UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-05870
811-10171
Name of Fund: BlackRock Senior Floating Rate Fund, Inc.
Master Senior Floating Rate Trust
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, BlackRock Senior Floating Rate Fund, Inc. and Master Senior
Floating Rate Trust, 800 Scudders Mill Road, Plainsboro, NJ, 08536.
Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 08/31/07
Date of reporting period: 09/01/06 - 02/28/07
Item 1 - Report to Stockholders
ALTERNATIVES BLACKROCK SOLUTIONS EQUITIES FIXED INCOME LIQUIDITY
REAL ESTATE
BlackRock
Senior Floating Rate Fund, Inc.
SEMI-ANNUAL REPORT
FEBRUARY 28, 2007 (UNAUDITED)
(BLACKROCK logo)
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
BlackRock Senior Floating Rate Fund, Inc. seeks as high a level of current
income and such preservation of capital as is consistent with investment in
senior collateralized corporate loans made by banks and other financial
institutions.
This report, including the financial information herein, is transmitted for
use only to the shareholders of BlackRock Senior Floating Rate Fund, Inc. for
their information. It is not a prospectus, circular or representation intended
for use in the purchase of shares of the Fund or any securities mentioned in
this report. Past performance results shown in this report should not be
considered a representation of future performance.
A description of the policies and procedures that the Fund uses to determine
how to vote proxies relating to portfolio securities is available (1)
without charge, upon request, by calling toll-free 1-800-441-7762; (2) at
www.blackrock.com; and (3) on the Securities and Exchange Commission's Web
site at http://www.sec.gov. Information about how the Fund voted proxies
relating to securities held in the Fund's portfolio during the most recent
12-month period ended June 30 is available (1) at www.blackrock.com and (2)
on the Securities and Exchange Commission's Web site at http://www.sec.gov.
BlackRock Senior Floating Rate Fund, Inc.
P.O. Box 9011
Princeton, NJ 08543-9011
(GO PAPERLESS... logo)
It's Fast, Convenient, & Timely!
BlackRock Senior Floating Rate Fund, Inc.
Officers and Directors/Trustees
Robert C. Doll, Jr., President and Director/Trustee
Ronald W. Forbes, Director/Trustee
Cynthia A. Montgomery, Director/Trustee
Jean Margo Reid, Director/Trustee
Roscoe S. Suddarth, Director/Trustee
Richard R. West, Director/Trustee
Donald C. Burke, Vice President and Treasurer
Jeffrey Hiller, Fund Chief Compliance Officer
Alice A. Pellegrino, Secretary
Custodian
The Bank of New York
100 Church Street
New York, NY 10286
Transfer Agent
PFPC Inc.
Wilmington, DE 19809
Effective January 1, 2007, Edward D. Zinbarg retired as a Director of
BlackRock Senior Floating Rate Fund, Inc. and Trustee of Master Senior
Floating Rate Trust. The Fund's and Trust's Board of Directors and Trustees
wish Mr. Zinbarg well in his retirement.
Effective April 13, 2007, Jeffrey Hiller resigned his position as Chief
Compliance Officer of the Fund/Trust. Also effective April 13, 2007, Karen
Clark was appointed Chief Compliance Officer of the Fund/Trust. Ms. Clark has
been a Managing Director of BlackRock, Inc. since 2007. She was a Director
thereof from 2005 to 2007. Prior to that, Ms. Clark was a principal and senior
compliance officer at State Street Global Advisors from 2001 to 2005. Ms. Clark
was a principal consultant with PricewaterhouseCoopers, LLP from 1998 to 2001.
From 1993 to 1998, Ms. Clark was Branch Chief, Division of Investment
Management and Office of Compliance Examinations, with the U.S. Securities
and Exchange Commission.
Announcement of Annual Stockholders Meeting
The Fund has determined that its annual stockholders meeting originally
scheduled to be held in April 2007 will be postponed and will be held in
September 2007. Proposals of stockholders intended to be presented at the
meeting must be received by the Fund by May 15, 2007 for inclusion in the
Fund's proxy statement and form of proxy for that meeting. The persons named
as proxies in the proxy materials for the Fund's 2007 annual meeting of
stockholders may exercise discretionary authority with respect to any
stockholder proposal presented at such meeting if written notice of such
proposal has not been received by the Fund by July 1, 2007. Written proposals
and notices should be sent to the Secretary of the Fund, 800 Scudders Mill
Road, Plainsboro, New Jersey 08536.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
A Letter to Shareholders
Dear Shareholder
The new year began on a positive note for most financial markets, continuing
the momentum from the fourth quarter of 2006. At the end of February, however,
global equity markets registered their first significant decline since last
summer. The market jitters were triggered by a significant setback in the
Chinese market and were exacerbated by several concerns, notably a weakening
economy, some disappointing corporate earnings announcements, geopolitical
concerns related to Iran's nuclear program and increasing delinquencies in the
subprime mortgage market. Despite the recent spate of volatility, underlying
stock market fundamentals appear quite sound, supported by a generally good
global economic backdrop, tame inflation, relatively low interest rates and
attractive valuations.
Not unlike the equity market, the bond market also has seen volatility
recently as observers have attempted to interpret mixed economic signals. A
bond market rally late last year reversed early in 2007 as the economic data
strengthened. Prices improved (and yields fell) again in February as equities
struggled. Notably, the Treasury curve remained inverted for much of 2006 and
into 2007. The 30-year Treasury yield stood at 4.68% on February 28, 2007,
while the one-month Treasury offered the highest yield on the curve at 5.24%.
For its part, the Federal Reserve Board (the Fed) has left the target short-
term interest rate on hold at 5.25% since first pausing on August 8, 2006.
Although the central bankers continue to express concern about potential
inflationary pressures, they also have made reference to signs of economic
weakness in their public statements. Most observers expect the Fed to keep
interest rates on hold for now, but acknowledge that the combination of a mild
economic slowdown and moderating inflation could prompt an interest rate cut
later in 2007.
Notwithstanding the volatility along the way, most major market indexes
managed to post positive returns for the annual and semi-annual reporting
periods ended February 28, 2007:
Total Returns as of February 28, 2007 6-month 12-month
U.S. equities (Standard & Poor's 500 Index) + 8.93% +11.97%
Small cap U.S. equities (Russell 2000 Index) +10.76 + 9.87
International equities (MSCI Europe, Australasia, Far East Index) +12.17 +21.07
Fixed income (Lehman Brothers Aggregate Bond Index) + 3.66 + 5.54
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) + 2.89 + 4.96
High yield bonds (Credit Suisse High Yield Index) + 8.62 +12.36
If the recent market movements are any guide, 2007 could be a year of enhanced
market volatility. As you navigate the uncertainties of the financial markets,
we encourage you to review your investment goals with your financial
professional and to make portfolio changes, as needed. We thank you for
trusting BlackRock with your investment assets, and we look forward to
continuing to serve you in the months and years ahead.
Sincerely,
(Robert C. Doll, Jr.)
Robert C. Doll, Jr.
Fund President and Director/Trustee
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
A Discussion With Your Fund's Portfolio Managers
We maintain a constructive view of the leveraged loan market, which has been
supported by low default rates and strong investor demand.
How did the Fund perform during the period in light of the existing market
conditions?
For the six-month period ended February 28, 2007, the Common Stock of
BlackRock Senior Floating Rate Fund, Inc. had a net annualized yield of 6.77%,
based on a period-end per share net asset value of $8.96 and $0.301 per share
income dividends. For the same period, the total investment return on the
Fund's Common Stock was +3.89%, based on a change in per share net asset value
from $8.92 to $8.96, and assuming reinvestment of all distributions. The
Fund's benchmark, the Credit Suisse Leveraged Loan Index, returned +4.19% for
the period.
Despite some volatility late in the reporting period, the non-investment grade
markets continued to post strong results. The leveraged loan market posted
positive returns in each of the past six months. The market has been aided by
the continuation of historically low default rates and strong inflows into the
asset class, both of which have helped to support the prices of the underlying
issues.
Support for the leveraged loan market also came from soaring investor demand,
which pushed spreads to new lows. The primary driver of this demand is
collateralized loan obligations (CLOs), which now account for approximately
two-thirds of the leveraged loan market. The cost of funding for these CLOs
has dropped dramatically over the past few years, enabling the structured
finance vehicles to absorb bank loans at increasingly tighter spreads and
still achieve their targeted equity returns. The fact that default rates are
at historic lows also has assisted this trend. To supply the CLO juggernaut,
the demand for bank loans has been so voracious that we've actually seen bond
deals migrate to the loan market, a reversal of historic flows that typically
saw deals move from loans into bonds. This trend has marginally curtailed the
supply of high yield bonds, keeping spreads there tighter than they otherwise
would be.
What factors most influenced performance?
The Fund's underperformance of its benchmark for the period resulted from
having to raise cash in order to fund portfolio redemptions. During the
six-month period, total portfolio assets declined from $601.8 million to
$555.0 million.
What changes were made to the portfolio during the period?
During the period, BlackRock, Inc. and Merrill Lynch & Co., Inc. ("Merrill
Lynch") combined Merrill Lynch's investment management business, Merrill Lynch
Investment Managers, L.P. and its affiliates, including Fund Asset Management,
L.P. with BlackRock, Inc. to form a new independent company. While this
resulted in some additions to the portfolio management team, there was no
change to the overall investment philosophy or focus of the Fund.
Prior to the firms' combination, the Fund was conservatively positioned and
held some concentrated issues. The management team began using the new-issue
market to improve portfolio composition, reduce average position size, better
diversify the Fund and make the Fund more representative of the senior loan
market in general.
How would you characterize the Fund's position at the close of the period?
While volatility picked up at the end of the period, resulting in an investor
flight to quality, fundamental and technical valuations remained favorable for
the leveraged loan and high yield markets. Even with the noise at the end of
the reporting period, the leveraged loan market posted a return of +.74% in
February, while the high yield market posted a return of better than +1%. This
marked the seventh month out of eight in which the Credit Suisse High Yield
Index posted monthly returns in excess of 1% and the eighth consecutive month
that the Credit Suisse Leveraged Loan Index posted returns of at least +.50%.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Market fundamentals remain very strong, with default rates near historical
lows and a new-issue calendar that is just beginning to satisfy the non-
investment grade investor. As a result, we remain positioned with an
overweight to lower-tier credits (particularly B-rated issues), as we expect
these segments of the market to post the strongest returns.
By and large, borrowers continue to have access to strong liquidity, another
force keeping default rates low. Moreover, earnings are expected to grow
strongly over the near-term. In our view, with such conditions in place for
the bank loan market, investors appear encouraged and ready to support new
deals and further spread tightening in the sector.
Kevin Booth
Portfolio Manager
Mark Williams
Portfolio Manager
April 3, 2007
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Disclosure of Expenses
Shareholders of this Fund may incur the following charges: (a) expenses
related to transactions, including sales charges, redemption fees and exchange
fees; and (b) operating expenses, including advisory fees, distribution fees
including 12b-1 fees, and other Fund expenses. The following example (which is
based on a hypothetical investment of $1,000 invested on September 1, 2006 and
held through February 28, 2007) is intended to assist shareholders both in
calculating expenses based on an investment in the Fund and in comparing these
expenses with similar costs of investing in other mutual funds.
