015,332

 

TEREX Corp., Term Loan:

 

 

 

 

 

 

 

1.00%, 4/28/17

 

EUR

355

 

 

507,549

 

1.00%, 4/28/17

 

USD

1,300

 

 

1,303,796

 

 

 

 

 

 

 

2,826,677

 

Marine — 0.1%

 

 

 

 

 

 

 

Horizon Lines, LLC:

 

 

 

 

 

 

 

Term Loan, 0.50% - 8.25%,
8/08/12

 

 

299

 

 

294,058

 

Media — 23.5%

 

 

 

 

 

 

 

AMC Networks Inc., Term Loan B,
4.00%, 12/31/18

 

 

3,600

 

 

3,596,796

 

Acosta, Inc., Term Loan, 4.75%,
3/01/18

 

 

2,110

 

 

2,096,527

 

Affinion Group, Inc., Tranche B
Term Loan, 5.00%, 10/10/16

 

 

2,373

 

 

2,362,920

 

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

 

 

2,687

 

 

2,644,523

 

Atlantic Broadband Finance LLC,
New Term Loan B, 4.00%,
3/08/16

 

 

943

 

 

943,241

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JULY 31, 2011

6


 

 

 

 

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 (continued)

 

 

 

 

 

 

 

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

 

USD

1,562

 

$

1,560,539

 

Capsugel, Term Loan, 1.00%,
8/01/18

 

 

1,500

 

 

1,504,125

 

Cengage Learning Acquisitions, Inc.
(Thomson Learning):

 

 

 

 

 

 

 

Term Loan, 2.50%, 7/03/14

 

 

3,151

 

 

2,749,252

 

Tranche 1 Incremental Term
Loan, 7.50%, 7/03/14

 

 

1,124

 

 

1,118,002

 

Charter Communications Operating,
LLC:

 

 

 

 

 

 

 

Term Loan B, 7.25%, 3/06/14

 

 

36

 

 

35,851

 

Term Loan C, 3.50%, 9/06/16

 

 

630

 

 

626,512

 

Clarke American Corp., Term
Facility, 2.69% - 2.75%,
6/30/14

 

 

1,085

 

 

987,650

 

Clear Channel Communications,
Inc., Term Loan B, 3.84%,
1/28/16

 

 

2,385

 

 

1,986,705

 

Cumulus Media, Inc., Term Loan,
1.00%, 8/30/18

 

 

1,500

 

 

1,491,874

 

Getty Images, Inc., Initial Term
Loan, 5.25%, 11/07/16

 

 

2,550

 

 

2,559,353

 

Gray Television, Inc., Term Loan B,
3.69%, 12/31/14

 

 

1,257

 

 

1,227,839

 

HMH Publishing Co., Ltd., Tranche
A Term Loan, 5.94%, 6/12/14

 

 

1,878

 

 

1,689,946

 

Hubbard Radio LLC, Term Loan
(Second Lien), 5.25%, 4/28/17

 

 

1,100

 

 

1,106,416

 

Intelsat Jackson Holdings SA (FKA
Intel Jackson Holdings Ltd.),
Tranche B Term Loan, 5.25%,
4/02/18

 

 

10,224

 

 

10,243,546

 

Interactive Data Corp., Term Loan,
4.75%, 2/12/18

 

 

3,616

 

 

3,610,289

 

Kabel Deutschland GmbH:

 

 

 

 

 

 

 

Term Loan A, 3.57%, 3/31/14

 

EUR

3,043

 

 

4,356,772

 

Term Loan D, 5.44%,
12/13/16

 

 

1,000

 

 

1,434,504

 

Term Loan E, 4.69%, 6/15/18

 

 

4,000

 

 

5,699,702

 

Knology, Inc., Term Loan B, 4.00%,
8/18/17

 

USD

1,144

 

 

1,137,814

 

Lavena Holding 3 GmbH
(Prosiebensat.1 Media AG):

 

 

 

 

 

 

 

Facility B1, 4.20%, 3/06/15

 

EUR

304

 

 

394,912

 

Facility C1, 4.45%, 3/04/16

 

 

608

 

 

789,825

 

