UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-21566

 

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

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

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

 

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

 

Date of fiscal year end: 10/31/2012

 

Date of reporting period: 01/31/2012

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments January 31, 2012 (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, 0.95%,
9/18/17 (a)(b)

 

USD

1,000

 

$

911,050

 

Ballyrock CDO Ltd., Series 2006-1A,
Class B, 0.86%, 8/28/19 (a)(b)

 

 

1,000

 

 

822,500

 

Canaras Summit CLO Ltd., Series 2007-
1A, Class B, 1.04%, 6/19/21 (a)(b)

 

 

930

 

 

768,440

 

Chatham Light CLO Ltd., Series 2005-
2A, Class A2, 0.83%, 8/03/19 (a)(b)

 

 

1,000

 

 

855,000

 

Flagship CLO, Series 2006-1A, Class B,
0.91%, 9/20/19 (a)(b)

 

 

1,196

 

 

908,960

 

Franklin CLO Ltd., Series 6A, Class B,
0.89%, 8/09/19 (a)(b)

 

 

1,180

 

 

945,652

 

Gannett Peak CLO Ltd., Series 2006-
1X, Class A2, 0.92%, 10/27/20 (b)

 

 

715

 

 

561,275

 

Greyrock CDO Ltd., Series 2005-1X,
Class A2L, 0.88%, 11/15/17 (b)

 

 

1,495

 

 

1,259,837

 

Landmark CDO Ltd., Series 2006-8A,
Class B, 0.92%, 10/19/20 (a)(b)

 

 

1,335

 

 

1,100,694

 

MAPS CLO Fund LLC, Series 2005-1A,
Class C, 1.52%, 12/21/17 (a)(b)

 

 

705

 

 

621,528

 

Portola CLO Ltd., Series 2007-1X, Class
B1, 1.91%, 11/15/21 (b)

 

 

950

 

 

787,835

 

T2 Income Fund CLO Ltd.,
Series 2007-1A, Class B, 1.17%,
7/15/19 (a)(b)

 

 

815

 

 

688,528

 

Total Asset-Backed Securities – 3.1%

 

 

 

 

 

10,231,299

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 

Auto Components— 1.0%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession
Holding Co. LLP:

 

 

 

 

 

 

 

Class B Membership Interests

 

 

37,529

 

 

998,523

 

Class B Membership Interests

 

 

87,569

 

 

2,271,151

 

 

 

 

 

 

 

3,269,674

 

Construction & Engineering — 0.0%

 

 

 

 

 

 

 

USI United Subcontractors

 

 

7,645

 

 

15,289

 

Hotels, Restaurants & Leisure — 0.1%

 

 

 

 

 

 

 

BLB Worldwide Holdings, Inc.

 

 

50,832

 

 

365,990

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

Euramax International

 

 

1,135

 

 

329,208

 

Paper & Forest Products — 0.1%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

CAD

55,255

 

 

73,842

 

Ainsworth Lumber Co. Ltd. (a)

 

 

62,685

 

 

83,772

 

 

 

 

 

 

 

157,614

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

Value

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management
Solutions, Inc.

 

 

2,947

 

$

59

 

HMH Holdings/EduMedia

 

 

115,632

 

 

28,908

 

 

 

 

 

 

 

28,967

 

Total Common Stocks – 1.3%

 

 

 

 

 

4,166,742

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 

Airlines — 0.1%

 

 

 

 

 

 

 

American Airlines Pass-Through
Trust, Class A, Series 2011-2,
8.63%, 4/15/23

 

USD

345

 

 

367,425

 

Auto Components — 0.7%

 

 

 

 

 

 

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

1,515

 

 

1,575,600

 

8.00%, 1/15/18 (a)

 

 

660

 

 

684,750

 

 

 

 

 

 

 

2,260,350

 

Beverages — 0.6%

 

 

 

 

 

 

 

Central European Distribution
Corp., 3.32%, 5/15/14

 

EUR

1,500

 

 

1,471,556

 

Refresco Group BV, 5.46%,
5/15/18 (a)(b)

 

 

500

 

 

634,404

 

 

 

 

 

 

 

2,105,960

 

Building Products — 0.3%

 

 

 

 

 

 

 

Grohe Holding GmbH, 5.43%,
9/15/17 (a)(b)

 

 

700

 

 

860,697

 

Capital Markets — 0.1%

 

 

 

 

 

 

 

E*Trade Financial Corp., 3.34%,
8/31/19 (a)(d)(e)

 

USD

439

 

 

356,139

 

Chemicals — 0.1%

 

 

 

 

 

 

 

Lyondell Chemical Co., 11.00%,
5/01/18

 

 

349

 

 

382,559

 

LyondellBasell Industries NV,
6.00%, 11/15/21 (a)

 

 

110

 

 

119,625

 

 

 

 

 

 

 

502,184

 

Commercial Banks — 2.1%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/17

 

 

2,542

 

 

2,545,178

 

7.00%, 5/02/17 (a)

 

 

400

 

 

401,000

 

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

 

 

3,940

 

 

4,092,675

 

 

 

 

 

 

 

7,038,853

 

Commercial Services & Supplies — 0.3%

 

 

 

 

 

 

 

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

 

 

817

 

 

841,732

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JANUARY 31, 2012

1


 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Trust (BGT)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Consumer Finance — 0.3%

 

 

 

 

 

 

 

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

 

USD

1,015

 

$

1,069,556

 

Containers & Packaging — 0.8%

 

 

 

 

 

 

 

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

 

EUR

400

 

 

533,684

 

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

 

 

329

 

 

370,100

 

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

 

USD

270

 

 

297,675

 

Smurfit Kappa Acquisitions (a):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

655

 

 

895,327

 

7.75%, 11/15/19

 

 

416

 

 

571,356

 

 

 

 

 

 

 

2,668,142

 

Diversified Financial Services — 0.8%

 

 

 

 

 

 

 

Ally Financial, Inc., 2.73%,
12/01/14 (b)

 

USD

1,850

 

 

1,730,353

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

7.13%, 4/15/19

 

 

325

 

 

341,250

 

6.88%, 2/15/21

 

 

490

 

 

510,825

 

 

 

 

 

 

 

2,582,428

 

Diversified Telecommunication Services — 0.2%

 

 

 

 

 

 

 

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

 

