BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file
number 811-21413
Name of Fund: BlackRock Floating Rate Income Strategies Fund, Inc. (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: 08/31/2018
Date of reporting period: 02/28/2018
Item 1 – Report to Stockholders
FEBRUARY 28, 2018
|
|
|
| SEMI-ANNUAL REPORT
(UNAUDITED) |
|
|
BlackRock Floating Rate Income Strategies Fund,
Inc. (FRA)
BlackRock Limited Duration Income Trust (BLW)
|
| Not FDIC Insured • May Lose Value • No Bank Guarantee |
The Markets in Review
Dear Shareholder,
In the 12 months ended February 28, 2018, assets with
higher risk and return potential, such as stocks and high-yield bonds, continued to deliver strong performance. Faster global growth drove the equity market, while rising interest rates constrained bond returns.
Emerging market stocks posted the strongest performance, as accelerating growth in China, the second-largest economy in the world, improved the outlook for corporate
profits and economic growth across most developing nations. Chinese demand for commodities and other raw materials allayed concerns about the country’s banking system, leading to rising equity prices and foreign investment. Higher prices for
industrial metals also bolstered the outlook for emerging-market countries.
Rising interest rates worked against high-quality assets with more interest rate
sensitivity. Consequently, the 10-year U.S. Treasury — a bellwether of the bond market — posted a negative return, as rising energy prices, higher wages, and steady job growth drove expectations of
higher inflation and interest rate increases by the U.S. Federal Reserve (the “Fed”).
The market’s performance reflected reflationary expectations
early in the reporting period, as investors began to sense that a global recovery was afoot. Thereafter, many countries experienced sustained and synchronized growth for the first time since the financial crisis. Growth rates and inflation are still
relatively low, but they are finally rising together.
The Fed responded to these positive developments by increasing short-term interest rates three times during
the year. In October 2017, the Fed also began to reduce its balance sheet, while setting expectations for additional rate hikes in 2018.
By contrast, the European
Central Bank (“ECB”) and the Bank of Japan (“BoJ”) continued to expand their balance sheets despite nascent signs of sustained economic growth. Rising global growth and inflation, as well as limited bond supply, put steady
pressure on other central banks to follow in the Fed’s footsteps. In October 2017, the ECB announced plans to cut its bond purchases in half for 2018, while the BoJ reiterated its commitment to economic stimulus, as the country’s inflation
rate remained below 2.0%.
Rising consumer confidence and improving business sentiment are driving momentum for the U.S. economy. If the Fed maintains a measured
pace of stimulus reduction, to the extent that inflation rises, it’s likely to be accompanied by rising real growth and higher wages. That could lead to a favorable combination of moderately higher inflation, steadily rising interest rates, and
improving growth in 2018. We continue to believe the primary risks to the economic expansion are trade protectionism, rapidly rising interest rates, and geopolitical tension. In particular, we are closely monitoring trade protectionism and the rise
of populism in Western nations.
In December 2017, Congress passed a sweeping tax reform bill. The U.S. tax overhaul is likely to accentuate the existing
reflationary themes, including faster growth and rising interest rates. Changing the corporate tax rate to a flat 21% will create many winners and losers among
high-and-low tax companies, while the windfall from lower taxes could boost business and consumer spending.
In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage
you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
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|
|
|
|
| Total Returns as of February 28, 2018 |
| |
|
6-month |
|
12-month |
| U.S. large cap equities
(S&P
500® Index) |
|
10.84% |
|
17.10% |
| U.S. small cap equities
(Russell
2000® Index) |
|
8.30 |
|
10.51 |
| International equities
(MSCI Europe, Australasia,
Far East Index) |
|
7.12 |
|
20.13 |
| Emerging market equities
(MSCI Emerging Markets Index) |
|
10.58 |
|
30.51 |
| 3-month Treasury bills
(ICE BofAML 3-Month U.S. Treasury Bill Index) |
|
0.58 |
|
0.99 |
| U.S. Treasury securities
(ICE BofAML 10-Year U.S. Treasury Index) |
|
(5.47) |
|
(2.54) |
| U.S. investment grade bonds
(Bloomberg Barclays U.S.
Aggregate Bond
Index) |
|
(2.18) |
|
0.51 |
| Tax-exempt municipal bonds
(S&P Municipal Bond Index) |
|
(1.15) |
|
2.32 |
| U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2%
Issuer
Capped Index) |
|
1.11 |
|
4.18 |
| Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
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| 2 |
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THIS PAGE IS NOT PART OF YOUR FUND REPORT |
Table of Contents
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| Fund Summary as of February 28, 2018 |
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BlackRock Floating Rate Income Strategies Fund, Inc. |
Fund Overview
BlackRock Floating Rate Income Strategies Fund, Inc.’s
(FRA) (the “Fund”) investment objective is to provide shareholders with high current income and such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate
debt securities and instruments. The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its managed assets in floating rate debt securities, including floating or variable rate debt
securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments
in floating rate debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade at the time of investment or, if unrated, are considered by the investment adviser to be of comparable quality. The
Fund may invest directly in floating rate debt securities or synthetically through the use of derivatives.
No assurance can be given that the
Fund’s investment objective will be achieved.
Fund Information
|
|
|
| Symbol on New York Stock Exchange (“NYSE”) |
|
FRA |
| Initial Offering Date |
|
October 31, 2003 |
| Current Distribution Rate on Closing Market Price as of February 28, 2018 ($14.50)(a) |
|
5.05% |
| Current Monthly Distribution per Common
Share(b) |
|
$0.0610 |
| Current Annualized Distribution per Common
Share(b) |
|
$0.7320 |
| Economic Leverage as of February 28, 2018(c) |
|
30% |
| |
(a) |
Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized
gains and/or a tax return of capital. Past performance does not guarantee future results. |
|
| |
(b) |
The distribution rate is not constant and is subject to change. |
|
| |
(c) |
Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings
representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10. |
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Market Price and Net Asset Value Per Share Summary
|
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|
|
|
|
|
|
|
|
|
|
|
| |
|
02/28/18 |
|
|
08/31/17 |
|
|
Change |
|
|
High |
|
|
Low |
|
| Market Price |
|
$ |
14.50 |
|
|
$ |
14.10 |
|
|
|
2.84 |
% |
|
$ |
14.50 |
|
|
$ |
13.70 |
|
| Net Asset Value |
|
|
14.99 |
|
|
|
14.93 |
|
|
|
0.40 |
|
|
|
15.07 |
|
|
|
14.87 |
|
Market Price and Net Asset Value History For the Past Five Years
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| 4 |
|
2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
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| Fund Summary as of February 28, 2018 (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc. |
Performance and Portfolio Management Commentary
Returns for the period ended
February 28, 2018 were as follows:
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Average Annual Total Returns |
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| |
|
6-Month |
|
|
1 Year |
|
|
3 Years |
|
|
5 Years |
|
| Fund at NAV(a)(b) |
|
|
3.03 |
% |
|
|
4.79 |
% |
|
|
5.45 |
% |
|
|
5.45 |
% |
| Fund at Market
Price(a)(b) |
|
|
5.52 |
|
|
|
3.56 |
|
|
|
7.51 |
|
|
|
3.32 |
|
| S&P/LSTA Leveraged Loan Index(c) |
|
|
2.69 |
|
|
|
4.22 |
|
|
|
4.24 |
|
|
|
4.01 |
|
| |
(a) |
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage. |
|
| |
(b) |
The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
|
| |
(c) |
An unmanaged market value-weighted index (the “Reference Benchmark”) designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |
|
Performance results may include adjustments made for financial reporting purposes in accordance with U.S.
generally accepted accounting principles.
Past performance is not indicative of future results.
FRA is presenting the Reference Benchmark to accompany fund performance. The Reference Benchmark is presented for informational purposes only, as the Fund is actively
managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Fund may differ substantially from the securities that comprise the indices within the Reference
Benchmark, which may cause the Fund’s performance to differ materially from that of the Reference Benchmark. The Fund employs leverage as part of its investment strategy, which may change over time at the discretion of BlackRock Advisors, LLC
(the “Manager”) as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Fund outperforming the Reference Benchmark in rising markets and
underperforming in declining markets. The Board considers additional factors to evaluate the Fund’s performance, such as the performance of the Fund relative to a peer group of funds, a leverage-adjusted benchmark and/or other information
provided by the Manager.
More information about the Fund’s historical performance can be found in the “Closed End Funds” section of
http://www.blackrock.com.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
Floating rate loan interests (bank
loans) benefited from a strong appetite for credit over much of the six-month period. The largest sector contributors to the Fund’s performance over the period included technology, health care and
independent energy. More modest positive contributions were seen from the life insurance and government-related sectors. B-rated loan credits were the largest quality driver of positive performance, consistent
with the Fund’s overweight positioning with respect to this segment. Finally, from an asset allocation perspective, tactical exposures were substantial positive contributors, including a net-long equity
position, high yield corporate bonds and collateralized loan obligations.
Exposure to chemicals sector was the sole detractor from the Fund’s absolute
performance. From a credit rating perspective, there were no absolute detractors over the semi-annual period as all quality segments had positive performance. While the Fund’s tactical exposures contributed positively in aggregate, within this
allocation holdings of convertible securities detracted.
Describe recent portfolio activity.
While the Fund’s stance on bank loans remained constructive, overall risk levels continued to reflect the expectation of a coupon-driven return environment, with
limited potential for upside price movement. The Fund continued to focus on the higher-quality portions of the market in terms of loan structure, quality and liquidity. Investments were concentrated in companies believed to have stable cash flows,
high quality collateral, and the ability to meet interest obligations and ultimately return principal. In the investment adviser’s view, this focus on quality remains critical as the strong bid for credit assets from the institutional community
potentially gives rise to riskier issuance. The Fund reduced its sector exposure to airlines and retailers, while the allocations to technology and gaming were increased.
Describe portfolio positioning at period end.
At period end, the Fund held
the great majority of its portfolio in floating rate bank loans. The Fund maintained its highest concentration in higher coupon B-rated loans of select issuers, while limiting exposure to both higher quality
loans with less compelling risk/reward profiles and lower-rated loans with more equity-like profiles and greater downside risk should credit sentiment weaken. The Fund had a meaningful position in high yield corporate bonds, which was used in part
to maintain exposure to energy-related assets given better quality companies compared to the bank loan universe. At period-end, top issuer overweight positions included CenturyLink/Level 3 (wirelines), Altice
(cable & satellite), and New Lightsquared (wireless).
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to
change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
|
|
|
| Fund Summary as of February 28, 2018 (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc. |
Overview of the Fund’s Total Investments
PORTFOLIO COMPOSITION
|
|
|
|
|
|
|
|
|
| |
|
02/28/18 |
|
|
08/31/17 |
|
| Floating Rate Loan Interests |
|
|
91 |
% |
|
|
93 |
% |
| Corporate Bonds |
|
|
6 |
|
|
|
6 |
|
| Asset-Backed Securities |
|
|
2 |
|
|
|
1 |
|
| Investment Companies |
|
|
1 |
|
|
|
— |
(a) |
| Common Stocks(a) |
|
|
— |
|
|
|
— |
|
| Short-Term Securities(a) |
|
|
— |
|
|
|
— |
|
| Other |
|
|
— |
(b) |
|
|
— |
(b) |
| |
(a) |
Representing less than 1% of the Fund’s total investments. |
|
| |
(b) |
Includes a less than 1% holding in each of the following investment types: Options Purchased, Other Interests, Preferred Securities, Rights and Warrants. |
|
CREDIT QUALITY ALLOCATION (c)(d)
|
|
|
|
|
|
|
|
|
| |
|
02/28/18 |
|
|
08/31/17 |
|
| A(a) |
|
|
— |
|
|
|
— |
|
| BBB/Baa |
|
|
8 |
% |
|
|
9 |
% |
| BB/Ba |
|
|
39 |
|
|
|
42 |
|
| B |
|
|
41 |
|
|
|
40 |
|
| CCC/Caa |
|
|
3 |
|
|
|
5 |
|
| N/R |
|
|
9 |
|
|
|
4 |
|
| |
(c) |
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized
statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating
agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
|
| |
(d) |
Excludes Options Purchased and Short-Term Securities. |
|
|
|
|
| 6 |
|
2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Fund Summary as of February 28, 2018 |
|
BlackRock Limited Duration Income Trust |
Fund Overview
BlackRock Limited Duration Income Trust’s (BLW) (the
“Fund”) investment objective is to provide current income and capital appreciation. The Fund seeks to achieve its investment objective by investing primarily in three distinct asset classes:
| |
• |
|
intermediate duration, investment grade corporate bonds, mortgage-related securities, asset-backed securities and U.S. Government and agency securities; |
| |
• |
|
senior, secured floating rate loans made to corporate and other business entities; and |
| |
• |
|
U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade at the time of investment or unrated and deemed by the investment adviser to be of comparable quality and, to a limited
extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade or unrated and deemed by the investment adviser to be of comparable quality. |
The Fund’s portfolio normally has an average portfolio duration of less than five years (including the effect of anticipated leverage), although it may be longer
from time to time depending on market conditions. The Fund may invest directly in such securities or synthetically through the use of derivatives.
No
assurance can be given that the Fund’s investment objective will be achieved.
Fund Information
|
|
|
| Symbol on NYSE |
|
BLW |
| Initial Offering Date |
|
July 30, 2003 |
| Current Distribution Rate on Closing Market Price as of February 28, 2018 ($15.24)(a) |
|
6.26% |
| Current Monthly Distribution per Common
Share(b) |
|
$0.0795 |
| Current Annualized Distribution per Common
Share(b) |
|
$0.9540 |
| Economic Leverage as of February 28, 2018(c) |
|
30% |
| |
(a) |
Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized
gains and/or a tax return of capital. Past performance does not guarantee future results. |
|
| |
(b) |
The distribution rate is not constant and is subject to change. |
|
| |
(c) |
Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other
than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10. |
|
Market Price and Net Asset Value Per Share Summary
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
02/28/18 |
|
|
08/31/17 |
|
|
Change |
|
|
High |
|
|
Low |
|
| Market Price |
|
$ |
15.24 |
|
|
$ |
15.99 |
|
|
|
(4.69 |
)% |
|
$ |
16.30 |
|
|
$ |
15.10 |
|
| Net Asset Value |
|
|
16.86 |
|
|
|
17.02 |
|
|
|
(0.94 |
) |
|
|
17.14 |
|
|
|
16.77 |
|
Market Price and Net Asset Value History For the Past Five Years
|
|
|
| Fund Summary as of February 28, 2018 (continued) |
|
BlackRock Limited Duration Income Trust |
Performance and Portfolio Management Commentary
Returns for the period ended
February 28, 2018 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Average Annual Total Returns |
|
| |
|
6-month |
|
|
1 Year |
|
|
3 Years |
|
|
5 Years |
|
| Fund at NAV(a)(b) |
|
|
2.07 |
% |
|
|
5.95 |
% |
|
|
6.74 |
% |
|
|
6.82 |
% |
| Fund at Market
Price(a)(b) |
|
|
(1.79 |
) |
|
|
1.46 |
|
|
|
6.50 |
|
|
|
3.58 |
|
| Reference Benchmark(c) |
|
|
0.95 |
|
|
|
2.97 |
|
|
|
3.54 |
|
|
|
3.56 |
|
| Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(d) |
|
|
1.11 |
|
|
|
4.18 |
|
|
|
5.20 |
|
|
|
5.34 |
|
| S&P/LSTA Leveraged Loan Index(e) |
|
|
2.69 |
|
|
|
4.22 |
|
|
|
4.24 |
|
|
|
4.01 |
|
| BATS S
Benchmark(f) |
|
|
(0.93 |
) |
|
|
0.54 |
|
|
|
1.14 |
|
|
|
1.29 |
|
| |
(a) |
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage. |
|
| |
(b) |
The Fund’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
|
| |
(c) |
The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (33.33%), the S&P/LSTA Leveraged Loan Index (33.33%), and the BATS S Benchmark (33.34%). The Reference
Benchmark’s index content and weightings may have varied over past periods. |
|
| |
(d) |
An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2%
of the index. |
|
| |
(e) |
An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |
|
| |
(f) |
A composite index comprised of Bloomberg Barclays ABS 1-3 Year AAA Rated ex Home Equity Index, Bloomberg Barclays Corporate 1-5 year Index, Bloomberg Barclays CMBS Investment Grade 1-3.5 Yr. Index, Blomberg Barclays MBS
15 Yr Index and Bloomberg Barclays Credit Ex-Corporate 1-5 Yr Index. |
|
Performance results may include adjustments made for financial reporting purposes in accordance with U.S.
generally accepted accounting principles.
Past performance is not indicative of future results.
BLW is presenting the Reference Benchmark to accompany fund performance. The Reference Benchmark is presented for informational purposes only, as the Fund is actively
managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Fund may differ substantially from the securities that comprise the indices within the Reference
Benchmark, which may cause the Fund’s performance to differ materially from that of the Reference Benchmark. The Fund employs leverage as part of its investment strategy, which may change over time at the discretion of the Manager as market and
other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Fund outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The
Board considers additional factors to evaluate the Fund’s performance, such as the performance of the Fund relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.
More information about the Fund’s historical performance can be found in the “Closed End Funds” section of http://www.blackrock.com.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
The largest contributors to the
Fund’s performance over the period were its allocations to senior loans, high yield corporate issues and asset-backed securities (“ABS”). The Fund’s duration (sensitivity to interest rate movements) and yield curve positioning
also contributed to returns.
The largest detractors from performance were the Fund’s exposures to investment grade corporate bonds and mortgage-backed
securities (“MBS”).
The Fund held derivatives during the period, including Treasury futures, currency forwards, currency options, interest rate swaps and
credit default swaps. Derivative positions were used primarily to adjust duration and yield curve exposure, as well as to manage credit and currency risk. Currency forwards were employed to provide the portfolio with active currency exposure. The
Fund’s use of derivatives contributed to performance during the period.
Describe recent portfolio activity.
Given the investment adviser’s view that both the London Inter-Bank Offered Rate (“LIBOR”) (the reference rate applied to most loans) and longer-term
interest rates would move higher, the Fund’s allocation was rotated to a more defensive posture. The Fund’s allocation within high yield corporate issues was reduced and rotated into senior loans in order to protect the Fund from higher
funding costs associated with rising LIBOR rates. In addition, the Fund’s short duration stance was further reduced in order to mitigate the impact of rising interest rates.
