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: 08/31/2018
Item 1 – Report to Stockholders
2
AUGUST 31, 2018
|
|
|
| ANNUAL
REPORT |
|
|
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 August 31, 2018, the strongest
corporate profits in seven years drove the equity market higher, while rising interest rates constrained bond returns. Though the market’s appetite for risk remained healthy, risk-taking was tempered somewhat, as shorter-term, higher-quality
securities led the bond market, and U.S. equities outperformed most international stock markets.
Volatility in emerging market stocks rose as U.S.-China trade
relations and debt concerns adversely affected the Chinese stock market, while Turkey and Argentina became embroiled in currency crises, largely due to hyperinflation in both countries. An economic slowdown in Europe led to modest performance for
European equities.
Short-term U.S. Treasury interest rates rose the fastest, while longer-term rates slightly increased, leading to a negative return for long-term
U.S. Treasuries and a substantial flattening of the yield curve. Many investors are concerned with the flattening yield curve as a harbinger of recession, but given the extraordinary monetary measures in the last decade, we believe a more accurate
barometer for the economy is the returns along the risk spectrums in stock and bond markets. Although the fundamentals in credit markets remained relatively solid, investment-grade bonds declined slightly, and high-yield bonds posted modest returns.
In response to rising growth and inflation, the U.S. Federal Reserve (the “Fed”) increased short-term interest rates three times during the reporting
period. The Fed also reduced its $4.2 trillion balance sheet by approximately $230 billion during the reporting period, gradually reversing the unprecedented stimulus measures it enacted after the financial crisis. Meanwhile, the European
Central Bank announced that its bond-purchasing program would conclude at the end of the year, while also expressing its commitment to low interest rates. In contrast, the Bank of Japan continued to expand its balance sheet through bond purchasing
while lowering its expectations for inflation.
The U.S. economy continued to gain momentum despite the Fed’s modest reduction of economic stimulus;
unemployment declined to 3.9%, wages increased, and the number of job openings reached a record high. Strong economic performance may justify a more rapid pace of rate hikes in 2018, as the headline inflation rate and investors’ expectations
for inflation have already surpassed the Fed’s target of 2.0%.
While U.S. monetary policy is seeking to restrain economic growth and inflation, fiscal policy
has produced new sources of growth that could nourish the economy for the next few years. Corporate tax cuts and repatriation of capital held abroad could encourage a virtuous cycle of business spending. Lower individual tax rates coupled with the
robust job market may refresh consumer spending.
We continue to believe the primary risks to economic expansion are trade protectionism, rapidly rising interest
rates, and geopolitical tension. Given the deflationary forces of technology and globalization, a substantial increase in inflation is unlikely to materialize as long as the unemployment rate remains above 3.0%. However, we are closely monitoring
trade protectionism and the rise of populism in Western nations. In particular, the outcome of trade negotiations between the United States and China is likely to influence the global growth trajectory and set the tone for free trade in many other
nations.
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
|
|
|
|
|
| Total Returns as of August 31, 2018 |
| |
|
6-month |
|
12-month |
| U.S. large cap equities
(S&P
500® Index) |
|
7.96% |
|
19.66% |
| U.S. small cap equities
(Russell
2000® Index) |
|
15.84 |
|
25.45 |
| International equities
(MSCI Europe, Australasia,
Far East Index) |
|
(2.55) |
|
4.39 |
| Emerging market equities
(MSCI Emerging Markets Index) |
|
(10.18) |
|
(0.68) |
| 3-month Treasury bills
(ICE BofAML 3-Month U.S. Treasury Bill Index) |
|
0.93 |
|
1.52 |
| U.S. Treasury securities
(ICE BofAML 10-Year
U.S. Treasury Index) |
|
1.42 |
|
(4.13) |
| U.S. investment grade bonds
(Bloomberg Barclays U.S. Aggregate Bond Index) |
|
1.15 |
|
(1.05) |
| Tax-exempt municipal bonds
(S&P
Municipal Bond Index) |
|
1.78 |
|
0.61 |
| U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped
Index) |
|
2.26 |
|
3.40 |
| 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 August 31, 2018 |
|
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 August 31, 2018 ($13.80)(a) |
|
5.61% |
| Current Monthly Distribution per Common
Share(b) |
|
$0.0645 |
| Current Annualized Distribution per Common
Share(b) |
|
$0.7740 |
| Economic Leverage as of August 31, 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. |
|
Market Price and Net Asset Value Per Share Summary
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
08/31/18 |
|
|
08/31/17 |
|
|
Change |
|
|
High |
|
|
Low |
|
| Market Price |
|
$ |
13.80 |
|
|
$ |
14.10 |
|
|
|
(2.13 |
)% |
|
$ |
14.62 |
|
|
$ |
13.70 |
|
| Net Asset Value |
|
|
14.92 |
|
|
|
14.93 |
|
|
|
(0.07 |
) |
|
|
15.07 |
|
|
|
14.81 |
|
Market Price and Net Asset Value History For the Past Five Years
|
|
|
| 4 |
|
2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Fund Summary as of August 31, 2018 (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc. |
Performance and Portfolio Management Commentary
Returns for the period ended
August 31, 2018 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Average Annual Total Returns |
|
| |
|
|
|
|
1 Year |
|
|
3 Years |
|
|
5 Years |
|
| Fund at NAV(a)(b) |
|
|
|
|
|
|
5.28 |
% |
|
|
5.71 |
% |
|
|
5.30 |
% |
| Fund at Market
Price(a)(b) |
|
|
|
|
|
|
3.11 |
|
|
|
8.00 |
|
|
|
4.21 |
|
| S&P/LSTA Leveraged Loan Index(c) |
|
|
|
|
|
|
4.88 |
|
|
|
4.85 |
|
|
|
4.04 |
|
| |
(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) |
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.
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 12-month period. The largest sector contributors to performance included technology, health care and consumer cyclical services. By credit rating, B-rated
positions were the largest contributors, followed by BB-rated and CCC-rated names. In terms of the Fund’s asset allocation, bank loan positions provided the largest contribution to performance, followed by holdings of high yield bonds and a
small allocation to equities.
On the downside, the home construction sector was the sole sector detractor from performance. In terms of credit ratings, not-rated and
CC-rated positions hurt Fund performance. A small position in convertible securities was also a detractor.
Describe recent portfolio activity.
The Fund maintained tactical exposures to high yield bonds and collateralized loan obligations. As much of the bank loan market trades above par, these tactical holdings
are designed to add potential upside to the Fund. Over the period, the Fund reduced exposure to the communications sector in general, and cable & satellite issues in particular. Additionally, the Fund maintained its broad underweight to consumer
cyclicals. By contrast, the Fund added to sectors such as pharmaceuticals, chemicals and diversified manufacturing. From a credit quality standpoint, the Fund increased exposure to B-rated credits, while reducing exposure to BB-rated names. The
Fund’s core issuer and credit biases remained centered on cash-flow views and identification of a specific catalyst and/or idiosyncratic characteristics.
Describe portfolio positioning at period end.
At period end, the Fund held
the majority of its portfolio in floating rate bank loans, with a meaningful position in high yield corporate bonds as well. 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. From a sector perspective, the Fund’s largest overweight
positions at period-end included independent energy, technology and health care. By contrast, the Fund remained underweight to the broad consumer cyclicals space, most notably retail, leisure and automotive issuers as the investment adviser believes
these segments face fundamental headwinds. The Fund remained focused on industries and companies with stable business profiles and consistent cash flows, avoiding areas of the market with secular concerns and/or deteriorating fundamental trends.
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 August 31, 2018 (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc. |
Overview of the Fund’s Total Investments
PORTFOLIO COMPOSITION
|
|
|
|
|
|
|
|
|
| |
|
08/31/18 |
|
|
08/31/17 |
|
| Floating Rate Loan Interests |
|
|
94 |
% |
|
|
93 |
% |
| Corporate Bonds |
|
|
3 |
|
|
|
6 |
|
| Asset-Backed Securities |
|
|
3 |
|
|
|
1 |
|
| Investment Companies |
|
|
— |
|
|
|
— |
(a) |
| Common Stocks(a) |
|
|
— |
|
|
|
— |
|
| Short-Term Securities(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: Other Interests, Preferred Securities, and
Warrants. |
|
| |
(c) |
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 (d)(e)
|
|
|
|
|
|
|
|
|
| |
|
08/31/18 |
|
|
08/31/17 |
|
| A(a) |
|
|
— |
|
|
|
— |
|
| BBB/Baa |
|
|
8 |
% |
|
|
9 |
% |
| BB/Ba |
|
|
41 |
|
|
|
42 |
|
| B |
|
|
45 |
|
|
|
40 |
|
| CCC/Caa |
|
|
4 |
|
|
|
5 |
|
| N/R |
|
|
2 |
|
|
|
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 and Short-Term Securities. |
|
|
|
|
| 6 |
|
2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Fund Summary as of August 31, 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 August 31, 2018 ($15.06)(a) |
|
6.33% |
| Current Monthly Distribution per Common
Share(b) |
|
$0.0795 |
| Current Annualized Distribution per Common
Share(b) |
|
$0.9540 |
| Economic Leverage as of August 31, 2018(c) |
|
28% |
| |
(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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
08/31/18 |
|
|
08/31/17 |
|
|
Change |
|
|
High |
|
|
Low |
|
| Market Price |
|
$ |
15.06 |
|
|
$ |
15.99 |
|
|
|
(5.82 |
)% |
|
$ |
16.30 |
|
|
$ |
14.77 |
|
| Net Asset Value |
|
|
16.71 |
|
|
|
17.02 |
|
|
|
(1.82 |
) |
|
|
17.14 |
|
|
|
16.57 |
|
Market Price and Net Asset Value History For the Past Five Years
|
|
|
| Fund Summary as of August 31, 2018 (continued) |
|
BlackRock Limited Duration Income Trust |
Performance and Portfolio Management Commentary
Returns for the period ended
August 31, 2018 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Average Annual Total Returns |
|
| |
|
|
|
|
1 Year |
|
|
3 Years |
|
|
5 Years |
|
| Fund at NAV(a)(b) |
|
|
|
|
|
|
4.42 |
% |
|
|
7.28 |
% |
|
|
6.91 |
% |
| Fund at Market
Price(a)(b) |
|
|
|
|
|
|
0.18 |
|
|
|
9.08 |
|
|
|
5.51 |
|
| Reference Benchmark(c) |
|
|
|
|
|
|
2.81 |
|
|
|
4.42 |
|
|
|
3.77 |
|
| Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(d) |
|
|
|
|
|
|
3.40 |
|
|
|
7.02 |
|
|
|
5.64 |
|
| S&P/LSTA Leveraged Loan Index(e) |
|
|
|
|
|
|
4.88 |
|
|
|
4.85 |
|
|
|
4.04 |
|
| BATS S
Benchmark(f) |
|
|
|
|
|
|
0.19 |
|
|
|
1.38 |
|
|
|
1.60 |
|
| |
(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, Bloomberg 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.
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 for the period were its allocations to senior loans, high yield corporate bonds and interest rate derivatives. Holdings in commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”)
also contributed to performance.
The largest detractor from the Fund’s performance came from exposure to non-U.S.
sovereign-related securities.
The Fund held derivatives during the period, including interest rate futures, currency forwards, currency options, interest rate swaps
and credit default swaps. The derivatives were used primarily to adjust duration (sensitivity to interest rate movements) and yield curve exposures as well as to manage credit and currency risk. Currency forwards also were employed to provide the
portfolio with active currency exposure. The Fund’s use of derivatives contributed positively to performance during the period.
Describe recent portfolio
activity.
After reducing its allocation last year, the Fund added back exposure to high yield corporate bonds given the sector’s supportive technical
backdrop and benign default outlook. The Fund also maintained an allocation to floating rate senior loans in anticipation of moderately higher interest rates as central banks continue gradual policy normalization. Consistent with the investment
adviser’s expectations for rising interest rates, the Fund maintained a relatively short duration profile.
Describe portfolio positioning at period end.
At period end, the Fund maintained a diversified allocation to non-government spread sectors such as high yield corporate
bonds, senior loans, investment grade corporates, CMBS, ABS, and agency and non-agency residential mortgage-backed securities. Additionally, the Fund held emerging market debt and sovereign debt. The Fund
ended the period with an effective duration of 2.7 years.
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 ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Fund Summary as of August 31, 2018 (continued) |
|
BlackRock Limited Duration Income Trust |
Overview of the Fund’s Total Investments
PORTFOLIO COMPOSITION
|
|
|
|
|
|
|
|
|
| |
|
08/31/2018 |
|
|
08/31/2017 |
|
| Corporate Bonds |
|
|
45 |
% |
|
|
45 |
% |
| Floating Rate Loan Interests |
|
|
29 |
|
|
|
27 |
|
| Asset-Backed Securities |
|
|
8 |
|
|
|
9 |
|
| Preferred Securities |
|
|
7 |
|
|
|
8 |
|
| Non-Agency Mortgage-Backed Securities |
|
|
5 |
|
|
|
6 |
|
| Foreign Agency Obligations |
|
|
3 |
|
|
|
4 |
|
| U.S. Government Sponsored Agency Securities |
|
|
3 |
|
|
|
1 |
|
| Short-Term Securities(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, Other Interests, 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)
|
|
|
|
|
|
|
|
|
| |
|
08/31/2018 |
|
|
08/31/2017 |
|
| AAA/Aaa |
|
|
4 |
% |
|
|
4 |
% |
| AA/Aa |
|
|
1 |
|
|
|
1 |
|
| A |
|
|
5 |
|
|
|
6 |
|
| BBB/Baa |
|
|
21 |
|
|
|
19 |
|
| BB/Ba |
|
|
31 |
|
|
|
33 |
|
| B |
|
|
27 |
|
|
|
29 |
|
| CCC/Caa |
|
|
6 |
|
|
|
4 |
|
| N/R(f) |
|
|
5 |
|
|
|
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 ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Shares |
|
|
Value |
|
| Common Stocks — 0.4% |
|
|
| Chemicals — 0.1% |
|
| GEO Specialty Chemicals, Inc.(a)(b) |
|
|
|
|
|
|
814,577 |
|
|
$ |
266,997 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services — 0.2% |
|
| Kcad Holdings I Ltd.(a)(b) |
|
|
|
|
|
|
309,827,230 |
|
|
|
1,174,245 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care Management Services — 0.0% |
|
| New Millennium HoldCo, Inc.(b) |
|
|
|
|
|
|
14,906 |
|
|
|
149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure — 0.0% |
|
| Caesars Entertainment Corp.(b) |
|
|
|
|
|
|
19,011 |
|
|
|
193,912 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Semiconductors & Semiconductor Equipment — 0.0% |
|
| SunPower Corp.(b) |
|
|
|
|
|
|
1,860 |
|
|
|
12,499 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 0.1% |
|
| Texgen LLC(a)(b) |
|
|
|
|
|
|
16,861 |
|
|
|
606,996 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stocks — 0.4%
(Cost — $4,560,286) |
|
|
|
2,254,798 |
|
|
|
|
|
|
|
|
|
|
| |
|
Par
(000) |
|
|
|
|
| Asset-Backed Securities — 4.6% |
|
| Allegro CLO II-S Ltd., Series
2014-1RA, Class B, 1.00%, 10/21/28(c)(d)(e) |
|
|
USD |
|
|
|
250 |
|
|
|
250,000 |
|
| ALM VII R Ltd., Series 2013-7RA, Class BR,
(3 mo. LIBOR US + 2.70%), 5.04%, 10/15/28(c)(f) |
|
|
|
|
|
|
250 |
|
|
|
251,916 |
|
| AMMC CLO Ltd., Series 2014-15A, Class D, (3 mo. LIBOR
US + 4.20%), 6.53%, 12/09/26(c)(f) |
|
|
|
|
|
|
250 |
|
|
|
251,659 |
|
| Anchorage Capital CLO Ltd.(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-8A, Class AR, 3.34%, 07/28/28 |
|
|
|
|
|
|
750 |
|
|
|
749,225 |
|
| Series 2016-8A, Class BR, 3.94%, 07/28/28 |
|
|
|
|
|
|
500 |
|
|
|
499,567 |
|
| Series 2018-10A, Class A1A, 1.00%, 10/15/31(e) |
|
|
|
|
|
|
2,550 |
|
|
|
2,550,000 |
|
| Apidos CLO XXX Ltd., Series XXXA, Class A1A, 1.00%,
10/18/31(a)(c)(d)(e) |
|
|
|
|
|
|
250 |
|
|
|
250,000 |
|
| Ares CLO Ltd., Series 2016-40A, Class C, (3 mo. LIBOR
US + 3.70%), 6.04%, 10/15/27(c)(f) |
|
|
|
|
|
|
250 |
|
|
|
251,289 |
|
| Ares XLVII CLO Ltd., Series 2018-48A, Class C, 4.14%, 07/20/30(c)(d) |
|
|
|
|
|
|
375 |
|
|
|
370,383 |
|
| Ares XLVIII CLO Ltd., Series 2018-48A, Class D, 5.04%, 07/20/30(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
246,698 |
|
| Ares XXXIII CLO Ltd., Series 2015-1A, Class A2R, (3 mo.
