N-Q 1 fris.txt FLOATING RATE INCOME STRATEGIES 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: Floating Rate Income Strategies Fund, Inc. Fund Address: P.O. Box 9011 Princeton, NJ 08543-9011 Name and address of agent for service: Robert C. Doll, Jr., President, Floating Rate Income Strategies Fund, Inc., 800 Scudders Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011 Registrant's telephone number, including area code: (609) 282-2800 Date of fiscal year end: 08/31/05 Date of reporting period: 09/01/04 - 11/30/04 Item 1 - Schedule of Investments Floating Rate Income Strategies Fund, Inc. Schedule of Investments as of November 30, 2004
Face Industry+ Amount Floating Rate Loan Interests++ Value Aerospace & Defense - 0.7% $ 2,500,000 MRO Acquisitions Corporation, First Lien Term, due 8/27/2010 $ 2,529,688 Automotive - 3.0% 2,000,000 Goodyear Tire & Rubber Company, Deposit Account, due 9/30/2007 2,024,062 1,869,565 Keystone Automotive Operations, Inc., Term, due 10/30/2009 1,894,395 1,825,078 NFIL Holdings Inc., Term B, due 2/27/2010 1,845,610 Tenneco Automotive Inc.: 3,217,069 Term B, due 12/12/2010 3,278,730 1,458,621 Term B-1, Credit Linked, due 12/12/2010 1,486,578 -------------- 10,529,375 Broadcasting - 1.4% 3,000,000 Emmis Operating Company, Term B, due 11/10/2011 3,035,064 2,000,000 Gray Television, Inc., Incremental Term, due 6/30/2011 2,027,500 -------------- 5,062,564 Cable - U.S. - 15.0% 8,000,000 Century Cable Holdings LLC, Discretionary Term, due 12/31/2009 7,953,336 21,196,875 Charter Communications Operating LLC, Term B, due 4/27/2011 21,172,265 2,064,796 DIRECTV Holdings Additional Term B-2, due 3/06/2010 2,097,575 Inmarsat Investments Limited: 2,292,136 Term B, due 10/10/2010 2,304,672 2,297,523 Term C, due 10/10/2011 2,317,555 4,962,500 Insight Midwest Holdings, LLC, Term B, due 12/31/2009 5,052,788 3,200,000 Mediacom Broadband LLC, Term B, due 3/31/2013 3,230,000 2,475,000 Mediacom Iowa LLC, Tranche A - Term, due 3/31/2010 2,464,558 6,947,289 Panamsat Corp., Term B, due 8/20/2011 7,003,736 -------------- 53,596,485 Chemicals - 8.2% 1,990,000 Hercules Incorporated, Term B, due 10/08/2010 2,006,915 6,750,000 Huntsman International LLC, Term B, due 12/31/2010 6,886,687 738,925 Kraton Polymers LLC, Revolving Term, due 12/24/2010 748,777 3,500,000 Kosa BV (INVISTA), Term, due 4/29/2011 3,562,099 997,500 Lyondell-Citgo Refining, Term, due 5/21/2007 1,004,981 6,658,852 Nalco Company, Term B, due 11/04/2010 6,734,803 1,498,403 Pinnacle Polymers (Epsilon Products), Term, due 12/15/2006 1,519,523 2,000,000 Rockwood Specialties Group, Inc., Term B, due 7/30/2012 2,015,536 4,750,000 Wellman, Inc., Second Lien Term, due 2/10/2010 4,765,832 -------------- 29,245,153 Consumer - Durables - 2.0% Simmons Co., Term B: 2,448,148 due 10/29/2005 2,506,292 4,500,000 due 6/19/2011 4,559,998 -------------- 7,066,290 Consumer - Non-Durables - 0.8% 1,985,000 American Achievement Corp., Term B, due 3/22/2011 2,014,775 997,500 Ames True Temper, Inc., Term, due 