 

530

 

 

551,200

 

Energy Equipment & Services — 0.6%

 

 

 

 

 

 

 

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

 

 

1,795

 

 

1,848,850

 

Health Care Providers & Services — 1.6%

 

 

 

 

 

 

 

Crown Newco 3 Plc, 7.00%,
2/15/18 (a)

 

GBP

1,750

 

 

2,674,922

 

HCA, Inc., 6.50%, 2/15/20

 

USD

1,445

 

 

1,531,700

 

Health Management Associates,
Inc., 7.38%, 1/15/20 (a)

 

 

105

 

 

108,150

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

340

 

 

376,550

 

Tenet Healthcare Corp., 6.25%,
11/01/18 (a)

 

 

495

 

 

518,512

 

 

 

 

 

 

 

5,209,834

 

Hotels, Restaurants & Leisure — 0.6%

 

 

 

 

 

 

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

705

 

 

803,700

 

11.13%, 11/15/17

 

 

1,050

 

 

1,194,375

 

 

 

 

 

 

 

1,998,075

 

Household Durables — 0.5%

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,627,500

 

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

 

 

400

 

 

—

 

 

 

 

 

 

 

1,627,500

 

Independent Power Producers & Energy Traders — 1.5%

 

 

 

 

 

 

 

Calpine Corp., 7.25%,
10/15/17 (a)

 

 

1,150

 

 

1,201,750

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Independent Power Producers & Energy Traders (concluded)

 

 

 

 

 

 

 

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

 

USD

1,000

 

$

1,072,500

 

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

 

 

2,350

 

 

2,532,125

 

 

 

 

 

 

 

4,806,375

 

Machinery — 0.9%

 

 

 

 

 

 

 

KION Finance SA, 5.48%,
4/15/18 (a)(b)

 

EUR

3,000

 

 

3,021,595

 

Media — 4.1%

 

 

 

 

 

 

 

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

 

USD

224

 

 

257,652

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

501

 

 

549,848

 

Series B, 9.25%, 12/15/17

 

 

1,704

 

 

1,878,660

 

Kabel BW Erste Beteiligungs
GmbH, 5.68%, 3/15/18 (a)(b)

 

EUR

2,000

 

 

2,609,559

 

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

 

GBP

914

 

 

1,411,476

 

Unitymedia Hessen GmbH & Co. KG:

 

 

 

 

 

 

 

8.13%, 12/01/17 (a)

 

USD

2,500

 

 

2,700,000

 

8.13%, 12/01/17

 

EUR

500

 

 

693,266

 

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

 

GBP

1,197

 

 

2,037,132

 

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

 

EUR

1,005

 

 

1,344,168

 

 

 

 

 

 

 

13,481,761

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

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

 

 

285

 

 

365,338

 

Oil, Gas & Consumable Fuels — 3.4%

 

 

 

 

 

 

 

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

 

USD

342

 

 

365,940

 

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

 

 

3,230

 

 

3,464,175

 

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

 

 

1,500

 

 

1,601,550

 

OGX Petroleo e Gas Participacoes
SA, 8.50%, 6/01/18 (a)

 

 

2,000

 

 

2,066,000

 

Peabody Energy Corp., 6.00%,
11/15/18 (a)

 

 

855

 

 

880,650

 

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

 

 

4,000

 

 

2,770,000

 

 

 

 

 

 

 

11,148,315

 

Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

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

 

 

545

 

 

403,469

 

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

 

 

420

 

 

439,425

 

Verso Paper Holdings LLC, Series
B, 4.18%, 8/01/14 (b)

 

 

450

 

 

299,250

 

 

 

 

 

 

 

1,142,144

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JANUARY 31, 2012

2


 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Trust (BGT)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Pharmaceuticals — 0.1%

 

 

 

 

 

 

 

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

 

USD

485

 

$

492,275

 

Real Estate Management & Development — 0.3%

 

 

 

 

 

 

 

Realogy Corp., 7.63%,
1/15/20 (a)

 

 

890

 

 

890,000

 

Specialty Retail — 0.1%

 

 

 

 

 

 

 

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

 

GBP

349

 

 

483,960

 

Transportation Infrastructure — 0.4%

 

 

 

 

 

 

 

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

 

CHF

1,100

 

 

1,212,928

 

Wireless Telecommunication Services — 1.2%

 

 

 

 

 

 

 

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

 

USD

1,950

 

 

2,067,000

 

iPCS, Inc., 2.55%, 5/01/13 (b)

 

 

1,155

 

 

1,097,250

 

Sprint Nextel Corp., 9.00%,
11/15/18 (a)

 

 

790

 

 

851,225

 

 

 

 

 

 

 

4,015,475

 

Total Corporate Bonds – 22.1%

 

 

 

 

 

72,949,091

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

 

 

 

 

 

 

Aerospace & Defense — 1.3%

 

 

 

 

 

 

 

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

 

 

491

 

 

484,243

 

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

 

 

1,083

 

 

1,023,346

 

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

 

 

1,980

 

 

1,974,812

 

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

 

 

818

 

 

816,570

 

 

 

 

 

 

 

4,298,971

 

Airlines — 0.5%

 

 

 

 

 

 

 

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

 

 

1,809

 

 

1,760,828

 

Auto Components — 2.1%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term
Loan B, 2.79%, 8/07/14

 

 

3,339

 

 

3,305,919

 

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

 

 

1,646

 

 

1,645,184

 

Federal-Mogul Corp.:

 

 

 

 

 

 

 

Term Loan B, 2.22% - 2.24%,
12/29/14

 

 

722

 

 

688,525

 

Term Loan C, 2.22% - 2.24%,
12/28/15

 

 

368

 

 

351,289

 

GPX International Tire Corp. (c)(f):

 

 

 

 

 

 

 

12.00%, 3/30/12

 

 

4

 

 

—

 

8.37%, 3/31/12

 

 

274

 

 

—

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Auto Components (concluded)

 

 

 

 

 

 

 

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

 

USD

941

 

$

942,456

 

 

 

 

 

 

 

6,933,373

 

Beverages — 0.0%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

100

 

Biotechnology — 0.2%

 

 

 

 

 

 

 

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

 

 

801

 

 

805,180

 

Building Products — 2.6%

 

 

 

 

 

 

 

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

 

 

1,390

 

 

