Regulatory Filings • Sep 24, 2013
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Download Source FileN-Q 1 d592848dnq.htm BLACKROCK FLOATING RATE INCOME TRUST BlackRock Floating Rate Income Trust
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21566
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 52 nd Street, New York, NY 10055
Registrants telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 10/31/2013
Date of reporting period: 07/31/2013
Item 1 Schedule of Investments
Consolidated Schedule of Investments July 31, 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, 5.12%, 9/20/23 (a)(b) | USD | 750 | $ 746,250 |
| Apidos CDO XI, Series 2012-11A, Class D, 4.52%, 1/17/23 (a)(b) | 500 | 491,750 | |
| Atrium CDO Corp., Series 9A, Class D, 3.96%, 2/28/24 (a)(b) | 500 | 467,250 | |
| Carlyle Global Market Strategies CLO Ltd. (a)(b): | |||
| Series 2012-4A, Class D, 4.77%, 1/20/25 | 450 | 450,000 | |
| Series 2013-1A, Class C, 4.29%, 2/14/25 | 250 | 241,903 | |
| Cavalry CLO Ltd., Series 2A, Class D, 4.27%, 1/17/24 (a)(b) | 500 | 480,000 | |
| Cent CLO LP, Series 2013-17A, Class C, 3.79%, 1/30/25 (a)(b) | 500 | 467,235 | |
| Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.27%, 4/20/23 (a)(b) | 575 | 559,257 | |
| Goldentree Loan Opportunities VI Ltd., Series 2012-6A, Class D, 4.47%, 4/17/22 (a)(b) | 950 | 934,705 | |
| Highbridge Loan Management Ltd., Series 2012-1A, Class C, 5.27%, 9/20/22 (a)(b) | 925 | 925,000 | |
| ING Investment Management, Series 2012-2A, Class D, 4.82%, 10/15/22 (a)(b) | 950 | 952,565 | |
| LCM XI LP, Series 11A, Class D2, 4.22%, 4/19/22 (a)(b) | 1,000 | 967,500 | |
| Marea CLO Ltd., Series 2012-1A, Class D, 4.82%, 10/16/23 (a)(b) | 1,000 | 997,000 | |
| North End CLO, Ltd. 2013-1, 3.77%, 7/17/25 (a)(b)(c) | 500 | 474,900 | |
| OZLM Funding Ltd. (a)(b): | |||
| Series 2012-2A, Class C, 4.62%, 10/30/23 | 500 | 487,450 | |
| Series 2013-3A, Class C, 4.17%, 1/22/25 | 250 | 240,400 | |
| Race Point VI CLO Ltd., Series 2012-6A, Class D, 4.77%, 5/24/23 (a)(b) | 675 | 675,000 | |
| Symphony CLO Ltd. (a)(b): | |||
| Series 2012-10A, Class D, 5.51%, 7/23/23 | 925 | 931,937 | |
| Series 2012-9A, Class D, 4.52%, 4/16/22 | 775 | 763,452 | |
| West CLO Ltd., Series 2012-1A, Class C, 5.02%, 10/30/23 (a)(b) | 845 | 847,729 | |
| Total Asset-Backed Securities 3.7% | 13,101,283 | ||
| Common Stocks | Shares | Value | |
| Auto Components 0.0% | |||
| Lear Corp. | 402 | $ 27,847 | |
| Construction & Engineering 0.0% | |||
| USI United Subcontractors | 8,067 | 8,067 | |
| Hotels, Restaurants & Leisure 0.4% | |||
| BLB Worldwide Holdings, Inc. | 50,832 | 1,448,712 | |
| Metals & Mining 0.1% | |||
| Euramax International | 1,135 | 227,040 | |
| Paper & Forest Products 0.3% | |||
| Ainsworth Lumber Co. Ltd. (d) | 220,483 | 729,863 | |
| Ainsworth Lumber Co. Ltd. (a)(d) | 62,685 | 208,116 | |
| 937,979 | |||
| Software 0.3% | |||
| HMH Holdings/EduMedia | 41,612 | 1,175,540 | |
| Total Common Stocks 1.1% | 3,825,185 | ||
| Corporate Bonds | Par (000) | ||
| Airlines 0.6% | |||
| American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23 | USD | 200 | 208,205 |
| Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 | 415 | 421,225 | |
| US Airways 2012-2 Class C Pass Through Trust, 5.45%, 6/03/18 | 1,585 | 1,505,750 | |
| 2,135,180 | |||
| Auto Components 0.2% | |||
| Icahn Enterprises LP, 8.00%, 1/15/18 | 660 | 697,125 | |
| Beverages 0.6% | |||
| Refresco Group BV (b): | |||
| 4.20%, 5/15/18 | EUR | 1,000 | 1,331,680 |
| 4.20%, 5/15/18 (a) | 500 | 665,840 | |
| 1,997,520 | |||
| Building Products 0.3% | |||
| Grohe Holding GmbH, 4.21%, 9/15/17 (a)(b) | 700 | 931,245 | |
| Capital Markets 0.2% | |||
| E*Trade Financial Corp., 0.00%, 8/31/19 (a)(e)(f) | USD | 439 | 632,709 |
| Commercial Banks 1.2% | |||
| VTB Bank OJSC Via VTB Capital SA, 6.88%, 5/29/18 | 3,940 | 4,225,650 |
BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013 1
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets)
| Corporate Bonds | Par (000) | Value | |
|---|---|---|---|
| Commercial Services & Supplies 0.2% | |||
| AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a) | USD | 478 | $ 495,369 |
| UR Merger Sub Corp., 5.75%, 7/15/18 | 210 | 224,700 | |
| 720,069 | |||
| Communications Equipment 1.2% | |||
| Avaya, Inc., 7.00%, 4/01/19 (a) | 467 | 430,808 | |
| Telenet Finance IV Luxembourg S.C.A., 4.08%, 6/15/21 (b) | EUR | 1,500 | 1,997,680 |
| Zayo Group LLC/Zayo Capital, Inc.: | |||
| 8.13%, 1/01/20 | USD | 1,010 | 1,111,000 |
| 10.13%, 7/01/20 | 665 | 759,762 | |
| 4,299,250 | |||
| Construction & Engineering 0.1% | |||
| Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a) | 237 | 238,185 | |
| Consumer Finance 0.3% | |||
| Inmarsat Finance PLC, 7.38%, 12/01/17 (a) | 1,015 | 1,068,288 | |
| Containers & Packaging 2.3% | |||
| Ardagh Packaging Finance PLC: | |||
| 7.38%, 10/15/17 | EUR | 300 | 425,047 |
| 7.38%, 10/15/17 (a) | 400 | 566,729 | |
| 4.88%, 11/15/22 (a) | USD | 201 | 195,472 |
| GCL Holdings S.C.A., 9.38%, 4/15/18 (a) | EUR | 329 | 472,700 |
| Guala Closures SpA, 5.58%, 11/15/19 (b) | 1,500 | 2,017,974 | |
| Smurfit Kappa Acquisitions: | |||
| 7.25%, 11/15/17 (a) | 355 | 495,888 | |
| 7.75%, 11/15/19 (a) | 416 | 604,385 | |
| 3.72%, 10/15/20 (b) | 2,500 | 3,404,565 | |
| 8,182,760 | |||
| Diversified Financial Services 1.6% | |||
| Ally Financial, Inc. (b): | |||
| 2.47%, 12/01/14 | USD | 795 | 797,592 |
| 2.95%, 7/18/16 | 1,750 | 1,762,885 | |
| Travelex Financing PLC, 8.00%, 8/01/18 (a)(c) | GBP | 2,000 | 3,023,637 |
| 5,584,114 | |||
| Energy Equipment & Services 0.7% | |||
| CGG Veritas, 7.75%, 5/15/17 | USD | 1,795 | 1,839,875 |
| FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a) | 263 | 286,670 | |
| Tervita Corp., 8.00%, 11/15/18 (a) | 369 | 382,376 | |
| 2,508,921 | |||
| Health Care Equipment & Supplies 1.2% | |||
| IDH Finance PLC, 5.51%, 12/01/18 (b) | GBP | 2,000 | 3,028,810 |
| Corporate Bonds | Par (000) | Value | |
| Health Care Equipment & Supplies (concluded) | |||
| Ontex IV SA, 4.34%, 4/15/18 (b) | EUR | 1,000 | $ 1,317,046 |
| 4,345,856 | |||
| Health Care Providers & Services 0.8% | |||
| Crown Newco 3 PLC, 7.00%, 2/15/18 (a) | GBP | 1,750 | 2,723,418 |
| Hotels, Restaurants & Leisure 0.1% | |||
| Carlson Wagonlit BV, 6.88%, 6/15/19 (a) | USD | 200 | 207,250 |