Liberty Cablevision of Puerto Rico,
Ltd., Initial Term Facility, 2.25%,
6/13/14

 

USD

1,440

 

 

1,425,600

 

Mediacom Illinois LLC (FKA
Mediacom Communications,
LLC), Tranche D Term Loan,
5.50%, 3/31/17

 

 

2,218

 

 

2,212,504

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Newsday LLC:

 

 

 

 

 

 

 

Fixed Rate Term Loan,
10.50%, 8/01/13

 

USD

1,500

 

$

1,573,125

 

Floating Rate Term Loan,
6.50%, 8/01/13

 

 

1,250

 

 

1,273,438

 

Nielsen Finance LLC, Class B,
3.94%, 5/02/16

 

 

1,719

 

 

1,714,722

 

Serpering Investments B.V.
(Casema NV), Term Loan B,
4.69%, 9/15/14

 

EUR

619

 

 

893,235

 

Sinclair Television Group, Inc.,
Term Loan B, 4.00%, 10/28/16

 

USD

842

 

 

843,543

 

Sunshine Acquisition Ltd. (FKA HIT
Entertainment), Term Facility,
5.52%, 6/01/12

 

 

1,955

 

 

1,929,573

 

Telesat Canada:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
3.19%, 10/31/14

 

 

374

 

 

369,474

 

Term Loan B, 3.19%,
10/31/14

 

 

4,356

 

 

4,301,320

 

Weather Channel, Term Loan B,
4.25%, 2/13/17

 

 

2,843

 

 

2,845,920

 

UPC Broadband Holding B.V.,
Term U, 5.32%, 12/31/17

 

EUR

2,036

 

 

2,857,905

 

WC Luxco S.a.r.l., Term Loan B3,
4.25%, 3/15/18

 

USD

533

 

 

533,117

 

 

 

 

 

 

 

80,728,911

 

Metals & Mining — 2.9%

 

 

 

 

 

 

 

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

 

 

3,313

 

 

3,312,960

 

SunCoke Energy, Inc., Term
Loan B, 5.25%, 7/26/18

 

 

850

 

 

845,750

 

Walter Energy, Inc., Term Loan B,
4.00%, 4/02/18

 

 

5,770

 

 

5,767,783

 

 

 

 

 

 

 

9,926,493

 

Multi-Utilities — 0.0%

 

 

 

 

 

 

 

Mach Gen, LLC, Synthetic Letter of
Credit Loan (First Lien), 2.50%,
2/22/13

 

 

69

 

 

63,869

 

Multiline Retail — 1.7%

 

 

 

 

 

 

 

Hema Holding BV:

 

 

 

 

 

 

 

Facility B, 3.34%, 7/06/15

 

EUR

169

 

 

234,451

 

Facility C, 4.09%, 7/05/16

 

 

169

 

 

234,451

 

Facility D, 6.34%, 1/05/17

 

 

3,800

 

 

5,234,983

 

 

 

 

 

 

 

5,703,885

 

Oil, Gas & Consumable Fuels — 2.0%

 

 

 

 

 

 

 

EquiPower Resources Holdings
LLC, Term Facility B, 5.75%,
1/26/18

 

USD

1,970

 

 

1,966,773

 

Gibson Energy, Term Loan B,
5.75%, 6/14/18

 

 

2,200

 

 

2,189,689

 

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

 

 

2,598

 

 

2,623,951

 

 

 

 

 

 

 

6,780,413

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JULY 31, 2011

7


 

 

 

 

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

 

Paper & Forest Products — 0.1%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC,
Term Loan, 6.52% - 7.27%,
2/01/13 (h)

 

USD

405

 

$

352,274

 

Pharmaceuticals — 1.1%

 

 

 

 

 

 

 

Endo Pharmaceuticals Holdings,
Inc., Term Loan B, 4.00%,
6/18/18

 

 

1,300

 

 

1,302,089

 

Quinteles Transnational Corp.,
Term Loan, 5.00%, 6/08/18

 

 

1,320

 

 

1,313,813

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Term Loan B1, 4.25%,
3/15/18

 

 

775

 

 

775,443

 

Term Loan B2, 4.25%,
3/15/18

 