1,382,330

 

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

 

 

2,129

 

 

1,968,863

 

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

 

 

3,714

 

 

3,721,703

 

Momentive Performance Materials
(Blitz 06-103 GmbH):

 

 

 

 

 

 

 

Extended Term Loan B, 3.81%,
5/05/15

 

 

355

 

 

346,399

 

Tranche B-2B Term Loan,
4.23%, 5/05/15

 

EUR

812

 

 

1,006,146

 

United Subcontractors, Inc., Term
Loan (First Lien), 4.58%,
6/30/15

 

USD

183

 

 

128,180

 

 

 

 

 

 

 

8,553,621

 

Capital Markets — 1.6%

 

 

 

 

 

 

 

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

 

 

168

 

 

167,670

 

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

 

 

2,096

 

 

2,093,192

 

Nuveen Investments, Inc. (First Lien):

 

 

 

 

 

 

 

Extended Term Loan, 5.80% -
6.08%, 5/12/17

 

 

1,773

 

 

1,758,682

 

Incremental Term Loan,
7.25%, 5/13/17

 

 

425

 

 

424,737

 

Non-Extended Term Loan,
3.30% - 3.58%, 11/13/14

 

 

750

 

 

736,451

 

 

 

 

 

 

 

5,180,732

 

Chemicals — 5.2%

 

 

 

 

 

 

 

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

 

 

1,614

 

 

1,591,084

 

Ashland, Inc., Term Loan B,
3.75%, 8/23/18

 

 

449

 

 

449,854

 

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

 

 

1,800

 

 

1,808,622

 

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

 

 

1,302

 

 

1,294,052

 

MDI Holdings, LLC (FKA
MacDermid, Inc.), Tranche C
Term Loan, 2.92%, 4/11/14

 

EUR

1,418

 

 

1,805,785

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JANUARY 31, 2012

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)

 

 

 

 

 

 

 

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

 

USD

1,390

 

$

1,376,911

 

PolyOne Corp., Term Loan B,
5.00%, 12/20/17

 

 

485

 

 

485,504

 

PQ Corp., Original Term Loan (First
Lien), 3.52%, 7/30/14

 

 

1,342

 

 

1,294,738

 

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

 

 

1,657

 

 

1,508,997

 

Tronox Worldwide LLC, Exit Term
Loan, 7.25%, 10/15/15

 

 

3,168

 

 

3,163,533

 

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

 

 

2,357

 

 

2,325,042

 

 

 

 

 

 

 

17,104,122

 

Commercial Services & Supplies — 3.1%

 

 

 

 

 

 

 

ACCO Brands Corp.:

 

 

 

 

 

 

 

Term Loan, 1.00%, 12/12/12

 

 

932

 

 

—

 

Term Loan B, 1.00%,
12/12/12

 

 

373

 

 

—

 

Altegrity, Inc., Tranche D Term
Loan, 7.75%, 2/20/15

 

 

1,998

 

 

1,989,702

 

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

 

 

1,213

 

 

1,210,277

 

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

 

 

2,175

 

 

2,180,437

 

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

 

 

2,189

 

 

2,175,319

 

Synagro Technologies, Inc., Term
Loan (First Lien), 2.27% - 2.30%,
4/02/14

 

 

1,732

 

 

1,559,232

 

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

 

 

1,210

 

 

1,204,849

 

 

 

 

 

 

 

10,319,816

 

Communications Equipment — 0.8%

 

 

 

 

 

 

 

Avaya, Inc.:

 

 

 

 

 

 

 

Term Loan B, 3.26%,
10/24/14

 

 

776

 

 

752,603

 

Term Loan B-3, 3.26%,
10/26/17

 

 

300

 

 

286,365

 

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

 

 

1,760

 

 

1,760,189

 

 

 

 

 

 

 

2,799,157

 

Construction & Engineering — 1.0%

 

 

 

 

 

 

 

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

 

 

682

 

 

679,305

 

Brand Energy & Infrastructure
Services, Inc. (FR Brand
Acquisition Corp.), Synthetic
Letter of Credit, (First Lien),
3.00%, 2/07/14

 

 

500

 

 

417,290

 

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

 

 

2,100

 

 

2,100,000

 

 

 

 

 

 

 

3,196,595

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Consumer Finance — 1.5%

 

 

 

 

 

 

 

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

 

USD

5,160

 

$

4,792,350

 

Containers & Packaging — 0.9%

 

 

 

 

 

 

 

Sealed Air Corp., Term Loan B,
4.75%, 10/03/18

 

 

1,615

 

 

1,632,048

 

Smurfit Kappa Acquisitions (JSG):

 

 

 

 

 

 

 

Term Loan B1, 3.86% - 4.60%,
12/01/14

 

EUR

458

 

 

598,633

 

Term Loan Facility C1, 4.11% -
4.79%, 12/31/14

 

EUR

453

 

 

594,738

 

 

 

 

 

 

 

2,825,419

 

Diversified Consumer Services — 3.0%

 

 

 

 

 

 

 

Coinmach Service Corp.:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
3.41%, 11/20/14

 

USD

486

 

 

443,847

 

Term Loan, 3.41%, 11/20/14

 

 

2,224

 

 

2,029,790

 

Laureate Education, Extended
Term Loan, 5.25%, 8/15/18

 

 

4,650

 

 

4,335,921

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Closing Date Term Loan,
2.80% - 3.03%, 7/24/14

 

 

2,928

 

 

2,875,895

 

Delayed Draw Term Loan,
2.77%, 7/24/14

 

 

292

 

 

286,396

 

 

 

 

 

 

 

9,971,849

 

Diversified Financial Services — 1.9%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.,
Term Loan B, 6.75% - 6.95%,
2/09/18

 

EUR

4,909

 

 

6,405,304

 

Diversified Telecommunication Services — 4.4%

 

 

 

 

 

 

 

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

 

USD

1,814

 

 

1,834,727

 

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

 

 

1,995

 

 

1,665,512

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Term Loan B2, 5.75%,
9/03/18

 

 

4,600

 

 

4,591,398

 

Term Loan B3, 5.75%,
8/31/18

 

 

2,025

 

 

2,021,213

 

Tranche A Incremental Term
Loan, 2.54% - 2.83%,
3/13/14

 

 

2,550

 

 

2,478,294

 