6/28/2011 1,012,775 -------------- 3,027,550 Diversified Media - 4.6% 3,874,237 Dex Media West Inc., Term B, due 3/09/2010 3,914,595 3,000,000 Freedom Communications, Inc., Term B, due 5/18/2012 3,052,500 5,500,000 Metro-Goldwyn-Mayer Studios Inc., Term B, due 4/30/2010 5,525,437 1,356,407 Primedia Inc., Term B, due 6/30/2009 1,326,566 2,394,000 RH Donnelley Inc., Term B-2, due 6/30/2010 2,420,796 -------------- 16,239,894 Energy-Other - 1.3% 2,750,000 Dresser, Inc., Unsecured Term, due 3/01/2010 2,798,125 1,745,625 Pride Offshore Inc., Term B, due 7/07/2011 1,769,264 -------------- 4,567,389 Food & Drug - 0.2% 759,566 Alimentation Couche-Tard, Inc. (ACT), Term, due 12/17/2010 769,061 Food & Tobacco - 4.5% 1,500,000 Constellation Brands, Inc., Term B, due 11/30/2008 1,508,320 1,750,000 Doane Pet Care Enterprises Inc., Term, due 11/05/2009 1,778,437 5,738,301 Dr Pepper/Seven Up Bottling Group, Inc., Term B, due 12/19/2010 5,841,413 3,007,991 Meow Mix Company, First Lien Term, due 10/10/2009 2,966,631 2,970,000 Michael Foods, Inc., Term, due 11/21/2010 3,018,726 947,500 Pierre Foods, Inc., Term B, due 6/30/2010 957,962 -------------- 16,071,489 Gaming - 4.4% 1,995,000 Boyd Gaming Corporation, Term, due 6/30/2011 2,024,676 1,218,750 Global Cash Access LLC, Term B, due 3/10/2010 1,242,363 1,985,000 Green Valley Ranch Gaming, LLC, Term, due 12/22/2010 2,014,775 995,000 Isle of Capri Black Hawk, Term C, due 12/31/2007 1,010,340 1,800,000 Pinnacle Entertainment, Inc., Term, due 8/27/2010 1,827,000 1,666,408 Scientific Games Corporation, Term C, due 11/04/2009 1,693,487 5,613,636 Venetian Casino Resort, LLC, Term B, due 6/15/2011 5,717,724 -------------- 15,530,365 Health Care - 3.5% 2,800,000 Community Health Systems, Inc., Term, due 8/19/2011 2,827,345 5,004,545 Orthofix International NV, Term B, due 12/15/2008 5,063,974 685,068 Rotech Healthcare, Inc., Term B, due 3/31/2008 693,738 3,674,339 Triad Hospitals, Inc., Term B, due 9/30/2008 3,730,288 -------------- 12,315,345 Household Funiture & 2,100,000 General Growth Properties, Inc., Term B, due 11/12/2008 2,110,172 Appliances - 1.3% 2,493,750 Nortek, Inc., Term, due 8/27/2011 2,539,468 -------------- 4,649,640 Housing - 3.8% 2,955,556 Associated Materials Incorporated, Term, due 8/29/2010 2,996,194 4,331,250 Headwaters Incorporated, Term B, due 4/30/2011 4,392,611 1,106,723 Juno Lighting, Inc., First Lien Term, due 11/21/2010 1,122,633 4,855,000 PGT Industries, Inc., Term A, due 1/31/2009 4,930,859 -------------- 13,442,297 IT - 1.0% 3,456,250 VUTEK Inc., Term, due 6/25/2010 3,460,570 Leisure - 1.1% 2,977,500 24 Hour Fitness Worldwide, Term, due 7/01/2009 3,016,580 826,588 Wyndham International, Inc., Increasing Rate Term, due 4/01/2006 834,647 -------------- 3,851,227 Manufacturing - 8.8% 2,487,500 Communications & Power Industries, Inc., Term, due 7/23/2010 2,527,922 High Voltage Engineering Corporation: 3,000,000 Term A, due 7/31/2006 2,985,000 2,009,236 Term B, due 7/31/2007(e) 2,079,560 2,000,000 Invensys