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: 08/31/2019
Date of reporting period: 02/28/2019
Item 1 – Report to Stockholders
FEBRUARY 28, 2019
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| SEMI-ANNUAL REPORT
(UNAUDITED) |
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BlackRock Floating Rate Income Strategies Fund,
Inc. (FRA)
BlackRock Limited Duration Income Trust (BLW)
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper
copies of each Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will
be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call
Computershare at (800) 699-1236 to request that you continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions
included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your
election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC or its affiliates, or all funds held with your financial intermediary, as applicable.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you
need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all
financial intermediaries may offer this service.
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| Not FDIC Insured • May Lose Value • No Bank Guarantee |
The Markets in Review
Dear Shareholder,
In the 12 months ended February 28, 2019, concerns about a
variety of political risks and a modest slowdown in global growth led to modest positive returns for the U.S. equity and bond markets. Though the market’s appetite for risk remained healthy for most of the reporting period, risk taking declined
sharply in late 2018.
Volatility rose in emerging market stocks, as the rising U.S. dollar and higher interest rates in the U.S. disrupted economic growth abroad.
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 also led to
negative performance for European equities.
Volatility in the U.S. equity market spiked in October, as a wide range of risks were brought to bear on markets,
ranging from rising interest rates and slowing global growth to heightened trade tensions and political turmoil in several countries, including the United States. These risks manifested in a broad based
sell-off in December, leading to the worst December performance on record since 1931.
By comparison, fixed income
securities delivered modest positive returns with relatively low volatility. In fixed income markets, short-term U.S. Treasury interest rates rose the fastest, while longer-term rates declined slightly. This led to positive returns for U.S.
Treasuries and a substantial flattening of the yield curve. Investment-grade and high-yield corporate bonds also posted positive returns, as the credit fundamentals in corporate markets remained relatively solid.
The U.S. Federal Reserve (the “Fed”) increased short-term interest rates four times during the reporting period. At its most recent meeting in late January,
the Fed left interest rates unchanged and signaled a slower pace of rate hikes in response to the global economic slowdown. Relatively low inflation and modest economic growth give the Fed room to maintain support for the economy until the economic
data builds the case for changing interest rates.
Although fears of recession drove equity volatility higher at the end of 2018, we continue to believe the
probability of recession in 2019 remains relatively low. Economic growth and global earnings are likely to slow somewhat in 2019 because the tax cut stimulus will be less pronounced, and the Fed’s rate hikes in 2018 will gain traction in 2019.
We expect profit margins to continue to contract, which tends to happen late in the business cycle.
In addition, trade frictions look more baked into asset prices
than a year ago, but markets may be overlooking European political risks. As Brexit moves forward, the U.K. and the European Union may face significant obstacles. Most recently, Britain’s Parliament voted to extend the deadline for the
separation, as policy makers continue to seek the least disruptive ways to disentangle Europe’s second-largest economy from the European Union. Consequently, we are cautious on European equities, as European unity remains tenuous with a history
of flare-ups. We continue to prefer to take risk in U.S. and emerging market equities. Within U.S. equities, we believe that companies with high-quality earnings and strong balance sheets offer the most
attractive risk/reward trade-off.
In this environment, investors need to think globally, extend their scope across a broad
array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
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| Total Returns as of February 28, 2019 |
| |
|
6-month |
|
12-month |
| U.S. large cap equities
(S&P
500® Index) |
|
(3.04)% |
|
4.68% |
| U.S. small cap equities
(Russell
2000® Index) |
|
(8.86) |
|
5.58 |
| International equities
(MSCI Europe, Australasia,
Far East Index) |
|
(3.58) |
|
(6.04) |
| Emerging market equities
(MSCI Emerging Markets Index) |
|
0.33 |
|
(9.89) |
| 3-month Treasury bills
(ICE BofAML 3-Month
U.S. Treasury Bill Index) |
|
1.10 |
|
2.04 |
| U.S. Treasury securities
(ICE BofAML
10-Year
U.S. Treasury Index) |
|
2.57 |
|
4.02 |
| U.S. investment grade bonds
(Bloomberg Barclays
U.S. Aggregate Bond Index) |
|
1.99 |
|
3.17 |
| Tax-exempt municipal bonds
(S&P Municipal
Bond Index) |
|
2.21 |
|
4.03 |
| U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield
2% Issuer
Capped Index) |
|
2.00 |
|
4.31 |
| Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
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| 2 |
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THIS PAGE IS NOT PART OF YOUR FUND REPORT |
Table of Contents
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| Fund Summary as of February 28, 2019 |
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BlackRock Floating Rate Income Strategies Fund, Inc. |
Fund Overview
BlackRock Floating Rate Income Strategies Fund, Inc.’s
(FRA) (the “Fund”) investment objective is to provide shareholders with high current income and such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate
debt securities and instruments. The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its managed assets in floating rate debt securities, including floating or variable rate debt
securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments
in floating rate debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade at the time of investment or, if unrated, are considered by the investment adviser to be of comparable quality. The
Fund may invest directly in floating rate debt securities or synthetically through the use of derivatives.
No assurance can be given that the Fund’s investment
objective will be achieved.
Fund Information
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|
|
| Symbol on New York Stock Exchange (“NYSE”) |
|
FRA |
| Initial Offering Date |
|
October 31, 2003 |
| Current Distribution Rate on Closing Market Price as of February 28, 2019 ($12.93)(a) |
|
5.99% |
| Current Monthly Distribution per Common
Share(b) |
|
$0.0645 |
| Current Annualized Distribution per Common
Share(b) |
|
$0.7740 |
| Economic Leverage as of February 28, 2019(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 monthly distribution per Common Share, declared on March 1, 2019, was increased to $0.0695 per share. The current
distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to
change in the future. |
|
| |
(c) |
Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund
(including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging
on page 10. |
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Market Price and Net Asset Value Per Share Summary
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02/28/19 |
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08/31/18 |
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Change |
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|
High |
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|
Low |
|
| Market Price |
|
$ |
12.93 |
|
|
$ |
13.80 |
|
|
|
(6.30 |
)% |
|
$ |
13.85 |
|
|
$ |
11.63 |
|
| Net Asset Value |
|
|
14.55 |
|
|
|
14.92 |
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|
|
(2.48 |
) |
|
|
14.98 |
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|
13.75 |
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Market Price and Net Asset Value History For the Past Five Years
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| 4 |
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2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
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| Fund Summary as of February 28, 2019 (continued) |
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BlackRock Floating Rate Income Strategies Fund, Inc. |
Performance and Portfolio Management Commentary
Returns for the period ended
February 28, 2019 were as follows:
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| |
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6-Month
Total Returns |
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Average Annual Total Returns |
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| |
|
1 Year |
|
|
3 Years |
|
|
5 Years |
|
| Fund at NAV(a)(b) |
|
|
1.03 |
% |
|
|
3.24 |
% |
|
|
7.29 |
% |
|
|
4.63 |
% |
| Fund at Market
Price(a)(b) |
|
|
(2.93 |
) |
|
|
(5.16 |
) |
|
|
7.87 |
|
|
|
3.29 |
|
| S&P/LSTA Leveraged Loan Index(c) |
|
|
1.27 |
|
|
|
3.44 |
|
|
|
6.69 |
|
|
|
3.73 |
|
| |
(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?
During the period, the largest sector
contributors to Fund performance included the technology, health care and consumer cyclical services sectors. By credit rating, the Fund’s B-rated and BB-rated positions were the largest contributors. In terms of asset allocation, the
strategy’s core floating rate loan interest (“bank loan”) positions were the largest driver of positive return.
Conversely, on a sector basis, oil
field services, chemicals and independent energy were the largest detractors. The Fund’s other positions detracted from a credit rating perspective, largely represented by bank loan liquid products. Finally, the Fund’s strategy for
tactical allocations to common equity, high yield corporate bonds and collateralized loan obligations (“CLOs”) detracted from an asset allocation perspective.
Describe recent portfolio activity.
The Fund maintained its tactical
positioning throughout the period, most notably with exposure to high yield cash bonds and CLOs. Similarly, the Fund maintained an allocation to liquid bank loan index products throughout the period, adding to and reducing this exposure as market
conditions warranted. Over the period, the Fund trimmed exposure to cable & satellite, wirelines and consumer products while adding to aerospace & defense and pharmaceuticals. From a credit quality standpoint, the portfolio remained
concentrated on the B- and BB-rated segments of the bank loan market, while maintaining a much smaller allocation to CCC-rated risk. However, the Fund’s strategy reduced this CCC-rated exposure throughout the period.
Derivative usage was modest over the period and included loan index total return swaps, high yield index total return swaps, and options on select equity and credit
exchange traded funds. Loan index exposure detracted from performance over the period, while other derivative exposures did not have a meaningful impact on performance.
Describe portfolio positioning at period end.
At period end, the Fund held
the majority of its assets in floating rate bank loans. From a sector perspective, the Fund’s largest overweight positions at period end included technology, consumer cyclical services and gaming. By contrast, the portfolio remained underweight
to retailers, leisure and automotive names on the view that these sectors face fundamental headwinds. In terms of credit rating, the Fund was largely allocated to B- and BB-rated issues. The portfolio had a much smaller allocation to CCC and
below-rated issuers with greater downside potential. Largest issuer overweight positions included Infor (US), Inc. (technology), Sedgewick Claims Management Services, Inc. (financial other) and SS&C Technologies (technology). Tactical
positioning remains focused on high yield bonds and CLOs as well as bank loan liquid products.
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.
|
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| Fund Summary as of February 28, 2019 (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc. |
Overview of the Fund’s Total Investments
PORTFOLIO COMPOSITION
|
|
|
|
|
|
|
|
|
| |
|
02/28/19 |
|
|
08/31/18 |
|
| Floating Rate Loan Interests |
|
|
93 |
% |
|
|
94 |
% |
| Investment Companies |
|
|
3 |
|
|
|
— |
(a) |
| Corporate Bonds |
|
|
2 |
|
|
|
3 |
|
| Short-Term Securities |
|
|
1 |
|
|
|
— |
(a) |
| Asset-Backed Securities |
|
|
1 |
|
|
|
3 |
|
| Common Stocks(a) |
|
|
— |
|
|
|
— |
|
|
Other(b) |
|
|
— |
|
|
|
— |
|
| |
(a) |
Representing less than 1% of the Fund’s total investments. |
|
| |
(b) |
Includes a less than 1% holding in each of the following investment types: Options Purchased, Other Interests, Preferred
Securities, Rights and Warrants. |
|
CREDIT QUALITY ALLOCATION (c)(d)
|
|
|
|
|
|
|
|
|
| |
|
02/28/19 |
|
|
08/31/18 |
|
| A(a) |
|
|
— |
|
|
|
— |
|
| BBB/Baa |
|
|
9 |
% |
|
|
8 |
% |
| BB/Ba |
|
|
35 |
|
|
|
41 |
|
| B |
|
|
50 |
|
|
|
45 |
|
| CCC/Caa |
|
|
2 |
|
|
|
4 |
|
| N/R |
|
|
4 |
|
|
|
2 |
|
| |
(c) |
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P
Global Ratings (S&P) or Moody’s Investors Service (“Moody’s”). if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are
credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit
quality ratings are subject to change. |
|
| |
(d) |
Excludes Options Purchased and Short-Term Securities. |
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|
| 6 |
|
2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Fund Summary as of February 28, 2019 |
|
BlackRock Limited Duration Income Trust |
Fund Overview
BlackRock Limited Duration Income Trust’s (BLW) (the
“Fund”) investment objective is to provide current income and capital appreciation. The Fund seeks to achieve its investment objective by investing primarily in three distinct asset classes:
| |
• |
|
intermediate duration, investment grade corporate bonds, mortgage-related securities, asset-backed securities and U.S.
Government and agency securities; |
| |
• |
|
senior, secured floating rate loans made to corporate and other business entities; and |
| |
• |
|
U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade at the time of investment or
unrated and deemed by the investment adviser to be of comparable quality and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade or unrated and deemed by the investment adviser to be of
comparable quality. |
The Fund’s portfolio normally has an average portfolio duration of less than five years (including the effect of
anticipated leverage), although it may be longer from time to time depending on market conditions. The Fund may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Fund’s investment objective will be achieved.
Fund Information
|
|
|
| Symbol on NYSE |
|
BLW |
| Initial Offering Date |
|
July 30, 2003 |
| Current Distribution Rate on Closing Market Price as of February 28, 2019 ($14.84)(a) |
|
6.43% |
| Current Monthly Distribution per Common
Share(b) |
|
$0.0795 |
| Current Annualized Distribution per Common
Share(b) |
|
$0.9540 |
| Economic Leverage as of February 28, 2019(c) |
|
25% |
| |
(a) |
Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share
by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results. |
|
| |
(b) |
The distribution rate is not constant and is subject to change. |
|
| |
(c) |
Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of
the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of
Leveraging on page 10. |
|
Market Price and Net Asset Value Per Share Summary
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
02/28/19 |
|
|
08/31/18 |
|
|
Change |
|
|
High |
|
|
Low |
|
| Market Price |
|
$ |
14.84 |
|
|
$ |
15.06 |
|
|
|
(1.46 |
)% |
|
$ |
15.09 |
|
|
$ |
13.00 |
|
| Net Asset Value |
|
|
16.54 |
|
|
|
16.71 |
|
|
|
(1.02 |
) |
|
|
16.77 |
|
|
|
15.57 |
|
Market Price and Net Asset Value History For the Past Five Years
|
|
|
| Fund Summary as of February 28, 2019 (continued) |
|
BlackRock Limited Duration Income Trust |
Performance and Portfolio Management Commentary
Returns for the period ended
February 28, 2019 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
Average Annual Total Returns |
|
| |
|
|
|
|
6-Month
Total Returns |
|
|
1 Year |
|
|
3 Years |
|
|
5 Years |
|
| Fund at NAV(a)(b) |
|
|
|
|
|
|
2.35 |
% |
|
|
4.72 |
% |
|
|
9.42 |
% |
|
|
5.89 |
% |
| Fund at Market
Price(a)(b) |
|
|
|
|
|
|
1.89 |
|
|
|
3.93 |
|
|
|
10.00 |
|
|
|
4.62 |
|
| Reference Benchmark(c) |
|
|
|
|
|
|
1.79 |
|
|
|
3.67 |
|
|
|
6.08 |
|
|
|
3.32 |
|
| Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(d) |
|
|
|
|
|
|
2.00 |
|
|
|
4.31 |
|
|
|
9.80 |
|
|
|
4.54 |
|
| S&P/LSTA Leveraged Loan Index(e) |
|
|
|
|
|
|
1.27 |
|
|
|
3.44 |
|
|
|
6.69 |
|
|
|
3.73 |
|
| BATS S
Benchmark(f) |
|
|
|
|
|
|
2.01 |
|
|
|
3.17 |
|
|
|
1.81 |
|
|
|
1.62 |
|
| |
(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 over the period were its allocations to floating rate loan interests (“bank loans”), high yield corporate bonds and asset-backed securities (“ABS”). The Fund’s duration (sensitivity to interest rate
changes) and yield curve positioning also contributed to returns.
The largest detractor from the Fund’s performance came from exposure to investment grade
corporate bonds and mortgage-backed securities (“MBS”).
Describe recent portfolio activity.
Given the investment adviser’s view that both interest rates and the London Inter-bank Offering Rate (“LIBOR”) (a common reference rate for bank loans)
would move higher, the Fund’s allocation was rotated to a more defensive posture during the period. The allocation to high yield corporates was reduced by more than 30% during the period, with the proceeds rotated into floating rate bank loans
in an effort to protect the Fund from higher funding costs associated with rising LIBOR rates. 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, bank loans, investment grade corporate bonds, commercial mortgage-backed securities, ABS, agency and non-agency residential MBS. Additionally,
the Fund held emerging market debt and foreign sovereign debt.
