Regulatory Filings • Jan 29, 2010
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UNITEDSTATES SECURITIESANDEXCHANGECOMMISSION Washington,D.C.20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21413 Name of Fund: BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809 Name and address of agent for service: Anne F. Ackerley, Chief Executive Officer, BlackRock Floating Rate Income Strategies Fund, Inc., 55 East 52 nd Street, New York, NY 10055. Registrants telephone number, including area code: (800) 882-0052, Option 4 Date of fiscal year end: 08/31/2010 Date of reporting period: 11/30/2009 Item 1 Schedule of Investments
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| BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) — Schedule of Investments November 30, 2009 (Unaudited) | (Percentages shown are based on Net Assets) | |||
|---|---|---|---|---|
| Industry | Common Stocks | Shares | Value | |
| Building Products - 0.5% | Masonite Worldwide Holdings (a) | 33,758 | $ 1,181,530 | |
| Chemicals - 0.0% | GEO Specialty Chemicals, Inc. (a) | 13,117 | 5,036 | |
| Wellman Holdings, Inc. (a) | 430 | 107 | ||
| 5,143 | ||||
| Electrical Equipment - 0.0% | Medis Technologies Ltd. (a) | 71,654 | 4,801 | |
| Energy Equipment & | Trico Marine Services, Inc. (a) | 119,185 | 609,035 | |
| Services - 0.2% | ||||
| Paper & Forest | Ainsworth Lumber Co. Ltd. (a) | 136,289 | 264,727 | |
| Products - 0.2% | Ainsworth Lumber Co. Ltd. (a)(b) | 152,951 | 297,415 | |
| Western Forest Products, Inc. (a)(b) | 84,448 | 15,603 | ||
| 577,745 | ||||
| Total Common Stocks - 0.9% | 2,378,254 | |||
| Par | ||||
| Corporate Bonds | (000) | |||
| Aerospace & Defense - 0.7% | L-3 Communications Corp., 5.88%, 1/15/15 | USD | 500 | 490,000 |
| TransDigm, Inc., 7.75%, 7/15/14 (b) | 1,300 | 1,319,500 | ||
| 1,809,500 | ||||
| Airlines - 0.2% | Delta Air Lines, Inc., Series B, 9.75%, 12/17/16 | 600 | 600,000 | |
| Auto Components - 1.8% | Delphi International Holdings Unsecured, 12.00%, 10/06/14 | 32 | 31,660 | |
| The Goodyear Tire & Rubber Co., 5.01%, 12/01/09 (c) | 4,500 | 4,500,000 | ||
| 4,531,660 | ||||
| Building Products - 2.1% | CPG International I, Inc., 7.87%, 7/01/12 (c) | 3,500 | 3,176,250 | |
| CPG International I, Inc., 10.50%, 7/01/13 | 2,300 | 2,087,250 | ||
| 5,263,500 | ||||
| Capital Markets - 0.4% | Marsico Parent Co., LLC, 10.63%, 1/15/16 | 1,168 | 689,120 | |
| Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(d) | 501 | 107,784 | ||
| Marsico Parent Superholdco, LLC, 14.50%, 1/15/18 (b)(d) | 347 | 74,542 | ||
| 871,446 | ||||
| Chemicals - 0.5% | GEO Specialty Chemicals, Inc., 7.50%, 3/31/15 (b)(d)(e) | 857 | 557,043 | |
| GEO Specialty Chemicals, Inc., 10.00%, 3/31/15 | 844 | 548,704 | ||
| Wellman Holdings, Inc., Third Lien Subordinate Note, | ||||
| 5.00%, 1/29/19 (e) | 441 | 220,500 | ||
| 1,326,247 | ||||
| Commercial Services & | Clean Harbors, Inc., 7.63%, 8/15/16 (b) | 800 | 805,000 | |
| Supplies - 0.5% | The Geo Group, Inc., 7.75%, 10/15/17 (b) | 550 | 558,250 | |
| 1,363,250 | ||||
| Construction Materials - 0.6% | Nortek, Inc., 10.00%, 12/01/13 | 1,540 | 1,578,500 | |
| Consumer Finance - 0.5% | Inmarsat Finance Plc, 7.38%, 12/01/17 (b) | 1,225 | 1,237,250 | |
| Containers & Packaging - 3.0% | Berry Plastics Escrow LLC, 8.25%, 11/15/15 (b) | 1,600 | 1,580,000 | |
| Clondalkin Acquisition BV, 2.25%, 12/15/13 (b)(c) | 4,000 | 3,530,000 | ||
| Crown European Holdings SA, 6.25%, 9/01/11 | EUR | 15 | 23,199 | |
| Owens Brockway Glass Container, Inc., 6.75%, 12/01/14 | 143 | 206,132 | ||
| Packaging Dynamics Finance Corp., 10.00%, | ||||
| 5/01/16 (b) | USD | 905 | 669,700 | |
| Smurfit Kappa Acquisitions, 7.25%, 11/15/17 | EUR | 525 | 752,838 | |
| Smurfit Kappa Acquisitions, 7.75%, 11/15/19 | 500 | 726,373 | ||
| 7,488,242 |
1
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| BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) — Schedule of Investments November 30, 2009 (Unaudited) | (Percentages shown are based on Net Assets) | |||
|---|---|---|---|---|
| Par | ||||
| Industry | Corporate Bonds | (000) | Value | |
| Diversified Financial | FCE Bank Plc, 7.13%, 1/16/12 | EUR | 900 | $ 1,290,579 |
| Services - 1.1% | Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (b) | 400 | 591,609 | |
| Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (b) | USD | 800 | 808,000 | |
| 2,690,188 | ||||
| Diversified Telecommunication | Cincinnati Bell, Inc., 8.25%, 10/15/17 | 1,100 | 1,091,750 | |
| Services - 1.4% | PAETEC Holding Corp., 8.88%, 6/30/17 | 1,150 | 1,141,375 | |
| Qwest Communications International, Inc., | ||||
| 8.00%, 10/01/15 (b) | 600 | 600,000 | ||
| Qwest Corp., 8.38%, 5/01/16 (b) | 540 | 564,300 | ||
| 3,397,425 | ||||
| Food & Staples Retailing - 0.2% | AmeriQual Group LLC, 9.50%, 4/01/12 (b) | 250 | 212,500 | |
| Duane Reade, Inc., 11.75%, 8/01/15 (b) | 190 | 204,725 | ||
| 417,225 | ||||
| Food Products - 0.4% | Smithfield Foods, Inc., 10.00%, 7/15/14 (b) | 900 | 942,750 | |
| Health Care Equipment & | DJO Finance LLC, 10.88%, 11/15/14 | 1,245 | 1,310,362 | |
| Supplies - 0.5% | ||||