International Holdings Ltd., Second Lien Term, due 10/25/2009 2,060,000 1,778,784 Itron, Inc., Term B, due 12/17/2010 1,796,572 4,500,000 MetoKote Corporation, Term, due 2/13/2011 4,559,062 3,071,101 Mueller Group,Term, due 4/23/2011 3,096,054 4,812,500 Roper Industries, Inc., Term, due 12/29/2008 4,829,045 1,314,718 SPX Corporation, Term B-1, due 9/30/2009 1,323,428 Sensus Metering Systems Inc.: 5,567,391 Term B-1, due 12/17/2010 5,617,264 835,109 Term B-2, due 12/19/2010 842,590 -------------- 31,716,497 Packaging - 4.4% 6,097,349 Berry Plastics Corporation, Term, due 7/22/2010 6,181,187 3,000,000 Graham Packaging Holdings Company, Term B, due 10/07/2011 3,049,554 2,000,000 Intertape Polymer Corp., Term B, due 7/28/2011 2,035,000 Owens-Illinois Group Inc.: 595,238 Term B, due 4/01/2008 607,825 3,669,286 Term B-1, due 4/01/2008 3,741,527 -------------- 15,615,093 Paper - 2.4% Boise Cascade, LLC: 2,030,137 Term B, due 10/29/2011 2,066,722 1,869,863 Term C, due 10/29/2010 1,885,269 1,488,750 SP Newsprint, Term B, due 1/09/2010 1,511,366 Smurfit Stone Container Corporation: 2,294,118 Term B, due 11/01/2011 2,333,404 705,882 Term C, due 11/01/2011 718,345 -------------- 8,515,106 Retail - 2.1% 2,313,678 American Reprographics Company, LLC, Second Lien Term, due 12/18/2009 2,498,772 4,962,500 General Nutrition Centers, Inc., Term B, due 12/05/2009 5,023,291 -------------- 7,522,063 Services - 2.8% 1,942,000 Baker Tanks, Inc., Term, due 1/30/2011 1,970,524 2,892,750 Buhrmann U.S, Term C-1, due 12/23/2010 2,933,431 2,992,500 Coinstar, Inc., Term, due 7/07/2011 3,044,869 United Rentals, Inc.: 1,658,333 Initial Term, due 2/14/2011 1,681,135 333,333 Tranche B, Term Link Deposit, due 2/14/2011 336,528 -------------- 9,966,487 Telecommunications - 2.1% 2,192,667 Consolidated Communications Acquisition of TXU, Inc., Term C, due 10/14/2011 2,229,668 WilTel Communications Inc.: 3,600,000 First Lien Term, due 6/30/2011 3,603,377 1,800,000 Second Lien Term, due 12/31/2010 1,802,250 -------------- 7,635,295 Transportation - 1.3% 4,436,165 Laidlaw International Inc., Term B, due 6/30/2009 4,509,641 Utilities - 11.0% 1,571,429 AES Corporation, Term, due 4/30/2008 1,601,220 4,952,350 Calpine Corporation, Second Lien Term, due 7/16/2007 4,320,039 Calpine Generating Company LLC: 1,500,000 First Priority Term, due 3/11/2009 1,531,289 2,500,000 Second Priority Term, due 3/11/2010 2,449,375 7,918,875 CenterPoint Energy, Inc., Term, due 10/07/2006 7,955,999 5,472,500 Cogentrix Delaware Holdings, Inc., Term, due 2/25/2009 5,565,987 2,793,000 Dynegy Holdings Inc., Term, due 5/27/2010 2,854,971 El Paso Corporation: 1,425,000 Term, due 11/23/2009 1,433,651 2,375,000 Term C, due 11/23/2009 2,395,225 995,000 Midwest Generation LLC, Term C, due 4/27/2011 1,011,272 3,250,000 Mission Energy Holding, Term, due 12/11/2006 3,265,236 NRG Energy, Inc.: 250,000 Credit Link Deposit, due 6/23/2010 257,187 441,276 Term, due 6/23/2010 453,963 2,500,000 Quanta Services, Term, due 6/19/2008 2,535,937 1,566,395 