N-Q 1 d299721dnq.htm BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. 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: 11/30/2016


Item 1 – Schedule of Investments


Consolidated Schedule of Investments November 30, 2016
(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)

       143,928      $ 5,757   

GEO Specialty Chemicals, Inc. (a)(b)

       23,849        954   
      

 

 

 
                       6,711   

Diversified Financial Services — 0.1%

  

   

Kcad Holdings I Ltd.

             309,827,230        430,660   

Electric Utilities — 0.1%

      

Vistra Energy Corp (a)

             46,681        651,200   

Health Care Management Services — 0.0%

  

   

New Millennium HoldCo, Inc.

             14,906        24,222   

Oil, Gas & Consumable Fuels — 0.0%

  

   

Southcross Holdings LP

             99        34,650   

Semiconductors & Semiconductor Equipment — 0.0%

  

 

SunPower Corp. (a)

             1,860        12,574   

Specialty Retail — 0.0%

      

Things Remembered, Inc.

             932,803        9   
Total Common Stocks - 0.2%                      1,160,026   
      
                          
Asset-Backed Securities (b)(c)          

Par  

(000)

        

Asset-Backed Securities — 2.6%

  

 

ALM Loan Funding:

      

Series 2012-5A, Class BR,
3.88%, 10/18/27

     USD        250        251,447   

Series 2013-7RA, Class C,
4.33%, 4/24/24

       825        825,013   

Series 2013-7RA, Class D,
5.88%, 4/24/24

       900        900,027   

ALM XIV Ltd., Series 2014-14A,
Class C, 4.34%, 7/28/26

       463        453,525   

ALM XVII Ltd., Series 2015-17A,
Class C1, 5.03%, 1/15/28

       500        490,000   

AMMC CLO Ltd., Series 2014-15A, Class D, 5.15%, 12/09/26 (

       250        245,000   

Ares CLO Ltd., Class C:

      

Series 2014-32A, 5.11%, 11/15/25

       1,000        1,000,382   

Series 2016-40A, 4.55%, 10/15/27

       250        245,368   

Atlas Senior Loan Fund Ltd.,
Series 2014-6A, Class D,
4.58%, 10/15/26

       860        831,891   

Atrium CDO Corp., Series 9A, Class D, 4.44%, 2/28/24

       1,350        1,333,923   

Atrium X, Series 10A, Class D,
4.38%, 7/16/25

       250        243,965   

Atrium XII, Series 12A, Class D,
4.78%, 10/22/26

       250        250,000   
Asset-Backed Securities (b)(c)            Par  
(000)
    Value  

Asset-Backed Securities (continued)

  

    

Benefit Street Partners CLO VIII, Ltd., Series 2015-8A:

       

Class B, 3.88%, 1/20/28

     USD         500      $ 502,869   

Class C, 4.78%, 1/20/28

        500        490,981   

BlueMountain CLO Ltd., Series 2013-1A, Class C, 4.31%, 5/15/25

        500        497,489   

Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 4.90%, 2/14/25

        250        249,969   

CIFC Funding Ltd.:

       

Series 2013-4A, Class D, 4.44%, 11/27/24

        250        242,184   

Series 2014-2A, Class A3L, 3.78%, 5/24/26

        280        280,281   

Series 2014-3A, Class C1, 3.68%, 7/22/26

        250        249,786   

LCM XVIII LP, Series 18A, Class INC, 14.67%, 4/20/27

        1,000        683,606   

Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 4.55%, 11/14/26

        500        486,096   

Seneca Park CLO Ltd., Series 2014-1A, Class C, 3.78%, 7/17/26

        250        251,269   

Sound Point CLO III Ltd., Series 2013-2A, Class D, 4.78%, 7/15/25

        250        247,483   

Treman Park CLO LLC, Series 2015-1A, Class D, 4.74%, 4/20/27

        1,400        1,380,443   

Voya CLO Ltd., Series 2014-4A, Class C, 4.88%, 10/14/26

        1,000        983,623   

Webster Park CLO Ltd., Series 2015-1A, Class C, 4.93%, 1/20/27

              500        502,019   
Total Asset-Backed Securities — 2.6%        14,118,639   
 
           
Corporate Bonds                       

Airlines — 0.7%

       

American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)

        1,111        1,112,096   

Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18

        148        148,773   
 

 

                
   BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.    NOVEMBER 30, 2016    1


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Corporate Bonds          Par  
(000)
    Value  

Airlines (continued)

  

US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18

    USD        2,605      $ 2,591,975   
     

 

 

 
                      3,852,844   

Banks — 0.0%

     

CIT Group, Inc., 5.00%, 8/01/23

            135        139,050   

Capital Markets — 0.2%

     