Describe portfolio positioning at period end.
At period end, the Fund
maintained a diversified exposure to non-government spread sectors including high yield corporate bonds, senior loans, investment grade corporate credit, commercial MBS, ABS, agency and non-agency residential MBS, emerging market debt and foreign sovereign debt.
The views expressed reflect the opinions of BlackRock
as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
|
|
|
| 8 |
|
2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Fund Summary as of February 28, 2018 (continued) |
|
BlackRock Limited Duration Income Trust |
Overview of the Fund’s Total Investments
PORTFOLIO COMPOSITION
|
|
|
|
|
|
|
|
|
| |
|
2/28/2018 |
|
|
8/31/2017 |
|
| Corporate Bonds |
|
|
43 |
% |
|
|
45 |
% |
| Floating Rate Loan Interests |
|
|
27 |
|
|
|
27 |
|
| Asset-Backed Securities |
|
|
10 |
|
|
|
9 |
|
| Preferred Securities |
|
|
8 |
|
|
|
8 |
|
| Non-Agency Mortgage-Backed Securities |
|
|
5 |
|
|
|
6 |
|
| Foreign Agency Obligations |
|
|
3 |
|
|
|
4 |
|
| U.S. Government Sponsored Agency Securities |
|
|
3 |
|
|
|
1 |
|
| Short-Term Securities |
|
|
1 |
|
|
|
— |
(a) |
| U.S Treasury Obligations |
|
|
— |
|
|
|
— |
(a) |
| Other |
|
|
— |
(b) |
|
|
— |
(c) |
| |
(a) |
Representing less than 1% of the Fund’s total investments. |
|
| |
(b) |
Includes a less than 1% holding in each of the following investment types: Common Stocks, Options Purchased, Options Written, Other Interests, Rights and Warrants. |
|
| |
(c) |
Includes a less than 1% holding in each of the following investment types: Common Stocks, Options Purchased, Options Written, Other Interests, Rights, Short-Term Securities and Warrants. |
|
CREDIT QUALITY ALLOCATION (d)(e)
|
|
|
|
|
|
|
|
|
| |
|
2/28/2018 |
|
|
8/31/2017 |
|
| AAA/Aaa |
|
|
2 |
% |
|
|
4 |
% |
| AA/Aa |
|
|
1 |
|
|
|
1 |
|
| A |
|
|
5 |
|
|
|
6 |
|
| BBB/Baa |
|
|
20 |
|
|
|
19 |
|
| BB/Ba |
|
|
35 |
|
|
|
33 |
|
| B |
|
|
28 |
|
|
|
29 |
|
| CCC/Caa |
|
|
5 |
|
|
|
4 |
|
| N/R(f) |
|
|
4 |
|
|
|
4 |
|
| |
(d) |
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized
statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating
agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
|
| |
(e) |
Excludes Options Purchased, Options Written and Short-Term Securities. |
|
| |
(f) |
The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual
investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
|
The Benefits and Risks of Leveraging
The Funds may utilize leverage to seek to enhance the distribution rate on, and net asset value
(“NAV”) of, their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.
In
general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Fund on its longer-term portfolio investments purchased with
the proceeds from leverage. To the extent that the total assets of the Funds (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Funds’ shareholders benefit from the incremental net
income. The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV.
To illustrate these concepts, assume a Fund’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value
of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Fund’s
financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Fund with the proceeds from leverage earn income based on longer-term
interest rates. In this case, a Fund’s financing cost of leverage is significantly lower than the income earned on a Fund’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares
(“Common Shareholders”) are the beneficiaries of the incremental net income.
However, in order to benefit shareholders, the return on assets purchased with
leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Funds’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Funds had not
used leverage. Furthermore, the value of the Funds’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the
value of the Funds’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAVs positively or negatively. Changes
in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Funds’ intended leveraging strategy will be successful.
The use of leverage also generally causes greater changes in each Fund’s NAV, market price and dividend rates than comparable portfolios without leverage. In a
declining market, leverage is likely to cause a greater decline in the NAV and market price of a Fund’s shares than if the Fund were not leveraged. In addition, each Fund may be required to sell portfolio securities at inopportune times or
at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Fund to incur losses. The use of leverage may limit a Fund’s ability
to invest in certain types of securities or use certain types of hedging strategies. Each Fund incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the
extent the calculation of the Funds’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Funds’ investment adviser will be higher than if the Funds did not use
leverage.
Each Fund may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Financial Statements.
Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Fund is permitted to issue debt up to
33 1⁄3% of its total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In
addition, a Fund may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.
If a Fund segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Fund’s obligations under the reverse
repurchase agreements (including accrued interest) then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.
Derivative Financial Instruments
The Funds may invest in
various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets
or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation
between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Funds’ successful use of a derivative financial instrument depends on
the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund
can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
|
|
|
| 10 |
|
2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Shares |
|
|
Value |
|
| Common Stocks — 0.3% |
|
|
| Chemicals — 0.0% |
|
| GEO Specialty Chemicals, Inc.(a)(b) |
|
|
|
|
|
|
167,777 |
|
|
$ |
58,722 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services — 0.2% |
|
| Kcad Holdings I Ltd.(a)(b) |
|
|
|
|
|
|
309,827,230 |
|
|
|
824,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care Management Services — 0.0% |
|
| New Millennium HoldCo, Inc.(b) |
|
|
|
|
|
|
14,906 |
|
|
|
701 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure — 0.0% |
|
| Caesars Entertainment Corp.(b) |
|
|
|
|
|
|
19,011 |
|
|
|
241,440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Semiconductors & Semiconductor Equipment — 0.0% |
|
| SunPower Corp.(b) |
|
|
|
|
|
|
1,860 |
|
|
|
13,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Software — 0.1% |
|
| Avaya Holdings Corp.(b) |
|
|
|
|
|
|
35,077 |
|
|
|
736,266 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Specialty Retail — 0.0% |
|
| Things Remembered, Inc.(a)(b) |
|
|
|
|
|
|
932,803 |
|
|
|
9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stocks — 0.3%
(Cost — $4,449,514) |
|
|
|
1,874,466 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Par
(000) |
|
|
|
|
| Asset-Backed Securities — 2.7% |
|
| ALM VII R Ltd., Series 2013-7RA, Class BR,
(3 mo. LIBOR US + 2.70%), 4.42%, 10/15/28(c)(d) |
|
|
USD |
|
|
|
250 |
|
|
|
255,471 |
|
| ALM XVII Ltd., Series 2015-17A, Class C1, (3 mo. LIBOR
US + 4.15%), 5.87%, 01/15/28(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
503,914 |
|
| AMMC CLO Ltd., Series 2014-15A, Class D, (3 mo. LIBOR
US + 4.20%), 5.74%, 12/09/26(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
254,185 |
|
| Ares CLO Ltd., Series 2016-40A, Class C, (3 mo. LIBOR
US + 3.70%), 5.42%, 10/15/27(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
253,057 |
|
| Ares XXXII CLO Ltd., Series 2014-32A, Class CR, (3 mo.
LIBOR US + 3.45%), 5.29%, 11/15/25(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,001,206 |
|
| Ares XXXIII CLO Ltd., Series 2015-1A, Class A2R, (3 mo.
LIBOR US + 1.95%), 3.97%, 12/05/25(c)(d) |
|
|
|
|
|
|
450 |
|
|
|
454,837 |
|
| Atlas Senior Loan Fund X Ltd., Series 2018-10A(d)(e): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class B, 3.21%, 01/15/31 |
|
|
|
|
|
|
500 |
|
|
|
500,955 |
|
| Class C, 3.56%, 01/15/31 |
|
|
|
|
|
|
500 |
|
|
|
501,380 |
|
| Atrium X, Series 10A, Class DR, (3 mo. LIBOR US + 3.00%), 4.72%, 07/16/25(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
250,510 |
|
| Babson CLO, Ltd., Series 2015-IA, Class AR, 2.72%, 01/20/31(a)(d)(e) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,000 |
|
| Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A2R,
(3 mo. LIBOR US + 2.05%), 3.79%, 01/20/29(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
505,145 |
|
| Benefit Street Partners CLO XII Ltd., Series 2017-12A,
Class C, 4.40%, 10/15/30(d)(e) |
|
|
|
|
|
|
250 |
|
|
|
252,609 |
|
| Cedar Funding II CLO, Ltd., Series 2013-1A, Class A1R,
(3 mo. LIBOR US + 1.23%), 3.29%, 06/09/30(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
503,351 |
|
| CIFC Funding Ltd.(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-4A, Class DR, (3 mo. LIBOR US + 3.35%),
5.31%, 11/27/24(c) |
|
|
|
|
|
|
250 |
|
|
|
250,876 |
|
| Series 2014-2A, Class A3LRSeries
2018-1A, Class C, 1.00%, 04/18/31(e)(f) |
|
|
|
|
|
|
375 |
|
|
|
373,951 |
|
| Series 2014-2A, Class A3LR, (3 mo. LIBOR US + 2.25%),
4.19%, 05/24/26(c) |
|
|
|
|
|
|
280 |
|
|
|
280,845 |
|
| Series 2018-1A, Class B, 1.00%, 04/18/31(e)(f) |
|
|
|
|
|
|
375 |
|
|
|
375,659 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Asset-Backed Securities (continued) |
|
| Galaxy CLO Ltd., Series 2015-21A, Class AR, 2.76%, 04/20/31(d)(e)(f) |
|
|
USD |
|
|
|
250 |
|
|
$
|
250,000 |
|
| Galaxy CLO, Ltd., Series 2015-21A, Class CR,
3.49%, 04/20/31(d)(e)(f) |
|
|
|
|
|
|
250 |
|
|
|
250,000 |
|
| GoldentTree Loan Management US CLO 1 Ltd., Series 2017-1A,
Class C, (3 mo. LIBOR US + 2.20%), 3.94%, 04/20/29(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
250,563 |
|
| Highbridge Loan Management Ltd., Series 2013-2A, Class CR,
4.64%, 10/20/29(d)(e) |
|
|
|
|
|
|
250 |
|
|
|
256,113 |
|
| LCM XVIII LP, Series 18A, Class INC,
0.00%, 04/20/27(d)(e) |
|
|
|
|
|
|
1,000 |
|
|
|
610,886 |
|
| Madison Park Funding Ltd., Series 2018-27A, Class B, 1.00%,
04/20/30(d)(e)(f) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,000 |
|
| Octagon Investment Partners Ltd., Series 2013-1A(d)(e): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class A1R2, 3.02%, 01/25/31 |
|
|
|
|
|
|
250 |
|
|
|
250,000 |
|
| Class BR2, 3.42%, 01/25/31 |
|
|
|
|
|
|
350 |
|
|
|
350,000 |
|
| Class CR2, 3.72%, 01/25/31 |
|
|
|
|
|
|
350 |
|
|
|
350,000 |
|
| Class ER2, 7.17%, 01/25/31 |
|
|
|
|
|
|
250 |
|
|
|
250,000 |
|
| OZLM XIX Ltd., Series 2017-19A, Class C, 4.47%, 11/22/30(d)(e) |
|
|
|
|
|
|
250 |
|
|
|
253,627 |
|
| Palmer Square CLO Ltd., Series 2018-1A(d)(e)(f): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class A1, 1.00%, 04/18/31 |
|
|
|
|
|
|
300 |
|
|
|
300,000 |
|
| Class A2, 1.00%, 04/18/31 |
|
|
|
|
|
|
250 |
|
|
|
250,000 |
|
| Class B, 1.00%, 04/18/31 |
|
|
|
|
|
|
250 |
|
|
|
250,000 |
|
| Class D, 1.00%, 04/18/31 |
|
|
|
|
|
|
250 |
|
|
|
250,000 |
|
| Sound Point CLO III, Ltd., Series 2013-2A, Class DR,
(3 mo. LIBOR US + 3.35%), 5.07%, 07/15/25(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
250,477 |
|
| TCI-Cent CLO Ltd., Series
2016-1A, Class A2, (3 mo. LIBOR US + 2.20%), 3.96%, 12/21/29(c)(d) |
|
|
|
|
|
|
300 |
|
|
|
303,594 |
|
| Treman Park CLO Ltd., Series 2015-1A, Class D,
(3 mo. LIBOR US + 3.86%), 5.60%, 04/20/27(c)(d) |
|
|
|
|
|
|
1,400 |
|
|
|
1,407,776 |
|
| Venture XIX CLO Ltd., Series 2014-19A, Class BR,
(3 mo. LIBOR US + 2.00%), 3.72%, 01/15/27(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
251,894 |
|
| Webster Park CLO Ltd., Series 2015-1A, Class C,
(3 mo. LIBOR US + 4.05%), 5.79%, 01/20/27(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
500,631 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities — 2.7%
(Cost — $15,503,644) |
|
|
|
15,353,512 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds — 9.1% |
|
|
| Aerospace & Defense — 0.5% |
|
| Bombardier, Inc.(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.75%, 03/15/20 |
|
|
|
|
|
|
1,533 |
|
|
|
1,636,477 |
|
| 7.50%, 03/15/25 |
|
|
|
|
|
|
1,160 |
|
|
|
1,190,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,826,927 |
|
| Airlines — 0.5% |
|
| US Airways Pass-Through Trust, Series 2012-2, Class C,
5.45%, 06/03/18 |
|
|
|
|
|
|
2,605 |
|
|
|
2,624,277 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Banks — 0.0% |
|
| CIT Group, Inc., 5.00%, 08/01/23 |
|
|
|
|
|
|
135 |
|
|
|
138,713 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Markets — 0.3% |
|
| Blackstone CQP Holdco LP(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.50%, 03/20/21 |
|
|
|
|
|
|
1,536 |
|
|
|
1,549,440 |
|
| 6.00%, 08/18/21 |
|
|
|
|
|
|
249 |
|
|
|
250,183 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,799,623 |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
11 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Chemicals — 0.8% |
|
| Alpha 3 BV/Alpha US Bidco, Inc.,
6.25%, 02/01/25(d) |
|
|
USD |
|
|
|
856 |
|
|
$
|
860,280 |
|
| GEO Specialty Chemicals, Inc.,
15.24%, 10/18/25(a) |
|
|
|
|
|
|
1,853 |
|
|
|
2,627,744 |
|
| Momentive Performance Materials, Inc., 3.88%, 10/24/21 |
|
|
|
|
|
|
1,083 |
|
|
|
1,126,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,614,344 |
|
| Construction Materials — 0.1% |
|
| HD Supply, Inc., 5.75%, 04/15/24(d) |
|
|
|
|
|
|
609 |
|
|
|
638,689 |
|
|
|
|
|
|
|
|
|
|
| Containers & Packaging — 0.8% |
|
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 7.25%, 05/15/24(d) |
|
|
|
|
|
|
300 |
|
|
|
321,375 |
|
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu(3 mo. LIBOR US + 3.50%),
5.22%, 07/15/21(c)(d) |
|
|
|
|
|
|
3,795 |
|
|
|
3,837,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,159,069 |
|
| Diversified Consumer Services — 0.2% |
|
| Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 05/15/23(d) |
|
|
|
|
|
|
1,053 |
|
|
|
1,146,454 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Telecommunication Services — 0.4% |
|
| Level 3 Financing, Inc., 5.25%, 03/15/26 |
|
|
|
|
|
|
2,158 |
|
|
|
2,077,053 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Electric Utilities — 0.0% |
|
| Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 10/01/20(a)(b) |
|
|
|
|
|
|
1,061 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Environmental, Maintenance, & Security Service — 0.1% |
|
| Tervita Escrow Corp., 7.63%, 12/01/21(d) |
|
|
|
|
|
|
540 |
|
|
|
542,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care Providers & Services — 0.1% |
|
| CHS/Community Health Systems, Inc., 5.13%, 08/01/21 |
|
|
|
|
|
|
555 |
|
|
|
511,988 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care Services — 0.0% |
|
| Aveta Inc. Escrow, 7.00%, 04/01/19(a)(d) |
|
|
|
|
|
|
1,347 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure — 0.3% |
|
| New Red Finance, Inc., 5.00%, 10/15/25(d) |
|
|
|
|
|
|
980 |
|
|
|
954,887 |
|
| Scientific Games International, Inc.,
7.00%, 01/01/22(d) |
|
|
|
|
|
|
387 |
|
|
|
407,318 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,362,205 |
|
| IT Services — 0.2% |
|
| First Data Corp., 7.00%, 12/01/23(d) |
|
|
|
|
|
|
1,160 |
|
|
|
1,219,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Media — 1.1% |
|
| Altice Financing SA(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.63%, 02/15/23 |
|
|
|
|
|
|
550 |
|
|
|
549,313 |
|
| 7.50%, 05/15/26 |
|
|
|
|
|
|
875 |
|
|
|
881,562 |
|
| Altice US Finance I Corp., 5.50%, 05/15/26(d) |
|
|
|
|
|
|
350 |
|
|
|
