Regulatory Filings • Jul 23, 2015
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Download Source FileN-Q 1 e65193nq.htm FORM N-Q
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: 08/31/2015
Date of reporting period: 05/31/2015
Item 1 – Schedule of Investments
Field: Page; Sequence: 1
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| Consolidated Schedule of Investments May 31, 2015 (Unaudited) |
|---|
| (Percentages shown are based on Net Assets) |
MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"
| Common Stocks | Shares | ||
|---|---|---|---|
| Chemicals — 0.0% | |||
| GEO Specialty Chemicals, Inc. (a)(b) | 23,849 | $ 18,125 | |
| Diversified Consumer Services — 0.7% | |||
| Cengage Thomson Learning | 37,579 | 1,033,423 | |
| Houghton Mifflin Harcourt Co. | 116,627 | 3,076,620 | |
| 4,110,043 | |||
| Diversified Financial Services — 0.1% | |||
| Kcad Holdings I Ltd. (a) | 309,827,230 | 594,868 | |
| Paper & Forest Products — 0.2% | |||
| Norbord, Inc. | 45,706 | 976,280 | |
| Semiconductors & Semiconductor Equipment — 0.0% | |||
| SunPower Corp. (a) | 1,860 | 56,526 | |
| Total Common Stocks — 1.0% | 5,755,842 | ||
| Asset-Backed Securities | Par (000) | ||
| ALM Loan Funding (c): | |||
| Series 2013-7RA, Class C, 3.73%, 4/24/24 | USD | 1,075 | 1,061,108 |
| Series 2013-7RA, Class D, 5.28%, 4/24/24 (b) | 900 | 893,393 | |
| Series 2013-8A, Class B, 3.03%, 1/20/26 (b) | 1,150 | 1,143,400 | |
| ALM XIV Ltd., Series 2014-14A, Class C, 3.73%, 7/28/26 (c) | 713 | 694,645 | |
| AMMC CLO 15 Ltd., Series 2014-15A, Class D, 4.48%, 12/09/26 (b)(c) | 1,000 | 995,000 | |
| Ares CLO Ltd., Series 2014-32A, Class C, 4.47%, 11/15/25 (b)(c) | 1,000 | 1,001,250 | |
| Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 3.98%, 10/15/26 (c) | 860 | 843,511 | |
| Atrium CDO Corp., Series 9A, Class D, 3.79%, 2/28/24 (c) | 1,100 | 1,087,767 | |
| Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.78%, 7/15/24 (b)(c) | 650 | 630,038 | |
| Carlyle Global Market Strategies CLO Ltd. (c): | |||
| Series 2012-4A, Class D, 4.78%, 1/20/25 | 700 | 700,849 | |
| Series 2013-1A, Class C, 4.28%, 2/14/25 (b) | 250 | 249,991 | |
| Cent CLO 22 Ltd., Series 2014-22A, Class C, 4.03%, 11/07/26 (c) | 625 | 609,438 |
MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"
| Asset-Backed Securities — CIFC Funding 2014-V, Ltd., Series 2014-5A, Class D2, 4.74%, 1/17/27 (b)(c) | Par (000) — 1,000 | $ 1,000,861 |
|---|---|---|
| CIFC Funding Ltd., Series 2014-3A, Class C1, 3.08%, 7/22/26 (b)(c) | 250 | 247,736 |
| Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.28%, 4/20/23 (c) | 950 | 950,025 |
| LCM XVIII LP, Series 18A, Class INC, 0.00%, 4/20/27 (d) | 2,500 | 2,250,000 |
| Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.78%, 10/23/25 (b)(c) | 370 | 364,600 |
| North End CLO Ltd., Series 2013-1A, Class D, 3.78%, 7/17/25 (c) | 750 | 725,100 |
| Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.48%, 10/25/25 (c) | 1,000 | 958,855 |
| Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 3.93%, 11/14/26 (b)(c) | 500 | 488,786 |
| OZLM Funding Ltd., Series 2012-2A, Class C, 4.60%, 10/30/23 (b)(c) | 500 | 501,296 |
| OZLM VII Ltd., Series 2014-7A, Class C, 3.87%, 7/17/26 (b)(c) | 250 | 243,583 |
| Regatta Funding LP, Series 2013-2A, Class C, 4.28%, 1/15/25 (b)(c) | 500 | 495,713 |
| Sound Point CLO, Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (b)(c) | 1,250 | 1,205,000 |
| Treman Park CLO LLC, Series 2015-1A, Class D, 4.12%, 4/20/27 (b)(c) | 1,400 | 1,393,000 |
| Voya CLO Ltd.: | ||
| Series 2014-3A, Class C, 3.88%, 7/25/26 (b)(c) | 250 | 246,023 |
| Series 2014-4A, Class C, 4.28%, 10/14/26 (b)(c) | 1,000 | 999,965 |
| Series 2014-4A, Class SUB, 0.00%, 10/14/26 (d) | 1,000 | 932,100 |
| Total Asset-Backed Securities — 4.1% | 22,913,033 | |
| Corporate Bonds | ||
| Airlines — 0.7% | ||
| American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b) | 1,140 | 1,151,400 |
MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"
Field: Page; Sequence: 1; Options: NewSection; Value: 1
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 1
Field: /Page
| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"
| Corporate Bonds | Par (000) | ||
|---|---|---|---|
| Airlines (concluded) | |||
| Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 | USD | 175 | $ 194,521 |
| US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18 | 2,605 | 2,650,588 | |
| 3,996,509 | |||
| Auto Components — 0.1% | |||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp., 3.50%, 3/15/17 | 717 | 725,066 | |
| Banks — 0.0% | |||
| CIT Group, Inc., 5.00%, 8/01/23 | 135 | 138,200 | |
| Capital Markets — 0.2% | |||
| Blackstone CQP Holdco LP, 9.30%, 3/18/19 | 949 | 939,856 | |
| E*Trade Financial Corp., 0.00%, 8/31/19 (b)(d)(e) | 129 | 366,415 | |
| 1,306,271 | |||
| Chemicals — 0.5% | |||
| GEO Specialty Chemicals, Inc., 7.50%, 10/30/18 | 1,559 | 3,086,994 | |
| Commercial Services & Supplies — 0.2% | |||
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.03%, 12/01/17 (c) | 295 | 297,950 | |
| AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) | 866 | 878,616 | |
| 1,176,566 | |||
| Communications Equipment — 0.1% | |||
| Avaya, Inc., 7.00%, 4/01/19 (b) | 390 | 390,000 | |
| Consumer Finance — 0.2% | |||
| Ally Financial, Inc.: | |||
| 7.50%, 9/15/20 | 128 | 150,080 | |
| 5.13%, 9/30/24 | 135 | 138,037 | |
| 8.00%, 11/01/31 | 621 | 771,370 | |
| 1,059,487 | |||
| Containers & Packaging — 0.2% | |||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 3.29%, 12/15/19 (b)(c) | 1,145 | 1,126,394 | |
| Health Care Equipment & Supplies — 0.1% | |||
| DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (b) | 315 | 324,450 |
MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"
| Corporate Bonds | Par (000) | ||
|---|---|---|---|
| Hotels, Restaurants & Leisure — 0.0% | |||
| Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/15 (a)(f) | USD | 120 | $ — |
| Media — 0.5% | |||
| Altice Financing SA, 6.63%, 2/15/23 (b) | 550 | 569,938 | |
| Altice US Finance I Corp., 5.38%, 7/15/23 (b)(g) | 1,225 | 1,225,000 | |
| Numericable Group SA, 6.00%, 5/15/22 (b) | 842 | 849,367 | |
| 2,644,305 | |||
| Metals & Mining — 0.0% | |||
| Novelis, Inc., 8.38%, 12/15/17 | 255 | 266,794 | |
| Oil, Gas & Consumable Fuels — 0.2% | |||
| California Resources Corp., 5.50%, 9/15/21 | 325 | 307,938 | |
| CONSOL Energy, Inc., 5.88%, 4/15/22 | 620 | 578,150 | |
| 886,088 | |||
| Pharmaceuticals — 0.5% | |||
| Valeant Pharmaceuticals International, Inc. (b): | |||
| 5.38%, 3/15/20 | 1,400 | 1,459,500 | |
| 5.88%, 5/15/23 | 840 | 870,450 | |
| 6.13%, 4/15/25 | 460 | 478,400 | |
| 2,808,350 | |||
