Regulatory Filings • Jan 27, 2014
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Download Source FileN-Q 1 e57011nq.htm QUARTERLY REPORT
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21413
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: John M. Perlowski, Chief Executive Officer, BlackRock Floating Rate Income Strategies Fund, Inc., 55 East 52 nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2014
Date of reporting period: 11/30/2013
Item 1 – Schedule of Investments
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| Consolidated Schedule of Investments November 30, 2013 (Unaudited) |
|---|
| (Percentages shown are based on Net Assets) |
| Common Stocks (a) | Shares | ||
|---|---|---|---|
| Chemicals — 0.0% | |||
| GEO Specialty Chemicals, Inc. | 23,849 | $ 20,272 | |
| Diversified Financial Services — 0.2% | |||
| Kcad Holdings I Ltd. | 217,833,983 | 1,241,654 | |
| Electrical Equipment — 0.0% | |||
| Medis Technologies, Ltd. | 260,833 | 3 | |
| Metals & Mining — 0.1% | |||
| Euramax International | 468 | 112,200 | |
| Paper & Forest Products — 0.5% | |||
| Ainsworth Lumber Co., Ltd. | 393,892 | 1,430,919 | |
| Ainsworth Lumber Co., Ltd. (b) | 346,000 | 1,247,698 | |
| Western Forest Products, Inc. | 84,448 | 135,110 | |
| 2,813,727 | |||
| Semiconductors & Semiconductor Equipment — 0.0% | |||
| SunPower Corp. | 1,860 | 56,432 | |
| Software — 0.3% | |||
| HMH Holdings/EduMedia | 116,627 | 1,807,718 | |
| Total Common Stocks — 1.1% | 6,052,006 | ||
| Asset-Backed Securities (b)(c) | Par (000) | ||
| ALM Loan Funding: | |||
| Series 2013-7R2A, Class B, 2.86%, 4/24/24 | USD | 775 | 750,355 |
| Series 2013-7RA, Class C, 3.71%, 4/24/24 | 2,125 | 2,056,150 | |
| Series 2013-7RA, Class D, 5.26%, 4/24/24 | 900 | 827,730 | |
| Alm Loan Funding, Series 2013-8A, Class B, 2.99%, 1/20/26 (d) | 1,150 | 1,130,450 | |
| ARES CLO Ltd., Series 2013-2A, Class C, 3.00%, 7/28/25 | 750 | 723,750 | |
| Atrium CDO Corp., Series 9A, Class D, 3.74%, 2/28/24 | 1,100 | 1,052,150 | |
| Carlyle Global Market Strategies CLO Ltd.: | |||
| Series 2012-4A, Class D, 4.74%, 1/20/25 | 700 | 708,337 | |
| Series 2013-1A, Class C, 4.24%, 2/14/25 | 250 | 247,625 | |
| Cavalry CLO II, Series 2A, Class D, 4.24%, 1/17/24 | 500 | 490,000 | |
| Cent CLO LP, Series 2013-17A, Class C, 3.74%, 1/30/25 | 500 | 479,050 | |
| Asset-Backed Securities | Par (000) | Value | |
| Figueroa CLO Ltd., Series 2013-1A, Class C, 3.89%, 3/21/24 | USD | 500 | $ 482,250 |
| Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.24%, 4/20/23 | 950 | 942,305 | |
| Highbridge Loan Management Ltd., Series 2012-1A, Class C, 5.25%, 9/20/22 | 1,500 | 1,505,250 | |
| Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.80%, 10/23/25 | 370 | 351,352 | |
| Marea CLO Ltd., Series 2012-1A, Class D, 4.79%, 10/16/23 | 1,650 | 1,656,270 | |
| Neuberger Berman CLO XV, Series 2013-15A, Class C, 3.10%, 10/15/25 | 1,000 | 963,780 | |
| North End CLO Ltd., Series 2013-1A, Class D, 3.73%, 7/17/25 | 750 | 712,725 | |
| Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.42%, 10/25/25 | 1,000 | 937,890 | |
| OZLM Funding Ltd., Series 2012-2A, Class C, 4.59%, 10/30/23 | 500 | 495,400 | |
| Race Point CLO Ltd., Series 2012-6A, Class D, 4.74%, 5/24/23 | 1,075 | 1,076,505 | |
| Regatta Funding LP, Series 2013-2A, Class C, 4.24%, 1/15/25 | 500 | 495,350 | |
| Symphony CLO Ltd., Series 2012-10A, Class D, 5.49%, 7/23/23 | 1,500 | 1,507,500 | |
| Total Asset-Backed Securities — 3.4% | 19,592,174 | ||
| Corporate Bonds | |||
| Airlines — 0.5% | |||
| Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 | 198 | 223,571 | |
| US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18 | 2,605 | 2,569,051 | |
| 2,792,622 | |||
| Auto Components — 0.4% | |||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18 | 2,085 | 2,176,219 |
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2013 1
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
| Corporate Bonds | Par (000) | ||
|---|---|---|---|
| Capital Markets — 0.0% | |||
| E*Trade Financial Corp., 0.00%, 8/31/19 (b)(e)(f) | USD | 129 | $ 223,493 |
| Chemicals — 0.6% | |||
| GEO Specialty Chemicals, Inc., 7.50%, 3/31/15 (a) | 1,559 | 3,445,584 | |
| Commercial Services & Supplies — 0.3% | |||
| AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) | 1,085 | 1,125,779 | |
| Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b) | 52 | 55,580 | |
| United Rentals North America, Inc., 5.75%, 7/15/18 | 350 | 375,812 | |
| 1,557,171 | |||
| Communications Equipment — 0.3% | |||
| Avaya, Inc., 7.00%, 4/01/19 (b) | 390 | 379,275 | |
| Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20 | 1,470 | 1,620,675 | |
| 1,999,950 | |||
| Construction & Engineering — 0.1% | |||
| Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b) | 335 | 350,913 | |
| Diversified Financial Services — 0.4% | |||
| Ally Financial, Inc.: | |||
| 7.50%, 12/31/13 | 20 | 20,080 | |
| 2.93%, 7/18/16 (c) | 1,375 | 1,405,829 | |
| 7.50%, 9/15/20 | 160 | 187,600 | |
| 8.00%, 11/01/31 | 360 | 429,300 | |
| 2,042,809 | |||
| Diversified Telecommunication Services — 0.3% | |||
| Level 3 Financing, Inc. (b): | |||
| 3.85%, 1/15/18 (c) | 1,000 | 1,007,500 | |
| 6.13%, 1/15/21 | 555 | 563,325 | |
| 1,570,825 | |||
| Health Care Technology — 0.7% | |||
| IMS Health, Inc., 12.50%, 3/01/18 (b) | 3,540 | 4,177,200 | |
| Hotels, Restaurants & Leisure — 0.3% | |||
| Little Traverse Bay Bands of Odawa Indians, 9.00%, 8/31/20 (b) | 948 | 929,040 | |
| Travelport LLC/Travelport Holdings, Inc., 6.36%, 3/01/16 (b)(c) | 663 | 661,785 | |
| Corporate Bonds | Par (000) | Value | |
| Hotels, Restaurants & Leisure (concluded) | |||
| Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (b)(g) | USD | 120 | $ — |
| 1,590,825 | |||
| Household Durables — 0.1% | |||
| Beazer Homes USA, Inc., 6.63%, 4/15/18 | 790 | 849,250 | |
| Independent Power Producers & Energy Traders — 0.8% | |||
| Calpine Corp., 6.00%, 1/15/22 (b) | 349 | 358,598 | |
| Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.: | |||
| 10.00%, 12/01/20 (b) | 1,115 | 1,181,900 | |
| 10.00%, 12/01/20 | 2,895 | 3,075,937 | |
| 4,616,435 | |||
| Media — 0.2% | |||
| Checkout Holding Corp., 10.72%, 11/15/15 (b)(e) | 906 | 738,390 | |
| NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b) | 514 | 530,705 | |
| 1,269,095 | |||
| Metals & Mining — 0.0% | |||
| RathGibson, Inc., 11.25%, 2/15/14 (b)(g) | 1,390 | — | |
| Oil, Gas & Consumable Fuels — 0.1% | |||
| EP Energy LLC/Everest Acquisition Finance, Inc., Series WI, 6.88%, 5/01/19 | 635 | 684,212 | |
| Road & Rail — 0.1% | |||
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.00%, 12/01/17 (b)(c) | 295 | 294,263 | |
| Wireless Telecommunication Services — 0.0% | |||
| T-Mobile USA, Inc., 6.13%, 1/15/22 | 225 | 229,219 | |
| Total Corporate Bonds — 5.2% | 29,870,085 | ||
| Floating Rate Loan Interests (c) | |||
| Aerospace & Defense — 2.1% | |||
| DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 | 2,229 | 2,248,302 | |
| SI Organization, Inc., Term Loan B, 5.50%, 11/22/16 | 1,691 | 1,639,869 | |
| Spirit Aerosystems, Inc., Term Loan B, 3.75%, 4/18/19 | 1,576 | 1,578,459 |
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2013 2
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Aerospace & Defense (concluded) | |||
| Transdigm, Inc., Term Loan C, 3.75%, 2/28/20 | USD | 893 | $ 897,046 |
