BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment
Company Act file number: 811-21413
Name of Fund: BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Floating Rate Income
Strategies Fund, Inc., 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number,
including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2017
Date of reporting period: 05/31/2017
Item 1 – Schedule of Investments
|
|
|
| Consolidated Schedule of Investments May 31, 2017 (Unaudited) |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks |
|
|
|
|
Shares |
|
|
Value |
|
| Chemicals — 0.0% |
|
| GEO Specialty Chemicals, Inc. (a)(b) |
|
|
|
167,777 |
|
|
$ |
62,078 |
|
| Diversified Financial Services — 0.1% |
|
|
|
|
|
|
|
| Kcad Holdings I Ltd. (a)(b) |
|
|
|
309,827,230 |
|
|
|
424,463 |
|
| Health Care Management Services — 0.0% |
|
|
|
|
|
|
|
| New Millennium HoldCo, Inc. (b) |
|
|
|
14,906 |
|
|
|
20,585 |
|
| Semiconductors & Semiconductor Equipment — 0.0% |
|
|
|
|
| SunPower Corp. (b) |
|
|
|
1,860 |
|
|
|
14,638 |
|
| Specialty Retail — 0.0% |
|
|
|
|
|
|
|
| Things Remembered, Inc. (a)(b) |
|
|
|
932,803 |
|
|
|
— |
|
| Total Common Stocks – 0.1% |
|
|
|
521,764 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities (c)(d) |
|
|
|
|
Par
(000) |
|
|
|
|
| Asset-Backed Securities — 2.3% |
|
|
|
|
|
| ALM Loan Funding, Series 2012-5A, Class BR, 4.16%, 10/18/27 |
|
|
USD |
|
|
|
250 |
|
|
|
250,785 |
|
| ALM VII R Ltd., Series 2013-7RA, Class BR, 3.86%, 10/15/28 |
|
|
|
|
|
|
250 |
|
|
|
252,769 |
|
| ALM XIV Ltd., Series 2014-14A, Class C, 4.62%, 7/28/26 |
|
|
|
|
|
|
463 |
|
|
|
463,007 |
|
| ALM XVII Ltd., Series 2015-17A, Class C1, 5.31%, 1/15/28 |
|
|
|
|
|
|
500 |
|
|
|
505,140 |
|
| AMMC CLO Ltd., Series 2014-15A, Class D, 5.31%, 12/09/26 |
|
|
|
|
|
|
250 |
|
|
|
251,665 |
|
| Ares CLO Ltd., Series 2016-40A, Class C, 4.86%, 10/15/27 |
|
|
|
|
|
|
250 |
|
|
|
251,287 |
|
| Ares XXXII CLO Ltd., Series 2014-32A, Class CR, 4.63%, 11/15/25 |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,111 |
|
| Ares XXXIII CLO Ltd., Series 2015-1A, Class A2R, 3.05%, 12/05/25 |
|
|
|
|
|
|
450 |
|
|
|
453,785 |
|
| Atlas Senior Loan Fund VI Ltd., Series 2014-6A, Class DR, 4.76%, 10/15/26 |
|
|
|
|
|
|
750 |
|
|
|
751,192 |
|
| Atrium X, Series 10A, Class DR, 4.86%, 7/16/25 (a) |
|
|
|
|
|
|
250 |
|
|
|
250,000 |
|
| Atrium XII, Series 12A, Class D, 5.05%, 10/22/26 |
|
|
|
|
|
|
250 |
|
|
|
250,460 |
|
| Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A2R, 3.21%, 1/20/29 |
|
|
|
|
|
|
500 |
|
|
|
504,971 |
|
| Benefit Street Partners CLO VIII, Ltd., Series 2015-8A : |
|
|
|
|
|
|
|
|
|
|
|
|
| Class B, 4.16%, 1/20/28 |
|
|
|
|
|
|
500 |
|
|
|
502,243 |
|
| Class C, 5.06%, 1/20/28 |
|
|
|
|
|
|
500 |
|
|
|
501,748 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities (c)(d) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Asset-Backed Securities (continued) |
|
|
|
|
|
|
|
| Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 5.18%, 2/14/25 |
|
|
USD |
|
|
|
250 |
|
|
$ |
251,216 |
|
| CIFC Funding Ltd. : |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-1A, Class A2, 3.06%, 4/16/25 |
|
|
|
|
|
|
475 |
|
|
|
475,460 |
|
| Series 2013-4A, Class DR, 4.55%, 11/27/24 |
|
|
|
|
|
|
250 |
|
|
|
250,756 |
|
| Series 2014-2A, Class A3LR, 3.44%, 5/24/26 (a) |
|
|
|
|
|
|
280 |
|
|
|
280,008 |
|
| Series 2014-3A, Class C1, 3.95%, 7/22/26 |
|
|
|
|
|
|
250 |
|
|
|
250,095 |
|
| Dryden XXXVI Senior Loan Fund, Series 2014-36A, Class CR, 3.96%, 1/15/28 (a) |
|
|
|
|
|
|
250 |
|
|
|
251,750 |
|
| GoldentTree Loan Management US CLO 1, Ltd., Series 2017-1A, Class C, 3.38%, 4/20/29 |
|
|
|
|
|
|
250 |
|
|
|
250,134 |
|
| Grippen Park CLO Ltd., Series 2017-1A, Class C, 3.55%, 1/20/30 |
|
|
|
|
|
|
280 |
|
|
|
280,206 |
|
| LCM XVIII LP, Series 18A, Class INC, 0.00%, 4/20/27 |
|
|
|
|
|
|
1,000 |
|
|
|
682,454 |
|
| Sound Point CLO III, Ltd., Series 2013-2A, Class DR, 4.51%, 7/15/25 (a) |
|
|
|
|
|
|
250 |
|
|
|
250,000 |
|
| TCI-Cent CLO Ltd., Series 2016-1A, Class A2, 3.32%, 12/21/29 |
|
|
|
|
|
|
300 |
|
|
|
302,187 |
|
| Treman Park CLO LLC, Series 2015-1A, Class D, 5.02%, 4/20/27 |
|
|
|
|
|
|
1,400 |
|
|
|
1,402,562 |
|
| Venture XIX CLO Ltd., Series 2014-19A, Class BR, 3.16%, 1/15/27 (a) |
|
|
|
|
|
|
250 |
|
|
|
250,937 |
|
| Voya CLO Ltd., Series 2014-4A, Class C, 5.16%, 10/14/26 |
|
|
|
|
|
|
1,000 |
|
|
|
1,003,578 |
|
| Webster Park CLO Ltd., Series 2015-1A, Class C, 5.21%, 1/20/27 |
|
|
|
|
|
|
500 |
|
|
|
505,032 |
|
| Total Asset-Backed Securities — 2.3% |
|
|
|
12,875,538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
|
|
|
|
|
| Airlines — 0.5% |
|
|
|
|
|
|
|
|
|
| US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18 |
|
|
|
|
|
|
2,605 |
|
|
|
2,663,612 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
1 |
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Banks — 0.0% |
|
|
|
|
| CIT Group, Inc., 5.00%, 8/01/23 |
|
|
USD |
|
|
|
135 |
|
|
$ |
145,631 |
|
| Capital Markets — 0.3% |
|
|
|
|
| Blackstone CQP Holdco LP, 6.50%, 3/20/21 (d) |
|
|
|
|
|
|
1,536 |
|
|
|
1,550,010 |
|
| Chemicals — 0.7% |
|
|
|
|
| GEO Specialty Chemicals, Inc., 7.50%, 10/30/18 (a)(d) |
|
|
|
|
|
|
1,746 |
|
|
|
2,739,805 |
|
| Momentive Performance Materials, Inc., 3.88%, 10/24/21 |
|
|
|
1,083 |
|
|
|
1,096,538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
3,836,343 |
|
| Communications Equipment — 0.2% |
|
|
|
|
| Avaya, Inc., 0.00%, 4/01/19 (b)(d)(e) |
|
|
|
1,347 |
|
|
|
1,101,173 |
|
| Consumer Finance — 0.1% |
|
|
|
|
| Ally Financial, Inc., 8.00%, 11/01/31 |
|
|
|
300 |
|
|
|
362,250 |
|
| Containers & Packaging — 1.3% |
|
|
|
|
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (d): |
|
|
|
|
|
|
|
|
|
| 4.43%, 5/15/21 (c) |
|
|
|
|
|
|
608 |
|
|
|
620,160 |
|
| 4.25%, 9/15/22 |
|
|
|
|
|
|
780 |
|
|
|
794,625 |
|
| 7.25%, 5/15/24 |
|
|
|
|
|
|
300 |
|
|
|
327,375 |
|
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer
Lu,
4.66%, 7/15/21 (c)(d) |
|
|
|
5,360 |
|
|
|
5,467,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
7,209,360 |
|
| Diversified Consumer Services — 0.1% |
|
|
|
|
| Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23
(d) |
|
|
|
300 |
|
|
|
328,002 |
|
| Electric Utilities — 0.0% |
|
|
|
|
| Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.,
11.50%, 10/01/20 (a)(b)(d)(e) |
|
|
|
1,061 |
|
|
|
— |
|
| Energy Equipment & Services — 0.3% |
|
|
|
|
| Transocean, Inc., 9.00%, 7/15/23 (d) |
|
|
|
1,593 |
|
|
|
1,664,685 |
|
| Weatherford International Ltd., 9.88%, 2/15/24 (d) |
|
|
|
325 |
|
|
|
365,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
2,030,310 |
|
| Environmental, Maintenance, & Security Service — 0.1% |
|
|
|
|
| Tervita Escrow Corp., 7.63%, 12/01/21 (d) |
|
|
|
540 |
|
|
|
550,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Health Care Providers & Services — 0.3% |
|
|
|
|
| CHS/Community Health Systems, Inc., 5.13%, 8/01/21 |
|
|
USD |
|
|
|
1,540 |
|
|
$ |
1,559,250 |
|
| HCA, Inc., 5.25%, 6/15/26 |
|
|
|
|
|
|
325 |
|
|
|
353,048 |
|
| RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23 (d) |
|
|
|
|
|
|
70 |
|
|
|
74,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
1,987,198 |
|
| Independent Power and Renewable Electricity Producers — 0.2% |
|
| NRG Energy, Inc., 6.25%, 7/15/22 |
|
|
|
|
|
|
1,505 |
|
|
|
1,537,914 |
|
| Internet Software & Services — 0.1% |
|
|
|
|
| Symantec Corp., 5.00%, 4/15/25 (d) |
|
|
|
|
|
|
280 |
|
|
|
290,500 |
|
| Media — 1.2% |
|
|
|
|
| Altice Financing SA (d): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.63%, 2/15/23 |
|
|
|
|
|
|
550 |
|
|
|
585,200 |
|
| 7.50%, 5/15/26 |
|
|
|
|
|
|
875 |
|
|
|
963,594 |
|
| Altice US Finance I Corp., 5.50%, 5/15/26 (d) |
|
|
|
|
|
|
350 |
|
|
|
366,625 |
|
| Clear Channel Worldwide Holdings, Inc., Series B, 7.63%, 3/15/20 |
|
|
|
|
|
|
325 |
|
|
|
326,625 |
|
| CSC Holdings LLC, 10.88%, 10/15/25 (d) |
|
|
|
|
|
|
275 |
|
|
|
334,812 |
|
| SFR Group SA (d): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.00%, 5/15/22 |
|
|
|
|
|
|
842 |
|
|
|
880,942 |
|
| 6.25%, 5/15/24 |
|
|
|
|
|
|
1,040 |
|
|
|
1,092,000 |
|
| 7.38%, 5/01/26 |
|
|
|
|
|
|
1,857 |
|
|
|
2,009,033 |
|
| Virgin Media Secured Finance PLC, 5.25%, 1/15/26 (d) |
|
|
|
|
|
|
350 |
|
|
|
356,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
6,914,956 |
|
| Metals & Mining — 1.2% |
|
|
|
|
| Constellium NV, 6.63%, 3/01/25 (d) |
|
|
|
|
|
|
300 |
|
|
|
289,500 |
|
| Freeport-McMoRan, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.38%, 3/15/18 |
|
|
|
|
|
|
2,021 |
|
|
|
2,018,979 |
|
| 3.10%, 3/15/20 |
|
|
|
|
|
|
1,150 |
