UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21413
Name of Fund: BlackRock Floating Rate Income Strategies Fund, Inc.
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, BlackRock Floating Rate Income Strategies Fund, Inc., 800
Scudders Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box
9011, Princeton, NJ, 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 08/31/07
Date of reporting period: 09/01/06 - 02/28/07
Item 1 - Report to Stockholders
ALTERNATIVES BLACKROCK SOLUTIONS EQUITIES FIXED INCOME LIQUIDITY
REAL ESTATE
BlackRock Floating Rate
Income Strategies Fund, Inc.
SEMI-ANNUAL REPORT
FEBRUARY 28, 2007 (UNAUDITED)
(BLACKROCK logo)
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
BlackRock Floating Rate Income Strategies Fund, Inc. seeks a high current
income and such preservation of capital as is consistent with investment in a
diversified, leveraged portfolio consisting primarily of floating rate debt
securities and instruments.
This report, including the financial information herein, is transmitted for
use only to the shareholders of BlackRock Floating Rate Income Strategies
Fund, Inc. for their information. It is not a prospectus, circular or
representation intended for use in the purchase of shares of the Fund or any
securities mentioned in this report. Past performance results shown in this
report should not be considered a representation of future performance. The
Fund leverages its Common Stock to provide Common Stock shareholders with a
potentially higher rate of return. Leverage creates risk for Common Stock
shareholders, including the likelihood of greater volatility of net asset
value and market price of Common Stock shares, and the risk that fluctuations
in short-term interest rates may reduce the Common Stock's yield. Statements
and other information herein are as dated and are subject to change.
A description of the policies and procedures that the Fund uses to determine
how to vote proxies relating to portfolio securities is available (1)
without charge, upon request, by calling toll-free 1-800-441-7762; (2) at
www.blackrock.com; and (3) on the Securities and Exchange Commission's Web
site at http://www.sec.gov. Information about how the Fund voted proxies
relating to securities held in the Fund's portfolio during the most recent
12-month period ended June 30 is available (1) at www.blackrock.com and (2) on
the Securities and Exchange Commission's Web site at http://www.sec.gov.
BlackRock Floating Rate Income Strategies Fund, Inc.
P.O. Box 9011
Princeton, NJ 08543-9011
(GO PAPERLESS... logo)
It's Fast, Convenient, & Timely!
BlackRock Floating Rate Income Strategies Fund, Inc.
Announcement of Annual Stockholders Meeting
The Fund has determined that its annual stockholders meeting originally
scheduled to be held in April 2007 will be postponed and will be held in
September 2007. Proposals of stockholders intended to be presented at the
meeting must be received by the Fund by May 15, 2007 for inclusion in the
Fund's proxy statement and form of proxy for that meeting. The persons named
as proxies in the proxy materials for the Fund's 2007 annual meeting of
stockholders may exercise discretionary authority with respect to any
stockholder proposal presented at such meeting if written notice of such
proposal has not been received by the Fund by July 1, 2007. Written proposals
and notices should be sent to the Secretary of the Fund, 800 Scudders Mill
Road, Plainsboro, New Jersey 08536.
Officers and Directors
Robert C. Doll, Jr., President and Director
Ronald W. Forbes, Director
Cynthia A. Montgomery, Director
Jean Margo Reid, Director
Roscoe S. Suddarth, Director
Richard R. West, Director
Donald C. Burke, Vice President and Treasurer
Jeffrey Hiller, Fund Chief Compliance Officer
Alice A. Pellegrino, Secretary
Custodian
State Street Bank and Trust Company
P.O. Box 351
Boston, MA 02101
Transfer Agent
Computershare Trust Company, N.A.
P.O. Box 43010
Providence, RI 02940-3010
NYSE Symbol
FRA
Effective January 1, 2007, Edward D. Zinbarg retired as a Director of
BlackRock Floating Rate Income Strategies Fund, Inc. The Fund's Board of
Directors wishes Mr. Zinbarg well in his retirement.
Effective April 13, 2007, Jeffrey Hiller resigned his position as Chief
Compliance Officer of the Fund. Also effective April 13, 2007, Karen Clark was
appointed Chief Compliance Officer of the Fund. Ms. Clark has been a Managing
Director of BlackRock, Inc. since 2007. She was a Director thereof from 2005
to 2007. Prior to that, Ms. Clark was a principal and senior compliance
officer at State Street Global Advisors from 2001 to 2005. Ms. Clark was a
principal consultant with PricewaterhouseCoopers, LLP from 1998 to 2001. From
1993 to 1998, Ms. Clark was Branch Chief, Division of Investment Management
and Office of Compliance Examinations, with the U.S. Securities and Exchange
Commission.
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
A Letter to Shareholders
Dear Shareholder
The new year began on a positive note for most financial markets, continuing
the momentum from the fourth quarter of 2006. At the end of February, however,
global equity markets registered their first significant decline since last
summer. The market jitters were triggered by a significant setback in the
Chinese market and were exacerbated by several concerns, notably a weakening
economy, some disappointing corporate earnings announcements, geopolitical
concerns related to Iran's nuclear program and increasing delinquencies in the
subprime mortgage market. Despite the recent spate of volatility, underlying
stock market fundamentals appear quite sound, supported by a generally good
global economic backdrop, tame inflation, relatively low interest rates and
attractive valuations.
Not unlike the equity market, the bond market also has seen volatility
recently as observers have attempted to interpret mixed economic signals. A
bond market rally late last year reversed early in 2007 as the economic data
strengthened. Prices improved (and yields fell) again in February as equities
struggled. Notably, the Treasury curve remained inverted for much of 2006 and
into 2007. The 30-year Treasury yield stood at 4.68% on February 28, 2007,
while the one-month Treasury offered the highest yield on the curve at 5.24%.
For its part, the Federal Reserve Board (the Fed) has left the target short-
term interest rate on hold at 5.25% since first pausing on August 8, 2006.
Although the central bankers continue to express concern about potential
inflationary pressures, they also have made reference to signs of economic
weakness in their public statements. Most observers expect the Fed to keep
interest rates on hold for now, but acknowledge that the combination of a mild
economic slowdown and moderating inflation could prompt an interest rate cut
later in 2007.
Notwithstanding the volatility along the way, most major market indexes
managed to post positive returns for the annual and semi-annual reporting
periods ended February 28, 2007:
Total Returns as of February 28, 2007 6-month 12-month
U.S. equities (Standard & Poor's 500 Index) + 8.93% +11.97%
Small cap U.S. equities (Russell 2000 Index) +10.76 + 9.87
International equities (MSCI Europe, Australasia, Far East Index) +12.17 +21.07
Fixed income (Lehman Brothers Aggregate Bond Index) + 3.66 + 5.54
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) + 2.89 + 4.96
High yield bonds (Credit Suisse High Yield Index) + 8.62 +12.36
If the recent market movements are any guide, 2007 could be a year of enhanced
market volatility. As you navigate the uncertainties of the financial markets,
we encourage you to review your investment goals with your financial
professional and to make portfolio changes, as needed. We thank you for
trusting BlackRock with your investment assets, and we look forward to
continuing to serve you in the months and years ahead.
Sincerely,
(Robert C. Doll, Jr.)
Robert C. Doll, Jr.
Fund President and Director
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
A Discussion With Your Fund's Portfolio Managers
The Fund outperformed its composite benchmark for the six-month period,
benefiting primarily from its use of leverage.
How did the Fund perform during the period in light of the existing market
conditions?
For the six-month period ended February 28, 2007, the Common Stock of
BlackRock Floating Rate Income Strategies Fund, Inc. had net annualized yields
of 8.38% and 8.68%, based on a period-end per share net asset value of $19.56
and a per share market price of $18.88, respectively, and $.812 per share
income dividends. Over the same period, the total investment return on the
Fund's Common Stock was +5.86%, based on a change in per share net asset value
from $19.32 to $19.56, and assuming reinvestment of all distributions. By
comparison, the Fund's unmanaged benchmark, which is comprised 80% of the
Credit Suisse Leveraged Loan Index and 20% of the Credit Suisse High Yield
Index, posted a total return of +5.06% for the same six-month period.
For a description of the Fund's total investment return based on a change in
the per share market value of the Fund's Common Stock (as measured by the
trading price of the Fund's shares on the New York Stock Exchange), and
assuming reinvestment of distributions, please refer to the Financial
Highlights section of this report. As a closed-end fund, the Fund's shares may
trade in the secondary market at a premium or discount to the Fund's net asset
value. As a result, total investment returns based on changes in the market
value of the Fund's Common Stock can vary significantly from total investment
returns based on changes in the Fund's net asset value.
The leveraged loan market, as measured by the Credit Suisse Leveraged Loan
Index, returned +4.19% for the semi-annual period, while the high yield bond
market, as measured by the Credit Suisse High Yield Index, returned +8.62%.
Despite some volatility late in the reporting period, the non-investment grade
markets continued to post strong results. Both the leveraged loan market and
the high yield market posted positive returns in each month of the past six
months. The markets have been aided by the continuation of historically low
default rates and strong inflows into the asset classes, both of which have
helped to support the prices of the underlying issues.
Support for the leveraged loan market also came from soaring investor demand,
which pushed spreads to new lows. The primary driver of this demand is
collateralized loan obligations (CLOs), which now account for approximately
two-thirds of the leveraged loan market. The cost of funding for these CLOs
has dropped dramatically over the past few years, enabling the structured
finance vehicles to absorb bank loans at increasingly tighter spreads and
still achieve their targeted equity returns. The fact that default rates are
at historic lows also has assisted this trend. To supply the CLO juggernaut,
the demand for bank loans has been so voracious that we've actually seen bond
deals migrate to the loan market, a reversal of historic flows that typically
saw deals move from loans into bonds. This trend has marginally curtailed the
supply of high yield bonds, keeping spreads there tighter than they otherwise
would be.
What factors most influenced Fund performance?
The portfolio is very well diversified among industries and issuers and has
generally favored the higher-rated tier of the high yield spectrum. The Fund's
outperformance of its benchmark for the period is primarily attributed to its
use of leverage.
What changes were made to the portfolio during the period?
During the period, BlackRock, Inc. and Merrill Lynch & Co., Inc. ("Merrill
Lynch") combined Merrill Lynch's investment management business, Merrill Lynch
Investment Managers, L.P. and its affiliates, including Fund Asset Management,
L.P., with BlackRock, Inc. to form a new independent company. While this
resulted in some additions to the portfolio management team, there was no
change in the overall investment philosophy or focus of the Fund. The Fund
finished the period by making more extensive use of its leverage lines. (For a
complete explanation of the benefits and risks of leveraging, refer to page 6
of this report to shareholders.)
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
How would you characterize the Fund's position at the close of the period?
While volatility picked up at the end of the period, resulting in an investor
flight to quality, fundamental and technical valuations remained favorable for
the leveraged loan and high yield markets. Even with the noise at the end of
the reporting period, the leveraged loan market posted a return of +.74% in
February, while the high yield market posted a return of better than +1%. This
marked the seventh month out of eight in which the Credit Suisse High Yield
Index posted monthly returns in excess of 1% and the eighth consecutive month
that the Credit Suisse Leveraged Loan Index posted returns of at least +.50%.