The first table below provides information about actual account values and
actual expenses. In order to estimate the expenses a shareholder paid during
the period covered by this report, shareholders can divide their account value
by $1,000 and then multiply the result by the number in the first line under
the heading entitled "Expenses Paid During the Period."
The second table below provides information about hypothetical account values
and hypothetical expenses based on the Fund's actual expense ratio and an
assumed rate of return of 5% per year before expenses. In order to assist
shareholders in comparing the ongoing expenses of investing in this Fund and
other funds, compare the 5% hypothetical example with the 5% hypothetical
examples that appear in other funds' shareholder reports.
The expenses shown in the table are intended to highlight shareholders'
ongoing costs only and do not reflect any transactional expenses, such as
sales charges, redemption fees or exchange fees. Therefore, the second table
is useful in comparing ongoing expenses only, and will not help shareholders
determine the relative total expenses of owning different funds. If these
transactional expenses were included, shareholder expenses would have been
higher.
Expenses Paid
Beginning Ending During the Period*
Account Value Account Value September 1, 2006
September 1, February 28, to February 28,
2006 2007 2007
Actual
BlackRock Senior Floating Rate Fund, Inc. $1,000 $1,038.90 $7.33
Hypothetical (5% annual return before expenses)**
BlackRock Senior Floating Rate Fund, Inc. $1,000 $1,017.61 $7.25
* Expenses are equal to the annualized expense ratio of 1.45%, multiplied by the average account value
over the period, multiplied by 181/365 (to reflect the one-half year period shown). Because the Fund
is a feeder fund, the expense table reflects the expenses of both the feeder fund and the master trust
in which it invests.
** Hypothetical 5% annual return before expenses is calculated by pro-rating the number of days in the
most recent fiscal half year divided by 365.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Statement of Assets and Liabilities BlackRock Senior Floating Rate Fund, Inc.
As of February 28, 2007 (Unaudited)
Assets
Investment in Master Senior Floating Rate Trust (the "Trust"), at value
(identified cost--$566,595,438) $ 557,676,156
Prepaid expenses 224,430
---------------
Total assets 557,900,586
---------------
Liabilities
Payables:
Dividends to shareholders $ 2,643,953
Administrator 105,592
Other affiliates 98,700 2,848,245
---------------
Accrued expenses and other liabilities 93,221
---------------
Total liabilities 2,941,466
---------------
Net Assets
Net assets $ 554,959,120
===============
Net Assets Consist of
Common Stock, par value $.10 per share; 1,000,000,000 shares authorized $ 6,193,939
Paid-in capital in excess of par 911,572,572
Undistributed investment income--net $ 258,649
Accumulated realized capital losses allocated from the Trust--net (354,146,758)
Unrealized depreciation allocated from the Trust--net (8,919,282)
---------------
Total accumulated losses--net (362,807,391)
---------------
Net Assets--Equivalent to $8.96 per share based on 61,939,389 shares of capital
stock outstanding $ 554,959,120
===============
See Notes to Financial Statements.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Statement of Operations BlackRock Senior Floating Rate Fund, Inc.
For the Six Months Ended February 28, 2007 (Unaudited)
Investment Income
Net investment income allocated from the Trust:
Interest $ 22,788,337
Facility and other fees 276,111
Expenses (2,932,485)
---------------
Total income 20,131,963
---------------
Expenses
Administration fees $ 698,198
Transfer agent fees 214,913
Tender offer fees 117,099
Printing and shareholder reports 40,106
Professional fees 25,506
Registration fees 13,107
Other 6,339
---------------
Total expenses 1,115,268
---------------
Investment income--net 19,016,695
---------------
Realized & Unrealized Gain (Loss) Allocated from the Trust--Net
Realized loss on investments--net (22,674,876)
Change in unrealized depreciation on investments and unfunded corporate loans--net 25,027,197
---------------
Total realized and unrealized gain--net 2,352,321
---------------
Net Increase in Net Assets Resulting from Operations $ 21,369,016
===============
See Notes to Financial Statements.
Statements of Changes in Net Assets BlackRock Senior Floating Rate Fund, Inc.
For the Six For the
Months Ended Year Ended
February 28, 2007 August 31,
Increase (Decrease) in Net Assets: (Unaudited) 2006
Operations
Investment income--net $ 19,016,695 $ 36,533,747
Realized loss--net (22,674,876) (2,414,857)
Change in unrealized depreciation--net 25,027,197 (3,662,991)
--------------- ---------------
Net increase in net assets resulting from operations 21,369,016 30,455,899
--------------- ---------------
Dividends to Shareholders
Investment income--net (18,995,138) (36,533,735)
--------------- ---------------
Net decrease in net assets resulting from dividends to shareholders (18,995,138) (36,533,735)
--------------- ---------------
Capital Share Transactions
Net decrease in net assets derived from capital share transactions (49,221,514) (68,818,345)
--------------- ---------------
Net Assets
Total decrease in net assets (46,847,636) (74,896,181)
Beginning of period 601,806,756 676,702,937
--------------- ---------------
End of period* $ 554,959,120 $ 601,806,756
=============== ===============
* Undistributed investment income--net $ 258,649 $ 237,092
=============== ===============
See Notes to Financial Statements.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Financial Highlights BlackRock Senior Floating Rate Fund, Inc.
For the Six
The following per share data and ratios Months Ended
have been derived from information February 28, 2007 For the Year Ended August 31,
provided in the financial statements. (Unaudited) 2006 2005 2004 2003+++ 2002
Per Share Operating Performance
Net asset value, beginning of period $ 8.92 $ 9.01 $ 8.91 $ 8.40 $ 8.05 $ 8.82
----------- ----------- ----------- ----------- ----------- -----------
Investment income--net .30** .52** .37** .30** .38 .43
Realized and unrealized gain (loss)--net .04 (.08) .10 .51 .36 (.77)
----------- ----------- ----------- ----------- ----------- -----------
Total from investment operations .34 .44 .47 .81 .74 (.34)
----------- ----------- ----------- ----------- ----------- -----------
Less dividends from investment income--net (.30) (.53) (.37) (.30) (.39) (.43)
----------- ----------- ----------- ----------- ----------- -----------
Net asset value, end of period $ 8.96 $ 8.92 $ 9.01 $ 8.91 $ 8.40 $ 8.05
=========== =========== =========== =========== =========== ===========
Total Investment Return*
Based on net asset value per share 3.89%++++++ 4.97% 5.38% 9.73% 9.61% (4.09%)
=========== =========== =========== =========== =========== ===========
Ratios to Average Net Assets++
Expenses, excluding interest expense 1.45%*** 1.43% 1.41% 1.44% 1.45% 1.41%
=========== =========== =========== =========== =========== ===========
Expenses 1.45%*** 1.43% 1.41% 1.44% 1.46% 1.41%
=========== =========== =========== =========== =========== ===========
Investment income--net 6.81%*** 5.84% 4.11% 3.41% 4.81% 5.07%
=========== =========== =========== =========== =========== ===========
Leverage
Average amount of borrowings during
the period (in thousands) -- -- -- -- $ 8,138++++ $ 3,374
=========== =========== =========== =========== =========== ===========
Average amount of borrowings outstanding
per share during the period -- -- -- -- $ .07++++ $ .02
=========== =========== =========== =========== =========== ===========
Supplemental Data
Net assets, end of period (in thousands) $ 554,959 $ 601,807 $ 676,703 $ 756,795 $ 798,320 $ 1,063,983
=========== =========== =========== =========== =========== ===========
Portfolio turnover 18.14%+++++ 54.38%+++++ 52.92%+++++ 76.45%+++++ 56.56%+++++ 89.46%
=========== =========== =========== =========== =========== ===========
* Total investment returns exclude the early withdrawal charge, if any. The Fund is a continuously
offered closed-end fund, the shares of which are offered at net asset value. No secondary market
for the Fund's shares exists.
** Based on average shares outstanding.
*** Annualized.
++ Includes the Fund's share of the Trust's allocated expenses and/or investment income--net.
++++ Reflects the average amount of borrowings of the Fund prior to the Fund's conversion from a
stand-alone investment company to a "feeder" fund on February 10, 2003.
++++++ Aggregate total investment return.
+++ On February 10, 2003, the Fund converted from a stand-alone investment company to a "feeder"
fund that seeks to achieve its investment objective by investing all of its assets in the Trust,
which has the same investment objective as the Fund. All investments are made at the Trust level.
This structure is sometimes called a "master/feeder" structure.
+++++ Portfolio turnover of the Trust.
See Notes to Financial Statements.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Notes to Financial Statements (Unaudited)
BlackRock Senior Floating Rate Fund, Inc.
1. Significant Accounting Policies:
BlackRock Senior Floating Rate Fund, Inc. (the "Fund") is registered under the
Investment Company Act of 1940, as amended, as a continuously offered, non-
diversified, closed-end management investment company. The Fund seeks to
achieve its investment objective by investing all of its assets in the Master
Senior Floating Rate Trust (the "Trust"), which has the same investment
objective and strategies as the Fund. The value of the Fund's investment in
the Trust reflects the Fund's proportionate interest in the net assets of the
Trust. The performance of the Fund is directly affected by the performance of
the Trust. The financial statements of the Trust, including the Schedule of
Investments, are included elsewhere in this report and should be read in
conjunction with the Fund's financial statements. The Fund's financial
statements are prepared in conformity with U.S. generally accepted accounting
principles, which may require the use of management accruals and estimates.
Actual results may differ from these estimates. These unaudited financial
statements reflect all adjustments, which are, in the opinion of management,
necessary to present a fair statement of the results for the interim period.
All such adjustments are of a normal, recurring nature. The percentage of the
Trust owned by the Fund at February 28, 2007 was 68.2%. The following is a
summary of significant accounting policies followed by the Fund.
(a) Valuation of investments--The Fund records its investment in the Trust at
fair value. Valuation of securities held by the Trust is discussed in Note
1(b) of the Trust's Notes to Financial Statements, which are included
elsewhere in this report.
(b) Investment income and expenses--The Fund records daily its proportionate
share of the Trust's income, expenses and realized and unrealized gains and
losses. In addition, the Fund accrues its own expenses.
(c) Income taxes--It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no federal income tax provision is required.
(d) Prepaid registration fees--Prepaid registration fees are charged to
expense as the related shares are issued.
(e) Dividends and distributions--Dividends from net investment income are
declared daily and paid monthly. Distributions of capital gains are recorded
on the ex-dividend dates.
(f) Investment transactions--Investment transactions in the Trust are
accounted for on a trade date basis.
(g) Recent accounting pronouncement--In July 2006, the Financial Accounting
Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes - an interpretation of FASB Statement No. 109."
FIN 48 prescribes the minimum recognition threshold a tax position must meet
in connection with accounting for uncertainties in income tax positions taken
or expected to be taken by an entity including mutual funds before being
measured and recognized in the financial statements. Adoption of FIN 48 is
required for the net asset value calculation in the first required financial
statement reporting period for the fiscal years beginning after December 15,
2006. The impact on the Fund's financial statements, if any, is currently
being assessed.
In September 2006, Statement of Financial Accounting Standards No. 157, "Fair
Value Measurements" ("FAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. FAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. At this time, management is evaluating the implications of FAS
157 and its impact on the Fund's financial statements, if any, has not been
determined.