Blackstone CQP Holdco LP, 9.30%, 3/19/19

            1,035        1,042,605   

Chemicals — 0.3%

     

GEO Specialty Chemicals, Inc., 7.50%, 10/30/18 (d)

            1,681        1,743,789   

Communications Equipment — 0.1%

     

Avaya, Inc., 7.00%, 4/01/19 (b)

            365        318,006   

Containers & Packaging — 1.4%

     

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (b)(c):

     

3.96%, 12/15/19

      1,425        1,449,937   

4.16%, 5/15/21

      1,108        1,130,160   

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu,
4.38%, 7/15/21 (b)(c)

      5,360        5,473,900   
     

 

 

 
                      8,053,997   

Electric Utilities — 0.0%

  

Texas Competitive Electric Holdings Co. LLC/TECH Finance, Inc., 11.50%, 10/01/20 (a)(b)(e)

      1,061        21,220   
     

 

 

 
                      21.220   

Energy Equipment & Services — 0.1%

  

Transocean, Inc., 9.00%, 7/15/23 (b)

      325        329,063   

Weatherford International Ltd., 9.88%, 2/15/24 (b)

      325        334,750   
     

 

 

 
                      663,813   

Health Care Providers & Services — 0.2%

  

CHS/Community Health Systems, Inc., 5.13%, 8/15/18

      850        828,750   
Corporate Bonds          Par  
(000)
    Value  

Health Care Providers & Services (continued)

     

RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23 (b)

    USD        70      $ 69,738   
     

 

 

 
                      898,488   

Hotels, Restaurants & Leisure — 0.0%

     

Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/16 (a)(e)

            120          

Independent Power and Renewable Electricity Producers — 0.3%

  

 

NRG Energy, Inc., 6.25%, 7/15/22

            1,505        1,508,763   

IT Services — 0.0%

     

Millennium Corp., 12/31/49

            3,115          

Media — 1.1%

     

Altice Financing SA (b):

     

6.63%, 2/15/23

      550        558,250   

7.50%, 5/15/26

      835        846,481   

Clear Channel Worldwide Holdings, Inc.,
6.50%, 11/15/22

      1,671        1,687,710   

SFR Group SA (b):

     

6.00%, 5/15/22

      842        848,315   

6.25%, 5/15/24

      1,040        1,028,300   

7.38%, 5/01/26

      1,330        1,326,675   
     

 

 

 
                      6,295,731   

Metals & Mining — 0.7%

     

Freeport-McMoRan, Inc.:

     

2.38%, 3/15/18

      1,396        1,385,530   

3.10%, 3/15/20

      1,150        1,129,875   

Teck Resources Ltd.:

     

4.50%, 1/15/21

      839        854,731   

3.75%, 2/01/23

      595        565,250   
     

 

 

 
                      3,935,386   

Oil, Gas & Consumable Fuels — 1.2%

     

Cheniere Corpus Christi Holdings LLC,
7.00%, 6/30/24 (b)

      670        713,550   

Concho Resources, Inc., 5.50%, 4/01/23

      80        82,252   

CONSOL Energy, Inc., 5.88%, 4/15/22

      1,772        1,701,120   

CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (b)

      80        83,000   

Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21 (b)

      210        221,025   

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (b)

      995        1,034,800   
 

 

                
2    BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.    NOVEMBER 30, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Corporate Bonds         

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

  

Gulfport Energy Corp., 6.00%, 10/15/24 (b)

    USD        180      $ 183,150   

NGPL PipeCo LLC, 7.12%, 12/15/17 (b)

      381        395,288   

Oasis Petroleum, Inc., 6.88%, 3/15/22

      275        283,250   

RSP Permian, Inc., 6.63%, 10/01/22

      85        89,250   

Sabine Pass Liquefaction LLC, 5.63%, 4/15/23

      980        1,024,100   

Whiting Petroleum Corp., 5.75%, 3/15/21

      400        394,000   

WPX Energy, Inc., 6.00%, 1/15/22

      525        537,962   
     

 

 

 
                      6,742,747   

Road & Rail — 0.1%

     

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.68%, 12/01/17 (c)

            295        294,631   

Total Corporate Bonds - 6.4%

                    35,511,070   
     
                         
Floating Rate Loan Interests (c)  

Aerospace & Defense — 2.3%

     

BE Aerospace, Inc., 2014 Term Loan B,
3.85%, 12/16/21

      2,217        2,221,934   

Camp International Holding Co.:

     

2016 1st Lien Term Loan, 4.75%, 8/11/23

      1,035        1,034,358   

2016 2nd Lien Term Loan, 8.25%, 8/12/24

      315        321,180   

Engility Corp.:

     

Term Loan B1, 4.86%, 8/12/20

      355        358,106   

Term Loan B2, 5.75%, 8/12/23

      668        674,918   

TransDigm, Inc.:

     

2015 Term Loan E, 3.75%, 5/14/22

      867        869,721   

2016 Extended Term Loan F, 3.75%, 6/09/23

      6,367        6,379,219   

Term Loan D, 3.84%, 6/04/21

      1,140        1,142,444   
     

 

 

 
                      13,001,880   

Air Freight & Logistics — 0.9%

     

CEVA Group PLC, Synthetic LOC, 6.50%, 3/19/21

      797        634,410   

CEVA Intercompany BV, Dutch Term Loan,
6.50%, 3/19/21

      820        652,239   

CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21

      141        112,376   

CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21

      1,098        873,862   
Floating Rate Loan Interests (c)         

Par  

(000)

    Value  

Air Freight & Logistics (continued)

  

XPO Logistics, Inc., Term Loan B2, 4.25%, 10/30/21

    USD        2,593      $ 2,617,721   
     

 

 

 
                      4,890,608   

Airlines — 0.1%

     

Northwest Airlines, Inc., Term Loan:

     

3.08%, 3/10/17

      130        129,955   

2.46%, 9/10/18

      478        469,692   
     

 

 

 
                      599,647   

Auto Components — 1.8%

     

Anchor Glass Container Corp.:

     

2016 1st Lien Term Loan, 4.25%, 12/01/23

      530        532,322   

2016 2nd Lien Term Loan, 8.75%, 12/02/24

      395        399,938   

Autoparts Holdings Ltd.:

     

1st Lien Term Loan, 7.00%, 7/29/17

      2,541        2,510,522   

2nd Lien Term Loan, 11.00%, 1/29/18

      907        817,264   

FPC Holdings, Inc., 1st Lien Term Loan,
5.25%, 11/19/19

      1,157        1,067,414   

Gates Global, Inc., Term Loan B, 4.25%, 7/06/21

      3,961        3,937,526   

Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.86%, 4/30/19

      873        878,389   

GPX International Tire Corp., Term Loan (a)(e):

     

12.25%, 3/30/12

      1,097          

PIK, 13.00%, 3/30/12 (f)

      18          
     

 

 

 
                      10,143,375   

Automobiles — 0.6%

     

FCA US LLC, Term Loan B:

     

2018, 3.25%, 12/31/18

      475        475,499   

3.50%, 5/24/17

      2,706        2,707,941   
     

 

 

 
                      3,183,440   

Biotechnology — 0.1%

     

AMAG Pharmaceuticals, Inc., 2015 1st Lien Term Loan, 4.75%, 8/13/21

            803        798,736   

Building Materials — 1.0%

     

Forterra, Inc., Term Loan B, 6.00%, 10/18/23

      322        321,759   

USAGM HoldCo LLC:

     

2015 2nd Lien Term Loan, 9.50%, 7/28/23

      645        645,000   

2015 Term Loan, 4.75%, 7/28/22

      840        838,381   
 

 

                
   BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.    NOVEMBER 30, 2016    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 (continued):

     

2016 Incremental Term Loan, 5.50%, 7/28/22

    USD        3,636      $ 3,660,000   

Amendment Delayed Draw Term Loan,
5.14%, 7/28/22

      367        368,905   
     

 

 

 
                      5,834,045   

Building Products — 3.0%

     

Continental Building Products LLC, 1st Lien Term Loan, 3.59%, 8/10/23

      1,126        1,123,414   

CPG International, Inc., Term Loan, 4.75%, 9/30/20

      5,126        5,145,547   

GYP Holdings III Corp., 1st Lien Term Loan,
4.50%, 4/01/21

      1,556        1,555,840   

Jeld-Wen, Inc., Consolidated Term Loan B,
4.75%, 7/01/22

      2,310        2,328,294   

Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21

      928        933,308   

Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 4.00%, 11/02/23

      2,800        2,806,300   

Wilsonart LLC:

     

Incremental Term Loan B2, 4.00%, 10/31/19

      491        491,422   

Term Loan B, 4.00%, 10/31/19

      2,257        2,257,989   
     

 

 

 
                      16,642,114   

Capital Markets — 0.6%

     

Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18

      640        624,823   

RPI Finance Trust, Term Loan B5, 3.18%, 10/14/22

      2,739        2,761,893   
     

 

 

 
                      3,386,716   

Chemicals — 4.4%

     

