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 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2012
Date of reporting period: 11/30/2011
Item 1 – Schedule of Investments
|
|
|
|
Schedule of Investments November 30, 2011 (Unaudited) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Par |
|
Value |
|
||
ARES CLO Funds, Series |
|
USD |
750 |
|
$ |
669,060 |
|
Ballyrock CDO Ltd., Series 2006-1A, |
|
|
1,000 |
|
|
785,000 |
|
Canaras Summit CLO Ltd., Series 2007- |
|
|
750 |
|
|
595,162 |
|
Chatham Light CLO Ltd., Series |
|
|
1,000 |
|
|
855,500 |
|
Flagship CLO, Series 2006-1A, |
|
|
1,304 |
|
|
981,260 |
|
Franklin CLO Ltd., Series 6A, |
|
|
1,910 |
|
|
1,528,000 |
|
Fraser Sullivan CLO Ltd., Series 2006- |
|
|
500 |
|
|
407,500 |
|
Gannett Peak CLO Ltd., Series |
|
|
575 |
|
|
425,500 |
|
Goldman Sachs Asset |
|
|
1,255 |
|
|
928,700 |
|
Landmark CDO Ltd., Series |
|
|
1,075 |
|
|
835,157 |
|
MAPS CLO Fund LLC, Series 2005-1A, |
|
|
575 |
|
|
503,125 |
|
Portola CLO Ltd., Series 2007-1X, |
|
|
765 |
|
|
634,414 |
|
T2 Income Fund CLO Ltd., Series |
|
|
655 |
|
|
585,053 |
|
Total Asset-Backed Securities 3.7% |
|
|
|
|
|
9,733,431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks (c) |
|
Shares |
|
|
|
|
|
Auto Components 0.7% |
|
|
|
|
|
|
|
Delphi Debtor-in-Possession Holding Co. LLP |
|
|
|
|
|
|
|
Class B Membership Interests |
|
|
29,947 |
|
|
608,491 |
|
Class B Membership Interests |
|
|
69,876 |
|
|
1,383,407 |
|
|
|
|
|
|
|
1,991,898 |
|
Chemicals 0.0% |
|
|
|
|
|
|
|
GEO Specialty Chemicals, Inc. |
|
|
13,117 |
|
|
5,772 |
|
Electrical Equipment 0.0% |
|
|
|
|
|
|
|
Medis Technologies Ltd. |
|
|
71,654 |
|
|
430 |
|
Paper & Forest Products 0.1% |
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd. |
|
|
133,089 |
|
|
133,096 |
|
Ainsworth Lumber Co. Ltd. (a) |
|
|
152,951 |
|
|
152,958 |
|
|
|
|
|
|
|
|
|
Common Stocks (c) |
|
Shares |
|
Value |
|
||
Paper & Forest Products (concluded) |
|
|
|
|
|
|
|
Western Forest Products, Inc. |
|
|
84,448 |
|
$ |
61,269 |
|
|
|
|
|
|
|
347,323 |
|
Software 0.1% |
|
|
|
|
|
|
|
HMH Holdings/EduMedia |
|
|
92,606 |
|
|
138,909 |
|
Total Common Stocks 0.9% |
|
|
|
|
|
2,484,332 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
|
||
Airlines 0.2% |
|
|
|
|
|
|
|
American Airlines Pass-Through |
|
USD |
276 |
|
|
264,960 |
|
Delta Air Lines, Inc., Series B, |
|
|
139 |
|
|
147,498 |
|
|
|
|
|
|
|
412,458 |
|
Auto Components 0.9% |
|
|
|
|
|
|
|
Icahn Enterprises LP, 7.75%, |
|
|
2,215 |
|
|
2,284,219 |
|
Chemicals 1.2% |
|
|
|
|
|
|
|
CF Industries, Inc., 6.88%, |
|
|
905 |
|
|
1,039,619 |
|
GEO Specialty Chemicals, Inc.: |
|
|
|
|
|
|
|
7.50%, 3/31/15 |
|
|
857 |
|
|
985,535 |
|
10.00%, 3/31/15 |
|
|
844 |
|
|
844,160 |
|
Lyondell Chemical Co., 11.00%, |
|
|
292 |
|
|
314,601 |
|
LyondellBasell Industries NV, |
|
|
95 |
|
|
96,900 |
|
|
|
|
|
|
|
3,280,815 |
|
Commercial Banks 1.0% |
|
|
|
|
|
|
|
CIT Group, Inc.: |
|
|
|
|
|
|
|
7.00%, 5/01/15 |
|
|
290 |
|
|
290,000 |
|
7.00%, 5/01/16 |
|
|
400 |
|
|
395,800 |
|
7.00%, 5/01/17 |
|
|
1,621 |
|
|
1,604,790 |
|
7.00%, 5/02/17 (a) |
|
|
250 |
|
|
246,250 |
|
|
|
|
|
|
|
2,536,840 |
|
Commercial Services & Supplies 0.4% |
|
|
|
|
|
|
|
ARAMARK Corp., 3.93%, 2/01/15 (b) |
|
|
135 |
|
|
127,238 |
|
AWAS Aviation Capital Ltd., 7.00%, |
|
|
903 |
|
|
903,096 |
|
Brickman Group Holdings, Inc., |
|
|
71 |
|
|
63,190 |
|
|
|
|
|
|
|
1,093,524 |
|
Consumer Finance 0.3% |
|
|
|
|
|
|
|
Inmarsat Finance Plc, 7.38%, |
|
|
775 |
|
|
792,438 |
|
|
Portfolio Abbreviations |
To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:
|
|
CAD |
Canadian Dollar |
EUR |
Euro |
FKA |
Formerly Known As |
GBP |
British Pound |
USD |
US Dollar |
|
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
NOVEMBER 30, 2011 |
1 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Containers & Packaging 1.0% |
|
|
|
|
|
|
|
Ball Corp., 5.75%, 5/15/21 |
|
USD |
510 |
|
$ |
520,200 |
|
Berry Plastics Holding Corp., Term |
|
|
615 |
|
|
651,900 |
|
Graphic Packaging International, |
|
|
220 |
|
|
239,800 |
|
OI European Group BV, 6.88%, |
|
EUR |
143 |
|
|
189,267 |
|
Smurfit Kappa Acquisitions (a): |
|
|
|
|
|
|
|
7.25%, 11/15/17 |
|
|
335 |
|
|
459,142 |
|
7.75%, 11/15/19 |
|
|
338 |
|
|
458,712 |
|
|
|
|
|
|
|
2,519,021 |
|
Diversified Financial Services 2.0% |
|
|
|
|
|
|
|
Ally Financial, Inc., 2.53%, |
|
USD |
2,600 |
|
|
2,263,209 |
|
Axcan Intermediate Holdings, Inc., |
|
|
160 |
|
|
163,600 |
|
FCE Bank Plc, 4.75%, 1/19/15 |
|
EUR |
375 |
|
|
483,732 |
|
Reynolds Group Issuer, Inc. (a): |
|
|
|
|
|
|
|
8.75%, 10/15/16 |
|
USD |
597 |
|
|
616,403 |
|
8.75%, 10/15/16 |
|
EUR |
472 |
|
|
621,541 |
|
7.13%, 4/15/19 |
|
USD |
530 |
|
|
518,075 |
|
7.88%, 8/15/19 |
|
|
300 |
|
|
301,500 |
|
6.88%, 2/15/21 |
|
|
395 |
|
|
377,225 |
|
|
|
|
|
|
|
5,345,285 |
|
Diversified Telecommunication Services 0.6% |