LIBOR US + 1.95%), 4.27%, 12/05/25(c)(f) |
|
|
|
|
|
|
450 |
|
|
|
450,311 |
|
| Ares XXXVR CLO Ltd., Series 2015-35RA, Class C, 4.24%, 07/15/30(c)(d) |
|
|
|
|
|
|
350 |
|
|
|
343,089 |
|
| Atlas Senior Loan Fund X Ltd., Series 2018-10A(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class B, 3.84%, 01/15/31 |
|
|
|
|
|
|
500 |
|
|
|
493,210 |
|
| Class C, 4.19%, 01/15/31 |
|
|
|
|
|
|
500 |
|
|
|
494,226 |
|
| Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A2R,
(3 mo. LIBOR US + 2.05%), 4.40%, 01/20/29(c)(f) |
|
|
|
|
|
|
500 |
|
|
|
501,411 |
|
| Benefit Street Partners CLO XII Ltd., Series 2017-12A,
Class C, 5.39%, 10/15/30(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
250,401 |
|
| Benefit Street Partners CLO XV Ltd., Series 2018-15A,
Class A1, 3.31%, 07/18/31(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
250,000 |
|
| Carlyle Global Market Strategies CLO Ltd., Series 2015-3A,
Class A2R, 3.94%, 07/28/28(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
498,276 |
|
| Cedar Funding II CLO Ltd., Series 2013-1A, Class A1R, (3 mo.
LIBOR US + 1.23%), 3.56%, 06/09/30(c)(f) |
|
|
|
|
|
|
500 |
|
|
|
500,726 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Asset-Backed Securities (continued) |
|
| CIFC Funding Ltd.(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-4A, Class DRR, 5.17%, 04/27/31 |
|
|
USD |
|
|
|
250 |
|
|
$
|
247,721 |
|
| Series 2018-1A, Class B, 3.58%, 04/18/31 |
|
|
|
|
|
|
375 |
|
|
|
369,686 |
|
| Series 2018-1A, Class C, 3.93%, 04/18/31 |
|
|
|
|
|
|
375 |
|
|
|
373,126 |
|
| Series 2018-4A, Class A1, 1.00%, 10/17/31(a)(e) |
|
|
|
|
|
|
1,700 |
|
|
|
1,698,550 |
|
| Series 2018-4A, Class B, 1.00%, 10/17/31(e) |
|
|
|
|
|
|
425 |
|
|
|
425,000 |
|
| Series 2018-4A, Class D, 1.00%, 10/17/31(a)(e) |
|
|
|
|
|
|
300 |
|
|
|
300,000 |
|
| Galaxy CLO Ltd., Series 2015-21A, Class CR, 4.10%, 04/20/31(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
247,321 |
|
| Galaxy XVIII CLO Ltd., Series 2018-28A, Class A1, 3.44%,
07/15/31(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
995,404 |
|
| GoldentTree Loan Management US CLO Ltd., Series 2017-1A,
Class C, (3 mo. LIBOR US + 2.20%), 4.55%, 04/20/29(c)(f) |
|
|
|
|
|
|
250 |
|
|
|
250,504 |
|
| Highbridge Loan Management Ltd.(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 12A-18, Class B, 4.22%, 07/18/31 |
|
|
|
|
|
|
250 |
|
|
|
243,424 |
|
| Series 12A-18, Class C, 5.12%, 07/18/31 |
|
|
|
|
|
|
250 |
|
|
|
242,240 |
|
| Series 2013-2A, Class CR, 5.25%, 10/20/29 |
|
|
|
|
|
|
250 |
|
|
|
248,879 |
|
| LCM XVIII LP(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 18A, Class INC, 0.00%, 04/20/31(g) |
|
|
|
|
|
|
1,250 |
|
|
|
784,010 |
|
| Series 27A, Class A1, 3.53%, 07/16/31 |
|
|
|
|
|
|
500 |
|
|
|
497,364 |
|
| Madison Park Funding Ltd., Series 2018-27A, Class B, 4.05%,
04/20/30(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
987,967 |
|
| Octagon Investment Partners Ltd., Series 2013-1A(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class A1R2, 3.34%, 01/25/31 |
|
|
|
|
|
|
250 |
|
|
|
249,714 |
|
| Class BR2, 3.74%, 01/25/31 |
|
|
|
|
|
|
350 |
|
|
|
347,432 |
|
| Class CR2, 4.04%, 01/25/31 |
|
|
|
|
|
|
350 |
|
|
|
344,085 |
|
| Octagon Investment Partners XVII Ltd., Series 2013-1A,
Class ER2,
7.49%, 01/25/31(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
246,793 |
|
| OZLM XIX Ltd., Series 2017-19A, Class C, 5.44%, 11/22/30(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
250,983 |
|
| Palmer Square CLO Ltd.(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-2A, Class A1AR, (3 mo. LIBOR US + 1.27%),
3.62%, 07/20/30(f) |
|
|
|
|
|
|
500 |
|
|
|
500,641 |
|
| Series 2018-1A, Class A1, 3.21%, 04/18/31(d) |
|
|
|
|
|
|
300 |
|
|
|
298,242 |
|
| Series 2018-1A, Class A2, 3.63%, 04/18/31(d) |
|
|
|
|
|
|
250 |
|
|
|
246,460 |
|
| Series 2018-1A, Class B, 3.93%, 04/18/31(d) |
|
|
|
|
|
|
250 |
|
|
|
245,289 |
|
| Series 2018-1A, Class D, 7.33%, 04/18/31(d) |
|
|
|
|
|
|
250 |
|
|
|
247,577 |
|
| Rockford Tower CLO Ltd., Series 2018-2A, Class A, 1.00%,
10/20/31(c)(d)(e) |
|
|
|
|
|
|
500 |
|
|
|
499,400 |
|
| Sound Point CLO Ltd., Series 2018-21A,
Class A-1A, 1.00%, 10/26/31(e)(f) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,000 |
|
| TCI-Cent CLO Ltd., Series
2016-1A, Class A2, (3 mo. LIBOR US + 2.20%),
4.54%, 12/21/29(c)(f) |
|
|
|
|
|
|
300 |
|
|
|
300,682 |
|
| TICP CLO XI Ltd., Series 2018-11A, Class A, 1.00%, 10/20/31(a)(c)(d)(e) |
|
|
|
|
|
|
450 |
|
|
|
450,000 |
|
| Treman Park CLO Ltd., Series 2015-1A, Class D, (3 mo. LIBOR
US + 3.86%),
6.21%, 04/20/27(c)(f) |
|
|
|
|
|
|
1,400 |
|
|
|
1,403,950 |
|
| Venture XIX CLO Ltd., Series 2014-19A, Class BR, (3 mo.
LIBOR US + 2.00%),
4.34%, 01/15/27(c)(f) |
|
|
|
|
|
|
250 |
|
|
|
249,666 |
|
| Webster Park CLO Ltd., Series 2015-1A, Class CR, 5.25%, 07/20/30(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
495,052 |
|
| York CLO Ltd., Series 2014-1A, Class ARR, 1.00%, 10/22/29(c)(d)(e) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities — 4.6%
(Cost — $26,014,499) |
|
|
|
25,739,549 |
|
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
11 |
|
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Corporate Bonds — 4.9% |
|
|
| Aerospace & Defense — 0.2% |
|
| Bombardier, Inc., 7.50%, 03/15/25(c) |
|
|
USD |
|
|
|
1,160 |
|
|
$ |
1,191,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Banks — 0.0% |
|
| CIT Group, Inc., 5.00%, 08/01/23 |
|
|
|
|
|
|
135 |
|
|
|
137,194 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Markets — 0.3% |
|
| Blackstone CQP Holdco LP(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.50%, 03/20/21 |
|
|
|
|
|
|
1,536 |
|
|
|
1,540,381 |
|
| 6.00%, 08/18/21 |
|
|
|
|
|
|
249 |
|
|
|
246,558 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,786,939 |
|
| Chemicals — 0.9% |
|
| Alpha 3 BV/Alpha US Bidco, Inc.,
6.25%,
02/01/25(c) |
|
|
|
|
|
|
856 |
|
|
|
843,160 |
|
| GEO Specialty Chemicals, Inc.,
15.24%,
10/18/25(a) |
|
|
|
|
|
|
1,905 |
|
|
|
2,892,436 |
|
| Momentive Performance Materials, Inc., 3.88%, 10/24/21 |
|
|
|
|
|
|
1,083 |
|
|
|
1,156,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,891,699 |
|
| Construction Materials — 0.4% |
|
| HD Supply, Inc., 5.75%, 04/15/24(c)(h) |
|
|
|
|
|
|
2,049 |
|
|
|
2,154,011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Containers & Packaging — 0.1% |
|
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 7.25%, 05/15/24(c) |
|
|
|
|
|
|
300 |
|
|
|
315,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Consumer Services — 0.4% |
|
| Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 05/15/23(c) |
|
|
|
|
|
|
2,041 |
|
|
|
2,186,523 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Electric Utilities — 0.0% |
|
| Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 10/01/20(a) |
|
|
|
|
|
|
1,061 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Environmental, Maintenance, & Security Service — 0.1% |
|
| Tervita Escrow Corp., 7.63%, 12/01/21(c) |
|
|
|
|
|
|
540 |
|
|
|
559,575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equity Real Estate Investment Trusts (REITs) — 0.0% |
|
| VICI Properties 1 LLC/VICI FC, Inc., 8.00%, 10/15/23 |
|
|
|
|
|
|
46 |
|
|
|
51,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care Providers & Services — 0.1% |
|
| NVA Holdings, Inc., 6.88%, 04/01/26(c) |
|
|
|
|
|
|
370 |
|
|
|
367,688 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care Services — 0.0% |
|
| Aveta Inc. Escrow, 7.00%, 04/01/19(a) |
|
|
|
|
|
|
1,347 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure — 0.2% |
|
| New Red Finance, Inc., 5.00%, 10/15/25(c) |
|
|
|
|
|
|
980 |
|
|
|
945,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Media — 0.9% |
|
| Altice Financing SA(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.63%, 02/15/23 |
|
|
|
|
|
|
550 |
|
|
|
553,432 |
|
| 7.50%, 05/15/26 |
|
|
|
|
|
|
875 |
|
|
|
835,625 |
|
| Altice US Finance I Corp., 5.50%, 05/15/26(c) |
|
|
|
|
|
|
350 |
|
|
|
343,875 |
|
| Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.50%, 11/15/22 |
|
|
|
|
|
|
1,218 |
|
|
|
1,245,405 |
|
| Series B, 7.63%, 03/15/20 |
|
|
|
|
|
|
545 |
|
|
|
547,044 |
|
| CSC Holdings LLC, 10.88%, 10/15/25(c) |
|
|
|
|
|
|
1,040 |
|
|
|
1,210,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,735,681 |
|
| Metals & Mining — 0.1% |
|
| Freeport-McMoRan, Inc., 3.88%, 03/15/23 |
|
|
|
|
|
|
625 |
|
|
|
600,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels — 0.8% |
|
| CNX Resources Corp., 5.88%, 04/15/22 |
|
|
|
|
|
|
3,552 |
|
|
|
3,551,822 |
|
| Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(c) |
|
|
|
|
|
|
873 |
|
|
|
897,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,448,830 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Software — 0.3% |
|
| Infor US, Inc., 6.50%, 05/15/22 |
|
|
USD |
|
|
|
1,176 |
|
|
$
|
1,191,253 |
|
| Informatica LLC, 7.13%, 07/15/23(c) |
|
|
|
|
|
|
658 |
|
|
|
669,515 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,860,768 |
|
| Wireless Telecommunication Services — 0.1% |
|
| Frontier Communications Corp.,
8.50%, 04/01/26(c) |
|
|
|
|
|
|
310 |
|
|
|
291,648 |
|
| Sprint Communications, Inc., 7.00%, 08/15/20 |
|
|
|
|
|
|
325 |
|
|
|
340,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
632,086 |
|
|
|
|
|
|
|
| Total Corporate Bonds — 4.9%
(Cost — $26,728,844) |
|
|
|
26,866,130 |
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests(f)
— 136.1% |
|
|
| Aerospace & Defense — 1.3% |
|
| Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.08%, 08/18/24 |
|
|
|
|
|
|
3,227 |
|
|
|
3,235,261 |
|
| DAE Aviation Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor),
5.83%, 07/07/22 |
|
|
|
|
|
|
506 |
|
|
|
507,048 |
|
| TransDigm, Inc., 2018 Term Loan F, (1 mo. LIBOR + 2.50%), 4.58%, 06/09/23 |
|
|
|
|
|
|
3,338 |
|
|
|
3,330,170 |
|
| WP CPP Holdings LLC, 2018 Term Loan, (2 mo. LIBOR + 3.75%, 1.00% Floor),
6.28%, 04/30/25 |
|
|
|
|
|
|
402 |
|
|
|
403,258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,475,737 |
|
| Air Freight & Logistics — 0.2% |
|
| Avolon TLB Borrower 1 (US) LLC, Term Loan B3, (1 mo. LIBOR + 2.00%), 4.08%, 01/15/25 |
|
|
|
|
|
|
648 |
|
|
|
647,591 |
|
| XPO Logistics, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.06%, 02/24/25 |
|
|
|
|
|
|
266 |
|
|
|
266,343 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
913,934 |
|
| Airlines — 0.0% |
|
| Northwest Airlines, Inc., Term Loan, (6 mo. LIBOR + 1.23%), 3.30%, 09/10/18(a) |
|
|
|
|
|
|
120 |
|
|
|
119,615 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Auto Components — 0.5% |
|
| Dayco Products LLC, 2017 Term Loan B, (3 mo. LIBOR + 4.25%), 6.56%, 05/19/23 |
|
|
|
|
|
|
1,009 |
|
|
|
1,008,232 |
|
| GPX International Tire Corp., Term
Loan(a)(b)(i): |
|
|
|
|
|
|
|
|
|
|
|
|
| 12.25%, 03/30/12 |
|
|
|
|
|
|
1,098 |
|
|
|
— |
|
| PIK, 13.00%, 03/30/12(j) |
|
|
|
|
|
|
18 |
|
|
|
— |
|
| USI, Inc., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 5.33%, 05/16/24 |
|
|
|
|
|
|
1,594 |
|
|
|
1,589,803 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,598,035 |
|
| Auto Parts — 0.3% |
|
| Mavis Tire Express Services Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 03/20/25 |
|
|
|
|
|
|
1,427 |
|
|
|
1,412,619 |
|
| Delayed Draw Term Loan, 03/20/25 |
|
|
|
|
|
|
229 |
|
|
|
12,466 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,425,085 |
|
| Automobiles — 0.2% |
|
| CH Hold Corp., : |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor) 5.08%, 02/01/24 |
|
|
|
|
|
|
1,271 |
|
|
|
1,275,165 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 1.00% Floor) 9.33%, 02/01/25(a) |
|
|
|
|
|
|
245 |
|
|
|
247,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,522,615 |
|
| Banks — 0.3% |
|
| Capri Finance LLC, USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.59%, 11/01/24 |
|
|
|
|
|
|
1,629 |
|
|
|
1,620,671 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 12 |
|
2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Building Materials — 0.3% |
|
| Allied Universal HoldCo LLC, 2015 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor),
5.83%, 07/28/22 |
|
|
USD |
|
|
|
838 |
|
|
$
|
825,450 |
|
| USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (1 mo. LIBOR + 8.50%, 1.00% Floor),
10.58%, 07/28/23 |
|
|
|
|
|
|
645 |
|
|
|
636,738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,462,188 |
|
| Building Products — 1.4% |
|
| Continental Building Products LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.25%),
4.33%, 08/18/23 |
|
|
|
|
|
|
388 |
|
|
|
388,516 |
|
| CPG International, Inc., 2017 Term Loan, (6 mo. LIBOR + 3.75%, 1.00% Floor),
6.25%, 05/03/24 |
|
|
|
|
|
|
1,935 |
|
|
|
1,948,808 |
|
| Jeld-Wen, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR
+ 2.00%), 4.33%, 12/14/24 |
|
|
|
|
|
|
1,612 |
|
|
|
1,610,901 |
|
| Reece Ltd., 2018 Term Loan B, (3 mo. LIBOR + 2.00%), 4.34%, 07/02/25 |
|
|
|
|
|
|
1,010 |
|
|
|
1,008,738 |
|
| Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.59%, 12/19/23 |
|
|
|
|
|
|
2,707 |
|
|
|
2,712,096 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,669,059 |
|
| Capital Markets — 1.5% |
|
| Duff & Phelps Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.58%,
02/13/25 |
|
|
|
|
|
|
858 |
|
|
|
859,102 |
|
| EIG Management Company LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%), 6.06%, 02/22/25 |
|
|
|
|
|
|
1,699 |
|
|
|
1,708,977 |
|
| Fortress Investment Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 12/27/22 |
|
|
|
|
|
|
1,338 |
|
|
|
1,341,697 |
|
| Greenhill & Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor),
5.81%, 10/12/22 |
|
|
|
|
|
|
1,538 |
|
|
|
1,549,107 |
|
| GreenSky Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.38%, 03/29/25(a) |
|
|
|
|
|
|
1,072 |
|
|
|
1,077,674 |
|
| RPI Finance Trust, Term Loan B6, (3 mo. LIBOR + 2.00%), 4.33%, 03/27/23 |
|
|
|
|
|
|
1,681 |
|
|
|
1,684,588 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,221,145 |
|
| Chemicals — 4.7% |
|
| Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.33%, 01/31/24 |
|
|
|
|
|
|
3,339 |
|
|
|
3,347,534 |
|
| Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 4.08%, 06/01/24 |
|
|
|
|
|
|
3,569 |
|
|
|
3,569,918 |
|
| Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.08%, 05/16/24 |
|
|
|
|
|
|
1,440 |
|
|
|
1,437,209 |
|
| Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 04/03/25 |
|
|
|
|
|
|
899 |
|
|
|
896,296 |
|
| Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00%
Floor), 5.58%, 06/28/24 |
|
|
|
|
|
|
617 |
|
|
|
618,442 |
|
| Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 11/07/24 |
|
|
|
|
|
|
1,042 |
|
|
|
1,044,347 |
|
| Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.75%), 6.10%, 07/09/19 |
|
|
|
|
|
