UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-21413

 

Name of Fund: BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Floating Rate Income Strategies Fund, Inc., 55 East 52nd Street, New York, NY 10055

 

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

 

Date of fiscal year end: 08/31/2012

 

Date of reporting period: 11/30/2011

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments November 30, 2011 (Unaudited)

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

ARES CLO Funds, Series
2005-10A, Class B, 0.74%,
9/18/17 (a)(b)

 

USD

750

 

$

669,060

 

Ballyrock CDO Ltd., Series 2006-1A,
Class B, 0.86%, 8/28/19 (a)(b)

 

 

1,000

 

 

785,000

 

Canaras Summit CLO Ltd., Series 2007-
1A, Class B, 0.83%, 6/19/21 (a)(b)

 

 

750

 

 

595,162

 

Chatham Light CLO Ltd., Series
2005-2A, Class A2, 0.83%,
8/03/19 (a)(b)

 

 

1,000

 

 

855,500

 

Flagship CLO, Series 2006-1A,
Class B, 0.70%, 9/20/19 (a)(b)

 

 

1,304

 

 

981,260

 

Franklin CLO Ltd., Series 6A,
Class B, 0.89%, 8/09/19 (a)(b)

 

 

1,910

 

 

1,528,000

 

Fraser Sullivan CLO Ltd., Series 2006-
2A, Class B, 0.75%, 12/20/20 (a)(b)

 

 

500

 

 

407,500

 

Gannett Peak CLO Ltd., Series
2006-1X, Class A2, 0.78%,
10/27/20 (b)

 

 

575

 

 

425,500

 

Goldman Sachs Asset
Management CLO Plc, Series
2007-1A, Class B, 0.88%,
8/01/22 (a)(b)

 

 

1,255

 

 

928,700

 

Landmark CDO Ltd., Series
2006-8A, Class B, 0.77%,
10/19/20 (a)(b)

 

 

1,075

 

 

835,157

 

MAPS CLO Fund LLC, Series 2005-1A,
Class C, 1.30%,
12/21/17 (a)(b)

 

 

575

 

 

503,125

 

Portola CLO Ltd., Series 2007-1X,
Class B1, 1.91%, 11/15/21 (b)

 

 

765

 

 

634,414

 

T2 Income Fund CLO Ltd., Series
2007-1A, Class B, 1.00%,
7/15/19 (a)(b)

 

 

655

 

 

585,053

 

Total Asset-Backed Securities – 3.7%

 

 

 

 

 

9,733,431

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 

Auto Components — 0.7%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession Holding Co. LLP

 

 

 

 

 

 

 

Class B Membership Interests

 

 

29,947

 

 

608,491

 

Class B Membership Interests

 

 

69,876

 

 

1,383,407

 

 

 

 

 

 

 

1,991,898

 

Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

13,117

 

 

5,772

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd.

 

 

71,654

 

 

430

 

Paper & Forest Products — 0.1%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

133,089

 

 

133,096

 

Ainsworth Lumber Co. Ltd. (a)

 

 

152,951

 

 

152,958

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

Value

 

Paper & Forest Products (concluded)

 

 

 

 

 

 

 

Western Forest Products, Inc.

 

 

84,448

 

$

61,269

 

 

 

 

 

 

 

347,323

 

Software — 0.1%

 

 

 

 

 

 

 

HMH Holdings/EduMedia

 

 

92,606

 

 

138,909

 

Total Common Stocks – 0.9%

 

 

 

 

 

2,484,332

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

Airlines — 0.2%

 

 

 

 

 

 

 

American Airlines Pass-Through
Trust, Series 2011-2, Class A,
8.63%, 10/15/21

 

USD

276

 

 

264,960

 

Delta Air Lines, Inc., Series B,
9.75%, 12/17/16

 

 

139

 

 

147,498

 

 

 

 

 

 

 

412,458

 

Auto Components — 0.9%

 

 

 

 

 

 

 

Icahn Enterprises LP, 7.75%,
1/15/16

 

 

2,215

 

 

2,284,219

 

Chemicals — 1.2%

 

 

 

 

 

 

 

CF Industries, Inc., 6.88%,
5/01/18

 

 

905

 

 

1,039,619

 

GEO Specialty Chemicals, Inc.:

 

 

 

 

 

 

 

7.50%, 3/31/15

 

 

857

 

 

985,535

 

10.00%, 3/31/15

 

 

844

 

 

844,160

 

Lyondell Chemical Co., 11.00%,
5/01/18

 

 

292

 

 

314,601

 

LyondellBasell Industries NV,
6.00%, 11/15/21 (a)

 

 

95

 

 

96,900

 

 

 

 

 

 

 

3,280,815

 

Commercial Banks — 1.0%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/15

 

 

290

 

 

290,000

 

7.00%, 5/01/16

 

 

400

 

 

395,800

 

7.00%, 5/01/17

 

 

1,621

 

 

1,604,790

 

7.00%, 5/02/17 (a)

 

 

250

 

 

246,250

 

 

 

 

 

 

 

2,536,840

 

Commercial Services & Supplies — 0.4%

 

 

 

 

 

 

 

ARAMARK Corp., 3.93%, 2/01/15 (b)

 

 

135

 

 

127,238

 

AWAS Aviation Capital Ltd., 7.00%,
10/15/16 (a)

 

 

903

 

 

903,096

 

Brickman Group Holdings, Inc.,
9.13%, 11/01/18 (a)

 

 

71

 

 

63,190

 

 

 

 

 

 

 

1,093,524

 

Consumer Finance — 0.3%

 

 

 

 

 

 

 

Inmarsat Finance Plc, 7.38%,
12/01/17 (a)

 

 

775

 

 

792,438

 

 

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

 

 

CAD

Canadian Dollar

EUR

Euro

FKA

Formerly Known As

GBP

British Pound

USD

US Dollar

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

NOVEMBER 30, 2011

1


 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Containers & Packaging — 1.0%

 

 

 

 

 

 

 

Ball Corp., 5.75%, 5/15/21

 

USD

510

 

$

520,200

 

Berry Plastics Holding Corp., Term
Loan C, 8.25%, 11/15/15

 

 

615

 

 

651,900

 

Graphic Packaging International,
Inc., 9.50%, 6/15/17

 

 

220

 

 

239,800

 

OI European Group BV, 6.88%,
3/31/17

 

EUR

143

 

 

189,267

 

Smurfit Kappa Acquisitions (a):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

 

335

 

 

459,142

 

7.75%, 11/15/19

 

 

338

 

 

458,712

 

 

 

 

 

 

 

2,519,021

 

Diversified Financial Services — 2.0%

 

 

 

 

 

 

 

Ally Financial, Inc., 2.53%,
12/01/14 (b)

 

USD

2,600

 

 

2,263,209

 

Axcan Intermediate Holdings, Inc.,
12.75%, 3/01/16

 

 

160

 

 

163,600

 

FCE Bank Plc, 4.75%, 1/19/15

 

EUR

375

 

 

483,732

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

8.75%, 10/15/16

 