| Health Care Providers & | DaVita, Inc., 6.63%, 3/15/13 | 855 | 848,588 | |
| Services - 1.5% | Tenet Healthcare Corp., 9.00%, 5/01/15 (b) | 175 | 185,063 | |
| Tenet Healthcare Corp., 8.88%, 7/01/19 (b) | 2,530 | 2,707,100 | ||
| 3,740,751 | ||||
| Hotels, Restaurants & | American Real Estate Partners LP, 7.13%, 2/15/13 | 3,600 | 3,528,000 | |
| Leisure - 1.6% | Little Traverse Bay Bands of Odawa Indians, 10.25%, | |||
| 2/15/14 (a)(b)(f) | 1,565 | 391,250 | ||
| 3,919,250 | ||||
| Household Durables - 0.5% | Beazer Homes USA, Inc., 12.00%, 10/15/17 (b) | 1,200 | 1,296,000 | |
| Independent Power Producers & | Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (b) | 2,120 | 2,130,600 | |
| Energy Traders - 2.1% | NRG Energy, Inc., 7.25%, 2/01/14 | 3,155 | 3,182,606 | |
| 5,313,206 | ||||
| Industrial | Sequa Corp., 11.75%, 12/01/15 (b) | 640 | 569,600 | |
| Conglomerates - 0.8% | Sequa Corp., 13.50%, 12/01/15 (b)(d) | 1,700 | 1,478,968 | |
| 2,048,568 | ||||
| Machinery - 0.6% | Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (b) | 2,000 | 1,570,000 | |
| Marine - 0.2% | Navios Maritime Holdings, Inc., 8.88%, 11/01/17 (b) | 530 | 543,250 | |
| Media - 3.2% | Affinion Group, Inc., 10.13%, 10/15/13 | 1,050 | 1,071,000 | |
| CSC Holdings, Inc., 8.50%, 4/15/14 (b) | 420 | 441,525 | ||
| CSC Holdings, Inc., Series B, 7.625%, 4/01/11 | 2,000 | 2,070,000 | ||
| Cablevision Systems Corp., Series B, 8.00%, 4/15/12 | 975 | 1,026,187 | ||
| EchoStar DBS Corp., 7.00%, 10/01/13 | 925 | 925,000 | ||
| Local Insight Regatta Holdings, Inc., 11.00%, 12/01/17 | 970 | 582,000 | ||
| UPC Germany GmbH, 8.13%, 12/01/17 (b) | 2,000 | 2,000,000 | ||
| 8,115,712 | ||||
| Metals & Mining - 0.4% | FMG Finance Property Ltd., 4.26%, 9/01/11 (b)(c) | 265 | 257,712 | |
| Ryerson, Inc., 7.66%, 11/01/14 (c) | 900 | 794,250 | ||
| 1,051,962 | ||||
| Oil, Gas & Consumable | SandRidge Energy, Inc., 3.91%, 4/01/14 (c) | 1,600 | 1,353,203 | |
| Fuels - 0.5% |
2
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| BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) — Schedule of Investments November 30, 2009 (Unaudited) | (Percentages shown are based on Net Assets) | |||
|---|---|---|---|---|
| Par | ||||
| Industry | Corporate Bonds | (000) | Value | |
| Paper & Forest | Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(d) | USD | 1,176 | $ 717,270 |
| Products - 0.7% | NewPage Corp., 10.00%, 5/01/12 | 610 | 393,450 | |
| Verso Paper Holdings LLC, Series B, 4.03%, 8/01/14 (c) | 910 | 682,500 | ||
| 1,793,220 | ||||
| Pharmaceuticals - 1.1% | Angiotech Pharmaceuticals, Inc., 4.01%, 12/01/13 (c) | 1,190 | 981,750 | |
| Elan Finance Plc, 4.27%, 11/15/11 (c) | 1,820 | 1,692,600 | ||
| 2,674,350 | ||||
| Semiconductors & | Advanced Micro Devices, Inc., 8.13%, 12/15/17 (b) | 475 | 448,281 | |
| Semiconductor | Avago Technologies Finance Pte. Ltd., 5.86%, 6/01/13 (c) | 900 | 900,563 | |
| Equipment - 1.2% | Spansion, Inc., 3.79%, 6/01/13 (a)(b)(f) | 1,720 | 1,788,800 | |
| 3,137,644 | ||||
| Wireless Telecommunication | Cricket Communications, Inc., 7.75%, 5/15/16 (b) | 2,500 | 2,468,750 | |
| Services - 1.7% | Crown Castle International Corp., 9.00%, 1/15/15 | 165 | 174,487 | |
| Digicel Group Ltd., 9.13%, 1/15/15 (b)(d) | 278 | 268,270 | ||
| iPCS, Inc., 2.41%, 5/01/13 (c) | 1,500 | 1,323,750 | ||
| 4,235,257 | ||||
| Total Corporate Bonds - 30.0% | 75,619,918 | |||
| Floating Rate Loan Interests (c) | ||||
| Aerospace & Defense - 1.1% | Avio SpA Facility B2 (USD), 2.36%, 12/15/14 | 811 | 732,720 | |
| Avio SpA Facility C2 (USD), 2.98%, 12/15/15 | 865 | 781,112 | ||
| Hawker Beechcraft Acquisition Co., LLC, Letter of Credit | ||||
| Facility Deposit, 2.28%, 3/26/14 | 98 | 72,924 | ||
| Hawker Beechcraft Acquisition Co., LLC, Term Loan, | ||||
| 2.23% - 2.28%, 3/26/14 | 1,611 | 1,202,888 | ||
| 2,789,644 | ||||
| Airlines - 0.4% | Delta Air Lines, Inc., Credit-Linked Deposit Loan, | |||
| 0.09% - 2.28%, 4/30/12 | 1,225 | 1,075,958 | ||
| Auto Components - 2.9% | Allison Transmission, Inc., Term Loan, 2.99% - 3.04%, | |||
| 8/07/14 | 4,812 | 4,210,683 | ||
| Dana Holding Corp., Term Advance, | ||||
| 6.50% - 7.25%, 1/31/15 | 1,390 | 1,240,550 | ||
| GPX International Tire Corp., Amendment Fee, | ||||
| 12.00%, 4/11/12 (a)(f) | 22 | 6,626 | ||
| GPX International Tire Corp., Tranche B Term Loan, | ||||
| 10.25%, 3/30/12 (a)(f) | 1,280 | 384,097 | ||
| Lear Corp. Loan (Closing Date Loan & Delayed Draw | ||||
| Loan), 7.50%, 10/14/14 | 1,406 | 1,408,300 | ||
| 7,250,256 | ||||
| Automobiles - 0.4% | Ford Motor Co., Tranche B-1 Term Loan, | |||
| 3.24% - 3.29%, 12/15/13 | 1,270 | 1,112,717 | ||
| Beverages - 0.7% | Culligan International Co., Loan (Second Lien), | |||
| 5.17%, 4/24/13 | EUR | 500 | 275,909 | |
| Inbev NV Bridge Loan, 1.43%, 7/15/11 | USD | 1,444 | 1,434,815 | |
| 1,710,724 | ||||
| Building Products - 2.0% | Building Materials Corp. of America, Term Loan Advance, | |||
| 3.00%, 2/22/14 | 1,963 | 1,775,309 |
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| BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) — Schedule of Investments November 30, 2009 (Unaudited) | (Percentages shown are based on Net Assets) | |||
