SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-05495
(Exact name of registrant as specified in charter)
Robert S. Kapito, President
BlackRock High Income Shares Trust
40 East 52nd Street, New York, NY 10022
(Name and address of agent for service)
Registrant's telephone number, including area code: 888-825-2257
Date of fiscal year end: December 31, 2005
Date of reporting period: June 30, 2005
Item 1. Reports to Shareholders.
The Registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
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FIXED INCOME |
| LIQUIDITY |
| EQUITIES |
| ALTERNATIVES |
| BLACKROCK SOLUTIONS |
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| BlackRock |
| Closed-End Funds |
| Semi-Annual Report |
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| JUNE 30, 2005 (Unaudited) |
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| BlackRock Advantage Term Trust (BAT) |
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| BlackRock Global Floating Rate Income Trust (BGT) |
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| BlackRock High Income Shares (HIS) |
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| BlackRock Preferred Opportunity Trust (BPP) |
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NOT FDIC INSURED |
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MAY LOSE VALUE |
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NO BANK GUARANTEE |
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TABLE OF CONTENTS
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| 6 | |
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Financial Statements |
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| 49 |
Privacy Principles of the Trusts
The Trusts are committed to maintaining the privacy of shareholders and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information the Trusts collect, how we protect that information and why, in certain cases, we may share information with select other parties.
Generally, the Trusts do not receive any non-public personal information relating to their shareholders, although certain non-public personal information of shareholders may become available to the Trusts. The Trusts do not disclose any non-public personal information about their shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third-party administrator).
The Trusts restrict access to non-public personal information about their shareholders to BlackRock employees with a legitimate business need for the information. The Trusts maintain physical, electronic and procedural safeguards designed to protect the non-public personal information of their shareholders.
June 30, 2005
Dear Shareholder:
We are pleased to report that during the semi-annual period, the Trusts provided the opportunity to invest in various portfolios of fixed income securities. This report contains the Trusts’ unaudited financial statements and a listing of the portfolios’ holdings.
The portfolio management team continuously monitors the fixed income markets and adjusts the portfolios in order to gain exposure to various issuers and security types. This strategy enables the Trusts to move among different sectors, credits and coupons to capitalize on changing market conditions.
BlackRock Advantage Term Trust is scheduled to liquidate according to its terms on December 31, 2005.
The following table shows the Trusts’ yields, closing market prices per share and net asset values (“NAV”) per share as of June 30, 2005.
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Trust (Ticker) |
| Yield1 |
| Market Price |
| NAV |
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BlackRock Advantage Term Trust (BAT) |
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| 5.85 | % |
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| $ | 10.26 |
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| $ | 10.32 |
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BlackRock Global Floating Rate Income Trust (BGT) |
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| 6.33 |
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| 17.70 |
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| 19.30 |
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BlackRock High Income Shares (HIS) |
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| 9.89 |
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| 2.79 |
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| 2.69 |
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BlackRock Preferred Opportunity Trust (BPP) |
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| 8.06 |
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| 24.80 |
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| 25.18 |
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1 Yield is based on market price. |
BlackRock, Inc. (“BlackRock”), a world leader in asset management, has a proven commitment to managing fixed income securities. As of June 30, 2005, BlackRock managed $281 billion in fixed income securities, including 20 open-end and 48 closed-end bond funds. BlackRock is recognized for its emphasis on risk management and proprietary analytics and for its reputation managing money for the world’s largest institutional investors. BlackRock Advisors, Inc., and its affiliate, BlackRock Financial Management, Inc., are wholly owned subsidiaries of BlackRock.
On behalf of BlackRock, we thank you for your continued confidence and assure you that we remain committed to excellence in managing your assets.
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Sincerely, |
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Laurence D. Fink |
| Ralph L. Schlosstein |
Chief Executive Officer |
| President |
BlackRock Advisors, Inc. |
| BlackRock Advisors, Inc. |
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JUNE 30, 2005 |
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BlackRock Advantage Term Trust (BAT) |
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Trust Information
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Symbol on New York Stock Exchange: |
| BAT |
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Initial Offering Date: |
| April 27, 1990 |
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Termination Date (on or shortly before): |
| December 31, 2005 |
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Closing Market Price as of 6/30/05: |
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| $ | 10.26 |
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Net Asset Value as of 6/30/05: |
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| $ | 10.32 |
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Yield on Closing Market Price as of 6/30/05 (10.26):1 |
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| 5.85 | % |
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Current Monthly Distribution per Share:2 |
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| $ | 0.05 |
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Current Annualized Distribution per Share:2 |
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| $ | 0.60 |
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1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. |
2 | The distribution is not constant and is subject to change. |
The table below summarizes the changes in the Trust’s market price and NAV:
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| 6/30/05 |
| 12/31/04 |
| Change |
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| Low |
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Market Price |
| $ | 10.26 |
| $ | 10.47 |
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| (2.01 | )% | $ | 10.57 |
| $ | 10.18 |
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NAV |
| $ | 10.32 |
| $ | 10.49 |
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| (1.62 | )% | $ | 10.50 |
| $ | 10.30 |
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The following chart shows the portfolio composition of the Trust’s long-term investments:
Portfolio Composition
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Composition |
| June 30, 2005 |
| December 31, 2004 |
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U.S. Government and Agency Zero Coupon Bonds |
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| 84 | % |
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| 76 | % |
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Taxable Municipal Bonds |
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| 5 |
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| 5 |
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Corporate Bonds |
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| 3 |
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| 5 |
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Agency Multiple Class Mortgage Pass-Through Securities |
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| 3 |
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| 6 |
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Principal Only Mortgage-Backed Securities |
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| 3 |
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| 2 |
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Commercial Mortgage-Backed Securities |
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| 1 |
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| 2 |
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Inverse Floating Rate Mortgage Securities |
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| 1 |
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| 1 |
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U.S. Government and Agency Securities |
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| — |
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| 2 |
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Interest Only Mortgage-Backed Securities |
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| — |
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| 1 |
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TRUST SUMMARIES (unaudited) |
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JUNE 30, 2005 |
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BlackRock Global Floating Rate Income Trust (BGT) |
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Trust Information
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Symbol on New York Stock Exchange: |
| BGT |
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Initial Offering Date: |
| August 30, 2004 |
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Closing Market Price as of 6/30/05: |
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| $ | 17.70 |
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Net Asset Value as of 6/30/05: |
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| $ | 19.30 |
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Yield on Closing Market Price as of 6/30/05 ($17.70):1 |
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| 6.33 | % |
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Current Quarterly Distribution per Share:2 |
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| $ | 0.0933 |
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Current Annualized Distribution per Share:2 |
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| $ | 1.1196 |
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1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. |
2 | The distribution is not constant and is subject to change. |
The table below summarizes the Trust’s market price and NAV:
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| 12/31/04 |
| Change |
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Market Price |
| $ | 17.70 |
| $ | 18.63 |
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| (4.99 | )% | $ | 19.27 |
| $ | 16.95 |
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NAV |
| $ | 19.30 |
| $ | 19.21 |
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| 0.47 | % | $ | 19.45 |
| $ | 18.96 |
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The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond investments:
Portfolio Composition
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Composition |
| June 30, 2005 |
| December 31, 2004 |
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Foreign Government Bonds |
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| 22 | % |
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| 22 | % |
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Media |
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| 11 |
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| 13 |
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Consumer Products |
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| 11 |
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| 9 |
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Energy |
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| 9 |
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| 8 |
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Basic Materials |
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| 8 |
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| 10 |
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Health Care |
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| 7 |
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| 7 |
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Telecommunications |
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| 5 |
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| 5 |
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Entertainment & Leisure |
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| 5 |
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| 6 |
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Financial Institutions |
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| 4 |
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| 3 |
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Real Estate |
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| 3 |
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| 3 |
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Containers & Packaging |
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| 3 |
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| 3 |
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Conglomerates |
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| 3 |
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| 1 |
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Technology |
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| 2 |
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| 2 |
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Automotive |
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| 2 |
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| 2 |
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Building & Development |
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| 2 |
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| 2 |
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Aerospace & Defense |
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| 1 |
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| 1 |
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Industrials |
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| 1 |
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| 1 |
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Ecological Services & Equipment |
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| 1 |
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| 1 |
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Transportation |
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| — |
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| 1 |
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Corporate Credit Breakdown3
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Credit Rating |
| June 30, 2005 |
| December 31, 2004 |
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BBB/Baa |
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| 28 | % |
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| 21 | % |
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BB/Ba |
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| 42 |
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| 20 |
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B |
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| 28 |
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| 29 |
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CCC |
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| 2 |
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| 2 |
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Not Rated |
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| — |
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| 28 |
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3 | Using the higher of Standard & Poor’s (“S&P”), Moody’s Investors Service (“Moody’s”) or Fitch Ratings (“Fitch”) rating. Corporate bonds represented approximately 20.8% and 18.1% of net assets on June 30, 2005 and December 31, 2004, respectively. |
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TRUST SUMMARIES (unaudited) |
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JUNE 30, 2005 |
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BlackRock High Income Shares (HIS) |
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Trust Information
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Symbol on New York Stock Exchange: |
| HIS |
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Initial Offering Date: |
| August 10, 1988 |
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Closing Market Price as of 6/30/05: |
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| $ | 2.79 |
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Net Asset Value as of 6/30/05: |
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| $ | 2.69 |
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Yield on Closing Market Price as of 6/30/05 ($2.79):1 |
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| 9.89 | % |
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Current Monthly Distribution per Share:2 |
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| $ | 0.023 |
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Current Annualized Distribution per Share:2 |
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| $ | 0.276 |
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1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. |
2 | The distribution is not constant and is subject to change. |
The table below summarizes the changes in the Trust’s market price and NAV:
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| 6/30/05 |
| 12/31/04 |
| Change |
| High |
| Low |
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Market Price |
| $ | 2.79 |
| $ | 2.90 |
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| (3.79 | )% | $ | 3.00 |
| $ | 2.47 |
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NAV |
| $ | 2.69 |
| $ | 2.87 |
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| (6.27 | )% | $ | 2.87 |
| $ | 2.56 |
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The following charts show the portfolio composition and credit quality allocations of the Trust’s corporate bond investments:
Corporate Portfolio Composition
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Composition |
| June 30, 2005 |
| December 31, 2004 |
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Media |
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| 16 | % |
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| 14 | % |
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Energy |
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| 13 |
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| 9 |
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Basic Materials |
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| 12 |
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| 12 |
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Telecommunications |
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| 9 |
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| 5 |
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Industrials |
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| 8 |
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| 5 |
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Consumer Products |
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| 8 |
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| 20 |
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Financial Institutions |
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| 8 |
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| — |
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Containers & Packaging |
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| 4 |
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| 4 |
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Entertainment & Leisure |
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| 4 |
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| 13 |
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Health Care |
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| 4 |
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| 6 |
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Aerospace & Defense |
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| 3 |
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| 4 |
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Building & Development |
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| 3 |
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| 2 |
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Automotive |
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| 3 |
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| 4 |
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Transportation |
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| 2 |
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| — |
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Technology |
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| 1 |
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| 1 |
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Ecological Services & Equipment |
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| 1 |
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| 1 |
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Conglomerates |
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| 1 |
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| — |
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Corporate Credit Breakdown3
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BBB/Baa |
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| 1 | % |
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| — | % |
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Ba/BB |
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| 20 |
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| 21 |
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B/B |
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| 68 |
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| 71 |
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CCC/Caa |
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| 10 |
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| 8 |
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Not Rated |
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| 1 |
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| — |
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3 | Using the higher of S&P, Moody’s or Fitch rating. Corporate bonds represented approximately 137.8% and 140.5% of net assets on June 30, 2005, and December 31, 2004, respectively. |
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TRUST SUMMARIES (unaudited) |
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JUNE 30, 2005 |
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BlackRock Preferred Opportunity Trust (BPP) |
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Symbol on New York Stock Exchange: |
| BPP |
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Initial Offering Date: |
| February 28, 2003 |
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Closing Market Price as of 6/30/05: |
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| $ | 24.80 |
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Net Asset Value as of 6/30/05: |
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| $ | 25.18 |
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Yield on Closing Market Price as of 6/30/05 (24.80):1 |
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| 8.06 | % |
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Current Monthly Distribution per Share:2 |
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| $ | 0.166667 |
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Current Annualized Distribution per Share:2 |
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| $ | 2.000004 |
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1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. |
2 | The distribution is not constant and is subject to change. |
The table below summarizes the changes in the Trust’s market price and NAV:
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| 6/30/05 |
| 12/31/04 |
| Change |
| High |
| Low |
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Market Price |
| $ | 24.80 |
| $ | 25.39 |
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| (2.32 | )% | $ | 25.99 |
| $ | 22.49 |
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NAV |
| $ | 25.18 |
| $ | 25.88 |
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| (2.70 | )% | $ | 26.30 |
| $ | 25.01 |
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The following charts show the portfolio composition and credit quality allocations of the Trust’s long-term investments:
Portfolio Composition
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Composition |
| June 30, 2005 |
| December 31, 2004 |
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Financial Institutions |
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| 73 | % |
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| 71 | % |
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Real Estate |
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| 13 |
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| 12 |
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Energy |
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| 5 |
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| 7 |
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Media |
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| 3 |
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| 3 |
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Consumer Products |
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| 2 |
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| 2 |
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Industrials |
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| 1 |
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| — |
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Basic Materials |
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| 1 |
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| 1 |
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Automotive |
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| 1 |
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| 1 |
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Telecommunications |
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| 1 |
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| 1 |
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Containers & Packaging |
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| — |
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| 1 |
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Other |
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| — |
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| 1 |
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Credit Breakdown3
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Credit Rating |
| June 30, 2005 |
| December 31, 2004 |
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AAA/Aaa |
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| — | % |
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| 1 | % |
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AA/Aa |
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| 14 |
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| 20 |
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A |
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| 38 |
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| 33 |
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BBB/Baa |
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| 29 |
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| 27 |
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BB/Ba |
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| 10 |
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| 10 |
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B |
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| 8 |
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| 9 |
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Not Rated |
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| 1 |
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| — |
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3 | Using the higher of S&P, Moody’s or Fitch rating. |
5
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JUNE 30, 2005 |
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BlackRock Advantage Term Trust (BAT) |
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Rating1 |
| Principal |
| Description |
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| Value |
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| LONG-TERM INVESTMENTS—87.7% |
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| Agency Multiple Class Mortgage Pass-Through Securities—2.8% |
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| Federal Home Loan Mortgage Corp., |
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| $ | 674 |
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| Ser. 2919, Class ZD, 4.50%, 1/15/20 |
| $ | 674,060 |
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| 1,471 |
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| Ser. 2930, Class ZD, 4.50%, 2/15/20 |
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| 1,470,309 |
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| 463 |
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| Ser. 2949, Class ZY, 5.50%, 3/15/35 |
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| 462,175 |
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| 95 |
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| Federal National Mortgage Assoc., Ser. 43, Class E, 4/25/22 |
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| 97,954 |
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| Total Agency Multiple Class Mortgage Pass-Through Securities |
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| 2,704,498 |
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| Inverse Floating Rate Mortgage Securities—0.8% |
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| Federal Home Loan Mortgage Corp., |
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| 152 | 2 |
| Ser. 2752, Class SV, 9.69%, 9/15/33 |
|
| 151,812 |
|
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|
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| 373 | 2 |
| Ser. 2791, Class SE, 14.32%, 5/15/34 |
|
| 372,948 |
|
|
|
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| 221 | 2 |
| Federal National Mortgage Assoc., Ser. 190, Class S, 15.894%, 11/25/07 |
|
| 236,024 |
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|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Inverse Floating Rate Mortgage Securities |
|
| 760,784 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Interest Only Mortgage-Backed Securities—0.3% |
|
|
|
|
|
|
|
| 6,000 |
|
| Deutsche Mortgage Secs., Inc. Mortgage Loan Trust, Ser. 2, Class AIO, 3.50%, 2/25/06 |
|
| 85,080 |
|
|
|
|
|
|
|
| Federal Home Loan Mortgage Corp., |
|
|
|
|
|
|
|
| 77 | 2 |
| Ser. 1543, Class VU, 11.41%, 4/15/23 |
|
| 8,594 |
|
|
|
|
| 51 |
|
| Ser. 1588, Class PM, 6.50%, 9/15/22 |
|
| 634 |
|
|
|
|
| 3,204 |
|
| Ser. 2543, Class IJ, 5.00%, 10/15/12 |
|
| 137,697 |
|
|
|
|
| 1,882 |
|
| Ser. 2620, Class WI, 5.50%, 4/15/33 |
|
| 44,109 |
|
|
|
|
|
|
|
| Federal National Mortgage Assoc., |
|
|
|
|
|
|
|
| 46 |
|
| Ser. 188, Class VA, 6.50%, 3/25/13 |
|
| 332 |
|
|
|
|
| 174 |
|
| Ser. 194, Class PV, 6.50%, 6/25/08 |
|
| 2,789 |
|
|
|
|
| 111 |
|
| Ser. 223, Class PT, 6.50%, 10/25/23 |
|
| 9,698 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Interest Only Mortgage-Backed Securities |
|
| 288,933 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Principal Only Mortgage-Backed Securities—2.2% |
|
|
|
|
AAA |
|
|
| 8 | 3 |
| Collateralized Mortgage Obligation Trust, Ser. 29, Class A, 11.50%, 5/23/17 |
|
| 8,226 |
|
|
|
|
|
|
|
| Federal National Mortgage Assoc., |
|
|
|
|
|
|
|
| 1,444 | 3 |
| Ser. 193, Class E, 8.50%, 9/25/23 |
|
| 1,189,321 |
|
|
|
|
| 1,149 | 3 |
| Ser. 225, Class ME, 8.00%, 11/25/23 |
|
| 953,802 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Principal Only Mortgage-Backed Securities |
|
| 2,151,349 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Commercial Mortgage-Backed Securities—0.8% |
|
|
|
|
AAA |
|
|
| 754 | 4 |
| New York City Mortgage Loan Trust, Multi-Family, Class A2, 6.75%, 6/25/11 |
|
| 775,371 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Asset-Backed Securities—0.1% |
|
|
|
|
NR |
|
|
| 391 | 3,4,5,6 |
| Global Rated Eligible Asset Trust, Ser. A, Class 1, 7.33%, 9/15/07 |
|
| 43,063 |
|
NR |
|
|
| 839 | 3,5,6 |
| Structured Mortgage Asset Residential Trust, Ser. 3, 8.724%, 4/15/06 |
|
| 92,319 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Asset-Backed Securities |
|
| 135,382 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Collateralized Mortgage Obligation Residuals—0.0% |
|
|
|
|
|
|
|
| 10 | 2 |
| Federal Home Loan Mortgage Corp., Ser. 1035, Class R, 4.88%, 1/15/21 |
|
| 0 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| U.S. Government and Agency Zero Coupon Bonds—73.2% |
|
|
|
|
|
|
|
| 6,203 |
|
| Aid to Israel, 8/15/05 |
|
| 6,178,238 |
|
|
|
|
| 11,026 | 7 |
| Financing Corp. (FICO) Strips, 12/06/05 |
|
| 10,860,720 |
|
|
|
|
| 22,926 | 7 |
| Resolution Funding Corp., 7/15/05 |
|
| 22,903,991 |
|
|
|
|
| 6,216 | 7 |
| Tennessee Valley Authority, 11/01/05 |
|
| 6,152,970 |
|
|
|
|
|
|
|
| U.S. Treasury Strips, |
|
|
|
|
|
|
|
| 18,000 |
|
| 8/15/05 |
|
| 17,930,970 |
|
|
|
|
| 8,000 |
|
| 11/15/05 |
|
| 7,902,632 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total U.S. Government and Agency Zero Coupon Bonds |
|
| 71,929,521 |
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
6
BlackRock Advantage Term Trust (BAT) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating1 |
| Principal |
| Description |
|
| Value |
| |||
|
|
|
|
|
|
| Corporate Bonds—3.1% |
|
|
|
|
|
|
|
|
|
|
| Energy—1.1% |
|
|
|
|
BBB+ |
|
| $ | 1,000 | 4 |
| Israel Electric Corp., Ltd., 7.25%, 12/15/06 (Israel) |
| $ | 1,040,340 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Financial Institutions—2.0% |
|
|
|
|
AA+ |
|
|
| 950 |
|
| Citigroup, Inc., 5.75%, 5/10/06 |
|
| 963,224 |
|
NR |
|
|
| 1,035 | 4 |
| Equitable Life Assurance Society, zero coupon, 12/01/05 |
|
| 1,018,836 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 1,982,060 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Corporate Bonds |
|
| 3,022,400 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| U.S. Government and Agency Securities—0.4% |
|
|
|
|
|
|
|
| 337 |
|
| Small Business Investment Cos., Ser. P10A, Class 1, 6.12%, 2/01/08 |
|
| 348,476 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Taxable Municipal Bonds—4.0% |
|
|
|
|
AAA |
|
|
| 1,000 |
|
| Alameda Cnty. California Pension Oblig., zero coupon, 12/01/05 |
|
| 985,860 |
|
AAA |
|
|
| 1,000 |
|
| Alaska Energy Auth., zero coupon, 7/01/05 |
|
| 1,000,000 |
|
AAA |
|
|
| 1,033 |
|
| Kern Cnty. California Pension Oblig., zero coupon, 8/15/05 |
|
| 1,029,425 |
|
NR |
|
|
| 1,034 |
|
| Long Beach California Pension Oblig., zero coupon, 9/01/05 |
|
| 1,028,501 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Taxable Municipal Bonds |
|
| 4,043,786 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Long-Term Investments (cost $85,712,526) |
|
| 86,160,500 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| SHORT-TERM INVESTMENTS—44.8% |
|
|
|
|
|
|
|
|
|
|
| U.S. Government and Agency Zero Coupon Bonds—44.8% |
|
|
|
|
|
|
|
| 26,000 |
|
| Federal Home Loan Bank Discount Notes, 7/01/05-7/20/05 |
|
| 25,960,020 |
|
|
|
|
| 18,000 |
|
| Federal National Mortgage Assoc. Discount Notes, 7/01/05 |
|
| 18,000,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Short-Term Investments (cost $43,960,021) |
|
| 43,960,020 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total investments—132.5% (cost $129,672,5478) |
|
| 130,120,520 |
|
|
|
|
|
|
|
| Liabilities in excess of other assets—(32.5)% |
|
| (31,926,487 | ) |
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Net Assets—100% |
| $ | 98,194,033 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1 | Using the higher of S&P’s, Moody’s or Fitch’s ratings. |
2 | Security interest rate is as of June 30, 2005. |
3 | Interest rate shown is rate as of June 30, 2005 of the underlying collateral. |
4 | Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of June 30, 2005, the Trust held 2.9% of its net assets, with a current market value of $2,877,610, in securities restricted as to resale. |
5 | Security is fair valued. |
6 | Illiquid securities representing 0.14% of net assets. |
7 | Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements. |
8 | Cost for Federal income tax purposes is $129,732,387. The net unrealized appreciation on a tax basis is $388,133 consisting of $860,230 gross unrealized appreciation and $472,097 gross unrealized depreciation. |
See Notes to Financial Statements.
7
|
|
PORTFOLIO OF INVESTMENTS (unaudited) |
|
BlackRock Global Floating Rate Income Trust (BGT) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating1 |
| Principal | Description |
| Value |
| |||||
|
|
|
|
|
|
| LONG-TERM INVESTMENTS—155.5% |
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds—20.8% |
|
|
|
|
|
|
|
|
|
|
| Automotive—0.3% |
|
|
|
|
B- |
|
| $ | 125 |
|
| Accuride Corp., 8.50%, 2/01/15 |
| $ | 122,188 |
|
BB+ |
|
|
| 475 |
|
| ArvinMeritor, Inc., 8.75%, 3/01/12 |
|
| 496,375 |
|
B |
|
|
| 30 |
|
| Cooper-Standard Automotive, Inc., 7.00%, 12/15/12 |
|
| 27,450 |
|
B2 |
|
|
| 525 | 2 |
| Delco Remy Intl., Inc., 7.141%, 4/15/09 |
|
| 526,312 |
|
B |
|
|
| 215 |
|
| Delphi Corp., 6.50%, 5/01/09 |
|
| 178,450 |
|
B- |
|
|
| 40 |
|
| Goodyear Tire & Rubber Co., 7.857%, 8/15/11 |
|
| 38,800 |
|
CCC+ |
|
|
| 150 | 3 | �� | Metaldyne Corp., 10.00%, 11/01/13 |
|
| 122,250 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 1,511,825 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Basic Materials—1.5% |
|
|
|
|
|
|
|
|
|
|
| Abitibi-Consolidated, Inc. (Canada) |
|
|
|
|
BB- |
|
|
| 1,000 |
|
| 6.91%, 6/15/11 |
|
| 992,500 |
|
BB- |
|
|
| 90 |
|
| 8.375%, 4/01/15 |
|
| 91,912 |
|
B+ |
|
|
| 260 | 2,3 |
| Boise Cascade LLC, 6.016%, 10/15/12 |
|
| 260,650 |
|
BB |
|
|
| 1,000 |
|
| Bowater, Inc., 6.41%, 3/15/10 |
|
| 1,012,500 |
|
BB- |
|
|
| 70 |
|
| Donohue Forest Products, 7.625%, 5/15/07 (Canada) |
|
| 71,050 |
|
Ba3 |
|
|
| 750 |
|
| Hercules, Inc., 6.75%, 10/15/29 |
|
| 727,500 |
|
BB |
|
|
| 95 |
|
| Intl. Steel Group, Inc., 6.50%, 4/15/14 |
|
| 91,438 |
|
|
|
|
|
|
|
| Lyondell Chemical Co., |
|
|
|
|
BB- |
|
|
| 300 |
|
| 11.125%, 7/15/12 |
|
| 339,750 |
|
BB- |
|
|
| 300 |
|
| Ser. A, 9.625%, 5/01/07 |
|
| 320,250 |
|
B- |
|
|
| 565 |
|
| Nalco Co., 8.875%, 11/15/13 |
|
| 604,550 |
|
|
|
|
|
|
|
| NewPage Corp., |
|
|
|
|
B3 |
|
|
| 1,500 | 3 |
| 9.46%, 5/01/12 |
|
| 1,507,500 |
|
B3 |
|
|
| 70 | 3 |
| 10.00%, 5/01/12 |
|
| 70,525 |
|
B- |
|
|
| 100 | 3 |
| PQ Corp., 7.50%, 2/15/13 |
|
| 98,250 |
|
B- |
|
|
| 750 |
|
| Trimas Corp., 9.875%, 6/15/12 |
|
| 630,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 6,818,375 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Building & Development—0.3% |
|
|
|
|
B+ |
|
|
| 1,000 | 2 |
| Ainsworth Lumber Co. Ltd., 6.84%, 10/01/10 (Canada) |
|
| 995,000 |
|
B2 |
|
|
| 90 | 3 |
| Compression Polymers Corp., 10.50%, 7/01/13 |
|
| 91,575 |
|
B- |
|
|
| 240 | 3 |
| Goodman Global Holding Co., Inc., 7.875%, 12/15/12 |
|
| 222,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 1,308,575 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Consumer Products—0.5% |
|
|
|
|
B3 |
|
|
| 45 |
|
| ALH Finance LLC/ALH Finance Corp., 8.50%, 1/15/13 |
|
| 41,400 |
|
B3 |
|
|
| 1,050 | 3 |
| Duane Reade, Inc., 7.91%, 12/15/10 |
|
| 1,039,500 |
|
B+ |
|
|
| 110 |
|
| Finlay Fine Jewelry Corp., 8.375%, 6/01/12 |
|
| 97,900 |
|
B |
|
|
| 40 |
|
| Gold Kist, Inc., 10.25%, 3/15/14 |
|
| 45,600 |
|
B- |
|
|
| 400 |
|
| Lazydays RV Center, Inc., 11.75%, 5/15/12 |
|
| 417,000 |
|
B- |
|
|
| 180 | 2 |
| Levi Strauss & Co., 7.73%, 4/01/12 |
|
| 170,550 |
|
B2 |
|
|
| 300 | 3 |
| Movie Gallery, Inc., 11.00%, 5/01/12 |
|
| 315,000 |
|
B- |
|
|
| 365 | 3 |
| Rite Aid Corp., 6.125%, 12/15/08 |
|
| 344,925 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 2,471,875 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Containers & Packaging—0.2% |
|
|
|
|
B |
|
|
| 750 |
|
| Crown European Hldgs. SA, 10.875%, 3/01/13 (France) |
|
| 885,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Ecological Services & Equipment—0.1% |
|
|
|
|
BB- |
|
|
| 625 |
|
| Allied Waste NA, Ser. B, 5.75%, 2/15/11 |
|
| 584,375 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Energy—8.3% |
|
|
|
|
BB+ |
|
|
| 750 | 3 |
| AES Corp., 9.00%, 5/15/15 |
|
| 840,000 |
|
BB- |
|
|
| 70 | 3 |
| Compagnie Generale de Geophysique SA, 7.50%, 5/15/15 (France) |
|
| 72,450 |
|
B |
|
|
| 750 |
|
| Compton Petroleum Corp., Ser. A, 9.90%, 5/15/09 (Canada) |
|
| 787,500 |
|
B |
|
|
| 750 |
|
| El Paso Production Holding Co., 7.75%, 6/01/13 |
|
| 801,562 |
|
B1 |
|
|
| 750 |
|
| Foundation Pennsylvania Coal Co., 7.25%, 8/01/14 |
|
| 787,500 |
|
BB- |
|
|
| 14,430 |
|
| Gazprom OAO, 9.625%, 3/01/13 (Russia) |
|
| 17,662,320 |
|
B- |
|
|
| 730 |
|
| KCS Energy, Inc., 7.125%, 4/01/12 |
|
| 740,950 |
|
See Notes to Financial Statements.