USD

597

 

 

616,403

 

8.75%, 10/15/16

 

EUR

472

 

 

621,541

 

7.13%, 4/15/19

 

USD

530

 

 

518,075

 

7.88%, 8/15/19

 

 

300

 

 

301,500

 

6.88%, 2/15/21

 

 

395

 

 

377,225

 

 

 

 

 

 

 

5,345,285

 

Diversified Telecommunication Services — 0.6%

 

 

 

 

 

 

 

ITC Deltacom, Inc., 10.50%,
4/01/16

 

 

430

 

 

443,437

 

Qwest Communications International,
Inc.:

 

 

 

 

 

 

 

8.00%, 10/01/15

 

 

600

 

 

640,500

 

Series B, 7.50%, 2/15/14

 

 

434

 

 

436,713

 

 

 

 

 

 

 

1,520,650

 

Health Care Equipment & Supplies — 0.5%

 

 

 

 

 

 

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

1,175

 

 

1,107,437

 

7.75%, 4/15/18 (a)

 

 

210

 

 

168,525

 

 

 

 

 

 

 

1,275,962

 

Health Care Providers & Services — 1.7%

 

 

 

 

 

 

 

HCA, Inc.:

 

 

 

 

 

 

 

6.50%, 2/15/20

 

 

1,170

 

 

1,164,150

 

7.25%, 9/15/20

 

 

485

 

 

498,338

 

7.50%, 2/15/22

 

 

1,200

 

 

1,182,000

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

550

 

 

579,562

 

Tenet Healthcare Corp., 8.88%,
7/01/19

 

 

1,085

 

 

1,182,650

 

 

 

 

 

 

 

4,606,700

 

Health Care Technology — 0.8%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%,
3/01/18 (a)

 

 

1,860

 

 

2,073,900

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure — 0.7%

 

 

 

 

 

 

 

Little Traverse Bay Bands of Odawa
Indians, 9.00%, 8/31/20 (a)

 

USD

373

 

$

309,590

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

865

 

 

968,800

 

11.13%, 11/15/17

 

 

400

 

 

447,500

 

 

 

 

 

 

 

1,725,890

 

Household Durables — 0.5%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%,
10/15/17

 

 

1,200

 

 

1,248,000

 

Independent Power Producers & Energy Traders — 2.9%

 

 

 

 

 

 

 

Calpine Corp., 7.25%,
10/15/17 (a)

 

 

3,775

 

 

3,850,500

 

Energy Future Holdings Corp.,
10.00%, 1/15/20

 

 

1,000

 

 

1,025,000

 

Energy Future Intermediate
Holding Co. LLC, 10.00%,
12/01/20

 

 

2,700

 

 

2,781,000

 

 

 

 

 

 

 

7,656,500

 

Industrial Conglomerates — 0.6%

 

 

 

 

 

 

 

Sequa Corp., 13.50%,
12/01/15 (a)

 

 

1,557

 

 

1,662,456

 

IT Services — 0.1%

 

 

 

 

 

 

 

First Data Corp., 7.38%,
6/15/19 (a)

 

 

405

 

 

380,700

 

Media — 2.8%

 

 

 

 

 

 

 

AMC Networks, Inc., 7.75%,
7/15/21 (a)

 

 

225

 

 

237,938

 

CCH II LLC, 13.50%, 11/30/16

 

 

1,050

 

 

1,210,125

 

CSC Holdings, Inc., 8.50%,
4/15/14

 

 

420

 

 

465,675

 

Checkout Holding Corp., 11.25%,
11/15/15 (a)(d)

 

 

665

 

 

329,175

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

401

 

 

420,047

 

Series B, 9.25%, 12/15/17

 

 

1,834

 

 

1,930,285

 

NAI Entertainment Holdings LLC,
8.25%, 12/15/17 (a)

 

 

615

 

 

641,137

 

Unitymedia Hessen GmbH & Co.
KG (FKA UPC Germany GmbH),
8.13%, 12/01/17 (a)

 

 

2,000

 

 

2,065,000

 

 

 

 

 

 

 

7,299,382

 

Multiline Retail — 0.2%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%,
7/15/17 (e)

 

 

445

 

 

491,725

 

Oil, Gas & Consumable Fuels — 0.8%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc.:

 

 

 

 

 

 

 

6.00%, 6/01/19

 

 

435

 

 

415,425

 

6.25%, 6/01/21

 

 

205

 

 

195,775

 

Coffeyville Resources LLC, 9.00%,
4/01/15 (a)

 

 

275

 

 

292,875

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

NOVEMBER 30, 2011

2


 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Peabody Energy Corp., 6.00%,
11/15/18 (a)

 

USD

1,335

 

$

1,333,331

 

 

 

 

 

 

 

2,237,406

 

Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.,
11.00%, 7/29/15 (a)(e)

 

 

548

 

 

345,190

 

Longview Fibre Paper & Packaging,
Inc., 8.00%, 6/01/16 (a)

 

 

340

 

 

341,700

 

Verso Paper Holdings LLC, Series
B, 4.18%, 8/01/14 (b)

 

 

340

 

 

214,200

 

 

 

 

 

 

 

901,090

 

Pharmaceuticals — 0.4%

 

 

 

 

 

 

 

Valeant Pharmaceuticals
International, 6.50%,
7/15/16 (a)

 

 

980

 

 

948,150

 

Wireless Telecommunication Services — 1.6%

 

 

 

 

 

 

 

Cricket Communications, Inc.,
7.75%, 5/15/16

 

 

1,700

 

 

1,695,750

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

9.13%, 1/15/15 (e)

 

 

278

 

 

273,830

 

8.25%, 9/01/17

 

 

315

 

 

310,275

 

Sprint Nextel Corp., 9.00%,
11/15/18 (a)

 

 

630

 

 

634,725

 

iPCS, Inc., 2.55%, 5/01/13 (b)

 

 

1,500

 

 

1,365,000

 

 

 

 

 

 

 

4,279,580

 

Total Corporate Bonds – 21.5%

 

 

 

 

 

56,572,691

 

 

 

 

 

 

 

 

 


Floating Rate Loan Interests (b)

 

 

 

 

 

 

 

Aerospace & Defense — 1.5%

 

 

 

 

 

 

 

DynCorp International, Term Loan B,
6.25% - 6.75%, 7/07/16

 

 

848

 

 

829,569

 

SI Organization, Inc., New Term
Loan B, 4.50%, 11/22/16

 

 

838

 

 

800,542

 

TransDigm, Inc., Term Loan (First
Lien), 4.00%, 2/14/17

 

 

1,787

 

 

1,767,992

 

Wesco Aircraft Hardware Corp.,
Term Loan B, 4.25%, 4/07/17

 

 

662

 

 

661,003

 

 

 

 

 

 

 

4,059,106

 

Airlines — 0.9%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit New
Term Loan B, 5.50%, 4/20/17

 

 

2,394

 

 

2,277,891

 

Auto Components — 2.4%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term
Loan, 2.75%, 8/07/14

