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 52nd Street, New York, NY 10055

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

Date of fiscal year end: 10/31/2014

Date of reporting period: 01/31/2014


Item 1 – Schedule of Investments


Consolidated Schedule of Investments January 31, 2014 (Unaudited)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Common Stocks          

Shares

    Value  

Auto Components — 0.0%

      

Lear Corp.

             402      $ 29,077   

Construction & Engineering — 0.0%

      

USI United Subcontractors

             8,067        88,742   

Hotels, Restaurants & Leisure — 0.3%

      

BLB Worldwide Holdings, Inc.

             50,832        1,177,625   

Paper & Forest Products — 0.3%

      

Ainsworth Lumber Co., Ltd. (a)

       220,483        799,777   

Ainsworth Lumber Co., Ltd. (b)

       62,685        227,382   
      

 

 

 
                       1,027,159   

Software — 0.4%

      

HMH Holdings/EduMedia

             75,047        1,371,709   
Total Common Stocks — 1.0%                      3,694,312   
      
                          
Asset-Backed Securities  

Par  

(000)

        

ACAS CLO Ltd., Series 2012-1A, Class D, 5.10%, 9/20/23 (b)(c)

    USD         750        753,751   

ALM VII R Ltd., Series 2013-7RA (b)(c):

      

Class C, 3.69%, 4/24/24

       1,280        1,233,851   

Class D, 5.24%, 4/24/24

       550        526,308   

ALM VII R-2 Ltd., Series 2013- 7R2A, Class B, 2.84%, 4/24/24 (b)(c)

       475        466,450   

Apidos CDO XI, Series 2012-11A, Class D, 4.49%, 1/17/23 (b)(c)

       500        501,428   

Atrium IX, Series 9A, Class D, 3.74%, 2/28/24 (b)(c)

       500        482,286   

Carlyle Global Market Strategies CLO Ltd. (b)(c):

      

Series 2013-1A, Class C, 4.24%, 2/14/25

       250        249,997   

Series 2012-4A, Class D, 4.74%, 1/20/25

       450        453,879   

Cavalry CLO II, Series 2A, Class D, 4.24%, 1/17/24 (b)(c)

       500        491,251   

Cent CLO LP, Series 2013-17A, Class C, 3.74%, 1/30/25 (b)(c)

       500        481,249   

Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.24%, 4/20/23 (b)(c)

       575        574,990   

Goldentree Loan Opportunities VI Ltd., Series 2012-6A, Class D, 4.44%, 4/17/22 (b)(c)

       950        938,355   
Asset-Backed Securities          

Par  

(000)

    Value  

Highbridge Loan Management Ltd., Series 2012-1A, Class C, 5.25%, 9/20/22 (b)(c)

    USD         925      $ 929,816   

ING Investment Management, Series 2012-2A, Class D, 4.79%, 10/15/22 (b)(c)

       950        958,056   

Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.80%, 10/23/25 (b)(c)

       250        240,185   

Marea CLO Ltd., Series 2012-1A, Class D, 4.79%, 10/16/23 (b)(c)

       1,000        1,002,819   

North End CLO Ltd., Series 2013-1A, Class D, 3.74%, 7/17/25 (b)(c)

       500        482,762   

Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.44%, 10/25/25 (b)(c)

       750        713,267   

OZLM Funding Ltd., Series 2012-2A, Class C, 4.59%, 10/30/23 (b)(c)

       500        501,420   

Race Point CLO Ltd., Series 2012-6A, Class D, 4.74%, 5/24/23 (b)(c)

       675        675,808   

Symphony CLO Ltd., Class D (b)(c):

      

Series 2012-10A, 5.49%, 7/23/23

       925        932,750   

Series 2012-9A, 4.49%, 4/16/22

             775        777,076   
Total Asset-Backed Securities — 4.1%                      14,367,754   
      
                          
Corporate Bonds                      

Airlines — 0.6%

      

American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)

       600        624,000   

US Airways Series 2012-2, Class C Pass Through Trust, 5.45%, 6/03/18

       1,585        1,588,962   
      

 

 

 
                       2,212,962   

Auto Components — 1.6%

      

Icahn Enterprises LP/Icahn Enterprises Finance Corp. (b):

      

3.50%, 3/15/17

       673        673,841   

4.88%, 3/15/19

       794        791,023   

Rhino Bondco S.P.A, 5.78%, 12/15/19 (c)

    EUR         3,000        4,055,809   
      

 

 

 
                       5,520,673   

 

                
   BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014    1


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Corporate Bonds  

Par  

(000)

    Value  

Beverages — 0.6%

      

Refresco Group BV (c):

      

4.22%, 5/15/18 (b)

    EUR         500      $ 679,070   

4.22%, 5/15/18

       1,000        1,358,141   
      

 

 

 
                       2,037,211   

Building Products — 0.3%

      

Grohe Holding GmbH, 4.28%, 9/15/17 (b)(c)

             700        940,549   

Capital Markets — 0.2%

      

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

    USD         439        850,014   

Commercial Banks — 0.8%

      

Banco Nacional de Costa Rica, 4.88%, 11/01/18 (b)

       1,500        1,464,000   

Russian Agricultural Bank OJSC Via RSHB Capital SA, 5.10%, 7/25/18

       1,500        1,516,875   
      

 

 

 
                       2,980,875   

Commercial Services & Supplies — 0.2%

      

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

       448        464,642   

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

       210        224,438   
      

 

 

 
                       689,080   

Communications Equipment — 1.0%

      

Avaya, Inc., 7.00%, 4/01/19 (b)

       232        229,100   

Telenet Finance IV Luxembourg SCA, 4.14%, 6/15/21 (c)

    EUR         1,500        2,053,395   

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

    USD         1,010        1,116,050   
      

 

 

 
                       3,398,545   

Construction & Engineering — 0.1%

      

Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)

             237        250,035   

Containers & Packaging — 2.2%

      

Ardagh Packaging Finance PLC:

      

7.38%, 10/15/17 (b)

    EUR         400        575,895   

7.38%, 10/15/17

       300        431,921   

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

       329        477,383   

Guala Closures SpA, 5.59%, 11/15/19 (c)

       1,500        2,049,414   

Smurfit Kappa Acquisitions:

      

7.75%, 11/15/19 (b)

       416        604,563   

3.78%, 10/15/20 (c)

       2,500        3,506,281   
      

 

 

 
                       7,645,457   
Corporate Bonds  

Par  

(000)

    Value  

Diversified Financial Services — 2.0%

      

Ally Financial, Inc.:

      

2.92%, 7/18/16 (c)

    USD         875      $ 893,812   

3.50%, 1/27/19

       1,760        1,738,000   

Level 3 Financing, Inc. (b):

      

3.85%, 1/15/18 (c)

       607        616,105   

6.13%, 1/15/21

       337        344,583   

Travelex Financing PLC, 8.00%, 8/01/18 (b)

    GBP         2,000        3,501,504   
      

 

 

 
                       7,094,004   

Energy Equipment & Services — 0.5%

      

CGG, 7.75%, 5/15/17

    USD         1,795        1,844,363   

Health Care Equipment & Supplies — 1.3%

      

IDH Finance PLC, 5.52%, 12/01/18 (c)

    GBP         2,000        3,338,758   

Ontex IV SA, 4.41%, 4/15/18 (c)

    EUR         1,000        1,345,328   
      

 

 

 
                       4,684,086   

Health Care Providers & Services — 0.8%

      

Priory Group No. 3 PLC, 7.00%, 2/15/18 (b)

    GBP         1,750        3,020,664   

Household Durables — 0.6%

      