The views expressed reflect the
opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
|
|
|
| 8 |
|
2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Fund Summary as of February 28, 2019 (continued) |
|
BlackRock Limited Duration Income Trust |
Overview of the Fund’s Total Investments
PORTFOLIO COMPOSITION
|
|
|
|
|
|
|
|
|
| |
|
02/28/19 |
|
|
08/31/18 |
|
| Corporate Bonds |
|
|
46 |
% |
|
|
45 |
% |
| Floating Rate Loan Interests |
|
|
30 |
|
|
|
29 |
|
| Preferred Securities |
|
|
7 |
|
|
|
7 |
|
| Asset-Backed Securities |
|
|
5 |
|
|
|
8 |
|
| U.S. Government Sponsored Agency Securities |
|
|
4 |
|
|
|
3 |
|
| Foreign Agency Obligations |
|
|
2 |
|
|
|
3 |
|
| U.S. Treasury Obligations |
|
|
2 |
|
|
|
— |
|
| Non-Agency Mortgage-Backed Securities |
|
|
2 |
|
|
|
5 |
|
| Investment Companies |
|
|
1 |
|
|
|
— |
|
| Short-Term Securities |
|
|
1 |
|
|
|
— |
(a) |
|
Other(b) |
|
|
— |
|
|
|
— |
|
| |
(a) |
Representing less than 1% of the Fund’s total investments. |
|
| |
(b) |
Includes a less than 1% holding in each of the following investment types: Common Stocks, Other Interests, and Warrants.
|
|
CREDIT QUALITY ALLOCATION (c)(d)
|
|
|
|
|
|
|
|
|
| |
|
02/28/19 |
|
|
08/31/18 |
|
| AAA/Aaa |
|
|
6 |
% |
|
|
4 |
% |
| AA/Aa |
|
|
1 |
|
|
|
1 |
|
| A |
|
|
5 |
|
|
|
5 |
|
| BBB/Baa |
|
|
16 |
|
|
|
21 |
|
| BB/Ba |
|
|
34 |
|
|
|
31 |
|
| B |
|
|
29 |
|
|
|
27 |
|
| CCC/Caa |
|
|
5 |
|
|
|
6 |
|
| N/R(e) |
|
|
4 |
|
|
|
5 |
|
| |
(c) |
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P
or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings
are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
|
| |
(d) |
Excludes Options Purchased, Options Written and Short-Term Securities. |
|
| |
(e) |
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, there is no guarantee that these objectives can 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 (after paying the leverage costs) is paid to shareholders in the form of dividends,
and the value of these portfolio holdings (less the leverage liability) 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 amount 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 331⁄3% 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 assets 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 |
|
2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited)
February 28, 2019 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
Shares |
|
|
Value |
|
|
| Common Stocks — 0.2% |
|
|
| Chemicals — 0.0% |
|
| GEO Specialty Chemicals, Inc.(a)(b) |
|
|
|
|
|
|
1,108,709 |
|
|
$ |
210,654 |
|
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services — 0.1% |
|
| Kcad Holdings I Ltd.(a)(b) |
|
|
|
|
|
|
309,827,230 |
|
|
|
594,868 |
|
|
|
|
|
|
|
|
|
|
|
| Health Care Management Services — 0.0% |
|
| New Millennium HoldCo, Inc.(b) |
|
|
|
|
|
|
14,906 |
|
|
|
641 |
|
|
|
|
|
|
|
|
|
|
|
| Metals & Mining — 0.0% |
|
| Preferred Proppants LLC(a) |
|
|
|
|
|
|
12,198 |
|
|
|
30,495 |
|
|
|
|
|
|
|
|
|
|
|
| Semiconductors & Semiconductor Equipment — 0.0% |
|
| SunPower Corp.(b) |
|
|
|
|
|
|
1,860 |
|
|
|
11,997 |
|
|
|
|
|
|
|
|
|
|
|
| Software — 0.0% |
|
| Avaya Holdings Corp.(b) |
|
|
|
|
|
|
62 |
|
|
|
960 |
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 0.1% |
|
| Texgen LLC(a)(b) |
|
|
|
|
|
|
8,431 |
|
|
|
324,594 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stocks — 0.2%
(Cost — $4,368,392) |
|
|
|
1,174,209 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Par
(000) |
|
|
|
|
|
| Asset-Backed Securities — 1.0% |
|
| Allegro CLO II-S Ltd.,
Series 2014-1RA, Class B, 4.91%, 10/21/28(c)(d) |
|
|
USD |
|
|
|
250 |
|
|
|
246,668 |
|
| Ares XXXVR CLO Ltd., Series 2015-35RA, Class C, 4.69%, 07/15/30(c)(d) |
|
|
|
|
|
|
350 |
|
|
|
337,227 |
|
| Cedar Funding II CLO Ltd., Series 2013-1A, Class A1R, (3
mo. LIBOR US + 1.23%), 3.83%, 06/09/30(c)(e) |
|
|
|
|
|
|
500 |
|
|
|
498,546 |
|
| CIFC Funding Ltd., Series 2018-4A, Class B,
4.53%, 10/17/31(c)(d) |
|
|
|
|
|
|
425 |
|
|
|
413,796 |
|
| Golden Tree Loan Management US CLO Ltd., Series 2017-1A,
Class C, (3 mo. LIBOR US + 2.20%), 4.96%, 04/20/29(c)(e) |
|
|
|
|
|
|
250 |
|
|
|
247,032 |
|
| Harbor Park CLO Ltd., Series 2018-1A, Class B1,
4.54%, 01/20/31(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
498,256 |
|
| LCM XVIII LP, Series 18A, Class INC, 0.00%, 04/20/31(c)(d) |
|
|
|
|
|
|
1,250 |
|
|
|
722,962 |
|
| LCM XXIV Ltd., Series 24A, Class C, (3 mo. LIBOR US + 2.25%), 5.01%, 03/20/30(c)(e) |
|
|
|
|
|
|
500 |
|
|
|
490,002 |
|
| OZLM XIX Ltd., Series 2017-19A, Class C,
5.89%, 11/22/30(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
247,083 |
|
| Palmer Square CLO Ltd., Series 2018-1A, Class A2,
4.23%, 04/18/31(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
244,192 |
|
| RR 5 Ltd., Series 2018-5A, Class B, 5.04%, 10/15/31(c)(d) |
|
|
|
|
|
|
750 |
|
|
|
734,118 |
|
| TICP CLO XII Ltd., Series 2018-12A, Class C,
4.81%, 01/15/31(c)(d) |
|
|
|
|
|
|
250 |
|
|
|
244,063 |
|
| Voya CLO Ltd., Series 2014-4A, Class BR2,
4.89%, 07/14/31(c)(d) |
|
|
|
|
|
|
400 |
|
|
|
389,682 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities — 1.0%
(Cost — $5,690,443) |
|
|
|
5,313,627 |
|
|
|
|
|
|
|
|
| Corporate Bonds — 3.3% |
|
|
| Aerospace & Defense — 0.5% |
|
| TransDigm, Inc., 6.25%, 03/15/26(c) |
|
|
|
|
|
|
2,502 |
|
|
|
2,558,295 |
|
|
|
|
|
|
|
|
|
|
|
| Banks — 0.0% |
|
| CIT Group, Inc., 5.00%, 08/01/23 |
|
|
|
|
|
|
135 |
|
|
|
140,117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Capital Markets — 0.3% |
|
| Blackstone CQP Holdco LP(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.50%, 03/20/21 |
|
|
USD |
|
|
|
1,536 |
|
|
$
|
1,534,080 |
|
| 6.00%, 08/18/21 |
|
|
|
|
|
|
249 |
|
|
|
246,510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,780,590 |
|
|
| Chemicals — 0.6% |
|
| Chemours Co., 6.63%, 05/15/23 |
|
|
|
|
|
|
800 |
|
|
|
830,040 |
|
| GEO Specialty Chemicals, Inc.,
15.24%, 10/18/25(a) |
|
|
|
|
|
|
1,984 |
|
|
|
2,103,891 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,933,931 |
|
|
| Diversified Consumer Services — 0.1% |
|
| Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 05/15/23(c) |
|
|
|
|
|
|
421 |
|
|
|
443,945 |
|
|
|
|
|
|
|
|
|
|
|
| Electric Utilities — 0.0% |
|
| Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 10/01/20(a) |
|
|
|
|
|
|
1,061 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
| Health Care Providers & Services — 0.0% |
|
| NVA Holdings, Inc., 6.88%, 04/01/26(c) |
|
|
|
|
|
|
188 |
|
|
|
181,420 |
|
|
|
|
|
|
|
|
|
|
|
| Health Care Services — 0.0% |
|
| Aveta, Inc. Escrow, 7.00%, 04/01/19(a) |
|
|
|
|
|
|
1,347 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
| Machinery — 0.0% |
|
| Colfax Corp., 6.00%, 02/15/24(c) |
|
|
|
|
|
|
203 |
|
|
|
209,598 |
|
|
|
|
|
|
|
|
|
|
|
| Media — 0.3% |
|
| Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.63%, 03/15/20 |
|
|
|
|
|
|
545 |
|
|
|
545,273 |
|
| 6.50%, 11/15/22 |
|
|
|
|
|
|
968 |
|
|
|
989,780 |
|
| CSC Holdings LLC, 10.88%, 10/15/25(c) |
|
|
|
|
|
|
79 |
|
|
|
91,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,626,693 |
|
|
| Metals & Mining — 0.3% |
|
| Freeport-McMoRan, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.55%, 03/01/22 |
|
|
|
|
|
|
1,070 |
|
|
|
1,057,962 |
|
| 3.88%, 03/15/23 |
|
|
|
|
|
|
625 |
|
|
|
615,925 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,673,887 |
|
|
| Oil, Gas & Consumable Fuels — 0.8% |
|
| CNX Resources Corp., 5.88%, 04/15/22 |
|
|
|
|
|
|
2,252 |
|
|
|
2,274,520 |
|
| CONSOL Energy, Inc., 11.00%, 11/15/25(c) |
|
|
|
|
|
|
985 |
|
|
|
1,120,437 |
|
| Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(c) |
|
|
|
|
|
|
852 |
|
|
|
732,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,127,677 |
|
|
| Pharmaceuticals — 0.0% |
|
| Bausch Health Cos., Inc.,
5.75%, 08/15/27(c)(f) |
|
|
|
|
|
|
91 |
|
|
|
91,796 |
|
|
|
|
|
|
|
|
|
|
|
| Software — 0.4% |
|
| Infor US, Inc., 6.50%, 05/15/22 |
|
|
|
|
|
|
1,176 |
|
|
|
1,199,249 |
|
| Informatica LLC, 7.13%, 07/15/23(c) |
|
|
|
|
|
|
658 |
|
|
|
666,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,865,553 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Bonds — 3.3%
(Cost — $18,373,169) |
|
|
|
17,633,502 |
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests(e)
— 131.6% |
|
|
| Aerospace & Defense — 2.8% |
|
| Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.49%, 08/18/24 |
|
|
|
|
|
|
3,710 |
|
|
|
3,706,285 |
|
| Atlantic Aviation FBO, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.27%, 11/29/25(a) |
|
|
|
|
|
|
1,172 |
|
|
|
1,179,325 |
|
| DAE Aviation Holdings, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.24%, 07/07/22 |
|
|
|
|
|
|
504 |
|
|
|
504,124 |
|
| 2019 Term Loan B, 01/23/26(g) |
|
|
|
|
|
|
3,070 |
|
|
|
3,077,021 |
|
| Term Loan, 01/23/26(g) |
|
|
|
|
|
|
1,650 |
|
|
|
1,654,312 |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
11 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Aerospace & Defense (continued) |
|
| TransDigm, Inc., 2018 Term Loan F, 06/09/23(g) |
|
|
USD |
|
|
|
4,371 |
|
|
$
|
4,316,128 |
|
| WP CPP Holdings LLC, 2018 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor),
6.51%, 04/30/25 |
|
|
|
|
|
|
401 |
|
|
|
399,323 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,836,518 |
|
|
| Air Freight & Logistics — 0.3% |
|
| Avolon TLB Borrower 1 (US) LLC, Term Loan B3,
01/15/25(g) |
|
|
|
|
|
|
1,197 |
|
|
|
1,262,420 |
|
| XPO Logistics, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 02/24/25 |
|
|
|
|
|
|
266 |
|
|
|
263,238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,525,658 |
|
|
| Airlines — 0.6% |
|
| Allegiant Travel Co., Term Loan B, (3 mo. LIBOR + 4.50%), 7.23%, 01/15/24(a) |
|
|
|
|
|
|
1,497 |
|
|
|
1,493,257 |
|
| American Airlines, Inc.(g): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, 10/12/21 |
|
|
|
|
|
|
1,230 |
|
|
|
1,224,479 |
|
| Repriced TL B due 2023, 04/28/23 |
|
|
|
|
|
|
513 |
|
|
|
505,565 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,223,301 |
|
|
| Auto Components — 0.7% |
|
| USI, Inc., 2017 Repriced Term Loan, 05/16/24(g) |
|
|
|
|
|
|
2,196 |
|
|
|
2,174,462 |
|
| Wand NewCo 3, Inc., 2019 1st Lien Term Loan,
02/05/26(g) |
|
|
|
|
|
|
1,423 |
|
|
|
1,426,202 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,600,664 |
|
|
| Banks — 0.3% |
|
| Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.99%, 11/01/24 |
|
|
|
|
|
|
1,621 |
|
|
|
1,594,981 |
|
|
|
|
|
|
|
|
|
|
|
| Beverages — 0.2% |
|
| Jacobs Douwe Egberts International BV, 2018 USD Term Loan B, (1 mo. LIBOR + 2.00%),
4.56%, 11/01/25 |
|
|
|
|
|
|
817 |
|
|
|
811,319 |
|
|
|
|
|
|
|
|
|
|
|
| Building Materials — 0.2% |
|
| Allied Universal HoldCo LLC, 2015 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor),
6.24%, 07/28/22 |
|
|
|
|
|
|
834 |
|
|
|
818,310 |
|
| USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (1 mo. LIBOR + 8.50%, 1.00% Floor),
10.99%, 07/28/23 |
|
|
|
|
|
|
456 |
|
|
|
439,517 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,257,827 |
|
|
| Building Products — 1.0% |
|
| CPG International, Inc., 2017 Term Loan, (6 mo. LIBOR + 3.75%, 1.00% Floor), 6.63%, 05/05/24(a) |
|
|
|
|
|
|
1,427 |
|
|
|
1,416,259 |
|
| Jeld-Wen, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.00%),
4.80%, 12/14/24 |
|
|
|
|
|
|
1,205 |
|
|
|
1,184,229 |
|
| Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 6.06%, 12/19/23 |
|
|
|
|
|
|
2,693 |
|
|
|
2,672,735 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,273,223 |
|
|
| Capital Markets — 1.6% |
|
| Duff & Phelps Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.74%, 02/13/25 |
|
|
|
|
|
|
854 |
|
|
|
837,017 |
|
| EIG Management Co. LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.24%, 02/22/25 |
|
|
|
|
|
|
1,691 |
|
|
|
1,680,699 |
|
| Fortress Investment Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 12/27/22 |
|
|
|
|
|
|
1,337 |
|
|
|
1,326,740 |
|
| Greenhill & Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor),
6.46%, 10/12/22 |
|
|
|
|
|
|
1,478 |
|
|
|
1,482,134 |
|
| GreenSky Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.75%, 03/31/25 |
|
|
|
|
|
|
1,067 |
|
|
|
1,056,940 |
|
| RPI Finance Trust, Term Loan B6, 03/27/23(g) |
|
|
|
|
|
|
2,403 |
|
|
|
2,398,279 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,781,809 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Chemicals — 5.6% |
|
| Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.80%, 01/31/24 |
|
|
USD |
|
|
|
4,767 |
|
|
$
|
4,679,831 |
|
| Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%),
4.55%, 06/01/24 |
|
|
|
|
|
|
3,551 |
|
|
|
3,512,180 |
|
| Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor),
5.24%, 05/16/24 |
|
|
|
|
|
|
1,433 |
|
|
|
1,399,438 |
|
| Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 4.25%, 04/03/25 |
|
|
|
|
|
|
1,443 |
|
|
|
1,427,042 |
|
| Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00%
Floor), 6.30%, 06/28/24 |
|
|
|
|
|
|
614 |
|
|
|
608,239 |
|
| Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 11/07/24 |
|
|
|
|
|
|
1,037 |
|
|
|
1,022,466 |
|
| Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.75%), 6.53%, 07/09/19 |
|
|
|
|
|
|
439 |
|
|
|
416,035 |
|
| Invictus US LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (2 mo. LIBOR + 3.00%), 5.58%, 03/28/25 |
|
|
|
|
|
|
1,636 |
|
|
|
1,629,672 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 9.24%, 03/25/26(a) |
|
|
|
|
|
|
430 |
|
|
|
425,700 |
|
| Messer Industries LLC, 2018 USD Term Loan,
10/01/25(g) |
|
|
|
|
|
|
4,371 |
|
|
|
4,338,217 |
|
| Oxea Holding Drei GmbH, 2017 Term Loan B2, (1 mo. LIBOR + 3.50%), 6.06%, 10/14/24 |
|
|
|
|
|
|
3,646 |
|
|
|
3,630,913 |
|
| Plaskolite LLC, 1st Lien Term Loan, 12/12/25(g) |
|
|
|
|
|
|
1,029 |
|
|
|
1,031,713 |
|
| PQ Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 5.24%, 02/08/25 |
|
|
|
|
|
|
2,719 |
|
|
|
2,698,137 |
|
| Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.25%), 5.76%, 10/01/25 |
|
|
|
|
|
|
1,598 |
|
|
|
1,587,022 |
|
| Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor),
5.56%, 08/07/20 |
|
|
|
|
|
|
422 |
|
|
|
419,353 |
|
| Vectra Co., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 03/08/25 |
|
|
|
|
|
|
942 |
|
|
|
900,655 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,726,613 |
|
|
| Commercial Services & Supplies — 7.9% |
|
| Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%),
4.67%, 11/10/23 |
|
|
|
|
|
|
3,140 |
|
|
|
3,135,129 |
|
| Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 4.24%, 03/11/25 |
|
|
|
|
|
|
274 |
|
|
|
272,514 |
|
| Asurion LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.99%, 08/04/25 |
|
|
|
|
|
|
2,292 |
|
|
|
2,325,899 |
|
| 2017 Term Loan B4, (1 mo. LIBOR + 3.00%), 5.49%, 08/04/22 |
|
|
|
|
|
|
1,748 |
|
|
|
1,746,214 |
|
| 2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 5.49%, 11/03/23 |
|
|
|
|
|
|
2,983 |
|
|
|
2,980,066 |
|
| 2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 5.49%, 11/03/24 |
|
|
|
|
|
|
1,174 |
|
|
|
1,173,372 |
|
| BrightView Landscapes LLC, 2018 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%),
