Regulatory Filings • Jan 24, 2017
Preview not available for this file type.
Download Source FileN-Q 1 d299721dnq.htm BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.
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
Registrants telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2017
Date of reporting period: 11/30/2016
Item 1 Schedule of Investments
Consolidated Schedule of Investments November 30, 2016 (Unaudited) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)
| Common Stocks | Value | ||
|---|---|---|---|
| Chemicals 0.0% | |||
| GEO Specialty Chemicals, Inc. (a) | 143,928 | $ 5,757 | |
| GEO Specialty Chemicals, Inc. (a)(b) | 23,849 | 954 | |
| 6,711 | |||
| Diversified Financial Services 0.1% | |||
| Kcad Holdings I Ltd. | 309,827,230 | 430,660 | |
| Electric Utilities 0.1% | |||
| Vistra Energy Corp (a) | 46,681 | 651,200 | |
| Health Care Management Services 0.0% | |||
| New Millennium HoldCo, Inc. | 14,906 | 24,222 | |
| Oil, Gas & Consumable Fuels 0.0% | |||
| Southcross Holdings LP | 99 | 34,650 | |
| Semiconductors & Semiconductor Equipment 0.0% | |||
| SunPower Corp. (a) | 1,860 | 12,574 | |
| Specialty Retail 0.0% | |||
| Things Remembered, Inc. | 932,803 | 9 | |
| Total Common Stocks - 0.2% | 1,160,026 | ||
| Asset-Backed Securities (b)(c) | Par (000) | ||
| Asset-Backed Securities 2.6% | |||
| ALM Loan Funding: | |||
| Series 2012-5A, Class BR, 3.88%, 10/18/27 | USD | 250 | 251,447 |
| Series 2013-7RA, Class C, 4.33%, 4/24/24 | 825 | 825,013 | |
| Series 2013-7RA, Class D, 5.88%, 4/24/24 | 900 | 900,027 | |
| ALM XIV Ltd., Series 2014-14A, Class C, 4.34%, 7/28/26 | 463 | 453,525 | |
| ALM XVII Ltd., Series 2015-17A, Class C1, 5.03%, 1/15/28 | 500 | 490,000 | |
| AMMC CLO Ltd., Series 2014-15A, Class D, 5.15%, 12/09/26 ( | 250 | 245,000 | |
| Ares CLO Ltd., Class C: | |||
| Series 2014-32A, 5.11%, 11/15/25 | 1,000 | 1,000,382 | |
| Series 2016-40A, 4.55%, 10/15/27 | 250 | 245,368 | |
| Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 4.58%, 10/15/26 | 860 | 831,891 | |
| Atrium CDO Corp., Series 9A, Class D, 4.44%, 2/28/24 | 1,350 | 1,333,923 | |
| Atrium X, Series 10A, Class D, 4.38%, 7/16/25 | 250 | 243,965 | |
| Atrium XII, Series 12A, Class D, 4.78%, 10/22/26 | 250 | 250,000 |
| Asset-Backed Securities (b)(c) | Value | ||
|---|---|---|---|
| Asset-Backed Securities (continued) | |||
| Benefit Street Partners CLO VIII, Ltd., Series 2015-8A: | |||
| Class B, 3.88%, 1/20/28 | USD | 500 | $ 502,869 |
| Class C, 4.78%, 1/20/28 | 500 | 490,981 | |
| BlueMountain CLO Ltd., Series 2013-1A, Class C, 4.31%, 5/15/25 | 500 | 497,489 | |
| Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 4.90%, 2/14/25 | 250 | 249,969 | |
| CIFC Funding Ltd.: | |||
| Series 2013-4A, Class D, 4.44%, 11/27/24 | 250 | 242,184 | |
| Series 2014-2A, Class A3L, 3.78%, 5/24/26 | 280 | 280,281 | |
| Series 2014-3A, Class C1, 3.68%, 7/22/26 | 250 | 249,786 | |
| LCM XVIII LP, Series 18A, Class INC, 14.67%, 4/20/27 | 1,000 | 683,606 | |
| Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 4.55%, 11/14/26 | 500 | 486,096 | |
| Seneca Park CLO Ltd., Series 2014-1A, Class C, 3.78%, 7/17/26 | 250 | 251,269 | |
| Sound Point CLO III Ltd., Series 2013-2A, Class D, 4.78%, 7/15/25 | 250 | 247,483 | |
| Treman Park CLO LLC, Series 2015-1A, Class D, 4.74%, 4/20/27 | 1,400 | 1,380,443 | |
| Voya CLO Ltd., Series 2014-4A, Class C, 4.88%, 10/14/26 | 1,000 | 983,623 | |
| Webster Park CLO Ltd., Series 2015-1A, Class C, 4.93%, 1/20/27 | 500 | 502,019 | |
| Total Asset-Backed Securities 2.6% | 14,118,639 | ||
| Corporate Bonds | |||
| Airlines 0.7% | |||
| American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b) | 1,111 | 1,112,096 | |
| Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 | 148 | 148,773 |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2016 1
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Corporate Bonds | Value | ||
|---|---|---|---|
| Airlines (continued) | |||
| US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18 | USD | 2,605 | $ 2,591,975 |
| 3,852,844 | |||
| Banks 0.0% | |||
| CIT Group, Inc., 5.00%, 8/01/23 | 135 | 139,050 | |
| Capital Markets 0.2% | |||
| Blackstone CQP Holdco LP, 9.30%, 3/19/19 | 1,035 | 1,042,605 | |
| Chemicals 0.3% | |||
| GEO Specialty Chemicals, Inc., 7.50%, 10/30/18 (d) | 1,681 | 1,743,789 | |
| Communications Equipment 0.1% | |||
| Avaya, Inc., 7.00%, 4/01/19 (b) | 365 | 318,006 | |
| Containers & Packaging 1.4% | |||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (b)(c): | |||
| 3.96%, 12/15/19 | 1,425 | 1,449,937 | |
| 4.16%, 5/15/21 | 1,108 | 1,130,160 | |
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 4.38%, 7/15/21 (b)(c) | 5,360 | 5,473,900 | |
| 8,053,997 | |||
| Electric Utilities 0.0% | |||
| Texas Competitive Electric Holdings Co. LLC/TECH Finance, Inc., 11.50%, 10/01/20 (a)(b)(e) | 1,061 | 21,220 | |
| 21.220 | |||
| Energy Equipment & Services 0.1% | |||
| Transocean, Inc., 9.00%, 7/15/23 (b) | 325 | 329,063 | |
| Weatherford International Ltd., 9.88%, 2/15/24 (b) | 325 | 334,750 | |
| 663,813 | |||
| Health Care Providers & Services 0.2% | |||
| CHS/Community Health Systems, Inc., 5.13%, 8/15/18 | 850 | 828,750 |
| Corporate Bonds | Value | ||
|---|---|---|---|
| Health Care Providers & Services (continued) | |||
| RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23 (b) | USD | 70 | $ 69,738 |
| 898,488 | |||
| Hotels, Restaurants & Leisure 0.0% | |||
| Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/16 (a)(e) | 120 | | |
| Independent Power and Renewable Electricity Producers 0.3% | |||
| NRG Energy, Inc., 6.25%, 7/15/22 | 1,505 | 1,508,763 | |
| IT Services 0.0% | |||
| Millennium Corp., 12/31/49 | 3,115 | | |
| Media 1.1% | |||
| Altice Financing SA (b): | |||
| 6.63%, 2/15/23 | 550 | 558,250 | |
| 7.50%, 5/15/26 | 835 | 846,481 | |
| Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22 | 1,671 | 1,687,710 | |
| SFR Group SA (b): | |||
| 6.00%, 5/15/22 | 842 | 848,315 | |
| 6.25%, 5/15/24 | 1,040 | 1,028,300 | |
| 7.38%, 5/01/26 | 1,330 | 1,326,675 | |
| 6,295,731 | |||
| Metals & Mining 0.7% | |||
| Freeport-McMoRan, Inc.: | |||
| 2.38%, 3/15/18 | 1,396 | 1,385,530 | |
| 3.10%, 3/15/20 | 1,150 | 1,129,875 | |
| Teck Resources Ltd.: | |||
| 4.50%, 1/15/21 | 839 | 854,731 | |
| 3.75%, 2/01/23 | 595 | 565,250 | |
| 3,935,386 | |||
| Oil, Gas & Consumable Fuels 1.2% | |||
| Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 (b) | 670 | 713,550 | |
| Concho Resources, Inc., 5.50%, 4/01/23 | 80 | 82,252 | |
| CONSOL Energy, Inc., 5.88%, 4/15/22 | 1,772 | 1,701,120 | |
| CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (b) | 80 | 83,000 | |
| Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21 (b) | 210 | 221,025 | |
| Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (b) | 995 | 1,034,800 |
2 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2016
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Corporate Bonds | Value | ||
|---|---|---|---|
| Oil, Gas & Consumable Fuels (continued) | |||
| Gulfport Energy Corp., 6.00%, 10/15/24 (b) | USD | 180 | $ 183,150 |
| NGPL PipeCo LLC, 7.12%, 12/15/17 (b) | 381 | 395,288 | |
| Oasis Petroleum, Inc., 6.88%, 3/15/22 | 275 | 283,250 | |
| RSP Permian, Inc., 6.63%, 10/01/22 | 85 | 89,250 | |
| Sabine Pass Liquefaction LLC, 5.63%, 4/15/23 | 980 | 1,024,100 | |
| Whiting Petroleum Corp., 5.75%, 3/15/21 | 400 | 394,000 | |
| WPX Energy, Inc., 6.00%, 1/15/22 | 525 | 537,962 | |
| 6,742,747 | |||
| Road & Rail 0.1% | |||
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.68%, 12/01/17 (c) | 295 | 294,631 | |
| Total Corporate Bonds - 6.4% | 35,511,070 | ||
| Floating Rate Loan Interests (c) | |||
| Aerospace & Defense 2.3% | |||
| BE Aerospace, Inc., 2014 Term Loan B, 3.85%, 12/16/21 | 2,217 | 2,221,934 | |
| Camp International Holding Co.: | |||
| 2016 1st Lien Term Loan, 4.75%, 8/11/23 | 1,035 | 1,034,358 | |
| 2016 2nd Lien Term Loan, 8.25%, 8/12/24 | 315 | 321,180 | |
| Engility Corp.: | |||
| Term Loan B1, 4.86%, 8/12/20 | 355 | 358,106 | |
| Term Loan B2, 5.75%, 8/12/23 | 668 | 674,918 | |
| TransDigm, Inc.: | |||
| 2015 Term Loan E, 3.75%, 5/14/22 | 867 | 869,721 | |
| 2016 Extended Term Loan F, 3.75%, 6/09/23 | 6,367 | 6,379,219 | |
| Term Loan D, 3.84%, 6/04/21 | 1,140 | 1,142,444 | |
| 13,001,880 | |||
| Air Freight & Logistics 0.9% | |||
| CEVA Group PLC, Synthetic LOC, 6.50%, 3/19/21 | 797 | 634,410 | |
| CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21 | 820 | 652,239 | |
| CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 | 141 | 112,376 | |
| CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21 | 1,098 | 873,862 |
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Air Freight & Logistics (continued) | |||
| XPO Logistics, Inc., Term Loan B2, 4.25%, 10/30/21 | USD | 2,593 | $ 2,617,721 |
| 4,890,608 | |||
| Airlines 0.1% | |||
| Northwest Airlines, Inc., Term Loan: | |||
| 3.08%, 3/10/17 | 130 | 129,955 | |
| 2.46%, 9/10/18 | 478 | 469,692 | |
| 599,647 | |||
| Auto Components 1.8% | |||
| Anchor Glass Container Corp.: | |||
| 2016 1st Lien Term Loan, 4.25%, 12/01/23 | 530 | 532,322 | |
| 2016 2nd Lien Term Loan, 8.75%, 12/02/24 | 395 | 399,938 | |
| Autoparts Holdings Ltd.: | |||
| 1st Lien Term Loan, 7.00%, 7/29/17 | 2,541 | 2,510,522 | |
| 2nd Lien Term Loan, 11.00%, 1/29/18 | 907 | 817,264 | |
| FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19 | 1,157 | 1,067,414 | |
| Gates Global, Inc., Term Loan B, 4.25%, 7/06/21 | 3,961 | 3,937,526 | |
| Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.86%, 4/30/19 | 873 | 878,389 | |
| GPX International Tire Corp., Term Loan (a)(e): | |||
| 12.25%, 3/30/12 | 1,097 | | |
| PIK, 13.00%, 3/30/12 (f) | 18 | | |
| 10,143,375 | |||
| Automobiles 0.6% | |||
| FCA US LLC, Term Loan B: | |||
| 2018, 3.25%, 12/31/18 | 475 | 475,499 | |
| 3.50%, 5/24/17 | 2,706 | 2,707,941 | |
| 3,183,440 | |||
| Biotechnology 0.1% | |||
| AMAG Pharmaceuticals, Inc., 2015 1st Lien Term Loan, 4.75%, 8/13/21 | 803 | 798,736 | |
| Building Materials 1.0% | |||
| Forterra, Inc., Term Loan B, 6.00%, 10/18/23 | 322 | 321,759 | |
| USAGM HoldCo LLC: | |||
| 2015 2nd Lien Term Loan, 9.50%, 7/28/23 | 645 | 645,000 | |
| 2015 Term Loan, 4.75%, 7/28/22 | 840 | 838,381 |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2016 3
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Building Materials (continued) | |||
| USAGM HoldCo LLC (continued): | |||
| 2016 Incremental Term Loan, 5.50%, 7/28/22 | USD | 3,636 | $ 3,660,000 |
| Amendment Delayed Draw Term Loan, 5.14%, 7/28/22 | 367 | 368,905 | |
| 5,834,045 | |||
| Building Products 3.0% | |||
| Continental Building Products LLC, 1st Lien Term Loan, 3.59%, 8/10/23 | 1,126 | 1,123,414 | |
| CPG International, Inc., Term Loan, 4.75%, 9/30/20 | 5,126 | 5,145,547 | |
| GYP Holdings III Corp., 1st Lien Term Loan, 4.50%, 4/01/21 | 1,556 | 1,555,840 | |
| Jeld-Wen, Inc., Consolidated Term Loan B, 4.75%, 7/01/22 | 2,310 | 2,328,294 | |
| Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21 | 928 | 933,308 | |
| Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 4.00%, 11/02/23 | 2,800 | 2,806,300 | |
| Wilsonart LLC: | |||
| Incremental Term Loan B2, 4.00%, 10/31/19 | 491 | 491,422 | |
| Term Loan B, 4.00%, 10/31/19 | 2,257 | 2,257,989 | |
| 16,642,114 | |||
| Capital Markets 0.6% | |||
| Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18 | 640 | 624,823 | |
| RPI Finance Trust, Term Loan B5, 3.18%, 10/14/22 | 2,739 | 2,761,893 | |
| 3,386,716 | |||
| Chemicals 4.4% | |||
| Allnex (Luxembourg) & Cy SCA, 2016 Term Loan B2, 5.13%, 9/13/23 | 422 | 425,028 | |
| Allnex USA, Inc., Term Loan B3, 5.13%, 9/13/23 | 318 | 320,212 | |
| Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20 | 1,859 | 1,865,375 | |
| CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20 | 114 | 114,535 | |
| Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 2/07/22 | 934 | 937,899 | |
| Chemours Co., Term Loan B, 3.75%, 5/12/22 | 1,240 | 1,223,940 | |
| Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 | 303 | 279,837 | |
| Huntsman International LLC, Term Loan B2, 3.75%, 11/03/23 | 2,156 | 2,165,619 |
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Chemicals (continued) | |||
| Klockner-Pentaplast of America, Inc.: | |||
| 1st Lien Term Loan, 4.25%, 4/28/20 | USD | 1,141 | $ 1,152,628 |
| German Borrower, 4.25%, 4/28/20 | 488 | 492,576 | |
| MacDermid, Inc.: | |||
| 2016 Term Loan, 5.00%, 6/07/23 | 1,713 | 1,727,244 | |
| Term Loan B3, 5.50%, 6/07/20 | 3,258 | 3,260,707 | |
| OXEA Finance LLC, Term Loan B2, 4.25%, 1/15/20 | 3,033 | 2,887,916 | |
| PQ Corp., 2016 Term Loan, 5.25%, 11/04/22 | 1,389 | 1,398,934 | |
| Royal Holdings, Inc.: | |||
| 2015 1st Lien Term Loan, 4.50%, 6/19/22 | 1,121 | 1,126,416 | |
| 2015 2nd Lien Term Loan, 8.50%, 6/19/23 | 465 | 459,769 | |
| Solenis International LP: | |||
| 1st Lien Term Loan, 4.25%, 7/31/21 | 1,514 | 1,509,270 | |
| 2nd Lien Term Loan, 7.69%, 7/31/22 | 1,725 | 1,675,406 | |
| Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 | 460 | 459,177 | |
| Versum Materials, Inc., Term Loan, 3.34%, 9/29/23 | 955 | 961,370 | |