|
|
|
1,131,704 |
|
| 3.88%, 3/15/23 |
|
|
|
|
|
|
625 |
|
|
|
580,875 |
|
| Novelis Corp., 6.25%, 8/15/24 (d) |
|
|
|
|
|
|
600 |
|
|
|
632,160 |
|
| Teck Resources Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.50%, 1/15/21 |
|
|
|
|
|
|
839 |
|
|
|
876,755 |
|
| 3.75%, 2/01/23 |
|
|
|
|
|
|
1,275 |
|
|
|
1,254,281 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
6,784,254 |
|
| Oil, Gas & Consumable Fuels — 1.4% |
|
|
|
|
|
|
|
|
|
| Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 |
|
|
|
|
|
|
670 |
|
|
|
750,400 |
|
| CONSOL Energy, Inc., 5.88%, 4/15/22 |
|
|
|
|
|
|
2,262 |
|
|
|
2,230,897 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 2 |
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Oil, Gas & Consumable Fuels (continued) |
|
| Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (d) |
|
|
USD |
|
|
|
995 |
|
|
$ |
1,022,363 |
|
| Halcon Resources Corp., 6.75%, 2/15/25 (d) |
|
|
|
|
|
|
1,405 |
|
|
|
1,310,162 |
|
| MEG Energy Corp., 6.50%, 1/15/25 (d) |
|
|
|
|
|
|
986 |
|
|
|
963,815 |
|
| NGPL PipeCo LLC, 7.12%, 12/15/17 (d) |
|
|
|
|
|
|
381 |
|
|
|
389,573 |
|
| Noble Holding International Ltd., 7.75%, 1/15/24 |
|
|
|
|
|
|
280 |
|
|
|
247,013 |
|
| Rowan Cos., Inc., 7.38%, 6/15/25 |
|
|
|
|
|
|
340 |
|
|
|
333,200 |
|
| Sanchez Energy Corp., 6.13%, 1/15/23 |
|
|
|
|
|
|
535 |
|
|
|
470,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
7,718,223 |
|
| Real Estate Investment Trusts (REITs) — 0.1% |
|
|
|
|
| MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.,
5.63%, 5/01/24 |
|
|
|
800 |
|
|
|
863,000 |
|
| Road & Rail — 0.1% |
|
|
|
|
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.80%, 12/01/17
(c) |
|
|
|
295 |
|
|
|
295,000 |
|
| Software — 0.1% |
|
|
|
|
| Solera LLC/Solera Finance, Inc., 10.50%, 3/01/24 (d) |
|
|
|
300 |
|
|
|
343,500 |
|
| Wireless Telecommunication Services — 0.1% |
|
|
|
|
| Sprint Communications, Inc., 7.00%, 8/15/20 |
|
|
|
325 |
|
|
|
359,125 |
|
| Total Corporate Bonds — 8.4% |
|
|
|
46,870,486 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
|
|
|
| Aerospace & Defense — 1.7% |
|
|
|
|
|
|
|
|
|
| Engility Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B1, 4.29%, 8/12/20 |
|
|
|
|
|
|
337 |
|
|
|
339,695 |
|
| Term Loan B2, 4.79%-6.75%, 8/12/23 |
|
|
|
|
|
|
628 |
|
|
|
633,790 |
|
| TransDigm, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2015 Term Loan E, 4.04%, 5/14/22 |
|
|
|
|
|
|
863 |
|
|
|
864,563 |
|
| 2016 Extended Term Loan F, 4.04%, 6/09/23 |
|
|
|
|
|
|
6,335 |
|
|
|
6,344,835 |
|
| Term Loan D, 4.15%, 6/04/21 |
|
|
|
|
|
|
1,134 |
|
|
|
1,137,882 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
9,320,765 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Air Freight & Logistics — 1.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2, 3.76%, 3/20/22 |
|
|
USD |
|
|
|
6,299 |
|
|
$ |
6,376,960 |
|
| CEVA Group PLC, Synthetic LOC, 6.50%, 3/19/21 |
|
|
|
|
|
|
733 |
|
|
|
644,680 |
|
| CEVA Intercompany BV, Dutch Term Loan, 6.67%, 3/19/21 |
|
|
|
|
|
|
751 |
|
|
|
676,489 |
|
| CEVA Logistics Canada ULC, Canadian Term Loan, 6.67%, 3/19/21 |
|
|
|
|
|
|
129 |
|
|
|
116,638 |
|
| CEVA Logistics US Holdings, Inc., Term Loan, 6.67%, 3/19/21 |
|
|
|
|
|
|
1,000 |
|
|
|
901,014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
8,715,781 |
|
| Airlines — 0.1% |
|
|
|
|
|
|
|
|
|
| Northwest Airlines, Inc., Term Loan, 2.65%, 9/10/18 (a) |
|
|
|
|
|
|
360 |
|
|
|
353,219 |
|
| Auto Components — 1.0% |
|
|
|
|
|
|
|
|
|
| Anchor Glass Container Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2016 1st Lien Term Loan, 4.25%, 12/07/23 |
|
|
|
|
|
|
529 |
|
|
|
532,170 |
|
| 2016 2nd Lien Term Loan, 8.81%, 12/07/24 (a) |
|
|
|
|
|
|
395 |
|
|
|
400,925 |
|
| Dayco Products LLC, 2017 Term Loan B, 6.00%, 5/08/23 (a) |
|
|
|
|
|
|
1,030 |
|
|
|
1,030,000 |
|
| FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19 |
|
|
|
|
|
|
990 |
|
|
|
975,195 |
|
| Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.00%, 4/30/19 |
|
|
|
|
|
|
582 |
|
|
|
585,302 |
|
| GPX International Tire Corp., Term Loan (a)(b)(e): |
|
|
|
|
|
|
|
|
|
|
|
|
| 12.25%, 3/30/12 |
|
|
|
|
|
|
1,097 |
|
|
|
— |
|
| PIK, 13.00%, 3/30/12 (f) |
|
|
|
|
|
|
18 |
|
|
|
— |
|
| TKC Holdings, Inc., 2017 2nd Lien Term Loan, 8.50%, 2/01/24 (a) |
|
|
|
|
|
|
752 |
|
|
|
755,760 |
|
| USI, Inc., 2017 Term Loan B, 4.18%, 5/16/24 |
|
|
|
|
|
|
1,305 |
|
|
|
1,302,716 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
5,582,068 |
|
| Automobiles — 0.3% |
|
|
|
|
|
|
|
|
|
| CH Hold Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, 4.00%, 2/01/24 |
|
|
|
|
|
|
1,175 |
|
|
|
1,182,695 |
|
| 2nd Lien Term Loan, 8.25%, 2/01/25 |
|
|
|
|
|
|
245 |
|
|
|
250,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
1,433,514 |
|
| Building Materials — 0.7% |
|
|
|
|
|
|
|
|
|
| Allied Universal HoldCo LLC, 2015 Term Loan, 4.79%, 7/28/22 |
|
|
|
|
|
|
3,253 |
|
|
|
3,268,531 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
3 |
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Building Materials (continued) |
|
| USAGM HoldCo LLC, 2015 2nd Lien Term Loan, 9.67%, 7/28/23 |
|
|
USD |
|
|
|
645 |
|
|
$ |
652,663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
3,921,194 |
|
| Building Products — 1.8% |
|
|
|
|
|
|
|
|
|
| Continental Building Products LLC, 2017 Term Loan B, 3.65%, 8/18/23 (a) |
|
|
|
|
|
|
1,121 |
|
|
|
1,126,201 |
|
| CPG International Inc., 2017 Term Loan, 4.90%, 5/03/24 |
|
|
|
|
|
|
1,957 |
|
|
|
1,960,380 |
|
| GYP Holdings III Corp., 1st Lien Term Loan, 4.67%, 4/01/21 |
|
|
|
|
|
|
1,548 |
|
|
|
1,549,404 |
|
| Jeld-Wen, Inc., 2017 Term Loan B, 4.15%, 7/01/22 |
|
|
|
|
|
|
1,768 |
|
|
|
1,787,078 |
|
| Ply Gem Industries, Inc., Term Loan, 4.15%, 2/01/21 |
|
|
|
|
|
|
920 |
|
|
|
925,274 |
|
| Wilsonart LLC, 2016 Term Loan, 4.65%, 12/19/23 |
|
|
|
|
|
|
2,741 |
|
|
|
2,759,996 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
10,108,333 |
|
| Capital Markets — 0.5% |
|
|
|
|
|
|
|
|
|
| RPI Finance Trust, Term Loan B6, 3.15%, 3/27/23 |
|
|
|
|
|
|
2,737 |
|
|
|
2,747,232 |
|
| Chemicals — 4.4% |
|
|
|
|
|
|
|
|
|
| Alpha 3 BV, 2017 Term Loan B1, 4.15%, 1/31/24 |
|
|
|
|
|
|
1,025 |
|
|
|
1,029,807 |
|
| Axalta Coating Systems Dutch Holding BV, Term Loan, 3.43%, 5/16/24 |
|
|
|
|
|
|
2,375 |
|
|
|
2,386,139 |
|
| Axalta Coating Systems US Holdings, Inc., Term Loan B1, 3.65%, 2/01/23 |
|
|
|
|
|
|
1,614 |
|
|
|
1,622,233 |
|
| CeramTec Acquisition Corp., Term Loan B2, 3.95%, 8/30/20 |
|
|
|
|
|
|
113 |
|
|
|
114,416 |
|
| Charter NEX US Holdings, Inc., 2017 Term Loan B, 4.29%, 5/10/24 |
|
|
|
|
|
|
1,455 |
|
|
|
1,457,270 |
|
| Chemours Co., 2017 Term Loan B, 3.50%, 5/12/22 |
|
|
|
|
|
|
910 |
|
|
|
916,458 |
|
| Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 |
|
|
|
|
|
|
301 |
|
|
|
274,802 |
|
| Huntsman International LLC, Term Loan B2, 3.99%, 4/01/23 |
|
|
|
|
|
|
2,145 |
|
|
|
2,153,439 |
|
| Klockner-Pentaplast of America, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, 4.40%, 4/28/20 |
|
|
|
|
|
|
1,136 |
|
|
|
1,139,768 |
|
| German Borrower, 4.40%, 4/28/20 |
|
|
|
|
|
|
485 |
|
|
|
487,080 |
|
| MacDermid, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B5, 4.54%, 6/07/20 |
|
|
|
|
|
|
1,912 |
|
|
|
1,928,763 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Chemicals (continued) |
|
|
|
|
|
|
|
|
|
| MacDermid, Inc.(continued): |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B6, 4.04%, 6/07/23 |
|
|
USD |
|
|
|
1,430 |
|
|
$ |
1,438,100 |
|
| OXEA Finance LLC, Term Loan B2, 4.40%, 1/15/20 |
|
|
|
|
|
|
3,018 |
|
|
|
2,964,826 |
|
| PQ Corp., 2016 Term Loan, 5.29%, 11/04/22 |
|
|
|
|
|
|
1,382 |
|
|
|
1,396,899 |
|
| Royal Holdings, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2015 2nd Lien Term Loan, 8.65%, 6/19/23 (a) |
|
|
|
|
|
|
257 |
|
|
|
255,910 |
|
| 2017 Term Loan B, 4.40%, 6/19/22 |
|
|
|
|
|
|
1,118 |
|
|
|
1,129,859 |
|
| Solenis International LP: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, 4.45%, 7/31/21 |
|
|
|
|
|
|
1,493 |
|
|
|
1,497,312 |
|
| 2nd Lien Term Loan, 7.95%, 7/31/22 |
|
|
|
|
|
|
1,725 |
|
|
|
1,723,931 |
|
| Tata Chemicals North America, Inc., Term Loan B, 3.94%, 8/07/20 |
|
|
|
|
|
|
460 |
|
|
|
460,328 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
24,377,340 |
|
| Commercial Services & Supplies — 7.4% |
|
|
|
|
|
|
|
|
|
| Advanced Disposal Services, Inc., Term Loan B3, 3.70%, 11/10/23 |
|
|
|
|
|
|
3,341 |
|
|
|
3,364,232 |
|
| Asurion LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2016 Term Loan B2, 4.29%, 7/08/20 |
|
|
|
|
|
|
562 |
|
|
|
563,756 |
|