|
|
|
|
|
|
|
ITC Deltacom, Inc., 10.50%, |
|
|
430 |
|
|
443,437 |
|
Qwest Communications International, |
|
|
|
|
|
|
|
8.00%, 10/01/15 |
|
|
600 |
|
|
640,500 |
|
Series B, 7.50%, 2/15/14 |
|
|
434 |
|
|
436,713 |
|
|
|
|
|
|
|
1,520,650 |
|
Health Care Equipment & Supplies 0.5% |
|
|
|
|
|
|
|
DJO Finance LLC: |
|
|
|
|
|
|
|
10.88%, 11/15/14 |
|
|
1,175 |
|
|
1,107,437 |
|
7.75%, 4/15/18 (a) |
|
|
210 |
|
|
168,525 |
|
|
|
|
|
|
|
1,275,962 |
|
Health Care Providers & Services 1.7% |
|
|
|
|
|
|
|
HCA, Inc.: |
|
|
|
|
|
|
|
6.50%, 2/15/20 |
|
|
1,170 |
|
|
1,164,150 |
|
7.25%, 9/15/20 |
|
|
485 |
|
|
498,338 |
|
7.50%, 2/15/22 |
|
|
1,200 |
|
|
1,182,000 |
|
Omnicare, Inc., 7.75%, 6/01/20 |
|
|
550 |
|
|
579,562 |
|
Tenet Healthcare Corp., 8.88%, |
|
|
1,085 |
|
|
1,182,650 |
|
|
|
|
|
|
|
4,606,700 |
|
Health Care Technology 0.8% |
|
|
|
|
|
|
|
IMS Health, Inc., 12.50%, |
|
|
1,860 |
|
|
2,073,900 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Hotels, Restaurants & Leisure 0.7% |
|
|
|
|
|
|
|
Little Traverse Bay Bands of Odawa |
|
USD |
373 |
|
$ |
309,590 |
|
MGM Resorts International: |
|
|
|
|
|
|
|
10.38%, 5/15/14 |
|
|
865 |
|
|
968,800 |
|
11.13%, 11/15/17 |
|
|
400 |
|
|
447,500 |
|
|
|
|
|
|
|
1,725,890 |
|
Household Durables 0.5% |
|
|
|
|
|
|
|
Beazer Homes USA, Inc., 12.00%, |
|
|
1,200 |
|
|
1,248,000 |
|
Independent Power Producers & Energy Traders 2.9% |
|
|
|
|
|
|
|
Calpine Corp., 7.25%, |
|
|
3,775 |
|
|
3,850,500 |
|
Energy Future Holdings Corp., |
|
|
1,000 |
|
|
1,025,000 |
|
Energy Future Intermediate |
|
|
2,700 |
|
|
2,781,000 |
|
|
|
|
|
|
|
7,656,500 |
|
Industrial Conglomerates 0.6% |
|
|
|
|
|
|
|
Sequa Corp., 13.50%, |
|
|
1,557 |
|
|
1,662,456 |
|
IT Services 0.1% |
|
|
|
|
|
|
|
First Data Corp., 7.38%, |
|
|
405 |
|
|
380,700 |
|
Media 2.8% |
|
|
|
|
|
|
|
AMC Networks, Inc., 7.75%, |
|
|
225 |
|
|
237,938 |
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
1,050 |
|
|
1,210,125 |
|
CSC Holdings, Inc., 8.50%, |
|
|
420 |
|
|
465,675 |
|
Checkout Holding Corp., 11.25%, |
|
|
665 |
|
|
329,175 |
|
Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
401 |
|
|
420,047 |
|
Series B, 9.25%, 12/15/17 |
|
|
1,834 |
|
|
1,930,285 |
|
NAI Entertainment Holdings LLC, |
|
|
615 |
|
|
641,137 |
|
Unitymedia Hessen GmbH & Co. |
|
|
2,000 |
|
|
2,065,000 |
|
|
|
|
|
|
|
7,299,382 |
|
Multiline Retail 0.2% |
|
|
|
|
|
|
|
Dollar General Corp., 11.88%, |
|
|
445 |
|
|
491,725 |
|
Oil, Gas & Consumable Fuels 0.8% |
|
|
|
|
|
|
|
Alpha Natural Resources, Inc.: |
|
|
|
|
|
|
|
6.00%, 6/01/19 |
|
|
435 |
|
|
415,425 |
|
6.25%, 6/01/21 |
|
|
205 |
|
|
195,775 |
|
Coffeyville Resources LLC, 9.00%, |
|
|
275 |
|
|
292,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
NOVEMBER 30, 2011 |
2 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Oil, Gas & Consumable Fuels (concluded) |
|
|
|
|
|
|
|
Peabody Energy Corp., 6.00%, |
|
USD |
1,335 |
|
$ |
1,333,331 |
|
|
|
|
|
|
|
2,237,406 |
|
Paper & Forest Products 0.3% |
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd., |
|
|
548 |
|
|
345,190 |
|
Longview Fibre Paper & Packaging, |
|
|
340 |
|
|
341,700 |
|
Verso Paper Holdings LLC, Series |
|
|
340 |
|
|
214,200 |
|
|
|
|
|
|
|
901,090 |
|
Pharmaceuticals 0.4% |
|
|
|
|
|
|
|
Valeant Pharmaceuticals |
|
|
980 |
|
|
948,150 |
|
Wireless Telecommunication Services 1.6% |
|
|
|
|
|
|
|
Cricket Communications, Inc., |
|
|
1,700 |
|
|
1,695,750 |
|
Digicel Group Ltd. (a): |
|
|
|
|
|
|
|
9.13%, 1/15/15 (e) |
|
|
278 |
|
|
273,830 |
|
8.25%, 9/01/17 |
|
|
315 |
|
|
310,275 |
|
Sprint Nextel Corp., 9.00%, |
|
|
630 |
|
|
634,725 |
|
iPCS, Inc., 2.55%, 5/01/13 (b) |
|
|
1,500 |
|
|
1,365,000 |
|
|
|
|
|
|
|
4,279,580 |
|
Total Corporate Bonds 21.5% |
|
|
|
|
|
56,572,691 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense 1.5% |
|
|
|
|
|
|
|
DynCorp International, Term Loan B, |
|
|
848 |
|
|
829,569 |
|
SI Organization, Inc., New Term |
|
|
838 |
|
|
800,542 |
|
TransDigm, Inc., Term Loan (First |
|
|
1,787 |
|
|
1,767,992 |
|
Wesco Aircraft Hardware Corp., |
|
|
662 |
|
|
661,003 |
|
|
|
|
|
|
|
4,059,106 |
|
Airlines 0.9% |
|
|
|
|
|
|
|
Delta Air Lines, Inc., Credit New |
|
|
2,394 |
|
|
2,277,891 |
|
Auto Components 2.4% |
|
|
|
|
|
|
|
Allison Transmission, Inc., Term |
|
|
3,421 |
|
|
3,295,966 |
|
Autoparts Holdings, Ltd., First Lien |
|
|
1,450 |
|
|
1,448,651 |
|
Federal-Mogul Corp.: |
|
|
|
|
|
|
|
Term Loan B, 2.19% - 2.20%, |
|
|
598 |
|
|
552,149 |
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
Value |
|
||
Auto Components (concluded) |
|
|
|
|
|
|
|
Federal-Mogul Corp. (concluded): |
|
|
|
|
|
|
|
Term
Loan C, 2.19% - 2.20%, |
|
USD |
305 |
|
$ |
281,709 |
|
GPX International Tire Corp., Tranche B |
|
|
|
|
|
|
|
8.37%, 3/31/12 |
|
|
549 |
|
|
|
|
12.00%, 3/31/12 |
|
|
9 |
|
|
|
|
UCI International, Inc., Term Loan, |
|
|