 

388

 

 

387,721

 

 

 

 

 

 

 

3,779,066

 

Professional Services — 0.7%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Term
Loan B, 4.00%, 8/03/17

 

 

798

 

 

799,283

 

Fifth Third Processing Solutions
LLC, Term Loan B (First Lien),
4.50%, 11/03/16

 

 

1,606

 

 

1,601,982

 

 

 

 

 

 

 

2,401,265

 

Real Estate Investment Trusts (REITs) — 0.8%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan A,
5.00%, 6/28/13

 

 

2,714

 

 

2,674,776

 

Real Estate Management & Development — 1.7%

 

 

 

 

 

 

 

Pivotal Promontory, LLC, Term
Loan (Second Lien), 3.25%,
8/31/11 (c)(g)

 

 

750

 

 

1

 

Realogy Corp.:

 

 

 

 

 

 

 

Term Loan B, 4.52%,
10/10/16

 

 

6,019

 

 

5,412,111

 

Term Loan C, 4.44%,
10/10/16

 

 

508

 

 

456,387

 

 

 

 

 

 

 

5,868,499

 

Semiconductors & Semiconductor Equipment — 0.5%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc.,
Extended Maturity Term Loan,
4.44%, 12/01/16

 

 

563

 

 

559,231

 

Microsemi Corp., Term Loan B,
4.00%, 11/02/17

 

 

1,095

 

 

1,091,764

 

 

 

 

 

 

 

1,650,995

 

Software — 0.5%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.:

 

 

 

 

 

 

 

Facility (Second Lien), 8.25%,
8/20/15

 

 

254

 

 

13,951

 

Term Loan B, 7.50%, 8/20/14

 

 

719

 

 

372,876

 

Rovi Corp., Term Loan B, 4.00%,
2/07/18

 

 

998

 

 

998,747

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Software (concluded)

 

 

 

 

 

 

 

Vertafore, Inc., Term Loan B,
5.25%, 7/29/16

 

USD

342

 

$

341,458

 

 

 

 

 

 

 

1,727,032

 

Specialty Retail — 4.1%

 

 

 

 

 

 

 

Academy Sports & Outdoors, Term
Loan, 1.00%, 8/03/18

 

 

1,900

 

 

1,891,292

 

Burlington Coat Factory
Warehouse Corp., Term Loan B,
6.25%, 2/23/17

 

 

1,062

 

 

1,060,098

 

General Nutrition Centers, Inc.,
Term Loan B, 4.25%, 3/02/18

 

 

2,625

 

 

2,621,062

 

J. Crew Group, Inc., Term Loan B,
4.75%, 3/07/18

 

 

1,017

 

 

976,328

 

Jo-Ann Stores, Inc., Term Loan B,
4.75%, 3/16/18

 

 

900

 

 

887,907

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 2.50%,
10/31/13

 

 

820

 

 

804,478

 

Term Loan B-2, 4.75%,
7/31/16

 

 

460

 

 

457,570

 

Petco Animal Supplies, Inc., Term
Loan B, 4.50%, 11/24/17

 

 

2,732

 

 

2,719,593

 

Toys ‘R’ US, Inc.:

 

 

 

 

 

 

 

Term Loan, 6.00%, 9/01/16

 

 

2,110

 

 

2,104,495

 

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

 

 

500

 

 

496,625

 

 

 

 

 

 

 

14,019,448

 

Textiles, Apparel & Luxury Goods — 1.3%

 

 

 

 

 

 

 

Phillips-Van Heusen Corp., Term
Loan B, 4.31% - 4.44%,
2/26/16

 

EUR

3,029

 

 

4,330,505

 

Wireless Telecommunication Services — 2.3%

 

 

 

 

 

 

 

Digicel International Finance Ltd.,
US Term Loan (Non-Rollover),
2.75%, 3/30/12

 

USD

3,044

 

 

3,040,082

 

MetroPCS Wireless, Inc., Term
Loan B, 3.94%, 3/16/18

 

 

1,740

 

 

1,731,855

 

Vodafone Americas Finance 2, Inc. (h):

 

 

 

 

 

 

 