8
BlackRock Global Floating Rate Income Trust (BGT) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating1 |
| Principal |
| Description |
| Value |
| ||||
|
|
|
|
|
|
| Energy—(cont’d) |
|
|
|
|
B |
|
| $ | 60 | 3 |
| North American Energy Partners, Inc., 9.00%, 5/15/10 (Canada) |
| $ | 60,600 |
|
|
|
|
|
|
|
| Pemex Project Funding Master Trust, |
|
|
|
|
Baa1 |
|
|
| 800 | 3 |
| 9.375%, 12/02/08 |
|
| 910,800 |
|
Baa1 |
|
|
| 12,700 | 2 |
| Ser. 15, 4.941%, 10/15/09 |
|
| 13,347,700 |
|
|
|
|
|
|
|
| Reliant Energy, Inc., |
|
|
|
|
BB- |
|
|
| 250 |
|
| 6.75%, 12/15/14 |
|
| 245,000 |
|
BB- |
|
|
| 750 |
|
| 9.25%, 7/15/10 |
|
| 811,875 |
|
BB- |
|
|
| 300 |
|
| Swift Energy Co., 7.625%, 7/15/11 |
|
| 309,750 |
|
B2 |
|
|
| 300 |
|
| Whiting Petroleum Corp., 7.25%, 5/01/13 |
|
| 307,500 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 37,685,507 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Entertainment & Leisure—0.2% |
|
|
|
|
BB |
|
|
| 750 |
|
| MGM Mirage, 5.875%, 2/27/14 |
|
| 727,500 |
|
B |
|
|
| 25 |
|
| Poster Financial Group, Inc., 8.75%, 12/01/11 |
|
| 25,438 |
|
B+ |
|
|
| 70 | 3 |
| Wynn Las Vegas LLC/Wynn Las Vegas Cap. Corp., 6.625%, 12/01/14 |
|
| 67,900 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 820,838 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Financial Institutions—3.1% |
|
|
|
|
B+ |
|
|
| 95 |
|
| AES Ironwood LLC, 8.857%, 11/30/25 |
|
| 107,156 |
|
BB |
|
|
| 140 | 3 |
| American Real Estate Partners LP/American Real Estate Finance Corp., 7.125%, 2/15/13 |
|
| 137,900 |
|
BB |
|
|
| 750 |
|
| Crum & Forster Hldgs. Corp., 10.375%, 6/15/13 |
|
| 813,750 |
|
BBB |
|
|
| 60 |
|
| Ford Motor Credit Co., 7.25%, 10/25/11 |
|
| 58,075 |
|
Baa2 |
|
|
| 3,000 | 2 |
| General Motors Acceptance Corp., 4.05%, 1/16/07 |
|
| 2,934,030 |
|
Baa2 |
|
|
| 8,455 | 3 |
| Kazkommerts Intl. BV, 8.50%, 4/16/13 (Netherlands) |
|
| 8,982,620 |
|
BBB |
|
|
| 25 | 2 |
| Marsh & McLennan Cos., Inc., 3.28%, 7/13/07 |
|
| 24,846 |
|
B+ |
|
|
| 750 | 3 |
| Rainbow National Services LLC, 8.75%, 9/01/12 |
|
| 813,750 |
|
B- |
|
|
| 300 |
|
| Universal City Florida Hldg. Co. I/II, 7.96%, 5/01/10 |
|
| 312,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 14,184,127 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Health Care—0.5% |
|
|
|
|
CCC+ |
|
|
| 10 |
|
| Curative Health Services, Inc., 10.75%, 5/01/11 |
|
| 7,600 |
|
B- |
|
|
| 750 |
|
| IASIS Healthcare LLC/IASIS Cap. Corp., 8.75%, 6/15/14 |
|
| 813,750 |
|
B3 |
|
|
| 70 |
|
| Insight Health Services Corp., Ser. B, 9.875%, 11/01/11 |
|
| 54,950 |
|
|
|
|
|
|
|
| Tenet Healthcare Corp., |
|
|
|
|
B |
|
|
| 30 |
|
| 6.375%, 12/01/11 |
|
| 28,650 |
|
B |
|
|
| 50 |
|
| 9.875%, 7/01/14 |
|
| 53,750 |
|
B- |
|
|
| 830 |
|
| Universal Hospital Services, Inc., 10.125%, 11/01/11 |
|
| 848,675 |
|
B2 |
|
|
| 450 |
|
| US Oncology, Inc., 9.00%, 8/15/12 |
|
| 481,500 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 2,288,875 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Industrials—0.7% |
|
|
|
|
B- |
|
|
| 400 |
|
| Cenveo Corp., 7.875%, 12/01/13 |
|
| 383,000 |
|
B- |
|
|
| 705 | 3 |
| DI Finance/DynCorp. Intl., 9.50%, 2/15/13 |
|
| 652,125 |
|
B- |
|
|
| 125 | 3 |
| Hydrochem Industrial Services, 9.25%, 2/15/13 |
|
| 115,000 |
|
B- |
|
|
| 555 | 3 |
| Knowledge Learning Corp., Inc., 7.75%, 2/01/15 |
|
| 525,863 |
|
B- |
|
|
| 180 | 3 |
| NationsRent Cos., Inc., 9.50%, 5/01/15 |
|
| 177,300 |
|
CCC+ |
|
|
| 325 | 3 |
| Park-Ohio Inds., Inc., 8.375%, 11/15/14 |
|
| 284,375 |
|
B3 |
|
|
| 210 | 3 |
| Sunstate Equipment Co. LLC, 10.50%, 4/01/13 |
|
| 215,250 |
|
B+ |
|
|
| 600 |
|
| United Rentals NA, Inc., 7.00%, 2/15/14 |
|
| 573,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 2,925,913 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Media—0.6% |
|
|
|
|
NR |
|
|
| 250 |
|
| Cablecom SCA, 4.898%, 4/15/12 (Luxembourg) (EUR) |
|
| 299,685 |
|
CCC+ |
|
|
| 780 |
|
| Charter Communications Hldgs. II LLC/Charter Communications Hldgs. II Cap. Corp., 10.25%, 9/15/10 |
|
| 789,750 |
|
BB- |
|
|
| 350 | 3 |
| Choctaw Resort Development Enterprise, 7.25%, 11/15/19 |
|
| 349,125 |
|
BB- |
|
|
| 750 |
|
| Echostar DBS Corp., 6.375%, 10/01/11 |
|
| 744,375 |
|
B- |
|
|
| 70 | 3 |
| Nexstar Finance, Inc., 7.00%, 1/15/14 |
|
| 64,838 |
|
B |
|
|
| 485 |
|
| Primedia, Inc., 7.625%, 4/01/08 |
|
| 490,456 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 2,738,229 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Real Estate—1.4% |
|
|
|
|
BB+ |
|
|
| 6,350 | 4 |
| Rouse Co., 5.375%, 11/26/13 |
|
| 6,220,714 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Technology—0.8% |
|
|
|
|
BB+ |
|
|
| 1,500 | 2 |
| Freescale Semiconductor, Inc., 5.891%, 7/15/09 |
|
| 1,563,750 |
|
See Notes to Financial Statements.
9
|
|
BlackRock Global Floating Rate Income Trust (BGT) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal |
|
|
|
|
|
| |||
|
| Amount |
|
|
|
|
|
| |||
Rating1 |
| (000) |
| Description |
| Value |
| ||||
|
|
|
|
|
|
| Technology—(cont’d) |
|
|
|
|
Ba3 |
|
| $ | 1,875 | 3 |
| MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co., 6.66%, 12/15/11 (Luxembourg) |
| $ | 1,865,625 |
|
B |
|
|
| 140 |
|
| Superior Essex Communications LLC/Essex Group, Inc., 9.00%, 4/15/12 |
|
| 139,300 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 3,568,675 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Telecommunications—2.0% |
|
|
|
|
B+ |
|
|
| 810 |
|
| Cincinnati Bell, Inc., 7.25%, 7/15/13 |
|
| 852,525 |
|
|
|
|
|
|
|
| Dobson Cellular Systems, Inc., |
|
|
|
|
B2 |
|
|
| 325 | 3 |
| 7.96%, 11/01/11 |
|
| 338,000 |
|
B2 |
|
|
| 350 | 3 |
| 8.375%, 11/01/11 |
|
| 367,500 |
|
B- |
|
|
| 115 | 3 |
| Hawaiian Telcom Communications, Inc., 8.914%, 5/01/13 |
|
| 118,163 |
|
|
|
|
|
|
|
| Intelsat Ltd. (Bermuda) |
|
|
|
|
B |
|
|
| 75 |
|
| 5.25%, 11/01/08 |
|
| 70,031 |
|
B+ |
|
|
| 485 | 2,3 |
| 7.805%, 11/15/12 |
|
| 493,488 |
|
B+ |
|
|
| 50 | 3 |
| 8.25%, 1/15/13 |
|
| 51,625 |
|
B+ |
|
|
| 200 | 3 |
| 8.625%, 1/15/15 |
|
| 210,500 |
|
B+ |
|
|
| 2,350 |
|
| Qwest Communications Intl., Inc., 7.268%, 12/15/09 |
|
| 2,303,000 |
|
BB |
|
|
| 2,500 | 3 |
| Qwest Corp., 6.671%, 6/15/13 |
|
| 2,550,000 |
|
B+ |
|
|
| 945 |
|
| Qwest Services Corp., 13.50%, 12/15/10 |
|
| 1,091,475 |
|
BB |
|
|
| 400 |
|
| Rogers Wireless Communications, Inc., 6.535%, 6/15/13 (Canada) |
|
| 418,000 |
|
CCC |
|
|
| 385 |
|
| Rural Cellular Corp., 9.875%, 2/01/10 |
|
| 397,512 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 9,261,819 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Transportation—0.3% |
|
|
|
|
B3 |
|
|
| 400 | 3 |
| Horizon Lines LLC, 9.00%, 11/01/12 |
|
| 417,000 |
|
B+ |
|
|
| 750 |
|
| OMI Corp., 7.625%, 12/01/13 (Marshall Island) |
|
| 750,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 1,167,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Corporate Bonds |
|
| 94,441,722 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Bank Loans—100.6% |
|
|
|
|
|
|
|
|
|
|
| Aerospace & Defense—2.1% |
|
|
|
|
|
|
|
| 2,970 |
|
| CACI Intl., Inc., Term Loan, LIBOR + 1.50%, 2/04/07 |
|
| 2,995,912 |
|
|
|
|
|
|
|
| Camp Acquisition Co., Term Loan A, |
|
|
|
|
|
|
|
| 984 |
|
| PRIME + 2.00%, 8/30/11 |
|
| 983,871 |
|
|
|
|
| 8 |
|
| LIBOR + 3.25%, 8/30/11 |
|
| 8,064 |
|
|
|
|
| 1,000 |
|
| Dyncorp International LLC, Loan Term B, LIBOR + 2.75%, 1/31/11 |
|
| 1,007,917 |
|
|
|
|
| 2,000 |
|
| MRO Acquisition LLC, Term Loan, LIBOR + 5.25%, 9/15/11 |
|
| 2,035,000 |
|
|
|
|
| 2,492 |
|
| Standard Aero, Inc., Term Loan, LIBOR + 2.25%, 8/18/12 |
|
| 2,523,462 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 9,554,226 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Automotive—2.8% |
|
|
|
|
|
|
|
|
|
|
| Goodyear Tire & Rubber Co., Term Loan, |
|
|
|
|
|
|
|
| 500 |
|
| LIBOR + 2.75%, 4/01/10 |
|
| 498,928 |
|
|
|
|
| 1,000 |
|
| LIBOR + 3.50%, 4/01/11 |
|
| 978,214 |
|
|
|
|
| 998 |
|
| Hilite Intl., Term Loan B, LIBOR + 4.00%, 4/15/10 |
|
| 988,356 |
|
|
|
|
| 1,000 |
|
| Metaldyne Co. LLC, Term Loan D, LIBOR + 4.50%, 12/31/09 |
|
| 956,667 |
|
|
|
|
| 1,750 |
|
| Polar Corp., Term Loan, LIBOR, 5/30/10 |
|
| 1,767,500 |
|
|
|
|
| 1,861 |
|
| Progressive Moulded Products, Ltd., Term Loan B, LIBOR + 2.50%, 8/30/11 |
|
| 1,704,908 |
|
|
|
|
| 3,000 |
|
| TI Group Automotive Systems NA, Term Loan C, LIBOR + 3.25%, 6/30/11 |
|
| 2,921,250 |
|
|
|
|
| 496 |
|
| TRW Automotive Acquisitions Corp., |
|
|
|
|
|
|
|
|
|
|
| Term Loan B, LIBOR + 1.50%, 6/30/12 |
|
| 497,225 |
|
|
|
|
|
|
|
| Term Loan E, LIBOR + 1.50%, 10/31/10 |
|
| 2,496,867 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 12,809,915 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Basic Materials—11.4% |
|
|
|
|
|
|
|
| 2,978 |
|
| Appleton Papers, Inc., Term Loan, LIBOR + 2.25%, 6/30/10 |
|
| 3,001,692 |
|
|
|
|
| 1,000 |
|
| Berry Plastics Corp., Term Loan, LIBOR + 2.25%, 7/22/10 |
|
| 1,014,750 |
|
|
|
|
| 2,520 |
|
| Boise Cascade LLC, Term Loan D, LIBOR + 1.75%, 10/31/11 |
|
| 2,550,099 |
|
|
|
|
| 798 |
|
| Buckeye Technologies, Inc., Term Loan, LIBOR + 2.00%, 4/15/10 |
|
| 808,092 |
|
|
|
|
|
|
|
| Celanese, Term Loan, |
|
|
|
|
|
|
|
| 383 |
|
| 0.75%, 4/06/11 |
|
| 385,769 |
|
|
|
|
| 3,606 |
|
| LIBOR + 2.25%, 6/03/11 |
|
| 3,653,238 |
|
|
|
|
| 2,000 |
|
| Cognis Deutschland, Term Loan, LIBOR + 4.75%, 11/15/13 |
|
| 2,030,000 |
|
|
|
|
| 1,638 |
|
| Foundation Coal Corp., Term Loan B, LIBOR + 2.00%, 7/30/11 |
|
| 1,656,729 |
|
|
|
|
| 992 |
|
| Hercules, Inc., Term Loan B, LIBOR + 1.75%, 4/07/10 |
|
| 1,000,898 |
|
See Notes to Financial Statements.
10
|
|
BlackRock Global Floating Rate Income Trust (BGT) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal |
|
|
|
|
|
| |||
|
| Amount |
|
|
|
|
|
| |||
Rating1 |
| (000) |
| Description |
| Value |
| ||||
|
|
|
|
|
|
| Basic Materials—(cont’d) |
|
|
|
|
|
|
| $ | 2,488 |
|
| Huntsman Intl., LLC, Term Loan B, LIBOR + 2.25%, 12/31/10 |
| $ | 2,493,858 |
|
|
|
|
| 5,115 |
|
| Huntsman LLC, Term Loan, LIBOR + 3.50%, 3/30/10 |
|
| 5,129,774 |
|
|
|
|
| 3,900 |
|
| Innophos, Inc., Term Loan, LIBOR + 2.75%, 8/15/10 |
|
| 3,921,213 |
|
|
|
|
| 2,012 |
|
| Intermet Corp., PRIME + 3.25%, 3/31/09 |
|
| 1,935,213 |
|
|
|
|
| 4,824 |
|
| Invista, New Term B, LIBOR + 2.25%, 4/30/11 |
|
| 4,890,449 |
|
|
|
|
| 1,050 |
|
| Koch Cellulose, LLC, Term Loan, LIBOR + 1.75%, 5/01/11 |
|
| 1,058,626 |
|
|
|
|
|
|
|
| Kraton Polymers, LLC, Term Loan, |
|
|
|
|
|
|
|
| 221 |
|
| LIBOR + 2.75%, 12/15/10 |
|
| 224,024 |
|
|
|
|
| 1 |
|
| PRIME + 1.50%, 12/15/10 |
|
| 569 |
|
|
|
|
| 5,831 |
|
| Nalco Co., Term Loan B, LIBOR + 2.00%, 11/04/10 |
|
| 5,917,269 |
|
|
|
|
| 500 |
|
| PQ Corp., Term Loan, LIBOR + 2.00%, 2/28/12 |
|
| 503,750 |
|
|
|
|
| 963 |
|
| Professional Paint, Inc., Term Loan, PRIME + 3.25%, 9/30/11 |
|
| 972,125 |
|
|
|
|
| 6,500 |
|
| Rockwood Specialties Group, Inc., Term Loan D, LIBOR + 2.50%, 8/15/12 |
|
| 6,582,602 |
|
|
|
|
| 1,980 |
|
| Supresta LLC, Term Loan, LIBOR + 3.00%, 7/16/11 |
|
| 1,994,850 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 51,725,589 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Building & Development—2.4% |
|
|
|
|
|
|
|
|
|
|
| Atrium Companies, Inc., Term Loan, |
|
|
|
|
|
|
|
| 240 |
|
| LIBOR + 2.75%, 12/30/11 |
|
| 229,637 |
|
|
|
|
| 8 |
|
| LIBOR + 2.75%, 12/30/11 |
|
| 8,261 |
|
|
|
|
| 1,500 |
|
| Custom Building Products, Inc., Term Loan, LIBOR + 5.00%, 4/30/12 |
|
| 1,485,000 |
|
|
|
|
| 500 |
|
| Euramax International, Inc., Term Loan, TBD, 7/15/13 |
|
| 500,000 |
|
|
|
|
| 2,000 |
|
| Juno Lighting, Inc., Term Loan, LIBOR + 5.50%, 5/10/11 |
|
| 2,015,000 |
|
|
|
|
| 2,000 |
|
| Landsource Communities Development, LLC, Term Loan B, LIBOR + 2.50%, 3/31/10 |
|
| 2,003,214 |
|
|
|
|
|
|
|
| Nortek, Inc., Term Loan B, |
|
|
|
|
|
|
|
| 988 |
|
| LIBOR + 2.25%, 8/24/11 |
|
| 991,820 |
|
|
|
|
| 5 |
|
| PRIME + 1.25%, 8/24/11 |
|
| 5,022 |
|
|
|
|
| 2,390 |
|
| Ply Gem Industries, Inc., USD Term Loan, LIBOR + 2.50%, 2/12/11 |
|
| 2,389,613 |
|
|
|
|
| 1,247 |
|
| Walnut Investment Co. LLC, Term Loan, LIBOR + 2.75%, 4/30/12 |
|
| 1,253,110 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 10,880,677 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Business Equipment & Services—0.2% |
|
|
|
|
|
|
|
| 998 |
|
| Latham Intl. Ltd., Term Loan, LIBOR + 4.00%, 12/31/10 |
|
| 997,500 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Conglomerates—3.9% |
|
|
|
|
|
|
|
|
|
|
| Atlantis Plastics, Inc., Term Loan, |
|
|
|
|
|
|
|
| 998 |
|
| LIBOR + 2.75%, 9/30/11 |
|
| 1,006,228 |
|
|
|
|
| 1,000 |
|
| LIBOR + 7.25%, 9/30/11 |
|
| 1,002,500 |
|
|
|
|
| 2 |
|
| PRIME + 0.75%, 9/30/11 |
|
| 2,522 |
|
|
|
|
| 1,850 |
|
| Fidelity National Information Solutions, Inc., Term Loan B, LIBOR + 1.75%, 3/30/13 |
|
| 1,841,329 |
|
|
|
|
| 500 |
|
| Gentek, Inc., Term Loan, LIBOR + 5.75%, 3/15/12 |
|
| 462,000 |
|
|
|
|
|
|
|
| Honeywell Security Group, Term Loan B, |
|
|
|
|
|
|
|
| 3,465 |
|
| LIBOR + 4.00%, 6/28/10 |
|
| 3,486,656 |
|
|
|
|
| 9 |
|
| PRIME + 3.00%, 6/28/10 |
|
| 8,805 |
|
|
|
|
| 500 |
|
| IAP Acquisition Corp., Term Loan, LIBOR + 2.75%, 3/31/11 |
|
| 501,875 |
|
|
|
|
|
|
|
| Invensys Intl. Holdings Ltd., |
|
|
|
|
|
|
|
| 2,000 |
|
| Term Loan, LIBOR, 3/05/09 |
|
| 1,940,000 |
|
|
|
|
| 2,000 |
|
| Term Loan, LIBOR + 4.75%, 11/30/09 |
|
| 2,035,000 |
|
|
|
|
| 977 |
|
| Term Loan B1, LIBOR + 3.50%, 8/30/09 |
|
| 991,232 |
|
|
|
|
| 494 |
|
| NDC Health Corp., Term Loan, LIBOR + 3.00%, 11/04/08 |
|
| 499,335 |
|
|
|
|
| 500 |
|
| Penn Engineering & Manufacturing, Term Loan, LIBOR, 4/30/11 |
|
| 502,500 |
|
|
|
|
| 2,571 |
|
| Polypore, Inc., Term Loan, LIBOR + 2.25%, 11/15/11 |
|
| 2,579,820 |
|
|
|
|
|
|
|
| Rexnord Corp., Term Loan, |
|
|
|
|
|
|
|
| 737 |
|
| LIBOR + 2.25%, 10/31/09 |
|
| 742,445 |
|
|
|
|
| 13 |
|
| PRIME + 1.00%, 10/31/09 |
|
| 12,867 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 17,615,114 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Consumer Products—16.2% |
|
|
|
|
|
|
|
| 1,000 |
|
| 24 Hour Fitness Worlwide, Inc., Term Loan B, LIBOR, 6/30/12 |
|
| 1,013,750 |
|
|
|
|
|
|
|
| Adams Outdoor Advertising, L.P., Term Loan, |
|
|
|
|
|
|
|
| 499 |
|
| LIBOR + 2.00%, 10/15/12 |
|
| 504,569 |
|
|
|
|
| 1 |
|
| PRIME + 0.75%, 10/15/12 |
|
| 1,265 |
|
|
|
|
| 1,995 |
|
| Alliance One International, Inc., Term Loan B, LIBOR + 3.25%, 5/13/10 |
|
| 2,027,419 |
|
See Notes to Financial Statements.
11
|
|
BlackRock Global Floating Rate Income Trust (BGT) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal |
|
|
|
|
|
| |||
|
| Amount |
|
|
|
|
|
| |||
Rating1 |
| (000) |
| Description |
|
| Value |
| |||
|
|
|
|
|
|
| Consumer Products—(cont’d) |
|
|
|
|
|
|
|
|
|
|
| Berkline/BenchCraft Holdings, LLC, |
|
|
|
|
|
|
| $ | 2,000 |
|
| Term Loan, LIBOR + 8.00%, 4/30/12 |
| $ | 2,020,000 |
|
|
|
|
| 1,975 |
|
| Term Loan B, LIBOR + 3.00%, 10/31/11 |
|
| 1,979,937 |
|
|
|
|
| 995 |
|
| Carrols Corp., Term Loan, LIBOR + 2.50%, 12/31/10 |
|
| 1,004,121 |
|
|
|
|
| 746 |
|
| Central Garden Pet, Term Loan B, LIBOR + 1.75%, 5/30/09 |
|
| 753,680 |
|
|
|
|
|
|
|
| Chiquita Brands International, |
|
|
|
|
|
|
|
| 500 |
|
| Term Loan B, LIBOR + 2.50%, 7/15/12 |
|
| 505,625 |
|
|
|
|
| 500 |
|
| Term Loan C, LIBOR + 2.50%, 7/15/13 |
|
| 505,625 |
|
|
|
|
| 1,470 |
|
| Church & Dwight Co., Inc., Term Loan B, LIBOR + 1.75%, 5/31/11 |
|
| 1,482,066 |
|
|
|
|
| 1,384 |
|
| CKE Restaurants, Inc., Term Loan, LIBOR + 2.00%, 5/17/09 |
|
| 1,397,942 |
|
|
|
|
|
|
|
| Coinmach Service Corp., Term Loan B, |
|
|
|
|
|
|
|
| 1,860 |
|
| LIBOR + 3.00%, 7/30/09 |
|
| 1,880,739 |
|
|
|
|
| 107 |
|
| PRIME + 2.00%, 7/30/09 |
|
| 108,056 |
|
|
|
|
| 1,191 |
|
| Constellation Brands, Inc., Term Loan B, LIBOR + 1.75%, 12/31/11 |
|
| 1,201,113 |
|
|
|
|
| 750 |
|
| Culligan International Co., Term Loan B, LIBOR + 2.75%, 10/15/11 |
|
| 757,187 |
|
|
|
|
| 2,486 |
|
| Delaware Laboratories, Inc., Term Loan, LIBOR + 2.25%, 10/30/11 |
|
| 2,490,915 |
|
|
|
|
| 3,500 |
|
| Denny’s Corp., Term Loan, LIBOR + 5.13%, 8/25/10 |
|
| 3,605,000 |
|
|
|
|
| 2,985 |
|
| Desa International, Inc., Term Loan, LIBOR + 5.00%, 12/30/11 |
|
| 2,865,600 |
|
|
|
|
| 993 |
|
| Doane Pet Care Co., Term Loan, LIBOR + 4.00%, 11/15/09 |
|
| 1,009,869 |
|
|
|
|
| 500 |
|
| Fender Musical Instruments Corp., Term Loan, LIBOR + 4.50%, 9/30/12 |
|
| 506,250 |
|
|
|
|
| 410 |
|
| Herbalife Intl., Inc., Term Loan, LIBOR + 1.75%, 12/31/10 |
|
| 410,000 |
|
|
|
|
| 1,669 |
|
| Jarden Corp., Term Loan, LIBOR + 2.00%, 1/15/12 |
|
| 1,683,129 |
|
|
|
|
|
|
|
| Knoll, Inc., Term Loan, |
|
|
|
|
|
|
|
| 1,670 |
|
| LIBOR + 3.00%, 10/15/11 |
|
| 1,693,559 |
|
|
|
|
| 24 |
|
| PRIME + 2.00%, 10/15/11 |
|
| 23,853 |
|
|
|
|
| 995 |
|
| Landry’s Restaurants, Inc., Term Loan, LIBOR + 1.75%, 12/31/10 |
|
| 1,004,328 |
|
|
|
|
| 734 |
|
| Language Line, Inc., Term Loan B, LIBOR + 4.25%, 6/14/11 |
|
| 741,313 |
|
|
|
|
|
|
|
| Maidenform, Inc., Term Loan, |
|
|
|
|
|
|
|
| 264 |
|
| LIBOR + 2.75%, 5/14/10 |
|
| 264,172 |
|
|
|
|
| 3 |
|
| PRIME + 1.75%, 5/14/10 |
|
| 3,383 |
|
|
|
|
| 590 |
|
| PRIME + 6.50%, 5/11/11 |
|
| 595,900 |
|
|
|
|
| 1,000 |
|
| Mapco Express, Inc., Term Loan, LIBOR + 2.75%, 5/15/11 |
|
| 1,012,500 |
|
|
|
|
| 3,500 |
|
| Movie Gallery, Inc., Term Loan B, LIBOR + 3.00%, 4/30/11 |
|
| 3,535,000 |
|
|
|
|
| 2,929 |
|
| National Bedding Co., LLC, Term Loan B, LIBOR + 2.25%, 8/25/08 |
|
| 2,964,224 |
|
|
|
|
| 3,000 |
|
| NewPage Corp., Term Loan B, LIBOR + 3.00%, 4/30/12 |
|
| 3,030,000 |
|
|
|
|
| 3,500 |
|
| Olympus Cable Holdings, LLC, Term Loan B, PRIME + 1.25%, 9/30/10 |
|
| 3,455,623 |
|
|
|
|
| 995 |
|
| Oreck Corp., Term Loan B, LIBOR + 2.75%, 1/31/12 |
|
| 999,975 |
|
|
|
|
|
|
|
| Oriental Trading Co., Inc., |
|
|
|
|
|
|
|
| 2,231 |
|
| Term Loan, LIBOR + 4.75%, 12/02/10 |
|
| 1,488,750 |
|
|
|
|
| 403 |
|
| Term Loan B, LIBOR + 2.50%, 8/06/10 |
|
| 1,137,852 |
|
|
|
|
| 3,473 |
|
| OSI Group LLC, Term Loan, LIBOR + 2.50%, 9/15/11 |
|
| 3,499,992 |
|
|
|
|
| 2,583 |
|
| Pierre Foods, Inc., Term Loan B, LIBOR + 2.75%, 7/15/10 |
|
| 2,613,704 |
|
|
|
|
|
|
|
| Prestige Brands Holdings, Inc., Term Loan B, |
|
|
|
|
|
|
|
| 1,970 |
|
| LIBOR + 2.25%, 4/07/11 |
|
| 1,988,059 |
|
|
|
|
| 10 |
|
| PRIME + 1.25%, 4/07/11 |
|
| 10,092 |
|
|
|
|
| 975 |
|
| Propex Fabrics, Inc., Term Loan, LIBOR + 2.25%, 12/31/10 |
|
| 976,219 |
|
|
|
|
|
|
|
| R.H. Donnelley, Inc., |
|
|
|
|
|
|
|
| 601 |
|
| Term Loan A3, LIBOR + 1.75%, 6/30/11 |
|
| 606,557 |
|
|
|
|
| 2,124 |
|
| Term Loan D, LIBOR + 1.75%, 12/31/11 |
|
| 2,142,942 |
|
|
|
|
| 2,978 |
|
| Rite Aid Corp., Term Loan, LIBOR + 1.75%, 9/15/09 |
|
| 2,989,907 |
|
|
|
|
| 998 |
|
| Spectrum Brands, Inc., Term Loan B, LIBOR + 2.00%, 1/31/12 |
|
| 1,007,892 |
|
|
|
|
|
|
|
| Travel Centers of America, Inc., |
|
|
|
|
|
|
|
| 500 |
|
| Term Loan, TBD, 6/30/11 |
|
| 503,750 |
|
|
|
|
| 1,000 |
|
| Term Loan C, LIBOR + 1.75%, 11/30/11 |
|
| 1,007,500 |
|
|
|
|
|
|
|
| United Subcontractors, Inc., |
|
|
|
|
|
|
|
| 3,980 |
|
| Term Loan B, LIBOR + 3.25%, 4/21/11 |
|
| 3,980,000 |
|
|
|
|
| 490 |
|
| Term Loan C, LIBOR + 7.00%, 10/21/11 |
|
| 499,800 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 73,490,703 |
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
12
|
|
BlackRock Global Floating Rate Income Trust (BGT) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal |
|
|
|
|
|
| |||
|
| Amount |
|
|
|
|
|
| |||
Rating1 |
| (000) |
| Description |
|
| Value |
| |||
|
|
|
|
|
|
| Containers & Packaging—3.9% |
|
|
|
|
|
|
|
|
|
|
| FlexSol Packaging Corp., Term Loan, |
|
|
|
|
|
|
| $ | 358 |
|
| LIBOR + 3.25%, 11/30/11 |
| $ | 357,464 |
|
|
|
|
| 1,000 |
|
| LIBOR + 7.00%, 11/30/12 |
|
| 970,000 |
|
|
|
|
| 5 |
|
| PRIME + 1.75%, 11/30/11 |
|
| 4,583 |
|
|
|
|
|
|
|
| Graham Packaging Co., Inc., |
|
|
|
|
|
|
|
| 6,468 |
|
| Term Loan B, LIBOR + 2.50%, 10/01/11 |
|
| 6,552,386 |
|
|
|
|
| 2,000 |
|
| Term Loan C, LIBOR + 4.25%, 4/01/12 |
|
| 2,053,334 |
|
|
|
|
| 3,576 |
|
| Graphic Packaging Intl., Inc., Term Loan C, LIBOR + 2.50%, 8/08/10 |
|
| 3,627,120 |
|
|
|
|
| 998 |
|
| Smurfit Stone Container Corp., Term Loan B, LIBOR + 2.00%, 11/01/11 |
|
| 1,010,218 |
|
|
|
|
| 2,970 |
|
| Solo Cup Co., Term Loan, LIBOR + 2.00%, 2/27/11 |
|
| 2,992,942 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 17,568,047 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Ecological Services & Equipment—1.3% |
|
|
|
|
|
|
|
| 1,957 |
|
| Allied Waste NA, Inc., Term Loan, LIBOR + 2.00%, 3/31/12 |
|
| 1,960,113 |
|
|
|
|
| 3,775 |
|
| Envirosolutions, Inc., Term Loan, LIBOR + 4.50%, 2/28/09 |
|
| 3,765,073 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 5,725,186 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Energy—5.0% |
|
|
|
|
|
|
|
| 1,500 |
|
| AES Corp., Term Loan, LIBOR + 1.75%, 4/30/08 |
|
| 1,511,625 |
|
|
|
|
|
|
|
| Belden & Blake Corp., Term Loan, |
|
|
|
|
|
|
|
| 1,231 |
|
| LIBOR + 2.75%, 7/15/11 |
|
| 1,230,587 |
|
|
|
|
| 3 |
|
| PRIME + 1.75%, 7/15/11 |
|
| 3,456 |
|
|
|
|
| 1,000 |
|
| Cellnet Technology, Inc., Term Loan B, LIBOR + 3.00%, 4/30/12 |
|
| 995,000 |
|
|
|
|
| 933 |
|
| Cogentrix Delaware Holdings, Inc., Term Loan, LIBOR + 1.75%, 4/30/12 |
|
| 938,304 |
|
|
|
|
| 500 |
|
| Coleto Creek Power, Term Loan C1, LIBOR + 2.00%, 8/05/12 |
|
| 509,062 |
|
|
|
|
| 1,980 |
|
| Dynegy Holdings, Inc., Term Loan, LIBOR, 5/10/10 |
|
| 1,987,920 |
|
|
|
|
|
|
|
| El Paso Corp., |
|
|
|
|
|
|
|
| 750 |
|
| Term Loan, LIBOR + 2.77%, 11/30/09 |
|
| 754,219 |
|
|
|
|
| 1,235 |
|
| Term Loan B, LIBOR + 2.75%, 11/30/09 |
|
| 1,241,947 |
|
|
|
|
| 500 |
|
| Energy Transfer Co., Term Loan, TBD, 6/30/08 |
|
| 503,334 |
|
|
|
|
| 1,000 |
|
| Kerr-McGee Corp., Loan Term B, LIBOR + 2.50%, 4/19/11 |
|
| 1,014,722 |
|
|
|
|
| 498 |
|
| Mainline LP, Term Loan, LIBOR + 2.38%, 12/31/11 |
|
| 498,194 |
|
|
|
|
| 5,485 |
|
| Reliant Energy, Inc., Term Loan, LIBOR + 2.38%, 4/30/10 |
|
| 5,532,012 |
|
|
|
|
|
|
|
| Semgroup LP, Term Loan, |
|
|
|
|
|
|
|
| 2,524 |
|
| LIBOR + 2.50%, 2/28/11 |
|
| 2,541,120 |
|
|
|
|
| 700 |
|
| PRIME + 1.00%, 2/28/11 |
|
| 704,813 |
|
|
|
|
| 1,996 |
|
| Texas Genco LLC, Term Loan, LIBOR + 2.00%, 12/15/11 |
|
| 2,023,080 |
|
|
|
|
| 500 |
|
| Trout Coal Holdings LLC, Loan Term, LIBOR + 5.00%, 3/31/12 |
|
| 499,688 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 22,489,083 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Entertainment & Leisure—7.2% |
|
|
|
|
|
|
|
| 1,000 |
|
| Blockbuster Entertainment Corp., Term Loan B, LIBOR + 2.75%, 8/20/11 |
|
| 993,125 |
|
|
|
|
| 1,980 |
|
| Boyd Gaming Corp., Term Loan, LIBOR + 1.75%, 5/14/11 |
|
| 1,988,415 |
|
|
|
|
| 500 |
|
| Country Road, Term Loan, TBD, 6/30/13 |
|
| 505,000 |
|
|
|
|
| 1,900 |
|
| Greektown Casino, LLC, Term Loan D, LIBOR + 3.50%, 12/31/05 |
|
| 1,908,228 |
|
|
|
|
|
|
|
| Hollywood Theaters, Inc., Term Loan |
|
|
|
|
|
|
|
| 1,737 |
|
| LIBOR + 3.25%, 8/01/09 |
|
| 1,754,244 |
|
|
|
|
| 2,500 |
|
| LIBOR + 7.00%, 1/21/10 |
|
| 2,518,750 |
|
|
|
|
| 2,993 |
|
| Kerasotes Theatres, Inc., Term Loan B, LIBOR + 2.75%, 12/31/07-11/01/11 |
|
| 3,033,647 |
|
|
|
|
| 4,924 |
|
| Loews Cineplex Entertainment Corp., Term Loan B, LIBOR + 2.25%, 8/15/11 |
|
| 4,935,293 |
|
|
|
|
| 998 |
|
| Marina District Finance Co., Inc., Term Loan B, LIBOR + 1.75%, 10/15/11 |
|
| 1,002,072 |
|
|
|
|
| 5,000 |
|
| MGM Studios, Inc., Term Loan B, LIBOR + 2.25%, 4/15/12 |
|
| 5,014,375 |
|
|
|
|
| 1,000 |
|
| Penn National Gaming, Term Loan, LIBOR + 2.50%, 5/31/12 |
|
| 1,013,393 |
|
|
|
|
| 995 |
|
| Universal City Development Partners, Ltd., Term Loan, LIBOR + 2.00%, 6/30/12 |
|
| 1,003,291 |
|
|
|
|
| 1,244 |
|
| Venetian Casino Resorts LLC, Term Loan B, LIBOR + 1.75%, 6/15/11 |
|
| 1,254,915 |
|
|
|
|
|
|
|
| Wyndham Intl., Inc., |
|
|
|
|
|
|
|
| 86 |
|
| Term Loan, LIBOR + 3.25%, 5/15/11 |
|
| 86,422 |
|
|
|
|
| 914 |
|
| Term Loan B, LIBOR + 3.25%, 5/15/11 |
|
| 917,448 |
|
|
|
|
| 417 |
|
| Term Loan C, LIBOR + 8.00%, 11/15/11 |
|
| 435,938 |
|
|
|
|
| 4,000 |
|
| Wynn Las Vegas LLC/Wynn Las Vegas Cap. Corp., Term Loan, LIBOR + 2.13%, 12/31/11 |
|
| 4,023,752 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 32,388,308 |
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
13
|
|
BlackRock Global Floating Rate Income Trust (BGT) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
|
|
|
| |||
Rating1 |
| (000) |
| Description |
|
| Value |
| |||
|
|
|
|
|
|
| Financial Institutions—2.4% |
|
|
|
|
|
|
| $ | 1,608 |
|
| Global Cash Access, LLC, Term Loan, LIBOR + 2.75%, 3/15/10 |
| $ | 1,628,395 |
|
|
|
|
| 1,610 |
|
| Refco Finance Holdings, LLC, Term Loan B, LIBOR + 2.00%, 7/30/11 |
|
| 1,613,623 |
|
|
|
|
|
|
|
| Titan Corp., Term Loan B, |
|
|
|
|
|
|
|
| 2,971 |
|
| LIBOR + 2.50%, 4/24/09 |
|
| 2,987,287 |
|
|
|
|
| 6 |
|
| PRIME + 1.25%, 4/24/09 |
|
| 5,880 |
|
|
|
|
| 499 |
|
| USI Holdings Corp., Term Loan B, LIBOR + 2.50%, 7/30/08 |
|
| 499,666 |
|
|
|
|
| 3,880 |
|
| Visant Holding Corp., Term Loan C, LIBOR + 2.25%, 10/15/11 |
|
| 3,931,732 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 10,666,583 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Health Care—10.2% |
|
|
|
|
|
|
|
| 5,545 |
|
| Accredo Health, Inc., Term Loan B, LIBOR + 1.75%, 8/05/11 |
|
| 5,544,628 |
|
|
|
|
| 1,243 |
|
| Advanced Medical Optics, Term Loan B, LIBOR + 2.00%, 6/30/07 |
|
| 1,255,102 |
|
|
|
|
|
|
|
| Arizant, Inc., Term Loan, |
|
|
|
|
|
|
|
| 3,925 |
|
| LIBOR + 3.75%, 8/15/10 |
|
| 3,939,719 |
|
|
|
|
| 25 |
|
| PRIME, 8/15/10 |
|
| 25,094 |
|
|
|
|
| 5,418 |
|
| Community Health Systems, Inc., Term Loan, LIBOR + 1.75%, 8/15/11 |
|
| 5,470,813 |
|
|
|
|
| 4,458 |
|
| Concentra Operating Corp., Term Loan, LIBOR + 2.50%, 6/30/10 |
|
| 4,491,071 |
|
|
|
|
| 750 |
|
| Cooper Companies, Term Loan, LIBOR + 1.75%, 11/15/11 |
|
| 755,000 |
|
|
|
|
| 1,000 |
|
| Davita Corp., Inc., Term Loan, TBD, 6/30/12 |
|
| 1,012,188 |
|
|
|
|
|
|
|
| HealthSouth Corp., Term Loan, |
|
|
|
|
|
|
|
| 2,000 |
|
| 10.38%, 1/15/11 |
|
| 2,105,000 |
|
|
|
|
| 1,500 |
|
| LIBOR + 2.50%, 3/31/10 |
|
| 1,516,407 |
|
|
|
|
| 2,000 |
|
| LIBOR + 5.00%, 3/21/10 |
|
| 2,020,000 |
|
|
|
|
| 2,970 |
|
| IASIS Healthcare Corp., Term Loan B, LIBOR + 2.25%, 6/30/11 |
|
| 3,001,292 |
|
|
|
|
| 2,729 |
|
| Jean Coutu Group, Inc., Term Loan B, LIBOR + 2.25%, 6/30/11 |
|
| 2,766,904 |
|
|
|
|
| 689 |
|
| Kinetic Concepts, Inc., Term Loan B2, LIBOR + 1.75%, 8/05/10 |
|
| 695,174 |
|
|
|
|
| 516 |
|
| Medco Health Solutions, Term Loan A, LIBOR + 1.25%, 3/13/08 |
|
| 516,671 |
|
|
|
|
| 995 |
|
| Pacificare Health Systems, Inc., Term Loan, LIBOR + 1.50%, 12/15/10 |
|
| 997,694 |
|
|
|
|
|
|
|
| Select Medial Corp., Term Loan B, |
|
|
|
|
|
|
|
| 997 |
|
| LIBOR + 1.75%, 2/28/12 |
|
| 997,619 |
|
|
|
|
| 1 |
|
| PRIME + 0.75%, 2/28/12 |
|
| 949 |
|
|
|
|
| 3,045 |
|
| US Oncology, Inc., Term Loan, LIBOR + 2.75%, 6/30/11 |
|
| 3,081,514 |
|
|
|
|
| 2,088 |
|
| Vanguard Health Systems, Term Loan, LIBOR + 3.25%, 9/30/11 |
|
| 2,117,508 |
|
|
|
|
|
|
|
| Warner Chilcott, |
|
|
|
|
|
|
|
| 529 |
|
| Term Loan, 1.38%, 1/18/11 |
|
| 529,613 |
|
|
|
|
| 2,178 |
|
| Term Loan B, LIBOR + 2.75%, 1/18/11 |
|
| 2,180,905 |
|
|
|
|
| 878 |
|
| Term Loan C, LIBOR + 2.75%, 1/18/11 |
|
| 878,798 |
|
|
|
|
| 406 |
|
| Term Loan D, LIBOR + 2.75%, 1/18/11 |
|
| 406,998 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 46,306,661 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Industrials—1.2% |
|
|
|
|
|
|
|
| 540 |
|
| Alderwoods Group, Inc., Term Loan B2, LIBOR + 2.00%, 9/29/09 |
|
| 546,350 |
|
|
|
|
| 411 |
|
| Hexcel Corp., Term Loan B, LIBOR + 1.75%, 2/28/12 |
|
| 414,194 |
|
|
|
|
| 935 |
|
| Novelis, Inc., Term B, LIBOR + 1.75%, 12/30/11 |
|
| 943,962 |
|
|
|
|
| 2,000 |
|
| Tinnerman Palnut Engineered Products, Inc., Term Loan, LIBOR + 7.25%, 11/01/11 |
|
| 1,900,000 |
|
|
|
|
| 1,844 |
|
| Worldspan, LP, Term Loan, LIBOR + 2.75%, 6/30/07 |
|
| 1,798,333 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 5,602,839 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Media—17.0% |
|
|
|
|
|
|
|
|
|
|
| Alliance Atlantis Communications, Inc., Term Loan B, |
|
|
|
|
|
|
|
| 1,993 |
|
| LIBOR + 1.75%, 11/30/11 |
|
| 2,013,670 |
|
|
|
|
| 2 |
|
| PRIME + 0.75%, 11/30/11 |
|
| 2,527 |
|
|
|
|
| 1,750 |
|
| American Lawyers Media, Inc., Term Loan, LIBOR + 2.50%, 3/15/10 |
|
| 1,750,000 |
|
|
|
|
| 1,985 |
|
| Bragg Communication, Term Loan B, LIBOR + 2.50%, 9/15/11 |
|
| 2,004,850 |
|
|
|
|
| 1,000 |
|
| Bresnan Communications LLC, Term Loan B, LIBOR + 3.50%, 9/30/10 |
|
| 1,011,250 |
|
|
|
|
|
|
|
| Century TCI California LP, Term Loan, |
|
|
|
|
|
|
|
| 2,000 |
|
| PRIME + 0.75%, 12/31/07 |
|
| 1,984,376 |
|
|
|
|
| 10,000 |
|
| TBD, 12/31/09 |
|
| 9,878,570 |
|
|
|
|
|
|
|
| Charter Communications Operating, LLC, |
|
|
|
|
|
|
|
| 5,995 |
|
| Term Loan A, LIBOR + 3.00%, 4/27/10 |
|
| 5,952,178 |
|
|
|
|
| 1,985 |
|
| Term Loan B, LIBOR + 3.25%, 4/30/11 |
|
| 1,970,821 |
|
|
|
|
| 3,661 |
|
| Dex Media East, LLC, Term Loan B, LIBOR + 1.75%, 12/31/08 |
|
| 3,689,497 |
|
See Notes to Financial Statements.