744 |
|
|
743,913 |
|
|
|
|
|
|
|
6,322,388 |
|
Biotechnology 0.3% |
|
|
|
|
|
|
|
Grifols SA, Term Loan B, 6.00%, |
|
|
898 |
|
|
894,508 |
|
Building Products 3.1% |
|
|
|
|
|
|
|
Armstrong World Industries, Inc., |
|
|
1,169 |
|
|
1,154,511 |
|
CPG International I, Inc., Term |
|
|
1,787 |
|
|
1,670,377 |
|
Goodman Global, Inc., Initial Term Loan |
|
|
4,421 |
|
|
4,406,912 |
|
Momentive Performance Materials |
|
EUR |
647 |
|
|
804,654 |
|
|
|
|
|
|
|
8,036,454 |
|
Capital Markets 1.9% |
|
|
|
|
|
|
|
American Capital Ltd., |
|
USD |
364 |
|
|
362,616 |
|
HarbourVest Partners, Term Loan |
|
|
1,764 |
|
|
1,755,513 |
|
Nuveen Investments, Inc.: |
|
|
|
|
|
|
|
Incremental
Term Loan, |
|
|
345 |
|
|
337,669 |
|
Extended Term Loan (First Lien), |
|
|
|
|
|
|
|
5.87% - 6.00%, 5/12/17 |
|
|
1,753 |
|
|
1,660,021 |
|
Non-Extended Term Loan (First |
|
|
|
|
|
|
|
Lien), 3.37% - 3.42%, 11/13/14 |
|
|
897 |
|
|
846,237 |
|
|
|
|
|
|
|
4,962,056 |
|
Chemicals 5.6% |
|
|
|
|
|
|
|
American Rock Salt Holdings LLC, |
|
|
1,219 |
|
|
1,197,545 |
|
Arizona Chemical Co., LLC, Term |
|
|
226 |
|
|
226,024 |
|
Ashland, Inc., Term Loan B, 3.75%, |
|
|
935 |
|
|
935,589 |
|
Chemtura Corp., Exit Term Loan B, |
|
|
1,400 |
|
|
1,398,250 |
|
Gentek, Inc., Term Loan B, 5.00%, |
|
|
1,453 |
|
|
1,433,146 |
|
MDI Holdings, LLC (FKA |
|
EUR |
505 |
|
|
652,790 |
|
Nexeo Solutions LLC, Term Loan B, |
|
USD |
1,194 |
|
|
1,146,240 |
|
Polyone Corp., Term Loan, 5.00%, |
|
|
405 |
|
|
404,494 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
NOVEMBER 30, 2011 |
3 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
Value |
|
||
Chemicals (concluded) |
|
|
|
|
|
|
|
PQ Corp. (FKA Niagara Acquisition, |
|
USD |
1,590 |
|
$ |
1,490,218 |
|
Styron Sarl, LLC, Term Loan B, |
|
|
1,344 |
|
|
1,156,352 |
|
Tronox Worldwide LLC, Exit Term |
|
|
2,754 |
|
|
2,749,891 |
|
Univar, Inc., Term Loan B, 5.00%, |
|
|
2,035 |
|
|
1,961,275 |
|
|
|
|
|
|
|
14,751,814 |
|
Commercial Services & Supplies 3.8% |
|
|
|
|
|
|
|
Adesa, Inc. (KAR Holdings, Inc.), |
|
|
2,593 |
|
|
2,557,328 |
|
Altegrity, Inc. (FKA US |
|
|
1,627 |
|
|
1,618,500 |
|
ARAMARK Corp.: |
|
|
|
|
|
|
|
Extended
Letter of Credit, |
|
|
24 |
|
|
22,871 |
|
Extended
Term Loan B, 3.62%, |
|
|
358 |
|
|
347,762 |
|
Synthetic
Letter of Credit, |
|
|
16 |
|
|
15,950 |
|
Term Loan, 2.24%, 1/27/14 |
|
|
203 |
|
|
198,004 |
|
AWAS Finance Luxembourg Sarl., |
|
|
638 |
|
|
630,345 |
|
Delos Aircraft, Inc., Term Loan 2, |
|
|
1,875 |
|
|
1,876,875 |
|
Synagro Technologies, Inc., Term |
|
|
|
|
|
|
|
Loan
(First Lien), 2.25% - 2.26%, |
|
|
1,516 |
|
|
1,278,903 |
|
Volume Services America, Inc., |
|
|
990 |
|
|
973,913 |
|
West Corp.: |
|
|
|
|
|
|
|
Term
Loan 4, 4.58% - 4.67%, |
|
|
152 |
|
|
150,852 |
|
Term
Loan B, 4.58% - 4.67%, |
|
|
294 |
|
|
291,266 |
|
|
|
|
|
|
|
9,962,569 |
|
Communications Equipment 1.0% |
|
|
|
|
|
|
|
Avaya, Inc., Term Loan B, 3.26%, |
|
|
1,014 |
|
|
941,420 |
|
CommScope, Inc., Term Loan B, |
|
|
1,591 |
|
|
1,582,611 |
|
|
|
|
|
|
|
2,524,031 |
|
Construction & Engineering 1.0% |
|
|
|
|
|
|
|
BakerCorp., Inc., Term Loan B, |
|
|
863 |
|
|
852,915 |
|
Safway Services, LLC, First Out |
|
|
1,700 |
|
|
1,700,000 |
|
|
|
|
|
|
|
2,552,915 |
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
Value |
|
||
Consumer Finance 1.7% |
|
|
|
|
|
|
|
Springleaf Financial Funding Co. |
|
USD |
5,285 |
|
$ |
4,581,461 |
|
Containers & Packaging 0.7% |
|
|
|
|
|
|
|
Berry Plastics Holding Corp., Term |
|
|
276 |
|
|
259,949 |
|
Sealed Air Corp., Term Loan B, |
|
|
1,570 |
|
|
1,582,231 |
|
|
|
|
|
|
|
1,842,180 |
|
Diversified Consumer Services 3.0% |
|
|
|
|
|
|
|
Coinmach Service Corp., Term |
|
|
|
|
|
|
|
Loan B, 3.25% - 3.32%, |
|
|
2,472 |
|
|
2,197,301 |
|
Laureate Education Inc., Extended |
|
|
3,775 |
|
|
3,517,014 |
|
ServiceMaster Co.: |
|
|
|
|
|
|
|
Closing
Date Term Loan, |
|
|
2,177 |
|
|
2,059,384 |
|
Delayed
Draw Term Loan, |
|
|
217 |
|
|
205,084 |
|
|
|
|
|
|
|
7,978,783 |
|
Diversified Financial Services 1.4% |
|
|
|
|
|
|
|
Reynolds Group Holdings, Inc.: |
|
|
|
|
|
|
|
Term
Loan C, 5.25% - 6.50%, |
|
|
2,400 |
|
|
2,356,800 |
|
Term Loan E, 6.50%, 2/09/18 |
|
|
1,423 |
|
|
1,397,353 |
|
|
|
|
|
|
|
3,754,153 |
|
Diversified Telecommunication Services 4.3% |
|
|
|
|
|
|
|
Hawaiian Telcom Communications, |
|
|
|
|
|
|
|
Inc., Term Loan, 9.00%, |
|
|
1,350 |
|
|
1,357,479 |
|
Integra Telecom Holdings, Inc., |
|
|
1,605 |
|
|
1,402,497 |
|
Level 3 Financing, Inc.: |
|
|
|
|
|
|
|
Incremental
Tranche A Term |
|
|
2,525 |
|
|
2,370,344 |
|
Term
Loan B2, 5.75%, |
|
|
3,450 |
|
|
3,337,875 |
|
Term
Loan B3, 5.75%, |
|
|
1,475 |
|
|
1,427,062 |
|
US Telepacific Corp., Term Loan B, |
|
|
1,493 |
|
|
1,410,770 |
|
|
|
|
|
|
|
11,306,027 |
|
Electronic Equipment, Instruments & Components 1.6% |
|
|
|
|
|
|
|
Aeroflex, Inc., Term Loan B, 4.25%, |