Allnex (Luxembourg) & Cy SCA, 2016 Term Loan B2, 5.13%, 9/13/23

      422        425,028   

Allnex USA, Inc., Term Loan B3, 5.13%, 9/13/23

      318        320,212   

Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20

      1,859        1,865,375   

CeramTec Acquisition Corp., Term Loan B2,
4.25%, 8/30/20

      114        114,535   

Charter NEX US Holdings, Inc., Term Loan B,
5.25%, 2/07/22

      934        937,899   

Chemours Co., Term Loan B, 3.75%, 5/12/22

      1,240        1,223,940   

Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19

      303        279,837   

Huntsman International LLC, Term Loan B2,
3.75%, 11/03/23

      2,156        2,165,619   
Floating Rate Loan Interests (c)         

Par  

(000)

    Value  

Chemicals (continued)

     

Klockner-Pentaplast of America, Inc.:

     

1st Lien Term Loan, 4.25%, 4/28/20

    USD        1,141      $ 1,152,628   

German Borrower, 4.25%, 4/28/20

      488        492,576   

MacDermid, Inc.:

     

2016 Term Loan, 5.00%, 6/07/23

      1,713        1,727,244   

Term Loan B3, 5.50%, 6/07/20

      3,258        3,260,707   

OXEA Finance LLC, Term Loan B2, 4.25%, 1/15/20

      3,033        2,887,916   

PQ Corp., 2016 Term Loan, 5.25%, 11/04/22

      1,389        1,398,934   

Royal Holdings, Inc.:

     

2015 1st Lien Term Loan, 4.50%, 6/19/22

      1,121        1,126,416   

2015 2nd Lien Term Loan, 8.50%, 6/19/23

      465        459,769   

Solenis International LP:

     

1st Lien Term Loan, 4.25%, 7/31/21

      1,514        1,509,270   

2nd Lien Term Loan, 7.69%, 7/31/22

      1,725        1,675,406   

Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20

      460        459,177   

Versum Materials, Inc., Term Loan, 3.34%, 9/29/23

      955        961,370   
     

 

 

 
                      24,443,858   

Commercial Services & Supplies — 7.3%

     

ADMI Corp., 2015 Term Loan B, 5.25%, 4/30/22

      1,160        1,165,385   

Advanced Disposal Services, Inc., Term Loan B3, 3.50%, 11/10/23

      3,395        3,393,946   

Aramark Services, Inc.:

     

Term Loan E, 3.25%, 9/07/19

      1,776        1,789,165   

Term Loan F, 3.34%, 2/24/21

      848        854,233   

Asurion LLC, Term Loan B5, 4.75%, 11/03/23

      2,135        2,148,728   

Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20

      2,825        2,780,896   

Camelot UK Holdco Ltd., Term Loan B,
4.75%, 10/03/23

      2,140        2,143,745   

Casella Waste Systems, Inc., Term Loan B,
4.00%, 10/03/23

      940        940,000   

Catalent Pharma Solutions, Inc., Term Loan B,
4.25%, 5/20/21

      4,181        4,190,720   
 

 

 

                
4    BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.    NOVEMBER 30, 2016   


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)

  

Creative Artists Agency LLC, Term Loan B,
5.00%, 12/17/21

    USD        943      $ 950,334   

Dealer Tire LLC, 2016 Term Loan B,
4.75%, 12/22/21

      1,003        1,012,596   

Employbridge LLC, Exit Term Loan, 7.50%, 5/16/20

      375        337,618   

GCA Services Group, Inc., 2016 Term Loan,
5.98%, 3/01/23

      1,891        1,907,042   

KAR Auction Services, Inc.:

     

Term Loan B2, 4.06%, 3/11/21

      1,321        1,327,770   

Term Loan B3, 4.38%, 3/09/23

      1,761        1,781,509   

Livingston International, Inc., 1st Lien Term Loan, 5.50%, 4/18/19

      1,316        1,253,300   

Prime Security Services Borrower LLC:

     

1st Lien Term Loan, 4.75%, 7/01/21

      189        189,732   

2016 Incremental Term Loan B1,
4.75%, 5/02/22

      1,198        1,206,634   

PSSI Holdings LLC, Term Loan B, 4.75%, 12/02/21

      1,621        1,626,199   

Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19

      3,617        3,577,264   

TruGreen Limited Partnership, 1st Lien Term Loan B, 6.50%, 4/13/23

      1,012        1,020,056   

US Ecology, Inc., Term Loan, 3.75%, 6/17/21

      650        651,480   

US Security Associates Holdings, Inc., 2016 Term Loan, 6.00%, 7/14/23

      2,126        2,126,295   

Waste Industries USA, Inc., 2016 Term Loan, 3.50%, 2/27/20

      2,100        2,104,417   
     

 

 

 
                      40,479,064   

Communications Equipment — 1.8%

  

Applied Systems, Inc.:

     