| Wireless Telecommunication Services — 0.4% | |||
| Communications Sales & Leasing, Inc., 6.00%, 4/15/23 (b) | 485 | 487,425 | |
| Sprint Communications, Inc., 7.00%, 3/01/20 (b) | 1,205 | 1,330,018 | |
| T-Mobile USA, Inc., 6.13%, 1/15/22 | 225 | 235,969 | |
| 2,053,412 | |||
| Total Corporate Bonds — 3.9% | 21,988,886 | ||
| Floating Rate Loan Interests (c) | |||
| Aerospace & Defense — 2.3% | |||
| BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21 | 2,938 | 2,964,253 | |
| DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 | 2,195 | 2,196,583 | |
| TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21 | 1,175 | 1,232,281 |
MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 2
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Aerospace & Defense (concluded) | |||
| Transdigm, Inc.: | |||
| 2015 Term Loan E, 3.50%, 5/14/22 | USD | 880 | $ 873,152 |
| Term Loan D, 3.75%, 6/04/21 | 819 | 817,232 | |
| TransUnion LLC, Term Loan, 4.00%, 4/09/21 | 4,742 | 4,726,878 | |
| 12,810,379 | |||
| Air Freight & Logistics — 0.4% | |||
| CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21 | 693 | 658,251 | |
| CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21 | 723 | 687,215 | |
| CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 | 113 | 107,583 | |
| CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21 | 998 | 947,882 | |
| 2,400,931 | |||
| Airlines — 0.7% | |||
| Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18 | 1,418 | 1,417,004 | |
| Northwest Airlines, Inc.: | |||
| 2.25%, 3/10/17 | 521 | 510,037 | |
| 1.63%, 9/10/18 | 556 | 532,290 | |
| 1.64%, 9/10/18 | 282 | 269,776 | |
| US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 | 1,127 | 1,124,893 | |
| 3,854,000 | |||
| Auto Components — 4.0% | |||
| Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 | 1,236 | 1,236,014 | |
| Autoparts Holdings Ltd.: | |||
| 1st Lien Term Loan, 7.00%, 7/29/17 | 2,646 | 2,542,666 | |
| 2nd Lien Term Loan, 10.50%, 1/29/18 | 907 | 811,318 | |
| Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 | 1,575 | 1,577,031 | |
| FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19 | 1,540 | 1,527,369 | |
| Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 | 8,776 | 8,735,355 | |
| Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 | 2,754 | 2,772,041 | |
| GPX International Tire Corp., Term Loan (a)(f): | |||
| PIK, 0.00%, 12/31/49 (h) | 18 | — |
MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Auto Components (concluded) | |||
| GPX International Tire Corp., Term Loan (a)(f) (concluded): | |||
| 0.00%, 12/31/49 | USD | 1,097 | $ — |
| INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20 | 2,015 | 2,024,450 | |
| UCI International, Inc., Term Loan B, 5.50%, 7/26/17 | 1,436 | 1,421,888 | |
| 22,648,132 | |||
| Automobiles — 0.4% | |||
| Chrysler Group LLC, Term Loan B: | |||
| 2018, 3.25%, 12/31/18 | 817 | 816,750 | |
| 3.50%, 5/24/17 | 1,405 | 1,405,559 | |
| 2,222,309 | |||
| Banks — 0.3% | |||
| Redtop Acquisitions Ltd.: | |||
| 1st Lien Term Loan, 4.50%, 12/03/20 | 1,150 | 1,149,000 | |
| 2nd Lien Term Loan, 8.25%, 6/03/21 | 306 | 306,890 | |
| 1,455,890 | |||
| Building Products — 4.0% | |||
| Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20 | 1,420 | 1,416,976 | |
| CPG International, Inc., Term Loan, 4.75%, 9/30/20 | 5,721 | 5,681,595 | |
| GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21 | 1,401 | 1,358,825 | |
| Hanson Building Products Ltd., 1st Lien Term Loan, 6.50%, 2/18/22 | 639 | 641,283 | |
| Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21 | 1,737 | 1,734,201 | |
| Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21 | 3,057 | 3,072,624 | |
| Nortek, Inc., Term Loan, 3.50%, 10/30/20 | 2,074 | 2,066,546 | |
| Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21 | 1,010 | 1,009,295 | |
| Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 | 1,679 | 1,679,366 | |
| Wilsonart LLC: | |||
| Incremental Term Loan B2, 4.00%, 10/31/19 | 499 | 497,231 |
MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 3
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Building Products (concluded) | |||
| Wilsonart LLC (concluded): | |||
| Term Loan B, 4.00%, 10/31/19 | USD | 3,377 | $ 3,367,404 |
| 22,525,346 | |||
| Capital Markets — 0.7% | |||
| Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18 | 1,356 | 1,306,486 | |
| American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 | 870 | 867,866 | |
| RPI Finance Trust, Term Loan B4, 3.50%, 11/09/20 | 1,690 | 1,691,690 | |
| 3,866,042 | |||
| Chemicals — 5.0% | |||
| Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19 | 1,096 | 1,098,926 | |
| Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19 | 569 | 570,180 | |
| Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20 | 1,981 | 1,979,401 | |
| CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20 | 116 | 116,257 | |
| Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 2/07/22 | 1,015 | 1,020,481 | |
| Chemours Company Co., Term Loan B, 3.75%, 5/22/22 | 1,346 | 1,347,376 | |
| Chemtura Corp., Term Loan B, 3.50%, 8/27/16 | 243 | 243,131 | |
| Chromaflo Technologies Corp., 1st Lien Term Loan, 4.50%, 12/02/19 | 1,135 | 1,129,976 | |
| Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 | 2,044 | 2,005,426 | |
| INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18 | 854 | 853,931 | |
| Klockner-Pentaplast of America, Inc., Term Loan, 5.00%, 4/28/20 | 732 | 734,417 | |
| Kronos Worldwide Inc., 2015 Term Loan, 4.00%, 2/18/20 | 505 | 505,319 | |
| MacDermid, Inc.: | |||
| 1st Lien Term Loan, 4.50%, 6/07/20 | 2,851 | 2,861,745 | |
| Term Loan B2, 4.75%, 6/07/20 | 745 | 749,066 | |
| Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21 | 2,017 | 2,020,426 |
MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Chemicals (concluded) | |||
| Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 | USD | 1,440 | $ 1,418,338 |
| OXEA Finance LLC: | |||
| 2nd Lien Term Loan, 8.25%, 7/15/20 | 1,365 | 1,251,705 | |
| Term Loan B2, 4.25%, 1/15/20 | 2,512 | 2,419,644 | |
| Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 | 676 | 677,308 | |
| Solenis International LP: | |||
| 1st Lien Term Loan, 4.25%, 7/31/21 | 1,537 | 1,537,659 | |
| 2nd Lien Term Loan, 7.75%, 7/31/22 | 1,725 | 1,667,868 | |
| Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 | 580 | 578,226 | |
| Trinseo Materials Operating SCA, Term Loan B, 4.25%, 10/13/21 | 565 | 566,175 | |
| Univar, Inc., Term Loan B, 5.00%, 6/30/17 | 976 | 974,620 | |
| 28,327,601 | |||
| Commercial Services & Supplies — 6.6% | |||
| ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 | 3,182 | 3,165,500 | |
| ARAMARK Corp.: | |||