5.00%, 08/15/25 |
|
|
|
|
|
|
1,875 |
|
|
|
1,869,150 |
|
| Camelot UK Holdco Ltd., 2017 Repriced Term Loan,
10/03/23(g) |
|
|
|
|
|
|
5,085 |
|
|
|
5,064,330 |
|
| Catalent Pharma Solutions, Inc., Term Loan B, (1 mo. LIBOR + 2.25%, 1.00% Floor),
4.74%, 05/20/24 |
|
|
|
|
|
|
1,913 |
|
|
|
1,904,871 |
|
| Creative Artists Agency LLC, 2018 Term Loan B, (PRIME + 2.00%), 5.48%, 02/15/24 |
|
|
|
|
|
|
3,037 |
|
|
|
3,012,755 |
|
| EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor),
6.55%, 05/09/25 |
|
|
|
|
|
|
581 |
|
|
|
510,380 |
|
|
|
|
| 12 |
|
2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Commercial Services & Supplies (continued) |
|
| GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.49%, 05/30/25 |
|
|
USD |
|
|
|
3,274 |
|
|
$
|
3,216,514 |
|
| Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor),
7.55%, 11/03/23 |
|
|
|
|
|
|
883 |
|
|
|
834,464 |
|
| KAR Auction Services, Inc., Term Loan B5, (3 mo. LIBOR + 2.50%), 5.31%, 03/09/23(a) |
|
|
|
|
|
|
2,511 |
|
|
|
2,504,267 |
|
| Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor),
5.24%, 05/02/22 |
|
|
|
|
|
|
2,760 |
|
|
|
2,750,969 |
|
| Verisure Holding AB, EUR Term Loan B1E, (EURIBOR + 3.00%), 3.00%, 10/20/22 |
|
|
EUR |
|
|
|
1,000 |
|
|
|
1,123,550 |
|
| Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 6.99%, 08/27/25(a) |
|
|
USD |
|
|
|
4,996 |
|
|
|
5,002,511 |
|
| West Corp., 2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.63%, 10/10/24 |
|
|
|
|
|
|
3,271 |
|
|
|
3,089,353 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,516,308 |
|
|
| Communications Equipment — 1.2% |
|
| Avantor, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor),
6.57%, 11/21/24 |
|
|
|
|
|
|
3,865 |
|
|
|
3,871,607 |
|
| Avaya, Inc., 2018 Term Loan B, (2 mo. LIBOR + 4.25%), 6.78%, 12/15/24 |
|
|
|
|
|
|
1,454 |
|
|
|
1,451,293 |
|
| Ciena Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.48%, 09/26/25 |
|
|
|
|
|
|
1,064 |
|
|
|
1,062,241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,385,141 |
|
|
| Construction & Engineering — 1.4% |
|
| AECOM, Term Loan B, (1 mo. LIBOR + 1.75%), 4.24%, 03/13/25 |
|
|
|
|
|
|
723 |
|
|
|
712,849 |
|
| Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, 06/21/24(g) |
|
|
|
|
|
|
3,194 |
|
|
|
3,115,137 |
|
| Pike Corp., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.00%, 03/23/25 |
|
|
|
|
|
|
777 |
|
|
|
776,245 |
|
| Ply Gem Midco, Inc., 2018 Term Loan, (3 mo. LIBOR + 3.75%), 6.55%, 04/12/25 |
|
|
|
|
|
|
454 |
|
|
|
440,811 |
|
| SRS Distribution, Inc., 2018 1st Lien Term Loan,
05/23/25(g) |
|
|
|
|
|
|
1,387 |
|
|
|
1,358,212 |
|
| USIC Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.74%, 12/08/23 |
|
|
|
|
|
|
913 |
|
|
|
900,093 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,303,347 |
|
|
| Construction Materials — 1.9% |
|
| Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor),
5.72%, 08/01/24 |
|
|
|
|
|
|
3,130 |
|
|
|
3,101,484 |
|
| Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%),
5.49%, 03/29/25 |
|
|
|
|
|
|
4,893 |
|
|
|
4,872,230 |
|
| Foundation Building Materials LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.49%, 08/13/25(a) |
|
|
|
|
|
|
812 |
|
|
|
795,787 |
|
| GYP Holdings III Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 5.74%, 06/01/25 |
|
|
|
|
|
|
430 |
|
|
|
416,762 |
|
| Xella International GmbH, 2017 EUR Term Loan B, (Euribor + 4.00%), 4.00%, 04/11/24 |
|
|
EUR |
|
|
|
1,000 |
|
|
|
1,119,205 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,305,468 |
|
|
| Containers & Packaging — 1.6% |
|
| Berry Global, Inc., Term Loan Q, 10/01/22(g) |
|
|
USD |
|
|
|
4,540 |
|
|
|
4,524,360 |
|
| BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 6.03%, 04/03/24 |
|
|
|
|
|
|
1,912 |
|
|
|
1,871,748 |
|
| Flex Acquisition Co., Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, 12/29/23(g) |
|
|
|
|
|
|
746 |
|
|
|
732,087 |
|
| 2018 Incremental Term Loan, (1 mo. LIBOR + 3.25%), 5.76%, 06/29/25 |
|
|
|
|
|
|
1,514 |
|
|
|
1,489,528 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,617,723 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Distributors — 1.1% |
|
| American Builders & Contractors Supply Co., Inc., 2018 Term Loan B, 10/31/23(g) |
|
|
USD |
|
|
|
3,126 |
|
|
$
|
3,104,386 |
|
| TriMark USA LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 6.00%, 08/28/24 |
|
|
|
|
|
|
3,284 |
|
|
|
2,837,681 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,942,067 |
|
|
| Diversified Consumer Services — 3.4% |
|
| Ascend Learning LLC, 2017 Term Loan B,
07/12/24(a)(g) |
|
|
|
|
|
|
1,360 |
|
|
|
1,346,833 |
|
| Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%),
4.24%, 11/07/23 |
|
|
|
|
|
|
2,903 |
|
|
|
2,875,950 |
|
| CHG PPC Parent LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 03/31/25(a) |
|
|
|
|
|
|
692 |
|
|
|
684,610 |
|
| Equian LLC, Add on Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 05/20/24 |
|
|
|
|
|
|
1,863 |
|
|
|
1,835,622 |
|
| Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%),
6.55%, 07/12/25 |
|
|
|
|
|
|
1,398 |
|
|
|
1,391,502 |
|
| J.D. Power and Associates, 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor),
6.24%, 09/07/23 |
|
|
|
|
|
|
1,389 |
|
|
|
1,380,553 |
|
| Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%),
4.74%, 05/15/24 |
|
|
|
|
|
|
1,177 |
|
|
|
1,153,437 |
|
| Serta Simmons Bedding LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.01%, 11/08/23 |
|
|
|
|
|
|
953 |
|
|
|
791,274 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 10.49%, 11/08/24 |
|
|
|
|
|
|
126 |
|
|
|
84,188 |
|
| ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 11/08/23 |
|
|
|
|
|
|
962 |
|
|
|
956,978 |
|
| Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor),
6.03%, 11/14/22 |
|
|
|
|
|
|
2,985 |
|
|
|
2,951,960 |
|
| Uber Technologies, 2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor),
6.52%, 04/04/25 |
|
|
|
|
|
|
1,294 |
|
|
|
1,293,500 |
|
| Weight Watchers International, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.75%),
7.56%, 11/29/24 |
|
|
|
|
|
|
1,544 |
|
|
|
1,495,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,241,787 |
|
|
| Diversified Financial Services — 1.9% |
|
| AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor),
5.24%, 04/04/24 |
|
|
|
|
|
|
4,032 |
|
|
|
4,022,175 |
|
| CRCI Longhorn Holdings, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%),
6.02%, 08/08/25 |
|
|
|
|
|
|
731 |
|
|
|
716,544 |
|
| Edelman Financial Center LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%),
6.04%, 07/21/25 |
|
|
|
|
|
|
785 |
|
|
|
783,367 |
|
| EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 6.81%, 02/07/25 |
|
|
|
|
|
|
1,193 |
|
|
|
1,160,694 |
|
| Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor),
5.99%, 07/03/24 |
|
|
|
|
|
|
1,935 |
|
|
|
1,921,211 |
|
| LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.99%, 09/06/25 |
|
|
|
|
|
|
1,033 |
|
|
|
1,008,866 |
|
| SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (2 mo. LIBOR + 4.25%), 6.90%, 07/30/25 |
|
|
|
|
|
|
730 |
|
|
|
721,043 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,333,900 |
|
|
| Diversified Telecommunication Services — 4.2% |
|
| CenturyLink, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan A, (1 mo. LIBOR + 2.75%), 5.24%, 11/01/22 |
|
|
|
|
|
|
607 |
|
|
|
604,009 |
|
| 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 01/31/25 |
|
|
|
|
|
|
2,850 |
|
|
|
2,804,321 |
|
| Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.50%, 10/04/23 |
|
|
|
|
|
|
413 |
|
|
|
401,855 |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
13 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Diversified Telecommunication Services (continued) |
|
| Frontier Communications Corp., Delayed Draw Term Loan A, (1 mo. LIBOR + 2.75%),
5.25%, 03/31/21 |
|
|
USD |
|
|
|
837 |
|
|
$
|
824,772 |
|
| Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.49%, 05/16/24 |
|
|
|
|
|
|
1,492 |
|
|
|
1,474,561 |
|
| Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.73%, 02/22/24 |
|
|
|
|
|
|
2,862 |
|
|
|
2,848,694 |
|
| MTN Infrastructure TopCo, Inc, 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.49%, 11/15/24 |
|
|
|
|
|
|
1,917 |
|
|
|
1,903,939 |
|
| Sprint Communications, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 5.00%, 02/02/24 |
|
|
|
|
|
|
1,634 |
|
|
|
1,611,693 |
|
| 2018 Term Loan B, 02/02/24(g) |
|
|
|
|
|
|
1,539 |
|
|
|
1,519,762 |
|
| TDC A/S, Term Loan, (EURIBOR + 2.75%), 2.75%, 06/04/25 |
|
|
EUR |
|
|
|
820 |
|
|
|
931,646 |
|
| Telenet Financing USD LLC, Term Loan AN, (1 mo. LIBOR + 2.25%), 4.74%, 08/15/26 |
|
|
USD |
|
|
|
2,982 |
|
|
|
2,938,302 |
|
| Telesat Canada, Term Loan B4, (3 mo. LIBOR + 2.50%), 5.31%, 11/17/23 |
|
|
|
|
|
|
812 |
|
|
|
807,585 |
|
| Virgin Media Investment Holdings Ltd., Term Loan L, (LIBOR GBP + 3.25%), 3.98%, 01/15/27 |
|
|
GBP |
|
|
|
1,000 |
|
|
|
1,309,439 |
|
| Zayo Group LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Incremental Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.74%, 01/19/24 |
|
|
USD |
|
|
|
290 |
|
|
|
288,318 |
|
| 2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 4.49%, 01/19/21 |
|
|
|
|
|
|
2,359 |
|
|
|
2,348,973 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,617,869 |
|
|
| Electric Utilities — 0.9% |
|
| Dayton Power & Light Co., Term Loan B, (1 mo. LIBOR + 2.00%), 4.50%, 08/24/22(a) |
|
|
|
|
|
|
514 |
|
|
|
512,159 |
|
| TEX Operations Co. LLC, Exit Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 08/04/23 |
|
|
|
|
|
|
2,020 |
|
|
|
2,013,578 |
|
| Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 1.00%, 11/10/19(a) |
|
|
|
|
|
|
1,710 |
|
|
|
— |
|
| Vistra Energy Corp., 1st Lien Term Loan B3, (1 mo. LIBOR + 2.00%), 4.48%, 12/31/25 |
|
|
|
|
|
|
1,969 |
|
|
|
1,959,833 |
|
| Vistra Operations Co. LLC, 2016 Term Loan B2, (1 mo. LIBOR + 2.25%), 4.74%, 12/14/23 |
|
|
|
|
|
|
365 |
|
|
|
364,299 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,849,869 |
|
|
| Electrical Equipment — 0.8% |
|
| Gates Global LLC, 2017 Repriced Term Loan B,
04/01/24(g) |
|
|
|
|
|
|
4,306 |
|
|
|
4,289,477 |
|
|
|
|
|
|
|
|
|
|
|
| Energy Equipment & Services — 1.2% |
|
| Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor),
8.49%, 03/01/24 |
|
|
|
|
|
|
985 |
|
|
|
781,445 |
|
| GrafTech Finance, Inc., 2018 Term Loan B,
02/12/25(g) |
|
|
|
|
|
|
1,923 |
|
|
|
1,916,176 |
|
| Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor),
10.23%, 11/08/22 |
|
|
|
|
|
|
845 |
|
|
|
840,775 |
|
| Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor),
8.80%, 02/21/21 |
|
|
|
|
|
|
617 |
|
|
|
514,691 |
|
| Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.30%), 4.80%, 07/13/20 |
|
|
|
|
|
|
1,061 |
|
|
|
1,036,940 |
|
| Woodford Express LLC, 2018 Term Loan B, (1 mo. LIBOR + 5.00%, 1.00% Floor),
7.49%, 01/17/25 |
|
|
|
|
|
|
1,202 |
|
|
|
1,159,003 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,249,030 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Equity Real Estate Investment Trusts (REITs) — 2.5% |
|
| Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor),
5.00%, 03/24/24 |
|
|
USD |
|
|
|
759 |
|
|
$
|
746,519 |
|
| Iron Mountain, Inc., 2018 Term Loan B,
01/02/26(a)(g) |
|
|
|
|
|
|
1,085 |
|
|
|
1,063,271 |
|
| MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, 03/21/25(g) |
|
|
|
|
|
|
5,097 |
|
|
|
5,066,244 |
|
| RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.78%, 05/11/24 |
|
|
|
|
|
|
1,346 |
|
|
|
1,338,878 |
|
| VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%),
4.48%, 12/20/24 |
|
|
|
|
|
|
5,381 |
|
|
|
5,347,206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,562,118 |
|
|
| Food & Staples Retailing — 1.6% |
|
| Albertsons LLC, Term Loan B7, 11/17/25(g) |
|
|
|
|
|
|
1,887 |
|
|
|
1,872,449 |
|
| Hearthside Food Solutions LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 Incremental Term Loan, 05/23/25(g) |
|
|
|
|
|
|
1,892 |
|
|
|
1,881,594 |
|
| 2018 Term Loan B, (1 mo. LIBOR + 3.68%), 6.18%, 05/23/25 |
|
|
|
|
|
|
582 |
|
|
|
574,206 |
|
| Hostess Brands LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 4.89%, 08/03/22 |
|
|
|
|
|
|
2,533 |
|
|
|
2,493,722 |
|
| US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 06/27/23 |
|
|
|
|
|
|
1,598 |
|
|
|
1,587,361 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,409,332 |
|
|
| Food Products — 2.7% |
|
| 8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%),
6.26%, 10/01/25 |
|
|
|
|
|
|
574 |
|
|
|
574,718 |
|
| Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%, 10/10/23 |
|
|
|
|
|
|
2,213 |
|
|
|
2,146,135 |
|
| JBS USA LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 5.26%, 10/30/22 |
|
|
|
|
|
|
5,015 |
|
|
|
4,999,596 |
|
| Post Holdings, Inc., 2017 Series A Incremental Term Loan, (1 mo. LIBOR + 2.00%),
4.49%, 05/24/24 |
|
|
|
|
|
|
1,579 |
|
|
|
1,572,631 |
|
| Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 5.24%, 02/05/23 |
|
|
|
|
|
|
5,074 |
|
|
|
5,048,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,341,205 |
|
|
| Gas Utilities — 0.3% |
|
| AL Midcoast Holdings LLC, 2018 Term Loan B,
07/31/25(g) |
|
|
|
|
|
|
1,582 |
|
|
|
1,567,306 |
|
|
|
|
|
|
|
|
|
|
|
| Health Care Equipment & Supplies — 2.1% |
|
| Agiliti Health, Inc., Term Loan, (UNFND + 3.00%), 5.56%, 01/04/26(a) |
|
|
|
|
|
|
737 |
|
|
|
736,079 |
|
| CryoLife, Inc., Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 6.05%, 11/14/24(a) |
|
|
|
|
|
|
1,822 |
|
|
|
1,821,600 |
|
| Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor),
7.80%, 06/15/21 |
|
|
|
|
|
|
3,544 |
|
|
|
3,540,166 |
|
| Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 5.55%, 09/24/24 |
|
|
|
|
|
|
835 |
|
|
|
798,786 |
|
| Orchid Orthopedic Solutions LLC, 1st Lien Term Loan,
02/26/26(a)(g) |
|
|
|
|
|
|
611 |
|
|
|
607,945 |
|
| Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.25%),
5.75%, 06/30/25 |
|
|
|
|
|
|
3,892 |
|
|
|
3,849,535 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,354,111 |
|
|
| Health Care Providers & Services — 7.2% |
|
| Acadia Healthcare Co., Inc., 2018 Term Loan B4, (1 mo. LIBOR + 2.50%),
4.99%, 02/16/23 |
|
|
|
|
|
|
597 |
|
|
|
595,070 |
|
| AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor),
6.99%, 06/30/25 |
|
|
|
|
|
|
824 |
|
|
|
824,544 |
|
| CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, 06/07/23(g) |
|
|
|
|
|
|
4,020 |
|
|
|
3,999,133 |
|
|
|
|
| 14 |
|
2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Health Care Providers & Services (continued) |
|
| Concentra, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.27%, 06/01/22 |
|
|
USD |
|
|
|
1,840 |
|
|
$
|
1,828,822 |
|
| 2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 1.00% Floor), 9.02%, 06/01/23 |
|
|
|
|
|
|
1,870 |
|
|
|
1,870,000 |
|
| DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 06/24/21 |
|
|
|
|
|
|
822 |
|
|
|
818,575 |
|
| DentalCorp Perfect Smile ULC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.24%, 06/06/25 |
|
|
|
|
|
|
865 |
|
|
|
855,390 |
|
| Delayed Draw Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.58%, 06/06/25 |
|
|
|
|
|
|
159 |
|
|
|
157,573 |
|