Reliant Resources, Inc., Term, due 3/15/2007 1,600,007 -------------- 39,231,358 Wireless Telecommunications - 2,332,375 Centennial Cellular Operating Co., Term A, due 2/09/2011 2,367,153 6.8% Nextel Communications, Inc.: 1,000,000 Term C, due 5/31/2011 1,017,708 14,887,500 Term E, due 12/15/2010 14,923,126 5,788,000 SBA Communications Corp., Inc., Term B, due 10/31/2008 5,851,309 -------------- 24,159,296 Total Investments in Floating Rate Loan Interests (Cost - $347,343,439) - 98.5% 350,825,218 Corporate Debt Airlines - 0.6% Delta Air Lines, Inc.: 2,000,000 7.90% due 12/15/2009 1,110,000 1,550,000 2.875% due 2/18/2024 (Convertible)(b) 993,937 -------------- 2,103,937 Automotive - 0.3% 250,000 Delco Remy International, Inc., 6.07% due 4/15/2009 253,125 700,000 Tenneco Automotive Inc., 8.625% due 11/15/2014(b) 728,000 -------------- 981,125 Broadcasting - 2.1% 250,000 CanWest Media, Inc., 8% due 9/15/2012 267,500 4,000,000 Granite Broadcasting Corporation, 9.75% due 12/01/2010 3,760,000 250,000 New Skies Satellites BV, 7.438% due 11/01/2011(b)(c) 256,250 3,000,000 Paxson Communications Corporation, 4.82% due 1/15/2010(b)(c) 3,015,000 250,000 XM Satellite Radio Inc., 7.66% due 5/01/2009(c) 255,938 ------------- 7,554,688 Cable - U.S. - 1.1% 850,000 Inmarsat Finance PLC, 7.625% due 6/30/2012 869,125 3,000,000 Rainbow National Services LLC, 10.375% due 9/01/2014(b) 3,180,000 -------------- 4,049,125 Cable - International - 1.1% 400,000 Kabel Deutschland GmbH, 10.625% due 7/01/2014(b) 460,000 NTL Cable PLC(b): 3,000,000 6.07% due 10/15/2012(c) 3,090,000 375,000 8.75% due 4/15/2014 422,813 -------------- 3,972,813 Chemicals - 2.2% 1,950,000 Crompton Corporation, 7.67% due 8/01/2010(b)(c) 2,106,000 5,000,000 PolyOne Corporation, 10.625% due 5/15/2010 5,637,500 -------------- 7,743,500 Consumer - Non-Durables - 0.8% 250,000 Elizabeth Arden, Inc., 7.75% due 1/15/2014 266,250 2,000,000 Playtex Products, Inc., 8% due 3/01/2011 2,190,000 350,000 Samsonite Corporation, 8.875% due 6/01/2011 372,313 -------------- 2,828,563 Energy-Exploration & 250,000 Belden & Blake Corporation, 8.75% due 7/15/2012(b) 270,625 Production - 0.1% Energy-Other - 0.6% 4,000,000 Trico Marine Services, Inc., 8.875% due 5/15/2012(d) 2,160,000 Food & Tobacco - 1.2% 3,000,000 Smithfield Foods, Inc., 7% due 8/01/2011 3,180,000 1,050,000 The Wornick Company, 10.875% due 7/15/2011(b) 1,149,750 -------------- 4,329,750 Gaming - 3.0% 5,000,000 The Majestic Star Casino, LLC, 9.50% due 10/15/2010 5,275,000 250,000 Mohegan Tribal Gaming Authority, 7.125% due 8/15/2014(b) 264,375 325,000 River Rock Entertainment Authority, 9.75% due 11/01/2011 359,125 Station Casinos, Inc.: 4,000,000 6% due 4/01/2012 4,120,000 775,000 6.50% due 2/01/2014 804,063 -------------- 10,822,563 Health Care - 0.2% 575,000 US Oncology, Inc., 9% due 8/15/2012(b) 638,250 Housing - 0.1% 450,000 Nortek, Inc., 8.50% due 9/01/2014(b) 483,750 Hybrid - 2.9% 10,000,000 Dow Jones CDX.NA.HY.3 Trust 3 December 2009, 8% due 12/29/2009(b) 10,143,750 