14
|
|
BlackRock Global Floating Rate Income Trust (BGT) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
|
|
|
| |||
Rating1 |
| (000) |
| Description |
|
| Value |
| |||
|
|
|
|
|
|
| Media—(cont’d) |
|
|
|
|
|
|
| $ | 1,749 |
|
| Dex Media West, LLC, Term Loan B, LIBOR + 1.75%, 9/01/09 |
| $ | 1,761,308 |
|
|
|
|
| 2,000 |
|
| DirecTV Holdings, LLC, Term Loan B, LIBOR + 1.50%, 3/06/10 |
|
| 2,005,834 |
|
|
|
|
| 1,990 |
|
| Emmis Operating Co., Term Loan B, LIBOR + 1.75%, 5/15/12 |
|
| 2,004,372 |
|
|
|
|
|
|
|
| Insight Midwest Holdings, LLC, |
|
|
|
|
|
|
|
| 4,455 |
|
| Term Loan A, LIBOR + 1.50%, 6/30/09 |
|
| 4,451,076 |
|
|
|
|
| 995 |
|
| Term Loan B, LIBOR + 2.75%, 1/06/10 |
|
| 1,004,166 |
|
|
|
|
| 3,474 |
|
| Media News, Term Loan C, LIBOR + 1.50%, 8/25/10 |
|
| 3,480,986 |
|
|
|
|
|
|
|
| Mediacom Communications Corp., |
|
|
|
|
|
|
|
| 2,161 |
|
| Term Loan A, LIBOR + 1.25%, 3/31/10 |
|
| 2,135,759 |
|
|
|
|
| 995 |
|
| Term Loan C, LIBOR + 2.00%, 9/30/10 |
|
| 1,000,804 |
|
|
|
|
| 1,993 |
|
| Mediacom Illinois LLC, Term Loan B, LIBOR + 2.25%, 3/31/13 |
|
| 2,010,869 |
|
|
|
|
| 1,946 |
|
| Mission Broadcasting, Inc., Term Loan B, LIBOR + 1.75%, 8/14/12 |
|
| 1,953,213 |
|
|
|
|
| 695 |
|
| NEP Supershooters LP, Term Loan, LIBOR + 4.00%, 2/01/11 |
|
| 705,171 |
|
|
|
|
| 487 |
|
| New Skies Satellites, Term Loan B, LIBOR + 2.25%, 4/12/11 |
|
| 492,962 |
|
|
|
|
| 2,054 |
|
| Nexstar Broadcasting, Inc., Term Loan, LIBOR + 1.75%, 8/14/12 |
|
| 2,061,787 |
|
|
|
|
| 5,000 |
|
| NTL Investment Holding Ltd., Term Loan B, LIBOR + 3.00%, 4/13/12 |
|
| 5,014,585 |
|
|
|
|
| 2,500 |
|
| Raycom Media, Inc., Term Loan B, LIBOR + 1.75%, 4/01/12 |
|
| 2,512,500 |
|
|
|
|
| 1,250 |
|
| San Pascuale Band of Indians, Term Loan, LIBOR + 2.50%, 8/31/08 |
|
| 1,250,000 |
|
|
|
|
|
|
|
| Transwestern Publishing Co., Term Loan, |
|
|
|
|
|
|
|
| 1,500 |
|
| LIBOR + 2.25%, 2/25/11 |
|
| 1,503,282 |
|
|
|
|
| 980 |
|
| LIBOR + 4.50%, 2/25/12 |
|
| 988,514 |
|
|
|
|
| 1,000 |
|
| UPC Distribution Corp., Term Loan, LIBOR + 2.75%, 10/30/12 |
|
| 998,472 |
|
|
|
|
| 3,966 |
|
| Warner Music Group, Corp., Term Loan B, LIBOR + 2.00%, 4/08/11 |
|
| 3,988,078 |
|
|
|
|
| 4,977 |
|
| Western Wireless Corp., Term Loan A, LIBOR + 2.25%, 5/28/10 |
|
| 4,982,856 |
|
|
|
|
| 500 |
|
| Young Broadcasting, Inc., Term Loan, LIBOR + 2.25%, 11/01/12 |
|
| 504,167 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 77,068,500 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Publishing—0.2% |
|
|
|
|
|
|
|
| 750 |
|
| Endurance Business Media, Term Loan B, LIBOR + 2.75%, 3/15/12 |
|
| 759,375 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Real Estate—3.5% |
|
|
|
|
|
|
|
| 1,000 |
|
| Associated Materials, Inc., Term Loan, LIBOR + 2.25%, 4/19/09 |
|
| 1,005,000 |
|
|
|
|
|
|
|
| General Growth Properties, |
|
|
|
|
|
|
|
| 3,500 |
|
| Term Loan, TBD, 11/12/08 |
|
| 3,524,231 |
|
|
|
|
| 984 |
|
| Term Loan A, LIBOR + 2.25%, 11/12/07 |
|
| 988,607 |
|
|
|
|
| 3,492 |
|
| Term Loan B, LIBOR + 2.25%, 11/12/08 |
|
| 3,516,328 |
|
|
|
|
|
|
|
| Headwaters, Inc., Term Loan, |
|
|
|
|
|
|
|
| 333 |
|
| LIBOR + 5.50%, 4/30/11 |
|
| 341,666 |
|
|
|
|
| 2,767 |
|
| PRIME + 1.25%, 4/30/11 |
|
| 2,786,300 |
|
|
|
|
| 913 |
|
| Lake Las Vegas Resort, Term Loan, LIBOR + 2.75%, 10/13/09 |
|
| 922,068 |
|
|
|
|
|
|
|
| Macerich Partnership, L.P., Term Loan, |
|
|
|
|
|
|
|
| 1,000 |
|
| LIBOR + 1.50%, 3/31/09 |
|
| 997,500 |
|
|
|
|
| 1,000 |
|
| LIBOR + 1.60%, 3/31/06 |
|
| 998,750 |
|
|
|
|
| 500 |
|
| Masonite Intl., Term Loan, TBD, 3/31/13 |
|
| 498,889 |
|
|
|
|
| 487 |
|
| Stewart Enterprises, Term Loan B, LIBOR + 1.75%, 11/30/11 |
|
| 489,810 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 16,069,149 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Technology—2.9% |
|
|
|
|
|
|
|
| 2,916 |
|
| Directed Electronics, Inc., Term Loan, LIBOR + 3.25%, 3/15/10 |
|
| 2,944,733 |
|
|
|
|
| 499 |
|
| Federal IT Systems, Inc., Term Loan, LIBOR + 2.75%, 4/30/11 |
|
| 501,867 |
|
|
|
|
| 2,751 |
|
| Knowles Electronics, Inc., Term Loan B2, LIBOR + 5.00%, 6/29/07 |
|
| 2,762,912 |
|
|
|
|
| 2,483 |
|
| UGS PLM, Term Loan B, LIBOR + 2.00%, 5/30/11 |
|
| 2,504,222 |
|
|
|
|
| 2,976 |
|
| Verifone, Inc., Term Loan B, LIBOR + 2.00%, 6/30/11 |
|
| 2,989,225 |
|
|
|
|
| 1,471 |
|
| Westcom Corp., Term Loan B, LIBOR + 2.75%, 12/31/10 |
|
| 1,477,987 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 13,180,946 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Telecommunications—6.5% |
|
|
|
|
|
|
|
| 1,000 |
|
| Alaska Communications Systems Holdings, Term Loan, LIBOR + 2.00%, 1/31/12 |
|
| 1,006,500 |
|
|
|
|
| 2,000 |
|
| Atlantic Broadband Finance, LLC, Term Loan B1, LIBOR + 2.75%, 1/30/11 |
|
| 2,010,000 |
|
|
|
|
| 4,707 |
|
| Centennial Cellular Operating Co., Term Loan, LIBOR + 2.25%, 2/09/11 |
|
| 4,771,445 |
|
|
|
|
| 1,000 |
|
| Fairpont Communications, Inc., Term Loan B, LIBOR + 2.00%, 2/15/12 |
|
| 1,009,750 |
|
|
|
|
| 2,500 |
|
| Freedom Communications, Inc., Term Loan B, LIBOR + 1.50%, 5/01/13 |
|
| 2,503,750 |
|
See Notes to Financial Statements.
15
|
|
BlackRock Global Floating Rate Income Trust (BGT) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating1 |
| Principal |
| Description |
|
| Value |
| |||
|
|
|
|
|
|
| Telecommunications—(cont’d) |
|
|
|
|
|
|
| $ | 998 |
|
| Intelsat Bermuda, Ltd., Loan Term, LIBOR + 1.75%, 7/31/11 |
| $ | 1,004,732 |
|
|
|
|
| 2,000 |
|
| Iowa Telecommunications Services, Inc., Term Loan B, LIBOR + 2.00%, 11/30/11 |
|
| 2,016,250 |
|
|
|
|
| 748 |
|
| Ntelos, Inc., Term Loan B, LIBOR + 2.50%, 2/24/10 |
|
| 745,319 |
|
|
|
|
|
|
|
| PanAmSat Corp., |
|
|
|
|
|
|
|
| 1,248 |
|
| Term Loan, LIBOR + 2.50%, 8/20/09 |
|
| 1,258,882 |
|
|
|
|
| 1,985 |
|
| Term Loan B1, LIBOR + 2.25%, 7/16/11 |
|
| 2,014,053 |
|
|
|
|
| 2,000 |
|
| Qwest Corp., Term Loan A, LIBOR + 4.75%, 6/30/07 |
|
| 2,059,062 |
|
|
|
|
| 2,000 |
|
| Satbirds Finance, Term Loan, LIBOR + 4.25%, 10/15/13 |
|
| 2,383,358 |
|
|
|
|
| 4,489 |
|
| Triton PCS, Inc., Term Loan, LIBOR + 3.25%, 11/15/09 |
|
| 4,494,361 |
|
|
|
|
| 1,960 |
|
| Valor Telecommunications, Term Loan B, LIBOR + 2.00%, 2/28/12 |
|
| 1,982,360 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 29,259,822 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Transportation—0.3% |
|
|
|
|
|
|
|
| 500 |
|
| Sirva Worldwide, Inc., Term Loan B, LIBOR + 2.50%, 12/31/09 |
|
| 466,666 |
|
|
|
|
| 1,033 |
|
| Transport Industries, LP, Term Loan B, LIBOR + 4.00%, 6/14/10 |
|
| 1,036,888 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 1,503,554 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Bank Loans |
|
| 455,661,777 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Foreign Government Bonds—34.1% |
|
|
|
|
B- |
|
|
| 4,790 |
|
| Argentina Republic, 3.01%, 8/03/12 |
|
| 4,332,555 |
|
B |
|
|
| 7,261 |
|
| Bolivarian Republic of Venezuela, 4.563%, 12/18/07 |
|
| 7,243,344 |
|
|
|
|
|
|
|
| Federative Republic of Brazil, |
|
|
|
|
BB- |
|
|
| 10,133 |
|
| zero coupon, 4/15/14 |
|
| 10,378,931 |
|
BB- |
|
|
| 11,530 |
|
| 4.313%, 4/15/09 |
|
| 11,232,349 |
|
BB- |
|
|
| 9,435 | 5 |
| 9.23%, 9/29/09 |
|
| 10,944,600 |
|
BB- |
|
|
| 1,840 |
|
| Ser. B, 10.00%, 8/07/11, |
|
| 2,097,600 |
|
B+ |
|
|
| 1,600 |
|
| Islamic Republic of Pakistan, 6.75%, 2/19/09 |
|
| 1,617,339 |
|
NR |
|
|
| 5,689 |
|
| Kingdom of Morocco, zero coupon, 1/05/09 |
|
| 5,617,776 |
|
A- |
|
|
| 800 | 4 |
| Malaysia, 8.75%, 6/01/09 |
|
| 924,952 |
|
BB |
|
|
| 900 |
|
| Philippines Republic, 8.875%, 4/15/08 |
|
| 978,750 |
|
BBB- |
|
|
| 8,071 |
|
| Republic of Bulgaria, 3.75%, 7/28/12 |
|
| 8,078,693 |
|
A |
|
|
| 2,400 | 4 |
| Republic of Chile, 6.875%, 4/28/09 |
|
| 2,622,960 |
|
BB+ |
|
|
| 10,063 |
|
| Republic of Colombia, 9.75%, 4/09/11 |
|
| 11,502,288 |
|
Ba1 |
|
|
| 3,200 |
|
| Republic of Costa Rica, 9.335%, 5/15/09 |
|
| 3,584,000 |
|
BB+ |
|
|
| 800 |
|
| Republic of El Salvador, 9.50%, 8/15/06 |
|
| 845,600 |
|
|
|
|
|
|
|
| Republic of Panama, |
|
|
|
|
Ba1 |
|
|
| 12,714 |
|
| 3.75%, 7/17/16 |
|
| 12,173,916 |
|
BB+ |
|
|
| 840 |
|
| 8.25%, 4/22/08 |
|
| 913,500 |
|
|
|
|
|
|
|
| Republic of Peru, |
|
|
|
|
BB |
|
|
| 5,544 |
|
| 5.00%, 3/07/17 |
|
| 5,239,080 |
|
BB |
|
|
| 2,400 |
|
| 9.125%, 1/15/08 |
|
| 2,640,000 |
|
Baa1 |
|
|
| 2,400 | 4 |
| Republic of South Africa, 7.375%, 4/25/12 |
|
| 2,749,440 |
|
BB- |
|
|
| 1,500 |
|
| Republic of the Philippines, 8.875%, 4/15/08 |
|
| 1,633,353 |
|
BB- |
|
|
| 2,400 |
|
| Republic of Turkey, 12.00%, 12/15/08 |
|
| 2,880,000 |
|
B |
|
|
| 4,428 |
|
| Republic of Venezuela, 4.313%, 3/07/17 |
|
| 4,408,733 |
|
BBB- |
|
|
| 4,000 |
|
| Russian Federation, 10.00%, 6/26/07 |
|
| 4,403,200 |
|
Baa2 |
|
|
| 2,000 | 2 |
| Sberbank of Russia, 4.92%, 10/24/06 |
|
| 2,021,800 |
|
|
|
|
|
|
|
| Ukraine, |
|
|
|
|
BB- |
|
|
| 8,100 | 2,3 |
| 6.365%, 8/05/09 |
|
| 8,701,020 |
|
BB- |
|
|
| 2,800 | 3 |
| 6.875%, 3/04/11 |
|
| 2,944,200 |
|
|
|
|
|
|
|
| United Mexican States, |
|
|
|
|
Baa1 |
|
|
| 4,800 | 2,4 |
| 3.84%, 1/13/09 |
|
| 4,864,800 |
|
Baal |
|
|
| 60,000 |
|
| 8.00%, 12/24/08 |
|
| 5,373,284 |
|
|
|
|
|
|
|
| Venezuela Republic, |
|
|
|
|
B+ |
|
|
| 4,000 | 2 |
| 4.15%, 4/20/11 |
|
| 3,660,000 |
|
B+ |
|
|
| 4,800 |
|
| 9.125%, 6/18/07 |
|
| 5,064,000 |
|
B |
|
|
| 2,000 |
|
| 11.00%, 3/05/08 |
|
| 2,797,064 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Foreign Government Bonds |
|
| 154,469,127 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Long-Term Investments (cost $698,112,789) |
|
| 704,572,626 |
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
16
|
|
BlackRock Global Floating Rate Income Trust (BGT) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal |
| Description |
|
| Value |
| |||
|
|
|
|
|
|
| SHORT-TERM INVESTMENTS—2.3% |
|
|
|
|
|
|
|
|
|
|
| U.S. Government and Agency Zero Coupon Bonds—1.0% |
|
|
|
|
|
|
| $ | 4,500 |
|
| Federal Home Loan Bank Discount Note, 7/01/05 |
| $ | 4,500,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Foreign Government Bonds—1.3% |
|
|
|
|
|
|
|
| 5,000 |
|
| German Treasury Bill, 2.027%, 7/13/05 |
|
| 6,050,161 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Short-Term Investments (cost $11,183,111) |
|
| 10,550,161 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total investments—157.8% (cost $709,295,9005) |
| $ | 715,122,787 |
|
|
|
|
|
|
|
| Liabilities in excess of other assets—(4.1)% |
|
| (18,457,080 | ) |
|
|
|
|
|
|
| Preferred shares at redemption value, including dividends payable—(53.7)% |
|
| (243,517,734 | ) |
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Net Assets—100% |
| $ | 453,147,973 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
1 | Using the higher of S&P’s, Moody’s or Fitch’s rating. |
2 | Security interest rate is as of June 30, 2005. |
3 | Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that act, to qualified institutional buyers. As of June 30, 2005, the Trust held 8.0% of its net assets, with a current market value of $36,399,129, in securities restricted as to resale. |
4 | Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements. |
5 | Cost for Federal income tax purposes is $709,405,069. The net unrealized appreciation on a tax basis is $5,717,718 consisting of $9,164,858 gross unrealized appreciation and $3,447,140 gross unrealized depreciation. |
A category in the Corporate Bonds and Bank Loans sections may contain multiple industries as defined by the SEC’s Standard Industry Codes.
|
|
|
EUR – European Monetary Unit |
See Notes to Financial Statements.