|
|
905 |
|
|
854,873 |
|
CDW LLC (FKA CDW Corp.), Non- |
|
|
1,372 |
|
|
1,317,933 |
|
Flextronics International Ltd., Delayed |
|
|
|
|
|
|
|
Term
Loan A-2, 2.50%, |
|
|
45 |
|
|
44,045 |
|
Term
Loan A-3, 2.51%, |
|
|
39 |
|
|
37,753 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
NOVEMBER 30, 2011 |
4 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
Value |
|
||
Electronic Equipment, Instruments & Components (concluded) |
|
|
|
|
|
|
|
Sensata Technologies Finance |
|
USD |
2,095 |
|
$ |
2,065,067 |
|
|
|
|
|
|
|
4,319,671 |
|
Energy Equipment & Services 2.7% |
|
|
|
|
|
|
|
CCS Corp., Tranche B Term Loan, |
|
|
1,613 |
|
|
1,471,562 |
|
Dynegy Holdings, Inc.: |
|
|
|
|
|
|
|
Coal
Co. Term Loan, 9.25%, |
|
|
939 |
|
|
937,319 |
|
Gas
Co. Term Loan, 9.25%, |
|
|
1,261 |
|
|
1,270,104 |
|
MEG Energy Corp., Tranche D Term |
|
|
3,350 |
|
|
3,312,916 |
|
|
|
|
|
|
|
6,991,901 |
|
Food & Staples Retailing 1.8% |
|
|
|
|
|
|
|
AB Acquisitions UK Topco 2 Ltd. |
|
GBP |
1,825 |
|
|
2,546,998 |
|
B&G Foods, Inc., Term Loan B, |
|
USD |
375 |
|
|
375,158 |
|
Bolthouse Farms, Inc., Term Loan |
|
|
497 |
|
|
493,999 |
|
US Foodservice, Inc., Term Loan B, |
|
|
1,543 |
|
|
1,400,740 |
|
|
|
|
|
|
|
4,816,895 |
|
Food Products 3.6% |
|
|
|
|
|
|
|
Advance Pierre Foods, Term Loan |
|
|
|
|
|
|
|
7.00%, 9/30/16 |
|
|
1,951 |
|
|
1,938,444 |
|
11.25%, 9/29/17 |
|
|
1,100 |
|
|
1,094,038 |
|
Del Monte Corp., Term Loan B, |
|
|
3,447 |
|
|
3,257,616 |
|
Michaels Foods Group, Inc. (FKA |
|
|
292 |
|
|
287,138 |
|
Pinnacle Foods Finance LLC: |
|
|
|
|
|
|
|
Tranche
B Term Loan, 2.75% - |
|
|
90 |
|
|
88,058 |
|
Tranche
D Term Loan, 6.00%, |
|
|
1,213 |
|
|
1,212,307 |
|
Solvest, Ltd. (Dole): |
|
|
|
|
|
|
|
Tranche
B-1 Term Loan, |
|
|
557 |
|
|
552,878 |
|
Tranche
C-1 Term Loan, 5.00% |
|
|
1,034 |
|
|
1,026,774 |
|
|
|
|
|
|
|
9,457,253 |
|
Health Care Equipment & Supplies 1.9% |
|
|
|
|
|
|
|
Biomet, Inc., Dollar Term Loan B, |
|
|
683 |
|
|
658,167 |
|
DJO Finance LLC (FKA ReAble |
|
|
1,073 |
|
|
1,033,073 |
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
Value |
|
||
Health Care Equipment & Supplies (concluded) |
|
|
|
|
|
|
|
Iasis Healthcare LLC, Term Loan, |
|
USD |
1,505 |
|
$ |
1,446,351 |
|
Immucor, Inc., Term Loan B, |
|
|
1,805 |
|
|
1,811,318 |
|
|
|
|
|
|
|
4,948,909 |
|
Health Care Providers & Services 6.1% |
|
|
|
|
|
|
|
CHS/Community Health Systems, Inc.: |
|
|
|
|
|
|
|
Delayed
Draw Term Loan, |
|
|
82 |
|
|
78,927 |
|
Non-Extended
Term Loan, |
|
|
1,581 |
|
|
1,523,739 |
|
ConvaTec, Inc., Dollar Term Loan, |
|
|
1,290 |
|
|
1,263,155 |
|
DaVita, Inc., Tranche B Term Loan, |
|
|
1,687 |
|
|
1,678,814 |
|
Emergency Medical Services, Term |
|
|
1,905 |
|
|
1,845,675 |
|
Harden Healthcare, Inc.: |
|
|
|
|
|
|
|
Tranche
A Additional Term |
|
|
1,098 |
|
|
1,076,114 |
|
Tranche
A Term Loan, 8.50%, |
|
|
673 |
|
|
659,214 |
|
HCA, Inc.: |
|
|
|
|
|
|
|
Tranche
B-1 Term Loan, |
|
|
636 |
|
|
601,144 |
|
Tranche
B-2 Term Loan, |
|
|
787 |
|
|
746,519 |
|
Health Management Associates, |
|
|
1,375 |
|
|
1,368,702 |
|
inVentiv Health, Inc. (FKA Ventive |
|
|
|
|
|
|
|
Incremental
Term Loan B3, |
|
|
903 |
|
|
882,683 |
|
Term Loan B, 6.50%, 8/04/16 |
|
|
1,791 |
|
|
1,749,428 |
|
Medpace, Inc., Term Loan, 6.50% - |
|
|
1,247 |
|
|
1,190,766 |
|
Renal Advantage Holdings, Inc., |
|
|
1,191 |
|
|
1,188,023 |
|
Vanguard Health Holding Co. II, |
|
|
135 |
|
|
132,806 |
|
|
|
|
|
|
|
15,985,709 |
|
Health Care Technology 1.4% |
|
|
|
|
|
|
|
IMS Health, Inc., Tranche B Dollar |
|
|
1,204 |
|
|
1,199,902 |
|
Kinetic Concepts, Inc., Term |
|
|
1,580 |
|
|
1,587,410 |
|
MedAssets, Inc., Term Loan B, |
|
|
777 |
|
|
768,284 |
|
|
|
|
|
|
|
3,555,596 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
NOVEMBER 30, 2011 |
5 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
Value |
|
||
Hotels, Restaurants & Leisure 5.3% |
|
|
|
|
|
|
|
Ameristar Casinos, Inc., Term |
|
USD |
1,243 |
|
$ |
1,235,432 |
|
Boyd Gaming Corp., Incremental |
|
|
860 |
|
|
848,536 |
|
Caesars Entertainment Operating Co., |
|
|
|
|
|
|
|
Term
Loan B-1, 3.42%, |
|
|
192 |
|
|
163,989 |
|
Term
Loan B-2, 3.26% - |
|
|
210 |
|
|
179,298 |
|
Term
Loan B-3, 3.25% - |
|
|
5,359 |
|
|
4,571,772 |
|
Term
Loan B-4, 9.50%, |
|
|
1,108 |
|
|
1,091,608 |
|
Dunkin Brands, Inc., New Term |
|
|
1,953 |
|
|
1,921,078 |
|
Golden Living, Term Loan, 5.00%, |
|
|
626 |
|
|
540,229 |
|
Seaworld Parks & Entertainment, |
|
|
1,355 |
|
|
1,345,909 |
|
Six Flags Theme Parks, Inc., |
|
|
1,255 |
|
|
1,248,209 |
|
Twin River Worldwide Holdings, |
|
|
774 |
|
|
764,235 |
|
|
|
|
|
|
|
13,910,295 |
|
Independent Power Producers & Energy Traders 2.2% |
|
|
|
|
|
|
|
The AES Corp., Term Loan B, |
|
|
1,990 |
|
|
1,967,612 |
|
Texas Competitive Electric |
|
|
5,748 |
|
|
3,742,448 |
|
|
|
|
|
|
|
5,710,060 |
|
Industrial Conglomerates 1.5% |