In addition, in February 2007, FASB issued "Statement of Financial Accounting
Standards No. 159, The Fair Value Option for Financial Assets and Financial
Liabilities" ("FAS 159"), which is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also
elects to apply the provisions of FAS 157. FAS 159 permits entities to choose
to measure many financial instruments and certain other items at fair value
that are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. At this time, management is
evaluating the implications of FAS 159 and its impact on the Fund's financial
statements, if any, has not been determined.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Notes to Financial Statements (concluded)
BlackRock Senior Floating Rate Fund, Inc.
2. Transactions with Affiliates:
On September 29, 2006, BlackRock, Inc. and Merrill Lynch & Co., Inc. ("Merrill
Lynch") combined Merrill Lynch's investment management business, Merrill Lynch
Investment Managers, L.P. ("MLIM"), and its affiliates, including Fund Asset
Management, L.P. ("FAM"), with BlackRock, Inc. to create a new independent
company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest
in the combined company and The PNC Financial Services Group, Inc. ("PNC"),
has approximately a 34% economic and voting interest. The new company operates
under the BlackRock name and is governed by a board of directors with a
majority of independent members.
The new Investment Advisory Agreement between the Trust and BlackRock
Advisors, LLC (the "Manager"), an indirect, wholly owned subsidiary of
BlackRock, Inc., became effective on September 29, 2006. Prior to September
29, 2006, FAM was the Trust's manager. The general partner of FAM is Princeton
Services, Inc. ("PSI"), an indirect, wholly owned subsidiary of Merrill Lynch,
which is the limited partner. The Fund has entered into separate Distribution
Agreements and Distribution Plans with FAM Distributors, Inc. ("FAMD") and
BlackRock Distributors, Inc. ("BDI") (collectively, the "Distributor"). FAMD
is a wholly owned subsidiary of Merrill Lynch Group, Inc. and BDI is an
affiliate of BlackRock, Inc.
The Fund has entered into an Administration Agreement with the Manager. The
Fund pays a monthly fee at an annual rate of .25% of the Fund's average daily
net assets for the performance of administrative services (other than
investment advice and related portfolio activities) necessary for the
operation of the Fund. Prior to September 29, 2006, FAM acted as the Fund's
administrator and was compensated at the same fee rate.
For the six months ended February 28, 2007, FAMD earned early withdrawal
charges of $124,875 relating to the tender of the Fund's shares.
Effective September 29, 2006, PFPC Inc., an indirect, wholly owned subsidiary
of PNC and an affiliate of the Manager, became the Fund's transfer agent.
Prior to September 29, 2006, the Fund's transfer agent was Financial Data
Services, Inc. ("FDS"), a wholly owned subsidiary of Merrill Lynch.
Prior to September 29, 2006, certain officers and/or directors of the Fund were
officers and/or directors of FAM, PSI, FAMD, FDS, MLIM, and/or Merrill Lynch.
Commencing September 29, 2006, certain officers and/or directors of the Fund
are officers and/or directors of BlackRock, Inc. or its affiliates.
3. Capital Share Transactions:
Transactions in capital shares were as follows:
For the Six
Months Ended Dollar
February 28, 2007 Shares Amount
Shares sold 1,169,205 $ 10,423,113
Shares issued to shareholders in
reinvestment of dividends 1,112,793 9,918,316
--------------- ---------------
Total issued 2,281,998 20,341,429
Shares tendered (7,810,952) (69,562,943)
--------------- ---------------
Net decrease (5,528,954) $ (49,221,514)
=============== ===============
For the Year Ended Dollar
August 31, 2006 Shares Amount
Shares sold 3,288,136 $ 29,489,218
Shares issued to shareholders in
reinvestment of dividends 1,965,892 17,640,346
--------------- ---------------
Total issued 5,254,028 47,129,564
Shares tendered (12,906,388) (115,947,909)
--------------- ---------------
Net decrease (7,652,360) $ (68,818,345)
=============== ===============
4. Capital Loss Carryforward:
On August 31, 2006, the Fund had a capital loss carry-forward of $329,049,740,
of which $3,365,959 expires in 2007, $28,290,011 expires in 2008, $64,746,799
expires in 2009, $87,904,309 expires in 2010, $53,409,203 expires in 2011,
$34,221,818 expires in 2012, $56,166,095 expires in 2013 and $945,546 expires
in 2014.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Portfolio Information Master Senior Floating Rate Trust
As of February 28, 2007
Percent of
Ten Largest Holdings Net Assets
Intelsat Corp. 2.1%
Cebridge Connections* 2.0
Wellman, Inc.* 2.0
Charter Communications, Inc. 1.8
Simmons Co. 1.8
Telcordia Technologies, Inc. 1.5
Venetian Casino Resort Holdings* 1.5
Insight Midwest Holdings LLC 1.5
Paxson Communications Corp. 1.5
Metro-Goldwyn-Mayer Studios, Inc. 1.5
* Includes combined holdings and/or affiliates, where applicable.
Percent of
Five Largest Industries Net Assets
Cable--U.S. 8.7%
Chemicals 8.3
Information Technology 5.9
Food & Tobacco 5.2
Diversified Media 4.6
For Trust compliance purposes, the Trust's industry classifications
refer to any one or more of the industry sub-classifications used
by one or more widely recognized market indexes or ratings group
indexes, and/or as defined by Trust management. This definition may
not apply for purposes of this report, which may combine industry
sub-classifications for reporting ease.
Percent of
Quality Ratings by Total
S&P/Moody's Investments
BB/Ba 29.8%
B/B 49.8
CCC/Caa 1.2
NR (Not Rated) 5.6
Other* 13.6
* Includes portfolio holdings in common stocks, warrants and
short-term investments.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Schedule of Investments as of February 28, 2007 (Unaudited)
Master Senior Floating Rate Trust
Face Senior Secured
Amount Floating Rate Loan Interests* Value
Aerospace & Defense--1.9%
K&F Industries, Inc.:
$ 2,977,057 Term Loan 7.32% due 11/18/2012 $ 2,991,013
1,781,252 Term Loan C, 7.32% due 11/18/2013 1,789,602
3,612,932 Standard Aero Holdings Term Loan,
7.57% - 7.61% due 8/24/2012 3,628,739
Vought Aircraft Industries, Inc.:
6,181,412 Term Loan, 8% due 12/22/2011 6,220,046
1,200,000 Tranche B Line of Credit Deposit,
7.822% due 12/22/2010 1,209,500
--------------
15,838,900
Airlines--0.5%
1,250,000 Delta Air Lines Term Loan B, 10.098%
due 3/16/2008 1,255,729
3,000,000 United Air Lines, Inc. Term Loan B, 7.375%
due 1/30/2014 3,012,189
--------------
4,267,918
Automotive--3.2%
2,750,000 Keystone Automotive Operations Inc. Term
Loan, 8.82% due 1/15/2012 2,770,625
Metaldyne Corp.:
288,462 Letter of Credit, 8.92% - 9.125%
due 1/15/2012 291,586
2,091,346 Term Loan, 9.125% due 1/15/2014 2,114,002
Navistar International Transportation Corp.:
1,600,000 Revolving Credit, 5.22% - 8.61%
due 6/30/2012 1,626,400
4,400,000 Term Loan, 8.61% due 6/30/2012 4,472,600
3,000,000 OshKosh Truck Corp. Term Loan B, 7.35%
due 11/30/2013 3,023,571
TRW Automotive, Inc.:
4,165,000 Tranche B Term Loan, 6.938%
due 6/30/2012 4,165,000
3,430,000 Tranche E Term Loan, 6.875%
due 11/02/2010 3,435,001
Tenneco Automotive, Inc.:
2,721,197 Term Loan B, 7.31% - 7.322%
due 12/12/2010 2,730,721
1,186,440 Tranche B-1 Credit Linked Deposit,
7.322% due 12/12/2010 1,190,593
--------------
25,820,099
Broadcasting--3.0%
2,500,000 EMMIS Communications Term Loan B, 7.32%
due 10/31/2013 2,517,707
650,000 Multicultural Radio Broadcasting Inc. Term
Loan, 8.098% due 12/15/2012 651,625
1,250,000 NEP Supershooters, LP Term Loan B, 7.595%
due 2/13/2014 1,262,110
NextMedia Group, Inc.:
1,482,412 Delay Draw Term Loan, 7.32%
due 11/15/2012 1,478,706
3,250,000 Second Lien Term Loan, 9.82%
due 11/15/2013 3,266,250
3,335,427 Term Loan, 7.32% due 11/15/2012 3,327,088
11,750,000 Paxson Communications Corp. First Lien Term
Loan, 8.61% due 1/15/2012 12,014,375
--------------
24,517,861
Face Senior Secured
Amount Floating Rate Loan Interests* Value
Cable--U.S.--8.7%
Cebridge Connections:
$ 9,310,344 First Lien Term Loan, 7.61%
due 11/05/2013 $ 9,399,081
7,000,000 Term Loan B, 9.86% due 5/04/2014 7,170,625
15,000,000 Charter Communications, Inc. Term Loan,
7.985% due 4/28/2013 15,096,570
6,285,474 DIRECTV Holdings, Inc. Tranche B Term Loan,
6.82% due 4/13/2013 6,305,833
12,000,000 Insight Midwest Holdings LLC Term Loan,
7.61% due 4/03/2014 12,111,000
16,703,137 Intelsat Corp. Term Loan B, 7.872%
due 1/03/2014 16,858,477
4,718,750 MCC Iowa LLC Tranche A Term Loan,
7.37% due 3/31/2010 4,677,461
--------------
71,619,047
Chemicals--8.3%
9,554,500 CII Carbon Term Loan B, 7.375% due 8/23/2012 9,602,272
3,734,802 Celanese Holdings LLC Term Loan B, 7.114%