| Extended Synthetic Line of Credit 2, 0.03%, 7/26/16 | 46 | 45,783 | |
| Extended Synthetic Line of Credit 3, 3.65%, 7/26/16 | 32 | 31,958 | |
| Term Loan E, 3.25%, 9/07/19 | 2,848 | 2,851,784 | |
| Term Loan F, 3.25%, 2/24/21 | 861 | 859,793 | |
| Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 | 3,780 | 3,759,044 | |
| Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21 | 3,338 | 3,349,600 | |
| Connolly Corp.: | |||
| 1st Lien Term Loan, 4.50%, 5/14/21 | 3,538 | 3,544,150 | |
| 2nd Lien Term Loan, 8.00%, 5/14/22 | 1,500 | 1,505,625 | |
| Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21 | 958 | 965,682 | |
| Dealer Tire LLC, Term Loan B, 5.50%, 12/22/21 | 868 | 876,798 | |
| KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21 | 1,345 | 1,345,150 | |
| Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20 | 2,382 | 2,370,120 |
MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 4
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Commercial Services & Supplies (concluded) | |||
| Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19 | USD | 1,336 | $ 1,322,838 |
| PSSI Holdings LLC, Term Loan B, 5.00%, 12/02/21 | 1,646 | 1,654,104 | |
| Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 | 5,466 | 5,453,804 | |
| US Ecology, Inc., Term Loan, 3.75%, 6/17/21 | 855 | 856,870 | |
| Waste Industries USA, Inc., Term Loan B, 4.25%, 2/27/20 | 923 | 927,341 | |
| West Corp., Term Loan B10, 3.25%, 6/30/18 | 2,606 | 2,601,120 | |
| 37,487,064 | |||
| Communications Equipment — 2.5% | |||
| Applied Systems, Inc.: | |||
| 1st Lien Term Loan, 4.25%, 1/25/21 | 1,425 | 1,426,576 | |
| 2nd Lien Term Loan, 7.50%, 1/24/22 | 380 | 381,900 | |
| Avaya, Inc., Term Loan B7, 6.25%, 4/16/20 | 2,840 | 2,798,593 | |
| Blue Coat Systems, Inc., 2015 Term Loan, 4.50%, 5/15/22 | 1,275 | 1,276,594 | |
| CommScope, Inc.: | |||
| Incremental Term Loan B, 3.75%, 5/21/22 | 915 | 916,144 | |
| Term Loan B3, 2.69%, 1/21/17 | 687 | 686,738 | |
| Riverbed Technology, Inc., Term Loan B, 6.00%, 4/24/22 | 605 | 610,675 | |
| Telesat Canada, Term Loan A, 4.10%, 3/24/17 | CAD | 2,063 | 1,649,171 |
| Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 3.75%, 5/06/21 | USD | 4,538 | 4,531,265 |
| 14,277,656 | |||
| Construction & Engineering — 0.1% | |||
| AECOM Technology Corp., Term Loan B, 3.75%, 10/15/21 | 842 | 847,437 | |
| Construction Materials — 1.7% | |||
| Filtration Group Corp., 1st Lien Term Loan, 4.25%, 11/21/20 | 1,043 | 1,045,148 | |
| HD Supply, Inc., Term Loan B, 4.00%, 6/28/18 | 7,153 | 7,158,012 | |
| Headwaters, Inc., Term Loan B, 4.50%, 3/24/22 | 735 | 737,911 |
MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Construction Materials (concluded) | |||
| McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19 | USD | 655 | $ 650,931 |
| 9,592,002 | |||
| Containers & Packaging — 0.8% | |||
| Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 | 2,496 | 2,495,802 | |
| BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20 | 1,499 | 1,503,666 | |
| Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21 | 769 | 770,387 | |
| 4,769,855 | |||
| Distributors — 1.0% | |||
| ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 | 2,955 | 2,950,250 | |
| American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21 | 1,550 | 1,564,213 | |
| Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19 | 1,007 | 947,674 | |
| 5,462,137 | |||
| Diversified Consumer Services — 2.6% | |||
| Allied Security Holdings LLC: | |||
| 1st Lien Term Loan, 4.25%, 2/12/21 | 2,862 | 2,862,840 | |
| 2nd Lien Term Loan, 8.00%, 8/13/21 | 1,417 | 1,422,202 | |
| Bright Horizons Family Solutions, Inc.: | |||
| Incremental Term Loan B1, 4.50%, 1/30/20 | 239 | 240,298 | |
| Term Loan B, 4.00%, 1/30/20 | 2,761 | 2,764,889 | |
| CT Technologies Intermediate Holdings, Inc., 2014 Term Loan, 6.00%, 12/01/21 | 754 | 754,505 | |
| ROC Finance LLC, Term Loan, 5.00%, 6/20/19 | 1,064 | 1,047,396 | |
| ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21 | 5,336 | 5,349,816 | |
| Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 | 424 | 209,541 | |
| 14,651,487 | |||
| Diversified Financial Services — 2.8% | |||
| AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21 | 2,665 | 2,664,572 | |
| Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21 | 973 | 974,994 |
MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"
Field: Page; Sequence: 5; Value: 1
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 5
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Diversified Financial Services (concluded) | |||
| Jefferies Finance LLC, Term Loan, 4.50%, 5/01/20 | USD | 2,775 | $ 2,761,125 |
| Onex Wizard US Acquisition, Inc., Term Loan, 4.25%, 3/13/22 | 2,090 | 2,098,820 | |
| Reynolds Group Holdings, Inc., Dollar Term Loan, 4.50%, 12/01/18 | 3,162 | 3,173,724 | |
| SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 | 1,848 | 1,852,301 | |
| TransFirst, Inc.: | |||
| 2014 1st Lien Term Loan, 5.50%, 11/12/21 | 1,370 | 1,370,403 | |
| 2014 2nd Lien Term Loan, 9.00%, 11/12/22 | 741 | 743,390 | |
| 15,639,329 | |||
| Diversified Telecommunication Services — 4.1% | |||
| Altice Financing SA, Term Loan, 5.25%, 2/04/22 | 1,100 | 1,110,538 | |
| Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 | 2,265 | 2,268,220 | |
| GCI Holdings, Inc., Term Loan B, 4.75%, 2/02/22 | 2,410 | 2,428,075 | |
| Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 | 2,696 | 2,705,559 | |
| Integra Telecom, Inc.: | |||
| 2015 1st Lien Term Loan, 5.25%, 8/05/20 | 2,284 | 2,271,066 | |
| 2nd Lien Term Loan, 9.75%, 2/21/20 | 750 | 753,517 | |
| Level 3 Financing, Inc.: | |||
| 2013 Term Loan B, 4.00%, 1/15/20 | 10,260 | 10,253,639 | |
| 2019 Term Loan, 4.00%, 8/01/19 | 1,647 | 1,645,596 | |
| 23,436,210 | |||
| Electric Utilities — 0.4% | |||
| American Energy - Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20 | 915 | 694,121 | |
| American Energy - Utica LLC: | |||
| 2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18 | 224 | 210,709 | |
| 2nd Lien Term Loan, 5.50%, 9/30/18 | 1,049 | 984,194 |
MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Electric Utilities (concluded) | |||
| American Energy - Utica LLC (concluded): | |||
| Incremental 2nd Lien Term Loan, 11.00%, 9/30/18 | USD | 224 | $ 210,742 |
| 2,099,766 | |||
| Electrical Equipment — 0.7% | |||
| Southwire Co., Term Loan, 3.25%, 2/10/21 | 1,168 | 1,166,249 | |
| Texas Competitive Electric Holdings Co. LLC: | |||
| DIP Term Loan, 3.75%, 5/05/16 | 1,971 | 1,979,945 | |
| Extended Term Loan, 4.67%, 10/10/17 (a)(f) | 1,710 | 1,038,825 | |
| 4,185,019 | |||
| Electronic Equipment, Instruments & Components — 0.3% | |||
| CDW LLC, Term Loan, 3.25%, 4/29/20 | 2,007 | 2,001,130 | |