IT - 0.6% 2,050,000 Freescale Semiconductor, Inc., 4.82% due 7/15/2009(c) 2,121,750 Leisure - 1.4% 3,900,000 FelCor Lodging LP, 6.874% due 6/01/2011(c) 4,065,750 1,000,000 True Temper Sports, Inc., 8.375% due 9/15/2011 890,000 -------------- 4,955,750 Manufacturing - 1.7% 250,000 Altra Industrial Motion, Inc., 9% due 12/01/2011(b) 253,750 2,500,000 Case New Holland Inc., 6% due 6/01/2009(b) 2,450,000 325,000 Erico International Corporation, 8.875% due 3/01/2012 339,625 2,900,000 Invensys PLC, 9.875% due 3/15/2011(b) 3,124,750 -------------- 6,168,125 Metal - Other - 0.6% 2,000,000 Vale Overseas Ltd., 8.25% due 1/17/2034 2,055,000 Packaging - 0.8% 1,550,000 Consolidated Container Company LLC, 10.75% due 6/15/2007(a) 1,302,000 250,000 Portola Packaging, Inc., 8.25% due 2/01/2012 189,375 600,000 Tekni-Plex, Inc., 8.75% due 11/15/2013(b) 597,000 725,000 Wise Metals Group LLC, 10.25% due 5/15/2012(b) 732,250 -------------- 2,820,625 Paper - 1.9% 2,650,000 Abitibi-Consolidated Inc., 5.99% due 6/15/2011(c) 2,683,125 700,000 Ainsworth Lumber Co. Ltd., 5.669% due 10/01/2010(b)(c) 703,500 250,000 Boise Cascade, LLC, 5.005% due 10/15/2012(b)(c) 256,250 2,912,000 Western Forest Products Inc., 15% due 7/28/2009(b)(e) 3,276,000 -------------- 6,918,875 Retail - 0.5% 350,000 Finlay Fine Jewelry Corporation, 8.375% due 6/01/2012 377,125 1,300,000 The Jean Coutu Group, Inc., 8.50% due 8/01/2014(b) 1,319,500 -------------- 1,696,625 Services - 1.5% 3,375,000 Allied Waste North America, Inc., 7.375% due 4/15/2014 3,147,188 400,000 FTD, Inc., 7.75% due 2/15/2014 412,000 2,000,000 United Rentals (North America), Inc., 7.75% due 11/15/2013 1,920,000 -------------- 5,479,188 Steel - 2.5% 3,000,000 CSN Islands VIII Corp., 9.75% due 12/16/2013(b) 3,217,500 5,000,000 Ispat Inland ULC, 8.756% due 4/01/2010(c) 5,500,000 -------------- 8,717,500 Telecommunications - 3.8% 6,000,000 Cincinnati Bell Inc., 8.375% due 1/15/2014 5,985,000 3,700,000 Qwest Communications International Inc., 5.79% due 2/15/2009(b)(c) 3,690,750 250,000 Rural Cellular Corporation, 6.99% due 3/15/2010(c) 257,500 3,500,000 Time Warner Telecom Holdings, Inc., 6.29% due 2/15/2011(c) 3,491,250 -------------- 13,424,500 Utilities - 1.3% 3,000,000 Calpine Canada Energy Finance ULC, 8.50% due 5/01/2008 2,145,000 3,000,000 Calpine Corporation, 9.875% due 12/01/2011(b) 2,407,500 250,000 Sierra Pacific Resources, 8.625% due 3/15/2014 285,000 -------------- 4,837,500 Wireless Telecommunications - Rogers Wireless Inc.(b): 0.5% 250,000 5.525% due 12/15/2010(c) 258,750 1,100,000 7.25% due 12/15/2012 1,142,625 250,000 8% due 12/15/2012 259,375 450,000 SBA Telecommunications, Inc., 9.75% due 12/15/2011(a) 374,625 -------------- 2,035,375 Total Investments in Corporate Debt (Cost - $115,892,410) - 33.5% 119,313,252
Floating Rate Income Strategies Fund, Inc. Schedule of Investments as of November 30, 2004 (concluded)