due 4/06/2011 3,760,737
10,000,000 Cognis Deutschland Second Lien Term Loan B,
10.138% due 11/15/2013 10,166,070
2,000,000 Columbian Chemicals Co. Term Loan B, 7.114%
due 3/16/2013 2,007,500
8,866,846 Huntsman ICI Holdings Term Loan B, 7.07%
due 8/16/2012 8,915,613
Invista:
2,459,114 Term Loan, 6.875% due 4/29/2011 2,468,335
5,296,144 Term Loan B-1, 6.875% due 4/29/2011 5,316,005
3,836,070 Nalco Co. Tranche B Term Loan, 7.10% - 9%
due 11/04/2010 3,860,732
1,980,000 Polymer Group, Inc. Term Loan B, 7.613%
due 11/22/2012 1,992,375
3,920,000 Rockwood Specialties Group, Inc. Tranche E Term
Loan, 7.36% due 12/10/2012 3,950,870
Wellman, Inc.:
7,500,000 First Lien Term Loan, 9.36% due 2/10/2009 7,515,623
10,000,000 Second Lien Term Loan, 12.11%
due 2/10/2010 8,620,000
--------------
68,176,132
Consumer--Durables--1.8%
14,503,664 Simmons Co. Tranche D Term Loan,
7.375% - 7.438% due 12/19/2011 14,588,263
Consumer--Non-Durables--1.3%
1,825,549 American Achievement Corp. Term Loan B,
7.57% - 9.50% due 3/22/2011 1,835,438
2,268,000 Camelbak Products LLC First Lien Term Loan,
9.41% due 8/04/2011 2,237,761
1,985,000 Easton-Bell Sports, Inc. Term Loan B,
7.07% - 7.10% due 3/27/2012 1,991,616
350,000 Gold Toe Investment Corp. Second Lien Term
Loan, 11.36% due 4/30/2014 355,687
4,117,816 Josten's, Inc. Term Loan B, 7.372%
due 10/04/2011 4,132,616
--------------
10,553,118
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Schedule of Investments (continued)
Master Senior Floating Rate Trust
Face Senior Secured
Amount Floating Rate Loan Interests* Value
Diversified Media--4.6%
$ 2,482,417 Dex Media West, Inc. Term Loan B,
6.85% - 6.87% due 3/09/2010 $ 2,483,264
2,339,634 Dex Media West LLC Term Loan B,
6.85% - 6.86% due 3/09/2010 2,343,143
7,000,000 Idearc Inc. Term Loan, 7.32% due 11/15/2014 7,056,875
2,970,000 Merrill Corp. Term Loan, 7.57% - 7.614%
due 5/15/2011 2,981,137
11,880,150 Metro-Goldwyn-Mayer Studios, Inc. Term Loan B,
8.614% due 4/30/2011 11,977,603
6,982,500 Nielsen Finance LLC Term Loan B, 7.61%
due 8/09/2013 7,045,412
Penton Media Term Loan:
500,000 7.60% - 7.625% due 2/15/2013 504,584
1,000,000 10.345% due 2/15/2014 1,018,125
2,091,122 RH Donnelley, Inc. Tranche D-2 Term Loan,
6.85% - 6.87% due 6/30/2011 2,091,833
--------------
37,501,976
Energy--Exploration & Production--1.3%
Carrizo Oil & Gas, Inc. Second Lien Term Loan:
375,000 10.114% due 7/21/2010 380,625
1,477,500 11.364% due 7/21/2010 1,499,662
750,000 Energy Transfer Equity LP Term Loan B, 7.095%
due 11/01/2012 756,562
6,467,305 Helix Energy Solutions Term Loan,
7.32% - 7.36% due 7/01/2013 6,499,642
1,240,625 MEG Energy Corp. Term Loan, 7.375%
due 4/03/2013 1,248,572
--------------
10,385,063
Energy--Other--1.9%
4,950,278 EPCO, Inc. Term Loan C, 7.36% due 8/18/2010 5,005,082
2,970,000 Key Energy Services, Inc. Term Loan B,
7.86% - 7.864% due 6/30/2012 2,988,562
7,000,000 Scorpion Drilling Ltd. Second Lien Term Loan,
13.61% due 5/05/2015 7,210,000
--------------
15,203,644
Financial--2.1%
1,000,000 Harbinger Capital Partners Term Loan B, 7.57%
due 2/28/2014 1,010,000
9,000,000 JG Wentworth Manufacturing Term Loan,
8.864% due 4/12/2011 9,090,000
150,000 Kyle Acquisition Term Loan B, 8.875%
due 7/20/2009 151,969
6,947,500 LPL Holdings, Inc. Term Loan C, 8.114%
due 8/28/2013 7,038,686
--------------
17,290,655
Food & Drug--0.3%
2,277,000 The Pantry, Inc. Term Loan B, 7.07%
due 1/02/2012 2,284,116
Food & Tobacco--5.2%
2,917,485 American Seafood Group LLC Delay Draw Term
Loan, 7.114% due 9/30/2012 2,913,838
Aramark Corp.:
263,366 Letter of Credit, 7.445% due 1/30/2014 265,967
3,736,634 Term Loan, 7.445% due 1/30/2014 3,773,533
250,000 Arby's Restaurant Group Term Loan B,
7.57% - 7.614% due 7/31/2012 252,187
2,764,573 Commonwealth Brands Term Loan, 7.625%
due 12/22/2012 2,774,941
Face Senior Secured
Amount Floating Rate Loan Interests* Value
Food & Tobacco (concluded)
$ 4,344,732 Del Monte Term Loan B, 6.82% - 6.86%
due 2/08/2012 $ 4,352,492
Dole Food Co., Inc.:
2,079,488 Term Loan B, 7.438% - 9.25%
due 4/12/2013 2,080,528
348,592 Term Loan C, 7.438% due 3/31/2013 348,766
6,599,612 Term Loan C, 7.438% - 9.25%
due 4/12/2013 6,602,912
1,024,225 Tranche B, 5.23% due 4/12/2013 1,024,737
2,458,708 Domino's, Inc. Term Loan, 6.875%
due 6/25/2010 2,462,806
748,120 Eight O'Clock Coffee Second Lien Term Loan,
8.125% due 7/21/2012 748,120
2,119,714 Merisant Co. Term Loan B, 8.61% due 1/11/2010 2,119,714
997,500 OSI Food Co. Term Loan B, 7.364%
due 9/02/2011 998,123
495,671 Pierre Foods, Inc. Term Loan B, 7.61%
due 6/30/2010 498,149
QCE LLC:
1,990,000 First Lien Term Loan, 7.31% due 5/05/2013 1,998,000
8,500,000 Second Lien Term Loan, 11.114% - 11.117%
due 11/05/2013 8,534,238
1,000,000 Sturm Foods Inc. Term Loan, 7.875%
due 1/30/2014 1,005,938
--------------
42,754,989
Gaming--4.4%
1,550,000 Edge-Star Partners LLC First Lien Term Loan,
9.36% due 11/18/2007 1,550,000
Green Valley Ranch Gaming LLC Term Loan:
481,818 7.36% due 1/29/2012 487,038
500,000 8.61% due 1/29/2012 508,000
2,947,389 MotorCity Casino Term Loan B, 7.35% - 7.364%
due 7/21/2012 2,967,652
1,438,914 Penn National Gaming, Inc. Term Loan B,
7.12% - 7.15% due 9/01/2007 1,448,799
5,000,000 Pinnacle Entertainment Term Loan, 7.32%
due 12/15/2011 5,023,750
1,500,000 Tropicana Opco Term Loan B, 7.86%
due 12/15/2011 1,515,834
2,462,500 Trump Entertainment Resorts Holdings LP Term
Loan B-1, 7.87% - 9.75% due 5/01/2012 2,480,969
Venetian Casino Resort LLC:
3,982,906 Delay Draw Term Loan B, 7.12%
due 6/15/2011 4,011,631
8,442,094 Term Loan, 7.12% due 6/15/2011 8,502,978
7,500,000 Venetian Macau U.S. Finance Co. LLC Term
Loan B, 8.12% due 5/25/2013 7,575,938
--------------
36,072,589
Health Care--3.5%
1,955,000 Community Health Systems, Inc. Term Loan,
7.12% due 8/19/2011 1,964,470
4,000,000 DaVita, Inc. Term Loan, 6.82% - 6.86%
due 7/30/2012 4,021,000
669,026 Duloxetine Royalty First Lien Term Loan, 9.86%
due 10/18/2013 669,026
1,000,000 HCA Inc. Term Loan A, 7.614% due 11/17/2012 1,011,417
2,000,000 Health Management Associates, Inc. Term Loan B,
7.07% due 1/15/2014 2,014,376
871,839 Kinetic Concepts, Inc. Term Loan B, 7.12%
due 8/11/2010 875,653
7,301,032 LifePoint Hospitals, Inc. Term Loan B, 6.985%
due 4/15/2012 7,292,819
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Schedule of Investments (continued)
Master Senior Floating Rate Trust
Face Senior Secured
Amount Floating Rate Loan Interests* Value
Health Care (concluded)
$ 748,125 Sterigenics International, Inc. Term Loan B,
7.86% due 11/30/2013 $ 749,528
9,811,432 Vanguard Health Systems Term Loan B, 7.614%
due 9/23/2011 9,889,109
--------------
28,487,398
Housing--3.9%
1,000,000 Beacon Sales Co. Term Loan B, 7.32%
due 10/31/2013 1,005,000
9,302,629 Capital Automotive Term Loan B, 7.07%
due 12/16/2010 9,386,353
2,402,679 Goodman Global Holdings Term Loan, 7.125%
due 12/23/2011 2,406,684
2,768,555 Headwaters, Inc. First Lien Term Loan, 7.32%
due 4/30/2011 2,773,746
4,725,192 Lake at Las Vegas Joint Venture First Lien Term
Loan, 10% due 11/01/2009 4,753,038
500,000 LandSource Communities Development LLC Term
Loan, 8.07% due 2/28/2013 505,500
2,977,500 Mattamy Group Term Loan, 7.625%
due 4/11/2013 2,990,527
4,875,000 Nortek, Inc. Term Loan, 7.35% due 8/27/2011 4,899,375
2,997,500 Ply Gem Industries, Inc. First Lien Term Loan,
8.32% - 11.12% due 10/31/2011 3,031,222
--------------
31,751,445
Information Technology--5.9%
11,540,598 Activant Solutions Term Loan, 7.375%
due 5/02/2013 11,547,811
1,000,000 ClientLogic Holding Corp. Term Loan B,
7.82% - 7.86% due 1/30/2014 1,005,417
Dealer Comp Services:
6,982,500 First Lien Term Loan, 7.845%
due 10/31/2012 7,047,340
4,000,000 Second Lien Term Loan,10.845%
due 10/31/2013 4,113,752
1,000,000 Intergraph Corp. Term Loan,11.36%
due 11/15/2014 1,006,875
1,993,750 Marvell Technology Group Term Loan B, 7.35%
due 11/15/2009 2,003,719
2,513 Nuance Communications, Inc. Term Loan B,
7.32% - 7.35% due 12/29/2013 2,516
798,747 RedPrairie Corp. Term Loan, 8.375%
due 7/31/2012 798,747
2,985,000 Stratus Technologies, Inc. First Lien Term Loan,
8.367% - 8.372% due 3/29/2011 2,970,075
3,940,000 SunGard Data Systems, Inc. Term Loan B, 7.36%
due 2/11/2013 3,977,245
12,768,386 Telcordia Technologies, Inc. Term Loan, 8.12%
due 9/15/2012 12,612,778
1,000,000 Verifone, Inc. Term Loan B, 7.10% - 7.11%
due 2/28/2013 1,002,500
--------------
48,088,775
Leisure--0.6%
500,000 Kerasotes Showplace Theatres, LLC Term Loan B,
7.57% due 11/01/2011 500,000
2,500,000 National Cinemedia LLC Term Loan B, 7.09%
due 2/28/2015 2,518,750
2,075,142 True Temper Sports, Inc. Term Loan B,
8.61% - 8.67% due 3/15/2011 2,075,142
--------------
5,093,892
Face Senior Secured