| 2017 Term Loan B5, 4.04%, 11/03/23 |
|
|
|
|
|
|
2,092 |
|
|
|
2,107,194 |
|
| Term Loan B4, 4.29%, 8/04/22 |
|
|
|
|
|
|
2,005 |
|
|
|
2,014,933 |
|
| Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.93%, 11/26/20 |
|
|
|
|
|
|
2,810 |
|
|
|
2,814,963 |
|
| Camelot UK Holdco Ltd., 2017 Term Loan B, 4.54%, 10/03/23 |
|
|
|
|
|
|
2,129 |
|
|
|
2,143,950 |
|
| Casella Waste Systems, Inc., 2017 Term Loan B, 3.75%, 10/17/23 |
|
|
|
|
|
|
938 |
|
|
|
941,166 |
|
| Catalent Pharma Solutions, Inc., Term Loan B, 3.79%, 5/20/21 |
|
|
|
|
|
|
3,623 |
|
|
|
3,660,583 |
|
| Creative Artists Agency LLC, 2017 1st Lien Term Loan B, 4.50%, 2/15/24 |
|
|
|
|
|
|
2,085 |
|
|
|
2,110,835 |
|
| Dealer Tire LLC, 2016 Term Loan B, 4.94%, 12/22/21 (a) |
|
|
|
|
|
|
998 |
|
|
|
1,011,274 |
|
| Employbridge LLC, Exit Term Loan, 7.65%, 5/16/20 |
|
|
|
|
|
|
373 |
|
|
|
345,604 |
|
| Garda World Security Corp., 2017 Term Loan, 5.00%, 4/05/24 |
|
|
|
|
|
|
925 |
|
|
|
926,904 |
|
| GCA Services Group, Inc., 2016 Term Loan, 5.87%, 3/01/23 |
|
|
|
|
|
|
1,866 |
|
|
|
1,872,153 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 4 |
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Commercial Services & Supplies (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Harland Clarke Holdings Corp., Term Loan B6, 6.65%, 2/09/22 |
|
|
USD |
|
|
|
1,054 |
|
|
$ |
1,053,315 |
|
| KAR Auction Services, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B4, 3.31%, 3/11/21 |
|
|
|
|
|
|
871 |
|
|
|
876,450 |
|
| Term Loan B5, 3.56%, 3/09/23 |
|
|
|
|
|
|
1,377 |
|
|
|
1,386,992 |
|
| Livingston International, Inc., 1st Lien Term Loan, 5.50%, 4/18/19 |
|
|
|
|
|
|
1,309 |
|
|
|
1,282,820 |
|
| Packers Holdings LLC, Term Loan B, 4.80%, 12/02/21 (a) |
|
|
|
|
|
|
1,613 |
|
|
|
1,625,117 |
|
| Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, 4.29%, 5/02/22 |
|
|
|
|
|
|
2,326 |
|
|
|
2,344,896 |
|
| Spin Holdco, Inc., Term Loan B, 4.43%, 11/14/19 |
|
|
|
|
|
|
3,599 |
|
|
|
3,594,145 |
|
| TruGreen Limited Partnership, 1st Lien Term Loan B, 6.50%, 4/13/23 |
|
|
|
|
|
|
1,007 |
|
|
|
1,015,577 |
|
| US Security Associates Holdings, Inc., 2016 Term Loan, 6.15%, 7/14/23 |
|
|
|
|
|
|
2,116 |
|
|
|
2,139,465 |
|
| Waste Industries USA, Inc., 2016 Term Loan, 3.79%, 2/27/20 |
|
|
|
|
|
|
2,089 |
|
|
|
2,106,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
41,302,468 |
|
| Communications Equipment — 0.9% |
|
|
|
|
|
|
|
|
|
| Applied Systems, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, 4.40%, 1/25/21 |
|
|
|
|
|
|
907 |
|
|
|
912,814 |
|
| 2nd Lien Term Loan, 7.65%, 1/24/22 |
|
|
|
|
|
|
376 |
|
|
|
378,668 |
|
| Avaya, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| DIP Term Loan, 8.50%, 1/24/18 |
|
|
|
|
|
|
60 |
|
|
|
61,778 |
|
| Term Loan B7, 0.00%, 5/29/20 (b)(e) |
|
|
|
|
|
|
249 |
|
|
|
203,346 |
|
| Colorado Buyer, Inc., Term Loan B, 4.17%, 5/01/24 |
|
|
|
|
|
|
1,725 |
|
|
|
1,733,625 |
|
| CommScope, Inc., Term Loan B5, 3.70%, 12/29/22 |
|
|
|
|
|
|
802 |
|
|
|
805,264 |
|
| Riverbed Technology, Inc., 2016 Term Loan, 4.30%, 4/24/22 |
|
|
|
|
|
|
854 |
|
|
|
842,556 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
4,938,051 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Construction & Engineering — 1.1% |
|
|
|
|
| CNT Holdings III Corp., 2017 Term Loan, 4.30%, 1/22/23 |
|
|
USD |
|
|
|
1,321,675 |
|
|
$ |
1,327,729 |
|
| Pike Corp., 2017 1st Lien Term Loan, 4.80%, 3/1/24 |
|
|
|
|
|
|
420,000 |
|
|
|
423,675 |
|
| Safway Group Holding LLC, Term Loan B, 5.76%, 8/19/23 (a) |
|
|
|
|
|
|
3,378,025 |
|
|
|
3,386,470 |
|
| USIC Holdings, Inc., 2016 1st Lien Term Loan, 5.17%, 12/8/23 |
|
|
|
|
|
|
847,875 |
|
|
|
853,174 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
5,991,048 |
|
| Construction Materials — 0.6% |
|
|
|
|
|
|
|
|
|
| Filtration Group Corp., 1st Lien Term Loan, 4.29%, 11/21/20 |
|
|
|
|
|
|
3,533 |
|
|
|
3,549,522 |
|
| Containers & Packaging — 1.7% |
|
|
|
|
|
|
|
|
|
| Berlin Packaging LLC, 2014 1st Lien Term Loan, 4.50%, 10/01/21 |
|
|
|
|
|
|
586 |
|
|
|
588,474 |
|
| Berry Plastics Group, Inc., Term Loan I, 3.54%, 10/01/22 |
|
|
|
|
|
|
5,341 |
|
|
|
5,381,476 |
|
| BWAY Holding Co., 2017 Term Loan B, 4.25%, 4/03/24 |
|
|
|
|
|
|
1,799 |
|
|
|
1,796,374 |
|
| Flex Acquisition Company, Inc., 1st Lien Term Loan, 4.40%, 12/29/23 |
|
|
|
|
|
|
1,185 |
|
|
|
1,190,925 |
|
| Proampac PG Borrower LLC, 2016 1st Lien Term Loan, 5.18%, 11/18/23 |
|
|
|
|
|
|
494 |
|
|
|
501,461 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
9,458,710 |
|
| Distributors — 0.6% |
|
|
|
|
|
|
|
|
|
| American Builders & Contractors Supply Co., Inc., 2017 Term Loan B,
3.54%, 10/31/23 |
|
|
|
|
|
|
2,681 |
|
|
|
2,693,481 |
|
| American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.29%, 9/01/21 |
|
|
|
|
|
|
932 |
|
|
|
934,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
3,628,131 |
|
| Diversified Consumer Services — 3.9% |
|
|
|
|
|
|
|
|
|
| Bright Horizons Family Solutions, Inc., 2017 Term Loan B, 3.00%, 11/07/23 |
|
|
|
|
|
|
2,947 |
|
|
|
2,970,318 |
|
| Equian LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| Delayed Draw Term Loan, 3.75%, 5/15/24 |
|
|
|
|
|
|
401 |
|
|
|
401,726 |
|
| Term Loan B, 4.75%, 5/20/24 |
|
|
|
|
|
|
1,302 |
|
|
|
1,305,609 |
|
| J.D. Power and Associates, 1st Lien Term Loan, 5.29%, 9/07/23 |
|
|
|
|
|
|
1,254 |
|
|
|
1,259,968 |
|
| Nomad Foods Europe Midco Ltd., Term Loan B, 2.75%, 4/18/24 |
|
|
|
|
|
|
880 |
|
|
|
884,400 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
5 |
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Diversified Consumer Services (continued) |
|
| Serta Simmons Bedding LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, 4.56%, 11/08/23 |
|
|
USD |
|
|
|
4,738 |
|
|
$ |
4,752,339 |
|
| 2nd Lien Term Loan, 9.18%, 11/08/24 |
|
|
|
|
|
|
1,065 |
|
|
|
1,074,319 |
|
| ServiceMaster Co., 2016 Term Loan B, 3.54%, 11/08/23 |
|
|
|
|
|
|
4,180 |
|
|
|
4,215,051 |
|
| Wand Intermediate I LP, 1st Lien Term Loan, 4.95%, 9/17/21 |
|
|
|
|
|
|
1,382 |
|
|
|
1,397,829 |
|
| Weight Watchers International, Inc., Term Loan B2, 4.40%, 4/02/20 |
|
|
|
|
|
|
3,752 |
|
|
|
3,622,603 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
21,884,162 |
|
| Diversified Financial Services — 1.2% |
|
|
|
|
|
|
|
|
|
| AlixPartners LLP, 2017 Term Loan B, 4.15%, 4/04/24 |
|
|
|
|
|
|
2,655 |
|
|
|
2,671,169 |
|
| Diamond US Holding LLC, 2017 Term Loan B, 4.29%, 3/29/24 |
|
|
|
|
|
|
953 |
|
|
|
951,871 |
|
| Jefferies Finance LLC, Term Loan, 4.69%, 5/14/20 (a) |
|
|
|
|
|
|
2,726 |
|
|
|
2,719,621 |
|
| SAM Finance Luxembourg Sarl, Term Loan, 4.39%, 12/17/20 |
|
|
|
|
|
|
641 |
|
|
|
644,795 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
6,987,456 |
|
| Diversified Telecommunication Services — 8.3% |
|
|
|
|
| CenturyLink, Inc., 2017 Term Loan B, 3.93%, 1/31/25 |
|
|
|
|
|
|
13,200 |
|
|
|
13,174,128 |
|
| Consolidated Communications, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2016 Term Loan B, 4.05%, 10/04/23 |
|
|
|
|
|
|
672 |
|
|
|
675,299 |
|
| Term Loan B2, 4.15%, 10/05/23 |
|
|
|
|
|
|
455 |
|
|
|
457,275 |
|
| Digicel International Finance Ltd., 2017 Term Loan B, 3.75%, 5/08/24 |
|
|
|
|
|
|
2,187 |
|
|
|
2,204,780 |
|
| Hargray Communications Group, Inc., 2017 Term Loan B, 4.03%, 3/22/24 |
|
|
|
|
|
|
1,515 |
|
|
|
1,517,272 |
|
| Level 3 Financing, Inc., 2017 Term Loan B, 3.26%, 2/22/24 |
|
|
|
|
|
|
11,590 |
|
|
|
11,604,487 |
|
| Sprint Communications, Inc., 1st Lien Term Loan B, 3.56%, 2/02/24 |
|
|
|
|
|
|
2,905 |
|
|
|
2,912,873 |
|
| Telenet International Finance Sarl, Term Loan AI, 3.74%, 6/30/25 |
|
|
|
|
|
|
6,045 |
|
|
|
6,068,636 |
|
| Telesat Canada, 2017 Term Loan B, 4.15%, 11/17/23 |
|
|
|
|
|
|
1,141 |
|
|
|
1,151,544 |
|
| Virgin Media Investment Holdings Ltd., Term Loan J, 3.76%, 1/31/26 |
|
|
GBP |
|
|
|
2,830 |
|
|
|
3,671,608 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Diversified Telecommunication Services (continued) |
|
| Zayo Group LLC, 2017 Term Loan B2, 3.51%, 1/19/24 |
|
|
USD |
|
|
|
2,949 |
|
|
$ |
2,967,476 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
46,405,378 |
|
| Electric Utilities — 1.9% |
|
|
|
|
|
|
|
|
|
| Energy Future Intermediate Holding Co. LLC, 2016 DIP Term Loan, 4.29%, 6/30/17 |
|
|
|
|
|
|
6,096 |
|
|
|
6,121,882 |
|
| PrimeLine Utility Services LLC, Term Loan, 6.54%, 11/12/22 |
|
|
|
|
|
|
1,366 |
|
|
|
1,347,353 |
|
| TEX Operations Co. LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| Exit Term Loan B, 3.79%, 8/04/23 |
|
|
|
|
|
|
2,057 |
|
|
|
2,041,351 |
|
| Exit Term Loan C, 3.79%, 8/04/23 |