| 24,443,858 | |||
| Commercial Services & Supplies 7.3% | |||
| ADMI Corp., 2015 Term Loan B, 5.25%, 4/30/22 | 1,160 | 1,165,385 | |
| Advanced Disposal Services, Inc., Term Loan B3, 3.50%, 11/10/23 | 3,395 | 3,393,946 | |
| Aramark Services, Inc.: | |||
| Term Loan E, 3.25%, 9/07/19 | 1,776 | 1,789,165 | |
| Term Loan F, 3.34%, 2/24/21 | 848 | 854,233 | |
| Asurion LLC, Term Loan B5, 4.75%, 11/03/23 | 2,135 | 2,148,728 | |
| Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 | 2,825 | 2,780,896 | |
| Camelot UK Holdco Ltd., Term Loan B, 4.75%, 10/03/23 | 2,140 | 2,143,745 | |
| Casella Waste Systems, Inc., Term Loan B, 4.00%, 10/03/23 | 940 | 940,000 | |
| Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21 | 4,181 | 4,190,720 |
4 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2016
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Commercial Services & Supplies (continued) | |||
| Creative Artists Agency LLC, Term Loan B, 5.00%, 12/17/21 | USD | 943 | $ 950,334 |
| Dealer Tire LLC, 2016 Term Loan B, 4.75%, 12/22/21 | 1,003 | 1,012,596 | |
| Employbridge LLC, Exit Term Loan, 7.50%, 5/16/20 | 375 | 337,618 | |
| GCA Services Group, Inc., 2016 Term Loan, 5.98%, 3/01/23 | 1,891 | 1,907,042 | |
| KAR Auction Services, Inc.: | |||
| Term Loan B2, 4.06%, 3/11/21 | 1,321 | 1,327,770 | |
| Term Loan B3, 4.38%, 3/09/23 | 1,761 | 1,781,509 | |
| Livingston International, Inc., 1st Lien Term Loan, 5.50%, 4/18/19 | 1,316 | 1,253,300 | |
| Prime Security Services Borrower LLC: | |||
| 1st Lien Term Loan, 4.75%, 7/01/21 | 189 | 189,732 | |
| 2016 Incremental Term Loan B1, 4.75%, 5/02/22 | 1,198 | 1,206,634 | |
| PSSI Holdings LLC, Term Loan B, 4.75%, 12/02/21 | 1,621 | 1,626,199 | |
| Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 | 3,617 | 3,577,264 | |
| TruGreen Limited Partnership, 1st Lien Term Loan B, 6.50%, 4/13/23 | 1,012 | 1,020,056 | |
| US Ecology, Inc., Term Loan, 3.75%, 6/17/21 | 650 | 651,480 | |
| US Security Associates Holdings, Inc., 2016 Term Loan, 6.00%, 7/14/23 | 2,126 | 2,126,295 | |
| Waste Industries USA, Inc., 2016 Term Loan, 3.50%, 2/27/20 | 2,100 | 2,104,417 | |
| 40,479,064 | |||
| Communications Equipment 1.8% | |||
| Applied Systems, Inc.: | |||
| 1st Lien Term Loan, 4.00%, 1/25/21 | 912 | 915,065 | |
| 2nd Lien Term Loan, 7.50%, 1/24/22 | 376 | 379,254 | |
| CommScope, Inc., Term Loan B5, 3.25%, 12/29/22 | 906 | 913,776 | |
| Riverbed Technology, Inc., 2016 Term Loan, 5.00%, 4/24/22 | 1,963 | 1,978,529 | |
| Zayo Group LLC, Term Loan B, 3.75%, 5/06/21 | 5,660 | 5,676,219 | |
| 9,862,843 |
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Construction & Engineering 0.9% | |||
| AECOM Technology Corp., 2014 Term Loan B, 3.75%, 10/15/21 | USD | 144 | $ 144,191 |
| CNT Holdings III Corp., Term Loan B, 5.25%, 1/22/23 | 1,328 | 1,338,846 | |
| Safway Group Holding LLC, Term Loan B, 5.75%, 8/19/23 | 3,395 | 3,411,975 | |
| 4,895,012 | |||
| Construction Materials 0.8% | |||
| Filtration Group Corp., 1st Lien Term Loan, 4.25%, 11/21/20 | 3,551 | 3,555,471 | |
| Headwaters, Inc., 2016 Term Loan B, 4.00%, 3/24/22 | 726 | 728,992 | |
| McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19 | 352 | 352,021 | |
| 4,636,484 | |||
| Containers & Packaging 2.1% | |||
| Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/21 | 1,813 | 1,830,116 | |
| Berlin Packaging LLC, 2014 1st Lien Term Loan, 4.50%, 10/01/21 | 315 | 316,518 | |
| Berry Plastics Holding Corp., Term Loan H, 3.75%, 10/01/22 | 5,216 | 5,246,036 | |
| BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20 | 3,780 | 3,782,174 | |
| Prolampac Intermediate, Inc., 2016 1st Lien Term Loan, 5.00%, 11/18/23 | 380 | 382,215 | |
| 11,557,059 | |||
| Distributors 0.6% | |||
| American Builders & Contractors Supply Co., Term Loan B, 3.50%, 10/31/23 | 2,681 | 2,690,800 | |
| American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21 | 937 | 921,071 | |
| 3,611,871 | |||
| Diversified Consumer Services 3.4% | |||
| Bright Horizons Family Solutions, Inc., 2016 Term Loan B, 3.50%, 11/30/23 | 2,955 | 2,960,772 | |
| CT Technologies Intermediate Holdings, Inc., 1st Lien Term Loan, 5.25%, 12/01/21 | 1,187 | 1,136,647 | |
| J.D. Power and Associates, 1st Lien Term Loan, 5.25%, 9/07/23 | 1,260 | 1,272,600 | |
| Laureate Education, Inc., Term Loan B, 8.87%, 3/17/21 | 187 | 184,724 |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2016 5
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Diversified Consumer Services (continued) | |||
| Serta Simmons Holdings LLC: | |||
| 1st Lien Term Loan, 4.50%, 11/08/23 | USD | 4,750 | $ 4,735,180 |
| 2nd Lien Term Loan, 9.00%, 10/21/24 | 1,065 | 1,059,675 | |
| ServiceMaster Co., 2016 Term Loan B, 3.11%, 11/03/23 | 5,540 | 5,527,313 | |
| Wand Intermediate I LP, 1st Lien Term Loan, 4.75%, 9/17/21 | 1,389 | 1,403,261 | |
| Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 | 804 | 612,984 | |
| 18,893,156 | |||
| Diversified Financial Services 1.3% | |||
| AlixPartners LLP, 2016 Term Loan B, 4.00%, 7/28/22 | 1,901 | 1,906,236 | |
| Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21 | 958 | 956,740 | |
| Jefferies Finance LLC, Term Loan, 4.50%, 5/14/20 | 2,740 | 2,719,760 | |
| SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 | 1,674 | 1,679,043 | |
| 7,261,779 | |||
| Diversified Telecommunication Services 4.5% | |||
| Consolidated Communications, Inc., 2016 Term Loan B, 4.00%, 10/04/23 | 675 | 679,502 | |
| Hawaiian Telcom Communications, Inc., Term Loan B, 5.25%, 6/06/19 | 2,655 | 2,668,484 | |
| Integra Telecom, Inc.: | |||
| 2015 1st Lien Term Loan, 5.25%, 8/14/20 | 2,250 | 2,251,355 | |
| 2nd Lien Term Loan, 9.75%, 2/12/21 | 750 | 720,714 | |
| Level 3 Financing, Inc.: | |||
| 2013 Term Loan B, 4.00%, 1/15/20 | 10,260 | 10,336,950 | |
| 2019 Term Loan, 4.00%, 8/01/19 | 3,105 | 3,136,000 | |
| Telenet International Finance Sarl, Term Loan AF, 3.25%, 1/31/25 | 4,035 | 4,026,930 | |
| Telesat Canada, Term Loan B, 4.88%, 11/17/23 | 1,147 | 1,147,952 | |
| 24,967,887 | |||
| Electric Utilities 2.0% | |||
| Energy Future Intermediate Holding Co. LLC, 2016 DIP Term Loan, 4.25%, 6/30/17 | 6,096 | 6,125,418 |
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Electric Utilities (continued) | |||
| PrimeLine Utility Services LLC, Term Loan, 6.50%, 11/12/22 | USD | 1,373 | $ 1,368,823 |
| TEX Operations Co. LLC: | |||
| Exit Term Loan B, 5.00%, 8/04/23 | 2,723 | 2,748,288 | |
| Exit Term Loan C, 5.00%, 8/04/23 | 621 | 627,011 | |
| Texas Competitive Electric Holding, Term Loan 5.03%, 11/10/17 | 1,710 | 34,200 | |