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

 

 

1,912

 

 

1,803,313

 

 

 

 

 

 

 

14,394,457

 

Electronic Equipment, Instruments & Components — 1.1%

 

 

 

 

 

 

 

CDW LLC, Term Loan, 3.79%,
10/10/14

 

 

1,612

 

 

1,592,186

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JANUARY 31, 2012

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 (concluded)

 

 

 

 

 

 

 

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

 

USD

2,189

 

$

2,182,696

 

 

 

 

 

 

 

3,774,882

 

Energy Equipment & Services — 3.4%

 

 

 

 

 

 

 

CCS Corp., Term Loan B, 3.27%,
11/14/14

 

 

1,801

 

 

1,713,693

 

CCS Income Trust, Inc.,
Incremental Term Loan, 6.50%,
10/17/14

 

 

930

 

 

931,553

 

Dynegy Holdings, Inc.:

 

 

 

 

 

 

 

CoalCo Term Loan, 9.25%,
8/04/16

 

 

1,142

 

 

1,107,554

 

GasCo Term Loan, 9.25%,
8/04/16

 

 

1,451

 

 

1,479,983

 

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

 

 

6,085

 

 

6,074,589

 

 

 

 

 

 

 

11,307,372

 

Food & Staples Retailing — 2.5%

 

 

 

 

 

 

 

AB Acquisitions UK Topco 2 Ltd.,
Facility B1, 3.63%, 7/09/15

 

GBP

4,525

 

 

6,523,764

 

B&G Foods, Inc., Term Loan B,
4.50%, 11/30/18

 

USD

400

 

 

400,400

 

US Foodservice, Inc., Term Loan B,
2.77% - 2.79%, 7/03/14

 

 

1,457

 

 

1,385,002

 

 

 

 

 

 

 

8,309,166

 

Food Products — 4.3%

 

 

 

 

 

 

 

Advance Pierre Foods:

 

 

 

 

 

 

 

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

 

 

2,143

 

 

2,134,175

 

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

 

 

1,530

 

 

1,523,620

 

Birds Eye Iglo Group Ltd. (Liberator
Midco Ltd.), Term Loan B,
5.23%, 4/30/16

 

EUR

3,000

 

 

3,937,216

 

Del Monte Corp., Term Loan B,
4.50%, 3/08/18

 

USD

3,369

 

 

3,288,902

 

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

 

 

312

 

 

311,337

 

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

 

 

1,249

 

 

1,252,395

 

Solvest, Ltd. (Dole):

 

 

 

 

 

 

 

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

 

 

582

 

 

581,991

 

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

 

 

1,080

 

 

1,080,839

 

 

 

 

 

 

 

14,110,475

 

Health Care Equipment & Supplies — 1.3%

 

 

 

 

 

 

 

Biomet, Inc., Term Loan B, 3.28% -
3.57%, 3/25/15

 

 

482

 

 

478,582

 

Capital Safety Group Ltd., Term
Loan B, 0.00%, 1/21/19

 

 

960

 

 

960,000

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Health Care Equipment & Supplies (concluded)

 

 

 

 

 

 

 

DJO Finance LLC, Term Loan,
3.27%, 5/20/14

 

USD

1,010

 

$

981,234

 

Immucor, Inc., Term Loan B,
7.25%, 8/17/18

 

 

1,756

 

 

1,766,134

 

 

 

 

 

 

 

4,185,950

 

Health Care Providers & Services — 4.7%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Non-Extended Delayed Draw
Term Loan, 2.52%, 7/25/14

 

 

71

 

 

70,339

 

Non-Extended Term Loan,
2.52% - 2.77%, 7/25/14

 

 

1,388

 

 

1,369,169

 

ConvaTec, Inc., Term Loan, 5.75%,
12/22/16

 

 

1,213

 

 

1,205,934

 

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

 

 

1,881

 

 

1,888,430

 

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

 

 

2,048

 

 

2,041,772

 

Harden Healthcare, Inc:

 

 

 

 

 

 

 

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

 

 

1,364

 

 

1,336,750

 

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

 

 

823

 

 

806,469

 

Health Management Associates,
New Term Loan B, 4.50%,
11/16/18

 

 

1,435

 

 

1,419,646

 

inVentiv Health, Inc.:

 

 

 

 

 

 

 

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

 

 

744

 

 

714,600

 

Term Loan B, 6.50%, 8/04/16

 

 

1,716

 

 

1,651,035

 

Medpace, Inc., Term Loan, 6.50% -
7.25%, 6/16/17

 

 

1,493

 

 

1,410,413

 

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

 

 

1,485

 

 

1,483,767

 

 

 

 

 

 

 

15,398,324

 

Health Care Technology — 1.3%

 

 

 

 

 

 

 

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

 

 

1,492

 

 

1,493,152

 

Kinetic Concepts, Inc., Term Loan
B, 7.00%, 5/04/18

 

 

1,755

 

 

1,782,062

 

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

 

 

972

 

 

972,677

 

 

 

 

 

 

 

4,247,891

 

Hotels, Restaurants & Leisure — 4.7%

 

 

 

 

 

 

 

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

 

 

1,562

 

 

1,566,551

 

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

 

 

1,060

 

 

1,054,700

 

Caesars Entertainment Operating Co.,
Inc.:

 

 

 

 

 

 

 

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

 

 

1,381

 

 

1,401,430

 

Term Loan B-2, 3.28%,
1/28/15

 

 

708

 

 

640,447

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JANUARY 31, 2012

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)

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc. (concluded):

 

 

 

 

 

 

 

Term Loan B-3, 3.28% -
3.58%, 1/28/15

 

USD

4,874

 

$

4,408,072

 

Dunkin’ Brands, Inc., Term Loan B,
4.00%, 11/23/17

 

 

1,764

 

 

1,759,308

 

OSI Restaurant Partners LLC, Pre-
Funded RC Loan, 2.56% -
2.79%, 6/14/13

 

 

32

 

 

31,459

 

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

 

 

1,429

 

 

1,424,071

 

Six Flags Theme Parks, Inc.,
Tranche B Term Loan, 4.25%,
12/20/18

 

 

1,885

 

 

1,879,345

 

Twin River Worldwide Holdings,
Inc., Term Loan, 8.50%,
11/05/15

 

 

1,254

 

 

1,253,231

 