| Household Durables 0.6% | |||
| Berkline/Benchcraft LLC, 4.50%, 11/03/13 (d)(g) | 400 | | |
| Verisure Holding AB, 6.70%, 9/01/18 (b) | EUR | 1,500 | 2,025,458 |
| 2,025,458 | |||
| Independent Power Producers & Energy Traders 1.0% | |||
| Energy Future Intermediate Holding Co. LLC: | |||
| 10.00%, 12/01/20 | USD | 2,525 | 2,733,312 |
| 10.00%, 12/01/20 (a) | 585 | 631,800 | |
| 3,365,112 | |||
| Media 1.7% | |||
| NAI Entertainment Holdings LLC, 5.00%, 8/01/18 (a)(c) | 248 | 249,860 | |
| Odeon & UCI Finco PLC, 5.23%, 8/01/18 (b) | EUR | 1,600 | 2,123,238 |
| Unitymedia Hessen GmbH & Co. KG, 8.13%, 12/01/17 | 148 | 208,052 | |
| Virgin Media Secured Finance PLC, 7.00%, 1/15/18 | GBP | 1,197 | 1,902,879 |
| Ziggo Finance BV, 6.13%, 11/15/17 (a) | EUR | 1,005 | 1,387,139 |
| 5,871,168 | |||
| Oil, Gas & Consumable Fuels 1.1% | |||
| EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 | USD | 385 | 411,950 |
| Petroleos de Venezuela SA, 5.25%, 4/12/17 | 4,000 | 3,280,000 | |
| 3,691,950 | |||
| Specialty Retail 1.0% | |||
| DFS Furniture Holdings PLC, 6.51%, 8/15/18 (b) | GBP | 2,000 | 3,085,096 |
| House of Fraser Funding PLC, 8.88%, 8/15/18 (a) | 349 | 558,789 | |
| 3,643,885 | |||
| Transportation Infrastructure 0.3% | |||
| Aguila 3 SA, 7.88%, 1/31/18 (a) | CHF | 1,100 | 1,229,024 |
| Wireless Telecommunication Services 1.1% | |||
| Matterhorn Mobile SA, 5.45%, 5/15/19 (b) | EUR | 3,000 | 4,030,960 |
| Total Corporate Bonds 18.4% | 64,355,097 |
2 BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013
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 | |
|---|---|---|---|
| Aerospace & Defense 1.2% | |||
| DigitalGlobe, Inc., New Term Loan B, 3.75%, 1/31/20 | USD | 1,362 | $ 1,371,800 |
| DynCorp International LLC, Term Loan B, 6.25%, 7/07/16 | 385 | 389,043 | |
| The SI Organization, Inc., Term Loan B, 5.50%, 11/22/16 | 1,067 | 1,037,229 | |
| Spirit Aerosystems, Inc., Term Loan B, 3.75%, 4/18/19 | 958 | 965,538 | |
| Transdigm, Inc., Term Loan C, 3.75%, 2/28/20 | 517 | 519,340 | |
| 4,282,950 | |||
| Airlines 1.1% | |||
| Delta Air Lines, Inc.: | |||
| New Term Loan B, 4.25%, 10/18/18 | 450 | 452,475 | |
| Term Loan, 3.52%, 9/16/15 | 888 | 847,898 | |
| Northwest Airlines, Inc.: | |||
| Term Loan, 2.30%, 3/10/17 | 316 | 292,063 | |
| Term Loan, 2.30%, 3/10/17 | 316 | 292,885 | |
| Term Loan, 1.68%, 9/10/18 | 268 | 236,898 | |
| Term Loan, 1.68%, 9/10/18 | 265 | 234,465 | |
| Term Loan, 1.68%, 9/10/18 | 264 | 233,653 | |
| US Airways, Inc., Term Loan B-1, 4.25%, 5/23/19 | 1,230 | 1,229,336 | |
| 3,819,673 | |||
| Auto Components 3.0% | |||
| Autoparts Holdings Ltd., 1st Lien Term Loan, 6.50%, 7/28/17 | 1,591 | 1,539,677 | |
| Federal-Mogul Corp.: | |||
| Term Loan B, 2.13% 2.14%, 12/29/14 | 3,426 | 3,376,402 | |
| Term Loan C, 2.13% 2.14%, 12/28/15 | 1,428 | 1,407,123 | |
| The Goodyear Tire & Rubber Co., New 2nd Lien Term Loan, 4.75%, 4/30/19 | 1,705 | 1,716,918 | |
| GPX International Tire Corp. (d)(g): | |||
| PIK Term Loan, 13.00%, 3/31/12 | 4 | | |
| Term Loan, 12.25%, 3/30/12 | 274 | | |
| Schaeffler AG, Term Loan C, 4.25%, 1/27/17 | 270 | 272,700 | |
| Transtar Holding Co., 1st Lien Term Loan, 5.50%, 10/09/18 | 1,310 | 1,316,651 | |
| UCI International, Inc., New Term Loan B, 5.50%, 7/26/17 | 926 | 929,149 | |
| 10,558,620 | |||
| Floating Rate Loan Interests (b) | Par (000) | Value | |
| Beverages 0.0% | |||
| Le-Natures, Inc., Tranche B Term Loan, 0.00%, 3/01/11 (d)(g) | USD | 1,000 | $ 100 |
| Biotechnology 0.3% | |||
| Grifols, Inc., Term Loan B, 4.25%, 6/01/17 | 864 | 871,645 | |
| Building Products 1.2% | |||
| Armstrong World Industries, Inc., New Term Loan B, 3.50%, 3/16/20 | 608 | 610,757 | |
| CPG International, Inc., Term Loan, 5.75%, 9/18/19 | 1,935 | 1,941,820 | |
| United Subcontractors, Inc., Term Loan, 4.28%, 6/30/15 | 211 | 200,417 | |
| Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19 | 1,547 | 1,545,771 | |
| 4,298,765 | |||
| Capital Markets 1.3% | |||
| American Capital Holdings, Inc., New Term Loan, 5.50%, 8/22/16 | 1,395 | 1,400,817 | |
| HarbourVest Partners LLC, Term Loan B, 4.75%, 11/21/17 | 881 | 886,361 | |
| Knight Capital Group, Inc., Term Loan B, 5.75%, 12/05/17 | 1,155 | 1,146,338 | |
| Nuveen Investments, Inc.: | |||
| New 2nd Lien Term Loan, 6.50%, 2/28/19 | 436 | 435,455 | |
| Incremental Term Loan, 4.19%, 5/13/17 | 572 | 571,875 | |
| 4,440,846 | |||
| Chemicals 4.1% | |||
| AI Chem & Cy S.C.A.: | |||
| 2nd Lien Term Loan, 8.25%, 4/03/20 | 330 | 335,775 | |
| Term Loan B1, 4.50%, 10/03/19 | 599 | 603,630 | |
| Term Loan B2, 4.50%, 10/03/19 | 311 | 313,195 | |
| American Rock Salt Holdings LLC, Term Loan, 5.50%, 4/25/17 | 592 | 594,867 | |
| Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16 | 545 | 547,878 | |
| Evergreen Acqco 1 LP, New Term Loan, 5.00%, 7/09/19 | 1,273 | 1,279,395 | |
| General Chemical Corp., New Term Loan, 5.00% 5.75%, 10/06/15 | 440 | 441,447 | |
| INEOS US Finance LLC: | |||
| 3 year Term Loan, 2.19%, 5/04/15 | 231 | 231,724 | |
| 6 Year Term Loan, 4.00%, 5/04/18 | 566 | 564,415 | |
| MacDermid, Inc.: | |||
| 2nd Lien Term Loan, 7.75%, 12/07/20 | 165 | 166,650 |
BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013 3
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets)
| Floating Rate Loan Interests (b) | Par (000) | Value | |
|---|---|---|---|
| Chemicals (concluded) | |||
| MacDermid, Inc. (concluded): | |||
| 1st Lien Term Loan, 4.00%, 6/07/20 | USD | 755 | $ 757,831 |
| Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 | 1,438 | 1,419,819 | |
| Oxea Sarl: | |||
| 1st Lien Term Loan, 4.25%, 11/22/19 | 1,430 | 1,444,300 | |
| 2nd Lien Term Loan, 8.25%, 5/22/20 | 845 | 842,888 | |
| Royal Adhesives and Sealants, 1st Lien Term Loan, 5.50%, 1/30/19 | 425 | 427,656 | |
| Tronox Pigments (Netherlands) BV, 2013 Term Loan, 4.50%, 3/19/20 | 1,483 | 1,499,721 | |
| Univar, Inc., Term Loan B, 5.00%, 6/30/17 | 960 | 948,214 | |
| US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20 | 1,935 | 1,954,231 | |
| 14,373,636 | |||
| Commercial Services & Supplies 3.4% | |||
| ADS Waste Holdings, Inc., New Term Loan B, 4.25%, 10/09/19 | 1,903 | 1,916,400 | |
| AWAS Finance Luxembourg 2012 Sarl, Term Loan, 3.50%, 7/16/18 | 257 | 258,246 | |
| AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16 | 579 | 579,670 | |