| 10,903,740 | |||
| Electronic Equipment, Instruments & Components 0.1% | |||
| CPI Acquisition, Inc., Term Loan B, 5.50%, 8/17/22 | 650 | 590,165 | |
| Energy Equipment & Services 0.4% | |||
| Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21 | 859 | 651,843 | |
| Weatherford International Ltd., Term Loan, 2.91%, 7/13/20 | 1,883 | 1,784,298 | |
| 2,436,141 | |||
| Food & Staples Retailing 3.3% | |||
| Albertsons LLC: | |||
| 2016 Term Loan B4, 4.50%, 8/25/21 | 4,503 | 4,506,168 | |
| 2016 Term Loan B5, 4.75%, 12/21/22 | 370 | 370,529 | |
| Genoa, a QoL Healthcare Co. LLC, 2016 1st Lien Term Loan, 4.75%, 10/28/23 | 625 | 622,656 | |
| Hostess Brands LLC, 2016 1st Lien Term Loan, 4.00%, 8/03/22 | 2,768 | 2,784,017 | |
| Rite Aid Corp.: | |||
| 5.75%, 8/21/20 | 1,247 | 1,250,424 | |
| 4.88%, 6/21/21 | 2,373 | 2,385,345 | |
| US Foods, Inc., 2016 Term Loan B, 4.00%, 6/27/23 | 6,559 | 6,593,717 | |
| 18,512,856 | |||
| Food Products 2.7% | |||
| Blue Ribbon LLC, Term Loan, 5.00%, 11/13/21 | 1,758 | 1,704,107 | |
| Chobani LLC, 1st Lien Term Loan, 5.25%, 10/07/23 | 1,565 | 1,581,636 | |
| CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 | 1,061 | 1,029,554 | |
| Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 | 2,626 | 2,631,012 | |
| Pinnacle Foods Finance LLC, Term Loan G, 3.39%, 4/29/20 | 2,638 | 2,648,192 | |
| Reddy Ice Corp.: | |||
| 1st Lien Term Loan, 6.75%, 5/01/19 | 1,595 | 1,504,578 |
6 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2016
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Food Products (continued) | |||
| Reddy Ice Corp. (continued): | |||
| 2nd Lien Term Loan, 10.75%, 11/01/19 | USD | 532 | $ 439,788 |
| Reynolds Group Holdings, Inc., 2016 Term Loan, 4.25%, 2/05/23 | 3,246 | 3,261,724 | |
| 14,800,591 | |||
| Health Care Equipment & Supplies 3.8% | |||
| Alere, Inc.: | |||
| 2015 Term Loan A, 3.61%, 6/18/20 | 465 | 459,784 | |
| 2015 Term Loan B, 3.61%, 6/18/22 | 1,900 | 1,882,322 | |
| Auris Luxembourg III Sarl, Term Loan B4, 4.25%, 1/15/22 | 2,451 | 2,462,268 | |
| Capsugel Holdings US, Inc., Term Loan B, 4.00%, 7/31/21 | 3,845 | 3,849,875 | |
| Cotiviti Corp., Term Loan B, 3.61%, 9/28/23 | 2,611 | 2,608,502 | |
| DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20 | 2,245 | 2,150,021 | |
| Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 | 2,278 | 2,214,254 | |
| National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21 | 3,124 | 3,098,031 | |
| Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21 | 2,255 | 2,206,314 | |
| 20,931,371 | |||
| Health Care Providers & Services 11.3% | |||
| Acadia Healthcare Co., Inc.: | |||
| Term Loan B, 3.75%, 2/11/22 | 461 | 460,074 | |
| Term Loan B2, 3.75%, 2/16/23 | 2,144 | 2,149,159 | |
| Amsurg Corp., 1st Lien Term Loan B, 5.25%, 7/16/21 | 3,028 | 3,027,713 | |
| CHG Healthcare Services, Inc., 2016 Term Loan B, 4.75%, 6/07/23 | 3,408 | 3,423,210 | |
| Community Health Systems, Inc.: | |||
| Term Loan F, 4.19%, 12/31/18 | 2,029 | 1,963,599 | |
| Term Loan G, 3.75%, 12/31/19 | 1,948 | 1,839,360 | |
| Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, 6.50%, 2/07/22 | 1,576 | 1,578,459 | |
| DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21 | 7,446 | 7,465,029 | |
| Envision Healthcare Corp.: | |||
| Term Loan B, 3.75%, 11/09/23 | 7,620 | 7,629,525 | |
| Initial Term Loan 5.75%, 5/25/18 | 2,865 | 2,861,157 | |
| Term Loan B2, 6.00%, 10/28/22 | 883 | 883,599 |
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Health Care Providers & Services (continued) | |||
| HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22 | USD | 1,437 | $ 1,415,932 |
| HCA, Inc., Term Loan B6, 3.86%, 3/17/23 | 5,198 | 5,238,932 | |
| inVentiv Health, Inc., 2016 Term Loan B, 4.75%, 9/28/23 | 4,105 | 4,114,437 | |
| MPH Acquisition Holdings LLC, 2016 Term Loan B, 5.00%, 6/07/23 | 2,622 | 2,650,577 | |
| National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21 | 487 | 485,200 | |
| NVA Holdings, Inc.: | |||
| 1st Lien Term Loan, 4.75%, 8/14/21 | 508 | 509,317 | |
| 2016 Term Loan, 5.50%, 8/14/21 | 910 | 912,767 | |
| Precyse Acquisition Corp., 2016 1st Lien Term Loan, 6.50%, 10/20/22 | 1,646 | 1,657,199 | |
| Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22 | 3,079 | 3,067,354 | |
| Surgery Center Holdings, Inc., 1st Lien Term Loan, 4.75%, 11/03/20 | 1,839 | 1,834,523 | |
| Surgical Care Affiliates, Inc., Incremental Term Loan B, 3.75%, 3/17/22 | 2,517 | 2,521,835 | |
| Team Health, Inc., 2016 Term Loan, 3.84%, 11/23/22 | 1,817 | 1,814,428 | |
| U.S. Renal Care, Inc., 2015 Term Loan B, 5.25%, 12/31/22 | 1,669 | 1,562,481 | |
| Vizient, Inc., 2016 Term Loan B, 5.00%, 2/13/23 | 1,817 | 1,832,794 | |
| 62,898,660 | |||
| Health Care Technology 0.9% | |||
| IMS Health, Inc., 2016 Term Loan B, 3.50%, 3/17/21 | 3,286 | 3,305,274 | |
| Press Ganey Holdings, Inc.: | |||
| 1st Lien Term Loan, 4.25%, 10/21/23 | 1,365 | 1,365,000 | |
| 2nd Lien Term Loan, 8.25%, 10/21/24 | 495 | 501,187 | |
| 5,171,461 | |||
| Hotels, Restaurants & Leisure 7.7% | |||
| Amaya Holdings BV: | |||
| 1st Lien Term Loan, 5.00%, 8/01/21 | 2,751 | 2,748,400 | |
| 2nd Lien Term Loan, 8.00%, 8/01/22 | 1,036 | 1,028,022 |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2016 7
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Hotels, Restaurants & Leisure (continued) | |||
| AMF Bowling Centers, Inc., 2016 Term Loan, 6.00%, 8/17/23 | USD | 1,167 | $ 1,159,706 |
| Boyd Gaming Corp.: | |||
| Term Loan B, 4.00%, 8/14/20 | 755 | 758,982 | |
| Term Loan B2, 3.53%, 9/15/23 | 1,755 | 1,764,056 | |
| Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20 | 2,402 | 2,353,807 | |
| Burger King Newco Unlimited Liability Co., Term Loan B2, 3.75%, 12/10/21 | 4,699 | 4,729,402 | |
| Caesars Entertainment Operating Co., Inc., Term Loan B7, 7.83%, 3/01/17 | 2,435 | 2,811,670 | |
| Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20 | 7,590 | 7,632,568 | |
| CCM Merger, Inc., Term Loan B, 4.00%, 8/08/21 | 1,392 | 1,398,729 | |
| Eldorado Resorts LLC, Term Loan B, 4.25%, 7/23/22 | 2,073 | 2,083,535 | |
| ESH Hospitality, Inc., 2016 Term Loan B, 3.75%, 8/30/23 | 3,245 | 3,265,800 | |
| Four Seasons Holdings Inc., Term Loan B, 4.16%, 11/21/23 | 225 | 226,829 | |
| Hilton Worldwide Finance LLC: | |||
| Term Loan B1, 3.50%, 10/26/20 | 230 | 231,184 | |
| Term Loan B2, 3.08%, 10/25/23 | 1,640 | 1,650,848 | |
| La Quinta Intermediate Holdings LLC, Term Loan B, 3.75%, 4/14/21 | 829 | 824,557 | |
| RHP Hotel Properties LP, Term Loan B, 3.59%, 1/15/21 | 1,256 | 1,263,549 | |
| Sabre, Inc.: | |||