Market fundamentals remain very strong, with default rates near historical
lows and a new-issue calendar that is just beginning to satisfy the non-
investment grade investor.
By and large, borrowers continue to have access to strong liquidity, another
force keeping default rates low. Moreover, earnings are expected to grow
strongly over the near-term. In our view, with such conditions in place for
the bank loan market, investors appear encouraged and ready to support new
deals and further spread tightening in the sector.
Kevin Booth
Portfolio Manager
Mark Williams
Portfolio Manager
April 3, 2007
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Portfolio Information
As of February 28, 2007
Percent of
Ten Largest Holdings Net Assets
Charter Communications, Inc. Term Loan,
7.985% due 4/28/2013 5.6%
Metro-Goldwyn-Mayer Studios, Inc.
Term Loan B, 8.614% due 4/30/2011 2.8
Intelsat Bermuda Ltd., 8.872% due 1/15/2015 2.4
Idearc Inc. Term Loan, 7.32%
due 11/15/2014 2.3
Intelsat Corp. Term Loan, 7.86%
due 1/03/2014 1.9
HCA Inc. Term Loan A, 7.614%
due 11/17/2012 1.7
Dealer Comp Services First Lien Term Loan,
7.845% due 10/31/2012 1.5
Calpine Corp. Term Loan B, 10.35%
due 7/16/2007 1.5
Huntsman ICI Holdings Term Loan B, 7.07%
due 8/16/2012 1.5
Sensus Metering Systems, Inc. Term Loan B-1,
7.345% - 7.387% due 12/17/2010 1.4
Percent of
Five Largest Industries Net Assets
Cable--U.S. 17.1%
Utility 12.8
Diversified Media 12.1
Manufacturing 8.7
Information Technology 8.1
For Fund compliance purposes, the Fund's industry classifications
refer to any one or more of the industry sub-classifications used by
one or more widely recognized market indexes or ratings group
indexes, and/or as defined by Fund management. This definition
may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease.
Percent of
Total
Quality Ratings by S&P/Moody's Investments
BBB/Baa 0.1%
BB/Ba 31.7
B/B 54.9
CCC/Caa 1.7
D 0.4
NR (Not Rated) 8.9
Other* 2.3
* Includes portfolio holdings in common stocks, warrants and
short-term investments.
The Benefits and Risks of Leveraging
BlackRock Floating Rate Income Strategies Fund, Inc. utilizes leveraging
through borrowings or issuance of short-term debt securities or shares of
Preferred Stock. The concept of leveraging is based on the premise that the
cost of assets to be obtained from leverage will be based on short-term
interest rates, which normally will be lower than the income earned by the
Fund on its longer-term portfolio investments. To the extent that the total
assets of the Fund (including the assets obtained from leverage) are invested
in higher-yielding portfolio investments, the Fund's Common Stock shareholders
will be the beneficiaries of the incremental yield.
Leverage creates risks for holders of Common Stock including the likelihood of
greater net asset value and market price volatility. In addition, there is the
risk that fluctuations in interest rates on borrowings (or in the dividend
rates on any Preferred Stock, if the Fund were to issue the Preferred Stock)
may reduce the Common Stock's yield and negatively impact its market price. If
the income derived from securities purchased with assets received from
leverage exceeds the cost of leverage, the Fund's net income will be greater
than if leverage had not been used. Conversely, if the income from the
securities purchased is not sufficient to cover the cost of leverage, the
Fund's net income will be less than if leverage had not been used, and
therefore the amount available for distribution to Common Stock shareholders
will be reduced.
Availability of Quarterly Schedule of Investments
The Fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("SEC") for the first and third quarters of each fiscal
year on Form N-Q. The Fund's Forms N-Q are available on the SEC's Web site at
http://www.sec.gov. The Fund's Forms N-Q may also be reviewed and copied at the
SEC's Public Reference Room in Washington, DC. Information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330.
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Schedule of Investments as of February 28, 2007 (Unaudited) (in U.S. dollars)
Face
Amount Floating Rate Loan Interests** Value
Aerospace & Defense--4.8%
Avio Holding SpA:
USD 1,909,273 Term Loan, 4.25% - 9.35% due 9/25/2016 $ 1,971,324
1,640,000 Term Loan B, 7.695% due 9/25/2014 1,658,963
1,640,000 Term Loan C, 8.07% due 9/25/2015 1,667,163
2,376,000 IAP Worldwide Services, Inc. First Lien
Term Loan, 9.688% due 12/30/2012 2,380,455
1,635,105 K&F Industries, Inc. Term Loan C, 7.32%
due 11/18/2013 1,642,771
2,101,911 MRO Acquisitions Corp. First Lien Term Loan,
7.86% due 8/27/2010 2,121,616
2,361,111 Standard Aero Holdings Term Loan,
7.57% - 7.61% due 8/24/2012 2,371,441
Vought Aircraft Industries, Inc.:
2,884,659 Term Loan, 7.88% due 12/22/2011 2,902,688
560,000 Tranche B Line of Credit Deposit, 7.58%
due 12/22/2010 564,434
--------------
17,280,855
Airlines--0.6%
1,000,000 Delta Air Lines Debtor in Possession Term
Loan B, 10.098% due 3/16/2008 1,004,583
1,000,000 United Air Lines, Inc. Term Loan B, 7.375%
due 1/30/2014 1,004,063
--------------
2,008,646
Automotive--6.0%
2,543,571 Affinia Group Term Loan B, 8.36%
due 11/30/2011 2,561,058
500,000 Delphi Automotive Systems Term Loan,
7.625% due 12/31/2007 501,259
992,500 GPX International Tire Corp. Term Loan B,
7.82% - 7.92% due 4/06/2012 982,575
1,492,500 JL French Corp. First Lien Term Loan B,
8.375% due 6/05/2011 1,454,255
1,500,000 Keystone Automotive Operations Inc. Term
Loan, 8.82% due 1/15/2012 1,511,250
Navistar International Transportation Corp.:
1,333,333 Revolving Credit, 5.22% - 8.61%
due 6/30/2012 1,355,333
3,666,667 Term Loan, 8.61% due 6/30/2012 3,727,167
2,000,000 OshKosh Truck Corp. Term Loan B, 7.35%
due 11/30/2013 2,015,714
Tenneco Automotive, Inc.:
2,896,483 Term Loan B, 7.31% due 12/12/2010 2,906,621
1,272,374 Tranche B-1 Credit Linked Deposit,
7.322% due 12/12/2010 1,276,827
3,000,000 Visteon Corp. Term Loan, 8.38%
due 6/13/2013 3,028,500
--------------
21,320,559
Broadcasting--2.1%
1,000,000 EMMIS Communications Term Loan B, 7.32%
due 10/31/2013 1,007,083
400,000 Multicultural Radio Broadcasting Inc. Term
Loan, 8.098% due 12/15/2012 401,000
NextMedia Group, Inc.:
370,603 Delay Draw Term Loan, 7.32%
due 11/15/2012 369,676
1,750,000 Second Lien Term Loan, 9.82%
due 11/15/2013 1,758,750
833,857 Term Loan, 7.32% due 11/15/2012 831,772
3,250,000 Paxson Communications Corp. First Lien Term
Loan, 8.61% due 1/15/2012 3,323,125
--------------
7,691,406
Face
Amount Floating Rate Loan Interests** Value
Cable--U.S.--12.9%
Cequel Communications:
USD 2,155,172 First Lien Term Loan A, 7.61%
due 11/05/2013 $ 2,175,713
2,000,000 Second Lien Term Loan A, 9.86%
due 5/04/2014 2,048,750
20,000,000 Charter Communications, Inc. Term Loan,
7.985% due 4/28/2013 20,128,760
1,984,887 DIRECTV Holdings, Inc. Tranche B Term Loan,
6.82% due 4/13/2013 1,991,316
5,000,000 Insight Midwest Holdings LLC Delay Draw Term
Loan, 7.61% due 4/03/2014 5,046,250
6,877,763 Intelsat Corp. Term Loan B, 7.86% due 1/03/2014 6,941,767
2,955,094 Intelsat Ltd. Term Loan B, 7.61% due 6/27/2013 2,981,690
1,887,500 MCC Iowa LLC Tranche A Term Loan, 7.37%
due 3/31/2010 1,870,984
3,160,000 Mediacom LLC Term Loan C, 7.11% - 7.12%
due 1/31/2015 3,165,078
--------------
46,350,308
Chemicals--6.0%
1,875,000 Hercules, Inc. Term Loan B, 6.82%
due 10/08/2010 1,876,875
5,196,295 Huntsman ICI Holdings Term Loan B, 7.07%
due 8/16/2012 5,224,875
Invista:
965,151 Term Loan, 6.875% due 4/29/2011 968,770
2,103,553 Term Loan B-1, 6.875% due 4/29/2011 2,111,442
4,611,616 Nalco Co. Tranche B Term Loan, 7.07% - 7.14%
due 11/04/2010 4,641,264
490,000 NuSil Technology Term Loan, 8.10%
due 10/31/2013 492,450
1,960,000 Rockwood Specialties Group, Inc. Tranche E
Term Loan, 7.36% due 12/10/2012 1,975,435
4,750,000 Wellman, Inc. Second Lien Term Loan, 12.11%
due 2/10/2010 4,094,500
--------------
21,385,611
Consumer--Durables--0.9%
3,268,092 Simmons Co. Tranche D Term Loan,