| TransUnion LLC, Term Loan, 4.25%, 2/10/19 | 5,477 | 5,507,655 | |
| 11,871,331 | |||
| Airlines — 1.3% | |||
| Delta Air Lines, Inc., Term Loan: | |||
| 3.50%, 9/16/15 | 1,412 | 1,366,379 | |
| B1, 4.00%, 10/18/18 | 2,222 | 2,230,158 | |
| Northwest Airlines, Inc.: | |||
| 2.24%, 3/10/17 | 913 | 842,345 | |
| 1.62%, 9/10/18 | 1,197 | 1,056,058 | |
| US Airways Group, Inc., Term Loan B1, 4.25%, 5/23/19 | 2,025 | 2,031,075 | |
| 7,526,015 | |||
| Auto Components — 4.5% | |||
| Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 | 1,576 | 1,595,750 | |
| Armored Autogroup, Inc., Term Loan B, 6.00%, 11/04/16 | 254 | 253,457 | |
| Autoparts Holdings Ltd., 1st Lien Term Loan, 6.50%, 7/28/17 | 2,797 | 2,744,557 | |
| Federal-Mogul Corp.: | |||
| Term Loan B, 2.11%, 12/29/14 | 5,942 | 5,864,944 | |
| Term Loan C, 2.11%, 12/28/15 | 5,496 | 5,424,682 | |
| FleetPride Corp., 1st Lien Term Loan, 5.25%, 11/19/19 | 1,563 | 1,531,924 | |
| The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 | 5,015 | 5,058,881 | |
| GPX International Tire Corp.: | |||
| PIK Term Loan, 0.00%, 12/31/49 (h) | 18 | — | |
| Term Loan 0.00%, 12/31/49 | 1,097 | — | |
| Schaeffler AG, Term Loan C, 4.25%, 1/27/17 | 35 | 35,190 | |
| Transtar Holding Co., 1st Lien Term Loan, 5.50%, 10/09/18 | 2,129 | 2,101,894 | |
| UCI International, Inc., Term Loan B, 5.50%, 7/26/17 | 1,459 | 1,454,199 | |
| 26,065,478 | |||
| Biotechnology — 0.2% | |||
| Grifols, Inc., Term Loan B, 4.25%, 6/01/17 | 1,419 | 1,425,009 | |
| Floating Rate Loan Interests (c) | Par (000) | Value | |
| Building Products — 1.9% | |||
| Armstrong World Industries, Inc., Term Loan B, 3.50%, 3/16/20 | USD | 1,139 | $ 1,137,498 |
| Continental Building Products LLC, 1st Lien Term Loan, 4.50%, 8/14/20 | 1,180 | 1,174,100 | |
| CPG International, Inc., Term Loan, 4.75%, 9/30/20 | 3,445 | 3,449,306 | |
| Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 | 1,485 | 1,490,836 | |
| Wilsonart International Holdings LLC: | |||
| Incremental Term Loan B2, 4.00%, 10/31/19 | 505 | 498,687 | |
| Term Loan B, 4.00%, 10/31/19 | 3,429 | 3,396,238 | |
| 11,146,665 | |||
| Capital Markets — 0.6% | |||
| American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16 | 724 | 727,019 | |
| HarbourVest Partners LLC, Term Loan B, 4.75%, 11/21/17 | 1,370 | 1,373,241 | |
| KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17 | 1,190 | 1,194,181 | |
| 3,294,441 | |||
| Chemicals — 4.5% | |||
| Allnex USA, Inc.: | |||
| Term Loan B1, 4.50%, 10/03/19 | 1,113 | 1,117,359 | |
| Term Loan B2, 4.50%, 10/03/19 | 578 | 579,744 | |
| American Rock Salt Holdings LLC, Term Loan, 5.50%, 4/25/17 | 969 | 974,987 | |
| Chemtura Corp., Term Loan B, 3.50%, 8/27/16 | 1,933 | 1,942,020 | |
| Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 | 2,075 | 2,078,426 | |
| General Chemical Corp., Term Loan, 5.00%, 10/06/15 | 1,115 | 1,119,200 | |
| INEOS US Finance LLC: | |||
| 3 Year Term Loan, 2.16%, 5/04/15 | 383 | 383,111 | |
| 6 Year Term Loan, 4.00%, 5/04/18 | 1,121 | 1,123,371 | |
| MacDermid, Inc., 1st Lien Term Loan, 3.16%, 6/08/20 | 1,551 | 1,558,868 | |
| Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 | 2,473 | 2,455,993 | |
| OXEA Finance LLC: | |||
| 2nd Lien Term Loan, 8.25%, 7/15/20 | 1,365 | 1,386,758 |
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Chemicals (concluded) | |||
| OXEA Finance LLC (concluded): | |||
| Term Loan B2, 4.25%, 1/15/20 | USD | 2,550 | $ 2,563,388 |
| Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 | 696 | 700,962 | |
| Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 | 589 | 587,054 | |
| Tronox Pigments (Netherlands) BV, 2013 Term Loan, 4.50%, 3/19/20 | 3,014 | 3,047,319 | |
| Univar, Inc., Term Loan B, 5.00%, 6/30/17 | 992 | 975,176 | |
| US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/01/20 | 3,179 | 3,201,532 | |
| 25,795,268 | |||
| Commercial Banks — 0.7% | |||
| Fly Funding II Sarl, Term Loan B, 1.00%, 8/09/18 | 245 | 246,379 | |
| Redtop Acquisitions Ltd.: | |||
| 1st Lien Term Loan, 3.27%, 11/30/20 | 845 | 848,169 | |
| 2nd Lien Term Loan, 8.25%, 5/31/21 | 310 | 311,550 | |
| Santander Asset Management, Term Loan, 1.00%, 11/11/20 | 2,595 | 2,595,000 | |
| 4,001,098 | |||
| Commercial Services & Supplies — 3.7% | |||
| ADS Waste Holdings, Inc., Term Loan B, 4.25%, 10/09/19 | 3,956 | 3,971,239 | |
| AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18 | 1,222 | 1,224,683 | |
| Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17 | 500 | 505,625 | |
| KAR Auction Services, Inc., Term Loan B, 3.75%, 5/19/17 | 2,431 | 2,438,052 | |
| Learning Care Group (US) No. 2, Inc., Term Loan B, 6.00%, 5/08/19 | 597 | 598,618 | |
| Livingston International, Inc.: | |||
| 1st Lien Term Loan, 5.00%, 4/16/19 | 1,357 | 1,354,904 | |
| 2nd Lien Term Loan, 9.00%, 4/20/20 | 875 | 880,504 | |
| Progressive Waste Solutions Ltd., Term Loan B, 3.50%, 10/24/19 | 1,340 | 1,339,875 | |
| Protection One, Inc., Term Loan, 4.25%, 3/21/19 | 2,059 | 2,055,602 | |
| Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 | 4,080 | 4,082,570 | |
| Floating Rate Loan Interests (c) | Par (000) | Value | |
| Commercial Services & Supplies (concluded) | |||
| West Corp., Term Loan B8, 3.75%, 6/29/18 | USD | 2,966 | $ 2,976,205 |
| 21,427,877 | |||
| Communications Equipment — 2.5% | |||
| Alcatel-Lucent USA, Inc.: | |||
| Term Loan C, 5.75%, 1/30/19 | 3,328 | 3,354,999 | |
| Term Loan D, 6.25%, 1/30/19 | EUR | 1,047 | 1,422,783 |
| Avaya, Inc.: | |||
| Extended Term Loan B3, 4.74%, 10/26/17 | 1,648 | 1,577,880 | |
| Term Loan B5, 8.00%, 3/30/18 | 307 | 305,717 | |
| CommScope, Inc., Term Loan, 3.75%, 1/12/18 | 1,944 | 1,944,989 | |
| Riverbed Technology, Inc., Term Loan, 4.00%, 12/18/19 | 780 | 784,390 | |
| Telesat Canada, Term Loan A, 4.38%, 3/24/17 | CAD | 2,406 | 2,267,430 |
| Zayo Group LLC, Term Loan B, 4.00%, 7/02/19 | USD | 2,844 | 2,842,412 |
| 14,500,600 | |||
| Construction & Engineering — 1.2% | |||
| BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20 | 1,691 | 1,680,699 | |
| Centaur LLC: | |||
| 1st Lien Term Loan, 5.25%, 2/20/19 | 2,488 | 2,512,375 | |
| 2nd Lien Term Loan, 8.75%, 2/15/20 | 1,230 | 1,254,600 | |
| USIC Holdings, Inc., 1st Lien Term Loan, 4.75%, 7/10/20 | 1,172 | 1,176,458 | |
| 6,624,132 | |||
| Construction Materials — 1.6% | |||
| Filtration Group Corp.: | |||
| 1st Lien Term Loan, 4.50%, 11/30/20 | 970 | 976,868 | |
| 2nd Lien Term Loan, 8.25%, 11/30/21 | 525 | 533,531 | |
| HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17 | 7,244 | 7,282,381 | |
| McJunkin Red Man Corp., Term Loan, 5.00%, 11/12/19 | 665 | 669,781 | |
| 9,462,561 |
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Consumer Finance — 0.5% | |||
| Springleaf Financial Funding Co., Term Loan B2, 4.75%, 9/25/19 | USD | 3,060 | $ 3,090,600 |
| Containers & Packaging — 1.7% | |||
| Clondalkin Acquisition BV, 1st Lien Term Loan B, 5.75%, 5/29/20 | 1,032 | 1,042,737 | |
| Pact Group (USA), Inc., Term Loan B, 3.75%, 5/29/20 | 4,374 | 4,333,053 | |
| Polarpak, Inc., 1st Lien Canadian Borrower, 4.50%, 6/05/20 | 521 | 524,299 | |
| Sealed Air Corp., 2013 Term Loan, 4.00%, 10/03/18 | 1,450 | 1,451,436 | |
| Tekni-Plex, Inc., Term Loan B, 5.50%, 8/25/19 | 1,721 | 1,720,687 | |
| WNA Holdings, Inc.: | |||
| 1st Lien US Borrower, 4.50%, 6/05/20 | 283 | 284,804 | |