| Diplomat Pharmacy, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 7.00%, 12/20/24(a) |
|
|
|
|
|
|
998 |
|
|
|
908,416 |
|
| DuPage Medical Group Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 Term Loan, (1 mo. LIBOR + 2.75%), 5.24%, 08/15/24 |
|
|
|
|
|
|
853 |
|
|
|
836,490 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.49%, 08/15/25 |
|
|
|
|
|
|
395 |
|
|
|
379,200 |
|
| Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 10/10/25 |
|
|
|
|
|
|
2,468 |
|
|
|
2,370,218 |
|
| Explorer Holdings, Inc., 2016 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor),
6.55%, 05/02/23 |
|
|
|
|
|
|
1,064 |
|
|
|
1,063,636 |
|
| Gentiva Health Services, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.25%, 07/02/25(a) |
|
|
|
|
|
|
1,589 |
|
|
|
1,591,093 |
|
| 2018 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.50%, 07/02/26 |
|
|
|
|
|
|
787 |
|
|
|
799,831 |
|
| HC Group Holdings III, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.24%, 04/07/22 |
|
|
|
|
|
|
2,019 |
|
|
|
1,993,813 |
|
| HCA, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 Term Loan B10, (1 mo. LIBOR + 2.00%), 4.49%, 03/13/25 |
|
|
|
|
|
|
1,360 |
|
|
|
1,359,249 |
|
| Term Loan B11, (1 mo. LIBOR + 1.75%), 4.24%, 03/18/23 |
|
|
|
|
|
|
1,796 |
|
|
|
1,794,881 |
|
| LGC Science Holdings Ltd., USD Term Loan B3, (1 mo. LIBOR + 3.50%), 5.99%, 03/08/23 |
|
|
|
|
|
|
1,000 |
|
|
|
967,500 |
|
| Lifescan Global Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 6.00%),
8.80%, 09/27/24 |
|
|
|
|
|
|
361 |
|
|
|
346,260 |
|
| MPH Acquisition Holdings LLC, 2016 Term Loan B,
06/07/23(g) |
|
|
|
|
|
|
3,894 |
|
|
|
3,850,770 |
|
| National Mentor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.00%), 5.80%, 01/31/21 |
|
|
|
|
|
|
475 |
|
|
|
474,545 |
|
| nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor),
6.99%, 10/20/22 |
|
|
|
|
|
|
1,782 |
|
|
|
1,744,425 |
|
| NVA Holdings, Inc., Term Loan B3, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 02/02/25 |
|
|
|
|
|
|
2,046 |
|
|
|
1,998,917 |
|
| ScribeAmerica Intermediate Holdco LLC, 2018 Term Loan, (1 mo. LIBOR + 4.50%), 7.01%, 04/03/25(a) |
|
|
|
|
|
|
1,122 |
|
|
|
1,116,563 |
|
| Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor),
5.24%, 02/06/24 |
|
|
|
|
|
|
1,556 |
|
|
|
1,402,571 |
|
| Vizient, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 02/13/23 |
|
|
|
|
|
|
613 |
|
|
|
610,928 |
|
| WP CityMD Bidco LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor),
6.30%, 06/07/24 |
|
|
|
|
|
|
1,047 |
|
|
|
1,026,350 |
|
| Zotec Partners LLC, 2018 Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.49%, 02/14/24(a) |
|
|
|
|
|
|
1,217 |
|
|
|
1,213,708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,798,471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Health Care Services — 0.2% |
|
| Sound Inpatient Physicians: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.24%, 06/27/25 |
|
|
USD |
|
|
|
700 |
|
|
$
|
696,978 |
|
| 2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 9.24%, 06/26/26 |
|
|
|
|
|
|
382 |
|
|
|
379,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,076,113 |
|
|
| Health Care Technology — 2.1% |
|
| Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor),
5.24%, 03/01/24 |
|
|
|
|
|
|
2,688 |
|
|
|
2,666,310 |
|
| GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 10/10/25 |
|
|
|
|
|
|
1,082 |
|
|
|
1,074,221 |
|
| Press Ganey Holdings, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 10/23/23 |
|
|
|
|
|
|
1,907 |
|
|
|
1,893,768 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 1.00% Floor), 8.99%, 10/21/24 |
|
|
|
|
|
|
580 |
|
|
|
576,860 |
|
| Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.80%, 03/07/24 |
|
|
|
|
|
|
499 |
|
|
|
498,731 |
|
| VVC Holding Corp., 2019 Term Loan B, (3 mo. LIBOR + 4.50%), 7.20%, 02/11/26 |
|
|
|
|
|
|
4,469 |
|
|
|
4,441,069 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,150,959 |
|
|
| Hotels, Restaurants & Leisure — 10.2% |
|
| Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%),
4.53%, 10/19/24 |
|
|
|
|
|
|
1,315 |
|
|
|
1,304,811 |
|
| Boyd Gaming Corp., Term Loan B3, 09/15/23(g) |
|
|
|
|
|
|
3,861 |
|
|
|
3,837,623 |
|
| Bronco Midstream Funding LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 5.99%, 08/14/23 |
|
|
|
|
|
|
596 |
|
|
|
593,301 |
|
| Burger King Newco Unlimited Liability Co., Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor),
4.74%, 02/16/24 |
|
|
|
|
|
|
6,806 |
|
|
|
6,747,689 |
|
| Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, 12/22/24(g) |
|
|
|
|
|
|
4,650 |
|
|
|
4,632,025 |
|
| CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 08/08/21 |
|
|
|
|
|
|
1,554 |
|
|
|
1,545,589 |
|
| CEC Entertainment, Inc., Term Loan B,
02/14/21(g) |
|
|
|
|
|
|
1,565 |
|
|
|
1,525,289 |
|
| ESH Hospitality, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 08/30/23 |
|
|
|
|
|
|
2,837 |
|
|
|
2,816,283 |
|
| Four Seasons Hotels Ltd., 1st Lien Term Loan,
11/30/23(g) |
|
|
|
|
|
|
801 |
|
|
|
796,161 |
|
| Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%),
5.80%, 12/01/23 |
|
|
|
|
|
|
149 |
|
|
|
148,364 |
|
| GVC Holdings PLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 EUR Term Loan, (EURIBOR + 2.75%), 2.75%, 03/29/24 |
|
|
EUR |
|
|
|
991 |
|
|
|
1,124,638 |
|
| 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.99%, 03/29/24 |
|
|
USD |
|
|
|
938 |
|
|
|
935,859 |
|
| Hilton Worldwide Finance LLC, Term Loan B2, (1 mo. LIBOR + 1.75%), 4.24%, 10/25/23 |
|
|
|
|
|
|
1,955 |
|
|
|
1,953,442 |
|
| IRB Holding Corp., 1st Lien Term Loan,
02/05/25(g) |
|
|
|
|
|
|
3,782 |
|
|
|
3,750,093 |
|
| KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 4.23%, 04/03/25 |
|
|
|
|
|
|
1,423 |
|
|
|
1,413,963 |
|
| Lakeland Tours LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor),
6.79%, 12/15/24 |
|
|
|
|
|
|
1,050 |
|
|
|
1,040,201 |
|
| Marriott Ownership Resorts, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 08/29/25 |
|
|
|
|
|
|
1,225 |
|
|
|
1,220,406 |
|
| Penn National Gaming, Inc., 2018 1st Lien Term Loan B, (3 mo. LIBOR + 2.25%),
4.84%, 10/15/25 |
|
|
|
|
|
|
605 |
|
|
|
601,975 |
|
| Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor),
5.24%, 04/29/24 |
|
|
|
|
|
|
1,266 |
|
|
|
1,235,994 |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
15 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Hotels, Restaurants & Leisure (continued) |
|
| Sabre GLBL, Inc., 2018 Term Loan B, 02/22/24(g) |
|
|
USD |
|
|
|
2,843 |
|
|
$
|
2,832,945 |
|
| Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%),
5.31%, 08/14/24 |
|
|
|
|
|
|
3,010 |
|
|
|
2,981,814 |
|
| Stars Group Holdings BV, 2018 Incremental Term Loan, (3 mo. LIBOR + 3.50%),
6.30%, 07/10/25 |
|
|
|
|
|
|
5,965 |
|
|
|
5,963,320 |
|
| Station Casinos LLC, 2016 Term Loan B,
06/08/23(g) |
|
|
|
|
|
|
2,813 |
|
|
|
2,798,510 |
|
| Tackle S.A.R.L, 2017 EUR Term Loan, 1.00%, 08/08/22 |
|
|
EUR |
|
|
|
1,000 |
|
|
|
1,131,580 |
|
| Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%),
4.24%, 05/30/25 |
|
|
USD |
|
|
|
1,581 |
|
|
|
1,572,468 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54,504,343 |
|
|
| Household Products — 0.4% |
|
| Energizer Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 12/17/25 |
|
|
|
|
|
|
709 |
|
|
|
708,114 |
|
| Mastronardi Produce Ltd., Term Loan B, (1 mo. LIBOR + 3.25%), 5.76%, 05/01/25 |
|
|
|
|
|
|
587 |
|
|
|
582,647 |
|
| SIWF Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 6.73%, 06/15/25 |
|
|
|
|
|
|
876 |
|
|
|
871,222 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,161,983 |
|
|
| Independent Power and Renewable Electricity Producers — 1.7% |
|
| AES Corp., 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 4.38%, 05/31/22 |
|
|
|
|
|
|
746 |
|
|
|
744,336 |
|
| Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%),
4.99%, 01/15/25 |
|
|
|
|
|
|
1,247 |
|
|
|
1,234,120 |
|
| Calpine Corp., Term Loan B6, (3 mo. LIBOR + 2.50%), 5.31%, 01/15/23 |
|
|
|
|
|
|
1,819 |
|
|
|
1,809,186 |
|
| Compass Power Generation LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor),
5.99%, 12/20/24 |
|
|
|
|
|
|
1,145 |
|
|
|
1,142,048 |
|
| EIF Channelview Cogeneration LLC, 2018 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor),
6.75%, 05/03/25 |
|
|
|
|
|
|
437 |
|
|
|
437,987 |
|
| Granite Acquisition, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.30%, 12/19/21 |
|
|
|
|
|
|
2,042 |
|
|
|
2,040,358 |
|
| Term Loan C, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.30%, 12/19/21 |
|
|
|
|
|
|
273 |
|
|
|
272,753 |
|
| NRG Energy, Inc., 2016 Term Loan B, (1 mo. LIBOR + 1.75%), 4.24%, 06/30/23 |
|
|
|
|
|
|
1,600 |
|
|
|
1,591,712 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,272,500 |
|
|
| Industrial Conglomerates — 1.0% |
|
| Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor),
6.63%, 11/30/23(a) |
|
|
|
|
|
|
4,055 |
|
|
|
3,923,747 |
|
| Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor),
7.78%, 11/28/21 |
|
|
|
|
|
|
1,542 |
|
|
|
1,513,426 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,437,173 |
|
|
| Insurance — 3.9% |
|
| Achilles Acquisition LLC, 2018 Term Loan, (1 mo. LIBOR + 4.00%), 6.50%, 10/03/25 |
|
|
|
|
|
|
823 |
|
|
|
817,856 |
|
| Alliant Holdings I, Inc., 2018 Term Loan B,
05/09/25(g) |
|
|
|
|
|
|
3,529 |
|
|
|
3,485,395 |
|
| AmWINS Group, Inc., 2017 Term Loan B,
01/25/24(g) |
|
|
|
|
|
|
3,508 |
|
|
|
3,487,675 |
|
| AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR
+ 3.25%), 5.74%, 10/22/24 |
|
|
|
|
|
|
1,564 |
|
|
|
1,548,305 |
|
| Davis Vision, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.49%, 12/02/24 |
|
|
|
|
|
|
1,833 |
|
|
|
1,803,170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Insurance (continued) |
|
| Hub International Ltd., 2018 Term Loan B, (3 mo. LIBOR + 2.75%), 5.51%, 04/25/25 |
|
|
USD |
|
|
|
1,970 |
|
|
$
|
1,949,541 |
|
| Sedgwick Claims Management Services, Inc., Term Loan B,
12/31/25(g) |
|
|
|
|
|
|
7,035 |
|
|
|
6,997,363 |
|
| Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.74%, 06/22/23 |
|
|
|
|
|
|
823 |
|
|
|
816,139 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,905,444 |
|
|
| Interactive Media & Services — 1.3% |
|
| Go Daddy Operating Co. LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%),
4.74%, 02/15/24 |
|
|
|
|
|
|
2,975 |
|
|
|
2,967,741 |
|
| Inmar Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor),
5.99%, 05/01/24 |
|
|
|
|
|
|
1,024 |
|
|
|
994,180 |
|
| Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor),
5.74%, 11/03/23 |
|
|
|
|
|
|
1,817 |
|
|
|
1,728,142 |
|
| TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor),
6.24%, 05/06/24 |
|
|
|
|
|
|
1,240 |
|
|
|
1,180,188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,870,251 |
|
|
| Internet & Direct Marketing Retail — 0.3% |
|
| Harbor Freight Tools USA, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%),
4.99%, 08/18/23 |
|
|
|
|
|
|
1,450 |
|
|
|
1,429,139 |
|
|
|
|
|
|
|
|
|
|
|
| IT Services — 5.6% |
|
| Access CIG LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 02/27/25 |
|
|
|
|
|
|
663 |
|
|
|
655,495 |
|
| Altran Technologies SA, 1st Lien Term Loan, (3 mo. LIBOR + 2.25%), 5.04%, 03/20/25 |
|
|
|
|
|
|
675 |
|
|
|
661,739 |
|
| Epicor Software Corp., 1st Lien Term Loan,
06/01/22(g) |
|
|
|
|
|
|
1,190 |
|
|
|
1,179,100 |
|
| Evertec Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 4.74%, 11/27/24 |
|
|
|
|
|
|
923 |
|
|
|
920,120 |
|
| First Data Corp., 2024 Term Loan, (1 mo. LIBOR + 2.00%), 4.49%, 04/26/24 |
|
|
|
|
|
|
8,069 |
|
|
|
8,056,530 |
|
| Flexential Intermediate Corp., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%),
6.30%, 08/01/24 |
|
|
|
|
|
|
1,353 |
|
|
|
1,278,467 |
|
| Global Payments, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 4.24%, 04/21/23 |
|
|
|
|
|
|
823 |
|
|
|
817,080 |
|
| 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 4.24%, 10/17/25 |
|
|
|
|
|
|
275 |
|
|
|
272,594 |
|
| Greeneden US Holdings II LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.74%, 12/01/23 |
|
|
|
|
|
|
2,028 |
|
|
|
2,004,586 |
|
| Optiv Security, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 02/01/24(a) |
|
|
|
|
|
|
858 |
|
|
|
821,252 |
|
| Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor),
9.99%, 08/01/25 |
|
|
|
|
|
|
1,295 |
|
|
|
1,130,962 |
|
| TKC Holdings, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.25%, 02/01/23 |
|
|
|
|
|
|
1,093 |
|
|
|
1,079,619 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 10.50%, 02/01/24 |
|
|
|
|
|
|
823 |
|
|
|
799,166 |
|
| Trans Union LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 Term Loan B4, (1 mo. LIBOR + 2.00%), 4.49%, 06/19/25 |
|
|
|
|
|
|
18 |
|
|
|
17,798 |
|
| Term Loan B3, (1 mo. LIBOR + 2.00%), 4.49%, 04/10/23 |
|
|
|
|
|
|
4,956 |
|
|
|
4,929,435 |
|
| WEX, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.25%), 4.74%, 06/30/23 |
|
|
|
|
|
|
3,893 |
|
|
|
3,871,487 |
|
| Worldpay LLC, 2018 1st Lien Term Loan B4,
08/09/24(g) |
|
|
|
|
|
|
1,710 |
|
|
|
1,697,242 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,192,672 |
|
|
|
|
| 16 |
|
2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Leisure Products — 0.2% |
|
| MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor),
6.30%, 06/19/24(a) |
|
|
USD |
|
|
|
1,021 |
|
|
$
|
1,008,001 |
|
|
|
|
|
|
|
|
|
|
|
| Life Sciences Tools & Services — 0.2% |
|
| Albany Molecular Research, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 08/30/24 |
|
|
|
|
|
|
555 |
|
|
|
551,582 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 1.00% Floor), 9.49%, 08/30/25 |
|
|
|
|
|
|
395 |
|
|
|
387,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
939,176 |
|
|
| Machinery — 1.9% |
|
| Clark Equipment Co., 2018 Term Loan B, (3 mo. LIBOR + 2.00%), 4.80%, 05/18/24 |
|
|
|
|
|
|
881 |
|
|
|
869,723 |
|
| Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor),
5.30%, 01/31/24 |
|
|
|
|
|
|
167 |
|
|
|
166,769 |
|
| Gardner Denver, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 07/30/24 |
|
|
|
|
|
|
2,339 |
|
|
|
2,336,366 |
|
| Infiltrator Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor),
5.80%, 05/27/22(a) |
|
|
|
|
|
|
1,942 |
|
|
|
1,932,300 |
|
| Titan Acquisition Ltd., 2018 Term Loan B,
03/28/25(g) |
|
|
|
|
|
|
3,946 |
|
|
|
3,788,028 |
|
| Welbilt, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 10/23/25(a) |
|
|
|
|
|
|
993 |
|
|
|
987,786 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,080,972 |
|
|
| Media — 9.3% |
|
| Altice Financing SA: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.23%, 01/31/26(a) |
|
|
|
|
|
|
713 |
|
|
|
691,783 |
|
| 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 07/15/25 |
|
|
|
|
|
|
243 |
|
|
|
234,790 |
|
| Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 6.49%, 08/14/26 |
|
|
|
|
|
|
4,360 |
|
|
|
4,234,720 |
|
| Charter Communications Operating LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%),
4.50%, 04/30/25 |
|
|
|
|
|
|
4,441 |
|
|
|
4,426,041 |
|
| CSC Holdings LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 4.74%, 07/17/25 |
|
|
|
|
|
|
1,355 |
|
|
|
1,336,675 |
|
| 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 01/25/26 |