6.875% - 7.563% due 12/19/2011 3,287,155
Consumer--Non-Durables--0.7%
1,217,033 American Achievement Corp. Term Loan B,
9.50% due 3/22/2011 1,223,625
756,000 Camelbak Products LLC First Lien Term Loan,
9.41% due 8/04/2011 745,920
440,431 Renfro Corp. Term Loan B, 8.60% - 8.62%
due 9/30/2013 443,734
--------------
2,413,279
Diversified Media--10.8%
984,615 ACS Media Canada Term Loan B, 7.86% - 7.87%
due 11/30/2014 990,154
1,994,975 Advantage Sales & Marketing Term Loan B,
7.36% - 7.37% due 4/15/2013 1,996,671
2,000,000 Affinion Group Term Loan, 11.66%
due 3/01/2012 1,978,334
1,650,000 Alix Partners Term Loan, 7.86%
due 10/30/2013 1,661,344
985,000 HIT Entertainment Ltd. First Lien Term Loan,
7.60% due 8/31/2012 989,925
8,000,000 Idearc Inc. Term Loan, 7.32% due 11/15/2014 8,065,000
1,250,000 MediMedia International Term Loan,
7.772% - 7.86% due 11/15/2013 1,254,688
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Schedule of Investments (continued) (in U.S. dollars)
Face
Amount Floating Rate Loan Interests** Value
Diversified Media (concluded)
USD 9,925,000 Metro-Goldwyn-Mayer Studios, Inc. Term
Loan B, 8.614% due 4/30/2011 $ 10,006,415
Nielsen Finance LLC Term Loan B:
3,990,000 7.61% due 8/09/2013 4,025,950
1,995,000 7.61% due 8/15/2013 2,012,975
PagesJaunes Group:
EUR 500,000 Term Loan, 9.57% due 1/11/2017 682,971
1,000,000 Term Loan B, 9.57% due 1/11/2015 1,341,662
500,000 Term Loan C, 8.07% due 1/11/2016 674,139
USD 1,000,000 Penton Media Term Loan, 10.345%
due 2/15/2014 1,018,125
2,000,000 RHI Entertainment LLC Term Loan B, 8.61%
due 12/31/2011 2,010,000
--------------
38,708,353
Energy--Exploration & Production--0.9%
1,000,000 Energy Transfer Equity LP Term Loan B, 7.10%
due 11/01/2012 1,008,750
992,455 Helix Energy Solutions Term Loan,
7.32% - 7.36% due 7/01/2013 997,417
Longyear Global Holdings, Inc.:
110,483 Delay Draw Term Loan, 8.614%
due 10/31/2012 111,277
102,591 First Lien Term Loan, 8.614%
due 10/31/2012 103,328
992,500 MEG Energy Corp. Term Loan, 7.375%
due 4/03/2013 998,858
--------------
3,219,630
Energy--Other--3.5%
Alon USA, Inc.:
884,444 Paramount Facility, 7.57% due 6/22/2013 889,419
110,556 Term Loan, 7.57% - 7.62%
due 6/22/2013 111,177
Coffeyville Resources LLC:
486,486 Letter of Credit, 8.36% due 12/21/2013 492,770
2,513,514 Term Loan B, 8.36% due 12/21/2013 2,545,981
Coleto Creek:
1,867,918 Letter of Credit, 8.114% due 7/31/2013 1,874,144
127,389 Term Loan B, 8.117% due 7/31/2013 127,813
1,014,807 EPCO, Inc. Term Loan C, 7.36% due 8/18/2010 1,026,042
3,920,000 Exco Resources, Inc. Term Loan, 10.938% -
11.375% due 10/31/2011 3,954,300
1,485,000 Key Energy Services, Inc. Term Loan B,
7.86% - 7.864% due 6/30/2012 1,494,281
--------------
12,515,927
Financial--0.4%
250,000 Kyle Acquisition Term Loan B, 8.875%
due 7/20/2009 253,281
1,243,134 USI Holdings Corp. Term Loan B, 7.61%
due 7/30/2008 1,243,134
--------------
1,496,415
Food & Tobacco--4.4%
Aramark Corp.:
263,366 Letter of Credit, 7.445% due 1/30/2014 265,967
3,736,634 Term Loan, 7.445% due 1/30/2014 3,773,533
1,000,000 Bolthouse Farms, Inc. Second Lien Term Loan,
10.864% due 12/01/2013 1,010,833
1,994,937 Chiquita Brands International Term Loan C,
8.375% due 6/28/2012 2,023,199
1,382,287 Commonwealth Brands Term Loan, 7.625%
due 12/22/2012 1,387,470
Face
Amount Floating Rate Loan Interests** Value
Food & Tobacco (concluded)
Dole Food Co., Inc.:
USD 573,378 Term Loan B, 7.438% - 9.25%
due 4/12/2013 $ 573,665
522,888 Term Loan C, 7.43% due 3/31/2013 523,150
1,388,372 Term Loan C, 7.438% - 9.25%
due 4/12/2013 1,389,066
256,292 Tranche B, 5.23% due 4/12/2013 256,420
498,747 Eight O'Clock Coffee Second Lien Term Loan,
8.125% due 7/21/2012 498,747
Iglo Birds Eye:
EUR 500,000 Term Loan B, 5.791% - 6.085%
due 10/27/2019 670,546
500,000 Term Loan C, 6.166% - 6.239%
due 10/27/2015 673,403
Pierre Foods, Inc. Term Loan B:
USD 489,495 7.61% due 6/30/2010 491,942
713,333 9.50% due 6/30/2010 716,900
497,500 Quiznos LLC First Lien Term Loan, 7.625%
due 5/05/2013 499,504
Sturm Foods Inc.:
500,000 Second Lien Term Loan, 7.875%
due 1/30/2014 504,063
500,000 Term Loan, 7.875% due 1/30/2014 501,875
--------------
15,760,283
Gaming--4.1%
1,200,000 Edge-Star Partners LLC First Lien Term Loan,
9.36% due 11/18/2007 1,200,000
500,000 Green Valley Ranch Gaming LLC Term Loan,
8.61% due 1/29/2012 508,000
500,000 Greenwood Racing, Inc. Term Loan, 7.57%
due 11/15/2013 503,750
985,000 Isle of Capri Casinos, Inc. Tranche 3 Delay
Draw Term Loan, 7.114% due 2/04/2011 991,156
1,219,451 Penn National Gaming, Inc. Term Loan B, 7.11%
due 9/01/2007 1,227,834
2,000,000 Pinnacle Entertainment Term Loan, 7.32%
due 12/15/2011 2,018,334
2,462,500 Trump Entertainment Resorts Holdings LP Term
Loan B-1, 8.03% due 5/01/2012 2,480,969
Venetian Casino Resort LLC:
1,000,000 Delay Draw Term Loan B, 7.12%
due 6/15/2011 1,007,212
3,100,000 Term Loan, 7.12% due 6/15/2011 3,122,357
1,500,000 Venetian Macau U.S. Finance Co. LLC Term
Loan B, 8.12% due 5/25/2013 1,515,188
--------------
14,574,800
Health Care--4.7%
2,737,000 Community Health Systems, Inc. Term Loan,
7.12% due 8/19/2011 2,750,258
3,000,000 DaVita, Inc. Term Loan, 7.36% due 7/30/2012 3,015,750
418,141 Duloxetine Royalty First Lien Term Loan, 9.86%
due 10/18/2013 418,141
918,919 Gentiva Health Services, Inc. Term Loan,
7.57% - 7.76% due 3/31/2013 920,642
6,000,000 HCA Inc. Term Loan A, 7.614% due 11/17/2012 6,068,502
2,000,000 Health Management Associates, Inc. Term Loan B,
7.07% due 1/15/2014 2,014,376
839,264 LifePoint Hospitals, Inc. Term Loan B, 6.945%
due 4/15/2012 838,319
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Schedule of Investments (continued) (in U.S. dollars)
Face
Amount Floating Rate Loan Interests** Value
Health Care (concluded)
USD 748,125 Sterigenics International, Inc. Term
Loan B, 7.86% due 11/30/2013 $ 749,528
--------------
16,775,516
Housing--2.6%
1,845,703 Headwaters, Inc. First Lien Term Loan,
7.32% due 4/30/2011 1,849,164
992,500 Mattamy Group Term Loan, 7.625%
due 4/11/2013 996,842
2,437,500 Nortek, Inc. Term Loan B, 7.35% due 8/27/2011 2,449,688
3,108,785 PGT Industries, Inc. First Lien Term Loan,
8.36% due 2/14/2012 3,128,215
997,500 Ply Gem Industries, Inc. First Lien Term
Loan, 8.37% due 10/31/2011 1,008,722
--------------
9,432,631
Information Technology--6.6%
2,047,974 Activant Solutions Term Loan, 7.375%
due 5/02/2013 2,049,254
1,000,000 ClientLogic Holding Corp. Term Loan B,
7.82% -7.86% due 1/30/2014 1,005,417
Dealer Comp Services:
5,486,250 First Lien Term Loan, 7.845%
due 10/31/2012 5,537,195
2,500,000 Second Lien Term Loan, 10.845%
due 10/31/2013 2,571,095
Intergraph Corp. Term Loan:
500,000 7.87% due 5/15/2014 503,438
500,000 11.36% due 11/15/2014 503,438
500,000 IPC Acquisition First Lien Term Loan,
7.32% due 2/28/2014 505,209
1,993,750 Marvell Technology Group Term Loan B, 7.35%
due 11/15/2009 2,003,719
681,005 Nuance Communications, Inc. Term Loan B,
7.07% due 12/29/2013 681,856
RedPrairie Corp. Term Loan:
649,373 8.375% - 10.25% due 7/31/2012 649,373
300,000 8.375% due 1/31/2013 303,000
2,000,000 Sanmina-SCI Corp. Term Loan, 7.875%
due 1/30/2008 2,008,000
SunGard Data Systems, Inc., Term Loan:
1,970,000 7.82% due 2/11/2013 1,988,622
500,000 7.36% due 2/28/2014 504,727
1,965,000 Telcordia Technologies, Inc. Term Loan,
8.09% - 8.11% due 9/15/2012 1,941,053
1,000,000 Verifone, Inc. Term Loan B, 7.10% - 7.11%
due 2/28/2013 1,002,500
--------------
23,757,896
Leisure--2.0%
3,970,000 24 Hour Fitness Term Loan B, 7.86% - 7.87%
due 6/08/2012 3,993,157
1,000,000 National Cinemedia LLC Term Loan B, 7.09%
due 2/28/2015 1,007,500
Travelport, Inc.:
178,444 Standby Letter of Credit, 8.364%
due 8/31/2013 180,161
1,817,002 Term Loan B, 8.364% due 8/31/2013 1,834,491
--------------
7,015,309
Face
Amount Floating Rate Loan Interests** Value
Manufacturing--7.4%
USD 1,033,801 Boart Longyear Co. Second Lien Term Loan,
8.614% due 10/18/2013 $ 1,041,232
500,000 Brand Energy Term Loan B, 11.375%
due 2/15/2014 505,625
1,041,667 Communications & Power Industries, Inc.