|---|---|---|---|---|
| Par | ||||
| Industry | Floating Rate Loan Interests (c) | (000) | Value | |
| Goodman Global Inc., Term Loan, 6.25%, 2/13/14 | USD | 2,075 | $ 2,073,272 | |
| PGT Industries, Inc., Tranche A-2 Term Loan, | ||||
| 7.25%, 2/14/12 | 1,496 | 1,106,865 | ||
| 4,955,446 | ||||
| Chemicals - 5.1% | Ashland Inc., Term B Borrowing, 7.65%, 5/13/14 | 860 | 872,716 | |
| Edwards (Cayman Islands II) Ltd., Term Loan (First | ||||
| Lien), 2.26%, 5/31/14 | 489 | 407,495 | ||
| Gentek Holding, LLC, Tranche B Term Loan, | ||||
| 7.00%, 10/20/14 | 900 | 903,750 | ||
| Huish Detergents Inc., Tranche B Term Loan, | ||||
| 1.99%, 4/26/14 | 716 | 679,244 | ||
| Matrix Acquisition Corp. (MacDermid, Inc.), | ||||
| Tranche C Term Loan, 2.66%, 12/15/13 | EUR | 573 | 688,156 | |
| Nalco Co., Term Loan, 6.50%, 5/13/16 | USD | 2,438 | 2,452,986 | |
| PQ Corp. (fka Niagara Acquisition, Inc.), Original Term | ||||
| Loan (First Lien), 3.49% - 3.54%, 7/30/14 | 3,950 | 3,476,000 | ||
| Solutia Inc., Loan, 7.25%, 2/28/14 | 3,318 | 3,356,303 | ||
| 12,836,650 | ||||
| Commercial Services & | ARAMARK Corp., Facility Letter of Credit, | |||
| Supplies - 2.8% | 2.31%, 1/26/14 | 105 | 94,382 | |
| ARAMARK Corp., U.S. Term Loan, 2.11% - 2.16%, 1/26/14 | 1,592 | 1,435,148 | ||
| Casella Waste Systems, Inc., Term Loan B, 7.00%, | ||||
| 4/08/14 | 748 | 749,995 | ||
| John Maneely Co., Term Loan, 3.49% - 3.53%, 12/09/13 | 844 | 772,062 | ||
| Johnson Diversey, Inc., Term Loan B, 5.50%, 11/20/15 | 900 | 897,750 | ||
| Synagro Technologies, Inc., Term Loan (First Lien), | ||||
| 2.23% - 2.24%, 4/02/14 | 1,568 | 1,264,189 | ||
| West Corp., Incremental Term Loan B-3, 7.25%, 11/08/13 | 1,496 | 1,486,227 | ||
| West Corp., Term Loan B-2, 2.61%, 10/24/13 | 532 | 474,976 | ||
| 7,174,729 | ||||
| Computers & | Intergraph Corp., Initial Term Loan (First Lien), | |||
| Peripherals - 0.3% | 2.26%, 5/29/14 | 419 | 390,429 | |
| Intergraph Corp., Term Loan (Second Lien), 6.26%, | ||||
| 11/28/14 | 500 | 470,000 | ||
| 860,429 | ||||
| Consumer Finance - 0.5% | DaimlerChrysler Financial Services Americas LLC, Term Loan | |||
| (First Lien), 4.24%, 8/03/12 | 1,325 | 1,273,104 | ||
| Containers & Packaging - 0.8% | Graham Packaging Co., LP, Term Loan B, | |||
| 2.50%, 10/07/11 | 108 | 104,561 | ||
| Graham Packaging Co., LP, Term Loan C, 6.75%, 4/27/14 | 1,084 | 1,081,126 | ||
| Graphic Packaging International, Inc., Incremental | ||||
| Term Loan, 2.98% - 5.00%, 5/16/14 | 770 | 724,900 | ||
| 1,910,587 | ||||
| Distributors - 0.1% | Keystone Automotive Operations, Inc., Loan, | |||
| 3.74% - 5.75%, 1/12/12 | 442 | 276,075 |
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| BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) — Schedule of Investments November 30, 2009 (Unaudited) | (Percentages shown are based on Net Assets) | |||
|---|---|---|---|---|
| Par | ||||
| Industry | Floating Rate Loan Interests (c) | (000) | Value | |
| Diversified Consumer | Coinmach Service Corp., Term Loan, | |||
| Services - 2.2% | 3.24% - 3.27%, 11/14/14 | USD | 2,709 | $ 2,302,350 |
| Laureate Education, Inc., Series A, New Term Loan, | ||||
| 7.00%, 12/31/14 | 3,500 | 3,373,125 | ||
| 5,675,475 | ||||
| Diversified Financial | CIT Group, Inc., Tranche 2A Term Loan A, 9.50%, 1/20/12 | 4,125 | 4,183,439 | |
| Services - 2.2% | Reynolds Group Holdings Inc., U.S. Term Loan, | |||
| 6.25%, 10/28/15 | 1,300 | 1,296,750 | ||
| 5,480,189 | ||||
| Diversified Media - 0.4% | AlixPartners, LLP, Tranche C Term Loan, | |||
| 2.24% - 2.30%, 10/12/13 | 1,166 | 1,117,560 | ||
| Diversified Telecommunication | Integra Telecom Holdings, Inc., Term Loan (First Lien), | |||
| Services - 1.9% | 10.50%, 8/31/13 | 1,746 | 1,733,910 | |
| PAETEC Holding Corp., Incremental Term Loan, 2.73%, | ||||
| 2/28/13 | 168 | 158,076 | ||
| Wind Finance SL SA, Facility (Second Lien), 7.68%, | ||||
| 12/17/14 | EUR | 1,000 | 1,510,359 | |
| Wind Telecomunicazioni SpA, A1 Term Loan Facility, | ||||
| 3.01%, 9/22/12 | 1,000 | 1,458,795 | ||
| 4,861,140 | ||||
| Electrical Equipment - 0.7% | Baldor Electric Co., Term Loan, 5.25%, 1/31/14 | USD | 1,366 | 1,355,573 |
| Generac Acquisition Corp., Term Loan (First Lien), | ||||
| 2.78%, 11/10/13 | 548 | 495,614 | ||
| 1,851,187 | ||||
| Energy Equipment & | Dresser, Inc., Term Loan B, 2.52%, 5/04/14 | 1,000 | 917,143 | |
| Services - 1.1% | MEG Energy Corp., Delayed Draw Term Loan, | |||
| 2.29%, 4/02/13 | 984 | 893,983 | ||
| MEG Energy Corp., Initial Term Loan, 2.29%, 4/03/13 | 965 | 876,944 | ||
| 2,688,070 | ||||
| Food & Staples | AB Acquisitions UK Topco 2 Ltd. (fka Alliance Boots), | |||
| Retailing - 3.8% | Facility B1, 3.52%, 7/09/15 | GBP | 1,300 | 1,871,774 |
| DS Waters of America Inc., Term Loan, | ||||
| 2.54%, 10/29/12 | USD | 917 | 852,758 | |
| McJunkin Corp., Term Loan, 5.50%, 1/31/14 | 497 | 473,400 | ||
| Pierre Foods, Inc., Term Loan, 8.50%, 9/23/14 | 656 | 658,778 | ||
| Pilot Travel Centers, Term Loan B, 0.00%, 11/18/15 | 2,750 | 2,752,291 | ||
| Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15 | 1,900 | 1,953,833 | ||
