UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY |
Investment Company Act file number 811-21413 Name of Fund: BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809 Name and address of agent for service: Donald C. Burke, 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 Registrants telephone number, including area code: (800) 882-0052, Option 4 Date of fiscal year end: 08/31/2008 Date of reporting period: 03/01/2008 05/31/2008 Item 1 Schedule of Investments |
BlackRock Floating Rate Income Strategies Fund, Inc. | ||||||||||
Schedule of Investments May 31, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||||
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Par | ||||||||||
Industry | Floating Rate Loan Interests | (000) | Value | |||||||
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Aerospace & Defense - 4.6% | Avio Holding SpA Term Loan, 8.718%, | |||||||||
9/25/16 | $ 1,991 | $ 1,821,783 | ||||||||
Avio Holding SpA Term Loan B, 6.843% - | ||||||||||
6.853%, 9/25/14 | 1,669 | 1,547,347 | ||||||||
Avio Holding SpA Term Loan C, 7.468%, | ||||||||||
9/25/15 | 1,771 | 1,642,005 | ||||||||
Hawker Beechcraft Acquisition Co. LLC Letter | ||||||||||
of Credit, 4.73%, 3/31/14 | 240 | 224,757 | ||||||||
Hawker Beechcraft Acquisition Co. LLC Term | ||||||||||
Loan B, 4.696%, 3/31/14 | 4,120 | 3,856,828 | ||||||||
IAP Worldwide Services, Inc. First Lien Term | ||||||||||
Loan, 9%, 12/20/12 | 2,198 | 1,809,291 | ||||||||
Vought Aircraft Industries, Inc. Term Loan, | ||||||||||
5.37%, 12/22/11 | 2,850 | 2,764,568 | ||||||||
Vought Aircraft Industries, Inc. Tranche B Line | ||||||||||
of Credit Deposit, 7.82%, 12/22/10 | 560 | 526,866 | ||||||||
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14,193,445 | ||||||||||
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Airlines - 0.6% | US Airways Group, Inc. Term Loan B, 4.883%, | |||||||||
3/22/14 | 1,980 | 1,342,440 | ||||||||
United Air Lines, Inc. Term Loan B, 4.625% - 4.954%, | ||||||||||
1/30/14 | 712 | 544,138 | ||||||||
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1,886,578 | ||||||||||
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Auto & Transportation - 0.3% | Delta Air Lines, Inc. First Lien Term Loan, | |||||||||
7.36%, 5/15/12 | 1,237 | 1,050,107 | ||||||||
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Auto Components - 2.9% | Affinia Group, Inc. Term Loan B, 5.899%, | |||||||||
11/30/11 | 2,544 | 2,314,650 | ||||||||
Allison Transmission Term Loan B, | ||||||||||
5.48% - 5.75%, 8/07/14 | 4,991 | 4,570,298 | ||||||||
Delphi Automotive Systems Term Loan, 8.50%, | ||||||||||
12/31/08 | 1,361 | 1,336,512 | ||||||||
GPX International Tire Corp. Term Loan B, | ||||||||||
9.72%, 4/06/12 | 899 | 628,982 | ||||||||
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8,850,442 | ||||||||||
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Beverages - 0.1% | Culligan International Second Lien Term Loan, | |||||||||
8.842%, 4/24/13 | EUR | 500 | 388,936 | |||||||
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Biotechnology - 0.4% | Talecris Biotherapeutics, Inc. First Lien Term | |||||||||
Loan, 6.18% - 8.25%, 11/13/14 | $ 1,492 | 1,358,123 | ||||||||
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Broadcasting - 2.4% | Charter Communications, Inc. Term Loan B, | |||||||||
4.89%, 4/30/14 | 7,481 | 6,643,859 | ||||||||
Univision Communications, Inc. First Lien | ||||||||||
Term Loan, 5.494%, 9/30/14 | 834 | 702,659 | ||||||||
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7,346,518 | ||||||||||
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Building Products - 2.2% | Building Material Corp. of America First Lien | |||||||||
Term Loan, 6.75%, 2/22/14 | 2,750 | 2,457,813 | ||||||||
Headwaters, Inc. Term Loan B-1, 4.40%, | ||||||||||
4/30/11 | 1,077 | 1,025,426 | ||||||||
Masonite International Term Loan B, 4.63% - | ||||||||||
5.046%, 4/06/13 | 1,000 | 947,506 | ||||||||
PGT Industries, Inc. First Lien Term Loan, | ||||||||||
5.53% - 7.93%, 2/14/12 | 2,778 | 2,361,170 | ||||||||
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6,791,915 | ||||||||||
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1
BlackRock Floating Rate Income Strategies Fund, Inc. | ||||||||
Schedule of Investments May 31, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||
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Par | ||||||||
Industry | Floating Rate Loan Interests | (000) | Value | |||||
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Cable - U.S. - 0.7% | Cequel Communications LLC Term Loan | |||||||
B, 4.685%, 11/05/13 | $ 2,137 | $ 1,988,297 | ||||||
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Capital Markets - 0.5% | RiskMetrics Group, Inc. Term Loan, 4.946%, | |||||||
1/15/14 | 1,453 | 1,405,871 | ||||||
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Chemicals - 8.1% | BOC Edwards Ltd. Term Loan B, 4.644%, | |||||||
5/21/14 | 496 | 389,556 | ||||||
Hercules, Inc. Term Loan B, 3.881%, 10/08/10 | 1,300 | 1,268,313 | ||||||
Huish Detergents, Inc. First Lien Term Loan, | ||||||||
4.70%, 4/15/14 | 1,489 | 1,318,337 | ||||||
ISP Chemco Term Loan B, 4.125% - 4.563%, 5/25/14 | 993 | 942,255 | ||||||
Ineos Group Plc Term Loan B, 4.885%, 2/20/15 | 875 | 800,625 | ||||||
Ineos Group Plc Term Loan C, 5.385%, 2/20/14 | 875 | 800,625 | ||||||
Invista Term Loan, 4.196%, 4/29/11 | 953 | 915,641 | ||||||
Invista Term Loan B1, 4.196%, 4/29/11 | 2,077 | 1,995,644 | ||||||