Berkline/Benchcraft LLC, 1.00%, 11/03/14

    USD         400          

Verisure Holding AB, 6.73%, 9/01/18 (c)

    EUR         1,500        2,083,741   
      

 

 

 
                       2,083,741   

Independent Power Producers & Energy Traders — 0.6%

  

 

Calpine Corp., 6.00%, 1/15/22 (b)

    USD         212        219,420   

Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:

      

10.00%, 12/01/20

       1,260        1,332,450   

10.00%, 12/01/20 (b)

       585        615,713   
      

 

 

 
                       2,167,583   

Insurance — 0.5%

      

Galaxy Bidco, Ltd., 5.52%, 11/15/19 (c)

    GBP         1,000        1,652,118   

Media — 2.4%

      

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)

    USD         248        257,300   

Odeon & UCI Finco PLC, 5.23%, 8/01/18 (c)

    EUR         1,600        2,039,234   

PortAventura Entertainment Barcelona BV, 5.92%, 12/01/19 (c)

       2,000        2,683,912   

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

    GBP         1,197        2,039,569   

 

                
2    BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Corporate Bonds  

Par  

(000)

    Value  

Media (concluded)

  

 

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

    EUR         1,005      $ 1,398,817   
      

 

 

 
                       8,418,832   

Oil, Gas & Consumable Fuels — 0.1%

  

 

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

    USD         385        414,356   

Road & Rail — 0.1%

  

 

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 2.99%, 12/01/17 (b)(c)

             179        179,895   

Specialty Retail — 1.1%

  

 

DFS Furniture Holdings PLC, 6.53%, 8/15/18 (c)

    GBP         2,000        3,320,675   

House of Fraser Funding PLC, 8.88%, 8/15/18 (b)

       349        621,099   
      

 

 

 
                       3,941,774   

Transportation Infrastructure — 0.4%

  

 

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

    CHF         1,100        1,284,597   

Wireless Telecommunication Services — 1.2%

  

 

Matterhorn Mobile SA, 5.47%, 5/15/19 (c)

    EUR         3,000        4,106,952   

T-Mobile USA, Inc., 6.13%, 1/15/22

    USD         135        138,037   
      

 

 

 
                       4,244,989   
Total Corporate Bonds — 19.2%                      67,556,403   
      
                          
Floating Rate Loan Interests (c)                      

Aerospace & Defense — 1.7%

  

 

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

       1,355        1,358,488   

SI Organization, Inc., Term Loan B, 5.50%, 11/22/16

       1,061        1,037,336   

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

       953        959,582   

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

       515        517,956   

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

       2,277        2,301,641   
      

 

 

 
                       6,175,003   

Airlines — 0.9%

  

 

Delta Air Lines, Inc., Term Loan:

      

3.49%, 9/16/15

       841        815,593   

New B1, 4.00%, 10/18/18

       448        449,046   
Floating Rate Loan Interests (c)  

Par  

(000)

    Value  

Airlines (concluded)

  

 

Northwest Airlines, Inc.:

      

2.24%, 3/10/17

    USD         553      $ 510,143   

1.62%, 9/10/18

       724        639,077   

US Airways Group, Inc., New Term Loan B1, 3.50%, 5/23/19

       700        702,737   
      

 

 

 
                       3,116,596   

Auto Components — 3.1%

  

 

Autoparts Holdings Ltd., 1st Lien Term Loan, 6.50%, 7/28/17

       1,591        1,583,440   

Dayco Products LLC, New Term Loan B, 5.25%, 12/12/19

       970        977,275   

Federal-Mogul Corp.:

      

Term Loan B, 2.11%, 12/29/14

       2,954        2,932,036   

Term Loan C, 2.11%, 12/28/15

       1,420        1,409,434   

Goodyear Tire & Rubber Co., New 2nd Lien Term Loan, 4.75%, 4/30/19

       1,705        1,720,533   

GPX International Tire Corp., Term Loan (a)(f):

      

PIK, 0.00%, 3/30/12

       4          

0.00%, 3/31/12

       274          

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

       135        136,181   

Transtar Holding Co., 1st Lien Term Loan, 5.50%, 10/09/18

       1,304        1,274,171   

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

       922        925,822   
      

 

 

 
                       10,958,892   

Beverages — 0.0%

  

 

Le-Nature’s, Inc., Tranche B Term Loan, 0.00%, 3/01/11 (a)(f)

             1,000        100   

Biotechnology — 0.2%

  

 

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

             858        864,049   

Building Products — 1.8%

  

 

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

       605        605,613   

Continental Building Products LLC, 1st Lien Term Loan, 4.75%, 8/14/20

       718        716,404   

CPG International, Inc., New Term Loan, 4.75%, 9/30/20

       1,930        1,940,624   

Ply Gem Industries, Inc., Term Loan, 4.75%, 1/16/21

       130        130,217   

Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20

       768        773,674   

 

                
   BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014    3


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)           Par  
(000)
    Value  

Building Products (concluded)

      

United Subcontractors, Inc., Term Loan, 4.25%, 6/30/15

    USD         214      $ 203,704   

Wilsonart LLC:

      

Incremental Term Loan B2, 4.00%, 10/31/19

       515        515,000   

Term Loan B, 4.00%, 10/31/19

       1,539        1,539,928   
      

 

 

 
                       6,425,164   

Capital Markets — 0.4%

      

American Capital Holdings, Inc., New Term Loan, 4.00%, 8/22/16

       256        257,531   

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

       784        785,581   

KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17

       291        292,177   
      

 

 

 
                       1,335,289   

Chemicals — 3.7%

      

Allnex USA, Inc.:

      

Term Loan B1, 4.50%, 10/03/19

       596        599,122   

Term Loan B2, 4.50%, 10/03/19

       309        310,855   

CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20

       72        72,321   

Chemtura Corp., Term Loan B, 3.50%, 8/27/16

       356        358,316   

Chromaflo Technologies Corp.:

      

1st Lien Term Loan, 4.50%, 11/30/19

       700        704,375   

2nd Lien Term Loan, 8.25%, 5/30/20

       295        297,950   

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

       1,267        1,274,533   

INEOS US Finance LLC:

      

3 Year Term Loan, 2.16%, 5/04/15

       230        230,551   

6 Year Term Loan, 4.00%, 5/04/18

       563        565,184   

MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/08/20

       751        756,236   

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

       1,181        1,175,172   

OXEA Finance LLC:

      

2nd Lien Term Loan, 8.25%, 7/15/20

       845        863,489   

Term Loan B2, 4.25%, 1/15/20

       1,426        1,434,456   

Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18

       422        423,637   
Floating Rate Loan Interests (c)           Par  
(000)
    Value  

Chemicals (concluded)

      

Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20

    USD         353      $ 354,108   

Tronox Pigments (Netherlands) BV, Term Loan, 4.50%, 3/19/20

       1,206        1,218,854   

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

       606        601,925   

US Coatings Acquisition Inc., Term Loan, 4.75%, 2/01/20

       1,925        1,941,335   
      

 

 

 
                       13,182,419   

Commercial Banks — 0.3%

      

Redtop Acquisitions Ltd.:

      

1st Lien Term Loan, 4.50%, 12/03/20

       835        840,912   

2nd Lien Term Loan, 8.25%, 12/03/21

       185        188,700   
      

 

 

 
                       1,029,612   

Commercial Services & Supplies — 3.7%

      