| 2nd Lien Term Loan, 8.50%, 12/07/20 | 410 | 413,075 | |
| 9,770,091 | |||
| Distributors — 1.3% | |||
| ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 | 5,035 | 5,028,706 | |
| Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19 | 1,022 | 1,017,164 | |
| VWR Funding, Inc., Extended Add on Term Loan, 4.16%, 4/03/17 | 1,201 | 1,203,927 | |
| 7,249,797 | |||
| Diversified Consumer Services — 1.8% | |||
| Bright Horizons Family Solutions, Inc., Term Loan B, 4.00%, 1/30/20 | 2,804 | 2,816,093 | |
| Doncasters Finance US LLC, Term Loan, 5.50%, 4/09/20 | 910 | 917,827 | |
| Garda World Security Corp., Term Loan B, 4.00%, 11/06/20 | 1,178 | 1,182,909 | |
| ROC Finance LLC, Term Loan, 5.00%, 5/15/19 | 1,080 | 1,033,430 | |
| ServiceMaster Co., Term Loan, 4.25%, 1/31/17 | 2,052 | 2,020,223 | |
| Weight Watchers International, Inc., Term Loan B2, 3.75%, 4/02/20 | 2,826 | 2,423,124 | |
| 10,393,606 | |||
| Diversified Financial Services — 1.9% | |||
| ION Trading Technologies Sarl: | |||
| 1st Lien Term Loan, 4.50%, 5/22/20 | 1,736 | 1,743,252 | |
| 2nd Lien Term Loan, 8.25%, 5/21/21 | 365 | 368,347 | |
| Floating Rate Loan Interests (c) | Par (000) | Value | |
| Diversified Financial Services (concluded) | |||
| Kasima LLC, Term Loan B, 3.25%, 5/17/21 | USD | 1,535 | $ 1,530,211 |
| Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/31/18 | 3,277 | 3,297,906 | |
| RPI Finance Trust, Term Loan B3, 3.50%, 11/09/18 | 396 | 396,872 | |
| WMG Acquisition Corp., Term Loan, 3.75%, 7/01/20 | 3,495 | 3,490,631 | |
| 10,827,219 | |||
| Diversified Telecommunication Services — 4.4% | |||
| Consolidated Communications, Inc., Term Loan B3, 5.25%, 12/31/18 | 3,891 | 3,911,220 | |
| Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 | 2,737 | 2,741,931 | |
| Integra Telecom, Inc.: | |||
| 1st Lien Term Loan, 5.25%, 2/22/19 | 2,030 | 2,049,469 | |
| 2nd Lien Term Loan, 9.75%, 2/21/20 | 1,070 | 1,096,301 | |
| Level 3 Financing, Inc.: | |||
| 2019 Term Loan, 4.00%, 8/01/19 | 1,085 | 1,091,553 | |
| 2020 Term Loan B, 4.00%, 1/15/20 | 9,510 | 9,569,438 | |
| Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19 | 1,939 | 1,951,162 | |
| US Telepacific Corp., Term Loan B, 5.75%, 2/23/17 | 3,079 | 3,074,873 | |
| 25,485,947 | |||
| Electric Utilities — 0.3% | |||
| American Energy - Utica, LLC, 2nd Lien Term Loan, 11.00%, 9/10/18 | 979 | 978,912 | |
| Sandy Creek Energy Associates, L.P., Term Loan B, 5.00%, 11/06/20 | 995 | 997,716 | |
| 1,976,628 | |||
| Electrical Equipment — 0.4% | |||
| Texas Competitive Electric Holdings Co. LLC, Extended Term Loan, 4.67%-4.74%, 10/10/17 | 3,030 | 2,095,639 | |
| Electronic Equipment, Instruments & Components — 0.4% | |||
| CDW LLC, Term Loan, 3.50%, 4/29/20 | 2,289 | 2,277,059 |
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Energy Equipment & Services — 0.8% | |||
| Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 | USD | 1,835 | $ 1,837,309 |
| MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 | 1,589 | 1,598,752 | |
| Unifrax Corp., Term Loan, 4.25%, 11/28/18 | 958 | 959,151 | |
| 4,395,212 | |||
| Food & Staples Retailing — 1.8% | |||
| Alliance Boots Holdings Ltd., Term Loan B1, 3.48%, 7/09/15 | GBP | 3,250 | 5,309,093 |
| Rite Aid Corp.: | |||
| 2nd Lien Term Loan, 5.75%, 8/21/20 | USD | 1,040 | 1,064,700 |
| Term Loan 6, 4.00%, 2/21/20 | 871 | 876,685 | |
| Supervalu, Inc., Refinancing Term Loan B, 5.00%, 3/21/19 | 2,255 | 2,263,719 | |
| US Foods, Inc., Refinancing Term Loan, 4.50%, 3/29/19 | 863 | 864,995 | |
| 10,379,192 | |||
| Food Products — 3.9% | |||
| AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17 | 2,342 | 2,327,075 | |
| CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 | 1,135 | 1,135,000 | |
| Del Monte Foods Co., Term Loan: | |||
| 1st Lien, 1.00%, 11/06/20 | 1,740 | 1,748,700 | |
| 4.00%, 3/08/18 | 2,723 | 2,732,646 | |
| Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 | 2,655 | 2,666,788 | |
| GFA Brands, Inc., Term Loan B, 5.00%, 7/09/20 | 494 | 494,997 | |
| H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19 | 314 | 315,664 | |
| Michael Foods Group, Inc., Term Loan, 4.25%, 2/23/18 | 643 | 646,239 | |
| Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 | 2,953 | 2,941,528 | |
| Pinnacle Foods Finance LLC: | |||
| Incremental Term Loan H, 3.25%, 4/29/20 | 535 | 534,181 | |
| Term Loan G, 3.25%, 4/29/20 | 3,035 | 3,030,198 | |
| Reddy Ice Corp.: | |||
| 1st Lien Term Loan, 6.75%, 5/01/19 | 2,483 | 2,480,986 | |
| 2nd Lien Term Loan, 10.75%, 11/01/19 | 1,195 | 1,174,088 | |
| 22,228,090 | |||
| Floating Rate Loan Interests (c) | Par (000) | Value | |
| Gas Utilities — 0.2% | |||
| EFS Cogen Holdings I, Inc., Term Loan B, 1.00%, 12/01/20 | USD | 1,425 | $ 1,425,000 |
| Health Care Equipment & Supplies — 5.1% | |||
| ARAMARK Corp.: | |||
| Extended Synthetic 4C, 3.65%, 7/26/16 | 46 | 46,211 | |
| Extended Synthetic 4C-3, 3.65%, 7/26/16 | 32 | 32,257 | |
| Arysta LifeScience Corp.: | |||
| 1st Lien Term Loan, 4.50%, 5/29/20 | 4,100 | 4,117,682 | |
| 2nd Lien Term Loan, 8.25%, 11/30/20 | 1,675 | 1,702,219 | |
| Biomet, Inc., Term Loan B2, 3.67%, 7/25/17 | 3,327 | 3,351,080 | |
| Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19 | 1,542 | 1,537,759 | |
| CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20 | 118 | 117,930 | |
| DJO Finance LLC, Term Loan B3, 4.75%, 9/15/17 | 4,304 | 4,345,663 | |
| Fresenius SE & Co. KGaA, Term Loan B, 2.25%, 8/07/19 | 2,710 | 2,706,613 | |
| The Hologic, Inc., Term Loan B, 3.75%, 8/01/19 | 3,335 | 3,347,065 | |
| Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18 | 435 | 437,532 | |
| Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 | 3,561 | 3,573,236 | |
| Kinetic Concepts, Inc., Term Loan D1, 4.50%, 5/04/18 | 530 | 535,168 | |
| LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 | 923 | 863,297 | |
| Onex Carestream Finance LP: | |||
| 1st Lien Term Loan, 5.00%, 6/07/19 | 1,333 | 1,347,176 | |
| 2nd Lien Term Loan, 9.50%, 6/07/19 | 1,170 | 1,177,313 | |
| 29,238,201 | |||
| Health Care Providers & Services — 5.0% | |||
| American Renal Holdings, Inc.: | |||
| 1st Lien Term Loan, 4.50%, 9/20/19 | 2,876 | 2,868,361 | |
| 2nd Lien Term Loan, 8.50%, 2/14/20 | 1,795 | 1,768,075 | |
| Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 | 1,151 | 1,148,422 | |
| CHG Buyer Corp., Term Loan, 4.25%, 11/19/19 | 1,779 | 1,786,170 | |
| ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 | 2,440 | 2,451,612 |
Field: Page; Sequence: 6
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2013 6
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Health Care Providers & Services (concluded) | |||
| DaVita, Inc.: | |||
| Term Loan B, 4.50%, 10/20/16 | USD | 3,842 | $ 3,860,115 |
| Term Loan B2, 4.00%, 11/01/19 | 1,769 | 1,778,513 | |
| Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18 | 1,927 | 1,931,327 | |
| Fresenius SE & Co. KGaA, Incremental Term Loan B, 2.47%, 6/30/19 | EUR | 530 | 718,364 |
| Genesis HealthCare Corp., Term Loan B, 10.00%, 9/25/17 | USD | 1,259 | 1,271,385 |
| HCA, Inc.: | |||
| Extended Term Loan B4, 2.91%, 5/01/18 | 1,139 | 1,138,664 | |
| Term Loan B5, 3.00%, 3/31/17 | 827 | 827,066 | |
| Ikaria Acquisition, Inc.: | |||
| 1st Lien Term Loan, 7.25%, 7/03/18 | 617 | 621,816 | |
| 2nd Lien Term Loan, 11.00%, 7/03/19 | 420 | 428,400 | |
| inVentiv Health, Inc.: | |||