|
|
|
|
|
|
471 |
|
|
|
467,840 |
|
| Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 4.91%, 11/10/17 (a) |
|
|
|
|
|
|
1,710 |
|
|
|
— |
|
| Vistra Operations Co. LLC, 2016 Term Loan B2, 4.25%, 12/14/23 |
|
|
|
|
|
|
723 |
|
|
|
723,462 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
10,701,888 |
|
| Electrical Equipment — 0.6% |
|
|
|
|
|
|
|
|
|
| Gates Global LLC, 2017 Term Loan B, 4.41%, 4/01/24 |
|
|
|
|
|
|
3,194 |
|
|
|
3,206,272 |
|
| Energy Equipment & Services — 0.8% |
|
|
|
|
|
|
|
|
|
| Exgen Texas Power LLC, Term Loan B, 5.90%, 9/16/21 |
|
|
|
|
|
|
863 |
|
|
|
489,902 |
|
| Gavilan Resources LLC, 2nd Lien Term Loan, 7.00%, 3/01/24 |
|
|
|
|
|
|
1,990 |
|
|
|
1,967,613 |
|
| Seadrill Partners Finco LLC, Term Loan B, 4.20%, 2/21/21 |
|
|
|
|
|
|
658 |
|
|
|
450,639 |
|
| Weatherford International Ltd., Term Loan, 3.35%, 7/13/20 (a) |
|
|
|
|
|
|
1,412 |
|
|
|
1,390,386 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
4,298,540 |
|
| Food & Staples Retailing — 3.7% |
|
|
|
|
|
|
|
|
|
| Albertsons LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2016 Term Loan B4, 4.04%, 8/22/21 |
|
|
|
|
|
|
4,492 |
|
|
|
4,517,049 |
|
| 2016 Term Loan B5, 4.40%, 12/22/22 |
|
|
|
|
|
|
369 |
|
|
|
371,151 |
|
| BJ’s Wholesale Club, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, 4.75%, 2/03/24 |
|
|
|
|
|
|
3,795 |
|
|
|
3,787,106 |
|
| 2017 2nd Lien Term Loan, 8.50%, 2/03/25 |
|
|
|
|
|
|
1,110 |
|
|
|
1,123,187 |
|
| Hostess Brands LLC, 2017 Term Loan, 3.54%, 8/03/22 |
|
|
|
|
|
|
2,761 |
|
|
|
2,780,398 |
|
| Rite Aid Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.75%, 8/21/20 |
|
|
|
|
|
|
1,247 |
|
|
|
1,250,673 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 6 |
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Food & Staples Retailing (continued) |
|
| Rite Aid Corp.(continued): |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.88%, 6/21/21 |
|
|
USD |
|
|
|
2,373 |
|
|
$ |
2,378,676 |
|
| US Foods, Inc., 2016 Term Loan B, 3.79%, 6/27/23 |
|
|
|
|
|
|
4,176 |
|
|
|
4,208,091 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
20,416,331 |
|
| Food Products — 2.3% |
|
|
|
|
|
|
|
|
|
| Chobani LLC, 1st Lien Term Loan, 5.29%, 10/07/23 |
|
|
|
|
|
|
2,066 |
|
|
|
2,093,215 |
|
| Dole Food Company, Inc., 2017 Term Loan B, 4.03%, 4/06/24 |
|
|
|
|
|
|
1,060 |
|
|
|
1,064,166 |
|
| JBS USA LLC, 2017 Term Loan B, 3.50%, 10/30/22 |
|
|
|
|
|
|
2,020 |
|
|
|
1,988,690 |
|
| Pinnacle Foods Finance LLC, 2017 Term Loan B, 3.00%, 2/02/24 |
|
|
|
|
|
|
2,633 |
|
|
|
2,645,408 |
|
| Reddy Ice Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, 6.75-8.50%, 5/01/19 |
|
|
|
|
|
|
1,587 |
|
|
|
1,564,231 |
|
| 2nd Lien Term Loan, 10.75%, 11/01/19 |
|
|
|
|
|
|
532 |
|
|
|
500,080 |
|
| Reynolds Group Holdings, Inc., 2017 Term Loan, 4.04%, 2/05/23 |
|
|
|
|
|
|
3,230 |
|
|
|
3,244,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
13,100,580 |
|
| Health Care Equipment & Supplies — 4.4% |
|
|
|
|
|
|
|
|
|
| Alere, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2015 Term Loan A, 4.04%, 6/18/20 |
|
|
|
|
|
|
453 |
|
|
|
452,805 |
|
| 2015 Term Loan B, 4.30%, 6/18/22 |
|
|
|
|
|
|
1,891 |
|
|
|
1,897,844 |
|
| Auris Luxembourg III Sarl, 2017 Term Loan B7, 4.15%, 1/17/22 |
|
|
|
|
|
|
2,438 |
|
|
|
2,464,285 |
|
| Capsugel Holdings US, Inc., Term Loan B, 4.04%, 7/31/21 |
|
|
|
|
|
|
3,780 |
|
|
|
3,781,889 |
|
| Cotiviti Corp., Term Loan B, 3.90%, 9/28/23 |
|
|
|
|
|
|
1,648 |
|
|
|
1,649,961 |
|
| DJO Finance LLC, 2015 Term Loan, 4.29%, 6/08/20 |
|
|
|
|
|
|
4,273 |
|
|
|
4,224,133 |
|
| Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 |
|
|
|
|
|
|
2,458 |
|
|
|
2,447,021 |
|
| Mallinckrodt International Finance SA, Term Loan B, 3.90%, 9/24/24 |
|
|
|
|
|
|
1,196 |
|
|
|
1,194,993 |
|
| National Vision, Inc., 1st Lien Term Loan, 4.04%, 3/12/21 |
|
|
|
|
|
|
3,412 |
|
|
|
3,425,046 |
|
| Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.78%, 6/30/21 |
|
|
|
|
|
|
2,943 |
|
|
|
2,952,222 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
24,490,199 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Health Care Providers & Services — 8.4% |
|
| Acadia Healthcare Co., Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, 4.04%, 2/11/22 |
|
|
USD |
|
|
|
458 |
|
|
$ |
462,175 |
|
| Term Loan B2, 3.75%, 2/16/23 |
|
|
|
|
|
|
2,133 |
|
|
|
2,150,597 |
|
| CHG Healthcare Services, Inc., Term Loan B, 4.92%, 6/07/23 |
|
|
|
|
|
|
3,391 |
|
|
|
3,420,419 |
|
| Community Health Systems, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan G, 3.80%, 12/31/19 |
|
|
|
|
|
|
1,357 |
|
|
|
1,357,916 |
|
| Term Loan H, 4.05%, 1/27/21 |
|
|
|
|
|
|
660 |
|
|
|
659,827 |
|
| Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, 5.83%, 2/07/22 |
|
|
|
|
|
|
645 |
|
|
|
651,811 |
|
| DaVita HealthCare Partners, Inc., Term Loan B, 3.79%, 6/24/21 |
|
|
|
|
|
|
5,543 |
|
|
|
5,583,322 |
|
| Envision Healthcare Corp., 2016 Term Loan B, 4.15%, 12/01/23 |
|
|
|
|
|
|
7,601 |
|
|
|
7,678,860 |
|
| HC Group Holdings III, Inc., Term Loan B, 6.04%, 4/07/22 |
|
|
|
|
|
|
1,430 |
|
|
|
1,408,762 |
|
| HCA, Inc., Term Loan B9, 3.04%, 3/17/23 |
|
|
|
|
|
|
5,185 |
|
|
|
5,202,957 |
|
| Iasis Healthcare LLC, Term Loan B3, 5.25%, 2/16/21 |
|
|
|
|
|
|
335 |
|
|
|
337,931 |
|
| inVentiv Health, Inc., 2016 Term Loan B, 4.80%, 11/09/23 |
|
|
|
|
|
|
4,095 |
|
|
|
4,117,378 |
|
| MPH Acquisition Holdings LLC, 2016 Term Loan B, 4.90%, 6/07/23 |
|
|
|
|
|
|
2,499 |
|
|
|
2,504,063 |
|
| National Mentor Holdings, Inc., Term Loan B, 4.15%, 1/31/21 |
|
|
|
|
|
|
484 |
|
|
|
484,919 |
|
| nThrive, Inc., 2016 1st Lien Term Loan, 5.54%, 10/20/22 |
|
|
|
|
|
|
1,638 |
|
|
|
1,640,360 |
|
| NVA Holdings, Inc., 1st Lien Term Loan B2, 4.65%, 8/14/21 |
|
|
|
|
|
|
1,502 |
|
|
|
1,516,907 |
|
| Surgery Center Holdings, Inc., 1st Lien Term Loan, 4.75%, 11/03/20 |
|
|
|
|
|
|
1,830 |
|
|
|
1,834,345 |
|
| Team Health Holdings, Inc., 1st Lien Term Loan, 3.79%, 2/06/24 |
|
|
|
|
|
|
3,005 |
|
|
|
2,987,150 |
|
| U.S. Renal Care, Inc., 2015 Term Loan B, 5.40%, 12/31/22 |
|
|
|
|
|
|
1 |
|
|
|
863 |
|
| Vizient, Inc., 2017 Term Loan B, 4.50%, 2/13/23 |
|
|
|
|
|
|
1,817 |
|
|
|
1,838,100 |
|
| WP CityMD Bidco LLC, 1st Lien Term Loan, 5.00%, 5/25/24 |
|
|
|
|
|
|
950 |
|
|
|
951,188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
46,789,850 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
7 |
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Health Care Technology — 2.1% |
|
| Change Healthcare Holdings, Inc., 2017 Term Loan B, 3.79%, 3/01/24 |
|
|
USD |
|
|
|
7,685 |
|
|
$ |
7,708,055 |
|
| Press Ganey Holdings, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, 4.29%, 10/21/23 |
|
|
|
|
|
|
1,362 |
|
|
|
1,363,289 |
|
| 2nd Lien Term Loan, 8.29%, 10/21/24 |
|
|
|
|
|
|
495 |
|
|
|
505,212 |
|
| Quintiles IMS, Inc., 2017 Term Loan B, 3.15%, 3/07/24 |
|
|
|
|
|
|
2,363 |
|
|
|
2,385,171 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
11,961,727 |
|
| Hotels, Restaurants & Leisure — 7.9% |
|
|
|
|
|
|
|
|
|
| Amaya Holdings BV: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2nd Lien Term Loan, 8.15%, 8/01/22 |
|
|
|
|
|
|
1,036 |
|
|
|
1,037,412 |
|
| Repriced Term Loan B, 4.65%, 8/01/21 |
|
|
|
|
|
|
2,737 |
|
|
|
2,742,259 |
|
| AMF Bowling Centers, Inc., 2016 Term Loan, 6.04%, 8/17/23 (a) |
|
|
|
|
|
|
1,161 |
|
|
|
1,172,777 |
|
| Boyd Gaming Corp., 2017 Term Loan B2, 3.45%, 9/15/23 |
|
|
|
|
|
|
2,012 |
|
|
|
2,020,622 |
|
| Bronco Midstream Funding LLC, Term Loan B, 5.17%, 8/15/20 |
|
|
|
|
|
|
2,283 |
|
|
|
2,305,723 |
|
| Burger King Newco Unlimited Liability Co., Term Loan B3, 3.40%, 2/16/24 |
|
|
|
|
|
|
4,203 |
|
|
|
4,209,151 |
|
| Caesars Entertainment Operating Co., Term Loan B7, 0.00%, 3/01/22 |
|
|
|
|
|
|
2,435 |
|
|
|
3,024,879 |
|
| Caesars Entertainment Resort Properties LLC, Term Loan B, 4.54%, 10/11/20 |
|
|
|
|
|
|
8,002 |
|
|
|
8,043,573 |
|
| Caesars Growth Properties Holdings LLC, 2017 Term Loan, 3.75%, 5/08/21 |
|
|
|
|
|
|
2,034 |
|
|
|
2,045,618 |
|
| CCM Merger, Inc., Term Loan B, 3.83%, 8/08/21 |
|
|
|
|
|
|
1,305 |
|
|
|
1,311,652 |
|
| ESH Hospitality, Inc., 2017 Term Loan B, 3.54%, 8/30/23 |
|
|
|
|
|
|
3,229 |
|
|
|
3,246,037 |
|
| Four Seasons Hotels Ltd., 1st Lien Term Loan, 4.15%, 11/30/23 |
|
|
|
|
|
|
224 |
|
|
|
226,823 |
|
| Gateway Casinos & Entertainment Ltd., Term Loan B1, 4.79%, 2/22/23 |
|
|
|
|
|
|
305 |
|
|
|
308,684 |
|
| Hilton Worldwide Finance LLC, Term Loan B2, 3.02%, 10/25/23 |
|
|
|
|
|
|
1,809 |
|
|
|
1,818,809 |
|
| La Quinta Intermediate Holdings LLC, Term Loan B, 3.91%, 4/14/21 |