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

       1,894        1,899,100   

AWAS Finance Luxembourg 2012 SA, New Term Loan, 3.50%, 7/16/18

       249        249,529   

Brand Energy & Infrastructure Services, Inc., New Term Loan B, 4.75%, 11/26/20

       2,317        2,325,676   

Catalent Pharma Solutions, Inc., New Term Loan, 6.50%, 12/29/17

       300        303,501   

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

       889        894,138   

Livingston International, Inc.:

      

1st Lien Term Loan, 5.00%, 4/16/19

       816        818,617   

2nd Lien Term Loan, 9.00%, 4/20/20

       528        537,028   

Progressive Waste Solutions Ltd., Term Loan B, 3.00%, 10/24/19

       822        823,960   

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

       1,202        1,201,895   

Spin Holdco, Inc., New Term Loan B, 4.25%, 11/14/19

       2,206        2,224,187   

West Corp., Term Loan B10, 3.25%, 6/30/18

       1,599        1,601,567   
      

 

 

 
                       12,879,198   

Communications Equipment — 2.7%

      

Alcatel-Lucent USA, Inc., Term Loan C, 5.75%, 1/30/19

       2,432        2,452,975   

 

                
4    BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)  

Par  

(000)

    Value  

Communications Equipment (concluded)

      

Applied Systems, Inc.:

      

New 1st Lien Term Loan, 4.25%, 1/25/21

    USD         460      $ 464,315   

New 2nd Lien Term Loan, 5.50%, 1/24/22

       230        235,175   

Avaya, Inc.:

      

Extended Term Loan B3, 4.74%, 10/26/17

       849        828,877   

Term Loan B5, 8.00%, 3/30/18

       80        80,716   

Blackboard, Inc., Term Loan B3, 4.75%, 10/04/18

       203        204,720   

CommScope, Inc.:

      

Term Loan B3, 2.74%, 1/21/17

       421        421,144   

Term Loan B4, 3.25%, 1/26/18

       632        631,716   

Telesat Canada, Term Loan A, 4.28%, 3/24/17

    CAD         2,784        2,496,090   

Zayo Group LLC, Term Loan B, 4.00%, 7/02/19

    USD         1,553        1,560,300   
      

 

 

 
                       9,376,028   

Construction & Engineering — 1.0%

      

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

       563        562,549   

Centaur Acquisition LLC:

      

New 1st Lien Term Loan, 5.25%, 2/20/19

       1,509        1,522,268   

New 2nd Lien Term Loan, 8.75%, 2/15/20

       745        760,831   

USIC Holdings, Inc., 1st Lien Term Loan, 4.75%, 7/10/20

       706        709,544   
      

 

 

 
                       3,555,192   

Construction Materials — 1.5%

      

Filtration Group Corp.:

      

1st Lien Term Loan, 4.50%, 11/21/20

       590        595,900   

2nd Lien Term Loan, 8.25%, 11/21/21

       320        328,000   

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

       3,787        3,801,004   

McJunkin Red Man Corp., New Term Loan, 5.00%, 11/08/19

       399        403,612   
      

 

 

 
                       5,128,516   

Consumer Finance — 0.5%

      

Springleaf Financial Funding Co., Term Loan B2, 4.75%, 9/25/19

             1,860        1,881,260   
Floating Rate Loan Interests (c)  

Par  

(000)

    Value  

Containers & Packaging — 1.2%

      

Ardagh Holdings USA, Inc., Incremental Term Loan, 4.25%, 12/17/19

    USD         565      $ 566,412   

Ardagh Packaging Finance PLC, Term Loan B, 4.25%, 12/17/19

       780        782,441   

Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/09/21

       485        484,132   

Clondalkin Acquisition BV, 1st Lien Term Loan B, 5.75%, 5/29/20

       886        889,978   

Polarpak, Inc., 1st Lien Canadian Borrower, 4.50% - 5.50%, 6/05/20

       225        227,389   

Sealed Air Corp., 2013 Term Loan, 3.00%, 10/03/18

       886        891,819   

WNA Holdings, Inc.:

      

1st Lien, 4.50% - 5.50%, 6/07/20

       122        123,520   

2nd Lien Term Loan, 8.50%, 12/07/20

       245        247,756   
      

 

 

 
                       4,213,447   

Distributors — 1.2%

      

ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20

       2,848        2,858,200   

Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19

       495        494,382   

VWR Funding, Inc., Term Loan, 3.45%, 4/03/17

       728        730,073   
      

 

 

 
                       4,082,655   

Diversified Consumer Services — 2.6%

      

Bright Horizons Family Solutions, Inc., New Term Loan B, 4.00%, 1/30/20

       1,490        1,496,774   

Doncasters Finance US LLC, Term Loan, 5.50%, 4/09/20

       551        556,864   

Garda World Securities Corp.:

      

Delayed Draw Term Loan, 3.00%, 11/08/20

       139        139,266   

New Term Loan B, 4.00%, 11/06/20

       542        544,402   

Iglo Foods Midco Ltd., Term Loan F, 4.99%, 10/31/17

    EUR         2,620        3,553,331   

ROC Finance LLC, Term Loan, 5.00%, 5/15/19

    USD         658        642,306   

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

       1,243        1,239,085   

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

       1,241        1,106,910   
      

 

 

 
                       9,278,938   

 

                
   BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014    5


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)           Par  
(000)
    Value  

Diversified Financial Services — 3.6%

      

ION Trading Technologies Sarl:

      

1st Lien Term Loan, 4.50%, 5/22/20

    USD         791      $ 796,760   

2nd Lien Term Loan, 8.25%, 5/21/21

       220        222,932   

Kasima LLC, New Term Loan B, 3.25%, 5/17/21

       930        929,609   

Level 3 Financing, Inc., New Term Loan, 4.00%, 8/01/19

       560        562,800   

RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18

       239        240,328   

SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20

       1,575        1,580,418   

SIG Euro Holdings AG & Co. KG, Term Loan, 4.25%, 12/02/18

    EUR         4,950        6,728,203   

WMG Acquisition Corp., New Term Loan, 3.75%, 7/01/20

    USD         1,636        1,639,990   
      

 

 

 
                       12,701,040   

Diversified Telecommunication Services — 4.3%

      

Consolidated Communications, Inc., New Term Loan B, 4.25%, 12/23/20

       2,332        2,354,719   

Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19

       1,452        1,458,924   

Integra Telecom, Inc.:

      

2nd Lien Term Loan, 9.75%, 2/21/20

       685        702,837   

Term Loan B, 5.25%, 2/22/19

       1,226        1,240,042   

ISS Holdings A/S, Term Loan B12, 3.75%, 4/30/18

       1,990        1,992,487   

Level 3 Financing, Inc., 2020 Term Loan B, 4.00%, 1/15/20

       4,225        4,250,519   

Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19

       1,183        1,188,435   

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

       1,878        1,886,908   
      

 

 

 
                       15,074,871   

Electric Utilities — 0.4%

      

American Energy - Utica LLC, 2nd Lien Term Loan, 11.00%, 9/30/18

       595        595,421   

Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20

       795        796,987   
      

 

 

 
                       1,392,408   
Floating Rate Loan Interests (c)           Par  
(000)
    Value  

Electrical Equipment — 0.8%

      

Texas Competitive Electric Holdings Co. LLC, Extended Term Loan, 4.66% - 4.75%, 10/10/17

    USD         4,025      $ 2,799,267   

Electronic Equipment, Instruments & Components — 0.2%

      

CDW LLC, New Term Loan, 3.25%, 4/29/20

             868        868,708   

Energy Equipment & Services — 0.8%

      

Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20

       1,109        1,114,284   

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

       964        971,148   

Unifrax Corp., New Term Loan, 4.25%, 11/28/18

       577        578,864   
      

 