 

 

3,421

 

 

3,295,966

 

Autoparts Holdings, Ltd., First Lien
Term Loan, 6.50%, 7/28/17

 

 

1,450

 

 

1,448,651

 

Federal-Mogul Corp.:

 

 

 

 

 

 

 

Term Loan B, 2.19% - 2.20%,
12/29/14

 

 

598

 

 

552,149

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Auto Components (concluded)

 

 

 

 

 

 

 

Federal-Mogul Corp. (concluded):

 

 

 

 

 

 

 

Term Loan C, 2.19% - 2.20%,
12/28/15

 

USD

305

 

$

281,709

 

GPX International Tire Corp., Tranche B
Term Loan:

 

 

 

 

 

 

 

8.37%, 3/31/12

 

 

549

 

 

—

 

12.00%, 3/31/12

 

 

9

 

 

—

 

UCI International, Inc., Term Loan,
5.50%, 7/26/17

 

 

744

 

 

743,913

 

 

 

 

 

 

 

6,322,388

 

Biotechnology — 0.3%

 

 

 

 

 

 

 

Grifols SA, Term Loan B, 6.00%,
6/01/17

 

 

898

 

 

894,508

 

Building Products — 3.1%

 

 

 

 

 

 

 

Armstrong World Industries, Inc.,
Term Loan B, 4.00%, 3/09/18

 

 

1,169

 

 

1,154,511

 

CPG International I, Inc., Term
Loan B, 6.00%, 2/18/17

 

 

1,787

 

 

1,670,377

 

Goodman Global, Inc., Initial Term Loan
(First Lien), 5.75%, 10/28/16

 

 

4,421

 

 

4,406,912

 

Momentive Performance Materials
(Blitz 06-103 GmbH), Tranche B-
2B Term Loan, 4.70%, 5/05/15

 

EUR

647

 

 

804,654

 

 

 

 

 

 

 

8,036,454

 

Capital Markets — 1.9%

 

 

 

 

 

 

 

American Capital Ltd.,
Term Loan B, 7.50%, 12/31/13

 

USD

364

 

 

362,616

 

HarbourVest Partners, Term Loan
(First Lien), 6.25%, 12/16/16

 

 

1,764

 

 

1,755,513

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan,
6.45%, 5/13/17

 

 

345

 

 

337,669

 

Extended Term Loan (First Lien),

 

 

 

 

 

 

 

5.87% - 6.00%, 5/12/17

 

 

1,753

 

 

1,660,021

 

Non-Extended Term Loan (First

 

 

 

 

 

 

 

Lien), 3.37% - 3.42%, 11/13/14

 

 

897

 

 

846,237

 

 

 

 

 

 

 

4,962,056

 

Chemicals — 5.6%

 

 

 

 

 

 

 

American Rock Salt Holdings LLC,
Term Loan B, 5.50%, 4/25/17

 

 

1,219

 

 

1,197,545

 

Arizona Chemical Co., LLC, Term
Loan, 4.75%, 11/21/16

 

 

226

 

 

226,024

 

Ashland, Inc., Term Loan B, 3.75%,
8/23/18

 

 

935

 

 

935,589

 

Chemtura Corp., Exit Term Loan B,
5.50%, 8/27/16

 

 

1,400

 

 

1,398,250

 

Gentek, Inc., Term Loan B, 5.00%,
10/06/15

 

 

1,453

 

 

1,433,146

 

MDI Holdings, LLC (FKA
MacDermid, Inc.), Tranche C
Term Loan, 3.38%, 4/11/14

 

EUR

505

 

 

652,790

 

Nexeo Solutions LLC, Term Loan B,
5.00%, 9/08/17

 

USD

1,194

 

 

1,146,240

 

Polyone Corp., Term Loan, 5.00%,
11/01/17

 

 

405

 

 

404,494

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

NOVEMBER 30, 2011

3


 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Chemicals (concluded)

 

 

 

 

 

 

 

PQ Corp. (FKA Niagara Acquisition,
Inc.), Original Term Loan (First
Lien), 3.51% - 3.68%, 7/30/14

 

USD

1,590

 

$

1,490,218

 

Styron Sarl, LLC, Term Loan B,
6.00%, 8/02/17

 

 

1,344

 

 

1,156,352

 

Tronox Worldwide LLC, Exit Term
Loan, 7.00%, 10/15/15

 

 

2,754

 

 

2,749,891

 

Univar, Inc., Term Loan B, 5.00%,
6/30/17

 

 

2,035

 

 

1,961,275

 

 

 

 

 

 

 

14,751,814

 

Commercial Services & Supplies — 3.8%

 

 

 

 

 

 

 

Adesa, Inc. (KAR Holdings, Inc.),
Term Loan B, 5.00%, 5/19/17

 

 

2,593

 

 

2,557,328

 

Altegrity, Inc. (FKA US
Investigations Services, Inc.),
Tranche D Term Loan, 7.75%,
2/20/15

 

 

1,627

 

 

1,618,500

 

ARAMARK Corp.:

 

 

 

 

 

 

 

Extended Letter of Credit,
3.49%, 7/26/16

 

 

24

 

 

22,871

 

Extended Term Loan B, 3.62%,
7/26/16

 

 

358

 

 

347,762

 

Synthetic Letter of Credit,
2.11%, 1/27/14

 

 

16

 

 

15,950

 

Term Loan, 2.24%, 1/27/14

 

 

203

 

 

198,004

 

AWAS Finance Luxembourg Sarl.,
Term Loan B, 5.25%, 6/10/16

 

 

638

 

 

630,345

 

Delos Aircraft, Inc., Term Loan 2,
7.00%, 3/17/16

 

 

1,875

 

 

1,876,875

 

Synagro Technologies, Inc., Term

 

 

 

 

 

 

 

Loan (First Lien), 2.25% - 2.26%,
4/02/14

 

 

1,516

 

 

1,278,903

 

Volume Services America, Inc.,
(Centerplate), Term Loan B,
10.50% - 10.75%, 9/16/16

 

 

990

 

 

973,913

 

West Corp.:

 

 

 

 

 

 

 

Term Loan 4, 4.58% - 4.67%,
7/15/16

 

 

152

 

 

150,852

 

Term Loan B, 4.58% - 4.67%,
7/15/16

 

 

294

 

 

291,266

 

 

 

 

 

 

 

9,962,569

 

Communications Equipment — 1.0%

 

 

 

 

 

 

 

Avaya, Inc., Term Loan B, 3.26%,
10/24/14

 

 

1,014

 

 

941,420

 

CommScope, Inc., Term Loan B,
5.00%, 1/14/18

 

 

1,591

 

 

1,582,611

 

 

 

 

 

 

 

2,524,031

 

Construction & Engineering — 1.0%

 

 

 

 

 

 

 

BakerCorp., Inc., Term Loan B,
5.00%, 6/01/18

 

 

863

 

 

852,915

 

Safway Services, LLC, First Out
Tranche Loan, 9.00%, 12/16/17

 

 

1,700

 