|
|
|
|
|
|
|
Sequa Corp.: |
|
|
|
|
|
|
|
Incremental
Term Loan, |
|
|
660 |
|
|
658,350 |
|
Term
Loan, 3.63% - 3.70%, |
|
|
3,318 |
|
|
3,196,640 |
|
|
|
|
|
|
|
3,854,990 |
|
Insurance 0.7% |
|
|
|
|
|
|
|
CNO Financial Group, Inc., Term |
|
|
1,742 |
|
|
1,732,916 |
|
Internet Software & Services 0.4% |
|
|
|
|
|
|
|
Web.com Group, Inc., Term Loan B, |
|
|
1,195 |
|
|
1,054,587 |
|
IT Services 5.0% |
|
|
|
|
|
|
|
Ceridian Corp., US Term Loan, |
|
|
1,238 |
|
|
1,097,894 |
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
Value |
|
||
IT Services (concluded) |
|
|
|
|
|
|
|
First Data Corp.: |
|
|
|
|
|
|
|
Initial
Tranche B-1 Term Loan, |
|
USD |
660 |
|
$ |
584,399 |
|
Initial
Tranche B-2 Term Loan, |
|
|
6,476 |
|
|
5,406,555 |
|
Initial
Tranche B-3 Term Loan, |
|
|
115 |
|
|
101,495 |
|
infoGROUP, Inc., Term Loan, |
|
|
707 |
|
|
677,211 |
|
iPayment, Inc., Term Loan B, |
|
|
1,106 |
|
|
1,081,577 |
|
NeuStar, Inc., Term Loan B, 5.00%, |
|
|
890 |
|
|
889,244 |
|
TransUnion LLC, Replacement |
|
|
3,219 |
|
|
3,202,728 |
|
|
|
|
|
|
|
13,041,103 |
|
Machinery 1.8% |
|
|
|
|
|
|
|
Navistar Financial Corp., Term |
|
|
817 |
|
|
812,583 |
|
Terex Corp.: |
|
|
|
|
|
|
|
Term Loan, 6.03%, 4/28/17 |
|
EUR |
135 |
|
|
177,772 |
|
Term Loan B, 5.50%, 4/28/17 |
|
USD |
1,000 |
|
|
997,500 |
|
Tomkins Plc, Term Loan B, 4.25%, |
|
|
2,704 |
|
|
2,681,296 |
|
|
|
|
|
|
|
4,669,151 |
|
Media 16.6% |
|
|
|
|
|
|
|
Acosta, Inc., Term Loan, 4.75% - |
|
|
1,347 |
|
|
1,302,851 |
|
Affinion Group, Inc., Tranche B |
|
|
1,600 |
|
|
1,458,522 |
|
AMC Networks, Inc., Term Loan B, |
|
|
1,696 |
|
|
1,681,624 |
|
Atlantic Broadband Finance LLC, |
|
|
982 |
|
|
952,006 |
|
Bresnan Telecommunications Co. |
|
|
2,903 |
|
|
2,830,486 |
|
Capsugel Healthcare Ltd., Term |
|
|
1,300 |
|
|
1,298,778 |
|
Catalina Marketing Corp., Term |
|
|
234 |
|
|
222,402 |
|
Cengage Learning Acquisitions, Inc. |
|
|
|
|
|
|
|
Term Loan, 2.51%, 7/03/14 |
|
|
996 |
|
|
840,877 |
|
Tranche
1 Incremental Term |
|
|
765 |
|
|
705,095 |
|
Charter Communications Operating, |
|
|
|
|
|
|
|
Term Loan B, 7.25%, 3/06/14 |
|
|
28 |
|
|
27,986 |
|
Term Loan C, 3.62%, 9/06/16 |
|
|
2,129 |
|
|
2,089,525 |
|
Clarke American Corp., Term |
|
|
440 |
|
|
370,966 |
|
Clear Channel Communications, |
|
|
2,180 |
|
|
1,622,051 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
NOVEMBER 30, 2011 |
6 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
Value |
|
||
Media (concluded) |
|
|
|
|
|
|
|
Cumulus Media, Inc., Term Loan, |
|
USD |
1,400 |
|
$ |
1,362,088 |
|
Gray Television, Inc., Term Loan B, |
|
|
1,399 |
|
|
1,365,451 |
|
HMH Publishing Co., Ltd., Tranche |
|
|
1,447 |
|
|
994,537 |
|
Hubbard Broadcasting, Term Loan |
|
|
998 |
|
|
980,044 |
|
Intelsat Jackson Holdings S.A. (FKA |
|
|
6,468 |
|
|
6,381,288 |
|
Interactive Data Corp., New Term |
|
|
2,910 |
|
|
2,852,167 |
|
Knology, Inc., Term Loan B, 4.00%, |
|
|
617 |
|
|
601,391 |
|
Lavena Holding 3 GmbH |
|
|
|
|
|
|
|
Facility B1, 4.20%, 3/06/15 |
|
EUR |
304 |
|
|
312,647 |
|
Facility C1, 4.45%, 3/04/16 |
|
|
304 |
|
|
314,689 |
|
Mediacom Illinois, LLC (FKA |
|
USD |
444 |
|
|
436,557 |
|
Newsday, LLC, Fixed Rate Term |
|
|
2,500 |
|
|
2,571,875 |
|
Nielsen Finance LLC, Class B |
|
|
1,387 |
|
|
1,350,093 |
|
Sinclair Television Group, Inc., |
|
|
843 |
|
|
839,307 |
|
Sunshine Acquisition Ltd. (FKA HIT |
|
|
1,882 |
|
|
1,855,715 |
|
Univision Communications, Inc., |
|
|
1,768 |
|
|
1,582,496 |
|
UPC Broadband Holding B.V.: |
|
|
|
|
|
|
|
Term
Loan AB, 3.92%, |
|
|
995 |
|
|
971,369 |
|
Term U, 5.37%, 12/29/17 |
|
EUR |
809 |
|
|
1,018,796 |
|
WC Luxco Sarl, Term Loan B3, |
|
USD |
438 |
|
|
430,686 |
|
Weather Channel, Term Loan B, |
|
|
2,108 |
|
|
2,096,603 |
|
|
|
|
|
|
|
43,720,968 |
|
Metals & Mining 2.7% |
|
|
|
|
|
|
|
Novelis, Inc., Term Loan, 3.75%, |
|
|
2,843 |
|
|
2,791,895 |
|
SunCoke Energy, Inc., Term Loan |
|
|
948 |
|
|
931,042 |
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
Value |
|
||
Metals & Mining (concluded) |
|
|
|
|
|
|
|
Walter Energy, Inc., Term Loan B, |
|
USD |
3,424 |
|
$ |
3,358,034 |
|
|
|
|
|
|
|
7,080,971 |
|
Multi-Utilities 0.1% |
|
|
|
|
|
|
|
FirstLight Power Resources, Inc. |
|
|
379 |
|
|
364,272 |
|
Multiline Retail 0.7% |
|
|
|
|
|
|
|
Dollar General Corp., Tranche B-2 |
|
|
616 |
|
|
613,036 |
|
Hema Holding BV: |
|
|
|
|
|
|
|
Facility B, 3.36%, 7/06/15 |
|
EUR |
399 |
|
|
476,665 |
|
Facility C, 4.11%, 7/05/16 |
|
|
399 |
|
|
479,345 |
|
The Neiman Marcus Group, Inc., |
|
USD |
380 |
|
|
365,169 |
|
|
|
|
|
|
|
1,934,215 |
|
Oil, Gas & Consumable Fuels 2.1% |
|
|
|
|
|
|
|
EquiPower Resources Holdings, |
|
|
1,590 |
|
|
1,574,132 |
|
Gibson Energy, Term Loan B, |
|
|
1,796 |
|
|
1,788,767 |
|
Obsidian Natural Gas Trust, Term |
|
|
2,044 |
|
|
2,033,971 |
|
|
|
|
|
|
|
5,396,870 |
|
Paper & Forest Products 0.6% |