| Catalent Pharma Solutions, Inc., New Term Loan, 6.50%, 12/29/17 (h) | 300 | 300,564 | |
| Garda World Security Corp., Term Loan B, 4.50%, 11/13/19 | 313 | 314,591 | |
| KAR Auction Services, Inc., Term Loan B, 3.75%, 5/19/17 | 891 | 897,343 | |
| Learning Care Group (US) No. 2, Inc., Term Loan B, 6.00%, 5/08/19 | 555 | 556,387 | |
| Livingston International, Inc.: | |||
| 1st Lien Term Loan, 5.00%, 4/16/19 | 820 | 819,492 | |
| 2nd Lien Term Loan, 9.00%, 4/16/20 | 540 | 545,400 | |
| Progressive Waste Solutions Ltd., Term Loan B, 3.50%, 10/24/19 | 826 | 832,044 | |
| Protection One, Inc., Term Loan, 4.25%, 3/21/19 | 1,343 | 1,353,079 | |
| Spin Holdco, Inc., New Term Loan B, 4.25%, 11/14/19 | 1,675 | 1,683,894 | |
| West Corp., Term Loan B8, 3.75%, 6/29/18 | USD | 1,619 | 1,622,413 |
| 11,679,523 | |||
| Floating Rate Loan Interests (b) | Par (000) | Value | |
| Communications Equipment 3.3% | |||
| Alcatel-Lucent USA, Inc.: | |||
| Term Loan B, 6.25%, 8/01/16 | USD | 1,165 | $ 1,178,106 |
| Term Loan C, 7.25%, 1/30/19 | 1,761 | 1,797,254 | |
| Term Loan D, 7.50%, 1/30/19 | EUR | 647 | 870,445 |
| Avaya, Inc.: | |||
| Extended Term Loan B3, 4.77%, 10/26/17 | USD | 1,325 | 1,160,782 |
| Term Loan B5, 8.00%, 3/30/18 | 171 | 160,210 | |
| CommScope, Inc., New Term Loan, 3.75%, 1/12/18 | 1,180 | 1,187,754 | |
| Riverbed Technology, Inc., Term Loan, 4.00%, 12/18/19 | 927 | 934,245 | |
| Telesat Canada, Term Loan A, 4.38%, 3/24/17 | CAD | 2,857 | 2,746,608 |
| Zayo Group, LLC, Term Loan B, 4.50%, 7/02/19 | USD | 1,561 | 1,571,993 |
| 11,607,397 | |||
| Construction & Engineering 2.9% | |||
| BakerCorp International, Inc., New Term Loan, 4.25%, 2/14/20 | 671 | 669,841 | |
| Centaur LLC: | |||
| 1st Lien Term Loan, 5.25%, 2/15/19 | 1,516 | 1,525,676 | |
| 2nd Lien Term Loan, 8.75%, 2/15/20 | 745 | 750,588 | |
| Reynolds Group Holdings, Inc., Term Loan, 5.00%, 9/28/18 | EUR | 4,963 | 6,612,886 |
| United States infrastructure Corp. Holdings, Inc., 1st Lien, 4.75%, 7/31/20 | USD | 710 | 713,550 |
| 10,272,541 | |||
| Construction Materials 1.1% | |||
| HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | 3,806 | 3,839,367 | |
| Consumer Finance 0.4% | |||
| Springleaf Financial Funding Co., Term Loan, 5.50%, 5/10/17 | 1,354 | 1,354,453 | |
| Containers & Packaging 1.5% | |||
| Berlin Packaging LLC: | |||
| 1st Lien Term Loan, 4.75%, 4/02/19 | 270 | 271,687 | |
| 2nd Lien Term Loan, 8.75%, 4/02/20 | 325 | 328,250 | |
| Clondalkin Acquisition BV, Term Loan B, 5.75%, 5/29/20 | 890 | 892,225 | |
| Pact Group Pty Ltd., Term Loan B, 3.75%, 5/29/20 | 2,130 | 2,130,000 | |
| Polarpak, Inc., USD 1st Lien Canadian Borrower, 4.50%, 6/08/20 | 336 | 333,388 | |
| Sealed Air Corp., New Term Loan, 4.00%, 10/03/18 | 1,012 | 1,024,625 |
4 BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013
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) | |||
| WNA Holdings Inc., USD 1st Lien US Borrower, 13.75%, 5/15/20 | USD | 183 | $ 181,100 |
| 5,161,275 | |||
| Distributors 1.2% | |||
| ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 | 2,855 | 2,856,428 | |
| Crossmark Holdings, Inc., Term Loan, 4.50%, 12/20/19 | 498 | 497,813 | |
| VWR Funding, Inc., Extended Add on Term Loan, 4.19%, 4/03/17 | 731 | 733,614 | |
| 4,087,855 | |||
| Diversified Consumer Services 2.9% | |||
| Bright Horizons Family Solutions, Inc., Term Loan B, 4.00% 5.25%, 1/30/20 | 1,497 | 1,503,090 | |
| Dundee Holdco 4 Ltd., Term Loan, 5.50%, 4/09/20 | 554 | 557,765 | |
| Education Management LLC, Term Loan C3, 8.25%, 3/29/18 | 143 | 133,623 | |
| Iglo Foods Midco Ltd., Term Loan F, 4.88%, 10/31/17 | EUR | 2,620 | 3,501,814 |
| Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 | USD | 1,245 | 1,245,351 |
| ServiceMaster Co., Term Loan, 4.25%, 1/31/17 | 1,935 | 1,921,573 | |
| Weight Watchers International, Inc., Term Loan B2, 3.75%, 4/02/20 | 1,247 | 1,250,778 | |
| 10,113,994 | |||
| Diversified Financial Services 1.4% | |||
| ION Trading Technologies Sarl: | |||
| 1st Lien Term Loan, 4.50%, 5/22/20 | 795 | 797,321 | |
| 2nd Lien Term Loan, 8.25%, 5/21/21 | 220 | 220,550 | |
| Kasima LLC, New Term Loan B, 3.25%, 5/14/21 | 1,160 | 1,160,731 | |
| ROC Finance LLC, Term Loan, 5.00%, 5/15/19 | 660 | 663,300 | |
| WMG Acquisition Corp., New Term Loan, 3.75%, 7/01/20 | 2,140 | 2,142,675 | |
| 4,984,577 | |||
| Diversified Telecommunication Services 4.5% | |||
| Consolidated Communications, Inc., Term Loan B3, 5.25%, 12/31/18 | 2,338 | 2,362,217 | |
| Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 2/28/17 | 1,456 | 1,474,047 | |
| Integra Telecom, Inc.: | |||
| 1st Lien Term Loan, 5.25%, 2/22/19 | 1,232 | 1,245,772 |
| Floating Rate Loan Interests (b) | Par (000) | Value | |
|---|---|---|---|
| Diversified Telecommunication Services (concluded) | |||
| Integra Telecom, Inc. (concluded): | |||
| 2nd Lien Term Loan, 9.75%, 2/21/20 | USD | 650 | $ 667,472 |
| ISS Holdings, Term Loan B12, 3.75%, 4/30/18 | 2,000 | 1,997,500 | |
| Level 3 Financing, Inc.: | |||
| 2016 Term Loan B, 4.75%, 2/01/16 | 437 | 438,556 | |
| 2019 Term Loan B, 5.25%, 8/01/19 | 1,040 | 1,046,167 | |
| Term Loan, 4.75%, 8/01/19 | 3,400 | 3,422,270 | |
| Syniverse Holdings, Inc., Tranche B Term Loan, 4.00%, 4/23/19 | 1,220 | 1,222,037 | |
| US Telepacific Corp., Term Loan B, 5.75%, 2/23/17 | 1,886 | 1,881,041 | |
| 15,757,079 | |||
| Electronic Equipment, Instruments & Components 1.1% | |||
| CDW LLC, New Term Loan, 3.50%, 4/29/20 | 873 | 867,174 | |
| La Frontera Generation LLC, Term Loan B, 4.50%, 9/30/20 | 2,865 | 2,880,528 | |
| 3,747,702 | |||
| Energy Equipment & Services 0.9% | |||
| Dynegy Holdings Inc., Term Loan B2, 4.00%, 4/23/20 | 1,115 | 1,119,527 | |
| MEG Energy Corp., Term Loan, 3.75%, 3/31/20 | 969 | 973,989 | |
| Tervita Corp., Term Loan, 6.25%, 5/15/18 | 489 | 492,555 | |
| Unifrax Corp., New Term Loan, 4.25%, 11/28/18 | 582 | 584,258 | |
| 3,170,329 | |||
| Food & Staples Retailing 3.0% | |||
| Alliance Boots Holdings Ltd., Term Loan B1, 3.49%, 7/09/15 | GBP | 4,525 | 6,816,611 |
| Iceland Foods Group Ltd., Term Loan B1, 4.99%, 3/08/19 | 849 | 1,297,261 | |
| Pilot Travel Centers LLC, Term Loan B2, 4.25%, 8/07/19 | USD | 395 | 394,702 |
| Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 | 540 | 555,660 | |