|
|
|
|
|
|
1,682 |
|
|
|
1,671,773 |
|
| Gray Television, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.76%, 02/07/24 |
|
|
|
|
|
|
607 |
|
|
|
603,421 |
|
| 2018 Term Loan C, (1 mo. LIBOR + 2.50%), 5.01%, 01/02/26 |
|
|
|
|
|
|
1,457 |
|
|
|
1,452,265 |
|
| Hubbard Radio LLC, 2015 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor),
6.00%, 03/28/25 |
|
|
|
|
|
|
220 |
|
|
|
218,126 |
|
| iHeartCommunications, Inc.(b)(h): |
|
|
|
|
|
|
|
|
|
|
|
|
| Extended Term Loan E, 0.00%, 07/30/19 |
|
|
|
|
|
|
515 |
|
|
|
358,569 |
|
| Term Loan D, 0.00%, 07/30/19 |
|
|
|
|
|
|
4,071 |
|
|
|
2,837,611 |
|
| Intelsat Jackson Holdings SA, 2017 Term Loan B4,
01/02/24(g) |
|
|
|
|
|
|
1,921 |
|
|
|
1,947,048 |
|
| Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.75%, 12/01/23(a) |
|
|
|
|
|
|
2,502 |
|
|
|
2,495,693 |
|
| Lions Gate Capital Holdings LLC, 2018 Term Loan B,
03/24/25(g) |
|
|
|
|
|
|
1,613 |
|
|
|
1,603,825 |
|
| Live Nation Entertainment, Inc., Term Loan B3, (1 mo. LIBOR + 1.75%), 4.25%, 10/31/23 |
|
|
|
|
|
|
474 |
|
|
|
471,167 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Media (continued) |
|
| MCC Iowa LLC, Term Loan N, (1 Week LIBOR + 1.75%), 4.17%, 02/15/24 |
|
|
USD |
|
|
|
1,073 |
|
|
$
|
1,060,853 |
|
| Meredith Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 01/31/25 |
|
|
|
|
|
|
849 |
|
|
|
848,664 |
|
| MH Sub I LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 09/13/24 |
|
|
|
|
|
|
837 |
|
|
|
830,958 |
|
| Numericable Group SA, Term Loan B12, (1 mo. LIBOR + 3.68%), 6.18%, 01/31/26 |
|
|
|
|
|
|
538 |
|
|
|
520,024 |
|
| PSAV Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor),
5.86%, 03/01/25 |
|
|
|
|
|
|
1,027 |
|
|
|
1,006,948 |
|
| Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 02/01/24 |
|
|
|
|
|
|
1,351 |
|
|
|
1,342,710 |
|
| Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 4.75%, 01/03/24 |
|
|
|
|
|
|
192 |
|
|
|
191,156 |
|
| Trader Corp., 2017 Term Loan B, 09/28/23(a)(g) |
|
|
|
|
|
|
3,501 |
|
|
|
3,474,774 |
|
| Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.00%), 5.49%, 01/27/24 |
|
|
|
|
|
|
3,696 |
|
|
|
3,691,264 |
|
| Unitymedia Finance LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 09/30/25 |
|
|
|
|
|
|
1,680 |
|
|
|
1,670,894 |
|
| USD Term Loan D, (1 mo. LIBOR + 2.25%), 4.74%, 01/15/26 |
|
|
|
|
|
|
360 |
|
|
|
357,815 |
|
| Unitymedia Hessen GmbH & Co. KG, 2018 Term Loan E, (1 mo. LIBOR + 2.00%),
4.49%, 06/01/23 |
|
|
|
|
|
|
981 |
|
|
|
973,177 |
|
| Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.75%, 1.00% Floor),
5.24%, 03/15/24 |
|
|
|
|
|
|
1,151 |
|
|
|
1,067,977 |
|
| Virgin Media Bristol LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 4.99%, 01/15/26 |
|
|
|
|
|
|
2,693 |
|
|
|
2,672,829 |
|
| William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%),
5.25%, 05/18/25 |
|
|
|
|
|
|
3,291 |
|
|
|
3,188,184 |
|
| Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%),
4.99%, 04/15/25 |
|
|
|
|
|
|
2,392 |
|
|
|
2,362,037 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,843,771 |
|
|
| Metals & Mining — 0.2% |
|
| Ball Metalpack LLC, 2018 1st Lien Term Loan B,
07/24/25(g) |
|
|
|
|
|
|
804 |
|
|
|
801,393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Multiline Retail — 0.7% |
|
| Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor),
5.50%, 08/04/24 |
|
|
|
|
|
|
973 |
|
|
|
960,529 |
|
| Hudson’s Bay Co., 2015 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.75%, 09/30/22 |
|
|
|
|
|
|
1,435 |
|
|
|
1,406,437 |
|
| Neiman Marcus Group, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor),
5.76%, 10/25/20 |
|
|
|
|
|
|
1,207 |
|
|
|
1,107,038 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,474,004 |
|
|
| Oil & Gas Equipment & Services — 0.3% |
|
| McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor),
7.49%, 05/10/25 |
|
|
|
|
|
|
1,599 |
|
|
|
1,536,436 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels — 1.9% |
|
| BCP Raptor II LLC, 1st Lien Term Loan, (2 mo. LIBOR + 4.75%), 7.37%, 11/03/25 |
|
|
|
|
|
|
837 |
|
|
|
808,751 |
|
| BCP Raptor LLC, Term Loan B, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.88%, 06/24/24 |
|
|
|
|
|
|
552 |
|
|
|
526,201 |
|
| California Resources Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor), 7.24%, 12/31/22 |
|
|
|
|
|
|
2,434 |
|
|
|
2,393,242 |
|
| Second Out Term Loan, (1 mo. LIBOR + 10.37%, 1.00% Floor), 12.87%, 12/31/21 |
|
|
|
|
|
|
2,168 |
|
|
|
2,272,660 |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
17 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Oil, Gas & Consumable Fuels (continued) |
|
| CONSOL Energy, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan A, (1 mo. LIBOR + 4.25%), 6.75%, 11/26/21(a) |
|
|
USD |
|
|
|
280 |
|
|
$
|
280,250 |
|
| 1st Lien Term Loan B, (PRIME + 5.00%), 8.50%, 11/28/22 |
|
|
|
|
|
|
1,537 |
|
|
|
1,550,445 |
|
| Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 12/13/25 |
|
|
|
|
|
|
800 |
|
|
|
797,000 |
|
| EG Group Ltd., 2018 Term Loan B, (3 mo. LIBOR + 4.00%), 6.81%, 02/07/25 |
|
|
|
|
|
|
799 |
|
|
|
777,495 |
|
| Keane Group Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor),
6.25%, 05/25/25 |
|
|
|
|
|
|
471 |
|
|
|
449,682 |
|
| MEG Energy Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor),
6.00%, 12/31/23 |
|
|
|
|
|
|
418 |
|
|
|
416,462 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,272,188 |
|
|
| Personal Products — 0.4% |
|
| Clover Merger Sub, Inc., 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%),
10.24%, 09/26/25 |
|
|
|
|
|
|
1,015 |
|
|
|
850,063 |
|
| Prestige Brands, Inc., Term Loan B4, (1 mo. LIBOR + 2.00%), 4.49%, 01/26/24 |
|
|
|
|
|
|
1,524 |
|
|
|
1,515,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,365,763 |
|
|
| Pharmaceuticals — 4.4% |
|
| Akorn, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 8.00%, 04/16/21 |
|
|
|
|
|
|
458 |
|
|
|
364,927 |
|
| Amneal Pharmaceuticals LLC, 2018 Term Loan B,
05/04/25(g) |
|
|
|
|
|
|
3,837 |
|
|
|
3,832,026 |
|
| Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%),
6.75%, 04/29/24 |
|
|
|
|
|
|
3,087 |
|
|
|
3,088,711 |
|
| Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (1 Week LIBOR + 2.25%),
4.67%, 01/31/25 |
|
|
|
|
|
|
3,626 |
|
|
|
3,610,805 |
|
| Jaguar Holding Co. II, 2018 Term Loan,
08/18/22(g) |
|
|
|
|
|
|
4,582 |
|
|
|
4,554,896 |
|
| Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, 5.51%, 06/02/25(g) |
|
|
|
|
|
|
7,847 |
|
|
|
7,851,546 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,302,911 |
|
|
| Professional Services — 2.0% |
|
| Cast and Crew Payroll LLC, 2019 1st Lien Term Loan,
02/09/26(g) |
|
|
|
|
|
|
2,842 |
|
|
|
2,851,947 |
|
| Dun & Bradstreet Corp., Term Loan,
02/01/26(g) |
|
|
|
|
|
|
4,464 |
|
|
|
4,465,116 |
|
| Guidehouse LLP, 2018 Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 05/01/25(a) |
|
|
|
|
|
|
328 |
|
|
|
323,871 |
|
| Information Resources, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.50%),
7.13%, 12/01/25 |
|
|
|
|
|
|
1,008 |
|
|
|
992,880 |
|
| ON Assignment, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 04/02/25 |
|
|
|
|
|
|
1,173 |
|
|
|
1,167,277 |
|
| SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 8.07%, 08/04/25(a) |
|
|
|
|
|
|
1,140 |
|
|
|
1,117,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,918,291 |
|
|
| Real Estate Management & Development — 2.2% |
|
| CityCenter Holdings LLC, 2017 Term Loan B,
04/18/24(g) |
|
|
|
|
|
|
4,697 |
|
|
|
4,660,759 |
|
| DTZ US Borrower LLC, 2018 Add On Term Loan B, (1 mo. LIBOR + 3.25%), 5.74%, 08/21/25 |
|
|
|
|
|
|
3,142 |
|
|
|
3,115,682 |
|
| Forest City Enterprises LP, Term Loan B, (1 mo. LIBOR + 4.00%), 6.51%, 12/07/25 |
|
|
|
|
|
|
2,112 |
|
|
|
2,119,920 |
|
| Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 02/08/25 |
|
|
|
|
|
|
788 |
|
|
|
766,859 |
|
| SMG Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 01/23/25 |
|
|
|
|
|
|
1,205 |
|
|
|
1,190,463 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,853,683 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Road & Rail — 0.3% |
|
| Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%),
5.74%, 09/29/25 |
|
|
USD |
|
|
|
741 |
|
|
$
|
739,377 |
|
| Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor),
6.25%, 06/13/23 |
|
|
|
|
|
|
1,217 |
|
|
|
1,019,227 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,758,604 |
|
|
| Semiconductors & Semiconductor Equipment — 0.9% |
|
| MaxLinear, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 05/12/24(a) |
|
|
|
|
|
|
250 |
|
|
|
249,281 |
|
| Microchip Technology, Inc., 2018 Term Loan B,
05/29/25(g) |
|
|
|
|
|
|
3,377 |
|
|
|
3,374,507 |
|
| ON Semiconductor Corp., 2018 1st Lien Term Loan B, (1 mo. LIBOR + 1.75%),
4.24%, 03/31/23 |
|
|
|
|
|
|
499 |
|
|
|
497,742 |
|
| Versum Materials, Inc., Term Loan, (3 mo. LIBOR + 2.00%), 4.80%, 09/29/23 |
|
|
|
|
|
|
934 |
|
|
|
932,346 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,053,876 |
|
|
| Software — 16.1% |
|
| Applied Systems, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, 09/19/24(g) |
|
|
|
|
|
|
2,697 |
|
|
|
2,672,945 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 1.00% Floor), 9.49%, 09/19/25 |
|
|
|
|
|
|
491 |
|
|
|
494,664 |
|
| BMC Software Finance, Inc., 2017 Term Loan,
10/02/25(g) |
|
|
|
|
|
|
3,888 |
|
|
|
3,862,223 |
|
| Cypress Intermediate Holdings III, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.50%, 04/26/24 |
|
|
|
|
|
|
907 |
|
|
|
895,466 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 9.24%, 04/27/25 |
|
|
|
|
|
|
814 |
|
|
|
808,913 |
|
| Dell, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.50%, 09/07/23 |
|
|
|
|
|
|
2,676 |
|
|
|
2,665,717 |
|
| Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.25%),
5.88%, 05/28/24 |
|
|
|
|
|
|
1,649 |
|
|
|
1,456,478 |
|
| DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor),
7.49%, 09/30/23 |
|
|
|
|
|
|
1,431 |
|
|
|
1,340,132 |
|
| Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.75%),
6.24%, 10/01/25 |
|
|
|
|
|
|
6,558 |
|
|
|
6,453,414 |
|
| Help/Systems Holdings, Inc, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%),
6.24%, 03/28/25 |
|
|
|
|
|
|
1,184 |
|
|
|
1,161,115 |
|
| Infor (US), Inc., Term Loan B6, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 02/01/22 |
|
|
|
|
|
|
6,654 |
|
|
|
6,647,176 |
|
| Informatica Corp., 2018 Term Loan, 08/05/22(g) |
|
|
|
|
|
|
3,184 |
|
|
|
3,183,741 |
|
| IQOR US, Inc., Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.80%, 04/01/21 |
|
|
|
|
|
|
1,063 |
|
|
|
989,663 |
|
| Kronos, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B, 11/01/23(g) |
|
|
|
|
|
|
5,136 |
|
|
|
5,112,430 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.99%, 11/01/24 |
|
|
|
|
|
|
2,135 |
|
|
|
2,171,210 |
|
| McAfee LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.24%, 09/30/24 |
|
|
|
|
|
|
3,719 |
|
|
|
3,725,002 |
|
| Mitchell International, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 11/29/24 |
|
|
|
|
|
|
3,884 |
|
|
|
3,784,447 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.74%, 12/01/25 |
|
|
|
|
|
|
850 |
|
|
|
830,170 |
|
| PowerSchool, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.99%, 08/01/25 |
|
|
|
|
|
|
1,009 |
|
|
|
996,388 |
|
| Renaissance Learning, Inc., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 05/30/25 |
|
|
|
|
|
|
701 |
|
|
|
684,233 |
|
| RP Crown Parent LLC, 2016 Term Loan B,
10/12/23(g) |
|
|
|
|
|
|
1,190 |
|
|
|
1,177,362 |
|
| SolarWinds Holdings, Inc., 2018 Term Loan B,
02/05/24(g) |
|
|
|
|
|
|
4,688 |
|
|
|
4,670,484 |
|
|
|
|
| 18 |
|
2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Software (continued) |
|
| Solera LLC, Term Loan B, 03/03/23(g) |
|
|
USD |
|
|
|
5,390 |
|
|
$
|
5,350,061 |
|
| SonicWALL, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 6.18%, 05/16/25 |
|
|
|
|
|
|
569 |
|
|
|
553,297 |
|
| Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 6.05%, 09/30/22 |
|
|
|
|
|
|
5,120 |
|
|
|
5,102,237 |
|
| SS&C Technologies Holdings Europe, 2018 Term Loan B4, (1 mo. LIBOR + 2.25%),
4.74%, 04/16/25 |
|
|
|
|
|
|
1,788 |
|
|
|
1,779,815 |
|
| SS&C Technologies, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 4.74%, 07/08/22 |
|
|
|
|
|
|
3,457 |
|
|
|
3,444,249 |
|
| 2018 Term Loan B3, (1 mo. LIBOR + 2.25%), 4.74%, 04/16/25 |
|
|
|
|
|
|
4,667 |
|
|
|
4,645,445 |
|
| 2018 Term Loan B5, (1 mo. LIBOR + 2.25%), 4.74%, 04/16/25 |
|
|
|
|
|
|
1,785 |
|
|
|
1,777,125 |
|
| Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 05/01/24 |
|
|
|
|
|
|
2,540 |
|
|
|
2,536,367 |
|
| Tibco Software, Inc., Repriced Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor),
6.01%, 12/04/20 |
|
|
|
|
|
|
4,259 |
|
|
|
4,251,078 |
|
| Vertafore, Inc., 2018 1st Lien Term Loan,
07/02/25(g) |
|
|
|
|
|
|
1,090 |
|
|
|
1,076,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
86,299,422 |
|
|
| Specialty Retail — 2.0% |
|
| Academy Ltd., 2015 Term Loan B, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.51%, 07/01/22 |
|
|
|
|
|
|
1,370 |
|
|
|
948,336 |
|
| Belron Finance US LLC(a): |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (3 mo. LIBOR + 2.25%), 4.99%, 11/07/24 |
|
|
|
|
|
|
2,959 |
|
|
|
2,943,678 |
|
| Term Loan B, (3 mo. LIBOR + 2.50%), 5.19%, 11/13/25 |
|
|
|
|
|
|
453 |
|
|
|
451,868 |
|
| CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (3 mo. LIBOR + 4.50%),
5.41%, 06/23/25 |
|
|
GBP |
|
|
|
1,000 |
|
|
|
1,303,974 |
|
| Leslie’s Poolmart, Inc., 2018 Term Loan, (2 mo. LIBOR + 3.50%, 1.00% Floor),
6.08%, 08/16/23 |
|
|
USD |
|
|
|
1,229 |
|
|
|
1,193,978 |
|
| National Vision, Inc., 2017 Repriced Term Loan, (1 mo. LIBOR + 2.50%),
4.99%, 11/20/24 |
|
|
|
|
|
|
250 |
|
|
|
249,392 |
|
| Petco Animal Supplies, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor),
5.99%, 01/26/23 |
|
|
|
|
|
|
833 |
|
|
|
648,791 |
|
| Research Now Group, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 5.50%, 1.00% Floor),
7.99%, 12/20/24 |
|
|
|
|
|
|
1,252 |
|
|
|
1,243,997 |
|
| Staples, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.51%, 09/12/24 |
|
|
|
|
|
|
839 |
|
|
|
832,817 |
|
| TruGreen LP, 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.50%, 04/13/23(a) |
|
|
|
|
|
|
1,126 |
|
|
|
1,128,416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,945,247 |
|
|
| Technology Hardware, Storage & Peripherals — 0.8% |
|
| Western Digital Corp., 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 4.23%, 04/29/23 |
|
|
|
|
|
|
4,343 |
|
|
|
4,259,031 |
|
|
|
|
|
|
|
|
|
|
|
| Textiles, Apparel & Luxury Goods — 0.5% |
|
| Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor),
8.05%, 08/12/22 |
|
|
|
|
|
|
2,373 |
|
|
|
2,366,905 |
|
| Varsity Brands, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor),
5.99%, 12/15/24 |
|
|
|
|
|
|
529 |
|
|
|
525,129 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,892,034 |
|
|
| Thrifts & Mortgage Finance — 0.6% |
|
| IG Investment Holdings LLC, 2018 1st Lien Term Loan,
05/23/25(g) |
|
|
|
|
|
|
3,268 |
|
|
|
3,258,129 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Trading Companies & Distributors — 1.0% |
|
| Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.77%, 01/02/25 |
|
|
USD |
|
|
|
1,208 |
|
|
$
|
1,196,319 |
|
| HD Supply, Inc., Term Loan B5, (1 mo. LIBOR + 1.75%), 4.24%, 10/17/23 |
|
|
|
|
|
|
3,858 |
|
|
|
3,838,864 |
|
| Oxbow Carbon LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.50%), 5.99%, 01/04/23 |
|
|
|
|
|
|
273 |
|
|
|
272,066 |
|
| United Rentals, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 4.24%, 10/31/25 |
|
|
|
|
|
|
226 |
|
|
|
225,714 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,532,963 |
|
|
| Transportation — 0.3% |
|
| Gruden Acquisition, Inc., 2017 Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor),
8.30%, 08/18/22 |
|
|
|
|
|
|
492 |
|
|
|
483,680 |
|
| Safe Fleet Holdings LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.52%, 02/01/25 |
|
|
|
|
|
|
825 |
|
|
|
801,488 |
|
| 2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 9.27%, 02/01/26 |
|
|
|
|
|
|
560 |
|
|
|
529,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,814,368 |
|
|
| Utilities — 0.1% |
|
| ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor),
5.63%, 11/28/24 |
|
|
|
|
|
|
726 |
|
|
|
674,467 |
|
|
|
|
|
|
|
|
|
|
|
| Wireless Telecommunication Services — 1.4% |
|
| Geo Group, Inc. (The), 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.50%, 03/22/24 |
|
|
|
|
|
|
1,996 |
|
|
|
1,948,930 |
|
| Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 12/07/20(i) |
|
|
|
|
|
|
1,737 |
|
|
|
1,354,959 |
|
| SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.50%, 04/11/25 |
|
|
|
|
|
|
4,348 |
|
|
|
4,303,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,607,287 |
|
|
|
|
|
|
|
|
|
| Total Floating Rate Loan Interests — 131.6%
(Cost — $713,996,914) |
|
|
|
705,809,036 |
|
|
|
|
|
|
|
|
|
|
| |
|
|
Shares |
|
|
|
|
|
| Investment Companies — 3.6% |
|
|
| United States — 3.6% |
|
| Invesco Senior Loan ETF |
|
|
|
|
|
|
840,000 |
|
|
|
19,152,000 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investment Companies — 3.6%
(Cost — $19,015,644) |
|
|
|
19,152,000 |
|
|
|
|
|
|
|
|
|
|
| |
|
|
Beneficial
Interest
(000) |
|
|
|
|
|
| Other Interests(j) —
0.0% |
|
|
| IT Services — 0.0% |
|
| Millennium Corp.(a)(b) |
|
|
USD |
|
|
|
1,607 |
|
|
|
— |
|
| Millennium Lender Claims(a)(b) |
|
|
|
|
|
|
1,508 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Other Interests — 0.0%
(Cost — $—) |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
| |
|
|
Shares |
|
|
|
|
|
| Trust Preferreds — 0.3% |
|
|
| Diversified Financial Services — 0.3% |
|
| GMAC Capital Trust I, Series 2, 8.47%(k) |
|
|
|
|
|
|
60,894 |
|
|
|
1,582,635 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Trust Preferreds — 0.3%
(Cost — $1,606,167) |
|
|
|
1,582,635 |
|
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
19 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
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 03/09/10, 19 Shares for 1 Warrant, Expires 06/22/19,
Strike Price $42.27)(a) |
|
|
USD |
|
|
|
2,406 |
|
|
$
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Warrants — 0.0%
(Cost — $24) |
|
|
|
— |
|
|
|
|
|
|
|
|
|
| Total Long-Term Investments — 140.0%
(Cost — $763,050,753) |
|
|
|
750,665,009 |
|
|
|
|
|
|
|
|
| Short-Term Securities — 2.1% |
|
| BlackRock Liquidity Funds, T-Fund, Institutional Class, 2.29%(l)(m) |
|
|
|
|
|
|
11,368,747 |
|
|
|
11,368,747 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Short-Term Securities — 2.1%
(Cost — $11,368,747) |
|
|
|
11,368,747 |
|
|
|
|
|
|
|
|
|
| Options Purchased — 0.0%
(Cost — $68,461) |
|
|
|
23,023 |
|
|
|
|
|
|
|
|
|
| Total Investments — 142.1%
(Cost — $774,487,961) |
|
|
|
762,056,779 |
|
|
|
| Liabilities in Excess of Other Assets — (42.1)% |
|
|
|
(225,694,532 |
) |
|
|
|
|
|
|
|
|
| Net Assets — 100.0% |
|
|
$ |
536,362,247 |
|
|
|
|
|
|
|
| (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) |
Variable rate security. Rate shown is the rate in effect as of period end. |
| (f) |
When-issued security. |
| (g) |
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. |
| (h) |
Issuer filed for bankruptcy and/or is in default. |
| (i) |
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. |
| (j) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
|
| (k) |
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. |
| (l) |
Annualized 7-day yield as of period end.
|
| (m) |
During the six months ended February 28, 2019, 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, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Affiliate |
|
Shares
Held at
08/31/18 |
|
|
Net
Activity |
|
|
Shares
Held at
02/28/19 |
|
|
Value at
02/28/19 |
|
|
Income |
|
|
Net Realized
Gain (Loss) (a) |
|
|
Change in
Unrealized
Appreciation
(Depreciation) |
|
| BlackRock Liquidity Funds, T-Fund, Institutional Class |
|
|
155,382 |
|
|
|
11,213,365 |
|
|
|
11,368,747 |
|
|
$ |
11,368,747 |
|
|
$ |
20,980 |
|
|
$ |
(815 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Includes net capital gain distributions, if applicable. |
|
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Counterparty |
|
Settlement Date |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| USD |
|
|
5,362,827 |
|
|
EUR |
|
|
4,654,000 |
|
|
UBS AG |
|
|
03/05/19 |
|
|
$ |
68,700 |
|
| USD |
|
|
5,317,687 |
|
|
EUR |
|
|
4,644,000 |
|
|
HSBC Bank PLC |
|
|
04/04/19 |
|
|
|
21,532 |
|
| USD |
|
|
2,555,567 |
|
|
GBP |
|
|
1,919,000 |
|
|
Barclays Bank PLC |
|
|
04/04/19 |
|
|
|
6,214 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
96,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| EUR |
|
|
4,644,000 |
|
|
USD |
|
|
5,304,330 |
|
|
HSBC Bank PLC |
|
|
03/05/19 |
|
|
|
(21,578 |
) |
| GBP |
|
|
1,919,000 |
|
|
USD |
|
|
2,551,635 |
|
|
Barclays Bank PLC |
|
|
03/05/19 |
|
|
|
(6,241 |
) |
| USD |
|
|
2,524,891 |
|
|
GBP |
|
|
1,922,000 |
|
|
State Street Bank and Trust Co. |
|
|
03/05/19 |
|
|
|
(24,482 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(52,301 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
44,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Exchange-Traded Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Exercise
Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
| Call |
|
| SPDR S&P 500 ETF Trust |
|
|
245 |
|
|
|
04/18/19 |
|
|
USD |
|
|
289.00 |
|
|
USD |
|
|
683 |
|
|
$ |
18,498 |
|
| Marsico Parent Superholdco LLC |
|
|
44 |
|
|
|
12/14/19 |
|
|
USD |
|
|
942.86 |
|
|
USD |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,498 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Put |
|
| Invesco Senior Loan ETF |
|
|
575 |
|
|
|
04/18/19 |
|
|
USD |
|
|
22.00 |
|
|
USD |
|
|
131 |
|
|
$ |
2,875 |
|
| Invesco Senior Loan ETF |
|
|
165 |
|
|
|
05/17/19 |
|
|
USD |
|
|
22.00 |
|
|
USD |
|
|
38 |
|
|
|
1,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,525 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
23,023 |
|
|
|
|
|
|
|
OTC Total Return Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Paid by the Fund |
|
Received by the Fund |
|
Counterparty |
|
Effective
Date |
|
|
Termination
Date |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
Upfront
Premium
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| Reference |
|
Frequency |
|
Rate |
|
Frequency |
| Markit iboxx USDLiquid Leveraged Loans Total Return Index |
|
Quarterly |
|
3-Month LIBOR, 2.62% |
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
|
N/A |
|
|
|
03/20/19 |
|
|
USD |
|
|
3,809 |
|
|
$ |
99,304 |
|
|
$ |
— |
|
|
$ |
99,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balances Reported in the Statements of Assets and Liabilities for OTC Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Swap
Premiums
Paid |
|
|
Swap
Premiums
Received |
|
|
Unrealized
Appreciation |
|
|
Unrealized
Depreciation |
|
| OTC Swaps |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
99,304 |
|
|
$ |
— |
|
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets andLiabilities 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 |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
96,446 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
96,446 |
|
| Options purchased |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments at value — unaffiliated(a) |
|
|
— |
|
|
|
— |
|
|
|
23,023 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
23,023 |
|
| Swaps — OTC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized appreciation on OTC swaps; Swap premiums paid |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
99,304 |
|
|
|
— |
|
|
|
99,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
23,023 |
|
|
$ |
96,446 |
|
|
$ |
99,304 |
|
|
$ |
— |
|
|
$ |
218,773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities — Derivative Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward foreign currency exchange contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on forward foreign currency exchange contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
52,301 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
52,301 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Includes options purchased at value as reported in the Schedule of Investments. |
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
21 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
For the six months ended February 28, 2019, 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 |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
146,068 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
146,068 |
|
| Swaps |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(704,179 |
) |
|
|
— |
|
|
|
(704,179 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
146,068 |
|
|
$ |
(704,179 |
) |
|
$ |
— |
|
|
$ |
(558,111 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Change in Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward foreign currency exchange contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(10,057 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(10,057 |
) |
| Options purchased(a) |
|
|
— |
|
|
|
— |
|
|
|
(2,416 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(2,416 |
) |
| Swaps |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
99,304 |
|
|
|
— |
|
|
|
99,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(2,416 |
) |
|
$ |
(10,057 |
) |
|
$ |
99,304 |
|
|
$ |
— |
|
|
$ |
86,831 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
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 |
|
$ |
14,675,130 |
|
| Average amounts sold — in USD |
|
$ |
7,366,710 |
|
| Options: |
|
| Average value of option contracts purchased |
|
$ |
11,511 |
|
| Total return swaps: |
|
| Average notional amount |
|
$ |
10,087,000 |
|
For more information about the
Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments —
Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
|
|
|
|
|
|
|
|
|
| |
|
Assets |
|
|
Liabilities |
|
| Forward foreign currency exchange contracts |
|
$ |
96,446 |
|
|
$ |
52,301 |
|
| Options |
|
|
23,023 |
(a) |
|
|
— |
|
| Swaps — OTC(b) |
|
|
99,304 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Total derivative assets and liabilities in the Statements of Assets and Liabilities |
|
$ |
218,773 |
|
|
$ |
52,301 |
|
| Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
|
|
(23,023 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Total derivative assets and liabilities subject to an MNA |
|
$ |
195,750 |
|
|
$ |
52,301 |
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of
Assets and Liabilities and reported in the Schedule of Investments. |
|
| |
(b) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets
and Liabilities. |
|
The following table presents the Fund’s derivative assets (and liabilities) by counterparty net of amounts available for
offset under an MNA and net of the related collateral received (and pledged) by the Fund:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Derivative
Assets
Subject to
an MNA by
Counterparty |
|
|
Derivatives
Available
for Offset (a) |
|
|
Non-cash
Collateral
Received |
|
|
Cash
Collateral
Received |
|
|
Net Amount
of Derivative
Assets (b) |
|
| Barclays Bank PLC |
|
$ |
6,214 |
|
|
$ |
(6,214 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
| HSBC Bank PLC |
|
|
21,532 |
|
|
|
(21,532 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| JPMorgan Chase Bank N.A. |
|
|
99,304 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
99,304 |
|
| UBS AG |
|
|
68,700 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
68,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
195,750 |
|
|
$ |
(27,746 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
168,004 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 22 |
|
2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Derivative
Liabilities
Subject to
an MNA by
Counterparty |
|
|
Derivatives
Available
for Offset (a) |
|
|
Non-cash
Collateral
Pledged |
|
|
Cash
Collateral
Pledged |
|
|
Net Amount
of Derivative
Liabilities
(c) |
|
| Barclays Bank PLC |
|
$ |
6,241 |
|
|
$ |
(6,214 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
27 |
|
| HSBC Bank PLC |
|
|
21,578 |
|
|
|
(21,532 |
) |
|
|
— |
|
|
|
— |
|
|
|
46 |
|
| State Street Bank and Trust Co. |
|
|
24,482 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
24,482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
52,301 |
|
|
$ |
(27,746 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
24,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(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 |
|
$ |
— |
|
|
$ |
5,313,627 |
|
|
$ |
— |
|
|
$ |
5,313,627 |
|
| Common Stocks(a) |
|
|
12,957 |
|
|
|
641 |
|
|
|
1,160,611 |
|
|
|
1,174,209 |
|
| Corporate Bonds |
|
|
— |
|
|
|
15,529,611 |
|
|
|
2,103,891 |
|
|
|
17,633,502 |
|
| Floating Rate Loan Interests |
|
|
— |
|
|
|
659,559,753 |
|
|
|
46,249,283 |
|
|
|
705,809,036 |
|
| Investment Companies |
|
|
19,152,000 |
|
|
|
— |
|
|
|
— |
|
|
|
19,152,000 |
|
| Trust Preferred |
|
|
1,582,635 |
|
|
|
— |
|
|
|
— |
|
|
|
1,582,635 |
|
| Short-Term Securities |
|
|
11,368,747 |
|
|
|
— |
|
|
|
— |
|
|
|
11,368,747 |
|
| Options Purchased: |
|
| Equity contracts |
|
|
23,023 |
|
|
|
— |
|
|
|
— |
|
|
|
23,023 |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unfunded Floating Rate Loan Interests(b) |
|
|
— |
|
|
|
(702 |
) |
|
|
— |
|
|
|
(702 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
32,139,362 |
|
|
$ |
680,402,930 |
|
|
$ |
49,513,785 |
|
|
$ |
762,056,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative Financial Instruments |
|
| Assets: |
|
| Interest rate contracts |
|
$ |
— |
|
|
$ |
99,304 |
|
|
$ |
— |
|
|
$ |
99,304 |
|
| Forward foreign currency contracts |
|
|
— |
|
|
|
96,446 |
|
|
|
— |
|
|
|
96,446 |
|
| Liabilities: |
|
| Forward foreign currency contracts |
|
|
— |
|
|
|
(52,301 |
) |
|
|
— |
|
|
|
(52,301 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
143,449 |
|
|
$ |
— |
|
|
$ |
143,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(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 swaps and 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 $205,000,000 is categorized as Level 2 within the disclosure hierarchy.