| Combined Term Loan, 7.50%, 8/04/16 | 1,008 | 996,067 | |
| Incremental Term Loan B3, 7.75%, 5/15/18 | 1,105 | 1,092,725 | |
| Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.25%, 6/29/18 | 1,860 | 1,864,988 | |
| US Renal Care, Inc., Incremental 1st Lien Term Loan, 5.25%, 7/03/19 | 2,116 | 2,134,969 | |
| 28,687,039 | |||
| Health Care Technology — 0.7% | |||
| IMS Health, Inc., Term Loan B1, 3.75%, 9/01/17 | 3,205 | 3,213,925 | |
| MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 | 904 | 904,042 | |
| 4,117,967 | |||
| Hotels, Restaurants & Leisure — 11.8% | |||
| Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20 | 1,885 | 1,895,990 | |
| Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 | 1,195 | 1,196,494 | |
| Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20 | 3,280 | 3,312,800 | |
| Caesars Entertainment Resort Properties, LLC, Term Loan B, 7.00%, 10/12/20 | 17,565 | 17,246,722 | |
| Floating Rate Loan Interests (c) | Par (000) | Value | |
| Hotels, Restaurants & Leisure (concluded) | |||
| Drumm Investors LLC, Term Loan, 5.00%, 5/04/18 | USD | 1,625 | $ 1,583,219 |
| Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20 | 1,435 | 1,469,081 | |
| Hilton Worldwide Finance, LLC, Term Loan B2, 4.00%, 10/26/20 | 16,008 | 16,052,951 | |
| Intrawest ULC, Term Loan, 5.50%, 11/26/20 | 1,620 | 1,622,025 | |
| Marina District Finance Co., Inc., Term Loan B, 1.00%, 8/15/18 | 1,190 | 1,191,488 | |
| MGM Resorts International, Term Loan B, 3.50%, 12/20/19 | 2,370 | 2,367,296 | |
| OSI Restaurant Partners LLC, Term Loan, 3.50%, 10/25/19 | 1,055 | 1,055,222 | |
| Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 | 2,269 | 2,277,119 | |
| Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19 | 1,780 | 1,794,471 | |
| Sabre, Inc.: | |||
| Incremental Term Loan, 4.50%, 2/19/19 | 510 | 509,046 | |
| Term Loan B, 5.25%, 2/19/19 | 1,399 | 1,407,304 | |
| Six Flags Theme Parks, Inc., Term Loan B, 4.00%, 12/20/18 | 1,149 | 1,152,909 | |
| Station Casinos, Inc., Term Loan B, 5.00%, 3/02/20 | 5,254 | 5,307,239 | |
| Travelport LLC: | |||
| 2nd Lien Term Loan 1, 9.50%, 1/29/16 | 1,057 | 1,092,811 | |
| Refinancing Term Loan, 6.25%, 6/26/19 | 1,382 | 1,410,398 | |
| Twin River Management Group, Inc., Term Loan B, 5.25%, 11/09/18 | 2,465 | 2,490,062 | |
| Wendy's International, Inc., Term Loan B, 3.25%, 5/15/19 | 1,647 | 1,646,478 | |
| 68,081,125 | |||
| Household Products — 1.1% | |||
| Prestige Brands, Inc., Term Loan, 3.75%, 1/31/19 | 1,930 | 1,933,917 | |
| Spectrum Brands, Inc.: | |||
| Term Loan, 4.50%, 12/17/19 | 3,036 | 3,046,683 | |
| Term Loan A, 3.00%, 9/07/17 | 1,040 | 1,040,863 | |
| Term Loan C, 3.50%, 9/04/19 | 205 | 205,508 | |
| 6,226,971 | |||
| Independent Power Producers & Energy Traders — 1.8% | |||
| AES Corp., Refinancing Term Loan B, 3.75%, 6/01/18 | 3,050 | 3,065,822 |
Field: Page; Sequence: 7
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2013 7
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Independent Power Producers & Energy Traders (concluded) | |||
| Calpine Corp., Term Loan B1, 4.00%, 4/02/18 | USD | 923 | $ 928,316 |
| La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20 | 4,426 | 4,467,976 | |
| Star West Generation LLC, Term Loan B, 4.25%, 3/13/20 | 1,771 | 1,782,169 | |
| 10,244,283 | |||
| Industrial Conglomerates — 0.8% | |||
| Sequa Corp., Term Loan B, 5.25%, 12/19/17 | 4,558 | 4,497,128 | |
| Insurance — 2.6% | |||
| Alliant Holdings I, Inc., Term Loan B, 4.75%, 12/20/19 | 1,826 | 1,829,633 | |
| Asurion LLC, Term Loan B1, 4.50%, 5/24/19 | 2,829 | 2,826,673 | |
| CNO Financial Group, Inc.: | |||
| Term Loan B1, 3.00%, 9/28/16 | 1,440 | 1,444,377 | |
| Term Loan B2, 3.75%, 9/20/18 | 2,267 | 2,269,358 | |
| Cooper Gay Swett & Crawford Ltd.: | |||
| 1st Lien Term Loan, 5.00%, 4/16/20 | 1,840 | 1,815,653 | |
| 2nd Lien Term Loan, 8.25%, 10/16/20 | 860 | 843,514 | |
| Cunningham Lindsey US, Inc., 1st Lien Term Loan, 5.00%, 12/10/19 | 1,588 | 1,584,030 | |
| Hub International Ltd., Term Loan B, 4.75%, 10/02/20 | 1,930 | 1,948,586 | |
| National Financial Partners Corp., Term Loan, 5.25%, 7/01/20 | 564 | 569,928 | |
| 15,131,752 | |||
| Internet Software & Services — 1.3% | |||
| Interactive Data Corp., Term Loan B, 3.75%, 2/11/18 | 3,829 | 3,823,735 | |
| W3 Co.: | |||
| 1st Lien Term Loan, 5.75%, 3/13/20 | 1,786 | 1,790,490 | |
| 2nd Lien Term Loan, 9.25%, 9/11/20 | 693 | 700,195 | |
| Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17 | 1,311 | 1,321,566 | |
| 7,635,986 | |||
| IT Services — 3.7% | |||
| CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 | 923 | 923,025 | |
| Ceridian Corp., Term Loan B, 4.42%, 5/09/17 | 3,873 | 3,888,760 | |
| Floating Rate Loan Interests (c) | Par (000) | Value | |
| IT Services (concluded) | |||
| First Data Corp., 2018 Term Loan: | |||
| 4.17%, 9/24/18 | USD | 1,050 | $ 1,052,289 |
| Extended B, 4.17%, 3/23/18 | 9,424 | 9,443,333 | |
| Genpact International, Inc., Term Loan B, 3.50%, 8/30/19 | 2,875 | 2,878,738 | |
| InfoGroup, Inc., Term Loan, 8.00%, 5/25/18 | 1,015 | 821,769 | |
| Moneygram International, Inc., Term Loan B, 4.25%, 3/27/20 | 303 | 304,857 | |
| SunGard Data Systems, Inc.: | |||
| Term Loan D, 4.50%, 1/31/20 | 1,156 | 1,162,402 | |
| Term Loan E, 4.00%, 3/09/20 | 647 | 651,601 | |
| 21,126,774 | |||
| Leisure Equipment & Products — 0.2% | |||
| FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19 | 886 | 895,893 | |
| Life Sciences Tools & Services — 0.2% | |||
| Patheon, Inc., Term Loan, 7.25%, 12/06/18 | 1,198 | 1,209,136 | |
| Machinery — 4.5% | |||
| Allegion PLC, Term Loan B, 3.00%, 9/30/20 | 915 | 915,284 | |
| Alliance Laundry Systems LLC: | |||
| 2nd Lien Term Loan, 9.50%, 12/10/19 | 573 | 577,739 | |
| Refinancing Term Loan, 4.25%, 12/10/18 | 932 | 934,533 | |
| Dayco Products LLC, Term Loan B, 5.25%, 11/26/19 | 1,595 | 1,583,037 | |
| Faenza Acquisition GmbH: | |||
| Term Loan B1, 4.25%, 8/31/20 | 1,194 | 1,197,671 | |
| Term Loan B3, 4.25%, 8/28/20 | 363 | 364,290 | |
| Gardner Denver, Inc., Term Loan: | |||
| 4.75%, 7/30/20 | EUR | 549 | 751,151 |
| 4.25%, 7/30/20 | USD | 3,329 | 3,311,358 |
| Generac Power Systems, Inc., Term Loan B, 3.50%, 5/31/20 | 3,426 | 3,426,412 | |
| Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 | 1,980 | 1,984,950 | |
| Mirror Bidco Corp., Term Loan, 5.25%, 12/27/19 | 2,447 | 2,457,718 | |
| Navistar International Corp., Term Loan B, 5.75%, 8/17/17 | 904 | 917,903 | |
| Pacific Industrial Services US Finco LLC: | |||
| 1st Lien Term Loan, 5.00%, 10/02/18 | 2,210 | 2,233,492 |
Field: Page; Sequence: 8
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2013 8
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Machinery (concluded) | |||
| Pacific Industrial Services US Finco LLC (concluded): | |||
| 2nd Lien Term Loan, 8.75%, 4/02/19 | USD | 855 | $ 872,100 |
| Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 | 1,730 | 1,729,371 | |
| Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 | 1,283 | 1,281,480 | |
| Terex Corp., Term Loan, 4.00%, 4/28/17 | EUR | 153 | 209,092 |
| Wabash National Corp., Term Loan B, 4.50%, 5/02/19 | USD | 1,382 | 1,387,594 |
| 26,135,175 | |||
| Marine — 0.7% | |||
| HGIM Corp., Term Loan B, 5.50%, 6/18/20 | 4,020 | 4,035,075 | |
| Media — 13.5% | |||
| Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20 | 3,040 | 3,046,658 | |
| Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20 | 1,125 | 1,125,000 | |
| Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 | 2,202 | 2,196,137 | |
| Catalina Marketing Corp., Term Loan B, 5.25%, 10/12/20 | 2,500 | 2,521,250 | |
| Cengage Learning Acquisitions, Inc.: | |||
| Non-Extended Term Loan, 4.75%, 7/03/14 | 781 | 587,026 | |
| Tranche 1 Incremental, 7.50%, 7/03/14 | 1,708 | 1,283,578 | |
| Charter Communications Operating LLC, Term Loan E, 3.00%, 7/01/20 | 2,030 | 2,000,601 | |
| Clear Channel Communications, Inc.: | |||
| Term Loan B, 3.81%, 1/29/16 | 655 | 630,411 | |
| Term Loan C, 3.81%, 1/29/16 | 183 | 174,315 | |
| Term Loan D, 6.91%, 1/30/19 | 6,875 | 6,479,557 | |
| Cumulus Media Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/17/18 | 2,411 | 2,422,951 | |
| EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18 | 1,955 | 1,962,126 | |
| EW Scripps Co., Term Loan B, 3.25%, 11/14/20 | 1,540 | 1,543,850 | |
| Fender Musical Instruments Corp., 2019 Term Loan B, 5.75%, 4/03/19 | 307 | 310,656 | |
| Floating Rate Loan Interests (c) | Par (000) | Value | |
| Media (continued) | |||
| Foxco Acquisition Sub LLC, Term Loan B, 5.50%, 7/14/17 | USD | 2,898 | $ 2,902,617 |
| Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 | 196 | 181,336 | |
| Gray Television, Inc., Term Loan B, 4.75%, 10/15/19 | 519 | 521,041 | |
| Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20 | 2,199 | 2,206,372 | |
| Houghton Mifflin Harcourt Publishing Co., DIP Term Loan B, 4.25%, 6/01/18 | 1,876 | 1,880,328 | |
| Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19 | 1,590 | 1,601,912 | |
| Intelsat Jackson Holdings SA, Term Loan B2, 2.00%, 6/30/19 | 5,188 | 5,194,160 | |
| Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20 | 645 | 645,806 | |
| Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20 | 500 | 500,250 | |
| Media General, Inc., Delayed Draw Term Loan B, 5.50%, 7/31/20 | 1,845 | 1,862,306 | |
| NEP/NCP Holdco, Inc., Term Loan: | |||
| 2nd Lien, 9.50%, 7/22/20 | 571 | 585,360 | |
| 4.75%, 1/22/20 | 2,878 | 2,885,446 | |
| Nielsen Finance LLC, Term Loan E, 2.92%, 5/02/16 | 2,368 | 2,371,191 | |
| Rentpath, Inc., Term Loan B, 6.25%, 5/29/20 | 2,359 | 2,306,008 | |
| Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 | 1,713 | 1,718,069 | |
| Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20 | 1,886 | 1,870,215 | |
| Springer Science & Business Media Deutschland GmbH, Term Loan B2, 5.00%, 8/14/20 | 2,155 | 2,160,840 | |
| Tribune Co., 2013 Term Loan, 1.00%, 11/12/20 | 2,855 | 2,841,610 | |
| TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20 | 2,045 | 2,093,569 | |
| Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20 | 3,079 | 3,091,407 | |
| UPC Financing Partnership, Term Loan AG, 3.88%, 3/31/21 | EUR | 1,272 | 1,738,096 |
| Virgin Media Investment Holdings Ltd.: | |||
| Term Loan B, 3.50%, 6/08/20 | USD | 3,415 | 3,414,727 |
| Term Loan C, 4.50%, 6/05/20 | GBP | 2,840 | 4,690,681 |
Field: Page; Sequence: 9
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2013 9
Field: /Page
| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Media (concluded) | |||
| WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 | USD | 2,237 | $ 2,248,896 |
| 77,796,359 | |||
| Metals & Mining — 4.0% | |||
| Ameriforge Group, Inc.: | |||
| 1st Lien Term Loan, 5.00%, 12/19/19 | 1,628 | 1,641,259 | |
| 2nd Lien Term Loan, 8.75%, 12/18/20 | 815 | 831,300 | |
| API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19 | 1,650 | 1,641,377 | |
| Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20 | 3,637 | 3,723,097 | |
| FMG Resources August 2006 Property Ltd., Term Loan, 4.25%, 6/28/19 | 4,971 | 5,014,584 | |
| Murray Energy Corp., Term Loan B, 4.75%, 5/24/19 | 393 | 394,864 | |
| Novelis, Inc., Term Loan, 3.75%, 3/10/17 | 3,427 | 3,441,482 | |
| SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18 | 576 | 572,744 | |
| Walter Energy, Inc., Term Loan B, 6.75%, 4/02/18 | 3,148 | 3,079,427 | |
| Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 | 2,684 | 2,748,249 | |
| 23,088,383 | |||
| Multiline Retail — 3.0% | |||
| 99 Cents Only Stores, Term Loan, 4.50%, 1/11/19 | 1,984 | 1,992,158 | |
| Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20 | 2,104 | 2,107,939 | |
| BJ's Wholesale Club, Inc.: | |||
| 1st Lien Term Loan, 4.50%, 9/26/19 | 2,367 | 2,373,872 | |
| 2nd Lien Term Loan, 8.50%, 3/26/20 | 870 | 886,313 | |
| HEMA Holding BV: | |||
| Extended 2nd Lien Term Loan, 5.88%, 1/05/18 | EUR | 1,400 | 1,762,824 |
| Extended Term Loan B, 4.50%, 12/06/17 | 576 | 787,445 | |
| Extended Term Loan C, 4.50%, 12/06/17 | 528 | 721,140 | |
| Hudson's Bay Co.: | |||
| 1st Lien Term Loan, 4.75%, 11/04/20 | USD | 2,035 | 2,059,746 |
| 2nd Lien Term Loan, 8.25%, 11/04/21 | 150 | 154,001 | |
| JC Penney Corp., Inc., 1st Lien Term Loan, 6.00%, 5/22/18 | 1,187 | 1,159,260 | |
| Floating Rate Loan Interests (c) | Par (000) | Value | |
| Multiline Retail (concluded) | |||
| The Neiman Marcus Group, Inc., Term Loan, 5.00%, 10/26/20 | USD | 3,065 | $ 3,083,390 |
| 17,088,088 | |||
| Oil, Gas & Consumable Fuels — 6.4% | |||
| Brand Energy & Infrastructure Services, Inc., Term Loan B, 1.00%, 11/20/20 | 3,828 | 3,843,875 | |
| Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 | 4,285 | 4,370,700 | |
| Drillships Financing Holding, Inc., Term Loan B2, 5.50%, 7/15/16 | 3,681 | 3,723,730 | |
| EP Energy LLC, Term Loan B3, 3.50%, 5/24/18 | 1,920 | 1,920,480 | |
| Fieldwood Energy LLC, 1st Lien Term Loan, 3.88%, 9/28/18 | 1,155 | 1,162,034 | |
| GIM Channelview Cogeneration LLC, Term Loan B, 4.25%, 5/08/20 | 1,157 | 1,164,332 | |
| Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 1,426 | 1,426,213 | |
| Offshore Group Investment Ltd.: | |||
| 6.25%, 10/25/17 | 3,039 | 3,048,255 | |
| 5.75%, 3/28/19 | 1,502 | 1,516,062 | |
| Pacific Drilling SA, Term Loan B, 4.50%, 6/04/18 | 2,424 | 2,443,631 | |
| Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 | 1,560 | 1,599,000 | |
| Philadelphia Energy Solutions LLC, Term Loan B, 6.25%, 4/04/18 | 1,634 | 1,460,086 | |
| PowerTeam Services LLC: | |||
| 1st Lien Term Loan, 4.25%, 5/06/20 | 842 | 831,543 | |
| 2nd Lien Term Loan, 8.25%, 11/06/20 | 470 | 461,775 | |
| Delayed Draw Term Loan, 4.25%, 5/06/20 | 46 | 45,329 | |
| Ruby Western Pipeline Holdings LLC, Term Loan B, 3.50%, 3/27/20 | 1,224 | 1,227,833 | |
| Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18 | 1,285 | 1,288,212 | |
| State Class Tankers II LLC, Term Loan B, 6.75%, 6/22/20 | 1,750 | 1,763,125 | |
| Tesoro Corp., Term Loan B, 2.41%, 5/30/16 | 2,353 | 2,353,175 | |
| Western Refining, Inc., Term Loan B, 4.25%, 11/12/20 | 1,470 | 1,481,951 | |
| 37,131,341 |
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2013 10
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Paper & Forest Products — 0.2% | |||
| NewPage Corp., Exit Term Loan, 7.75%, 12/21/18 | USD | 1,378 | $ 1,405,619 |
| Pharmaceuticals — 4.9% | |||
| Akorn, Inc., Term Loan B, 1.00%, 8/27/20 | 1,790 | 1,795,603 | |
| Amneal Pharmaceuticals LLC, Term Loan, 7.00%, 11/01/19 | 1,235 | 1,235,000 | |
| Aptalis Pharma, Inc., Term Loan B, 6.00%, 9/18/20 | 5,277 | 5,327,962 | |
| Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20 | 1,045 | 1,047,612 | |
| Par Pharmaceutical Cos., Inc., Refinancing Term Loan B, 4.25%, 9/30/19 | 4,678 | 4,697,801 | |