Nalco Co. Tranche B Term Loan, 4.34% - 6.48%, | ||||||||
11/04/10 | 4,490 | 4,428,378 | ||||||
PQ Corp. First Lien Term Loan, 8.61%, 5/29/15 | 4,000 | 3,750,000 | ||||||
Rockwood Specialties Group, Inc. Tranche D | ||||||||
Term Loan, 4.399%, 12/10/12 | 1,940 | 1,853,307 | ||||||
Viridian Group Plc Term Loan, 8.526% - | ||||||||
9.621%, 12/21/12 | GBP | 3,000 | 5,251,872 | |||||
Wellman, Inc. Second Lien Term Loan, | ||||||||
9.989%, 2/10/10 (a)(b) | $ 4,750 | 1,092,500 | ||||||
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24,807,053 | ||||||||
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Commercial Services & | ARAMARK Corp. Letter of Credit, 5.198%, | |||||||
Supplies - 2.8% | 1/30/14 | 211 | 197,682 | |||||
ARAMARK Corp. Term Loan B, 4.57%, 1/30/14 | 3,316 | 3,111,652 | ||||||
Brickman Group, Inc. Term Loan, 4.696%, 1/30/14 | 743 | 696,094 | ||||||
Camelbak Products LLC First Lien Term Loan, | ||||||||
7.85%, 8/04/11 | 621 | 524,652 | ||||||
John Maneely Co. Term Loan B, 5.966% - 8.608%, | ||||||||
12/15/13 | 896 | 834,456 | ||||||
Metokote Corp. Second Lien Term Loan, | ||||||||
5.70% - 7.76%, 11/27/11 | 464 | 431,528 | ||||||
Waste Services, Inc. Term Loan E, 7.40%, 3/31/11 | 897 | 885,886 | ||||||
West Corp. Term Loan, 5.021% - 7.197%, | ||||||||
10/31/13 | 1,975 | 1,826,216 | ||||||
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8,508,166 | ||||||||
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Communications Equipment - 1.3% | Alltel Corp. Term Loan B3, 5.248%, 5/18/15 | 4,487 | 4,159,060 | |||||
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Computers & Peripherals - 1.4% | Intergraph Corp. Term Loan, 5.09% - 5.125%, | |||||||
5/15/14 | 419 | 402,466 | ||||||
Intergraph Corp. Term Loan, 8.646%, 11/15/14 | 500 | 481,875 | ||||||
Reynolds and Reynolds Co. First Lien Term | ||||||||
Loan, 4.383%, 10/31/12 | 3,536 | 3,377,319 | ||||||
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4,261,660 | ||||||||
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Containers & Packaging - 1.9% | Berry Plastics Corp. Term Loan B, 9.728%, 6/15/14 | 1,127 | 789,104 | |||||
Consolidated Container Co. LLC Second Lien | ||||||||
Term Loan, 7.88% - 8.399%, 10/15/14 | 550 | 239,250 | ||||||
Graham Packaging Co. LP Term Loan B, | ||||||||
4.875%, 4/15/11 | 1,980 | 1,888,425 |
2
BlackRock Floating Rate Income Strategies Fund, Inc. | ||||||||||
Schedule of Investments May 31, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||||
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Par | ||||||||||
Industry | Floating Rate Loan Interests | (000) | Value | |||||||
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Graphic Packaging International Corp. Term | ||||||||||
Loan B, 5.44% - 5.67%, 5/16/14 | $ 2,000 | $ 1,928,000 | ||||||||
Smurfit-Stone Container Corp. Term Loan B, | ||||||||||
4.875% - 5.125%, 11/01/11 | 322 | 311,369 | ||||||||
Smurfit-Stone Container Corp. Term Loan C, | ||||||||||
4.709% - 5.125%, 11/01/11 | 611 | 591,465 | ||||||||
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5,747,613 | ||||||||||
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Diversified Consumer Services - 0.9% | Coinmach Laundry Corp. Term Loan B, 6.07%, | |||||||||
11/15/14 | 3,000 | 2,655,000 | ||||||||
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Diversified Financial Services - 1.8% | Chrysler Financial Corp. First Lien Term Loan, 6.80%, | |||||||||
8/03/12 | 3,990 | 3,582,112 | ||||||||
J.G. Wentworth Manufacturing Term Loan B, | ||||||||||
4.921%, 4/15/14 | 2,300 | 1,811,250 | ||||||||
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5,393,362 | ||||||||||
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Diversified Media - 1.8% | Nielsen Finance LLC Term Loan B, 5.346%, | |||||||||
8/09/13 | 5,910 | 5,549,095 | ||||||||
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Diversified Telecommunication | Alaska Communications Systems Holdings, Inc. | |||||||||
Services - 0.3% | Incremental Term Loan, 4.446%, 2/01/12 | 995 | 943,581 | |||||||
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Electrical Equipment - 1.8% | Generac Power Systems, Inc. First Lien Term Loan, | |||||||||
5.184%, 11/15/13 | 1,304 | 1,059,546 | ||||||||
Sensus Metering Systems, Inc. Term Loan B-1, | ||||||||||
4.638% - 6.901%, 12/17/10 | 4,578 | 4,303,565 | ||||||||
Sensus Metering Systems, Inc. Term Loan B-2, | ||||||||||
6.718% - 6.901%, 12/19/10 | 316 | 296,866 | ||||||||
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5,659,977 | ||||||||||
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Energy Equipment & Services - 0.8% | Helix Energy Solutions Term Loan B, 4.381% - | |||||||||
4.71%, 7/01/13 | 506 | 490,830 | ||||||||
MEG Energy Corp. Delayed Draw Term Loan, | ||||||||||
4.69% - 6.73%, 3/23/13 | 998 | 941,322 | ||||||||
MEG Energy Corp. Term Loan B, 4.70%, | ||||||||||
4/03/13 | 980 | 922,016 | ||||||||
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2,354,168 | ||||||||||
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Food & Staples Retailing - 2.9% | Advantage Sales & Marketing Term Loan B, | |||||||||
4.59% - 4.70%, 4/15/13 | 1,468 | 1,376,503 | ||||||||
Bolthouse Farms, Inc. Second Lien Term Loan, | ||||||||||
8.196%, 12/01/13 | 1,000 | 940,000 | ||||||||
DS Waters LP Term Loan B, 4.631% - 5.113%, | ||||||||||
11/15/12 | 988 | 918,375 | ||||||||
Dole Food Co., Inc. Term Loan B, 4.75% - 6%, | ||||||||||
4/12/13 | 565 | 522,827 | ||||||||