| Supervalu, Inc., Refinancing Term Loan B, 5.00%, 3/21/19 | 1,096 | 1,104,998 | |
| US Foods, Inc., Refinancing Term Loan, 4.50%, 3/29/19 | 390 | 390,488 | |
| 10,559,720 | |||
| Food Products 2.2% | |||
| Advance Pierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 1,443 | 1,456,456 | |
| CTI Foods Holding Co, LLC, New 1st Lien Term Loan, 4.50%, 6/30/20 | 520 | 518,481 |
BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013 5
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets)
| Floating Rate Loan Interests (b) | Par (000) | Value | |
|---|---|---|---|
| Food Products (concluded) | |||
| Del Monte Foods Co., Term Loan, 4.00%, 3/08/18 | USD | 1,005 | $ 1,004,869 |
| Dole Food Co., Inc., Term Loan, 3.75% 5.00%, 4/01/20 | 1,606 | 1,605,975 | |
| GFA Brands, Inc., New Term Loan B, 5.00%, 7/09/20 | 295 | 293,711 | |
| Michael Foods Group, Inc., Term Loan, 4.25%, 2/23/18 | 293 | 295,214 | |
| Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/29/19 | 1,520 | 1,504,800 | |
| Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/20 | 1,147 | 1,146,414 | |
| 7,825,920 | |||
| Health Care Equipment & Supplies 5.1% | |||
| Arysta LifeScience Corp.: | |||
| 1st Lien Term Loan, 4.50%, 5/25/20 | 2,105 | 2,118,156 | |
| 2nd Lien Term Loan, 8.25%, 11/30/20 | 885 | 889,425 | |
| Bausch & Lomb, Inc., New Term Loan, 4.00%, 5/17/19 | 1,973 | 1,971,395 | |
| Biomet, Inc., Extended Term Loan B, 3.94% 4.02%, 7/25/17 | 897 | 902,365 | |
| BSN Medical Acquisition Holding GmbH, Term Loan B1A, 5.00%, 8/28/19 | 2,000 | 2,005,000 | |
| Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19 | 948 | 953,563 | |
| CeramTec Gmbh, Term Loan B, 4.25%, 8/14/20 | 1,020 | 1,025,100 | |
| DJO Finance LLC, Term Loan B3, 4.75%, 9/15/17 | 2,620 | 2,642,310 | |
| Hologic, Inc., Term Loan B, 4.50%, 8/01/19 | 1,599 | 1,603,564 | |
| Immucor, Inc., Term Loan B2, 5.00%, 8/17/18 | 1,729 | 1,742,882 | |
| LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 564 | 564,300 | |
| Onex Carestream Health, Inc.: | |||
| 1st Lien Term Loan, 5.00%, 6/07/19 | 770 | 773,373 | |
| 2nd Lien Term Loan, 9.50%, 6/07/19 | 605 | 592,900 | |
| 17,784,333 | |||
| Health Care Providers & Services 3.8% | |||
| American Renal Holdings, Inc.: | |||
| 1st Lien Term Loan, 4.50%, 9/20/19 | 1,591 | 1,571,125 | |
| 2nd Lien Term Loan, 8.50%, 2/14/20 | 885 | 873,937 | |
| Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 | 706 | 710,569 |
| Floating Rate Loan Interests (b) | Par (000) | Value | |
|---|---|---|---|
| Health Care Providers & Services (concluded) | |||
| CHG Buyer Corp., 1st Lien Term Loan, 5.00%, 11/19/19 | USD | 1,084 | $ 1,091,567 |
| ConvaTec, Inc., Term Loan, 5.00%, 12/22/16 | 1,150 | 1,153,707 | |
| DaVita, Inc.: | |||
| New Term Loan B, 4.50%, 10/20/16 | 2,173 | 2,186,154 | |
| Term Loan B2, 4.00%, 11/01/19 | 432 | 434,245 | |
| Emergency Medical Services Corp., Term Loan, 4.00%, 5/25/18 | 923 | 925,516 | |
| Genesis HealthCare Corp., Term Loan B, 10.00% 10.75%, 9/25/17 | 563 | 573,101 | |
| HCA, Inc., Extended Term Loan B4, 2.94%, 5/01/18 | 330 | 330,908 | |
| Ikaria Acquisition, Inc., New Tranche B Loan, 7.25%, 7/03/18 (h) | 380 | 380,714 | |
| inVentiv Health, Inc.: | |||
| Combined Term Loan, 7.50%, 8/04/16 | 183 | 179,757 | |
| Incremental Term Loan B-3, 7.75%, 5/15/18 | 241 | 236,307 | |
| Surgical Care Affiliates LLC, Term Loan, 4.25%, 6/29/18 (h) | 850 | 851,326 | |
| US Renal Care, Inc., 1st Lien Term Loan, 6.25%, 7/02/19 | 1,356 | 1,351,214 | |
| Vanguard Health Holdings Co. II LLC, Term Loan B, 3.75%, 1/29/16 | 324 | 324,288 | |
| 13,174,435 | |||
| Health Care Technology 0.5% | |||
| IMS Health, Inc., Term Loan B1, 3.75%, 9/01/17 | 1,172 | 1,177,463 | |
| MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 | 621 | 623,769 | |
| 1,801,232 | |||
| Hotels, Restaurants & Leisure 5.8% | |||
| Boyd Gaming Corp., Incremental Term Loan, 6.00%, 12/17/15 | 981 | 980,745 | |
| Caesars Entertainment Operating Co., Inc.: | |||
| Extended Term Loan B6, 5.44%, 1/26/18 | 340 | 301,070 | |
| Term Loan, 9.25%, 4/25/17 | 855 | 857,138 | |
| Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20 | 745 | 756,175 | |
| Great Wolf Resorts, Inc., Senior Debt B, 4.50%, 8/31/20 | 895 | 897,980 | |
| Harrahs Property Co., Mezzanine Term Loan, 3.68%, 2/13/14 | 7,448 | 6,880,182 |
6 BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013
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 | |
|---|---|---|---|
| Hotels, Restaurants & Leisure (concluded) | |||
| MGM Resorts International, Term Loan B, 3.50%, 12/20/19 | USD | 1,447 | $ 1,447,235 |
| OSI Restaurant Partners LLC, Term Loan, 3.50%, 10/25/19 | 635 | 637,457 | |
| Sabre, Inc., Term Loan B, 5.25%, 2/19/19 | 851 | 861,068 | |
| Station Casinos, Inc., New Term Loan B, 5.00%, 3/01/20 | 3,227 | 3,255,148 | |
| Travelport LLC: | |||
| 2nd Lien Term Loan 1, 9.50%, 1/29/16 | 575 | 591,773 | |
| Refinancing Term Loan, 6.25%, 6/26/19 | 600 | 598,950 | |
| Twin River Worldwide Holdings, Inc., Term Loan B, 5.25%, 11/09/18 | 1,511 | 1,523,195 | |
| Wendys International, Inc., Term Loan B, 3.25%, 5/15/19 | 581 | 582,376 | |
| 20,170,492 | |||
| Household Products 1.1% | |||
| Prestige Brands, Inc., Term Loan, 3.75% 5.00%, 1/31/19 | 1,234 | 1,243,895 | |
| Spectrum Brands, Inc., New Term Loan, 4.50% 5.50%, 12/17/19 | 2,221 | 2,240,602 | |
| Waddington North America Inc., 2nd Lien Term Loan, 8.50%, 11/30/20 | 245 | 243,775 | |
| 3,728,272 | |||
| Independent Power Producers & Energy Traders 0.5% | |||
| Calpine Corp., Term Loan B1, 4.00%, 4/02/18 | 564 | 567,489 | |
| Star West Generation LLC, New Term Loan B, 4.25%, 3/13/20 | 1,082 | 1,091,087 | |
| 1,658,576 | |||
| Industrial Conglomerates 0.8% | |||
| Sequa Corp., New Term Loan B, 5.25%, 6/19/17 (h) | 2,590 | 2,622,858 | |
| Insurance 2.1% | |||
| Alliant Holdings I, Inc., New Term Loan B, 5.00%, 12/20/19 | 1,129 | 1,139,207 | |
| Asurion LLC, Term Loan B1, 4.50%, 5/24/19 | 1,726 | 1,723,304 | |
| CNO Financial Group, Inc., Term Loan B-2, 3.75%, 9/20/18 | 1,382 | 1,385,850 | |
| Cooper Gay Swett & Crawford Ltd.: | |||
| 1st Lien Term Loan, 5.00%, 4/16/20 | 1,115 | 1,126,150 | |
| 2nd Lien Term Loan, 8.25%, 10/16/20 | 530 | 536,625 | |
| Cunningham Lindsey US, Inc., 1st Lien Term Loan, 5.00%, 12/10/19 | 980 | 982,525 |
| Floating Rate Loan Interests (b) | Par (000) | Value | |