| Pharmaceutical Product Development LLC, Term Loan B, 4.25%, 12/05/18 | 4,066 | 4,088,393 | |
| Quintiles Transnational Corp., Term Loan B, 4.00%, 6/08/18 | 2,647 | 2,647,480 | |
| Valeant Pharmaceuticals International, Inc.: | |||
| Series C2 Term Loan B, 3.75%, 12/11/19 | 2,666 | 2,683,874 | |
| Series D2 Term Loan B, 3.75%, 2/13/19 | 2,933 | 2,951,741 | |
| Term Loan E, 4.50%, 8/05/20 | 1,791 | 1,809,954 | |
| 28,285,420 | |||
| Professional Services — 1.7% | |||
| Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 | 3,249 | 3,258,934 | |
| ON Assignment, Inc., Refinancing Term Loan B, 3.50%, 4/30/20 | 1,099 | 1,094,913 | |
| Sirva Worldwide, Inc., Term Loan, 7.50%, 3/27/19 | 1,851 | 1,883,087 | |
| TriNet Group, Inc., Term Loan B2, 5.00%, 8/14/20 | 1,165 | 1,165,000 | |
| Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 | 2,612 | 2,619,664 | |
| 10,021,598 | |||
| Real Estate Investment Trusts (REITs) — 0.6% | |||
| iStar Financial, Inc., Term Loan, 4.50%, 10/16/17 | 2,664 | 2,675,234 | |
| Starwood Property Trust, Inc., Term Loan B, 1.00%, 4/17/20 | 560 | 557,553 | |
| 3,232,787 | |||
| Floating Rate Loan Interests (c) | Par (000) | Value | |
| Real Estate Management & Development — 1.4% | |||
| CityCenter Holdings LLC, Term Loan B, 5.00%, 10/16/20 | USD | 2,525 | $ 2,552,624 |
| Realogy Corp.: | |||
| Extended Letter of Credit, 4.45%, 10/10/16 | 248 | 250,515 | |
| Extended Term Loan, 4.50%, 3/05/20 | 5,251 | 5,303,440 | |
| 8,106,579 | |||
| Road & Rail — 0.4% | |||
| Genesee & Wyoming, Inc., Term Loan A, 1.91%, 9/29/17 | 1,098 | 1,097,069 | |
| Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18 | 1,004 | 1,008,392 | |
| 2,105,461 | |||
| Semiconductors & Semiconductor Equipment — 1.3% | |||
| Freescale Semiconductor, Inc.: | |||
| Term Loan B4, 5.00%, 2/28/20 | 3,269 | 3,302,274 | |
| Term Loan B5, 5.00%, 1/15/21 | 715 | 722,400 | |
| NXP BV: | |||
| Term Loan C, 4.75%, 1/11/20 | 1,831 | 1,832,536 | |
| Term Loan D, 3.25%, 1/10/20 | 1,430 | 1,431,073 | |
| 7,288,283 | |||
| Software — 5.0% | |||
| Blackboard, Inc., Term Loan B3, 4.75%, 10/04/18 | 493 | 496,712 | |
| BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20 | 2,455 | 2,467,275 | |
| Chromaflo Technologies Corp.: | |||
| 1st Lien Term Loan, 1.00%, 11/30/19 | 1,150 | 1,150,000 | |
| 2nd Lien Term Loan, 1.00%, 5/30/20 | 490 | 492,450 | |
| CompuCom Systems, Inc., Refinancing Term Loan B, 4.25%, 5/11/20 | 613 | 610,135 | |
| Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 | 1,067 | 1,039,308 | |
| GCA Services Group, Inc.: | |||
| 2nd Lien Term Loan, 9.25%, 10/22/20 | 975 | 984,750 | |
| Term Loan B, 5.25%, 11/01/19 | 1,849 | 1,849,884 | |
| Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 | 4,107 | 4,124,883 | |
| Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 | 1,790 | 1,843,700 |
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Software (concluded) | |||
| Mitchell International, Inc.: | |||
| 1st Lien Term Loan, 4.50%, 10/12/20 | USD | 1,110 | $ 1,116,937 |
| 2nd Lien Term Loan, 8.50%, 10/08/21 | 1,600 | 1,620,000 | |
| RP Crown Parent LLC, 1st Lien Term Loan, 6.75%, 12/21/18 | 1,553 | 1,567,180 | |
| Sophia LP, Term Loan B, 4.50%, 7/19/18 | 2,648 | 2,666,380 | |
| SS&C Technologies, Inc.: | |||
| Term Loan B1, 3.25%, 6/07/19 | 2,952 | 2,958,623 | |
| Term Loan B2, 3.25%, 6/07/19 | 305 | 306,064 | |
| StoneRiver Holdings, Inc.: | |||
| 1st Lien Term Loan, 4.50%, 11/29/19 | 813 | 809,740 | |
| 2nd Lien Term Loan, 8.50%, 5/29/20 | 944 | 950,377 | |
| Websence, Inc.: | |||
| 2nd Lien Term Loan, 8.25%, 12/24/20 | 730 | 729,087 | |
| Term Loan B, 4.50%, 6/25/20 | 803 | 801,984 | |
| 28,585,469 | |||
| Specialty Retail — 6.0% | |||
| Academy Ltd., Term Loan, 4.50%, 8/03/18 | 3,439 | 3,454,763 | |
| Atlantic Aviation FBO, Inc., Term Loan B, 3.25%, 6/01/20 | 579 | 578,006 | |
| Bass Pro Group LLC, Term Loan, 4.00%, 11/20/19 | 2,776 | 2,786,378 | |
| Burlington Coat Factory Warehouse Corp., Term Loan B2, 4.25%, 2/23/17 | 617 | 620,344 | |
| David's Bridal, Inc., Term Loan B, 5.00%, 10/11/19 | 3,681 | 3,683,798 | |
| Equinox Holdings, Inc., Repriced Term Loan B, 4.50%, 1/31/20 | 1,955 | 1,964,951 | |
| Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18 | 161 | 155,685 | |
| Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19 | 1,985 | 2,005,433 | |
| Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18 | 979 | 980,048 | |
| Leslie's Poolmart, Inc., Term Loan B, 4.25%, 10/16/19 | 2,992 | 2,999,590 | |
| Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20 | 2,616 | 2,622,815 | |
| Floating Rate Loan Interests (c) | Par (000) | Value | |
| Specialty Retail (concluded) | |||
| Party City Holdings, Inc., Refinancing Term Loan B, 4.25%, 7/29/19 | USD | 4,879 | $ 4,890,806 |
| Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 | 3,396 | 3,409,401 | |
| Sprouts Farmers Markets Holdings LLC, Term Loan, 4.00%, 4/23/20 | 773 | 776,660 | |
| SRAM LLC, Term Loan B, 4.00%, 4/10/20 | 830 | 827,282 | |
| Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18 | 1,719 | 1,709,970 | |
| Toys 'R' Us-Delaware, Inc.: | |||
| Incremental Term Loan B2, 5.25%, 5/25/18 | 792 | 702,676 | |
| Term Loan B3, 5.25%, 5/25/18 | 164 | 145,534 | |
| 34,314,140 | |||
| Textiles, Apparel & Luxury Goods — 0.9% | |||
| Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 3,974 | 3,778,255 | |
| Phillips-Van Heusen Corp., Term Loan B, 3.25%, 2/13/20 | 1,369 | 1,370,627 | |
| True Religion Apparel, Inc., 1st Lien Term Loan, 5.88%, 7/30/19 | 190 | 181,688 | |
| 5,330,570 | |||
| Thrifts & Mortgage Finance — 0.6% | |||
| IG Investments Holdings LLC, 1st Lien Term Loan, 5.50%, 10/31/19 | 1,945 | 1,953,198 | |
| Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18 | 1,637 | 1,655,532 | |
| 3,608,730 | |||
| Trading Companies & Distributors — 0.1% | |||
| WESCO Distribution, Inc., Term Loan B, 4.50%, 12/12/19 | 550 | 551,288 | |
| Wireless Telecommunication Services — 0.7% | |||
| Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19 | 1,625 | 1,630,643 | |
| Light Tower Fiber LLC, 1st Lien Term Loan, 4.50%, 4/13/20 | 2,683 | 2,684,402 | |
| 4,315,045 | |||
| Total Floating Rate Loan Interests — 134.4% | 774,252,220 |
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2013 12
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
| Non-Agency
Mortgage-Backed Securities | | Par (000) | |
| --- | --- | --- | --- |
| Collateralized Mortgage Obligations — 0.2% | | | |
| Hilton USA Trust 2013-HLT, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(d) | USD | 1,336 | $ 1,342,680 |
| Other Interests (a)(i) | | Beneficial Interest (000) | |
| Auto Components — 0.0% | | | |
| Intermet Liquidating Trust, Class A | | 256 | 2 |
| Diversified Financial Services — 0.1% | | | |
| J.G. Wentworth LLC Preferred Equity Interests (90-day lock), (Acquired 11/18/13, cost $1,177,928) (j) | | 17 | 263,542 |
| J.G. Wentworth LLC Preferred Equity Interests (135-day lock), (Acquired 11/18/13, cost $1,177,928) (j) | | 17 | 263,542 |
| J.G. Wentworth LLC Preferred Equity Interests (180-day lock), (Acquired 11/18/13, cost $1,177,928) (j) | | 17 | 263,542 |
| | | | 790,626 |
| Hotels, Restaurants & Leisure — 0.0% | | | |
| Buffets, Inc. | | 360 | 4 |
| Household Durables — 0.3% | | | |
| Stanley Martin, Class B Membership Units | | 1 | 1,735,000 |
| Total Other Interests — 0.4% | | | 2,525,632 |