17
|
| |
PORTFOLIO OF INVESTMENTS (unaudited) |
| |
JUNE 30, 2005 |
|
BlackRock High Income Shares (HIS) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating1 |
| Principal |
| Description |
|
| Value |
| |||
|
|
|
|
|
|
| LONG-TERM INVESTMENTS—139.4% |
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds—137.8% |
|
|
|
|
|
|
|
|
|
|
| Aerospace & Defense—4.4% |
|
|
|
|
BB- |
| $ |
| 250 |
|
| AAR Corp., 6.88%, 12/15/07 |
| $ | 256,250 |
|
B |
|
|
| 80 |
|
| Argo-Tech Corp., 9.25%, 6/01/11 |
|
| 86,900 |
|
B+ |
|
|
| 80 |
|
| Armor Holdings, Inc., 8.25%, 8/15/13 |
|
| 86,200 |
|
BB |
|
|
| 1,750 |
|
| Availl, Inc., 7.63%, 7/01/11 |
|
| 1,846,250 |
|
B- |
|
|
| 1,940 |
|
| BE Aerospace, Inc., 8.88%, 5/01/11 |
|
| 2,022,450 |
|
BB- |
|
|
| 1,500 |
|
| Sequa Corp., Ser. B, 8.88%, 4/01/08 |
|
| 1,612,500 |
|
B |
|
|
| 500 |
|
| Titan Corp., 8.00%, 5/15/11 |
|
| 535,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 6,445,550 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Automotive—3.5% |
|
|
|
|
BB+ |
|
|
| 225 |
|
| ArvinMeritor, Inc., 8.75%, 3/01/12 |
|
| 235,125 |
|
B |
|
|
| 170 |
|
| Cooper-Standard Automotive, Inc., 7.00%, 12/15/12 |
|
| 155,550 |
|
|
|
|
|
|
|
| Delco Remy Intl., Inc., |
|
|
|
|
CCC+ |
|
|
| 500 |
|
| 9.38%, 4/15/12 |
|
| 400,000 |
|
CCC+ |
|
|
| 500 |
|
| 11.00%, 5/01/09 |
|
| 460,000 |
|
B |
|
|
| 260 |
|
| Delphi Corp., 6.50%, 5/01/09 |
|
| 215,800 |
|
B- |
|
|
| 215 |
|
| Dura Operating Corp., Ser. B, 8.63%, 4/15/12 |
|
| 194,575 |
|
B- |
|
|
| 1,750 |
|
| Goodyear Tire & Rubber Co., 7.86%, 8/15/11 |
|
| 1,697,500 |
|
CCC+ |
|
|
| 880 | 2,3 |
| Metaldyne Corp., 10.00%, 11/01/13 |
|
| 717,200 |
|
B- |
|
|
| 200 |
|
| Stanadyne Corp., 10.00%, 8/15/14 |
|
| 187,000 |
|
BB- |
|
|
| 800 |
|
| TRW Automotive, Inc., 9.38%, 2/15/13 |
|
| 886,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 5,148,750 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Basic Materials—16.9% |
|
|
|
|
BB- |
|
|
| 510 |
|
| Abitibi-Consolidated, Inc., 8.38%, 4/01/15 (Canada) |
|
| 520,837 |
|
B3 |
|
|
| 1,200 | 2 |
| Alpha Natural Resources LLC/Alpha Natural Resources Capital Corp., 10.00%, 6/01/12 |
|
| 1,320,000 |
|
B- |
|
|
| 2,030 |
|
| Caraustar Industries, Inc., 9.88%, 4/01/11 |
|
| 2,050,300 |
|
BB- |
|
|
| 1,010 |
|
| Del Monte Corp., 8.63%, 12/15/12 |
|
| 1,111,000 |
|
BB- |
|
|
| 390 |
|
| Donohue Forest Products, 7.63%, 5/15/07 (Canada) |
|
| 395,850 |
|
|
|
|
|
|
|
| Equistar Chemicals LP/Equistar Funding Corp., |
|
|
|
|
BB- |
|
|
| 2,780 |
|
| 10.13%, 9/01/08 |
|
| 3,009,350 |
|
BB- |
|
|
| 1,250 |
|
| 10.63%, 5/01/11 |
|
| 1,387,500 |
|
BB+ |
|
|
| 2,000 |
|
| Georgia-Pacific Corp., 8.00%, 1/15/14-1/15/24 |
|
| 2,258,750 |
|
B |
|
|
| 500 | 2 |
| Huntsman Intl. LLC, 7.38%, 1/01/15 |
|
| 493,750 |
|
BB- |
|
|
| 1,450 |
|
| Huntsman LLC, 11.63%, 10/15/10 |
|
| 1,700,125 |
|
BB |
|
|
| 200 |
|
| IMC Global, Inc., Ser. B, 10.88%, 6/01/08 |
|
| 224,750 |
|
CCC+ |
|
|
| 1,670 | 2 |
| Innophos, Inc., 8.88%, 8/15/14 |
|
| 1,703,400 |
|
BBB+ |
|
|
| 165 |
|
| Ispat Inland ULC, 9.75%, 4/01/14 (Canada) |
|
| 191,813 |
|
B |
|
|
| 500 |
|
| Jacuzzi Brands, Inc., 9.63%, 7/01/10 |
|
| 542,500 |
|
BB- |
|
|
| 790 |
|
| Lyondell Chemical Co., 10.50%, 6/01/13 |
|
| 904,550 |
|
B- |
|
|
| 715 |
|
| Nalco Co., 8.88%, 11/15/13 |
|
| 765,050 |
|
BB- |
|
|
| 225 |
|
| Norske Skog Ltd., 7.38%, 3/01/14 (Canada) |
|
| 220,500 |
|
B- |
|
|
| 485 | 2 |
| PQ Corp., 7.50%, 2/15/13 |
|
| 476,513 |
|
B- |
|
|
| 1,000 |
|
| Resolution Performance Products, Inc., 13.50%, 11/15/10 |
|
| 1,075,000 |
|
|
|
|
|
|
|
| Rhodia SA (France) |
|
|
|
|
CCC+ |
|
|
| 1,915 |
|
| 8.88%, 6/01/11 |
|
| 1,838,400 |
|
B3 |
|
|
| 175 |
|
| 10.25%, 6/01/10 |
|
| 187,687 |
|
B- |
|
|
| 2,730 |
|
| Trimas Corp., 9.88%, 6/15/12 |
|
| 2,293,200 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 24,670,825 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Building & Development—3.8% |
|
|
|
|
B2 |
|
|
| 540 | 2 |
| Compression Polymers Corp., 10.50%, 7/01/13 . |
|
| 549,450 |
|
B- |
|
|
| 3,000 | 2 |
| Goodman Global Holding Co., Inc., 7.88%, 12/15/12 |
|
| 2,775,000 |
|
Ba2 |
|
|
| 1,000 |
|
| K Hovnanian Enterprises, Inc., 7.75%, 5/15/13 |
|
| 1,040,000 |
|
CCC+ |
|
|
| 1,375 |
|
| Nortek, Inc., 8.50%, 9/01/14 |
|
| 1,271,875 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 5,636,325 |
|
|
|
|
|
|
|
|
|
|
|
18
BlackRock High Income Shares (HIS) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating1 |
|
| Principal |
|
|
| Description |
|
| Value |
|
|
|
|
|
|
|
| Conglomerates—0.9% |
|
|
|
|
B |
| $ | 1,300 |
|
|
| JSG Funding PLC, 9.63%, 10/01/12 (Ireland) |
| $ | 1,293,500 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Consumer Products—11.4% |
|
|
|
|
CCC |
|
| 140 |
|
|
| Ames True Temper, Inc., 10.00%, 7/15/12 |
|
| 113,400 |
|
B |
|
| 880 |
|
|
| Celestica, Inc., 7.63%, 7/01/13 (Canada) |
|
| 884,400 |
|
B+ |
|
| 550 |
|
|
| Cenveo Corp., 9.63%, 3/15/12 |
|
| 596,750 |
|
B2 |
|
| 650 |
|
|
| Elizabeth Arden, Inc., 7.75%, 1/15/14 |
|
| 677,625 |
|
B+ |
|
| 1,035 |
|
|
| Finlay Fine Jewelry Corp., 8.38%, 6/01/12 |
|
| 921,150 |
|
B- |
|
| 486 |
|
|
| FTD, Inc., 7.75%, 2/15/14 |
|
| 473,850 |
|
B |
|
| 678 |
|
|
| Gold Kist, Inc., 10.25%, 3/15/14 |
|
| 772,920 |
|
B- |
|
| 500 |
|
|
| Jarden Corp., 9.75%, 5/01/12 |
|
| 526,875 |
|
B |
|
| 1,000 | 3 |
|
| Johnsondiversey Holdings, Inc., zero coupon, 5/15/13 |
|
| 711,250 |
|
B- |
|
| 2,425 |
|
|
| Lazydays RV Center, Inc., 11.75%, 5/15/12 |
|
| 2,528,062 |
|
B- |
|
| 810 | 3 |
|
| Levi Strauss & Co., 7.73%, 4/01/12 |
|
| 767,475 |
|
B2 |
|
| 1,640 | 2 |
|
| Movie Gallery, Inc., 11.00%, 5/01/12 |
|
| 1,722,000 |
|
B3 |
|
| 1,000 | 2 |
|
| NewPage Corp., 10.00%, 5/01/12 |
|
| 1,007,500 |
|
B |
|
| 500 |
|
|
| Playtex Products, Inc., 8.00%, 3/01/11 |
|
| 534,375 |
|
|
|
|
|
|
|
| Rite Aid Corp., |
|
|
|
|
B- |
|
| 750 |
|
|
| 4.75%, 12/01/06 |
|
| 738,750 |
|
B- |
|
| 715 | 2,3 |
|
| 6.13%, 12/15/18 |
|
| 675,675 |
|
B+ |
|
| 250 |
|
|
| 8.13%, 5/01/10 |
|
| 257,188 |
|
B2 |
|
| 2,000 |
|
|
| Saks, Inc., 7.38%, 2/15/19 |
|
| 2,000,000 |
|
B- |
|
| 250 |
|
|
| Simmons Bedding Co., 7.88%, 1/15/14 |
|
| 215,000 |
|
B |
|
| 500 |
|
|
| Swift & Co., 12.50%, 1/01/10 |
|
| 558,125 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 16,682,370 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Containers & Packaging—6.2% |
|
|
|
|
B |
|
| 1,425 |
|
|
| Crown Cork & Seal, Inc., 8.00%, 4/15/23 |
|
| 1,382,250 |
|
B+ |
|
| 1,430 |
|
|
| Crown European Holdings SA, 9.50%, 3/01/11 (France) |
|
| 1,583,725 |
|
B- |
|
| 1,000 |
|
|
| Graphic Packaging Intl., Inc., 9.50%, 8/15/13 |
|
| 1,010,000 |
|
B+ |
|
| 1,000 |
|
|
| Jefferson Smurfit Corp., 7.50%, 6/01/13 |
|
| 955,000 |
|
B |
|
| 2,600 |
|
|
| Owens Brockway, 8.25%, 5/15/13 |
|
| 2,821,000 |
|
B |
|
| 250 |
|
|
| Owens Illinois, Inc., 7.35%, 5/15/08 |
|
| 259,375 |
|
B |
|
| 1,000 |
|
|
| Stone-Container Corp. Enterprises, Inc., 9.75%, 2/01/11 |
|
| 1,057,500 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 9,068,850 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Ecological Services & Equipment—1.6% |
|
|
|
|
|
|
|
|
|
|
| Allied Waste NA, Inc., |
|
|
|
|
BB- |
|
| 800 |
|
|
| 8.50%, 12/01/08 |
|
| 842,000 |
|
BB- |
|
| 1,000 |
|
|
| 8.88%, 4/01/08 |
|
| 1,045,000 |
|
B |
|
| 400 |
|
|
| Casella Waste Systems, Inc., 9.75%, 2/01/13 |
|
| 432,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 2,319,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Energy—18.1% |
|
|
|
|
B+ |
|
| 250 |
|
|
| AES Corp., 9.50%, 6/01/09 |
|
| 278,750 |
|
CCC+ |
|
| 960 |
|
|
| Calpine Energy Finance ULC, 8.50%, 5/01/08 (Canada) |
|
| 686,400 |
|
CCC+ |
|
| 680 |
|
|
| Calpine Generating Co. LLC, 11.50%, 4/01/11 |
|
| 608,600 |
|
BB |
|
| 750 |
|
|
| Chesapeake Energy Corp., 7.75%, 1/15/15 |
|
| 810,000 |
|
|
|
|
|
|
|
| CMS Energy Corp., |
|
|
|
|
B+ |
|
| 80 |
|
|
| 7.50%, 1/15/09 |
|
| 84,300 |
|
B+ |
|
| 240 |
|
|
| 9.88%, 10/15/07 |
|
| 262,800 |
|
BB- |
|
| 390 | 2 |
|
| Compagnie Generale de Geophysique SA, 7.50%, 5/15/15 (France) |
|
| 403,650 |
|
|
|
|
|
|
|
| Dynegy Holdings, Inc., |
|
|
|
|
B |
|
| 180 | 2 |
|
| 9.88%, 7/15/10 |
|
| 198,000 |
|
B |
|
| 400 | 2 |
|
| 10.13%, 7/15/13 |
|
| 452,000 |
|
|
|
|
|
|
|
| El Paso CGP Co., |
|
|
|
|
B- |
|
| 1,000 |
|
|
| 7.75%, 6/15/10 |
|
| 1,021,250 |
|
B- |
|
| 3,250 |
|
|
| 9.63%, 5/15/12 |
|
| 3,587,187 |
|
B |
|
| 500 |
|
|
| El Paso Production Holding Co., 7.75%, 6/01/13 |
|
| 534,375 |
|
B |
|
| 1,600 |
|
|
| Exco Resources, Inc., 7.25%, 1/15/11 |
|
| 1,584,000 |
|
B |
|
| 285 | 2 |
|
| Hilcorp Energy I LP/Hilcorp Finance Corp., 10.50%, 9/01/10 |
|
| 314,925 |
|
B- |
|
| 760 | 2 |
|
| KCS Energy, Inc., 7.13%, 4/01/12 |
|
| 772,650 |
|
|
|
|
|
|
|
| Midwest Generation LLC, |
|
|
|
|
B+ |
|
| 250 |
|
|
| 8.56%, 1/02/16 |
|
| 276,250 |
|
B1 |
|
| 455 |
|
|
| 8.75%, 5/01/34 |
|
| 509,600 |
|
19
|
|
BlackRock High Income Shares (HIS) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal |
|
|
|
|
|
| |||
|
| Amount |
|
|
|
|
|
| |||
Rating1 |
| (000) |
| Description |
|
| Value |
| |||
|
|
|
|
|
|
| Energy—(cont’d) |
|
|
|
|
B2 |
|
| $ | 1,680 |
|
| Mission Energy Holdings Co., 13.50%, 7/15/08 |
| $ | 1,995,000 |
|
B |
|
|
| 330 | 2 |
| North American Energy Partners, Inc., 9.00%, 5/15/10 (Canada) |
|
| 333,300 |
|
B- |
|
|
| 240 | 2 |
| Ocean Rig AS, 8.38%, 7/01/13 (Norway) |
|
| 243,600 |
|
B |
|
|
| 2,000 |
|
| Orion Power Holdings, Inc., 12.00%, 5/01/10 |
|
| 2,395,000 |
|
B |
|
|
| 25 |
|
| Range Resources Corp., 6.38%, 3/15/15 |
|
| 24,875 |
|
|
|
|
|
|
|
| Reliant Energy, Inc., |
|
|
|
|
BB- |
|
|
| 555 |
|
| 6.75%, 12/15/14 |
|
| 543,900 |
|
BB- |
|
|
| 245 |
|
| 9.25%, 7/15/10 |
|
| 265,213 |
|
B |
|
|
| 1,475 |
|
| Roseton/Danskammer, Ser.A, 7.27%, 11/08/10 |
|
| 1,467,625 |
|
B1 |
|
|
| 1,000 |
|
| Tennessee Gas Pipeline Co., 7.50%, 4/01/17 |
|
| 1,090,000 |
|
Ba2 |
|
|
| 60 |
|
| Transcontinental Gas Pipe Line Corp., 7.25%, 12/01/26 |
|
| 65,400 |
|
BB+ |
|
|
| 200 | 2 |
| TXU Corp., 6.55%, 11/15/34 |
|
| 195,071 |
|
Ba3 |
|
|
| 2,000 |
|
| Universal Compression, Inc., 7.25%, 5/15/10 |
|
| 2,090,000 |
|
B2 |
|
|
| 835 |
|
| Utilicorp Finance Corp., 7.75%, 6/15/11 (Canada) |
|
| 860,050 |
|
B2 |
|
|
| 700 |
|
| Whiting Petroleum Corp., 7.25%, 5/01/13 |
|
| 717,500 |
|
B+ |
|
|
| 1,550 |
|
| Williams Cos., Inc., 8.13%, 3/15/12 |
|
| 1,759,250 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 26,430,521 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Entertainment & Leisure—5.2% |
|
|
|
|
B+ |
|
|
| 1,000 |
|
| Boyd Gaming Corp., 7.75%, 12/15/12 |
|
| 1,068,750 |
|
BB+ |
|
|
| 500 |
|
| Caesars Entertainment, Inc., 7.88%, 3/15/10 |
|
| 560,000 |
|
B1 |
|
|
| 250 | 3 |
| Felcor Lodging LP, 7.78%, 6/01/11 |
|
| 257,500 |
|
|
|
|
|
|
|
| Gaylord Entertainment Co., |
|
|
|
|
B- |
|
|
| 450 |
|
| 6.75%, 11/15/14 |
|
| 436,500 |
|
B- |
|
|
| 1,000 |
|
| 8.00%, 11/15/13 |
|
| 1,051,250 |
|
B |
|
|
| 75 |
|
| Hammons John Q. Hotels LP, Ser. B, 8.88%, 5/15/12 |
|
| 82,125 |
|
B |
|
|
| 650 |
|
| Inn of the Mountain Gods Resort & Casino, 12.00%, 11/15/10 |
|
| 750,750 |
|
BB |
|
|
| 450 |
|
| K2, Inc., 7.38%, 7/01/14 |
|
| 472,500 |
|
B |
|
|
| 720 |
|
| Poster Financial Group, Inc., 8.75%, 12/01/11 |
|
| 732,600 |
|
B- |
|
|
| 705 |
|
| Riddell Bell Holdings, Inc., 8.38%, 10/01/12 |
|
| 715,575 |
|
BB+ |
|
|
| 500 | �� |
| Royal Caribbean Cruises Ltd., 6.88%, 12/01/13 (Liberia) |
|
| 532,500 |
|
B+ |
|
|
| 1,000 | 2 |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.63%, 12/01/14 |
|
| 970,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 7,630,050 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Financial Institutions—11.1% |
|
|
|
|
B- |
|
|
| 1,640 |
|
| BCP Crystal US Holdings Corp., 9.63%, 6/15/14 |
|
| 1,836,800 |
|
B- |
|
|
| 200 | 2 |
| Borden US Finance Corp./Nova Scotia Finance ULC, 9.00%, 7/15/14 |
|
| 203,000 |
|
BB |
|
|
| 200 |
|
| Crum & Forster Holdings Corp., 10.38%, 6/15/13 |
|
| 217,000 |
|
BB |
|
|
| 1,250 |
|
| Fairfax Financial Holdings Ltd., 7.75%, 4/26/12 (Canada) |
|
| 1,187,500 |
|
|
|
|
|
|
|
| Ford Motor Credit Co., |
|
|
|
|
BBB |
|
|
| 2,440 |
|
| 5.70%, 1/15/10 |
|
| 2,270,030 |
|
BBB |
|
|
| 450 |
|
| 7.25%, 10/25/11 |
|
| 435,564 |
|
B- |
|
|
| 1,945 |
|
| K&F Acquisition, Inc., 7.75%, 11/15/14 |
|
| 1,979,037 |
|
B- |
|
|
| 250 | 2 |
| KRATON Polymers LLC/KRATON Polymers Cap. Corp., 8.13%, 1/15/14 |
|
| 240,000 |
|
B+ |
|
|
| 2,955 | 2 |
| Rainbow National Services LLC, 10.38%, 9/01/14 |
|
| 3,398,250 |
|
B- |
|
|
| 1,055 | 2 |
| Standard Aero Holdings, Inc., 8.25%, 9/01/14 |
|
| 1,107,750 |
|
B- |
|
|
| 610 |
|
| UGS Corp., 10.00%, 6/01/12 |
|
| 683,200 |
|
B- |
|
|
| 110 |
|
| Universal City Florida Holding Co. I/II, 7.96%, 5/01/10 |
|
| 114,400 |
|
B- |
|
|
| 2,500 |
|
| Visant Corp., 7.63%, 10/01/12 |
|
| 2,468,750 |
|
BB- |
|
|
| 110 | 3 |
| Western Financial Bank, 9.63%, 5/15/12 |
|
| 119,350 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 16,260,631 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Health Care—5.0% |
|
|
|
|
CCC+ |
|
|
| 50 |
|
| Curative Health Services, Inc., 10.75%, 5/01/11 |
|
| 38,000 |
|
BB+ |
|
|
| 500 |
|
| Fisher Scientific Intl, Inc., 3.25%, 3/01/24 |
|
| 517,500 |
|
B- |
|
|
| 500 |
|
| Genesis Healthcare Corp., 8.00%, 10/15/13 |
|
| 541,250 |
|
B3 |
|
|
| 105 |
|
| Insight Health Services Corp., Ser. B, 9.88%, 11/01/11 |
|
| 82,425 |
|
Ba3 |
|
|
| 315 |
|
| NeighborCare, Inc., 6.88%, 11/15/13 |
|
| 334,294 |
|
B- |
|
|
| 900 |
|
| Norcross Safety Products LLC/Norcross Capital Corp., 9.88%, 8/15/11 |
|
| 940,500 |
|
|
|
|
|
|
|
| Tenet Healthcare Corp., |
|
|
|
|
B |
|
|
| 180 |
|
| 6.38%, 12/01/11 |
|
| 171,900 |
|
B |
|
|
| 180 |
|
| 9.88%, 7/01/14 |
|
| 193,500 |
|
B- |
|
|
| 990 |
|
| Universal Hospital Services, Inc., 10.13%, 11/01/11 |
|
| 1,012,275 |
|
CCC+ |
|
|
| 1,250 |
|
| Vanguard Health Holding Co. II LLC, 9.00%, 10/01/14 |
|
| 1,353,125 |
|
20
|
|
BlackRock High Income Shares (HIS) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal |
|
|
|
|
|
| |||
|
| Amount |
|
|
|
|
|
| |||
Rating1 |
| (000) |
| Description |
|
| Value |
| |||
|
|
|
|
|
|
| Health Care—(cont’d) |
|
|
|
|
B- |
|
| $ | 1,500 |
|
| VWR Intl, Inc., 8.00%, 4/15/14 |
| $ | 1,428,750 |
|
B+ |
|
|
| 600 |
|
| WH Hldgs Ltd./WH Capital Corp., 9.50%, 4/01/11 (Cayman Islands) |
|
| 642,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 7,255,519 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Industrials—11.6% |
|
|
|
|
B- |
|
|
| 1,000 |
|
| Blount, Inc., 8.88%, 8/01/12 |
|
| 1,070,000 |
|
B- |
|
|
| 565 |
|
| Cenveo Corp., 7.88%, 12/01/13 |
|
| 540,988 |
|
B- |
|
|
| 2,975 | 2 |
| DI Finance/DynCorp. Intl., 9.50%, 2/15/13 |
|
| 2,751,875 |
|
B- |
|
|
| 2,000 |
|
| ERICO Intl. Corp., 8.88%, 3/01/12 |
|
| 2,030,000 |
|
NR |
|
|
| 2,764 | 3,4,5,6 |
| Goss Graphics Systems, 12.25%, 11/19/05 |
|
| 0 |
|
B- |
|
|
| 1,000 |
|
| H&E Equipment Services LLC/H&E Finance Corp., 11.13%, 6/15/12 |
|
| 1,102,500 |
|
B- |
|
|
| 1,500 | 2 |
| Knowledge Learning Corp., Inc., 7.75%, 2/01/15 |
|
| 1,421,250 |
|
B- |
|
|
| 1,000 | 2 |
| NationsRent Cos., Inc., 9.50%, 5/01/15 |
|
| 985,000 |
|
BB- |
|
|
| 2,250 |
|
| Rental-A-Center, Inc., 7.50%, 5/01/10 |
|
| 2,250,000 |
|
BB |
|
|
| 1,387 |
|
| Service Corp. Intl., 7.70%, 4/15/09 |
|
| 1,484,090 |
|
B3 |
|
|
| 1,170 | 2 |
| Sunstate Equipment Co. LLC, 10.50%, 4/01/13 |
|
| 1,199,250 |
|
|
|
|
|
|
|
| United Rentals NA, Inc., |
|
|
|
|
B+ |
|
|
| 1,100 |
|
| 7.00%, 2/15/14 |
|
| 1,050,500 |
|
B+ |
|
|
| 1,100 |
|
| 7.75%, 11/15/13 |
|
| 1,078,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 16,963,453 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Media—21.7% |
|
|
|
|
B- |
|
|
| 575 |
|
| Allbritton Communications Co., 7.75%, 12/15/12 |
|
| 566,375 |
|
CCC+ |
|
|
| 500 |
|
| American Media Operations, Inc., 10.25%, 5/01/09 |
|
| 501,250 |
|
B+ |
|
|
| 1,600 |
|
| Argosy Gaming Co., 7.00%, 1/15/14 |
|
| 1,762,000 |
|
NR |
|
|
| 1,250 | 3 |
| Cablecom SCA, 4.90%, 4/15/12 (Luxembourg) (EUR) |
|
| 1,498,427 |
|
B+ |
|
|
| 500 | 2 |
| Charter Communciations Operating/Charter Communications Operating Capital, 8.38%, 4/30/14 |
|
| 497,500 |
|
CCC+ |
|
|
| 3,390 |
|
| Charter Communications Holdings II, LLC/Charter Communications Holdings II Capital Corp., 10.25%, 9/15/10 |
|
| 3,432,375 |
|
CCC+ |
|
|
| 1,250 |
|
| Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp., 11.13%, 1/15/11 |
|
| 937,500 |
|
B+ |
|
|
| 550 |
|
| Corus Entertainment, Inc., 8.75%, 3/01/12 (Canada) |
|
| 589,875 |
|
|
|
|
|
|
|
| CSC Holdings, Inc., |
|
|
|
|
BB- |
|
|
| 600 |
|
| 7.88%, 2/15/18 |
|
| 588,000 |
|
B+ |
|
|
| 2,550 |
|
| 10.50%, 5/15/16 |
|
| 2,741,250 |
|
|
|
|
|
|
|
| Dex Media East LLC/Dex Media East Finance Co., |
|
|
|
|
B1 |
|
|
| 500 |
|
| 9.88%, 11/15/09 |
|
| 551,250 |
|
B |
|
|
| 600 |
|
| 12.13%, 11/15/12 |
|
| 718,500 |
|
B |
|
|
| 488 |
|
| Dex Media West LLC/Dex Media Finance Co., 9.88%, 8/15/13 |
|
| 558,760 |
|
B |
|
|
| 750 |
|
| Dex Media, Inc., 8.00%, 11/15/13 |
|
| 806,250 |
|
B |
|
|
| 1,000 |
|
| Echostar Communications Corp., 5.75%, 5/15/08 |
|
| 992,500 |
|
BB- |
|
|
| 365 | 3 |
| Echostar DBS Corp., 6.35%, 10/01/08 |
|
| 373,213 |
|
B |
|
|
| 250 |
|
| General Cable Corp., 9.50%, 11/15/10 |
|
| 266,250 |
|
B- |
|
|
| 410 |
|
| Houghton Mifflin Co., 9.88%, 2/01/13 |
|
| 440,750 |
|
CCC+ |
|
|
| 1,200 |
|
| Nebraska Book Co., Inc., 8.63%, 3/15/12 |
|
| 1,119,000 |
|
B- |
|
|
| 2,150 | 2 |
| Nexstar Finance, Inc., 7.00%, 1/15/14 |
|
| 1,998,000 |
|
|
|
|
|
|
|
| Primedia, Inc., |
|
|
|
|
B |
|
|
| 323 |
|
| 7.63%, 4/01/08 |
|
| 326,634 |
|
B |
|
|
| 600 | 3 |
| 8.64%, 5/15/10 |
|
| 633,000 |
|
B |
|
|
| 1,310 |
|
| 8.88%, 5/15/11 |
|
| 1,375,500 |
|
B |
|
|
| 1,035 |
|
| Quebecor Media, Inc., 11.13%, 7/15/11 (Canada) |
|
| 1,148,850 |
|
BB- |
|
|
| 630 | 2 |
| Seneca Gaming Corp., 7.25%, 5/01/12 |
|
| 651,262 |
|
|
|
|
|
|
|
| Sinclair Broadcast Group, Inc., |
|
|
|
|
B |
|
|
| 2,150 |
|
| 8.00%, 3/15/12 |
|
| 2,203,750 |
|
B |
|
|
| 450 |
|
| 8.75%, 12/15/11 |
|
| 472,500 |
|
|
|
|
|
|
|
| Vertis, Inc., |
|
|
|
|
CCC |
|
|
| 1,710 |
|
| 10.88%, 6/15/09 |
|
| 1,624,500 |
|
Caa2 |
|
|
| 750 | 2 |
| 13.50%, 12/07/09 |
|
| 551,250 |
|
B- |
|
|
| 95 | 2,3 |
| WMG Hldgs. Corp., 9.50%, 12/15/14 |
|
| 65,550 |
|
CCC |
|
|
| 300 |
|
| WRC Media, Inc./Weekly Reader Corp./JLC Learning Corp., 12.75%, 11/15/09 |
|
| 317,250 |
|
CCC |
|
|
| 1,510 |
|
| Young Broadcasting, Inc., 10.00%, 3/01/11 |
|
| 1,438,275 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 31,747,346 |
|
|
|
|
|
|
|
|
|
|
|
21
BlackRock High Income Shares (HIS) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating1 |
| Principal |
| Description |
|
| Value |
| |||
|
|
|
|
|
|
| Technology—1.8% |
|
|
|
|
B+ |
|
| $ | 200 | 2 |
| Hynix Semiconductor, Inc., 9.88%, 7/01/12 (South Korea) |
| $ | 198,500 |
|
B1 |
|
|
| 1,060 |
|
| Lucent Technologies, Inc., 6.45%, 3/15/29 |
|
| 948,700 |
|
|
|
|
|
|
|
| MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co. (Luxembourg) |
|
|
|
|
Ba3 |
|
|
| 60 | 2,3 |
| 6.66%, 12/15/11 |
|
| 59,700 |
|
Ba3 |
|
|
| 500 | 2 |
| 6.88%, 12/15/11 |
|
| 492,500 |
|
B |
|
|
| 385 |
|
| Superior Essex Communications LLC/Essex Group, Inc., 9.00%, 4/15/12 |
|
| 383,075 |
|
Ba2 |
|
|
| 500 |
|
| Xerox Corp., 7.63%, 6/15/13 |
|
| 538,125 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 2,620,600 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Telecommunications—12.0% |
|
|
|
|
B2 |
|
|
| 750 | 3 |
| Airgate PCS, Inc., 6.89%, 10/15/11 |
|
| 766,875 |
|
B+ |
|
|
| 1,000 |
|
| American Tower Corp., 7.13%, 10/15/12 |
|
| 1,057,500 |
|
B+ |
|
|
| 2,085 |
|
| Cincinnati Bell, Inc., 7.25%, 7/15/13 |
|
| 2,194,463 |
|
B- |
|
|
| 170 | 2,3 |
| Hawaiian Telcom Communications, Inc., 8.91%, 5/01/13 |
|
| 174,675 |
|
B+ |
|
|
| 500 |
|
| Insight Midwest LP/Insight Capital, 10.50%, 11/01/10 |
|
| 530,000 |
|
|
|
|
|
|
|
| Intelsat Ltd. (Bermuda) |
|
|
|
|
B+ |
|
|
| 595 | 2,3 |
| 7.81%, 1/15/12 |
|
| 605,413 |
|
B+ |
|
|
| 1,235 | 2 |
| 8.63%, 1/15/15 |
|
| 1,299,837 |
|
|
|
|
|
|
|
| Lucent Technologies, Inc., |
|
|
|
|
B1 |
|
|
| 550 |
|
| 5.50%, 11/15/08 |
|
| 548,625 |
|
B1 |
|
|
| 2,050 |
|
| 6.50%, 1/15/28 |
|
| 1,829,625 |
|
B+ |
|
|
| 1,072 |
|
| PanAmSat Corp., 9.00%, 8/15/14 |
|
| 1,168,480 |
|
NR |
|
|
| 3,000 | 3,4,5,6 |
| Poland Telecom Finance BV, 14.00%, 12/01/07 (Netherlands) |
|
| 0 |
|
B |
|
|
| 230 |
|
| Qwest Capital Funding, Inc., 7.00%, 8/03/09 |
|
| 223,100 |
|
|
|
|
|
|
|
| Qwest Corp., |
|
|
|
|
BB |
|
|
| 1,000 | 2,3 |
| 6.67%, 6/15/13 |
|
| 1,033,750 |
|
BB- |
|
|
| 3,190 | 2,3 |
| 9.13%, 3/15/12 |
|
| 3,461,150 |
|
B+ |
|
|
| 535 | 3 |
| Qwest Services Corp., 13.50%, 12/15/10 |
|
| 617,925 |
|
B+ |
|
|
| 350 |
|
| Rogers Wireless Communications, Inc., 8.00%, 12/15/12 (Canada) |
|
| 376,250 |
|
|
|
|
|
|
|
| Rural Cellular Corp., |
|
|
|
|
B2 |
|
|
| 1,000 |
|
| 8.25%, 3/15/12 |
|
| 1,045,000 |
|
CCC |
|
|
| 560 |
|
| 9.88%, 2/01/10 |
|
| 578,200 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 17,510,868 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Transportation—2.6% |
|
|
|
|
B |
|
|
| 755 | 2 |
| CHC Helicopter Corp., 7.38%, 5/01/14 (Canada) |
|
| 753,112 |
|
B+ |
|
|
| 200 |
|
| General Maritime Corp., 10.00%, 3/15/13 (Marshall Island) |
|
| 216,500 |
|
B3 |
|
|
| 2,050 | 2 |
| Horizon Lines LLC, 9.00%, 11/01/12 |
|
| 2,137,125 |
|
BB+ |
|
|
| 660 |
|
| Overseas Shipholding Group, Inc., 8.25%, 3/15/13 |
|
| 689,700 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 3,796,437 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Corporate Bonds |
|
| 201,480,595 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
| Shares |
|
|
|
|
|
| |||
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
| Common Stock—0.0% |
|
|
|
|
|
|
|
| 64 | 5 |
| Goss Holdings Inc. |
|
| 1 |
|
|
|
|
| 0 |
|
| Crown Castle Intl. Corp. |
|
| 10,058 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Common Stock |
|
| 10,059 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Preferred Securities—1.6% |
|
|
|
|
|
|
|
|
|
|
| Consumer Products—0.5% |
|
|
|
|
|
|
|
| 30 |
|
| Smurfit-Stone Container Corp., |
|
| 695,100 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Containers & Packaging—0.1% |
|
|
|
|
|
|
|
| 5 |
|
| Owens Illinois, Inc. |
|
| 202,600 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Energy—0.4% |
|
|
|
|
|
|
|
| 1 | 2 |
| NRG Energy, Inc., |
|
| 547,938 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Media—0.3% |
|
|
|
|
|
|
|
| 10 |
|
| Emmis Communications Corp., |
|
| 430,848 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Telecommunications—0.3% |
|
|
|
|
|
|
|
| 10 |
|
| Crown Castle International Corp., |
|
| 484,650 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Preferred Securities |
|
| 2,361,136 |
|
|
|
|
|
|
|
|
|
|
|
22
BlackRock High Income Shares (HIS) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal |
| Description |
|
| Value |
| |||
|
|
|
|
|
|
| Warrants—0.0% |
|
|
|
|
|
|
| $ | 4 | 2,5,6 |
| Pliant Corp., expires 6/01/10 |
| $ | 0 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Long-Term Investments (cost $210,502,012) |
|
| 203,851,790 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| SHORT-TERM INVESTMENTS—4.7% |
|
|
|
|
|
|
|
|
|
|
| U.S. Government and Agency Zero Coupon Bonds—4.7% |
|
|
|
|
|
|
|
| 6,900 |
|
| Federal Home Loan Bank Discount Note, 2.65%, 7/1/05 (cost $6,900,000) |
|
| 6,900,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total investments—144.1% (cost $217,402,0127) |
| $ | 210,751,790 |
|
|
|
|
|
|
|
| Liabilities in excess of other assets—(44.1)% |
|
| (64,512,933 | ) |
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Net Assets—100% |
| $ | 146,238,857 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1 | Using the higher of S&P’s, Moody’s or Fitch’s rating. |
2 | Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of June 30, 2005, the Trust held 28.1% of its net assets, with a current market value of $41,157,321 in securities restricted as to resale. |
3 | Security interest rate is as of June 30, 2005. |
4 | Issuer is technically in default and/or bankruptcy. |
5 | Security is fair valued. |
6 | Illiquid security. |
7 | Cost for Federal income tax purposes is $217,445,531. The net unrealized depreciation on a tax basis is $6,703,741 consisting of $5,563,400 gross unrealized appreciation and $12,267,141 gross unrealized depreciation. |
|
|
A category in the Corporate Bonds section may contain multiple industries as defined by the SEC’s Standard Industry Codes. |
KEY TO ABBREVIATIONS
EUR – European Monetary Unit
23
|
PORTFOLIO OF INVESTMENTS (unaudited) |
JUNE 30, 2005 |
BlackRock Preferred Opportunity Trust (BPP) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating1 |
| Shares |
| Description |
|
| Value |
| |||
|
|
|
|
|
|
| LONG-TERM INVESTMENTS—148.2% |
|
|
|
|
|
|
|
|
|
|
| Preferred Securities—67.7% |
|
|
|
|
|
|
|
|
|
|
| Consumer Products—0.5% |
|
|
|
|
BBB- |
|
|
| 20,000 | 2 |
| Dairy Farmers of America, Inc., 7.875% |
| $ | 2,091,250 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Energy—2.9% |
|
|
|
|
BB+ |
|
|
| 5,000 |
|
| Devon Energy Corp., Ser. A, 6.49% |
|
| 506,250 |
|
B- |
|
|
| 115,000 |
|
| Hanover Compressor Cap. Trust, 7.25%, expires 12/14/29, price $17.875, 2.7972 shares |
|
| 5,492,400 |
|
Baa3 |
|
|
| 275,000 |
|
| Nexen, Inc., 7.35% (Canada) |
|
| 7,251,750 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 13,250,400 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Financial Institutions—49.7% |
|
|
|
|
Aa2 |
|
|
| 600 |
|
| ABN Amro NA, Inc., 6.46% |
|
| 583,020 |
|
BBB- |
|
|
| 300,000 |
|
| ACE Ltd., Ser. C, 7.80% (United Kingdom) |
|
| 8,081,250 |
|
A |
|
|
| 433,100 |
|
| Banco Santander Central Hispano SA, Ser. 1, 6.41% (Spain) |
|
| 10,969,124 |
|
A2 |
|
|
| 30,000 |
|
| Banesto Hldgs. Ltd., Ser. A, 10.50% (Bailiwick of Guernsey) |
|
| 945,000 |
|
A3 |
|
|
| 100,000 |
|
| Bear Stearns Co., Inc., Ser. E, 6.15% |
|
| 5,130,000 |
|
B+ |
|
|
| 60,000 |
|
| Chevy Chase Preferred Cap. Corp., Ser. A, 10.375% |
|
| 3,489,000 |
|
A3 |
|
|
| 23,600 |
|
| Citigroup Cap. I, 6.75% (CORTS) |
|
| 611,476 |
|
AA |
|
|
| 40,000 |
|
| Citigroup Cap. X, 6.10% |
|
| 1,008,000 |
|
AA |
|
|
| 50,000 |
|
| Citigroup Cap. XI, 6.00% |
|
| 1,256,000 |
|
BB |
|
|
| 80,000 |
|
| Colonial Cap. Trust IV, 7.875% |
|
| 2,076,800 |
|
|
|
|
|
|
|
| Credit Suisse First Boston, Inc. (SATURNS) |
|
|
|
|
Aa3 |
|
|
| 11,100 |
|
| 6.25% |
|
| 279,609 |
|
Aa3 |
|
|
| 12,300 |
|
| 7.00% |
|
| 322,106 |
|
BBB+ |
|
|
| 137,500 |
|
| Everest Re Cap. Trust, 7.85% (Barbados) |
|
| 3,682,429 |
|
BBB+ |
|
|
| 30,000 |
|
| Everest Re Cap. Trust II, Ser. B, 6.20% |
|
| 708,000 |
|
|
|
|
|
|
|
| Federal Home Loan Mortgage Corp. |
|
|
|
|
AA- |
|
|
| 221,500 |
|
| Ser. F, 5.00% |
|
| 9,420,990 |
|
AA- |
|
|
| 102,958 |
|
| Ser. H, 5.10% |
|
| 4,478,673 |
|
AA |
|
|
| 15,200 |
|
| Financial Security Assurance Holdings Ltd., 5.60% |
|
| 376,960 |
|
|
|
|
|
|
|
| First Republic Bank, |
|
|
|
|
BBB- |
|
|
| 185,000 |
|
| 6.25% |
|
| 4,538,050 |
|
BBB- |
|
|
| 277,200 |
|
| 6.70% |
|
| 7,224,525 |
|
BBB- |
|
|
| 120,000 |
|
| First Republic Preferred Cap. Corp., 7.25% |
|
| 3,036,000 |
|
Aa3 |
|
|
| 85,000 |
|
| Fleet Cap. Trust VII, 7.20% |
|
| 2,188,750 |
|
Aa3 |
|
|
| 26,100 |
|
| Fleet Cap. Trust VIII, 7.20% |
|
| 677,556 |
|
|
|
|
|
|
|
| Goldman Sachs Group, Inc., The, |
|
|
|
|
Aa3 |
|
|
| 20,000 |
|
| 5.625% (SATURNS) |
|
| 469,200 |
|
Aa3 |
|
|
| 42,000 |
|
| 5.80% (CORTS) |
|
| 1,047,060 |
|
Aa3 |
|
|
| 102,900 |
|
| 6.00% (SATURNS) |
|
| 2,546,775 |
|
|
|
|
|
|
|
| ING Groep NV (Netherlands) |
|
|
|
|
A- |
|
|
| 76,700 |
|
| 7.05% |
|
| 2,008,581 |
|
A- |
|
|
| 560,337 |
|
| 7.20% |
|
| 14,764,880 |
|
A1 |
|
|
| 80,000 |
|
| JP Morgan Chase Cap. XII, 6.25% |
|
| 2,030,000 |
|
A1 |
|
|
| 150,000 |
|
| JP Morgan Chase Cap. XIV, 6.20% |
|
| 3,774,000 |
|
A3 |
|
|
| 117,200 |
|
| KeyCorp Cap. V, 5.875% |
|
| 2,900,700 |
|
A2 |
|
|
| 263,400 |
|
| Lehman Brothers Holdings Cap. Trust III, Ser. K, 6.375% |
|
| 6,659,094 |
|
A2 |
|
|
| 90,000 |
|
| Lehman Brothers Holdings Cap. Trust IV, Ser. L, 6.375% |
|
| 2,286,000 |
|
A2 |
|
|
| 146,500 |
|
| Lehman Brothers Holdings Cap. Trust V, Ser. M, 6.00% |
|
| 3,627,340 |
|
A- |
|
|
| 31,100 |
|
| Lehman Brothers Holdings, Inc., Ser. D, 5.67% |
|
| 1,568,606 |
|
A1 |
|
|
| 20,000 |
|
| Merrill Lynch Preferred Cap. Trust III, 7.00% |
|
| 522,500 |
|
A+ |
|
|
| 86,900 |
|
| Merrill Lynch Preferred Cap. Trust V, 7.28% |
|
| 2,315,016 |
|
A- |
|
|
| 525,000 |
|
| MetLife, Inc., Ser. B, 6.5% |
|
| 13,219,500 |
|
A+ |
|
|
| 337,000 |
|
| Morgan Stanley Cap. Trust III, 6.25% |
|
| 8,482,290 |
|
BBB- |
|
|
| 7,200 |
|
| News Corp. Ltd., The, Ser. 9, Class 1, 8.125% (CORTS) |
|
| 187,848 |
|
A |
|
|
| 209,400 |
|
| Partnerre Ltd., Ser. C, 6.75% (Bermuda) |
|
| 5,352,788 |
|
BBB |
|
|
| 79,385 |
|
| Phoenix Cos. Inc., The, 7.45% |
|
| 2,040,195 |
|
BBB+ |
|
|
| 18,400 |
|
| PLC Cap. Trust IV, 7.25% |
|
| 485,300 |
|
A- |
|
|
| 409,975 | 3 |
| Principal Financial Group, 6.518% |
|
| 10,249,375 |
|
|
|
|
|
|
|
| Renaissancere Holdings Ltd. (Bermuda) |
|
|
|
|
BBB+ |
|
|
| 271,725 |
|
| Ser. B, 7.30% |
|
| 7,192,235 |
|
BBB+ |
|
|
| 240,000 |
|
| Ser. C, 6.08% |
|
| 5,719,200 |
|
BBB- |
|
|
| 30 |
|
| Roslyn Real Estate Asset Corp., Ser. C, 8.95% |
|
| 3,037,500 |
|
AA- |
|
|
| 375,000 |
|
| Royal Bank of Scotland Group PLC, ADR, 6.35% |
|
| 9,450,000 |
|
See Notes to Financial Statements.