|---|---|---|---|
| Insurance (concluded) | |||
| National Financial Partners Corp., Term Loan B, 5.25%, 6/24/20 | USD | 340 | $ 340,707 |
| 7,234,368 | |||
| Internet Software & Services 0.3% | |||
| Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17 | 1,106 | 1,112,977 | |
| IT Services 3.8% | |||
| CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 | 517 | 518,036 | |
| Ceridian Corp., Extended Term Loan, 5.94%, 5/09/17 | 1,508 | 1,516,451 | |
| First Data Corp.: | |||
| 2018 Term Loan, 4.19%, 9/24/18 | 1,130 | 1,126,972 | |
| Extended 2018 Term Loan B, 4.19%, 3/23/18 | 4,640 | 4,628,186 | |
| Genpact International, Inc., Term Loan B, 3.50%, 8/30/19 | 2,070 | 2,081,252 | |
| InfoGroup, Inc., Term Loan, 7.50%, 5/25/18 | 314 | 285,042 | |
| SunGard Data Systems, Inc.: | |||
| Term Loan D, 4.50%, 1/31/20 | 677 | 685,484 | |
| Term Loan E, 4.00%, 3/08/20 | 195 | 196,458 | |
| TransUnion LLC, Term Loan, 4.25%, 2/10/19 | 2,213 | 2,230,635 | |
| 13,268,516 | |||
| Leisure Equipment & Products 0.1% | |||
| FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19 | 510 | 511,540 | |
| Life Sciences Tools & Services 0.2% | |||
| Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 739 | 750,504 | |
| Machinery 3.1% | |||
| Alliance Laundry Systems LLC: | |||
| 2nd Lien Term Loan, 9.50%, 12/10/19 | 286 | 291,375 | |
| Refinancing Term Loan, 4.50%, 12/07/18 | 492 | 496,282 | |
| Dematic SA, Term Loan, 5.25%, 12/27/19 | 1,060 | 1,063,649 | |
| Gardner Denver, Inc.: | |||
| Term Loan, 4.25%, 7/30/20 | 2,018 | 2,023,103 | |
| Term Loan, 4.75%, 7/30/20 | EUR | 1,109 | 1,475,044 |
| Generac Power Systems, Inc., Term Loan B, 3.50%, 5/29/20 | USD | 2,085 | 2,083,040 |
| Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 (h) | 1,191 | 1,193,978 | |
| Navistar International Corp., Term Loan B, 5.75%, 8/17/17 | 549 | 559,347 | |
| Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 | 781 | 780,045 |
BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013 7
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets)
| Floating Rate Loan Interests (b) | Par (000) | Value | |
|---|---|---|---|
| Machinery (concluded) | |||
| Terex Corp., Term Loan B, 5.00%, 4/28/17 | EUR | 201 | $ 269,964 |
| Wabash National Corp., Term Loan B, 4.50%, 5/02/19 | USD | 661 | 665,992 |
| 10,901,819 | |||
| Marine 0.3% | |||
| HGIM Corp., Term Loan B, 5.50%, 6/18/20 | 1,175 | 1,191,156 | |
| Media 13.2% | |||
| Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20 | 685 | 685,000 | |
| Capsugel Holdings US, Inc., Term Loan B, 4.25%, 8/01/18 | 1,136 | 1,142,159 | |
| Catalina Marketing Corp., Extended Term Loan B, 5.70%, 9/29/17 (h) | 1,355 | 1,370,165 | |
| Cengage Learning Acquisitions, Inc.: | |||
| Non Extended Term Loan, 2.70%, 7/03/14 | 195 | 142,967 | |
| Tranche 1 Incremental, 7.50%, 7/03/14 | 1,101 | 812,569 | |
| Clear Channel Communications, Inc.: | |||
| Term Loan B, 3.84%, 1/29/16 | 43 | 40,165 | |
| Term Loan C, 3.84%, 1/29/16 | 111 | 102,213 | |
| Term Loan D, 6.94%, 1/30/19 | 922 | 851,132 | |
| Cumulus Media, Inc., 1st Lien Term Loan, 4.50%, 9/17/18 | 1,181 | 1,190,604 | |
| EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18 | 1,206 | 1,212,687 | |
| Fender Musical Instrument Corp., Term Loan B, 5.75%, 4/03/19 | 190 | 190,946 | |
| Foxco Acquisition Sub LLC, Term Loan B, 5.50%, 7/14/17 | 1,846 | 1,862,781 | |
| Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 414 | 413,825 | |
| Gray Television, Inc., New Term Loan B, 4.75%, 10/15/19 | 1,041 | 1,050,418 | |
| Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20 | 1,335 | 1,335,000 | |
| Houghton Mifflin Harcourt Publishing Co., DIP Term Loan B, 5.25%, 6/01/18 | 1,146 | 1,147,413 | |
| Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19 | 887 | 888,789 | |
| Intelsat Jackson Holdings SA, Term Loan B1, 4.25%, 4/02/18 | 3,884 | 3,913,359 | |
| Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 2,330 | 2,334,130 | |
| Kabel Deutschland GmbH: | |||
| Term Loan F1, 3.25%, 2/01/19 | 166 | 165,714 | |
| Term Loan H, 2.88%, 4/17/20 | EUR | 4,545 | 6,033,983 |
| Floating Rate Loan Interests (b) | Par (000) | Value | |
|---|---|---|---|
| Media (concluded) | |||
| Lavena Holding 3, Term Loan E, 4.09%, 3/30/17 | EUR | 895 | $ 1,179,208 |
| Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20 | USD | 390 | 393,900 |
| Media General, Inc., Delayed Draw Term Loan, 0.00%, 7/31/20 | 1,120 | 1,120,000 | |
| NEP Supershooters LP: | |||
| 2nd Lien Term Loan, 9.50%, 8/18/20 (h) | 349 | 356,414 | |
| New Term Loan, 4.75%, 1/18/20 | 1,751 | 1,761,409 | |
| Nielsen Finance LLC, Term Loan E, 2.94%, 5/02/16 | 1,027 | 1,031,791 | |
| Rentpath, Inc., Term Loan B, 6.25%, 5/29/20 | 1,255 | 1,228,331 | |
| Salem Communications Corp., Term Loan B, 4.50%, 3/16/20 | 1,051 | 1,054,741 | |
| Springer Science & Business, Term Loan B, 5.00%, 7/31/20 | 2,445 | 2,410,354 | |
| Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20 | 1,085 | 1,088,917 | |
| UPC Financing Partnership, Term Loan AG, 3.88%, 3/26/21 | EUR | 910 | 1,205,655 |
| Virgin Media Investment Holdings: | |||
| Term Loan B, 3.50%, 6/08/20 | USD | 1,485 | 1,483,352 |
| Term Loan C, 4.50%, 6/05/20 | GBP | 1,105 | 1,688,126 |
| WC Luxco Sarl, New Term Loan B3, 4.25%, 3/15/18 | USD | 445 | 445,291 |
| Weather Channel, 2nd Lien Term Loan, 7.00%, 12/11/20 | 1,240 | 1,267,900 | |
| WideOpenWest Finance LLC, Term Loan B, 4.75%, 3/26/19 | 1,356 | 1,366,783 | |
| 45,968,191 | |||
| Metals & Mining 4.3% | |||
| Ameriforge Group, Inc.: | |||
| 1st Lien Term Loan, 5.00%, 12/19/19 | 995 | 996,871 | |
| 2nd Lien Term Loan, 8.75%, 12/18/20 | 495 | 499,950 | |
| Constellium Holding Co. BV, Term Loan B, 6.00%, 3/25/20 | 2,214 | 2,275,347 | |
| FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 | 2,844 | 2,864,235 | |
| Murray Energy Corp., Term Loan, 4.75%, 5/24/19 | 510 | 510,000 | |
| Novelis, Inc., Term Loan, 3.75%, 3/10/17 | 3,048 | 3,063,222 | |
| SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18 | 258 | 255,905 | |
| ThermaSys Corp., Term Loan, 5.25%, 5/03/19 | 1,005 | 1,005,633 | |
| Walter Energy, Inc., Term Loan B, 5.75% 6.75%, 4/02/18 | 2,004 | 1,932,546 |
8 BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013
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 | |