Amount Floating Rate Loan Interests* Value
Manufacturing--2.9%
$ 1,000,000 Brand Energy Term Loan B, 7.625%
due 2/15/2014 $ 1,005,833
Channel Master Holdings, Inc. (d)(e):
128,199 Revolving Credit, 8.313% due 11/15/2004 0
1,013,568 Term Loan, 9% due 11/15/2004 0
3,262,493 GenTek, Inc. First Lien Term Loan,
7.32% - 7.36% due 2/28/2011 3,263,514
1,000,000 Harrington Holdings, Inc. Term Loan, 7.82%
due 1/15/2014 1,007,500
1,339,494 John Maneely Co. Term Loan,
8.595% - 8.622% due 12/15/2013 1,354,285
JohnsonDiversey, Inc. Delay Draw Term Loan:
508,666 7.86% due 12/16/2010 512,799
668,214 7.86% due 12/15/2011 674,060
9,048,421 Mueller Group LLC Term Loan B,
7.36% - 7.375% due 10/03/2012 9,127,594
2,107,512 Propex Fabrics, Inc. Term Loan B, 8.36%
due 7/31/2012 2,112,781
Trimas Corp.:
937,500 Letter of Credit, 8.08% due 8/02/2013 949,805
4,052,344 Term Loan B, 8.096% - 8.11%
due 8/02/2013 4,105,531
--------------
24,113,702
Packaging--1.9%
3,038,177 Anchor Glass Container Corp. Term Loan B,
7.61% - 7.614% due 5/03/2013 3,030,582
10,780,000 Graham Packaging Co. LP Term Loan B, 7.625%
due 10/07/2011 10,892,608
1,428,571 Graham Packaging Second Lien Term Loan B,
9.625% due 4/07/2012 1,441,429
--------------
15,364,619
Paper--2.4%
3,757,448 Boise Cascade Holdings LLC Term Loan,
7.094% - 7.125% due 10/28/2011 3,783,280
2,970,000 Georgia-Pacific Corp. First Lien Term Loan,
7.345% - 7.364% due 2/14/2013 2,995,987
3,117,761 Graphic Packaging International, Inc. Term
Loan B, 7.82% - 7.86% due 8/08/2010 3,153,812
3,182,818 SP Newsprint Co. Tranche B-1 Credit Linked
Deposit, 5.32% due 1/09/2010 3,182,818
Smurfit-Stone Container Corp.:
2,241,039 Deposit Account, 5.291% - 7.079%
due 11/01/2010 2,261,412
1,698,760 Term Loan B, 7.325% due 11/01/2011 1,714,203
2,323,097 Term Loan C, 7.325% due 11/01/2011 2,344,216
--------------
19,435,728
Retail--1.5%
1,478,397 American Reprographics Co. Term Loan,
7.07% - 7.11% due 6/18/2009 1,476,549
2,000,000 Burlington Coat Factory Warehouse Corp. Term
Loan B, 7.61% due 4/15/2013 2,000,820
2,124,156 General Nutrition Centers, Inc. Tranche B Term
Loan, 8.07% due 12/05/2009 2,132,122
750,000 Mattress Giant Term Loan B, 7.61% - 7.64%
due 2/28/2014 750,000
6,240,506 The Neiman Marcus Group, Inc. Term Loan,
7.595% - 7.603% due 4/06/2013 6,308,765
--------------
12,668,256
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Schedule of Investments (continued)
Master Senior Floating Rate Trust
Face Senior Secured
Amount Floating Rate Loan Interests* Value
Service--3.9%
$ 2,001,702 Alliance Laundry Systems LLC Term Loan,
7.57% - 7.60% due 1/27/2012 $ 2,016,715
Allied Waste North America, Inc.:
3,923,449 Term Loan, 7.11% - 7.17% due 1/15/2012 3,947,645
1,742,089 Tranche A Credit Linked Deposit, 7.072%
due 1/15/2012 1,753,704
250,000 Brickman Group, Inc. Term Loan,
7.36% - 7.399% due 1/23/2014 251,094
1,500,000 Brock Holdings Term Loan, 7.32% due 2/28/2014 1,514,532
5,820,750 Buhrmann USA, Inc. Term Loan C,
7.108% - 7.111% due 12/23/2010 5,831,664
4,528,409 Clarke American Term Loan B, 8.57% - 8.63%
due 12/15/2011 4,551,051
2,000,000 Pearson Government Solutions Term Loan B,
7.61% due 2/28/2013 2,025,000
2,970,223 RGIS Inventory Specialists First Lien Term
Loan B, 7.864% due 12/31/2012 2,968,366
1,500,000 RiskMetrics Group Holdings LLC Term Loan,
7.595% due 1/15/2014 1,515,000
US Investigations Services:
1,112,705 Term Loan C, 7.87% due 10/14/2012 1,120,355
2,959,795 Tranche B Term Loan, 7.87% due 10/14/2012 2,980,144
United Rentals, Inc.:
726,495 Term Loan, 7.32% due 2/14/2011 734,214
329,825 Tranche B Credit Linked Deposit, 7.322%
due 2/14/2011 333,329
--------------
31,542,813
Steel--0.1%
500,000 McJunkin Corp. Term Loan, 7.595%
due 1/30/2014 505,000
Telecommunications--1.3%
7,998,750 Consolidated Communications, Inc. Term Loan D,
7.36% - 7.364% due 10/14/2011 8,023,746
500,000 Kentucky Data Link Inc. Term Loan B, 7.57%
due 2/28/2015 503,750
2,000,000 Time Warner Telecom Term Loan, 7.32%
due 10/31/2013 1,995,626
--------------
10,523,122
Transportation--0.3%
2,856,723 Sirva Worldwide Tranche B Term Loan,
11.57% - 11.60% due 12/01/2010 2,825,299
Utility--3.1%
2,000,000 AES Corp. Term Loan, 7.19% - 7.50%
due 4/30/2008 2,002,500
Calpine Corp.:
3,117,021 Second Priority Debtor in Possession
Term Loan, 9.364% due 12/20/2007 3,142,995
4,136,670 Term Loan B, 7.62% due 12/20/2007 4,149,598
2,605,080 Cogentrix Delaware Holdings, Inc. Term Loan,
6.87% due 4/15/2012 2,609,964
Generac Portable Products, Inc.:
1,500,000 Second Lien Term Loan,11.36%
due 5/15/2014 1,496,250
990,000 Term Loan, 7.86% due 11/15/2013 991,856
KGen Partners:
750,000 Letter of Credit, 6.07% due 2/15/2014 753,281
1,250,000 Term Loan B, 6.07% due 2/15/2014 1,255,469
951,785 LSP Kendall Energy Term Loan, 7.364%
due 10/07/2013 947,423
Face Senior Secured
Amount Floating Rate Loan Interests* Value
Utility (concluded)
La Paloma:
$ 119,561 Delay Draw Term Loan, 7.114%
due 8/16/2012 $ 119,660
262,295 Letter of Credit, 7.07% due 8/16/2012 262,514
2,000,000 Second Lien Term Loan, 8.864%
due 8/16/2013 2,015,000
1,501,208 Term Loan, 7.114% due 8/16/2012 1,456,172
MACH Gen LLC:
70,313 Letter of Credit, 7.323% due 2/22/2014 70,664
679,688 Term Loan, 7.36% due 2/22/2014 682,576
2,750,000 Metcalf Energy Center LLC Tranche 1 Term Loan,
8.36% due 5/20/2010 2,763,750
500,000 Thermal North America, Inc. Letter of Credit,
8.07% due 10/31/2008 505,000
--------------
25,224,672
Wireless Communications--1.0%
2,941,667 Centennial Cellular Operating Co. Term Loan,
7.36% - 7.614% due 2/09/2011 2,967,406
5,000,000 West Corp. Term Loan, 7.735% - 7.763%
due 10/31/2013 5,040,970
--------------
8,008,376
Total Senior Secured Floating Rate Loan
Interests (Cost--$659,377,705)--80.8% 660,507,467
Corporate Bonds
Automotive--0.1%
750,000 Ford Motor Credit Co., 9.81% due 4/15/2012 (a) 811,105
Cable--U.S.--1.3%
10,000,000 Intelsat Bermuda Ltd., 8.872%
due 1/15/2015 (a)(j) 10,237,500
210,000 PanAmSat Corp., 9% due 6/15/2016 (j) 230,475
--------------
10,467,975
Chemicals--1.5%
5,992,000 GEO Specialty Chemicals, Inc.,13.86%
due 12/31/2009 (i) 4,943,400
6,255,000 Nova Chemicals Corp., 8.502%
due 11/15/2013 (a) 6,255,000
827,140 PCI Chemicals Canada, Inc.,10%
due 12/31/2008 849,886
--------------
12,048,286
Diversified Media--0.0%
250,000 Universal City Florida Holding Co. I,10.11%
due 5/01/2010 (a) 258,750
Gaming--0.4%
3,300,000 Galaxy Entertainment Finance Co. Ltd.,10.354%
due 12/15/2010 (a)(j) 3,498,000
Information Technology--0.5%
3,850,000 SunGard Data Systems, Inc. 9.90%
due 8/15/2013 (a) 4,023,250
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Schedule of Investments (concluded)
Master Senior Floating Rate Trust
Face
Amount Corporate Bonds Value
Paper--2.1%
$ 6,000,000 Ainsworth Lumber Co. Ltd., 9.364%
due 4/01/2013 (a) $ 4,680,000
250,000 Boise Cascade LLC, 8.235% due 10/15/2012 (a) 250,000
650,000 NewPage Corp.,11.61% due 5/01/2012 (a) 708,500
11,400,000 Verso Paper Holdings LLC, 9.11%
due 8/01/2014 (a)(j) 11,742,000
--------------
17,380,500
Telecommunications--1.2%
9,500,000 Qwest Communications International, Inc.,
8.86% due 2/15/2009 (a) 9,595,000
275,000 Qwest Corp., 8.605% due 6/15/2013 (a) 300,094
--------------
9,895,094
Wireless Communications--0.0%
250,000 Rogers Wireless Communications, Inc., 8.48%
due 12/15/2010 (a) 255,000
Total Corporate Bonds
(Cost--$62,161,725)--7.1% 58,637,960
Shares
Held Common Stocks
Chemicals--0.0%
39,151 GEO Specialty Chemicals, Inc. (d)(j) 39,151
Steel--0.0%
51,714 Acme Package Corp. Senior Holdings (d)(h) 1
Total Common Stocks
(Cost--$0)--0.0% 39,152
Shares
Held Warrants (f) Value
Paper--0.0%
57 Cellu Tissue Holdings, Inc.
(expires 5/08/2007) $ 0
Utility--0.0%
9,115 Reliant Resources (expires 10/25/2008) 91,150
Total Warrants
(Cost--$0)--0.0% 91,150
Beneficial
Interest Other Interests (b)
Health Care--0.0%
$ 14,398 MEDIQ Inc. (Preferred Stock Escrow) 0
Total Other Interests
(Cost--$0)--0.0% 0
Short-Term Securities
$113,817,253 BlackRock Liquidity Series, LLC Cash Sweep
Series, 5.33% (c)(g) 113,817,253
Total Short-Term Securities
(Cost--$113,817,253)--13.9% 113,817,253
Total Investments (Cost--$835,356,683**)--101.8% 833,092,982
Liabilities in Excess of Other Assets--(1.8%) (14,919,721)
--------------
Net Assets--100.0% $ 818,173,261
==============
* Senior Secured Floating Rate Loan Interests in which the Trust invests
generally pay interest at rates that are periodically redetermined by
reference to a base lending rate plus a premium. These base lending
rates are generally (i) the lending rate offered by one or more major
European banks, such as LIBOR (London InterBank Offered Rate), (ii) the
prime rate offered by one or more major U.S. banks or (iii) the
certificate of deposit rate.