|
442 |
|
|
|
428,120 |
|
| Invictus US LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (2 mo. LIBOR + 3.00%), 5.20%, 03/28/25 |
|
|
|
|
|
|
1,644 |
|
|
|
1,649,193 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 8.83%, 03/25/26 |
|
|
|
|
|
|
430 |
|
|
|
429,462 |
|
| LTI Holdings, Inc.(k): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 2nd Lien Term Loan, 08/10/26 |
|
|
|
|
|
|
327 |
|
|
|
325,774 |
|
| 2018 Add On 1st Lien Term Loan, 08/10/25 |
|
|
|
|
|
|
1,036 |
|
|
|
1,038,590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Chemicals (continued) |
|
| MacDermid, Inc., : |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B6, (1 mo. LIBOR + 3.00%, 1.00% Floor) 5.08%, 06/07/23 |
|
|
USD |
|
|
|
1,319 |
|
|
$
|
1,322,061 |
|
| Term Loan B7, (1 mo. LIBOR + 2.50%, 1.00% Floor) 4.58%, 06/07/20 |
|
|
|
|
|
|
1,914 |
|
|
|
1,917,938 |
|
| Oxea Holding Drei GmbH, 2017 Term Loan B2, (1 mo. LIBOR + 3.50%), 5.63%, 10/11/24 |
|
|
|
|
|
|
3,944 |
|
|
|
3,961,441 |
|
| PQ Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.58%, 02/08/25 |
|
|
|
|
|
|
2,842 |
|
|
|
2,843,095 |
|
| Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor),
5.13%, 08/07/20 |
|
|
|
|
|
|
422 |
|
|
|
421,990 |
|
| Vectra Co., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 03/08/25 |
|
|
|
|
|
|
1,115 |
|
|
|
1,113,138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,364,548 |
|
| Commercial Services & Supplies — 8.2% |
|
| Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 4.21%, 11/10/23 |
|
|
|
|
|
|
3,237 |
|
|
|
3,241,420 |
|
| Aramark Services, Inc., 2018 Term Loan B3, (3 mo. LIBOR + 1.75%), 4.08%, 03/11/25 |
|
|
|
|
|
|
293 |
|
|
|
293,290 |
|
| Asurion LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.58%, 08/04/25 |
|
|
|
|
|
|
2,292 |
|
|
|
2,356,932 |
|
| 2017 Term Loan B4, (1 mo. LIBOR + 3.00%), 5.08%, 08/04/22 |
|
|
|
|
|
|
1,922 |
|
|
|
1,931,498 |
|
| 2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 5.08%, 11/03/23 |
|
|
|
|
|
|
2,998 |
|
|
|
3,006,815 |
|
| 2018 Term Loan B7, (1 mo. LIBOR + 6.50%), 5.08%, 11/03/24 |
|
|
|
|
|
|
1,180 |
|
|
|
1,182,950 |
|
| Camelot UK Holdco Ltd., 2017 Repriced Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.33%, 10/03/23 |
|
|
|
|
|
|
2,967 |
|
|
|
2,962,398 |
|
| Catalent Pharma Solutions, Inc., Term Loan B, (1 mo. LIBOR + 2.25%, 1.00% Floor),
4.33%, 05/20/24 |
|
|
|
|
|
|
2,274 |
|
|
|
2,280,688 |
|
| Creative Artists Agency LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.06%, 02/15/24 |
|
|
|
|
|
|
3,053 |
|
|
|
3,056,576 |
|
| Dealer Tire LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.63%, 12/22/21(a) |
|
|
|
|
|
|
808 |
|
|
|
780,074 |
|
| EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor),
6.08%, 05/09/25(a) |
|
|
|
|
|
|
584 |
|
|
|
587,650 |
|
| Garda World Security Corp., 2017 Term Loan, (PRIME + 2.50%), 5.80%, 05/24/24 |
|
|
|
|
|
|
914 |
|
|
|
916,843 |
|
| GFL Environmental, Inc., 2018 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor),
5.08%, 05/30/25 |
|
|
|
|
|
|
1,015 |
|
|
|
1,009,097 |
|
| Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor),
7.08%, 11/03/23 |
|
|
|
|
|
|
910 |
|
|
|
854,991 |
|
| KAR Auction Services, Inc., Term Loan B5, (1 mo. LIBOR + 2.50%), 4.63%, 03/09/23 |
|
|
|
|
|
|
2,527 |
|
|
|
2,534,475 |
|
| Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor),
4.83%, 05/02/22 |
|
|
|
|
|
|
2,774 |
|
|
|
2,779,859 |
|
| US Security Associates Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.83%,
07/14/23 |
|
|
|
|
|
|
2,386 |
|
|
|
2,386,497 |
|
| Verisure Holding AB, EUR Term Loan
B1E,
10/20/22(k) |
|
|
EUR |
|
|
|
1,000 |
|
|
|
1,151,487 |
|
| Verscend Holding Corp., 2018 Term Loan B,
08/27/25(k) |
|
|
USD |
|
|
|
4,798 |
|
|
|
4,825,175 |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
13 |
|
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Commercial Services & Supplies (continued) |
|
| West Corp., 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.08%, 10/10/24 |
|
|
USD |
|
|
|
3,362 |
|
|
$
|
3,345,953 |
|
| Wrangler Buyer Corp., Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 09/27/24 |
|
|
|
|
|
|
3,964 |
|
|
|
3,981,789 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45,466,457 |
|
| Commercial Services & Supplies — 0.1% |
|
| Employbridge LLC, 2018 Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.50%, 04/10/25 |
|
|
|
|
|
|
575 |
|
|
|
581,469 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Communications Equipment — 1.0% |
|
| Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.08%, 11/21/24 |
|
|
|
|
|
|
3,242 |
|
|
|
3,278,061 |
|
| Avaya, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 Term Loan B, (1 mo. LIBOR + 4.25%), 6.31%, 12/15/24 |
|
|
|
|
|
|
1,461 |
|
|
|
1,470,122 |
|
| CommScope, Inc., Term Loan B5, (1 mo. LIBOR + 2.00%), 4.07%, 12/29/22 |
|
|
|
|
|
|
356 |
|
|
|
357,270 |
|
| Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.58%,
11/01/24 |
|
|
|
|
|
|
657 |
|
|
|
656,131 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,761,584 |
|
| Construction & Engineering — 2.3% |
|
| AECOM, Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 02/22/25 |
|
|
|
|
|
|
727 |
|
|
|
727,221 |
|
| Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00%
Floor), 6.59%, 06/21/24 |
|
|
|
|
|
|
6,581 |
|
|
|
6,611,143 |
|
| Engility Corp., Term Loan B1, (3 mo. LIBOR + 2.25%), 4.33%, 08/12/20 |
|
|
|
|
|
|
196 |
|
|
|
195,699 |
|
| FrontDoor Inc, 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.63%, 08/14/25 |
|
|
|
|
|
|
743 |
|
|
|
743,929 |
|
| Pike Corp., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 03/23/25 |
|
|
|
|
|
|
1,107 |
|
|
|
1,114,249 |
|
| SRS Distribution, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.44%, 05/23/25 |
|
|
|
|
|
|
2,426 |
|
|
|
2,369,310 |
|
| USIC Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 12/08/23 |
|
|
|
|
|
|
917 |
|
|
|
921,143 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,682,694 |
|
| Construction Materials — 2.0% |
|
| Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.30%, 08/01/24 |
|
|
|
|
|
|
2,764 |
|
|
|
2,772,764 |
|
| Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 03/29/25 |
|
|
|
|
|
|
4,918 |
|
|
|
4,933,067 |
|
| GYP Holdings III Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 06/01/25 |
|
|
|
|
|
|
2,216 |
|
|
|
2,195,139 |
|
| Xella International GmbH, 2017 EUR Term Loan B, (EURIBOR + 4.00%), 4.00%, 04/11/24 |
|
|
EUR |
|
|
|
1,000 |
|
|
|
1,152,671 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,053,641 |
|
| Containers & Packaging — 1.4% |
|
| Berry Global, Inc., Term Loan Q, (3 mo. LIBOR + 2.00%), 4.19%, 10/01/22 |
|
|
USD |
|
|
|
4,180 |
|
|
|
4,180,704 |
|
| BWAY Holding Co., 2017 Term Loan B, (PRIME + 2.25%), 5.58%, 04/03/24 |
|
|
|
|
|
|
1,781 |
|
|
|
1,773,369 |
|
| Flex Acquisition Co., Inc., 2018 Incremental Term Loan, (3 mo. LIBOR + 3.25%), 5.75%, 06/29/25 |
|
|
|
|
|
|
1,848 |
|
|
|
1,845,690 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,799,763 |
|
| Distributors — 1.0% |
|
| American Builders & Contractors Supply Co., Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%),
4.08%, 10/31/23 |
|
|
|
|
|
|
2,931 |
|
|
|
2,916,457 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Distributors (continued) |
|
| TriMark USA LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.58%, 08/28/24 |
|
|
USD |
|
|
|
2,456 |
|
|
$
|
2,451,683 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,368,140 |
|
| Diversified Consumer Services — 4.3% |
|
| AI Aqua Merger Sub, Inc., 2017 Incremental Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.33%, 12/13/23(a) |
|
|
|
|
|
|
2,079 |
|
|
|
2,063,693 |
|
| Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 07/12/24 |
|
|
|
|
|
|
1,156 |
|
|
|
1,153,372 |
|
| Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (PRIME + 0.75%), 3.83%, 11/07/23 |
|
|
|
|
|
|
2,918 |
|
|
|
2,915,505 |
|
| CHG PPC Parent LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 03/31/25(a) |
|
|
|
|
|
|
695 |
|
|
|
692,394 |
|
| Equian LLC, Add on Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.32%, 05/20/24 |
|
|
|
|
|
|
2,223 |
|
|
|
2,221,954 |
|
| Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.94%, 07/12/25(a) |
|
|
|
|
|
|
1,402 |
|
|
|
1,405,505 |
|
| J.D. Power and Associates, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%, 1.00% Floor),
6.33%, 09/07/23 |
|
|
|
|
|
|
1,396 |
|
|
|
1,404,199 |
|
| Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%),
4.31%, 05/15/24 |
|
|
|
|
|
|
1,689 |
|
|
|
1,679,687 |
|
| Serta Simmons Bedding LLC, : |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor) 5.58%, 11/08/23 |
|
|
|
|
|
|
2,783 |
|
|
|
2,381,541 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor) 10.07%, 11/08/24 |
|
|
|
|
|
|
944 |
|
|
|
650,927 |
|
| ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.58%, 11/08/23 |
|
|
|
|
|
|
962 |
|
|
|
961,960 |
|
| Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.59%, 11/14/22 |
|
|
|
|
|
|
1,162 |
|
|
|
1,164,310 |
|
| Uber Technologies, 2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.08%, 04/04/25 |
|
|
|
|
|
|
1,300 |
|
|
|
1,308,125 |
|
| Wand Intermediate I LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.08%, 09/17/21 |
|
|
|
|
|
|
1,365 |
|
|
|
1,364,576 |
|
| Weight Watchers International, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.75%),
7.09%, 11/29/24 |
|
|
|
|
|
|
2,765 |
|
|
|
2,794,180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,161,928 |
|
| Diversified Financial Services — 2.0% |
|
| AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 04/04/24 |
|
|
|
|
|
|
3,577 |
|
|
|
3,586,977 |
|
| CRCI Holdings Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.58%, 07/31/25 |
|
|
|
|
|
|
733 |
|
|
|
734,224 |
|
| CVS Holdings I LP, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.08%, 02/06/25 |
|
|
|
|
|
|
267 |
|
|
|
266,125 |
|
| Edelman Financial Center LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.59%, 07/21/25 |
|
|
|
|
|
|
785 |
|
|
|
788,682 |
|
| EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 6.33%, 02/07/25 |
|
|
|
|
|
|
1,672 |
|
|
|
1,671,408 |
|
| Global Business Travel Holdings Limited, 2018 Term Loan B, (3 mo. LIBOR + 2.50%),
4.84%, 07/20/25 |
|
|
|
|
|
|
425 |
|
|
|
426,594 |
|
| Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor),
5.58%, 07/03/24 |
|
|
|
|
|
|
1,649 |
|
|
|
1,658,435 |
|
| Oryx Southern Delaware Holdings LLC, Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.33%, 02/09/25 |
|
|
|
|
|
|
1,207 |
|
|
|
1,180,820 |
|
| SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 6.59%, 07/30/25(a) |
|
|
|
|
|
|
732 |
|
|
|
739,686 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,052,951 |
|
|
|
|
| 14 |
|
2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Diversified Telecommunication Services — 5.7% |
|
| CenturyLink, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan A, (1 mo. LIBOR + 2.75%), 4.83%, 11/01/22 |
|
|
USD |
|
|
|
1,073 |
|
|
$
|
1,070,355 |
|
| 2017 Term Loan B, 01/31/25(k) |
|
|
|
|
|
|
7,284 |
|
|
|
7,196,699 |
|
| Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.08%, 10/04/23 |
|
|
|
|
|
|
415 |
|
|
|
408,295 |
|
| Frontier Communications Corp., Delayed Draw Term Loan A, (1 mo. LIBOR + 2.75%),
4.83%, 03/31/21 |
|
|
|
|
|
|
2,626 |
|
|
|
2,547,523 |
|
| Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.08%, 05/16/24 |
|
|
|
|
|
|
1,500 |
|
|
|
1,503,600 |
|
| Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.32%,
02/22/24 |
|
|
|
|
|
|
2,862 |
|
|
|
2,864,750 |
|
| MTN Infrastructure TopCo, Inc, 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.08%, 11/15/24 |
|
|
|
|
|
|
1,926 |
|
|
|
1,933,986 |
|
| Sprint Communications, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 4.63%, 02/02/24 |
|
|
|
|
|
|
2,869 |
|
|
|
2,868,688 |
|
| TDC A/S: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan, (EURIBOR + 3.50%), 3.50%, 05/31/25 |
|
|
EUR |
|
|
|
1,000 |
|
|
|
1,163,141 |
|
| USD Term Loan, (3 mo. LIBOR + 3.50%), 5.84%, 05/31/25 |
|
|
USD |
|
|
|
1,620 |
|
|
|
1,632,150 |
|
| Telenet Financing USD LLC, Term Loan AN, (1 mo. LIBOR + 2.25%), 4.31%, 08/15/26 |
|
|
|
|
|
|
4,305 |
|
|
|
4,249,982 |
|
| Telesat Canada, Term Loan B4, (3 mo. LIBOR + 2.50%), 4.84%, 11/17/23 |
|
|
|
|
|
|
816 |
|
|
|
816,590 |
|
| Virgin Media Investment Holdings Ltd., Term Loan L, (1 mo. GBP LIBOR + 3.25%), 3.97%,
01/15/27 |
|
|
GBP |
|
|
|
1,000 |
|
|
|
1,284,069 |
|
| Zayo Group LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Incremental Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.33%, 01/19/24 |
|
|
USD |
|
|
|
290 |
|
|
|
290,957 |
|
| 2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 4.08%, 01/19/21 |
|
|
|
|
|
|
2,071 |
|
|
|
2,072,474 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,903,259 |
|
| Electric Utilities — 1.1% |
|
| Dayton Power & Light Co. (The), Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%,
08/24/22 |
|
|
|
|
|
|
516 |
|
|
|
515,417 |
|
| TEX Operations Co. LLC, Exit Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 08/04/23 |
|
|
|
|
|
|
2,031 |
|
|
|
2,026,715 |
|
| Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 11/10/18(a)(k) |
|
|
|
|
|
|
1,710 |
|
|
|
— |
|
| Vistra Energy Corp., 1st Lien Term Loan B3, (1 mo. LIBOR + 2.00%), 4.08%, 12/31/25 |
|
|
|
|
|
|
3,135 |
|
|
|
3,127,163 |
|
| Vistra Operations Co. LLC, 2016 Term Loan B2, (1 mo. LIBOR + 2.25%), 4.33%, 12/14/23 |
|
|
|
|
|
|
367 |
|
|
|
366,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,035,940 |
|
| Electrical Equipment — 1.1% |
|
| EXC Holdings III Corp., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor),
5.83%, 12/02/24 |
|
|
|
|
|
|
915 |
|
|
|
923,410 |
|
| Gates Global LLC, 2017 Repriced Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor),
5.08%, 04/01/24 |
|
|
|
|
|
|
3,976 |
|
|
|
3,993,891 |
|
| MLN US HoldCo LLC, 2018 1st Lien Term Loan,
07/11/25(k) |
|
|
|
|
|
|
1,038 |
|
|
|
1,041,892 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,959,193 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Energy Equipment & Services — 1.3% |
|
| Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor),
8.08%, 03/01/24 |
|
|
USD |
|
|
|
2,550 |
|
|
$
|
2,463,938 |
|
| GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor),
5.58%,
02/12/25(a) |
|
|
|
|
|
|
1,820 |
|
|
|
1,829,100 |
|
| Ocean Rig UDW, Inc., Term Loan, (Fixed + 8.00%), 8.00%, 09/20/24 |
|
|
|
|
|
|
102 |
|
|
|
107,101 |
|
| Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor),
9.82%,
11/08/22(a) |
|
|
|
|
|
|
845 |
|
|
|
861,900 |
|
| Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor),
8.33%, 02/21/21 |
|
|
|
|
|
|
622 |
|
|
|
579,990 |
|
| Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 1.43%), 3.51%, 07/13/20 |
|