Initial Loan, 6.88%, 8/11/15

 

 

2,329

 

 

2,399,377

 

Term Loan, 6.25%, 7/11/16

 

 

800

 

 

804,000

 

 

 

 

 

 

 

7,975,314

 

Total Floating Rate Loan Interests – 111.0%

 

 

 

 

 

381,194,936

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Argentina Bonos:

 

 

 

 

 

 

 

0.47%, 8/03/12 (b)

 

 

2,500

 

 

2,402,000

 

7.00%, 10/03/15

 

 

2,000

 

 

1,955,333

 

Colombia Government
International Bond, 3.80%,
3/17/13 (b)

 

 

540

 

 

550,800

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JULY 31, 2011

8


 

 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

Par
(000)

 

Value

 

Uruguay Government International
Bond, 6.88%, 1/19/16

 

EUR

950

 

$

1,497,464

 

Total Foreign Agency Obligations – 1.9%

 

 

 

 

 

6,405,597

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (i)

 

Beneficial
Interest
(000)

 

 

 

 

Auto Components — 0.9%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession
Holding Co. LLP, Class B
Membership Interests

 

 

—

(j)

 

3,124,539

 

Lear Corp. Escrow

 

USD

500

 

 

13,750

 

 

 

 

 

 

 

3,138,289

 

Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

J.G. Wentworth LLC Preferred
Equity Interests (k)

 

 

512

 

 

1,253,650

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International,
Inc.

 

 

1

 

 

95

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Wembley Contigent

 

 

2

 

 

7,500

 

Household Durables — 0.0%

 

 

 

 

 

 

 

Berkline Benchcraft Equity LLC

 

 

6

 

 

—

 

Total Other Interests – 1.3%

 

 

 

 

 

4,399,534

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (l)

 

Shares

 

 

 

 

Media — 0.0%

 

 

 

 

 

 

 

New Vision Holdings LLC:

 

 

 

 

 

 

 

(Expires 9/30/14)

 

 

19,023

 

 

190

 

(Expires 9/30/14)

 

 

3,424

 

 

34

 

 

 

 

 

 

 

224

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management
Solutions, Inc. (Expires 9/29/17)

 

 

251

 

 

3

 

HMH Holdings/EduMedia
(Expires 3/09/17)

 

 

21,894

 

 

—

 

 

 

 

 

 

 

3

 

Total Warrants – 0.0%

 

 

 

 

 

227

 

Total Long-Term Investments
(Cost – $486,526,331) – 142.1%

 

 

 

 

 

487,504,257

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.06% (m)(n)

 

 

39

 

$

39

 

Total Short-Term Securities
(Cost – $39) – 0.0%

 

 

 

 

 

39

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC,
Strike Price USD 942.86, Expires
12/21/19, Broker Goldman Sachs
Bank USA

 

 

26

 

 

—

 

Total Options Purchased
(Cost – $25,422) – 0.0%

 

 

 

 

 

—

 

Total Investments
(Cost – $486,551,792*) – 142.1%

 

 

 

 

 

487,504,296

 

Liabilities in Excess of Other Assets – (42.1)%

 

 

 

 

 

(144,173,352

)

Net Assets – 100.0%

 

 

 

 

$

343,330,944

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

483,790,285

 

Gross unrealized appreciation

 

$

13,670,250

 

Gross unrealized depreciation

 

 

(9,956,239

)

Net unrealized appreciation

 

$

3,714,011

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JULY 31, 2011

9


 

 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Trust (BGT)


 

 

(a)

Security exempt from registration under Rule 144A of the Securities Act of 1933. 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)

Convertible security.

 

 

(e)

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

 

 

(f)

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


 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Credit Suisse Securities (USA) LLC

 

$

303,375

 

$

5,571

 

JPMorgan Securities

 

$

3,166,800

 

$

46,800

 

 

 

(g)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(h)

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

 

 

(i)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(j)

Amount is less than $1,000.

 

 

(k)

The investment is held by a wholly owned taxable subsidiary of the Trust.