Dole Food Co., Inc. Term Loan C, 4.75% - 6%, | ||||||||||
4/04/13 | 1,884 | 1,742,757 | ||||||||
IGLO Birds Eye Term Loan B, 7.018% - 7.393%, | ||||||||||
10/27/19 | EUR | 500 | 748,312 | |||||||
IGLO Birds Eye Term Loan C, 6.116% - 6.239%, | ||||||||||
10/27/15 | 500 | 748,312 | ||||||||
McJunkin Corp. Term Loan B, 6.134%, 1/30/14 | $ 731 | 719,131 | ||||||||
Sturm Foods, Inc. First Lien Term Loan, | ||||||||||
5.438% -9.313%, 1/30/14 | 983 | 764,727 | ||||||||
Sturm Foods, Inc. Second Lien Term Loan, | ||||||||||
8.938% - 9.313%, 6/30/14 | 998 | 558,611 | ||||||||
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9,039,555 | ||||||||||
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3
BlackRock Floating Rate Income Strategies Fund, Inc. | ||||||||
Schedule of Investments May 31, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||
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Par | ||||||||
Industry | Floating Rate Loan Interests | (000) | Value | |||||
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Food & Tobacco - 0.1% | Dole Food Co., Inc. Letter of Credit, 2.58%, | |||||||
4/12/13 | $ 256 | $ 237,110 | ||||||
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Health Care Equipment & Supplies - 1.3% | Biomet, Inc. Term Loan B, 5.696%, 3/25/14 | 2,989 | 2,901,983 | |||||
ReAble Therapeutics Finance LLC Term Loan, | ||||||||
5.696%, 5/14/14 | 998 | 970,069 | ||||||
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3,872,052 | ||||||||
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Health Care Providers & | CCS Medical First Lien Term Loan, 5.93%, | |||||||
Services - 2.6% | 10/31/12 | 477 | 407,816 | |||||
Community Health Systems, Inc. Term Loan B, | ||||||||
5.335%, 6/18/14 | 3,276 | 3,088,485 | ||||||
DaVita, Inc. Term Loan B, 4.20%, 7/30/12 | 2,000 | 1,913,250 | ||||||
Health Management Associates, Inc. Term | ||||||||
Loan B, 4.446%, 1/15/14 | 1,944 | 1,802,375 | ||||||
Sterigenics International, Inc. Term Loan B, | ||||||||
5.05%, 11/30/13 | 731 | 657,892 | ||||||
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7,869,818 | ||||||||
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Hotels, Restaurants & Leisure - 4.1% | Golden Nugget, Inc. Term Loan, 4.39% - | |||||||
4.46%, 5/30/14 | 318 | 290,341 | ||||||
Golden Nugget, Inc. Term Loan Second Lien, | ||||||||
5.71% - 5.81%, 11/30/14 | 500 | 340,000 | ||||||
Green Valley Ranch Gaming LLC Term Loan, | ||||||||
5.894%, 8/30/14 | 500 | 328,125 | ||||||
Greenwood Racing, Inc. Term Loan, 4.64%, | ||||||||
11/15/13 | 494 | 459,188 | ||||||
Hallmark Entertainment Second Lien Term | ||||||||
Loan, 6.91%, 10/15/14 | 1,750 | 1,575,000 | ||||||
Harrah's Entertainment, Inc. Term Loan B2, | ||||||||
5.906% - 6.244%, 1/29/15 | 2,800 | 2,614,063 | ||||||
Harrah's Entertainment, Inc. Term Loan B3, | ||||||||
6.244%, 1/29/15 | 211 | 197,947 | ||||||
Harrah's Operating Term Loan B, 6.241%, | ||||||||
1/31/15 | 238 | 222,095 | ||||||
Las Vegas Sands LLC Delay Draw Term Loan, | ||||||||
4.17%, 5/23/14 | 400 | 367,667 | ||||||
Las Vegas Sands LLC Term Loan B, 4.45%, | ||||||||
5/04/14 | 1,588 | 1,459,637 | ||||||
Penn National Gaming, Inc. Term Loan B, | ||||||||
4.13% - 4.66%, 10/03/12 | 1,204 | 1,170,737 | ||||||
QCE LLC First Lien Term Loan, 4.938% - 7.61%, | ||||||||
5/05/13 | 491 | 418,688 | ||||||
Travelport, Inc. Standby Letter of Credit, | ||||||||
4.946%, 8/31/13 | 178 | 163,053 | ||||||
Travelport, Inc. Term Loan B, 4.631%, 8/31/13 | 889 | 812,622 | ||||||
Venetian Macau US Finance Co. LLC Delay | ||||||||
Draw Term Loan, 4.95%, 5/25/12 | 750 | 723,750 | ||||||
Venetian Macau US Finance Co. LLC Term | ||||||||
Loan B, 4.95%, 5/25/13 | 1,500 | 1,447,500 | ||||||
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12,590,413 | ||||||||
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Household Durables - 2.2% | American Achievement Corp. Term Loan B, | |||||||
4.98% - 6.50%, 3/22/11 | 977 | 957,015 | ||||||
American Residential Services Second Lien | ||||||||
Term Loan,12%, 4/17/15 | 2,000 | 1,971,308 |
4
BlackRock Floating Rate Income Strategies Fund, Inc. | ||||||||
Schedule of Investments May 31, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||
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Par | ||||||||
Industry | Floating Rate Loan Interests | (000) | Value | |||||
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Simmons Co. Tranche B Term Loan, 6.375% - | ||||||||
8.75%, 12/19/11 | $ 3,165 | $ 2,817,708 | ||||||
Yankee Candle Co., Inc. Term Loan B, 4.39%, | ||||||||
2/06/14 | 1,250 | 1,139,733 | ||||||
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6,885,764 | ||||||||
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Household Products - 0.5% | Spectrum Brands, Inc. Letter of Credit, | |||||||
2.678%, 4/15/13 | 81 | 76,587 | ||||||
Spectrum Brands, Inc. Term Loan B-1, | ||||||||
6.59% - 7.07%, 4/15/13 | 1,599 | 1,520,510 | ||||||
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1,597,097 | ||||||||
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IT Services - 4.8% | Activant Solutions Term Loan B, 4.75% - 5.063%, | |||||||
5/02/13 | 2,048 | 1,812,457 | ||||||
Audio Visual Services Corp. Second Lien Term | ||||||||
Loan, 8.20%, 9/15/14 | 1,000 | 900,000 | ||||||
Audio Visual Services Corp. Term Loan B, | ||||||||
4.95%, 3/15/14 | 1,493 | 1,268,625 | ||||||
Ceridian Corp. Term Loan, 5.59%, 11/07/14 | 2,000 | 1,750,000 | ||||||
First Data Corp. Term Loan B, 5.143% - 5.446%, | ||||||||