 

1,700,000

 

 

 

 

 

 

 

2,552,915

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Consumer Finance — 1.7%

 

 

 

 

 

 

 

Springleaf Financial Funding Co.
(FKA AGFS Funding Co.), Term
Loan, 5.50%, 5/10/17

 

USD

5,285

 

$

4,581,461

 

Containers & Packaging — 0.7%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., Term
Loan C, 2.25%, 4/03/15

 

 

276

 

 

259,949

 

Sealed Air Corp., Term Loan B,
4.75%, 10/03/18

 

 

1,570

 

 

1,582,231

 

 

 

 

 

 

 

1,842,180

 

Diversified Consumer Services — 3.0%

 

 

 

 

 

 

 

Coinmach Service Corp., Term

 

 

 

 

 

 

 

Loan B, 3.25% - 3.32%,
11/20/14

 

 

2,472

 

 

2,197,301

 

Laureate Education Inc., Extended
Term Loan, 5.25%, 8/15/18

 

 

3,775

 

 

3,517,014

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Closing Date Term Loan,
2.75% - 2.83%, 7/24/14

 

 

2,177

 

 

2,059,384

 

Delayed Draw Term Loan,
2.76%, 7/24/14

 

 

217

 

 

205,084

 

 

 

 

 

 

 

7,978,783

 

Diversified Financial Services — 1.4%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.:

 

 

 

 

 

 

 

Term Loan C, 5.25% - 6.50%,
8/09/18

 

 

2,400

 

 

2,356,800

 

Term Loan E, 6.50%, 2/09/18

 

 

1,423

 

 

1,397,353

 

 

 

 

 

 

 

3,754,153

 

Diversified Telecommunication Services — 4.3%

 

 

 

 

 

 

 

Hawaiian Telcom Communications,

 

 

 

 

 

 

 

Inc., Term Loan, 9.00%,
11/01/15 (e)

 

 

1,350

 

 

1,357,479

 

Integra Telecom Holdings, Inc.,
Term Loan, 9.25%, 4/15/15

 

 

1,605

 

 

1,402,497

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Incremental Tranche A Term
Loan, 2.65%, 3/13/14

 

 

2,525

 

 

2,370,344

 

Term Loan B2, 5.75%,
9/03/18

 

 

3,450

 

 

3,337,875

 

Term Loan B3, 5.75%,
8/31/18

 

 

1,475

 

 

1,427,062

 

US Telepacific Corp., Term Loan B,
5.75%, 2/23/17

 

 

1,493

 

 

1,410,770

 

 

 

 

 

 

 

11,306,027

 

Electronic Equipment, Instruments & Components — 1.6%

 

 

 

 

 

 

 

Aeroflex, Inc., Term Loan B, 4.25%,
5/09/18

 

 

905

 

 

854,873

 

CDW LLC (FKA CDW Corp.), Non-
Extended Term Loan, 3.75%,
10/10/14

 

 

1,372

 

 

1,317,933

 

Flextronics International Ltd., Delayed
Draw:

 

 

 

 

 

 

 

Term Loan A-2, 2.50%,
10/01/14

 

 

45

 

 

44,045

 

Term Loan A-3, 2.51%,
10/01/14

 

 

39

 

 

37,753

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

NOVEMBER 30, 2011

4


 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Electronic Equipment, Instruments & Components (concluded)

 

 

 

 

 

 

 

Sensata Technologies Finance
Company, LLC, New Term Loan,
4.00%, 5/11/18

 

USD

2,095

 

$

2,065,067

 

 

 

 

 

 

 

4,319,671

 

Energy Equipment & Services — 2.7%

 

 

 

 

 

 

 

CCS Corp., Tranche B Term Loan,
3.37%, 11/14/14

 

 

1,613

 

 

1,471,562

 

Dynegy Holdings, Inc.:

 

 

 

 

 

 

 

Coal Co. Term Loan, 9.25%,
8/04/16

 

 

939

 

 

937,319

 

Gas Co. Term Loan, 9.25%,
8/04/16

 

 

1,261

 

 

1,270,104

 

MEG Energy Corp., Tranche D Term
Loan, 4.00%, 3/16/18

 

 

3,350

 

 

3,312,916

 

 

 

 

 

 

 

6,991,901

 

Food & Staples Retailing — 1.8%

 

 

 

 

 

 

 

AB Acquisitions UK Topco 2 Ltd.
(FKA Alliance Boots), Facility B1,
3.63%, 7/09/15

 

GBP

1,825

 

 

2,546,998

 

B&G Foods, Inc., Term Loan B,
3.50%, 11/18/18

 

USD

375

 

 

375,158

 

Bolthouse Farms, Inc., Term Loan
(First Lien), 5.50% - 5.75%,
2/11/16

 

 

497

 

 

493,999

 

US Foodservice, Inc., Term Loan B,
2.75% - 2.76%, 7/03/14

 

 

1,543

 

 

1,400,740

 

 

 

 

 

 

 

4,816,895

 

Food Products — 3.6%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan
(Second Lien):

 

 

 

 

 

 

 

7.00%, 9/30/16

 

 

1,951

 

 

1,938,444

 

11.25%, 9/29/17

 

 

1,100

 

 

1,094,038

 

Del Monte Corp., Term Loan B,
4.50%, 3/08/18

 

 

3,447

 

 

3,257,616

 

Michaels Foods Group, Inc. (FKA
M-Foods Holdings, Inc.), Term
Loan B, 4.25%, 2/23/18

 

 

292

 

 

287,138

 

Pinnacle Foods Finance LLC:

 

 

 

 

 

 

 

Tranche B Term Loan, 2.75% -
2.87%, 4/02/14

 

 

90

 

 

88,058

 

Tranche D Term Loan, 6.00%,
4/02/14

 

 

1,213

 

 

1,212,307

 

Solvest, Ltd. (Dole):

 

 

 

 

 

 

 

Tranche B-1 Term Loan,
5.00% - 6.00%, 7/06/18

 

 

557

 

 

552,878

 

Tranche C-1 Term Loan, 5.00%
- 6.00%, 7/06/18

 

 

1,034

 

 

1,026,774

 

 

 

 

 

 

 

9,457,253

 

Health Care Equipment & Supplies — 1.9%

 

 

 

 

 

 

 

Biomet, Inc., Dollar Term Loan B,
3.26% - 3.36%, 3/25/15

 

 

683

 

 

658,167

 

DJO Finance LLC (FKA ReAble
Therapeutics Finance LLC), Term
Loan, 3.26%, 5/20/14

 

 

1,073

 

 

1,033,073

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Health Care Equipment & Supplies (concluded)

 

 

 

 

 

 

 

Iasis Healthcare LLC, Term Loan,
5.00%, 5/03/18

 

USD

1,505

 

$

1,446,351

 

Immucor, Inc., Term Loan B,
7.25%, 8/17/18

 

 

1,805

 

 

1,811,318

 

 

 

 

 

 

 

4,948,909

 

Health Care Providers & Services — 6.1%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
2.51%, 7/25/14