|
|
|
|
|
|
825 |
|
|
|
829,492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Hotels, Restaurants & Leisure (continued) |
|
| Playa Resorts Holding BV, 2017 Term Loan B, 4.25%, 4/05/24 |
|
|
USD |
|
|
|
1,425 |
|
|
$ |
1,427,551 |
|
| RHP Hotel Properties LP, 2017 Term Loan B, 3.44%, 5/11/24 |
|
|
|
|
|
|
1,370 |
|
|
|
1,376,001 |
|
| Sabre GLBL, Inc., Term Loan B, 3.79%, 2/22/24 |
|
|
|
|
|
|
2,578 |
|
|
|
2,603,839 |
|
| Scientific Games International, Inc., 2017 Term Loan B3, 5.08%, 10/01/21 |
|
|
|
|
|
|
1,903 |
|
|
|
1,932,018 |
|
| Station Casinos LLC, 2016 Term Loan B, 3.50%, 6/08/23 |
|
|
|
|
|
|
811 |
|
|
|
810,054 |
|
| Yum! Brands, Inc., 1st Lien Term Loan B, 3.00%, 6/16/23 |
|
|
|
|
|
|
1,448 |
|
|
|
1,455,876 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
43,948,850 |
|
| Household Products — 0.7% |
|
|
|
|
|
|
|
|
|
| Spectrum Brands, Inc., 2017 Term Loan B, 3.18%, 6/23/22 |
|
|
|
|
|
|
3,854 |
|
|
|
3,876,981 |
|
| Independent Power and Renewable Electricity Producers — 3.1% |
|
|
|
|
| AES Corporation, 2017 Term Loan B, 2.75%, 5/15/22 |
|
|
|
|
|
|
1,070 |
|
|
|
1,067,657 |
|
| Aria Energy Operating LLC, Term Loan, 5.54%, 5/27/22 |
|
|
|
|
|
|
1,114 |
|
|
|
1,113,654 |
|
| Calpine Construction Finance Co., LP, Term Loan B1, 3.30%, 5/03/20 |
|
|
|
|
|
|
1,046 |
|
|
|
1,042,941 |
|
| Calpine Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B5, 3.90%, 1/15/24 |
|
|
|
|
|
|
1,121 |
|
|
|
1,117,893 |
|
| Term Loan B6, 3.90%, 1/15/23 |
|
|
|
|
|
|
2,123 |
|
|
|
2,117,562 |
|
| Term Loan B7, 3.90%, 5/31/23 |
|
|
|
|
|
|
768 |
|
|
|
766,087 |
|
| Dynegy, Inc., 2017 Term Loan C, 4.25%, 2/07/24 |
|
|
|
|
|
|
3,179 |
|
|
|
3,174,619 |
|
| Granite Acquisition, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, 5.15%, 12/19/21 |
|
|
|
|
|
|
3,295 |
|
|
|
3,294,933 |
|
| Term Loan C, 5.15%, 12/19/21 |
|
|
|
|
|
|
148 |
|
|
|
148,314 |
|
| Nautilus Power LLC, Term Loan B, 5.50%, 4/28/24 |
|
|
|
|
|
|
2,625 |
|
|
|
2,602,031 |
|
| Terra-Gen Finance Co. LLC, Term Loan B, 5.29%, 12/09/21 (a) |
|
|
|
|
|
|
1,095 |
|
|
|
1,012,815 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
17,458,506 |
|
| Industrial Conglomerates — 0.9% |
|
|
|
|
|
|
|
|
|
| Cortes NP Acquisition Corp., 2017 Term Loan B, 5.00%, 11/30/23 |
|
|
|
|
|
|
2,918 |
|
|
|
2,943,061 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 8 |
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Industrial Conglomerates (continued) |
|
| Power Products LLC, Term Loan, 5.66%, 12/20/22 |
|
|
USD |
|
|
|
833 |
|
|
$ |
837,077 |
|
| Sequa Corp., 1st Lien Term Loan, 6.67%, 11/26/21 |
|
|
|
|
|
|
1,235 |
|
|
|
1,241,953 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
5,022,091 |
|
| Insurance — 2.5% |
|
|
|
|
|
|
|
|
|
| Alliant Holdings I, Inc., 2015 Term Loan B, 4.42%, 8/12/22 |
|
|
|
|
|
|
2,792 |
|
|
|
2,795,353 |
|
| AmWINS Group, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 2nd Lien Term Loan, 7.79%, 1/25/25 |
|
|
|
|
|
|
295 |
|
|
|
300,310 |
|
| 2017 Term Loan B, 3.79%, 1/25/24 |
|
|
|
|
|
|
1,875 |
|
|
|
1,877,063 |
|
| AssuredPartners, Inc., 2017 Term Loan, 4.49%, 10/21/22 |
|
|
|
|
|
|
1,095 |
|
|
|
1,095,869 |
|
| Edgewood Partners Insurance Center, 2017 1st Lien Term Loan B, 6.02%, 3/16/23 (a) |
|
|
|
|
|
|
865 |
|
|
|
869,325 |
|
| Hub International Ltd., Term Loan B, 4.17%, 10/02/20 |
|
|
|
|
|
|
1,171 |
|
|
|
1,177,523 |
|
| Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 10.04%, 8/31/21 (f) |
|
|
|
|
|
|
1,160 |
|
|
|
1,196,737 |
|
| Sedgwick Claims Management Services, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, 3.79%, 3/01/21 |
|
|
|
|
|
|
1,969 |
|
|
|
1,973,196 |
|
| 2016 1st Lien Term Loan, 4.40%, 3/01/21 |
|
|
|
|
|
|
898 |
|
|
|
900,458 |
|
| 2nd Lien Term Loan, 6.79%, 2/28/22 |
|
|
|
|
|
|
1,805 |
|
|
|
1,809,512 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
13,995,346 |
|
| Internet & Direct Marketing Retail — 0.1% |
|
|
|
|
|
|
|
|
|
| Harbor Freight Tools USA, Inc., 2016 Term Loan B, 4.29%, 8/19/23 |
|
|
|
|
|
|
803 |
|
|
|
802,077 |
|
| Internet Software & Services — 2.1% |
|
|
|
|
|
|
|
|
|
| Go Daddy Operating Company LLC, 2017 Term Loan B, 3.54%, 2/15/24 |
|
|
|
|
|
|
3,781 |
|
|
|
3,791,842 |
|
| GTT Communications, Inc., 2016 Term Loan B, 5.06%, 1/09/24 |
|
|
|
|
|
|
364 |
|
|
|
368,183 |
|
| Inmar Holdings, Inc., 2017 1st Lien Term Loan B, 4.67%, 5/01/24 |
|
|
|
|
|
|
1,040 |
|
|
|
1,040,655 |
|
| Rackspace Hosting, Inc., 1st Lien Term Loan, 4.54%, 11/03/23 |
|
|
|
|
|
|
3,327 |
|
|
|
3,344,693 |
|
| TierPoint LLC, 2017 1st Lien Term Loan, 4.79%, 5/06/24 |
|
|
|
|
|
|
1,550 |
|
|
|
1,551,457 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Internet Software & Services (continued) |
|
| WaveDivision Holdings LLC, Term Loan B, 3.93%, 10/15/19 |
|
|
USD |
|
|
|
1,447 |
|
|
$ |
1,448,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
11,545,580 |
|
| IT Services — 6.7% |
|
|
|
|
|
|
|
|
|
| Abacus Innovations Corp., Term Loan B, 3.31%, 8/16/23 |
|
|
|
|
|
|
4,062 |
|
|
|
4,097,361 |
|
| Cision US, Inc., Term Loan B, 7.15%, 6/16/23 |
|
|
|
|
|
|
1,221 |
|
|
|
1,229,016 |
|
| Cologix, Inc., 2017 1st Lien Term Loan, 4.01%, 3/20/24 |
|
|
|
|
|
|
1,770 |
|
|
|
1,766,318 |
|
| First Data Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2016 Repriced Term Loan, 4.03%, 7/10/22 |
|
|
|
|
|
|
838 |
|
|
|
842,890 |
|
| 2017 Term Loan, 3.53%, 4/26/24 |
|
|
|
|
|
|
12,211 |
|
|
|
12,274,066 |
|
| Term Loan A, 3.03%, 6/02/20 |
|
|
|
|
|
|
644 |
|
|
|
644,162 |
|
| NeuStar, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B1, 3.25%, 8/28/19 |
|
|
|
|
|
|
284 |
|
|
|
287,058 |
|
| Term Loan B2, 4.90%, 2/28/24 |
|
|
|
|
|
|
776 |
|
|
|
783,126 |
|
| Optiv Security, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, 4.44%, 2/01/24 |
|
|
|
|
|
|
2,789 |
|
|
|
2,759,471 |
|
| 2nd Lien Term Loan, 8.44%, 2/01/25 |
|
|
|
|
|
|
1,141 |
|
|
|
1,123,733 |
|
| TKC Holdings, Inc., 2017 Term Loan, 4.75%, 2/01/23 |
|
|
|
|
|
|
2,020 |
|
|
|
2,028,423 |
|
| Vantiv LLC, 2014 Term Loan B, 3.49%, 10/14/23 |
|
|
|
|
|
|
1,104 |
|
|
|
1,110,187 |
|
| VF Holding Corp., Reprice Term Loan, 4.29%, 6/30/23 |
|
|
|
|
|
|
4,776 |
|
|
|
4,781,970 |
|
| WEX, Inc., Term Loan B, 4.54%, 7/01/23 |
|
|
|
|
|
|
3,752 |
|
|
|
3,780,388 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
37,508,169 |
|
| Life Sciences Tools & Services — 1.1% |
|
|
|
|
|
|
|
|
|
| Patheon Holdings I BV, 2017 Term Loan, 4.41%, 4/20/24 |
|
|
|
|
|
|
6,040 |
|
|
|
6,064,198 |
|
| Machinery — 3.5% |
|
|
|
|
|
|
|
|
|
| Clark Equipment Co., 2017 Term Loan B, 3.00%, 5/18/24 |
|
|
|
|
|
|
1,220 |
|
|
|
1,227,625 |
|
| Columbus McKinnon Corp., Term Loan B, 4.15%, 1/31/24 (a) |
|
|
|
|
|
|
223 |
|
|
|
223,843 |
|
| Faenza Acquisition GmbH: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B1, 3.95%, 8/30/20 |
|
|
|
|
|
|
943 |
|
|
|
950,906 |
|
| Term Loan B3, 3.95%, 8/30/20 |
|
|
|
|
|
|
287 |
|
|
|
289,359 |
|
| Gardner Denver, Inc., Term Loan, 4.57%, 7/30/20 |
|
|
|
|
|
|
1,642 |
|
|
|
1,644,811 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
9 |
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Machinery (continued) |
|
| Global Brass & Copper, Inc., 2016 Term Loan B, 5.31%, 7/18/23 |
|
|
USD |
|
|
|
1,124 |
|
|
$ |
1,135,594 |
|
| Infiltrator Systems, Inc., 2016 Term Loan B, 4.65%, 5/27/22 (a) |
|
|
|
|
|
|
1,967 |
|
|
|
1,981,553 |
|
| Manitowoc Foodservice, Inc., 2016 Term Loan B, 4.03%, 3/03/23 |
|
|
|
|
|
|
114 |
|
|
|
115,360 |
|
| Mueller Water Products, Inc., 2017 Term Loan B, 3.54%, 11/25/21 |
|
|
|
|
|
|
782 |
|
|
|
788,234 |
|
| Navistar International Corp., 2017 Term Loan B, 5.00%, 8/07/20 |
|
|
|
|
|
|
949 |
|
|
|
963,795 |
|
| Rexnord LLC, 2016 Term Loan B, 3.75%, 8/21/23 |
|
|
|
|
|
|
2,157 |
|
|
|
2,165,167 |
|
| Signode Industrial Group US, Inc., Term Loan B, 3.79%, 5/04/21 |
|
|
|
|
|
|
907 |
|
|
|
909,690 |
|
| Silver II US Holdings LLC, Term Loan, 4.15%, 12/13/19 |
|
|
|
|
|
|
5,122 |
|
|
|
5,097,578 |
|
| Tecomet, Inc., 2017 Term Loan B, 4.92%, 4/13/24 |
|
|
|
|
|
|
965 |
|
|
|
969,825 |
|
| Wabash National Corp., 2017 Term Loan B, 3.78%, 3/18/22 |
|
|
|
|
|
|
1,264 |
|
|
|
1,270,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
19,733,952 |
|
| Media — 12.8% |
|
|
|
|
|
|
|
|
|
| Acosta Holdco, Inc., 2015 Term Loan, 4.29%, 9/26/21 |
|
|
|
|
|
|
628 |
|
|
|
584,743 |
|
| Altice Financing SA, 2017 Term Loan B, 3.91%, 7/15/25 |
|
|
|
|
|
|
1,015 |
|
|
|
1,015,426 |
|
| Altice US Finance I Corp., 2017 Term Loan, 3.28%, 7/15/25 |
|
|
|
|
|
|
6,489 |
|
|
|
6,474,696 |
|
| CBS Radio, Inc., Term Loan B, 4.51%, 10/17/23 |
|
|