Term Loan, 7.57% due 7/23/2010 1,043,620
1,000,000 Harrington Holdings, Inc. Term Loan, 7.82%
due 1/15/2014 1,007,500
Invensys Plc:
2,470,588 Bonding Tranche, 7.446% due 12/15/2010 2,486,029
2,779,412 Term Loan, 7.36% due 1/15/2011 2,796,783
992,218 John Maneely Co. Term Loan,
8.595% - 8.622% due 12/15/2013 1,003,174
2,423,992 Metokote Corp. First Lien Term Loan,
8.32% - 8.37% due 11/27/2011 2,417,932
3,384,567 Mueller Group LLC Term Loan B,
7.36% - 7.375% due 10/03/2012 3,414,182
1,492,500 NACCO Materials Handling Group Term Loan B,
7.28% - 7.41% due 3/21/2013 1,499,963
EUR 1,000,000 Prysmian Cables & Systems SpA Payment in
Kind, 10.648% due 1/28/2015 (i) 1,325,993
Sensus Metering Systems, Inc.:
USD 5,143,478 Term Loan B-1, 7.345% - 7.387%
due 12/17/2010 5,162,766
683,207 Term Loan B-2, 7.344% - 7.739%
due 12/19/2010 685,769
Trimas Corp.:
370,938 Letter of Credit, 8.125% due 8/02/2013 375,806
1,625,000 Term Loan B, 8.125% due 8/02/2013 1,646,328
--------------
26,412,702
Packaging--2.2%
2,430,542 Anchor Glass Container Corp. Term Loan B,
7.61% - 7.614% due 5/03/2013 2,424,465
3,411,392 Graham Packaging Co. LP Term Loan B,
7.625% - 7.688% due 10/07/2011 3,447,028
1,955,000 Intertape Polymer US, Inc. Term Loan B,
7.64% - 10% due 7/28/2011 1,957,444
--------------
7,828,937
Paper--1.7%
1,154,786 Boise Cascade Holdings LLC Term Loan,
7.094% - 7.125% due 10/28/2011 1,162,725
990,000 Georgia Pacific Corp. First Lien Term Loan,
7.345% - 7.364% due 2/14/2013 998,663
1,972,738 SP Newsprint Co. Tranche B-1 Credit Linked
Deposit, 5.32% due 1/09/2010 1,972,738
Smurfit-Stone Container Corp.:
1,134,672 Term Loan B, 7.375% due 11/01/2011 1,144,988
691,765 Term Loan C, 7.375% due 11/01/2011 698,054
--------------
5,977,168
Retail--1.3%
985,598 American Reprographics Co. Term Loan,
7.07% - 7.12% due 6/18/2009 984,366
750,000 David's Bridal, Inc. Term Loan B, 9.25%
due 1/30/2014 752,031
970,005 General Nutrition Centers, Inc. Tranche B Term
Loan, 8.07% due 12/05/2009 973,643
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Schedule of Investments (continued) (in U.S. dollars)
Face
Amount Floating Rate Loan Interests** Value
Retail (concluded)
USD 1,291,139 The Neiman Marcus Group, Inc. Term Loan,
7.595% - 7.603% due 4/06/2013 $ 1,305,262
500,000 Petco Animal Supplies, Inc. Term Loan,
8.095% - 8.11% due 10/31/2012 505,521
--------------
4,520,823
Service--5.5%
905,190 Baker Tanks, Inc. Term Loan B, 7.57%
due 11/23/2012 911,413
2,000,000 Billing Services Group LLC First Lien Term
Loan, 7.875% due 5/05/2012 1,980,000
750,000 Brickman Group, Inc. Term Loan, 7.36%
due 1/23/2014 753,281
2,827,500 Buhrmann USA, Inc. Term Loan C,
7.108% - 7.111% due 12/23/2010 2,832,802
1,991,930 Coinmach Laundry Corp. Term Loan B, 7.875%
due 12/16/2012 2,008,114
2,243,429 Coinstar, Inc. Term Loan, 7.36% due 7/07/2011 2,251,842
EnergySolutions:
18,868 Letter of Credit, 7.57% due 6/07/2013 19,033
179,054 Term Loan, 7.63% due 6/07/2013 180,621
395,412 Term Loan B, 7.63% due 6/07/2013 398,871
500,000 Kenan Transport Co. Term Loan C, 8.364%
due 12/16/2011 503,125
1,760,499 NEW Customer Service Cos, Inc. First Lien
Term Loan, 8.07% - 8.11% due 8/31/2013 1,773,703
990,074 RGIS Inventory Specialists First Lien Term
Loan, 7.864% due 12/31/2012 989,455
1,500,000 RiskMetrics Group Holdings LLC Term Loan B,
7.595% due 1/15/2014 1,515,000
United Rentals, Inc.:
363,247 Term Loan, 7.32% due 2/14/2011 367,107
164,912 Tranche B Credit Linked Deposit, 5.223%
due 2/14/2011 166,665
2,235,000 Vanguard Car Rental Term Loan,
8.32% - 8.36% due 5/15/2013 2,255,953
750,000 Waste Services, Inc. Term Loan D, 8.08%
due 3/31/2011 758,438
--------------
19,665,423
Steel--0.2%
750,000 McJunkin Corp. Term Loan, 7.595%
due 1/30/2014 757,500
Telecommunications--1.4%
2,000,000 Alaska Communications Systems Holdings, Inc.
Incremental Term Loan, 7.114%
due 2/01/2012 2,013,750
2,172,500 Consolidated Communications, Inc. Term
Loan D, 7.36% - 7.364% due 10/14/2011 2,179,289
500,000 Kentucky Data Link Inc. Term Loan B, 7.57%
due 2/28/2015 503,750
500,000 Time Warner Telecom Term Loan, 7.32%
due 10/31/2013 498,907
--------------
5,195,696
Face
Amount Floating Rate Loan Interests** Value
Utility--9.4%
USD 1,571,429 AES Corp. Term Loan, 7.19% - 7.50%
due 4/30/2008 $ 1,573,393
Calpine Corp.:
2,500,000 Second Priority Debtor in Possession
Term Loan, 9.364% due 12/20/2007 2,520,833
4,902,199 Term Loan B, 10.35% due 7/16/2007 (h) 5,472,080
Calpine Generating Co. LLC:
2,500,000 Second Lien Term Loan, 11.07%
due 3/11/2010 2,608,125
1,500,000 Term Loan, 9.07% due 4/01/2009 1,520,416
1,316,545 Cogentrix Delaware Holdings, Inc. Term
Loan, 6.87% due 4/15/2012 1,319,014
Generac Portable Products, Inc.:
750,000 Second Lien Term Loan, 11.36%
due 5/15/2014 748,125
990,000 Term Loan, 7.86% due 11/15/2013 991,856
KGen Partners:
375,000 Letter of Credit, 6.07% due 2/15/2014 376,641
625,000 Term Loan B, 6.07% due 2/15/2014 627,734
LSP Gen Finance Co LLC:
128,860 Delay Draw Term Loan, 7.114%
due 5/04/2013 129,182
2,995,170 First Lien Term Loan, 7.114% due 5/04/2013 3,002,658
500,000 Term Loan, 8.864% due 5/04/2014 507,500
2,379,462 LSP Kendall Energy Term Loan, 7.364%
due 10/07/2013 2,368,557
431,601 Midwest Generation LLC Term Loan C,
6.83% - 7.31% due 4/27/2011 432,465
NE Energy:
500,000 Second Lien Term Loan, 11.75%
due 10/31/2014 506,875
2,000,000 Term Loan, 7.87% due 10/31/2013 2,024,000
1,665,007 Riverside Energy Center Term Loan, 9.61%
due 6/24/2011 1,698,307
Rocky Mountain Energy Center LLC:
133,966 Credit Linked Deposit, 5.39% due 6/24/2011 136,645
1,060,111 Term Loan, 9.61% due 6/24/2011 1,081,313
Wolf Hollow I LP:
1,422,479 First Lien Term Loan, 7.614% due 6/22/2012 1,394,029
1,200,000 Letter of Credit, 7.57% due 6/22/2012 1,176,000
299,667 Revolving Credit, 7.57% due 6/22/2012 293,674
1,000,000 Second Lien Term Loan, 9.864%
due 12/22/2012 1,000,000
--------------
33,509,422
Wireless Communications--0.8%
931,470 Centennial Cellular Operating Co. Term Loan,
7.614% - 7.62% due 2/09/2011 939,620
2,000,000 West Corp. Term Loan, 7.763% - 8.11%
due 10/31/2013 2,016,388
--------------
2,956,008
Total Floating Rate Loan Interests
(Cost--$369,261,201)--103.9% 371,818,258
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Schedule of Investments (continued) (in U.S. dollars)
Face
Amount Corporate Bonds Value
Automotive--0.6%
USD 250,000 AutoNation, Inc., 7.36% due 4/15/2013 (a) $ 253,750
750,000 Ford Motor Credit Co., 9.81% due
4/15/2012 (a) 811,105
1,000,000 The Goodyear Tire & Rubber Co., 9.14%
due 12/01/2009 (a)(b) 1,010,000
--------------
2,074,855
Cable--International--0.1%
375,000 NTL Cable Plc, 8.75% due 4/15/2014 390,937
Cable--U.S.--4.2%
2,000,000 CSC Holdings, Inc. Series B, 7.625%
due 4/01/2011 2,055,000
Cablevision Systems Corp. Series B:
2,000,000 9.62% due 4/01/2009 (a) 2,130,000
575,000 8% due 4/15/2012 583,625
8,500,000 Intelsat Bermuda Ltd., 8.872%
due 1/15/2015 (a)(b) 8,701,875
500,000 Intelsat Subsidiary Holdings Co. Ltd. 8.25%
due 1/15/2013 521,250
315,000 PanAmSat Corp., 9% due 6/15/2016 (b) 345,712
800,000 Quebecor Media, Inc., 7.75% due 3/15/2016 820,000
--------------
15,157,462
Chemicals--0.9%
2,011,000 GEO Specialty Chemicals, Inc., 13.86%
due 12/31/2009 (a) 1,659,075
Momentive Performance Materials, Inc. (b):
300,000 9.75% due 12/01/2014 314,250
250,000 11.50% due 12/01/2016 260,000
1,040,000 NOVA Chemicals Corp., 8.502%
due 11/15/2013 (a) 1,040,000
--------------
3,273,325
Diversified Media--1.3%
4,000,000 Nielsen Finance LLC, 10% due 8/01/2014 (b) 4,370,000
175,000 Quebecor World Capital Corp., 8.75%
due 3/15/2016 (b) 178,937
--------------
4,548,937
Energy--Exploration & Production--0.2%
650,000 Stone Energy Corp., 8.11% due 7/15/2010 (a)(b) 650,812
Energy--Other--0.8%
3,000,000 Ocean RIG ASA, 9.36% due 4/04/2011 (a) 3,000,000
Financial--1.6%
5,000,000 American Real Estate Partners LP, 7.125%
due 2/15/2013 (b) 4,925,000
770,000 NCO Group, Inc., 10.23%
due 11/15/2013 (a)(b) 773,850
--------------
5,698,850
Food & Tobacco--0.3%
250,000 AmeriQual Group LLC, 9.50%
due 4/01/2012 (a)(b) 260,625
1,050,000 The Wornick Co., 10.875% due 7/15/2011 973,875
--------------
1,234,500
Gaming--0.6%
375,000 Galaxy Entertainment Finance Co. Ltd.,
10.354% due 12/15/2010 (a)(b) 397,500
1,565,000 Little Traverse Bay Bands of Odawa Indians,
10.25% due 2/15/2014 (b) 1,611,950
--------------
2,009,450
Face
Amount Corporate Bonds Value
Health Care--0.5%
USD 1,000,000 Angiotech Pharmaceuticals, Inc., 9.11%
due 12/01/2013 (a)(b) $ 1,032,500
575,000 US Oncology, Inc., 9% due 8/15/2012 608,062
--------------
1,640,562
Housing--1.3%
2,000,000 Goodman Global Holding Co., Inc., 8.36%
due 6/15/2012 (a) 2,025,000
2,500,000 Masonite International Corp., 11%
due 4/06/2015 (b) 2,493,750
--------------
4,518,750
Information Technology--1.5%
1,250,000 Freescale Semiconductor, Inc., 9.244%
due 12/15/2014 (a)(b) 1,262,500
SunGard Data Systems, Inc.:
1,825,000 9.973% due 8/15/2013 (a) 1,907,125
1,900,000 10.25% due 8/15/2015 2,066,250
--------------
5,235,875
Manufacturing--1.0%
2,000,000 International Rectifier Corp., 4.25%
due 7/15/2007 (c) 1,980,000
1,346,000 Invensys Plc, 9.875% due 3/15/2011 (b) 1,446,950
--------------
3,426,950
Metal--Other--0.2%
125,000 FMG Finance Pty Ltd., 9.369%
due 9/01/2011 (a)(b) 131,250
700,000 Novelis, Inc., 7.25% due 2/15/2015 728,000
--------------
859,250
Packaging--1.1%
1,450,000 Berry Plastics Holding Corp., 9.235%
due 9/15/2014 (a)(b) 1,497,125
2,350,000 Packaging Dynamics Finance Corp.,10%
due 5/01/2016 (b) 2,467,500
--------------
3,964,625
Paper--2.3%
2,650,000 Abitibi-Consolidated, Inc., 8.86%
due 6/15/2011 (a) 2,663,250
700,000 Ainsworth Lumber Co. Ltd., 9.11%
due 10/01/2010 (a) 591,500
725,000 Domtar, Inc., 7.125% due 8/15/2015 727,719
925,000 NewPage Corp.,11.61% due 5/01/2012 (a) 1,008,250
3,000,000 Verso Paper Holdings LLC, 9.11%