** The cost and unrealized appreciation (depreciation) of investments,
as of February 28, 2007, as computed for federal income tax purposes,
were as follows:
Aggregate cost $ 835,509,728
=================
Gross unrealized appreciation $ 5,200,681
Gross unrealized depreciation (7,617,427)
-----------------
Net unrealized depreciation $ (2,416,746)
=================
(a) Floating rate security.
(b) Other interests represent beneficial interest in liquidation trusts
and other reorganization entities and are non-income producing.
(c) Investments in companies considered to be an affiliate of the Trust,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
Net Interest
Issue Activity Income
BlackRock Liquidity Series, LLC
Cash Sweep Series $29,449,829 $1,368,583
(d) Non-income producing security.
(e) As a result of bankruptcy proceedings, the issuer did not repay the
principal amount of the security upon maturity.
(f) Warrants entitle the Trust to purchase a predetermined number of shares
of common stock and are non-income producing. The purchase price and
number of shares are subject to adjustment under certain conditions
until the expiration date.
(g) Represents the current yield as of February 28, 2007.
(h) Restricted security as to resale, representing 0.0% of net assets,
was as follows:
Acquisition
Issue Date Cost Value
Acme Package Corp. Senior Holdings 11/25/2002 $ -- $ 1
(i) Convertible security.
(j) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
o For Trust compliance purposes, the Trust's industry classifications
refer to any one or more of the industry sub-classifications used by
one or more widely recognized market indexes or ratings group indexes,
and/or as defined by Trust management. This definition may not apply for
purposes of this report, which may combine industry sub-classifications
for reporting ease. Industries are shown as a percent of net assets.
See Notes to Financial Statements.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Statement of Assets and Liabilities Master Senior Floating Rate Trust
As of February 28, 2007 (Unaudited)
Assets
Investments in unaffiliated securities, at value (identified cost--$721,539,430) $ 719,275,729
Investments in affiliated securities, at value (identified cost--$113,817,253) 113,817,253
Cash 605,241
Receivables:
Interest $ 6,960,409
Securities sold 3,997,160
Contributions 3,348,554
Principal paydowns 448,645
Commitment fees 36,347 14,791,115
---------------
Prepaid expenses and other assets 90,204
---------------
Total assets 848,579,542
---------------
Liabilities
Unfunded loan commitment 403,754
Payables:
Securities purchased 29,253,438
Investment adviser 589,602
Other affiliates 7,410 29,850,450
---------------
Accrued expenses and other liabilities 152,077
---------------
Total liabilities 30,406,281
---------------
Net Assets
Net assets $ 818,173,261
===============
Net Assets Consist of
Investors' capital $ 820,788,456
Unrealized depreciation--net (2,615,195)
---------------
Net Assets $ 818,173,261
===============
See Notes to Financial Statements.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Statement of Operations Master Senior Floating Rate Trust
For the Six Months Ended February 28, 2007 (Unaudited)
Investment Income
Interest (including $1,368,583 from affiliates) $ 33,785,040
Facility and other fees 407,319
---------------
Total income 34,192,359
---------------
Expenses
Investment advisory fees $ 3,936,153
Accounting services 132,763
Loan interest expense 105,389
Professional fees 100,913
Custodian fees 28,808
Trustees' fees and expenses 19,947
Pricing fees 8,174
Printing and shareholder reports 1,197
Other 13,508
---------------
Total expenses 4,346,852
---------------
Investment income--net 29,845,507
---------------
Realized & Unrealized Gain (Loss)--Net
Realized loss on investments--net (33,458,177)
Change in unrealized depreciation on:
Investments--net 36,858,012
Unfunded corporate loans--net (18,147) 36,839,865
--------------- ---------------
Total realized and unrealized gain--net 3,381,688
---------------
Net Increase in Net Assets Resulting from Operations $ 33,227,195
===============
See Notes to Financial Statements.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Statements of Changes in Net Assets Master Senior Floating Rate Trust
For the Six For the
Months Ended Year Ended
February 28, 2007 August 31,
Increase (Decrease) in Net Assets: (Unaudited) 2006
Operations
Investment income--net $ 29,845,507 $ 59,752,417
Realized loss--net (33,458,177) (1,597,921)
Change in unrealized depreciation--net 36,839,865 (7,721,712)
--------------- ---------------
Net increase in net assets resulting from operations 33,227,195 50,432,784
--------------- ---------------
Capital Transactions
Proceeds from contributions 34,589,931 66,317,763
Fair value of withdrawals (175,553,905) (223,659,634)
--------------- ---------------
Net decrease in net assets derived from capital transactions (140,963,974) (157,341,871)
--------------- ---------------
Net Assets
Total decrease in net assets (107,736,779) (106,909,087)
Beginning of period 925,910,040 1,032,819,127
--------------- ---------------
End of period $ 818,173,261 $ 925,910,040
=============== ===============
See Notes to Financial Statements.
Financial Highlights Master Senior Floating Rate Trust
For the Six
The following per share data and ratios Months Ended,
have been derived from information February 28, 2007 For the Year Ended August 31,
provided in the financial statements. (Unaudited) 2006 2005 2004 2003 2002
Total Investment Return
Total investment return 4.11%++ 5.37% 5.78% 10.15% 11.07% (4.66%)
=========== =========== =========== =========== =========== ===========
Ratios to Average Net Assets
Expenses, excluding interest expense 1.02%* 1.03% 1.01% 1.02% 1.04% 1.09%
=========== =========== =========== =========== =========== ===========
Expenses 1.05%* 1.04% 1.01% 1.02% 1.05% 1.12%
=========== =========== =========== =========== =========== ===========
Investment income--net 7.20%* 6.22% 4.52% 3.81% 4.80% 5.31%
=========== =========== =========== =========== =========== ===========
Leverage
Amount of borrowings outstanding,
end of period (in thousands) -- -- -- -- -- $ 13,000
=========== =========== =========== =========== =========== ===========
Average amount of borrowings outstanding
during the period (in thousands) $ 4,586 $ 1,932 -- -- $ 3,187 $ 3,959
=========== =========== =========== =========== =========== ===========
Supplemental Data
Net assets, end of period (in thousands) $ 818,173 $ 925,910 $ 1,032,819 $ 1,052,881 $ 942,878 $ 182,205
=========== =========== =========== =========== =========== ===========
Portfolio turnover 18.14% 54.38% 52.92% 76.45% 56.56% 36.77%
=========== =========== =========== =========== =========== ===========
* Annualized.
++ Aggregate total investment return.
See Notes to Financial Statements.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Notes to Financial Statements (Unaudited) Master Senior Floating Rate Trust
1. Significant Accounting Policies:
Master Senior Floating Rate Trust (the "Trust") is registered under the
Investment Company Act of 1940, as amended, and is organized as a Delaware
statutory trust. The Declaration of Trust permits the Trustees to issue
nontransferable interests in the Trust, subject to certain limitations. The
Trust's financial statements are prepared in conformity with U.S. generally
accepted accounting principles, which may require the use of management
accruals and estimates. Actual results may differ from these estimates. These
unaudited financial statements reflect all adjustments, which are, in the
opinion of management, necessary to present fair statements of the results for
the interim period. All such adjustments are of a normal, recurring nature.
The following is a summary of significant accounting policies followed by the
Trust.
(a) Loan participation interests--The Trust primarily invests in senior
secured floating rate loan interests ("Loan Interests") with collateral having
a market value, at the time of acquisition by the Trust, which Trust
management believes equals or exceeds the principal amount of the Loan
Interests. The Trust may invest up to 20% of its total assets in loans made on
an unsecured basis. Because agents, banks and intermediate participants from
whom the Trust purchases the loan interest are primarily financial
institutions, the Trust's investment in Loan Interests at February 28, 2007
could be considered to be concentrated in the industry group consisting of
financial institutions.
(b) Valuation of investments--Loan Interests are valued in accordance with
guidelines established by the Board of Trustees. As of October 2, 2006, loan
interests will be valued at the mean between the last available bid prices
from one or more brokers or dealers as obtained from the Loan Pricing
Corporation. Previously, floating rate loan interests were valued at the mean
between the last available bid and asked prices as obtained from the same
pricing source. This change has no significant effect on the valuation of
these loans. For the limited number of Loan Interests for which no reliable
price quotes are available, such Loan Interests will be valued by Loan Pricing
Corporation through the use of pricing matrixes to determine valuations. If
the pricing service does not provide a value for the Loan Interests, BlackRock
Advisors, LLC (the "Manager"), an indirect, wholly owned subsidiary of
BlackRock, Inc. will value the Loan Interests at fair value, which is intended
to approximate market value.
Debt securities are traded primarily in the over-the-counter ("OTC") markets
and are valued at the last available bid price in the OTC market or on the
basis of values obtained by a pricing service. Pricing services use valuation
matrixes that incorporate both dealer-supplied valuations and valuation
models. The procedures of the pricing service and its valuations are reviewed
by the officers of the Trust under the general direction of the Board of
Trustees. Such valuations and procedures will be reviewed periodically by the
Board of Trustees of the Trust.
Securities that are held by the Trust that are traded on stock exchanges or
the NASDAQ Global Market are valued at the last sale price or official close
price on the exchange on which such securities are traded, as of the close of
business on the day the securities are being valued or, lacking any sales, at
the last available bid price for long positions, and at the last available
asked price for short positions. In cases where securities are traded on more
than one exchange, the securities are valued on the exchange designated as the
primary market by or under the authority of the Board of Trustees of the
Trust. Long positions in securities traded in the OTC market, NASDAQ Capital
Market or Bulletin Board are valued at the last available bid price or yield
equivalent obtained from one or more dealers or pricing services approved by
the Board of Trustees of the Trust. Short positions in securities traded in
the OTC market are valued at the last available asked price. Portfolio
securities that are traded both in the OTC market and on a stock exchange are
valued according to the broadest and most representative market. When the
Trust writes an option, the amount of the premium received is recorded on the
books of the Trust as an asset and an equivalent liability. The amount of the
liability is subsequently valued to reflect the current market value of the
option written, based on the last sale price in the case of exchange-traded
options or, in the case of options traded in the OTC market, the last asked
price. Options purchased by the Trust are valued at their last sale price in
the case of exchange-traded options or, in the case of options traded in the
OTC market, the last bid price. Swap agreements are valued based upon quoted
fair valuations received daily by the Trust from a pricing service or
counterparty. Other investments, including futures contracts and related
options, are stated at market value. Obligations with remaining maturities of
60 days or less are valued at amortized cost unless the Manager believes that
this method no longer produces fair valuations. Valuation of other short-term
investment vehicles is generally based upon the net asset value of the
underlying investment vehicle or amortized cost. Repurchase agreements will be
valued at cost plus accrued interest.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Notes to Financial Statements (continued) Master Senior Floating Rate Trust
Generally, trading in foreign securities, as well as U.S. government
securities, money market instruments and certain fixed income securities, is
substantially completed each day at various times prior to the close of
business on the New York Stock Exchange ("NYSE"). The values of such
securities used in computing the net assets of the Trust are determined as of
such times. Foreign currency exchange rates will be determined as of the close
of business on the NYSE. Occasionally, events affecting the values of such
securities and such exchange rates may occur between the times at which they
are determined and the close of business on the NYSE that may not be reflected
in the computation of the Trust's net assets. If events (for example, a
company announcement, market volatility or a natural disaster) occur during
such periods that are expected to materially affect the value of such
securities, those securities will be valued at their fair value as determined
in good faith by the Board of Trustees or by the Manager using a pricing
service and/or procedures approved by the Board of Trustees.