| Incremental Term Loan, 4.50%, 2/19/19 | 411 | 412,331 | |
| Term Loan B, 4.00%, 2/19/19 | 2,173 | 2,187,584 | |
| Scientific Games International, Inc.: | |||
| 2014 Term Loan B1, 6.00%, 10/18/20 | 1,147 | 1,158,460 | |
| 2014 Term Loan B2, 6.00%, 10/01/21 | 803 | 810,232 | |
| Station Casinos LLC, 2016 Term Loan B, 3.75%, 6/08/23 | 815 | 821,502 | |
| Yum! Brands, Inc., 1st Lien Term Loan B, 3.30%, 6/16/23 | 1,451 | 1,464,584 | |
| 42,786,337 | |||
| Household Products 0.7% | |||
| Bass Pro Group LLC, 2015 Term Loan, 4.00%, 6/05/20 | 777 | 776,110 |
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Household Products (continued) | |||
| Spectrum Brands, Inc., 2016 Term Loan, 3.25%, 6/23/22 | USD | 3,271 | $ 3,301,821 |
| 4,077,931 | |||
| Independent Power and Renewable Electricity Producers 2.9% | |||
| Aria Energy Operating LLC, Term Loan, 5.50%, 5/27/22 | 1,242 | 1,198,788 | |
| Calpine Construction Finance Co., LP, Term Loan B1, 3.09%, 5/03/20 | 1,052 | 1,038,630 | |
| Calpine Corp.: | |||
| Term Loan B5, 3.59%, 5/27/22 | 513 | 514,172 | |
| Term Loan B6, 4.00%, 1/15/23 | 2,134 | 2,146,059 | |
| Term Loan B7, 3.84%, 5/31/23 | 772 | 776,463 | |
| Dynegy, Inc., Escrow, 5.00%, 6/27/23 | 4,304 | 4,322,328 | |
| Granite Acquisition, Inc.: | |||
| Term Loan B, 5.00%, 12/19/21 | 3,312 | 3,280,060 | |
| Term Loan C, 5.00%, 12/19/21 | 148 | 146,893 | |
| NRG Energy, Inc., 2016 Term Loan B, 3.50%, 6/30/23 | 1,706 | 1,709,563 | |
| Terra-Gen Finance Co. LLC, Term Loan B, 5.25%, 12/09/21 | 1,101 | 968,472 | |
| 16,101,428 | |||
| Industrial Conglomerates 0.6% | |||
| Sequa Corp., Term Loan B, 5.25%, 6/19/17 | 510 | 473,613 | |
| Vertiv Co., Term Loan B, 6.00%, 9/29/23 | 3,015 | 2,982,981 | |
| 3,456,594 | |||
| Insurance 2.5% | |||
| Alliant Holdings I, Inc., Incremental Term Loan B2, 5.25%, 8/12/22 | 1,676 | 1,682,503 | |
| AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20 | 610 | 613,517 | |
| AssuredPartners, Inc., 2016 Term Loan B, 5.75%, 10/21/22 | 2,214 | 2,221,564 | |
| Asurion LLC: | |||
| Term Loan B1, 5.00%, 5/24/19 | 572 | 574,209 | |
| Term Loan B4, 5.00%, 8/04/22 | 2,046 | 2,058,155 | |
| Hub International Ltd., Term Loan B, 4.25%, 10/02/20 | 760 | 760,842 |
8 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2016
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Insurance (continued) | |||
| Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 10.00%, 8/31/21 (f) | USD | 1,160 | $ 1,169,431 |
| Sedgwick Claims Management Services, Inc.: | |||
| 1st Lien Term Loan, 3.75%, 3/01/21 | 1,979 | 1,966,266 | |
| 2016 1st Lien Term Loan, 4.25%, 3/01/21 | 903 | 909,508 | |
| 2nd Lien Term Loan, 6.75%, 2/28/22 | 1,805 | 1,791,462 | |
| 13,747,457 | |||
| Internet & Direct Marketing Retail 0.6% | |||
| Harbor Freight Tools USA, Inc., 2016 Term Loan B, 4.14%, 8/19/23 | 3,054 | 3,078,166 | |
| Internet Software & Services 1.4% | |||
| Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21 | 2,493 | 2,508,204 | |
| Rackspace Hosting, Inc., 1st Lien Term Loan, 5.00%, 11/03/23 | 4,000 | 4,033,000 | |
| WaveDivision Holdings LLC, Term Loan B, 4.00%, 10/15/19 | 1,454 | 1,457,091 | |
| 7,998,295 | |||
| IT Services 4.4% | |||
| Abacus Innovations Corp., Term Loan B, 3.36%, 8/16/23 | 4,072 | 4,098,468 | |
| Cision US Inc., Term Loan B, 7.00%, 6/16/23 | 1,227 | 1,184,756 | |
| First Data Corp., 2016 Term Loan, 3.58%, 3/24/21 | 12,358 | 12,406,661 | |
| Global Payments Inc., Reprice Term Loan B, 3.03%, 4/22/23 | 1,651 | 1,662,989 | |
| Vantiv LLC, 2014 Term Loan B, 3.25%, 10/14/23 | 1,107 | 1,112,050 | |
| WEX, Inc., Term Loan B, 4.25%, 7/01/23 | 3,771 | 3,804,900 | |
| 24,269,824 | |||
| Leisure Products 0.2% | |||
| Bauer Performance Sports Ltd., Term Loan B, 5.00%, 4/15/21 | 1,085 | 1,074,678 | |
| Machinery 2.2% | |||
| Faenza Acquisition GmbH: | |||
| Term Loan B1, 4.25%, 8/30/20 | 1,007 | 1,011,059 | |
| Term Loan B3, 4.25%, 8/30/20 | 305 | 305,964 | |
| Global Brass & Copper, Inc., 2016 Term Loan B, 5.25%, 7/18/23 | 1,130 | 1,141,300 |
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Machinery (continued) | |||
| Infiltrator Systems, Inc., 2016 Term Loan B, 4.50%, 5/27/22 | USD | 1,499 | $ 1,498,203 |
| Mueller Water Products, Inc., Term Loan B, 4.00%, 11/26/21 | 786 | 790,913 | |
| Navistar International Corp., Term Loan B, 6.50%, 8/07/20 | 954 | 960,448 | |
| Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 | 2,425 | 2,432,072 | |
| Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 | 3,586 | 3,202,082 | |
| Wabash National Corp., 2015 Term Loan B, 4.25%, 3/16/22 | 915 | 914,781 | |
| 12,256,822 | |||
| Media 12.6% | |||
| Altice US Finance I Corp., 2016 Term Loan B, 3.88%, 1/15/25 | 4,979 | 5,000,648 | |
| AMC Entertainment, Inc., Term Loan B, 3.64%, 12/15/23 | 720 | 723,600 | |
| CBS Radio, Inc., Term Loan B, 4.50%, 10/17/23 | 1,053 | 1,057,915 | |
| Cengage Learning Acquisitions, Inc., 2016 Term Loan B, 5.25%, 6/07/23 | 210 | 201,794 | |
| Charter Communications Operating LLC, 2016 Term Loan I, 3.50%, 1/24/23 | 8,318 | 8,393,248 | |
| CSC Holdings LLC, 2016 Term Loan, 3.88%, 10/11/24 | 3,500 | 3,521,875 | |
| Entercom Radio LLC, 2016 Term Loan, 4.50%, 11/01/23 | 550 | 553,608 | |
| Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20 | 1,586 | 1,582,430 | |
| Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21 | 2,211 | 2,069,036 | |
| iHeartCommunications, Inc.: | |||
| Extended Term Loan E, 8.11%, 7/30/19 | 515 | 398,224 | |
| Term Loan D, 7.36%, 1/30/19 | 5,966 | 4,617,935 | |
| Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 | 3,795 | 3,655,409 | |
| Learfield Communications, Inc., 2016 1st Lien Term Loan, 4.25%, 11/17/23 | 1,829 | 1,840,836 | |
| Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22 | 1,215 | 1,195,256 | |
| Live Nation Entertainment, Inc., Term Loan B, 3.34%, 10/26/23 | 485 | 486,334 | |
| MCC Iowa LLC, Term Loan J, 3.75%, 6/30/21 | 513 | 515,112 |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. NOVEMBER 30, 2016 9
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Media (continued) | |||
| Mediacom Communications Corp., Term Loan F, 2.96%, 3/31/18 | USD | 1,092 | $ 1,091,661 |
| MGOC, Inc., Term Loan B, 4.00%, 7/31/20 | 1,946 | 1,945,300 | |
| Mission Broadcasting, Inc., 2016 Term Loan B2, 3.00%, 9/26/23 | 401 | 403,024 | |
| Nexstar Broadcasting, Inc., 2016 Term Loan B, 3.85%, 9/21/23 | 4,504 | 4,522,822 | |
| Numericable U.S. LLC: | |||
| Term Loan B10, 4.04%, 1/13/25 | 2,148 | 2,141,465 | |
| Term Loan B7, 5.14%, 1/15/24 | 1,224 | 1,234,253 | |