due 8/01/2014 (a)(b) 3,090,000
--------------
8,080,719
Retail--0.5%
1,750,000 Neiman Marcus Group, Inc., 9%
due 10/15/2015 (i) 1,925,000
Service--1.8%
250,000 Ahern Rentals, Inc., 9.25% due 8/15/2013 (b) 261,875
3,375,000 Allied Waste North America, Inc. Series B,
7.375% due 4/15/2014 3,391,875
600,000 Dycom Industries, Inc., 8.125% due 10/15/2015 618,000
2,000,000 Sunstate Equipment Co. LLC, 10.50%
due 4/01/2013 (b) 2,140,000
--------------
6,411,750
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Schedule of Investments (continued) (in U.S. dollars)
Face
Amount Corporate Bonds Value
Steel--0.9%
USD 3,000,000 CSN Islands VIII Corp., 9.75%
due 12/16/2013 (b) $ 3,420,000
Telecommunications--2.3%
Cincinnati Bell, Inc.:
2,800,000 7.25% due 7/15/2013 2,905,000
200,000 8.375% due 1/15/2014 205,250
3,700,000 Qwest Communications International, Inc.,
8.86% due 2/15/2009 (a) 3,737,000
1,450,000 Qwest Corp., 8.61% due 6/15/2013 (a) 1,582,312
--------------
8,429,562
Utility--3.4%
2,000,000 Calpine Corp., 9.875%
due 12/01/2011 (b)(h) 2,140,000
2,375,000 Edison Mission Energy, 7.50%
due 6/15/2013 2,481,875
500,000 El Paso Performance-Linked Trust, 7.75%
due 7/15/2011 (b) 531,250
3,000,000 NRG Energy, Inc., 7.25% due 2/01/2014 3,060,000
4,000,000 Reliant Energy, Inc., 6.75% due 12/15/2014 4,150,000
--------------
12,363,125
Wireless Communications--1.0%
200,000 Digicel Group Ltd., 9.125%
due 1/15/2015 (b)(i) 194,750
3,250,000 Rogers Wireless Communications, Inc.,
8.485% due 12/15/2010 (a) 3,315,000
--------------
3,509,750
Total Corporate Bonds
(Cost--$98,861,957)--28.4% 101,825,046
Shares
Held Common Stocks Value
Chemicals--0.0%
13,117 GEO Specialty Chemicals, Inc. (e) $ 13,117
Energy--Other--1.2%
119,185 Trico Marine Services, Inc. (e) 4,343,101
Manufacturing--0.3%
71,654 Medis Technologies Ltd. (e) 1,231,016
Paper--0.1%
84,448 Western Forest Products, Inc. (e) 152,347
Total Common Stocks
(Cost--$4,322,548)--1.6% 5,739,581
Warrants (d)
Utility--0.0%
4,558 Reliant Resources (expires 10/25/2008) 45,580
Total Warrants
(Cost--$0)--0.0% 45,580
Beneficial
Interest Short-Term Securities
USD 5,194,632 BlackRock Liquidity Series, LLC Cash Sweep
Series, 5.33% (f)(g) 5,194,632
Total Short-Term Securities
(Cost--$5,194,632)--1.5% 5,194,632
Total Investments (Cost--$477,640,338*)--135.4% 484,623,097
Liabilities in Excess of Other Assets--(35.4%) (126,624,226)
--------------
Net Assets--100.0% $ 357,998,871
==============
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Schedule of Investments (concluded) (in U.S. dollars)
* The cost and unrealized appreciation (depreciation) of investments
as of February 28, 2007, as computed for federal income tax purposes,
were as follows:
Aggregate cost $ 477,606,581
================
Gross unrealized appreciation $ 9,037,632
Gross unrealized depreciation (2,021,116)
----------------
Net unrealized appreciation $ 7,016,516
================
** Floating rate loan interests in which the Fund invests generally pay
interest at rates that are periodically redetermined by reference to
a base lending rate plus a premium. The base lending rates are generally
(i) the lending rate offered by one or more major European banks, such
as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by
one or more major U.S. banks or (iii) the certificate of deposit rate.
(a) Floating rate security.
(b) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(c) Convertible security.
(d) 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.
(e) Non-income producing security.
(f) Investments in companies considered to be an affiliate of the Fund,
for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
Net Interest
Affiliate Activity Income
BlackRock Liquidity Series, LLC
Cash Sweep Series $5,124,538 $294,090
(g) Represents the current yield as of February 28, 2007.
(h) Issuer filed for bankruptcy or is in default of interest payments.
(i) Represents a pay-in-kind security, which may pay interest/dividends
in additional face/shares.
o For Fund compliance purposes, the Fund's industry classifications
refer to any one or more of the industry sub-classifications used by
one or more widely recognized market indexes or ratings group indexes,
and/or as defined by Fund management. This definition may not apply for
purposes of this report which may combine industry sub-classifications
for reporting ease. Industries are shown as a percent of net assets.
o Forward foreign exchange contracts as of February 28, 2007
were as follows:
Foreign Currency Settlement Unrealized
Sold Date Depreciation
EUR 2,000,000 April 2007 $ (45,475)
-----------
Total Unrealized Depreciation on Forward Foreign Exchange
Contracts--Net (USD Commitment--$2,606,742) $ (45,475)
===========
o Swaps outstanding as of February 28, 2007 were as follows:
Unrealized
Notional Appreciation
Amount (Depreciation)
Sold credit default protection on
General Motors Corp. and receive 4.40%
Broker, Morgan Stanley Capital Services Inc.
Expires June 2007 $ 1,000,000 $ 11,215
Sold credit default protection on
Ford Motor Company and receive 3.80%
Broker, UBS Warburg
Expires March 2010 $10,000,000 (41,320)
Sold credit default protection on
Dow Jones CDX High Yield 100 Index
Series 6 and receive 3.45%
Broker, JPMorgan Chase
Expires June 2011 $29,700,000 1,394,267
-----------
Total $ 1,364,162
===========
o Currency abbreviations:
EUR Euro
USD U.S. Dollar
See Notes to Financial Statements.
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Statement of Assets, Liabilities and Capital
As of February 28, 2007 (Unaudited)
Assets
Investments in unaffiliated securities, at value (identified cost--$472,445,706) $ 479,428,465
Investments in affiliated securities, at value (identified cost--$5,194,632) 5,194,632
Unrealized appreciation on swaps 1,405,482
Cash 6,250
Swap premiums paid 49,180
Receivables:
Securities sold $ 5,313,885
Interest 5,306,438
Principal paydowns 2,079,687
Swaps 265,630
Commitment fees 21,662 12,987,302
---------------
Prepaid expenses and other assets 2,426
---------------
Total assets 499,073,737
---------------
Liabilities
Loans 112,000,000
Cash collateral on swaps 1,600,000
Unrealized depreciation on forward foreign exchange contracts 45,475
Unrealized depreciation on swaps 41,320
Unfunded loan commitment 226,321
Payables:
Securities purchased 25,713,929
Dividends to shareholders 348,074
Investment adviser 287,570
Interest on loans 77,805
Other affiliates 2,830 26,430,208
---------------
Accrued expenses and other liabilities 731,542
---------------
Total liabilities 141,074,866
---------------
Net Assets
Net assets $ 357,998,871
===============
Capital
Common Stock, par value $.10 per share; 200,000,000 shares authorized
(18,305,029 shares issued and outstanding) $ 1,830,503
Paid-in capital in excess of par 347,369,214
Undistributed investment income--net $ 2,311,152
Accumulated realized capital losses--net (1,588,071)
Unrealized appreciation--net 8,076,073
---------------
Total accumulated earnings--net 8,799,154
---------------
Total capital--Equivalent to $19.56 net asset value per share of Common Stock
(market price--$18.88) $ 357,998,871
===============
See Notes to Financial Statements.
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Statement of Operations
For the Six Months Ended February 28, 2007 (Unaudited)
Investment Income
Interest (including $294,090 from affiliates) $ 19,299,395
Facility and other fees 255,464
---------------
Total income 19,554,859
---------------
Expenses
Loan interest expense $ 3,798,160
Investment advisory fees 1,825,677
Borrowing costs 88,569
Accounting services 61,301
Professional fees 52,423
Transfer agent fees 24,419
Printing and shareholder reports 21,528
Directors' fees and expenses 19,450
Custodian fees 14,040
Pricing services 13,140
Listing fees 8,005
Other 10,761
---------------
Total expenses 5,937,473
---------------
Investment income--net 13,617,386
---------------
Realized & Unrealized Gain (Loss)--Net
Realized gain on:
Investments--net 613,032
Swaps--net 298,170
Foreign currency transactions--net 21,603 932,805
---------------
Change in unrealized appreciation/depreciation on:
Investments--net 3,446,907
Swaps--net 1,230,894
Unfunded corporate loans--net (12,968)
Foreign currency transactions--net (58,434) 4,606,399
--------------- ---------------
Total realized and unrealized gain--net 5,539,204
---------------
Net Increase in Net Assets Resulting from Operations $ 19,156,590
===============
See Notes to Financial Statements.
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Statements of Changes in Net Assets
For the Six
Months Ended For the
February 28, Year Ended
2007 August 31,
Increase (Decrease) in Net Assets: (Unaudited) 2006
Operations
Investment income--net $ 13,617,386 $ 25,710,397
Realized gain (loss)--net 932,805 (219,568)
Change in unrealized appreciation/depreciation--net 4,606,399 (994,964)
--------------- ---------------
Net increase in net assets resulting from operations 19,156,590 24,495,865
--------------- ---------------
Dividends to Shareholders
Investment income--net (14,871,207) (25,022,792)
--------------- ---------------
Net decrease in net assets resulting from dividends to shareholders (14,871,207) (25,022,792)
--------------- ---------------
Stock Transactions
Value of shares issued to Common Stock shareholders in reinvestment of dividends -- 126,000
--------------- ---------------
Net increase in net assets resulting from Stock transactions -- 126,000
--------------- ---------------
Net Assets
Total increase (decrease) in net assets 4,285,383 (400,927)
Beginning of period 353,713,488 354,114,415
--------------- ---------------
End of period* $ 357,998,871 $ 353,713,488
=============== ===============
* Undistributed investment income--net $ 2,311,152 $ 3,564,973
=============== ===============
See Notes to Financial Statements.