1st Lien Term Loan, 4.00%, 1/25/21

      912        915,065   

2nd Lien Term Loan, 7.50%, 1/24/22

      376        379,254   

CommScope, Inc., Term Loan B5, 3.25%, 12/29/22

      906        913,776   

Riverbed Technology, Inc., 2016 Term Loan,
5.00%, 4/24/22

      1,963        1,978,529   

Zayo Group LLC, Term Loan B, 3.75%, 5/06/21

      5,660        5,676,219   
     

 

 

 
                      9,862,843   
Floating Rate Loan Interests (c)         

Par  

(000)

    Value  

Construction & Engineering — 0.9%

     

AECOM Technology Corp., 2014 Term Loan B, 3.75%, 10/15/21

    USD        144      $ 144,191   

CNT Holdings III Corp., Term Loan B,
5.25%, 1/22/23

      1,328        1,338,846   

Safway Group Holding LLC, Term Loan B,
5.75%, 8/19/23

      3,395        3,411,975   
     

 

 

 
                      4,895,012   

Construction Materials — 0.8%

     

Filtration Group Corp., 1st Lien Term Loan,
4.25%, 11/21/20

      3,551        3,555,471   

Headwaters, Inc., 2016 Term Loan B,
4.00%, 3/24/22

      726        728,992   

McJunkin Red Man Corp., Term Loan,
5.00%, 11/08/19

      352        352,021   
     

 

 

 
                      4,636,484   

Containers & Packaging — 2.1%

     

Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/21

      1,813        1,830,116   

Berlin Packaging LLC, 2014 1st Lien Term Loan, 4.50%, 10/01/21

      315        316,518   

Berry Plastics Holding Corp., Term Loan H,
3.75%, 10/01/22

      5,216        5,246,036   

BWAY Holding Co., Inc., Term Loan B,
5.50%, 8/14/20

      3,780        3,782,174   

Prolampac Intermediate, Inc., 2016 1st Lien Term Loan, 5.00%, 11/18/23

      380        382,215   
     

 

 

 
                      11,557,059   

Distributors — 0.6%

     

American Builders & Contractors Supply Co., Term Loan B, 3.50%, 10/31/23

      2,681        2,690,800   

American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21

      937        921,071   
     

 

 

 
                      3,611,871   

Diversified Consumer Services — 3.4%

     

Bright Horizons Family Solutions, Inc., 2016 Term Loan B, 3.50%, 11/30/23

      2,955        2,960,772   

CT Technologies Intermediate Holdings, Inc., 1st Lien Term Loan, 5.25%, 12/01/21

      1,187        1,136,647   

J.D. Power and Associates, 1st Lien Term Loan, 5.25%, 9/07/23

      1,260        1,272,600   

Laureate Education, Inc., Term Loan B,
8.87%, 3/17/21

      187        184,724   
 

 

                
   BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.    NOVEMBER 30, 2016    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 Holdings LLC:

     

1st Lien Term Loan, 4.50%, 11/08/23

    USD        4,750      $ 4,735,180   

2nd Lien Term Loan, 9.00%, 10/21/24

      1,065        1,059,675   

ServiceMaster Co., 2016 Term Loan B,
3.11%, 11/03/23

      5,540        5,527,313   

Wand Intermediate I LP, 1st Lien Term Loan,
4.75%, 9/17/21

      1,389        1,403,261   

Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20

      804        612,984   
     

 

 

 
                      18,893,156   

Diversified Financial Services — 1.3%

  

AlixPartners LLP, 2016 Term Loan B,
4.00%, 7/28/22

      1,901        1,906,236   

Diamond US Holding LLC, Term Loan B,
4.75%, 12/17/21

      958        956,740   

Jefferies Finance LLC, Term Loan, 4.50%, 5/14/20

      2,740        2,719,760   

SAM Finance Luxembourg Sarl, Term Loan,
4.25%, 12/17/20

      1,674        1,679,043   
     

 

 

 
                      7,261,779   

Diversified Telecommunication Services — 4.5%

  

Consolidated Communications, Inc., 2016 Term Loan B, 4.00%, 10/04/23

      675        679,502   

Hawaiian Telcom Communications, Inc., Term Loan B, 5.25%, 6/06/19

      2,655        2,668,484   

Integra Telecom, Inc.:

     

2015 1st Lien Term Loan, 5.25%, 8/14/20

      2,250        2,251,355   

2nd Lien Term Loan, 9.75%, 2/12/21

      750        720,714   

Level 3 Financing, Inc.:

     