| SuperValu, Term Loan B, 1.50%, 6/02/12 | 755 | 713,286 | ||
| WM. Bolthouse Farms, Inc., Term Loan (First Lien), | ||||
| 5.50%, 12/16/12 | 365 | 354,388 | ||
| 9,630,508 | ||||
| Food Products - 4.2% | Cloverhill Bakery, Delay Draw Term Loan, 8.50%, 10/14/14 | 411 | 408,661 | |
| Cloverhill Bakery, Term Loan, 8.50%, 10/14/14 | 1,889 | 1,879,839 | ||
| Dole Food Co., Inc., Credit-Linked Deposit, | ||||
| 7.78%, 4/12/13 | 390 | 391,913 |
5
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| BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) — Schedule of Investments November 30, 2009 (Unaudited) | (Percentages shown are based on Net Assets) | |||
|---|---|---|---|---|
| Par | ||||
| Industry | Floating Rate Loan Interests (c) | (000) | Value | |
| Dole Food Co., Inc., Tranche B Term Loan, | ||||
| 8.00%, 4/12/13 | USD | 680 | $ 683,329 | |
| Michaels Stores, Inc., Term Loan B, 4.81%, 7/31/16 | 1,094 | 970,898 | ||
| Solvest, Ltd. (Dole), Tranche C Term Loan, 8.00%, 4/12/13 | 2,248 | 2,258,416 | ||
| Wm. Wrigley Jr. Co., Tranche B Term Loan, | ||||
| 6.50%, 9/30/14 | 3,874 | 3,886,056 | ||
| 10,479,112 | ||||
| Health Care Equipment & | Biomet, Inc., Dollar Term Loan, 3.25% - 3.29%, 3/25/15 | 2,244 | 2,120,840 | |
| Supplies - 1.3% | DJO Finance LLC (ReAble Therapeutics Finance LLC), | |||
| Term Loan, 3.23% - 3.28%, 5/20/14 | 983 | 922,322 | ||
| Hologic, Inc., Tranche B Term Loan, 3.50%, 3/31/13 | 162 | 158,364 | ||
| 3,201,526 | ||||
| Health Care Providers & | CCS Medical, Inc. (Chronic Care), Loan Debtor in Possession, | |||
| Services - 6.0% | 11.00%, 11/16/12 | 31 | 31,247 | |
| CCS Medical, Inc. (Chronic Care), Term Loan (First | ||||
| Lien), 4.35%, 9/30/12 (a)(f) | 750 | 392,500 | ||
| CCS Medical Return of Capital, 0.00%, 9/30/11 | 250 | 130,833 | ||
| CHS/Community Health Systems, Inc., Delayed Draw | ||||
| Term Loan, 2.51%, 7/25/14 | 221 | 202,272 | ||
| CHS/Community Health Systems, Inc., Funded Term | ||||
| Loan, 2.48% - 2.51%, 7/25/14 | 4,320 | 3,947,175 | ||
| DaVita Inc., Tranche B-1 Term Loan, | ||||
| 1.74% - 1.79%, 10/05/12 | 200 | 188,722 | ||
| Fresenius SE Term Loan B2, 6.75%, 7/06/14 | 903 | 905,376 | ||
| Fresenius SE Tranche B1 Term Loan, 6.75%, 7/06/14 | 1,479 | 1,481,728 | ||
| HCA Inc., Tranche A-1 Term Loan, 1.78%, 11/17/12 | 3,512 | 3,260,984 | ||
| HCA Inc., Tranche B-1 Term Loan, 2.53%, 11/18/13 | 3,098 | 2,875,415 | ||
| Vanguard Health Holding Co. II, LLC (Vanguard Health | ||||
| System, Inc.), Replacement Term Loan, 2.48%, 9/23/11 | 1,764 | 1,708,078 | ||
| 15,124,330 | ||||
| Hotels, Restaurants & | Busch Entertainment Corp., Term Loan, 5.75%, 5/05/16 | 2,250 | 2,250,562 | |
| Leisure - 4.0% | Golden Nugget, Inc., Term Loan (Second Lien), 3.51%, | |||
| 12/31/14 | 250 | 100,000 | ||
| Green Valley Ranch Gaming, LLC, Loan (Second Lien), | ||||
| 3.55%, 8/16/14 | 500 | 112,500 | ||
| Harrah's Operating Co., Inc., | ||||
| Term Loan B-1, 3.28%, 1/28/15 | 192 | 148,918 | ||
| Harrah's Operating Co., Inc., | ||||
| Term Loan B-2, 3.28%, 1/28/15 | 2,259 | 1,750,557 | ||
| Harrah's Operating Co., Inc., | ||||
| Term Loan B-3, 3.28%, 1/28/15 | 169 | 130,698 | ||
| Penn National Gaming, Inc., Term Loan B, | ||||
| 1.98% - 2.03%, 10/03/12 | 1,136 | 1,082,930 | ||
| QCE, LLC (Quiznos), Term Loan (First Lien), | ||||
| 2.56%, 11/05/13 | 976 | 785,367 |
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| BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) — Schedule of Investments November 30, 2009 (Unaudited) | (Percentages shown are based on Net Assets) | |||
|---|---|---|---|---|
| Par | ||||
| Industry | Floating Rate Loan Interests (c) | (000) | Value | |
| Travelport LLC (fka Travelport Inc.), | ||||
| Original Post-First Amendment and Restatement, | ||||
| Synthetic Letter of Credit Loan, 2.78%, 8/23/13 | USD | 178 | $ 157,588 | |
| Travelport LLC (fka Travelport Inc.), | ||||
| Tranche B Dollar Term Loan, 2.78%, 8/23/13 | 889 | 785,387 | ||
| Universal City Development, Term Loan B, 7.75%, 10/29/14 | 1,500 | 1,492,032 | ||
| VML US Finance LLC (aka Venetian Macau), Term B | ||||
| Delayed Draw Project Loan, 5.79%, 5/25/12 | 382 | 361,102 | ||
| VML US Finance LLC (aka Venetian Macau), Term B | ||||
| Funded Project Loan, 5.79%, 5/27/13 | 862 | 814,761 | ||
| 9,972,402 | ||||
| Household Durables - 2.8% | American Residential Services LLC, Term Loan (Second | |||
| Lien), 12.00%, 4/17/15 | 2,051 | 1,927,183 | ||
| Jarden Corp., Term Loan B3, 2.78%, 1/24/12 | 1,280 | 1,244,385 | ||
| Simmons Bedding Co., Tranche D Term Loan, | ||||
| 10.50%, 12/19/11 | 3,166 | 3,118,475 | ||
| Yankee Candle Co., Inc., Term Loan, 2.24%, 2/06/14 | 809 | 743,915 | ||
| 7,033,958 | ||||
| IT Services - 4.1% | Audio Visual Services Group, Inc., | |||
| Loan (Second Lien), 6.79%, 8/28/14 | 1,059 | 105,867 | ||
| Audio Visual Services Group, Inc., | ||||
| Tranche B Term Loan (First Lien), 2.54%, 2/28/14 | 997 | 683,257 | ||
| Ceridian Corp., U.S. Term Loan, 3.24% - 3.28%, | ||||
| 11/09/14 | 1,152 | 993,349 | ||
| First Data Corp., Initial | ||||
| Tranche B-1 Term Loan, 2.99% - 3.04%, 9/24/14 | 788 | 655,673 | ||