9/24/14 | 1,244 | 1,152,872 | ||||||
First Data Corp. Term Loan B2, 5.349% - 5.446%, | ||||||||
9/24/14 | 1,997 | 1,852,222 | ||||||
First Data Corp. Term Loan B3, 5.349% - 5.446%, | ||||||||
9/24/14 | 997 | 925,300 | ||||||
RedPrairie Corp. Term Loan, 5% - 7%, 7/31/12 | 641 | 564,270 | ||||||
RedPrairie Corp. Term Loan, 9.275%, 1/31/13 | 300 | 255,000 | ||||||
SunGard Data Systems, Inc. Term Loan B, | ||||||||
4.508%, 2/11/13 | 4,477 | 4,215,814 | ||||||
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14,696,560 | ||||||||
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Independent Power Producers & Energy | The AES Corp. Term Loan, 7% - 7.19%, 8/10/11 | 1,571 | 1,534,762 | |||||
Traders - 2.2% | Calpine Corporation Term Loan, 11.07%, | |||||||
3/11/10 | 17 | 16,128 | ||||||
TXU Corp. Term Loan B-2, 6.478% - 6.596%, 10/14/29 | 1,493 | 1,404,477 | ||||||
TXU Corp. Term Loan B-3, 6.234% - 6.478%, | ||||||||
10/10/14 | 3,980 | 3,740,205 | ||||||
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6,695,572 | ||||||||
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Industrial Conglomerates - 0.4% | Sequa Corp. Term Loan B, 5.95%, 11/21/14 | 998 | 948,248 | |||||
Trimas Corp. Letter of Credit, 2.553%, 8/02/13 | 375 | 350,625 | ||||||
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1,298,873 | ||||||||
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Insurance - 0.1% | Alliant Insurance Services Term Loan B, | |||||||
5.696% - 7.83%, 10/23/14 | 498 | 461,431 | ||||||
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Leisure Equipment & Products - 2.3% | 24 Hour Fitness Term Loan B, 5.20% - 7.22%, 6/08/12 | 3,920 | 3,645,600 | |||||
Easton-Bell Sports, Inc. Term Loan B, 4.39% - | ||||||||
4.65%, 3/27/12 | 3,242 | 2,930,233 | ||||||
Fender Musical Instruments Corp. Delay Draw | ||||||||
Term Loan, 6.97%, 5/25/14 | 167 | 150,250 | ||||||
Fender Musical Instruments Corp. Term Loan | ||||||||
B, 7.16%, 5/25/14 | 331 | 298,247 | ||||||
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7,024,330 | ||||||||
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Machinery - 3.6% | Harrington Holdings, Inc. Term Loan, 4.631%, | |||||||
1/15/14 | 990 | 910,800 | ||||||
Invensys Plc Term Loan A, 4.71%, 12/15/10 | 2,354 | 2,252,305 |
5
BlackRock Floating Rate Income Strategies Fund, Inc. | ||||||||
Schedule of Investments May 31, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||
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Par | ||||||||
Industry | Floating Rate Loan Interests | (000) | Value | |||||
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NACCO Materials Handling Group Term Loan | ||||||||
B, 4.676% - 4.863%, 3/21/13 | $ 1,474 | $ 1,330,059 | ||||||
Navistar International Transportation Corp. | ||||||||
Revolving Credit, 6.149% - 6.292%, 6/30/12 | 1,333 | 1,252,223 | ||||||
Navistar International Transportation Corp. | ||||||||
Term Loan, 2.453% - 6.149%, 6/30/12 | 3,667 | 3,443,612 | ||||||
OshKosh Truck Corp. Term Loan B, 4.76%, | ||||||||
11/30/13 | 1,975 | 1,885,301 | ||||||
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11,074,300 | ||||||||
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||||
Manufacturing - 0.6% | Jason, Inc. Term Loan B, 5.216% - 6.50%, 4/30/10 | 488 | 426,614 | |||||
Trimas Corp. Term Loan B, 7.234%, 8/02/13 | 1,601 | 1,496,584 | ||||||
|
||||||||
1,923,198 | ||||||||
|
|
|
|
|
||||
Media - 18.5% | Affinion Group, Inc. Term Loan, 9.267%, 3/01/12 | 2,000 | 1,670,000 | |||||
Alix Partners Term Loan B, 4.71%, 10/30/13 | 1,591 | 1,534,970 | ||||||
Bresnan Telecommunications Term Loan B2, | ||||||||
5.93%, 9/17/11 | 1,500 | 1,428,750 | ||||||
Cequel Communications LLC Second Lien | ||||||||
Term Loan, 7.373%, 5/04/14 | 2,000 | 1,715,000 | ||||||
Clarke American Corp. Term Loan B, | ||||||||
5.196% - 5.198%, 3/12/13 | 992 | 828,241 | ||||||
ClientLogic Holding Corp. Term Loan B, | ||||||||
4.881% - 5.359%, 1/30/14 | 973 | 778,768 | ||||||
EMMIS Communications Term Loan B, 4.671% - | ||||||||
4.674%, 10/31/13 | 962 | 838,647 | ||||||
Education Media and Publishing First Lien | ||||||||
Term Loan B, 6.901%, 11/14/14 | 2,636 | 2,412,273 | ||||||
Education Media and Publishing Second Lien | ||||||||
Term Loan, 11.401%, 11/14/14 | 9,102 | 7,554,971 | ||||||
GateHouse Media Operating, Inc. Delay Draw | ||||||||
Term Loan, 4.65%, 9/15/14 | 592 | 412,688 | ||||||
GateHouse Media Operating, Inc. Term Loan | ||||||||
B, 4.65% - 4.72%, 9/15/14 | 2,000 | 1,395,000 | ||||||
Gray Communications Systems, Inc. Term | ||||||||
Loan B, 6.21%, 9/18/14 | 998 | 894,840 | ||||||
HIT Entertainment Ltd. First Lien Term Loan, | ||||||||
4.79%, 8/31/12 | 732 | 662,491 | ||||||
Hanley-Wood LLC Term Loan B, 4.938% - | ||||||||
4.96%, 3/07/14 | 1,493 | 1,143,628 | ||||||
Idearc, Inc. Term Loan B, 6.83%, 11/15/14 | 1,903 | 1,580,523 | ||||||
Insight Midwest Holdings LLC Delay Draw Term | ||||||||
Loan, 4.69%, 4/03/14 | 3,375 | 3,221,920 | ||||||
Intelsat Ltd. Term Loan B, 5.184%, 6/27/13 | 1,921 | 1,850,492 | ||||||
Intelsat Ltd. Term Loan B, 5.20%, 1/31/14 | 3,525 | 3,543,506 | ||||||
Mediacom Broadband Group Tranche A Term | ||||||||
Loan, 3.89% - 4.13%, 3/31/10 | 1,263 | 1,199,375 | ||||||
Mediacom LLC Term Loan C, 4.14% - 4.38%, | ||||||||
1/31/15 | 3,121 | 2,838,354 | ||||||
Metro-Goldwyn-Mayer Studios, Inc. Term Loan | ||||||||
B, 8.108%, 4/30/11 | 3,833 | 3,082,157 | ||||||
Multicultural Radio Broadcasting Inc. Term | ||||||||
Loan, 5.75%, 12/15/12 | 355 | 323,050 | ||||||