Shares Industry+ Held Common Stocks Value Paper 84,448 Western Forest Products Inc.(b) $ 532,661 Total Investments in Common Stocks (Cost - $420,193) - 0.1% 532,661 Beneficial Interest Short-Term Securities $ 1 Merrill Lynch Liquidity Series, LLC Cash Sweep Series I** 1 Total Investment in Short-Term Securities (Cost - $1) - 0.0% 1 Total Investments (Cost - $463,656,043* ) - 132.1% 470,671,132 Liabilities in Excess of Other Assets - (32.1%) (114,460,357) -------------- Net Assets - 100.0% $ 356,210,775 ============== * The cost and unrealized appreciation/depreciation of investments as of November 30, 2004, as computed for federal income tax purposes, were as follows: Aggregate cost $ 463,656,043 ============== Gross unrealized appreciation $ 10,203,642 Gross unrealized depreciation $ (3,188,553) -------------- Net unrealized appreciation $ 7,015,089 ============== ** Investments in companies considered to be an affiliate of the Fund (such companies are defined as "Affiliated Companies" in Section 2(a)(3) of the Investment Company Act of 1940) were as follows: Interest Affiliate Net Activity Income Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $(6,354,569) $ 11,917 + For Fund compliance purposes, "Industry" means any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. ++ Floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major U.S. banks or (iii) the certificate of deposit rate. (a) Represents a step-up bond; the interest rate shown is the effective yield at the time of purchase by the Fund. (b) The security may be offered and sold to "qualified institutional buyers" under Rule 144A of the Securities Act of 1933. (c) Floating rate note. (d) Non-income producing; issuer filed for bankruptcy or is in default of interest payments. (e) Represents a pay-in-kind security which may pay interest/dividends in additional face/shares.
Item 2 - Controls and Procedures 2(a) - The registrant's certifying officers have reasonably designed such disclosure controls and procedures to ensure material information relating to the registrant is made known to us by others particularly during the period in which this report is being prepared. The registrant's certifying officers have determined that the registrant's disclosure controls and procedures are effective based on our evaluation of these controls and procedures as of a date within 90 days prior to the filing date of this report. 2(b) - There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the last fiscal quarter of the period covered by this report that has materially affected, or is 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. Floating Rate Income Strategies Fund, Inc. By: /s/ Robert C. Doll, Jr.________ Robert C. Doll, Jr., President Floating Rate Income Strategies Fund, Inc. Date: January 13, 2005 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/ Robert C. Doll, Jr.________ Robert C. Doll, Jr. President Floating Rate Income Strategies Fund, Inc. Date: January 13, 2005 By: /s/ Donald C. Burke________ Donald C. Burke Chief Financial Officer Floating Rate Income Strategies Fund, Inc. Date: January 13, 2005