346,500 |
|
| Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.50%, 11/15/22 |
|
|
|
|
|
|
1,218 |
|
|
|
1,248,450 |
|
| Series B, 7.63%, 03/15/20 |
|
|
|
|
|
|
545 |
|
|
|
544,319 |
|
| CSC Holdings LLC, 10.88%, 10/15/25(d) |
|
|
|
|
|
|
1,040 |
|
|
|
1,227,200 |
|
| SFR Group SA(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.00%, 05/15/22 |
|
|
|
|
|
|
842 |
|
|
|
817,792 |
|
| 7.38%, 05/01/26 |
|
|
|
|
|
|
616 |
|
|
|
594,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,209,761 |
|
| Metals & Mining — 1.2% |
|
| Constellium NV, 6.63%, 03/01/25(d) |
|
|
|
|
|
|
300 |
|
|
|
310,500 |
|
| Freeport-McMoRan, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.38%, 03/15/18 |
|
|
|
|
|
|
2,021 |
|
|
|
2,019,383 |
|
| 3.88%, 03/15/23 |
|
|
|
|
|
|
625 |
|
|
|
606,250 |
|
| Novelis Corp., 6.25%, 08/15/24(d) |
|
|
|
|
|
|
991 |
|
|
|
1,013,298 |
|
| Teck Resources Ltd., 3.75%, 02/01/23 |
|
|
|
|
|
|
3,058 |
|
|
|
2,989,195 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,938,626 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Oil, Gas & Consumable Fuels — 1.2% |
|
| Cheniere Corpus Christi Holdings LLC, 7.00%, 06/30/24 |
|
|
USD |
|
|
|
670 |
|
|
$
|
749,730 |
|
| CONSOL Energy, Inc., 5.88%, 04/15/22 |
|
|
|
|
|
|
3,552 |
|
|
|
3,571,980 |
|
| Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(d) |
|
|
|
|
|
|
995 |
|
|
|
1,037,288 |
|
| Halcon Resources Corp., Series WI, 6.75%, 02/15/25 |
|
|
|
|
|
|
284 |
|
|
|
286,840 |
|
| NGPL PipeCo LLC(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.38%, 08/15/22 |
|
|
|
|
|
|
590 |
|
|
|
588,525 |
|
| 4.88%, 08/15/27 |
|
|
|
|
|
|
415 |
|
|
|
418,631 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,652,994 |
|
| Pharmaceuticals — 0.3% |
|
| Valeant Pharmaceuticals International, Inc.,
5.50%, 11/01/25(d) |
|
|
|
|
|
|
1,870 |
|
|
|
1,850,131 |
|
|
|
|
|
|
|
|
|
|
| Real Estate Investment Trusts (REITs) — 0.0% |
|
| VICI Properties 1 LLC/VICI FC, Inc., 8.00%, 10/15/23 |
|
|
|
|
|
|
46 |
|
|
|
51,497 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Software — 0.9% |
|
| Infor US, Inc., 6.50%, 05/15/22 |
|
|
|
|
|
|
1,176 |
|
|
|
1,202,460 |
|
| Informatica LLC, 7.13%, 07/15/23(d) |
|
|
|
|
|
|
658 |
|
|
|
670,831 |
|
| Solera LLC/Solera Finance, Inc.,
10.50%, 03/01/24(d) |
|
|
|
|
|
|
2,163 |
|
|
|
2,428,616 |
|
| Veritas US, Inc./Veritas Bermuda Ltd.,
7.50%, 02/01/23(d) |
|
|
|
|
|
|
866 |
|
|
|
878,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,180,897 |
|
| Wireless Telecommunication Services — 0.1% |
|
| Sprint Communications, Inc., 7.00%, 08/15/20 |
|
|
|
|
|
|
325 |
|
|
|
340,031 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Bonds — 9.1%
(Cost — $50,900,314) |
|
|
|
50,885,429 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests(g)
— 133.9% |
|
|
| Aerospace & Defense — 1.6% |
|
| Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor),
5.40%, 08/18/24 |
|
|
|
|
|
|
3,481 |
|
|
|
3,499,169 |
|
| DAE Aviation Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75% 1.00% Floor),
5.40%, 07/07/22 |
|
|
|
|
|
|
509 |
|
|
|
512,835 |
|
| TransDigm, Inc., 2017 Extended Term Loan F, (3 mo. LIBOR + 2.75%), 4.44%,
06/09/23 |
|
|
|
|
|
|
4,853 |
|
|
|
4,880,290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,892,294 |
|
| Air Freight & Logistics — 0.8% |
|
| Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2, (1 mo. LIBOR + 2.25%),
3.84%, 04/03/22 |
|
|
|
|
|
|
841 |
|
|
|
839,651 |
|
| CEVA Group PLC, Letter of Credit, (3 mo. LIBOR + 5.50%), 6.50%, 03/19/21(a) |
|
|
|
|
|
|
733 |
|
|
|
717,939 |
|
| CEVA Intercompany BV, Dutch Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor),
7.27%, 03/19/21 |
|
|
|
|
|
|
745 |
|
|
|
730,973 |
|
| CEVA Logistics Canada ULC, Canadian Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor),
7.27%, 03/19/21 |
|
|
|
|
|
|
128 |
|
|
|
126,032 |
|
| CEVA Logistics US Holdings, Inc., Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor),
7.27%, 03/19/21 |
|
|
|
|
|
|
992 |
|
|
|
973,581 |
|
| Livingston International, Inc., Term Loan B3, (3 mo. LIBOR + 5.75%), 7.44%, 03/20/20 |
|
|
|
|
|
|
541 |
|
|
|
540,036 |
|
| XPO Logistics, Inc., 2018 Term Loan B, 3.85%, 02/23/25 |
|
|
|
|
|
|
541 |
|
|
|
541,988 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,470,200 |
|
|
|
|
| 12 |
|
2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Airlines — 0.0% |
|
| Northwest Airlines, Inc., Term Loan, (6 mo. LIBOR + 1.23%), 2.68%, 09/10/18(a) |
|
|
USD |
|
|
|
239 |
|
|
$
|
237,772 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Auto Components — 0.9% |
|
| Boing US Holdco, Inc., 2017 1st Lien Term Loan,
(3 mo. LIBOR + 3.50% 1.00% Floor),
5.29%, 10/03/24 |
|
|
|
|
|
|
1,260 |
|
|
|
1,265,519 |
|
| Dayco Products LLC, 2017 Term Loan B,
(1 mo. LIBOR + 5.00%), 6.65%, 05/19/23(a) |
|
|
|
|
|
|
1,022 |
|
|
|
1,033,776 |
|
| FPC Holdings, Inc., 1st Lien Term Loan,
(3 mo. LIBOR + 4.00%), 5.69%, 11/19/19 |
|
|
|
|
|
|
987 |
|
|
|
982,465 |
|
| Goodyear Tire & Rubber Co., 2nd Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.59%,
04/30/19 |
|
|
|
|
|
|
582 |
|
|
|
581,486 |
|
| GPX International Tire Corp., Term Loan(a)(b): |
|
|
|
|
|
|
|
|
|
|
|
|
| 12.25%, 03/30/12 |
|
|
|
|
|
|
1,097 |
|
|
|
— |
|
| PIK, 13.00%, 03/30/12(h) |
|
|
|
|
|
|
18 |
|
|
|
— |
|
| USI, Inc., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 4.69%, 05/16/24 |
|
|
|
|
|
|
1,302 |
|
|
|
1,299,407 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,162,653 |
|
| Automobiles — 0.3% |
|
| CH Hold Corp. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 02/01/24 |
|
|
|
|
|
|
1,278 |
|
|
|
1,284,010 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 7.25% 1.00% Floor), 8.90%, 02/01/25(a) |
|
|
|
|
|
|
245 |
|
|
|
248,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,532,072 |
|
| Banks — 0.3% |
|
| Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.02%, 11/01/24 |
|
|
|
|
|
|
1,637 |
|
|
|
1,635,985 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Building Materials — 0.3% |
|
| Allied Universal HoldCo LLC, 2015 Term Loan, (3 mo. LIBOR + 3.75% 1.00% Floor),
5.44%, 07/28/22 |
|
|
|
|
|
|
842 |
|
|
|
832,528 |
|
| USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (3 mo. LIBOR + 8.50% 1.00% Floor),
10.27%, 07/28/23 |
|
|
|
|
|
|
645 |
|
|
|
638,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,471,078 |
|
| Building Products — 1.3% |
|
| Continental Building Products LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.25%),
3.91%, 08/18/23 |
|
|
|
|
|
|
390 |
|
|
|
393,394 |
|
| CPG International Inc., 2017 Term Loan, (6 mo. LIBOR + 3.75% 1.00% Floor),
5.59%, 05/03/24 |
|
|
|
|
|
|
1,942 |
|
|
|
1,955,175 |
|
| Jeld-Wen Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR +
2.00%), 3.69%, 12/14/24 |
|
|
|
|
|
|
1,620 |
|
|
|
1,627,695 |
|
| Ply Gem Industries, Inc., Term Loan, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 02/01/21 |
|
|
|
|
|
|
766 |
|
|
|
767,882 |
|
| Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.95%, 12/19/23 |
|
|
|
|
|
|
2,720 |
|
|
|
2,736,593 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,480,739 |
|
| Capital Markets — 1.3% |
|
| Duff & Phelps Corp., 2017 Term Loan B,
02/13/25(k) |
|
|
|
|
|
|
535 |
|
|
|
538,863 |
|
| EIG Management Company LLC, 2018 Term Loan B,
01/30/25(k) |
|
|
|
|
|
|
1,703 |
|
|
|
1,715,049 |
|
| FinCo I LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 12/27/22 |
|
|
|
|
|
|
1,460 |
|
|
|
1,473,140 |
|
| Greenhill & Co., Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75% 1.00% Floor),
5.38%, 10/12/22 |
|
|
|
|
|
|
1,577 |
|
|
|
1,586,856 |
|
| RPI Finance Trust, Term Loan B6, (3 mo. LIBOR + 2.00%), 3.69%, 03/27/23 |
|
|
|
|
|
|
1,709 |
|
|
|
1,717,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,031,525 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Chemicals — 4.3% |
|
| Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 01/31/24 |
|
|
USD |
|
|
|
1,020 |
|
|
$
|
1,026,504 |
|
| Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 2.00%),
3.69%, 06/01/24 |
|
|
|
|
|
|
2,327 |
|
|
|
2,339,626 |
|
| CeramTec Acquisition Corp., Term Loan B2, (3 mo. LIBOR + 2.75% 1.00% Floor),
4.73%, 08/30/20(a) |
|
|
|
|
|
|
113 |
|
|
|
112,308 |
|
| Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor),
4.65%, 05/16/24 |
|
|
|
|
|
|
1,448 |
|
|
|
1,449,897 |
|
| Chemours Company, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 05/12/22 |
|
|
|
|
|
|
903 |
|
|
|
907,289 |
|
| EaglePicher Technologies LLC, 1st Lien Term Loan B, 02/27/25(k) |
|
|
|
|
|
|
1,115 |
|
|
|
1,115,703 |
|
| Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50% 1.00%
Floor), 5.19%, 06/28/24 |
|
|
|
|
|
|
620 |
|
|
|
626,591 |
|
| Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 11/07/24 |
|
|
|
|
|
|
1,045 |
|
|
|
1,051,531 |
|
| Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.75%), 5.49%, 07/09/19 |
|
|
|
|
|
|
444 |
|
|
|
424,333 |
|
| H.B. Fuller Co., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.84%, 10/20/24 |
|
|
|
|
|
|
2,339 |
|
|
|
2,349,383 |
|
| Invictus(k): |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, 01/24/25 |
|
|
|
|
|
|
828 |
|
|
|
833,760 |
|
| 2nd Lien Term Loan, 01/23/26 |
|
|
|
|
|
|
430 |
|
|
|
432,958 |
|
| MacDermid, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B6, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 06/07/23 |
|
|
|
|
|
|
1,319 |
|
|
|
1,326,439 |
|
| Term Loan B7, (1 mo. LIBOR + 2.50% 1.00% Floor), 4.15%, 06/07/20 |
|
|
|
|
|
|
1,914 |
|
|
|
1,921,574 |
|
| Oxea Holding Drei GmbH, 2017 Term Loan B2, (3 mo. LIBOR + 3.50%), 5.25%, 10/11/24(a) |
|
|
|
|
|
|
3,571 |
|
|
|
3,588,905 |
|
| PQ Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.29%, 02/08/25 |
|
|
|
|
|
|
2,856 |
|
|
|
2,869,233 |
|
| Solenis International LP, 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor),
5.23%, 07/31/21 |
|
|
|
|
|
|
1,493 |
|
|
|
1,485,576 |
|
| Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor),
4.50%, 08/07/20 |
|
|
|
|
|
|
422 |
|
|
|
422,518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,284,128 |
|
| Commercial Services & Supplies — 7.3% |
|
| Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 3.72%, 11/10/23 |
|
|
|
|
|
|
3,304 |
|
|
|
3,314,973 |
|
| Aramark Services, Inc., 2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.65%, 03/11/25 |
|
|
|
|
|
|
294 |
|
|
|
295,402 |
|
| Asurion LLC : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%),
7.65%, 08/04/25 |
|
|
|
|
|
|
986 |
|
|
|
1,009,910 |
|
| 2017 Term Loan B4, (1 mo. LIBOR + 2.75%),
4.40%, 08/04/22 |
|
|
|
|
|
|
1,990 |
|
|
|
1,998,882 |
|
| 2018 Term Loan B6, (1 mo. LIBOR + 2.75%),
4.65%, 11/03/23 |
|
|
|
|
|
|
3,104 |
|
|
|
3,119,545 |
|
| Camelot UK Holdco Ltd., 2017 Repriced Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor),
4.90%, 10/03/23 |
|
|
|
|
|
|
3,865 |
|
|
|
3,890,102 |
|
| Casella Waste Systems, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.09%, 10/17/23 |
|
|
|
|
|
|
931 |
|
|
|
932,926 |
|
| Catalent Pharma Solutions, Inc., Term Loan B, (1 mo. LIBOR + 2.25% 1.00% Floor), 3.90%,
05/20/24 |
|
|
|
|
|
|
3,591 |
|
|
|
3,603,311 |
|
| Clean Harbors, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.65%, 06/27/24 |
|
|
|
|
|
|
657 |
|
|
|
659,984 |
|
| Convergint Technologies LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.66%,
02/03/25 |
|
|
|
|
|
|
583 |
|
|
|
582,062 |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
13 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Commercial Services & Supplies (continued) |
|
| Creative Artists Agency LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.59%, 02/15/24 |
|
|
USD |
|
|
|
3,068 |
|
|
$
|
3,091,111 |
|
| Dealer Tire LLC, 2017 Term Loan B, (OR + 3.25% 1.00% Floor), 5.00%, 12/22/21(a) |
|
|
|
|
|
|
1,194 |
|
|
|
1,210,976 |
|
| Employbridge LLC, Exit Term Loan, (3 mo. LIBOR + 6.50% 1.00% Floor), 8.19%, 05/16/20 |
|
|
|
|
|
|
370 |
|
|
|
365,266 |
|
| Garda World Security Corp., 2017 Term Loan, (PRIME + 2.50%), 7.00%, 05/24/24 |
|
|
|
|
|
|
918 |
|
|
|
925,883 |
|
| Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75% 1.00% Floor), 6.44%, 11/03/23 |
|
|
|
|
|
|
936 |
|
|
|
944,458 |
|
| KAR Auction Services, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B4, (3 mo. LIBOR + 2.25%), 4.00%, 03/11/21 |
|
|
|
|
|
|
864 |
|
|
|
868,811 |
|
| Term Loan B5, (3 mo. LIBOR + 2.50%), 4.25%, 03/09/23 |
|
|
|
|
|
|
1,669 |
|
|
|
1,677,001 |
|
| Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor),
4.40%, 05/02/22 |
|
|
|
|
|
|
2,788 |
|
|
|
2,810,349 |
|
| US Security Associates Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 4.00% 1.00% Floor),
5.69%, 07/14/23 |
|
|
|
|
|
|
2,398 |
|
|
|
2,415,540 |
|
| West Corp., 2017 Term Loan, (1 mo. LIBOR + 4.00% 1.00% Floor), 5.65%, 10/10/24 |
|
|
|
|
|
|
3,379 |
|
|
|
3,406,283 |
|
| Wrangler Buyer Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 4.65%, 09/27/24 |
|
|
|
|
|
|
3,608 |
|
|
|
3,625,213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40,747,988 |
|
| Communications Equipment — 1.0% |
|
| Avaya, Inc., Exit Term Loan B, (1 mo. LIBOR + 4.75% 1.00% Floor), 6.34%, 12/15/24 |
|
|
|
|
|
|
1,469 |
|
|
|
1,475,850 |
|
| Colorado Buyer, Inc., Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.78%, 05/01/24 |
|
|
|
|
|
|
1,716 |
|
|
|
1,724,648 |
|
| CommScope, Inc., Term Loan B5, (1 mo. LIBOR + 2.00%), 3.65%, 12/29/22 |
|
|
|
|
|
|
649 |
|
|
|
651,979 |
|
| Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.50% 1.00% Floor),
6.15%, 11/01/24 |
|
|
|
|
|
|
1,759 |
|
|
|
1,777,698 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,630,175 |
|
| Construction & Engineering — 1.8% |
|
| AECOM, Term Loan B, 02/22/25(k) |
|
|
|
|
|
|
795 |
|
|
|
795,660 |
|
| Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25% 1.00%
Floor), 6.00%, 06/21/24 |
|
|
|
|
|
|
6,614 |
|
|
|
6,660,406 |
|
| CNT Holdings III Corp., 2017 Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 01/22/23 |
|
|
|
|
|
|
402 |
|
|
|
391,448 |
|
| Engility Corp. : |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B1, (1 mo. LIBOR + 2.75%), 4.40%, 08/12/20 |
|
|
|
|
|
|
311 |
|
|
|
312,566 |
|
| Term Loan B2, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 08/12/23 |
|
|
|
|
|
|
551 |
|
|
|
555,258 |
|
| Pike Corp., Replacement Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 09/20/24 |
|
|
|
|
|
|
542 |
|
|
|
547,338 |
|
| USIC Holdings, Inc., 2017 Term Loan B, (6 mo. LIBOR + 3.50% 1.00% Floor), 5.00%, 12/08/23 |
|
|
|
|
|
|
922 |
|
|
|
927,079 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,189,755 |
|
| Construction Materials — 1.7% |
|
| Core & Main LP, 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.57%, 08/01/24 |
|
|
|
|
|
|
2,778 |
|
|
|
2,782,677 |
|
| Filtration Group Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.98%, 11/21/20 |
|
|
|
|
|
|
4,191 |
|
|
|
4,230,935 |
|
| GYP Holdings III Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.77%, 04/01/23 |
|
|
|
|
|
|
2,214 |
|
|
|
2,224,806 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,238,418 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Containers & Packaging — 1.7% |
|
| Berlin Packaging LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.89%, 10/01/21 |
|
|
USD |
|
|
|
582 |
|
|
$
|
584,703 |
|
| Berry Global, Inc., Term Loan Q, (1 mo. LIBOR + 2.00%), 3.62%, 10/01/22 |
|
|
|
|
|
|
5,560 |
|
|
|
5,576,633 |
|
| BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 4.96%, 04/03/24 |
|
|
|
|
|
|
1,790 |
|
|
|
1,796,717 |
|
| Plastipak Holdings, Inc., Term Loan B, (3 mo. LIBOR + 2.75%), 4.45%, 10/14/24 |
|
|
|
|
|
|
883 |
|
|
|
887,643 |
|
| Proampac PG Borrower LLC, 2016 1st Lien Term Loan, (PRIME + 2.50%), 5.07%, 11/18/23 |
|
|
|
|
|
|
490 |
|
|
|
495,239 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,340,935 |