| First Data Corp., Initial | ||||
| Tranche B-2 Term Loan, 3.03% - 3.04%, 9/24/14 | 4,618 | 3,835,236 | ||
| First Data Corp., Initial | ||||
| Tranche B-3 Term Loan, 3.03% - 3.04%, 9/24/14 | 341 | 282,497 | ||
| RedPrairie Corp., Loan (Second Lien), 6.78%, 1/20/13 | 300 | 254,250 | ||
| RedPrairie Corp., Term Loan B, 3.31% - 5.25%, 7/20/12 | 562 | 528,051 | ||
| SunGard Data Systems Inc. (Solar Capital Corp.), | ||||
| Incremental Term Loan, 6.75%, 2/28/14 | 898 | 902,671 | ||
| SunGard Data Systems Inc. (Solar Capital Corp.), | ||||
| Tranche B U.S. Term Loan, 3.88% - 3.90%, 2/28/16 | 2,255 | 2,119,060 | ||
| 10,359,911 | ||||
| Independent Power Producers & | Dynegy Holdings Inc., Letter of Credit Facility Term | |||
| Energy Traders - 1.9% | Loan, 3.99%, 4/02/13 | 1,388 | 1,310,486 | |
| Dynegy Holdings Inc., Tranche B Term Loan, | ||||
| 3.99%, 4/02/13 | 112 | 105,764 | ||
| Texas Competitive Electric Holdings Co., LLC (TXU), | ||||
| Initial Tranche B-1 Term Loan, 3.75% - 3.78%, 10/10/14 | 2,522 | 1,876,781 | ||
| Texas Competitive Electric Holdings Co., LLC (TXU), | ||||
| Initial Tranche B-2 Term Loan, 3.74% - 3.78%, 10/10/14 | 225 | 167,634 |
7
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| BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) — Schedule of Investments November 30, 2009 (Unaudited) | (Percentages shown are based on Net Assets) | |||
|---|---|---|---|---|
| Par | ||||
| Industry | Floating Rate Loan Interests (c) | (000) | Value | |
| Texas Competitive Electric Holdings Co., LLC (TXU), Initial | ||||
| Tranche B-3 Term Loan, 3.74% - 3.78%, 10/10/14 | USD | 1,940 | $ 1,433,055 | |
| 4,893,720 | ||||
| Industrial | Sequa Corp., Term Loan, 3.58% - 3.94%, 12/03/14 | 1,519 | 1,311,921 | |
| Conglomerates - 0.5% | ||||
| Insurance - 0.2% | Alliant Holdings I, Inc., Term Loan, 3.28%, 8/21/14 | 490 | 443,450 | |
| Internet & Catalog | FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14 | 688 | 682,799 | |
| Retail - 0.3% | ||||
| Leisure Equipment & | 24 Hour Fitness Worldwide, Inc., Tranche B Term | |||
| Products - 1.6% | Loan, 2.74% - 2.79%, 6/08/12 | 3,860 | 3,576,935 | |
| Fender Musical Instruments Corp., | ||||
| Delayed Draw Term Loan, 2.54%, 6/09/14 | 165 | 139,305 | ||
| Fender Musical Instruments Corp. | ||||
| Initial Loan, 2.54%, 6/09/14 | 326 | 275,789 | ||
| 3,992,029 | ||||
| Life Sciences Tools & | Life Technologies Corp., Term B Facility, 5.25%, 11/23/15 | 2,529 | 2,523,521 | |
| Services - 1.0% | ||||
| Machinery - 2.5% | Accuride Term Loan, 6.00%, 1/31/12 | 790 | 784,075 | |
| NACCO Materials Handling Group, Inc., Loan, | ||||
| 2.23% - 2.52%, 3/21/13 | 1,451 | 1,146,488 | ||
| Navistar Financial Corp., Tranche A Term Loan, | ||||
| 2.25%, 3/27/10 | 1,938 | 1,906,844 | ||
| Oshkosh Truck Corp., Term Loan B, 6.29% - 6.33%, | ||||
| 12/06/13 | 2,382 | 2,373,780 | ||
| 6,211,187 | ||||
| Media - 21.1% | Affinion Group Holdings, Inc., Loan, 8.27%, 3/01/12 | 1,295 | 1,149,579 | |
| Catalina Marketing Corp., Initial Term Loan, | ||||
| 2.99%, 10/01/14 | 1,348 | 1,250,443 | ||
| Cengage Learning Acquisitions, Inc. (Thomson Learning), | ||||
| Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | 4,189 | 4,121,316 | ||
| Cequel Communications, LLC, Term Loan, | ||||
| 2.26% - 4.25%, 11/05/13 | 1,826 | 1,684,617 | ||
| Cequel Communications, LLC, Tranche A Term Loan | ||||
| (Second Lien), 4.76%, 5/05/14 | 2,000 | 1,905,000 | ||
| Charter Communications Operating, LLC, New Term | ||||
| Loan, 2.26%, 3/06/14 | 1,000 | 924,167 | ||
| Charter Communications Operating LLC, Term Loan B1, | ||||
| 7.25%, 3/25/14 | 3,453 | 3,487,076 | ||
| HMH Publishing Co., Ltd. Mezzanine, 17.50%, 11/14/14 | 568 | 113,544 | ||
| HMH Publishing Co., Ltd. Tranche A Term Loan, | ||||
| 5.28%, 6/12/14 | 2,648 | 2,247,197 | ||
| Hanley-Wood, LLC (FSC Acquisition), Term Loan, | ||||
| 2.48% - 2.53%, 3/08/14 | 1,474 | 618,975 | ||
| Harland Clarke Holdings Corp. (fka Clarke American Corp.), | ||||
| Tranche B Term Loan, 2.73% - 2.78%, 6/30/14 | 978 | 802,161 |
8
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| BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) — Schedule of Investments November 30, 2009 (Unaudited) | (Percentages shown are based on Net Assets) | |||
|---|---|---|---|---|
| Par | ||||
| Industry | Floating Rate Loan Interests (c) | (000) | Value | |
| Insight Midwest Holdings, LLC, B Term Loan, | ||||
| 2.29%, 4/07/14 | USD | 1,825 | $ 1,703,767 | |
| Intelsat Corp. (fka PanAmSat Corp.), Tranche B-2-A | ||||
| Term Loan, 2.74%, 1/03/14 | 333 | 308,917 | ||
| Intelsat Corp. (fka PanAmSat Corp.), Tranche B-2-B | ||||
| Term Loan, 2.74%, 1/03/14 | 333 | 308,823 | ||
| Intelsat Corp. (fka PanAmSat Corp.), Tranche B-2-C | ||||
| Term Loan, 2.74%, 1/03/14 | 333 | 308,823 | ||
| Intelsat Subsidiary Holding Co. Ltd., Tranche B Term | ||||
| Loan, 2.74%, 1/03/14 | 1,891 | 1,769,591 | ||
| Lamar Media Corp., Series B, Incremental Term Loan, | ||||
| 5.50%, 9/28/12 | 1,079 | 1,070,528 | ||
| Lamar Media Corp., Series E, Incremental Term Loan, | ||||
| 5.50%, 3/15/13 | 488 | 484,746 | ||