 

 
                       2,664,296   

Food & Staples Retailing — 2.8%

      

Alliance Boots Holdings Ltd., Term Loan B1, 3.47%, 7/09/15

    GBP         3,856        6,326,827   

Iceland Foods Group Ltd., Term Loan B1, 5.03%, 3/08/19

       849        1,408,453   

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

    USD         540        551,205   

Supervalu, Inc., Refinancing Term Loan B, 5.00%, 3/21/19

       1,088        1,094,324   

US Foods, Inc., Refinancing Term Loan, 4.50%, 3/29/19

       388        391,445   
      

 

 

 
                       9,772,254   

Food Products — 3.0%

      

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

       537        536,744   

CTI Foods Holding Co. LLC, New 1st Lien Term Loan, 4.50%, 6/29/20

       519        518,918   

Del Monte Foods Co., Term Loan:

      

1st Lien, 4.00%, 11/06/20

       1,055        1,058,629   

4.00%, 3/08/18

       1,005        1,008,889   

Dole Food Co., Inc., New Term Loan B, 4.50%, 11/01/18

       1,490        1,501,175   

GFA Brands, Inc., New Term Loan B, 5.00%, 7/09/20

       294        294,937   

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

       284        285,944   

Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19

       1,512        1,535,086   

Pinnacle Foods Finance LLC:

      

Incremental Term Loan H, 3.25%, 4/29/20

       324        324,593   

Term Loan G, 3.25%, 4/29/20

       1,141        1,142,642   

 

                
6    BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)  

Par  

(000)

    Value  

Food Products (concluded)

  

 

Reddy Ice Corp.:

      

1st Lien Term Loan, 6.75% - 7.75%, 5/01/19

    USD         1,499      $ 1,494,928   

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

       725        703,250   
      

 

 

 
                       10,405,735   

Gas Utilities — 0.2%

  

 

EFS Cogen Holdings I LLC, Term Loan B, 3.75%, 12/17/20

             865        870,043   

Health Care Equipment & Supplies — 3.9%

  

 

Arysta LifeScience Corp.:

      

1st Lien Term Loan, 4.50%, 5/29/20

       2,094        2,104,947   

2nd Lien Term Loan, 8.25%, 11/30/20

       885        899,939   

Biomet, Inc., Term Loan B2, 3.66% - 3.75%, 7/25/17

       1,457        1,465,342   

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

       943        943,272   

Capsugel Holdings US, Inc., New Term Loan B, 3.50%, 8/01/18

       1,034        1,035,732   

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

       1,954        1,967,745   

The Hologic, Inc., New Term Loan B, 3.75%, 8/01/19

       1,292        1,300,001   

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

       1,721        1,732,868   

Kinetic Concepts, Inc., Term Loan E1, 4.00%, 5/04/18

       319        321,431   

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

       502        487,808   

Onex Carestream Finance LP:

      

1st Lien Term Loan, 5.00%, 6/07/19

       751        760,930   

2nd Lien Term Loan, 9.50%, 12/07/19

       605        615,588   
      

 

 

 
                       13,635,603   

Health Care Providers & Services — 6.0%

  

 

American Renal Holdings, Inc.:

      

1st Lien Term Loan, 4.50%, 9/20/19

       1,583        1,583,037   

2nd Lien Term Loan, 8.50%, 2/14/20

       885        887,213   

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

       703        709,929   

CHG Buyer Corp., New Term Loan, 4.25%, 11/19/19

       1,083        1,091,600   
Floating Rate Loan Interests (c)  

Par  

(000)

    Value  

Health Care Providers & Services (concluded)

  

 

CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21

    USD         5,280      $ 5,334,806   

ConvaTec, Inc., Term Loan, 4.00%, 12/22/16

       1,150        1,162,686   

DaVita, Inc.:

      

New Term LoanB, 4.50%, 10/20/16

       2,161        2,172,241   

Term Loan B2, 4.00%, 11/01/19

       430        432,841   

Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20

       633        638,163   

Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18

       918        922,306   

Fresenius SE & Co. KgaA:

      

Incremental Term Loan B, 2.25%, 6/30/19

    EUR         320        430,863   

Term Loan B, 2.25%, 8/07/19

       1,641        1,640,641   

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

    USD         549        561,023   

HCA, Inc., Extended Term Loan B4, 3.00%, 5/01/18

       329        329,294   

Ikaria Acquisition, Inc., New 1st Lien Term Loan, 7.25%, 7/03/18

       371        371,197   

inVentiv Health, Inc.:

      

Combined Term Loan, 7.50%, 8/04/16

       183        182,537   

Incremental Term Loan B3, 7.75%, 5/15/18

       241        239,024   

National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/27/21

       405        407,657   

Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.25%, 6/29/18

       846        847,864   

US Renal Care, Inc., Term Loan, 4.25%, 7/03/19

       1,284        1,293,712   
      

 

 

 
                       21,238,634   

Health Care Technology — 0.5%

  

 

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

       1,170        1,178,236   

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

       490        490,946   
      

 

 

 
                       1,669,182   

Hotels, Restaurants & Leisure — 8.9%

  

 

Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20

       1,142        1,150,349   

Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20

       728        730,250   

Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20

       1,995        2,019,937   

 

                
   BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014    7


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)   Par  
(000)
    Value  

Hotels, Restaurants & Leisure (concluded)

      

Caesars Entertainment Resort Properties, LLC, Term Loan B, 7.00%, 10/12/20

    USD         6,255      $ 6,324,618   

Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20

       745        761,763   

Hilton Worldwide Finance, LLC, Term Loan B2, 3.75%, 10/26/20

       5,304        5,334,742   

Intrawest ULC, Term Loan, 5.50%, 11/26/20

       785        796,775   

Las Vegas Sands LLC, New Term Loan B, 3.25%, 12/20/20

       1,000        1,002,120   

Marina District Finance Co., Inc., Term Loan B, 6.75%, 8/15/18

       895        902,831   

MGM Resorts International, Term Loan B, 3.50%, 12/20/19

       1,439        1,439,056   

OSI Restaurant Partners LLC, New Term Loan, 3.50%, 10/25/19

       369        369,944   

Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20

       1,368        1,374,282   

Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19

       1,082        1,089,734   

Sabre, Inc.:

      

Incremental Term Loan, 4.50%, 2/19/19

       309        309,806   

Term Loan B, 5.25%, 2/19/19

       847        851,178   

Station Casinos, Inc., New Term Loan B, 5.00%, 3/02/20

       3,211        3,241,240   

Travelport LLC:

      

2nd Lien Term Loan 1, 9.50%, 1/29/16

       575        593,446   

Refinancing Term Loan, 6.25%, 6/26/19

       841        859,339   

Twin River Management Group, Inc., Term Loan B, 5.25%, 11/09/18

       1,500        1,510,766   

Wendy’s International, Inc., New Term Loan B, 3.25%, 5/15/19

       578        579,221   
      

 

 

 
                       31,241,397   

Household Products — 1.2%

      

Bass Pro Group LLC, New Term Loan, 3.75%, 11/20/19

       1,699        1,710,147   

Prestige Brands, Inc., New Term Loan, 3.75% - 5.00%, 1/31/19

       825        829,869   

Spectrum Brands, Inc.:

      

Term Loan A, 3.00%, 9/07/17

       618        619,733   

Term Loan C, 3.50%, 9/04/19

       906        908,661   
      

 

 

 
                       4,068,410   
Floating Rate Loan Interests (c)   Par  
(000)
    Value  

Independent Power Producers & Energy Traders — 1.2%

  

    