|
|
|
|
|
1,198 |
|
|
|
1,181,218 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,023,247 |
|
| Equity Real Estate Investment Trusts (REITs) — 2.8% |
|
| Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor),
4.58%, 03/24/24 |
|
|
|
|
|
|
762 |
|
|
|
762,057 |
|
| DTZ U.S. Borrower LLC, 2018 Add On Term Loan B, (1 mo. LIBOR + 3.25%), 5.32%, 08/21/25 |
|
|
|
|
|
|
2,719 |
|
|
|
2,708,804 |
|
| Iron Mountain, Inc., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 01/02/26 |
|
|
|
|
|
|
845 |
|
|
|
832,857 |
|
| MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.00%),
4.08%, 03/21/25 |
|
|
|
|
|
|
4,621 |
|
|
|
4,618,233 |
|
| RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.34%, 05/11/24 |
|
|
|
|
|
|
1,353 |
|
|
|
1,350,507 |
|
| VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 4.07%, 12/20/24 |
|
|
|
|
|
|
5,382 |
|
|
|
5,377,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,649,908 |
|
| Food & Staples Retailing — 1.0% |
|
| Albertsons LLC, 2017 Term Loan B4, (1 mo. LIBOR + 2.75%), 4.83%, 08/25/21 |
|
|
|
|
|
|
843 |
|
|
|
840,834 |
|
| Hearthside Food Solutions LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.06%, 05/23/25 |
|
|
|
|
|
|
586 |
|
|
|
580,506 |
|
| Hostess Brands LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 4.33%, 08/03/22 |
|
|
|
|
|
|
2,431 |
|
|
|
2,422,276 |
|
| US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 06/27/23 |
|
|
|
|
|
|
1,606 |
|
|
|
1,603,001 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,446,617 |
|
| Food Products — 2.4% |
|
| CFSP Acquisition Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.07%, 03/20/25 |
|
|
|
|
|
|
541 |
|
|
|
535,438 |
|
| Chobani LLC, 2017 Term Loan B, 10/10/23(k) |
|
|
|
|
|
|
3,285 |
|
|
|
3,115,380 |
|
| Dole Food Co., Inc., 2017 Term Loan B, (PRIME + 1.75%), 4.82%, 04/06/24 |
|
|
|
|
|
|
1,033 |
|
|
|
1,031,206 |
|
| JBS USA LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.83%, 10/30/22 |
|
|
|
|
|
|
5,041 |
|
|
|
5,035,877 |
|
| Pinnacle Foods Finance LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 02/02/24 |
|
|
|
|
|
|
1,110 |
|
|
|
1,109,909 |
|
| Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 4.83%, 02/05/23 |
|
|
|
|
|
|
2,757 |
|
|
|
2,765,377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,593,187 |
|
| Gas Utilities — 0.3% |
|
| AL Midcoast Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 5.50%), 7.84%, 07/31/25 |
|
|
|
|
|
|
1,435 |
|
|
|
1,444,371 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
15 |
|
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Health Care Equipment & Supplies — 3.4% |
|
| CryoLife, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 11/14/24 |
|
|
USD |
|
|
|
1,831 |
|
|
$
|
1,839,954 |
|
| DJO Finance LLC, 2015 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 06/08/20 |
|
|
|
|
|
|
6,591 |
|
|
|
6,586,574 |
|
| Immucor, Inc., Extended Term Loan B, (2 mo. LIBOR + 5.00%, 1.00% Floor),
7.17%, 06/15/21 |
|
|
|
|
|
|
3,562 |
|
|
|
3,601,172 |
|
| Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 5.20%, 09/24/24 |
|
|
|
|
|
|
1,455 |
|
|
|
1,441,897 |
|
| Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.32%, 06/30/25 |
|
|
|
|
|
|
5,393 |
|
|
|
5,390,018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,859,615 |
|
| Health Care Providers & Services — 6.8% |
|
| Acadia Healthcare Co., Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 Term Loan B3, (1 mo. LIBOR + 2.50%), 4.58%, 02/11/22 |
|
|
|
|
|
|
442 |
|
|
|
443,854 |
|
| 2018 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.58%, 02/16/23 |
|
|
|
|
|
|
2,056 |
|
|
|
2,065,264 |
|
| AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor),
6.58%, 06/30/25 |
|
|
|
|
|
|
828 |
|
|
|
833,175 |
|
| Auris Luxembourg III Sarl, 2017 Term Loan B7, (3 mo. LIBOR + 3.00%, 1.00% Floor),
5.33%, 01/17/22(a) |
|
|
|
|
|
|
2,407 |
|
|
|
2,425,398 |
|
| CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor),
5.34%, 06/07/23 |
|
|
|
|
|
|
3,487 |
|
|
|
3,493,633 |
|
| Concentra Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor),
4.84%, 06/01/22(a) |
|
|
|
|
|
|
1,895 |
|
|
|
1,902,106 |
|
| DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 06/24/21 |
|
|
|
|
|
|
826 |
|
|
|
828,907 |
|
| DentalCorp Perfect Smile ULC: |
|
|
|
|
|
|
|
|
|
|
|
|
| Delayed Draw Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.83% 06/06/25 |
|
|
|
|
|
|
217 |
|
|
|
35,919 |
|
| 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.83%, 06/06/25 |
|
|
|
|
|
|
869 |
|
|
|
871,810 |
|
| Diplomat Pharmacy, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor),
6.58%, 12/20/24 |
|
|
|
|
|
|
1,004 |
|
|
|
1,004,460 |
|
| DuPage Medical Group Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 Term Loan, (1 mo. LIBOR + 2.75%), 4.81%, 08/15/24 |
|
|
|
|
|
|
853 |
|
|
|
839,868 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.08%, 08/15/25 |
|
|
|
|
|
|
395 |
|
|
|
395,000 |
|
| Envision Healthcare Corp., 2016 Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 12/01/23 |
|
|
|
|
|
|
3,159 |
|
|
|
3,154,890 |
|
| Explorer Holdings, Inc., 2016 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor),
6.08%, 05/02/23 |
|
|
|
|
|
|
1,069 |
|
|
|
1,074,436 |
|
| Gentiva Health Services, Inc.(a): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 6.13%, 07/02/25 |
|
|
|
|
|
|
1,092 |
|
|
|
1,098,660 |
|
| 2018 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 9.38%, 07/02/26 |
|
|
|
|
|
|
267 |
|
|
|
271,048 |
|
| HC Group Holdings III, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.83%, 04/07/22 |
|
|
|
|
|
|
1,412 |
|
|
|
1,417,315 |
|
| HCA, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 Term Loan B10, (1 mo. LIBOR + 2.00%), 4.08%, 03/13/25 |
|
|
|
|
|
|
1,367 |
|
|
|
1,373,408 |
|
| Term Loan B11, (1 mo. LIBOR + 1.75%), 3.83%, 03/18/23 |
|
|
|
|
|
|
1,806 |
|
|
|
1,813,059 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Health Care Providers & Services (continued) |
|
| Lifescan Global Corp., 2018 1st Lien Term Loan,
09/27/24(a)(k) |
|
|
USD |
|
|
|
361 |
|
|
$
|
350,170 |
|
| MPH Acquisition Holdings LLC, 2016 Term Loan B,
06/07/23(k) |
|
|
|
|
|
|
3,183 |
|
|
|
3,180,439 |
|
| National Mentor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.00%), 5.33%, 01/31/21 |
|
|
|
|
|
|
478 |
|
|
|
479,148 |
|
| nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor),
6.58%, 10/20/22 |
|
|
|
|
|
|
1,791 |
|
|
|
1,792,157 |
|
| NVA Holdings, Inc., Term Loan B3, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 02/02/25 |
|
|
|
|
|
|
1,827 |
|
|
|
1,818,949 |
|
| Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor),
4.83%, 02/06/24 |
|
|
|
|
|
|
1,905 |
|
|
|
1,817,858 |
|
| Vizient, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 02/13/23 |
|
|
|
|
|
|
613 |
|
|
|
612,663 |
|
| WP CityMD Bidco LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor),
5.83%, 06/07/24 |
|
|
|
|
|
|
1,053 |
|
|
|
1,049,314 |
|
| Zotec Partners LLC, 2018 Term Loan,
(1 mo. LIBOR + 5.00%, 1.00% Floor), 7.08%, 02/14/24(a) |
|
|
|
|
|
|
1,232 |
|
|
|
1,230,710 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,673,618 |
|
| Health Care Services — 0.4% |
|
| Ivory Merger Sub, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.84%,
03/07/25 |
|
|
|
|
|
|
1,451 |
|
|
|
1,439,577 |
|
| Sound Inpatient Physicians: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 06/27/25 |
|
|
|
|
|
|
704 |
|
|
|
705,176 |
|
| 2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 8.83%, 06/26/26 |
|
|
|
|
|
|
382 |
|
|
|
382,478 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,527,231 |
|
| Health Care Technology — 0.9% |
|
| Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%,
03/01/24 |
|
|
|
|
|
|
2,476 |
|
|
|
2,476,415 |
|
| Press Ganey Holdings, Inc., : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor) 4.83%, 10/23/23 |
|
|
|
|
|
|
1,917 |
|
|
|
1,919,993 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 1.00% Floor) 8.58%, 10/21/24(a) |
|
|
|
|
|
|
222 |
|
|
|
224,698 |
|
| Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.33%, 03/07/24 |
|
|
|
|
|
|
499 |
|
|
|
500,169 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,121,275 |
|
| Hotels, Restaurants & Leisure — 8.2% |
|
| Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 4.10%, 10/19/24 |
|
|
|
|
|
|
1,382 |
|
|
|
1,377,630 |
|
| Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 4.21%, 09/15/23 |
|
|
|
|
|
|
1,846 |
|
|
|
1,854,326 |
|
| Bronco Midstream Funding LLC, Term Loan B, (3 mo. LIBOR + 3.50%), 5.57%, 08/14/23 |
|
|
|
|
|
|
705 |
|
|
|
708,241 |
|
| Burger King Newco Unlimited Liability Co., Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor),
4.33%, 02/16/24 |
|
|
|
|
|
|
5,572 |
|
|
|
5,569,055 |
|
| Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%),
4.83%, 12/22/24 |
|
|
|
|
|
|
4,432 |
|
|
|
4,444,183 |
|
| CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 08/08/21 |
|
|
|
|
|
|
1,164 |
|
|
|
1,168,509 |
|
| CEC Entertainment, Inc., Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.33%, 02/14/21 |
|
|
|
|
|
|
578 |
|
|
|
542,773 |
|
|
|
|
| 16 |
|
2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Hotels, Restaurants & Leisure (continued) |
|
| ESH Hospitality, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 08/30/23 |
|
|
USD |
|
|
|
3,040 |
|
|
$
|
3,034,327 |
|
| Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.08%, 11/30/23 |
|
|
|
|
|
|
222 |
|
|
|
221,428 |
|
| Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%),
5.47%, 12/01/23 |
|
|
|
|
|
|
150 |
|
|
|
150,609 |
|
| GVC Holdings PLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 EUR Term Loan, (EURIBOR + 2.75%), 2.75%, 03/29/24 |
|
|
EUR |
|
|
|
991 |
|
|
|
1,144,307 |
|
| 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.58%, 03/29/24 |
|
|
USD |
|
|
|
943 |
|
|
|
942,345 |
|
| Hilton Worldwide Finance LLC, Term Loan B2, (1 mo. LIBOR + 1.75%), 3.81%, 10/25/23 |
|
|
|
|
|
|
1,562 |
|
|
|
1,566,769 |
|
| IRB Holding Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor),
5.32%, 02/05/25 |
|
|
|
|
|
|
1,598 |
|
|
|
1,604,904 |
|
| KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 04/03/25 |
|
|
|
|
|
|
1,430 |
|
|
|
1,427,577 |
|
| Lakeland Tours LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor),
6.34%, 12/15/24 |
|
|
|
|
|
|
1,055 |
|
|
|
1,059,901 |
|
| Marriott Ownership Resorts, Inc., 2018 Term Loan B,
08/29/25(k) |
|
|
|
|
|
|
1,225 |
|
|
|
1,226,531 |
|
| Penn National Gaming, Inc., 2018 1st Lien Term Loan B, 08/14/25(k) |
|
|
|
|
|
|
605 |
|
|
|
605,756 |
|
| Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor),
4.83%, 04/29/24 |
|
|
|
|
|
|
1,439 |
|
|
|
1,426,954 |
|
| Sabre GLBL, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 02/22/24 |
|
|
|
|
|
|
2,546 |
|
|
|
2,548,339 |
|
| Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%),
4.83%, 08/14/24 |
|
|
|
|
|
|
3,886 |
|
|
|
3,874,389 |
|
| Stars Group Holdings BV, 2018 Incremental Term Loan, (3 mo. LIBOR + 3.50%), 5.83%, 07/10/25 |
|
|
|
|
|
|
6,420 |
|
|
|
6,467,701 |
|
| Tackle S.A.R.L, 2017 EUR Term Loan, 08/08/22(k) |
|
|
EUR |
|
|
|
1,000 |
|
|
|
1,157,604 |
|
| Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%,
05/30/25 |
|
|
USD |
|
|
|
1,585 |
|
|
|
1,586,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45,710,743 |
|
| Household Products — 1.1% |
|
| Energizer Holdings, Inc., 2018 Term Loan B,
06/20/25(k) |
|
|
|
|
|
|
709 |
|
|
|
712,545 |
|
| Mastronardi Produce Ltd., Term Loan B, (3 mo. LIBOR + 3.25%), 5.33%, 05/01/25(a) |
|
|
|
|
|
|
590 |
|
|
|
592,950 |
|
| SIWF Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 6.31%, 06/15/25 |
|
|
|
|
|
|
880 |
|
|
|
881,100 |
|
| Spectrum Brands, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.35%, 06/23/22 |
|
|
|
|
|
|
3,806 |
|
|
|
3,806,937 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,993,532 |
|
| Independent Power and Renewable Electricity Producers — 2.5% |
|
| AES Corp., 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 4.07%, 05/31/22 |
|
|
|
|
|
|
1,057 |
|
|
|
1,055,331 |
|
| Aria Energy Operating LLC, Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.58%, 05/27/22(a) |
|
|
|
|
|
|
1,095 |
|
|
|
1,098,017 |
|
| Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%),
4.58%, 01/15/25 |
|
|
|
|
|
|
1,253 |
|
|
|
1,254,305 |
|
| Calpine Corp., Term Loan B6, (3 mo. LIBOR + 2.50%), 4.84%, 01/15/23 |
|
|
|
|
|
|
1,828 |
|
|
|
1,830,596 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Independent Power and Renewable Electricity Producers (continued) |
|
| Compass Power Generation LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor),
5.58%, 12/20/24 |
|
|
USD |
|
|
|
1,176 |
|
|
$
|
1,179,415 |
|
| EIF Channelview Cogeneration LLC, 2018 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor),
6.33%, 05/03/25 |
|
|
|
|
|
|
470 |
|
|
|
473,525 |
|
| Granite Acquisition, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.84%, 12/19/21 |
|
|
|
|
|
|
3,187 |
|
|
|
3,205,977 |
|
| Term Loan C, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.83%, 12/19/21 |
|
|
|
|
|
|
543 |
|
|
|
546,612 |
|
| Kestrel Acquisition LLC/Hunterstown Generation Facility, 2018 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00%
Floor), 6.33%, 06/02/25 |
|
|
|
|
|
|
1,225 |
|
|
|
1,234,187 |
|
| Nautilus Power LLC, Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.33%, 05/16/24 |
|
|
|
|
|
|
841 |
|
|
|
842,267 |
|
| Terra-Gen Finance Co. LLC, Term Loan B, (1 mo. LIBOR +
4.25%, 1.00% Floor), 6.33%, 12/09/21(a) |
|
|
|
|
|
|
1,284 |
|
|
|
1,136,010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,856,242 |
|
| Industrial Conglomerates — 1.0% |
|
| Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor),
6.31%, 11/30/23 |
|
|
|
|
|
|
4,056 |
|
|
|
4,050,482 |
|
| Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor),
7.19%, 11/28/21(a) |
|
|
|
|
|
|
1,549 |
|
|
|
1,518,521 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,569,003 |
|
| Insurance — 3.0% |
|
| Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.07%, 05/09/25 |
|
|
|
|
|
|
2,989 |
|
|
|
2,987,798 |
|
| AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor),
4.83%, 01/25/24 |
|
|
|
|
|
|
2,652 |
|
|
|
2,655,115 |
|
| AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR
+ 3.25%), 5.33%, 10/22/24 |
|
|
|
|
|
|
1,107 |
|
|
|
1,106,099 |
|
| Davis Vision, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 12/02/24 |
|
|
|
|
|
|
1,842 |
|
|
|
1,836,220 |
|
| Hub International Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 5.16%, 04/25/25 |
|
|
|
|
|
|
1,618 |
|
|
|
1,615,880 |
|
| Sedgwick Claims Management Services, Inc., : |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor) 7.83%, 03/01/21 |
|
|
|
|
|
|
2,883 |
|
|
|
2,875,514 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%, 1.00% Floor) 7.88%, 02/28/22 |