| SBA Senior Finance II LLC, Term Loan B1, 3.34%, 3/24/21 | 4,438 | 4,441,287 | |
| Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20 | 197 | 196,261 | |
| Trader Corp., Term Loan, 5.00%, 9/28/23 | 1,565 | 1,574,124 | |
| Tribune Media Co., Term Loan, 3.75%, 12/27/20 | 3,918 | 3,927,593 | |
| Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 | 3,688 | 3,686,393 | |
| UPC Financing Partnership, Term Loan AN, 4.08%, 8/31/24 | 1,223 | 1,227,440 | |
| Virgin Media Investment Holdings Ltd.: | |||
| Term Loan E, 4.25%, 6/30/23 | GBP | 2,840 | 3,562,184 |
| Term Loan F, 3.50%, 6/30/23 | USD | 2,299 | 2,311,602 |
| Ziggo Financing Partnership: | |||
| Term Loan B1, 3.50%, 1/15/22 | 1,232 | 1,231,748 | |
| Term Loan B2A, 3.50%, 1/15/22 | 738 | 738,431 | |
| Term Loan B3, 3.70%, 1/15/22 | 229 | 229,120 | |
| 70,277,968 | |||
| Metals & Mining 0.8% | |||
| Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22 | 3,524 | 3,530,012 | |
| WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, 6.50%, 9/30/23 | 750 | 756,098 | |
| 4,286,110 | |||
| Multiline Retail 1.7% | |||
| BJs Wholesale Club, Inc.: | |||
| 1st Lien Term Loan, 4.50%, 9/26/19 | 3,502 | 3,507,121 | |
| 2nd Lien Term Loan, 8.50%, 3/26/20 | 866 | 864,990 |
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Multiline Retail (continued) | |||
| Dollar Tree, Inc., Term Loan B3, 3.06%, 7/06/22 | USD | 1,209 | $ 1,218,545 |
| Hudsons Bay Co., 2015 Term Loan B, 4.25%, 9/30/22 | 2,208 | 2,219,875 | |
| Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 | 1,841 | 1,670,406 | |
| 9,480,937 | |||
| Oil, Gas & Consumable Fuels 5.1% | |||
| California Resources Corp.: | |||
| Second Out Term Loan, 11.38%, 12/31/21 | 3,390 | 3,686,625 | |
| Term Loan A, 3.61%, 10/01/19 | 2,642 | 2,529,734 | |
| Chesapeake Energy Corp., Term Loan, 8.50%, 8/23/21 | 3,286 | 3,510,387 | |
| CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18 | 1,063 | 1,074,197 | |
| Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21 | 1,020 | 529,225 | |
| Energy Transfer Equity LP, Term Loan: | |||
| 2015, 4.14%, 12/02/19 | 1,057 | 1,056,896 | |
| 3.39%, 12/02/19 | 207 | 205,834 | |
| EP Energy LLC, 2016 Term Loan, 9.75%, 6/30/21 | 174 | 176,408 | |
| EWT Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21 | 588 | 589,098 | |
| Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21 | 895 | 877,100 | |
| MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 | 4,145 | 3,894,997 | |
| Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20 | 986 | 963,479 | |
| Power Buyer LLC, 1st Lien Term Loan, 4.25%, 5/06/20 | 504 | 501,937 | |
| PowerTeam Services LLC, 2nd Lien Term Loan, 8.25%, 11/06/20 | 470 | 466,475 | |
| Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21 | 1,432 | 1,357,234 | |
| Seventy Seven Operating LLC, Term Loan B, 3.89%, 6/25/20 | 262 | 236,908 | |
| Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21 | 53 | 41,096 | |
| Southcross Holdings Borrower LP, Exit Term Loan B, 3.50%, 4/13/23 | 91 | 68,046 | |
| Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/28/22 | 505 | 513,700 | |
| TPF II Power LLC, Term Loan B, 5.00%, 10/02/21 | 1,965 | 1,963,524 |
10 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC NOVEMBER 30, 2016
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Oil, Gas & Consumable Fuels (continued) | |||
| Ultra Resources, Inc., Revolver, 4.61%, 4/06/17 (a)(d) | USD | 1,222 | $ 1,139,515 |
| Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22 | 2,736 | 2,742,583 | |
| 28,124,998 | |||
| Personal Products 0.9% | |||
| Prestige Brands, Inc., Term Loan B3, 3.50%, 9/03/21 | 2,240 | 2,253,844 | |
| Revlon Consumer Products Corp., 2016 Term Loan B, 4.25%, 9/07/23 | 2,995 | 2,997,396 | |
| 5,251,240 | |||
| Pharmaceuticals 5.5% | |||
| Akorn, Inc., Term Loan B, 5.25%, 4/16/21 | 2,483 | 2,501,921 | |
| CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 | 895 | 894,284 | |
| DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21 | 6,071 | 6,071,092 | |
| Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.75%, 9/26/22 | 1,382 | 1,374,713 | |
| Grifols Worldwide Operations USA, Inc., Term Loan B, 3.46%, 2/27/21 | 4,187 | 4,218,464 | |
| Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22 | 6,397 | 6,411,130 | |
| NBTY, Inc., Term Loan B, 5.00%, 5/05/23 | 1,752 | 1,753,151 | |
| Valeant Pharmaceuticals International, Inc.: | |||
| Series A3 Tranche A, 4.36%, 10/20/18 | 453 | 450,252 | |
| Series C2 Term Loan B, 5.25%, 12/11/19 | 3,964 | 3,922,489 | |
| Series D2 Term Loan B, 5.00%, 2/13/19 | 1,097 | 1,086,719 | |
| Series E Term Loan B, 5.25%, 8/05/20 | 1,405 | 1,387,436 | |
| Series F1 Term Loan B, 5.50%, 4/01/22 | 777 | 770,951 | |
| 30,842,602 | |||
| Professional Services 2.6% | |||
| Acosta Holdco, Inc., 2015 Term Loan, 4.25%, 9/26/21 | 696 | 658,439 | |
| Advantage Sales & Marketing, Inc.: | |||
| 2014 1st Lien Term Loan, 4.25%, 7/23/21 | 1,102 | 1,093,707 |
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Professional Services (continued) | |||
| Advantage Sales & Marketing, Inc. (continued): | |||
| 2014 2nd Lien Term Loan, 7.50%, 7/25/22 | USD | 338 | $ 318,000 |
| Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 | 3,170 | 3,171,320 | |
| Sterling Infosystems, Inc., 1st Lien Term Loan B, 5.75%, 6/20/22 | 1,626 | 1,617,714 | |
| TransUnion LLC, Term Loan B2, 3.50%, 4/09/21 | 7,349 | 7,383,194 | |
| 14,242,374 | |||
| Real Estate Investment Trusts (REITs) 1.4% | |||
| Communications Sales & Leasing, Inc., Term Loan B, 4.50%, 10/24/22 | 2,376 | 2,389,945 | |
| MGM Growth Properties LLC, 2016 Term Loan B, 3.50%, 4/25/23 | 5,430 | 5,453,017 | |
| 7,842,962 | |||
| Real Estate Management & Development 1.5% | |||
| CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20 | 2,154 | 2,169,667 | |
| DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.25%, 11/04/21 | 1,876 | 1,870,495 | |
| Realogy Corp.: | |||
| 2016 Term Loan B, 3.75%, 7/20/22 | 3,136 | 3,158,463 | |
| Term Loan A, 2.53%, 10/23/20 | 1,101 | 1,098,639 | |
| 8,297,264 | |||
| Road & Rail 0.4% | |||
| Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, 5.00%, 6/13/23 | 1,245 | 1,252,395 | |
| SIRVA Worldwide, Inc., 2016 Term Loan, 7.50%, 11/14/22 | 821 | 802,528 | |
| 2,054,923 | |||
| Semiconductors & Semiconductor Equipment 2.8% | |||
| Avago Technologies Cayman Ltd., Term Loan B3, 3.54%, 2/01/23 | 8,735 | 8,815,038 | |
| Cavium, Inc., Term Loan B, 3.75%, 8/16/22 | 930 | 935,813 | |
| Microsemi Corp., 2015 Term Loan B, 3.75%, 1/15/23 | 452 | 455,020 | |
| NXP BV, Term Loan F, 3.41%, 12/07/20 | 4,439 | 4,450,594 |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC NOVEMBER 30, 2016 11