|
|
|
|
|
|
|
NewPage Corp., DIP Term Loan, |
|
|
450 |
|
|
451,687 |
|
Verso Paper Finance Holdings LLC, |
|
|
2,306 |
|
|
1,153,064 |
|
|
|
|
|
|
|
1,604,751 |
|
Pharmaceuticals 3.0% |
|
|
|
|
|
|
|
Aptalis Pharma, Inc., Term Loan B, |
|
|
2,184 |
|
|
2,077,054 |
|
Endo Pharmaceuticals Holdings, |
|
|
853 |
|
|
851,054 |
|
Pharmaceutical Products |
|
|
535 |
|
|
|
|
Pharmaceutical Products |
|
|
1,800 |
|
|
1,774,602 |
|
Quintiles Transnational Corp., Term |
|
|
1,357 |
|
|
1,315,902 |
|
RPI Finance Trust, Term Loan |
|
|
998 |
|
|
990,438 |
|
Warner Chilcott Corp.: |
|
|
|
|
|
|
|
Term
Loan B-1, 4.25%, |
|
|
637 |
|
|
626,452 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
NOVEMBER 30, 2011 |
7 |
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
Value |
|
||
Pharmaceuticals (concluded) |
|
|
|
|
|
|
|
Warner Chilcott Corp. (concluded): |
|
|
|
|
|
|
|
Term Loan B-2, 4.25%, |
|
USD |
318 |
|
$ |
313,226 |
|
|
|
|
|
|
|
7,948,728 |
|
Professional Services 1.5% |
|
|
|
|
|
|
|
Booz Allen Hamilton, Inc., Tranche |
|
|
621 |
|
|
618,826 |
|
Emdeon Business Services LLC, |
|
|
1,900 |
|
|
1,905,415 |
|
Fifth Third Processing Solutions |
|
|
1,489 |
|
|
1,480,089 |
|
|
|
|
|
|
|
4,004,330 |
|
Real Estate Investment Trusts (REITs) 0.7% |
|
|
|
|
|
|
|
Istar Financial, Inc., Term Loan |
|
|
2,001 |
|
|
1,974,224 |
|
Real Estate Management & Development 1.8% |
|
|
|
|
|
|
|
Mattamy Funding Partnership, |
|
|
404 |
|
|
371,306 |
|
Realogy Corp.: |
|
|
|
|
|
|
|
Delayed
Draw Term Loan, |
|
|
1,599 |
|
|
1,478,569 |
|
Extended
Synthetic Letter of |
|
|
56 |
|
|
51,438 |
|
Extended
Term Loan B, 4.69%, |
|
|
2,736 |
|
|
2,421,448 |
|
Term Loan, 3.44%, 10/10/13 |
|
|
523 |
|
|
483,351 |
|
|
|
|
|
|
|
4,806,112 |
|
Road & Rail 0.7% |
|
|
|
|
|
|
|
Avis Budget Car Rental LLC, |
|
|
1,060 |
|
|
1,061,993 |
|
The Hertz Corp., Term Loan B, |
|
|
796 |
|
|
786,297 |
|
|
|
|
|
|
|
1,848,290 |
|
Semiconductors & Semiconductor Equipment 0.9% |
|
|
|
|
|
|
|
Freescale Semiconductor, Inc., |
|
|
848 |
|
|
800,311 |
|
Microsemi Corp., Term Loan B, |
|
|
690 |
|
|
688,710 |
|
NXP B.V., Incremental Term Loan, |
|
|
915 |
|
|
877,833 |
|
|
|
|
|
|
|
2,366,854 |
|
Software 0.8% |
|
|
|
|
|
|
|
Blackboard, Inc., Term Loan B, |
|
|
555 |
|
|
526,789 |
|
Rovi Corp., Tranche B Term Loan, |
|
|
995 |
|
|
986,921 |
|
Vertafore, Inc., Term Loan B, |
|
|
680 |
|
|
664,227 |
|
|
|
|
|
|
|
2,177,937 |
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (b) |
|
Par |
|
Value |
|
||
Specialty Retail 4.6% |
|
|
|
|
|
|
|
Academy Ltd., Term Loan, 6.00%, |
|
USD |
1,700 |
|
$ |
1,668,839 |
|
Burlington Coat Factory Warehouse |
|
|
938 |
|
|
911,679 |
|
General Nutrition Centers, Inc., |
|
|
1,770 |
|
|
1,728,706 |
|
J. Crew Group, Inc., Term Loan B, |
|
|
821 |
|
|
754,179 |
|
Jo-Ann Stores, Inc., Term Loan B, |
|
|
661 |
|
|
624,729 |
|
Michaels Stores, Inc.: |
|
|
|
|
|
|
|
Term
Loan B-1, 2.63% - |
|
|
736 |
|
|
714,937 |
|
Term
Loan B-2, 4.88% - |
|
|
1,470 |
|
|
1,429,296 |
|
Petco Animal Supplies, Inc., Term |
|
|
2,351 |
|
|
2,280,712 |
|
Toys R Us Delaware, Inc.: |
|
|
|
|
|
|
|
Initial Loan, 6.00%, 9/01/16 |
|
|
1,739 |
|
|
1,714,219 |
|
Term Loan B, 5.25%, 5/25/18 |
|
|
398 |
|
|
389,873 |
|
|
|
|
|
|
|
12,217,169 |
|
Wireless Telecommunication Services 1.4% |
|
|
|
|
|
|
|
MetroPCS Wireless, Inc.: |
|
|
|
|
|
|
|
Term
Loan B, 4.00% - 4.06%, |
|
|
247 |
|
|
238,981 |
|
Tranche
B-2 Term Loan, |
|
|
979 |
|
|
955,419 |
|
Vodafone Americas Finance 2, Inc. (e): |
|
|
|
|
|
|
|
Initial Loan, 6.88%, 8/11/15 |
|
|
1,873 |
|
|
1,868,388 |
|
Term Loan B, 6.25%, 7/11/16 |
|
|
700 |
|
|
694,750 |
|
|
|
|
|
|
|
3,757,538 |
|
Total Floating Rate Loan Interests 106.8% |
|
|
|
|
|
281,058,601 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Other Interests (f) |
|
Beneficial |
|
|
|
||
Chemicals 0.0% |
|
|
|
|
|
|
|
Wellman Holdings, Inc., Litigation |
|
|
4,750 |
|
|
48 |
|
Diversified Financial Services 0.3% |
|
|
|
|
|
|
|
FRA JGW SPV, LLC (J.G. Wentworth |
|
|
|
(g) |
|
758,337 |
|
Total Other Interests 0.3% |
|
|
|
|
|
758,385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
NOVEMBER 30, 2011 |
8 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Warrants (i) |
|
Shares |
|
Value |
|
||
Software 0.0% |
|
|
|
|
|
|
|
HMH Holdings/EduMedia (Expires |
|
|
11,690 |
|
$ |
|
|
Total Warrants 0.0% |
|
|
|
|
|
|
|
Total
Long-Term Investments |
|
|
|
|
|
350,607,440 |
|
|
|||||||
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
|
BlackRock Liquidity Funds, |
|
|
96,314 |
|
|
96,314 |
|
Total
Short-Term Securities |
|
|
|
|
|
96,314 |
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts |
|
|
|
||
Over-the-Counter Call Options 0.0% |
|
|
|
|
|
|
|
Marsico Parent Superholdco LLC, |
|
|
20 |
|
|
|
|
Total
Options Purchased |
|
|
|
|
|
|
|
Total Investments (Cost $363,988,051*) - 133.2% |
|
|
|
|
|