(c) Derivative financial instruments--The Trust may engage in various
portfolio investment strategies both to increase the return of the Trust and
to hedge, or protect, its exposure to interest rate movements and movements in
the securities markets. Losses may arise due to changes in the value of the
contract or if the counterparty does not perform under the contract.
* Swaps--The Trust may enter into swap agreements, which are OTC contracts in
which the Trust and counterparty agree to make periodic net payments on a
specified notional amount. The net payments can be made for a set period of
time or may be triggered by a predetermined credit event. The net periodic
payments may be based on a fixed or variable interest rate; the change in
market value of a specified security, basket of securities, or index; or the
return generated by a security. These periodic payments received or made by
the Trust are recorded in the accompanying Statement of Operations as realized
gains and losses, respectively. Gains or losses are also realized upon
termination of the swap agreements. Swaps are marked-to-market daily and
changes in value are recorded as unrealized appreciation (depreciation). Risks
include changes in the returns of the underlying instruments, failure of the
counterparties to perform under the contracts' terms and the possible lack of
liquidity with respect to the swap agreements.
(d) Income taxes--The Trust is classified as a partnership for federal income
tax purposes. As such, each investor in the Trust is treated as owner of its
proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Trust. Therefore, no federal income tax
provision is required. It is intended that the Trust's assets will be managed
so an investor in the Trust can satisfy the requirements of subchapter M of
the Internal Revenue Code.
(e) Security transactions and investment income--Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Interest income is recognized on the accrual basis. The Trust amortizes all
premiums and discounts on debt securities.
(f) Securities lending--The Trust may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in an amount
equal to at least 100% of the current market value of the loaned securities.
The market value of the loaned securities is determined at the close of
business of the Trust and any additional required collateral is delivered to
the Trust on the next business day. Where the Trust receives securities as
collateral for the loaned securities, it receives a fee from the borrower. The
Trust typically receives the income on the loaned securities, but does not
receive the income on the collateral. Where the Trust receives cash
collateral, it may invest such collateral and retain the amount earned on such
investment, net of any amount rebated to the borrower. Loans of securities are
terminable at any time and the borrower, after notice, is required to return
borrowed securities within five business days. The Trust may pay reasonable
finder's, lending agent, administrative and custodial fees in connection with
its loans. In the event that the borrower defaults on its obligation to return
borrowed securities because of insolvency or for any other reason, the Trust
could experience delays and costs in gaining access to the collateral. The
Trust also could suffer a loss where the value of the collateral falls below
the market value of the borrowed securities, in the event of borrower default
or in the event of losses on investments made with cash collateral.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Notes to Financial Statements (continued) Master Senior Floating Rate Trust
(g) Recent accounting pronouncements--In July 2006, the Financial Accounting
Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes - an interpretation of FASB Statement No.
109." FIN 48 prescribes the minimum recognition threshold a tax position must
meet in connection with accounting for uncertainties in income tax positions
taken or expected to be taken by an entity including mutual funds before being
measured and recognized in the financial statements. Adoption of FIN 48 is
required for the last net asset value calculation in the first required
financial statement reporting period for fiscal years beginning after December
15, 2006. The impact on the Trust's financial statements, if any, is currently
being assessed.
In September 2006, Statement of Financial Accounting Standards No. 157, "Fair
Value Measurements" ("FAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. FAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. At this time, management is evaluating the implications of FAS
157 and its impact on the Trust's financial statements, if any, has not been
determined.
In addition, in February 2007, FASB issued "Statement of Financial Accounting
Standards No. 159, The Fair Value Option for Financial Assets and Financial
Liabilities" ("FAS 159"), which is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also
elects to apply the provisions of FAS 157. FAS 159 permits entities to choose
to measure many financial instruments and certain other items at fair value
that are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. At this time, management is
evaluating the implications of FAS 159 and its impact on the Trust's financial
statements, if any, has not been determined.
2. Investment Advisory Agreement and Transactions with Affiliates:
On September 29, 2006, BlackRock, Inc. and Merrill Lynch & Co., Inc. ("Merrill
Lynch") combined Merrill Lynch's investment management business, Merrill Lynch
Investment Managers, L.P. ("MLIM"), and its affiliates, including Fund Asset
Management, L.P. ("FAM"), with BlackRock, Inc. to create a new independent
company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest
in the combined company and The PNC Financial Services Group, Inc. has
approximately a 34% economic and voting interest. The new company operates
under the BlackRock name and is governed by a board of directors with a
majority of independent members.
The new Investment Advisory Agreement between the Trust and the Manager became
effective on September 29, 2006 and the investment advisory fee is unchanged.
Prior to September 29, 2006, FAM was the Fund's manager. The general partner
of FAM is Princeton Services, Inc. ("PSI"), an indirect, wholly owned
subsidiary of Merrill Lynch, which is the limited partner.
The Manager is responsible for the management of the Trust's portfolio and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Trust. For such services, the
Trust pays a monthly fee at an annual rate of .95% of the average daily value
of the Trust's net assets. In addition, the Manager has entered into a Sub-
Advisory agreement with BlackRock Financial Management, Inc., an affiliate of
the Manager, under which the Manager pays the Sub-Adviser for services it
provides a monthly fee at an annual rate equal to a percentage of the
management fee paid by the Trust to the Manager.
The Trust has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch,
Pierce, Fenner & Smith Incorporated, a subsidiary of Merrill Lynch or its
affiliates. Pursuant to that order, the Trust has retained BlackRock
Investment Management, LLC ("BIM") an affiliate of the Manager, as the
securities lending agent for a fee based on a share of the returns on
investment of cash collateral. Prior to September 29, 2006, BIM was organized
as Merrill Lynch Investment Managers, (MLIM, LLC"), an affiliate of FAM, and
MLIM, LLC was the securities lending agent. BIM may, on behalf of the Trust,
invest cash collateral received by the Trust for such loans, among other
things, in a private investment company advised by the Manager or in
registered money market funds advised by the Manager or its affiliates.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Notes to Financial Statements (concluded) Master Senior Floating Rate Trust
For the six months ended February 28, 2007, the Trust reimbursed FAM and the
Manager $1,534 and $7,669, respectively, for certain accounting services.
Prior to September 29, 2006, certain officers and trustees of the Trust were
officers and directors of FAM, PSI, Merrill Lynch, and/or MLIM, LLC.
Commencing September 29, 2006, certain officers and/or trustees of the Trust
are officers and/or directors of BlackRock, Inc. or its affiliates.
3. Investments:
Purchases and sales (including paydowns) of investments, excluding short-term
securities, for the six months ended February 28, 2007 were $142,696,858 and
$251,598,505, respectively.
4. Unfunded Loan Commitments:
As of February 28, 2007, the Trust had unfunded loan commitments of
approximately $26,741,000, which would be extended at the option of the
borrower, pursuant to the following loan agreements:
(in Thousands)
Value of
Unfunded Underlying
Borrower Commitment Loan
Calpine Corp. $3,266 $3,258
MEG Engery Corp. $1,250 $1,242
Maguire Properties, LP $5,000 $5,001
Trump Entertainment Resorts Holdings LP
Revolving Line of Credit $5,000 $4,850
Trump Entertainment Resorts Holdings LP
Term Loan B-1 $2,475 $2,495
Venetian Macau U.S. Finance Co., LLC
Term Loan B $3,750 $3,761
Vought Aircraft Industries, Inc. $6,000 $5,730
5. Short-Term Borrowings:
The Trust, along with certain other funds managed by the Manager and its
affiliates, is party to a $500,000,000 credit agreement with a group of
lenders. The Trust may borrow under the credit agreement to fund shareholder
redemptions and for other lawful purposes other than for leverage. The Trust
may borrow up to the maximum amount allowable under the Trust's current
prospectus and statement of additional information, subject to various other
legal, regulatory or contractual limits. On November 22, 2006, the credit
agreement was renewed for one year under substantially the same terms. The
Trust pays a commitment fee of .06% per annum based on the Trust's pro rata
share of the unused portion of the credit agreement. Amounts borrowed under
the credit agreement bear interest at a rate equal to, at each fund's
election, the federal funds rate plus .35% or a base rate as defined in the
credit agreement.
The weighted average annual interest rate was 4.63% and the average borrowing
was approximately $4,586,000 for the six months ended February 28, 2007.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Availability of Quarterly Schedule of Investments
The Fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("SEC") for the first and third quarters of each fiscal
year on Form N-Q. The Fund's Forms N-Q are available on the SEC's Web site at
http://www.sec.gov. The Fund's Forms N-Q may also be reviewed and copied at the
SEC's Public Reference Room in Washington, DC. Information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Electronic Delivery
Electronic copies of most financial reports and prospectuses are available on
the Fund's Web site. Shareholders can sign up for e-mail notifications of
quarterly statements, annual and semi-annual reports and prospectuses by
enrolling in the Fund's electronic delivery program.
To enroll:
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment
advisers, banks or brokerages may offer this service.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former
fund investors and individual clients (collectively, "Clients") and to
safeguarding their nonpublic personal information. The following information
is provided to help you understand what personal information BlackRock
collects, how we protect that information and why in certain cases we share
such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations
require BlackRock to provide you with additional or different privacy-related
rights beyond what is set forth below, then BlackRock will comply with those
specific laws, rules or regulations.
BlackRock obtains or verifies personal nonpublic information from and about
you from different sources, including the following: (i) information we
receive from you or, if applicable, your financial intermediary, on
applications, forms or other documents; (ii) information about your
transactions with us, our affiliates, or others; (iii) information we receive
from a consumer reporting agency; and (iv) from visits to our Web sites.
BlackRock does not sell or disclose to nonaffiliated third parties any
nonpublic personal information about its Clients, except as permitted by law
or as is necessary to service Client accounts. These nonaffiliated third
parties are required to protect the confidentiality and security of this
information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to
provide you with information about other BlackRock products or services that
may be of interest to you. In addition, BlackRock restricts access to
nonpublic personal information about its Clients to those BlackRock employees
with a legitimate business need for the information. BlackRock maintains
physical, electronic and procedural safeguards that are designed to protect
the nonpublic personal information of its Clients, including procedures
relating to the proper storage and disposal of such information.
BLACKROCK SENIOR FLOATING RATE FUND, INC. FEBRUARY 28, 2007
Item 2 - Code of Ethics - Not Applicable to this semi-annual report
Item 3 - Audit Committee Financial Expert - Not Applicable to this semi-
annual report
Item 4 - Principal Accountant Fees and Services - Not Applicable to this
semi-annual report
Item 5 - Audit Committee of Listed Registrants - Not Applicable to this
semi-annual report
Item 6 - Schedule of Investments - Not Applicable
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable to this semi-annual
report
Item 8 - Portfolio Managers of Closed-End Management Investment Companies -
as of February 28, 2007.