During the six months ended
February 28, 2019, there were no transfers between Level 1 and Level 2.
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
23 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of
Level 3 investments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset-Backed
Securities |
|
|
Common
Stocks |
|
|
Corporate
Bonds |
|
|
Floating Rate
Loan
Interests |
|
|
Total |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Opening balance, as of August 31, 2018 |
|
$ |
2,698,550 |
|
|
$ |
2,048,238 |
|
|
$ |
2,892,436 |
|
|
$ |
36,749,545 |
|
|
$ |
44,388,769 |
|
| Transfers into Level 3(a) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
34,040,874 |
|
|
|
34,040,874 |
|
| Transfers out of Level 3(b) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(15,245,474 |
) |
|
|
(15,245,474 |
) |
| Accrued discounts/premiums |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(5,117 |
) |
|
|
(5,117 |
) |
| Net realized gain (loss) |
|
|
(39,405 |
) |
|
|
63,041 |
|
|
|
91 |
|
|
|
(1,382,263 |
) |
|
|
(1,358,536 |
) |
| Net change in unrealized appreciation
(depreciation)(c)(d) |
|
|
— |
|
|
|
(939,073 |
) |
|
|
(868,114 |
) |
|
|
755,615 |
|
|
|
(1,051,572 |
) |
| Purchases |
|
|
|
|
|
|
317,169 |
|
|
|
79,568 |
|
|
|
10,710,044 |
|
|
|
11,106,781 |
|
| Sales |
|
|
(2,659,145 |
) |
|
|
(328,764 |
) |
|
|
(90 |
) |
|
|
(19,373,941 |
) |
|
|
(22,361,940 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Closing balance, as of February 28, 2019 |
|
$ |
— |
|
|
$ |
1,160,611 |
|
|
$ |
2,103,891 |
|
|
$ |
46,249,283 |
|
|
$ |
49,513,785 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on investments still held at February 28, 2019(d) |
|
$ |
— |
|
|
$ |
(939,073 |
) |
|
$ |
(868,114 |
) |
|
$ |
(320,998 |
) |
|
$ |
(2,128,185 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
As of August 31, 2018 the Fund used observable inputs in determining the value of certain investments. As of
February 28, 2019, 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, 2018, the Fund used significant unobservable inputs in determining the value of certain investments.
As of February 28, 2019, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.
|
|
| |
(c) |
Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
|
| |
(d) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation
(depreciation) on investments still held at February 28, 2019 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.
|
|
|
| 24 |
|
2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited)
February 28, 2019 |
|
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
Shares |
|
|
Value |
|
|
| Common Stocks — 0.2% |
|
|
| Chemicals — 0.0% |
|
| LyondellBasell Industries NV, Class A |
|
|
|
|
|
|
37 |
|
|
$ |
3,164 |
|
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services — 0.2% |
|
| Kcad Holdings I Ltd.(a)(b) |
|
|
|
|
|
|
546,753,936 |
|
|
|
1,049,768 |
|
|
|
|
|
|
|
|
|
|
|
| Health Care Management Services — 0.0% |
|
| New Millennium HoldCo, Inc.(b) |
|
|
|
|
|
|
8,511 |
|
|
|
366 |
|
|
|
|
|
|
|
|
|
|
|
| Household Durables — 0.0% |
|
| Berkline Benchcraft Equity LLC(a) |
|
|
|
|
|
|
3,155 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
| Metals & Mining — 0.0% |
|
| Ameriforge Group, Inc. |
|
|
|
|
|
|
801 |
|
|
|
44,055 |
|
| Preferred Proppants LLC(a) |
|
|
|
|
|
|
5,738 |
|
|
|
14,345 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
58,400 |
|
|
| Software — 0.0% |
|
| Avaya Holdings Corp.(b) |
|
|
|
|
|
|
18 |
|
|
|
279 |
|
|
|
|
|
|
|
|
|
|
|
| Utilities — 0.0% |
|
| Texgen LLC(a)(b) |
|
|
|
|
|
|
3,661 |
|
|
|
140,948 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stocks — 0.2%
(Cost — $6,360,071) |
|
|
|
1,252,925 |
|
|
|
|
|
|
|
|
|
|
| |
|
|
Par
(000) |
|
|
|
|
|
| Asset-Backed Securities — 6.4% |
|
| AIMCO CLO, Series 2014-AA, Class DR, (3 mo. LIBOR US +
3.55%), 6.01%, 07/20/26(c)(d) |
|
|
USD |
|
|
|
250 |
|
|
|
248,507 |
|
| Allegro CLO II-S Ltd.,
Series 2014-1RA, Class C, 5.76%, 10/21/28(c)(e) |
|
|
|
|
|
|
1,000 |
|
|
|
977,236 |
|
| ALM VI Ltd., Series 2012-6A, Class BR3,
4.54%, 07/15/26(c)(e) |
|
|
|
|
|
|
1,000 |
|
|
|
981,313 |
|
| ALM XII Ltd., Series 2015-12A, Class C1R2,
5.43%, 04/16/27(c)(e) |
|
|
|
|
|
|
1,000 |
|
|
|
966,324 |
|
| ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2,
5.49%, 07/15/27(c)(e) |
|
|
|
|
|
|
270 |
|
|
|
264,655 |
|
| Anchorage Capital CLO Ltd.(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-3RA, Class E, 8.26%, 01/28/31(e) |
|
|
|
|
|
|
850 |
|
|
|
788,549 |
|
| Series 2014-4RA, Class D, 5.36%, 01/28/31(e) |
|
|
|
|
|
|
250 |
|
|
|
238,022 |
|
| Series 2015-7A, Class DR, 5.49%, 10/15/27(e) |
|
|
|
|
|
|
1,000 |
|
|
|
977,826 |
|
| Series 2016-8A, Class ER, 8.51%, 07/28/28(e) |
|
|
|
|
|
|
1,000 |
|
|
|
987,972 |
|
| Series 2016-9A, Class D, (3 mo. LIBOR US + 4.00%),
6.79%, 01/15/29(d) |
|
|
|
|
|
|
350 |
|
|
|
348,295 |
|
| Benefit Street Partners CLO XII Ltd., Series 2017-12A,
Class D, 9.20%, 10/15/30(c)(e) |
|
|
|
|
|
|
500 |
|
|
|
481,275 |
|
| Carlyle Global Market Strategies CLO Ltd., Series 2015-1A,
Class CR, (3 mo. LIBOR US + 2.00%), 4.76%, 04/20/27(c)(d) |
|
|
|
|
|
|
600 |
|
|
|
599,906 |
|
| Credit Suisse ABS Repackaging Trust, Series 2013-A,
Class B, 2.50%, 01/25/30(c) |
|
|
|
|
|
|
488 |
|
|
|
459,977 |
|
| DCP Rights LLC, Series 2014-1A, Class A,
5.46%, 10/25/44(c) |
|
|
|
|
|
|
3,024 |
|
|
|
3,098,288 |
|
| Dryden 64 CLO Ltd., Series 2018-64A, Class D,
5.43%, 04/18/31(c)(e) |
|
|
|
|
|
|
250 |
|
|
|
237,638 |
|
| Highbridge Loan Management Ltd., Series 5A-2015, Class ERR,
8.79%, 10/15/30(c)(e) |
|
|
|
|
|
|
450 |
|
|
|
427,082 |
|
| Litigation Fee Residual Funding,
4.00%, 10/30/27(a) |
|
|
|
|
|
|
1,131 |
|
|
|
1,215,430 |
|
| Madison Park Funding X Ltd., Series 2012-10A, Class ER, (3
mo. LIBOR US + 7.62%), 10.38%, 01/20/29(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
498,444 |
|
| Madison Park Funding XI Ltd., Series 2013-11A, Class ER,
9.22%, 07/23/29(c)(e) |
|
|
|
|
|
|
250 |
|
|
|
242,264 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
Par
(000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Madison Park Funding XIII Ltd., Series 2014-13A, Class ER,
8.51%, 04/19/30(c)(e) |
|
|
USD |
|
|
|
1,250 |
|
|
$
|
1,199,722 |
|
| Madison Park Funding XV Ltd., Series 2014-15A, Class B1R,
(3 mo. LIBOR US + 2.20%), 4.96%, 01/27/26(c)(d) |
|
|
|
|
|
|
1,500 |
|
|
|
1,502,894 |
|
| Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ER,
7.79%, 01/15/28(c)(e) |
|
|
|
|
|
|
790 |
|
|
|
751,861 |
|
| Oaktree CLO Ltd., Series 2015-1A, Class DR,
7.96%, 10/20/27(c)(e) |
|
|
|
|
|
|
500 |
|
|
|
480,712 |
|
| Octagon Investment Partners LLC, Series 2017-1A, Class E,
(3 mo. LIBOR US + 6.30%), 9.06%, 07/20/30(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
487,428 |
|
| OneMain Financial Issuance Trust, Series 2015-2A, Class C,
4.32%, 07/18/25(c) |
|
|
|
|
|
|
4,000 |
|
|
|
4,004,174 |
|
| OZLM VIII Ltd., Series 2014-8A(c)(e): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class BRR, 4.66%, 10/17/29 |
|
|
|
|
|
|
2,500 |
|
|
|
2,497,759 |
|
| Class CRR, 5.61%, 10/17/29 |
|
|
|
|
|
|
500 |
|
|
|
498,018 |
|
| OZLM XIX Ltd., Series 2017-19A, Class D,
9.39%, 11/22/30(c)(e) |
|
|
|
|
|
|
500 |
|
|
|
485,996 |
|
| OZLM XV Ltd., Series 2016-15A, Class C, (3 mo. LIBOR US
+ 4.00%), 6.76%, 01/20/29(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
999,740 |
|
| OZLM XXI Ltd., Series 2017-21A, Class D,
8.30%, 01/20/31(c)(e) |
|
|
|
|
|
|
250 |
|
|
|
234,576 |
|
| Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A,
Class D, 8.91%, 11/14/29(c)(e) |
|
|
|
|
|
|
1,750 |
|
|
|
1,680,824 |
|
| Rockford Tower CLO Ltd.(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-1A, Class D, (3 mo. LIBOR US + 3.25%),
6.04%, 04/15/29 |
|
|
|
|
|
|
250 |
|
|
|
247,512 |
|
| Series 2017-2A, Class D, (3 mo. LIBOR US + 3.45%),
6.24%, 10/15/29 |
|
|
|
|
|
|
500 |
|
|
|
499,810 |
|
| Santander Drive Auto Receivables Trust, Series 2014-4,
Class D, 3.10%, 11/16/20 |
|
|
|
|
|
|
2,280 |
|
|
|
2,280,986 |
|
| Shackleton CLO Ltd., Series 2013-3A, Class DR,
5.81%, 07/15/30(c)(e) |
|
|
|
|
|
|
500 |
|
|
|
484,337 |
|
| Symphony CLO XVIII Ltd., Series 2016-18A, Class D, (3 mo.
LIBOR US + 4.00%), 6.77%, 01/23/28(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
975,473 |
|
| Thayer Park CLO Ltd., Series 2017-1A, Class D, (3 mo.