|---|---|---|---|
| Metals & Mining (concluded) | |||
| Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 | USD | 1,684 | $ 1,721,522 |
| 15,125,231 | |||
| Multiline Retail 3.3% | |||
| 99¢ Only Stores, Term Loan, 5.25% 6.25%, 1/11/19 | 1,134 | 1,142,241 | |
| Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20 | 1,282 | 1,290,196 | |
| BJs Wholesale Club, Inc.: | |||
| 2nd Lien Term Loan, 9.75%, 3/26/20 | 545 | 555,448 | |
| Replacement Term Loan, 4.25%, 9/26/19 | 1,092 | 1,096,371 | |
| HEMA Holding BV: | |||
| 2nd Lien Term Loan, 5.12%, 1/05/17 | EUR | 3,800 | 4,726,733 |
| Term Loan B, 2.12%, 7/06/15 | 161 | 211,898 | |
| Term Loan C, 2.87%, 7/05/16 | 148 | 195,038 | |
| JC Penney Corp., Inc., 1st Lien Term Loan, 6.00%, 5/21/18 | USD | 1,420 | 1,427,398 |
| The Neiman Marcus Group, Inc., Extended Term Loan, 4.00%, 5/16/18 | 750 | 751,485 | |
| 11,396,808 | |||
| Oil, Gas & Consumable Fuels 5.9% | |||
| Chesapeake Energy Corp., New New Unsecured Term Loan, 5.75%, 12/01/17 | 2,115 | 2,166,120 | |
| Everest Acquisition LLC, Term Loan B-3, 3.50%, 5/24/18 | 1,755 | 1,754,456 | |
| GIM Channelview Cogeneration, LLC, Term Loan B, 4.25%, 5/04/20 | 710 | 712,663 | |
| Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 913 | 910,331 | |
| Ocean Rig ASA, Term Loan B2, 5.50%, 7/15/16 | 2,235 | 2,251,762 | |
| Pacific Drilling S.A., Term Loan B, 4.50%, 6/04/18 | 1,475 | 1,489,750 | |
| Panda Temple Power LCC, Term Loan B, 7.25%, 4/03/19 | 940 | 951,167 | |
| Philadelphia Energy Solutions LLC, Term Loan B, 6.25%, 4/04/18 | 1,236 | 1,226,817 | |
| Power Team Services, LLC: | |||
| 1st Lien Term Loan, 4.25%, 5/06/20 | 511 | 506,000 | |
| 2nd Lien Term Loan, 8.25%, 11/06/20 | 285 | 279,300 | |
| Delayed Draw Term Loan, 0.50%, 5/06/20 | 64 | 63,250 | |
| Quicksilver Resources, Inc., 2nd Lien, 7.00%, 6/21/19 | 585 | 568,913 |
| Floating Rate Loan Interests (b) | Par (000) | Value | |
|---|---|---|---|
| Oil, Gas & Consumable Fuels (concluded) | |||
| Ruby Western Pipeline Holdings LLC, Term Loan B, 3.50%, 3/27/20 | USD | 769 | $ 768,765 |
| Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18 | 785 | 794,161 | |
| State Class Tankers II LLC, Term Loan B, 6.75%, 6/22/20 | 1,000 | 1,005,000 | |
| Tesoro Corp., Term Loan B, 2.52%, 1/29/16 | 838 | 842,089 | |
| Total Safety US, Inc.: | |||
| 1st Lien Term Loan, 5.75%, 2/21/20 | 1,087 | 1,093,396 | |
| 2nd Lien Term Loan, 9.25%, 8/21/20 | 419 | 426,282 | |
| Vantage Drilling Co.: | |||
| Term Loan, 6.25%, 10/26/17 | 1,739 | 1,751,179 | |
| Term Loan B, 5.75%, 3/22/19 | 893 | 899,458 | |
| 20,460,859 | |||
| Pharmaceuticals 3.9% | |||
| Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17 | 2,358 | 2,363,368 | |
| Par Pharmaceutical Cos., Inc., Refinancing Term Loan B, 4.25%, 9/30/19 | 2,441 | 2,453,670 | |
| Pharmaceutical Product Development, Inc., New Term Loan B, 4.25%, 12/05/18 (h) | 2,091 | 2,106,943 | |
| Quintiles Transnational Corp., Term Loan B, 4.50%, 6/08/18 | 1,280 | 1,288,022 | |
| RPI Finance Trust, Incremental Tranche 2, 4.00%, 11/09/18 | 240 | 241,144 | |
| Valeant Pharmaceuticals International, Inc.: | |||
| Refinancing Term Loan C1, 3.50%, 2/13/19 | 1,642 | 1,656,624 | |
| Refinancing Term Loan D1, 3.50%, 12/11/19 | 1,100 | 1,109,564 | |
| Term Loan E, 4.50%, 8/05/20 | 1,555 | 1,575,168 | |
| Warner Chilcott Corp.: | |||
| Incremental Term Loan B-1, 4.25%, 3/15/18 | 246 | 245,992 | |
| Term Loan B-1, 4.25%, 3/15/18 | 565 | 565,078 | |
| Term Loan B-2, 4.25%, 3/15/18 | 35 | 34,580 | |
| 13,640,153 | |||
| Professional Services 2.1% | |||
| Booz Allen Hamilton, Inc., Term Loan B, 4.50%, 7/31/19 | 1,702 | 1,705,967 | |
| Emdeon Business Services, LLC, Term Loan B-2, 3.75%, 11/02/18 | 1,266 | 1,272,493 | |
| Intertrust Group Holding BV, Term Loan B1, 4.67%, 2/07/20 | EUR | 1,000 | 1,317,885 |
BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013 9
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets)
| Floating Rate Loan Interests (b) | Par (000) | Value | |
|---|---|---|---|
| Professional Services (concluded) | |||
| ON Assignment, Inc., Term Loan B, 3.50%, 4/30/20 | USD | 478 | $ 478,438 |
| Sirva Worldwide, Inc., Term Loan, 7.50%, 3/27/19 | 1,127 | 1,121,539 | |
| Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/01/19 | 1,346 | 1,351,475 | |
| 7,247,797 | |||
| Real Estate Investment Trusts (REITs) 0.5% | |||
| iStar Financial, Inc., Term Loan, 4.50%, 10/16/17 | 1,559 | 1,564,681 | |
| Real Estate Management & Development 1.3% | |||
| Realogy Corp.: | |||
| Extended Letter of Credit, 4.45%, 10/10/16 | 237 | 239,337 | |
| Extended Term Loan, 4.50%, 3/05/20 | 4,065 | 4,108,021 | |
| Letter of Credit, 3.20%, 10/10/13 | 57 | 56,122 | |
| 4,403,480 | |||
| Road & Rail 0.9% | |||
| Genesee & Wyoming, Inc., Term Loan A, 2.20%, 9/29/17 | 669 | 667,758 | |
| RAC Ltd., Term Loan B, 5.49%, 9/28/18 | GBP | 1,182 | 1,805,334 |
| Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18 | USD | 609 | 612,266 |
| 3,085,358 | |||
| Semiconductors & Semiconductor Equipment 0.8% | |||
| Freescale Semiconductor, Inc., Term Loan B4, 5.00%, 2/28/20 | 1,706 | 1,722,253 | |
| NXP BV, Term Loan C, 4.75%, 1/11/20 | 1,025 | 1,042,785 | |
| 2,765,038 | |||
| Software 3.6% | |||
| Blackboard, Inc., Term Loan B2, 6.25%, 10/04/18 | 203 | 205,681 | |
| CompuCom Systems, Inc., Term Loan B, 4.25%, 5/11/20 | 455 | 456,847 | |
| GCA Services Group, Inc.: | |||
| 2nd Lien Term Loan, 9.25%, 10/22/20 | 500 | 507,500 | |
| Term Loan B, 5.25%, 11/01/19 | 1,180 | 1,185,794 | |
| Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 2,010 | 2,035,585 | |
| Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 | 925 | 952,750 | |
| RP Crown Parent LLC, 1st Lien Term Loan, 6.75%, 12/21/18 | 965 | 976,915 | |
| Sophia LP, Term Loan B, 4.50%, 7/19/18 | 1,379 | 1,390,122 |
| Floating Rate Loan Interests (b) | Par (000) | Value | |
|---|---|---|---|
| Software (concluded) | |||
| SS&C Technologies, Inc.: | |||
| Term Loan B-1, 3.50%, 6/07/19 | USD | 1,993 | $ 1,994,282 |
| Term Loan B-2, 3.50%, 6/07/19 | 206 | 206,305 | |
| StoneRiver Holdings, Inc.: | |||
| 1st Lien Term Loan, 4.50%, 11/20/19 | 1,200 | 1,200,756 | |
| 2nd Lien Term Loan, 8.50%, 11/20/20 | 595 | 595,000 | |
| Websence, Inc.: | |||
| 2nd Lien Term Loan, 8.25%, 11/24/20 | 445 | 444,444 | |
| Term Loan B, 4.50%, 6/25/20 | 490 | 488,775 | |