350,703,754 |
|
Liabilities in Excess of Other Assets (33.2)% |
|
|
|
|
|
(87,447,606 |
) |
Net Assets 100.0% |
|
|
|
|
$ |
263,256,148 |
|
|
|
|
|
|
|
|
|
|
|
|
Aggregate cost |
|
$ |
362,604,510 |
|
|
Gross unrealized appreciation |
|
$ |
4,685,803 |
|
|
Gross unrealized depreciation |
|
|
(16,586,559 |
) |
|
Net unrealized depreciation |
|
$ |
(11,900,756 |
) |
|
|
(a) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
(b) |
Variable rate security. Rate shown is as of report date. |
|
|
(c) |
Non-income producing security. |
|
|
(d) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
(e) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
(f) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
|
|
(g) |
Amount is less than $500. |
|
|
(h) |
Wholly owned subsidiary. |
|
|
(i) |
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. |
|
|
(j) |
Investments in companies considered to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares |
|
Net |
|
Shares |
Income |
|
|
|
BlackRock |
|
|
|
|
|
|
|
|
|
|
Liquidity Funds, |
|
|
|
|
|
|
|
|
|
|
TempFund, |
|
|
|
|
|
|
|
|
|
|
Institutional |
|
|
|
|
|
|
|
|
|
|
Class |
|
5,396,667 |
|
(5,300,353) |
|
96,314 |
$ |
211 |
|
|
|
(k) |
Represents the current yield as of report date. |
|
|
|
Foreign currency exchange contracts as of November, 30 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency |
|
Currency Sold |
|
Counterparty |
|
Settlement |
|
Unrealized |
|
|||
USD |
200,923 |
|
CAD |
207,500 |
|
Deutsche
Bank |
|
01/18/12 |
|
$ |
(2,281 |
) |
USD |
2,466,698 |
|
GBP |
1,582,000 |
|
Citibank NA |
|
01/18/12 |
|
|
(14,259 |
) |
EUR |
1,253,000 |
|
USD |
1,704,918 |
|
Deutsche
Bank |
|
01/25/12 |
|
|
(20,384 |
) |
USD |
8,316,688 |
|
EUR |
6,048,500 |
|
Citibank NA |
|
01/25/12 |
|
|
185,079 |
|
Total |
|
|
|
|
|
|
|
|
|
$ |
148,155 |
|
|
|
|
|
|
|||
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
NOVEMBER 30, 2011 |
9 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
|
|
|
|
For 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 Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub- classifications for reporting ease. |
|
|
|
|
|
Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: |
|
|
|
|
|
|
Level 1 unadjusted price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
Level 2 other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds own assumptions used in determining the fair value of investments and derivative financial instruments) |
|
|
|
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Funds perceived risk of investing in those securities. For information about the Funds policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Funds most recent financial statements as contained in its annual report. |
||
|
||
The following tables summarize the inputs used as of November 30, 2011 in determining the fair valuation of the Funds investments and derivative financial instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term |
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset- Backed |
|
|
|
|
$ |
2,684,432 |
|
$ |
7,048,999 |
|
$ |
9,733,431 |
|
Common |
|
$ |
194,795 |
|
|
152,958 |
|
|
2,136,579 |
|
|
2,484,332 |
|
Corporate |
|
|
|
|
|
54,433,406 |
|
|
2,139,285 |
|
|
56,572,691 |
|
Floating Rate |
|
|
|
|
|
263,402,131 |
|
|
17,656,470 |
|
|
281,058,601 |
|
Other Interests |
|
|
|
|
|
|
|
|
758,385 |
|
|
758,385 |
|
Short- Term |
|
|
96,314 |
|
|
|
|
|
|
|
|
96,314 |
|
Total |
|
$ |
291,109 |
|
$ |
320,672,927 |
|
$ |
29,739,718 |
|
$ |
350,703,754 |
|
|
|
|
|
|
|
|
|
|
|
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Valuation Inputs |
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
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Derivative Financial Instruments1 |
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Assets: |
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Foreign currency |
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|
|
|
$ |
185,079 |
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$ |
185,079 |
|
Liabilities: |
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Foreign currency |
|
|
|
|
|
(36,924 |
) |
|
|
|
|
(36,924 |
) |
Total |
|
|
|
|
$ |
148,155 |
|
|
|
|
$ |
148,155 |
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1 |
Derivative financial instruments are foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instruments. |
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
NOVEMBER 30, 2011 |
10 |
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Schedule of Investments (concluded) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
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Asset- |
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Common |
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Corporate Bonds |
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Floating
Rate |