National Cinemedia LLC Term Loan B, 4.62%, | ||||||||
2/28/15 | 1,000 | 919,219 |
6
BlackRock Floating Rate Income Strategies Fund, Inc. | ||||||||||
Schedule of Investments May 31, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||||
|
|
|||||||||
Par | ||||||||||
Industry | Floating Rate Loan Interests | (000) | Value | |||||||
|
|
|
|
|
|
|||||
NextMedia Group, Inc. Delay Draw Term Loan, | ||||||||||
5.098%, 11/15/12 | $ 314 | $ 285,314 | ||||||||
NextMedia Group, Inc. First Lien Term Loan, | ||||||||||
6.451%, 11/15/12 | 419 | 380,203 | ||||||||
NextMedia Group, Inc. Second Lien Term | ||||||||||
Loan, 7.20%, 11/15/13 | 1,750 | 1,365,000 | ||||||||
PagesJaunes Group Term Loan, 8.607%, | ||||||||||
1/11/17 | EUR | 500 | 640,015 | |||||||
PagesJaunes Group Term Loan B, 6.607%, | ||||||||||
1/11/15 | 1,000 | 1,292,327 | ||||||||
PagesJaunes Group Term Loan C, 7.107%, | ||||||||||
1/11/16 | 500 | 646,164 | ||||||||
PanAmSat Corp. Term Loan B, 5.184%, 1/03/14 | $ 1,350 | 1,279,209 | ||||||||
PanAmSat Corp. Term Loan B2, 5.184%, | ||||||||||
1/03/14 | 1,349 | 1,279,594 | ||||||||
PanAmSat Corp. Term Loan B2C, 5.184%, | ||||||||||
1/03/14 | 1,349 | 1,279,209 | ||||||||
Paxson Communications Corp. First Lien Term | ||||||||||
Loan, 5.963%, 11/15/12 | 3,250 | 2,600,000 | ||||||||
Penton Media Term Loan, 7.90%, 2/15/14 | 1,000 | 700,000 | ||||||||
ProSiebenSat.1 Media AG Term Loan B, | ||||||||||
7.325%, 6/30/15 | EUR | 500 | 539,892 | |||||||
ProSiebenSat.1 Media AG Term Loan B, 7.02%, | ||||||||||
6/30/16 | 500 | 539,892 | ||||||||
San Juan Cable Term Loan B, 9.47% - 11.97%, | ||||||||||
3/15/13 | $ 1,125 | 998,373 | ||||||||
Thomson Learning Inc. Term Loan, 5.62% - | ||||||||||
7.58%, 6/30/14 | 1,493 | 1,344,929 | ||||||||
Univision Communications, Inc. First Lien | ||||||||||
Term Loan, 5.494%, 9/30/14 | 166 | 139,966 | ||||||||
|
||||||||||
57,138,950 | ||||||||||
|
|
|
|
|
|
|||||
Multi-Utilities - 2.2% | Coleto Creek Letter of Credit, 5.446%, 7/31/13 | 1,817 | 1,647,082 | |||||||
Coleto Creek Term Loan B, 2.596%, 7/31/13 | 127 | 115,499 | ||||||||
Energy Transfer Equity LP Term Loan B, | ||||||||||
4.508%, 11/01/12 | 1,000 | 970,536 | ||||||||
KGen Partners Letter of Credit, 2.59%, 2/15/14 | 375 | 356,719 | ||||||||
KGen Partners Term Loan B, 4.50%, 2/15/14 | 617 | 587,100 | ||||||||
NE Energy Second Lien Term Loan, 7.125%, | ||||||||||
10/31/14 | 500 | 435,000 | ||||||||
Riverside Energy Center Term Loan, 7.149%, | ||||||||||
6/24/11 | 1,581 | 1,580,977 | ||||||||
Rocky Mountain Energy Center LLC Credit | ||||||||||
Linked Deposit, 3.144%, 6/24/11 | 134 | 133,966 | ||||||||
Rocky Mountain Energy Center LLC Term Loan, | ||||||||||
7.149%, 6/24/11 | 856 | 856,232 | ||||||||
|
||||||||||
6,683,111 | ||||||||||
|
|
|
|
|
|
|||||
Multiline Retail - 1.2% | Neiman Marcus Group, Inc. Term Loan, | |||||||||
4.758%, 4/06/13 | 3,734 | 3,568,006 | ||||||||
|
|
|
|
|
|
|||||
Oil & Gas Exploration & Production - 0.5% | Western Refining Co. LP Term Loan B, 6.595%, | |||||||||
3/15/14 | 1,602 | 1,418,213 | ||||||||
|
|
|
|
|
|
|||||
Oil, Gas & Consumable Fuels - 1.2% | Big West Oil & Gas Delay Draw Term Loan, | |||||||||
4.966%, 5/15/14 | 125 | 116,875 |
7
BlackRock Floating Rate Income Strategies Fund, Inc. | ||||||||||
Schedule of Investments May 31, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||||
|
|
|||||||||
Par | ||||||||||
Industry | Floating Rate Loan Interests | (000) | Value | |||||||
|
|
|
|
|
|
|||||
Big West Oil & Gas Term Loan B, 5%, 5/15/14 | $ 443 | $ 413,738 | ||||||||
Coffeyville Resources LLC Letter of Credit, | ||||||||||
4.629%, 12/21/13 | 486 | 469,459 | ||||||||
Coffeyville Resources LLC Term Loan B, 5.448% - | ||||||||||
6.75%, 12/21/13 | 1,579 | 1,523,424 | ||||||||
Petroleum Geo-Services ASA Term Loan B, | ||||||||||
4.45%, 6/30/15 | 953 | 921,158 | ||||||||
Western Refining Co. LP Delay Draw Term | ||||||||||
Loan, 6.595%, 3/15/14 | 240 | 213,032 | ||||||||
|
||||||||||
3,657,686 | ||||||||||
|
|
|
|
|
|
|||||
Packaging - 0.5% | Anchor Glass Container Corp. Term Loan B, | |||||||||
4.631%, 5/03/13 | 1,478 | 1,459,066 | ||||||||
|
|
|
|
|
|
|||||
Paper - 0.6% | Georgia-Pacific Corp. First Lien Term Loan B, | |||||||||
4.74% - 6.896%, 2/14/13 | 2,021 | 1,910,692 | ||||||||
|
|
|
|
|
|
|||||
Paper & Forest Products - 1.8% | Boise Cascade Holdings LLC Second Lien Term | |||||||||
Loan, 7.50%, 2/05/15 | 1,250 | 1,251,116 | ||||||||
Georgia-Pacific Corp. Term Loan B, 6.58% - | ||||||||||
6.896%, 12/20/12 | 1,496 | 1,414,517 | ||||||||
NewPage Corp. Tem Loan B, 6.313%, 12/07/14 | 1,247 | 1,242,043 | ||||||||
Verso Paper Holdings LLC Term Loan B, 4.95%, | ||||||||||
2/01/13 | 1,850 | 1,742,310 | ||||||||
|
||||||||||
5,649,986 | ||||||||||
|
|
|
|
|
|
|||||
Pharmaceuticals - 0.9% | Pharmaceutical Technologies & Services (PTS) | |||||||||
Term Loan, 4.946%, 4/15/14 | 1,489 | 1,323,127 | ||||||||
Pharmaceutical Technologies & Services (PTS) | ||||||||||
Term Loan, 6.978%, 4/15/14 | EUR | 993 | 1,351,065 | |||||||
|
||||||||||
2,674,192 | ||||||||||
|
|
|
|
|
|
|||||
Publishing - 0.4% | Catalina Marketing Group Term Loan, 5.696%, | |||||||||
10/01/14 | $ 1,495 | 1,412,775 | ||||||||
|
|
|
|
|
||||||
Real Estate Management & Development - | Mattamy Group Term Loan B, 4.938%, | |||||||||
0.8% | 4/11/13 | 980 | 850,150 | |||||||
Realogy Corp. Term Loan B, 5.59%, 9/22/14 | 1,985 | 1,687,250 | ||||||||
|
||||||||||
2,537,400 | ||||||||||
|
|
|
|
|
|
|||||