 

 

(l)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

(m)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
October 31,
2010

 

Net
Activity

 

Shares
Held at
July 31,
2011

 

Income

 

BlackRock Liquidity Funds, TempFund, Institutional Class

 

 

8,770,511

 

 

(8,770,472

)

 

39

 

$

4,241

 

 

 

(n)

Represents the current yield as of report date.

 

 

•

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.

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JULY 31, 2011

10


 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Trust (BGT)

 

 

•

Foreign currency exchange contracts as of July 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency Purchased

 

Currency Sold

 

Counterparty

 

Settlement Date

 

Unrealized
Appreciation
(Depreciation)

 

GBP

 

431,000

 

USD

 

706,153

 

Citibank NA

 

10/07/11

 

$

804

 

USD

 

4,319,412

 

CAD

 

4,271,000

 

Citibank NA

 

10/07/11

 

 

(144,429

)

USD

 

1,318,443

 

CHF

 

1,099,500

 

Deutsche Bank AG

 

10/07/11

 

 

(79,963

)

USD

 

346,110

 

GBP

 

215,000

 

Citibank NA

 

10/07/11

 

 

(6,548

)

USD

 

11,056,441

 

GBP

 

6,919,500

 

Royal Bank of Scotland Plc

 

10/07/11

 

 

(293,421

)

EUR

 

180,000

 

USD

 

257,828

 

Citibank NA

 

10/26/11

 

 

272

 

USD

 

60,660,798

 

EUR

 

42,314,500

 

Citibank NA

 

10/26/11

 

 

(13,433

)

USD

 

163,529

 

EUR

 

113,000

 

Deutsche Bank AG

 

10/26/11

 

 

1,499

 

USD

 

822,291

 

EUR

 

570,000

 

UBS AG

 

10/26/11

 

 

4,975

 

Total

 

 

 

 

 

 

 

 

 

 

 

$

(530,244

)

 

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial reporting purposes as follows:

 

 

 

•

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

•

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

•

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

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 does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the inputs used as of July 31, 2011 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

—

 

$

4,578,123

 

$

6,075,883

 

$

10,654,006

 

Common Stocks

 

$

127,229

 

 

1,131,977

 

 

462,528

 

 

1,721,734

 

Corporate Bonds

 

 

—

 

 

83,128,223

 

 

—

 

 

83,128,223

 

Floating Rate Loan Interests

 

 

—

 

 

352,470,806

 

 

28,724,130

 

 

381,194,936

 

Foreign Agency Obligations

 

 

—

 

 

2,048,264

 

 

4,357,333

 

 

6,405,597

 

Other Interests

 

 

—

 

 

3,124,539

 

 

1,274,995

 

 

4,399,534

 

Warrants

 

 

—

 

 

—

 

 

227

 

 

227

 

Short-Term Securities

 

 

39

 

 

—

 

 

—

 

 

39

 

Unfunded Loan Commitments

 

 

—

 

 

386

 

 

—

 

 

386

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan Commitments

 

 

—

 

 

(21,843

)

 

—

 

 

(21,843

)

Total

 

$

127,268

 

$

446,460,475

 

$

40,895,096

 

$

487,482,839

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JULY 31, 2011

11


 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Trust (BGT)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation
Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

—

 

$

7,550

 

 

—

 

$

7,550

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

—

 

 

(537,794

)

 

—

 

 

(537,794

)

Total

 

 

—

 

$

(530,244

)

 

—

 

$

(530,244

)

 

 

1

Derivative financial instruments are foreign currency exchange contracts and options. Foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.

 

 

 

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan
Interests

 

Foreign
Agency
Obligations

 

Other
Interests

 

Preferred
Securities

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of October 31, 2010

 

 

—

 

$

595,520

 

$

61,912

 

$

64,699,477

 

$

4,228,067

 

$

5,533,239

 

$

85,828

 

Accrued discounts/premiums

 

$

49,265

 

 

—

 

 

101,940

 

 

206,120

 

 

158,857

 

 

—

 

 

—

 

Realized gain (loss)

 

 

—

 

 

(348,191

)

 

(1,021,332

)

 

(4,359,444

)

 

—

 

 

—

 

 

136,990

 

Change in unrealized appreciation/depreciation1

 

 

(124,608

)

 