|
|
|
|
993 |
|
|
|
1,002,169 |
|
| Charter Communications Operating LLC, 2016 Term Loan I Add, 3.29%, 1/15/24 |
|
|
|
|
|
|
8,276 |
|
|
|
8,327,815 |
|
| CSC Holdings LLC, 2017 1st Lien Term Loan, 3.25%, 7/15/25 |
|
|
|
|
|
|
4,710 |
|
|
|
4,699,118 |
|
| Entercom Radio LLC, 2016 Term Loan, 4.55%, 11/01/23 |
|
|
|
|
|
|
525 |
|
|
|
526,922 |
|
| Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 |
|
|
|
|
|
|
399 |
|
|
|
366,083 |
|
| Gray Television, Inc., 2017 Term Loan B, 3.50%, 2/07/24 |
|
|
|
|
|
|
653 |
|
|
|
657,988 |
|
| Hemisphere Media Holdings LLC, 2017 Term Loan B, 4.54%, 2/08/24 |
|
|
|
|
|
|
1,582 |
|
|
|
1,584,408 |
|
| Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.04%, 5/31/21 |
|
|
|
|
|
|
2,409 |
|
|
|
2,274,697 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Media (continued) |
|
| iHeartCommunications, Inc.: |
|
| Extended Term Loan E, 8.54%, 7/30/19 |
|
|
USD |
|
|
|
515 |
|
|
$ |
425,133 |
|
| Term Loan D, 7.79%, 1/30/19 |
|
|
|
|
|
|
5,966 |
|
|
|
4,901,970 |
|
| Intelsat Jackson Holdings SA, Term Loan B2, 3.89%, 6/30/19 |
|
|
|
|
|
|
6,884 |
|
|
|
6,794,438 |
|
| Learfield Communications, Inc., 2016 1st Lien Term Loan, 4.30%, 12/01/23 (a) |
|
|
|
|
|
|
1,825 |
|
|
|
1,845,358 |
|
| Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.66%, 1/07/22 |
|
|
|
|
|
|
1,215 |
|
|
|
1,205,377 |
|
| Live Nation Entertainment, Inc., Term Loan B2, 3.56%, 10/31/23 |
|
|
|
|
|
|
483 |
|
|
|
486,194 |
|
| MCC Iowa LLC, Term Loan J, 3.70%, 6/30/21 |
|
|
|
|
|
|
511 |
|
|
|
512,988 |
|
| Mediacom Illinois LLC, Term Loan K, 3.20%, 2/15/24 |
|
|
|
|
|
|
1,089 |
|
|
|
1,093,742 |
|
| Mission Broadcasting, Inc., 2016 Term Loan B2, 4.00%, 1/17/24 |
|
|
|
|
|
|
414 |
|
|
|
417,350 |
|
| Nexstar Broadcasting, Inc., 2017 Term Loan B, 4.00%, 1/17/24 |
|
|
|
|
|
|
4,224 |
|
|
|
4,259,848 |
|
| Numericable U.S. LLC, Term Loan B10, 4.42%, 1/14/25 |
|
|
|
|
|
|
815 |
|
|
|
815,287 |
|
| PSAV Holdings LLC, Term Loan B, 4.67%, 4/27/24 |
|
|
|
|
|
|
1,825 |
|
|
|
1,822,719 |
|
| SBA Senior Finance II LLC, Term Loan B1, 3.30%, 3/24/21 |
|
|
|
|
|
|
4,415 |
|
|
|
4,430,048 |
|
| Sinclair Television Group, Inc., Term Loan B2, 3.30%, 1/03/24 |
|
|
|
|
|
|
196 |
|
|
|
195,679 |
|
| Trader Corp., 2017 Term Loan B, 4.29%, 9/28/23 |
|
|
|
|
|
|
1,565 |
|
|
|
1,566,299 |
|
| Tribune Media Co., Term Loan C, 4.04%, 1/27/24 |
|
|
|
|
|
|
3,908 |
|
|
|
3,920,111 |
|
| Univision Communications, Inc., Term Loan C5, 3.79%, 3/15/24 |
|
|
|
|
|
|
2,249 |
|
|
|
2,229,628 |
|
| Virgin Media Bristol LLC, Term Loan I, 3.74%, 1/31/25 |
|
|
|
|
|
|
2,585 |
|
|
|
2,595,495 |
|
| William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 4.29%, 5/06/21 |
|
|
|
|
|
|
244 |
|
|
|
245,481 |
|
| Ziggo Secured Finance Partnership, Term Loan E, 3.49%, 4/15/25 |
|
|
|
|
|
|
4,205 |
|
|
|
4,203,234 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
71,480,444 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 10 |
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Metals & Mining — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, 6.70%, 9/30/23 |
|
|
USD |
|
|
|
746 |
|
|
$ |
751,533 |
|
| Multiline Retail — 0.5% |
|
| Hudson’s Bay Co., 2015 Term Loan B, 4.29%, 9/30/22 |
|
|
|
|
|
|
2,208 |
|
|
|
2,121,799 |
|
| Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 |
|
|
|
|
|
|
703 |
|
|
|
545,994 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
2,667,793 |
|
| Oil, Gas & Consumable Fuels — 3.9% |
|
| California Resources Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| Second Out Term Loan, 11.38%, 12/31/21 |
|
|
|
|
|
|
3,390 |
|
|
|
3,748,086 |
|
| Term Loan A, 4.04%, 10/01/19 |
|
|
|
|
|
|
2,441 |
|
|
|
2,357,774 |
|
| Chesapeake Energy Corp., Term Loan, 8.69%, 8/23/21 |
|
|
|
|
|
|
2,666 |
|
|
|
2,873,131 |
|
| CITGO Holding, Inc., 2015 Term Loan B, 9.65%, 5/12/18 |
|
|
|
|
|
|
1,058 |
|
|
|
1,069,968 |
|
| Drillships Financing Holding, Inc., Term Loan B1, 8.00%, 3/31/21 |
|
|
|
|
|
|
1,018 |
|
|
|
731,114 |
|
| Energy Transfer Equity LP, 2017 Term Loan B, 3.75%, 2/02/24 |
|
|
|
|
|
|
2,452 |
|
|
|
2,449,924 |
|
| EWT Holdings III Corp., 1st Lien Term Loan, 4.90%, 1/15/21 |
|
|
|
|
|
|
585 |
|
|
|
587,532 |
|
| MEG Energy Corp., 2017 Term Loan B, 4.68%, 12/31/23 |
|
|
|
|
|
|
1,675 |
|
|
|
1,669,333 |
|
| Moxie Patriot LLC, Term Loan B1, 6.90%, 12/19/20 |
|
|
|
|
|
|
349 |
|
|
|
318,303 |
|
| PowerTeam Services LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, 4.40%, 5/06/20 |
|
|
|
|
|
|
501 |
|
|
|
495,090 |
|
| 2nd Lien Term Loan, 8.40%, 11/06/20 (a) |
|
|
|
|
|
|
470 |
|
|
|
460,600 |
|
| Samchully Midstream 3 LLC, Term Loan B, 5.90%, 10/20/21 (a) |
|
|
|
|
|
|
1,395 |
|
|
|
1,360,179 |
|
| Ultra Resources, Inc., 1st Lien Term Loan, 4.00%, 3/23/24 |
|
|
|
|
|
|
1,043 |
|
|
|
1,039,746 |
|
| Veresen Midstream LP, 2017 Term Loan B, 4.54%, 3/31/22 |
|
|
|
|
|
|
2,722 |
|
|
|
2,736,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
21,897,090 |
|
| Personal Products — 0.7% |
|
| Nature’s Bounty Co., 2017 Term Loan B, 4.65%, 5/05/23 |
|
|
|
|
|
|
557 |
|
|
|
556,646 |
|
| Prestige Brands, Inc., Term Loan B4, 3.79%, 1/26/24 |
|
|
|
|
|
|
2,023 |
|
|
|
2,038,848 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Personal Products (continued) |
|
|
|
|
|
|
|
|
|
| Revlon Consumer Products Corp., 2016 Term Loan B, 4.54%, 9/07/23 |
|
|
USD |
|
|
|
1,646 |
|
|
$ |
1,570,349 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
4,165,843 |
|
| Pharmaceuticals — 3.6% |
|
| Akorn, Inc., Term Loan B, 5.31%, 4/16/21 (a) |
|
|
|
|
|
|
2,483 |
|
|
|
2,511,234 |
|
| Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, 3.20%, 1/31/25 |
|
|
|
|
|
|
5,725 |
|
|
|
5,734,904 |
|
| Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22 |
|
|
|
|
|
|
6,365 |
|
|
|
6,370,904 |
|
| Valeant Pharmaceuticals International, Inc., Series F1 Term Loan B, 5.75%, 4/01/22 |
|
|
|
|
|
|
5,179 |
|
|
|
5,269,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
19,886,605 |
|
| Professional Services — 2.2% |
|
| Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, 4.29%, 7/23/21 |
|
|
|
|
|
|
1,754 |
|
|
|
1,733,704 |
|
| Information Resources, Inc., 1st Lien Term Loan, 5.26%, 1/18/24 |
|
|
|
|
|
|
785 |
|
|
|
792,112 |
|
| SIRVA Worldwide, Inc., 2016 Term Loan, 7.66%, 11/14/22 (a) |
|
|
|
|
|
|
819 |
|
|
|
816,900 |
|
| Sterling Infosystems, Inc., 1st Lien Term Loan B, 5.40%, 6/20/22 |
|
|
|
|
|
|
1,618 |
|
|
|
1,625,718 |
|
| TransUnion LLC, Term Loan B2, 3.54%, 4/09/23 |
|
|
|
|
|
|
7,311 |
|
|
|
7,378,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
12,347,309 |
|
| Real Estate Investment Trusts (REITs) — 1.4% |
|
| Capital Automotive LP, 2017 1st Lien Term Loan, 4.03%, 3/24/24 |
|
|
|
|
|
|
775 |
|
|
|
781,053 |
|
| Communications Sales & Leasing, Inc., 2017 Term Loan B, 4.04%, 10/24/22 |
|
|
|
|
|
|
2,364 |
|
|
|
2,374,795 |
|
| MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, 3.29%, 4/25/23 |
|
|
|
|
|
|
4,680 |
|
|
|
4,706,258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
7,862,106 |
|
| Real Estate Management & Development — 1.4% |
|
| CityCenter Holdings LLC, 2017 Term Loan B, 3.50%, 4/18/24 |
|
|
|
|
|
|
2,412 |
|
|
|
2,420,621 |
|
| DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.42%, 11/04/21 |
|
|
|
|
|
|
1,417 |
|
|
|
1,420,064 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
11 |
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Real Estate Management & Development (continued) |
|
|
|
|
|
|
|
|
|
| Realogy Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B, 3.29%, 7/20/22 |
|
|
USD |
|
|
|
3,120 |
|
|
$ |
3,139,426 |
|
| Term Loan A, 2.99%, 10/23/20 |
|
|
|
|
|
|
1,073 |
|
|
|
1,071,444 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
8,051,555 |
|
| Road & Rail — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Road Infrastructure Investment LLC, 2016 1st Lien Term Loan,
4.50%, 6/13/23 |
|
|
|
|
|
|
1,239 |
|
|
|
1,248,066 |
|
| Semiconductors & Semiconductor Equipment — 0.6% |
|
| Cavium, Inc., 2017 Term Loan B, 3.28%, 8/16/22 (a) |
|
|
|
|
|
|
813 |
|
|
|
815,452 |
|
| MaxLinear, Inc., Term Loan B, 3.49%, 5/12/24 (a) |
|
|
|
|
|
|
430 |
|
|
|
432,150 |
|
| Microsemi Corp., 2015 Term Loan B, 3.33%, 1/15/23 |
|
|
|
|
|
|
420 |
|
|
|
421,634 |
|
| ON Semiconductor Corp., 2017 Term Loan B, 3.29%, 3/31/23 |
|
|
|
|
|
|
794 |
|
|
|
797,708 |
|
| Versum Materials, Inc., Term Loan, 3.65%, 9/29/23 |
|
|
|
|
|
|
950 |
|
|
|
960,516 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
3,427,460 |
|
| Software — 11.2% |
|
| Aptean, Inc., 2016 1st Lien Term Loan, 6.04%, 12/20/22 |
|
|
|
|
|
|
960 |
|
|
|
964,205 |
|