|
| Distributors — 1.1% |
|
| American Builders & Contractors Supply Co., Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%),
4.15%, 10/31/23 |
|
|
|
|
|
|
2,661 |
|
|
|
2,674,211 |
|
| American Tire Distributors Holdings, Inc., 2015 Term Loan, (1 mo. LIBOR + 4.25% 1.00% Floor),
5.90%, 09/01/21 |
|
|
|
|
|
|
925 |
|
|
|
935,981 |
|
| TriMark USA LLC : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.15%, 08/28/24 |
|
|
|
|
|
|
2,206 |
|
|
|
2,218,324 |
|
| Delayed Draw Term Loan, 08/28/24(k) |
|
|
|
|
|
|
74 |
|
|
|
74,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,902,606 |
|
| Diversified Consumer Services — 4.1% |
|
| AI Aqua Merger Sub, Inc., 2017 Incremental Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor),
5.15%, 12/13/23 |
|
|
|
|
|
|
2,090 |
|
|
|
2,094,109 |
|
| Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 07/12/24 |
|
|
|
|
|
|
1,162 |
|
|
|
1,165,957 |
|
| Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.00%),
3.65%, 11/07/23 |
|
|
|
|
|
|
2,933 |
|
|
|
2,951,030 |
|
| Equian LLC, Add on Term Loan B, (3 mo. LIBOR + 3.25%), 5.15%, 05/17/24 |
|
|
|
|
|
|
2,234 |
|
|
|
2,244,349 |
|
| J.D. Power and Associates, 1st Lien Term Loan, (3 mo. LIBOR + 4.25% 1.00% Floor),
5.94%, 09/07/23 |
|
|
|
|
|
|
1,403 |
|
|
|
1,412,216 |
|
| Nomad Foods Europe Midco Ltd. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Delayed Draw Term Loan B6, (3 mo. LIBOR + 2.25%), 3.86%, 05/15/24 |
|
|
|
|
|
|
233 |
|
|
|
233,371 |
|
| 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 3.84%, 05/15/24 |
|
|
|
|
|
|
1,149 |
|
|
|
1,152,231 |
|
| Serta Simmons Bedding LLC : |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.22%, 11/08/23 |
|
|
|
|
|
|
3,104 |
|
|
|
2,991,357 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 8.00% 1.00% Floor), 9.58%, 11/08/24 |
|
|
|
|
|
|
943 |
|
|
|
856,111 |
|
| ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 11/08/23 |
|
|
|
|
|
|
2,442 |
|
|
|
2,453,398 |
|
| Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25% 1.00% Floor), 5.08%, 11/14/22 |
|
|
|
|
|
|
1,168 |
|
|
|
1,173,927 |
|
| Wand Intermediate I LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor),
4.65%, 09/17/21 |
|
|
|
|
|
|
1,372 |
|
|
|
1,380,485 |
|
| Weight Watchers International, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.75%),
6.45%, 11/29/24 |
|
|
|
|
|
|
2,836 |
|
|
|
2,867,583 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,976,124 |
|
| Diversified Financial Services — 1.6% |
|
| AlixPartners LLP, 2017 Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.44%, 04/04/24 |
|
|
|
|
|
|
3,054 |
|
|
|
3,070,585 |
|
|
|
|
| 14 |
|
2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Diversified Financial Services (continued) |
|
| Clipper Acquisitions Corp., 2017 Term Loan B, (2 mo. LIBOR + 2.00% 1.00% Floor),
3.62%, 12/11/24(a) |
|
|
USD |
|
|
|
670 |
|
|
$
|
672,513 |
|
| CVS Holdings I LP, 2018 1st Lien Term Loan, (OR + 3.00% 1.00% Floor), 4.79%, 02/06/25(a) |
|
|
|
|
|
|
1,030 |
|
|
|
1,026,137 |
|
| Endo Luxembourg Finance Company I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%),
5.94%, 04/29/24 |
|
|
|
|
|
|
1,348 |
|
|
|
1,343,792 |
|
| Kingpin Intermediate Holdings LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.25% 1.00% Floor),
5.73%, 06/28/24(a) |
|
|
|
|
|
|
1,562 |
|
|
|
1,587,535 |
|
| Oryx Southern Delaware Holdings LLC, Term
Loan, 02/09/25(a)(k) |
|
|
|
|
|
|
1,210 |
|
|
|
1,203,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,904,512 |
|
| Diversified Telecommunication Services — 6.1% |
|
| CenturyLink, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan A, (1 mo. LIBOR + 2.75%), 4.40%, 11/01/22 |
|
|
|
|
|
|
1,100 |
|
|
|
1,096,150 |
|
| 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 01/31/25 |
|
|
|
|
|
|
9,172 |
|
|
|
9,009,603 |
|
| Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor),
4.65%, 10/04/23 |
|
|
|
|
|
|
418 |
|
|
|
410,262 |
|
| Frontier Communications Corp. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B1, (1 mo. LIBOR + 3.75%), 5.40%, 06/15/24 |
|
|
|
|
|
|
70 |
|
|
|
69,175 |
|
| Delayed Draw Term Loan A, (1 mo. LIBOR + 2.75%), 4.40%, 03/31/21(a) |
|
|
|
|
|
|
1,713 |
|
|
|
1,693,268 |
|
| Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%,
05/16/24 |
|
|
|
|
|
|
1,507 |
|
|
|
1,510,063 |
|
| Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.85%,
02/22/24 |
|
|
|
|
|
|
6,989 |
|
|
|
6,999,693 |
|
| MTN Infrastructure TopCo, Inc: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 11/15/24 |
|
|
|
|
|
|
976 |
|
|
|
982,871 |
|
| MTN Topco Term Loan, 11/17/24(k) |
|
|
|
|
|
|
955 |
|
|
|
959,023 |
|
| Sprint Communications, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 4.19%, 02/02/24 |
|
|
|
|
|
|
2,883 |
|
|
|
2,884,106 |
|
| Telenet Financing USD LLC, Term Loan AL, (1 mo. LIBOR + 2.50%), 4.09%, 03/01/26 |
|
|
|
|
|
|
4,650 |
|
|
|
4,663,392 |
|
| Telesat Canada, Term Loan B4, (3 mo. LIBOR + 3.00%), 4.70%, 11/17/23 |
|
|
|
|
|
|
838 |
|
|
|
841,184 |
|
| Virgin Media Investment Holdings Ltd., GBP Term Loan L, (LIBOR - GBP + 3.25%),
3.75%, 01/15/27 |
|
|
GBP |
|
|
|
1,000 |
|
|
|
1,378,420 |
|
| Zayo Group LLC : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Incremental Term Loan, 3.87%, 01/19/24 |
|
|
USD |
|
|
|
290 |
|
|
|
291,218 |
|
| 2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.65%, 01/19/21 |
|
|
|
|
|
|
1,133 |
|
|
|
1,136,613 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,925,041 |
|
| Electric Utilities — 2.0% |
|
| Dayton Power & Light Company (The), Term Loan B, 3.65%, 08/24/22 |
|
|
|
|
|
|
519 |
|
|
|
520,954 |
|
| Energy Future Intermediate Holding Co. LLC, 2017 DIP Term Loan, (1 Week LIBOR + 3.00% 1.00% Floor),
4.47%, 06/30/18 |
|
|
|
|
|
|
6,640 |
|
|
|
6,639,204 |
|
| PrimeLine Utility Services LLC, Term Loan, (1 mo. LIBOR + 5.50% 1.00% Floor), 7.15%, 11/12/22 |
|
|
|
|
|
|
1,356 |
|
|
|
1,359,072 |
|
| TEX Operations Co. LLC : |
|
|
|
|
|
|
|
|
|
|
|
|
| Exit Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 08/04/23 |
|
|
|
|
|
|
2,041 |
|
|
|
2,051,617 |
|
| Exit Term Loan C, (1 mo. LIBOR + 2.50%), 4.15%, 08/04/23 |
|
|
|
|
|
|
362 |
|
|
|
364,427 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Electric Utilities (continued) |
|
| Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 11/10/18(a)(k) |
|
|
USD |
|
|
|
1,710 |
|
|
$
|
— |
|
| Vistra Operations Co. LLC, 2016 Term Loan B2, (1 mo. LIBOR + 2.25%), 3.84%, 12/14/23 |
|
|
|
|
|
|
369 |
|
|
|
370,423 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,305,697 |
|
| Electrical Equipment — 1.0% |
|
| EXC Holdings III Corp., 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.50% 1.00% Floor),
5.16%, 12/02/24 |
|
|
|
|
|
|
920 |
|
|
|
927,185 |
|
| Gates Global LLC, 2017 Repriced Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor),
4.44%, 04/01/24 |
|
|
|
|
|
|
3,996 |
|
|
|
4,020,885 |
|
| Generac Power Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 2.00%),
3.69%, 05/31/23 |
|
|
|
|
|
|
412 |
|
|
|
412,857 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,360,927 |
|
| Energy Equipment & Services — 1.4% |
|
| Exgen Texas Power LLC, Term Loan B, (3 mo. LIBOR + 4.75% 1.00% Floor), 6.44%, 09/16/21 |
|
|
|
|
|
|
850 |
|
|
|
517,305 |
|
| Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00% 1.00% Floor), 7.59%, 03/01/24 |
|
|
|
|
|
|
2,550 |
|
|
|
2,558,492 |
|
| GrafTech Finance, Inc., 2018 Term Loan B, (OR + 3.50% 1.00% Floor), 5.08%, 02/12/25(a) |
|
|
|
|
|
|
1,820 |
|
|
|
1,817,725 |
|
| Ocean Rig UDW Inc., Term Loan, (Fixed + 8.00%), 8.00%, 09/20/24 |
|
|
|
|
|
|
131 |
|
|
|
136,144 |
|
| Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75% 1.00% Floor), 9.33%, 11/08/22 |
|
|
|
|
|
|
845 |
|
|
|
877,744 |
|
| Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 02/21/21 |
|
|
|
|
|
|
652 |
|
|
|
564,485 |
|
| Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.30%), 3.95%, 07/13/20 |
|
|
|
|
|
|
1,283 |
|
|
|
1,267,195 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,739,090 |
|
| Food & Staples Retailing — 1.3% |
|
| Albertsons LLC, 2017 Term Loan B4, (1 mo. LIBOR + 2.75%), 4.40%, 08/25/21 |
|
|
|
|
|
|
847 |
|
|
|
835,080 |
|
| BJ’s Wholesale Club, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor),
5.08%, 02/03/24 |
|
|
|
|
|
|
1,856 |
|
|
|
1,851,383 |
|
| Hostess Brands LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 3.90%, 08/03/22 |
|
|
|
|
|
|
2,754 |
|
|
|
2,761,658 |
|
| US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 06/27/23 |
|
|
|
|
|
|
1,614 |
|
|
|
1,625,868 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,073,989 |
|
| Food Products — 2.8% |
|
| Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 10/10/23 |
|
|
|
|
|
|
2,723 |
|
|
|
2,741,305 |
|
| Dole Food Co., Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.33%, 04/06/24 |
|
|
|
|
|
|
1,047 |
|
|
|
1,050,487 |
|
| JBS USA LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.10%, 10/30/22 |
|
|
|
|
|
|
4,518 |
|
|
|
4,495,211 |
|
| Pinnacle Foods Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.58%, 02/02/24 |
|
|
|
|
|
|
2,614 |
|
|
|
2,628,445 |
|
| Reddy Ice Corp. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 7.26%, 05/01/19(a) |
|
|
|
|
|
|
1,575 |
|
|
|
1,574,638 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 9.50%), 11.20%, 11/01/19 |
|
|
|
|
|
|
532 |
|
|
|
500,080 |
|
| Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 4.40%, 02/05/23 |
|
|
|
|
|
|
2,771 |
|
|
|
2,783,627 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,773,793 |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
15 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Health Care Equipment & Supplies — 3.9% |
|
| Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.00% 1.00% Floor), 5.65%, 11/21/24 |
|
|
USD |
|
|
|
2,797 |
|
|
$
|
2,823,795 |
|
| Cotiviti Corp., Term Loan B, (3 mo. LIBOR + 2.25%), 4.20%, 09/28/23 |
|
|
|
|
|
|
1,635 |
|
|
|
1,642,643 |
|
| CryoLife, Inc., Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.69%, 11/14/24(a) |
|
|
|
|
|
|
1,840 |
|
|
|
1,858,400 |
|
| DJO Finance LLC, 2015 Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.92%, 06/08/20 |
|
|
|
|
|
|
6,217 |
|
|
|
6,155,982 |
|
| Immucor, Inc., Extended Term Loan B, (2 mo. LIBOR + 5.00% 1.00% Floor), 6.65%, 06/15/21 |
|
|
|
|
|
|
3,581 |
|
|
|
3,643,243 |
|
| Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 4.44%, 09/24/24 |
|
|
|
|
|
|
1,462 |
|
|
|
1,457,604 |
|
| Ortho-Clinical Diagnostics SA, Term Loan B, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.44%, 06/30/21 |
|
|
|
|
|
|
4,450 |
|
|
|
4,483,733 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,065,400 |
|
| Health Care Providers & Services — 6.7% |
|
| Acadia Healthcare Co., Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B1, (1 mo. LIBOR + 2.75%), 4.40%, 02/11/22 |
|
|
|
|
|
|
448 |
|
|
|
450,425 |
|
| Tranche B-2 Term Loan, (1 mo. LIBOR + 2.75%),
4.40%, 02/16/23 |
|
|
|
|
|
|
2,083 |
|
|
|
2,095,971 |
|
| Air Medical Group Holdings, Inc., 2017 Term Loan B2,
09/07/24(k) |
|
|
|
|
|
|
1,450 |
|
|
|
1,464,862 |
|
| Auris Luxembourg III Sarl, 2017 Term Loan B7, (3 mo. LIBOR + 3.00% 1.00% Floor),
4.69%, 01/17/22 |
|
|
|
|
|
|
2,420 |
|
|
|
2,438,916 |
|
| CHG Healthcare Services Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.65%,
06/07/23 |
|
|
|
|
|
|
3,365 |
|
|
|
3,397,430 |
|
| Community Health Systems, Inc., Term Loan G, (3 mo. LIBOR + 2.75% 1.00% Floor),
4.73%, 12/31/19 |
|
|
|
|
|
|
475 |
|
|
|
470,695 |
|
| Concentra Inc., 2018 1st Lien Term Loan, (OR + 2.75% 1.00% Floor), 4.53%, 06/01/22 |
|
|
|
|
|
|
1,895 |
|
|
|
1,906,844 |
|
| Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, (3 mo. LIBOR + 4.00% 1.00% Floor),
5.68%, 02/07/22 |
|
|
|
|
|
|
820 |
|
|
|
816,693 |
|
| DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 06/24/21 |
|
|
|
|
|
|
830 |
|
|
|
835,582 |
|
| Diplomat Pharmacy, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.50% 1.00% Floor), 6.10%, 12/12/24 |
|
|
|
|
|
|
906 |
|
|
|
911,285 |
|
| DuPage Medical Group, Ltd. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 Term Loan, (1 mo. LIBOR + 2.75%), 4.35%, 08/15/24 |
|
|
|
|
|
|
855 |
|
|
|
853,734 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 8.59%, 08/15/25 |
|
|
|
|
|
|
395 |
|
|
|
395,988 |
|
| Envision Healthcare Corp., 2016 Term Loan B, (1 mo. LIBOR + 3.00%), 4.65%, 12/01/23 |
|
|
|
|
|
|
5,539 |
|
|
|
5,550,993 |
|
| Explorer Holdings, Inc., 2016 Term Loan B, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.52%, 05/02/23 |
|
|
|
|
|
|
1,075 |
|
|
|
1,082,605 |
|
| HC Group Holdings III, Inc., Term Loan B, (1 mo. LIBOR + 5.00% 1.00% Floor),
6.65%, 04/07/22(a) |
|
|
|
|
|
|
1,419 |
|
|
|
1,440,587 |
|
| HCA, Inc., Term Loan B9, (1 mo. LIBOR + 2.00%), 3.65%, 03/17/23 |
|
|
|
|
|
|
2,168 |
|
|
|
2,179,466 |
|
| MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor),
4.69%, 06/07/23 |
|
|
|
|
|
|
2,311 |
|
|
|
2,321,031 |
|
| National Mentor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.00%), 4.69%, 01/31/21 |
|
|
|
|
|
|
480 |
|
|
|
483,634 |
|
| nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50% 1.00% Floor), 6.15%, 10/20/22 |
|
|
|
|
|
|
1,800 |
|
|
|
1,802,813 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Health Care Providers & Services (continued) |
|
| NVA Holdings, Inc., Term Loan B3, (OR + 2.75% 1.00% Floor), 4.41%, 02/02/25 |
|
|
USD |
|
|
|
1,831 |
|
|
$
|
1,830,138 |
|
| Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor),
4.40%, 02/06/24 |
|
|
|
|
|
|
1,752 |
|
|
|
1,703,092 |
|
| Vizient, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 02/13/23 |
|
|
|
|
|
|
648 |
|
|
|
651,892 |
|
| WP CityMD Bidco LLC, 1st Lien Term Loan, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.69%, 06/07/24 |
|
|
|
|
|
|
948 |
|
|
|
949,994 |
|
| Zotec Partners LLC, 2018 Term Loan,
1.00%, 02/06/25(a) |
|
|
|
|
|
|
1,240 |
|
|
|
1,227,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,262,270 |
|
| Health Care Technology — 1.2% |
|
| Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%,
03/01/24 |
|
|
|
|
|
|
3,615 |
|
|
|
3,621,815 |
|
| Press Ganey Holdings, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 10/21/23 |
|
|
|
|
|
|
1,595 |
|
|
|
1,605,116 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 6.50% 1.00% Floor), 8.15%, 10/21/24 |
|
|
|
|
|
|
333 |
|
|
|
337,043 |
|
| Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 3.69%, 03/07/24 |
|
|
|
|
|
|
1,109 |
|
|
|
1,116,054 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,680,028 |
|
| Hotels, Restaurants & Leisure — 7.5% |
|
| Amaya Holdings BV : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 7.00% 1.00% Floor), 8.69%, 08/01/22 |
|
|
|
|
|
|
469 |
|
|
|
470,506 |
|
| Repriced Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 08/01/21 |
|
|
|
|
|
|
2,717 |
|
|
|
2,733,822 |
|
| Aristocrat Leisure Ltd., 2017 Incremental Term Loan, (3 mo. LIBOR + 2.00%), 3.74%, 10/19/24 |
|
|
|
|
|
|
1,420 |
|
|
|
1,425,836 |
|
| Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.50%), 3.97%, 09/15/23 |
|
|
|
|
|
|
1,869 |
|
|
|
1,877,505 |
|
| Bronco Midstream Funding LLC, Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.87%, 08/15/20 |
|
|
|
|
|
|
2,121 |
|
|
|
2,141,228 |
|
| Burger King Newco Unlimited Liability Co., Term Loan B3, (3 mo. LIBOR + 2.25% 1.00% Floor),
3.92%, 02/16/24 |
|
|
|
|
|
|
7,255 |
|
|
|
7,264,028 |
|
| Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%),
4.40%, 12/22/24 |
|
|
|
|
|
|
4,454 |
|
|
|
4,481,303 |
|
| CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 08/08/21 |
|
|
|
|
|
|
1,279 |
|
|
|
1,287,717 |
|
| CEC Entertainment, Inc., Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 02/14/21 |
|
|
|
|
|
|
581 |
|
|
|
561,541 |
|