|
|
|
|
|
|
2,540 |
|
|
|
2,546,350 |
|
| Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.33%, 06/22/23 |
|
|
|
|
|
|
827 |
|
|
|
831,308 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,454,284 |
|
| Internet & Direct Marketing Retail — 0.3% |
|
| Harbor Freight Tools USA, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.58%, 08/18/23 |
|
|
|
|
|
|
1,451 |
|
|
|
1,448,523 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Internet Software & Services — 2.0% |
|
| Go Daddy Operating Co. LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 4.33%, 02/15/24 |
|
|
|
|
|
|
3,739 |
|
|
|
3,748,431 |
|
| GTT Communications, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.83 05/31/25 |
|
|
|
|
|
|
291 |
|
|
|
285,074 |
|
| Inmar Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor),
5.58%, 05/01/24 |
|
|
|
|
|
|
1,030 |
|
|
|
1,032,606 |
|
| Intralinks, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 6.08%, 11/11/24 |
|
|
|
|
|
|
1,110 |
|
|
|
1,114,373 |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
17 |
|
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Internet Software & Services (continued) |
|
| Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (2 mo. LIBOR + 3.00%, 1.00% Floor), 5.18%,
11/03/23 |
|
|
USD |
|
|
|
3,301 |
|
|
$
|
3,277,978 |
|
| TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor),
5.83%, 05/06/24 |
|
|
|
|
|
|
1,547 |
|
|
|
1,528,124 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,986,586 |
|
| IT Services — 6.9% |
|
| Access CIG LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.83%, 02/27/25 |
|
|
|
|
|
|
527 |
|
|
|
528,296 |
|
| 2018 2nd Lien Incremental Term Loan, (1 mo. LIBOR + 7.75%), 9.83%, 02/27/26 |
|
|
|
|
|
|
17 |
|
|
|
17,035 |
|
| 2018 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 9.83%, 02/27/26 |
|
|
|
|
|
|
227 |
|
|
|
227,217 |
|
| 2018 Incremental Term Loan, (1 mo. LIBOR + 3.75%), 5.83%, 02/27/25 |
|
|
|
|
|
|
74 |
|
|
|
74,046 |
|
| Altran Technologies SA, 1st Lien Term Loan, (3 mo. LIBOR + 2.25%), 4.57%, 03/20/25 |
|
|
|
|
|
|
678 |
|
|
|
675,926 |
|
| Blackhawk Network Holdings, Inc, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.18%,
06/15/25 |
|
|
|
|
|
|
1,654 |
|
|
|
1,658,800 |
|
| First Data Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2024 Term Loan, (1 mo. LIBOR + 2.00%), 4.07%, 04/26/24 |
|
|
|
|
|
|
11,144 |
|
|
|
11,124,708 |
|
| Term Loan A, (1 mo. LIBOR + 1.75%), 3.82%, 06/02/20 |
|
|
|
|
|
|
603 |
|
|
|
602,415 |
|
| Flexential Intermediate Corp., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.83%, 08/01/24 |
|
|
|
|
|
|
1,360 |
|
|
|
1,331,851 |
|
| Greeneden US Holdings II LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.58%, 12/01/23 |
|
|
|
|
|
|
2,240 |
|
|
|
2,243,415 |
|
| Learning Care Group, Inc., 2018 1st Lien Term Loan,
03/13/25(k) |
|
|
|
|
|
|
282 |
|
|
|
281,903 |
|
| Optiv Security, Inc., : |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor) 5.31%, 02/01/24 |
|
|
|
|
|
|
3,349 |
|
|
|
3,240,295 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 1.00% Floor) 9.31%, 02/01/25 |
|
|
|
|
|
|
782 |
|
|
|
753,231 |
|
| Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor),
9.59%, 08/01/25 |
|
|
|
|
|
|
1,620 |
|
|
|
1,587,600 |
|
| TKC Holdings, Inc., : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor) 5.83%, 02/01/23 |
|
|
|
|
|
|
2,301 |
|
|
|
2,299,254 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor) 10.08%, 02/01/24 |
|
|
|
|
|
|
1,603 |
|
|
|
1,597,854 |
|
| Trans Union LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 Term Loan B4, (1 mo. LIBOR + 2.00%), 4.08%, 06/19/25 |
|
|
|
|
|
|
18 |
|
|
|
18,056 |
|
| Term Loan B3, (1 mo. LIBOR + 2.00%), 4.08%, 04/10/23 |
|
|
|
|
|
|
5,138 |
|
|
|
5,147,563 |
|
| Vantiv LLC, 2018 1st Lien Term Loan B3, (1 mo. LIBOR + 1.75%), 3.81%, 10/14/23 |
|
|
|
|
|
|
1,012 |
|
|
|
1,012,224 |
|
| WEX, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.25%), 4.33%, 06/30/23 |
|
|
|
|
|
|
3,913 |
|
|
|
3,919,634 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,341,323 |
|
| Leisure Products — 0.2% |
|
| MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor),
5.83%, 06/19/24(a) |
|
|
|
|
|
|
1,026 |
|
|
|
1,032,354 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Life Sciences Tools & Services — 0.2% |
|
| Albany Molecular Research, Inc., : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor) , 5.33%, 08/30/24 |
|
|
USD |
|
|
|
558 |
|
|
$
|
557,513 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 1.00% Floor), 9.08%, 08/30/25 |
|
|
|
|
|
|
395 |
|
|
|
394,755 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
952,268 |
|
| Machinery — 2.3% |
|
| Clark Equipment Co., 2018 Term Loan B, (3 mo. LIBOR + 2.00%), 4.33%, 05/18/24 |
|
|
|
|
|
|
887 |
|
|
|
886,311 |
|
| Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor),
4.83%, 01/31/24(a) |
|
|
|
|
|
|
188 |
|
|
|
188,442 |
|
| Gardner Denver, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 07/30/24 |
|
|
|
|
|
|
2,521 |
|
|
|
2,527,279 |
|
| Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.58%, 08/05/24 |
|
|
|
|
|
|
1,627 |
|
|
|
1,630,464 |
|
| Infiltrator Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor),
5.33%, 05/27/22 |
|
|
|
|
|
|
1,949 |
|
|
|
1,953,982 |
|
| Rexnord LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.06%, 08/21/24 |
|
|
|
|
|
|
1,077 |
|
|
|
1,079,977 |
|
| Tecomet, Inc., 2017 Repriced Term Loan, (PRIME + 2.50%), 5.58%, 05/01/24 |
|
|
|
|
|
|
1,944 |
|
|
|
1,948,523 |
|
| Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 03/28/25 |
|
|
|
|
|
|
2,572 |
|
|
|
2,434,034 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,649,012 |
|
| Media — 10.9% |
|
| Altice Financing SA: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.81%, 01/31/26 |
|
|
|
|
|
|
717 |
|
|
|
691,343 |
|
| 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.81%, 07/15/25 |
|
|
|
|
|
|
244 |
|
|
|
236,290 |
|
| Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 6.07%, 08/14/26 |
|
|
|
|
|
|
4,561 |
|
|
|
4,433,110 |
|
| Altice US Finance I Corp., 2017 Term Loan, (1 mo. LIBOR + 2.25%), 4.33%, 07/28/25 |
|
|
|
|
|
|
2,970 |
|
|
|
2,963,909 |
|
| Charter Communications Operating LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan A2, (1 mo. LIBOR + 1.50%), 3.58%, 03/31/23 |
|
|
|
|
|
|
2,796 |
|
|
|
2,793,364 |
|
| 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 04/30/25 |
|
|
|
|
|
|
4,959 |
|
|
|
4,959,370 |
|
| CSC Holdings LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 4.31%, 07/17/25 |
|
|
|
|
|
|
3,955 |
|
|
|
3,937,450 |
|
| 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.56%, 01/25/26 |
|
|
|
|
|
|
1,691 |
|
|
|
1,691,185 |
|
| Getty Images, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.58%, 10/18/19 |
|
|
|
|
|
|
408 |
|
|
|
397,022 |
|
| Gray Television, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.33%, 02/07/24 |
|
|
|
|
|
|
607 |
|
|
|
607,788 |
|
| Hubbard Radio LLC, 2015 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 03/28/25 |
|
|
|
|
|
|
229 |
|
|
|
228,562 |
|
| iHeartCommunications, Inc.(b)(i): |
|
|
|
|
|
|
|
|
|
|
|
|
| Extended Term Loan E, (3 mo. LIBOR + 7.50%), 9.19%, 07/30/19 |
|
|
|
|
|
|
515 |
|
|
|
382,872 |
|
| Term Loan D, (3 mo. LIBOR + 6.75%), 8.44%, 01/30/19 |
|
|
|
|
|
|
4,071 |
|
|
|
3,029,301 |
|
| Intelsat Jackson Holdings SA, 2017 Term Loan B4, (1 mo. LIBOR + 4.50%, 1.00% Floor),
6.56%, 01/02/24 |
|
|
|
|
|
|
1,828 |
|
|
|
1,915,233 |
|
| Learfield Communications LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 12/01/23(a) |
|
|
|
|
|
|
1,887 |
|
|
|
1,901,467 |
|
| 2017 1st Lien Term Loan, 12/01/23(a)(k) |
|
|
|
|
|
|
624 |
|
|
|
628,117 |
|
|
|
|
| 18 |
|
2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Media (continued) |
|
| Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.31%, 03/24/25 |
|
|
USD |
|
|
|
1,219 |
|
|
$
|
1,217,476 |
|
| Live Nation Entertainment, Inc., Term Loan B3, (1 mo. LIBOR + 1.75%), 3.88%, 10/31/23 |
|
|
|
|
|
|
477 |
|
|
|
476,395 |
|
| MCC Iowa LLC, Term Loan N, (1 Week LIBOR + 1.75%), 3.71%, 02/15/24 |
|
|
|
|
|
|
1,078 |
|
|
|
1,073,390 |
|
| Meredith Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 01/31/25 |
|
|
|
|
|
|
1,173 |
|
|
|
1,175,324 |
|
| MH Sub I LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.83%, 09/13/24 |
|
|
|
|
|
|
841 |
|
|
|
843,917 |
|
| Mission Broadcasting, Inc., 2017 Term Loan B2, (3 mo. LIBOR + 2.50%), 4.58%, 01/17/24 |
|
|
|
|
|
|
167 |
|
|
|
167,567 |
|
| Nexstar Broadcasting, Inc., 2017 Term Loan B2, (3 mo. LIBOR + 2.50%), 4.58%, 01/17/24 |
|
|
|
|
|
|
1,227 |
|
|
|
1,231,366 |
|
| Numericable Group SA, Term Loan B12, (1 mo. LIBOR + 3.69%), 5.75%, 01/31/26 |
|
|
|
|
|
|
541 |
|
|
|
519,049 |
|
| PSAV Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor),
5.42%, 03/01/25 |
|
|
|
|
|
|
1,032 |
|
|
|
1,021,482 |
|
| Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 02/01/24 |
|
|
|
|
|
|
1,358 |
|
|
|
1,349,326 |
|
| Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 4.33%, 01/03/24 |
|
|
|
|
|
|
193 |
|
|
|
193,082 |
|
| Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.06%, 09/28/23 |
|
|
|
|
|
|
3,031 |
|
|
|
3,032,942 |
|
| Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.00%), 5.08%, 01/27/24 |
|
|
|
|
|
|
3,696 |
|
|
|
3,702,832 |
|
| Unitymedia Finance LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (1 mo. LIBOR + 2.25%), 4.31%, 09/30/25 |
|
|
|
|
|
|
1,680 |
|
|
|
1,676,018 |
|
| USD Term Loan D, 01/15/26(k) |
|
|
|
|
|
|
360 |
|
|
|
359,150 |
|
| Unitymedia Hessen GmbH & Co. KG, 2018 Term Loan E, (1 mo. LIBOR + 2.00%),
4.06%, 06/01/23 |
|
|
|
|
|
|
981 |
|
|
|
979,130 |
|
| Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.75%, 1.00% Floor),
4.83%, 03/15/24 |
|
|
|
|
|
|
1,189 |
|
|
|
1,140,738 |
|
| Virgin Media Bristol LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 4.56%, 01/15/26 |
|
|
|
|
|
|
4,453 |
|
|
|
4,449,972 |
|
| William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%),
4.83%, 05/18/25 |
|
|
|
|
|
|
2,510 |
|
|
|
2,495,832 |
|
| Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%), 4.56%, 04/15/25 |
|
|
|
|
|
|
2,682 |
|
|
|
2,635,270 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60,536,641 |
|
| Metals & Mining — 0.4% |
|
| AMG Advanced Metallurgical Group N.V., 2018 Term Loan B, (1 mo. LIBOR + 3.00%),
5.08%, 01/29/25 |
|
|
|
|
|
|
1,214 |
|
|
|
1,212,383 |
|
| Ball Metalpack LLC, 2018 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%), 6.58%, 07/24/25 |
|
|
|
|
|
|
718 |
|
|
|
724,283 |
|
| Preferred Proppants LLC, Term Loan B2, (3 mo. LIBOR + 7.75%), 10.08%, 07/27/20(a) |
|
|
|
|
|
|
220 |
|
|
|
197,721 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,134,387 |
|
| Multiline Retail — 0.7% |
|
| Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.13%, 08/04/24 |
|
|
|
|
|
|
977 |
|
|
|
979,450 |
|
| Hudson’s Bay Co., 2015 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.31%, 09/30/22 |
|
|
|
|
|
|
2,208 |
|
|
|
2,115,176 |
|
| Neiman Marcus Group, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.33%, 10/25/20 |
|
|
|
|
|
|
1,214 |
|
|
|
1,125,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,219,676 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Oil & Gas Equipment & Services — 0.2% |
|
| McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.08%,
05/10/25 |
|
|
USD |
|
|
|
1,327 |
|
|
$
|
1,339,729 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels — 4.3% |
|
| BCP Raptor LLC, Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.33%, 06/24/24 |
|
|
|
|
|
|
2,853 |
|
|
|
2,759,880 |
|
| Brazos Delaware II LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 6.08%, 05/21/25 |
|
|
|
|
|
|
1,180 |
|
|
|
1,168,566 |
|
| California Resources Corp., : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor) 6.82%, 12/31/22 |
|
|
|
|
|
|
2,434 |
|
|
|
2,467,279 |
|
| Second Out Term Loan, (1 mo. LIBOR + 10.38%, 1.00% Floor) 12.44%, 12/31/21 |
|
|
|
|
|
|
2,168 |
|
|
|
2,397,338 |
|
| Chesapeake Energy Corp., Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 9.58%, 08/23/21 |
|
|
|
|
|
|
2,705 |
|
|
|
2,820,949 |
|
| CONSOL Energy, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan A, (1 mo. LIBOR + 4.25%), 6.33%,
11/26/21(a) |
|
|
|
|
|
|
280 |
|
|
|
282,352 |
|
| 1st Lien Term Loan B, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.08%, 11/28/22 |
|
|
|
|
|
|
2,138 |
|
|
|
2,189,650 |
|
| EG Group Ltd., 2018 Term Loan B, (3 mo. LIBOR + 4.00%), 6.27%, 02/07/25 |
|
|
|
|
|
|
803 |
|
|
|
802,650 |
|
| EWT Holdings III Corp., 2017 Repriced Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 12/20/24 |
|
|
|
|
|
|
830 |
|
|
|
830,350 |
|
| GIP III Stetson I LP, 2018 Term Loan
B,
07/19/25(k) |
|
|
|
|
|
|
923 |
|
|
|
929,350 |
|
| Keane Group Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor),
5.88%, 05/25/25(a) |
|
|
|
|
|
|
1,144 |
|
|
|
1,138,096 |
|
| Lucid Energy Group II LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.08%, 02/17/25 |
|
|
|
|
|
|
1,237 |
|
|
|
1,216,800 |
|
| Medallion Midland Acquisition LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.33%, 10/30/24 |
|
|
|
|
|
|
1,568 |
|
|
|
1,551,780 |
|
| MEG Energy Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.57%, 12/31/23 |
|
|
|
|
|
|
430 |
|
|
|
429,986 |
|
| Vine Oil & Gas LP, Term Loan B, (1 mo. LIBOR + 6.88%, 1.00% Floor), 8.95%, 12/12/21(a) |
|
|
|
|
|
|
1,205 |
|
|
|
1,205,000 |
|
| Woodford Express LLC, 2018 Term Loan B, (1 mo. LIBOR + 5.00%, 1.00% Floor),
7.08%, 01/17/25 |
|
|
|
|
|
|
1,496 |
|
|
|
1,484,101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,674,127 |
|
| Personal Products — 1.1% |
|
| Clover Merger Sub, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.58%, 09/26/24 |
|
|
|
|
|
|
3,826 |
|
|
|
3,630,001 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 9.83%, 09/26/25 |
|
|
|
|
|
|
1,750 |
|
|
|
1,553,125 |
|
| Prestige Brands, Inc., Term Loan B4, (1 mo. LIBOR + 2.00%), 4.08%, 01/26/24 |
|
|
|
|
|
|
1,012 |
|
|
|
1,009,823 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,192,949 |
|
| Pharmaceuticals — 3.8% |
|
| Akorn, Inc., Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 6.88%, 04/16/21 |
|
|
|
|
|
|
1,284 |
|
|
|
1,241,890 |
|
| Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.58%, 05/04/25 |
|
|
|
|
|
|
3,474 |
|
|
|
3,495,911 |
|
| Endo Luxembourg Finance Company I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%),
6.38%, 04/29/24 |
|
|
|
|
|
|
2,158 |
|
|
|
2,168,452 |
|
| Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (1 Week LIBOR + 2.25%), 4.21%,
01/31/25 |
|
|
|
|
|
|
4,051 |
|
|
|
4,067,228 |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
19 |
|