| BMC Software Finance, Inc., 2017 Term Loan, 5.00%, 9/13/22 |
|
|
|
|
|
|
2,655 |
|
|
|
2,666,628 |
|
| CCC Information Services, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, 4.04%, 4/27/24 |
|
|
|
|
|
|
920 |
|
|
|
917,653 |
|
| 2017 2nd Lien Term Loan, 7.79%, 4/27/25 |
|
|
|
|
|
|
525 |
|
|
|
536,319 |
|
| Dell, Inc., 2017 Term Loan B, 3.55%, 9/07/23 |
|
|
|
|
|
|
2,577 |
|
|
|
2,591,653 |
|
| DTI Holdco, Inc., 2016 Term Loan B, 6.42%, 9/30/23 |
|
|
|
|
|
|
1,456 |
|
|
|
1,428,111 |
|
| Hyland Software, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 2nd Lien Term Loan, 8.19%, 7/12/25 |
|
|
|
|
|
|
420 |
|
|
|
426,300 |
|
| 2017 Term Loan, 4.29%, 7/01/22 |
|
|
|
|
|
|
1,460 |
|
|
|
1,470,187 |
|
| Infor US, Inc., Term Loan B6, 3.90%, 2/01/22 |
|
|
|
|
|
|
3,705 |
|
|
|
3,695,717 |
|
| Informatica Corp., Term Loan, 4.65%, 8/05/22 |
|
|
|
|
|
|
3,361 |
|
|
|
3,358,024 |
|
| IPS Corp., 2016 1st Lien Term Loan, 6.25%, 12/20/23 (a) |
|
|
|
|
|
|
638 |
|
|
|
635,208 |
|
| IQOR US, Inc., Term Loan B, 6.15%, 4/01/21 |
|
|
|
|
|
|
1,128 |
|
|
|
1,126,031 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Software (continued) |
|
| Kronos, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B, 4.68%, 11/01/23 |
|
|
USD |
|
|
|
4,598 |
|
|
$ |
4,640,091 |
|
| 2nd Lien Term Loan, 9.42%, 11/01/24 |
|
|
|
|
|
|
1,695 |
|
|
|
1,760,681 |
|
| LANDesk Group, Inc., 2017 Term Loan B, 5.30%, 1/20/24 |
|
|
|
|
|
|
400 |
|
|
|
400,500 |
|
| MA FinanceCo. LLC, Term Loan B3, 3.00%, 4/29/24 |
|
|
|
|
|
|
261 |
|
|
|
261,260 |
|
| Misys Europe SA: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, 4.67%, 4/27/24 |
|
|
|
|
|
|
2,925 |
|
|
|
2,930,616 |
|
| 2nd Lien Term Loan, 8.25%, 4/27/25 |
|
|
|
|
|
|
833 |
|
|
|
849,035 |
|
| Mitchell International, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, 4.54%, 10/13/20 |
|
|
|
|
|
|
2,105 |
|
|
|
2,118,035 |
|
| 2nd Lien Term Loan, 8.67%, 10/11/21 |
|
|
|
|
|
|
1,600 |
|
|
|
1,609,504 |
|
| Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, 4.67%, 4/26/24 |
|
|
|
|
|
|
1,881 |
|
|
|
1,872,385 |
|
| RP Crown Parent LLC, 2016 Term Loan B, 4.54%, 10/12/23 |
|
|
|
|
|
|
2,210 |
|
|
|
2,228,716 |
|
| Seattle Spinco, Inc., Term Loan B3, 1.00%, 4/19/24 |
|
|
|
|
|
|
1,765 |
|
|
|
1,764,353 |
|
| SolarWinds Holdings, Inc., 2017 Term Loan, 4.54%, 2/05/23 |
|
|
|
|
|
|
3,221 |
|
|
|
3,235,357 |
|
| Solera LLC, Term Loan B, 4.29%, 3/03/23 |
|
|
|
|
|
|
2,529 |
|
|
|
2,545,426 |
|
| Sophia LP, 2017 Term Loan B, 4.40%, 9/30/22 |
|
|
|
|
|
|
2,475 |
|
|
|
2,466,784 |
|
| SS&C Technologies, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B1, 3.29%, 7/08/22 |
|
|
|
|
|
|
4,736 |
|
|
|
4,763,158 |
|
| 2017 Term Loan B2, 3.29%, 7/08/22 |
|
|
|
|
|
|
330 |
|
|
|
331,404 |
|
| Synchronoss Technologies, Inc., Term Loan, 4.08%, 1/19/24 |
|
|
|
|
|
|
850 |
|
|
|
783,275 |
|
| Tempo Acquisition LLC, Term Loan, 4.00%, 5/01/24 |
|
|
|
|
|
|
2,720 |
|
|
|
2,728,731 |
|
| Tibco Software, Inc., 2017 Term Loan B, 5.55%, 12/04/20 |
|
|
|
|
|
|
2,281 |
|
|
|
2,301,910 |
|
| Veritas US, Inc., Term Loan B1, 6.77%, 1/27/23 |
|
|
|
|
|
|
3,403 |
|
|
|
3,405,390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
62,812,647 |
|
| Specialty Retail — 1.4% |
|
| Academy Ltd., 2015 Term Loan B, 5.04%, 7/01/22 |
|
|
|
|
|
|
933 |
|
|
|
750,205 |
|
| Bass Pro Group LLC, Asset Sale Term Loan, 5.90%, 6/09/18 |
|
|
|
|
|
|
665 |
|
|
|
670,819 |
|
| Leslie’s Poolmart, Inc., 2016 Term Loan, 4.79%, 8/16/23 |
|
|
|
|
|
|
1,114 |
|
|
|
1,120,725 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 12 |
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests (c) |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Specialty Retail (continued) |
|
|
|
|
|
| Michaels Stores, Inc., 2016 Term Loan B1, 3.79%, 1/30/23 |
|
|
USD |
|
|
|
1,474 |
|
|
$ |
1,472,231 |
|
| Party City Holdings, Inc., 2016 Term Loan, 4.05%, 8/19/22 |
|
|
|
|
|
|
1,961 |
|
|
|
1,961,540 |
|
| Petco Animal Supplies, Inc., 2017 Term Loan B, 4.17%, 1/26/23 |
|
|
|
|
|
|
2,017 |
|
|
|
1,871,747 |
|
| Things Remembered, Inc., 2016 Term Loan, 1.00%, 2/29/20 (a) |
|
|
|
|
|
|
1,014 |
|
|
|
152,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
7,999,357 |
|
| Technology Hardware, Storage & Peripherals — 0.3% |
|
| Western Digital Corp., 2017 Term Loan B, 3.78%, 4/29/23 |
|
|
|
|
|
|
1,478 |
|
|
|
1,490,658 |
|
| Textiles, Apparel & Luxury Goods — 0.4% |
|
|
|
|
|
| Ascend Performance Materials Operations LLC, Term Loan B,
6.65%, 8/12/22 |
|
|
|
|
|
|
2,415 |
|
|
|
2,433,542 |
|
| Thrifts & Mortgage Finance — 0.5% |
|
|
|
|
|
| IG Investment Holdings LLC, 2017 Term Loan, 5.18%, 10/31/21 |
|
|
|
|
|
|
2,734 |
|
|
|
2,754,753 |
|
| Trading Companies & Distributors — 0.9% |
|
|
|
|
|
| Beacon Roofing Supply, Inc., Term Loan B, 3.75%, 10/01/22 |
|
|
|
|
|
|
1,380 |
|
|
|
1,387,251 |
|
| HD Supply, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| Incremental Term Loan B1, 3.90%, 8/13/21 |
|
|
|
|
|
|
2,374 |
|
|
|
2,389,121 |
|
| Incremental Term Loan B2, 3.90%, 10/17/23 |
|
|
|
|
|
|
1,030 |
|
|
|
1,035,623 |
|
| Nexeo Solutions LLC, 2017 Term Loan B, 4.95%, 6/09/23 |
|
|
|
|
|
|
248 |
|
|
|
250,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
5,062,838 |
|
| Transportation — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Gruden Acquisition, Inc., 1st Lien Term Loan, 5.90%, 8/18/22 |
|
|
|
|
|
|
1,254 |
|
|
|
1,182,803 |
|
| Wireless Telecommunication Services — 3.0% |
|
|
|
|
|
| GEO Group, Inc., 2017 Term Loan B, 3.25%, 3/22/24 |
|
|
|
|
|
|
2,445 |
|
|
|
2,446,540 |
|
| Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 12/07/20 (f) |
|
|
|
|
|
|
8,033 |
|
|
|
7,721,369 |
|
| LTS Buyer LLC, 1st Lien Term Loan, 4.40%, 4/13/20 |
|
|
|
|
|
|
5,394 |
|
|
|
5,414,177 |
|
| Radiate Holdco LLC, 1st Lien Term Loan, 4.04%, 2/01/24 |
|
|
|
|
|
|
1,375 |
|
|
|
1,377,241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
16,959,327 |
|
| Total Floating Rate Loan Interests – 135.9% |
|
|
|
|
|
|
|
760,107,238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Interests — 0.0% (g) |
|
|
|
|
Beneficial
Interest
(000) |
|
|
Value |
|
| Auto Components — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Intermet Liquidating Trust, Class A (a) |
|
|
USD |
|
|
|
256,351 |
|
|
$ |
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Trust Preferred — 0.2% |
|
|
|
|
Shares |
|
|
|
|
| Diversified Financial Services — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| GMAC Capital Trust I, Series 2, 6.60%, 2/15/40 (b) |
|
|
|
|
|
|
60,894 |
|
|
|
1,549,398 |
|
| Total Preferred Securities – 0.2% |
|
|
|
|
|
|
|
|
|
|
1,549,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Rights — 0.0% |
|
|
|
|
|
|
|
|
|
| Electric Utilities — 0.0% |
|
|
|
|
|
|
|
|
|
| Tex Energy LLC (a) |
|
|
|
|
|
|
46,682 |
|
|
|
49,016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Warrants — 0.0% |
|
|
|
|
|
|
|
|
|
| Software — 0.0% |
|
|
|
|
|
|
|
|
|
| HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19,
Strike Price $42.27) (a) |
|
|
|
|
|
|
2,406 |
|
|
|
986 |
|
Total Long-Term Investments
(Cost — $821,354,644) — 146.9% |
|
|
|
|
|
|
|
|
|
|
821,974,429 |
|
Options Purchased
(Cost — $112,322) — 0.0% |
|
|
|
|
|
|
|
|
|
|
6,828 |
|
Total Investments
(Cost — $821,466,966*) — 146.9% |
|
|
|
821,981,257 |
|
| Liabilities in Excess of Other Assets — (46.9)% |
|
|
|
|
|
|
|
(262,601,811 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Assets — 100.0% |
|
|
|
|
|
|
|
|
|
$ |
559,379,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * As of May 31, 2017, gross unrealized appreciation and depreciation based on cost for U.S. federal income
tax purposes were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Tax cost |
|
|
|
|
|
|
|
|
|
$ |
824,848,671 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gross unrealized appreciation |
|
|
|
|
|
|
|
|
|
$ |
8,702,978 |
|
| Gross unrealized depreciation |
|
|
|
|
|
|
|
|
|
|
(11,570,392 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net unrealized depreciation |
|
|
|
|
|
|
|
|
|
$ |
(2,867,414 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Schedule of Investments |
| (a) |
|
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
13 |
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
| (b) |
|
Non-income producing security. |
| (c) |
|
Variable rate security. Rate as of period end. |
| (d) |
|
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from
registration to qualified institutional investors. |
| (e) |
|
Issuer filed for bankruptcy and/or is in default. |
| (f) |
|
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.