| Cineworld Ltd., 2018 Term Loan, 02/18/25(k) |
|
|
|
|
|
|
2,240 |
|
|
|
2,236,640 |
|
| Cyan Blue Holdco 3 Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.19%, 08/23/24 |
|
|
|
|
|
|
1,528 |
|
|
|
1,531,374 |
|
| ESH Hospitality, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.90%, 08/30/23 |
|
|
|
|
|
|
3,055 |
|
|
|
3,069,381 |
|
| Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.50%), 4.15%, 11/30/23 |
|
|
|
|
|
|
223 |
|
|
|
224,142 |
|
| Gateway Casinos & Entertainment Ltd., Term Loan B1, (3 mo. LIBOR + 3.75% 1.00% Floor),
5.44%, 02/22/23 |
|
|
|
|
|
|
303 |
|
|
|
306,130 |
|
| Hilton Worldwide Finance LLC, Term Loan B2, (1 mo. LIBOR + 2.00%), 3.62%, 10/25/23 |
|
|
|
|
|
|
1,795 |
|
|
|
1,804,702 |
|
| IRB Holding Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.83%, 02/05/25 |
|
|
|
|
|
|
1,602 |
|
|
|
1,616,936 |
|
| La Quinta Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor),
4.47%, 04/14/21 |
|
|
|
|
|
|
819 |
|
|
|
822,481 |
|
|
|
|
| 16 |
|
2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Hotels, Restaurants & Leisure (continued) |
|
| Lakeland Tours LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor),
5.59%, 12/15/24 |
|
|
USD |
|
|
|
924 |
|
|
$
|
934,021 |
|
| Playa Resorts Holding BV, 2017 Term Loan B, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.89%, 04/29/24 |
|
|
|
|
|
|
1,584 |
|
|
|
1,593,504 |
|
| Scientific Games International, Inc., 2018 Term Loan B5, (3 mo. LIBOR + 2.75%), 4.45%, 08/14/24 |
|
|
|
|
|
|
3,896 |
|
|
|
3,913,007 |
|
| Yum! Brands, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.00%), 3.59%, 06/16/23 |
|
|
|
|
|
|
1,437 |
|
|
|
1,443,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,739,554 |
|
| Household Products — 0.7% |
|
| Spectrum Brands, Inc., 2017 Term Loan B, (2 mo. LIBOR + 2.00%), 3.74%, 06/23/22 |
|
|
|
|
|
|
3,825 |
|
|
|
3,838,148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Independent Power and Renewable Electricity Producers — 3.1% |
|
| AES Corp., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 3.94%, 05/24/22 |
|
|
|
|
|
|
1,062 |
|
|
|
1,062,506 |
|
| Aria Energy Operating LLC, Term Loan, (1 mo. LIBOR + 4.50% 1.00% Floor), 6.15%, 05/27/22(a) |
|
|
|
|
|
|
1,102 |
|
|
|
1,110,898 |
|
| Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%),
4.15%, 01/15/25 |
|
|
|
|
|
|
1,260 |
|
|
|
1,262,094 |
|
| Calpine Corp., Term Loan B6, (3 mo. LIBOR + 2.50% 1.00% Floor), 4.20%, 01/15/23 |
|
|
|
|
|
|
1,838 |
|
|
|
1,845,497 |
|
| Compass Power Generation LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.75% 1.00% Floor),
5.39%, 12/20/24 |
|
|
|
|
|
|
1,185 |
|
|
|
1,194,634 |
|
| Dynegy, Inc., 2017 Term Loan C2, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.35%, 02/07/24 |
|
|
|
|
|
|
3,150 |
|
|
|
3,168,084 |
|
| Granite Acquisition, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 12/19/21 |
|
|
|
|
|
|
3,274 |
|
|
|
3,309,378 |
|
| Term Loan C, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 12/19/21 |
|
|
|
|
|
|
543 |
|
|
|
549,231 |
|
| Nautilus Power LLC, Term Loan B, (1 mo. LIBOR + 4.25% 1.00% Floor), 5.90%, 05/16/24 |
|
|
|
|
|
|
2,574 |
|
|
|
2,609,182 |
|
| Terra-Gen Finance Co. LLC, Term Loan B, (1 mo. LIBOR +
4.25% 1.00% Floor), 5.90%, 12/09/21(a) |
|
|
|
|
|
|
1,293 |
|
|
|
1,170,291 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,281,795 |
|
| Industrial Conglomerates — 1.0% |
|
| Cortes NP Acquisition Corp., 2017 Term Loan B, (1 mo. LIBOR + 4.00% 1.00% Floor),
5.58%, 11/30/23 |
|
|
|
|
|
|
3,808 |
|
|
|
3,826,787 |
|
| Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00% 1.00% Floor),
6.55%, 11/28/21 |
|
|
|
|
|
|
1,557 |
|
|
|
1,575,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,402,298 |
|
| Insurance — 3.0% |
|
| Alliant Holdings I, Inc., 2015 Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 08/12/22 |
|
|
|
|
|
|
2,771 |
|
|
|
2,782,171 |
|
| AmWINS Group, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75% 1.00% Floor), 8.40%, 01/25/25 |
|
|
|
|
|
|
822 |
|
|
|
827,820 |
|
| 2017 Term Loan B, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.38%, 01/25/24 |
|
|
|
|
|
|
1,861 |
|
|
|
1,870,506 |
|
| AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo.
LIBOR + 3.50%), 5.15%, 10/22/24 |
|
|
|
|
|
|
981 |
|
|
|
986,362 |
|
| Davis Vision Inc., 1st Lien Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.49%, 12/02/24 |
|
|
|
|
|
|
1,851 |
|
|
|
1,841,745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Insurance (continued) |
|
| Genworth Financial, Inc., Term Loan, 1.00%, 02/22/23 |
|
|
USD |
|
|
|
125 |
|
|
$
|
126,563 |
|
| Hub International Ltd., Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.70%, 10/02/20 |
|
|
|
|
|
|
1,440 |
|
|
|
1,444,915 |
|
| Sedgwick Claims Management Services, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 03/01/21 |
|
|
|
|
|
|
3,234 |
|
|
|
3,232,284 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 5.75% 1.00% Floor), 7.40%, 02/28/22 |
|
|
|
|
|
|
2,540 |
|
|
|
2,551,125 |
|
| Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor),
4.90%, 06/22/23(a) |
|
|
|
|
|
|
831 |
|
|
|
835,507 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,498,998 |
|
| Internet & Direct Marketing Retail — 0.3% |
|
| Harbor Freight Tools USA, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 08/18/23 |
|
|
|
|
|
|
1,473 |
|
|
|
1,474,968 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Internet Software & Services — 2.0% |
|
| Go Daddy Operating Company LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%),
3.90%, 02/15/24 |
|
|
|
|
|
|
3,758 |
|
|
|
3,764,565 |
|
| GTT Communications, Inc., 2017 Add on Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor),
4.94%, 01/09/24 |
|
|
|
|
|
|
362 |
|
|
|
363,269 |
|
| Inmar Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%,
05/01/24 |
|
|
|
|
|
|
1,035 |
|
|
|
1,039,001 |
|
| Intralinks, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.00%), 5.70%, 11/11/24 |
|
|
|
|
|
|
1,135 |
|
|
|
1,136,895 |
|
| Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (2 mo. LIBOR + 3.00% 1.00%
Floor),
4.79%, 11/03/23 |
|
|
|
|
|
|
3,317 |
|
|
|
3,325,617 |
|
| TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75% 1.00% Floor), 5.40%, 05/06/24 |
|
|
|
|
|
|
1,542 |
|
|
|
1,542,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,172,075 |
|
| IT Services — 7.7% |
|
| Access CIG LLC(k): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 1st Lien Term Loan, 5.58%, 02/02/25 |
|
|
|
|
|
|
491 |
|
|
|
494,612 |
|
| 2018 Delayed Draw Term Loan, 02/27/25 |
|
|
|
|
|
|
103 |
|
|
|
103,223 |
|
| 2018 2nd Lien Term Loan, 3.75%, 02/02/26 |
|
|
|
|
|
|
202 |
|
|
|
201,889 |
|
| 2018 2nd Lien Delayed Draw Term loan, 02/27/26 |
|
|
|
|
|
|
37 |
|
|
|
37,456 |
|
| Altran Technologies SA, 1st Lien Term Loan,
01/17/25(k) |
|
|
|
|
|
|
680 |
|
|
|
684,250 |
|
| Cologix, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.60%, 03/20/24 |
|
|
|
|
|
|
1,757 |
|
|
|
1,756,180 |
|
| First Data Corp. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2024 Term Loan, (1 mo. LIBOR + 2.25%),
3.87%, 04/26/24 |
|
|
|
|
|
|
10,241 |
|
|
|
10,257,997 |
|
| Term Loan A, (1 mo. LIBOR + 1.75%), 3.37%, 06/02/20 |
|
|
|
|
|
|
619 |
|
|
|
618,951 |
|
| Optiv Security, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.88%, 02/01/24 |
|
|
|
|
|
|
3,668 |
|
|
|
3,489,615 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 7.25% 1.00% Floor), 8.88%, 02/01/25(a) |
|
|
|
|
|
|
1,141 |
|
|
|
1,058,135 |
|
| Peak 10 Holding Corp. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 08/01/24 |
|
|
|
|
|
|
1,367 |
|
|
|
1,369,308 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 7.25% 1.00% Floor), 9.02%, 08/01/25 |
|
|
|
|
|
|
1,620 |
|
|
|
1,625,670 |
|
| Sabre Global Inc., Incremental Term Loan B, (1 mo. LIBOR + 2.25% 1.00% Floor), 3.90%, 02/22/24 |
|
|
|
|
|
|
2,559 |
|
|
|
2,565,136 |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
17 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| IT Services (continued) |
|
| TKC Holdings, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (2 mo. LIBOR + 4.25% 1.00% Floor), 5.91%, 02/01/23 |
|
|
USD |
|
|
|
2,313 |
|
|
$
|
2,337,284 |
|
| 2017 2nd Lien Term Loan, (3 mo. LIBOR + 8.00% 1.00% Floor), 9.78%, 02/01/24 |
|
|
|
|
|
|
1,603 |
|
|
|
1,612,618 |
|
| Trans Union LLC, Term Loan B3, (1 mo. LIBOR + 2.00%), 3.65%, 04/10/23 |
|
|
|
|
|
|
4,905 |
|
|
|
4,919,431 |
|
| Vantiv LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.59%, 10/14/23 |
|
|
|
|
|
|
1,095 |
|
|
|
1,101,752 |
|
| VF Holding Corp., Reprice Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 06/30/23 |
|
|
|
|
|
|
4,740 |
|
|
|
4,781,475 |
|
| WEX, Inc., 2017 Term Loan B2, (3 mo. LIBOR + 2.25%), 3.90%, 06/30/23 |
|
|
|
|
|
|
3,933 |
|
|
|
3,957,883 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,972,865 |
|
| Leisure Products — 0.2% |
|
| MND Holdings III Corp., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.75% 1.00% Floor),
5.44%, 06/19/24(a) |
|
|
|
|
|
|
1,031 |
|
|
|
1,044,012 |
|
|
|
|
|
|
|
|
|
|
| Life Sciences Tools & Services — 0.5% |
|
| Albany Molecular Research, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 08/30/24 |
|
|
|
|
|
|
561 |
|
|
|
563,126 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00% 1.00% Floor), 8.65%, 08/30/25 |
|
|
|
|
|
|
395 |
|
|
|
395,249 |
|
| Parexel International Corp., Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 09/27/24 |
|
|
|
|
|
|
1,660 |
|
|
|
1,658,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,616,655 |
|
| Machinery — 2.3% |
|
| Clark Equipment Co., 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.19%, 05/18/24 |
|
|
|
|
|
|
1,120 |
|
|
|
1,122,014 |
|
| Columbus McKinnon Corp., 2018 Term Loan B, (OR + 2.50% 1.00% Floor), 4.12%, 01/31/24 |
|
|
|
|
|
|
201 |
|
|
|
201,711 |
|
| Faenza Acquisition GmbH(a) : |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B1, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.73%, 08/30/20 |
|
|
|
|
|
|
844 |
|
|
|
841,682 |
|
| Term Loan B3, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.73%, 08/30/20 |
|
|
|
|
|
|
259 |
|
|
|
257,962 |
|
| Gardner Denver, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.75%), 4.44%, 07/30/24 |
|
|
|
|
|
|
2,394 |
|
|
|
2,400,659 |
|
| Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.15%, 08/05/24 |
|
|
|
|
|
|
1,635 |
|
|
|
1,640,721 |
|
| Infiltrator Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor),
4.69%, 05/27/22 |
|
|
|
|
|
|
1,956 |
|
|
|
1,970,866 |
|
| Mueller Water Products, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 11/25/21(a) |
|
|
|
|
|
|
776 |
|
|
|
781,981 |
|
| Rexnord LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 3.85%, 08/21/24 |
|
|
|
|
|
|
1,077 |
|
|
|
1,083,284 |
|
| Signode Industrial Group US, Inc., Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor),
4.40%, 05/04/21 |
|
|
|
|
|
|
815 |
|
|
|
813,684 |
|
| Tecomet, Inc., 2017 Repriced Term Loan, (PRIME + 2.50%), 5.28%, 05/01/24 |
|
|
|
|
|
|
1,954 |
|
|
|
1,968,740 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,083,304 |
|
| Media — 11.2% |
|
| Altice Financing SA : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 4.47%, 01/31/26 |
|
|
|
|
|
|
720 |
|
|
|
710,135 |
|
| 2017 Term Loan B, (3 mo. LIBOR + 2.75%), 4.47%, 07/15/25 |
|
|
|
|
|
|
246 |
|
|
|
242,045 |
|
| Altice US Finance I Corp., 2017 Term Loan, (1 mo. LIBOR + 2.25%), 3.90%, 07/28/25 |
|
|
|
|
|
|
5,608 |
|
|
|
5,598,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Media (continued) |
|
| CBS Radio, Inc., 2017 Term Loan B, (PRIME + 1.75%), 4.62%, 11/17/24 |
|
|
USD |
|
|
|
859 |
|
|
$
|
863,102 |
|
| Charter Communications Operating LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan A2, 03/31/23(k) |
|
|
|
|
|
|
2,868 |
|
|
|
2,864,272 |
|
| 2017 Term Loan B, (1 mo. LIBOR + 2.00%),
3.65%, 04/30/25 |
|
|
|
|
|
|
4,984 |
|
|
|
4,993,662 |
|
| CSC Holdings LLC : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%),
3.84%, 07/17/25 |
|
|
|
|
|
|
4,674 |
|
|
|
4,660,369 |
|
| 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.14%, 01/25/26 |
|
|
|
|
|
|
1,695 |
|
|
|
1,696,407 |
|
| DHX Media Ltd., Term Loan B, (1 mo. LIBOR + 3.75% 1.00% Floor), 5.40%, 12/29/23(a) |
|
|
|
|
|
|
786 |
|
|
|
787,032 |
|
| Getty Images, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 5.19%, 10/18/19 |
|
|
|
|
|
|
410 |
|
|
|
391,760 |
|
| Gray Television, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.83%, 02/07/24 |
|
|
|
|
|
|
648 |
|
|
|
651,828 |
|
| Hemisphere Media Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%), 5.15%, 02/08/24 |
|
|
|
|
|
|
1,571 |
|
|
|
1,537,158 |
|
| Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor),
4.65%, 05/31/21 |
|
|
|
|
|
|
452 |
|
|
|
424,592 |
|
| iHeartCommunications, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| Extended Term Loan E, (3 mo. LIBOR + 7.50%), 9.19%, 07/30/19 |
|
|
|
|
|
|
515 |
|
|
|
408,591 |
|
| Term Loan D, (3 mo. LIBOR + 6.75%), 8.44%, 01/30/19 |
|
|
|
|
|
|
4,696 |
|
|
|
3,727,504 |
|
| Intelsat Jackson Holdings SA, 2017 Term Loan B4, (3 mo. LIBOR + 4.50% 1.00% Floor),
6.46%, 01/14/24 |
|
|
|
|
|
|
1,828 |
|
|
|
1,860,933 |
|
| Lamar Media Corp., 2018 Term Loan B, 3.85%, 02/16/25 |
|
|
|
|
|
|
720 |
|
|
|
723,600 |
|
| Learfield Communications LLC(a) : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 12/01/23 |
|
|
|
|
|
|
1,897 |
|
|
|
1,915,861 |
|
| 2017 1st Lien Term Loan, 12/01/23(k) |
|
|
|
|
|
|
624 |
|
|
|
630,458 |
|
| Live Nation Entertainment, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 3.94%, 10/31/23 |
|
|
|
|
|
|
479 |
|
|
|
481,801 |
|
| Mediacom Illinois LLC, Term Loan K, (1 Week LIBOR + 2.25%), 3.73%, 02/15/24 |
|
|
|
|
|
|
1,081 |
|
|
|
1,084,415 |
|
| Mission Broadcasting, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.50%), 4.07%, 01/17/24 |
|
|
|
|
|
|
168 |
|
|
|
168,310 |
|
| Nexstar Broadcasting, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.50%), 4.07%, 01/17/24 |
|
|
|
|
|
|
1,318 |
|
|
|
1,321,973 |
|
| Numericable Group SA, Term Loan B12, (3 mo. LIBOR + 3.00%), 4.72%, 01/31/26 |
|
|
|
|
|
|
544 |
|
|
|
521,892 |
|
| PSAV Holdings LLC : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 1st Lien Term Loan, 02/21/25(k) |
|
|
|
|
|
|
880 |
|
|
|
882,200 |
|
| Term Loan B, (2 mo. LIBOR + 3.50% 1.00% Floor), 4.97%, 04/27/24 |
|
|
|
|
|
|
1,816 |
|
|
|
1,817,019 |
|
| Radiate Holdco LLC, 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.57%, 02/01/24 |
|
|
|
|
|
|
1,365 |
|
|
|
1,362,204 |
|
| SBA Senior Finance II LLC, Term Loan B1, (1 mo. LIBOR + 2.25%), 3.90%, 03/24/21 |
|
|
|
|
|
|
4,381 |
|
|
|
4,397,504 |
|
| Sinclair Television Group Inc., 2017 Term Loan B,
12/12/24(k) |
|
|
|
|
|
|
1,227 |
|
|
|
1,228,534 |
|
| Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%),
3.90%, 01/03/24 |
|
|
|
|
|
|
194 |
|
|
|
194,219 |
|
| Trader Corp., 2017 Term Loan B, (OR + 3.00% 1.00% Floor), 4.69%, 09/28/23 |
|
|
|
|
|
|
1,434 |
|
|
|
1,432,559 |
|
| Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.00%), 4.65%, 01/27/24 |
|
|
|
|
|
|
3,696 |
|
|
|
3,697,030 |
|
| Unitymedia Finance LLC, Term Loan B, (1 mo. LIBOR + 2.25%), 3.84%, 09/30/25 |
|
|
|
|
|
|
1,680 |
|
|
|
1,676,858 |
|
|
|
|
| 18 |
|
2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Media (continued) |
|
| Virgin Media Bristol LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 4.09%, 01/15/26 |
|
|
USD |
|
|
|
5,593 |
|
|
$
|
5,610,842 |
|
| William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor),
4.90%, 05/06/21 |
|
|
|
|
|
|
243 |
|
|
|
244,066 |
|
| Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%),
4.09%, 04/15/25 |
|
|
|
|
|
|
1,875 |
|
|
|
1,857,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62,666,713 |
|
| Metals & Mining — 0.3% |