 

 

 

 

 

 

15,418,614

 

Household Durables — 0.0%

 

 

 

 

 

 

 

Berkline/Benchcraft LLC, Term Loan B,
14.00%, 11/03/13 (c)(f)

 

 

153

 

 

42,539

 

Household Products — 0.6%

 

 

 

 

 

 

 

Prestige Brands International, Inc.,
Term Loan, 1.00%, 12/20/18

 

 

1,830

 

 

1,838,235

 

Independent Power Producers & Energy Traders — 1.6%

 

 

 

 

 

 

 

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

 

 

1,935

 

 

1,934,020

 

Texas Competitive Electric
Holdings Co., LLC (TXU),
Extended Term Loan, 4.80%,
10/10/17

 

 

5,511

 

 

3,396,443

 

 

 

 

 

 

 

5,330,463

 

Industrial Conglomerates — 1.0%

 

 

 

 

 

 

 

Sequa Corp.:

 

 

 

 

 

 

 

Incremental Term Loan,
6.25%, 12/03/14

 

 

675

 

 

678,375

 

Term Loan, 3.69% - 3.84%,
12/03/14

 

 

2,822

 

 

2,779,116

 

 

 

 

 

 

 

3,457,491

 

Insurance — 0.5%

 

 

 

 

 

 

 

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

 

 

1,616

 

 

1,617,668

 

Internet Software & Services — 0.4%

 

 

 

 

 

 

 

Web.com Group, Inc., Term Loan
B, 7.00%, 10/27/17

 

 

1,220

 

 

1,158,763

 

IT Services — 4.2%

 

 

 

 

 

 

 

Ceridian Corp., US Term Loan,
3.27%, 11/10/14

 

 

1,699

 

 

1,587,021

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan,
3.03%, 9/24/14

 

 

1,161

 

 

1,101,424

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

IT Services (concluded)

 

 

 

 

 

 

 

First Data Corp.(concluded):

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan,
4.28%, 3/23/18

 

USD

6,890

 

$

6,043,651

 

First Data Corp. (concluded):

 

 

 

 

 

 

 

Initial Tranche B-3 Term Loan,
3.03%, 9/24/14

 

 

281

 

 

266,414

 

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

 

 

442

 

 

413,863

 

iPayment, Inc., Term Loan B,
5.75%, 5/08/17

 

 

332

 

 

329,297

 

NeuStar, Inc., Term Loan B,
5.00%, 11/08/18

 

 

1,097

 

 

1,099,532

 

SunGard Data Systems, Inc. (Solar
Capital Corp.), Tranche B Term
Loan, 4.02% - 4.06%, 2/26/16

 

 

271

 

 

269,483

 

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

 

 

2,838

 

 

2,840,030

 

 

 

 

 

 

 

13,950,715

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., Term Loan B,
7/20/13

 

 

575

 

 

578,904

 

Machinery — 1.2%

 

 

 

 

 

 

 

Terex Corp.:

 

 

 

 

 

 

 

Term Loan, 6.00%, 4/28/17 EUR

 

 

354

 

 

458,565

 

Term Loan B, 5.50%, 4/28/17USD

 

 

1,597

 

 

1,603,536

 

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

 

 

2,004

 

 

2,001,965

 

 

 

 

 

 

 

4,064,066

 

Media — 21.4%

 

 

 

 

 

 

 

Acosta, Inc., Term Loan, 4.75% -
5.50%, 3/01/18

 

 

1,316

 

 

1,311,031

 

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

 

 

2,084

 

 

1,882,804

 

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

 

 

1,791

 

 

1,778,320

 

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

 

 

875

 

 

869,728

 

Bresnan Telecommunications Co.,
LLC, Term Loan, 4.50%,
12/14/17

 

 

1,554

 

 

1,548,785

 

Capsugel Healthcare Ltd., Term
Loan, 5.25%, 8/01/18

 

 

1,496

 

 

1,503,971

 

Catalina Marketing Corp., Term
Loan, 3.02%, 10/01/14

 

 

1,695

 

 

1,630,976

 

Cengage Learning Acquisitions, Inc.
(Thomson Learning):

 

 

 

 

 

 

 

Term Loan, 2.52%, 7/03/14

 

 

624

 

 

552,065

 

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

 

 

1,118

 

 

1,045,544

 

Charter Communications Operating,
LLC:

 

 

 

 

 

 

 

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

 

 

36

 

 

35,529

 

Term Loan C, 3.83%, 9/06/16

 

 

627

 

 

622,772

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JANUARY 31, 2012

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)

 

 

 

 

 

 

 

Clarke American Corp., Term Loan
B, 2.77% - 3.08%, 6/30/14

 

USD

324

 

$

283,585

 

Clear Channel Communications, Inc.:

 

 

 

 

 

 

 

Term Loan B, 3.92%, 1/28/16

 

 

1,965

 

 

1,572,747

 

Term Loan C, 3.92%, 1/28/16

 

 

420

 

 

319,200

 

Cumulus Media, Inc., Term Loan,
5.75%, 9/17/18

 

 

1,500

 

 

1,500,240

 

Gray Television, Inc., Term Loan B,
3.80%, 12/31/14

 

 

1,475

 

 

1,452,528

 

HMH Publishing Co., Ltd., Tranche
A Term Loan, 6.44%, 6/12/14

 

 

1,862

 

 

1,104,426

 

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

 

 

1,095

 

 

1,094,150

 

Intelsat Jackson Holdings SA,
Tranche B Term Loan, 5.25%,
4/02/18

 

 

10,173

 

 

10,160,409

 

Interactive Data Corp., Term Loan
B, 4.50%, 2/12/18

 

 

3,598

 

 

3,584,321

 

Kabel Deutschland GmbH:

 

 

 

 

 

 

 

Term Loan A, 2.79%, 3/31/14

 

EUR

3,043

 

 

3,959,881

 

Term Loan D, 4.73%,
12/13/16

 

 

1,000

 

 

1,308,050

 

Term Loan E, 3.98%, 6/15/18

 

 

4,000

 

 

5,201,695

 

Term Loan F, 1.00%, 1/20/19

 

USD

1,695

 

 

1,690,238

 

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

 

 

417

 

 

410,886

 

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

 

 

 

 

 

 

 

Facility B1, 3.81%, 3/06/15

 