| Energy Equipment & Services — 1.4% | |||
| Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 | 1,808 | 1,815,483 | |
| Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21 | 1,164 | 1,166,013 | |
| MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 | 4,956 | 4,873,450 | |
| 7,854,946 | |||
| Food & Staples Retailing — 1.1% | |||
| New Albertson's, Inc., Term Loan, 4.75%, 6/27/21 | 1,468 | 1,471,294 | |
| Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 | 1,040 | 1,050,400 | |
| Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19 | 2,222 | 2,227,841 | |
| US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19 | 1,666 | 1,669,410 | |
| 6,418,945 | |||
| Food Products — 3.4% | |||
| CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 | 1,118 | 1,101,205 | |
| Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18 | 2,979 | 2,978,748 | |
| Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 | 2,733 | 2,746,979 | |
| H.J. Heinz Co., Term Loan B1, 3.00%, 6/07/19 | 227 | 227,428 |
MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"
Field: Page; Sequence: 6; Value: 1
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 6
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Food Products (concluded) | |||
| Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21 | USD | 2,144 | $ 2,150,060 |
| Pabst Brewing Co., Inc., Term Loan, 5.75%, 10/21/21 | 1,890 | 1,901,682 | |
| Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 | 1,448 | 1,453,492 | |
| Pinnacle Foods Finance LLC: | |||
| Incremental Term Loan H, 3.00%, 4/29/20 | 527 | 525,220 | |
| Term Loan G, 3.00%, 4/29/20 | 2,638 | 2,629,254 | |
| Post Holdings Inc., Series A Incremental Term Loan, 3.75%, 6/02/21 | 1,000 | 996,530 | |
| Reddy Ice Corp.: | |||
| 1st Lien Term Loan, 6.75%, 5/01/19 | 1,620 | 1,433,788 | |
| 2nd Lien Term Loan, 10.75%, 11/01/19 | 1,195 | 914,175 | |
| 19,058,561 | |||
| Health Care Equipment & Supplies — 4.4% | |||
| Auris Luxembourg III Sarl, Term Loan B, 5.50%, 1/17/22 | 1,060 | 1,060,651 | |
| Biomet, Inc., Term Loan B2, 3.68%, 7/25/17 | 3,100 | 3,096,901 | |
| Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 | 1,917 | 1,913,321 | |
| DJO Finance LLC, 2015 Term Loan, 4.25%, 4/21/20 | 3,150 | 3,154,914 | |
| Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18 | 2,733 | 2,740,020 | |
| Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 | 3,509 | 3,522,089 | |
| Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21 | 2,161 | 2,160,304 | |
| Millennium Health LLC, Term Loan B, 5.25%, 4/16/21 | 1,498 | 1,028,131 | |
| National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21 | 3,172 | 3,136,430 | |
| Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21 | 3,072 | 3,028,309 | |
| Sage Products Holdings III LLC, Refinancing Term Loan B2, 5.00%, 12/13/19 | 307 | 307,253 | |
| 25,148,323 | |||
| Health Care Providers & Services — 8.4% | |||
| Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22 | 468 | 471,776 | |
| Air Medical Group Holdings, Inc., Term Loan B, 4.50%, 4/06/22 | 2,030 | 2,020,581 |
MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Health Care Providers & Services (continued) | |||
| Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20 | USD | 1,470 | $ 1,440,600 |
| Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21 | 1,295 | 1,298,451 | |
| Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 | 1,054 | 1,054,775 | |
| Aspen Dental Management, Inc., 2015 Term Loan B, 5.50%, 4/30/22 | 840 | 845,779 | |
| CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19 | 2,527 | 2,536,705 | |
| Community Health Systems, Inc.: | |||
| Term Loan F, 3.53%, 12/31/18 | 1,602 | 1,605,629 | |
| Term Loan G, 3.75%, 12/31/19 | 2,439 | 2,439,315 | |
| Term Loan H, 4.00%, 1/27/21 | 4,488 | 4,495,409 | |
| ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 | 1,523 | 1,522,918 | |
| Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/07/22 | 1,600 | 1,611,328 | |
| DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21 | 9,642 | 9,659,011 | |
| Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20 | 1,029 | 1,030,931 | |
| Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18 | 1,897 | 1,898,639 | |
| Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17 | 1,193 | 1,217,025 | |
| HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22 | 741 | 746,965 | |
| HCA, Inc., Term Loan B5, 2.94%, 3/31/17 | 1,398 | 1,397,674 | |
| MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21 | 2,051 | 2,045,979 | |
| National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21 | 1,318 | 1,320,100 | |
| Sterigenics-Nordion Holdings LLC, Term Loan B, 4.25%, 5/15/22 | 940 | 940,000 | |
| Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20 | 1,132 | 1,136,439 | |
| Surgical Care Affiliates, Inc., Term Loan B, 4.25%, 3/17/22 | 2,029 | 2,033,822 | |
| Tenet Healthcare Corp.: | |||
| Interim Term Loan, 4.50%, 3/22/16 | 2,275 | 2,275,000 |
MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 7
Field: /Page
| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Health Care Providers & Services (concluded) | |||
| U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 | USD | 881 | $ 882,071 |
| 47,926,922 | |||
| Health Care Technology — 0.9% | |||
| IMS Health, Inc., Term Loan, 3.50%, 3/17/21 | 3,336 | 3,330,468 | |
| MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 | 1,857 | 1,854,578 | |
| 5,185,046 | |||
| Hotels, Restaurants & Leisure — 11.1% | |||
| Amaya Holdings BV: | |||
| 1st Lien Term Loan, 5.00%, 8/01/21 | 831 | 829,163 | |
| 2nd Lien Term Loan, 8.00%, 8/01/22 | 5,815 | 5,885,245 | |
| Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 | 2,290 | 2,297,026 | |
| Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20 | 2,914 | 2,833,729 | |
| Burger King Newco, 2015 Term Loan B, 3.75%, 12/10/21 | 4,774 | 4,776,185 | |
| Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20 | 5,994 | 5,756,296 | |
| CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21 | 1,609 | 1,617,060 | |
| Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21 | 1,792 | 1,793,995 | |
| ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19 | 940 | 956,450 | |
| Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20 | 3,872 | 3,877,750 | |
| Intrawest ULC, Term Loan, 4.75%, 12/09/20 | 1,600 | 1,608,757 | |
| La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21 | 7,760 | 7,774,053 | |
| Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20 | 2,469 | 2,468,429 | |
| MGM Resorts International, Term Loan B, 3.50%, 12/20/19 | 3,438 | 3,433,126 | |
| Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 | 1,498 | 1,502,143 | |
| RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21 | 1,275 | 1,280,783 | |
| Sabre, Inc.: | |||
| Incremental Term Loan, 4.00%, 2/19/19 | 502 | 502,506 |
MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Hotels, Restaurants & Leisure (concluded) | |||
| Sabre, Inc. (concluded): | |||
| Term Loan B, 4.00%, 2/19/19 | USD | 2,306 | $ 2,307,148 |
| Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20 | 1,527 | 1,532,108 | |
| Station Casinos LLC, Term Loan B, 4.25%, 3/02/20 | 4,811 | 4,820,509 | |
| Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 5.75%, 9/02/21 | 3,328 | 3,355,534 | |
| Wendy's International, Inc., Term Loan B, 3.25%, 5/15/19 | 1,622 | 1,621,881 | |
| 62,829,876 | |||
| Household Products — 0.9% | |||
| Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19 | 2,734 | 2,733,072 | |
| Spectrum Brands, Inc.: | |||
| Term Loan A, 3.00%, 9/04/17 | 761 | 761,154 | |
| Term Loan C, 3.50%, 9/04/19 | 1,454 | 1,457,157 | |
| 4,951,383 | |||
| Independent Power and Renewable Electricity Producers — 2.1% | |||
| Aria Energy Operating LLC, Term Loan, 5.00%, 5/12/22 | 1,470 | 1,477,350 | |
| Calpine Corp., Term Loan B5, 3.50%, 5/19/22 | 2,455 | 2,448,592 | |
| Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 6/19/16 | 2,845 | 2,856,131 | |
| Granite Acquisition Inc.: | |||
| Term Loan B, 5.00%, 12/19/21 | 3,108 | 3,143,767 | |
| Term Loan C, 5.00%, 12/19/21 | 137 | 138,672 | |
| Terra-Gen Finance Co. LLC, Term Loan B, 5.25%, 12/09/21 | 1,651 | 1,667,371 | |
| 11,731,883 | |||
| Industrial Conglomerates — 0.3% | |||
| Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 2,131 | 1,878,584 | |
| Insurance — 1.6% | |||
| Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 | 1,780 | 1,793,199 | |
| AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20 | 1,090 | 1,097,421 | |
| Cooper Gay Swett & Crawford of Delaware Holding Corp., 1st Lien Term Loan, 5.00%, 4/16/20 | 1,613 | 1,499,823 |
MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"
Field: Page; Sequence: 8; Value: 1
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 8
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Insurance (concluded) | |||
| Sedgwick Claims Management Services, Inc.: | |||
| 1st Lien Term Loan, 3.75%, 3/01/21 | USD | 2,010 | $ 1,985,583 |
| 2nd Lien Term Loan, 6.75%, 2/28/22 | 1,155 | 1,136,959 | |
| York Risk Services Holding Corp., Term Loan B, 4.75%, 10/01/21 | 1,489 | 1,476,406 | |
| 8,989,391 | |||
| Internet Software & Services — 1.6% | |||
| Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/28/21 | 1,856 | 1,852,473 | |
| Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21 | 2,531 | 2,538,392 | |
| Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21 | 3,810 | 3,820,731 | |
| W3 Co., 1st Lien Term Loan, 5.75%, 3/13/20 | 1,260 | 1,165,844 | |
| 9,377,440 | |||
| IT Services — 4.0% | |||
| Epicor Software Corp., 1st Lien Term Loan, 4.75%, 5/08/22 | 2,190 | 2,192,059 | |
| First Data Corp.: | |||
| 2018 Extended Term Loan, 3.68%, 3/24/18 | 12,519 | 12,509,469 | |
| 2018 Term Loan, 3.68%, 9/24/18 | 1,150 | 1,149,126 | |
| Genpact International, Inc., Term Loan B, 3.50%, 8/30/19 | 1,842 | 1,844,287 | |
| InfoGroup, Inc., Term Loan, 7.50%, 5/26/18 | 1,015 | 981,557 | |
| SunGard Data Systems, Inc.: | |||
| Term Loan C, 3.93%, 2/28/17 | 1,515 | 1,515,636 | |
| Term Loan E, 4.00%, 3/08/20 | 567 | 567,307 | |
| Vantiv LLC, 2014 Term Loan B, 3.75%, 6/13/21 | 1,721 | 1,724,828 | |
| 22,484,269 | |||
| Leisure Products — 0.3% | |||
| Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21 | 1,616 | 1,602,451 | |
| Machinery — 2.4% | |||
| Alliance Laundry Systems LLC: | |||
| 2nd Lien Term Loan, 9.50%, 12/10/19 | 573 | 575,591 | |
| Refinancing Term Loan, 4.25%, 12/10/18 | 1,522 | 1,522,645 | |
| Allison Transmission, Inc., Term Loan B3, 3.50%, 8/23/19 | 1,210 | 1,214,283 |
MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Machinery (concluded) | |||
| Faenza Acquisition GmbH: | |||
| Term Loan B1, 4.25%, 8/30/20 | USD | 1,142 | $ 1,145,850 |
| Term Loan B3, 4.25%, 8/30/20 | 344 | 344,977 | |
| Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20 | 215 | 214,150 | |
| Infiltrator Systems, Inc., 2015 Term Loan, 5.25%, 5/19/22 | 1,518 | 1,521,510 | |
| Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21 | 798 | 803,227 | |
| Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 | 2,397 | 2,393,683 | |
| Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 | 2,929 | 2,841,919 | |
| Wabash National Corp., 2015 Term Loan B, 4.25%, 3/16/22 | 1,125 | 1,134,371 | |
| 13,712,206 | |||
| Manufacture Goods — 0.1% | |||
| KP Germany Erste GmbH, 1st Lien Term Loan, 5.00%, 4/22/20 | 313 | 313,853 | |
| Media — 10.5% | |||
| Cengage Learning Acquisitions, Inc.: | |||
| 1st Lien Term Loan, 8.25%, 3/31/20 | 5,435 | 5,447,391 | |
| Term Loan, 0.00%, 7/03/15 (a)(d) | 2,489 | — | |
| Clear Channel Communications, Inc., Term Loan D, 6.94%, 1/30/19 | 6,175 | 5,765,777 | |
| Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21 | 1,104 | 1,104,800 | |
| Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20 | 1,976 | 1,977,178 | |
| Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 | 3,018 | 3,005,273 | |
| Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22 | 1,490 | 1,491,237 | |
| Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20 | 493 | 493,116 | |
| MCC Iowa LLC: | |||
| Term Loan I, 2.65%, 6/30/17 | 1,072 | 1,069,220 | |
| Term Loan J, 3.75%, 6/30/21 | 521 | 520,541 | |
| Media General, Inc., Term Loan B, 4.25%, 7/31/20 | 2,358 | 2,367,178 | |
| Mediacom Communications Corp., Term Loan F, 2.65%, 3/31/18 | 1,109 | 1,103,256 |
MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"
Field: Page; Sequence: 9; Value: 1
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 9
Field: /Page
| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Media (concluded) | |||
| Mediacom Illinois LLC, Term Loan G, 3.75%, 6/30/21 | USD | 1,353 | $ 1,351,928 |
| Numericable U.S. LLC: | |||
| Term Loan B1, 4.50%, 5/21/20 | 2,230 | 2,235,748 | |
| Term Loan B2, 4.50%, 5/21/20 | 1,929 | 1,934,226 | |
| Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 | 567 | 566,519 | |
| SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21 | 3,027 | 3,013,140 | |
| Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20 | 1,857 | 1,852,512 | |
| Tribune Co., 2013 Term Loan, 4.00%, 12/27/20 | 4,800 | 4,801,833 | |
| TWCC Holding Corp., Refinancing Term Loan B, 5.75%, 2/13/17 | 1,575 | 1,574,512 | |
| Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 | 2,265 | 2,260,527 | |
| Virgin Media Investment Holdings Ltd.: | |||
| Term Loan B, 3.50%, 6/07/20 | 2,299 | 2,292,494 | |
| Term Loan E, 4.25%, 6/30/23 | GBP | 2,840 | 4,349,424 |