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

    USD         561      $ 564,384   

La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20

       2,427        2,448,939   

Star West Generation LLC, New Term Loan B, 4.25%, 3/13/20

       1,077        1,083,593   
      

 

 

 
                       4,096,916   

Industrial Conglomerates — 0.7%

      

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

             2,577        2,547,380   

Insurance — 2.4%

      

Alliant Holdings I, Inc., New Term Loan B, 4.25%, 12/20/19

       1,124        1,134,886   

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

       1,718        1,716,585   

CNO Financial Group, Inc., Term Loan B2, 3.75%, 9/20/18

       1,382        1,382,907   

Cooper Gay Swett & Crawford Ltd.:

      

1st Lien Term Loan, 5.00%, 4/16/20

       1,109        1,091,397   

2nd Lien Term Loan, 8.25%, 10/16/20

       530        507,475   

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

       975        973,522   

Hub International Ltd., Term Loan B, 4.75%, 10/02/20

       1,167        1,179,481   

National Financial Partners Corp., Term Loan, 5.25%, 7/01/20

       338        340,942   
      

 

 

 
                       8,327,195   

Internet Software & Services — 1.3%

      

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

       1,820        1,825,477   

Open Text Corp., Term Loan B, 3.25%, 1/04/21

       745        746,863   

W3 Co.:

      

1st Lien Term Loan, 5.75%, 3/13/20

       1,082        1,083,177   

2nd Lien Term Loan, 9.25%, 9/11/20

       419        423,140   

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

       628        633,120   
      

 

 

 
                       4,711,777   

IT Services — 2.8%

      

Ceridian Corp., New Term Loan B, 4.41%, 5/09/17

       1,733        1,740,375   

First Data Corp., Term Loan:

      

Extended Term Loan B, 4.16%, 3/23/18

       4,410        4,405,376   

Term Loan, 4.16%, 9/24/18

       680        679,436   

 

                
8    BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)           Par  
(000)
    Value  

IT Services (concluded)

      

Genpact International, Inc., Term Loan B, 3.50%, 8/30/19

    USD         2,059      $ 2,061,805   

InfoGroup, Inc., New Term Loan, 8.00%, 5/25/18

       314        264,494   

SunGard Data Systems, Inc.:

      

Term Loan D, 4.50%, 1/31/20

       673        675,051   

Term Loan E, 4.00%, 3/09/20

       194        194,407   
      

 

 

 
                       10,020,944   

Leisure Equipment & Products — 0.1%

      

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

             508        513,725   

Life Sciences Tools & Services — 0.5%

      

Patheon, Inc. Term Loan:

      

7.25%, 12/06/18

       736        733,480   

7.25%, 1/09/21

       975        972,563   
      

 

 

 
                       1,706,043   

Machinery — 4.0%

      

Allegion US Holding Co., Inc., Term Loan B, 3.00%, 9/30/20

       560        560,000   

Alliance Laundry Systems LLC:

      

2nd Lien Term Loan, 9.50%, 12/10/19

       286        289,408   

Refinancing Term Loan, 4.25%, 12/10/18

       472        474,194   

Faenza Acquisition GmbH:

      

Term Loan B1, 4.25%, 8/31/20

       727        734,477   

Term Loan B3, 4.25%, 8/28/20

       221        223,402   

Gardner Denver, Inc. Term Loan:

      

4.25%, 7/30/20

       2,013        2,009,732   

4.75%, 7/30/20

    EUR         331        448,302   

Generac Power Systems, Inc., Term Loan B, 3.50%, 5/31/20

    USD         2,075        2,077,542   

Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18

       1,185        1,189,448   

Mirror Bidco Corp., New Term Loan, 4.25%, 12/27/19

       1,054        1,059,622   

Navistar International Corp., Term Loan B, 5.75%, 8/17/17

       549        556,491   

Pacific Industrial Services US Finance Co. LLC:

      

1st Lien Term Loan, 5.00%, 10/02/18

       1,337        1,353,772   

2nd Lien Term Loan, 8.75%, 4/02/19

       515        527,875   

Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20

       923        926,729   

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

       766        768,574   
Floating Rate Loan Interests (c)           Par  
(000)
    Value  

Machinery (concluded)

      

Terex Corp., New Term Loan, 4.00%, 4/28/17

    EUR         201      $ 272,597   

Wabash National Corp., Term Loan B, 4.50%, 5/08/19

    USD         562        565,173   
      

 

 

 
                       14,037,338   

Marine — 0.7%

      

HGIM Corp., Term Loan B, 5.50%, 6/18/20

             2,444        2,479,018   

Media — 9.2%

      

Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20

       1,840        1,852,663   

Advanstar Communications, Inc., New 2nd Lien Term Loan, 9.50%, 6/06/20

       685        687,398   

Catalina Marketing Corp., New Term Loan B, 5.25%, 10/12/20

       1,521        1,538,301   

CBS Outdoor Americas Capital LLC, Term Loan B, 3.00%, 1/31/21

       455        456,565   

Cengage Learning Acquisitions, Inc. (a)(f):

      

Non Extended Term Loan, 0.00%, 7/03/14

       195        178,094   

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

       1,101        1,005,437   

Clear Channel Communications, Inc.:

      

Term Loan B, 3.81%, 1/29/16

       43        41,914   

Term Loan C, 3.81%, 1/29/16

       105        101,552   

Term Loan D, 6.91%, 1/30/19

       1,832        1,776,545   

Cumulus Media Holdings, Inc., Term Loan, 4.25%, 12/23/20

       1,135        1,145,539   

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

       665        667,907   

EW Scripps Co., Term Loan B, 3.25%, 11/26/20

       935        933,831   

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

       170        172,543   

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

       123        115,656   

Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20

       983        987,012   

Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19

       858        860,160   

Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19

       2,822        2,843,035   

Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20

       390        388,050   

 

                
   BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014    9


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)   Par  
(000)
    Value  

Media (concluded)

      

Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20

    USD         304      $ 305,570   

Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20

       1,120        1,128,870   

Mediacom Communications Corp., Term Loan F, 2.74%, 1/31/18

       510        508,725   

NEP/NCP Holdco, Inc., Term Loan:

      

2nd Lien, 9.50%, 7/22/20

       349        356,414   

4.75%, 1/22/20

       1,742        1,746,756   

Nielsen Finance LLC, Term Loan E, 2.91%, 5/02/16

       1,021        1,023,736   

Rentpath, Inc., Term Loan B, 6.25%, 5/29/20

       1,249        1,214,385   

Salem Communications Corp., Term Loan B, 4.50%, 3/13/20

       1,034        1,038,466   

Springer Science & Business Media Deutschland GmbH, Term Loan B2, 5.00%, 8/10/20

       2,244        2,256,293   

TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20

       1,240        1,249,300   

Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20

       975        979,850   

UPC Financing Partnership, Term Loan AG, 3.97%, 3/31/21

    EUR         910        1,232,851   

Virgin Media Investment Holdings Ltd.:

      

New Term Loan C, 4.50%, 6/05/20

    GBP         1,105        1,822,067   

Term Loan B, 3.50%, 6/08/20

    USD         815        816,630   

WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19

       1,100        1,108,406   
      

 

 

 
                       32,540,521   

Metals & Mining — 3.2%

      

Ameriforge Group, Inc.:

      

1st Lien Term Loan, 5.00%, 12/19/19

       741        744,036   

2nd Lien Term Loan, 8.75%, 12/19/20

       495        504,900   

API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19

       992        977,551   

Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20

       2,203        2,252,925   

FMG Resources August 2006 Property Ltd., New Term Loan B, 4.25%, 6/28/19

       2,830        2,859,017   

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

       1,591        1,599,488   

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

       258        257,839   
Floating Rate Loan Interests (c)   Par  
(000)
    Value  

Metals & Mining (concluded)