| Lamar Media Corp. Term Loan, 5.50%, 9/30/12 | 1,512 | 1,499,783 | ||
| Lavena Holding 3 GmbH (Prosiebensat.1 Media AG), | ||||
| Facility B1, 3.53%, 6/30/15 | EUR | 337 | 334,335 | |
| Lavena Holding 3 GmbH (Prosiebensat.1 Media AG), | ||||
| Facility C1, 3.78%, 6/30/16 | 337 | 334,335 | ||
| MCC Iowa LLC (Mediacom Broadband Group), | ||||
| Tranche A Term Loan, 1.73%, 3/31/10 | USD | 372 | 364,438 | |
| MCC Iowa LLC (Mediacom Broadband Group), | ||||
| Tranche E Term Loan, 6.50%, 1/03/16 | 2,861 | 2,862,304 | ||
| MCNA Cable Holdings LLC (OneLink Communications), | ||||
| Loan (PIK facility), 7.23%, 3/01/13 | 1,289 | 515,574 | ||
| Mediannuaire Holding (Pages Jaunes), Term Loan D, | ||||
| 5.03%, 1/11/17 | EUR | 500 | 450,464 | |
| Metro-Goldwyn-Mayer Inc., Tranche B Term Loan, | ||||
| 20.50%, 4/09/12 | USD | 2,498 | 1,561,447 | |
| Multicultural Radio Broadcasting, Inc., Term Loan, | ||||
| 2.99%, 12/18/12 | 311 | 233,250 | ||
| Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13 | 1,750 | 1,831,667 | ||
| Nielsen Finance LLC Class A Dollar Term Loan, | ||||
| 2.24%, 8/09/13 | 1,809 | 1,625,820 | ||
| Nielsen Finance LLC Class B Dollar Term Loan, | ||||
| 3.99%, 5/01/16 | 3,769 | 3,444,290 | ||
| Penton Media, Inc., Loan (Second Lien), 5.28%, 2/01/14 | 1,000 | 203,333 | ||
| Sinclair Television Group, Inc., Tranche B Term Loan, | ||||
| 6.50%, 10/16/15 | 1,250 | 1,250,521 | ||
| Springer Term Loan B, 3.14%, 9/16/11 | EUR | 1,000 | 1,439,157 | |
| Sunshine Acquisition Ltd. (aka HIT Entertainment), | ||||
| Term Facility, 2.53%, 3/20/12 | USD | 1,757 | 1,506,656 | |
| TWCC Holding Corp., Term Loan, 7.25%, 9/14/15 | 2,732 | 2,732,450 | ||
| UPC Financing Partnership, Facility U, 4.43%, | ||||
| 12/31/17 | EUR | 1,850 | 2,563,271 |
9
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| BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) — Schedule of Investments November 30, 2009 (Unaudited) | (Percentages shown are based on Net Assets) | |||
|---|---|---|---|---|
| Par | ||||
| Industry | Floating Rate Loan Interests (c) | (000) | Value | |
| Virgin Media Investment Holdings Ltd., C Facility, | ||||
| 3.58%, 7/17/13 | GBP | 790 | $ 1,206,841 | |
| Virgin Media NTL, Term Loan A, 3.49%, 3/03/11 | 529 | 845,995 | ||
| World Color Press Inc. and World Color (USA) Corp. | ||||
| (fka Quebecor World Inc.), Advance, 9.00%, 7/23/12 | USD | 1,298 | 1,300,897 | |
| Yell Group Plc TPI, Term Loan A, 7.12%, 8/09/11 | 1,000 | 915,000 | ||
| 53,281,098 | ||||
| Multi-Utilities - 0.8% | Energy Transfer Equity, LP, Term Loan, 1.99%, 11/01/12 | 1,000 | 973,125 | |
| FirstLight Power Resources, Inc. (fka NE Energy, Inc.), | ||||
| Synthetic Letter of Credit, 2.81%, 11/01/13 | 86 | 77,954 | ||
| FirstLight Power Resources, Inc. (fka NE Energy, Inc.), | ||||
| Term Advance (Second Lien), 4.81%, 5/01/14 | 500 | 422,500 | ||
| FirstLight Power Resources, Inc. (fka NE Energy, Inc.), | ||||
| Term B Advance (First Lien), 2.81%, 11/01/13 | 664 | 605,015 | ||
| 2,078,594 | ||||
| Multiline Retail - 0.8% | Dollar General Corp., Tranche B-2 Term Loan, | |||
| 2.98%, 7/07/14 | 1,970 | 1,834,073 | ||
| The Neiman Marcus Group Inc., Term Loan, | ||||
| 2.24% - 2.32%, 4/06/13 | 155 | 131,836 | ||
| 1,965,909 | ||||
| Oil, Gas & Consumable | Big West Oil, LLC, Delayed Advance Loan, 4.50%, 5/15/14 | 779 | 739,876 | |
| Fuels - 1.4% | Big West Oil, LLC, Initial Advance Loan, 4.50%, 5/15/14 | 619 | 588,402 | |
| Coffeyville Resources, LLC, Tranche D Term Loan, | ||||
| 8.50%, 12/30/13 | 1,555 | 1,546,398 | ||
| Vulcan Energy Corp. (fka Plains Resources Inc.), | ||||
| Term Loan B4, 5.50%, 9/30/15 | 775 | 776,938 | ||
| 3,651,614 | ||||
| Packaging - 0.4% | Berry Plastics Holding Corp., Term Loan C, 2.30%, | |||
| 4/02/15 | 1,050 | 882,875 | ||
| Paper & Forest | Georgia-Pacific LLC, Term Loan B, | |||
| Products - 1.9% | 2.24% - 2.30%, 12/22/12 | 4,286 | 4,067,974 | |
| Verso Paper Finance Holdings LLC, Loan, | ||||
| 6.53% - 7.28%, 2/01/13 | 2,017 | 726,212 | ||
| 4,794,186 | ||||
| Personal Products - 0.4% | American Safety Razor Co., LLC, Loan (Second Lien), | |||
| 6.54%, 1/30/14 | 425 | 349,208 | ||
| American Safety Razor Co., LLC, Term Loan (First | ||||
| Lien), 2.79%, 7/25/13 | 300 | 281,500 | ||
| Revlon, Term Loan B, 4.29%, 1/15/12 | 300 | 288,000 | ||
| 918,708 | ||||
| Pharmaceuticals - 1.3% | Catalent Pharma Solutions, Inc. (fka Cardinal Health | |||
| 409, Inc.), Term Loan, 2.69%, 4/15/14 | EUR | 278 | 358,344 | |
| Warner Chilcott Co., LLC, Term Loan A, 5.50%, | ||||
| 10/14/14 | 1,119 | 1,114,442 | ||
| Warner Chilcott Co., LLC, Term Loan B-2, 5.75%, | ||||
| 4/30/15 | USD | 1,231 | 1,225,887 |
10
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| BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) — Schedule of Investments November 30, 2009 (Unaudited) | (Percentages shown are based on Net Assets) | |||
|---|---|---|---|---|
| Par | ||||
| Industry | Floating Rate Loan Interests (c) | (000) | Value | |
| Warner Chilcott Corp., Incremental Term Loan B-1, | ||||
| 5.75%, 3/30/15 | USD | 559 $ | 557,221 | |
| 3,255,894 | ||||