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Other |
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Total |
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||||||
Assets: |
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Balance, as of August 31, 2011 |
|
$ |
7,328,370 |
|
$ |
191,645 |
|
$ |
2,293,544 |
|
$ |
23,078,475 |
|
$ |
742,860 |
|
$ |
33,634,894 |
|
Accrued discounts/premiums |
|
|
29,742 |
|
|
|
|
|
19,365 |
|
|
27,981 |
|
|
|
|
|
77,088 |
|
Net realized gain (loss) |
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|
|
|
|
28 |
|
|
(4,362,357 |
) |
|
8,003 |
|
|
|
|
|
(4,354,326 |
) |
Net change in unrealized appreciation/ depreciation2 |
|
|
(309,113 |
) |
|
1,375,713 |
|
|
4,587,249 |
|
|
(836,095 |
) |
|
5,692 |
|
|
4,823,446 |
|
Purchases |
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|
|
|
571,106 |
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|
|
|
|
38,509 |
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|
9,833 |
|
|
619,448 |
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Sales |
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|
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|
|
(1,913 |
) |
|
(398,516 |
) |
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(1,044,077 |
) |
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|
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(1,444,506 |
) |
Transfers in3 |
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8,100,742 |
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8,100,742 |
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Transfers |
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out3 |
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(11,717,068 |
) |
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|
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(11,717,068 |
) |
Balance, as of November 30, 2011 |
|
$ |
7,048,999 |
|
$ |
2,136,579 |
|
$ |
2,139,285 |
|
$ |
17,656,470 |
|
$ |
758,385 |
|
$ |
29,739,718 |
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2 |
The change in unrealized appreciation/depreciation on investments still held on November 30, 2011 was $409,996. |
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3 |
The Funds policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
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A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivatives at the beginning and/or end of the period in relation to net assets. |
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BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
NOVEMBER 30, 2011 |
11 |
Item 2 – |
Controls and Procedures |
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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. |
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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. |
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Item 3 – |
Exhibits |
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Certifications – Attached hereto |
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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. |
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BlackRock Floating Rate Income Strategies Fund, Inc. |
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By: | /s/ John M. Perlowski |
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John M. Perlowski |
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Chief Executive Officer (principal executive officer) of |
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BlackRock Floating Rate Income Strategies Fund, Inc. |
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||
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Date: January 23, 2012 |
||
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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. |
||
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By: | /s/ John M. Perlowski |
|
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John M. Perlowski |
|
|
|
Chief Executive Officer (principal executive officer) of |
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BlackRock Floating Rate Income Strategies Fund, Inc. |
|
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||
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Date: January 23, 2012 |
||
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||
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By: | /s/ Neal J. Andrews |
|
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Neal J. Andrews |
|
|
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Chief Financial Officer (principal financial officer) of |
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BlackRock Floating Rate Income Strategies Fund, Inc. |
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Date: January 23, 2012 |