EUR

304

 

 

334,317

 

Facility C1, 4.06%, 3/04/16

 

 

608

 

 

672,608

 

Liberty Cablevision of Puerto Rico
Ltd., Initial Term Facility, 2.55%,
6/13/14

 

 

1,433

 

 

1,357,294

 

LIN Television Corp., Term Loan B,
5.00%, 12/21/18

 

 

870

 

 

874,350

 

Mediacom Illinois LLC, Tranche D
Term Loan, 5.50%, 3/31/17

 

 

2,207

 

 

2,190,211

 

Newsday LLC:

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,543,125

 

Floating Rate Term Loan,
6.82%, 8/01/13

 

 

1,250

 

 

1,256,250

 

Nielsen Finance LLC, Class B Term
Loan, 4.05%, 5/02/16

 

 

1,710

 

 

1,710,785

 

Serpering Investments BV
(Casema NV), Term Loan B,
3.73%, 3/31/17

 

EUR

619

 

 

807,142

 

Sinclair Television Group, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B3,
1.00%, 10/28/16

 

USD

350

 

 

349,181

 

New Term Loan B, 4.00%,
10/28/16

 

 

1,166

 

 

1,163,190

 

Telesat Canada:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
3.27%, 10/31/14

 

 

372

 

 

370,944

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Telesat Canada (concluded):

 

 

 

 

 

 

 

Term Loan B, 3.27%,
10/31/14

 

USD

4,334

 

$

4,318,324

 

Univision Communications, Inc.,
Extended Term Loan (First Lien),
4.52%, 3/31/17

 

 

2,467

 

 

2,316,734

 

UPC Broadband Holding BV, Term
Loan U, 5.03%, 12/29/17

 

EUR

775

 

 

994,867

 

UPC Financing Partnership:

 

 

 

 

 

 

 

Term Loan, 4.75%, 12/29/17

 

USD

680

 

 

677,110

 

Term Loan T, 3.80%,
12/30/16

 

 

195

 

 

190,125

 

WC Luxco Sarl, New Term Loan
B3, 4.25%, 3/15/18

 

 

530

 

 

529,695

 

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

 

 

2,600

 

 

2,599,362

 

 

 

 

 

 

 

70,679,495

 

Metals & Mining — 2.4%

 

 

 

 

 

 

 

Novelis, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B2,
3.75%, 3/10/17

 

 

434

 

 

431,474

 

Term Loan, 3.75%, 3/10/17

 

 

3,296

 

 

3,275,255

 

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

 

 

846

 

 

841,522

 

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

 

 

3,556

 

 

3,538,928

 

 

 

 

 

 

 

8,087,179

 

Multi-Utilities — 0.0%

 

 

 

 

 

 

 

Mach Gen LLC, Synthetic Letter of
Credit Loan (First Lien), 2.58%,
2/22/13

 

 

69

 

 

63,466

 

Multiline Retail — 2.0%

 

 

 

 

 

 

 

99 Cents Only Stores, Term Loan
B, 6.00%, 1/11/19

 

 

1,315

 

 

1,314,185

 

Hema Holding BV:

 

 

 

 

 

 

 

Facility B, 3.72%, 7/06/15

 

EUR

169

 

 

213,565

 

Facility C, 2.97%, 7/05/16

 

 

169

 

 

212,459

 

Facility D, 5.97%, 1/05/17

 

 

3,800

 

 

4,324,412

 

The Neiman Marcus Group, Inc.,
Term Loan, 4.75%, 5/16/18

 

USD

465

 

 

456,039

 

 

 

 

 

 

 

6,520,660

 

Oil, Gas & Consumable Fuels — 1.9%

 

 

 

 

 

 

 

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

 

 

1,903

 

 

1,793,785

 

Gibson Energy, Term Loan B,
5.75%, 6/15/18

 

 

2,189

 

 

2,190,642

 

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

 

 

2,172

 

 

2,172,344

 

 

 

 

 

 

 

6,156,771

 

Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

NewPage Corp., Term Loan,
8.00%, 3/07/13

 

 

550

 

 

552,981

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JANUARY 31, 2012

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 (concluded)

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC,
Term Loan, 6.68% - 7.43%,
2/01/13 (g)

 

USD

419

 

$

209,394

 

 

 

 

 

 

 

762,375

 

Pharmaceuticals — 3.0%

 

 

 

 

 

 

 

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

 

 

2,673

 

 

2,616,199

 

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

 

 

814

 

 

816,074

 

Pharmaceutical Products
Development, Inc., Term Loan B,
6.25%, 12/05/18

 

 

2,165

 

 

2,178,077

 

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

 

 

1,313

 

 

1,306,465

 

RPI Finance Trust, Term Loan
Tranche 2, 4.00%, 5/09/18

 

 

1,095

 

 

1,092,212

 

Taminco NV, New Term Loan,
1.00%, 1/25/19

 

 

675

 

 

677,248

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

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

 

 

771

 

 

770,466

 

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

 

 

386

 

 

385,233

 

 

 

 

 

 

 

9,841,974

 

Professional Services — 1.0%

 

 

 

 

 

 

 

Emdeon Business Services LLC,
Term Loan B, 6.75%, 11/02/18

 

 

1,800

 

 

1,814,346

 

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

 

 

1,598

 

 

1,595,438

 

 

 

 

 

 

 

3,409,784

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

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

 

 

2,246

 

 

2,236,626

 

Real Estate Management & Development — 1.6%

 

 

 

 

 

 

 

Pivotal Promontory LLC, Term
Loan (Second Lien), 12.00%,
8/31/11(c)(f)

 

 

750

 

 

—

 

Realogy Corp.:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
3.44%, 10/10/13

 

 

1,971

 

 

1,954,192

 

Extended Synthetic Letter of
Credit, 4.53%, 10/10/16

 

 

149

 

 

139,533

 

Extended Term Loan, 4.69%,
10/10/16

 

 

2,575

 

 

2,405,322

 

Synthetic Letter of Credit,
3.20%, 10/10/13

 

 

69

 

 

68,050

 

Term Loan, 3.44%, 10/10/13

 

 

645

 

 

639,436

 

 

 

 

 

 

 

5,206,533

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Road & Rail — 1.0%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC,
Incremental Term Loan, 6.25%,
9/21/18

 

USD

998

 