| Trust Preferreds — 0.5% | | Shares | |
| Diversified Financial Services — 0.5% | | | |
| GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c) | | 100,620 | 2,690,989 |
| Warrants (k) | | Shares | Value |
| Chemicals — 0.0% | | | |
| GEO Specialty Chemicals, Inc., (Expires 3/31/15)(a) | | 143,928 | $ 120,900 |
| Software — 0.0% | | | |
| HMH Holdings/EduMedia, (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) | | 2,406 | — |
| Total Warrants — 0.0% | | | 120,900 |
| Total Long-Term Investments (Cost — $837,010,824) — 145.2% | | | 836,446,686 |
| Short-Term Securities | | | |
| BlackRock Liquidity Funds, TempFund, Institutional Class, 0.07% (l)(m) | | 8,852,042 | 8,852,042 |
| Total Short-Term Securities (Cost — $8,852,042) — 1.5% | | | 8,852,042 |
| Options Purchased | | | |
| (Cost — $43,022) — 0.0% | | | — |
| Total Investments (Cost — $845,905,888*) — 146.7% | | | 845,298,728 |
| Liabilities in Excess of Other Assets — (46.7)% | | | (269,088,481) |
| Net Assets — 100.0% | | | $ 576,210,247 |
| Tax cost | $ |
|---|---|
| Gross unrealized appreciation | $ 14,441,248 |
| Gross unrealized depreciation | (17,228,707) |
| Net unrealized depreciation | $ (2,787,459) |
| Notes
to Schedule of Investments | |
| --- | --- |
| (a) | Non-income producing security. |
| (b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (c) | Variable rate security. Rate shown is as of report date. |
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2013 13
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Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(d) When-issued security. Unsettled when-issued transactions were as follows:
| Counterparty | Unrealized Appreciation (Depreciation) | |
|---|---|---|
| J.P. Morgan Securities LLC | $ 1,342,680 | — |
| Wells Fargo Securities, LLC | $ 1,130,450 | — |
| (e) | Represent a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|---|---|
| (f) | Convertible security. |
| (g) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
| (h) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
| (i) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
| (J) | Restricted security as to resale. As of report date the Fund held 0.1% of its net assets, with a current value of $790,626 in this security. |
| (k) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
| (l) | Investments in issuers considered to be an affiliate of the Fund during the period ended November 30, 2013, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| Affiliate | Shares Held at August 31, 2013 | Net Activity | Shares Held at November 30, 2013 | |
|---|---|---|---|---|
| BlackRock Liquidity Funds, TempFund, Institutional Class | 907,643 | 7,944,399 | 8,852,042 | $ 145 |
| (m) | |
|---|---|
| Portfolio | |
| Abbreviations | |
| To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list: | |
| ADS | American Depositary Shares |
| CAD | Canadian Dollar |
| CLO | Collateralized Loan Obligation |
| DIP | Debtor-In-Possession |
| EUR | Euro |
| GBP | British Pound |
| PIK | Payment-In-Kind |
| USD | US Dollar |
• Foreign currency exchange contracts as of November 30, 2013 were as follows:
| Currency Purchased — USD | 6,431,831 | Currency Sold — EUR | 4,763,000 | Counterparty — Barclays Bank PLC | Settlement Date — 1/22/14 | $ (40,275) |
|---|---|---|---|---|---|---|
| USD | 3,364,988 | CAD | 3,485,000 | Barclays Bank PLC | 1/23/14 | 89,349 |
| USD | 9,004,422 | GBP | 5,579,000 | Barclays Bank PLC | 1/23/14 | (121,137) |
| Total | $ (72,063) |
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2013 14
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Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
• Over-the-counter options purchased as of November 30, 2013 were as follows:
| Description | Counterparty | Expiration Date | Contracts | Market Value | |||
|---|---|---|---|---|---|---|---|
| Marsico Parent Superholdco LLC | Goldman Sachs & Co. | Call | USD | 942.86 | 12/14/19 | 44 | — |
• Over-the-counter credit default swaps - sold protection outstanding as of November 30, 2013 were as follows:
| Issuer | Receive Fixed Rate | Counterparty | Expiration Date | Credit Rating 1 | Notional Amount (000) 2 | Market Value | Premiums Received | Unrealized Appreciation (Depreciation) | |
|---|---|---|---|---|---|---|---|---|---|
| Caesars Entertainment Operating Co., Inc. | 5.00% | J.P. Morgan Chase Bank N.A. | 12/20/15 | CCC- | USD | 538 | $ (134,987) | $ (138,419) | $ 3,432 |
| Caesars Entertainment Operating Co., Inc. | 5.00% | J.P. Morgan Chase Bank N.A. | 12/20/15 | CCC- | USD | 149 | (37,427) | (33,270) | (4,157) |
| Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 12/20/15 | CCC- | USD | 1,112 | (278,658) | (219,460) | (59,198) |
| Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 3/20/16 | CCC- | USD | 2,000 | (579,177) | (390,035) | (189,142) |
| Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 3/20/17 | CCC- | USD | 389 | (167,890) | (100,036) | (67,854) |
| Caesars Entertainment Operating Co., Inc. | 5.00% | Deutsche Bank AG | 6/20/17 | CCC- | USD | 593 | (269,272) | (163,381) | (105,891) |
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2013 15
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Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
• Over-the-counter credit default swaps - sold protection outstanding as of November 30, 2013 were as follows (concluded):
| Issuer | Receive Fixed Rate | Counterparty | Expiration Date | Credit Rating 1 | Notional Amount (000) 2 | Market Value | Premiums Received | Unrealized Appreciation (Depreciation) | |
|---|---|---|---|---|---|---|---|---|---|
| Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 9/20/15 | CCC- | USD | 413 | $ (86,177) | $ (85,575) | $ (602) |
| Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 9/20/16 | CCC- | USD | 2,092 | (773,880) | (438,674) | (335,206) |
| Caesars Entertainment Operating Co., Inc. | 5.00% | Goldman Sachs International | 12/20/15 | CCC- | USD | 339 | (85,059) | (43,244) | (41,815) |
| Caesars Entertainment Operating Co., Inc. | 5.00% | J.P. Morgan Chase Bank N.A. | 6/20/16 | CCC- | USD | 362 | (119,358) | (67,135) | (52,223) |
| Caesars Entertainment Operating Co., Inc. | 5.00% | Barclays Bank PLC | 9/20/16 | CCC- | USD | 302 | (111,775) | (63,418) | (48,357) |
| Caesars Entertainment Operating Co., Inc. | 5.00% | Deutsche Bank AG | 9/20/16 | CCC- | USD | 800 | (295,979) | (171,661) | (124,318) |
| Total | $ (2,939,639) | $ (1,914,308) | $(1,025,331) |
| 1 | Using Standard & Poor’s rating of the issuer. |
|---|---|
| 2 | The maximum potential amount the Fund may pay should a negative event take place as defined under the terms of the agreement. |
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2013 16
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Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| • | |
|---|---|
| • | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access |
| • | 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 and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund's policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund's policy regarding valuation of investments and derivative financial instruments, please refer to the Fund's most recent financial statements as contained in its annual report. The following tables summarize the Fund's investments and derivative financial instruments categorized in the disclosure hierarchy as of November 30, 2013:
| Level 1 | Level 2 | Level 3 | ||
|---|---|---|---|---|
| Assets: | ||||
| Investments: | ||||
| Long-Term Investments: | ||||
| Common Stocks | $ 1,487,351 | $ 1,382,808 | $ 3,181,847 | $ 6,052,006 |
| Asset-Backed Securities | — | — | 19,592,174 | 19,592,174 |
| Corporate Bonds | — | 26,424,501 | 3,445,584 | 29,870,085 |
| Floating Rate Loan Interests | — | 705,220,939 | 69,031,281 | 774,252,220 |
| Non-Agency Mortgage-Backed Securities | — | 1,342,680 | — | 1,342,680 |
| Other Interests | — | — | 2,525,632 | 2,525,632 |
| Preferred Securities | — | 2,690,989 | — | 2,690,989 |
| Warrants | — | — | 120,900 | 120,900 |
| Short-Term Securities | 8,852,042 | — | — | 8,852,042 |
| Unfunded Loan Commitments | — | 2,107 | — | 2,107 |
| Liabilities: | ||||
| Unfunded Loan Commitments | — | (485) | — | (485) |
| Total | $ 10,339,393 | $ 737,063,539 | $ 97,897,418 | $ 845,300,350 |
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2013 17
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Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Level 1 | ||||
|---|---|---|---|---|
| Derivative Financial Instruments 1 | ||||
| Assets: | ||||
| Credit contracts | — | $ 3,432 | — | $ 3,432 |
| Foreign currency exchange contracts | — | 89,349 | — | 89,349 |
| Liabilities: | ||||
| Credit contracts | — | (1,028,763) | — | (1,028,763) |
| Foreign currency exchange | ||||
| contracts | — | (161,412) | — | (161,412) |
| Total | — | $ (1,097,394) | — | $ (1,097,394) |
1 Derivative financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.
Certain of the Fund's assets and/or liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of November 30, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
| Level 1 | Level 2 | |||
|---|---|---|---|---|
| Assets: | ||||
| Cash pledged as collateral for over-the-counter swaps | $ 1,560,000 | — | — | $ 1,560,000 |
| Foreign currency at value | 31,611 | — | — | 31,611 |
| Liabilities: | ||||
| Bank overdraft | — | $ (2,971,882) | — | (2,971,882) |
| Loans payable | — | (234,000,000) | — | (234,000,000) |
| Total | $ 1,591,611 | $ (236,971,882) | — | $ (235,380,271) |
There were no transfers between Level 1 and level 2 during the period ended November 30, 2013.
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
| Common Stocks | Asset-Backed Securities | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Warrants | Total | |
|---|---|---|---|---|---|---|---|
| Assets: | $1,119,143 | $21,081,133 | $4,187,534 | $86,976,283 | $2,150,980 | $113,703 | $115,628,776 |
| Opening Balance, as of August 31, 2013 | |||||||
| Transfers into Level | |||||||
| 3 2 | 2,041,674 | — | — | 22,349,591 | — | — | 24,391,265 |
| Transfers out of Level | |||||||
| 3 3 | — | — | (929,040) | (43,786,688) | — | — | (44,715,728) |
| Accrued discounts/Premiums | — | 21,394 | 19,197 | 40,159 | — | — | 80,750 |
| Net realized gain (loss) | 1,734 | 220,661 | — | 46,772 | — | — | 269,167 |
| Net change in unrealized appreciation/depreciation 4 | 171,492 | (152,402) | 167,893 | 290,347 | 530,451 | 7,197 | 1,014,978 |
| Purchases | — | 3,295,979 | — | 12,068,773 | 3,533,785 | — | 18,898,537 |
| Sales | (152,196) | (4,874,591) | — | (8,953,956) | (3,689,584) | — | (17,670,327) |
| Closing Balance, as of | |||||||
| November 30, 2013 | $3,181,847 | $19,592,174 | $3,445,584 | $69,031,281 | $2,525,632 | $120,900 | $97,897,418 |
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Consolidated Schedule of Investments (concluded) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| 2 | As of August 31, 2013, the Trust used observable inputs in determining the value of certain investments. As of November 30, 2013, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $24,391,265 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
|---|---|
| 3 | As of August 31, 2013, the Trust used significant unobservable inputs in determining the value of certain investments. As of November 30, 2013, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $44,715,728 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
| 4 | The change in unrealized appreciation/depreciation on investments still held as of November 30, 2013 was $(1,780,129). |
The following table summarizes the valuation techniques used and unobservable inputs utilized by the Global Valuation Committee to determine the value of certain of the Fund's Level 3 investments as of November 30, 2013. The table does not include Level 3 investments with values based upon unadjusted third party pricing information. Level 3 investments valued using third party pricing information was $88,833,412. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3 investments.
| Value | Valuation Techniques | Unobservable Inputs 5 | Range of Unobservable Inputs Utilized | |
|---|---|---|---|---|
| Assets: | ||||
| Common Stocks | $1,261,926 | Market Comparable Companies | Last 12 months EBITDA Multiple | 6.50x |
| Illiquidity Discount | 17.50% | |||
| Offshore Last 12 months EBITDA Multiple | 8.50x | |||
| Offshore Current Fiscal Year EBITDA Multiple | 7.25x | |||
| Onshore EBITDA Multiple | 4.75x | |||
| Onshore Current Fiscal Year EBITDA Multiple | 4.50x | |||
| Corporate Bonds | 3,445,584 | Market Comparable Companies | Last 12 months EBITDA Multiple | 6.50x |
| Illiquidity Discount | 17.50% | |||
| Floating Rate Loan Interests | 1,709,970 | Market Comparable Yield Analysis | Yield | 8.13% |
| Other Interests | 1,735,000 | Discounted Cash Flow | Perpetuity Growth Rate | 3.50% |
| Free Cash Flow | $2.10-35.20 6 | |||
| Weighted Cost of Capital | 11.90% | |||
| 790,626 | Discounted Vendor Price | Illiquidity Discount | 5.00% | |
| Warrants | 120,900 | Market Comparable Companies | Last 12 months EBITDA Multiple | 6.50x |
| Illiquidity Discount | 17.50% | |||
| Total | $9,064,006 |
5 A change to the unobservable input may result in a significant change to the value of the investment as follows:
| Unobservable Input | Impact to Value if Input Increases | Impact to Value if Input Decreases |
|---|---|---|
| Last 12 months EBITDA Multiple | Increase | Decrease |
| Illiquidity Discount | Decrease | Increase |
| Offshore Last 12 months EBITDA Multiple | Increase | Decrease |
| Offshore Current Fiscal Year EBITDA Multiple | Increase | Decrease |
| Onshore EBITDA Multiple | Increase | Decrease |
| Onshore Current Fiscal Year EBITDA Multiple | Increase | Decrease |
| Yield | Decrease | Increase |
| Perpetuity Growth Rate | Increase | Decrease |
| Free Cash Flow | Increase | Decrease |
| Weighted Cost of Capital | Decrease | Increase |
6 Amount is stated in millions.
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2013 19
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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 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(b) – There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 3 – Exhibits
Certifications – Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Floating Rate Income Strategies Fund, Inc.
By: /s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: January 24, 2014
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: January 24, 2014
By: /s/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: January 24, 2014
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