 

 

82

 

 

78,927

 

Non-Extended Term Loan,
2.51% - 2.77%, 7/25/14

 

 

1,581

 

 

1,523,739

 

ConvaTec, Inc., Dollar Term Loan,
5.75%, 12/22/16

 

 

1,290

 

 

1,263,155

 

DaVita, Inc., Tranche B Term Loan,
4.50%, 10/20/16

 

 

1,687

 

 

1,678,814

 

Emergency Medical Services, Term
Loan B, 5.25% - 6.00%, 5/25/18

 

 

1,905

 

 

1,845,675

 

Harden Healthcare, Inc.:

 

 

 

 

 

 

 

Tranche A Additional Term
Loan, 7.75%, 3/02/15

 

 

1,098

 

 

1,076,114

 

Tranche A Term Loan, 8.50%,
3/02/15

 

 

673

 

 

659,214

 

HCA, Inc.:

 

 

 

 

 

 

 

Tranche B-1 Term Loan,
3.62%, 5/01/18

 

 

636

 

 

601,144

 

Tranche B-2 Term Loan,
3.62%, 3/31/17

 

 

787

 

 

746,519

 

Health Management Associates,
New Term Loan B, 3.50%,
11/16/18

 

 

1,375

 

 

1,368,702

 

inVentiv Health, Inc. (FKA Ventive
Health, Inc.):

 

 

 

 

 

 

 

Incremental Term Loan B3,
6.75%, 5/15/18

 

 

903

 

 

882,683

 

Term Loan B, 6.50%, 8/04/16

 

 

1,791

 

 

1,749,428

 

Medpace, Inc., Term Loan, 6.50% -
7.25%, 6/16/17

 

 

1,247

 

 

1,190,766

 

Renal Advantage Holdings, Inc.,
Tranche B Term Loan, 5.75%,
12/16/16

 

 

1,191

 

 

1,188,023

 

Vanguard Health Holding Co. II,
LLC (Vanguard Health Systems,
Inc.), Term Loan B, 5.00%,
1/29/16

 

 

135

 

 

132,806

 

 

 

 

 

 

 

15,985,709

 

Health Care Technology — 1.4%

 

 

 

 

 

 

 

IMS Health, Inc., Tranche B Dollar
Term Loan, 4.50%, 8/25/17

 

 

1,204

 

 

1,199,902

 

Kinetic Concepts, Inc., Term
Loan B, 7.00%, 5/04/18

 

 

1,580

 

 

1,587,410

 

MedAssets, Inc., Term Loan B,
5.25%, 11/16/16

 

 

777

 

 

768,284

 

 

 

 

 

 

 

3,555,596

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

NOVEMBER 30, 2011

5


 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure — 5.3%

 

 

 

 

 

 

 

Ameristar Casinos, Inc., Term
Loan B, 4.00%, 4/13/18

 

USD

1,243

 

$

1,235,432

 

Boyd Gaming Corp., Incremental
Term Loan, 6.00%, 12/17/15

 

 

860

 

 

848,536

 

Caesars Entertainment Operating Co.,
Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 3.42%,
1/28/15

 

 

192

 

 

163,989

 

Term Loan B-2, 3.26% -
3.42%, 1/28/15

 

 

210

 

 

179,298

 

Term Loan B-3, 3.25% -
3.37%, 1/28/15

 

 

5,359

 

 

4,571,772

 

Term Loan B-4, 9.50%,
10/31/16

 

 

1,108

 

 

1,091,608

 

Dunkin’ Brands, Inc., New Term
Loan B, 4.00%, 11/23/17

 

 

1,953

 

 

1,921,078

 

Golden Living, Term Loan, 5.00%,
5/04/18

 

 

626

 

 

540,229

 

Seaworld Parks & Entertainment,
Inc. (FKA SW Acquisitions Co.,
Inc.), Term Loan B, 4.00%,
8/17/17

 

 

1,355

 

 

1,345,909

 

Six Flags Theme Parks, Inc.,
Tranche B Term Loan (First Lien),
5.25% - 6.00%, 6/30/16

 

 

1,255

 

 

1,248,209

 

Twin River Worldwide Holdings,
Inc., Term Loan, 8.50%,
11/05/15

 

 

774

 

 

764,235

 

 

 

 

 

 

 

13,910,295

 

Independent Power Producers & Energy Traders — 2.2%

 

 

 

 

 

 

 

The AES Corp., Term Loan B,
4.25%, 6/01/18

 

 

1,990

 

 

1,967,612

 

Texas Competitive Electric
Holdings Co., LLC (TXU),
Extended Term Loan, 4.75%,
10/10/17

 

 

5,748

 

 

3,742,448

 

 

 

 

 

 

 

5,710,060

 

Industrial Conglomerates — 1.5%

 

 

 

 

 

 

 

Sequa Corp.:

 

 

 

 

 

 

 

Incremental Term Loan,
7.00%, 12/03/14

 

 

660

 

 

658,350

 

Term Loan, 3.63% - 3.70%,
12/03/14

 

 

3,318

 

 

3,196,640

 

 

 

 

 

 

 

3,854,990

 

Insurance — 0.7%

 

 

 

 

 

 

 

CNO Financial Group, Inc., Term
Loan, 6.25%, 9/30/16

 

 

1,742

 

 

1,732,916

 

Internet Software & Services — 0.4%

 

 

 

 

 

 

 

Web.com Group, Inc., Term Loan B,
7.00%, 10/27/17

 

 

1,195

 

 

1,054,587

 

IT Services — 5.0%

 

 

 

 

 

 

 

Ceridian Corp., US Term Loan,
3.26% - 3.38%, 11/10/14

 

 

1,238

 

 

1,097,894

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

IT Services (concluded)

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan,
3.01%, 9/24/14

 

USD

660

 

$

584,399

 

Initial Tranche B-2 Term Loan,
4.26%, 3/23/18

 

 

6,476

 

 

5,406,555

 

Initial Tranche B-3 Term Loan,
3.01%, 9/24/14

 

 

115

 

 

101,495

 

infoGROUP, Inc., Term Loan,
5.75%, 5/22/18

 

 

707

 

 

677,211

 

iPayment, Inc., Term Loan B,
5.75%, 5/08/17

 

 

1,106

 

 

1,081,577

 

NeuStar, Inc., Term Loan B, 5.00%,
11/08/18

 

 

890

 

 

889,244

 

TransUnion LLC, Replacement
Term Loan, 4.75%, 2/12/18

 

 

3,219

 

 

3,202,728

 

 

 

 

 

 

 

13,041,103

 

Machinery — 1.8%

 

 

 

 

 

 

 

Navistar Financial Corp., Term
Loan B, 4.56%, 12/16/12

 

 

817

 

 

812,583

 

Terex Corp.:

 

 

 

 

 

 

 

Term Loan, 6.03%, 4/28/17

 

EUR

135

 

 

177,772

 

Term Loan B, 5.50%, 4/28/17

 

USD

1,000

 

 

997,500

 