Road & Rail - 0.3% | Rail America, Inc. Term Loan, 4.93%, 10/15/08 | 1,000 | 970,000 | |||||||
|
|
|
|
|
||||||
Semiconductors & Semiconductor | Marvell Technology Group Term Loan B, 5.196%, | |||||||||
Equipment - 0.6% | 11/15/09 | 1,969 | 1,890,000 | |||||||
|
|
|
|
|
|
|||||
Specialty Retail - 0.6% | ADESA, Inc. Term Loan B, 4.95%, 10/30/13 | 1,489 | 1,379,699 | |||||||
Claire's Stores Term Loan B, 5.446% - 5.613%, | ||||||||||
5/24/14 | 743 | 590,527 | ||||||||
|
||||||||||
1,970,226 | ||||||||||
|
|
|
|
|
|
|||||
Telecommunications - 1.0% | Crown Castle Operating Co. Term Loan, 4.196%, | |||||||||
3/15/14 | 2,475 | 2,345,506 | ||||||||
Knology, Inc. Term Loan B, 4.934%, 3/15/12 | 744 | 684,825 | ||||||||
|
||||||||||
3,030,331 | ||||||||||
|
|
|
|
|
|
|||||
Textiles, Apparel & Luxury | David's Bridal, Inc. Term Loan B, 4% - 6.23%, | |||||||||
Goods - 0.3% | 1/30/2014 | 743 | 647,831 | |||||||
Renfro Corp. Term Loan B, 5.79% - 5.99%, | ||||||||||
9/30/13 | 493 | 394,741 | ||||||||
|
||||||||||
1,042,572 | ||||||||||
|
|
|
|
|
|
|||||
Trading Companies & | Keystone Automotive Operations, Inc. Term Loan | |||||||||
Distributors - 0.5% | B, 6.099% - 6.399%, 1/15/12 | 1,437 | 1,142,630 |
8
BlackRock Floating Rate Income Strategies Fund, Inc. | ||||||||
Schedule of Investments May 31, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||
|
|
|||||||
Par | ||||||||
Industry | Floating Rate Loan Interests | (000) | Value | |||||
|
|
|
|
|
||||
United Rentals, Inc. Term Loan, 4.83%, | ||||||||
2/14/11 | $ 358 | $ 355,441 | ||||||
United Rentals, Inc. Tranche B Credit Linked | ||||||||
Deposit, 5.32%, 2/14/11 | 152 | 150,293 | ||||||
|
||||||||
1,648,364 | ||||||||
|
|
|
|
|
||||
Wireless Telecommunication | Centennial Cellular Operating Co. Term Loan, | |||||||
Services - 0.6% | 4.381% - 4.696%, 2/09/11 | 931 | 908,882 | |||||
IPC Systems First Lien Term Loan, 4.946%, | ||||||||
5/25/14 | 993 | 760,917 | ||||||
NG Wireless Term Loan, 5.131% - 5.446%, 7/31/14 | 406 | 386,096 | ||||||
|
||||||||
2,055,895 | ||||||||
|
|
|
|
|
||||
Total Floating Rate Loan Interests - 97.8% | 301,282,505 | |||||||
|
|
|
|
|||||
Corporate Bonds | ||||||||
|
|
|
|
|
||||
Auto Components - 0.3% | The Goodyear Tire & Rubber Co., 6.678%, | |||||||
12/01/09 (c) | 1,000 | 1,001,250 | ||||||
|
|
|
|
|
||||
Building Products - 2.3% | CPG International I, Inc., 11.468%, 7/01/12 (c) | 3,500 | 2,905,000 | |||||
CPG International I, Inc., 10.50%, 7/01/13 | 3,000 | 2,490,000 | ||||||
Masonite International Corp., 11%, 4/06/15 | 2,500 | 1,675,000 | ||||||
|
||||||||
7,070,000 | ||||||||
|
|
|
|
|
||||
Capital Markets - 2.3% | E*Trade Financial Corp., 12.50%, 11/30/17 (d) | 5,000 | 5,450,000 | |||||
Marsico Parent Co., LLC, 10.625%, 1/15/16 (d)(f) | 1,168 | 1,051,200 | ||||||
Marsico Parent Holdco, LLC, 12.50%, | ||||||||
7/15/16 (d)(e)(f) | 417 | 375,125 | ||||||
Marsico Parent Superholdco, LLC, 14.50%, | ||||||||
1/15/18 (d)(e)(f) | 280 | 247,811 | ||||||
|
||||||||
7,124,136 | ||||||||
|
|
|
|
|
||||
Chemicals - 1.9% | GEO Specialty Chemicals, Inc., 13.85%, | |||||||
12/31/09 (g) | 1,319 | 987,601 | ||||||
GEO Specialty Chemicals Inc , 7.50%, | ||||||||
3/31/15 (d)(e)(g) | 775 | 580,330 | ||||||
Hexion U.S. Finance Corp., 7.176%, 11/15/14 (c) | 4,000 | 3,800,000 | ||||||
NOVA Chemicals Corp., 5.953%, 11/15/13 (c) | 485 | 417,100 | ||||||
|
||||||||
5,785,031 | ||||||||
|
|
|
|
|
||||
Commercial Services & Supplies - 2.2% | Allied Waste North America, Inc. Series B, | |||||||
7.375%, 4/15/14 | 3,375 | 3,408,750 | ||||||
ARAMARK Corp., 6.373%, 2/01/15 (c) | 2,000 | 1,920,000 | ||||||
US Investigations Services, Inc., 10.50%, | ||||||||
11/01/15 (d) | 1,600 | 1,448,000 | ||||||
|
||||||||
6,776,750 | ||||||||
|
|
|
|
|
||||
Construction & Engineering - 0.2% | Dycom Industries, Inc., 8.125%, 10/15/15 | 600 | 576,000 | |||||
|
|
|
|
|||||
Construction Materials - 1.1% | Nortek Holdings, Inc., 10%, 12/01/13 (d) | 3,420 | 3,398,625 | |||||
|
|
|
|
|||||
Containers & Packaging - 2.0% | Berry Plastics Holding Corp., 6.675%, | |||||||
9/15/14 (c) | 1,450 | 1,225,250 | ||||||
Clondalkin Acquisition BV, 4.80%, | ||||||||
12/15/13 (c)(d) | 4,000 | 3,520,000 | ||||||
Packaging Dynamics Finance Corp., 10%, | ||||||||
5/01/16 (d) | 2,350 | 1,551,000 | ||||||
|
||||||||
6,296,250 | ||||||||
|
|
|
|
|
||||
Diversified Financial Services - 0.2% | Ford Motor Credit Co. LLC, 7.163%, 4/15/12 (c) | 750 | 737,796 | |||||
|
|
|
|
9
BlackRock Floating Rate Income Strategies Fund, Inc. | ||||||||
Schedule of Investments May 31, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||
|
|
|||||||
Par | ||||||||
Industry | Corporate Bonds | (000) | Value | |||||
|
|
|
|
|
||||
Diversified Telecommunication Services - | Qwest Corp., 6.05%, 6/15/13 (c) | $ 1,450 | $ 1,406,500 | |||||
0.5% | ||||||||
|
|
|
|
|
||||
Electronic Equipment & Instruments - 0.7% | NXP BV, 5.463%, 10/15/13 (c) | 2,390 | 2,186,850 | |||||
|
|
|
|
|
||||
Energy Equipment & Services - 1.0% | Ocean RIG ASA, 6.70%, 4/04/11 (c) | 3,000 | 3,000,000 | |||||
|
|
|
|
|
||||
Food & Staples Retailing - 0.1% | AmeriQual Group LLC, 9%, 4/01/12 (d) | 250 | 160,000 | |||||
|
|
|
|
|
||||
Health Care Equipment & Supplies - 2.6% | ReAble Therapeutics Finance LLC, 10.875%, | |||||||
11/15/14 (d) | 8,000 | 8,000,000 | ||||||
|
|
|
|
|
||||
Health Care Providers & Services - 0.1% | Universal Hospital Services, Inc., 6.303%, | |||||||
6/01/15 (c) | 460 | 435,850 | ||||||
|
|
|
|
|
||||
Hotels, Restaurants & Leisure - 2.8% | American Real Estate Partners LP, 7.125%, | |||||||