24
|
|
BlackRock Preferred Opportunity Trust (BPP) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating1 |
|
|
| Shares |
|
| Description |
|
| Value |
|
|
|
|
|
|
|
| Financial Institutions—(cont’d) |
|
|
|
|
|
|
|
|
|
|
| Safeco Cap. Trust I, |
|
|
|
|
Baa2 |
|
|
| 4,100 |
|
| 8.072% (CORTS) |
| $ | 110,864 |
|
Baa2 |
|
|
| 23,600 |
|
| 8.25% (SATURNS) |
|
| 622,551 |
|
Baa2 |
|
|
| 2,000 |
|
| 8.375% (CORTS) |
|
| 54,480 |
|
Baa2 |
|
|
| 14,700 |
|
| 8.70% (CORTS) |
|
| 394,107 |
|
Baa2 |
|
|
| 35,700 |
|
| 8.75% (CORTS) |
|
| 1,056,945 |
|
|
|
|
|
|
|
| SLM Corp., |
|
|
|
|
A- |
|
|
| 100,000 | 3 |
| 4.07% |
|
| 10,000,000 |
|
A- |
|
|
| 5,000 |
|
| Ser. A, 6.97% |
|
| 287,813 |
|
BBB- |
|
|
| 51,000 |
|
| Sprint Corp., Ser. 17, Class A1, 7.00% (CORTS) |
|
| 1,259,434 |
|
BBB- |
|
|
| 103,439 |
|
| Structured Repackaged Asset-Backed Trust Securities, 6.50% |
|
| 2,529,084 |
|
A |
|
|
| 60 | 2 |
| Union Planters Preferred Funding Corp., 7.75% |
|
| 7,056,720 |
|
Aa3 |
|
|
| 55,000 |
|
| USB Capital IV, 7.35% |
|
| 1,433,438 |
|
BBB- |
|
|
| 11,100 |
|
| Valero Energy Corp., 7.25% (PPLUS) |
|
| 288,156 |
|
A2 |
|
|
| 504,400 |
|
| Wachovia Preferred Funding Corp., Ser. A, 7.25% |
|
| 14,485,763 |
|
Baa1 |
|
|
| 5,200 |
|
| Washington Mutual Cap. I, 7.65% (CORTS) |
|
| 133,738 |
|
BBB+ |
|
|
| 13,500 |
|
| XL Cap. Ltd., Ser. A, 8.00% (Cayman Islands) |
|
| 358,173 |
|
Baa1 |
|
|
| 143,865 |
|
| Zions Cap. Trust, 8.00% |
|
| 3,879,866 |
|
Baa2 |
|
|
| 2,000 | 2,3 |
| Zurich Regcaps Funding Trust, 6.58% |
|
| 2,125,820 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 229,096,253 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Real Estate—14.6% |
|
|
|
|
|
|
|
|
|
|
| AMB Property Corp., |
|
|
|
|
BBB |
|
|
| 80,000 |
|
| Ser. L, 6.50% |
|
| 2,012,504 |
|
BBB |
|
|
| 170,000 |
|
| Ser. M, 6.75% |
|
| 4,345,200 |
|
|
|
|
|
|
|
| BRE Properties, |
|
|
|
|
BBB- |
|
|
| 225,000 |
|
| Ser. C, 6.75% |
|
| 5,604,750 |
|
BBB- |
|
|
| 80,000 |
|
| Ser. D, 6.75% |
|
| 1,995,000 |
|
BBB- |
|
|
| 78,888 |
|
| CarrAmerica Realty Corp., Ser. E, 7.50% |
|
| 2,040,830 |
|
|
|
|
|
|
|
| Developers Diversified Realty Corp., |
|
|
|
|
BBB- |
|
|
| 120,000 |
|
| 7.375% |
|
| 3,048,756 |
|
BBB- |
|
|
| 15,900 |
|
| 7.50% |
|
| 407,040 |
|
|
|
|
|
|
|
| Duke Realty Corp., |
|
|
|
|
BBB |
|
|
| 90,000 |
|
| Ser. J, 6.625% |
|
| 2,296,800 |
|
BBB |
|
|
| 160,800 |
|
| Ser. K, 6.50% |
|
| 4,055,183 |
|
|
|
|
|
|
|
| Equity Residential, |
|
|
|
|
BBB+ |
|
|
| 19,800 |
|
| Ser. B, 9.125% |
|
| 500,544 |
|
BBB |
|
|
| 120,000 |
|
| Ser. N, 6.48%, |
|
| 3,001,200 |
|
BBB+ |
|
|
| 322,000 |
|
| Kimco Realty Corp., Ser. F, 6.65% |
|
| 8,251,250 |
|
BBB+ |
|
|
| 255,200 |
|
| NB Cap. Corp., 8.35% |
|
| 6,984,824 |
|
BBB |
|
|
| 324,000 |
|
| Regency Centers Corp., 7.45% |
|
| 8,312,641 |
|
Aa3 |
|
|
| 30 | 2 |
| Sun Trust Real Estate Investment Corp., 9.00% |
|
| 3,679,500 |
|
BB- |
|
|
| 100,000 |
|
| Taubman Centers, Inc., Ser. H, 7.625% |
|
| 2,512,500 |
|
A- |
|
|
| 320,000 |
|
| Weingarten Realty Investors, Ser. D, 6.75% |
|
| 8,323,200 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 67,371,722 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Preferred Securities |
|
| 311,809,625 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| ||
|
|
| Principal |
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Trust Preferred Securities—44.3% |
|
|
|
|
|
|
|
|
|
|
| Energy—1.8% |
|
|
|
|
BB+ |
|
| $ | 3,000 |
|
| HL&P Cap. Trust II, Ser. B, 8.257%, 2/01/37 |
|
| 3,060,000 |
|
Baa3 |
|
|
| 4,655 |
|
| K N Cap. Trust III, 7.63%, 4/15/28 |
|
| 5,448,678 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 8,508,678 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Financial Institutions—39.9% |
|
|
|
|
A2 |
|
|
| 2,500 | 3 |
| Abbey National Cap. Trust I, 8.963%, 6/30/30 |
|
| 3,646,213 |
|
Ba2 |
|
|
| 6,500 |
|
| AFC Cap. Trust I, Ser. B, 8.207%, 2/03/27 |
|
| 7,366,983 |
|
A2 |
|
|
| 6,000 | 2,4 |
| AgFirst Farm Credit Bank, 7.30%, 10/14/49 |
|
| 6,349,800 |
|
BBB |
|
|
| 5,500 |
|
| AON Corp., 8.205%, 1/01/27 |
|
| 6,511,065 |
|
BBB |
|
|
| 5,000 |
|
| Astoria Cap. Trust 1, Ser. B, 9.75%, 11/01/29 |
|
| 6,122,750 |
|
A3 |
|
|
| 9,774 |
|
| AXA SA, 7.10%, 5/29/49 (France) |
|
| 10,186,033 |
|
A+ |
|
|
| 3,557 |
|
| BNP Paribas Cap. Trust V, zero coupon, 12/31/49 |
|
| 3,709,951 |
|
A1 |
|
|
| 5,500 |
|
| California Preferred Funding Trust, 7.00%, 1/30/49 |
|
| 5,720,000 |
|
A2 |
|
|
| 8,000 | 2,3 |
| CBA Cap. Trust I, 5.805%, 12/31/49 |
|
| 8,446,640 |
|
See Notes to Financial Statements.
25
|
|
BlackRock Preferred Opportunity Trust (BPP) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating1 |
| Principal |
| Description |
| Value |
| ||||
|
|
|
|
|
|
| Financial Institutions—(cont’d) |
|
|
|
|
BB |
|
| $ | 1,100 |
|
| Colonial Cap. Trust II, Ser. A, 8.92%, 1/15/27 |
| $ | 1,198,219 |
|
A1 |
|
|
| 3,000 |
|
| Credit Agricole Preferred Fund Trust II, 7.00%, 8/29/49 (Luxembourg) |
|
| 3,120,000 |
|
Aa3 |
|
|
| 10,000 | 2,3 |
| Danske Bank A/S, 5.914%, 12/31/49 (Denmark) |
|
| 10,716,600 |
|
A |
|
|
| 4,500 | 2,3 |
| Deutsche Bank Cap. Funding, 7.872%, 12/29/49 |
|
| 5,031,990 |
|
A3 |
|
|
| 8,000 | 2 |
| Dresdner Funding Trust I, 8.151%, 6/30/31 |
|
| 10,257,920 |
|
Baa2 |
|
|
| 1,100 |
|
| FCB/NC Cap. Trust I, 8.05%, 3/01/28 |
|
| 1,211,045 |
|
A3 |
|
|
| 5,000 |
|
| Greenpoint Cap. Trust I, 9.10%, 6/01/27 |
|
| 5,557,100 |
|
|
|
|
|
|
|
| HBOS Cap. Funding LP, |
|
|
|
|
A1 |
|
|
| 10,000 | 2,3 |
| 6.071%, 12/31/49 (United Kingdom) |
|
| 10,787,000 |
|
A1 |
|
|
| 5,000 |
|
| 6.85%, 3/29/49 (United Kingdom) |
|
| 5,137,500 |
|
AA- |
|
|
| 10,835 | 2,3 |
| HSBC Cap. Funding LP, 9.55%, 12/31/49 (Bailiwick of Jersey) |
|
| 13,174,168 |
|
BBB- |
|
|
| 1,400 |
|
| HUBCO Cap. Trust I, Ser. B, 8.98%, 2/01/27 |
|
| 1,546,916 |
|
BBB- |
|
|
| 3,000 |
|
| HUBCO Cap. Trust II, Ser. B, 7.65%, 6/15/28 |
|
| 3,128,623 |
|
A1 |
|
|
| 1,000 |
|
| JPM Cap. Trust II, 7.95%, 2/01/27 |
|
| 1,086,388 |
|
A1 |
|
|
| 156 |
|
| JPM Chase Capital IX, zero coupon, 6/01/35 |
|
| 3,907,800 |
|
BBB+ |
|
|
| 10,000 | 2,3 |
| Mangrove Bay Pass-Through Trust, 6.102%, 7/15/33 |
|
| 10,275,300 |
|
BB+ |
|
|
| 3,145 |
|
| Markel Cap. Trust I, Ser. B, 8.71%, 1/01/46 |
|
| 3,406,695 |
|
Aa3 |
|
|
| 1 |
|
| Morgan Stanley, zero coupon (PPLUS) |
|
| 33,597 |
|
A2 |
|
|
| 2,000 |
|
| NBP Capital Trust III, 7.375%, 10/29/49 |
|
| 2,130,000 |
|
A3 |
|
|
| 3,000 |
|
| North Fork Cap. Trust II, 8.00%, 12/15/27 |
|
| 3,295,020 |
|
BBB+ |
|
|
| 5,000 |
|
| Old Mutual Cap. Funding, 8.00%, 5/29/49 |
|
| 5,292,500 |
|
BB+ |
|
|
| 4,200 |
|
| Provident Financing Trust I, 7.405%, 3/15/38 |
|
| 3,916,500 |
|
A1 |
|
|
| 3,000 |
|
| RBS Cap. Trust, 6.80%, 12/31/49 (United Kingdom) |
|
| 3,096,530 |
|
A+ |
|
|
| 4,600 | 2 |
| State Street Institutional Cap., Ser. A, 7.94%, 12/30/26 |
|
| 4,981,156 |
|
A+ |
|
|
| 7,500 | 2 |
| Sun Life of Canada US Cap. Trust I, 8.526%, 5/29/49 (Canada) |
|
| 8,256,900 |
|
BBB- |
|
|
| 5,000 | 2 |
| Webster Cap. Trust I, 9.36%, 1/29/27 |
|
| 5,468,650 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 184,073,552 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Real Estate—2.6% |
|
|
|
|
BB+ |
|
|
| 8,180 | 2 |
| Sovereign Real Estate Investor Corp., 12.00%, 8/29/49 |
|
| 11,874,419 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Bank Trust Preferred Securities |
|
| 204,456,649 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Corporate Bonds—36.2% |
|
|
|
|
|
|
|
|
|
|
| Aerospace & Defense—0.3% |
|
|
|
|
B- |
|
|
| 1,625 | 2 |
| DI Finance/Dyn Corp. Intl., 9.50%, 2/15/13 |
|
| 1,503,125 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Automotive—1.1% |
|
|
|
|
B- |
|
|
| 300 |
|
| Accuride Corp., 8.50%, 2/01/15 |
|
| 293,250 |
|
BB+ |
|
|
| 125 |
|
| Arvinmeritor, Inc., 8.75%, 3/01/12 |
|
| 130,625 |
|
B |
|
|
| 70 |
|
| Cooper-Standard Automotive, Inc., 7.00%, 12/15/12 |
|
| 64,050 |
|
B- |
|
|
| 255 |
|
| Delphi Corp., 6.50%, 5/01/09 |
|
| 211,650 |
|
B- |
|
|
| 1,000 |
|
| Dura Operating Corp., Ser. B, 8.625%, 4/15/12 |
|
| 905,000 |
|
B- |
|
|
| 130 |
|
| Goodyear Tire & Rubber Co., 7.857%, 8/15/11 |
|
| 126,100 |
|
CCC+ |
|
|
| 250 | 2,3 |
| Metaldyne Corp., 10.00%, 11/01/13 |
|
| 203,750 |
|
B- |
|
|
| 2,850 |
|
| Rexnord Corp., 10.125%, 12/15/12 |
|
| 3,120,750 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 5,055,175 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Basic Materials—1.4% |
|
|
|
|
BB- |
|
|
| 375 |
|
| Abitibi-Consolidated, Inc., 8.375%, 4/01/15 (Canada) |
|
| 382,969 |
|
B- |
|
|
| 2,045 |
|
| Caraustar Industries, Inc., 9.875%, 4/01/11 |
|
| 2,065,450 |
|
BB- |
|
|
| 200 |
|
| Donohue Forest Products, 7.625%, 5/15/07 (Canada) |
|
| 203,000 |
|
BB- |
|
|
| 2,700 |
|
| Lyondell Chemical Co., 11.125%, 7/15/12 |
|
| 3,057,750 |
|
B3 |
|
|
| 450 | 2 |
| NewPage Corp., 10.00%, 5/01/12 |
|
| 453,375 |
|
B- |
|
|
| 200 | 2 |
| PQ Corp., 7.50%, 2/15/13 |
|
| 196,500 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 6,359,044 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Building & Development—0.2% |
|
|
|
|
B2 |
|
|
| 260 | 2 |
| Compression Polymers Corp., 10.50%, 7/01/13 |
|
| 264,550 |
|
B- |
|
|
| 790 | 2 |
| Goodman Global Holding Co., Inc., 7.875%, 12/15/12 |
|
| 730,750 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 995,300 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Consumer Products—2.5% |
|
|
|
|
B3 |
|
|
| 115 |
|
| ALH Finance LLC, 8.50%, 1/15/13 |
|
| 105,800 |
|
BB+ |
|
|
| 6,000 |
|
| Delhaize America, Inc., 9.00%, 4/15/31 |
|
| 7,530,480 |
|
B+ |
|
|
| 320 |
|
| Finlay Fine Jewelry Corp., 8.375%, 6/01/12 |
|
| 284,800 |
|
B |
|
|
| 110 |
|
| Gold Kist, Inc., 10.25%, 3/15/14 |
|
| 125,400 |
|
B- |
|
|
| 1,260 |
|
| Lazydays RV Center, Inc., 11.75%, 5/15/12 |
|
| 1,313,550 |
|
B- |
|
|
| 510 | 3 |
| Levi Strauss & Co., 7.73%, 4/01/12 |
|
| 483,225 |
|
B2 |
|
|
| 850 | 2 |
| Movie Gallery, Inc., 11.00%, 5/01/12 |
|
| 892,500 |
|
B- |
|
|
| 750 | 2,3 |
| Rite Aid Corp., 6.125%, 12/15/08 |
|
| 708,750 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 11,444,505 |
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
26
|
|
BlackRock Preferred Opportunity Trust (BPP) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Rating1 |
| Principal |
| Description |
| Value |
| ||||
|
|
|
|
|
|
| Containers & Packaging—0.7% |
|
|
|
|
B+ |
|
| $ | 3,000 |
|
| Crown European Holdings SA, 9.50%, 3/01/11 (France) |
| $ | 3,322,500 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Ecological Services & Equipment—0.1% |
|
|
|
|
BB- |
|
|
| 400 | 2 |
| Allied Waste North America, Inc., 7.25%, 3/15/15 |
|
| 385,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Energy—2.8% |
|
|
|
|
B1 |
|
|
| 3,000 |
|
| AES Corp., 8.875%, 2/15/11 |
|
| 3,345,000 |
|
BB- |
|
|
| 210 | 2 |
| Compagnie Generale de Geophysique SA, 7.50%, 5/15/15 (France) |
|
| 217,350 |
|
B2 |
|
|
| 710 |
|
| Dresser, Inc., 9.375%, 4/15/11 |
|
| 747,275 |
|
B |
|
|
| 1,120 | 2 |
| Dynegy Holdings, Inc., 10.125%, 7/15/13 |
|
| 1,265,600 |
|
B+ |
|
|
| 20 |
|
| Midwest Generation LLC, 8.56%, 1/02/16 |
|
| 22,100 |
|
B |
|
|
| 170 | 2 |
| North American Energy Partners, Inc., 9.00%, 5/15/10 (Canada) |
|
| 171,700 |
|
B- |
|
|
| 130 | 2 |
| Ocean Rig Norway AS, 8.375%, 7/01/13 (Norway) |
|
| 131,950 |
|
B |
|
|
| 2,950 |
|
| Orion Power Holdings, Inc., 12.00%, 5/01/10 |
|
| 3,532,625 |
|
B2 |
|
|
| 1,185 |
|
| Utilicorp Canada Finance Corp., 7.75%, 6/15/11 (Canada) |
|
| 1,220,550 |
|
B+ |
|
|
| 2,000 |
|
| Williams Cos., Inc., 7.125%, 9/01/11 |
|
| 2,165,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 12,819,150 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Entertainment & Leisure—0.1% |
|
|
|
|
B |
|
|
| 130 |
|
| Poster Financial Group, Inc., 8.75%, 12/01/11 |
|
| 132,275 |
|
B+ |
|
|
| 190 | 2 |
| Wynn Las Vegas LLC, 6.625%, 12/01/14 |
|
| 184,300 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 316,575 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Financial Institutions—18.5% |
|
|
|
|
AA- |
|
|
| 8,500 | 2,4,5 |
| American General Institute Cap., 7.57%, 12/01/45 |
|
| 11,011,920 |
|
BB |
|
|
| 415 | 2 |
| American Real Estate Partners LP, 7.125%, 2/15/13 |
|
| 408,775 |
|
Aa3 |
|
|
| 5,000 |
|
| BAC Capital Trust V, 5.625%, 3/08/35 |
|
| 5,278,700 |
|
|
|
|
|
|
|
| Barclays Bank PLC, |
|
|
|
|
NR |
|
|
| 1,890 | 3 |
| 6.278%, 12/01/34 |
|
| 1,930,163 |
|
Aa3 |
|
|
| 1,105 | 2,3 |
| 6.86%, 6/01/32 (United Kingdom) |
|
| 1,296,055 |
|
B- |
|
|
| 350 |
|
| BCP Crystal US Holdings Corp., 9.625%, 6/15/14 |
|
| 392,000 |
|
BB |
|
|
| 1,000 |
|
| Crum & Forster Holdings Corp., 10.375%, 6/15/13 |
|
| 1,085,000 |
|
BB |
|
|
| 8,000 |
|
| Fairfax Financial Holdings Ltd., 7.75%, 4/26/12 (Canada) |
|
| 7,600,000 |
|
BBB |
|
|
| 11,500 |
|
| First Midwest Cap. Trust I, Ser. B, 6.95%, 12/01/33 |
|
| 13,242,848 |
|
BBB |
|
|
| 125 |
|
| Ford Motor Credit Co., 7.25%, 10/25/11 |
|
| 120,990 |
|
Aa3 |
|
|
| 7,000 |
|
| HSBC Bank USA, Inc., 5.875%, 11/01/34 |
|
| 7,725,690 |
|
BBB- |
|
|
| 5,000 |
|
| Kingsway America, Inc., 7.50%, 2/01/14 |
|
| 5,330,150 |
|
Aa2 |
|
|
| 7,399 |
|
| Lloyds Bank Ltd., 6.90%, 11/22/49 |
|
| 7,731,215 |
|
A |
|
|
| 8,000 |
|
| Prudential, 6.50%, 6/29/49 |
|
| 8,040,000 |
|
A3 |
|
|
| 4,000 |
|
| Resparcs Funding LP, 8.00%, 12/30/49 (United Kingdom) |
|
| 4,210,000 |
|
Ba1 |
|
|
| 2,000 |
|
| Sovereign Capital Trust 1, 9.00%, 4/01/27 |
|
| 2,162,160 |
|
NR |
|
|
| 4,362 | 3 |
| Structured Asset Receivable Trust, 1.649%, 1/21/10 |
|
| 4,344,050 |
|
B- |
|
|
| 60 | 3 |
| Universal City Florida Holding Co. I, 7.96%, 5/01/10 |
|
| 62,400 |
|
BB- |
|
|
| 60 |
|
| Western Financial Bank, 9.625%, 5/15/12 |
|
| 65,100 |
|
A2 |
|
|
| 3,000 | 2,3 |
| Westpac Cap. Trust IV, 5.256%, 3/31/16 |
|
| 3,017,340 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 85,054,556 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Health Care—0.3% |
|
|
|
|
B3 |
|
|
| 920 |
|
| Insight Health Services Corp., Ser. B, 9.875%, 11/01/11 |
|
| 722,200 |
|
|
|
|
|
|
|
| Tenet Healthcare Corp., |
|
|
|
|
B |
|
|
| 90 |
|
| 6.375%, 12/01/11 |
|
| 85,950 |
|
B |
|
|
| 90 |
|
| 9.875%, 7/01/14 |
|
| 96,750 |
|
B- |
|
|
| 520 |
|
| Universal Hospital Services, Inc., 10.125%, 11/01/11 |
|
| 531,700 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 1,436,600 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Industrials—1.4% |
|
|
|
|
B+ |
|
|
| 3,000 |
|
| Cenveo Corp., 9.625%, 3/15/12 |
|
| 3,255,000 |
|
B- |
|
|
| 300 |
|
| ERICO Intl. Corp., 8.875%, 3/01/12 |
|
| 304,500 |
|
B- |
|
|
| 400 | 2 |
| Hydrochem Industrial Services, 9.25%, 2/15/13 |
|
| 368,000 |
|
B- |
|
|
| 3,000 |
|
| Trimas Corp., 9.875%, 6/15/12 |
|
| 2,520,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 6,447,500 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Media—3.8% |
|
|
|
|
BBB+ |
|
|
| 253 |
|
| AOL Time Warner, Inc., Ser. A-1, zero coupon (CABCO) |
|
| 6,623,627 |
|
BBB |
|
|
| 110 |
|
| Comcast Corp., zero coupon, 11/15/29 |
|
| 5,032,500 |
|
B |
|
|
| 1,950 |
|
| Dex Media East, LLC, 12.125%, 11/15/12 |
|
| 2,335,125 |
|
B- |
|
|
| 210 | 2 |
| Nexstar Finance, Inc., 7.00%, 1/15/14 |
|
| 194,513 |
|
CCC |
|
|
| 3,000 |
|
| WRC Media, Inc., 12.75%, 11/15/09 |
|
| 3,180,000 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 17,365,765 |
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
27
|
|
BlackRock Preferred Opportunity Trust (BPP) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal |
|
|
|
|
|
| |||
|
| Amount |
|
|
|
|
|
| |||
Rating1 |
| (000) |
| Description |
|
| Value |
| |||
|
|
|
|
|
|
| Real Estate—1.4% |
|
|
|
|
|
|
|
|
|
|
| Rouse Co., |
|
|
|
|
BB+ |
|
| $ | 5,000 |
|
| 3.625%, 3/15/09 |
| $ | 4,735,900 |
|
BB+ |
|
|
| 2,000 |
|
| 5.375%, 11/26/13 |
|
| 1,959,280 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 6,695,180 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Technology—0.2% |
|
|
|
|
B+ |
|
|
| 120 | 2 |
| Hynix Semiconductor, Inc., 9.875%, 7/01/12 (South Korea) |
|
| 119,100 |
|
B1 |
|
|
| 185 |
|
| Lucent Technologies, Inc., 6.50%, 1/15/28 |
|
| 165,112 |
|
B |
|
|
| 460 |
|
| Superior Essex Communications LLC, 9.00%, 4/15/12 |
|
| 457,700 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 741,912 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Telecommunications—1.0% |
|
|
|
|
B+ |
|
|
| 290 |
|
| Cincinnati Bell, Inc., 7.25%, 7/15/13 |
|
| 305,225 |
|
B- |
|
|
| 190 | 2,3 |
| Hawaiian Telcom Communications, Inc., 8.914%, 5/01/13 |
|
| 195,225 |
|
|
|
|
|
|
|
| Intelsat Ltd., |
|
|
|
|
B |
|
|
| 200 |
|
| 5.25%, 11/01/08 (Bermuda) |
|
| 186,750 |
|
B+ |
|
|
| 185 | 2,3 |
| 7.805%, 1/15/12 (Bermuda) |
|
| 188,237 |
|
B+ |
|
|
| 250 | 2 |
| 8.25%, 1/15/13 (Bermuda) |
|
| 258,125 |
|
B+ |
|
|
| 355 | 2 |
| 8.625%, 1/15/15 (Bermuda) |
|
| 373,638 |
|
|
|
|
|
|
|
| Qwest Corp., |
|
|
|
|
BB |
|
|
| 610 | 2,3 |
| 6.671%, 6/15/13 |
|
| 622,200 |
|
BB |
|
|
| 1,845 | 2 |
| 7.875%, 9/01/11 |
|
| 1,918,800 |
|
B+ |
|
|
| 450 | 3 |
| Qwest Services Corp., 13.50%, 12/15/10 |
|
| 519,750 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 4,567,950 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Transportation—0.4% |
|
|
|
|
B3 |
|
|
| 40 | 2 |
| Horizon Lines LLC, 9.00%, 11/01/12 |
|
| 41,700 |
|
B+ |
|
|
| 80 |
|
| OMI Corp., 7.625%, 12/01/13 (Marshall Island) |
|
| 80,000 |
|
B3 |
|
|
| 1,910 |
|
| Sea Containers Ltd., 10.50%, 5/15/12 (Bermuda) |
|
| 1,972,075 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| 2,093,775 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Corporate Bonds |
|
| 166,603,612 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| U.S. Government and Agency Securities—0.0% |
|
|
|
|
|
|
|
| 25 |
|
| U. S. Treasury Notes, 4.00%, 2/15/15 |
|
| 25,145 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Total Investments before borrowed bonds and investments sold short (cost $659,642,6307) |
|
| 682,895,031 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| BORROWED BOND—5.4% |
|
|
|
|
|
|
|
|
|
|
| U.S. Government and Agency Securities—5.4% |
|
|
|
|
|
|
|
| 25,236 | 6 |
| U.S. Treasury Bonds, 2.25%, 7/01/05 (cost $25,235,875) |
|
| 25,235,875 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| INVESTMENT SOLD SHORT—(5.4)% |
|
|
|
|
|
|
|
|
|
|
| U.S. Government and Agency Securities—(5.4)% |
|
|
|
|
|
|
|
| (21,140 | ) |
| U.S. Treasury Bonds, 5.375%, 2/15/31 (proceeds $23,390,956) |
|
| (25,040,964 | ) |
|
|
|
|
|
|
|
|
| |||
|
|
|
|
|
|
| Total investments net of borrowed bonds and investments sold short—148.2% |
| $ | 683,089,942 |
|
|
|
|
|
|
|
| Liabilities in excess of other assets—(0.3)% |
|
| (1,386,054 | ) |
|
|
|
|
|
|
| Preferred shares at redemption value, including dividends payable—(47.9)% |
|
| (220,854,181 | ) |
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| Net Assets—100% |
| $ | 460,849,707 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1 | Using the higher of S&P’s, Moody’s or Fitch’s ratings. |
2 | Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of June 30, 2005, the Trust held 32.1% of its net assets, with a current market value of $147,896,661, in securities restricted as to resale. |
3 | Security interest rate is as of June 30, 2005. |
4 | Securities, or a portion thereof, pledged as collateral with a value of $8,031,521 on 1,327 short U.S. Treasury Note futures contracts expiring Sept. 2005. The value of such contracts on June 30, 2005 was $154,085,063, with an unrealized loss of $1,929,545. |
5 | Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements. |
6 | The interest rate and maturity date shown represent the terms of the bonds borrowed transaction, not the security borrowed (See Note 1). |
7 | Cost for Federal income tax purposes is $659,696,118. The net unrealized appreciation on a tax basis is $23,198,913 consisting of $25,826,255 gross unrealized appreciation and $2,627,342 gross unrealized depreciation. |
A category in the Preferred Securities, Trust Preferred Securities and Corporate Bonds sections may contain multiple industries as defined by the SEC’s Standard Industry Codes.
|
|
|
|
|
|
| |||||
CABCO | — | Corporate Asset Backed Corporation | PPLUS | — | Preferred Plus |
CORTS | — | Corporate Backed Trust Securities | SATURNS | — | Structured Asset Trust Unit Repackagings |
See Notes to Financial Statements.