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Statement of Cash Flows
For the Six Months Ended February 28, 2007 (Unaudited)
Cash Provided By Operating Activities
Net increase in net assets resulting from operations $ 19,156,590
Adjustments to reconcile net increase in net assets resulting from operations to net cash
provided by operating activities:
Decrease in receivables and swap premiums paid 171,076
Decrease in other assets 1,010
Increase in other liabilities 597,145
Increase in cash collateral on swaps 1,600,000
Realized and unrealized gain--net (5,543,139)
Realized and unrealized gain on foreign currency transactions--net 8,644
Amortization of premium and discount (240,685)
Proceeds from sales and paydowns of long-term securities 157,260,471
Purchases of long-term securities (159,878,795)
Proceeds from sales of short-term securities 24,979,428
---------------
Cash provided by operating activities 38,111,745
---------------
Cash Used for Financing Activities
Cash receipts from borrowings 62,000,000
Cash payments from borrowings (85,200,000)
Dividends paid to shareholders (14,937,613)
---------------
Cash used for financing activities (38,137,613)
---------------
Cash
Net decrease in cash (25,868)
Cash at beginning of period 32,118
---------------
Cash at end of period $ 6,250
===============
Cash Flow Information
Cash paid for interest $ 3,857,547
===============
See Notes to Financial Statements.
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Financial Highlights
For the
Six Months For the Period
Ended For the October 31,
February 28, Year Ended 2003++ to
The following per share data and ratios have been derived 2007 August 31, August 31,
from information provided in the financial statements. (Unaudited) 2006 2005 2004
Per Share Operating Performance
Net asset value, beginning of period $ 19.32 $ 19.35 $ 19.16 $ 19.10
------------ ------------ ------------ ------------
Investment income--net .74*** 1.40*** 1.23*** .66
Realized and unrealized gain (loss)--net .31 (.06) .08 .02
------------ ------------ ------------ ------------
Total from investment operations 1.05 1.34 1.31 .68
------------ ------------ ------------ ------------
Less dividends and distributions from:
Investment income--net (.81) (1.37) (1.11) (.60)
Realized gain--net -- -- (.01) --
------------ ------------ ------------ ------------
Total dividends and distributions (.81) (1.37) (1.12) (.60)
------------ ------------ ------------ ------------
Offering costs resulting from the issuance of Common Stock -- -- -- (.02)
------------ ------------ ------------ ------------
Net asset value, end of period $ 19.56 $ 19.32 $ 19.35 $ 19.16
============ ============ ============ ============
Market price per share, end of period $ 18.88 $ 17.49 $ 17.85 $ 19.44
============ ============ ============ ============
Total Investment Return**
Based on net asset value per share 5.86%+++ 7.92% 7.27% 3.50%+++
============ ============ ============ ============
Based on market price per share 12.87%+++ 5.91% (2.47%) .29%+++
============ ============ ============ ============
Ratios to Average Net Assets
Expenses, net of waiver and excluding interest expense 1.22%* 1.14% 1.22% .71%*
============ ============ ============ ============
Expenses, net of waiver 3.37%* 2.54% 2.18% .87%*
============ ============ ============ ============
Expenses 3.37%* 2.54% 2.18% 1.08%*
============ ============ ============ ============
Investment income--net 7.74%* 7.30% 6.34% 3.80%*
============ ============ ============ ============
Leverage
Amount of borrowings, end of period (in thousands) $ 112,000 $ 135,200 $ 123,600 $ 123,225
============ ============ ============ ============
Average amount of borrowings outstanding during the
period (in thousands) $ 135,915 $ 101,916 $ 117,702 $ 38,654
============ ============ ============ ============
Average amount of borrowings outstanding per share
during the period*** $ 7.43 $ 5.57 $ 6.43 $ 2.11
============ ============ ============ ============
Supplemental Data
Net assets, end of period (in thousands) $ 357,999 $ 353,713 $ 354,114 $ 350,254
============ ============ ============ ============
Portfolio turnover 34.17% 56.90% 47.96% 43.32%
============ ============ ============ ============
* Annualized.
** Total investment returns based on market price, which can be significantly greater or lesser than
the net asset value, may result in substantially different returns. Total investment returns exclude
the effects of sales charges.
*** Based on average shares outstanding.
++ Commencement of operations.
+++ Aggregate total investment return.
See Notes to Financial Statements.
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Notes to Financial Statements (Unaudited)
1. Significant Accounting Policies:
BlackRock Floating Rate Income Strategies Fund, Inc. is registered under the
Investment Company Act of 1940, as amended, as a diversified, closed-end
management investment company. The Fund's financial statements are prepared in
conformity with U.S. generally accepted accounting principles, which may
require the use of management accruals and estimates. Actual results may
differ from these estimates. These unaudited financial statements reflect all
adjustments, which are, in the opinion of management, necessary to present a
fair statement of the results for the interim period. All such adjustments are
of a normal, recurring nature. The Fund determines and makes available for
publication the net asset value of its Common Stock on a daily basis. The
Fund's Common Stock shares are listed on the New York Stock Exchange ("NYSE")
under the symbol FRA.
(a) Corporate debt obligations--The Fund invests principally in floating rate
debt obligations of companies, including floating rate loans made by banks and
other financial institutions and both privately and publicly offered corporate
bonds and notes. Because agents and intermediaries are primarily commercial
banks or other financial institutions, the Fund's investment in floating rate
loans could be considered concentrated in financial institutions.
(b) Valuation of investments--Floating rate loans are valued in accordance
with guidelines established by the Fund's Board of Directors. As of October 2,
2006, floating rate loan interests are valued at the mean between the last
available bid prices from one or more brokers or dealers as obtained from Loan
Pricing Corporation. Previously floating rate loan interests were valued at
the mean between the last available bid and asked prices as obtained from the
same pricing source. This change had no significant effect on the valuation of
these loans. For the limited number of floating rate loans for which no
reliable price quotes are available, such floating rate loans may be valued by
Loan Pricing Corporation through the use of pricing matrixes to determine
valuations. If the pricing service does not provide a value for a floating
rate loan, BlackRock Advisors, LLC (the "Manager") an indirect, wholly owned
subsidiary of BlackRock, Inc., will value the floating rate loan at fair
value, which is intended to approximate market value.
Debt securities are traded primarily in the over-the-counter ("OTC") markets
and are valued at the last available bid price in the OTC market or on the
basis of values obtained by a pricing service. Pricing services use valuation
matrixes that incorporate both dealer-supplied valuations and valuation
models. The procedures of the pricing service and its valuations are reviewed
by the officers of the Fund under the general direction of the Board of
Directors. Such valuations and procedures will be reviewed periodically by the
Board of Directors of the Fund.
Securities held by the Fund that are traded on stock exchanges or the NASDAQ
Global Market are valued at the last sale price or official close price on the
exchange on which such securities are traded, as of the close of business on
the day the securities are being valued or, lacking any sales, at the last
available bid price for long positions, and at the last available asked price
for short positions. In cases where securities are traded on more than one
exchange, the securities are valued on the exchange designated as the primary
market by or under the authority of the Board of Directors of the Fund. Long
positions in securities traded in the OTC market, NASDAQ Capital Market or
Bulletin Board are valued at the last available bid price or yield equivalent
obtained from one or more dealers or pricing services approved by the Board of
Directors of the Fund. Short positions traded in the OTC market are valued at
the last available asked price. Portfolio securities that are traded both in
the OTC market and on a stock exchange are valued according to the broadest
and most representative market. When the Fund writes an option, the amount of
the premium received is recorded on the books of the Fund as an asset and an
equivalent liability. The amount of the liability is subsequently valued to
reflect the current market value of the option written, based on the last sale
price in the case of exchange-traded options or, in the case of options traded
in the OTC markets, the last asked price. Options written or purchased are
valued at the last sale price in the case of exchange-traded options. Options
traded in the OTC market are valued at the last asked price (options written)
or last bid price (options purchased). Swap agreements are valued based upon
quoted fair valuations received daily by the Fund from a pricing service or
counterparty. Other investments, including futures contracts and related
options, are stated at market value. Obligations with remaining maturities of
60 days or less are valued at amortized cost unless the Manager believes that
this method no longer produces fair valuations. Valuation of other short-term
investment vehicles is generally based on the net asset value of the
underlying investment vehicle or amortized cost. Repurchase agreements will be
valued at cost plus accrued interest.
Generally, trading in foreign securities, as well as U.S. government
securities, money market instruments and certain fixed income securities, is
substantially completed each day at various times prior to the close of
business on the NYSE.
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Notes to Financial Statements (continued)
The values of such securities used in computing the net asset value of the
Fund's shares are determined as of such times. Foreign currency exchange rates
will generally be determined as of the close of business on the NYSE.
Occasionally, events affecting the values of such securities and such exchange
rates may occur between the times at which they are determined and the close
of business on the NYSE that may not be reflected in the computation of the
Fund's net asset value. If events (for example, a company announcement, market
volatility or a natural disaster) occur during such periods that are expected
to materially affect the value of such securities, those securities may be
valued at their fair value as determined in good faith by the Fund's Board of
Directors or by the Manager using a pricing service and/or procedures approved
by the Fund's Board of Directors.
(c) Derivative financial instruments--The Fund may engage in various portfolio
investment strategies both to increase the return of the Fund and to hedge, or
protect, its exposure to interest rate movements and movements in the
securities markets. Losses may arise due to changes in the value of the
contract due to an unfavorable change in the price of the underlying security
or index, or if the counterparty does not perform under the contract. The
counterparty for certain instruments may pledge cash or securities as
collateral.
* Financial futures contracts--The Fund may purchase or sell financial futures
contracts and options on such financial futures contracts. Financial futures
contracts are contracts for delayed delivery of securities at a specific
future date and at a specific price or yield. Upon entering into a contract,
the Fund deposits and maintains as collateral such initial margin as required
by the exchange on which the transaction is effected. Pursuant to the
contract, the Fund agrees to receive from or pay to the broker an amount of
cash equal to the daily fluctuation in value of the contract. Such receipts or
payments are known as variation margin and are recorded by the Fund as
unrealized gains or losses. When the contract is closed, the Fund records a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
* Options--The Fund may write and purchase call and put options. When the Fund
writes an option, an amount equal to the premium received by the Fund is
reflected as an asset and an equivalent liability. The amount of the liability
is subsequently marked-to-market to reflect the current market value of the
option written. When a security is purchased or sold through an exercise of an
option, the related premium paid (or received) is added to (or deducted from)
the basis of the security acquired or deducted from (or added to) the proceeds
of the security sold. When an option expires (or the Fund enters into a
closing transaction), the Fund realizes a gain or loss on the option to the
extent of the premiums received or paid (or gain or loss to the extent the
cost of the closing transaction is less than or exceeds the premiums paid or
received).
Written and purchased options are non-income producing investments.
* Swaps--The Fund may enter into swap agreements, which are OTC contracts in
which the Fund and a counterparty agree to make periodic net payments on a
specified notional amount. The net payments can be made for a set period of
time or may be triggered by a predetermined credit event. The net periodic
payments may be based on a fixed or variable interest rate; the change in
market value of a specified security, basket of securities, or index; or the
return generated by a security. These periodic payments received or made by
the Fund are recorded in the accompanying Statement of Operations as realized
gains or losses, respectively. Gains or losses are also realized upon
termination of swap agreements. Swaps are marked-to-market daily and changes
in value are recorded as unrealized appreciation (depreciation). Risks include
changes in the returns of the underlying instruments, failure of the
counterparties to perform under the contracts' terms and the possible lack of
liquidity with respect to the swap agreements.