Tomkins Plc, Term Loan B, 4.25%,
9/21/16

 

 

2,704

 

 

2,681,296

 

 

 

 

 

 

 

4,669,151

 

Media — 16.6%

 

 

 

 

 

 

 

Acosta, Inc., Term Loan, 4.75% -
5.50%, 3/01/18

 

 

1,347

 

 

1,302,851

 

Affinion Group, Inc., Tranche B
Term Loan, 5.00%, 10/10/16

 

 

1,600

 

 

1,458,522

 

AMC Networks, Inc., Term Loan B,
4.00%, 12/31/18

 

 

1,696

 

 

1,681,624

 

Atlantic Broadband Finance LLC,
Term Loan B, 4.00%, 3/08/16

 

 

982

 

 

952,006

 

Bresnan Telecommunications Co.
LLC, Term Loan B, 4.50%,
12/14/17

 

 

2,903

 

 

2,830,486

 

Capsugel Healthcare Ltd., Term
Loan, 5.25%, 8/01/18

 

 

1,300

 

 

1,298,778

 

Catalina Marketing Corp., Term
Loan B, 3.01%, 10/01/14

 

 

234

 

 

222,402

 

Cengage Learning Acquisitions, Inc.
(Thomson Learning):

 

 

 

 

 

 

 

Term Loan, 2.51%, 7/03/14

 

 

996

 

 

840,877

 

Tranche 1 Incremental Term
Loan, 7.50%, 7/03/14

 

 

765

 

 

705,095

 

Charter Communications Operating,
LLC:

 

 

 

 

 

 

 

Term Loan B, 7.25%, 3/06/14

 

 

28

 

 

27,986

 

Term Loan C, 3.62%, 9/06/16

 

 

2,129

 

 

2,089,525

 

Clarke American Corp., Term
Facility B, 2.76% - 2.87%,
6/30/14

 

 

440

 

 

370,966

 

Clear Channel Communications,
Inc., Term Loan B, 3.91%,
1/28/16

 

 

2,180

 

 

1,622,051

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

NOVEMBER 30, 2011

6


 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Cumulus Media, Inc., Term Loan,
5.75%, 9/17/18

 

USD

1,400

 

$

1,362,088

 

Gray Television, Inc., Term Loan B,
3.75%, 12/31/14

 

 

1,399

 

 

1,365,451

 

HMH Publishing Co., Ltd., Tranche
A Term Loan, 6.44%, 6/12/14

 

 

1,447

 

 

994,537

 

Hubbard Broadcasting, Term Loan
B (Second Lien), 5.25%,
4/28/17

 

 

998

 

 

980,044

 

Intelsat Jackson Holdings S.A. (FKA
Intelsat Jackson Holdings, Ltd.),
Tranche B Term Loan, 5.25%,
4/02/18

 

 

6,468

 

 

6,381,288

 

Interactive Data Corp., New Term
Loan B, 4.50%, 2/12/18

 

 

2,910

 

 

2,852,167

 

Knology, Inc., Term Loan B, 4.00%,
8/18/17

 

 

617

 

 

601,391

 

Lavena Holding 3 GmbH
(Prosiebensat.1 Media AG):

 

 

 

 

 

 

 

Facility B1, 4.20%, 3/06/15

 

EUR

304

 

 

312,647

 

Facility C1, 4.45%, 3/04/16

 

 

304

 

 

314,689

 

Mediacom Illinois, LLC (FKA
Mediacom Communications,
LLC), Tranche D Term Loan,
5.50%, 3/31/17

 

USD

444

 

 

436,557

 

Newsday, LLC, Fixed Rate Term
Loan, 10.50%, 8/01/13

 

 

2,500

 

 

2,571,875

 

Nielsen Finance LLC, Class B
Dollar Term Loan, 4.00%,
5/02/16

 

 

1,387

 

 

1,350,093

 

Sinclair Television Group, Inc.,
Tranche B Term Loan, 4.00%,
10/28/16

 

 

843

 

 

839,307

 

Sunshine Acquisition Ltd. (FKA HIT
Entertainment), Term Facility,
5.50%, 6/01/12

 

 

1,882

 

 

1,855,715

 

Univision Communications, Inc.,
Extended First Lien Term Loan,
4.51%, 3/31/17

 

 

1,768

 

 

1,582,496

 

UPC Broadband Holding B.V.:

 

 

 

 

 

 

 

Term Loan AB, 3.92%,
12/29/17

 

 

995

 

 

971,369

 

Term U, 5.37%, 12/29/17

 

EUR

809

 

 

1,018,796

 

WC Luxco Sarl, Term Loan B3,
4.25%, 3/15/18

 

USD

438

 

 

430,686

 

Weather Channel, Term Loan B,
4.25%, 2/13/17

 

 

2,108

 

 

2,096,603

 

 

 

 

 

 

 

43,720,968

 

Metals & Mining — 2.7%

 

 

 

 

 

 

 

Novelis, Inc., Term Loan, 3.75%,
3/10/17

 

 

2,843

 

 

2,791,895

 

SunCoke Energy, Inc., Term Loan
B, 4.00% - 5.25%, 7/26/18

 

 

948

 

 

931,042

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Metals & Mining (concluded)

 

 

 

 

 

 

 

Walter Energy, Inc., Term Loan B,
4.00%, 4/02/18

 

USD

3,424

 

$

3,358,034

 

 

 

 

 

 

 

7,080,971

 

Multi-Utilities — 0.1%

 

 

 

 

 

 

 

FirstLight Power Resources, Inc.
(FKA NE Energy, Inc.), Term B
Advance (First Lien), 2.81%,
11/01/13

 

 

379

 

 

364,272

 

Multiline Retail — 0.7%

 

 

 

 

 

 

 

Dollar General Corp., Tranche B-2
Term Loan, 3.00% - 3.01%,
7/07/14

 

 

616

 

 

613,036

 

Hema Holding BV:

 

 

 

 

 

 

 

Facility B, 3.36%, 7/06/15

 

EUR

399

 

 

476,665

 

Facility C, 4.11%, 7/05/16

 

 

399

 

 

479,345

 

The Neiman Marcus Group, Inc.,
Term Loan, 4.75%, 5/16/18

 

USD

380

 

 

365,169

 

 

 

 

 

 

 

1,934,215

 

Oil, Gas & Consumable Fuels — 2.1%

 

 

 

 

 

 

 

EquiPower Resources Holdings,
LLC, Term Loan B, 5.75%,
1/26/18

 

 

1,590

 

 

1,574,132

 

Gibson Energy, Term Loan B,
5.75%, 6/15/18

 

 

1,796

 

 

1,788,767

 

Obsidian Natural Gas Trust, Term
Loan, 7.00%, 11/02/15

 

 

2,044

 

 

2,033,971

 

 

 

 

 

 

 

5,396,870

 

Paper & Forest Products — 0.6%

 

 

 

 

 

 

 

NewPage Corp., DIP Term Loan,
8.00%, 3/07/13

 

 

450

 

 

451,687

 