2/15/13 | 5,000 | 4,575,000 | ||||||
Harrah's Operating Co., Inc., 10.75%, | ||||||||
2/01/16 (d) | 2,503 | 2,171,353 | ||||||
Harrah's Operating Co., Inc., 10.75%, | ||||||||
2/01/18 (d)(e) | 426 | 321,191 | ||||||
Little Traverse Bay Bands of Odawa Indians, | ||||||||
10.25%, 2/15/14 (d) | 1,565 | 1,463,275 | ||||||
|
||||||||
8,530,819 | ||||||||
|
|
|
|
|
||||
Household Durables - 0.1% | The Yankee Candle Co., Inc., 9.75%, 2/15/17 | 240 | 187,200 | |||||
|
|
|
|
|||||
Independent Power Producers & Energy | Texas Competitive Electric Holdings Co. LLC, | |||||||
Traders - 0.4% | 10.25%, 11/01/15 (d) | 1,230 | 1,256,138 | |||||
|
|
|
|
|
||||
Machinery - 0.6% | Ahern Rentals, Inc., 9.25%, 8/15/13 | 250 | 200,000 | |||||
Sunstate Equipment Co. LLC,10.50%, | ||||||||
4/01/13 (d) | 2,000 | 1,600,000 | ||||||
|
||||||||
1,800,000 | ||||||||
|
|
|
|
|
||||
Media - 2.1% | CSC Holdings, Inc. Series B, 7.625%, 4/01/11 | 2,000 | 2,000,000 | |||||
Cablevision Systems Corp. Series B, 7.133%, | ||||||||
4/01/09 (c) | 2,000 | 2,010,000 | ||||||
Cablevision Systems Corp. Series B, 8%, 4/15/12 | 575 | 559,188 | ||||||
Nielsen Finance LLC, 10%, 8/01/14 | 1,000 | 1,031,250 | ||||||
Windstream Regatta Holdings, Inc., 11%, | ||||||||
12/01/17 (d) | 1,244 | 833,480 | ||||||
|
||||||||
6,433,918 | ||||||||
|
|
|
|
|
||||
Metals & Mining - 2.2% | FMG Finance Property Ltd., 6.682%, 9/01/11 (c)(d) | 265 | 265,000 | |||||
Freeport-McMoRan Copper & Gold, Inc., | ||||||||
5.883%, 4/01/15 (c) | 4,220 | 4,219,578 | ||||||
Novelis, Inc., 7.25%, 2/15/15 | 700 | 658,000 | ||||||
Ryerson, Inc., 10.248%, 11/01/14 (c)(d) | 1,680 | 1,549,800 | ||||||
|
||||||||
6,692,378 | ||||||||
|
|
|
|
|
||||
Oil, Gas & Consumable Fuels - 0.5% | SandRidge Energy, Inc., 6.323%, 4/01/14 (c)(d) | 1,600 | 1,568,000 | |||||
|
|
|
|
|||||
Paper & Forest Products - 2.2% | Abitibi-Consolidated, Inc., 6.30%, | |||||||
6/15/11 (c) | 2,650 | 1,192,500 | ||||||
Ainsworth Lumber Co. Ltd., 6.446%, | ||||||||
10/01/10 (c) | 1,375 | 660,000 | ||||||
Ainsworth Lumber Co. Ltd., 6.696%, | ||||||||
4/01/13 (c) | 940 | 479,400 | ||||||
Ainsworth Lumber Co. Ltd., 7.25%, 10/01/12 | 125 | 56,250 | ||||||
Domtar Corp., 7.125%, 8/15/15 | 625 | 596,875 | ||||||
NewPage Corp., 9.123%, 5/01/12 (c) | 925 | 966,625 | ||||||
Verso Paper Holdings LLC Series B, 6.623%, | ||||||||
8/01/14 (c) | 3,000 | 2,790,000 | ||||||
|
||||||||
6,741,650 | ||||||||
|
|
|
|
|
10
BlackRock Floating Rate Income Strategies Fund, Inc. | ||||||||
Schedule of Investments May 31, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||
|
|
|||||||
Par | ||||||||
Industry | Corporate Bonds | (000) | Value | |||||
|
|
|
|
|
||||
Pharmaceuticals - 0.3% | Angiotech Pharmaceuticals, Inc., 6.432%, | |||||||
12/01/13 (c) | $ 1,000 | $ 865,000 | ||||||
|
|
|
|
|
||||
Real Estate Management & Development - | Realogy Corp., 11%, 4/15/14 (e) | 3,250 | 2,112,500 | |||||
0.7% | ||||||||
|
|
|
|
|
||||
Road & Rail - 0.1% | Swift Transportation Co., Inc., 10.426%, | |||||||
5/15/15 (c)(d) | 1,350 | 445,500 | ||||||
|
|
|
|
|
||||
Semiconductors & Semiconductor | Avago Technologies Finance Pte. Ltd., | |||||||
Equipment - 1.0% | 8.182%, 6/01/13 (c) | 900 | 898,875 | |||||
Spansion, Inc., 5.807%, 6/01/13 (c)(d) | 2,870 | 2,095,100 | ||||||
|
||||||||
2,993,975 | ||||||||
|
|
|
|
|
||||
Specialty Retail - 0.2% | AutoNation, Inc., 4.713%, 4/15/13 (c) | 250 | 220,938 | |||||
General Nutrition Centers, Inc., 7.199%, | ||||||||
3/15/14 (c)(e) | 700 | 608,682 | ||||||
|
||||||||
829,620 | ||||||||
|
|
|
|
|
||||
Wireless Telecommunication Services - | Cricket Communications, Inc., 9.375%, 11/01/14 | 370 | 357,050 | |||||
0.2% | Digicel Group Ltd., 9.125%, 1/15/15 (d)(e) | 278 | 233,216 | |||||
|
||||||||
590,266 | ||||||||
|
|
|
|
|
||||
Total Corporate Bonds - 30.9% | 95,002,002 | |||||||
|
|
|
|
|
||||
Common Stocks (b) | Shares | |||||||
|
|
|
|
|
||||
Capital Markets - 0.3% | E*Trade Financial Corp. | 242,021 | 992,286 | |||||
|
|
|
|
|
||||
Chemicals - 0.0% | GEO Specialty Chemicals, Inc. | 13,117 | 5,036 | |||||
|
|
|
|
|
||||
Electrical Equipment - 0.2% | Medis Technologies Ltd. | 71,654 | 443,538 | |||||
|
|
|
|
|
||||
Energy Equipment & Services - 1.5% | Trico Marine Services, Inc. | 119,185 | 4,575,512 | |||||
|
|
|
|
|
||||
Paper & Forest Products - 0.0% | Western Forest Products, Inc. | 84,448 | 101,990 | |||||
|
|
|
|
|
||||
Total Common Stocks - 2.0% | 6,118,362 | |||||||
|
|
|
|
|
||||
Preferred Stocks | ||||||||
|
|
|
|
|
||||
Capital Markets - 0.0% | Marsico Parent Superholdco, LLC, 16.75% (d)(f) | 78 | 68,640 | |||||
|
|
|
|
|||||
Total Preferred Stocks - 0.0% | 68,640 | |||||||
|
|
|
|
|
||||
Warrants (h) | ||||||||
|
|
|
|
|
||||
Electric Utilities - 0.0% | Reliant Resources (expires 10/25/08) | 4,558 | 72,928 | |||||
|
|
|
|
|||||
Total Warrants - 0.0% | 72,928 | |||||||
|
|
|
|
|
||||
Total Long-Term Securities | ||||||||
(Cost - $438,637,275) - 130.7% | 402,544,437 | |||||||
|
|
|
|
|
||||
Beneficial | ||||||||
Interest | ||||||||
Short-Term Securities | (000) | |||||||
|
|
|
|
|
||||
BlackRock Liquidity Series, LLC | ||||||||
Cash Sweep Series, 2.63% (i)(j) | $ 3,340 | 3,339,762 | ||||||
|
|
|
|
|
||||
Total Short-Term Securities | ||||||||
(Cost - $3,339,762) - 1.1% | 3,339,762 | |||||||
|
|
|
|
|
||||
Options Purchased | Contracts | |||||||
|
|
|
|
|
||||
Call Options | Marsico Parent Superholdco LLC, expiring | |||||||
December 2009 at USD 942.86 Broker, | ||||||||
Goldman Sachs & Co. | 20 | 34,500 | ||||||