2013 Term Loan B, 4.00%, 1/15/20

      10,260        10,336,950   

2019 Term Loan, 4.00%, 8/01/19

      3,105        3,136,000   

Telenet International Finance Sarl, Term Loan AF, 3.25%, 1/31/25

      4,035        4,026,930   

Telesat Canada, Term Loan B, 4.88%, 11/17/23

      1,147        1,147,952   
     

 

 

 
                      24,967,887   

Electric Utilities — 2.0%

  

Energy Future Intermediate Holding Co. LLC, 2016 DIP Term Loan, 4.25%, 6/30/17

      6,096        6,125,418   
Floating Rate Loan Interests (c)         

Par  

(000)

    Value  

Electric Utilities (continued)

  

PrimeLine Utility Services LLC, Term Loan,
6.50%, 11/12/22

    USD        1,373      $ 1,368,823   

TEX Operations Co. LLC:

     

Exit Term Loan B, 5.00%, 8/04/23

      2,723        2,748,288   

Exit Term Loan C, 5.00%, 8/04/23

      621        627,011   

Texas Competitive Electric Holding, Term Loan 5.03%, 11/10/17

      1,710        34,200   
     

 

 

 
                      10,903,740   

Electronic Equipment, Instruments & Components — 0.1%

  

CPI Acquisition, Inc., Term Loan B, 5.50%, 8/17/22

            650        590,165   

Energy Equipment & Services — 0.4%

  

Exgen Texas Power LLC, Term Loan B,
5.75%, 9/16/21

      859        651,843   

Weatherford International Ltd., Term Loan,
2.91%, 7/13/20

      1,883        1,784,298   
     

 

 

 
                      2,436,141   

Food & Staples Retailing — 3.3%

  

Albertsons LLC:

     

2016 Term Loan B4, 4.50%, 8/25/21

      4,503        4,506,168   

2016 Term Loan B5, 4.75%, 12/21/22

      370        370,529   

Genoa, a QoL Healthcare Co. LLC, 2016 1st Lien Term Loan, 4.75%, 10/28/23

      625        622,656   

Hostess Brands LLC, 2016 1st Lien Term Loan, 4.00%, 8/03/22

      2,768        2,784,017   

Rite Aid Corp.:

     

5.75%, 8/21/20

      1,247        1,250,424   

4.88%, 6/21/21

      2,373        2,385,345   

US Foods, Inc., 2016 Term Loan B, 4.00%, 6/27/23

      6,559        6,593,717   
     

 

 

 
                      18,512,856   

Food Products — 2.7%

     

Blue Ribbon LLC, Term Loan, 5.00%, 11/13/21

      1,758        1,704,107   

Chobani LLC, 1st Lien Term Loan, 5.25%, 10/07/23

      1,565        1,581,636   

CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20

      1,061        1,029,554   

Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18

      2,626        2,631,012   

Pinnacle Foods Finance LLC, Term Loan G,
3.39%, 4/29/20

      2,638        2,648,192   

Reddy Ice Corp.:

     

1st Lien Term Loan, 6.75%, 5/01/19

      1,595        1,504,578   
 

 

                
6    BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.    NOVEMBER 30, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Floating Rate Loan Interests (c)         

Par  

(000)

    Value  

Food Products (continued)

  

Reddy Ice Corp. (continued):

     

2nd Lien Term Loan, 10.75%, 11/01/19

    USD        532      $ 439,788   

Reynolds Group Holdings, Inc., 2016 Term Loan, 4.25%, 2/05/23

      3,246        3,261,724   
     

 

 

 
                      14,800,591   

Health Care Equipment & Supplies — 3.8%

     

Alere, Inc.:

     

2015 Term Loan A, 3.61%, 6/18/20

      465        459,784   

2015 Term Loan B, 3.61%, 6/18/22

      1,900        1,882,322   

Auris Luxembourg III Sarl, Term Loan B4,
4.25%, 1/15/22

      2,451        2,462,268   

Capsugel Holdings US, Inc., Term Loan B,
4.00%, 7/31/21

      3,845        3,849,875   

Cotiviti Corp., Term Loan B, 3.61%, 9/28/23

      2,611        2,608,502   

DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20

      2,245        2,150,021   

Immucor, Inc., Refinancing Term Loan B2,
5.00%, 8/17/18

      2,278        2,214,254   

National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21

      3,124        3,098,031   

Ortho-Clinical Diagnostics, Inc., Term Loan B,
4.75%, 6/30/21

      2,255        2,206,314   
     

 

 

 
                      20,931,371   

Health Care Providers & Services — 11.3%

     

Acadia Healthcare Co., Inc.:

     

Term Loan B, 3.75%, 2/11/22

      461        460,074   

Term Loan B2, 3.75%, 2/16/23

      2,144        2,149,159   

Amsurg Corp., 1st Lien Term Loan B,
5.25%, 7/16/21

      3,028        3,027,713   

CHG Healthcare Services, Inc., 2016 Term Loan B, 4.75%, 6/07/23

      3,408        3,423,210   

Community Health Systems, Inc.:

     

Term Loan F, 4.19%, 12/31/18

      2,029        1,963,599   

Term Loan G, 3.75%, 12/31/19

      1,948        1,839,360   

Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, 6.50%, 2/07/22

      1,576        1,578,459   

DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21

      7,446        7,465,029   

Envision Healthcare Corp.:

     

Term Loan B, 3.75%, 11/09/23

      7,620        7,629,525   

Initial Term Loan 5.75%, 5/25/18

      2,865        2,861,157   

Term Loan B2, 6.00%, 10/28/22

      883        883,599   
Floating Rate Loan Interests (c)         

Par  

(000)

    Value  

Health Care Providers & Services (continued)

  

HC Group Holdings III, Inc., Term Loan B,
6.00%, 4/07/22

    USD        1,437      $ 1,415,932   

HCA, Inc., Term Loan B6, 3.86%, 3/17/23

      5,198        5,238,932   

inVentiv Health, Inc., 2016 Term Loan B,
4.75%, 9/28/23

      4,105        4,114,437   

MPH Acquisition Holdings LLC, 2016 Term Loan B, 5.00%, 6/07/23

      2,622        2,650,577   

National Mentor Holdings, Inc., Term Loan B,
4.25%, 1/31/21

      487        485,200   

NVA Holdings, Inc.:

     

1st Lien Term Loan, 4.75%, 8/14/21

      508        509,317   

2016 Term Loan, 5.50%, 8/14/21

      910        912,767   

Precyse Acquisition Corp., 2016 1st Lien Term Loan, 6.50%, 10/20/22

      1,646        1,657,199   

Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22

      3,079        3,067,354   

Surgery Center Holdings, Inc., 1st Lien Term Loan, 4.75%, 11/03/20

      1,839        1,834,523   

Surgical Care Affiliates, Inc., Incremental Term
Loan B, 3.75%, 3/17/22

      2,517        2,521,835   

Team Health, Inc., 2016 Term Loan, 3.84%, 11/23/22

      1,817        1,814,428   

U.S. Renal Care, Inc., 2015 Term Loan B,
5.25%, 12/31/22

      1,669        1,562,481   

Vizient, Inc., 2016 Term Loan B, 5.00%, 2/13/23

      1,817        1,832,794   
     

 

 

 
                      62,898,660   

Health Care Technology — 0.9%

  

IMS Health, Inc., 2016 Term Loan B, 3.50%, 3/17/21

      3,286        3,305,274   

Press Ganey Holdings, Inc.:

     

1st Lien Term Loan, 4.25%, 10/21/23

      1,365        1,365,000   

2nd Lien Term Loan, 8.25%, 10/21/24

      495        501,187   
     

 

 

 
                      5,171,461   

Hotels, Restaurants & Leisure — 7.7%

  

Amaya Holdings BV:

     

1st Lien Term Loan, 5.00%, 8/01/21

      2,751        2,748,400   

2nd Lien Term Loan, 8.00%, 8/01/22

      1,036        1,028,022   
 

 

                
   BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.    NOVEMBER 30, 2016    7


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Floating Rate Loan Interests (c)         

Par  

(000)

    Value  

Hotels, Restaurants & Leisure (continued)

  

AMF Bowling Centers, Inc., 2016 Term Loan, 6.00%, 8/17/23

    USD        1,167      $ 1,159,706   

Boyd Gaming Corp.:

     

Term Loan B, 4.00%, 8/14/20

      755        758,982   

Term Loan B2, 3.53%, 9/15/23

      1,755        1,764,056   

Bronco Midstream Funding LLC, Term Loan B,
5.00%, 8/15/20

      2,402        2,353,807   

Burger King Newco Unlimited Liability Co., Term Loan B2, 3.75%, 12/10/21

      4,699        4,729,402   

Caesars Entertainment Operating Co., Inc., Term Loan B7, 7.83%, 3/01/17

      2,435        2,811,670   

Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20

      7,590        7,632,568   

CCM Merger, Inc., Term Loan B, 4.00%, 8/08/21

      1,392        1,398,729   

Eldorado Resorts LLC, Term Loan B, 4.25%, 7/23/22

      2,073        2,083,535   

ESH Hospitality, Inc., 2016 Term Loan B,
3.75%, 8/30/23

      3,245        3,265,800   

Four Seasons Holdings Inc., Term Loan B,
4.16%, 11/21/23

      225        226,829   

Hilton Worldwide Finance LLC:

     