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Semiconductors & Semiconductor Equipment (continued) | |||
| ON Semiconductor Corp., Incremental Term Loan, 3.78%, 3/31/23 | USD | 1,050 | $ 1,056,562 |
| 15,713,027 | |||
| Software 8.1% | |||
| BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20 | 2,808 | 2,741,524 | |
| DTI Holdco, Inc., 2016 Term Loan B, 6.25%, 9/21/23 | 1,560 | 1,535,945 | |
| Infor US, Inc., Term Loan B5, 3.75%, 6/03/20 | 3,692 | 3,684,390 | |
| Informatica Corp., Term Loan, 4.50%, 8/05/22 | 4,082 | 3,990,860 | |
| IQOR US, Inc., Term Loan B, 6.00%, 4/01/21 | 739 | 694,439 | |
| Kronos Incorporated: | |||
| 1st Lien Term Loan, 5.00%, 11/01/23 | 4,610 | 4,620,096 | |
| 2nd Lien Term Loan, 9.25%, 10/04/24 | 1,695 | 1,735,527 | |
| Landslide Holdings, Inc., 2016 1st Lien Term Loan, 5.50%, 9/27/22 | 1,075 | 1,080,375 | |
| Mitchell International, Inc.: | |||
| 1st Lien Term Loan, 4.50%, 10/13/20 | 2,116 | 2,110,164 | |
| 2nd Lien Term Loan, 8.50%, 10/11/21 | 1,600 | 1,576,000 | |
| RP Crown Parent LLC, 2016 Term Loan B, 4.50%, 10/12/23 | 2,216 | 2,227,099 | |
| SolarWinds, Inc., 2016 Term Loan, 5.50%, 2/05/23 | 3,237 | 3,257,701 | |
| Solera LLC, Term Loan B, 5.75%, 3/03/23 | 995 | 1,005,577 | |
| Sophia LP, 2015 Term Loan B, 4.75%, 9/30/22 | 2,488 | 2,491,090 | |
| SS&C Technologies, Inc.: | |||
| 2015 Term Loan B1, 4.00%, 7/08/22 | 4,776 | 4,809,084 | |
| 2015 Term Loan B2, 4.00%, 7/08/22 | 552 | 555,544 | |
| Tibco Software Inc., Term Loan B, 6.50%, 12/04/20 | 1,916 | 1,910,376 | |
| Vertafore, Inc., 2016 1st Lien Term Loan, 4.75%, 6/30/23 | 4,800 | 4,812,000 | |
| 44,837,791 | |||
| Specialty Retail 2.7% | |||
| Academy Ltd., 2015 Term Loan B, 5.00%, 7/01/22 | 1,140 | 1,049,141 |
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Specialty Retail (continued) | |||
| Bass Pro Group LLC: | |||
| Asset Sale Term Loan, 5.66%, 5/04/18 | USD | 665 | $ 663,756 |
| Term Loan B, 5.00%, 11/04/23 | 820 | 813,407 | |
| Leslies Poolmart, Inc., 2016 Term Loan, 5.25%, 8/16/23 | 1,215 | 1,224,113 | |
| Michaels Stores, Inc., 2016 Term Loan B1, 3.75%, 1/27/23 | 4,541 | 4,572,487 | |
| Outerwall ,Inc., 1st Lien Term Loan, 5.25%, 9/27/23 | 805 | 813,300 | |
| Party City Holdings, Inc., 2016 Term Loan, 3.75%, 8/19/22 | 2,870 | 2,883,165 | |
| Petco Animal Supplies, Inc.: | |||
| 2016 Term Loan B1, 5.00%, 1/26/23 | 829 | 834,439 | |
| 2016 Term Loan B2, 5.14%, 1/26/23 | 1,613 | 1,622,635 | |
| Things Remembered, Inc., 2016 Term Loan, 1.00%, 2/29/20 | 959 | 412,488 | |
| 14,888,931 | |||
| Technology Hardware, Storage & Peripherals 0.6% | |||
| Dell Inc., 2016 Term Loan B, 4.00%, 9/07/23 | 2,590 | 2,613,647 | |
| Linxens France SA, Term Loan, 5.00%, 10/14/22 | 789 | 788,051 | |
| 3,401,698 | |||
| Textiles, Apparel & Luxury Goods 0.6% | |||
| Ascend Performance Materials LLC, Term Loan B, 6.50%, 8/12/22 | 2,428 | 2,417,472 | |
| J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21 | 340 | 217,933 | |
| Samsonite International SA, Term Loan B, 4.00%, 8/01/23 | 495 | 500,103 | |
| 3,135,508 | |||
| Thrifts & Mortgage Finance 0.5% | |||
| IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21 | 2,749 | 2,764,548 | |
| Trading Companies & Distributors 1.1% | |||
| Beacon Roofing Supply, Inc., Term Loan B, 3.50%, 10/01/22 | 1,387 | 1,391,519 | |
| HD Supply, Inc.: | |||
| Incremental Term Loan B1, 3.59%, 8/13/21 | 3,719 | 3,727,863 | |
| Incremental Term Loan B2, 3.63%, 10/17/23 | 1,035 | 1,040,175 |
12 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC NOVEMBER 30, 2016
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Floating Rate Loan Interests (c) | Value | ||
|---|---|---|---|
| Trading Companies & Distributors (continued) | |||
| Nexeo Solutions LLC, 2016 Term Loan, 5.25%, 6/09/23 | USD | 249 | $ 251,038 |
| 6,410,595 | |||
| Transportation 0.2% | |||
| Gruden Acquisition, Inc., 1st Lien Term Loan, 5.75%, 8/18/22 | 1,260 | 1,178,544 | |
| Wireless Telecommunication Services 2.8% | |||
| Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 6/15/20 (f) | 7,653 | 7,117,183 | |
| LTS Buyer LLC, 1st Lien Term Loan, 4.09%, 4/13/20 | 5,422 | 5,428,747 | |
| T-Mobile USA, Inc., Term Loan B, 3.50%, 11/09/22 | 2,776 | 2,801,505 | |
| 15,347,435 | |||
| Total Floating Rate Loan Interests 137.2% | 762,561,546 | ||
| Non-Agency Mortgage-Backed Securities | |||
| Collateralized Mortgage Obligations 0.2% | |||
| Hilton USA Trust, Series 2013-HLT, Class EFX, 4.45%, 11/05/30 (b)(c) | 991 | 990,631 | |
| Investment Companies | Shares | ||
| Capital Markets 0.0% | |||
| Eaton Vance Floating-Rate Income Trust | 54 | 794 | |
| Eaton Vance Senior Income Trust | 13,945 | 90,642 | |
| Total Investment Companies 0.0% | 91,436 | ||
| Other Interests (g) | Beneficial Interest (000) | ||
| Auto Components 0.0% | |||
| Intermet Liquidating Trust, Class A | USD | 256,351 | 2 |
| Other Interests (g) | Value | |||
|---|---|---|---|---|
| Household Durables 0.5% | ||||
| Stanley Martin, Class B Membership Units (h) | USD | 1,250 | $ 2,509,838 | |
| Total Other Interests 0.5% | 2,509,840 | |||
| Preferred Securities | Shares | |||
| Trust Preferred 0.3% | ||||
| Diversified Financial Services 0.3% | ||||
| GMAC Capital Trust I, Series 2 6.60%, 2/15/40 (c) | 60,894 | 1,527,146 | ||
| Total Preferred Securities 0.3% | 1,527,146 | |||
| Warrants 0.0% | ||||
| 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 | 2,943 | ||
| Total Long-Term Investments (Cost $820,787,060) 147.3% | 818,473,277 | |||
| Options Purchased (Cost $43,022) 0.0% | | |||
| Total Investments (Cost $820,830,082 * ) 147.3% | 818,473,277 | |||
| Liabilities in Excess of Other Assets (47.3)% | (262,683,466 | ) | ||
| Net Assets 100.0% | $ 555,789,811 | |||
| * As of November 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income | ||||
| tax purposes were as follows: | ||||
| Tax cost | $ 824,211,787 | |||
| Gross unrealized appreciation | $ 8,575,083 | |||
| Gross unrealized depreciation | (14,313,593 | ) | ||
| Net unrealized depreciation | $ (5,738,510 | ) |
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 as of period end.
(d) Convertible Security.
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC NOVEMBER 30, 2016 13
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(e) Issuer filed for bankruptcy and/or is in default.
(f) 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.
(g) Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(h) All or a portion of security is held by a wholly owned subsidiary.