|
|
|
|
|
||||
Total Options Purchased | ||||||||
(Premiums Paid - $19,556) - 0.0% | 34,500 | |||||||
|
|
|
|
|
||||
Total Investments Before Options Written | ||||||||
(Cost - $441,996,593*) - 131.8% | 405,918,699 | |||||||
|
|
|
|
|
11
BlackRock Floating Rate Income Strategies Fund, Inc. | ||||||||
Schedule of Investments May 31, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||
|
| |||||||
Options Written (k) | Contracts + | Value | ||||||
|
|
|
| |||||
Call Options | Pay a fixed rate of 0.93% and receive a floating rate | |||||||
based on 3-month USD LIBOR, expiring July 2008, | ||||||||
Broker Credit Suisse International | 4 $ | (24,064) | ||||||
|
|
|
| |||||
Put Options | Receive a fixed rate of 0.93% and pay a floating rate | |||||||
based on 3-month USD LIBOR, expiring July 2008, | ||||||||
Broker Credit Suisse International | 4 | (155,172) | ||||||
|
|
|
| |||||
Total Options Written | ||||||||
(Premiums Received - $240,000) - (0.1%) | (179,236) | |||||||
|
|
|
| |||||
Total Investments, Net of Options Written | ||||||||
(Cost - $441,756,593) - 131.7% | 405,739,463 | |||||||
Liabilities in Excess of Other Assets - (31.7%) | (97,641,060) | |||||||
|
| |||||||
Net Assets - 100.0% | $ 308,098,403 | |||||||
| ||||||||
* The cost and unrealized appreciation (depreciation) of investments as of May 31, 2008, as | ||||||||
computed for federal income tax purposes, were as follows: | ||||||||
Aggregate cost | $ 442,100,076 | |||||||
|
||||||||
Gross unrealized appreciation | $ 5,489,873 | |||||||
Gross unrealized depreciation | (41,671,250) | |||||||
|
|
|||||||
Net unrealized depreciation | $ (36,181,377) | |||||||
|
||||||||
+ One contract represents a notional amount of $1,000,000. |
(a) | Issuer filed for bankruptcy or is in default of interest. |
(b) | Non-income producing security. |
(c) | Variable rate security. Rate shown is as of report date. Maturity shown is the final maturity date. |
(d) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. The Fund is not obligated for costs associated with the registration of restricted securities. |
(e) | Represents a pay-in-kind security that may pay interest/dividends in additional face/shares. |
(f) | Illiquid security. |
(g) | Convertible security. |
(h) | 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. |
(i) | 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 | ||||||
Activity | Interest | |||||
Affiliate | (000) | Income | ||||
|
|
|
| |||
BlackRock Liquidity Series, LLC | ||||||
Cash Sweep Series | $ 3,340 | $ 96,890 | ||||
|
|
|
(j) | Represents the current yield as of report date. |
(k) | This European style swaption, which can be exercised only on the expiration date, represents a standby commitment whereby the writer of the option is obligated to enter into a predetermined interest rate swap contract upon exercise of the swaption. |
12
BlackRock Floating Rate Income Strategies Fund, Inc. | ||||||||||
Schedule of Investments May 31, 2008 (Unaudited) | ||||||||||
|
|
|
||||||||
Forward foreign currency contracts as of May 31, 2008 were as follows: | ||||||||||
|
|
|||||||||
Unrealized | ||||||||||
Currency | Currency | Settlement | Appreciation | |||||||
Purchased | Sold | Date | (Depreciation) | |||||||
|
|
|
|
|
||||||
$9,011,990 | EUR | 5,727,000 | 7/23/08 | $ 125,946 | ||||||
$2,957,792 | GBP | 1,516,000 | 7/23/08 | $ (32,538) | ||||||
|
|
|
|
|
||||||
Total Unrealized Appreciation on Forward Foreign Currency | ||||||||||
Contracts - Net | $ 93,408 | |||||||||
|
|
|||||||||
Swaps outstanding as of May 31, 2008 were as follows: | ||||||||||
|
|
|||||||||
Notional | ||||||||||
Amount | Unrealized | |||||||||
(000) | Depreciation | |||||||||
|
|
|
|
|
|
|||||
Sold credit default protection on Ford Motor | ||||||||||
Company and receive 3.80% | ||||||||||
Broker, UBS Warburg | ||||||||||
Expired March 2010 | $ 10,000 | $ (1,039,821) | ||||||||
Bought credit default protection on Dow Jones | ||||||||||
CDX North America High Yield Series 10 Index | ||||||||||
and pay 5% | ||||||||||
Broker, Morgan Stanley Capital Services Inc. | ||||||||||
Expires June 2013 | $ 1,200 | (5,159) | ||||||||
Bought credit default protection on Down | ||||||||||
Jones CDX North America High Yield Index | ||||||||||
Series 10 and receive 5% | ||||||||||
Broker, Morgan Stanley Capital Services Inc. | ||||||||||
Expires June 2013 | $ 3,600 | (71,726) | ||||||||
|
|
|
|
|
||||||
Total | $ (1,116,706) | |||||||||
|
|
|||||||||
Currency Abbreviations: | ||||||||||
EUR | Euro | |||||||||
GBP | British Pound |
13
Item 2 Controls and Procedures 2(a) The registrants principal executive and principal financial officers or persons performing similar functions have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended. 2(b) There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. Item 3 Exhibits Certifications Attached hereto Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. BlackRock Floating Rate Income Strategies Fund, Inc. By: /s/ Donald C. Burke Donald C. Burke Chief Executive Officer of BlackRock Floating Rate Income Strategies Fund, Inc. Date: July 18, 2008 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/ Donald C. Burke Donald C. Burke Chief Executive Officer (principal executive officer) of BlackRock Floating Rate Income Strategies Fund, Inc. Date: July 18, 2008 By: /s/ Neal J. Andrews Neal J. Andrews Chief Financial Officer (principal financial officer) of BlackRock Floating Rate Income Strategies Fund, Inc. Date: July 18, 2008 |