Verso Paper Finance Holdings LLC,
Term Loan, 6.68% - 7.43%,
2/01/13

 

 

2,306

 

 

1,153,064

 

 

 

 

 

 

 

1,604,751

 

Pharmaceuticals — 3.0%

 

 

 

 

 

 

 

Aptalis Pharma, Inc., Term Loan B,
5.50%, 2/10/17

 

 

2,184

 

 

2,077,054

 

Endo Pharmaceuticals Holdings,
Inc., Term Loan B, 4.00%,
6/18/18

 

 

853

 

 

851,054

 

Pharmaceutical Products
Development, 9.75%, 11/02/12

 

 

535

 

 

—

 

Pharmaceutical Products
Development, Term Loan B,
7.00%, 11/19/18

 

 

1,800

 

 

1,774,602

 

Quintiles Transnational Corp., Term
Loan, 5.00%, 6/08/18

 

 

1,357

 

 

1,315,902

 

RPI Finance Trust, Term Loan
Tranche 2, 4.00%, 5/09/18

 

 

998

 

 

990,438

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Term Loan B-1, 4.25%,
3/15/18

 

 

637

 

 

626,452

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

NOVEMBER 30, 2011

7

 

 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Pharmaceuticals (concluded)

 

 

 

 

 

 

 

Warner Chilcott Corp. (concluded):

 

 

 

 

 

 

 

Term Loan B-2, 4.25%,
3/15/18

 

USD

318

 

$

313,226

 

 

 

 

 

 

 

7,948,728

 

Professional Services — 1.5%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Tranche
B Term Loan, 4.00%, 8/03/17

 

 

621

 

 

618,826

 

Emdeon Business Services LLC,
Term Loan B, 6.75%, 11/02/18

 

 

1,900

 

 

1,905,415

 

Fifth Third Processing Solutions
LLC, Term Loan B (First Lien),
4.50%, 11/03/16

 

 

1,489

 

 

1,480,089

 

 

 

 

 

 

 

4,004,330

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

Istar Financial, Inc., Term Loan
(Second Lien), 5.00%, 6/28/13

 

 

2,001

 

 

1,974,224

 

Real Estate Management & Development — 1.8%

 

 

 

 

 

 

 

Mattamy Funding Partnership,
Term Loan, 2.63%, 4/11/13

 

 

404

 

 

371,306

 

Realogy Corp.:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
3.44%, 10/10/13

 

 

1,599

 

 

1,478,569

 

Extended Synthetic Letter of
Credit, 3.20%, 10/10/13

 

 

56

 

 

51,438

 

Extended Term Loan B, 4.69%,
10/10/16

 

 

2,736

 

 

2,421,448

 

Term Loan, 3.44%, 10/10/13

 

 

523

 

 

483,351

 

 

 

 

 

 

 

4,806,112

 

Road & Rail — 0.7%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC,
Incremental Term Loan, 6.25%,
9/21/18

 

 

1,060

 

 

1,061,993

 

The Hertz Corp., Term Loan B,
3.75%, 3/09/18

 

 

796

 

 

786,297

 

 

 

 

 

 

 

1,848,290

 

Semiconductors & Semiconductor Equipment — 0.9%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc.,
Extended Term Loan B, 4.50%,
12/01/16

 

 

848

 

 

800,311

 

Microsemi Corp., Term Loan B,
5.75%, 2/02/18

 

 

690

 

 

688,710

 

NXP B.V., Incremental Term Loan,
5.50%, 12/12/17

 

 

915

 

 

877,833

 

 

 

 

 

 

 

2,366,854

 

Software — 0.8%

 

 

 

 

 

 

 

Blackboard, Inc., Term Loan B,
7.50%, 10/04/18

 

 

555

 

 

526,789

 

Rovi Corp., Tranche B Term Loan,
4.00%, 2/07/18

 

 

995

 

 

986,921

 

Vertafore, Inc., Term Loan B,
5.25%, 7/29/16

 

 

680

 

 

664,227

 

 

 

 

 

 

 

2,177,937

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Specialty Retail — 4.6%

 

 

 

 

 

 

 

Academy Ltd., Term Loan, 6.00%,
8/03/18

 

USD

1,700

 

$

1,668,839

 

Burlington Coat Factory Warehouse
Corp., Term Loan B, 6.25%,
2/23/17

 

 

938

 

 

911,679

 

General Nutrition Centers, Inc.,
Term Loan B, 4.25%, 3/02/18

 

 

1,770

 

 

1,728,706

 

J. Crew Group, Inc., Term Loan B,
4.75%, 3/07/18

 

 

821

 

 

754,179

 

Jo-Ann Stores, Inc., Term Loan B,
4.75%, 3/16/18

 

 

661

 

 

624,729

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 2.63% -
2.69%, 10/31/13

 

 

736

 

 

714,937

 

Term Loan B-2, 4.88% -
4.94%, 7/31/16

 

 

1,470

 

 

1,429,296

 

Petco Animal Supplies, Inc., Term
Loan B, 4.50%, 11/24/17

 

 

2,351

 

 

2,280,712

 

Toys ‘R’ Us Delaware, Inc.:

 

 

 

 

 

 

 

Initial Loan, 6.00%, 9/01/16

 

 

1,739

 

 

1,714,219

 

Term Loan B, 5.25%, 5/25/18

 

 

398

 

 

389,873

 

 

 

 

 

 

 

12,217,169

 

Wireless Telecommunication Services — 1.4%

 

 

 

 

 

 

 

MetroPCS Wireless, Inc.:

 

 

 

 

 

 

 

Term Loan B, 4.00% - 4.06%,
3/16/18

 

 

247

 

 

238,981

 

Tranche B-2 Term Loan,
4.07% - 4.13%, 11/04/16

 

 

979

 

 

955,419

 

Vodafone Americas Finance 2, Inc. (e):

 

 

 

 

 

 

 

Initial Loan, 6.88%, 8/11/15

 

 

1,873

 

 

1,868,388

 

Term Loan B, 6.25%, 7/11/16

 

 

700

 

 

694,750

 

 

 

 

 

 

 

3,757,538

 

Total Floating Rate Loan Interests – 106.8%

 

 

 

 

 

281,058,601

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (f)

 

Beneficial
Interest
(000)

 

 

 

Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc., Litigation
Trust Certificate

 

 

4,750

 

 

48

 

Diversified Financial Services — 0.3%

 

 

 

 

 

 

 

FRA JGW SPV, LLC (J.G. Wentworth
LLC Preferred Equity Interests)
(c)(h)

 

 

—

(g)

 

758,337

 

Total Other Interests – 0.3%

 

 

 

 

 

758,385

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

NOVEMBER 30, 2011

8


 

 
 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Warrants (i)

 

Shares

 

Value

 

Software — 0.0%

 

 

 

 

 

 

 

HMH Holdings/EduMedia (Expires
3/09/17)

 

 

11,690

 

$

—

 

Total Warrants – 0.0%

 

 

 

 

 

—

 