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Pharmaceuticals (continued) |
|
| Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.58%, 08/18/22 |
|
|
USD |
|
|
|
3,872 |
|
|
$
|
3,868,448 |
|
| Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%),
5.08%, 06/01/25 |
|
|
|
|
|
|
6,055 |
|
|
|
6,074,130 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,916,059 |
|
| Professional Services — 1.2% |
|
| Cast and Crew Payroll LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%),
4.83%, 09/27/24 |
|
|
|
|
|
|
2,442 |
|
|
|
2,437,792 |
|
| Information Resources, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor),
6.57%, 01/18/24 |
|
|
|
|
|
|
775 |
|
|
|
778,738 |
|
| ON Assignment, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 04/02/25 |
|
|
|
|
|
|
1,173 |
|
|
|
1,173,437 |
|
| PricewaterhouseCoopers LLP, 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 05/01/25(a) |
|
|
|
|
|
|
950 |
|
|
|
952,375 |
|
| SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (2 mo. LIBOR + 5.50%), 7.81%, 07/20/25 |
|
|
|
|
|
|
1,140 |
|
|
|
1,137,150 |
|
| Sterling Infosystems, Inc., 1st Lien Term Loan,
06/19/24(k) |
|
|
|
|
|
|
325 |
|
|
|
322,358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,801,850 |
|
| Real Estate Management & Development — 1.4% |
|
| CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.33%, 04/18/24 |
|
|
|
|
|
|
4,299 |
|
|
|
4,296,615 |
|
| Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.32%, 02/08/25 |
|
|
|
|
|
|
2,369 |
|
|
|
2,373,028 |
|
| SMG Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 01/23/25 |
|
|
|
|
|
|
1,210 |
|
|
|
1,212,101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,881,744 |
|
| Road & Rail — 0.2% |
|
| Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%,
06/13/23 |
|
|
|
|
|
|
1,223 |
|
|
|
1,221,170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Semiconductors & Semiconductor Equipment — 0.8% |
|
| MaxLinear, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 4.56%, 05/12/24(a) |
|
|
|
|
|
|
280 |
|
|
|
280,259 |
|
| Microchip Technology Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 05/29/25 |
|
|
|
|
|
|
2,710 |
|
|
|
2,704,932 |
|
| ON Semiconductor Corp., 2018 1st Lien Term Loan B, (1 mo. LIBOR + 1.75%),
3.83%, 03/31/23 |
|
|
|
|
|
|
508 |
|
|
|
508,676 |
|
| Versum Materials, Inc., Term Loan, (3 mo. LIBOR + 2.00%), 4.33%, 09/29/23 |
|
|
|
|
|
|
939 |
|
|
|
939,751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,433,618 |
|
| Software — 14.5% |
|
| Almonde, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 06/13/24 |
|
|
|
|
|
|
1,887 |
|
|
|
1,876,854 |
|
| Applied Systems, Inc., : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor) 5.33%, 09/19/24 |
|
|
|
|
|
|
2,073 |
|
|
|
2,079,626 |
|
| 2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor) 9.33%, 09/19/25 |
|
|
|
|
|
|
491 |
|
|
|
503,257 |
|
| Aptean, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.59%, 12/20/22 |
|
|
|
|
|
|
1,091 |
|
|
|
1,093,534 |
|
| Barracuda Networks, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.31%, 02/12/25 |
|
|
|
|
|
|
968 |
|
|
|
967,575 |
|
| BMC Software Finance, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 09/10/22 |
|
|
|
|
|
|
1,221 |
|
|
|
1,221,472 |
|
| 2018 USD Term Loan B, 09/01/25(k) |
|
|
|
|
|
|
4,464 |
|
|
|
4,464,952 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Software (continued) |
|
| Cypress Intermediate Holdings III, Inc., : |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor) 5.08%, 04/27/24 |
|
|
USD |
|
|
|
911 |
|
|
$
|
909,788 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor) 8.83%, 04/27/25 |
|
|
|
|
|
|
814 |
|
|
|
818,477 |
|
| Dell, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.08%, 09/07/23 |
|
|
|
|
|
|
2,489 |
|
|
|
2,488,127 |
|
| Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 5.57%, 05/28/24 |
|
|
|
|
|
|
1,657 |
|
|
|
1,546,711 |
|
| DTI Holdco, Inc., 2018 Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 6.95%, 09/30/23 |
|
|
|
|
|
|
1,438 |
|
|
|
1,433,278 |
|
| Flexera Software LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.33%, 02/26/25 |
|
|
|
|
|
|
613 |
|
|
|
613,616 |
|
| Help/Systems Holdings, Inc, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.83%, 03/28/25 |
|
|
|
|
|
|
1,190 |
|
|
|
1,187,025 |
|
| Hyland Software, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 07/01/22 |
|
|
|
|
|
|
1,523 |
|
|
|
1,531,188 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.08%, 07/07/25 |
|
|
|
|
|
|
675 |
|
|
|
682,384 |
|
| Infor (US), Inc., Term Loan B6, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 02/01/22 |
|
|
|
|
|
|
3,620 |
|
|
|
3,622,374 |
|
| Informatica Corp., 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 08/05/22 |
|
|
|
|
|
|
2,838 |
|
|
|
2,850,813 |
|
| IQOR US, Inc., Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.34%, 04/01/21 |
|
|
|
|
|
|
1,280 |
|
|
|
1,132,963 |
|
| Kronos, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B, (3 mo. LIBOR + 3.00%), 5.16%, 11/01/23 |
|
|
|
|
|
|
4,553 |
|
|
|
4,561,682 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.59%, 11/01/24 |
|
|
|
|
|
|
1,695 |
|
|
|
1,730,307 |
|
| MA FinanceCo. LLC, Term Loan B3, (1 mo. LIBOR + 2.50%), 4.58%, 06/21/24(a) |
|
|
|
|
|
|
158 |
|
|
|
157,790 |
|
| McAfee LLC, 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.57%, 09/30/24 |
|
|
|
|
|
|
2,876 |
|
|
|
2,899,176 |
|
| Mitchell International, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 11/29/24 |
|
|
|
|
|
|
4,276 |
|
|
|
4,264,060 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.33%, 12/01/25 |
|
|
|
|
|
|
1,275 |
|
|
|
1,273,725 |
|
| PowerSchool, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.33%, 08/01/25 |
|
|
|
|
|
|
1,009 |
|
|
|
1,005,216 |
|
| Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, (6 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%,
04/26/24 |
|
|
|
|
|
|
2,019 |
|
|
|
2,018,253 |
|
| Project Leopard Holdings, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor),
6.08%, 07/07/23(a) |
|
|
|
|
|
|
863 |
|
|
|
866,724 |
|
| Renaissance Learning, Inc., 2018 Add On Term Loan, (3 mo. LIBOR + 3.25%), 5.58%, 05/30/25 |
|
|
|
|
|
|
705 |
|
|
|
702,356 |
|
| SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 02/05/24 |
|
|
|
|
|
|
4,527 |
|
|
|
4,540,696 |
|
| Solera LLC, Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 03/03/23 |
|
|
|
|
|
|
3,962 |
|
|
|
3,957,240 |
|
| SonicWALL, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.82%, 05/16/25(a) |
|
|
|
|
|
|
570 |
|
|
|
568,575 |
|
| Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.58%, 09/30/22 |
|
|
|
|
|
|
4,423 |
|
|
|
4,432,552 |
|
| SS&C Technologies Holdings Europe 2018 Term Loan B4, (1 mo. LIBOR + 2.25%),
4.33%, 04/16/25 |
|
|
|
|
|
|
1,940 |
|
|
|
1,940,741 |
|
|
|
|
| 20 |
|
2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Software (continued) |
|
| SS&C Technologies, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 4.33%, 07/08/22 |
|
|
USD |
|
|
|
3,044 |
|
|
$
|
3,048,398 |
|
| 2018 Term Loan B3, 04/16/25(k) |
|
|
|
|
|
|
4,986 |
|
|
|
4,988,186 |
|
| 2018 Term Loan B5, 04/16/25(k) |
|
|
|
|
|
|
742 |
|
|
|
742,156 |
|
| Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 05/01/24 |
|
|
|
|
|
|
3,297 |
|
|
|
3,302,601 |
|
| Tibco Software, Inc., Repriced Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor),
5.58%, 12/04/20 |
|
|
|
|
|
|
2,396 |
|
|
|
2,401,424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
80,425,872 |
|
| Specialty Retail — 2.1% |
|
| Academy Ltd., 2015 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.08%, 07/01/22 |
|
|
|
|
|
|
1,377 |
|
|
|
1,130,928 |
|
| Belron Finance US LLC, Term Loan B, (3 mo. LIBOR + 2.50%), 4.84%, 11/07/24 |
|
|
|
|
|
|
2,441 |
|
|
|
2,447,862 |
|
| CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (1 mo. GBP LIBOR + 4.50%), 5.25%,
06/23/25 |
|
|
GBP |
|
|
|
1,000 |
|
|
|
1,286,079 |
|
| Leslie’s Poolmart, Inc., 2016 Term Loan, (2 mo. LIBOR + 3.50%, 1.00% Floor), 5.70%,
08/16/23 |
|
|
USD |
|
|
|
1,235 |
|
|
|
1,234,535 |
|
| Michaels Stores, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor),
4.56%, 01/28/23 |
|
|
|
|
|
|
732 |
|
|
|
728,342 |
|
| National Vision, Inc., 2017 Repriced Term Loan, (1 mo. LIBOR + 2.75%), 4.83%,
11/20/24 |
|
|
|
|
|
|
389 |
|
|
|
389,998 |
|
| Party City Holdings, Inc., 2018 Term Loan B, (PRIME + 1.75%), 4.83%, 08/19/22 |
|
|
|
|
|
|
594 |
|
|
|
596,454 |
|
| Petco Animal Supplies, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor),
5.59%, 01/26/23 |
|
|
|
|
|
|
837 |
|
|
|
610,649 |
|
| Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor),
7.86%, 12/20/24(a) |
|
|
|
|
|
|
1,259 |
|
|
|
1,261,822 |
|
| Staples, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.34%, 09/12/24 |
|
|
|
|
|
|
844 |
|
|
|
840,822 |
|
| TruGreen LP, 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.07%, 04/13/23 |
|
|
|
|
|
|
1,131 |
|
|
|
1,136,256 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,663,747 |
|
| Technology Hardware, Storage & Peripherals — 0.9% |
|
| Seattle Spinco, Inc., Term Loan B3, (1 mo. LIBOR + 2.50%), 4.58%, 06/21/24(a) |
|
|
|
|
|
|
1,068 |
|
|
|
1,065,595 |
|
| Western Digital Corp., 2018 Term Loan B4, (3 mo. LIBOR + 1.75%), 3.82%, 04/29/23 |
|
|
|
|
|
|
4,093 |
|
|
|
4,090,237 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,155,832 |
|
| Textiles, Apparel & Luxury Goods — 0.5% |
|
| Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.58%,
08/12/22 |
|
|
|
|
|
|
2,385 |
|
|
|
2,390,968 |
|
| Varsity Brands, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 12/15/24 |
|
|
|
|
|
|
532 |
|
|
|
532,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,923,580 |
|
| Thrifts & Mortgage Finance — 0.6% |
|
| IG Investment Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor),
5.83%, 05/23/25 |
|
|
|
|
|
|
3,214 |
|
|
|
3,224,441 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Trading Companies & Distributors — 1.5% |
|
|
|
|
| Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.32%, 01/02/25 |
|
|
|
|
|
|
3,405 |
|
|
|
3,385,332 |
|
| HD Supply, Inc., Term Loan B3, (3 mo. LIBOR + 2.25%), 4.32%, 08/13/21 |
|
|
|
|
|
|
2,347 |
|
|
|
2,357,529 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
| Trading Companies & Distributors (continued) |
|
|
|
|
| LSF9 Cypress Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.25%), 5.31%, 08/13/25 |
|
|
USD |
|
|
|
1,265 |
|
|
$
|
1,266,581 |
|
| Nexeo Solutions LLC, 2017 Repriced Term Loan, (3 mo. LIBOR + 3.25%), 5.58%, 06/09/23 |
|
|
|
|
|
|
245 |
|
|
|
246,182 |
|
| Oxbow Carbon LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%), 5.83%, 01/04/23 |
|
|
|
|
|
|
280 |
|
|
|
281,676 |
|
| Pro Mach Group, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.07%, 03/07/25 |
|
|
|
|
|
|
758 |
|
|
|
752,892 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,290,192 |
|
| Transportation — 0.6% |
|
| Direct ChassisLink, Inc., 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%), 8.08%, 06/15/23(a) |
|
|
|
|
|
|
700 |
|
|
|
700,000 |
|
| Gruden Acquisition, Inc., 2017 Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor),
7.83%, 08/18/22 |
|
|
|
|
|
|
782 |
|
|
|
784,946 |
|
| Safe Fleet Holdings LLC,: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor) 5.09%, 02/01/25 |
|
|
|
|
|
|
1,302 |
|
|
|
1,290,347 |
|
| 2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor) 8.84%, 02/01/26 |
|
|
|
|
|
|
560 |
|
|
|
556,735 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,332,028 |
|
| Utilities — 0.1% |
|
| ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.32%, 11/28/24(a) |
|
|
|
|
|
|
726 |
|
|
|
727,532 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Wireless Telecommunication Services — 2.4% |
|
| Geo Group, Inc. (The), 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 03/22/24 |
|
|
|
|
|
|
2,007 |
|
|
|
1,997,474 |
|
| Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 12/07/20(j) |
|
|
|
|
|
|
6,872 |
|
|
|
5,578,635 |
|
| SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 04/11/25 |
|
|
|
|
|
|
4,370 |
|
|
|
4,353,951 |
|
| Xplornet Communications, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor),
6.33%, 09/09/21(a) |
|
|
|
|
|
|
1,337 |
|
|
|
1,342,295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,272,355 |
|
|
|
|
|
|
|
| Total Floating Rate Loan Interests — 136.1%
(Cost — $760,040,506) |
|
|
|
755,920,119 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Beneficial
Interest
(000) |
|
|
|
|
| Other Interests(l) —
0.0% |
|
|
| IT Services — 0.0% |
|
| Millennium Corp.(a)(b) |
|
|
|
|
|
|
1,607 |
|
|
|
— |
|
| Millennium Lender Claims(a)(b) |
|
|
|
|
|
|
1,508 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Interests — 0.0%
(Cost — $—) |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
| |
|
|
Shares |
|
|
|
|
| Trust Preferred — 0.3% |
|
|
| Diversified Financial Services — 0.3% |
|
| GMAC Capital Trust I, Series 2 (3 mo. LIBOR US + 8.10%), 7.62, 02/15/40(m) |
|
|
|
|
|
|
60,894 |
|
|
|
1,631,959 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Trust Preferreds — 0.3%
(Cost — $1,606,167) |
|
|
|
1,631,959 |
|
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
21 |
|
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Shares |
|
|
Value |
|
| 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 — 146.3%
(Cost — $818,950,326) |
|
|
|
812,412,555 |
|
|
|
|
|
|
|
|
| Short-Term Securities — 0.0% |
|
| BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.85%(n)(o) |
|
|
|
|
|
|
155,382 |
|
|
|
155,382 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Short-Term Securities — 0.0%
(Cost — $155,382) |
|
|
|
155,382 |
|
|
|
|
|
|
|
| Options Purchased — 0.0%
(Cost — $43,022) |
|
|
|
— |
|
|
|
| Total Investments — 146.3%
(Cost — $819,148,730) |
|
|
|
812,567,937 |
|
| Liabilities in Excess of Other Assets — (46.3)% |
|
|
|
(257,198,288 |
) |
|
|
|
|
|
|
| Net Assets Applicable to Common Shares — 100.0% |
|
|
$ |
555,369,649 |
|
|
|
|
|
|
|
| (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) |
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. |
| (d) |
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. |
| (e) |
When-issued security. |
| (f) |
Variable rate security. Rate shown is the rate in effect as of period end. |
| (h) |
Step-up bond that pays an initial coupon rate for the first period and then a
higher coupon rate for the following periods. Rate as of period end. |
| (i) |
Issuer filed for bankruptcy and/or is in default. |
| (j) |
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. |
| (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) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
|
| (m) |
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. |
| (n) |
Annualized 7-day yield as of period end.