$

1,004,363

 

RAC Ltd., Term Loan B, 5.52% -
5.83%, 7/30/18

 

GBP

1,500

 

 

2,285,415

 

 

 

 

 

 

 

3,289,778

 

Semiconductors & Semiconductor Equipment — 0.7%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc.,
Extended Maturity Term Loan,
4.55%, 12/01/16

 

USD

561

 

 

547,588

 

Microsemi Corp., Term Loan B,
5.75%, 2/02/18

 

 

849

 

 

851,862

 

NXP BV, Incremental Term Loan,
5.50%, 3/03/17

 

 

853

 

 

844,334

 

 

 

 

 

 

 

2,243,784

 

Software — 0.9%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.:

 

 

 

 

 

 

 

Term Loan (First Lien), 7.50%,
8/20/14

 

 

719

 

 

147,485

 

Term Loan (Second Lien),
8.30%, 8/20/15

 

 

263

 

 

2,498

 

Blackboard, Inc., Term Loan B,
7.50%, 10/04/18

 

 

450

 

 

436,032

 

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

 

 

993

 

 

991,259

 

Sophia, LP, Term Loan B, 6.25%,
7/19/18

 

 

1,100

 

 

1,108,250

 

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

 

 

340

 

 

336,482

 

 

 

 

 

 

 

3,022,006

 

Specialty Retail — 4.0%

 

 

 

 

 

 

 

Academy Ltd., Term Loan, 6.00%,
8/03/18

 

 

1,900

 

 

1,900,722

 

Bass Pro Group LLC, Term Loan,
5.25%, 6/13/17

 

 

150

 

 

149,117

 

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

 

 

1,029

 

 

1,025,298

 

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

 

 

1,990

 

 

1,981,921

 

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

 

 

1,040

 

 

933,962

 

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

 

 

409

 

 

394,049

 

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

 

 

605

 

 

587,820

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 5.13%,
7/29/16

 

 

820

 

 

816,967

 

Term Loan B-2, 5.13%,
7/29/16

 

 

920

 

 

916,881

 

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

 

 

2,358

 

 

2,333,761

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JANUARY 31, 2012

8


 

 

 

 

 

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)

 

 

 

 

 

 

 

Toys ‘R’ Us Delaware, Inc.:

 

 

 

 

 

 

 

Term Loan, 6.00%, 9/01/16

 

USD

1,850

 

$

1,840,197

 

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

 

 

498

 

 

487,863

 

 

 

 

 

 

 

13,368,558

 

Textiles, Apparel & Luxury Goods — 0.3%

 

 

 

 

 

 

 

Phillips-Van Heusen Corp., Term
Loan B, 4.00% - 4.44%,
5/06/16

 

EUR

719

 

 

935,694

 

Wireless Telecommunication Services — 2.7%

 

 

 

 

 

 

 

Crown Castle International Corp.,
Term Loan B, 1.00%, 1/25/19

 

USD

3,000

 

 

2,997,510

 

Digicel International Finance Ltd.,
US Term Loan (Non-Rollover),
3.13%, 3/30/12

 

 

1,522

 

 

1,514,788

 

MetroPCS Wireless, Inc., Term
Loan B, 4.06%, 3/16/18

 

 

1,060

 

 

1,050,841

 

Vodafone Americas Finance 2, Inc. (g):

 

 

 

 

 

 

 

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

 

 

2,558

 

 

2,551,838

 

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

 

 

825

 

 

818,813

 

 

 

 

 

 

 

8,933,790

 

Total Floating Rate Loan Interests – 106.9%

 

 

 

 

 

352,891,865

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

 

 

 

 

 

 

Argentina Bonos:

 

 

 

 

 

 

 

0.44%, 8/03/12 (b)

 

 

1,250

 

 

1,218,256

 

7.00%, 10/03/15

 

 

2,000

 

 

1,911,722

 

Colombia Government
International Bond, 4.04%,
3/17/13 (b)

 

 

240

 

 

242,640

 

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

 

EUR

950

 

 

1,416,618

 

Total Foreign Agency Obligations – 1.4%

 

 

 

 

 

4,789,236

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (h)

 

Beneficial
Interest
(000)

 

 

 

Auto Components — 0.0%

 

 

 

 

 

 

 

Lear Corp. Escrow (c)

 

USD

500

 

 

5,000

 

Diversified Financial Services — 0.3%

 

 

 

 

 

 

 

BGT JGW SPV, LLC (JG Wentworth LLC
Preferred Equity Interests) (c)(i)

 

 

1

 

 

1,176,896

 

 

 

 

 

 

 

 

 

Other Interests (h)

 

Beneficial
Interest
(000)

 

Value

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems
International, Inc. (c)

 

USD

1

 

$

96

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Wembley Contigent (c)

 

 

2

 

 

6,000

 

Household Durables — 0.0%

 

 

 

 

 

 

 

Berkline Benchcraft Equity LLC (c)

 

 

6

 

 

—

 

Total Other Interests – 0.3%

 

 

 

 

 

1,187,992

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

—

 

(Expires 9/30/14)

 

 

3

 

 

—

 

 

 

 

 

 

 

—

 

Software — 0.0%

 

 

 

 

 

 

 

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

 

 

251

 

 

—

 

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

 

 

21,894

 

 

—

 

 

 

 

 

 

 

—

 

Total Warrants – 0.0%

 

 

 

 

 

—

 

Total Long-Term Investments
(Cost – $458,629,725*) – 135.1%

 

 

 

 

 

446,216,225

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.15% (k)(l)

 

 

2,808,861

 

 

2,808,861

 

Total Short-Term Securities
(Cost – $2,808,861) – 0.9%

 

 

 

 

 

2,808,861

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JANUARY 31, 2012

9


 

 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Trust (BGT)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

Value

 

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 - $461,464,008) – 136.0%

 

 

 

 

 

449,025,086

 

Liabilities in Excess of Other Assets – (36.0)%

 

 

 

 

 

(118,861,699

)

Net Assets – 100.0%

 

 

 

 

$

330,163,387

 

 

 

 

*

As of January 31, 2012, the gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes, were as follows:

 

 

 

 

 

 

 

 

Tax cost

 

 

$

458,875,807

 

 

Gross unrealized appreciation

 

 

$

9,070,737

 

 

Gross unrealized depreciation

 

 

 

(18,921,458

)

 

Net unrealized depreciation

 

 

$

(9,850,721

)

 

 

(a)

Security exempt from registration pursuant to Rule 144A under 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)

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

 

 

(g)

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

 

 

(h)

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

 

 

(i)

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

 

 

(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, if any.