(d) Foreign currency transactions--Transactions denominated in foreign
currencies are recorded at the exchange rate prevailing when recognized.
Assets and liabilities denominated in foreign currencies are valued at the
exchange rate at the end of the period. Foreign currency transactions are the
result of settling (realized) or valuing (unrealized) assets or liabilities
expressed in foreign currencies into U.S. dollars. Realized and unrealized
gains or losses from investments include the effects of foreign exchange rates
on investments. The Fund invests in foreign securities, which may involve a
number of risk factors and special considerations not present with investments
in securities of U.S. corporations.
(e) Income taxes--It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no federal income tax provision is required.
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Notes to Financial Statements (continued)
(f) Security transactions and investment income--Security transactions are
recorded on the dates the trans-actions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Interest income is recognized on the accrual basis. The
Fund amortizes all premiums and discounts on debt securities.
(g) Dividends and distributions--Dividends from net investment income are
declared and paid monthly. Distributions of capital gains are recorded on the
ex-dividend dates. The Fund may at times pay out less than the entire amount
of net investment income earned in any particular period and may at times pay
out such accumulated undistributed income in other periods to permit the Fund
to maintain a more stable level of dividends.
(h) Securities lending--The Fund may lend securities to financial institutions
that provide cash or securities issued or guaranteed by the U.S. government as
collateral, which will be maintained at all times in an amount equal to at
least 100% of the current market value of the loaned securities. The market
value of the loaned securities is determined at the close of business of the
Fund and any additional required collateral is delivered to the Fund on the
next business day. Where the Fund receives securities as collateral for the
loaned securities, it collects a fee from the borrower. The Fund typically
receives the income on the loaned securities but does not receive the income
on the collateral. Where the Fund receives cash collateral, it may invest such
collateral and retain the amount earned on such investment, net of any amount
rebated to the borrower. Loans of securities are terminable at any time and
the borrower, after notice, is required to return borrowed securities within
five business days. The Fund may pay reasonable finder's, lending agent,
administrative and custodial fees in connection with its loans. In the event
that the borrower defaults on its obligation to return borrowed securities
because of insolvency or for any other reason, the Fund could experience
delays and costs in gaining access to the collateral. The Fund also could
suffer a loss where the value of the collateral falls below the market value
of the borrowed securities, in the event of borrower default or in the event
of losses on investments made with cash collateral.
(i) Recent accounting pronouncements--In July 2006, the Financial Accounting
Standards Board ("FASB") issued Interpretation No. 48 ("FIN 48"), "Accounting
for Uncertainty in Income Taxes - an interpretation of FASB Statement No.
109." FIN 48 prescribes the minimum recognition threshold a tax position must
meet in connection with accounting for uncertainties in income tax positions
taken or expected to be taken by an entity including mutual funds before being
measured and recognized in the financial statements. Adoption of FIN 48 is
required for the last net asset value calculation in the first required
financial statement reporting period for fiscal years beginning after December
15, 2006. The impact on the Fund's financial statements, if any, is currently
being assessed.
In September 2006, Statement of Financial Accounting Standards No. 157, Fair
Value Measurements ("FAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. FAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. At this time management is evaluating the implications of FAS
157 and its impact on the Fund's financial statements, if any, has not been
determined.
In addition, in February 2007, FASB issued "Statement of Financial Accounting
Standards No. 159, the Fair Value Option for Financial Assets and Financial
Liabilities" ("FAS 159"), which is effective for fiscal years beginning after
November 15, 2007. Early adoption is permitted as of the beginning of a fiscal
year that begins on or before November 15, 2007, provided the entity also
elects to apply the provisions of FAS 157. FAS 159 permits entities to choose
to measure many financial instruments and certain other items at fair value
that are not currently required to be measured at fair value. FAS 159 also
establishes presentation and disclosure requirements designed to facilitate
comparisons between entities that choose different measurement attributes for
similar types of assets and liabilities. At this time, management is
evaluating the implications of FAS 159 and its impact on the Fund's financial
statements, if any, has not been determined.
2. Investment Advisory Agreement and Transactions with Affiliates:
On September 29, 2006, BlackRock, Inc. and Merrill Lynch & Co., Inc. ("Merrill
Lynch") combined Merrill Lynch's investment management business, Merrill Lynch
Investment Managers, L.P. ("MLIM"), and its affiliates, including Fund Asset
Management, L.P. ("FAM"), with BlackRock, Inc. to create a new independent
company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest
in the combined company and The PNC Financial Services Group, Inc. ("PNC"),
has approximately a 34% economic and voting interest. The new company operates
under the BlackRock name and is governed by a board of directors with a
majority of independent members.
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Notes to Financial Statements (continued)
The Investment Advisory Agreement between the Fund and the Manager became
effective on September 29, 2006. Prior to September 29, 2006, FAM was the
Fund's Manager. The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect, wholly owned subsidiary of Merrill Lynch, which is the
limited partner.
The Manager is responsible for the management of the Fund's portfolio and
provides the necessary personnel, facilities, equipment and certain other
services necessary to the operations of the Fund. For such services, the Fund
pays a monthly fee of .75% of the average daily value of the Fund's net assets
plus the proceeds of any outstanding borrowings used for leverage. In
addition, the Manager has entered into a Sub-Advisory Agreement with BlackRock
Financial Management, Inc., an affiliate of the Manager, under which the
Manager pays the Sub-Advisor for services it provides a monthly fee that is a
percentage of the management fee paid by the Fund to the Manager.
The Fund has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch,
Pierce, Fenner & Smith Incorporated (MLPF&S), an affiliate of the Manager, or
its affiliates. Pursuant to that order, the Fund has retained BlackRock
Investment Management, LLC ("BIM"), an affiliate of the Manager, as the
securities lending agent for a fee based on a share of the returns on
investment of cash collateral. Prior to September 29, 2006, BIM was organized
as Merrill Lynch Investment Managers, LLC ("MLIM, LLC"), an affiliate of FAM,
and MLIM, LLC was the securities lending agent. BIM may, on behalf of the
Fund, invest cash collateral received by the Fund for such loans, among other
things, in a private investment company managed by the Manager or in
registered money market funds advised by the Manager or its affiliates.
For the six months ended February 28, 2007, the Fund reimbursed FAM and the
Manager $577 and $2,886, respectively, for certain accounting services.
Prior to September 29, 2006, certain officers and/or directors of the Fund
were officers and/or directors of FAM, MLIM, PSI, Merrill Lynch, and/or MLIM,
LLC.
Commencing September 29, 2006, certain officers and/or directors of the Fund
are officers and/or directors of BlackRock, Inc. or its affiliates.
3. Investments:
Purchases and sales (including paydowns) of investments, excluding short-term
securities, for the six months ended February 28, 2007 were $185,592,724 and
$164,287,749, respectively.
4. Stock Transactions:
The Fund is authorized to issue 200,000,000 shares of capital stock par value
$.10, all of which are initially classified as Common Stock. The Board of
Directors is authorized, however, to classify and reclassify any unissued
shares of capital stock without approval of the holders of Common Stock.
Shares issued and outstanding for the six months ended February 28, 2007
remained constant. Shares issued and outstanding for the year ended August 31,
2006 increased by 6,590 from reinvestment of dividends.
5. Unfunded Loan Commitments:
As of February 28, 2007, the Fund had unfunded loan commitments of
approximately $15,923,000, which would be extended at the option of the
borrower, pursuant to the following loan agreements:
(in Thousands)
Value of
Unfunded Underlying
Borrower Commitment Loan
American Greetings Corp. $3,000 $2,987
Calpine Corp. $2,500 $2,494
LSP General Finance Co., LLC $ 2 $ 2
MEG Energy Corp. $1,000 $ 994
Renfro Corp. $ 59 $ 59
Time Warner Telecom $ 150 $ 151
Trump Casino Delay Draw $2,462 $2,483
Trump Casino Revolving Credit $3,000 $2,910
Venetian Macau U.S. Finance Co. $ 750 $ 752
Vought Aircraft Industries, Inc. $3,000 $2,865
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Notes to Financial Statements (concluded)
6. Short-Term Borrowings:
On May 22, 2006, the Fund renewed its revolving credit and security agreement
funded by a commercial paper asset securitization program with Citicorp North
America, Inc. ("Citicorp") as Agent, certain secondary backstop lenders, and
certain asset securitization conduits as lenders (the "Lenders"). The
agreement was renewed for one year and has a maximum limit of $172,500,000.
Under the Citicorp program, the conduits will fund advances to the Fund
through the issuance of highly rated commercial paper. As security for its
obligations to the Lenders under the revolving securitization facility, the
Fund has granted a security interest in substantially all of its assets to and
in favor of the Lenders. The interest rate on the Fund's borrowings is based
on the interest rate carried by the commercial paper plus a program fee. The
Fund pays additional borrowing costs including a backstop commitment fee.
The weighted average annual interest rate was 5.63% and the average borrowing
was approximately $135,915,000 for the six months ended February 28, 2007.
7. Capital Loss Carryforward:
On August 31, 2006, the Fund had a capital loss carryforward of $2,200,348,
all of which expires in 2013. This amount will be available to offset like
amounts of any future taxable gains.
8. Subsequent Event:
The Fund paid an ordinary income dividend in the amount of $.120834 per share
on March 30, 2007 to shareholders of record on March 15, 2007.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former
fund investors and individual clients (collectively, "Clients") and to
safeguarding their nonpublic personal information. The following information
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If you are located in a jurisdiction where specific laws, rules or regulations
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BlackRock obtains or verifies personal nonpublic information from and about
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BlackRock does not sell or disclose to nonaffiliated third parties any
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We may share information with our affiliates to service your account or to
provide you with information about other BlackRock products or services that
may be of interest to you. In addition, BlackRock restricts access to
nonpublic personal information about its Clients to those BlackRock employees
with a legitimate business need for the information. BlackRock maintains
physical, electronic and procedural safeguards that are designed to protect
the nonpublic personal information of its Clients, including procedures
relating to the proper storage and disposal of such information.
Electronic Delivery
Electronic copies of most financial reports and prospectuses are available on
the Fund's Web site. Shareholders can sign up for e-mail notifications of
quarterly statements, annual and semi-annual reports and prospectuses by
enrolling in the Fund's electronic delivery program.
To enroll:
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial advisor. Please note that not all investment
advisers, banks or brokerages may offer this service.
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 28, 2007
Item 2 - Code of Ethics - Not Applicable to this semi-annual report
Item 3 - Audit Committee Financial Expert - Not Applicable to this semi-
annual report
Item 4 - Principal Accountant Fees and Services - Not Applicable to this
semi-annual report
Item 5 - Audit Committee of Listed Registrants - Not Applicable to this
semi-annual report
Item 6 - Schedule of Investments - Not Applicable
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable to this semi-annual
report
Item 8 - Portfolio Managers of Closed-End Management Investment Companies -
as of February 28, 2007.