|
| (o) |
During the year ended August 31, 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
08/31/18 |
|
|
Value at
08/31/18 |
|
|
Income |
|
|
Net
Realized
Gain (Loss) (a) |
|
|
Change in
Unrealized
Appreciation
(Depreciation) |
|
| BlackRock Liquidity Funds, T-Fund, Institutional Class |
|
|
3,819,454 |
|
|
|
— |
|
|
|
(3,664,072 |
)(b) |
|
|
155,382 |
|
|
$ |
155,382 |
|
|
$ |
40,057 |
|
|
$ |
8 |
|
|
$ |
— |
|
| iShares iBoxx USD High Yield Corporate Bond ETF |
|
|
— |
|
|
|
146,000 |
|
|
|
(146,000 |
) |
|
|
— |
|
|
|
— |
|
|
|
111,693 |
|
|
|
(67,998 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
155,382 |
|
|
$ |
151,750 |
|
|
$ |
(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 |
|
|
1,168,154 |
|
|
EUR |
|
|
995,000 |
|
|
State Street Bank and Trust Co. |
|
|
09/06/18 |
|
|
$ |
13,127 |
|
| USD |
|
|
1,674,298 |
|
|
EUR |
|
|
1,426,000 |
|
|
UBS AG |
|
|
09/06/18 |
|
|
|
18,952 |
|
| USD |
|
|
2,591,309 |
|
|
GBP |
|
|
1,972,000 |
|
|
Toronto-Dominion Bank |
|
|
09/06/18 |
|
|
|
34,616 |
|
| USD |
|
|
3,407,695 |
|
|
EUR |
|
|
2,922,000 |
|
|
Barclays Bank PLC |
|
|
10/04/18 |
|
|
|
8,673 |
|
| USD |
|
|
2,550,231 |
|
|
GBP |
|
|
1,961,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
10/04/18 |
|
|
|
4,901 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
80,269 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| EUR |
|
|
995,000 |
|
|
USD |
|
|
1,156,292 |
|
|
Bank of America N.A. |
|
|
09/06/18 |
|
|
|
(1,265 |
) |
| EUR |
|
|
2,922,000 |
|
|
USD |
|
|
3,400,624 |
|
|
Barclays Bank PLC |
|
|
09/06/18 |
|
|
|
(8,675 |
) |
| GBP |
|
|
1,961,000 |
|
|
USD |
|
|
2,547,339 |
|
|
JPMorgan Chase Bank N.A. |
|
|
09/06/18 |
|
|
|
(4,908 |
) |
| USD |
|
|
1,152,477 |
|
|
EUR |
|
|
995,000 |
|
|
Goldman Sachs International |
|
|
09/06/18 |
|
|
|
(2,550 |
) |
| USD |
|
|
574,068 |
|
|
EUR |
|
|
502,000 |
|
|
Northern Trust Co. |
|
|
09/06/18 |
|
|
|
(8,669 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(26,067 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
54,202 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 22 |
|
2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
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 |
|
|
|
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Financial Instruments Categorized by Risk Exposure
As of year end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were 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 |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
80,269 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
80,269 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities — Derivative Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward foreign currency exchange contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on forward foreign currency exchange contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
26,067 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
26,067 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended August 31, 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 |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
52,517 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
52,517 |
|
| Options purchased(a) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
85,253 |
|
|
|
— |
|
|
|
85,253 |
|
| Swaps |
|
|
— |
|
|
|
(11,471 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(11,471 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
(11,471 |
) |
|
$ |
— |
|
|
$ |
52,517 |
|
|
$ |
85,253 |
|
|
$ |
— |
|
|
$ |
126,299 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Change in Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward foreign currency exchange contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,366 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,366 |
|
| Options purchased(b) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
65,446 |
|
|
|
— |
|
|
|
65,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,366 |
|
|
$ |
65,446 |
|
|
$ |
— |
|
|
$ |
67,812 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Options purchased are included in net realized gain (loss) from 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 |
|
$ |
6,197,610 |
|
| Average amounts sold — in USD |
|
$ |
2,987,651 |
|
| Options: |
|
| Average notional value of swaption contracts purchased |
|
$ |
11,828,597 |
|
| Credit default swaps: |
|
| Average notional amount — buy protection |
|
$ |
1,263,000 |
|
| Average notional amount — sell protection |
|
$ |
1,369,500 |
|
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial
Statements.
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
23 |
|
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
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 |
|
$ |
80,269 |
|
|
$ |
26,067 |
|
|
|
|
|
|
|
|
|
|
| Total derivative assets and liabilities in the Statements of Assets and Liabilities |
|
$ |
80,269 |
|
|
$ |
26,067 |
|
| Derivatives not subject to an Master Netting Agreement or similar agreement (“MNA”) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Total derivative assets and liabilities subject to an MNA |
|
$ |
80,269 |
|
|
$ |
26,067 |
|
|
|
|
|
|
|
|
|
|
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 |
|
$ |
8,673 |
|
|
$ |
(8,673 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
| JPMorgan Chase Bank N.A. |
|
|
4,901 |
|
|
|
(4,901 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| State Street Bank and Trust Co. |
|
|
13,127 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
13,127 |
|
| Toronto-Dominion Bank |
|
|
34,616 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
34,616 |
|
| UBS AG |
|
|
18,952 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
18,952 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
80,269 |
|
|
$ |
(13,574 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
66,695 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 (c) |
|
| Bank of America N.A. |
|
$ |
1,265 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,265 |
|
| Barclays Bank PLC |
|
|
8,675 |
|
|
|
(8,673 |
) |
|
|
— |
|
|
|
— |
|
|
|
2 |
|
| Goldman Sachs International |
|
|
2,550 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
2,550 |
|
| JPMorgan Chase Bank N.A. |
|
|
4,908 |
|
|
|
(4,901 |
) |
|
|
— |
|
|
|
— |
|
|
|
7 |
|
| Northern Trust Co. |
|
|
8,669 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
8,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
26,067 |
|
|
$ |
(13,574 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
12,493 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(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. |
|
| |
(c) |
Net amount represents the net amount payable due to 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 |
|
$ |
— |
|
|
$ |
23,040,999 |
|
|
$ |
2,698,550 |
|
|
$ |
25,739,549 |
|
| Common Stocks(a) |
|
|
206,411 |
|
|
|
149 |
|
|
|
2,048,238 |
|
|
|
2,254,798 |
|
| Corporate Bonds |
|
|
— |
|
|
|
23,973,694 |
|
|
|
2,892,436 |
|
|
|
26,866,130 |
|
| Floating Rate Loan Interests |
|
|
— |
|
|
|
719,170,574 |
|
|
|
36,749,545 |
|
|
|
755,920,119 |
|
| Trust Preferred |
|
|
1,631,959 |
|
|
|
— |
|
|
|
— |
|
|
|
1,631,959 |
|
| Short-Term Securities |
|
|
155,382 |
|
|
|
— |
|
|
|
— |
|
|
|
155,382 |
|
| Liabilities: |
|
| Investments: |
|
| Unfunded Floating Rate Loan Interests(b) |
|
|
— |
|
|
|
(3,212 |
) |
|
|
— |
|
|
|
(3,212 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,993,752 |
|
|
$ |
766,182,204 |
|
|
$ |
44,388,769 |
|
|
$ |
812,564,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 24 |
|
2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Derivative Financial Instruments(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward foreign currency contracts |
|
$ |
— |
|
|
$ |
80,269 |
|
|
$ |
— |
|
|
$ |
80,269 |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward foreign currency contracts |
|
|
— |
|
|
|
(26,067 |
) |
|
|
— |
|
|
|
(26,067 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
54,202 |
|
|
$ |
— |
|
|
$ |
54,202 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(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 $233,000,000 is categorized as Level 2 within the disclosure hierarchy.
During the year ended
August 31, 2018, there were no transfers between Level 1 and Level 2.
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) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
12,445,090 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
12,445,090 |
|
| Transfers out of Level 3(b) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(12,802,806 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(12,802,806 |
) |
| Accrued discounts/premiums |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
111,746 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
111,746 |
|
| Net realized gain (loss) |
|
|
— |
|
|
|
— |
|
|
|
874,494 |
|
|
|
(571,120 |
) |
|
|
(61,488 |
) |
|
|
30,810 |
|
|
|
— |
|
|
|
272,696 |
|
| Net change in unrealized appreciation
(depreciation)(c)(d) |
|
|
— |
|
|
|
899,339 |
|
|
|
(620,944 |
) |
|
|
561,527 |
|
|
|
61,485 |
|
|
|
(49,016 |
) |
|
|
(168 |
) |
|
|
852,223 |
|
| Purchases |
|
|
2,698,550 |
|
|
|
670,738 |
|
|
|
2,813,160 |
|
|
|
25,498,193 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
31,680,641 |
|
| Sales |
|
|
— |
|
|
|
— |
|
|
|
(2,687,450 |
) |
|
|
(19,260,451 |
) |
|
|
— |
|
|
|
(30,810 |
) |
|
|
— |
|
|
|
(21,978,711 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Closing balance, as of August 31, 2018 |
|
$ |
2,698,550 |
|
|
$ |
2,048,238 |
|
|
$ |
2,892,436 |
|
|
$ |
36,749,545 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
44,388,769 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on investments still held at August 31, 2018(d) |
|
$ |
— |
|
|
$ |
899,349 |
|
|
$ |
113,370 |
|
|
$ |
164,349 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(168 |
) |
|
$ |
1,176,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
As of August 31, 2017 the Fund used observable inputs in determining the value of certain investments. As of
August 31, 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 August 31, 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 August 31, 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.