253,959

 

 

947,259

 

 

5,797,465

 

 

(29,591

)

 

121,232

 

 

(31,032

)

Purchases

 

 

5,594,426

 

 

—

 

 

(302

)

 

12,447,892

 

 

—

 

 

16,478

 

 

—

 

Sales

 

 

—

 

 

(38,760

)

 

(89,477

)

 

(36,407,241

)

 

—

 

 

—

 

 

(191,786

)

Transfers In2

 

 

556,800

 

 

—

 

 

—

 

 

5,003,120

 

 

—

 

 

—

 

 

—

 

Transfers Out2

 

 

—

 

 

—

 

 

—

 

 

(18,663,259

)

 

—

 

 

(4,395,954

)

 

—

 

Balance, as of July 31, 2011

 

$

6,075,883

 

$

462,528

 

 

—

 

$

28,724,130

 

$

4,357,333

 

$

1,274,995

 

 

—

 

 

 

  

 

  

 

  

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JULY 31, 2011

12


 

 

 

 

Schedule of Investments (concluded)

BlackRock Floating Rate Income Trust (BGT)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan
Commitments
Assets

 

Unfunded Loan
Commitments
Liabilities

 

Warrants

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of October 31, 2010

 

$

160,394

 

 

—

 

$

227

 

$

75,364,664

 

Accrued discounts/premiums

 

 

—

 

 

—

 

 

—

 

 

516,182

 

Realized gain (loss)

 

 

—

 

 

—

 

 

—

 

 

(5,591,977

)

Change in unrealized appreciation/depreciation1

 

 

(160,394

)

 

—

 

 

—

 

 

6,774,290

 

Purchases

 

 

—

 

 

—

 

 

—

 

 

18,058,494

 

Sales

 

 

—

 

 

—

 

 

—

 

 

(36,727,264

)

Transfers In2

 

 

—

 

 

—

 

 

—

 

 

5,559,920

 

Transfers Out2

 

 

—

 

 

—

 

 

—

 

 

(23,059,213

)

Balance, as of July 31, 2011

 

 

—

 

 

—

 

$

227

 

$

40,895,096

 

 

 

1

The change in unrealized appreciation/depreciation on investments still held at July 31, 2011 was $161,559.

 

 

2

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

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

 

 

 

 

 

 

 

Credit Contracts

 

 

 

Assets

 

Balance, as of October 31, 2010

 

$

19,172

 

Accrued discounts/premiums

 

 

—

 

Net realized gain (loss)

 

 

—

 

Net change in unrealized appreciation/depreciation

 

 

—

 

Purchases

 

 

—

 

Issuances3

 

 

—

 

Sales

 

 

—

 

Settlements4

 

 

(19,172

)

Transfers in5

 

 

—

 

Transfers out5

 

 

—

 

Balance as of July 31, 2011

 

 

—

 

 

 

 

 

3

Issuances represent upfront cash received on certain derivative financial instruments.

 

 

 

 

4

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

 

 

 

 

5

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

 

 

 

 

 

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivatives at the beginning and/or end of the period in relation to net assets.

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JULY 31, 2011

13

Item 2 –

Controls and Procedures

 

 

2(a) –

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

 

 

2(b) –

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

 

Item 3 –

Exhibits

 

 

 

Certifications – Attached hereto

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

 

 

BlackRock Floating Rate Income Trust

 

 

 

 By: /s/ John M. Perlowski

 

 

 

John M. Perlowski 

 

 

Chief Executive Officer (principal executive officer) of 

 

 

BlackRock Floating Rate Income Trust 

 

 

 

Date: September 26, 2011 

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. 

 

 

 

 By: /s/ John M. Perlowski

 

 

 

John M. Perlowski 

 

 

Chief Executive Officer (principal executive officer) of 

 

 

BlackRock Floating Rate Income Trust 

 

 

 

Date: September 26, 2011 

 

 

 

 By: /s/ Neal J. Andrews

 

 

 

Neal J. Andrews 

 

 

Chief Financial Officer (principal financial officer) of 

 

 

BlackRock Floating Rate Income Trust 

 

 

 

 

Date: September 26, 2011