| 12,640,756 | |||
| Specialty Retail 6.5% | |||
| Academy Ltd., Term Loan, 4.50%, 8/03/18 | 1,872 | 1,884,091 | |
| Atlantic Aviation FBO Inc., Term Loan B, 3.25%, 5/20/20 | 355 | 355,444 | |
| Bass Pro Group LLC, New Term Loan, 4.00%, 11/20/19 | 1,618 | 1,627,082 | |
| Burlington Coat Factory Warehouse Corp., New Term Loan B2, 4.25%, 2/23/17 | 365 | 366,257 | |
| Davids Bridal, Inc., Term Loan B, 5.00%, 10/11/19 | 2,024 | 2,037,719 | |
| Equinox Holdings, Inc., Repriced Term Loan B, 4.50% 5.50%, 1/31/20 | 1,207 | 1,213,010 | |
| The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18 | 70 | 67,533 | |
| Harbor Freight Tools USA, Inc., New 1st Lien Term Loan, 4.75%, 7/16/19 | 973 | 982,377 | |
| Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18 (h) | 583 | 584,040 | |
| Leslies Poolmart, Inc., Term Loan B, 5.25%, 10/16/19 | 1,240 | 1,250,759 | |
| Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20 | 1,446 | 1,450,902 | |
| Moneygram International, Inc., Term Loan B, 4.25%, 3/20/20 | 778 | 782,586 | |
| Party City Holdings, Inc., Term Loan B, 4.25%, 7/29/19 | 2,686 | 2,691,634 | |
| PETCO Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 | 1,499 | 1,509,683 | |
| Reddy Ice Corp.: | |||
| 1st Lien Term Loan, 6.75% 7.75%, 3/28/19 | 1,506 | 1,509,991 | |
| 2nd Lien Term Loan, 10.75%, 11/01/19 | 725 | 725,000 |
10 BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets)
| Floating Rate Loan Interests (b) | Par (000) | Value | |
|---|---|---|---|
| Specialty Retail (concluded) | |||
| Sprouts Farmers Markets Holdings, LLC, Term Loan, 4.50%, 4/23/20 | USD | 810 | $ 814,050 |
| SRAM LLC, Term Loan B, 4.00% 5.25%, 4/10/20 | 508 | 509,060 | |
| Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18 | 1,018 | 1,012,711 | |
| Toys R Us Delaware, Inc.: | |||
| Incremental Term Loan B2, 5.25%, 5/25/18 | 471 | 459,113 | |
| Term Loan B3, 5.25%, 5/25/18 | 99 | 96,346 | |
| The Yankee Candle Co., Inc., Term Loan B, 5.25%, 4/02/19 | 858 | 864,780 | |
| 22,794,168 | |||
| Textiles, Apparel & Luxury Goods 0.9% | |||
| Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 2,150 | 2,158,320 | |
| Phillips-Van Heusen Corp., Term Loan B, 3.25%, 2/13/20 | 609 | 611,586 | |
| True Religion Apparel, Inc., Term Loan, 5.88%, 7/29/19 | 200 | 188,500 | |
| 2,958,406 | |||
| Thrifts & Mortgage Finance 0.6% | |||
| Insight Global, Inc., 1st Lien Term Loan, 6.00%, 10/31/19 | 1,199 | 1,207,967 | |
| Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18 | 998 | 1,008,722 | |
| 2,216,689 | |||
| Trading Companies & Distributors 0.4% | |||
| WESCO Distribution, Inc., Term Loan B, 4.50%, 12/12/19 | 1,348 | 1,354,130 | |
| Wireless Telecommunication Services 1.8% | |||
| Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19 | 998 | 1,006,358 | |
| Light Tower Fiber LLC, 1st Lien Term Loan, 4.50%, 4/13/20 | 1,630 | 1,638,655 | |
| Vodafone Americas Finance 2, Inc., PIK Term Loan, 6.88%, 8/11/15 | 3,542 | 3,542,150 | |
| 6,187,163 | |||
| Total Floating Rate Loan Interests 119.5% | 416,527,953 | ||
| Other Interests (i) | Beneficial Interest (000) | Value | |
| Auto Components 0.0% | |||
| Lear Corp. Escrow (d) | USD | 500 | $ 2,500 |
| Construction Materials 0.0% | |||
| USI Senior Holdings (d) | 8 | | |
| Diversified Financial Services 0.2% | |||
| JG Wentworth LLC Preferred Equity Interests (d) | 1 | 460,525 | |
| Hotels, Restaurants & Leisure 0.2% | |||
| Wembley Contigent (d) | 2 | 750,000 | |
| Household Durables 0.0% | |||
| Berkline Benchcraft Equity LLC (d) | 6 | | |
| Total Other Interests 0.4% | 1,213,025 | ||
| Warrants (j) | Shares | ||
| 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 6/28/18) | 181 | 1,700 | |
| (Expires 6/28/19) | 195 | 1,832 | |
| (Expires 6/28/20) | 292 | 2,743 | |
| HMH Holdings/EduMedia, (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike | |||
| Price $42.27) | 1,501 | | |
| 6,275 | |||
| Total Warrants 0.0% | 41,654 | ||
| Total Long-Term Investments (Cost $496,301,639) 143.1% | 499,064,197 |
BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013 11
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets)
| Short-Term Securities | Shares | Value | |
|---|---|---|---|
| Money Market Funds 0.3% | |||
| BlackRock Liquidity Funds, TempFund, Institutional Class, 0.04% (k)(l) | 952,486 | $ 952,486 | |
| Total Short-Term Securities (Cost $952,486) 0.3% | 952,486 | ||
| Options Purchased | Shares | Value | |
| (Cost $25,422) 0.0% | | ||
| Total Investments (Cost $497,254,125*) 143.4% | $ 500,016,683 | ||
| Liabilities in Excess of Other Assets (43.4)% | (151,371,391 | ) | |
| Net Assets 100.0% | $ 348,645,292 |
| Tax cost | $ | |
|---|---|---|
| Gross unrealized appreciation | $ 10,281,969 | |
| Gross unrealized depreciation | (5,581,931 | ) |
| Net unrealized appreciation | $ 4,700,038 |
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) When-issued security. Unsettled when-issued transactions were as follows:
| Counterparty | Value | Unrealized Appreciation (Depreciation) | |
|---|---|---|---|
| Barclays PLC | $ 188,839 | $ 839 | |
| Bank of America NA | $ 474,900 | | |
| Pershing LLC | $ 61,021 | $ 271 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | $ 3,023,637 | $ (38,062 | ) |
(d) Non-income producing security.
(e) Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(f) Convertible security.
(g) Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(h) Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(i) Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(j) 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.
(k) Investments in issuers considered to be an affiliate of the Trust during the period ended July 31, 2013, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliate — BlackRock Liquidity Funds, TempFund, Institutional Class | 2,740,694 | (1,788,208 | ) | 952,486 | Income — $ 1,647 |
|---|---|---|---|---|---|
(l) Represents the current yield as of report date.
12 BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Trust (BGT)
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: | Canadian Dollar |
| --- | --- |
| CHF | Swiss Franc |
| DIP | Debtor-In-Possession |
| EUR | Euro |
| GBP | British Pound |
| USD | US Dollar |
For Trust compliance purposes, the Trusts 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.