 

 

(k)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
October 31,
2011

 

Net
Activity

 

Shares
Held at
January 31,
2012

 

Income

 

BlackRock

 

 

 

 

 

 

 

 

 

 

 

 

 

Liquidity

 

 

 

 

 

 

 

 

 

 

 

 

 

Funds,

 

 

 

 

 

 

 

 

 

 

 

 

 

TempFund,

 

 

 

 

 

 

 

 

 

 

 

 

 

Institutional

 

 

 

 

 

 

 

 

 

 

 

 

 

Class

 

 

1,071,567

 

 

1,737,294

 

 

2,808,861

 

$

208

 

 

 

(l)

Represents the current yield as of report date.


 

 

Portfolio Abbreviations

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

 

 

CAD

Canadian Dollar

CHF

Swiss Franc

EUR

Euro

FKA

Formerly Known As

GBP

British Pound

TBA

To Be Announced

USD

US Dollar

 

 

•

For Trust compliance purposes, the Trust’s industry classifications refer to any one of 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 January 31, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

 

 

Currency Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

 

2,314,985

 

EUR

 

1,770,000

 

Citibank NA

 

2/03/12

 

$

(263

)

 

 

 

 

 

 

 

 

Royal Bank of

 

 

 

 

 

 

CAD

 

179,700

 

USD

 

175,964

 

Scotland Plc

 

4/11/12

 

 

2,971

 

 

 

 

 

 

 

 

 

Royal Bank of

 

 

 

 

 

 

USD

 

1,117,227

 

CHF

 

1,055,000

 

Scotland Plc

 

4/11/12

 

 

(30,264

)

USD

 

14,624,833

 

GBP

 

9,540,500

 

UBS AG

 

4/11/12

 

 

(400,355

)

EUR

 

1,770,000

 

USD

 

2,315,567

 

Citibank NA

 

4/18/12

 

 

206

 

 

 

 

 

 

 

 

 

Royal Bank of

 

 

 

 

 

 

EUR

 

364,000

 

USD

 

474,442

 

Scotland Plc

 

4/18/12

 

 

1,796

 

USD

 

48,963,213

 

EUR

 

38,118,500

 

Citibank NA

 

4/18/12

 

 

(908,984

)

 

 

 

 

 

 

 

 

Royal Bank of

 

 

 

 

 

 

USD

 

1,309,175

 

EUR

 

1,005,000

 

Scotland Plc

 

4/18/12

 

 

(5,713

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

(1,340,606

)

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JANUARY 31, 2012

10


 

 

 

 

 

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 are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 Trust’s most recent financial statements as contained in its annual report.

The following tables summarize the inputs used as of January 31, 2012 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

 

 

—

 

$

3,468,713

 

$

6,762,586

 

$

10,231,299

 

Common Stocks

 

$

157,614

 

 

3,980,220

 

 

28,908

 

 

4,166,742

 

Corporate Bonds

 

 

—

 

 

72,949,091

 

 

—

 

 

72,949,091

 

Floating Rate Loan Interests

 

 

—

 

 

332,271,819

 

 

20,620,046

 

 

352,891,865

 

Foreign Agency Obligations

 

 

—

 

 

1,659,258

 

 

3,129,978

 

 

4,789,236

 

Other Interests

 

 

—

 

 

—

 

 

1,187,992

 

 

1,187,992

 

Short-Term Securities

 

 

2,808,861

 

 

—

 

 

—

 

 

2,808,861

 

Total

 

$

2,966,475

 

$

414,329,101

 

$

31,729,510

 

$

449,025,086

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

—

 

$

4,973

 

 

—

 

$

4,973

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

—

 

 

(1,345,579

)

 

—

 

 

(1,345,579

)

Total

 

 

—

 

$

(1,340,606

)

 

—

 

$

(1,340,606

)

 

 

1

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

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JANUARY 31, 2012

11


 

 

 

 

 

Schedule of Investments (concluded)

BlackRock Floating Rate Income Trust (BGT)

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-
Backed
Securities

 

Common
Stocks

 

Floating Rate
Loan
Interests

 

Foreign
Agency
Obligations

 

Other
Interests

 

Warrants

 

Total

 

Balance, as of October 31, 2011

 

$

6,561,220

 

$

234,634

 

$

32,466,825

 

$

2,961,954

 

$

1,281,000

 

$

227

 

$

43,505,860

 

Accrued discounts/premium

 

 

27,693

 

 

—

 

 

43,716

 

 

38,533

 

 

—

 

 

—

 

 

109,942

 

Net realized gain (loss)

 

 

—

 

 

—

 

 

(42,910

)

 

—

 

 

—

 

 

—

 

 

(42,910

)

Net change in unrealized appreciation/depreciation2

 

 

173,673

 

 

(144,540

)

 

(392,647

)

 

129,491

 

 

(93,008

)

 

(227

)

 

(327,258

)

Purchases

 

 

—

 

 

—

 

 

195,797

 

 

—

 

 

—

 

 

—

 

 

195,797

 

Sales

 

 

—

 

 

—

 

 

(2,645,164

)

 

—

 

 

—

 

 

—

 

 

(2,645,164

)

Transfers in3

 

 

—

 

 

—

 

 

5,351,592

 

 

—

 

 

—

 

 

—

 

 

5,351,592

 

Transfers out3

 

 

—

 

 

(61,186

)

 

(14,357,163

)

 

—

 

 

—

 

 

—

 

 

(14,418,349

)

Balance, as of January 31, 2012

 

$

6,762,586

 

$

28,908

 

$

20,620,046

 

$

3,129,978

 

$

1,187,992

 

 

—

 

$

31,729,510

 

 

 

2

The change in unrealized appreciation/depreciation on securities still held on January 31, 2012 was $(388,943).

 

 

3

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.

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME TRUST

JANUARY 31, 2012

12

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: March 23, 2012
   
  Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
   
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Floating Rate Income Trust
   
  Date: March 23, 2012
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Floating Rate Income Trust
     
  Date: March 23, 2012