|
| AMG Advanced Metallurgical Group NV, 2018 Term Loan B,
01/29/25(k) |
|
|
|
|
|
|
1,220 |
|
|
|
1,226,869 |
|
| WireCo WorldGroup, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor),
7.48%, 09/30/23 |
|
|
|
|
|
|
741 |
|
|
|
747,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,974,589 |
|
| Multiline Retail — 0.6% |
|
| Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.63%, 08/04/24 |
|
|
|
|
|
|
982 |
|
|
|
984,994 |
|
| Hudson’s Bay Co., 2015 Term Loan B, (1 mo. LIBOR + 3.25% 1.00% Floor),
4.90%, 09/30/22 |
|
|
|
|
|
|
2,208 |
|
|
|
2,125,111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,110,105 |
|
| Oil, Gas & Consumable Fuels — 4.9% |
|
| BCP Raptor LLC, Term Loan B, (2 mo. LIBOR + 4.25% 1.00% Floor), 6.04%, 06/24/24 |
|
|
|
|
|
|
1,761 |
|
|
|
1,773,478 |
|
| BCP Renaissance Parent LLC, 2017 Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor),
5.77%, 10/31/24 |
|
|
|
|
|
|
1,573 |
|
|
|
1,586,234 |
|
| California Resources Corp. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%), 6.34%, 12/31/22 |
|
|
|
|
|
|
2,434 |
|
|
|
2,461,194 |
|
| Second Out Term Loan, (1 mo. LIBOR + 10.37%), 11.97%, 12/31/21 |
|
|
|
|
|
|
2,168 |
|
|
|
2,444,758 |
|
| Chesapeake Energy Corp., Term Loan, (3 mo. LIBOR + 7.50% 1.00% Floor), 9.44%, 08/23/21 |
|
|
|
|
|
|
2,706 |
|
|
|
2,880,659 |
|
| CONSOL Energy, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan A, (3 mo. LIBOR + 4.50%), 6.49%, 11/26/21(a) |
|
|
|
|
|
|
380 |
|
|
|
379,525 |
|
| 1st Lien Term Loan B, (3 mo. LIBOR + 6.00% 1.00% Floor), 7.99%, 10/26/22 |
|
|
|
|
|
|
855 |
|
|
|
873,521 |
|
| EG Group Ltd., 2018 Term Loan B, 01/19/25(k) |
|
|
|
|
|
|
805 |
|
|
|
804,598 |
|
| EWT Holdings III Corp., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%),
4.69%, 12/20/24 |
|
|
|
|
|
|
589 |
|
|
|
594,301 |
|
| Lucid Energy Group II LLC, 2018 1st Lien Term Loan,
02/17/25(k) |
|
|
|
|
|
|
1,695 |
|
|
|
1,696,068 |
|
| Medallion Midland Acquisition LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor),
4.90%, 10/30/24(a) |
|
|
|
|
|
|
1,576 |
|
|
|
1,579,940 |
|
| MEG Energy Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.20%, 12/31/23 |
|
|
|
|
|
|
2,275 |
|
|
|
2,273,535 |
|
| PowerTeam Services LLC : |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 05/06/20 |
|
|
|
|
|
|
497 |
|
|
|
497,458 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 7.25% 1.00% Floor), 8.94%, 11/06/20 |
|
|
|
|
|
|
470 |
|
|
|
470,390 |
|
| Ultra Resources, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor),
4.59%, 04/12/24 |
|
|
|
|
|
|
1,508 |
|
|
|
1,501,214 |
|
| Veresen Midstream LP, Reprice Term Loan B, (3 mo. LIBOR + 3.00%), 4.69%, 03/31/22 |
|
|
|
|
|
|
2,701 |
|
|
|
2,716,233 |
|
| Vine Oil & Gas LP, Term Loan B, (1 mo. LIBOR + 6.87% 1.00% Floor), 8.52%, 12/12/21(a) |
|
|
|
|
|
|
1,205 |
|
|
|
1,205,000 |
|
| Woodford Express LLC, 2018 Term Loan B, (1 mo. LIBOR + 5.00% 1.00% Floor), 6.65%, 01/17/25 |
|
|
|
|
|
|
1,500 |
|
|
|
1,486,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,224,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Personal Products — 1.3% |
|
| Clover Merger Sub, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 09/26/24 (a) |
|
|
USD |
|
|
|
3,845 |
|
|
$
|
3,701,161 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.75% 1.00% Floor), 9.40%, 09/26/25 |
|
|
|
|
|
|
1,750 |
|
|
|
1,645,000 |
|
| Prestige Brands, Inc., Term Loan B4, (1 mo. LIBOR + 2.50%), 4.40%, 01/26/24 |
|
|
|
|
|
|
1,815 |
|
|
|
1,824,955 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,171,116 |
|
| Pharmaceuticals — 2.4% |
|
| Akorn, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 5.94%, 04/16/21(a) |
|
|
|
|
|
|
2,636 |
|
|
|
2,603,338 |
|
| Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (1 Week LIBOR + 2.25%), 3.72%,
01/31/25 |
|
|
|
|
|
|
4,072 |
|
|
|
4,086,356 |
|
| Jaguar Holding Co. II, 2017 Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 08/18/22 |
|
|
|
|
|
|
3,892 |
|
|
|
3,902,090 |
|
| Valeant Pharmaceuticals International, Inc., Series F4 Term Loan B, (1 mo. LIBOR + 3.50%),
5.08%, 04/01/22 |
|
|
|
|
|
|
2,602 |
|
|
|
2,631,572 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,223,356 |
|
| Professional Services — 1.3% |
|
| Cast and Crew Payroll LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%),
4.70%, 09/27/24 |
|
|
|
|
|
|
2,354 |
|
|
|
2,367,833 |
|
| Information Resources, Inc., 1st Lien Term Loan, (OR + 4.25% 1.00% Floor), 6.19%, 01/18/24 |
|
|
|
|
|
|
779 |
|
|
|
783,741 |
|
| ON Assignment, Inc., 2018 Term Loan B,
02/20/25(k) |
|
|
|
|
|
|
1,226 |
|
|
|
1,230,219 |
|
| SIRVA Worldwide, Inc., 2016 Term Loan, (3 mo. LIBOR + 6.50% 1.00% Floor), 8.20%, 11/14/22(a) |
|
|
|
|
|
|
787 |
|
|
|
791,413 |
|
| Sterling Infosystems, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor),
5.15%, 06/20/22(a) |
|
|
|
|
|
|
1,911 |
|
|
|
1,920,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,094,187 |
|
| Real Estate Investment Trusts (REITs) — 1.2% |
|
| Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.50% 1.00% Floor),
4.15%, 03/24/24 |
|
|
|
|
|
|
766 |
|
|
|
769,622 |
|
| MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.25%),
3.90%, 04/25/23 |
|
|
|
|
|
|
4,644 |
|
|
|
4,663,313 |
|
| RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 4.07%, 05/11/24 |
|
|
|
|
|
|
1,360 |
|
|
|
1,365,680 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,798,615 |
|
| Real Estate Management & Development — 1.2% |
|
| CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 04/18/24 |
|
|
|
|
|
|
3,593 |
|
|
|
3,608,361 |
|
| Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 3.83%, 02/08/25 |
|
|
|
|
|
|
2,381 |
|
|
|
2,391,833 |
|
| SMG Holdings Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.89%, 01/23/25 |
|
|
|
|
|
|
965 |
|
|
|
972,237 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,972,431 |
|
| Road & Rail — 0.9% |
|
| PODS LLC, Term Loan B3, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.58%, 12/06/24(a) |
|
|
|
|
|
|
3,736 |
|
|
|
3,758,985 |
|
| Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor),
5.15%, 06/13/23 |
|
|
|
|
|
|
1,229 |
|
|
|
1,221,754 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,980,739 |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
19 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Semiconductors & Semiconductor Equipment — 0.5% |
|
| Cavium, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 3.90%, 08/16/22(a) |
|
|
USD |
|
|
|
810 |
|
|
$
|
810,362 |
|
| MaxLinear, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 4.09%, 05/12/24(a) |
|
|
|
|
|
|
349 |
|
|
|
349,059 |
|
| Microsemi Corp., 2017 1st Lien Term Loan B, (2 mo. LIBOR + 2.00%), 3.74%, 01/15/23 |
|
|
|
|
|
|
395 |
|
|
|
396,072 |
|
| ON Semiconductor Corp., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.65%, 03/31/23 |
|
|
|
|
|
|
530 |
|
|
|
532,576 |
|
| Versum Materials, Inc., Term Loan, (3 mo. LIBOR + 2.00%), 3.69%, 09/29/23 |
|
|
|
|
|
|
943 |
|
|
|
948,561 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,036,630 |
|
| Software — 13.7% |
|
| Almonde, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.48%, 06/13/24 |
|
|
|
|
|
|
1,995 |
|
|
|
1,993,519 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 7.25% 1.00% Floor), 9.23%, 06/13/25 |
|
|
|
|
|
|
553 |
|
|
|
548,543 |
|
| Applied Systems, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 09/19/24 |
|
|
|
|
|
|
2,083 |
|
|
|
2,093,582 |
|
| 2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00% 1.00% Floor), 8.69%, 09/19/25 |
|
|
|
|
|
|
491 |
|
|
|
506,325 |
|
| Aptean, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 4.25% 1.00% Floor), 5.95%, 12/20/22 |
|
|
|
|
|
|
1,097 |
|
|
|
1,101,735 |
|
| Barracuda Networks, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 5.06%,
02/12/25 |
|
|
|
|
|
|
970 |
|
|
|
974,646 |
|
| BMC Software Finance, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.90%, 09/10/22 |
|
|
|
|
|
|
4,503 |
|
|
|
4,513,551 |
|
| Cypress Intermediate Holdings III, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 04/27/24 |
|
|
|
|
|
|
916 |
|
|
|
918,101 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75% 1.00% Floor), 8.40%, 04/27/25 |
|
|
|
|
|
|
814 |
|
|
|
826,617 |
|
| Dell, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.65%, 09/07/23 |
|
|
|
|
|
|
2,502 |
|
|
|
2,501,187 |
|
| Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.02%, 05/28/24 |
|
|
|
|
|
|
2,182 |
|
|
|
2,185,176 |
|
| DTI Holdco, Inc., 2016 Term Loan B, (3 mo. LIBOR + 5.25% 1.00% Floor), 7.02%, 09/30/23 |
|
|
|
|
|
|
1,445 |
|
|
|
1,455,287 |
|
| Flexera Software LLC, 2018 1st Lien Term Loan,
01/23/25(k) |
|
|
|
|
|
|
615 |
|
|
|
616,347 |
|
| Hyland Software, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.90%, 07/01/22 |
|
|
|
|
|
|
1,452 |
|
|
|
1,461,233 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 8.65%, 07/07/25 |
|
|
|
|
|
|
420 |
|
|
|
427,875 |
|
| Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.44%, 02/01/22 |
|
|
|
|
|
|
3,677 |
|
|
|
3,680,134 |
|
| Informatica Corp., 2018 Term Loan, (3 mo. LIBOR + 3.25%), 4.94%, 08/05/22 |
|
|
|
|
|
|
2,852 |
|
|
|
2,866,605 |
|
| IQOR US, Inc., Term Loan B, (3 mo. LIBOR + 5.00% 1.00% Floor), 6.69%, 04/01/21 |
|
|
|
|
|
|
1,287 |
|
|
|
1,287,478 |
|
| Kronos, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.30%, 11/01/23 |
|
|
|
|
|
|
4,564 |
|
|
|
4,592,009 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 8.25% 1.00% Floor), 10.02%, 11/01/24 |
|
|
|
|
|
|
1,695 |
|
|
|
1,738,782 |
|
| MA FinanceCo. LLC, Term Loan B3, (1 mo. LIBOR + 2.75%), 4.40%, 06/21/24 |
|
|
|
|
|
|
261 |
|
|
|
261,914 |
|
| McAfee LLC, 2017 Term Loan B, (1 mo. LIBOR + 4.50% 1.00% Floor), 6.15%, 09/30/24 |
|
|
|
|
|
|
1,865 |
|
|
|
1,873,980 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Software (continued) |
|
| Mitchell International, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 11/29/24 |
|
|
USD |
|
|
|
3,967 |
|
|
$
|
3,975,807 |
|
| 2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 8.94%, 11/20/25 |
|
|
|
|
|
|
1,275 |
|
|
|
1,282,650 |
|
| Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.04%,
04/26/24 |
|
|
|
|
|
|
1,255 |
|
|
|
1,237,704 |
|
| Project Leopard Holdings, Inc., Term Loan B,(LIBOR + 5.50%, 1.00% Floor), 7.19%, 07/07/23 |
|
|
|
|
|
|
868 |
|
|
|
870,810 |
|
| Seattle Spinco, Inc., Term Loan B3, (1 mo. LIBOR + 2.75%), 4.40%, 06/21/24 |
|
|
|
|
|
|
1,765 |
|
|
|
1,768,767 |
|
| SolarWinds Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 02/05/23 |
|
|
|
|
|
|
3,197 |
|
|
|
3,204,479 |
|
| Solera LLC, Term Loan B, (1 Week LIBOR + 3.25% 1.00% Floor), 4.90%, 03/03/23 |
|
|
|
|
|
|
3,983 |
|
|
|
3,990,743 |
|
| Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 09/30/22 |
|
|
|
|
|
|
4,445 |
|
|
|
4,449,665 |
|
| SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, 07/08/22(k) |
|
|
|
|
|
|
1,859 |
|
|
|
1,861,718 |
|
| SS&C Technologies, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 3.90%, 07/08/22 |
|
|
|
|
|
|
3,523 |
|
|
|
3,540,118 |
|
| 2017 Term Loan B2, (1 mo. LIBOR + 2.25%), 3.90%, 07/08/22 |
|
|
|
|
|
|
56 |
|
|
|
56,528 |
|
| 2018 Term Loan B3, 02/28/25(k) |
|
|
|
|
|
|
5,210 |
|
|
|
5,218,102 |
|
| Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 4.65%, 05/01/24 |
|
|
|
|
|
|
3,313 |
|
|
|
3,320,242 |
|
| TIBCO Software, Inc., Repriced Term Loan B, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 12/04/20 |
|
|
|
|
|
|
2,408 |
|
|
|
2,413,236 |
|
| Veritas Bermuda Ltd., Repriced Term Loan B, (3 mo. LIBOR + 4.50% 1.00% Floor), 6.19%, 01/27/23 |
|
|
|
|
|
|
836 |
|
|
|
830,984 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76,446,179 |
|
| Specialty Retail — 2.0% |
|
| Academy Ltd., 2015 Term Loan B, (1 mo. LIBOR + 4.00% 1.00% Floor), 5.49%, 07/01/22 |
|
|
|
|
|
|
1,385 |
|
|
|
1,103,889 |
|
| Belron Finance US LLC, Term Loan B, (3 mo. LIBOR + 2.50%), 4.29%, 11/07/24 |
|
|
|
|
|
|
2,453 |
|
|
|
2,465,265 |
|
| Leslie’s Poolmart, Inc., 2016 Term Loan, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.28%,
08/16/23 |
|
|
|
|
|
|
797 |
|
|
|
798,251 |
|
| Michaels Stores, Inc., 2016 Term Loan B1, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 01/30/23 |
|
|
|
|
|
|
1,389 |
|
|
|
1,395,254 |
|
| National Vision, Inc., 2017 Repriced Term Loan, (1 mo. LIBOR + 2.75%), 4.40%, 11/20/24 |
|
|
|
|
|
|
391 |
|
|
|
392,451 |
|
| Party City Holdings Inc., 2018 Term Loan B, (3 mo. LIBOR + 2.75%), 4.53%, 08/19/22 |
|
|
|
|
|
|
894 |
|
|
|
895,749 |
|
| Petco Animal Supplies, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.77%,
01/26/23 |
|
|
|
|
|
|
842 |
|
|
|
583,830 |
|
| PetSmart, Inc., Term Loan B2, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.57%, 03/11/22 |
|
|
|
|
|
|
182 |
|
|
|
148,306 |
|
| Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor),
7.13%, 12/20/24 |
|
|
|
|
|
|
1,265 |
|
|
|
1,250,769 |
|
| Staples, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.79%, 09/12/24 |
|
|
|
|
|
|
848 |
|
|
|
842,107 |
|
| Things Remembered, Inc., 2016 Term Loan, (1 mo. LIBOR + 1.00%), 1.00%, 02/29/20 (a) |
|
|
|
|
|
|
9 |
|
|
|
— |
|
| TruGreen LP, 2017 Term Loan, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.54%, 04/13/23 |
|
|
|
|
|
|
1,137 |
|
|
|
1,148,370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,024,241 |
|
| Technology Hardware, Storage & Peripherals — 0.7% |
|
| Western Digital Corp., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 3.60%, 04/29/23 |
|
|
|
|
|
|
4,103 |
|
|
|
4,121,867 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Textiles, Apparel & Luxury Goods — 0.5% |
|
| Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25% 1.00% Floor),
6.94%,
08/12/22(a) |
|
|
USD |
|
|
|
2,397 |
|
|
$
|
2,406,163 |
|
| Varsity Brands, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 12/15/24 |
|
|
|
|
|
|
535 |
|
|
|
540,687 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,946,850 |
|
| Thrifts & Mortgage Finance — 0.5% |
|
| IG Investment Holdings LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50% 1.00% Floor),
5.19%, 10/29/21 |
|
|
|
|
|
|
2,721 |
|
|
|
2,748,924 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Trading Companies & Distributors — 1.4% |
|
| Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.83%, 01/02/25 |
|
|
|
|
|
|
3,235 |
|
|
|
3,248,490 |
|
| HD Supply, Inc. : |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B3, (3 mo. LIBOR + 2.25%), 3.94%, 08/13/21 |
|
|
|
|
|
|
2,359 |
|
|
|
2,369,877 |
|
| Term Loan B4, (3 mo. LIBOR + 2.50%), 4.19%, 10/17/23 |
|
|
|
|
|
|
1,025 |
|
|
|
1,031,074 |
|
| Nexeo Solutions LLC, 2017 Repriced Term Loan, (3 mo. LIBOR + 3.25%), 4.94%, 06/09/23 |
|
|
|
|
|
|
246 |
|
|
|
249,033 |
|
| Oxbow Carbon LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%), 5.40%, 01/04/23(a) |
|
|
|
|
|
|
287 |
|
|
|
290,154 |
|
| Pro Mach Group, Inc., 2018 Term Loan B, 4.96%, 02/26/25 |
|
|
|
|
|
|
760 |
|
|
|
761,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,950,528 |
|
| Transportation — 0.7% |
|
| Direct ChassisLink, Inc., 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.67%, 06/15/23(a) |
|
|
|
|
|
|
700 |
|
|
|
710,500 |
|
| Gruden Acquisition, Inc., 2017 Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.19%, 08/18/22 |
|
|
|
|
|
|
786 |
|
|
|
793,884 |
|
| Prometric Holdings, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.77%,
01/29/25 |
|
|
|
|
|
|
390 |
|
|
|
392,438 |
|
| Safe Fleet Acquisition, Corp. : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.78%, 01/22/25 |
|
|
|
|
|
|
1,305 |
|
|
|
1,306,631 |
|
| 2018 2nd Lien Term Loan, (3 mo. LIBOR + 6.75% 1.00% Floor), 8.53%, 01/22/26 |
|
|
|
|
|
|
560 |
|
|
|
564,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,767,653 |
|
| Utilities — 0.1% |
|
| ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.47%, 11/28/24 |
|
|
|
|
|
|
738 |
|
|
|
744,609 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Wireless Telecommunication Services — 2.4% |
|
| GEO Group, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 3.95%, 03/22/24 |
|
|
|
|
|
|
2,017 |
|
|
|
2,022,713 |
|
| Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 5.53%, 12/07/20 |
|
|
|
|
|
|
6,764 |
|
|
|
6,223,518 |
|
| VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 3.60%, 12/20/24 |
|
|
|
|
|
|
5,381 |
|
|
|
5,406,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,652,956 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Floating Rate Loan Interests — 133.9%
(Cost — $746,667,065) |
|
|
|
747,097,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Share |
|
|
|
|
| Investment Companies — 1.2% |
|
|
| United States — 1.2% |
|
| SPDR Bloomberg Barclays Short Term High Yield Bond ETF |
|
|
|
|
|
|
253,827 |
|
|
|
6,982,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Companies — 1.2%
(Cost — $7,018,063) |
|
|
|
6,982,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Beneficial Interest
(000) |
|
|
Value |
|
| Other Interests(i) —
0.0% |
|
|
| IT Services — 0.0% |
|
| Millennium Corp.(a)(b) |
|
|
USD |
|
|
|
1,607 |
|
|
$ |
— |
|
| Millennium Lender Claims(a)(b) |
|
|
|
|
|
|
1,508 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Interests — 0.0%
(Cost — $—) |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
|
|
| Trust Preferred — 0.03% |
|
|
| Diversified Financial Services — 0.3% |
|
| GMAC Capital Trust I, Series 2 (3 mo. LIBOR US + 5.79%), 7.62, 02/15/40(l) |
|
|
|
|
|
|
60,894 |
|
|
|
1,571,065 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Trust Preferred — 0.3%
(Cost — $1,606,167) |
|
|
|
1,571,065 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Rights — 0.0% |
|
|
| Electric Utilities — 0.0% |
|
| Vistra Energy(a) |
|
|
|
|
|
|
46,682 |
|
|
|
43,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Rights — 0.0%
(Cost — $—) |
|
|
|
43,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Warrants — 0.0% |
|
|
| Software — 0.0% |
|
| HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price
$42.27)(a) |
|
|
|
|
|
|
2,406 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Warrants — 0.0%
(Cost — $24) |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Long-Term Investments — 147.5%
(Cost — $826,144,791) |
|
|
|
823,808,269 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short-Term Securities — 0.5% |
|
| BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.29%(j)(m) |
|
|
|
|
|
|
2,628,005 |
|
|
|
2,628,005 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Short-Term Securities — 0.5%
(Cost — $2,628,005) |
|
|
|
2,628,005 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Options Purchased — 0.1%
(Cost — $152,811) |
|
|
|
286,745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 148.1%
(Cost — $828,925,607) |
|
|
|
826,723,019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities in Excess of Other Assets — (48.1)% |
|
|
|
(268,681,731 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Assets — 100.0% |
|
|
$ |
558,041,288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (b) |
Non-income producing security. |
| (c) |
Floating rate security. Rate shown is the rate in effect as of period end. |
| (d) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
|
| (e) |
Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period
end. |
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
21 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
| (f) |
When-issued security. |
| (g) |
Variable rate security. Rate shown is the rate in effect as of period end. |
| (h) |
Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and
possible payment rates. |
| (i) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
| (j) |
Annualized 7-day yield as of period end. |
| (k) |
Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
| (l) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (m) |
During the six months ended February 28, 2018, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related
parties of the Fund were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Affiliate |
|
Shares
Held at
08/31/17 |
|
|
Shares
Purchased |
|
|
Shares
Sold |
|
|
Shares
Held at
02/28/18 |
|
|
Value at
02/28/18 |
|
|
Income |
|
|
Net
Realized
Gain (Loss) (a) |
|
|
Change in
Unrealized
Appreciation
(Depreciation) |
|
| BlackRock Liquidity Funds, T-Fund, Institutional Class |
|
|
3,819,454 |
|
|
|
— |
|
|
|
(1,191,449 |
)(b) |
|
|
2,628,005 |
|
|
$ |
2,628,005 |
|
|
$ |
16,981 |
|
|
$ |
8 |
|
|
$ |
— |
|
| iShares iBoxx USD High Yield Corporate Bond ETF |
|
|
— |
|
|
|
146,000 |
|
|
|
(146,000 |
) |
|
|
— |
|
|
|
— |
|
|
|
111,693 |
|
|
|
(67,998 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,628,005 |
|
|
$ |
128,674 |
|
|
$ |
(67,990 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Includes net capital gain distributions, if applicable |
|
| |
(b) |
Represents net shares sold. |
|
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Currency Purchased |
|
|
Currency Sold |
|
|
Counterparty |
|
Settlement Date |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| USD |
|
|
1,410,614 |
|
|
GBP |
|
|
994,000 |
|
|
Barclays Bank PLC |
|
|
03/05/18 |
|
|
$ |
42,051 |
|
| USD |
|
|
1,371,021 |
|
|
GBP |
|
|
991,000 |
|
|
Toronto-Dominion Bank |
|
|
04/04/18 |
|
|
|
4,553 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Unrealized Appreciation |
|
|
$ |
46,604 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Interest Rate Swaptions Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Paid by the Fund |
|
Received by the Fund |
|
Counterparty |
|
Expiration
Date |
|
|
Exercise
Rate |
|
|
Notional
Amount (000) |
|
|
Value |
|
| |
Rate |
|
|
Frequency |
|
Rate |
|
|
Frequency |
|
|
|
|
|
| Put |
|
|
|
|
| 10-Year Interest Rate Swap, 04/18/28 |
|
|
2.75 |
|
|
Semi-annual |
|
|
3-Month LIBOR |
|
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
|
04/16/18 |
|
|
|
2.75 |
|
|
|
USD |
|
|
|
5,750 |
|
|
$ |
94,924 |
|
| Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 10-Year Interest Rate Swap, 04/27/28 |
|
|
2.65 |
|
|
Semi-annual |
|
|
3-Month LIBOR |
|
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
|
04/25/18 |
|
|
|
2.65 |
|
|
|
USD |
|
|
|
1,650 |
|
|
|
39,867 |
|
| 10-Year Interest Rate Swap, 05/20/28 |
|
|
2.82 |
|
|
Semi-annual |
|
|
3-Month LIBOR |
|
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
|
05/18/18 |
|
|
|
2.82 |
|
|
|
USD |
|
|
|
10,000 |
|
|
|
151,954 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
286,745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Counterparty |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Exercise
Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
| Call |
|
| Marsico Parent Superholdco LLC |
|
Goldman Sachs & Co. |
|
|
44 |
|
|
|
12/14/19 |
|
|
|
USD |
|
|
|
942.86 |
|
|
|
USD |
|
|
|
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 22 |
|
2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Centrally Cleared Credit Default Swaps — Sell Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Obligation/Index |
|
Financing
Rate Received
by the Fund |
|
|
Payment
Frequency |
|
|
Termination
Date |
|
|
Credit
Rating (a) |
|
|
Notional
Amount (000) (b) |
|
|
Value |
|
|
Upfront
Premium
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| Dow Jones Markit CDX North America High Yield Index, Series 29, Version 1 |
|
|
5.00 |
% |
|
|
Quarterly |
|
|
|
12/20/22 |
|
|
|
BB- |
|
|
|
5,586 |
|
|
$ |
433,128 |
|
|
$ |
336,368 |
|
|
$ |
96,760 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Using S&P/Standard & Poor’s rating of the issuer or the underlying securities of the index, as applicable. |
|
| |
(b) |
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
|
OTC Credit Default Swaps — Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Obligation/Index |
|
Financing
Rate Paid
by the Fund |
|
|
Payment
Frequency |
|
|
Counterparty |
|
Termination
Date |
|
|
Notional
Amount
(000) |
|
|
Value |
|
|
Upfront
Premium
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| CenturyLink, Inc. |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
JPMorgan Chase Bank N.A. |
|
|
12/20/22 |
|
|
|
USD |
|
|
|
1,249 |
|
|
|
141,410 |
|
|
$ |
158,100 |
|
|
$ |
(16,690 |
) |
| CenturyLink, Inc. |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Goldman Sachs International |
|
|
12/20/22 |
|
|
|
USD |
|
|
|
1,277 |
|
|
|
144,580 |
|
|
|
165,881 |
|
|
|
(21,301 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
285,990 |
|
|
$ |
323,981 |
|
|
$ |
(37,991 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Swap
Premiums
Paid |
|
|
Swap
Premiums
Received |
|
|
Unrealized
Appreciation |
|
|
Unrealized
Depreciation |
|
| Centrally Cleared Swaps(a) |
|
$ |
336,368 |
|
|
$ |
— |
|
|
$ |
96,760 |
|
|
$ |
— |
|
| OTC Derivatives |
|
|
323,981 |
|
|
|
— |
|
|
|
— |
|
|
|
(37,991 |
) |
| |
(a) |
Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities
and is net of any previously paid (received) swap premium amounts. |
|
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Currency
Exchange
Contracts |
|
|
Interest
Rate
Contracts |
|
|
Other
Contracts |
|
|
Total |
|
| Assets — Derivative Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward foreign currency exchange contracts |
|
|
Unrealized appreciation on
forward foreign currency
exchange contracts |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
46,604 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
46,604 |
|
| Options purchased |
|
|
Investments at value —
unaffiliated(a) |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
286,745 |
|
|
|
— |
|
|
|
286,745 |
|
| Swaps — centrally cleared |
|
|
Net unrealized
appreciation |
|
|
|
— |
|
|
|
96,760 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
96,760 |
|
| Swaps — OTC |
|
|
Unrealized appreciation on
OTC swaps; Swap
premiums paid |
|
|
|
— |
|
|
|
323,981 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
323,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
— |
|
|
$ |
420,741 |
|
|
|
— |
|
|
$ |
46,604 |
|
|
$ |
286,745 |
|
|
|
— |
|
|
$ |
754,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities — Derivative Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Swaps — OTC |
|
|
Unrealized appreciation on
OTC swaps; Swap
premiums received |
|
|
|
— |
|
|
|
37,991 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
$ |
37,991 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Includes options purchased at value as reported in the Schedule of Investments. |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
23 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
For the six months ended February 28, 2018, the effect of derivative financial instruments in
the Statements of Operations was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Currency
Exchange
Contracts |
|
|
Interest
Rate
Contracts |
|
|
Other
Contracts |
|
|
Total |
|
| Net Realized Gain (Loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward foreign currency exchange contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(62,966 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(62,966 |
) |
| Options Purchased(a) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
45,021 |
|
|
|
— |
|
|
|
45,021 |
|
| Swaps |
|
|
— |
|
|
|
(79,416 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(79,416 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
(79,416 |
) |
|
$ |
— |
|
|
$ |
(62,966 |
) |
|
$ |
45,021 |
|
|
$ |
— |
|
|
$ |
(97,361 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Change in Unrealized Appreciation (Depreciation) on: |
|
| Forward foreign currency exchange contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(5,232 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(5,232 |
) |
| Options Purchased(b) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
242,402 |
|
|
|
— |
|
|
|
242,402 |
|
| Swaps |
|
|
— |
|
|
|
58,769 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
58,769 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
58,769 |
|
|
$ |
— |
|
|
$ |
(5,232 |
) |
|
$ |
242,402 |
|
|
$ |
— |
|
|
$ |
295,939 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Options purchased are included in net change in realized appreciation (depreciation) on investments. |
|
| |
(b) |
Options purchased are included in net change in unrealized appreciation (depreciation) on investments. |
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward foreign currency exchange contracts: |
|
| Average amounts purchased — in USD |
|
$ |
4,500,007 |
|
| Average amounts sold — in USD |
|
$ |
1,768,167 |
|
| Options: |
|
| Average notional value of swaption contracts purchased |
|
$ |
16,200,000 |
|
| Credit default swaps: |
|
| Average notional amount — buy protection |
|
$ |
2,526,000 |
|
| Average notional amount — sell protection |
|
$ |
2,793,000 |
|
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial
Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
|
|
|
|
|
|
|
|
|
| |
|
Assets |
|
|
Liabilities |
|
| Forward foreign currency exchange contracts |
|
$ |
46,604 |
|
|
$ |
— |
|
| Options(a) |
|
|
286,745 |
|
|
|
— |
|
| Swaps — Centrally cleared |
|
|
— |
|
|
|
12,424 |
|
| Swaps — OTC(b) |
|
|
323,981 |
|
|
|
37,991 |
|
|
|
|
|
|
|
|
|
|
| Total derivative assets and liabilities in the Statements of Assets and Liabilities |
|
$ |
657,330 |
|
|
$ |
50,415 |
|
|
|
|
|
|
|
|
|
|
| Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
|
|
— |
|
|
|
(12,424 |
) |
|
|
|
|
|
|
|
|
|
| Total derivative assets and liabilities subject to an MNA |
|
$ |
657,330 |
|
|
$ |
37,991 |
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Includes options purchased at value which is included in Investments at value—unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |
|
| |
(b) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
|
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset
under an MNA and net of the related collateral received and pledged by the Fund:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Derivative
Assets
Subject to
an MNA by
Counterparty |
|
|
Derivatives
Available for
Offset (a) |
|
|
Non-cash
Collateral
Received |
|
|
Cash
Collateral
Received |
|
|
Net Amount
of Derivative
Assets
(b) |
|
| Barclays Bank PLC |
|
$ |
42,051 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
42,051 |
|
| Goldman Sachs International |
|
|
165,881 |
|
|
|
(21,301 |
) |
|
|
— |
|
|
|
— |
|
|
|
144,580 |
|
| JPMorgan Chase Bank N.A. |
|
|
444,845 |
|
|
|
(16,690 |
) |
|
|
— |
|
|
|
(428,155 |
) |
|
|
— |
|
| Toronto-Dominion Bank |
|
|
4,553 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
4,553 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
657,330 |
|
|
$ |
(37,991 |
) |
|
$ |
— |
|
|
$ |
(428,155 |
) |
|
$ |
191,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 24 |
|
2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Derivative
Liabilities
Subject to
an MNA by
Counterparty |
|
|
Derivatives
Available
for Offset (a) |
|
|
Non-cash
Collateral
Pledged |
|
|
Cash
Collateral
Pledged |
|
|
Net Amount
of Derivative
Liabilities (b) |
|
| Goldman Sachs International |
|
$ |
21,301 |
|
|
$ |
(21,301 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
| JPMorgan Chase Bank N.A. |
|
|
16,690 |
|
|
|
(16,690 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
37,991 |
|
|
$ |
(37,991 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
|
| |
(b) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
|
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments. For information about the Fund’s policy regarding valuation of investments, refer to the Notes
to Financial Statements.