During the period ended November 30, 2016, investments in issuers considered to be affiliates 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 | 1,859,207 | | (1,859,207 | ) 1 | | | Income — |
|---|---|---|---|---|---|---|---|
| BlackRock Liquidity Funds, T-Fund, Institutional Class | | | | | | $ 646 | |
| iShares iBoxx $ High Yield Corporate Bond ETF | 27,839 | | (27,839 | ) | | | 33,812 |
| Total | | $ 34,458 | |||||
| 1 Represents net shares | |||||||
| sold. |
Fund compliance purposes, the Funds industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
| Futures Contracts — Contracts Short | Issue | Expiration | Notional Value | Unrealized Appreciation |
|---|---|---|---|---|
| (16) | 10-Year U.S. Treasury Note | March 2017 | USD1,992,250 | $ 6,635 |
Forward Foreign Currency Exchange Contracts
| Currency Purchased — CAD | 969,000 | USD | 718,021 | Counterparty — Royal Bank of Scotland PLC | 12/05/16 | Unrealized Appreciation (Depreciation) — $ 3,352 | |
|---|---|---|---|---|---|---|---|
| USD | 723,161 | CAD | 969,000 | BNP Paribas S.A. | 12/05/16 | 1,788 | |
| USD | 3,384,874 | GBP | 2,783,000 | Royal Bank of Scotland PLC | 12/05/16 | (97,346 | ) |
| USD | 3,475,536 | GBP | 2,783,000 | Royal Bank of Scotland PLC | 1/05/17 | (10,482 | ) |
| Total | $ (102,688 | ) |
14 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC NOVEMBER 30, 2016
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
OTC Options Purchased
| Description — Marsico Parent Superholdco LLC | Call | Goldman Sachs & Co. | 12/14/19 | USD | 942.86 | 44 | |
|---|---|---|---|---|---|---|---|
Centrally Cleared Credit Default Swaps Sell Protection
| Index — Markit CDX North America High Yield Index, Series 27, Version 1 |
|---|
| 1 Using Standard |
| &Poors rating of the issuer or the underlying securities of the index, as applicable. |
| 2 The maximum potential |
| amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
| OTC Total Return Swaps — Reference Entity | Fixed Rate/ Floating Rate | Counterparty | Effective Date | Expiration Date | Notional Amount (000) | Value | Premiums Paid (Received) | Unrealized Appreciation | |
|---|---|---|---|---|---|---|---|---|---|
| iBoxx USD Liquid High Yield Index | 3-Month LIBOR Plus 0.00% 1 | JPMorgan Chase Bank N.A. | N/A | 12/20/16 | USD | 570 | $ 30,376 | | $ 30,376 |
| 1 Fund pays the floating rate and receives the total return of the reference entity. |
Portfolio Abbreviations
| CLO | Collateralized Loan Obligation |
|---|---|
| DIP | Debtor-In-Possession |
| DIP | Debtor-In-Possession |
| ETF | Exchange-Traded Fund |
| LOC | Letter of Credit |
| PIK | Payment-In-Kind |
| CAD | Canadian Dollar |
| GBP | British Pound |
| USD | United States Dollar |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC NOVEMBER 30, 2016 15
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation metholdologies are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
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 marketcorroborated inputs)
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds 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. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 Investments include equity or debt issued by privately-held companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.
Changes in valuation methodologies may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds policy, transfers between different levels of the fair value 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 investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Funds policy regarding valuation of investments and derivative financial instruments, refer to the Funds most recent financial statements as contained in its annual report.
The following tables summarize the Funds investments and derivative financial instruments categorized in the disclosure hierarchy:
| Level 1 | Level 2 | Level 3 | Total | |
|---|---|---|---|---|
| Assets: | ||||
| Investments: | ||||
| Long-Term Investments: | ||||
| Asset-Backed Securities | | $ 12,128,751 | $ 1,989,888 | $ 14,118,639 |
| Common Stocks | $ 663,774 | 24,222 | 472,030 | 1,160,026 |
| Corporate Bonds | | 33,746,061 | 1,765,009 | 35,511,070 |
| Floating Rate Loan Interests | | 712,747,307 | 49,814,239 | 762,561,546 |
| Investment Companies | 91,436 | | | 91,436 |
| Non-Agency Mortgage-Backed Securities | | 990,631 | | 990,631 |
| Other Interests | | | 2,509,840 | 2,509,840 |
| Preferred Securities | 1,527,146 | | | 1,527,146 |
| Warrants | | | 2,943 | 2,943 |
| Unfunded floating rate loan interests 1 | | 5,857 | | 5,857 |
| Total | $ 2,282,356 | $ 759,642,829 | $ 56,553,949 | $ 818,479,134 |
16 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC NOVEMBER 30, 2016
Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
| Level 1 | Level 2 | Total | ||||
|---|---|---|---|---|---|---|
| Derivative Financial Instruments 2 | ||||||
| Assets: | ||||||
| Credit contracts | | $ 45,485 | | $ 45,485 | ||
| Foreign currency exchange contracts | | 5,140 | | 5,140 | ||
| Interest rate contracts | $ 6,635 | 30,376 | | 37,011 | ||
| Liabilities: | ||||||
| Foreign currency exchange contracts | | (107,828 | ) | | (107,828 | ) |
| Total | $ 6,635 | $ (26,827 | ) | | $ (20,192 | ) |
| 1 Unfunded floating | ||||||
| rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. | ||||||
| 2 Derivative | ||||||
| financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts 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 period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
| Level 1 | Level 2 | Total | ||||
|---|---|---|---|---|---|---|
| Assets: | ||||||
| Foreign currency at value | $ 467,130 | | | $ 467,130 | ||
| Cash pledged: | ||||||
| Futures contracts | 24,000 | | | 24,000 | ||
| Centrally cleared swaps | 294,000 | | | 294,000 | ||
| Liabilities: | ||||||
| Bank borrowings payable | | $ (229,000,000 | ) | | (229,000,000 | ) |
| Bank overdraft | | (113,186 | ) | | (113,186 | ) |
| Total | $ 785,130 | $ (229,113,186 | ) | | $ (228,328,056 | ) |
During the period ended November 30, 2016, there were no transfers between Level 1 and Level 2.
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 | Floating Rate Loan Interests | Warrants | Total | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Assets: | |||||||||||
| Opening balance, as of August 31, 2016 | $ 140,083 | $ 2,218,460 | $ | 1,527,870 | $ 44,995,306 | $ | 1,562,503 | $ 4,902 | $ 50,449,124 | ||
| Transfers into Level 3 1 | | | | 25,983,050 | | | 25,983,050 | ||||
| Transfers out of Level 3 2 | | | | (20,029,917 | ) | | | (20,029,917 | ) | ||
| Accrued discounts/premiums | | 958 | 112 | 46,852 | | | 47,922 | ||||
| Net realized gain (loss) | | 1,250 | | (406,701 | ) | | | (405,451 | ) | ||
| Net change in unrealized appreciation | |||||||||||
| (depreciation) 3 | 331,947 | 19,220 | 205,407 | 1,037,157 | 947,337 | (1,959 | ) | 2,539,109 | |||
| Purchases | | | 31,620 | 4,463,599 | | | 4,495,219 | ||||
| Sales | | (250,000 | ) | | (6,275,107 | ) | | | (6,525,107 | ) | |
| Closing balance, as of November 30, 2016 | $ 472,030 | $ 1,989,888 | $ | 1,765,009 | $ 49,814,239 | $ | 2,509,840 | $ 2,943 | $ 56,553,949 | ||
| Net change in unrealized appreciation (depreciation) on investments still held at November 30, 2016 3 | $ 331,947 | $ 21,044 | $ | 205,407 | $ 648,519 | $ | 947,337 | $ (1,959 | ) | $ 2,152,295 |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC NOVEMBER 30, 2016 17
Consolidated Schedule of Investments (concluded) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
1 As of August 31, 2016, the Fund used observable inputs in determining the value of certain investments. As of November 30, 2016, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.
2 As of August 31, 2016, the Fund used significant unobservable inputs in determining the value of certain investments. As of November 30, 2016, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.
3 Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at November 30, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.
The Funds investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
18 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC NOVEMBER 30, 2016
Item 2 Controls and Procedures
| 2(a) | The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants 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 registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal
quarter that have materially affected, or are reasonably likely to materially affect, the registrants 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 23, 2017
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: |
|---|
| John M. Perlowski |
| Chief Executive Officer (principal executive officer) of |
| BlackRock Floating Rate Income Strategies Fund, Inc. |
Date: January 23, 2017
| By: |
|---|
| Neal J. Andrews |
| Chief Financial Officer (principal financial officer) of |
| BlackRock Floating Rate Income Strategies Fund, Inc. |
Date: January 23, 2017
Building tools?
Free accounts include 100 API calls/year for testing.
Have a question? We'll get back to you promptly.