      

Walter Energy, Inc., Term Loan B, 6.75%, 4/02/18

    USD         294      $ 282,907   

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

       1,620        1,660,134   
      

 

 

 
                       11,138,797   

Multiline Retail — 3.5%

      

99 Cents Only Stores, New Term Loan, 4.50%, 1/11/19

       1,131        1,139,962   

Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20

       1,275        1,280,540   

BJ’s Wholesale Club, Inc.:

      

New 1st Lien Term Loan, 4.50%, 9/26/19

       1,089        1,098,419   

New 2nd Lien Term Loan, 8.50%, 3/26/20

       375        385,470   

HEMA Holding BV:

      

Extended 2nd Lien Term Loan, 5.96%, 1/05/18

    EUR         3,800        4,749,238   

Extended Term Loan B, 4.59%, 12/06/17

       161        216,000   

Extended Term Loan C, 4.59%, 12/06/17

       148        197,812   

Hudson’s Bay Co.:

      

1st Lien Term Loan, 4.75%, 11/04/20

    USD         1,130        1,145,278   

2nd Lien Term Loan, 8.25%, 11/04/21

       90        92,775   

JC Penney Corp., Inc., 1st Lien Term Loan, 6.00%, 5/22/18

       657        636,316   

The Neiman Marcus Group, Inc., New Term Loan B, 5.00%, 10/26/20

       1,491        1,507,696   
      

 

 

 
                       12,449,506   

Oil, Gas & Consumable Fuels — 5.0%

      

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

       2,115        2,162,334   

Drillships Financing Holding, Inc., Term Loan B2, 5.50%, 7/15/16

       1,574        1,592,191   

EP Energy LLC, Term Loan B3, 3.50%, 5/24/18

       1,170        1,172,925   

Fieldwood Energy LLC, 1st Lien Term Loan, 3.88%, 9/28/18

       698        702,439   

GIM Channelview Cogeneration LLC, Term Loan B, 4.25%, 5/08/20

       706        710,865   

Moxie Patriot LLC, Term Loan B1, 6.75%, 12/18/20

       865        886,625   

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

       712        719,149   

 

                
10    BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)  

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (concluded)

  

Offshore Group Investment Ltd.,:

      

New Term Loan B, 5.00%, 10/25/17

    USD         1,671      $ 1,678,958   

Term Loan B, 5.75%, 3/28/19

       888        901,239   

Pacific Drilling SA, Term Loan B, 4.50%, 6/04/18

       1,468        1,484,136   

Panda Temple II Power LLC, New Term Loan B, 7.25%, 4/03/19

       940        961,150   

Philadelphia Energy Solutions LLC, Term Loan B, 6.25%, 4/04/18

       636        572,886   

PowerTeam Services LLC:

      

1st Lien Term Loan, 4.25%, 5/06/20

       509        508,556   

2nd Lien Term Loan, 8.25%, 11/06/20

       285        281,794   

Delayed Draw Term Loan, 4.25%, 5/06/20

       28        27,792   

Raven Power Finance LLC, Term Loan, 5.25%, 12/19/20

       455        458,412   

Ruby Western Pipeline Holdings LLC, Term Loan B, 3.50%, 3/27/20

       725        727,076   

Tesoro Corp., Term Loan B, 2.41%, 5/30/16

       668        670,024   

Western Refining, Inc., Term Loan B, 4.25%, 11/12/20

       890        898,900   

WTG Holdings III Corp.:

      

1st Lien Term Loan, 4.75%, 1/15/21

       375        377,655   

2nd Lien Term Loan, 8.50%, 1/15/22

       85        85,637   
      

 

 

 
                       17,580,743   

Pharmaceuticals — 3.6%

  

Akorn, Inc., Term Loan B, 4.50%, 8/27/20

       940        947,050   

Amneal Pharmaceuticals LLC, New Term Loan, 5.75% - 7.00%, 11/01/19

       643        646,604   

CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19

       515        515,927   

Endo Health Solutions, Inc., New Term Loan B, 3.75%, 11/05/20

       720        721,800   

Jazz Pharmaceuticals, Inc., Term Loan B, 3.25%, 6/12/18

       260        260,845   

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

       2,429        2,434,514   

Pharmaceutical Product Development LLC, New Term Loan B, 4.00%, 12/05/18

       2,081        2,090,176   

Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18

       1,280        1,283,210   
Floating Rate Loan Interests (c)  

Par  

(000)

    Value  

Pharmaceuticals (concluded)

  

Valeant Pharmaceuticals International, Inc.:

      

Series C2 Term Loan B, 3.75%, 12/11/19

    USD         1,129      $ 1,137,044   

Series D2 Term Loan B, 3.75%, 2/13/19

       1,092        1,099,704   

Term Loan E, 4.50%, 8/05/20

       1,443        1,457,540   
      

 

 

 
                       12,594,414   

Professional Services — 1.8%

  

Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18

       1,259        1,262,123   

Intertrust Group Holding BV, Term Loan B1, 4.77%, 4/02/20

    EUR         1,000        1,355,065   

ON Assignment, Inc., Refinancing Term Loan B, 3.50%, 4/30/20

    USD         478        478,429   

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

       1,122        1,143,955   

TriNet Group, Inc., Term Loan B2, 5.00%, 8/14/20

       653        658,263   

Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19

       1,340        1,342,075   
      

 

 

 
                       6,239,910   

Real Estate Investment Trusts (REITs) — 0.5%

  

iStar Financial, Inc., Term Loan, 4.50%, 10/16/17

       1,349        1,355,758   

Starwood Property Trust, Inc., Term Loan B, 3.50%, 4/17/20

       334        333,690   
      

 

 

 
                       1,689,448   

Real Estate Management & Development — 1.2%

  

CityCenter Holdings LLC, Term Loan B, 5.00%, 10/16/20

       1,535        1,552,269   

Realogy Corp.:

      

Extended Letter of Credit, 4.40%, 10/10/16

       236        237,161   

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

       2,555        2,571,425   
      

 

 

 
                       4,360,855   

Road & Rail — 1.1%

  

Genesee & Wyoming, Inc., Term Loan A, 1.91%, 9/29/17

       634        633,674   

RAC Finance Ltd.:

      

Term Loan B, 5.28% - 5.35%, 9/30/18

    GBP         1,182        1,957,007   

Term Loan D, 5.28% - 5.36%, 10/29/19

       500        829,142   

 

                
   BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014    11


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)           Par  
(000)
    Value  

Road & Rail (concluded)

      

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

    USD         609      $ 612,266   
      

 

 

 
                       4,032,089   

Semiconductors & Semiconductor Equipment — 0.9%

  

 

Freescale Semiconductor, Inc.:

      

Term Loan B4, 5.00%, 2/28/20

       1,697        1,709,904   

Term Loan B5, 5.00%, 1/15/21

       434        439,102   

NXP BV, Term Loan D, 3.25%, 1/11/20

       868        867,825   
      

 

 

 
                       3,016,831   

Software — 4.1%

      

BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20

       1,490        1,487,676   

CompuCom Systems, Inc., Refinancing Term Loan B, 4.25%, 5/11/20

       318        317,402   

GCA Services Group, Inc.:

      

2nd Lien Term Loan, 9.25%, 10/22/20

       400        405,000   

New Term Loan B, 4.25%, 11/01/19

       1,114        1,119,956   

Infor US, Inc., Term Loan B5, 3.75%, 6/03/20

       2,005        2,009,459   

Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20

       1,088        1,131,466   

Mitchell International, Inc.:

      

New 1st Lien Term Loan, 4.50%, 10/12/20

       675        681,466   

New 2nd Lien Term Loan, 8.50%, 10/11/21

       1,000        1,019,170   

RP Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18

       963        971,755   

Shield Finance Co. Sarl, New Term Loan, 5.00%, 1/27/21

       420        421,575   

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

       1,328        1,340,872   

SS&C Technologies, Inc.:

      

New Term Loan B1, 3.25%, 6/07/19

       1,703        1,705,530   

New Term Loan B2, 3.25%, 6/07/19

       176        176,434   

StoneRiver Holdings, Inc.:

      

1st Lien Term Loan, 4.50%, 11/29/19

       491        489,413   

2nd Lien Term Loan, 8.50%, 5/29/20

       392        394,548   
Floating Rate Loan Interests (c)           Par  
(000)
    Value  

Software (concluded)

      

Websence, Inc.:

      

2nd Lien Term Loan, 8.25%, 12/24/20

    USD         445      $ 444,444   

Term Loan B, 4.50%, 6/25/20

       488        488,769   
      

 

 

 
                       14,604,935   

Specialty Retail — 4.4%

  

 

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

       1,862        1,875,102   

Atlantic Aviation FBO, Inc., Term Loan B, 3.25%, 6/01/20

                

Burlington Coat Factory Warehouse Corp., New Term Loan B2, 4.25%, 2/23/17

       349        351,727   

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

       2,014        2,024,941   

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

       1,201        1,213,691   

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

       70        63,099   

Harbor Freight Tools USA, Inc., New 1st Lien Term Loan, 4.75%, 7/26/19

       968        981,704   

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

       580        580,925   

Leslies Poolmart, Inc., New Term Loan, 4.25%, 10/16/19

       1,234        1,241,822   

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

       1,045        1,049,693   

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

       2,672        2,686,445   

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

       1,492        1,501,001   

Sprouts Farmers Markets Holdings LLC, New Term Loan, 4.00%, 4/23/20

       366        367,913   

SRAM LLC, New Term Loan B, 4.00% - 5.25%, 4/10/20

       253        253,543   

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

       1,013        1,007,612   

Toys ‘R’ Us-Delaware, Inc.:

      

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

       469        382,326   

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

       98        80,237   
      

 

 

 
                       15,661,781   

Textiles, Apparel & Luxury Goods — 0.7%

  

 

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

       2,139        2,053,794   

 

                
12    BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)  

Par  

(000)

    Value  

Textiles, Apparel & Luxury Goods (concluded)

      

Phillips-Van Heusen Corp., Term Loan B, 3.25%, 2/13/20

    USD         266      $ 267,380   
      

 

 

 
                       2,321,174   

Thrifts & Mortgage Finance — 0.6%

      

IG Investments Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19

       1,193        1,194,441   

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

       993        1,000,768   
      

 

 

 
                       2,195,209   

Trading Companies & Distributors — 0.1%

      

Fly Funding II Sarl, Term Loan B, 4.50%, 8/09/19

       145        146,631   

WESCO Distribution, Inc., Term Loan B, 3.75%, 12/12/19

       338        340,127   
      

 

 

 
                       486,758   

Transportation Infrastructure — 1.2%

      

Autobahn Tank & Rast GmbH, Term Loan B, 1.00%, 12/04/19

    EUR         3,000        4,078,710   

Wireless Telecommunication Services — 0.7%

      

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

    USD         993        995,300   

Light Tower Fiber LLC, 1st Lien Term Loan, 4.00%, 4/13/20

       1,622        1,625,905   
      

 

 

 
                       2,621,205   
Total Floating Rate Loan Interests — 118.6%                      417,937,428   
      
                          
Foreign Agency Obligations — 0.5%                      

Indonesia Government International Bond, 6.88%, 1/17/18

             1,500        1,670,625   
      
                          
Non-Agency Mortgage-Backed Securities — 0.2%                      

Collateralized Mortgage Obligations — 0.2%

      

Hilton USA Trust, Series 2013-HLT, Class EFX, 4.45%, 11/05/30 (b)(c)

             813        829,163   
Other Interests (g)           Beneficial
Interest
(000)
    Value  

Auto Components — 0.0%

      

Lear Corp. Escrow

    USD         500,000      $ 4,375   

Construction Materials — 0.0%

      

USI Senior Holdings

             8,067          

Diversified Financial Services — 0.2%

      

J.G. Wentworth LLC Preferred Equity Interests (135-day lock), (Acquired 11/18/13, cost $837,899)

       12,282        198,355   

J.G. Wentworth LLC Preferred Equity Interests (180-day lock), (Acquired 11/18/13, cost $837,899)

       12,282        198,354   

J.G. Wentworth LLC Preferred Equity Interests (90-day lock), (Acquired 11/18/13, cost $837,898)

       12,282        198,354   
      

 

 

 
                       595,063   

Hotels, Restaurants & Leisure — 0.3%

      

Wembley Contingent

    USD         1,500        1,068,750   

Household Durables — 0.0%

      

Berkline Benchcraft Equity LLC

             6,155          
Total Other Interests — 0.5%                      1,668,188   
      
                          
Warrants (h)           Shares         

Chemicals — 0.0%

      

British Vita Holdings Co. (Non-Expiring)

             166          

Media — 0.0%

      

New Vision Holdings LLC (Expires 9/30/14)

             22,447        1,214   

Software — 0.0%

      

Bankruptcy Management Solutions, Inc.,:

       181        91   

(Expires 6/28/18)

      

(Expires 6/28/19)

       195        98   

(Expires 6/28/20)

       292        146   

HMH Holdings/EduMedia (issued/exercisable 3/09/10, 19 shares for 1 warrant, Expires 6/22/19, Strike Price $42.27)

       1,501        4,399   
      

 

 

 
                       4,734   
Total Warrants — 0.0%                      5,948   

 

                
   BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014    13


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

(Percentages shown are based on Net Assets)

 

Investment Companies         Shares     Value  

Capital Markets — 0.0%

      

Eaton Vance Floating-Rate Income Trust

       34      $ 525   

Eaton Vance Senior Income Trust

         8,925        63,011   
Total Investment Companies — 0.0%                  63,536   

Total Long-Term Investments

(Cost — $502,335,399) — 144.1%

  

  

    507,793,357   
      
                      
Short-Term Securities                    

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (i)(j)

         5,975,233        5,975,233   
Total Short-Term Securities
(Cost — $5,975,233) — 1.7%
                 5,975,233   
Options Purchased                   Value  
(Cost — $25,422) — 0.0%                    
Total Investments (Cost — $508,336,054*) — 145.8%          $ 513,768,590   
Liabilities in Excess of Other Assets(45.8)%            (161,405,868
        

 

 

 
Net Assets — 100.0%          $ 352,362,722   
        

 

 

 

 

*   As of January 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

  $ 506,659,966   
 

 

 

 

Gross unrealized appreciation

  $ 11,735,204   

Gross unrealized depreciation

    (4,626,580
 

 

 

 

Net unrealized appreciation

  $ 7,108,624   
 

 

 

 

 

Notes to Schedule of Investments

 

(a)   Non-income producing security.

 

(b)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(c)   Variable rate security. Rate shown is as of report date.

 

(d)   Zero-coupon bond.

 

(e)   Convertible security.