The following table summarizes the Fund’s investments categorized in the disclosure hierarchy:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Long-Term Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
$ |
— |
|
|
$ |
14,353,512 |
|
|
$ |
1,000,000 |
|
|
$ |
15,353,512 |
|
| Common Stocks(a) |
|
|
990,893 |
|
|
|
701 |
|
|
|
882,872 |
|
|
|
1,874,466 |
|
| Corporate Bonds |
|
|
— |
|
|
|
48,257,685 |
|
|
|
2,627,744 |
|
|
|
50,885,429 |
|
| Floating Rate Loan Interests |
|
|
— |
|
|
|
694,904,644 |
|
|
|
52,192,491 |
|
|
|
747,097,135 |
|
| Investment Companies |
|
|
6,982,781 |
|
|
|
— |
|
|
|
— |
|
|
|
6,982,781 |
|
| Rights |
|
|
— |
|
|
|
— |
|
|
|
43,881 |
|
|
|
43,881 |
|
| Trust Preferred |
|
|
1,571,065 |
|
|
|
— |
|
|
|
— |
|
|
|
1,571,065 |
|
| Options Purchased |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Contracts |
|
|
— |
|
|
|
286,745 |
|
|
|
— |
|
|
|
286,745 |
|
| Unfunded Floating Rate Loan Interests(b) |
|
|
— |
|
|
|
3,403 |
|
|
|
— |
|
|
|
3,403 |
|
| Short-Term Securities |
|
|
2,628,005 |
|
|
|
— |
|
|
|
— |
|
|
|
2,628,005 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
12,172,744 |
|
|
$ |
757,806,690 |
|
|
$ |
56,746,988 |
|
|
$ |
826,726,422 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative Financial Instruments(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit contracts |
|
$ |
— |
|
|
$ |
96,760 |
|
|
$ |
— |
|
|
$ |
96,760 |
|
| Forward foreign currency contracts |
|
|
— |
|
|
|
46,604 |
|
|
|
— |
|
|
|
46,604 |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit contracts |
|
|
— |
|
|
|
(37,991 |
) |
|
|
— |
|
|
|
(37,991 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
105,373 |
|
|
$ |
— |
|
|
$ |
105,373 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
See above Schedule of Investments for values in each industry. |
|
| |
(b) |
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
|
| |
(c) |
Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. |
|
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement
purposes. As of period end, bank borrowings payable of $237,000,000 is categorized as Level 2 within the disclosure hierarchy.
During the period ended
February 28, 2018, there were no transfers between Level 1 and Level 2.
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
25 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of
Level 3 investments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset-
Backed
Securities |
|
|
Common
Stocks |
|
|
Corporate
Bonds |
|
|
Floating
Rate Loan
Interests |
|
|
Other
Interests |
|
|
Rights |
|
|
Warrants |
|
|
Total |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Opening balance, as of August 31, 2017 |
|
$ |
— |
|
|
$ |
478,161 |
|
|
$ |
2,513,176 |
|
|
$ |
30,767,366 |
|
|
$ |
3 |
|
|
$ |
49,016 |
|
|
$ |
168 |
|
|
$ |
33,807,890 |
|
| Transfers into Level 3(a) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
16,605,147 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
16,605,147 |
|
| Transfers out of Level 3(b) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(7,714,540 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(7,714,540 |
) |
| Accrued discounts/premiums |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
82,711 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
82,711 |
|
| Net realized gain (loss) |
|
|
— |
|
|
|
— |
|
|
|
874,494 |
|
|
|
(595,501 |
) |
|
|
(61,488 |
) |
|
|
— |
|
|
|
— |
|
|
|
217,505 |
|
| Net change in unrealized appreciation
(depreciation)(c),(d) |
|
|
— |
|
|
|
404,711 |
|
|
|
(834,227 |
) |
|
|
605,427 |
|
|
|
61,485 |
|
|
|
(5,135 |
) |
|
|
(168 |
) |
|
|
232,093 |
|
| Purchases |
|
|
1,000,000 |
|
|
|
— |
|
|
|
2,761,752 |
|
|
|
24,175,790 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
27,937,542 |
|
| Sales |
|
|
— |
|
|
|
— |
|
|
|
(2,687,451 |
) |
|
|
(11,733,909 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(14,421,360 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Closing balance, as of February 28, 2018 |
|
$ |
1,000,000 |
|
|
$ |
882,872 |
|
|
$ |
2,627,744 |
|
|
$ |
52,192,491 |
|
|
$ |
— |
|
|
$ |
43,881 |
|
|
$ |
— |
|
|
$ |
56,746,988 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on investments still held at February 28, 2018 (d) |
|
$ |
— |
|
|
$ |
404,711 |
|
|
$ |
(99,913 |
) |
|
$ |
686,924 |
|
|
$ |
— |
|
|
$ |
(5,135 |
) |
|
$ |
(168 |
) |
|
$ |
986,419 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
As of August 31, 2017 the Fund used observable inputs in determining the value of certain investments. As of February 28, 2018, the Fund used significant
unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
|
| |
(b) |
As of August 31, 2017, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2018, the Fund used
observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
|
| |
(c) |
Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
|
| |
(d) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at
February 28, 2018 is generally due to investments no longer held or categorized as Level 3 at period end. |
|
The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without
adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
See notes to financial statements.
|
|
|
| 26 |
|
2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited)
February 28, 2018 |
|
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Shares |
|
|
Value |
|
| Common Stocks — 0.3% |
|
|
| Chemicals — 0.0% |
|
| LyondellBasell Industries NV, Class A |
|
|
|
|
|
|
37 |
|
|
$ |
4,004 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services — 0.2% |
|
| Kcad Holdings I Ltd.(a)(b) |
|
|
|
|
|
|
546,753,936 |
|
|
|
1,454,365 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care Management Services — 0.0% |
|
| New Millennium HoldCo, Inc.(b) |
|
|
|
|
|
|
8,511 |
|
|
|
400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure — 0.0% |
|
| Caesars Entertainment Corp.(b) |
|
|
|
|
|
|
8,330 |
|
|
|
105,791 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Household Durables — 0.0% |
|
| Berkline Benchcraft Equity LLC(a) |
|
|
|
|
|
|
3,155 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Metals & Mining — 0.0% |
|
| Ameriforge Group, Inc. |
|
|
|
|
|
|
801 |
|
|
|
36,045 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Software — 0.1% |
|
| Avaya Holdings Corp.(b) |
|
|
|
|
|
|
10,345 |
|
|
|
217,142 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stocks — 0.3%
(Cost — $6,418,460) |
|
|
|
1,817,747 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Par
(000) |
|
|
|
|
| Asset-Backed Securities — 13.7% |
|
|
| Asset-Backed Securities — 13.6% |
|
| AIMCO CLO, Series 2014-AA, Class DR, (3 mo. LIBOR US +
3.25%), 4.99%, 07/20/26(c)(d) |
|
|
USD |
|
|
|
250 |
|
|
|
251,735 |
|
| Allegro CLO II Ltd., Series 2014-1A, Class CR, (3 mo. LIBOR US
+ 3.85%), 5.59%, 01/21/27(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,002,030 |
|
| ALM VI Ltd., Series 2012-6A, Class B2RR, (3 mo. LIBOR US +
2.05%), 3.77%, 07/15/26(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,007,693 |
|
| ALM XII Ltd., Series 2015-12A, Class C1R, (3 mo. LIBOR US +
3.20%), 4.92%, 04/16/27(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,005,869 |
|
| ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class C2R, (3 mo.
LIBOR US + 3.20%), 4.92%, 07/15/27(c)(d) |
|
|
|
|
|
|
270 |
|
|
|
274,014 |
|
| ALM XVII Ltd., Series 2015-17A, Class D, (3 mo. LIBOR US +
6.35%), 8.07%, 01/15/28(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,015,108 |
|
| AmeriCredit Automobile Receivables, Series 2014-3, Class C,
2.58%, 09/08/20 |
|
|
|
|
|
|
4,850 |
|
|
|
4,856,094 |
|
| AMMC CLO Ltd.(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-15A, Class D, (3 mo. LIBOR US + 4.20%), 5.74%,
12/09/26 |
|
|
|
|
|
|
2,000 |
|
|
|
2,033,483 |
|
| Series 2016-18A, Class E1, (3 mo. LIBOR US + 6.67%), 8.61%,
05/26/28 |
|
|
|
|
|
|
500 |
|
|
|
505,536 |
|
| Anchorage Capital CLO Ltd.(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-3RA, Class E, 7.26%, 01/28/31(e) |
|
|
|
|
|
|
850 |
|
|
|
849,954 |
|
| Series 2014-4RA, Class D, 4.36%, 01/28/31(e) |
|
|
|
|
|
|
250 |
|
|
|
250,087 |
|
| Series 2014-5RA, Class E, 7.12%, 01/15/30(e) |
|
|
|
|
|
|
860 |
|
|
|
859,924 |
|
| Series 2015-7A, Class DR, 4.42%, 10/15/27(e) |
|
|
|
|
|
|
1,000 |
|
|
|
1,008,281 |
|
| Series 2016-8A, Class E, (3 mo. LIBOR US + 6.50%),
8.26%, 07/28/28(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,015,808 |
|
| Series 2016-9A, Class D, (3 mo. LIBOR US + 4.00%),
5.72%, 01/15/29(c) |
|
|
|
|
|
|
350 |
|
|
|
357,300 |
|
| Ares XL CLO Ltd., Series 2016-40A, Class D, (3 mo. LIBOR US
+ 6.60%), 8.32%, 10/15/27(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
511,349 |
|
| Ares XXXII CLO Ltd., Series 2014-32A, Class BR, (3 mo.
LIBOR US + 2.25%), 4.09%, 11/15/25(c)(d) |
|
|
|
|
|
|
1,250 |
|
|
|
1,258,602 |
|
| Ballyrock CLO LLC, Series 2014-1A, Class CR, (3 mo. LIBOR
US + 3.65%), 5.39%, 10/20/26(c)(d) |
|
|
|
|
|
|
280 |
|
|
|
280,084 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Asset-Backed Securities (continued) |
|
| Battalion CLO XI Ltd., Series 2017-11A, Class E,
7.72%, 10/24/29(d)(e) |
|
|
USD |
|
|
|
325 |
|
|
$
|
329,907 |
|
| Benefit Street Partners CLO XII Ltd., Series 2017-12A,
Class D, 7.76%, 10/15/30(d)(e) |
|
|
|
|
|
|
500 |
|
|
|
511,669 |
|
| BlueMountain CLO Ltd., Series 2012-2A, Class DR, (3 mo. LIBOR US
+ 4.15%), 6.03%, 11/20/28(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,018,125 |
|
| Carlyle Global Market Strategies CLO
Ltd.(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-3A, Class D1, (3 mo. LIBOR US + 5.10%), 6.86%,
07/27/26 |
|
|
|
|
|
|
1,000 |
|
|
|
1,005,219 |
|
| Series 2014-4A, Class E, (3 mo. LIBOR US + 5.20%),
6.92%, 10/15/26 |
|
|
|
|
|
|
500 |
|
|
|
501,755 |
|
| Series 2015-1A, Class CR, (3 mo. LIBOR US + 2.00%), 3.74%,
04/20/27 |
|
|
|
|
|
|
600 |
|
|
|
601,797 |
|
| Credit Suisse ABS Repackaging Trust, Series 2013-A,
Class B, 2.50%, 01/25/30(d) |
|
|
|
|
|
|
632 |
|
|
|
581,782 |
|
| DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44(d) |
|
|
|
|
|
|
3,073 |
|
|
|
3,135,909 |
|
| Dryden Senior Loan Fund, Series 2014-31A, Class DR, (3 mo.
LIBOR US + 3.35%), 5.08%, 04/18/26(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
250,838 |
|
| Galaxy CLO Ltd., Series 2015-21A, 1.00%, 04/20/31(d)(e)(f) |
|
|
|
|
|
|
500 |
|
|
|
500,000 |
|
| Highbridge Loan Management Ltd., Series 5A-2015, Class E,
(3 mo. LIBOR US + 5.35%), 7.11%, 01/29/26(d)(e) |
|
|
|
|
|
|
1,000 |
|
|
|
1,001,311 |
|
| HPS Loan Management Ltd., Series 9A-2016, Class D2, (3 mo.
LIBOR US + 6.45%), 8.19%, 07/19/27(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,014,619 |
|
| Lendmark Funding Trust, Series 2017-2A, Class A,
2.80%, 05/20/26(d) |
|
|
|
|
|
|
2,240 |
|
|
|
2,228,112 |
|
| Litigation Fee Residual Funding,
4.00%, 10/30/27(a) |
|
|
|
|
|
|
1,487 |
|
|
|
1,481,782 |
|
| Madison Park Funding X Ltd., Series 2012-10A, Class ER,
(3 mo. LIBOR US + 7.62%), 9.36%, 01/20/29(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
518,837 |
|
| Madison Park Funding XI Ltd., Series 2013-11A, Class ER, 8.19%,
07/23/29(d)(e) |
|
|
|
|
|
|
250 |
|
|
|
254,046 |
|
| Madison Park Funding XIII Ltd., Series 2014-13A, Class E, (3 mo.
LIBOR US + 5.00%), 6.74%, 01/19/25(c)(d) |
|
|
|
|
|
|
1,250 |
|
|
|
1,250,989 |
|
| Madison Park Funding XIV Ltd., Series 2014-14A, Class E, (3 mo.
LIBOR US + 4.75%), 6.49%, 07/20/26(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,811 |
|
| Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo.
LIBOR US + 2.20%), 3.96%, 01/27/26(c)(d) |
|
|
|
|
|
|
1,500 |
|
|
|
1,504,396 |
|
| Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ER, 6.72%,
01/15/28(d)(e) |
|
|
|
|
|
|
1,250 |
|
|
|
1,250,399 |
|
| Oaktree CLO Ltd., 6.94%, 10/20/27(d)(e) |
|
|
|
|
|
|
500 |
|
|
|
500,069 |
|
| Octagon Investment Partners LLC, Series 2017-1A, Class E, (3 mo.
LIBOR US + 6.30%), 8.04%, 07/20/30(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
514,820 |
|
| Octagon Investment Partners XVIII Ltd., Series 2013-1A,
Class CR, (3 mo. LIBOR US + 3.48%), 5.33%, 12/16/24(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,005,590 |
|
| OneMain Financial Issuance Trust, Series 2015-2A, Class C,
4.32%, 07/18/25(d) |
|
|
|
|
|
|
4,000 |
|
|
|
3,997,216 |
|
| OZLM IX Ltd., Series 2014-9A Class CR, (3 mo. LIBOR
US + 3.55%), 5.29%, 01/20/27(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,004,514 |
|
| OZLM VII Ltd., Series 2014-7A, Class CR, (3 mo. LIBOR
US + 3.50%), 5.23%, 07/17/26(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
251,593 |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
27 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2018 |
|
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Asset-Backed Securities (continued) |
|
| OZLM VIII Ltd., Series 2014-8A(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class BR, (3 mo. LIBOR US + 2.25%), 3.98%, 10/17/26 |
|
|
USD |
|
|
|
2,500 |
|
|
$
|
2,506,774 |
|
| Class CR, (3 mo. LIBOR US + 3.40%), 5.13%, 10/17/26 |
|
|
|
|
|
|
500 |
|
|
|
501,709 |
|
| OZLM XII Ltd., Series 2015-12A, Class C, (3 mo. LIBOR
US + 3.70%), 5.47%, 04/30/27(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,003,363 |
|
| OZLM XIX Ltd., Series 2017-19A, Class D, 7.97%, 11/22/30(d)(e) |
|
|
|
|
|
|
500 |
|
|
|
515,447 |
|
| OZLM XV Ltd., Series 2016-15A, Class C, (3 mo. LIBOR
US + 4.00%), 5.74%, 01/20/29(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,021,047 |
|
| OZLM XXI, Series 2017-21A, Class D, 7.29%, 01/20/31(d)(e) |
|
|
|
|
|
|
500 |
|
|
|
499,565 |
|
| Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A,
Class D, 7.63%, 11/14/29(d)(e) |
|
|
|
|
|
|
1,750 |
|
|
|
1,784,183 |
|
| Regatta V Funding Ltd., Series 2014-1A, Class BR, (3 mo.
LIBOR US + 2.30%), 4.05%, 10/25/26(c)(d) |
|
|
|
|
|
|
2,000 |
|
|
|
2,006,977 |
|
| Rockford Tower CLO Ltd.(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-1A, Class D, (3 mo. LIBOR US + 3.25%),
4.97%, 04/15/29 |
|
|
|
|
|
|
250 |
|
|
|
253,422 |
|
| Series 2017-2A, Class D, (3 mo. LIBOR US + 3.45%),
5.17%, 10/15/29 |
|
|
|
|
|
|
500 |
|
|
|
511,306 |
|
| Santander Drive Auto Receivables Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-3, Class D, 2.65%, 08/17/20 |
|
|
|
|
|
|
4,015 |
|
|
|
4,020,943 |
|
| Series 2014-4, Class C, 2.60%, 11/16/20 |
|
|
|
|
|
|
1,521 |
|
|
|
1,523,060 |
|
| Series 2014-4, Class D, 3.10%, 11/16/20 |
|
|
|
|
|
|
4,500 |
|
|
|
4,522,085 |
|
| Shackleton CLO Ltd., Series 2013-3A(d)(e): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class DR, 4.74%, 07/15/30 |
|
|
|
|
|
|
500 |
|
|
|
503,358 |
|
| Class ER, 7.60%, 07/15/30 |
|
|
|
|
|
|