(a)(1) The Fund is managed by a team of investment professionals
that is responsible for the day-to-day management of the Fund's
portfolio. The lead members of this team are Mark J. Williams,
Managing Director at BlackRock, and Kevin J. Booth, Managing
Director at BlackRock. Mr. Williams and Mr. Booth each has been a
portfolio manager of the Fund since 2006. Mr. Williams is
responsible for setting the Fund's overall investment strategy and
overseeing the management of the Fund. Mr. Booth is responsible for
the day-to-day management of the Fund's portfolio and the selection
of its investments.
Mr. Williams is the head of BlackRock's bank loan group and a member
of the Investment Strategy Group. His primary responsibility is
originating and evaluating bank loan investments for the firm's
collateralized bond obligations. He is also involved in the
evaluation and sourcing of mezzanine investments. Prior to joining
BlackRock in 1998, Mr. Williams spent eight years with PNC Bank's
New York office and was a founding member of the bank's Leveraged
Finance Group. In that capacity he was responsible for structuring
proprietary middle market leveraged deals and sourcing and
evaluating broadly syndicated leveraged loans in the primary and
secondary markets for PNC Bank's investment portfolio. From 1984
until 1990, Mr. Williams worked in PNC Bank's Philadelphia office in
a variety of marketing and corporate finance positions.
Mr. Booth is a member of BlackRock's bank loan group. He joined
BlackRock in 2006. Prior to joining BlackRock, Mr. Booth was a
Managing Director (Global Fixed Income) of Merrill Lynch Investment
Managers, L.P. ("MLIM") since 2006 and a member of MLIM's bank loan
group from 2000 to 2006. He was a Director of MLIM from 2000 to 2006
and was a Vice President of MLIM from 1994 to 2000. He has been
portfolio manager with BlackRock or MLIM since 2000.
(a)(2) As of February 28, 2007:
(iii) Number of Other Accounts and
(ii) Number of Other Accounts Managed Assets for Which Advisory Fee is
and Assets by Account Type Performance-Based
Other Other
(i) Name of Registered Other Pooled Registered Other Pooled
Portfolio Investment Investment Other Investment Investment Other
Manager Companies Vehicles Accounts Companies Vehicles Accounts
Kevin J.
Booth 9 2 1 0 2 0
$ 5,385,909,450 $ 529,770,486 $ 56,698,833 $ 0 $ 529,770,486 $ 0
Mark J.
Williams 8 18 1 0 10 0
$ 4,633,778,257 $ 6,003,278,704 $ 158,013,679 $ 0 $ 3,985,661,008 $ 0
(iv) Potential Material Conflicts of Interest
BlackRock has built a professional working environment, firm-wide
compliance culture and compliance procedures and systems designed to
protect against potential incentives that may favor one account over
another. BlackRock has adopted policies and procedures that address
the allocation of investment opportunities, execution of portfolio
transactions, personal trading by employees and other potential
conflicts of interest that are designed to ensure that all client
accounts are treated equitably over time. Nevertheless, BlackRock
furnishes investment management and advisory services to numerous
clients in addition to the Fund, and BlackRock may, consistent with
applicable law, make investment recommendations to other clients or
accounts (including accounts which are hedge funds or have
performance or higher fees paid to BlackRock, or in which portfolio
managers have a personal interest in the receipt of such fees),
which may be the same as or different from those made to the Fund.
In addition, BlackRock, its affiliates and any officer, director,
stockholder or employee may or may not have an interest in the
securities whose purchase and sale BlackRock recommends to the Fund.
BlackRock, or any of its affiliates, or any officer, director,
stockholder, employee or any member of their families may take
different actions than those recommended to the Fund by BlackRock
with respect to the same securities. Moreover, BlackRock may refrain
from rendering any advice or services concerning securities of
companies of which any of BlackRock's (or its affiliates') officers,
directors or employees are directors or officers, or companies as to
which BlackRock or any of its affiliates or the officers, directors
and employees of any of them has any substantial economic interest
or possesses material non-public information. Each portfolio manager
also may manage accounts whose investment strategies may at times be
opposed to the strategy utilized for the Fund. In this connection,
it should be noted that certain portfolio managers currently manage
certain accounts that are subject to performance fees. In addition,
certain portfolio managers assist in managing certain hedge funds
and may be entitled to receive a portion of any incentive fees
earned on such funds and a portion of such incentive fees may be
voluntarily or involuntarily deferred. Additional portfolio managers
may in the future manage other such accounts or funds and may be
entitled to receive incentive fees.
As a fiduciary, BlackRock owes a duty of loyalty to its clients and
must treat each client fairly. When BlackRock purchases or sells
securities for more than one account, the trades must be allocated
in a manner consistent with its fiduciary duties. BlackRock attempts
to allocate investments in a fair and equitable manner among client
accounts, with no account receiving preferential treatment. To this
end, BlackRock has adopted a policy that is intended to ensure that
investment opportunities are allocated fairly and equitably among
client accounts over time. This policy also seeks to achieve
reasonable efficiency in client transactions and provide BlackRock
with sufficient flexibility to allocate investments in a manner that
is consistent with the particular investment discipline and client
base.
(a)(3) As of February 28, 2007:
Compensation Program
BlackRock's financial arrangements with its portfolio
managers, its competitive compensation and its career path emphasis
at all levels reflect the value senior management places on key
resources. Compensation may include a variety of components and may
vary from year to year based on a number of factors. The principal
components of compensation include a base salary, a discretionary
bonus, participation in various benefits programs and one or more of
the incentive compensation programs established by BlackRock such as
its Long-Term Retention and Incentive Plan and Restricted Stock
Program.
Base Compensation
Generally, portfolio managers receive base compensation based
on their seniority and/or their position with the firm.
Discretionary Compensation
In addition to base compensation, portfolio managers may
receive discretionary compensation, which can be a substantial
portion of total compensation. Discretionary compensation can
include a discretionary cash bonus as well as one or more of the
following:
Long-Term Retention and Incentive Plan (LTIP)
The LTIP is a long-term incentive plan that seeks to reward
certain key employees. The plan provides for the grant of awards
that are expressed as an amount of cash that, if properly vested and
subject to the attainment of certain performance goals, will be
settled in cash and/or in BlackRock, Inc. common stock.
Deferred Compensation Program
A portion of the compensation paid to each portfolio manager
may be voluntarily deferred by the portfolio manager into an account
that tracks the performance of certain of the firm's investment
products. Each portfolio manager is permitted to allocate his
deferred amounts among various options, including to certain of the
firm's hedge funds and other unregistered products. In addition,
prior to 2005, a portion of the annual compensation of certain
senior managers was mandatorily deferred in a similar manner for a
number of years. Beginning in 2005, a portion of the annual
compensation of certain senior managers was paid in the form of
BlackRock, Inc. restricted stock units which vest ratably over a
number of years.
Options and Restricted Stock Awards
While incentive stock options are not currently being awarded
to BlackRock employees, BlackRock, Inc. previously granted stock
options to key employees, including certain portfolio managers who
may still hold unexercised or unvested options. BlackRock, Inc. also
has a restricted stock award program designed to reward certain key
employees as an incentive to contribute to the long-term success of
BlackRock. These awards vest over a period of years.
Incentive Savings Plans
BlackRock, Inc. has created a variety of incentive savings
plans in which BlackRock employees are eligible to participate,
including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP)
and the BlackRock Employee Stock Purchase Plan (ESPP). The employer
contribution components of the RSP include a company match equal to
50% of the first 6% of eligible pay contributed to the plan capped
at $4,000 per year, and a company retirement contribution equal to
3% of eligible compensation, plus an additional contribution of 2%
for any year in which BlackRock has positive net operating income.
The RSP offers a range of investment options, including registered
investment companies managed by the firm. Company contributions
follow the investment direction set by participants for their own
contributions or absent, employee investment direction, are invested
into a stable value fund. The ESPP allows for investment in
BlackRock common stock at a 5% discount on the fair market value of
the stock on the purchase date. Annual participation in the ESPP
is limited to the purchase of 1,000 shares or a dollar value of
$25,000. Each portfolio manager is eligible to participate in these
plans.
Annual incentive compensation for each portfolio manager is a
function of several components: the performance of BlackRock, Inc.,
the performance of the portfolio manager's group within BlackRock,
the investment performance, including risk-adjusted returns and
income generation, of the firm's assets under management or
supervision by that portfolio manager relative to predetermined
benchmarks, and the individual's teamwork and contribution to the
overall performance of these portfolios and BlackRock. Unlike many
other firms, portfolio managers at BlackRock compete against
benchmarks rather than each other. In most cases, including for the
portfolio managers of the Registrant, these benchmarks are the same
as the benchmark or benchmarks against which the investment
performance, including risk-adjusted returns and income generation,
of the Registrant or other accounts are measured. A group of
BlackRock, Inc.'s officers determines which benchmarks against which
to compare the performance of funds and other accounts managed by
each portfolio manager.
The group of BlackRock, Inc.'s officers then makes a
subjective determination with respect to the portfolio manager's
compensation based on the performance of the funds and other
accounts managed by each portfolio manager relative to the various
benchmarks. This determination may take into consideration the fact
that a benchmark may not perfectly correlate to the way the
Registrant or other accounts are managed, even if it is the
benchmark that is most appropriate for the Registrant or other
account. For example, a benchmark's return may be based on the total
return of the securities comprising the benchmark, but the
Registrant or other account may be managed to maximize income and
not total return. Senior portfolio managers who perform additional
management functions within BlackRock may receive additional
compensation for serving in these other capacities.
(a)(4) Beneficial Ownership of Securities. As of February 28, 2007,
Mr. Booth beneficially owns stock issued by the Fund in the
range of $100,001-$500,000. As of February 28, 2007,
Mr. Williams does not beneficially own any stock issued by
the Fund.
Item 9 - Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers - Not Applicable
Item 10 - Submission of Matters to a Vote of Security Holders - Not Applicable
Item 11 - Controls and Procedures
11(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others
particularly during the period in which this report is being
prepared. The registrant's certifying officers have determined that
the registrant's disclosure controls and procedures are effective
based on our evaluation of these controls and procedures as of a
date within 90 days prior to the filing date of this report.
11(b) - As of September 29, 2006, with the conclusion of the combination of
Merrill Lynch's asset management business with BlackRock, the
registrant was migrated to BlackRock's trading and compliance
monitoring systems, and various personnel changes occurred. In
conjunction with these business improvements, there were no changes
in the registrants internal control over financial reporting (as
defined in Rule 30a-3(d) under Act (17 CFR 270.30a-3(d)) that
occurred during the last fiscal half-year of the period covered by
this report that has materially affected, or is reasonably likely to
affect, the registrant's internal control over financial reporting.
Item 12 - Exhibits attached hereto
12(a)(1) - Code of Ethics - Not Applicable to this semi-annual report
12(a)(2) - Certifications - Attached hereto
12(a)(3) - Not Applicable
12(b) - 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/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: April 23, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on
the dates indicated.
By: /s/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.,
Chief Executive Officer of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: April 23, 2007
By: /s/ Donald C. Burke
-------------------
Donald C. Burke,
Chief Financial Officer of
BlackRock Floating Rate Income Strategies Fund, Inc.
Date: April 23, 2007