 

(f)   Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

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

 

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

 

(i)   Investments in issuers considered to be an affiliate of the Trust during the period ended January 31, 2014, 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,
2013
       Net
Activity
       Shares Held
at January 31,
2014
       Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

       3,378,158           2,597,075           5,975,233         $ 162   

 

(j)   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
   CLO   Collateralized Loan Obligation
   EUR   Euro
   GBP   British Pound

 

                
14    BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

 

   PIK   Payment-In-Kind.
   USD   US Dollar

 

Ÿ  

Foreign currency exchange contracts outstanding as of January 31, 2014 were as follows:

 

Currency
Purchased
       Currency
Sold
    Counterparty   Settlement
Date
       Unrealized
Appreciation/
(Depreciation)
 
EUR        3,320,000         USD        4,509,154      Goldman Sachs & Co.     4/22/14         $ (31,295
USD        2,962,638         CAD        3,251,000      Barclays Bank PLC     4/22/14           49,030   
USD        1,113,628         CHF        1,011,188      Barclays Bank PLC     4/22/14           (2,413
USD        4,070,760         EUR        2,980,000      Credit Suisse International     4/22/14           51,477   
USD        437,388         EUR        320,000      JPMorgan Chase Bank N.A.     4/22/14           5,787   
USD        49,447,429         EUR        36,365,971      Royal Bank of Scotland PLC     4/22/14           398,726   
USD        30,408,704         GBP        18,521,000      JPMorgan Chase Bank N.A.     4/22/14           (20,255
Total                         $ 451,057   
                       

 

 

 

 

Ÿ  

Over-the-counter options purchased as of January 31, 2014 were as follows:

 

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

Marsico Parent Superholdco LLC

   Goldman Sachs & Co.        Call         USD        942.86           12/14/19           26             

 

Ÿ  

Centrally cleared credit default swaps — buy protection outstanding as of January 31, 2014 were as follows:

 

Issuer   Pay Fixed Rate     Clearinghouse   Expiration
Date
  Notional Amount
(000)
    Market
Value
    Premiums
Paid
(Received)
    Unrealized
Depreciation
 

Dow Jones CDX North America High Yield Index,
Series 20, Version 1

    5.00   Chicago Mercantile   6/20/18     USD        2,750      $ (208,459   $ (80,873

 

Ÿ  

Over-the-counter credit default swaps — sold protection outstanding as of January 31, 2014 were as follows:

 

Issuer   Receive
Fixed Rate
    Counterparty   Expiration
Date
  Credit
Rating1
  Notional Amount
(000)2
    Market
Value
    Premiums
(Received)
    Unrealized
Depreciation
 

Caesars Entertainment Operating Co., Inc.

    5.00   Barclays Bank PLC   9/20/15   CCC-     USD        250      $ (51,828   $ (46,869   $ (4,959

Caesars Entertainment Operating Co., Inc.

    5.00   JPMorgan Securities LLC   12/20/15   CCC-     USD        331        (79,643     (77,857     (1,786

Caesars Entertainment Operating Co., Inc.

    5.00   Citibank N.A.   12/20/15   CCC-     USD        189        (45,484     (39,680     (5,804

 

                
   BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014    15


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

 

Ÿ  

Over-the-counter credit default swaps – sold protection outstanding as of January 31, 2014 were as follows (continued):

 

Issuer   Receive
Fixed Rate
    Counterparty   Expiration
Date
  Credit
Rating1
  Notional Amount
(000)2
    Market
Value
    Premiums
(Received)
    Unrealized
Depreciation
 

Caesars Entertainment Operating Co., Inc.

    5.00   JPMorgan Securities LLC   12/20/15   CCC-     USD        77      $ (18,454     (15,639   $ (2,815

Caesars Entertainment Operating Co., Inc.

    5.00   Citibank N.A.   12/20/15   CCC-     USD        91        (21,917     (17,134     (4,783

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs Bank USA   12/20/15   CCC-     USD        204        (49,032     (23,763     (25,269

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs Bank USA   3/20/16   CCC-     USD        131        (36,067     (26,189     (9,878

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs Bank USA   3/20/16   CCC-     USD        131        (36,067     (26,189     (9,878

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs Bank USA   3/20/16   CCC-     USD        385        (105,934     (73,315     (32,619

Caesars Entertainment Operating Co., Inc.

    5.00   Citibank N.A.   3/20/16   CCC-     USD        73        (20,036     (10,815     (9,221

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs Bank USA   6/20/16   CCC-     USD        500        (152,021     (103,266     (48,755

Caesars Entertainment Operating Co., Inc.

    5.00   JPMorgan Securities LLC   6/20/16   CCC-     USD        220        (66,749     (37,935     (28,814

Caesars Entertainment Operating Co., Inc.

    5.00   Citibank N.A.   9/20/16   CCC-     USD        175        (58,317     (51,863     (6,454

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs Bank USA   9/20/16   CCC-     USD        1,126        (375,331     (221,549     (153,782

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs Bank USA   3/20/17   CCC-     USD        238        (93,190     (57,986     (35,204

 

                
16    BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

 

Ÿ  

Over-the-counter credit default swaps — sold protection outstanding as of January 31, 2014 were as follows (concluded):

 

Issuer   Receive
Fixed Rate
    Counterparty   Expiration
Date
  Credit
Rating1
  Notional Amount
(000)2
    Market
Value
    Premiums
(Received)
    Unrealized
Depreciation
 

Caesars Entertainment Operating Co., Inc.

    5.00   Deutsche Bank AG   6/20/17   CCC-     USD        339      $ (139,490     (88,830   $ (50,660

Total

              $ (1,349,560   $ (918,879   $ (430,681
 

 

 

   

 

 

   

 

 

 

1   Using Standard & Poor’s rating of the issuer or the underlying securities of the index, as applicable.

      

 

2   The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

      

 

Ÿ  

Fair Value Measurements — Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

  Ÿ  

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

 

  Ÿ  

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

 

  Ÿ  

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

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 Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to the Trust’s most recent financial statements as contained in its annual report.

The following table summarizes the Trust’s investments categorized in the disclosure hierarchy as of January 31, 2014:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 
Long-Term Investments:                 

Asset-Backed Securities

            $ 13,147,553         $ 1,220,201         $ 14,367,754   

Common Stocks

  $ 828,854           2,776,716           88,742           3,694,312   

Corporate Bonds

              67,556,403                     67,556,403   

Floating Rate Loan Interests

              388,198,914           29,738,514           417,937,428   

Foreign Agency Obligations

              1,670,625                     1,670,625   

Non-Agency Mortgage-Backed Securities

              829,163                     829,163   

Other Interests

              1,663,813           4,375           1,668,188   

 

                
   BLACKROCK FLOATING RATE INCOME TRUST    JANUARY 31, 2014    17


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Trust (BGT)

 

Warrants

            $ 4,399         $ 1,549         $ 5,948   

Investment Companies

  $ 63,536                               63,536   

Short-Term Securities

    5,975,233                               5,975,233   

Unfunded Loan Comittments

                        164           164   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 6,867,623         $ 475,847,586         $ 31,053,545         $ 513,768,754   
 

 

 

      

 

 

      

 

 

      

 

 

 
                
     Level 1        Level 2        Level 3        Total  

Derivative Financial Instruments1

                

Assets:

                

Foreign currency exchange contracts

            $ 505,020                   $ 505,020   

Liabilities:

                

Credit contracts

              (511,554                  (511,554

Foreign currency exchange contracts

         (53,963             (53,963
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

            $ (60,497                $ (60,497
 

 

 

      

 

 

      

 

 

      

 

 

 

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

      

Certain of the Trust’s assets and/or liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of January 31, 2014, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3