(a)(1) The Fund is managed by a team of investment professionals
that is responsible for the day-to-day management of the Fund's
portfolio. The lead members of this team are Mark J. Williams,
Managing Director at BlackRock, and Kevin J. Booth, Managing
Director at BlackRock. Mr. Williams and Mr. Booth each has been a
portfolio manager of the Fund since 2006. Mr. Williams is
responsible for setting the Fund's overall investment strategy and
overseeing the management of the Fund. Mr. Booth is responsible for
the day-to-day management of the Fund's portfolio and the selection
of its investments.
Mr. Williams is the head of BlackRock's bank loan group and a member
of the Investment Strategy Group. His primary responsibility is
originating and evaluating bank loan investments for the firm's
collateralized bond obligations. He is also involved in the
evaluation and sourcing of mezzanine investments. Prior to joining
BlackRock in 1998, Mr. Williams spent eight years with PNC Bank's
New York office and was a founding member of the bank's Leveraged
Finance Group. In that capacity he was responsible for structuring
proprietary middle market leveraged deals and sourcing and
evaluating broadly syndicated leveraged loans in the primary and
secondary markets for PNC Bank's investment portfolio. From 1984
until 1990, Mr. Williams worked in PNC Bank's Philadelphia office in
a variety of marketing and corporate finance positions.
Mr. Booth is a member of BlackRock's bank loan group. He joined
BlackRock in 2006. Prior to joining BlackRock, Mr. Booth was a
Managing Director (Global Fixed Income) of Merrill Lynch Investment
Managers, L.P. ("MLIM") since 2006 and a member of MLIM's bank loan
group from 2000 to 2006. He was a Director of MLIM from 2000 to 2006
and was a Vice President of MLIM from 1994 to 2000. He has been
portfolio manager with BlackRock or MLIM since 2000.
(a)(2) As of February 28, 2007:
(iii) Number of Other Accounts and
(ii) Number of Other Accounts Managed Assets for Which Advisory Fee is
and Assets by Account Type Performance-Based
Other Other
(i) Name of Registered Other Pooled Registered Other Pooled
Portfolio Investment Investment Other Investment Investment Other
Manager Companies Vehicles Accounts Companies Vehicles Accounts
Kevin J.
Booth 9 2 1 0 2 0
$ 5,040,067,098 $ 529,770,486 $ 56,698,833 $ 0 $ 529,770,486 $ 0
Mark J.
Williams 8 18 1 0 10 0
$ 4,287,935,906 $ 6,003,278,704 $ 158,013,679 $ 0 $ 3,985,661,008 $ 0
(iv) Potential Material Conflicts of Interest
BlackRock has built a professional working environment, firm-wide
compliance culture and compliance procedures and systems designed to
protect against potential incentives that may favor one account over
another. BlackRock has adopted policies and procedures that address
the allocation of investment opportunities, execution of portfolio
transactions, personal trading by employees and other potential
conflicts of interest that are designed to ensure that all client
accounts are treated equitably over time. Nevertheless, BlackRock
furnishes investment management and advisory services to numerous
clients in addition to the Fund, and BlackRock may, consistent with
applicable law, make investment recommendations to other clients or
accounts (including accounts which are hedge funds or have
performance or higher fees paid to BlackRock, or in which portfolio
managers have a personal interest in the receipt of such fees),
which may be the same as or different from those made to the Fund.
In addition, BlackRock, its affiliates and any officer, director,
stockholder or employee may or may not have an interest in the
securities whose purchase and sale BlackRock recommends to the Fund.
BlackRock, or any of its affiliates, or any officer, director,
stockholder, employee or any member of their families may take
different actions than those recommended to the Fund by BlackRock
with respect to the same securities. Moreover, BlackRock may refrain
from rendering any advice or services concerning securities of
companies of which any of BlackRock's (or its affiliates') officers,
directors or employees are directors or officers, or companies as to
which BlackRock or any of its affiliates or the officers, directors
and employees of any of them has any substantial economic interest
or possesses material non-public information. Each portfolio manager
also may manage accounts whose investment strategies may at times be
opposed to the strategy utilized for the Fund. In this connection,
it should be noted that certain portfolio managers currently manage
certain accounts that are subject to performance fees. In addition,
certain portfolio managers assist in managing certain hedge funds
and may be entitled to receive a portion of any incentive fees
earned on such funds and a portion of such incentive fees may be
voluntarily or involuntarily deferred. Additional portfolio managers
may in the future manage other such accounts or funds and may be
entitled to receive incentive fees.
As a fiduciary, BlackRock owes a duty of loyalty to its clients and
must treat each client fairly. When BlackRock purchases or sells
securities for more than one account, the trades must be allocated
in a manner consistent with its fiduciary duties. BlackRock attempts
to allocate investments in a fair and equitable manner among client
accounts, with no account receiving preferential treatment. To this
end, BlackRock has adopted a policy that is intended to ensure that
investment opportunities are allocated fairly and equitably among
client accounts over time. This policy also seeks to achieve
reasonable efficiency in client transactions and provide BlackRock
with sufficient flexibility to allocate investments in a manner that
is consistent with the particular investment discipline and client
base.
(a)(3) As of February 28, 2007:
Compensation Program
BlackRock's financial arrangements with its portfolio
managers, its competitive compensation and its career path emphasis
at all levels reflect the value senior management places on key
resources. Compensation may include a variety of components and may
vary from year to year based on a number of factors. The principal
components of compensation include a base salary, a discretionary
bonus, participation in various benefits programs and one or more of
the incentive compensation programs established by BlackRock such as
its Long-Term Retention and Incentive Plan and Restricted Stock
Program.
Base Compensation
Generally, portfolio managers receive base compensation based
on their seniority and/or their position with the firm.
Discretionary Compensation
In addition to base compensation, portfolio managers may
receive discretionary compensation, which can be a substantial
portion of total compensation. Discretionary compensation can
include a discretionary cash bonus as well as one or more of the
following:
Long-Term Retention and Incentive Plan (LTIP)
The LTIP is a long-term incentive plan that seeks to reward
certain key employees. The plan provides for the grant of awards
that are expressed as an amount of cash that, if properly vested and
subject to the attainment of certain performance goals, will be
settled in cash and/or in BlackRock, Inc. common stock.
Deferred Compensation Program
A portion of the compensation paid to each portfolio manager
may be voluntarily deferred by the portfolio manager into an account
that tracks the performance of certain of the firm's investment
products. Each portfolio manager is permitted to allocate his
deferred amounts among various options, including to certain of the
firm's hedge funds and other unregistered products. In addition,
prior to 2005, a portion of the annual compensation of certain
senior managers was mandatorily deferred in a similar manner for a
number of years. Beginning in 2005, a portion of the annual
compensation of certain senior managers was paid in the form of
BlackRock, Inc. restricted stock units which vest ratably over a
number of years.
Options and Restricted Stock Awards
While incentive stock options are not currently being awarded
to BlackRock employees, BlackRock, Inc. previously granted stock
options to key employees, including certain portfolio managers who
may still hold unexercised or unvested options. BlackRock, Inc. also
has a restricted stock award program designed to reward certain key
employees as an incentive to contribute to the long-term success of
BlackRock. These awards vest over a period of years.
Incentive Savings Plans
BlackRock, Inc. has created a variety of incentive savings
plans in which BlackRock employees are eligible to participate,
including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP)
and the BlackRock Employee Stock Purchase Plan (ESPP). The employer
contribution components of the RSP include a company match equal to
50% of the first 6% of eligible pay contributed to the plan capped
at $4,000 per year, and a company retirement contribution equal to
3% of eligible compensation, plus an additional contribution of 2%
for any year in which BlackRock has positive net operating income.
The RSP offers a range of investment options, including registered
investment companies managed by the firm. Company contributions
follow the investment direction set by participants for their own
contributions or absent, employee investment direction, are invested
into a stable value fund. The ESPP allows for investment in
BlackRock common stock at a 5% discount on the fair market value of
the stock on the purchase date. Annual participation in the ESPP
is limited to the purchase of 1,000 shares or a dollar value of
$25,000. Each portfolio manager is eligible to participate in these
plans.
Annual incentive compensation for each portfolio manager is a
function of several components: the performance of BlackRock, Inc.,
the performance of the portfolio manager's group within BlackRock,
the investment performance, including risk-adjusted returns and
income generation, of the firm's assets under management or
supervision by that portfolio manager relative to predetermined
benchmarks, and the individual's teamwork and contribution to the
overall performance of these portfolios and BlackRock. Unlike many
other firms, portfolio managers at BlackRock compete against
benchmarks rather than each other. In most cases, including for the
portfolio managers of the Registrant, these benchmarks are the same
as the benchmark or benchmarks against which the investment
performance, including risk-adjusted returns and income generation,
of the Registrant or other accounts are measured. A group of
BlackRock, Inc.'s officers determines which benchmarks against which
to compare the performance of funds and other accounts managed by
each portfolio manager.
The group of BlackRock, Inc.'s officers then makes a
subjective determination with respect to the portfolio manager's
compensation based on the performance of the funds and other
accounts managed by each portfolio manager relative to the various
benchmarks. This determination may take into consideration the fact
that a benchmark may not perfectly correlate to the way the
Registrant or other accounts are managed, even if it is the
benchmark that is most appropriate for the Registrant or other
account. For example, a benchmark's return may be based on the total
return of the securities comprising the benchmark, but the
Registrant or other account may be managed to maximize income and
not total return. Senior portfolio managers who perform additional
management functions within BlackRock may receive additional
compensation for serving in these other capacities.
(a)(4) Beneficial Ownership of Securities. As of February 28, 2007,
Messrs. Booth and Williams do not beneficially own any stock
issued by the Fund.
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - Not Applicable
Item 11 - Controls and Procedures
11(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others
particularly during the period in which this report is being
prepared. The registrant's certifying officers have determined that
the registrant's disclosure controls and procedures are effective
based on our evaluation of these controls and procedures as of a
date within 90 days prior to the filing date of this report.
11(b) - As of September 29, 2006, with the conclusion of the combination of
Merrill Lynch's asset management business with BlackRock, the
registrant was migrated to BlackRock's trading and compliance
monitoring systems, and various personnel changes occurred. In
conjunction with these business improvements, there were no changes
in the registrants internal control over financial reporting (as
defined in Rule 30a-3(d) under Act (17 CFR 270.30a-3(d)) that
occurred during the last fiscal half-year of the period covered by
this report that has materially affected, or is reasonably likely to
affect, the registrant's internal control over financial reporting.
Item 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - Not Applicable to this semi-annual report
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(b) - Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Senior Floating Rate Fund, Inc. and Master Senior Floating Rate Trust
By: /s/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
BlackRock Senior Floating Rate Fund, Inc. and
Master Senior Floating Rate Trust
Date: April 23, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on
the dates indicated.
By: /s/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
BlackRock Senior Floating Rate Fund, Inc. and
Master Senior Floating Rate Trust
Date: April 23, 2007
By: /s/ Donald C. Burke,
--------------------
Donald C. Burke,
Chief Financial Officer of
BlackRock Senior Floating Rate Fund, Inc. and
Master Senior Floating Rate Trust
Date: April 23, 2007