| WideOpenWest Finance LLC, 2015 Term Loan B, 4.50%, 4/01/19 | USD | 3,989 | 3,985,254 |
| Ziggo Financing Partnership: | |||
| Term Loan B1, 3.50%, 1/15/22 | 1,879 | 1,870,510 | |
| Term Loan B2A, 3.50%, 1/15/22 | 1,219 | 1,213,217 | |
| Term Loan B3, 3.50%, 1/15/22 | 2,004 | 1,995,309 | |
| 59,642,120 | |||
| Metals & Mining — 1.1% | |||
| Novelis, Inc., Term Loan: | |||
| 2015 B, 4.00%, 5/18/22 | 1,555 | 1,552,681 | |
| 3.75%, 3/10/17 | 3,374 | 3,370,980 | |
| Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 | 1,335 | 1,341,511 | |
| 6,265,172 | |||
| Multiline Retail — 2.3% | |||
| 99¢ Only Stores, Term Loan, 4.50%, 1/11/19 | 1,954 | 1,949,083 | |
| BJ's Wholesale Club, Inc.: | |||
| 1st Lien Term Loan, 4.50%, 9/26/19 | 4,831 | 4,844,949 | |
| 2nd Lien Term Loan, 8.50%, 3/26/20 | 870 | 878,700 | |
| Dollar Tree, Inc., Term Loan B, 4.25%, 3/09/22 | 2,085 | 2,104,119 |
MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Multiline Retail (concluded) | |||
| Hudson's Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20 | USD | 661 | $ 663,849 |
| The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 | 2,573 | 2,573,383 | |
| 13,014,083 | |||
| Oil, Gas & Consumable Fuels — 3.8% | |||
| Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18 | 1,862 | 1,307,263 | |
| CITGO Holding Inc., 2015 Term Loan B, 9.50%, 5/12/18 | 2,045 | 2,071,295 | |
| Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21 | 2,216 | 1,898,321 | |
| EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 | 1,920 | 1,906,195 | |
| Fieldwood Energy LLC, 1st Lien Term Loan, 3.88%, 9/28/18 | 951 | 920,570 | |
| Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21 | 895 | 904,326 | |
| Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 355 | 351,977 | |
| Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19 | 110 | 77,529 | |
| Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20 | 1,435 | 1,427,825 | |
| Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 | 925 | 883,375 | |
| Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20 | 470 | 464,125 | |
| Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21 | 1,796 | 1,777,545 | |
| Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21 | 266 | 249,410 | |
| Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21 | 1,166 | 1,161,814 | |
| Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21 | 943 | 909,874 | |
| Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/28/22 | 1,102 | 1,110,504 | |
| TPF II Power LLC, Term Loan B, 5.50%, 10/02/21 | 1,561 | 1,582,069 | |
| Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22 | 1,685 | 1,697,638 |
MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 10
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Oil, Gas & Consumable Fuels (concluded) | |||
| WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21 | USD | 597 | $ 596,691 |
| 21,298,346 | |||
| Personal Products — 0.2% | |||
| Prestige Brands, Inc., Term Loan B3, 3.50%, 9/03/21 | 1,331 | 1,332,971 | |
| Pharmaceuticals — 6.6% | |||
| Akorn, Inc., Term Loan B, 4.50%, 4/16/21 | 2,478 | 2,481,415 | |
| Amneal Pharmaceuticals LLC, Term Loan: | |||
| Incremental, 4.51%, 11/01/19 | 575 | 576,978 | |
| 5.00%, 11/01/19 | 1,213 | 1,218,989 | |
| CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 | 909 | 901,121 | |
| Concordia Healthcare Corp., Term Loan B, 4.75%, 4/21/22 | 850 | 856,375 | |
| Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21 | 1,564 | 1,563,418 | |
| Grifols Worldwide Operations USA, Inc., Term Loan B, 3.19%, 2/27/21 | 4,251 | 4,259,770 | |
| Horizon Pharma Holdings USA, Inc., Term Loan B, 4.50%, 4/22/21 | 2,226 | 2,237,485 | |
| JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21 | 2,533 | 2,522,171 | |
| Mallinckrodt International Finance SA: | |||
| Incremental Term Loan B1, 3.50%, 3/19/21 | 1,433 | 1,432,126 | |
| Term Loan B, 3.25%, 3/19/21 | 2,302 | 2,298,021 | |
| Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19 | 3,708 | 3,705,687 | |
| Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18 | 4,781 | 4,786,449 | |
| Valeant Pharmaceuticals International, Inc.: | |||
| Series C2 Term Loan B, 3.50%, 12/11/19 | 2,303 | 2,303,740 | |
| Series E Term Loan B, 3.50%, 8/05/20 | 1,436 | 1,436,183 |
MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Pharmaceuticals (concluded) | |||
| Valeant Pharmaceuticals International, Inc. (concluded): | |||
| Term Loan B F1, 4.00%, 4/01/22 | USD | 5,038 | $ 5,048,431 |
| 37,628,359 | |||
| Professional Services — 2.3% | |||
| Acosta Holdco, Inc., 2014 Term Loan, 4.25%, 9/26/21 | 1,362 | 1,364,520 | |
| Advantage Sales & Marketing, Inc.: | |||
| 2014 1st Lien Term Loan, 4.25%, 7/23/21 | 2,135 | 2,133,160 | |
| 2014 2nd Lien Term Loan, 7.50%, 7/25/22 | 880 | 886,820 | |
| Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 | 3,219 | 3,224,221 | |
| Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22 | 975 | 976,833 | |
| SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 | 1,823 | 1,831,914 | |
| TransUnion LLC, Term Loan B2, 4.00%, 4/09/21 | 740 | 737,225 | |
| Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 | 1,630 | 1,630,559 | |
| 12,785,252 | |||
| Real Estate Management & Development — 1.7% | |||
| CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20 | 2,296 | 2,302,781 | |
| DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21 | 2,151 | 2,159,299 | |
| Realogy Corp.: | |||
| Extended Letter of Credit, 0.12%, 10/10/16 | 115 | 113,452 | |
| Term Loan B, 3.75%, 3/05/20 | 5,172 | 5,177,128 | |
| 9,752,660 | |||
| Road & Rail — 1.2% | |||
| Coyote Logistics LLC, Term Loan, 6.25%, 3/26/22 | 1,225 | 1,231,125 | |
| PODS LLC, 1st Lien Term Loan, 5.25%, 2/02/22 | 1,000 | 1,010,000 | |
| Road Infrastructure Investment LLC: | |||
| 1st Lien Term Loan, 4.25%, 3/31/21 | 2,020 | 2,004,453 | |
| 2nd Lien Term Loan, 7.75%, 9/21/21 | 975 | 916,500 |
MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 11
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Road & Rail (concluded) | |||
| The Hertz Corp., Term Loan B2, 3.50%, 3/11/18 | USD | 1,444 | $ 1,438,794 |
| 6,600,872 | |||
| Semiconductors & Semiconductor Equipment — 1.8% | |||
| Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 | 4,451 | 4,454,634 | |
| Freescale Semiconductor, Inc.: | |||
| Term Loan B4, 4.25%, 2/28/20 | 3,535 | 3,543,881 | |
| Term Loan B5, 5.00%, 1/15/21 | 704 | 709,205 | |
| NXP BV, Term Loan D, 3.25%, 1/11/20 | 1,409 | 1,403,268 | |
| 10,110,988 | |||
| Software — 3.8% | |||
| Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 | 1,051 | 1,036,820 | |
| GCA Services Group, Inc.: | |||
| 2nd Lien Term Loan, 9.25%, 10/22/20 | 780 | 783,900 | |