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
25 |
|
|
|
|
| Schedule of Investments August 31, 2018 |
|
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Shares |
|
|
Value |
|
| Common Stocks — 0.4% |
|
|
| Chemicals — 0.0% |
|
| LyondellBasell Industries NV, Class A |
|
|
|
|
|
|
37 |
|
|
$ |
4,173 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services — 0.3% |
|
| Kcad Holdings I Ltd.(a)(b) |
|
|
|
|
|
|
546,753,936 |
|
|
|
2,072,198 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care Management Services — 0.0% |
|
| New Millennium HoldCo, Inc.(b) |
|
|
|
|
|
|
8,511 |
|
|
|
85 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure — 0.0% |
|
| Caesars Entertainment Corp.(b) |
|
|
|
|
|
|
8,330 |
|
|
|
84,966 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Household Durables — 0.0% |
|
| Berkline Benchcraft Equity LLC(a)(b) |
|
|
|
|
|
|
3,155 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Metals & Mining — 0.0% |
|
| Ameriforge Group, Inc. |
|
|
|
|
|
|
801 |
|
|
|
46,458 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 0.1% |
|
| Texgen LLC(a)(b) |
|
|
|
|
|
|
7,331 |
|
|
|
263,916 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stocks — 0.4%
(Cost — $6,481,691) |
|
|
|
2,471,796 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Par
(000) |
|
|
|
|
| Asset-Backed Securities — 11.5% |
|
|
| Asset-Backed Securities — 11.4% |
|
| AIMCO CLO, Series 2014-AA, Class DR, (3 mo. LIBOR US +
3.25%), 5.60%, 07/20/26(c)(d) |
|
|
USD |
|
|
|
250 |
|
|
|
250,079 |
|
| Allegro CLO II Ltd., Series 2014-1A, Class CR, (3 mo. LIBOR US
+ 3.85%), 6.20%, 01/21/27(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,065 |
|
| Allegro CLO II-S Ltd., Series
2014-1RA, Class C, 1.00%, 10/21/28(c)(e)(f) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,000 |
|
| ALM VI, Ltd., Series 2012-6A, Class BR3, 4.10%, 07/15/26(c)(e) |
|
|
|
|
|
|
1,000 |
|
|
|
986,261 |
|
| ALM XII, Ltd., Series 2015-12A, Class C1R2, 4.99%, 04/16/27(c)(e) |
|
|
|
|
|
|
1,000 |
|
|
|
992,111 |
|
| ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2, 5.04%,
07/15/27(c)(e) |
|
|
|
|
|
|
270 |
|
|
|
268,079 |
|
| AmeriCredit Automobile Receivables, Series 2014-3, Class C,
2.58%, 09/08/20 |
|
|
|
|
|
|
2,377 |
|
|
|
2,376,169 |
|
| AMMC CLO Ltd., Series 2014-15A, Class D, (3 mo. LIBOR US +
4.20%), 6.53%, 12/09/26(c)(d) |
|
|
|
|
|
|
2,000 |
|
|
|
2,013,270 |
|
| Anchorage Capital CLO Ltd.(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-3RA, Class E, 7.84%, 01/28/31(e) |
|
|
|
|
|
|
850 |
|
|
|
837,239 |
|
| Series 2014-4RA, Class D, 4.94%, 01/28/31(e) |
|
|
|
|
|
|
250 |
|
|
|
246,192 |
|
| Series 2014-5RA, Class E, 7.74%, 01/15/30(e) |
|
|
|
|
|
|
860 |
|
|
|
862,885 |
|
| Series 2015-7A, Class DR, 5.04%, 10/15/27(e) |
|
|
|
|
|
|
1,000 |
|
|
|
995,824 |
|
| Series 2016-8A, Class ER, 8.09%, 07/28/28(e) |
|
|
|
|
|
|
1,000 |
|
|
|
997,801 |
|
| Series 2016-9A, Class D, (3 mo. LIBOR US + 4.00%), 6.34%,
01/15/29(d) |
|
|
|
|
|
|
350 |
|
|
|
352,393 |
|
| Ares XL CLO Ltd., Series 2016-40A, Class D, (3 mo. LIBOR US
+ 6.60%), 8.94%, 10/15/27(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
504,242 |
|
| Battalion CLO XI Ltd., Series 2017-11A, Class E, 8.32%, 10/24/29(c)(e) |
|
|
|
|
|
|
325 |
|
|
|
326,780 |
|
| Benefit Street Partners CLO XII Ltd., Series 2017-12A,
Class D, 8.75%, 10/15/30(c)(e) |
|
|
|
|
|
|
500 |
|
|
|
506,075 |
|
| BlueMountain CLO Ltd., Series 2012-2A, Class DR, (3 mo. LIBOR US
+ 4.15%),
6.47%, 11/20/28(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,006,016 |
|
| Carlyle Global Market Strategies CLO Ltd., Series 2015-1A,
Class CR, (3 mo. LIBOR US + 2.00%), 4.35%, 04/20/27(c)(d) |
|
|
|
|
|
|
600 |
|
|
|
600,518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Asset-Backed Securities (continued) |
|
| Credit Suisse ABS Repackaging Trust, Series 2013-A,
Class B, 2.50%, 01/25/30(c) |
|
|
USD |
|
|
|
545 |
|
|
$
|
506,764 |
|
| DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44(c) |
|
|
|
|
|
|
3,048 |
|
|
|
3,052,756 |
|
| Dryden 64 CLO Ltd., Series 2018-64A, Class D, 4.87%, 04/18/31(c)(e) |
|
|
|
|
|
|
250 |
|
|
|
245,729 |
|
| Galaxy CLO Ltd., Series 2015-21A, 7.60%, 04/20/31(c)(e) |
|
|
|
|
|
|
500 |
|
|
|
485,751 |
|
| Highbridge Loan Management Ltd., Series 5A-2015, Class E, (3 mo.
LIBOR US + 5.35%), 7.69%, 01/29/26(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,001,245 |
|
| Lendmark Funding Trust, Series 2017-2A, Class A, 2.80%, 05/20/26(c) |
|
|
|
|
|
|
2,240 |
|
|
|
2,210,310 |
|
| Litigation Fee Residual Funding,
4.00%,
10/30/27(a) |
|
|
|
|
|
|
1,309 |
|
|
|
1,302,950 |
|
| Madison Park Funding X Ltd., Series 2012-10A, Class ER, (3 mo.
LIBOR US + 7.62%), 9.97%, 01/20/29(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
506,493 |
|
| Madison Park Funding XI Ltd., Series 2013-11A, Class ER, 8.80%,
07/23/29(c)(e) |
|
|
|
|
|
|
250 |
|
|
|
250,867 |
|
| Madison Park Funding XIII Ltd., Series 2014-13A, Class ER,
8.09%, 04/19/30(c)(e) |
|
|
|
|
|
|
1,250 |
|
|
|
1,257,652 |
|
| Madison Park Funding XIV Ltd., Series 2014-14A, Class E, (3 mo.
LIBOR US + 4.75%), 7.10%, 07/20/26(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,003,062 |
|
| Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo.
LIBOR US + 2.20%), 4.54%, 01/27/26(c)(d) |
|
|
|
|
|
|
1,500 |
|
|
|
1,501,910 |
|
| Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ER,
7.34%, 01/15/28(c)(e) |
|
|
|
|
|
|
1,250 |
|
|
|
1,250,906 |
|
| Oaktree CLO Ltd., Series 2015-1A, Class DR, 7.55%, 10/20/27(c)(e) |
|
|
|
|
|
|
500 |
|
|
|
498,551 |
|
| Octagon Investment Partners LLC, Series 2017-1A, Class E, (3 mo.
LIBOR US + 6.30%), 8.65%, 07/20/30(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
506,696 |
|
| OneMain Financial Issuance Trust, Series 2015-2A, Class C,
4.32%, 07/18/25(c) |
|
|
|
|
|
|
4,000 |
|
|
|
4,020,130 |
|
| OZLM IX Ltd., Series 2014-9A Class CR, (3 mo. LIBOR US +
3.55%), 5.90%, 01/20/27(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,001,048 |
|
| OZLM VIII Ltd., Series 2014-8A(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class BR, (3 mo. LIBOR US + 2.25%), 4.59%, 10/17/26 |
|
|
|
|
|
|
2,500 |
|
|
|
2,501,770 |
|
| Class CR, (3 mo. LIBOR US + 3.40%), 5.74%, 10/17/26 |
|
|
|
|
|
|
500 |
|
|
|
500,510 |
|
| OZLM XII Ltd., Series 2015-12A, Class C, (3 mo. LIBOR US +
3.70%), 6.04%, 04/30/27(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
999,947 |
|
| OZLM XIX Ltd., Series 2017-19A, Class D, 8.94%, 11/22/30(c)(e) |
|
|
|
|
|
|
500 |
|
|
|
511,499 |
|
| OZLM XV Ltd., Series 2016-15A, Class C, (3 mo. LIBOR US +
4.00%), 6.35%, 01/20/29(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,007,571 |
|
| OZLM XXI, Series 2017-21A, Class D, 7.89%, 01/20/31(c)(e) |
|
|
|
|
|
|
500 |
|
|
|
496,363 |
|
| Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A,
Class D, 8.54%, 11/14/29(c)(e) |
|
|
|
|
|
|
1,750 |
|
|
|
1,766,376 |
|
| Regatta V Funding Ltd., Series 2014-1A, Class BR, (3 mo.
LIBOR US + 2.30%),
4.64%, 10/25/26(c)(d) |
|
|
|
|
|
|
2,000 |
|
|
|
2,002,521 |
|
| Rockford Tower CLO Ltd.(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-1A, Class D, (3 mo. LIBOR US + 3.25%),
5.59%, 04/15/29 |
|
|
|
|
|
|
250 |
|
|
|
250,991 |
|
| Series 2017-2A, Class D, (3 mo. LIBOR US + 3.45%),
5.79%, 10/15/29 |
|
|
|
|
|
|
500 |
|
|
|
502,536 |
|
|
|
|
| 26 |
|
2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (continued)
August 31, 2018 |
|
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Asset-Backed Securities (continued) |
|
| Santander Drive Auto Receivables Trust, Class D: |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-3, 2.65%, 08/17/20 |
|
|
USD |
|
|
|
2,691 |
|
|
$
|
2,690,774 |
|
| Series 2014-4, 3.10%, 11/16/20 |
|
|
|
|
|
|
4,446 |
|
|
|
4,453,301 |
|
| Shackleton CLO Ltd., Series 2013-3A, Class DR,
5.36%, 07/15/30(c)(e) |
|
|
|
|
|
|
500 |
|
|
|
499,408 |
|
| Sound Point CLO VII Ltd., Series 2014-3A, Class D, (3 mo. LIBOR
US + 3.60%),
5.95%, 01/23/27(c)(d) |
|
|
|
|
|
|
2,000 |
|
|
|
2,003,691 |
|
| Sound Point CLO XIV Ltd., Series 2016-3A, Class E, (3 mo. LIBOR
US + 6.65%),
9.00%, 01/23/29(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,009,246 |
|
| Symphony CLO XV Ltd., Series 2014-15A, Class CR, (3 mo. LIBOR US
+ 2.20%),
4.54%, 10/17/26(c)(d) |
|
|
|
|
|
|
1,250 |
|
|
|
1,248,091 |
|
| Symphony CLO XVIII Ltd., Series 2016-18A, Class D, (3 mo. LIBOR
US + 4.00%),
6.35%, 01/23/28(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,010,728 |
|
| Thayer Park CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US
+ 6.10%), 8.45%, 04/20/29(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
504,213 |
|
| THL Credit Wind River CLO Ltd., Series 2014-3A, Class E, (3 mo.
LIBOR US + 5.60%), 7.95%, 01/22/27(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,001,263 |
|
| TICP CLO VII Ltd., Series 2017-7A, Class E, (3 mo. LIBOR US
+ 6.51%), 8.85%, 07/15/29(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
510,477 |
|
| Venture XXVI CLO Ltd., Series 2017-26A(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class D, (3 mo. LIBOR US + 4.25%), 6.60%, 01/20/29 |
|
|
|
|
|
|
1,000 |
|
|
|
1,012,881 |
|
| Class E, (3 mo. LIBOR US + 6.80%), 9.15%, 01/20/29 |
|
|
|
|
|
|
500 |
|
|
|
509,477 |
|
| Vibrant CLO IV Ltd., Series 2016-4A, Class D, (3 mo. LIBOR US
+ 4.50%), 6.85%, 07/20/28(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,007,540 |
|
| Wellfleet CLO Ltd., Series 2017-3A, Class B,
4.29%, 01/17/31(c)(e) |
|
|
|
|
|
|
500 |
|
|
|
494,076 |
|
| World Financial Network Credit Card Master Trust, Series 2012-C,
Class B, 3.57%, 08/15/22 |
|
|
|
|
|
|
3,000 |
|
|
|
3,003,251 |
|
| York CLO Ltd.(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-1A, Class ER,
8.00%, 01/22/31(e) |
|
|
|
|
|
|
250 |
|
|
|
241,892 |
|
| Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%),
5.95%, 10/20/29(d) |
|
|
|
|
|
|
250 |
|
|
|
252,126 |
|
| Series 2016-2A, Class E, (3 mo. LIBOR US + 6.94%),
9.29%, 01/20/30(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,012,464 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
69,729,802 |
|
| Interest Only Asset-Backed Securities — 0.1% |
|
| Sterling Bank Trust, Series 2004-2, Class Note,
2.08%, 03/30/30(a)(c) |
|
|
|
|
|
|
2,976 |
|
|
|
156,252 |
|
| Sterling Coofs Trust, Series 2004-1, Class A,
2.00%, 04/15/29(a) |
|
|
|
|
|
|
2,299 |
|
|
|
121,842 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
278,094 |
|
|
|
|
|
|
|
| Total Asset-Backed Securities — 11.5%
(Cost — $69,974,675) |
|
|
|
70,007,896 |
|
|
|
|
|
|
|
|
| Corporate Bonds — 61.3% |
|
|
| Aerospace — 0.0% |
|
| Koninklijke KPN NV (5 year GBP Swap + 5.51%), 6.88%, 03/14/73(g) |
|
|
GBP |
|
|
|
100 |
|
|
|
137,573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Aerospace & Defense — 1.7% |
|
| Arconic, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.87%, 02/23/22(h) |
|
|
USD |
|
|
|
730 |
|
|
|
758,908 |
|
| 5.13%, 10/01/24(h) |
|
|
|
|
|
|
742 |
|
|
|
745,339 |
|
| 5.90%, 02/01/27 |
|
|
|
|
|
|
155 |
|
|
|
156,953 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Aerospace & Defense (continued) |
|
| BBA US Holdings, Inc., 5.38%, 05/01/26(c) |
|
|
USD |
|
|
|
271 |
|
|
$
|
271,678 |
|
| Bombardier, Inc.(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.75%, 03/15/20 |
|
|
|
|
|
|
172 |
|
|
|
180,600 |
|
| 8.75%, 12/01/21(h) |
|
|
|
|
|
|
823 |
|
|
|
905,300 |
|
| 6.00%, 10/15/22 |
|
|
|
|
|
|
19 |
|
|
|
19,048 |
|
| 6.13%, 01/15/23(h) |
|
|
|
|
|
|
1,063 |
|
|
|
1,070,972 |
|
| 7.50%, 12/01/24(h) |
|
|
|
|
|
|
861 |
|
|
|
905,126 |
|
| 7.50%, 03/15/25(h) |
|
|
|
|
|
|
1,002 |
|
|
|
1,029,555 |
|
| 7.45%, 05/01/34 |
|
|
|
|
|
|
188 |
|
|
|
191,760 |
|
| EnPro Industries, Inc., 5.88%, 09/15/22 |
|
|
|
|
|
|
111 |
|
|
|
113,081 |
|
| KLX, Inc., 5.88%, 12/01/22(c)(h) |
|
|
|
|
|
|
788 |
|
|
|
815,580 |
|
| Koppers, Inc., 6.00%, 02/15/25(c) |
|
|
|
|
|
|
225 |
|
|
|
226,125 |
|
| Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(c) |
|
|
|
|
|
|
298 |
|
|
|
307,685 |
|
| Moog, Inc., 5.25%, 12/01/22(c) |
|
|
|
|
|
|
270 |
|
|
|
273,713 |
|
| Pioneer Holdings LLC/Pioneer Finance Corp.,
9.00%, 11/01/22(c) |
|
|
|
|
|
|
162 |
|
|
|
167,265 |
|
| TransDigm UK Holdings PLC,
6.88%, 05/15/26(c) |
|
|
|
|
|
|
600 |
|
|
|
615,642 |
|
| TransDigm, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.00%, 07/15/22(h) |
|
|
|
|
|
|
601 |
|
|
|
607,010 |
|
| 6.50%, 07/15/24(h) |
|
|
|
|
|
|
178 |
|
|
|
180,893 |
|
| 6.50%, 05/15/25 |
|
|
|
|
|
|
299 |
|
|
|
304,232 |
|
| 6.38%, 06/15/26(h) |
|
|
|
|
|
|
447 |
|
|
|
451,749 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,298,214 |
|
| Airlines — 1.8% |
|
| Air Canada Pass-Through Trust, Series 2015-1, Class B,
3.88%, 09/15/24(c)(h) |
|
|
|
|
|
|
1,224 |
|
|
|
1,196,933 |
|
| American Airlines Pass-Through Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-2, Class A, 4.95%, 07/15/24(h) |
|
|
|
|
|
|
2,574 |
|
|
|
2,644,448 |
|
| Series 2013-2, Class B, 5.60%, 01/15/22(c)(h) |
|
|
|
|
|
|
351 |
|
|
|
357,698 |
|
| Series 2017-1, Class B, 4.95%, 08/15/26 |
|
|
|
|
|
|
1,351 |
|
|
|
1,370,736 |
|
| Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 05/10/20 |
|
|
|
|
|
|
239 |
|
|
|
238,405 |
|
| Latam Finance Ltd., 6.88%, 04/11/24(c) |
|
|
|
|
|
|
203 |
|
|
|
198,028 |
|
| United Airlines Pass-Through Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-2, Class B, 4.63%, 03/03/24(h) |
|
|
|
|
|
|
1,759 |
|
|
|
1,770,664 |
|
| Series 2015-1, Class A, 3.70%, 06/01/24 |
|
|
|
|
|
|
2,430 |
|
|
|
2,417,170 |
|
| US Airways Pass-Through Trust, Series 2011-1, Class B,
9.75%, 04/22/20 |
|
|
|
|
|
|
315 |
|
|
|
316,114 |
|
| Virgin Australia Trust, Series 2013-1(c)(h): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class A, 5.00%, 04/23/25 |
|
|
|
|
|
|