28
|
June 30, 2005 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Advantage Term |
| Global |
| High |
| Preferred |
| ||||
|
|
|
|
|
| ||||||||
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments at value2 |
| $ | 130,120,520 |
| $ | 715,122,787 |
| $ | 210,751,790 |
| $ | 682,895,031 |
|
Cash |
|
| 131,908 |
|
| 100,276 |
|
| 21,424 |
|
| 2,898,657 |
|
Foreign currency at value3 |
|
| — |
|
| 37,907 |
|
| 605 |
|
| — |
|
Receivable from investments sold |
|
| — |
|
| 14,076,904 |
|
| 4,241,909 |
|
| 740,391 |
|
Deposits with brokers as collateral for borrowed bonds |
|
| — |
|
| — |
|
| — |
|
| 25,235,875 |
|
Unrealized gain on foreign currency exchange contracts |
|
| — |
|
| 1,143,469 |
|
| 114,638 |
|
| — |
|
Income receivable |
|
| 78,940 |
|
| 7,555,602 |
|
| 4,079,854 |
|
| 5,878,874 |
|
Unrealized appreciation on credit default swaps |
|
| 589 |
|
| 3,163 |
|
| — |
|
| — |
|
Other assets |
|
| 34,964 |
|
| 62,601 |
|
| 44,496 |
|
| 96,995 |
|
|
|
|
|
|
| ||||||||
|
|
| 130,366,921 |
|
| 738,102,709 |
|
| 219,254,716 |
|
| 717,745,823 |
|
|
|
|
|
|
| ||||||||
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
Reverse repurchase agreement |
|
| 31,903,403 |
|
| 23,723,000 |
|
| — |
|
| 1,437,000 |
|
Payable for investments purchased |
|
| — |
|
| 16,327,183 |
|
| 5,126,138 |
|
| 2,996,400 |
|
Loan payable |
|
| — |
|
| — |
|
| 66,000,000 |
|
| — |
|
Investments sold short at value4 |
|
| — |
|
| — |
|
| — |
|
| 25,040,964 |
|
Outstanding options written at value |
|
| — |
|
| — |
|
| — |
|
| — |
|
Interest payable |
|
| 60,844 |
|
| 30,168 |
|
| 139,226 |
|
| 1,509,525 |
|
Unrealized depreciation on interest rate swaps |
|
| — |
|
| — |
|
|
|
|
| 4,009,523 |
|
Variation margin payable |
|
| — |
|
| — |
|
| — |
|
| 529,313 |
|
Unrealized loss on foreign currency exchange contracts |
|
| — |
|
| 216,927 |
|
| — |
|
| — |
|
Cash with brokers as collateral |
|
| — |
|
| 400,000 |
|
| — |
|
| — |
|
Dividends payable |
|
| — |
|
| — |
|
| 1,250,590 |
|
| — |
|
Investment advisory fee payable |
|
| 40,362 |
|
| 326,416 |
|
| 258,805 |
|
| 366,709 |
|
Administration fee payable |
|
| 13,934 |
|
| — |
|
| — |
|
| — |
|
Deferred Directors’ or Trustees’ fees |
|
| 26,629 |
|
| 6,419 |
|
| 1,304 |
|
| 41,469 |
|
Payable to affiliates |
|
| 12,224 |
|
| 25,902 |
|
| — |
|
| — |
|
Other accrued expenses |
|
| 115,492 |
|
| 380,987 |
|
| 239,796 |
|
| 111,032 |
|
|
|
|
|
|
| ||||||||
|
|
| 32,172,888 |
|
| 41,437,002 |
|
| 73,015,859 |
|
| 36,041,935 |
|
|
|
|
|
|
| ||||||||
Preferred Shares at Redemption Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
$.001 par value per share and $25,000 liquidation value per share, including dividends payable5 |
|
| — |
|
| 243,517,734 |
|
| — |
|
| 220,854,181 |
|
|
|
|
|
|
| ||||||||
Net Assets Applicable to Common Shareholders |
| $ | 98,194,033 |
| $ | 453,147,973 |
| $ | 146,238,857 |
| $ | 460,849,707 |
|
|
|
|
|
|
| ||||||||
Composition of Net Assets Applicable to Common Shareholders: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Par value |
| $ | 95,107 |
| $ | 23,481 |
| $ | — |
| $ | 18,306 |
|
Paid-in capital in excess of par |
|
| 88,784,068 |
|
| 444,690,260 |
|
| 402,502,980 |
|
| 433,520,477 |
|
Undistributed (distributions in excess of) net investment income |
|
| 10,616,024 |
|
| 1,741,018 |
|
| (598,326 | ) |
| 1,545,342 |
|
Accumulated net realized gain (loss) |
|
| (1,749,932 | ) |
| (59,826 | ) |
| (249,129,235 | ) |
| 10,450,184 |
|
Net unrealized appreciation (depreciation) |
|
| 448,766 |
|
| 6,753,040 |
|
| (6,536,562 | ) |
| 15,315,398 |
|
|
|
|
|
|
| ||||||||
Net assets applicable to common shareholders, June 30, 2005 |
| $ | 98,194,033 |
| $ | 453,147,973 |
| $ | 146,238,857 |
| $ | 460,849,707 |
|
|
|
|
|
|
| ||||||||
Net asset value per common share6 |
| $ | 10.32 |
| $ | 19.30 |
| $ | 2.69 |
| $ | 25.18 |
|
|
|
|
|
|
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Consolidated Statement of Assets and Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
2 Investments at cost |
| $ | 129,672,547 |
| $ | 709,295,900 |
| $ | 217,402,012 |
| $ | 659,642,630 |
|
3 Foriegn currency at cost |
|
| — |
|
| 40,386 |
|
| 650 |
|
| — |
|
4 Proceeds received |
|
| — |
|
| — |
|
| — |
|
| 23,390,956 |
|
5 Preferred shares outstanding |
|
| — |
|
| 9,738 |
|
| — |
|
| 8,832 |
|
6 Common shares outstanding |
|
| 9,510,667 |
|
| 23,481,021 |
|
| 54,404,224 |
|
| 18,305,777 |
|
See Notes to Financial Statements.
29
|
STATEMENTS OF OPERATIONS (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Advantage Term |
| Global |
| High |
| Preferred |
| ||||
|
|
|
|
|
| ||||||||
Net Investment Income |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest income |
| $ | 3,875,656 |
| $ | 20,769,948 |
| $ | 8,668,596 |
| $ | 13,150,376 |
|
Dividend income |
|
| 983 |
|
| 121 |
|
| 74,045 |
|
| 9,608,128 |
|
|
|
|
|
|
| ||||||||
Total investment income |
|
| 3,876,639 |
|
| 20,770,069 |
|
| 8,742,641 |
|
| 22,758,504 |
|
|
|
|
|
|
| ||||||||
Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment advisory |
|
| 245,415 |
|
| 2,641,649 |
|
| 782,296 |
|
| 2,235,186 |
|
Administration |
|
| 39,267 |
|
| — |
|
| 8,537 |
|
| — |
|
Transfer agent |
|
| 7,702 |
|
| 10,780 |
|
| 11,198 |
|
| 7,421 |
|
Custodian |
|
| 38,958 |
|
| 106,656 |
|
| 39,138 |
|
| 61,049 |
|
Reports to shareholders |
|
| 15,307 |
|
| 56,872 |
|
| 41,310 |
|
| 46,571 |
|
Trustees |
|
| 8,465 |
|
| 29,177 |
|
| 15,893 |
|
| 27,874 |
|
Registration |
|
| 11,893 |
|
| 10,410 |
|
| 20,609 |
|
| 9,472 |
|
Independent accountants |
|
| 21,199 |
|
| 25,204 |
|
| 25,950 |
|
| 19,452 |
|
Legal |
|
| 14,795 |
|
| 21,832 |
|
| 9,140 |
|
| 24,395 |
|
Insurance |
|
| 4,222 |
|
| 26,312 |
|
| 13,104 |
|
| 22,166 |
|
Auction agent |
|
| — |
|
| 317,884 |
|
| — |
|
| 286,412 |
|
Miscellaneous |
|
| 46,054 |
|
| 35,516 |
|
| 42,088 |
|
| 37,205 |
|
|
|
|
|
|
| ||||||||
Total expenses excluding interest expense |
|
| 453,277 |
|
| 3,282,292 |
|
| 1,009,263 |
|
| 2,777,203 |
|
Interest Expense |
|
| 391,597 |
|
| 257,769 |
|
| 1,011,685 |
|
| 57,278 |
|
|
|
|
|
|
| ||||||||
Total expenses |
|
| 844,874 |
|
| 3,540,061 |
|
| 2,020,948 |
|
| 2,834,481 |
|
Less fees waived by Advisor |
|
| — |
|
| (704,440 | ) |
| — |
|
| — |
|
Less fees paid indirectly |
|
| (1,174 | ) |
| (25,230 | ) |
| (2,950 | ) |
| (3,276 | ) |
|
|
|
|
|
| ||||||||
Net expenses |
|
| 843,700 |
|
| 2,810,391 |
|
| 2,017,998 |
|
| 2,831,205 |
|
|
|
|
|
|
| ||||||||
Net investment income |
|
| 3,032,939 |
|
| 17,959,678 |
|
| 6,724,643 |
|
| 19,927,299 |
|
|
|
|
|
|
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
| 390,242 |
|
| 71,612 |
|
| 4,247,605 |
|
| 6,321,629 |
|
Foreign currency |
|
| — |
|
| (87,154 | ) |
| (11,610 | ) |
| — |
|
Futures |
|
| — |
|
| — |
|
| — |
|
| (6,567,708 | ) |
|
|
|
|
|
| ||||||||
Total Realized Gain (Loss) |
|
| 390,242 |
|
| (15,542 | ) |
| 4,235,995 |
|
| (246,079 | ) |
|
|
|
|
|
| ||||||||
Net change in unrealized appreciation\depreciation on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
| (2,504,956 | ) |
| (1,605,016 | ) |
| (13,123,609 | ) |
| (14,292,895 | ) |
Foreign currency |
|
| — |
|
| — |
|
| 85,624 |
|
| — |
|
|
|
|
|
|
| ||||||||
|
|
| (2,504,956 | ) |
| (1,605,016 | ) |
| (13,037,985 | ) |
| (14,292,895 | ) |
|
|
|
|
|
| ||||||||
Net loss |
|
| (2,114,714 | ) |
| (1,620,558 | ) |
| (8,801,990 | ) |
| (14,538,974 | ) |
|
|
|
|
|
| ||||||||
Dividends to Preferred Shareholders from Net Investment Income |
|
| — |
|
| (3,364,567 | ) |
| — |
|
| (3,092,742 | ) |
|
|
|
|
|
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Increase (Decrease) in Net Assets Applicable to Common Shareholders Resulting from Operations |
| $ | 918,225 |
| $ | 12,974,553 |
| $ | (2,077,347 | ) | $ | 2,295,583 |
|
|
|
|
|
|
|
|
|
1 | Consolidated Statement of Operations. |
See Notes to Financial Statements.
30
|
STATEMENTS OF CASH FLOWS (unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Advantage |
| Global |
| High |
| Preferred |
| ||||
|
|
|
|
|
| ||||||||
Reconciliation of Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash Provided by (Used for) Operating Activities |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Increase (Decrease) in net assets resulting from operations |
| $ | 918,225 |
| $ | 16,339,120 |
| $ | (2,077,347 | ) | $ | 5,388,325 |
|
|
|
|
|
|
| ||||||||
Purchases of long-term investments |
|
| (6,681,039 | ) |
| (171,348,766 | ) |
| (160,356,505 | ) |
| (238,953,267 | ) |
Proceeds from sales of long-term investments |
|
| 47,112,967 |
|
| 169,825,306 |
|
| 167,856,042 |
|
| 227,684,812 |
|
Increase in short-term investments |
|
| (29,408,355 | ) |
| 22,133,201 |
|
| (5,736,326 | ) |
| (7,463,113 | ) |
Amortization of premium and discounts on investments |
|
| (3,693,390 | ) |
| (1,262,555 | ) |
| (4,592,727 | ) |
| 13,607,455 |
|
Net realized loss (gain) |
|
| (390,242 | ) |
| 15,542 |
|
| (4,235,995 | ) |
| 246,079 |
|
Decrease in unrealized appreciation/depreciation |
|
| 2,504,956 |
|
| 1,605,016 |
|
| 13,037,985 |
|
| 14,292,895 |
|
Increase in interest rate floor |
|
| — |
|
| — |
|
| — |
|
| (529,313 | ) |
Decrease (Increase) in receivable for investments sold |
|
| 10,000,000 |
|
| (13,624,538 | ) |
| (3,406,714 | ) |
| — |
|
Increase in receivable for open forward foreign currency contracts |
|
| — |
|
| (16,410,298 | ) |
| (1,727,167 | ) |
| — |
|
Decrease (Increase) in interest receivable |
|
| 113,016 |
|
| (1,953,679 | ) |
| (119,777 | ) |
| (276,678 | ) |
Decrease (Increase) in other assets |
|
| (6,877 | ) |
| (22,649 | ) |
| 296,539 |
|
| (43,011 | ) |
Increase (Decrease) in payable for investments purchased |
|
| — |
|
| (33,048,663 | ) |
| 5,128,118 |
|
| 2,996,400 |
|
Increase in payable for open forward foreign currency contracts |
|
| — |
|
| 16,060,292 |
|
| 1,613,461 |
|
| — |
|
Increase in payable for closed forward foreign currency contracts, net |
|
| — |
|
| 400,000 |
|
| — |
|
| — |
|
Increase (Decrease) in interest payable |
|
| (6,215 | ) |
| 30,168 |
|
| (5,075 | ) |
| 173,246 |
|
Increase (Decrease) in investment advisory fee payable |
|
| (2,833 | ) |
| 1,542 |
|
| 127,796 |
|
| (16,868 | ) |
Increase (Decrease) in administration fee payable |
|
| (454 | ) |
| — |
|
| — |
|
| — |
|
Increase (Decrease) in deferred Directors’/Trustees’ fees |
|
| 2,649 |
|
| 4,324 |
|
| (234,692 | ) |
| 7,099 |
|
Decrease in accrued expenses |
|
| (88,555 | ) |
| (66,207 | ) |
| (122,484 | ) |
| (22,769 | ) |
Increase in payable to affiliates |
|
| 4,163 |
|
| 17,309 |
|
| — |
|
| — |
|
|
|
|
|
|
| ||||||||
Total adjustments |
|
| 19,459,791 |
|
| (27,644,655 | ) |
| 7,522,479 |
|
| 11,702,967 |
|
|
|
|
|
|
| ||||||||
Net cash provided by (used for) operating activities |
| $ | 20,378,016 |
| $ | (11,305,535 | ) | $ | 5,445,132 |
| $ | 17,091,292 |
|
|
|
|
|
|
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (Decrease) in Cash and Foreign Currency |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net cash provided by (used for) operating activities |
| $ | 20,378,016 |
| $ | (11,305,535 | ) | $ | 5,445,132 |
| $ | 17,091,292 |
|
|
|
|
|
|
| ||||||||
Cash provided by (used for) financing activities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (Decrease) in reverse repurchase agreements |
|
| (8,041,472 | ) |
| 23,723,000 |
|
| — |
|
| 1,437,000 |
|
Increase in preferred shares at redemption value including dividends payable |
|
| — |
|
| 32,028 |
|
| — |
|
| 22,327 |
|
Cash dividends paid |
|
| (2,456,919 | ) |
| (14,318,463 | ) |
| (6,246,769 | ) |
| (18,347,587 | ) |
|
|
|
|
|
| ||||||||
Net cash provided by (used for) financing activities |
|
| (10,498,391 | ) |
| 9,436,565 |
|
| (6,246,769 | ) |
| (16,888,260 | ) |
|
|
|
|
|
| ||||||||
Net increase (decrease) in cash |
|
| 9,879,625 |
|
| (1,868,970 | ) |
| (801,637 | ) |
| 203,032 |
|
Cash and foreign currency at beginning of period |
|
| (9,747,717 | ) |
| 2,007,153 |
|
| 823,106 |
|
| 2,695,625 |
|
|
|
|
|
|
| ||||||||
Cash and foreign currency at end of period |
| $ | 131,908 |
| $ | 138,183 |
| $ | 21,469 |
| $ | 2,898,657 |
|
|
|
|
|
|
|
|
|
1 | Consolidated Statement of Cash Flows. |
See Notes to Financial Statements.
31
|
For the six months ended June 30, 2005 (unaudited) and for the period ended December 31, 2004 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Advantage |
| Global Floating Rate |
| ||||||||
|
| Term Trust1 |
| Income Trust |
| ||||||||
|
| (BAT) |
| (BGT) |
| ||||||||
|
|
|
| ||||||||||
|
| 2005 |
| 2004 |
| 2005 |
| 20042 |
| ||||
|
|
|
|
|
| ||||||||
Increase (Decrease) in Net Assets Applicable to Common Shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
| $ | 3,032,939 |
| $ | 6,403,416 |
| $ | 17,959,678 |
| $ | 7,644,992 |
|
Net realized gain (loss) |
|
| 390,242 |
|
| 2,582,613 |
|
| (15,542 | ) |
| 104,561 |
|
Net change in unrealized appreciation/depreciation |
|
| (2,504,956 | ) |
| (8,219,268 | ) |
| (1,605,016 | ) |
| 8,358,056 |
|
Dividends and distributions to preferred shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
| — |
|
| — |
|
| (3,364,567 | ) |
| (945,917 | ) |
Net realized gains |
|
| — |
|
| — |
|
| — |
|
| — |
|
|
|
|
|
|
| ||||||||
Net increase (decrease) in net assets applicable to common shareholders resulting from operations |
|
| 918,225 |
|
| 766,761 |
|
| 12,974,553 |
|
| 15,161,692 |
|
|
|
|
|
|
| ||||||||
Dividends and Distributions to Common Shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
| (2,456,919 | ) |
| (554,749 | ) |
| (10,953,896 | ) |
| (8,763,117 | ) |
Net realized gains |
|
| — |
|
| — |
|
| — |
|
| — |
|
Tax return of capital distributions |
|
| — |
|
| (8,917,875 | ) |
| — |
|
| — |
|
|
|
|
|
|
| ||||||||
Total dividends and distributions |
|
| (2,456,919 | ) |
| (9,472,624 | ) |
| (10,953,896 | ) |
| (8,763,117 | ) |
|
|
|
|
|
| ||||||||
Capital Share Transactions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net proceeds from the issuance of common shares |
|
| — |
|
| — |
|
| — |
|
| 438,510,001 |
|
Net proceeds from the underwriters’ over-allotment option exercised |
|
| — |
|
| — |
|
| — |
|
| 9,053,500 |
|
Offering costs relating to the issuance of preferred shares |
|
| — |
|
| — |
|
| — |
|
| (2,834,760 | ) |
Reinvestment of common dividends |
|
| — |
|
| — |
|
| — |
|
| — |
|
|
|
|
|
|
| ||||||||
Net proceeds from capital share transactions |
|
| — |
|
| — |
|
| — |
|
| 444,728,741 |
|
|
|
|
|
|
| ||||||||
Total increase (decrease) |
|
| (1,538,694 | ) |
| (8,705,863 | ) |
| 2,020,657 |
|
| 451,127,316 |
|
|
|
|
|
|
| ||||||||
Net Assets Applicable to Common Shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning of period |
|
| 99,732,727 |
|
| 108,438,590 |
|
| 451,127,316 |
|
| — |
|
|
|
|
|
|
| ||||||||
End of period |
| $ | 98,194,033 |
| $ | 99,732,727 |
| $ | 453,147,973 |
| $ | 451,127,316 |
|
|
|
|
|
|
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
End of period undistributed (distributions in excess of) net investment income |
| $ | 10,616,024 |
| $ | 10,040,004 |
| $ | 1,741,018 |
| $ | (1,900,197 | ) |
|
|
1 | Consolidated Statement of Changes in Net Assets. |
2 | Commencement of investment operations for Global Floating Rate Income was August 30, 2004. This information includes the initial investment by BlackRock Funding, Inc. The other Trusts’ statements are for a full year. |
See Notes to Financial Statements
32
|
|
|
|
|
|
|
|
|
|
|
|
High Income |
| Preferred |
| ||||||||
Shares |
| Opportunity Trust |
| ||||||||
(HIS) |
| (BPP) |
| ||||||||
|
| ||||||||||
2005 |
| 2004 |
| 2005 |
| 2004 |
| ||||
|
|
|
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
$ | 6,724,643 |
| $ | 14,823,261 |
| $ | 19,927,299 |
| $ | 40,552,790 |
|
| 4,235,995 |
|
| (1,468,607 | ) |
| (246,079 | ) |
| 12,492,981 |
|
| (13,037,985 | ) |
| 2,948,471 |
|
| (14,292,895 | ) |
| (6,235,228 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| — |
|
| — |
|
| (3,092,742 | ) |
| (2,900,841 | ) |
| — |
|
| — |
|
| — |
|
| (402,710 | ) |
|
|
|
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| (2,077,347 | ) |
| 16,303,125 |
|
| 2,295,583 |
|
| 43,506,992 |
|
|
|
|
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (7,497,359 | ) |
| (16,001,963 | ) |
| (15,254,845 | ) |
| (36,611,627 | ) |
| — |
|
| — |
|
| — |
|
| (1,328,999 | ) |
| — |
|
| — |
|
| — |
|
| — |
|
|
|
|
| ||||||||
| (7,497,359 | ) |
| (16,001,963 | ) |
| (15,254,845 | ) |
| (37,940,626 | ) |
|
|
|
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| — |
|
| — |
|
| — |
|
| — |
|
|
|
|
|
|
|
|
|
|
|
|
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| 515,237 |
|
| 698,683 |
|
| — |
|
| — |
|
|
|
|
| ||||||||
| 515,237 |
|
| 698,683 |
|
| — |
|
| — |
|
|
|
|
| ||||||||
| (9,059,469 | ) |
| 999,845 |
|
| (12,959,262 | ) |
| 5,566,366 |
|
|
|
|
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 155,298,326 |
|
| 154,298,481 |
|
| 473,808,969 |
|
| 468,242,603 |
|
|
|
|
| ||||||||
$ | 146,238,857 |
| $ | 155,298,326 |
| $ | 460,849,707 |
| $ | 473,808,969 |
|
|
|
|
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
$ | (598,326 | ) | $ | 186,113 |
| $ | 1,545,342 |
| $ | (34,370 | ) |
33
|
BlackRock Advantage Term Trust (BAT) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
| Year Ended December 31, |
| |||||||||||||||
|
|
|
| ||||||||||||||||
|
|
| 2004 |
| 2003 |
| 2002 |
| 2001 |
| 2000 |
| |||||||
|
|
|
|
|
|
|
| ||||||||||||
PER SHARE OPERATING PERFORMANCE: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
| $ | 10.49 |
| $ | 11.40 |
| $ | 12.01 |
| $ | 11.64 |
| $ | 10.83 |
| $ | 10.04 |
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
| 0.32 |
|
| 0.67 |
|
| 0.83 |
|
| 1.19 |
|
| 1.00 |
|
| 0.59 |
|
Net realized and unrealized gain (loss) |
|
| (0.23 | ) |
| (0.58 | ) |
| (0.74 | ) |
| (0.18 | ) |
| 0.41 |
|
| 0.80 |
|
|
|
|
|
|
|
|
| ||||||||||||
Net increase from investment operations |
|
| 0.09 |
|
| 0.09 |
|
| 0.09 |
|
| 1.01 |
|
| 1.41 |
|
| 1.39 |
|
|
|
|
|
|
|
|
| ||||||||||||
Dividends and distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
| (0.26 | ) |
| (0.06 | ) |
| (0.70 | ) |
| (0.64 | ) |
| (0.60 | ) |
| (0.60 | ) |
Tax return of capital |
|
| — |
|
| (0.94 | ) |
| — |
|
| — |
|
| — |
|
| — |
|
|
|
|
|
|
|
|
| ||||||||||||
Total dividends and distributions |
|
| (0.26 | ) |
| (1.00 | ) |
| (0.70 | ) |
| (0.64 | ) |
| (0.60 | ) |
| (0.60 | ) |
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, end of period |
| $ | 10.32 |
| $ | 10.49 |
| $ | 11.40 |
| $ | 12.01 |
| $ | 11.64 |
| $ | 10.83 |
|
|
|
|
|
|
|
|
| ||||||||||||
Market price, end of period |
| $ | 10.26 |
| $ | 10.47 |
| $ | 11.30 |
| $ | 11.85 |
| $ | 11.15 |
| $ | 9.88 |
|
|
|
|
|
|
|
|
| ||||||||||||
TOTAL INVESTMENT RETURN1 |
|
| 0.47 | % |
| 1.45 | % |
| 1.25 | % |
| 12.26 | % |
| 19.44 | % |
| 16.28 | % |
|
|
|
|
|
|
|
| ||||||||||||
RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
| 1.72 | %2 |
| 1.29 | % |
| 1.42 | % |
| 1.82 | % |
| 2.87 | % |
| 4.06 | % |
Net expenses |
|
| 1.72 | %2 |
| 1.29 | % |
| 1.42 | % |
| 1.82 | % |
| 2.87 | % |
| 4.06 | % |
Net expenses excluding interest expense and excise tax |
|
| 0.92 | %2 |
| 0.84 | % |
| 0.84 | % |
| 0.86 | % |
| 0.92 | % |
| 0.88 | % |
Net investment income |
|
| 6.18 | %2 |
| 6.04 | % |
| 7.04 | % |
| 9.98 | % |
| 8.78 | % |
| 5.72 | % |
SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average net assets (000) |
| $ | 98,980 |
| $ | 105,987 |
| $ | 111,990 |
| $ | 113,632 |
| $ | 108,142 |
| $ | 98,368 |
|
Portfolio turnover |
|
| 5 | % |
| 20 | % |
| 8 | % |
| 4 | % |
| 17 | % |
| 17 | % |
Net assets, end of period (000) |
| $ | 98,194 |
| $ | 99,733 |
| $ | 108,439 |
| $ | 114,256 |
| $ | 110,685 |
| $ | 103,010 |
|
Reverse repurchase agreements outstanding, end of period (000) |
| $ | 31,903 |
| $ | 39,945 |
| $ | 30,078 |
| $ | 27,874 |
| $ | 34,500 |
| $ | 48,262 |
|
Asset coverage, end of period3 |
| $ | 4,078 |
| $ | 3,497 |
| $ | 4,605 |
| $ | 5,099 |
| $ | 4,208 |
| $ | 3,134 |
|
Reverse repurchase agreements average daily balance (000) |
| $ | 15,002 |
| $ | 28,840 |
| $ | 26,298 |
| $ | 33,157 |
| $ | 41,208 |
| $ | 45,368 |
|
Reverse repurchase agreements weighted average interest rate |
|
| 2.86 | % |
| 1.48 | % |
| 1.20 | % |
| 1.81 | % |
| 4.24 | % |
| 6.39 | % |
|
|
1 | Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results. |
2 | Annualized. |
3 | Per $1,000 of reverse repurchase agreements outstanding. |
The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.
See Notes to Financial Statements
34
|
FINANCIAL HIGHLIGHTS |
BlackRock Global Floating Rate Income Trust (BGT) |
|
|
|
|
|
|
|
|
|
|
| Six Months |
| For the period |
| ||
|
|
|
| ||||
PER SHARE OPERATING PERFORMANCE: |
|
|
|
|
|
|
|
Net asset value, beginning of period |
| $ | 19.21 |
| $ | 19.10 | 2 |
|
|
|
| ||||
Investment operations: |
|
|
|
|
|
|
|
Net investment income |
|
| 0.76 |
|
| 0.33 |
|
Net realized and unrealized gain (loss) |
|
| (0.06 | ) |
| 0.35 |
|
Dividends to preferred shareholders from net investment income |
|
| (0.14 | ) |
| (0.04 | ) |
|
|
|
| ||||
Net increase from investment operations |
|
| 0.56 |
|
| 0.64 |
|
|
|
|
| ||||
Dividends to common shareholders from net investment income |
|
| (0.47 | ) |
| (0.37 | ) |
|
|
|
| ||||
Capital charges with respect to issuance of: |
|
|
|
|
|
|
|
Common shares |
|
| — |
|
| (0.04 | ) |
Preferred shares |
|
| — |
|
| (0.12 | ) |
|
|
|
| ||||
Total capital charges |
|
| — |
|
| (0.16 | ) |
|
|
|
| ||||
Net asset value, end of period |
| $ | 19.30 |
| $ | 19.21 |
|
|
|
|
| ||||
Market price, end of period |
| $ | 17.70 |
| $ | 18.63 |
|
|
|
|
| ||||
TOTAL INVESTMENT RETURN3 |
|
| (3.05 | )% |
| (5.00 | )% |
|
|
|
| ||||
RATIOS TO AVERAGE NET ASSETS OF COMMON SHAREHOLDERS:4,5 |
|
|
|
|
|
|
|
Total expenses |
|
| 1.58 | % |
| 1.26 | % |
Net expenses |
|
| 1.26 | % |
| 0.97 | % |
Net expenses excluding interest expense |
|
| 1.14 | % |
| 0.97 | % |
Net investment income before preferred share dividends |
|
| 8.03 | % |
| 5.04 | % |
Preferred share dividends |
|
| 1.50 | % |
| 0.62 | % |
Net investment income available to common shareholders |
|
| 6.53 | % |
| 4.42 | % |
SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
Average net assets (000) |
| $ | 451,228 |
| $ | 446,660 |
|
Portfolio turnover |
|
| 23 | % |
| 11 | % |
Net assets applicable to common shareholders, end of period (000) |
| $ | 453,148 |
| $ | 451,126 |
|
Preferred shares outstanding (000) |
| $ | 243,450 |
| $ | 243,450 |
|
Reverse repurchase agreements outstanding, end of period (000) |
| $ | 23,723 |
| $ | — |
|
Reverse repurchase agreements average daily balance (000) |
| $ | 17,408 |
| $ | 114 |
|
Reverse repurchase agreements weighted average interest rate |
|
| 3.17 | % |
| 2.24 | % |
Asset coverage, end of period |
| $ | 73,997 |
| $ | 71,330 |
|
|
|
1 | Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc. |
2 | Net asset value, beginning of period, reflects a deduction of $0.90 per share sales charge from the initial offering price of $20.00 per share. |
3 | Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results. |
4 | Annualized. |
5 | Ratios are calculated on the basis of income and expenses applicable to both the common and preferred shares relative to the average net assets of the common shareholders. |
The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.