| Term Loan B, 4.25%, 11/01/19 | 1,678 | 1,678,410 | |
| Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/11/22 | 2,397 | 2,392,879 | |
| Infor US, Inc.: | |||
| Term Loan B3, 3.75%, 6/03/20 | 844 | 839,377 | |
| Term Loan B5, 3.75%, 6/03/20 | 3,977 | 3,956,659 | |
| IQOR US, Inc., Term Loan B, 6.00%, 4/01/21 | 886 | 824,296 | |
| Kronos, Inc.: | |||
| 2nd Lien Term Loan, 9.75%, 4/30/20 | 1,787 | 1,845,821 | |
| Initial Incremental Term Loan, 4.50%, 10/30/19 | 1,469 | 1,472,766 | |
| Mitchell International, Inc.: | |||
| 1st Lien Term Loan, 4.50%, 10/12/20 | 2,149 | 2,153,664 | |
| 2nd Lien Term Loan, 8.50%, 10/11/21 | 1,600 | 1,597,008 | |
| Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18 | 2,787 | 2,789,666 |
MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Software (concluded) | |||
| Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20 | USD | 324 | $ 324,106 |
| 21,695,372 | |||
| Specialty Retail — 4.8% | |||
| Academy Ltd., Term Loan, 4.50%, 8/03/18 | 2,759 | 2,766,004 | |
| Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20 | 1,313 | 1,319,502 | |
| General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19 | 1,450 | 1,433,169 | |
| Leslie's Poolmart, Inc., Term Loan, 4.25%, 10/16/19 | 2,359 | 2,361,271 | |
| Michaels Stores, Inc.: | |||
| Incremental 2014 Term Loan B2, 4.00%, 1/28/20 | 2,898 | 2,908,070 | |
| Term Loan B, 3.75%, 1/28/20 | 2,236 | 2,237,065 | |
| Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19 | 4,126 | 4,130,396 | |
| Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 | 3,344 | 3,349,190 | |
| PetSmart, Inc., Term Loan B, 4.25%, 3/11/22 | 5,170 | 5,184,424 | |
| Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18 | 1,584 | 1,338,518 | |
| 27,027,609 | |||
| Technology Hardware, Storage & Peripherals — 0.6% | |||
| Dell, Inc.: | |||
| Term Loan B, 4.50%, 4/29/20 | 1,987 | 1,988,077 | |
| Term Loan C, 3.75%, 10/29/18 | 1,597 | 1,597,171 | |
| 3,585,248 | |||
| Textiles, Apparel & Luxury Goods — 1.6% | |||
| ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21 | 2,129 | 2,132,055 | |
| Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 | 2,281 | 2,007,092 | |
| J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21 | 2,044 | 1,858,028 | |
| Kate Spade & Co., Term Loan B, 4.00%, 4/09/21 | 1,385 | 1,381,086 |
MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 12
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| Consolidated Schedule of Investments (continued) |
|---|
| (Percentages shown are based on Net Assets) |
MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"
| Floating Rate Loan Interests (c) | Par (000) | ||
|---|---|---|---|
| Textiles, Apparel & Luxury Goods (concluded) | |||
| Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19 | USD | 1,663 | $ 1,669,495 |
| 9,047,756 | |||
| Thrifts & Mortgage Finance — 0.3% | |||
| IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21 | 1,916 | 1,919,099 | |
| Transportation Infrastructure — 0.2% | |||
| Penn Products Terminals LLC, Term Loan B, 4.75%, 3/19/22 | 1,137 | 1,145,401 | |
| Wireless Telecommunication Services — 0.7% | |||
| Communications Sales & Leasing, Inc., Term Loan B, 5.00%, 10/24/22 | 1,340 | 1,334,975 | |
| LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20 | 2,643 | 2,638,961 | |
| 3,973,936 | |||
| Total Floating Rate Loan Interests — 128.9% | 730,849,045 | ||
| Collateralized Mortgage Obligations — 0.2% | |||
| Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%, 11/05/30 (b)(c) | 1,336 | 1,361,710 | |
| Investment Companies | Shares | ||
| Capital Markets — 0.0% | |||
| Eaton Vance Floating-Rate Income Trust | 54 | 775 | |
| Eaton Vance Senior Income Trust | 13,945 | 89,806 | |
| Total Investment Companies — 0.0% | 90,581 | ||
| Other Interests (i) | Beneficial Interest (000) | ||
| Auto Components — 0.0% | |||
| Intermet Liquidating Trust, Class A | USD | 256,351 | 3 |
| Household Durables — 0.3% | |||
| Stanley Martin, Class B Membership Units (j) | 1,250 | 1,790,000 | |
| Total Other Interests — 0.3% | 1,790,003 |
MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"
| Preferred Securities | Shares | |
|---|---|---|
| Preferred Stock — 0.0% | ||
| Consumer Finance — 0.0% | ||
| Ally Financial, Inc., Series A, 8.50% (c)(k) | 2,075 | $ 54,676 |
| Trusts Preferreds — 0.3% | ||
| Diversified Financial Services — 0.3% | ||
| GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c) | 60,894 | 1,581,400 |
| Total Preferred Securities — 0.3% | 1,636,076 | |
| Warrants (l) | ||
| Chemicals — 0.0% | ||
| GEO Specialty Chemicals, Inc., (Expired 3/31/15) | 143,928 | 107,946 |
| 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 | 30,992 |
| Total Warrants — 0.0% | 138,938 | |
| Total Long-Term Investments (Cost — $786,816,418) — 138.7% | 786,524,114 | |
| Options Purchased (Cost $43,022) | — | |
| Short-Term Securities | ||
| BlackRock Liquidity Funds, TempFund, Institutional Class, 0.08% (m)(n) | 1,976,064 | 1,976,064 |
| Total Short-Term Securities (Cost — $1,976,064) — 0.4% | 1,976,064 | |
| Total Investments (Cost — $788,835,504 * ) — 139.1% | 788,500,178 | |
| Liabilities in Excess of Other Assets — (39.1)% | (221,461,208) | |
| Net Assets — 100.0% | $ 567,038,970 |
| * | |
|---|---|
| Tax cost | $ 791,135,166 |
| Gross unrealized appreciation | $ 9,589,728 |
| Gross unrealized depreciation | (12,224,716) |
| Net unrealized depreciation | $ (2,634,988) |
MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 13
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Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Notes
to Consolidated Schedule of Investments | |
| --- | --- |
| (a) | Non-income producing security. |
| (b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (c) | Variable rate security. Rate shown is as of report date. |
| (d) | Zero-coupon bond. |
| (e) | Convertible security. |
| (f) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
| (g) | When-issued security. Unsettled when-issued transactions were as follows: |
| Counterparty — J.P. Morgan Securities LLC | $ 1,225,000 | — |
|---|---|---|
| (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) | Security is held by a wholly owned subsidiary. |
| (k) | Security is perpetual in nature and has no stated maturity date. |
| (l) | 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. |
| (m) | During the period ended May 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| Affiliate — BlackRock Liquidity Funds,TempFund, Institutional Class | Shares Held at August 31, 2014 — 3,456,864 | (1,480,800) | Shares Held at May 31, 2015 — 1,976,064 | $ 284 |
|---|---|---|---|---|
(n) Represents the current yield as of report date.