|
| (g) |
|
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
| • |
|
During the period ended May 31, 2017 investments in issuers considered to be affiliates 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
August 31,
2016 |
|
|
Shares
Purchased |
|
|
Shares
Sold |
|
|
Shares Held at
May 31,
2017 |
|
|
Value at
May 31,
2017 |
|
|
Income |
|
|
Net Realized
Gain1 |
|
|
Change in
Unrealized
Depreciation |
|
| BlackRock Liquidity Funds, TempFund, Institutional Class |
|
|
1,859,207 |
|
|
|
— |
|
|
|
(1,859,207 |
)2 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| BlackRock Liquidity Funds, T-Fund, Institutional Class |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
$ |
4,911 |
|
|
$ |
13 |
|
|
|
— |
|
| iShares iBoxx USD High Yield Corporate Bond ETF |
|
|
27,839 |
|
|
|
— |
|
|
|
(27,839 |
) |
|
|
— |
|
|
|
— |
|
|
|
31,812 |
|
|
|
2,741 |
|
|
$ |
(26,532 |
) |
| Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
— |
|
|
$ |
36,723 |
|
|
$ |
2,754 |
|
|
$ |
(26,532 |
) |
|
|
|
|
|
|
|
|
|
|
|
| 1 Includes net capital gain
distributions. |
| 2 Represents net shares
sold. |
For Fund compliance purposes, the Fund’s sector classifications refer to one or more of the sector
sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector
sub-classifications for reporting ease.
|
|
|
| CLO |
|
Collateralized Loan Obligation |
| DIP |
|
Debtor-In-Possession |
| GBP |
|
British Pound |
| LIBOR |
|
London Interbank Offered Rate |
| LOC |
|
Letter of Credit |
| OTC |
|
Over-the-Counter |
| PIK |
|
Payment-In-Kind |
| USD |
|
U.S. Dollar |
|
| Derivative Financial Instruments Outstanding as of Period
End |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Counterparty |
|
Settlement
Date |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| USD |
|
|
3,522,830 |
|
|
GBP |
|
|
2,720,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
6/06/17 |
|
|
$ |
17,887 |
|
| USD |
|
|
3,489,678 |
|
|
GBP |
|
|
2,713,000 |
|
|
Deutsche Bank AG |
|
|
7/06/17 |
|
|
|
(9,703 |
) |
| Total Unrealized Appreciation |
|
|
|
|
|
$ |
8,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 14 |
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OTC Interest Rate Swaptions Purchased |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Counterparty |
|
Put/
Call |
|
|
Exercise
Rate |
|
|
Pay/
Receive
Exercise Rate |
|
|
Floating Rate
Index |
|
|
Expiration
Date |
|
|
Notional
Amount
(000) |
|
|
Value |
|
| 10-Year Interest Rate Swap |
|
Deutsche Bank AG |
|
|
Put |
|
|
|
2.75% |
|
|
|
Pay |
|
|
|
3-Month LIBOR |
|
|
|
7/05/17 |
|
|
|
USD |
|
|
|
2,700 |
|
|
$ |
52 |
|
| 10-Year Interest Rate Swap |
|
JPMorgan Chase Bank N.A. |
|
|
Put |
|
|
|
2.75% |
|
|
|
Pay |
|
|
|
3-Month LIBOR |
|
|
|
7/05/17 |
|
|
|
USD |
|
|
|
6,000 |
|
|
|
116 |
|
| 10-Year Interest Rate Swap |
|
JPMorgan Chase Bank N.A. |
|
|
Put |
|
|
|
2.65% |
|
|
|
Pay |
|
|
|
3-Month LIBOR |
|
|
|
9/01/17 |
|
|
|
USD |
|
|
|
3,300 |
|
|
|
4,184 |
|
| 10-Year Interest Rate Swap |
|
JPMorgan Chase Bank N.A. |
|
|
Put |
|
|
|
2.75% |
|
|
|
Pay |
|
|
|
3-Month LIBOR |
|
|
|
9/01/17 |
|
|
|
USD |
|
|
|
3,300 |
|
|
|
2,476 |
|
| Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
6,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OTC Options Purchased |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Put/
Call |
|
Counterparty |
|
Expiration
Date |
|
Strike
Price |
|
Contracts |
|
|
Value |
|
| Marsico Parent Superholdco LLC |
|
Call |
|
Goldman Sachs & Co. |
|
12/14/19 |
|
942.86 |
|
|
44 |
|
|
|
— |
|
|
| Fair Value Hierarchy as of Period End |
Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation
techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
| |
• |
|
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to
access |
| |
• |
|
Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are
active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment
speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| |
• |
|
Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not
available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs
(Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value
hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have
significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by
privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount
estimated by the Global Valuation Committee in the absence of market information.
Changes in valuation techniques may result in
transfers into or out of an assigned level within the hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The
categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with
investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Fund’s most recent financial statements as contained in its semi-annual report.
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
15 |
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
The following tables
summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Long-Term Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks |
|
$ |
14,638 |
|
|
$ |
20,585 |
|
|
$ |
486,541 |
|
|
$ |
521,764 |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
11,592,843 |
|
|
|
1,282,695 |
|
|
|
12,875,538 |
|
| Corporate Bonds |
|
|
— |
|
|
|
44,130,681 |
|
|
|
2,739,805 |
|
|
|
46,870,486 |
|
| Floating Rate Loan Interests |
|
|
— |
|
|
|
731,762,871 |
|
|
|
28,344,367 |
|
|
|
760,107,238 |
|
| Preferred Securities |
|
|
1,549,398 |
|
|
|
— |
|
|
|
— |
|
|
|
1,549,398 |
|
| Other Interests |
|
|
— |
|
|
|
— |
|
|
|
3 |
|
|
|
3 |
|
| Rights |
|
|
— |
|
|
|
— |
|
|
|
49,016 |
|
|
|
49,016 |
|
| Warrants |
|
|
— |
|
|
|
— |
|
|
|
986 |
|
|
|
986 |
|
| Options Purchased: |
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
|
— |
|
|
|
6,828 |
|
|
|
— |
|
|
|
6,828 |
|
| Unfunded floating rate loan interests1 |
|
|
— |
|
|
|
1,102 |
|
|
|
— |
|
|
|
1,102 |
|
|
|
|
|
|
| Total |
|
$ |
1,564,036 |
|
|
$ |
787,514,910 |
|
|
$ |
32,903,413 |
|
|
$ |
821,982,359 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative Financial Instruments 2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign currency exchange contracts |
|
|
— |
|
|
$ |
17,887 |
|
|
|
— |
|
|
$ |
17,887 |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign currency exchange contracts |
|
|
— |
|
|
|
(9,703 |
) |
|
|
— |
|
|
|
(9,703 |
) |
|
|
|
|
|
| Total |
|
|
|
|
|
$ |
8,184 |
|
|
|
— |
|
|
$ |
8,184 |
|
|
|
|
|
|
| 1 Unfunded floating rate
loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
|
| 2 Derivative financial
instruments are forward foreign currency exchange contracts which are valued at the unrealized appreciation (depreciation) on the instrument. |
|
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for
financial reporting purposes. As of period end, bank borrowings payable of $227,000,000 is categorized as Level 2 within the disclosure hierarchy.
During the period ended May 31, 2017, there were no transfers between Level 1 and Level 2.
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 16 |
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments (concluded) |
|
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 period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant
unobservable inputs were used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset-
Backed
Securities |
|
|
Common
Stocks |
|
|
Corporate
Bonds |
|
|
Floating
Rate Loan
Interests |
|
|
Other
Interests |
|
|
Rights |
|
|
Warrants |
|
|
Total |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Opening balance, as of August 31, 2016 |
|
$ |
2,218,460 |
|
|
$ |
140,083 |
|
|
$ |
1,527,870 |
|
|
$ |
44,995,306 |
|
|
$ |
1,562,503 |
|
|
|
— |
|
|
$ |
4,902 |
|
|
$ |
50,449,124 |
|
| Transfers into Level 31 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
6,842,147 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
6,842,147 |
|
| Transfers out of Level 32 |
|
|
(1,967,885 |
) |
|
|
— |
|
|
|
— |
|
|
|
(20,293,112 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(22,260,997 |
) |
| Other3 |
|
|
— |
|
|
|
(29,700 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
29,700 |
|
|
|
— |
|
|
|
— |
|
| Accrued discounts/premiums |
|
|
— |
|
|
|
— |
|
|
|
128 |
|
|
|
113,553 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
113,681 |
|
| Net realized gain (loss) |
|
|
1,250 |
|
|
|
— |
|
|
|
(119,999 |
) |
|
|
(322,709 |
) |
|
|
1,737,609 |
|
|
|
24,806 |
|
|
|
— |
|
|
|
1,320,957 |
|
| Net change in unrealized appreciation
(depreciation)4 |
|
|
(113 |
) |
|
|
391,583 |
|
|
|
1,227,941 |
|
|
|
530,993 |
|
|
|
(764,982 |
) |
|
|
29,159 |
|
|
|
(3,916 |
) |
|
|
1,410,665 |
|
| Purchases |
|
|
1,280,983 |
|
|
|
— |
|
|
|
103,865 |
|
|
|
10,934,398 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
12,319,246 |
|
| Sales |
|
|
(250,000 |
) |
|
|
(15,425 |
) |
|
|
— |
|
|
|
(14,456,209 |
) |
|
|
(2,535,127 |
) |
|
|
(34,649 |
) |
|
|
— |
|
|
|
(17,291,410 |
) |
|
|
|
|
|
| Closing balance, as of May 31, 2017 |
|
$ |
1,282,695 |
|
|
$ |
486,541 |
|
|
$ |
2,739,805 |
|
|
$ |
28,344,367 |
|
|
$ |
3 |
|
|
$ |
49,016 |
|
|
$ |
986 |
|
|
$ |
32,903,413 |
|
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on investments still held at May 31, 20174 |
|
$ |
1,712 |
|
|
$ |
391,583 |
|
|
$ |
1,108,070 |
|
|
$ |
71,632 |
|
|
|
— |
|
|
$ |
49,016 |
|
|
$ |
(3,916 |
) |
|
$ |
1,618,097 |
|
|
|
|
|
|
| 1 As of
August 31, 2016 the Fund used observable inputs in determining the value of certain investments. As of May 31, 2017, 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. |
|
| 2 As of
August 31, 2016, the Fund used significant unobservable inputs in determining the value of certain investments. As of May 31, 2017, 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. |
|
| 3 Certain
Level 3 investments were re-classified between Common Stocks and Rights. |
|
| 4 Any
difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at May 31, 2017 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 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.
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. |
|
MAY 31, 2017 |
|
17 |
Item 2 – Controls and Procedures
| 2(a) – |
The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under
the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended. |
| 2(b) – |
There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have
materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 3 – Exhibits
Certifications
– Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Floating Rate Income Strategies Fund, Inc.
|
|
|
|
|
| By: |
|
/s/ John M. Perlowski
|
|
|
|
|
John M. Perlowski |
|
|
Chief Executive Officer (principal executive officer) of |
|
|
BlackRock Floating Rate Income Strategies Fund, Inc. |
Date: July 24, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has
been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
|
|
|
| By: |
|
/s/ John M. Perlowski
|
|
|
|
|
John M. Perlowski |
|
|
Chief Executive Officer (principal executive officer) of |
|
|
BlackRock Floating Rate Income Strategies Fund, Inc. |
|
| Date: July 24, 2017 |
|
|
|
| By: |
|
/s/ Neal J.
Andrews |
|
|
|
|
Neal J. Andrews |
|
|
Chief Financial Officer (principal financial officer) of |
|
|
BlackRock Floating Rate Income Strategies Fund, Inc. |
Date: July 24, 2017