See Notes to Financial Statements
35
|
|
FINANCIAL HIGHLIGHTS |
BlackRock High Income Shares (HIS) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months |
| Year Ended December 31, |
| ||||||||||||||
|
|
|
| ||||||||||||||||
|
|
| 2004 |
| 2003 |
| 2002 |
| 20014 |
| 2000 |
| |||||||
|
|
|
|
|
|
|
| ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PER SHARE OPERATING PERFORMANCE: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
| $ | 2.87 |
| $ | 2.86 |
| $ | 2.42 |
| $ | 3.05 |
| $ | 3.88 |
| $ | 5.92 |
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
| 0.13 |
|
| 0.28 | 1 |
| 0.32 | 1 |
| 0.36 | 1 |
| 0.55 | 1 |
| 0.68 | 1 |
Net realized and unrealized gain (loss) |
|
| (0.17 | ) |
| 0.03 |
|
| 0.40 |
|
| (0.62 | ) |
| (0.81 | ) |
| (1.99 | ) |
|
|
|
|
|
|
|
| ||||||||||||
Net increase (decrease) from investment operations |
|
| (0.04 | ) |
| 0.31 |
|
| 0.72 |
|
| (0.26 | ) |
| (0.26 | ) |
| (1.31 | ) |
|
|
|
|
|
|
|
| ||||||||||||
Dividends and distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
| (0.14 | ) |
| (0.30 | ) |
| (0.28 | ) |
| (0.29 | ) |
| (0.57 | ) |
| (0.73 | ) |
Tax return of capital |
|
| — |
|
| — |
|
| — |
|
| (0.08 | ) |
| — |
|
| — |
|
|
|
|
|
|
|
|
| ||||||||||||
Total dividends and distributions |
|
| (0.14 | ) |
| (0.30 | ) |
| (0.28 | ) |
| (0.37 | ) |
| (0.57 | ) |
| (0.73 | ) |
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, end of period |
| $ | 2.69 |
| $ | 2.87 |
| $ | 2.86 |
| $ | 2.42 |
| $ | 3.05 |
| $ | 3.88 |
|
|
|
|
|
|
|
|
| ||||||||||||
Market value, end of period |
| $ | 2.79 |
| $ | 2.90 |
| $ | 2.87 |
| $ | 2.32 |
| $ | 3.36 |
| $ | 4.19 |
|
|
|
|
|
|
|
|
| ||||||||||||
TOTAL INVESTMENT RETURN2 |
|
| 1.18 | % |
| 12.24 | % |
| 37.23 | % |
| (21.23 | )% |
| (6.85 | )% |
| (10.05 | )% |
|
|
|
|
|
|
|
| ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATIOS TO AVERAGE NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
| 2.73 | %5 |
| 2.23 | % |
| 2.21 | % |
| 2.53 | % |
| 3.43 | % |
| 4.16 | % |
Net expenses |
|
| 2.72 | %5 |
| 2.23 | % |
| 2.21 | % |
| 2.53 | % |
| 3.43 | % |
| 4.16 | % |
Net expense, excluding interest expense |
|
| 1.36 | %5 |
| 1.39 | % |
| 1.46 | % |
| 1.49 | % |
| 1.26 | % |
| 1.09 | % |
Net investment income |
|
| 9.07 | %5 |
| 9.70 | % |
| 11.99 | % |
| 13.29 | % |
| 15.56 | % |
| 13.13 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average net assets (000) |
| $ | 149,512 |
| $ | 152,815 |
| $ | 143,397 |
| $ | 144,665 |
| $ | 174,851 |
| $ | 267,845 |
|
Portfolio turnover |
|
| 76 | % |
| 56 | % |
| 93 | % |
| 134 | % |
| 82 | % |
| 38 | % |
Net assets, end of period (000) |
| $ | 146,239 |
| $ | 155,298 |
| $ | 154,298 |
| $ | 129,538 |
| $ | 161,693 |
| $ | 202,401 |
|
Loan outstanding, end of period (000) |
| $ | 66,000 |
| $ | 69,000 |
| $ | 68,000 |
| $ | 51,000 |
| $ | 73,800 |
| $ | 86,963 |
|
Asset coverage, end of period3 |
| $ | 3,216 |
| $ | 3,251 |
| $ | 3,269 |
| $ | 3,540 |
| $ | 3,191 |
| $ | 3,326 |
|
Loan average daily balance (000) |
| $ | 66,000 |
| $ | 64,081 |
| $ | 60,604 |
| $ | 68,577 |
| $ | 74,023 |
| $ | 107,036 |
|
Loan weighted average interest rate |
|
| 3.01 | % |
| 2.01 | % |
| 1.72 | % |
| 2.20 | % |
| 5.50 | % |
| 7.68 | % |
|
|
1 | Net investment income per share has been recalculated in accordance with SEC requirements, with the exception that end-of-the-year accumulated undistributed/(overdistributed) net investment income has not been adjusted to reflect current-year permanent differences between financial and tax accounting. |
2 | Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at rates obtained under the Trust dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Past performance is not a guarantee of future results. |
3 | Per $1,000 of loan outstanding. |
4 | Effective January 1, 2001, the Trust was required to start amortizing premium and discount on all debt securities. The effect of this change on net investment income per share was an increase of $0.03 per share. The effect to the ratio of net investment income to average net assets was an increase of 0.77%. Per share ratios and supplemental data for periods prior to January 1, 2001, have not been restated to reflect this change in accounting principles. |
5 | Annualized. |
|
|
|
|
| The performance set forth in this table is the financial data of BlackRock High Income Shares (formerly CIGNA High Income Shares). BlackRock began managing CIGNA High Income Shares on March 2, 2005. |
See Notes to Financial Statements.
36
|
|
FINANCIAL HIGHLIGHTS |
|
BlackRock Preferred Opportunity Trust (BPP) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months |
| For the Year |
| For the Period |
| |||
|
|
|
|
| ||||||
PER SHARE OPERATING PERFORMANCE: |
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
| $ | 25.88 |
| $ | 25.58 |
| $ | 23.88 | 2 |
|
|
|
|
| ||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
| 1.09 |
|
| 2.22 |
|
| 1.72 |
|
Net realized and unrealized gain (loss) |
|
| (0.79 | ) |
| 0.33 |
|
| 1.93 |
|
Dividends and distributions to preferred shareholders from: |
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
| (0.17 | ) |
| (0.l6 | ) |
| (0.10 | ) |
Net realized gains |
|
| — |
|
| (0.02 | ) |
| — |
|
|
|
|
|
| ||||||
Net increase from investment operations |
|
| 0.13 |
|
| 2.37 |
|
| 3.55 |
|
|
|
|
|
| ||||||
Dividends and distributions to common shareholders from: |
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
| (0.83 | ) |
| (2.00 | ) |
| (1.66 | ) |
Net realized gains |
|
| — |
|
| (0.07 | ) |
| — |
|
|
|
|
|
| ||||||
Total dividends and distributions |
|
| (0.83 | ) |
| (2.07 | ) |
| (1.66 | ) |
|
|
|
|
| ||||||
Capital charges with respect to issuance of: |
|
|
|
|
|
|
|
|
|
|
Common shares |
|
| — |
|
| — |
|
| (0.05 | ) |
Preferred shares |
|
| — |
|
| — |
|
| (0.14 | ) |
|
|
|
|
| ||||||
Total capital charges |
|
| — |
|
| — |
|
| (0.19 | ) |
|
|
|
|
| ||||||
Net asset value, end of period |
| $ | 25.18 |
| $ | 25.88 |
| $ | 25.58 |
|
|
|
|
|
| ||||||
Market price, end of period |
| $ | 24.80 |
| $ | 25.39 |
| $ | 24.83 |
|
|
|
|
|
| ||||||
TOTAL INVESTMENT RETURN3 |
|
| 2.60 | % |
| 11.01 | % |
| 6.28 | % |
|
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
RATIOS TO AVERAGE NET ASSETS OF COMMON SHAREHOLDERS:4 |
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
| 1.22 | %5 |
| 1.44 | % |
| 1.52 | %5 |
Net expenses |
|
| 1.22 | %5 |
| 1.44 | % |
| 1.52 | %5 |
Net expenses excluding interest expense |
|
| 1.19 | %5 |
| 1.19 | % |
| 1.16 | %5 |
Net investment income before preferred share dividends |
|
| 8.57 | %5 |
| 8.66 | % |
| 8.35 | %5 |
Preferred share dividends |
|
| 1.33 | %5 |
| 0.62 | % |
| 0.48 | %5 |
Net investment income available to common shareholders |
|
| 7.24 | %5 |
| 8.04 | % |
| 7.87 | %5 |
SUPPLEMENTAL DATA: |
|
|
|
|
|
|
|
|
|
|
Average net assets of common shareholders (000) |
| $ | 468,851 |
| $ | 468,110 |
| $ | 449,345 |
|
Portfolio turnover |
|
| 33 | % |
| 88 | % |
| 98 | % |
Net assets applicable to common shareholders, end of period (000) |
| $ | 460,850 |
| $ | 473,809 |
| $ | 468,243 |
|
Preferred shares value outstanding, end of period (000) |
| $ | 220,800 |
| $ | 220,800 |
| $ | 220,841 |
|
Reverse repurchase agreements outstanding, end of period (000) |
| $ | 1,437 |
| $ | — |
| $ | 3,486 |
|
Reverse repurchase agreements average daily balance (000) |
| $ | 3,726 |
| $ | 782 |
| $ | 19,822 |
|
Reverse repurchase agreements weighted average interest rate |
|
| 3.10 | % |
| 1.50 | % |
| 1.44 | % |
Asset coverage, end of period |
| $ | 77,186 |
| $ | 78,650 |
| $ | 78,021 |
|
|
|
1 | Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc. |
2 | Net asset value, beginning of period, reflects a deduction of $1.12 per share sales charge from the initial offering price of $25.00 per share. |
3 | Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results. |
4 | Ratios are calculated on the basis of income and expenses applicable to both the common and preferred shares relative to the average net assets of the common shareholders. |
5 | Annualized. |
| The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares. |
See Notes to Financial Statements.
37
|
Note 1. Organization & Accounting Policies
The BlackRock Advantage Term Trust Inc. (“Advantage”), a Maryland corporation, and BlackRock High Income shares (“High Income”), a Massachusetts Business Trust, are registered as diversified, closed-end management investment companies under the Investment Company Act of 1940 (the “1940 Act”), as amended. BlackRock Global Floating Rate Income Trust (“Global”) and BlackRock Preferred Opportunity Trust (“Preferred Opportunity”) are organized as Delaware statutory trusts and are registered as non-diversified and diversified, closed-end management investment companies, respectively, under the 1940 Act, as amended. Advantage, Global, High Income and Preferred Opportunity are individually referred to as a “Trust” and collectively as the “Trusts”.
Advantage transferred, on October 31, 1998, a substantial portion of its total assets to a 100% owned regulated investment company subsidiary called BAT Subsidiary, Inc. The financial statements and these notes to the financial statements for Advantage are consolidated and include the operations of Advantage and its wholly owned subsidiary after elimination of all intercompany transactions and balances.
The Board of Directors of Advantage adopted a Plan of Liquidation and Dissolution (the “Plan”) effective January 2, 2004. Pursuant to the terms of the Plan, the Board of Directors shall oversee the complete liquidation and winding up of Advantage in an orderly fashion on December 31, 2005.
The following is a summary of significant accounting policies followed by the Trusts.
Investment Valuation: The Trusts value most of their investments on the basis of current market quotations provided by dealers or pricing services selected under the supervision of each Trust’s Board (the “Board”) of Directors/Trustees (the “Trustees”). In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, market transactions in comparable investments, various relationships observed in the market between investments, and calculated yield measures based on valuation technology commonly employed in the market for such investments. Exchange-traded options are valued at their last sales price as of the close of options trading on applicable exchanges. In the absence of a last sale, options are valued at the average of the quoted bid and asked prices as of the close of business. A futures contract is valued at the last sale price as of the close of the commodities exchange on which it trades. Short-term securities may be valued at amortized cost. Investments in open-end investment companies are valued at net asset value. Investments or assets for which such current market quotations are not readily available are valued at fair value (“Fair Value Assets”) as determined in good faith under procedures established by, and under the general supervision and responsibility of, each Trust’s Board. The investment advisor and/or sub-advisor will submit its recommendations regarding the valuation and/or valuation methodologies for Fair Value Assets to a valuation committee. The valuation committee may accept, modify or reject any recommendations. The pricing of all Fair Value Assets shall be subsequently reported to and ratified by the Board.
When determining the price for a Fair Value Asset, the investment advisor and/or sub-advisor shall seek to determine the price that the Trust might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that BlackRock Advisors deems relevant.
Investment Transactions and Investment Income: Investment transactions are recorded on trade date. Realized and unrealized gains and losses are calculated on the identified cost basis. Each Trust records interest income on an accrual basis and amortizes premium and/or accretes discount on securities purchased using the interest method. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed. These dividends are recorded as soon as the Trust is informed of the ex-dividend date. Dividend income on foreign securities is recorded net of any withholding tax.
Repurchase Agreements: In connection with transactions in repurchase agreements, a Trust’s custodian takes possession of the underlying collateral securities, the value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Trust may be delayed or limited.
Bank Loans: In the process of buying, selling and holding bank loans, a Trust may receive and/or pay certain fees. These fees are in addition to interest payments received and may include facility fees, commitment fees, amendment fees, commissions and prepayment penalty fees. When a Trust buys a bank loan it may receive a facility fee and when it sells a bank loan it may pay a facility fee. On an ongoing basis, a Trust may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a bank loan. In certain circumstances, a Trust may receive a prepayment penalty fee upon the prepayment of a bank loan by a borrower. Other fees received by a Trust may include covenant waiver fees and covenant modification fees.
Option Writing/Purchasing: When a Trust writes or purchases an option, an amount equal to the premium received or paid by the Trust is recorded as an asset or a liability and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Trust on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or the proceeds from the sale in determining whether a Trust has realized a gain or a loss on investment transactions. A Trust, as writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option.
Options, when used by the Trusts, help in maintaining a targeted duration. Duration is a measure of the price sensitivity of a security or a portfolio to relative changes in interest rates. For instance, a duration of “one” means that a portfolio’s or a security’s price would be expected
38
to change by approximately one percent with a one percent change in interest rates, while a duration of five would imply that the price would move approximately five percent in relation to a one percent change in interest rates.
Option writing and purchasing may be used by the Trusts as an attempt to manage the duration of positions, or collections of positions, so that changes in interest rates do not adversely affect the targeted duration of the portfolio unexpectedly. A call option gives the purchaser of the option the right (but not obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying position at the exercise price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying position at the exercise price at any time or at a specified time during the option period. Put or call options can be purchased or sold to help manage the targeted duration of the portfolio.
The main risk that is associated with purchasing options is that the option expires without being exercised. In this case, the option expires worthless and the premium paid for the option is considered the loss. The risk associated with writing call options is that a Trust may forgo the opportunity for a profit if the market value of the underlying position increases and the option is exercised. The risk in writing put options is that a Trust may incur a loss if the market value of the underlying position decreases and the option is exercised. In addition, the Trust risks not being able to enter into a closing transaction for the written option as the result of an illiquid market.
Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Trust may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Trustees.
Credit Default Swaps: Credit default swaps are agreements in which one party pays fixed periodic payments to a counterparty in consideration for a guarantee from the counterparty to make a specific payment should a negative credit event take place. Risks arise from the possible inability of the counterparties to meet the terms of their contracts.
Total Return Swaps: Total return swaps are agreements in which one party commits to pay interest in exchange for a market linked return. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trust will receive a payment from or make a payment to the counterparty.
Interest Rate Swaps: Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. Interest rate swaps are efficient as asset/liability management tools. In more complex swaps, the notional principal amount may decline (or amortize) over time.
During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by “marking-to-market” to reflect the market value of the swap. When the swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any.
The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any counterparty.
Swap Options: Swap options are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the option. Premiums received or paid from writing or purchasing options are recorded as liabilities or assets and are subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by a Trust on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commission, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or the proceeds from the sale in determining whether a Trust has realized a gain or loss on investment transactions.
The main risk that is associated with purchasing swap options is that the swap option expires without being exercised. In this case, the option expires worthless and the premium paid for the swap option is considered the loss. The main risk that is associated with the writing of a swap option is the market risk of an unfavorable change in the value of the interest rate swap underlying the written swap option.
Swap options may be used by the Trusts to manage the duration of the Trusts’ portfolios in a manner similar to more generic options described above.
Interest Rate Caps: Interest rate caps are similar to interest rate swaps, except that one party agrees to pay a fee, while the other party pays the excess, if any, of a floating rate over a specified fixed or floating rate.
Interest rate caps are intended to both manage the duration of the Trusts’ portfolios and their exposure to changes in short-term interest rates. Owning interest rate caps reduces a portfolio’s duration, making it less sensitive to changes in interest rates from a market value perspective. The effect on income involves protection from rising short-term interest rates, which the Trusts experience primarily in the form of leverage.
The Trusts are exposed to credit loss in the event of non-performance by the other party to the interest rate cap. However, the Trusts do not anticipate non-performance by any counterparty.
39
Transaction fees paid or received by the Trusts are recognized as assets or liabilities and amortized or accreted into interest expense or income over the life of the interest rate cap. The asset or liability is subsequently adjusted to the current market value of the interest rate cap purchased or sold. Changes in the value of the interest rate cap are recognized as unrealized gains and losses.
Interest Rate Floors: Interest rate floors are similar to interest rate swaps, except that one party agrees to pay a fee, while the other party pays the deficiency, if any, of a floating rate under a specified fixed or floating rate.
Interest rate floors are used by the Trusts to both manage the duration of the portfolios and their exposure to changes in short-term interest rates. Selling interest rate floors reduces a portfolio’s duration, making it less sensitive to changes in interest rates from a market value perspective. The Trusts’ leverage provides extra income in a period of falling rates. Selling floors reduces some of that extra income by partially monetizing it as an up-front payment which the Trusts receive.
The Trusts are exposed to credit loss in the event of non-performance by the other party to the interest rate floor. However, the Trusts do not anticipate non-performance by any counterparty.
Transaction fees paid or received by the Trusts are recognized as assets or liabilities and amortized or accreted into interest expense or income over the life of the interest rate floor. The asset or liability is subsequently adjusted to the current market value of the interest rate floor purchased or sold. Changes in the value of the interest rate floor are recognized as unrealized gains and losses.
Financial Futures Contracts: A futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking-to-market” on a daily basis to reflect the market value of the contract at the end of each day’s trading. Variation margin payments are made or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a Trust records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract.
Financial futures contracts, when used by the Trusts, help in maintaining a targeted duration. Futures contracts can be sold to effectively shorten an otherwise longer duration portfolio. In the same sense, futures contracts can be purchased to lengthen a portfolio that is shorter than its duration target. Thus, by buying or selling futures contracts, the Trusts may attempt to manage the duration of positions so that changes in interest rates do not change the duration of the portfolio unexpectedly.
Forward Currency Contracts: The Trusts enter into forward currency contracts primarily to facilitate settlement of purchases and sales of foreign securities and to help manage the overall exposure to foreign currency. A forward contract is a commitment to purchase or sell a foreign currency at a future date (usually the security transaction settlement date) at a negotiated forward rate. In the event that a security fails to settle within the normal settlement period, the forward currency contract is renegotiated at a new rate. The gain or loss arising from the difference between the settlement value of the original and renegotiated forward contracts is isolated and is included in net realized gains (losses) from foreign currency transactions. Risks may arise as a result of the potential inability of the counterparties to meet the terms of their contract.
Forward currency contracts, when used by the Trusts, help to manage the overall exposure to the foreign currency backing some of the investments held by the Trusts. Forward currency contracts are not meant to be used to eliminate all of the exposure to the foreign currency, rather they allow the Trusts to limit their exposure to foreign currency within a narrow band to the objectives of the Trusts.
Foreign Currency Translation: Foreign currency amounts are translated into United States dollars on the following basis:
|
|
|
| (i) | market value of investment securities, other assets and liabilities—at the London 4:00 PM rates of exchange. |
|
|
|
| (ii) | Purchases and sales of investment securities, income and expenses—at the rates of exchange prevailing on the respective dates of such transactions. |
The Trusts isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held at period end. Similarly, the Trusts isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period.
Net realized and unrealized foreign exchange gains and losses including realized foreign exchange gains and losses from sales and maturities of foreign portfolio securities, maturities of foreign reverse repurchase agreements, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of interest and discount recorded on the Trusts’ books and the U.S. dollar equivalent amounts actually received or paid and changes in unrealized foreign exchange gains and losses in the value of portfolio securities and other assets and liabilities arising as a result of changes in the exchange rate.
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin, including unanticipated movements in the value of the foreign currency relative to the U.S. dollar.
Short Sales: The Trusts may make short sales of securities as a method of managing potential price declines in similar securities owned. When a Trust makes a short sale, it may borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the sale. The Trusts may have to pay a fee to borrow the particular securities and may be obligated to pay over any payments received on such borrowed securities. A gain, limited to the price at which a Trust sold the security short, or a loss, unlimited as to dollar amount, will be recognized upon the termination of a short sale if the market price is greater or less than the proceeds originally received.
Bonds Borrowed Agreements: In a bonds borrowed agreement, the Trust borrows securities from a third party, with the commitment that they will be returned to the lender on an agreed-upon date. Bonds borrowed agreements are primarily entered into to settle short positions. In a bonds borrowed agreement, the Trust’s prime broker or third party broker takes possession of the underlying collateral securities or cash to settle such
40
short positions. The value of the underlying collateral securities approximates the principal amount of the bonds borrowed transaction, including accrued interest. To the extent that bonds borrowed transactions exceed one business day, the value of the collateral with any counterparty is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the lender defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the lender of the security, realization of the collateral by the Trust may be delayed or limited.
Segregation: In cases in which the Investment Company Act of 1940, as amended, and the interpretive positions of the Securities and Exchange Commission (the “Commission”) require a Trust to segregate assets in connection with certain investments (e.g., when-issued securities, reverse repurchase agreements or futures contracts), each Trust will, consistent with certain interpretive letters issued by the Commission, designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated.
Federal Income Taxes: It is each Trust’s intention to continue to be treated as a regulated investment company under the Internal Revenue Code and to distribute sufficient amounts of their taxable income to shareholders. Therefore, no Federal income tax provisions are required. As part of a tax planning strategy, Advantage may retain a portion of their taxable income and pay excise tax on the undistributed amounts.
Dividends and Distributions: Each Trust declares and pays dividends and distributions to common shareholders monthly from net investment income, net realized short-term capital gains and other sources, if necessary. Net long-term capital gains, if any, in excess of loss car-ryforwards may be distributed in accordance with 1940 Act. Dividends and distributions are recorded on the ex-dividend date. Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America.
Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.
Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trust’s Board, non-interested Trustees are required to defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of other BlackRock closed-end funds selected by the Trustees. This has the same economic effect for the Trustees as if the Trustees had invested the deferred amounts in such Trusts.
The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of the Trust. Each Trust may, however, elect to invest in common shares of those Trusts selected by the Trustees in order to match its deferred compensation obligations.
Note 2. Agreements
Advantage, Global and Preferred Opportunity have an Investment Management Agreement with BlackRock Advisors, Inc. (the “Advisor”), a wholly owned subsidiary of BlackRock, Inc. BlackRock Financial Management, Inc., a wholly owned subsidiary of BlackRock, Inc., serves as sub-advisor to Global and Preferred Opportunity. BlackRock, Inc. is an indirect, majority owned subsidiary of The PNC Financial Services Group, Inc. The Investment Management Agreement for Global, High Income and Preferred Opportunity covers both investment advisory and administration services. Advantage has an Administration Agreement with the Advisor.
Effective March 2, 2005, High Income entered into an Investment Management Agreement with BlackRock Advisors, Inc. (the “Advisor”), and a sub-advisory agreement with BlackRock Financial Management, Inc. Prior to March 2, 2005, High Income had an Investment Management Agreement with CIGNA Investment Advisors, Inc. (“CIAI”) and a sub-advisory agreement with Shenkman Capital Management, Inc.
Each Trust’s, other than High Income, investment advisory fee paid to the Advisor is computed weekly and payable monthly based on an annual rate, 0.50% of Advantage’s, average weekly net assets and 0.75% of Global’s and 0.65% of Preferred Opportunity’s average weekly managed assets. High Income’s investment advisory fee paid to the current Advisor and CIAI is/was computed weekly and payable monthly based on an annual rate of 0.75% of the first $200 million of the Trust’s average weekly managed assets and 0.50% thereafter. The Advisor, in turn, pays BFM its sub-advisory fee. “Managed assets” means the total assets of a Trust (including any assets attributable to any borrowing that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage). The administration fee paid to the Advisor is computed weekly and payable monthly based on an annual rate of 0.08% for Advantage based on the Trust’s average weekly net assets.
Pursuant to the agreements, the Advisor provides continuous supervision of the investment portfolio and pays the compensation of officers of each Trust who are affiliated persons of the Advisor, as well as occupancy and certain clerical and accounting costs for each Trust. Each Trust bears all other costs and expenses, which include reimbursements to the Advisor for costs of employees that provide pricing, secondary market support and compliance services to each Trust. Prior to March 2, 2005, for administrative services, High Income reimbursed CIAI for a portion of the compensation and related expenses of the Treasurer and Secretary and certain persons who assist in carrying out the responsibilities of those offices. For the six months ended June 30, 2005, the Trusts reimbursed the Advisor the following amounts:
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|
Trust |
| Amount |
| |
|
| |||
Advantage |
| $ | 4,163 |
|
Global |
|
| 17,309 |
|
High Income |
|
| — |
|
Preferred Opportunity |
|
| 8,679 |
|
Pursuant to the terms of their custody agreements, each Trust received earnings credits from its custodian for positive cash balances maintained, which are used to offset custody fees.
41
Note 3. Portfolio Investments
Purchases and sales of investment securities, other than short-term investments, dollar rolls and U.S. government securities, for the six months ended June 30, 2005, aggregated as follows:
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Trust |
| Purchases |
| Sales |
| ||
|
|
| |||||
Advantage |
| $ | 6,681,039 |
| $ | 44,566,971 |
|
Global Floating Rate |
|
| 174,348,766 |
|
| 169,825,306 |
|
High Income |
|
| 160,356,505 |
|
| 167,856,042 |
|
Preferred Opportunity |
|
| 225,042,230 |
|
| 213,793,796 |
|
Purchases and sales of U.S. government securities for the six months ended June 30, 2005, aggregated as follows:
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|
|
|
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|
Trust |
| Purchases |
| Sales |
| ||
|
|
| |||||
Advantage |
| $ | — |
| $ | 2,545,996 |
|
Preferred Opportunity |
|
| 13,911,037 |
|
| 13,891,016 |
|
A Trust may from time to time purchase in the secondary market certain mortgage pass-through securities packaged or master serviced by affiliates or mortgage-related securities containing loans or mortgages originated by PNC Bank or its affiliates, including Midland Loan Services, Inc., all of which are affiliates of the Advisor. It is possible under certain circumstances, that Midland Loan Services, Inc., or its affiliates, could have interests that are in conflict with the holders of these mortgage-backed securities, and such holders could have rights against Midland Loan Services, Inc. or its affiliates.
For Federal income tax purposes, the following Trust had capital loss carryforwards at December 31, 2004:
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|
|
|
|
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|
Trust |
| Capital Loss |
| Expires |
|
| Trust |
| Capital Loss |
| Expires |
| ||||
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|
|
|
|
|
| ||||||||||
Advantage |
| $ | 98,294 |
| 2005 |
|
| High Income |
| $ | 28,686,393 |
| 2007 |
| ||
|
|
| 161,872 |
| 2008 |
|
|
|
|
| 35,363,213 |
| 2008 |
| ||
|
|
| 127,941 |
| 2009 |
|
|
|
|
| 55,878,284 |
| 2009 |
| ||
|
|
| 274,645 |
| 2010 |
|
|
|
|
| 102,576,339 |
| 2010 |
| ||
|
|
| 83,667 |
| 2011 |
|
|
|
|
| 28,467,396 |
| 2011 |
| ||
|
|
| 5,589,003 |
| 2012 |
|
|
|
|
| 2,339,279 |
| 2012 |
| ||
|
|
|
|
|
|
|
|
|
|
| ||||||
|
| $ | 6,335,422 |
|
|
|
|
|
|
| 253,310,904 |
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
Accordingly, no capital gain distributions are expected to be paid to shareholders of a Trust until that Trust has net realized capital gains in excess of its carryforward amounts.
Details of open forward currency contracts at June 30, 2005 were as follows:
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|
|
|
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|
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Foreign Currency |
| Settlement |
| Contract to |
| Value at |
| Value at |
| Unrealized |
| |||||
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| |||||||||||
Global: |
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|
|
|
|
|
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|
|
|
|
|
|
Bought: |
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Euro |
|
| 07/26/05 |
|
| 2,000,000 | € | $ | 2,594,866 |
| $ | 2,421,797 |
| $ | (173,069 | ) |
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|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Euro |
|
| 07/26/05 |
|
| 7,745,200 | € | $ | 10,169,633 |
| $ | 9,378,652 |
| $ | 790,981 |
|
|
|
| 07/26/05 |
|
| 1,800,000 | € | $ | 2,358,243 |
| $ | 2,179,618 |
|
| 178,625 |
|
|
|
| 07/26/05 |
|
| 2,000,000 | € | $ | 2,595,660 |
| $ | 2,421,797 |
|
| 173,863 |
|
Mexican Peso |
|
| 7/25/05 |
| $ | 19,600,000 |
| $ | 1,767,326 |
| $ | 1,811,184 |
|
| (43,858 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ | 1,099,611 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
High Income: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Euro |
|
| 07/26/05 |
|
| 1,238,000 | € | $ | 1,613,461 |
| $ | 1,499,093 |
| $ | 114,368 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Details of open interest rate swaps at June 30, 2005 were as follows:
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|
Trust |
| Notional |
| Fixed |
| Floating |
| Termination |
| Unrealized |
| |||||
|
|
|
|
|
| |||||||||||
Preferred Opportunity |
| $ | 80,000 |
|
| 4.495 | %(b) |
| 3-month LIBOR |
|
| 10/19/14 |
| $ | (1,002,984 | ) |
|
|
| 35,000 |
|
| 5.19 | (b) |
| 3-month LIBOR |
|
| 10/19/34 |
|
| (3,006,539 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (4,009,523 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Details of credit default swaps at June 30, 2005 were as follows: |
|
|
|
|
|
|
| |||||||||
Advantage |
| $ | 800 |
|
| 0.23 | %(a) |
| Contingent on |
|
| 11/1/05 |
| $ | 589 |
|
|
|
|
|
|
|
|
|
| Credit Event |
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Global |
| $ | 4,300 |
|
| 0.23 | (a) |
| Contingent on |
|
| 11/1/05 |
| $ | 163 |
|
|
|
|
|
|
|
|
|
| Credit Event |
|
|
|
|
|
42
Note 4. Borrowings
Reverse Repurchase Agreements: The Trusts may enter into reverse repurchase agreements with qualified third-party broker-dealers as determined by and under the direction of each Trust’s Board. Interest on the value of reverse repurchase agreements issued and outstanding is based upon competitive market rates at the time of issuance. At the time a Trust enters into a reverse repurchase agreement, it will establish and maintain a segregated account with the lender, containing liquid investment grade securities having a value not less than the repurchase price, including accrued interest of the reverse repurchase agreement. Details of open reverse repurchase agreements at June 30, 2005 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trust/Counter party |
|
|
| Rate |
| Trade |
| Maturity |
| Net Closing |
| Par |
| |||||
|
|
|
|
|
|
|
|
| ||||||||||
Advantage |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lehman Brothers, Inc. |
|
|
|
| 3.13 | % |
| 6/08/05 |
|
| 7/15/05 |
| $ | 22,911,517 |
| $ | 22,840,028 |
|
|
|
|
|
| 3.13 |
|
| 6/08/05 |
|
| 7/15/05 |
|
| 8,991,556 |
|
| 8,963,500 |
|
|
|
|
|
| 3.55 |
|
| 6/30/05 |
|
| 7/01/05 |
|
| 99,885 |
|
| 99,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 31,903,403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Global |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lehman Brothers, Inc. |
|
|
|
| 3.27 | % |
| 6/16/05 |
|
| 7/07/05 |
| $ | 10,898,764 |
| $ | 10,879,000 |
|
|
|
|
|
| 3.27 |
|
| 6/16/05 |
|
| 7/07/05 |
|
| 12,844,010 |
|
| 12,844,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 23,723,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Preferred Opportunity |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lehman Brothers, Inc. |
|
|
|
| 3.4 |
|
| 6/30/05 |
|
| 7/11/05 |
| $ | 1,438,493 |
| $ | 1,437,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Details of underlying collateral for open reverse repurchase agreements at June 30, 2005 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trust/Counter party |
| Description |
| Rate |
| Maturity |
| Original |
| Current |
| Market |
| |||||
|
|
|
|
|
|
| ||||||||||||
Advantage |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lehman Brothers, Inc. |
| Resolution Funding Corp. |
|
| 0.00 | % |
| 7/15/05 |
| $ | 22,926,000 |
| $ | 22,926,000 |
| $ | 22,835,213 |
|
|
| Financing Grp. (FICO) Strips |
|
| 0.00 |
|
| 12/06/05 |
|
| 9,100,000 |
|
| 9,100,000 |
|
| 8,963,591 |
|
|
| Tennessee Valley Authority |
|
| 0.00 |
|
| 11/01/05 |
|
| 100,000 |
|
| 100,000 |
|
| 98,986 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 31,897,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Global |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lehman Brothers, Inc. |
| Republic of Chile |
|
| 6.875 | % |
| 4/28/09 |
| $ | 2,400,000 |
| $ | 2,400,000 |
| $ | 2,622,960 |
|
|
| United Mexican States |
|
| 3.84 |
|
| 1/13/09 |
|
| 4,800,000 |
|
| 4,800,000 |
|
| 4,864,800 |
|
|
| Republic of South Africa |
|
| 7.375 |
|
| 4/25/12 |
|
| 2,400,000 |
|
| 2,400,000 |
|
| 2,749,440 |
|
|
| Malaxsio |
|
| 8.75 |
|
| 6/01/09 |
|
| 800,000 |
|
| 800,000 |
|
| 924,952 |
|
|
| Rouse Co. |
|
| 5.375 |
|
| 11/26/13 |
|
| 6,350,000 |
|
| 6,350,000 |
|
| 6,220,714 |
|
|
| Federative Republic of Brazil |
|
| 9.23 |
|
| 9/29/09 |
|
| 7,000,000 |
|
| 7,000,000 |
|
| 8,120,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 25,502,866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Preferred Opportunity |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lehman Brothers, Inc. |
| American General Institute |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital A |
|
| 7.57 | % |
| 12/01/45 |
| $ | 1,500,000 |
| $ | 1,500,000 |
| $ | 1,943,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loan Payable: High Income has an $80 million revolving credit Agreement (the “Agreement”), which expires on October 31, 2007. Prior to expiration of the Agreement, principal is repayable in whole or in part at the option of the Trust. Borrowings under this Agreement bear interest at a variable rate tied to the lender’s average daily cost of funds, or at fixed rates, as may be agreed to between the Trust and the lender. The Trust may borrow up to 331/3% of its total assets up to the committed amount or 100% of the borrowing base eligible assets, as determined under the terms of the Agreement. In accordance with the terms of the Agreement, the Trust has pledged its portfolio assets as collateral for the borrowing.