| Portfolio
Abbreviations | |
| --- | --- |
| CAD | Canadian Dollar |
| CLO | Collateralized Loan Obligation |
| DIP | Debtor-In-Possession |
| GBP | British Pound |
| PIK | Payment-In-Kind |
| USD | U.S. Dollar |
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 14
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Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
• As of May 31, 2015, forward foreign currency contracts outstanding were as follows:
| Currency Purchased — CAD | 353,000 | Currency Sold — USD | 287,059 | Counterparty — Citibank N.A. | Settlement Date — 7/21/15 | $ (3,426) |
|---|---|---|---|---|---|---|
| CAD | 154,000 | USD | 126,143 | State Street Bank and Trust Co. | 7/21/15 | (2,405) |
| USD | 1,675,075 | CAD | 2,052,000 | Royal Bank of Canada | 7/21/15 | 26,306 |
| USD | 2,992,626 | GBP | 2,024,000 | Barclays Bank PLC | 7/21/15 | (99,759) |
| Total | $ (79,284) |
• As of May 31, 2015, OTC options purchased were as follows:
| Description | Counterparty | Put/ Call | Expiration Date | Contracts | Notional Amount (000) | ||||
|---|---|---|---|---|---|---|---|---|---|
| Marsico Parent Superholdco LLC | Goldman Sachs & Co. | Call | USD | 942.86 | 12/14/19 | 44 | USD | — | — |
| • | |
|---|---|
| • | Level 1 — unadjusted quoted prices 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) |
| 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. For information about the Fund's policy regarding valuation of investments and derivative financial instruments, refer to the Fund's most recent financial statements as contained in its semi-annual report. |
Field: Page; Sequence: 15; Value: 1
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 15
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Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
As of May 31, 2015, the following tables summarize the Fund's investments and derivative financial instruments categorized in the disclosure hierarchy:
| Assets: | ||||
| Investments: | ||||
| Long-Term Investments: | ||||
| Asset-Backed Securities | — | $ 14,803,395 | $ 8,109,638 | $ 22,913,033 |
| Common Stocks | $ 4,109,426 | 1,033,423 | 612,993 | 5,755,842 |
| Corporate Bonds | — | 21,049,030 | 939,856 | 21,988,886 |
| Floating Rate Loan Interests | — | 683,702,570 | 47,146,475 | 730,849,045 |
| Investment Companies | 90,581 | — | — | 90,581 |
| Non-Agency Mortgage-Backed Securities | — | 1,361,710 | — | 1,361,710 |
| Other Interests | — | — | 1,790,003 | 1,790,003 |
| Preferred Securities | 1,636,076 | — | — | 1,636,076 |
| Warrants | — | 107,946 | 30,992 | 138,938 |
| Short-Term Securities | 1,976,064 | — | — | 1,976,064 |
| Total | $ 7,812,147 | $ 722,058,074 | $ 58,629,957 | $ 788,500,178 |
| Derivative Financial Instruments 1 | ||||
| Assets: | ||||
| Foreign currency exchange contracts | — | $ 26,306 | — | $ 26,306 |
| Liabilities: | ||||
| Foreign currency exchange contracts | — | (105,590) | — | (105,590) |
| Total | — | $ (79,284) | — | $ (79,284) |
1 Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of May 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
| Assets: | ||||
| Cash | $ 4,182,818 | — | — | $ 4,182,818 |
| Foreign currency at value | 4,113 | — | — | 4,113 |
| Liabilities: | ||||
| Bank borrowings payable | — | $ (216,000,000) | — | (216,000,000) |
| Total | $ 4,186,931 | $ (216,000,000) | — | $ (211,813,069) |
During the period ended May 31, 2015, there were no transfers between Level 1 and 2.
Field: Page; Sequence: 16; Value: 1
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 16
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Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
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 | Unfunded Floating Rate Loan Interests (Liabilities) | Warrants | Total | |
|---|---|---|---|---|---|---|---|---|
| Assets: | $1,510,941 | $1,159,180 | $4,766,957 | $58,688,498 | $1,858,753 | $(374) | $138,171 | $68,122,127 |
| Opening Balance, as of August 31, 2014 | ||||||||
| Transfers into Level 3 1 | – | 709,356 | – | 12,863,132 | – | – | 11,191 | 18,783,503 |
| Transfers out of Level 3 2 | – | (913,905) | (3,928,902) | (28,731,347) | – | – | (138,171) | (27,221,859) |
| Accrued discounts/ Premiums | – | 15,497 | (625) | 57,000 | – | – | – | 81,216 |
| Net realized gain (loss) | (5,161,103) | – | 549,895 | (29,168) | – | – | 12,954 | 64,178 |
| Net change in unrealized appreciation/ depreciation 3,4 | 4,146,140 | 255,475 | (575,857) | (511,504) | 44,381 | 374 | 6,847 | (2,762,134) |
| Purchases | 117,015 | 7,129,310 | 128,388 | 19,219,401 | – | – | – | 13,781,350 |
| Sales | – | (245,275) | – | (14,409,537) | (113,131) | – | – | (12,134,292) |
| Closing Balance, as of May 31, 2015 | $612,993 | $8,109,638 | $939,856 | 47,146,475 | $1,790,003 | – | $30,992 | $58,629,957 |
| Net change in unrealized appreciation/depreciation on investments still held at May | ||||||||
| 31, 2015 4 | $(1,014,961) | $255,475 | $(25,961) | $(596,000) | $44,381 | – | $19,800 | $(1,317,266) |
1 As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of May 31, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $13,583,680 transferred from Level 2 to Level 3 in the disclosure hierarchy.
2 As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of May 31, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $33,712,325 transferred from Level 3 to Level 2 in the disclosure hierarchy.
3 Included in the related net change in unrealized appreciation (depreciation).
4 Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at May 31, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 17
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Consolidated Schedule of Investments (concluded) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the "Global Valuation Committee") to determine the value of certain of the Fund's Level 3 investments as of May 31, 2015. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $52,061,176. 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 | Range of Unobservable Inputs Utilized | |
|---|---|---|---|---|
| Assets: | ||||
| Common Stocks | $ 18,125 | Market Comparable Companies | Last 12 Months EBITDA Multiple 1 | 6.25x |
| Illiquidity Discount 2 | 17.50% | |||
| 594,868 | Market Comparable Companies | Last 12 Months EBITDA Multiple 1 | 4.63x - 4.88x | |
| Current Fiscal Year EBITDA Multiple 1 | 5.13x - 5.33x | |||
| Discontinued Operations Expected Sale Proceeds 1 | $60 3 | |||
| Corporate Bonds | 3,086,994 | Market Comparable Companies | Last 12 Months EBITDA Multiple 1 | 6.25x |
| Illiquidity Discount 2 | 17.50% | |||
| 939,856 | Discounted Cash Flow | Internal Rate of Return 2 | 10.00% | |
| Other Interests | 1,790,000 | Market Comparable Companies | Tangible Book Value Multiple 1 | 1.25x |
| Warrants | 107,946 | Market Comparable Companies | Last 12 Months EBITDA Multiple 1 | 6.25x |
| Illiquidity Discount 2 | 17.50% | |||
| 30,992 | Last Dealer Mark - Adjusted | Delta Adjustment Based on Daily Movement in the Common Equity 1 | 120.00% | |
| Total | $6,568,781 |
1 Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.
2 Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.
3 Amount is stated in millions.
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. MAY 31, 2015 18
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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: July 23, 2015
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: July 23, 2015
By: /s/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: July 23, 2015
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