LIBOR US + 6.10%), 8.86%, 04/20/29(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
481,628 |
|
| TICP CLO VII Ltd., Series 2017-7A, Class E, (3 mo. LIBOR US
+ 6.51%), 9.30%, 07/15/29(c)(d) |
|
|
|
|
|
|
500 |
|
|
|
487,837 |
|
| Venture XXVI CLO Ltd., Series 2017-26A, Class D,
(3 mo. LIBOR US + 4.25%), 7.01%, 01/20/29(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
999,894 |
|
| Vibrant CLO IV Ltd., Series 2016-4A, Class D, (3 mo. LIBOR
US + 4.50%), 7.26%, 07/20/28(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,004,449 |
|
| Wellfleet CLO Ltd., Series 2017-3A, Class B,
4.72%, 01/17/31(c)(e) |
|
|
|
|
|
|
500 |
|
|
|
475,459 |
|
| York CLO Ltd.(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%),
6.36%, 10/20/29 |
|
|
|
|
|
|
250 |
|
|
|
250,071 |
|
| Series 2016-2A, Class E, (3 mo. LIBOR US + 6.94%),
9.70%, 01/20/30 |
|
|
|
|
|
|
1,000 |
|
|
|
993,220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,043,383 |
|
|
| Interest Only Asset-Backed Securities — 0.0% |
|
| Sterling Bank Trust, Series 2004-2, Class Note,
2.08%, 03/30/30(a)(c) |
|
|
|
|
|
|
2,819 |
|
|
|
133,882 |
|
| Sterling Coofs Trust, Series 2004-1, Class A,
2.36%, 04/15/29(a) |
|
|
|
|
|
|
2,024 |
|
|
|
90,582 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
224,464 |
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities — 6.4%
(Cost — $38,942,273) |
|
|
|
38,267,847 |
|
|
|
|
|
|
|
|
|
|
|
|
| SCHEDULES OF INVESTMENTS |
|
|
25 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
Par
(000) |
|
|
Value |
|
|
| Corporate Bonds — 61.3% |
|
|
| Aerospace & Defense — 2.4% |
|
| Arconic, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.40%, 04/15/21 |
|
|
USD |
|
|
|
10 |
|
|
$
|
10,286 |
|
| 5.87%, 02/23/22 |
|
|
|
|
|
|
730 |
|
|
|
761,938 |
|
| 5.13%, 10/01/24 |
|
|
|
|
|
|
808 |
|
|
|
799,920 |
|
| BBA US Holdings, Inc., 5.38%, 05/01/26(c) |
|
|
|
|
|
|
271 |
|
|
|
276,081 |
|
| Bombardier, Inc.(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.75%, 03/15/20 |
|
|
|
|
|
|
172 |
|
|
|
179,542 |
|
| 8.75%, 12/01/21(f) |
|
|
|
|
|
|
827 |
|
|
|
909,700 |
|
| 5.75%, 03/15/22 |
|
|
|
|
|
|
102 |
|
|
|
102,204 |
|
| 6.00%, 10/15/22 |
|
|
|
|
|
|
8 |
|
|
|
8,040 |
|
| 6.13%, 01/15/23(f) |
|
|
|
|
|
|
810 |
|
|
|
816,075 |
|
| 7.50%, 12/01/24(f) |
|
|
|
|
|
|
965 |
|
|
|
981,888 |
|
| 7.50%, 03/15/25 |
|
|
|
|
|
|
621 |
|
|
|
626,434 |
|
| 7.88%, 04/15/27(g) |
|
|
|
|
|
|
1,094 |
|
|
|
1,094,456 |
|
| Koppers, Inc., 6.00%, 02/15/25(c) |
|
|
|
|
|
|
51 |
|
|
|
44,625 |
|
| Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(c) |
|
|
|
|
|
|
336 |
|
|
|
348,180 |
|
| Moog, Inc., 5.25%, 12/01/22(c) |
|
|
|
|
|
|
270 |
|
|
|
274,274 |
|
| Pioneer Holdings LLC/Pioneer Finance Corp.,
9.00%, 11/01/22(c) |
|
|
|
|
|
|
165 |
|
|
|
167,475 |
|
| TransDigm UK Holdings PLC,
6.88%, 05/15/26(c)(f) |
|
|
|
|
|
|
264 |
|
|
|
257,400 |
|
| TransDigm, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.00%, 07/15/22(f) |
|
|
|
|
|
|
304 |
|
|
|
309,624 |
|
| 6.50%, 07/15/24 |
|
|
|
|
|
|
54 |
|
|
|
54,540 |
|
| 6.25%, 03/15/26(c)(f) |
|
|
|
|
|
|
6,008 |
|
|
|
6,143,180 |
|
| 7.50%, 03/15/27(c) |
|
|
|
|
|
|
46 |
|
|
|
46,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,212,087 |
|
|
| Air Freight & Logistics — 0.0% |
|
| XPO Logistics, Inc., 6.75%, 08/15/24(c) |
|
|
|
|
|
|
18 |
|
|
|
18,115 |
|
|
|
|
|
|
|
|
|
|
|
| Airlines — 1.6% |
|
| Air Canada Pass-Through Trust, Series 2015-1, Class B,
3.88%, 09/15/24(c) |
|
|
|
|
|
|
1,167 |
|
|
|
1,147,581 |
|
| American Airlines Pass-Through Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-2, Class A, 4.95%, 01/15/23(f) |
|
|
|
|
|
|
1,972 |
|
|
|
2,027,917 |
|
| Series 2013-2, Class B, 5.60%, 07/15/20(c) |
|
|
|
|
|
|
252 |
|
|
|
255,475 |
|
| Series 2017-1, Class B, 4.95%, 02/15/25 |
|
|
|
|
|
|
1,282 |
|
|
|
1,302,282 |
|
| Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 05/10/20 |
|
|
|
|
|
|
239 |
|
|
|
232,427 |
|
| Latam Finance Ltd., 6.88%, 04/11/24(c) |
|
|
|
|
|
|
203 |
|
|
|
205,495 |
|
| United Airlines Pass-Through Trust: |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-2, Class B, 4.63%, 09/03/22(f) |
|
|
|
|
|
|
1,653 |
|
|
|
1,664,017 |
|
| Series 2015-1, Class A, 3.70%, 12/01/22 |
|
|
|
|
|
|
2,430 |
|
|
|
2,404,728 |
|
| Virgin Australia Trust, Series 2013-1, Class A,
5.00%, 04/23/25(c)(f) |
|
|
|
|
|
|
182 |
|
|
|
185,385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,425,307 |
|
|
| Auto Components — 0.3% |
|
| Allison Transmission, Inc.,
5.00%, 10/01/24(c) |
|
|
|
|
|
|
28 |
|
|
|
28,175 |
|
| Aptiv PLC, 4.40%, 10/01/46 |
|
|
|
|
|
|
240 |
|
|
|
206,642 |
|
| GKN Holdings PLC, 3.38%, 05/12/32 |
|
|
GBP |
|
|
|
100 |
|
|
|
128,051 |
|
| Goodyear Tire & Rubber Co., 5.00%, 05/31/26 |
|
|
USD |
|
|
|
67 |
|
|
|
63,482 |
|
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.00%, 08/01/20 |
|
|
|
|
|
|
28 |
|
|
|
28,280 |
|
| 6.25%, 02/01/22 |
|
|
|
|
|
|
299 |
|
|
|
307,910 |
|
| 6.75%, 02/01/24 |
|
|
|
|
|
|
246 |
|
|
|
257,685 |
|
| 6.38%, 12/15/25 |
|
|
|
|
|
|
149 |
|
|
|
153,284 |
|
| Tesla, Inc., 5.30%, 08/15/25(c)(f) |
|
|
|
|
|
|
407 |
|
|
|
362,230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,535,739 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
Par
(000) |
|
|
Value |
|
|
| Banks — 2.0% |
|
| Allied Irish Banks PLC (5 year EUR Swap + 3.95%), 4.13%, 11/26/25(h) |
|
|
EUR |
|
|
|
100 |
|
|
$
|
117,414 |
|
| Banco Espirito Santo SA(b)(i): |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.75%, 01/15/19 |
|
|
|
|
|
|
100 |
|
|
|
32,702 |
|
| 4.00%, 01/21/19 |
|
|
|
|
|
|
100 |
|
|
|
31,849 |
|
| Bank of Ireland (5 year EUR Swap + 3.55%), 4.25%, 06/11/24(h) |
|
|
|
|
|
|
100 |
|
|
|
114,493 |
|
| Barclays PLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.38%, 09/11/24 |
|
|
USD |
|
|
|
580 |
|
|
|
569,454 |
|
| 3.65%, 03/16/25(f) |
|
|
|
|
|
|
3,600 |
|
|
|
3,461,357 |
|
| 5.20%, 05/12/26 |
|
|
|
|
|
|
200 |
|
|
|
201,231 |
|
| BBVA Bancomer SA, 6.75%, 09/30/22(c) |
|
|
|
|
|
|
192 |
|
|
|
205,872 |
|
| CIT Group, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.00%, 08/01/23 |
|
|
|
|
|
|
582 |
|
|
|
604,058 |
|
| 5.25%, 03/07/25 |
|
|
|
|
|
|
599 |
|
|
|
627,453 |
|
| 6.13%, 03/09/28 |
|
|
|
|
|
|
98 |
|
|
|
106,330 |
|
| HSBC Holdings PLC, 4.38%, 11/23/26(f) |
|
|
|
|
|
|
395 |
|
|
|
397,510 |
|
| Nordea Bank AB, 4.50%, 03/26/20 |
|
|
EUR |
|
|
|
1,020 |
|
|
|
1,212,441 |
|
| Promerica Financial Corp.,
9.70%, 05/14/24(c) |
|
|
USD |
|
|
|
200 |
|
|
|
203,525 |
|
| Santander Holdings USA, Inc.,
4.50%, 07/17/25(f) |
|
|
|
|
|
|
1,750 |
|
|
|
1,777,449 |
|
| Santander UK Group Holdings PLC,
2.88%, 08/05/21(f) |
|
|
|
|
|
|
950 |
|
|
|
934,599 |
|
| Standard Chartered PLC,
3.89%, 03/15/24(c)(e)(f) |
|
|
|
|
|
|
1,500 |
|
|
|
1,482,788 |
|
| Unione di Banche Italiane SpA,
5.88%, 03/04/29(e)(g) |
|
|
EUR |
|
|
|
100 |
|
|
|
114,029 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,194,554 |
|
|
| Beverages — 0.1% |
|
| BWAY Holding Co., 4.75%, 04/15/24 |
|
|
|
|
|
|
100 |
|
|
|
114,835 |
|
| Central American Bottling Corp.,
5.75%, 01/31/27(c) |
|
|
USD |
|
|
|
176 |
|
|
|
178,564 |
|
| Crown European Holdings SA,
2.25%, 02/01/23(c) |
|
|
EUR |
|
|
|
100 |
|
|
|
117,565 |
|
| OI European Group BV, 4.00%, 03/15/23(c) |
|
|
USD |
|
|
|
176 |
|
|
|
172,040 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
583,004 |
|
|
| Building Materials — 0.0% |
|
| Jeld-Wen, Inc., 4.63%, 12/15/25(c) |
|
|
|
|
|
|
138 |
|
|
|
129,893 |
|
|
|
|
|
|
|
|
|
|
|
| Building Products — 0.4% |
|
| American Builders & Contractors Supply Co., Inc., 5.75%, 12/15/23(c) |
|
|
|
|
|
|
184 |
|
|
|
188,600 |
|
| Beacon Roofing Supply, Inc.,
4.88%, 11/01/25(c) |
|
|
|
|
|
|
18 |
|
|
|
16,757 |
|
| CPG Merger Sub LLC, 8.00%, 10/01/21(c) |
|
|
|
|
|
|
324 |
|
|
|
319,140 |
|
| Jeld-Wen, Inc., 4.88%, 12/15/27(c) |
|
|
|
|
|
|
19 |
|
|
|
17,599 |
|
| Masonite International Corp.(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.63%, 03/15/23(f) |
|
|
|
|
|
|
384 |
|
|
|
390,720 |
|
| 5.75%, 09/15/26 |
|
|
|
|
|
|
160 |
|
|
|
160,000 |
|
| PGT Escrow Issuer, Inc.,
6.75%, 08/01/26(c) |
|
|
|
|
|
|
107 |
|
|
|
110,210 |
|
| Standard Industries, Inc.(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.50%, 02/15/23 |
|
|
|
|
|
|
66 |
|
|
|
67,485 |
|
| 5.38%, 11/15/24 |
|
|
|
|
|
|
404 |
|
|
|
410,060 |
|
| 6.00%, 10/15/25 |
|
|
|
|
|
|
600 |
|
|
|
626,250 |
|
| 5.00%, 02/15/27 |
|
|
|
|
|
|
36 |
|
|
|
34,290 |
|
| 4.75%, 01/15/28 |
|
|
|
|
|
|
46 |
|
|
|
43,010 |
|
| USG Corp.(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.50%, 03/01/25 |
|
|
|
|
|
|
11 |
|
|
|
11,110 |
|
| 4.88%, 06/01/27 |
|
|
|
|
|
|
198 |
|
|
|
199,914 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,595,145 |
|
|
| Cable Television Services — 0.0% |
|
| Cincinnati Bell, Inc., 8.00%, 10/15/25(c) |
|
|
|
|
|
|
146 |
|
|
|
132,130 |
|
|
|
|
|
|
|
|
|
|
|
| Capital Markets — 0.6% |
|
| Blackstone CQP Holdco LP(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.50%, 03/20/21 |
|
|
|
|
|
|
2,040 |
|
|
|
2,037,450 |
|
| 6.00%, 08/18/21 |
|
|
|
|
|
|
332 |
|
|
|
328,680 |
|
|
|
|
| 26 |
|
2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
|
|
|
| Schedule of Investments (unaudited) (continued)
February 28, 2019 |
|
BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
Par
(000) |
|
|
Value |
|
|
| Capital Markets (continued) |
|
| Intertrust Group BV, 3.38%, 11/15/25 |
|
|
EUR |
|
|
|
100 |
|
|
$
|
116,186 |
|
| Lions Gate Capital Holdings LLC(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.38%, 02/01/24 |
|
|
USD |
|
|
|
25 |
|
|
|
25,625 |
|
| 5.88%, 11/01/24 |
|
|
|
|
|
|
171 |
|
|
|
173,137 |
|
| Morgan Stanley, 4.00%, 07/23/25(f) |
|
|
|
|
|
|
965 |
|
|
|
980,823 |
|
| Stevens Holding Co., Inc.,
6.13%, 10/01/26(c) |
|
|
|
|
|
|
167 |
|
|
|
170,340 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,832,241 |
|
|
| Chemicals — 1.5% |
|
| Alpha 2 BV, (8.75% Cash or 9.50% PIK),
8.75%, 06/01/23(c)(j) |
|
|
|
|
|
|
256 |
|
|
|
245,120 |
|
| Alpha 3 BV/Alpha US Bidco, Inc.,
6.25%, 02/01/25(c) |
|
|
|
|
|
|
1,246 |
|
|
|
1,193,045 |
|
| Axalta Coating Systems LLC,
4.88%, 08/15/24(c) |
|
|
|
|
|
|
608 |
|
|
|
603,440 |
|
| Blue Cube Spinco LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.75%, 10/15/23 |
|
|
|
|
|
|
596 |
|
|
|
667,669 |
|
| 10.00%, 10/15/25 |
|
|
|
|
|
|
341 |
|
|
|
390,445 |
|
| Chemours Co.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.63%, 05/15/23 |
|
|
|
|
|
|
228 |
|
|
|
236,561 |
|
| 7.00%, 05/15/25 |
|
|
|
|
|
|
112 |
|
|
|
116,760 |
|
| 4.00%, 05/15/26 |
|
|
EUR |
|
|
|
186 |
|
|
|
210,319 |
|
| 5.38%, 05/15/27 |
|
|
USD |
|
|
|
99 |
|
|
|
96,030 |
|
| Cydsa SAB de CV, 6.25%, 10/04/27(c) |
|
|
|
|
|
|
252 |
|
|
|
239,400 |
|
| Element Solutions, Inc.,
5.88%, 12/01/25(c)(f) |
|
|
|
|
|
|
1,052 |
|
|
|
1,064,498 |
|
| GCP Applied Technologies, Inc.,
5.50%, 04/15/26(c) |
|
|
|
|
|
|
248 |
|
|
|
249,860 |
|
| Huntsman International LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.13%, 11/15/22 |
|
|
|
|
|
|
280 |
|
|
|
292,600 |
|
| 4.50%, 05/01/29(g) |
|
|
|
|
|
|
135 |
|
|
|
133,109 |
|
| INEOS Finance PLC, 4.00%, 05/01/23 |
|
|
EUR |
|
|
|
100 |
|
|
|
115,304 |
|
| Mexichem SAB de CV, 5.50%, 01/15/48(c) |
|
|
USD |
|
|
|
200 |
|
|
|
183,480 |
|
| Momentive Performance Materials, Inc.,
3.88%, 10/24/21(f) |
|
|
|
|
|
|
303 |
|
|
|
326,483 |
|
| NOVA Chemicals Corp., 4.88%, 06/01/24(c) |
|
|
|
|
|
|
267 |
|
|
|
258,509 |
|
| Olin Corp., 5.00%, 02/01/30 |
|
|
|
|
|
|
117 |
|
|
|
113,636 |
|
| PQ Corp.(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.75%, 11/15/22(f) |
|
|
|
|
|
|
444 |
|
|
|
461,627 |
|
| 5.75%, 12/15/25 |
|
|
|
|
|
|
497 |
|
|
|
481,161 |
|
| Versum Materials, Inc., 5.50%, 09/30/24(c) |
|
|
|
|
|
|
158 |
|
|
|
164,320 |
|
| WR Grace & Co-Conn(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.13%, 10/01/21(f) |
|
|
|
|
|
|
741 |
|
|
|
762,408 |
|
| 5.63%, 10/01/24 |
|
|
|
|
|
|
200 |
|
|
|
208,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,813,784 |
|
|
| Commercial Services & Supplies — 1.2% |
|
| ADT Security Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.25%, 10/15/21 |
|
|
|
|
|
|
139 |
|
|
|
146,298 |
|
| 3.50%, 07/15/22 |
|
|
|
|
|
|
313 |
|
|
|
307,914 |
|
| 4.13%, 06/15/23 |
|
|
|
|
|
|
226 |
|
|
|
221,762 |
|
| 4.88%, 07/15/32(c) |
|
|
|
|
|
|
371 |
|
|
|
312,567 |
|
| Advanced Disposal Services, Inc.,
5.63%, 11/15/24(c) |
|
|
|
|
|
|
147 |
|
|
|
148,470 |
|
| Avolon Holdings Funding Ltd.(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.13%, 10/01/23 |
|
|
|
|
|
|
323 |
|
|
|
326,230 |
|
| 5.25%, 05/15/24(g) |
|
|
|
|
|
|
302 |
|
|
|
309,550 |
|
| Booz Allen Hamilton, Inc.,
5.13%, 05/01/25(c) |
|
|
|
|
|
|
270 |
|
|
|
270,675 |
|
| Core & Main LP,
6.13%, 08/15/25(c) |
|
|
|
|
|
|
446 |
|
|
|
429,275 |
|
| Fortress Transportation & Infrastructure Investors
LLC(c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.75%, 03/15/22 |
|
|
|
|
|
|
71 |
|
|
|
72,385 |
|
| 6.50%, 10/01/25 |
|
|
|
|
|
|
78 |
|
|
|
76,245 |
|
| GFL Environmental, Inc.,
5.38%, 03/01/23(c) |
|
|
|
|
|
|
131 |
<