Total Long-Term Investments
(Cost – $363,872,181) – 133.2%

 

 

 

 

 

350,607,440

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.13% (j)(k)

 

 

96,314

 

 

96,314

 

Total Short-Term Securities
(Cost – $96,314) – 0.0%

 

 

 

 

 

96,314

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC,
Strike Price USD 942.86, Expires
12/21/19, Broker Goldman Sachs
Bank USA

 

 

20

 

 

—

 

Total Options Purchased
(Cost – $19,556) – 0.0%

 

 

 

 

 

—

 

Total Investments (Cost — $363,988,051*) - 133.2%

 

 

 

 

 

350,703,754

 

Liabilities in Excess of Other Assets – (33.2)%

 

 

 

 

 

(87,447,606

)

Net Assets – 100.0%

 

 

 

 

$

263,256,148

 

 

 


*


The cost and unrealized appreciation (depreciation) of investments as of November 30, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

 

 

Aggregate cost

 

$

362,604,510

 

 

Gross unrealized appreciation

 

$

4,685,803

 

 

Gross unrealized depreciation

 

 

(16,586,559

)

 

Net unrealized depreciation

 

$

(11,900,756

)

 

 

(a)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(b)

Variable rate security. Rate shown is as of report date.

 

 

(c)

Non-income producing security.

 

 

(d)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(e)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(f)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

 

(g)

Amount is less than $500.

 

 

(h)

Wholly owned subsidiary.

 

 

(i)

Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

(j)

Investments in companies considered to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
August 31,
2011

 

Net
Activity

 

Shares
Held at
November 30,
2011

Income

 

 

BlackRock

 

 

 

 

 

 

 

 

 

 

Liquidity Funds,

 

 

 

 

 

 

 

 

 

 

TempFund,

 

 

 

 

 

 

 

 

 

 

Institutional

 

 

 

 

 

 

 

 

 

 

Class

 

5,396,667

 

(5,300,353)

 

96,314

$

211

 

 

 

(k)

Represents the current yield as of report date.

 

 

•

Foreign currency exchange contracts as of November, 30 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

200,923

 

CAD

207,500

 

Deutsche Bank
AG

 

01/18/12

 

$

(2,281

)

USD

2,466,698

 

GBP

1,582,000

 

Citibank NA

 

01/18/12

 

 

(14,259

)

EUR

1,253,000

 

USD

1,704,918

 

Deutsche Bank
AG

 

01/25/12

 

 

(20,384

)

USD

8,316,688

 

EUR

6,048,500

 

Citibank NA

 

01/25/12

 

 

185,079

 

Total

 

 

 

 

 

 

 

 

 

$

148,155

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

NOVEMBER 30, 2011

9


 

 

 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)


 

 

 

•

For Fund compliance purposes, the 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 rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub- classifications for reporting ease.

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

 

 

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

•

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

•

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its annual report.

 

The following tables summarize the inputs used as of November 30, 2011 in determining the fair valuation of the Fund’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset- Backed
Securities

 

 

—

 

$

2,684,432

 

$

7,048,999

 

$

9,733,431

 

Common
Stocks

 

$

194,795

 

 

152,958

 

 

2,136,579

 

 

2,484,332

 

Corporate
Bonds

 

 

—

 

 

54,433,406

 

 

2,139,285

 

 

56,572,691

 

Floating Rate
Loan Interests

 

 

—

 

 

263,402,131

 

 

17,656,470

 

 

281,058,601

 

Other Interests

 

 

—

 

 

—

 

 

758,385

 

 

758,385

 

Short- Term
Securities

 

 

96,314

 

 

—

 

 

—

 

 

96,314

 

Total

 

$

291,109

 

$

320,672,927

 

$

29,739,718

 

$

350,703,754

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency
exchange
contracts

 

 

—

 

$

185,079

 

 

—

 

$

185,079

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency
exchange
contracts

 

 

—

 

 

(36,924

)

 

—

 

 

(36,924

)

Total

 

 

—

 

$

148,155

 

 

—

 

$

148,155

 

 

 

1

Derivative financial instruments are foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instruments.

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

NOVEMBER 30, 2011

10


 

 

 

 

Schedule of Investments (concluded)

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-
Backed
Securities

 

Common
Stocks

 

Corporate Bonds

 

Floating Rate
Loan
Interests

 

Other
Interests

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2011

 

$

7,328,370

 

$

191,645

 

$

2,293,544

 

$

23,078,475

 

$

742,860

 

$

33,634,894

 

Accrued discounts/premiums

 

 

29,742

 

 

—

 

 

19,365

 

 

27,981

 

 

—

 

 

77,088

 

Net realized gain (loss)

 

 

—

 

 

28

 

 

(4,362,357

)

 

8,003

 

 

—

 

 

(4,354,326

)

Net change in unrealized appreciation/ depreciation2

 

 

(309,113

)

 

1,375,713

 

 

4,587,249

 

 

(836,095

)

 

5,692

 

 

4,823,446

 

Purchases

 

 

—

 

 

571,106

 

 

—

 

 

38,509

 

 

9,833

 

 

619,448

 

Sales

 

 

—

 

 

(1,913

)

 

(398,516

)

 

(1,044,077

)

 

—

 

 

(1,444,506

)

Transfers in3

 

 

—

 

 

—

 

 

—

 

 

8,100,742

 

 

—

 

 

8,100,742

 

Transfers

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

out3

 

 

—

 

 

—

 

 

—

 

 

(11,717,068

)

 

—

 

 

(11,717,068

)

Balance, as of November 30, 2011

 

$

7,048,999

 

$

2,136,579

 

$

2,139,285

 

$

17,656,470

 

$

758,385

 

$

29,739,718

 

 

 

2

The change in unrealized appreciation/depreciation on investments still held on November 30, 2011 was $409,996.

 

 

3

The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

 

 

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivatives at the beginning and/or end of the period in relation to net assets.

 

 

 

 

 

 

 

 

 

BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

NOVEMBER 30, 2011

11

Item 2 –

Controls and Procedures

 

 

2(a) –

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

 

 

2(b) –

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

 

Item 3 –

Exhibits

 

 

 

Certifications – Attached hereto

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

 

 

BlackRock Floating Rate Income Strategies Fund, Inc.
   

 

 By: /s/ John M. Perlowski

 

 

 

John M. Perlowski

 

 

Chief Executive Officer (principal executive officer) of

 

 

BlackRock Floating Rate Income Strategies Fund, Inc.

 

 

 

Date: January 23, 2012

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

 

 

 By: /s/ John M. Perlowski

 

 

 

John M. Perlowski

 

 

Chief Executive Officer (principal executive officer) of

 

 

BlackRock Floating Rate Income Strategies Fund, Inc.

 

 

 

Date: January 23, 2012

 

 

 

 By: /s/ Neal J. Andrews

 

 

 

Neal J. Andrews

 

 

Chief Financial Officer (principal financial officer) of

 

 

BlackRock Floating Rate Income Strategies Fund, Inc.

 

 

 

 

Date: January 23, 2012