Foreign currency exchange contracts as of July 31, 2013 were as follows:
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | |||
|---|---|---|---|---|---|---|---|
| GBP | 1,900,000 | USD | 3,049,038 | Credit Suisse Group AG | 8/01/13 | $ (21,750 | ) |
| EUR | 3,000,000 | USD | 3,942,420 | Citigroup, Inc. | 8/22/13 | 48,873 | |
| EUR | 1,133,000 | USD | 1,504,497 | Deutsche Bank AG | 8/22/13 | 2,881 | |
| EUR | 1,465,000 | USD | 1,930,905 | Deutsche Bank AG | 8/22/13 | 18,176 | |
| USD | 390,416 | EUR | 294,000 | BNP Paribas SA | 8/22/13 | (731 | ) |
| USD | 55,775,426 | EUR | 42,556,000 | Citigroup, Inc. | 8/22/13 | (842,398 | ) |
| USD | 351,899 | EUR | 265,000 | Credit Suisse Group AG | 8/22/13 | (665 | ) |
| USD | 3,245,215 | CAD | 3,377,000 | JPMorgan Chase & Co. | 10/22/13 | (36,170 | ) |
| USD | 1,065,865 | CHF | 1,011,188 | UBS Securities LLC | 10/22/13 | (27,564 | ) |
| USD | 3,047,388 | GBP | 1,990,000 | Credit Suisse Group AG | 10/22/13 | 21,684 | |
| USD | 22,303,394 | GBP | 14,790,000 | Deutsche Bank AG | 10/22/13 | (184,129 | ) |
| Total | $ (1,021,793 | ) |
Over-the-counter options purchased as of July 31, 2013 were as follows:
| Description — Marsico Parent Superholdco LLC | Counterparty — Goldman Sachs Group, Inc. | Call | USD | 942.86 | 12/14/19 | 26 | |
|---|---|---|---|---|---|---|---|
BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013 13
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Trust (BGT)
Credit default swaps sold protection outstanding as of July 31, 2013 were as follows:
| Issuer/Index — Caesars Entertainment Operating Co., Inc. | 5.00 % | Barclays PLC | 9/20/15 | CCC- | USD | 250 | Unrealized Appreciation (Depreciation) — $ 5,539 | |
|---|---|---|---|---|---|---|---|---|
| Caesars Entertainment Operating Co., Inc. | 5.00 % | Citigroup, Inc. | 12/20/15 | CCC- | USD | 189 | 1,513 | |
| Caesars Entertainment Operating Co., Inc. | 5.00 % | Citigroup, Inc. | 12/20/15 | CCC- | USD | 91 | (1,794 | ) |
| Caesars Entertainment Operating Co., Inc. | 5.00 % | JPMorgan Chase & Co. | 12/20/15 | CCC- | USD | 331 | 13,294 | |
| Caesars Entertainment Operating Co., Inc. | 5.00 % | JPMorgan Chase & Co. | 12/20/15 | CCC- | USD | 77 | 30 | |
| Caesars Entertainment Operating Co., Inc. | 5.00 % | Goldman Sachs Group, Inc. | 3/20/16 | CCC- | USD | 131 | (6,107 | ) |
| Caesars Entertainment Operating Co., Inc. | 5.00 % | Goldman Sachs Group, Inc. | 3/20/16 | CCC- | USD | 131 | (6,107 | ) |
| Caesars Entertainment Operating Co., Inc. | 5.00 % | Deutsche Bank AG | 6/20/17 | CCC- | USD | 339 | (44,208 | ) |
| Caesars Entertainment Operating Co., Inc. | 5.00 % | Goldman Sachs Group, Inc. | 3/20/16 | CCC- | USD | 385 | (22,409 | ) |
| Caesars Entertainment Operating Co., Inc. | 5.00 % | Goldman Sachs Group, Inc. | 6/20/16 | CCC- | USD | 500 | (40,177 | ) |
| Caesars Entertainment Operating Co., Inc. | 5.00 % | Citigroup, Inc. | 9/20/16 | CCC- | USD | 175 | (2,441 | ) |
| Caesars Entertainment Operating Co., Inc. | 5.00 % | Goldman Sachs Group, Inc. | 3/20/17 | CCC- | USD | 238 | (30,091 | ) |
| Total | $ (132,958 | ) |
1 Using Standard & Poors 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.
14 BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Trust (BGT)
Fair Value Measurements Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:
Level 1 unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access
Level 2 other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trusts own assumptions used in determining the fair value of investments and derivative financial instruments)
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trusts 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 Trusts policy regarding valuation of investments and derivative financial instruments, please refer to the Trusts most recent financial statements as contained in its semi-annual report.
The following tables summarize the Trusts investments and derivative financial instruments categorized in the disclosure hierarchy as of July 31, 2013:
| Level 1 | Level 2 | Total | |||||
|---|---|---|---|---|---|---|---|
| Assets: | |||||||
| Investments: | |||||||
| Long Term Investments | |||||||
| Asset-Backed Securities | | | $ | 13,101,283 | $ 13,101,283 | ||
| Common Stocks | $ 757,710 | $ 2,832,368 | 235,107 | 3,825,185 | |||
| Corporate Bonds | | 64,355,097 | | 64,355,097 | |||
| Floating Rate Loan Interests | | 376,140,348 | 40,387,605 | 416,527,953 | |||
| Other Interests | | 750,000 | 463,025 | 1,213,025 | |||
| Warrants | | | 41,654 | 41,654 | |||
| Short-Term Securities | 952,486 | | | 952,486 | |||
| Unfunded Loan Commitments | | (325 | ) | | (325 | ) | |
| Total | $ 1,710,196 | $ 444,077,488 | $ | 54,228,674 | $ 500,016,358 | ||
| Level 1 | Level 2 | Level 3 | Total | ||||
| Derivative Financial Instruments 3 | |||||||
| Assets: | |||||||
| Credit contracts | | $ 20,376 | | $ 20,376 | |||
| Foreign currency exchange contracts | | 91,614 | | 91,614 | |||
| Liabilities: | |||||||
| Credit contracts | | (153,334 | ) | | (153,334 | ) | |
| Foreign currency exchange contracts | $ (21,750 | ) | (1,091,657 | ) | | (1,113,407 | ) |
| Total | $ (21,750 | ) | $ (1,133,001 | ) | | $ (1,154,751 | ) |
3 Derivative financial instruments are swaps and foreign currency exchange contracts which are valued at the unrealized appreciation/depreciation on the instrument.
BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013 15
Consolidated Schedule of Investments (concluded) BlackRock Floating Rate Income Trust (BGT)
Certain of the Trusts assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of July 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
| Level 1 | Level 2 | Level 3 | Total | |||
|---|---|---|---|---|---|---|
| Assets: | ||||||
| Cash | $ 616,581 | | | $ 616,581 | ||
| Liabilities: | ||||||
| Foreign currency overdraft | | $ (434,505 | ) | | (434,505 | ) |
| Loans payable | | (132,000,000 | ) | | (132,000,000 | ) |
| Total | $ 616,581 | $ (132,434,505 | ) | | $ (131,817,924 | ) |
There were no transfers between Level 1 and Level 2 during the period ended July 31, 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 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 3 1 | 817,377 | 224,202 | 8,120,740 | | $ | 67,341 | 9,229,660 | |||||
| Transfers out of Level 3 2 | | | (4,859,883 | ) | (7,500 | ) | | (4,867,383 | ) | |||
| Accrued discounts/premiums | 44,901 | | 100,173 | | | 145,074 | ||||||
| Net realized gain (loss) | 100,991 | (2,932 | ) | (344,183 | ) | | | (246,124 | ) | |||
| Net change in unrealized | ||||||||||||
| appreciation/depreciation 3 | 419,176 | 5,756 | 1,059,236 | 40,164 | (31,959 | ) | 1,492,373 | |||||
| Purchases | 4,539,687 | | 27,938,193 | | 6,275 | 32,484,155 | ||||||
| Sales | (1,442,824 | ) | (15 | ) | (18,897,235 | ) | (964,025 | ) | (3 | ) | (21,304,102 | ) |
| Closing Balance, as of July 31, 2013 | $ 13,101,283 | $ | 235,107 | $ | 40,387,605 | $ | 463,025 | $ | 41,654 | $ | 54,228,674 |
1 As of October 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of July 31, 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 $9,229,660 transferred from Level 2 to Level 3 in the disclosure hierarchy.
2 As of October 31, 2012, the Trust used significant unobservable inputs in determining the value of certain investments. As of July 31, 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 $4,867,383 transferred from Level 3 to Level 2 in the disclosure hierarchy.
3 The change in unrealized appreciation/depreciation on investments still held as of July 31, 2013 was $766,268.
The Trusts investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.
16 BLACKROCK FLOATING RATE INCOME TRUST JULY 31, 2013
Item 2 Controls and Procedures
2(a) The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants 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 registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants 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 24, 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: |
|---|
| John M. Perlowski |
| Chief Executive Officer (principal executive officer) of |
| BlackRock Floating Rate Income Trust |
Date: September 24, 2013
| By: |
|---|
| Neal J. Andrews |
| Chief Financial Officer (principal financial officer) of |
| BlackRock Floating Rate Income Trust |
Date: September 24, 2013
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