| Real Estate Management & | Mattamy Funding Partnership, Loan, 2.56%, 4/11/13 | 965 | 772,000 | |
| Development - 1.2% | Realogy Corp., Delay Draw Term Loan, 3.28%, 10/10/13 | 650 | 551,146 | |
| Realogy Corp., Initial Term Loan B, 3.29%, 10/10/13 | 1,955 | 1,657,678 | ||
| 2,980,824 | ||||
| Specialty Retail - 0.6% | Adesa, Inc. (KAR Holdings, Inc.), Initial Term Loan, | |||
| 2.49%, 10/21/13 | 1,000 | 918,333 | ||
| Michaels Stores, Inc., Term Loan B, 2.56%, 10/31/13 | 597 | 514,023 | ||
| 1,432,356 | ||||
| Wireless Telecommunication | Digicel International Finance Ltd., Tranche A, | |||
| Services - 1.8% | 2.81%, 3/30/12 | 2,367 | 2,266,103 | |
| MetroPCS Wireless, Inc., Tranche B Term Loan, | ||||
| 2.50% - 2.56%, 11/03/13 | 1,750 | 1,612,188 | ||
| Ntelos Inc., Term B Advance, 5.75%, 8/07/15 | 625 | 623,438 | ||
| 4,501,729 | ||||
| Total Floating Rate Loan Interests - 91.5% | 230,504,101 | |||
| Beneficial | ||||
| Interest | ||||
| Other Interests (g) | (000) | |||
| Auto Components - 0.7% | Delphi Debtor in Possession Holding Co. LLP, Class B | |||
| Membership Interests | -(h) | 1,775,807 | ||
| Diversified Financial | JG Wentworth LLC Preferred Equity Interests | -(h) | 619,050 | |
| Services - 0.2% | ||||
| Total Other Interests - 0.9% | 2,394,857 | |||
| Preferred Stocks | Shares | |||
| Capital Markets - 0.0% | Marsico Parent Superholdco, LLC, 16.75% (b) | 78 | 17,550 | |
| Total Preferred Stocks - 0.0% | 17,550 | |||
| Total Long-Term Investments (Cost - $338,661,110) - 123.3% | 310,914,680 | |||
| Short-Term Securities | ||||
| BlackRock Liquidity Funds, TempFund, Institutional | ||||
| Class, 0.16% (i)(j) | 2,491,605 | 2,491,605 | ||
| Total Short-Term Securities | ||||
| (Cost - $2,491,605) - 1.0% | 2,491,605 | |||
| Options Purchased | Contracts | |||
| Over-the-Counter Call Options | Marsico Parent Superholdco LLC, Strike Price USD 942.86, | |||
| Expires 12/21/19, Broker Goldman Sachs & Co. | 20 | 20,000 | ||
| Total Options Purchased | ||||
| (Cost - $19,556) - 0.0% | 20,000 | |||
| Total Investments | ||||
| (Cost - $341,172,271*) - 124.3% | 313,426,285 | |||
| Liabilities in Excess of Other Assets - (24.3)% | (61,228,673) | |||
| Net Assets - 100.0% | $ 252,197,612 |
11
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BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) Schedule of Investments November 30, 2009 (Unaudited)
2009, as computed for federal income tax purposes, were as follows:
| Aggregate cost | $ 341,433,801 |
|---|---|
| Gross unrealized appreciation | $ 5,660,520 |
| Gross unrealized depreciation | (33,668,036) |
| Net unrealized depreciation | $ (28,007,516) |
(a) Non-income producing security. (b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. (c) Variable rate security. Rate shown is as of report date. (d) Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. (e) Convertible security. (f) Issuer filed for bankruptcy and/or is in default of interest payments. (g) Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. (h) Amount is less than $1,000. (i) Investments in companies considered to be an affiliate of the Fund, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:
| Affiliate | Net Activity | Income |
|---|---|---|
| BlackRock Liquidity Funds, TempFund, Institutional Class | $ 473,226 | $ 571,631 |
(j) Represents the current yield as of report date. For Fund compliance purposes, the Fund'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 Fund management. This definition may not apply for the purposes of this report, which may combine industry sub- classifications for reporting ease. Foreign currency exchange contracts as of November 30, 2009 were as follows:
| Currency | Currency | Settlement | Unrealized — Appreciation | |
|---|---|---|---|---|
| Purchased | Sold | Counterparty | Date | (Depreciation) |
| USD 14,558,193 | EUR 9,790,500 | Citibank NA | 1/20/10 | $ (140,073) |
| USD 304,131 | CAD 316,000 | Goldman Sachs & Co. | 1/27/10 | 4,722 |
| USD 5,754,108 | GBP 3,499,000 | Citibank NA | 1/27/10 | 139 |
| Total | $ (135,212) |
Credit default swaps on single-name issues - buy protection outstanding as of November 30, 2009 were as follows:
| Pay — Fixed | Notional — Amount | Unrealized — Appreciation | ||||
|---|---|---|---|---|---|---|
| Issuer | Rate | Counterparty | Expiration | (000) | (Depreciation) | |
| Masco Corp. | 5.30% | JPMorgan Chase Bank NA | 3/20/14 | USD 1,000 | $ (116,579) | |
| Mohawk | ||||||
| Industries Inc. | 4.45% | JPMorgan Chase Bank NA | 3/20/14 | USD | 1,000 | (85,020) |
| Ford Motor Co. | 5.00% | Deutsche Bank AG | 9/20/14 | USD | 850 | 5,070 |
| Total | $ (196,529) |
12
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BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) Schedule of Investments November 30, 2009 (Unaudited)
Credit default swaps on single-name issues-sold protection outstanding as of November 30, 2009 were as follows:
| Receive — Fixed | Credit | Notional — Amount | Unrealized | |||
|---|---|---|---|---|---|---|
| Issuer | Rate | Counterparty | Expiration | Rating 1 | (000) 2 | Depreciation |
| Ford Motor Co. | 3.80% | UBS AG | 3/20/10 | B- | USD 2,000 | $ (8,987) |