Dollar Rolls: The Trusts may enter into dollar rolls in which a Trust sells securities for delivery in the current month and simultaneously contracts to repurchase substantially similar (same type, coupon and maturity) securities on a specified future date. During the roll period the Trusts forgo principal and interest paid on the securities. The Trusts will be compensated by the interest earned on the cash proceeds of the initial sale and/or by the lower repurchase price at the future date. The Trusts did not enter into any dollar roll transactions during the period ended June 30, 2005.
43
Note 5. Distributions to Shareholders
The estimated tax character of distributions paid during the six months ended June 30, 2005, and the tax character of distributions paid during the year ended December 31, 2004, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| June 30, 2005 |
| ||||||||||
|
|
| |||||||||||
Distributions Paid From: |
| Ordinary |
| Long-term |
| Liquidating |
| Total |
| ||||
|
|
|
|
| |||||||||
Advantage* |
| $ | — |
| $ | — |
| $ | 2,456,919 |
| $ | 2,456,919 |
|
Global |
|
| 14,318,463 |
|
| — |
|
| — |
|
| 14,318,463 |
|
High Income |
|
| 7,497,359 |
|
| — |
|
| — |
|
| 7,497,359 |
|
Preferred Opportunity |
|
| 18,347,587 |
|
| — |
|
| — |
|
| 18,347,587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| December 31, 2004 |
| ||||||||||
|
|
| |||||||||||
Distributions Paid From: |
| Ordinary |
| Long-term |
| Liquidating |
| Total |
| ||||
|
|
|
|
| |||||||||
Advantage* |
| $ | 554,749 |
| $ | — |
| $ | 8,917,875 |
| $ | 9,472,624 |
|
Global |
|
| 9,709,034 |
|
| — |
|
| — |
|
| 9,709,034 |
|
High Income |
|
| 16,001,963 |
|
| — |
|
| — |
|
| 16,001,963 |
|
Preferred Opportunity |
|
| 37,476,397 |
|
| 3,767,780 |
|
| — |
|
| 41,244,177 |
|
As of June 30, 2005, the components of distributable earnings on a tax basis were as follows:
|
|
|
|
|
|
|
|
|
|
|
Trust |
| Undistributed |
| Undistributed |
| Unrealized Net |
| |||
|
|
|
| |||||||
Advantage* |
| $ | 3,416,669 |
| $ | — |
| $ | 9,211,413 |
|
Global |
|
| 2,723,323 |
|
| — |
|
| 5,710,909 |
|
High Income |
|
| 615,006 |
|
| — |
|
| — |
|
Preferred Opportunity |
|
| 499,409 |
|
| 9,313,602 |
|
| 17,497,913 |
|
|
|
* The Trust is currently under a plan of liquidation. Shareholders should consult their tax advisor as to the proper tax treatment of distribution from the Trust. |
Note 6. Capital
There are 200 million of $0.01 par value common shares authorized for Advantage. There are an unlimited number of $0.001 par value common shares authorized for Preferred Opportunity and Global. There are an unlimited number of no par value shares authorized for High Income. At June 30, 2005, the common shares outstanding and the shares owned by affiliates of the Advisor of each Trust were as follows:
|
|
|
|
|
|
|
|
|
|
Trust |
| Common Shares |
| Common Shares |
| ||||
|
|
| |||||||
Advantage |
|
| 9,510,667 |
|
|
| — |
|
|
Global |
|
| 23,481,021 |
|
|
| 6,021 |
|
|
High Income |
|
| 54,404,224 |
|
|
| — |
|
|
Preferred Opportunity |
|
| 18,305,777 |
|
|
| — |
|
|
�� Transactions in common shares of beneficial interest from August 30, 2004 (commencement of investment operations) through December 31, 2004 for Global were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares from |
|
|
| ||||||||
|
|
|
|
| |||||||||
Trust |
| Initial |
| Underwriters’ Exercising |
| Reinvestment |
| Net Increase in |
| ||||
|
|
|
|
| |||||||||
Global |
| 23,006,021 |
| 475,000 |
| — |
| 23,481,021 |
|
During the six months ended June 30, 2005, there were no additional shares issued under the terms of Advantage’s, Global’s and Preferred Opportunity’s Dividend Reinvestment Plans. During the six months ended June 30, 2005, High Income issued 212,961 common shares under the terms of its Dividend Reinvestment Plan.
Offering costs of $924,000 ($0.04 per common share) incurred in connection with Global’s offering of common shares have been charged to paid-in capital in excess of par of the common shares.
44
As of June 30, 2005, Global and Preferred Opportunity have the following series of preferred shares outstanding as listed in the table below. The preferred shares have a liquidation value of $25,000 per share plus any accumulated unpaid dividends.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trust |
| Series |
| Shares |
| Trust |
| Series |
| Shares |
| |||||||
|
|
|
|
|
| |||||||||||||
Global |
|
|
| T7 |
|
| 3,246 |
|
| Preferred Opportunity |
|
|
| T7 |
|
| 2,944 |
|
|
|
|
| W7 |
|
| 3,246 |
|
|
|
|
|
| W7 |
|
| 2,944 |
|
|
|
|
| R7 |
|
| 3,246 |
|
|
|
|
|
| R7 |
|
| 2,944 |
|
Underwriting discounts of $2,434,500 ($0.10 per common share) and offering costs of $400,260 ($0.02 per common share) incurred in connection with the preferred share offering of Global have been charged to paid-in capital in excess of par of the common shares.
Dividends on seven-day preferred shares are cumulative at a rate which is reset every seven days based on the results of an auction. The dividend range on the preferred shares for Global and Preferred Opportunity for the six months ended June 30, 2005 was 2.14% to 3.40%, and 2.21% to 3.46%, respectively.
Global and Preferred Opportunity may not declare dividends or make other distributions on common shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding preferred shares and any other borrowings would be less than 200%. The preferred shares are redeemable at the option of Global and Preferred Opportunity, in whole or in part, on any dividend payment date at $25,000 per share plus any accumulated or unpaid dividends whether or not declared. The preferred shares are also subject to mandatory redemption at $25,000 per share plus any accumulated or unpaid dividends, whether or not declared, if certain requirements relating to the composition of the assets and liabilities of Global and Preferred Opportunity, as set forth in Global’s and Preferred Opportunity’s Declaration of Trust, are not satisfied. The holders of preferred shares have voting rights equal to the holders of common shares (one vote per share) and will vote together with holders of common shares as a single class. However, holders of preferred shares, voting as a separate class, are also entitled to elect two Trustees for Global and Preferred Opportunity. In addition, the Investment Company Act of 1940, as amended, requires that along with approval by shareholders that might otherwise be required, the approval of the holders of a majority of any outstanding preferred shares, voting separately as a class would be required to (a) adopt any plan of reorganization that would adversely affect the preferred shares, (b) change a Trust’s sub-classification as a closed-end investment company or change its fundamental investment restrictions and (c) change the nature of its business so as to cease to be an investment company.
Note 7. Dividends
Subsequent to June 30, 2005, each Board declared dividends from undistributed earnings per common share payable July 31, 2005, to shareholders of record on July 15, 2005. The per share common dividends declared were as follows:
|
|
|
|
| ||
Trust |
| Common Dividend |
| |||
|
| |||||
Advantage |
|
| $ | 0.050000 |
|
|
Global Floating Rate |
|
|
| 0.093300 |
|
|
High Income |
|
|
| 0.023000 |
|
|
Preferred Opportunity |
|
|
| 0.166667 |
|
|
The dividends declared on preferred shares for the period July 1, 2005 to July 31, 2005 for Global and Preferred Opportunity were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trust |
| Series |
| Dividends |
| Trust |
| Series |
| Dividends |
| ||||||
|
|
|
|
|
| ||||||||||||
Global |
|
|
| T7 |
|
| 195,896 |
| Preferred Opportunity |
|
|
| T7 |
|
| 179,348 |
|
|
|
|
| W7 |
|
| 202,453 |
|
|
|
|
| W7 |
|
| 181,527 |
|
|
|
|
| R7 |
|
| 245,365 |
|
|
|
|
| R7 |
|
| 228,366 |
|
45
|
Pursuant to each Trust’s respective Dividend Reinvestment Plan (the “Plan”), shareholders of Advantage, Global and High Income may elect, while shareholders of Preferred Opportunity are automatically enrolled, to have all distributions of dividends and capital gains reinvested by Equiserve Trust Company, N.A. (the “Plan Agent”) in the respective Trust’s shares pursuant to the Plan. Shareholders who do not participate in the Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other nominee name, then to the nominee) by the Plan Agent, which serves as agent for the shareholders in administering the Plan.
After Advantage, Global and/or High Income declares a dividend or determines to make a capital gain distribution, the Plan Agent will acquire shares for the participant’s account, by the purchase of outstanding shares on the open market, on the Trust’s primary exchange or elsewhere (“open market purchases”). These Trusts will not issue any new shares under the Plan.
After Preferred Opportunity declares a dividend or determines to make a capital gain distribution, the Plan Agent will acquire shares for the participant’s account, depending upon the circumstances described below, either (i) through receipt of unissued but authorized shares from the Trust (“newly issued shares”) or (ii) by open market purchases. If, on the dividend payment date, the NAV is equal to or less than the market price per share plus estimated brokerage commissions (such condition being referred to herein as “market premium”), the Plan Agent will invest the dividend amount in newly issued shares on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the payment date, the dollar amount of the dividend will be divided by 95% of the market price on the payment date. If, on the dividend payment date, the NAV is greater than the market value per share plus estimated brokerage commissions (such condition being referred to herein as “market discount”), the Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases.
Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Plan Administrator prior to the dividend record date; otherwise such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.
The Plan Agent’s fees for the handling of the reinvestment of dividends and distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Plan Agent’s open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any Federal income tax that may be payable on such dividends or distributions.
Each Trust reserves the right to amend or terminate the Plan. There is no direct service charge to participants in the Plan; however, each Trust reserves the right to amend the Plan to include a service charge payable by the participants. Participants who request a sale of shares through the Plan Agent are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission. All correspondence concerning the Plan should be directed to the Plan Agent at 250 Royall Street, Canton, MA 02021 or (800) 699-1BFM.
|
At a meeting held on May 26, 2005, the board of trustees (the “Board” or the “Trustees”) of each trust (each a “Trust”), including the independent trustees (the “Independent Trustees”), unanimously approved the continuance of an Investment Management Agreement between each Trust and BlackRock Advisors, Inc. (the “Advisor”). For each Investment Management Agreement, the Boards also approved a related Sub-Investment Advisory Agreement, when applicable, among each respective Trust, the Advisor and BlackRock Financial Management, Inc. (the “Sub-Advisor”). The Investment Management Agreements and the Sub-Investment Advisory Agreements sometimes are referred to herein collectively as the “Agreements”. The Advisor and the Sub-Advisor sometimes are referred to herein collectively as “BlackRock”.
Information Received by the Boards
To assist each Board in its evaluation of the Agreements, the Independent Trustees received information from BlackRock on or about April 27, 2005 which detailed, among other things: the organization, business lines and capabilities of BlackRock, including the responsibilities of various departments and key personnel and biographical information relating to key personnel; financial statements for BlackRock, Inc., the PNC Financial Services Group, Inc. and each Trust; the advisory and/or administrative fees paid by each Trust to BlackRock, including comparisons, compiled by an independent third party, with the management fees of funds with similar investment objectives (“Peers”); the profitability of BlackRock and certain industry profitability analyses for advisors to registered investment companies; the expenses of BlackRock in providing the various services; non-investment advisory reimbursements and “fallout” benefits to BlackRock; the expenses of each Trust, including comparisons of the respective Trust’s expense ratios (both before and after any fee waivers) with the expense ratios of its Peers; and each Trust’s performance for the past one-, three-, five- and ten-year periods, when applicable, as well as each Trust’s performance compared to its Peers. This information supplemented the information received by each Board throughout the year regarding each Trust’s performance, expense ratios, portfolio composition, trade execution and compliance.
In addition to the foregoing materials, independent legal counsel to the Independent Trustees provided a legal memorandum outlining, among other things, the duties of the Boards under the 1940 Act as well as the general principles of relevant law in reviewing and approving advisory contracts, the requirements of the 1940 Act in such matters, an advisor’s fiduciary duty with respect to advisory agreements and compensation, and the standards used by courts in determining whether investment company boards of directors have fulfilled their duties and factors to be considered by the boards in voting on advisory agreements.
46
Prior to the Board meeting, the Independent Trustees reviewed a preliminary binder of information, and, in consultation with independent counsel, submitted a memorandum on May 12, 2005, to BlackRock setting forth certain questions and requests for additional information. BlackRock responded to these questions in writing on May 24, 2005 and May 25, 2005. The Independent Trustees reviewed these responses with independent counsel on May 25, 2005.
At the Board meeting on May 26, 2005, BlackRock made a presentation to and responded to additional questions from the Boards. After the presentations and after reviewing the written materials, the Independent Trustees met in executive session with their legal counsel to review the Boards’ duties in reviewing the Agreements and to consider the renewal of the Agreements. With this background, the Boards considered each Agreement and, in consultation with independent counsel, reviewed the factors set out in judicial decisions and Securities and Exchange Commission statements relating to the renewal of the Agreements.
Matters Considered by the Boards
In connection with their deliberations, the Boards considered all factors they believed relevant with respect to each Trust, including the following: the nature, extent and quality of the services to be provided by BlackRock; the investment performance of each Trust; the costs of the services to be provided and profits to be realized by BlackRock and its affiliates from their relationship with the Trusts; the extent to which economies of scale would be realized as the BlackRock closed-end complex grows; and whether BlackRock realizes other benefits from its relationship with the Trusts.
Nature and Quality of Investment Advisory and Sub-Advisory Services. In evaluating the nature, extent and quality of BlackRock’s services, the Boards reviewed information concerning the types of services that BlackRock provides and is expected to provide to each Trust, narrative and statistical information concerning each Trust’s performance record and how such performance compares to each Trust’s Peers, information describing BlackRock’s organization and its various departments, the experience and responsibilities of key personnel and available resources. The Boards further noted the willingness of the personnel of BlackRock to engage in open, candid discussions with the Boards. The Boards further considered the quality of BlackRock’s investment process in making portfolio management decisions. Given the Boards’ experience with BlackRock, the Boards noted that they were familiar with and continue to have a good understanding of the organization, operations and personnel of BlackRock.
In addition to advisory services, the Independent Trustees considered the quality of the administrative or non-investment advisory services provided to the Trusts. In this regard, BlackRock provides each Trust with such administrative and other services (exclusive of, and in addition to, any such services provided by others for the Trusts) and officers and other personnel as are necessary for the operations of the respective Trust. In addition to investment management services, BlackRock and its affiliates provide each Trust with a wide range of services, including: preparing shareholder reports and communications, including annual and semi-annual financial statements and Trust web sites; communications with analysts to support secondary market trading; assisting with daily accounting and pricing; preparing periodic filings with regulators and stock exchanges; overseeing and coordinating the activities of other service providers; administering and organizing Board meetings and preparing the Board materials for such meetings; providing legal and compliance support (such as helping to prepare proxy statements and responding to regulatory inquiries); and performing other Trust administrative tasks necessary for the operation of the respective Trust (such as tax reporting and fulfilling regulatory filing requirements). In addition, in evaluating the administrative services, the Boards considered, in particular, BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations in light of the new Securities and Exchange Commission regulations governing compliance. The Boards noted BlackRock’s focus on compliance and its compliance systems. The Independent Trustees noted that BlackRock’s commitment to supporting the secondary market for the common shares of its closed-end funds is particularly noteworthy.
The Investment Performance of the Trusts. As previously noted, the Boards received myriad performance information regarding each Trust and its Peers. Among other things, the Boards received materials reflecting each Trust’s historic performance and each Trust’s performance compared to its Peers. More specifically, each Trust’s one-, three-, five- and ten-year total returns (when applicable) were evaluated relative to its respective Peers (including the performance of individual peers as well as the Peers’ average performance).
The Boards also reviewed a narrative analysis of the Peer rankings that was prepared by an independent third party and summarized by BlackRock at the Boards’ request. The summary placed the Peer rankings into context by analyzing various factors that affect these comparisons. In evaluating the performance information, in certain limited instances, the Boards noted that the Peers most similar to a given Trust still would not adequately reflect such Trust’s investment objectives and strategies, thereby limiting the usefulness of the comparisons of such Trust’s performance with that of its Peers. The Boards noted the quality of information provided by BlackRock throughout the year with respect to the performance of the Trusts. The Boards considered this information in connection with its deliberations as to whether the level of management services provided to each Trust, in light of all the other facts and circumstances relating to that Trust, supports a conclusion that the Trust’s Agreement should be renewed.
Fees and Expenses. In evaluating the management fees and expenses that a Trust is expected to bear, the Boards considered each Trust’s current management fee structure and the Trust’s expected expense ratios in absolute terms as well as relative to the fees and expense ratios of applicable Peers. In reviewing fees, the Boards, among other things, reviewed comparisons of each Trust’s gross management fees before and after any applicable reimbursements and fee waivers and total expense ratios before and after any applicable waivers with those of the applicable Peers. The Boards also reviewed a narrative analysis of the Peer rankings that was prepared by an independent third party and summarized by BlackRock at the request of the Boards. This summary placed the rankings into context by analyzing various factors that affect these comparisons.
The Boards also compared the management fees charged to the Trusts by BlackRock to the management fees BlackRock charges other types of clients (such as open-end investment companies and institutional separately managed accounts). With respect to open-end investment companies, the management fees charged to the Trusts generally were higher than those charged to the open-end investment companies. The Boards also noted that BlackRock provides the Trusts with certain services not provided to open-end funds, such as leverage management in connection with the issuance of preferred shares, stock exchange listing compliance requirements, rating agency compliance with respect to the leverage
47
employed by the Trusts and secondary market support and other services not provided to the Trusts, such as monitoring of subscriptions and redemptions. With respect to separately managed institutional accounts, the management fees for such accounts were generally lower than those charged to the comparable Trusts. The Boards noted, however, the various services that are provided and the costs incurred by BlackRock in managing and operating the Trusts. For instance, BlackRock and its affiliates provide numerous services to the Trusts that are not provided to institutional accounts including, but not limited to: preparing shareholder reports and communications, including annual and semi-annual financial statements; preparing periodic filings with regulators and stock exchanges; overseeing and coordinating the activities of other service providers; administering and organizing Board meetings and preparing the Board materials for such meetings; income monitoring; expense budgeting; preparing proxy statements; and performing other Trust administrative tasks necessary for the operation of the respective Trust (such as tax reporting and fulfilling regulatory filing requirements). Further, the Boards noted the increased compliance requirements for the Trusts in light of new Securities and Exchange Commission regulations and other legislation. These services are generally not required to the same extent, if at all, for separate accounts.
The Boards considered this information in connection with its deliberations as to whether the fees paid by each Trust under its Agreements, in light of all the other facts and circumstances relating to that Trust, supports a conclusion that the Trust’s Agreements should be renewed.
Profitability. The Trustees also considered BlackRock’s profitability in conjunction with their review of fees. The Trustees reviewed BlackRock’s revenues, expenses and profitability margins on an after-tax basis. In reviewing profitability, the Trustees recognized that one of the most difficult issues in determining profitability is establishing a method of allocating expenses. The Trustees also reviewed BlackRock’s assumptions and methodology of allocating expenses. In this regard, the methods of allocation used appeared reasonable but the Boards noted the inherent limitations in allocating costs among various advisory products. The Boards also recognized that individual fund or product line profitability of other advisors is generally not publicly available.
The Boards recognized that profitability may be affected by numerous factors including, among other things, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited. Nevertheless, to the extent available, the Boards considered BlackRock’s pre-tax profit margin compared to the pre-tax profitability of various publicly-traded investment management companies and/or investment management companies that publicly disclose some or all of their financial results.
In evaluating the reasonableness of BlackRock’s compensation, the Boards also considered any other revenues paid to BlackRock, including partial reimbursements paid to BlackRock for certain non-investment advisory services. The Boards noted that these payments were less than BlackRock’s costs for providing these services. The Boards also considered indirect benefits (such as soft dollar arrangements) that BlackRock and its affiliates are expected to receive that are attributable to their management of the Trusts.
In reviewing each Trust’s fees and expenses, the Boards examined the potential benefits of economies of scale, and whether any economies of scale should be reflected in the Trust’s fee structures, for example through the use of breakpoints. In this connection, the Boards reviewed information provided by BlackRock, noting that most closed-end fund complexes do not have fund-level breakpoints, as closed-end funds generally do not experience substantial growth after their initial public offering and each fund is managed independently consistent with its own investment objectives. The information also revealed that only one closed-end fund complex used a complex-level breakpoint structure, and that this complex generally is homogeneous with regard to the types of funds managed and is about four times as large as the Trust’s complex. The Boards concluded that breakpoints were not warranted at this time.
Other Benefits. In evaluating fees, the Boards also considered indirect benefits or profits BlackRock or its affiliates may receive as a result of their relationships with the Trusts. The Trustees, including the Independent Trustees, considered the intangible benefits that accrue to BlackRock and its affiliates by virtue of their relationships with the Trusts, including potential benefits accruing to BlackRock and its affiliates as a result of potentially stronger relationships with members of the broker-dealer community, increased name recognition of BlackRock and its affiliates, enhanced sales of other investment funds and products sponsored by BlackRock and its affiliates and increased assets under management which may increase the benefits realized by BlackRock from soft dollar arrangements with broker-dealers. The Boards also considered the unquantifiable nature of these potential benefits.
Miscellaneous. During the Boards’deliberations in connection with the Agreements, the Boards were aware that the Advisor pays compensation, out of its own assets, to the lead underwriter and to certain qualifying underwriters of many of its closed-end funds, and to employees of BlackRock and its affiliates that participated in the offering of such funds. The Boards considered whether the management fee met applicable standards in light of the services provided by BlackRock, without regard to whether BlackRock ultimately pays any portion of the anticipated compensation to the underwriters.
Conclusion
The Trustees did not identify any single factor discussed above as all-important or controlling. The Trustees, including a majority of Independent Trustees, determined that each of the factors described above, in light of all the other factors and all of the facts and circumstances applicable to each respective Trust, was acceptable for each Trust and supported the Trustees’ conclusion that the terms of each Agreement were fair and reasonable, that the respective Trust’s fees are reasonable in light of the services provided to the respective Trust, and that the renewal of each Agreement should be approved.
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The Joint Annual Meeting of Shareholders was held on May 26, 2005, to elect a certain number of Directors/Trustees for each of the following Trusts to three year terms, unless otherwise indicated, expiring in 2008:
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Advantage |
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| |
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| Elected the Class I Director as follows: |
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| Votes For |
| Votes Withheld |
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| R. Glenn Hubbard1 |
| 7,765,403 |
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| 774,075 |
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| Elected the Class II Directors as follows: |
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| Votes For |
| Votes Withheld |
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| Frank J. Fabozzi |
| 7,772,629 |
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| 757,849 |
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| Kathleen F. Feldstein |
| 7,765,148 |
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| 765,330 |
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| Walter F. Mondale |
| 7,734,911 |
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| 795,567 |
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| Ralph L. Schlosstein |
| 7,772,015 |
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| 758,463 |
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Global |
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| Elected the Class I Trustees as follows: |
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| Votes For |
| Votes Withheld |
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| Richard E. Cavanagh2 |
| 7,729 |
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| 24 |
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| R. Glenn Hubbard1 |
| 20,177,093 |
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| 1,094,202 |
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| James Clayburn La Force, Jr. |
| 20,174,396 |
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| 1,096,899 |
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| Elected the Class II Trustee as follows: |
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| Votes For |
| Votes Withheld |
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| Kathleen F. Feldstein1 |
| 20,177,284 |
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| 1,094,011 |
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Preferred Opportunity |
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| Elected the Class II Trustees as follows: |
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| Votes For |
| Votes Withheld |
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| Frank J. Fabozzi2 |
| 6,985 |
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| 161 |
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| Kathleen F. Feldstein |
| 17,520,587 |
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| 215,310 |
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| Walter F. Mondale |
| 17,451,899 |
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| 283,998 |
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| Ralph L. Schlosstein |
| 17,524,145 |
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| 211,752 |
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1 | Mr. Hubbard and Ms. Feldstein will serve until the end of the term for the class of Directors/Trustees to which they were elected, if such class was not standing for election at May 26, 2005 annual shareholders meeting. |
The following Trust had an additional proposal (Proposal #2A) to amend its Declaration of Trust in order to change the maximum number of permitted Trustees allowed on its Board to 11:
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| Votes For | Votes Against | Votes Withheld |
Preferred Opportunity | 17,142,812 | 392,617 | 200,467 |
The following Trust had an additional proposal (Proposal #2B) to amend its Declaration of Trust in order to reduce the maximum number of permitted Trustees allowed on its Board from 15 to 11:
| Votes For | Votes Against | Votes Withheld |
Global | 19,981,501 | 1,093,656 | 196,138 |
On March 1, 2005, the shareholders of CIGNA High Income Shares approved proposals to: approve an advisory agreement between the Trust and BlackRock Advisors, Inc., approve a sub-advisory agreement among the Trust, BlackRock Advisors, Inc. and BlackRock Financial Management, Inc., and elect new Trustees, all of whom currently oversee BlackRock’s 54 closed-end funds, to serve until the next Annual Meeting of Shareholders. Upon approval of the Trustees, BlackRock Advisors, Inc. changed the name of the Trust to BlackRock High Income Shares.
There has been no material changes in the Trusts’ investment objective or policies or to their charters or by-laws that have not been approved by shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.
Quarterly performance and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com/indiv/products/closedendfunds/funds.html. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended, to incorporate BlackRock’s website into this report.
Certain of the officers of the Trusts listed on the inside back cover of this Report to Shareholders are also officers of the Advisor or Sub-Advisor. They serve in the following capacities for the Advisor or Sub-Advisor: Robert S. Kapito—Director and Vice Chairman of the Advisor and the Sub-Advisor, Kevin M. Klingert—Director of BlackRock Advisors, Inc. and Managing Director of the Advisor and the Sub-Advisor, Henry Gabbay, Anne Ackerley and Bartholomew Battista—Managing Directors of the Advisor and the Sub-Advisor, James Kong and Vincent Tritto—Managing Directors of the Sub-Advisor, and Brian P. Kindelan—Managing Director of the Advisor.
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BlackRock Closed-End Funds
Directors/Trustees
Ralph L. Schlosstein, Chairman
Andrew F. Brimmer
Richard E. Cavanagh
Kent Dixon
Frank J. Fabozzi
Kathleen F. Feldstein1
R. Glenn Hubbard2
Robert S. Kapito
James Clayburn La Force, Jr.
Walter F. Mondale
Officers
Robert S. Kapito, President
Henry Gabbay, Treasurer
Bartholomew Battista, Chief Compliance Officer
Anne Ackerley, Vice President
James Kong, Assistant Treasurer
Vincent B. Tritto, Secretary
Brian P. Kindelan, Assistant Secretary
Investment Advisor
BlackRock Advisors, Inc.
100 Bellevue Parkway
Wilmington, DE 19809
(800) 227-7BFM
Sub-Advisor3
BlackRock Financial Management, Inc.
40 East 52nd Street
New York, NY 10022
Accounting Agent and Custodian
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02110
Transfer Agent
Equiserve Trust Company, N.A.
c/o Computershare Investor Services
250 Royall Street
Canton, MA 02021
(800) 699-1BFM
Auction Agent3
Bank of New York
101 Barclay Street, 7 West
New York, NY 10286
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
200 Berkeley Street
Boston, MA 02116
Legal Counsel
Skadden, Arps, Slate, Meagher & Flom LLP
Four Times Square
New York, NY 10036
Legal Counsel – Independent Trustees
Debevoise & Plimpton LLP
919 Third Avenue
New York, NY 10022
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of Trust shares. Statements and other information contained in this report are as dated and are subject to change.
BlackRock Closed-End Funds
c/o BlackRock Advisors, Inc.
100 Bellevue Parkway
Wilmington, DE 19809
(800) 227-7BFM
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1 | Appointed as a Director/Trustee of all Trusts on January 19, 2005 and elected by Shareholders on May 26, 2005. |
2 | Appointed as a Director/Trustee of each Trust on November 16, 2004. Elected by Shareholders on May 26, 2005 as a Director/Trustee for each Trust, except Preferred Opportunity for which Mr. Hubbard’s class of Directors/Trustees did not stand for election. |
3 | For Global and Preferred Opportunity. |
The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact the Trusts at (800) 699-1BFM.
The Trusts have delegated to the Advisor the voting of proxies relating to their voting securities pursuant to the Advisor’s proxy voting policies and procedures. You may obtain a copy of these proxy voting policies and procedures, without charge, by calling (800) 699-1BFM. These policies and procedures are also available on the website of the Securities and Exchange Commission (the “Commission”) at http://www.sec.gov.
Information on how proxies relating to the Trusts’ voting securities were voted (if any) by the Advisor during the most recent 12-month period ended June 30th is available, upon request, by calling (800) 699-1BFM or on the website of the Commission at http://www.sec.gov.
The Trusts file their complete schedules of portfolio holdings for the first and third quarters of their respective fiscal years with the Commission on Form N-Q. Each Trust’s Form N-Q is available on the Commission’s website at http://www.sec.gov. Each Trust’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information regarding the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. Each Trust’s Form N-Q may also be obtained upon request, without charge, by calling (800) 699-1BFM.
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This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of Trust shares. Statements and other information contained in this report are as dated and are subject to change. | |
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CEF-SEMI-5 |
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Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual reports.
Item 6. Schedule of Investments.
The Registrant’s Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable for semi-annual reports.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable for semi-annual reports.
Item 9. Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.
Not applicable because no such purchases were made during the period covered by this report.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable because no applicable matters were voted on by shareholders during the period covered by this report.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive officer and principal financial officer have evaluated the Registrant's disclosure controls and procedures as of a date within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures are effective, as of such date, in ensuring that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.
(b) The Registrant's principal executive officer and principal financial officer are aware of no changes in the Registrant's internal control over financial reporting that occurred during the Registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Exhibits.
(a) (1) Not applicable.
(a) (2) Separate certifications of Principal Executive and Financial Officers pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
(a) (3) Not applicable.
(b) Certification of Principal Executive and Financial Officers pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
SIGNATURES
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.
(Registrant) BlackRock High Income Shares Trust
Name: Henry Gabbay
Title: Treasurer
Date: August 19, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ Robert S. KapitoName: Robert S. Kapito
Title: Principal Executive Officer
Date: August 19, 2005
By: /s/ Henry Gabbay
Name: Henry Gabbay
Title: Principal Financial Officer
Date: August 19, 2005