1 Using Standard & Poor's rating of the issuer 2 The maximum potential amount the Fund may be required to pay should a negative credit event take place as defined under the terms of the agreement Currency Abbreviations:
| CAD | Canadian Dollar |
|---|---|
| EUR | Euro |
| GBP | British Pound |
| USD | US Dollar |
Fair Value Measurements - Various inputs are used in determining the fair value of investments, which are as follows: Level 1 - price quotations in active markets/exchanges for identical assets and liabilities Level 2 - other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market- corroborated inputs) Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund's own assumptions used in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent financial statements as contained in its annual report.
13
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BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) Schedule of Investments November 30, 2009 (Unaudited) The following table summarizes the inputs used as of November 30, 2009 in determining the fair valuation of the Fund's investments:
| Valuation | Investments in | |
|---|---|---|
| Inputs | Securities | |
| Assets | ||
| Level 1 | ||
| Long-Term Investments: | ||
| Common Stocks | $ 2,075,696 | |
| Short-Term Securities | 2,491,605 | |
| Total Level 1 | 4,567,301 | |
| Level 2 | ||
| Long-Term Investments: | ||
| Common Stocks | 297,415 | |
| Corporate Bonds | 73,662,012 | |
| Floating Rate Loan Interests | 170,087,380 | |
| Preferred Stocks | 17,550 | |
| Total Level 2 | 244,064,357 | |
| Level 3 | ||
| Long-Term Investments: | ||
| Common Stocks | 5,143 | |
| Corporate Bonds | 1,957,906 | |
| Floating Rate Loan Interests | 60,416,721 | |
| Other Interests | 2,394,857 | |
| Total Level 3 | 64,774,627 | |
| Total | $ 313,406,285 | |
| Valuation | Other Financial | |
| Inputs | Instruments 1 | |
| Assets | Liabilities | |
| Level 1 | - | - |
| Level 2 | $ 29,931 | $ (350,659) |
| Level 3 | - | (122,736) |
| Total | $ 29,931 | $ (473,395) |
1 Other financial instruments are swaps, options purchased, foreign currency exchange contracts and unfunded loan commitments. Swaps, foreign currency exchange contracts and unfunded loan commitments are valued at the unrealized appreciation/depreciation on the instrument and options are shown at market value.
14
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BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) Schedule of Investments November 30, 2009 (Unaudited) The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:
| Common | Investments in Securities — Corporate | Floating Rate | Other | ||
|---|---|---|---|---|---|
| Stocks | Bonds | Loan Interests | Interests | Total | |
| Balance, as of August 31, | |||||
| 2009 | $ 5,143 | $ 2,823,032 | $ 54,573,840 | $ 262,849 | $ 57,664,864 |
| Accrued discounts/premiums | - | - | - | - | - |
| Realized gain (loss) | - | (7,066) | (8,263,726) | - | (8,270,792) |
| Change in unrealized appreciation/ | |||||
| depreciation 1 | - | 6,744 | 14,767,239 | 356,201 | 15,130,184 |
| Net purchases (sales) | - | 3,536 | (7,388,282) | - | (7,384,746) |
| Net transfers in/out of | |||||
| Level 3 | - | (868,340) | 6,727,650 | 1,775,807 | 7,635,117 |
| Balance, as of November 30, | |||||
| 2009 | $ 5,143 | $ 1,957,906 | $ 60,416,721 | $ 2,394,857 | $ 64,774,627 |
1 The change in unrealized appreciation/depreciation on securities still held at November 30, 2009 was $11,824,434.
The following is a reconciliation of other financial instruments for unobservable inputs (Level 3) used in determining fair value:
Other Financial Instruments 2 Liabilities
| Balance, as of August 31, 2009 | $ (49,905) |
|---|---|
| Accrued discounts/premiums | - |
| Realized gain (loss) | - |
| Change in unrealized appreciation/depreciation | - |
| Net purchases (sales) | - |
| Net transfers in/out of Level 3 | (72,831) |
| Balance, as of November 30, 2009 | $ (122,736) |
| 2 Other financial instruments are unfunded loan commitments. |
15
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Item 2 Controls and Procedures
2(a) The registrant's principal executive and principal financial officers or persons performing similar functions have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13(a)-15(b) under the Securities Exchange Act of 1934, as amended.
2(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 3 Exhibits Certifications Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. BlackRock Floating Rate Income Strategies Fund, Inc.
By: /s/ Anne F. Ackerley Anne F. Ackerley Chief Executive Officer of BlackRock Floating Rate Income Strategies Fund, Inc.
Date: January 22, 2010 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/ Anne F. Ackerley Anne F. Ackerley Chief Executive Officer (principal executive officer) of BlackRock Floating Rate Income Strategies Fund, Inc.
Date: January 22, 2010
By: /s/ Neal J. Andrews Neal J. Andrews Chief Financial Officer (principal financial officer) of BlackRock Floating Rate Income Strategies Fund, Inc.
Date: January 22, 2010
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