Term Loan B1, 3.50%, 10/26/20

      230        231,184   

Term Loan B2, 3.08%, 10/25/23

      1,640        1,650,848   

La Quinta Intermediate Holdings LLC, Term Loan B, 3.75%, 4/14/21

      829        824,557   

RHP Hotel Properties LP, Term Loan B,
3.59%, 1/15/21

      1,256        1,263,549   

Sabre, Inc.:

     

Incremental Term Loan, 4.50%, 2/19/19

      411        412,331   

Term Loan B, 4.00%, 2/19/19

      2,173        2,187,584   

Scientific Games International, Inc.:

     

2014 Term Loan B1, 6.00%, 10/18/20

      1,147        1,158,460   

2014 Term Loan B2, 6.00%, 10/01/21

      803        810,232   

Station Casinos LLC, 2016 Term Loan B,
3.75%, 6/08/23

      815        821,502   

Yum! Brands, Inc., 1st Lien Term Loan B,
3.30%, 6/16/23

      1,451        1,464,584   
     

 

 

 
                      42,786,337   

Household Products — 0.7%

  

Bass Pro Group LLC, 2015 Term Loan,
4.00%, 6/05/20

      777        776,110   
Floating Rate Loan Interests (c)         

Par  

(000)

    Value  

Household Products (continued)

  

Spectrum Brands, Inc., 2016 Term Loan, 3.25%, 6/23/22

    USD        3,271      $ 3,301,821   
     

 

 

 
                      4,077,931   

Independent Power and Renewable Electricity Producers — 2.9%

  

Aria Energy Operating LLC, Term Loan,
5.50%, 5/27/22

      1,242        1,198,788   

Calpine Construction Finance Co., LP, Term Loan B1, 3.09%, 5/03/20

      1,052        1,038,630   

Calpine Corp.:

     

Term Loan B5, 3.59%, 5/27/22

      513        514,172   

Term Loan B6, 4.00%, 1/15/23

      2,134        2,146,059   

Term Loan B7, 3.84%, 5/31/23

      772        776,463   

Dynegy, Inc., Escrow, 5.00%, 6/27/23

      4,304        4,322,328   

Granite Acquisition, Inc.:

     

Term Loan B, 5.00%, 12/19/21

      3,312        3,280,060   

Term Loan C, 5.00%, 12/19/21

      148        146,893   

NRG Energy, Inc., 2016 Term Loan B, 3.50%, 6/30/23

      1,706        1,709,563   

Terra-Gen Finance Co. LLC, Term Loan B,
5.25%, 12/09/21

      1,101        968,472   
     

 

 

 
                      16,101,428   

Industrial Conglomerates — 0.6%

  

Sequa Corp., Term Loan B, 5.25%, 6/19/17

      510        473,613   

Vertiv Co., Term Loan B, 6.00%, 9/29/23

      3,015        2,982,981   
     

 

 

 
                      3,456,594   

Insurance — 2.5%

  

Alliant Holdings I, Inc., Incremental Term Loan B2, 5.25%, 8/12/22

      1,676        1,682,503   

AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20

      610        613,517   

AssuredPartners, Inc., 2016 Term Loan B,
5.75%, 10/21/22

      2,214        2,221,564   

Asurion LLC:

     

Term Loan B1, 5.00%, 5/24/19

      572        574,209   

Term Loan B4, 5.00%, 8/04/22

      2,046        2,058,155   

Hub International Ltd., Term Loan B, 4.25%, 10/02/20

      760        760,842   
 

 

                
8    BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.    NOVEMBER 30, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Floating Rate Loan Interests (c)         

Par  

(000)

    Value  

Insurance (continued)

  

Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 10.00%, 8/31/21 (f)

    USD        1,160      $ 1,169,431   

Sedgwick Claims Management Services, Inc.:

     

1st Lien Term Loan, 3.75%, 3/01/21

      1,979        1,966,266   

2016 1st Lien Term Loan, 4.25%, 3/01/21

      903        909,508   

2nd Lien Term Loan, 6.75%, 2/28/22

      1,805        1,791,462   
     

 

 

 
                      13,747,457   

Internet & Direct Marketing Retail — 0.6%

     

Harbor Freight Tools USA, Inc., 2016 Term Loan B, 4.14%, 8/19/23

            3,054        3,078,166   

Internet Software & Services — 1.4%

     

Go Daddy Operating Co. LLC, Term Loan B,
4.25%, 5/13/21

      2,493        2,508,204   

Rackspace Hosting, Inc., 1st Lien Term Loan, 5.00%, 11/03/23

      4,000        4,033,000   

WaveDivision Holdings LLC, Term Loan B, 4.00%, 10/15/19

   

    1,454        1,457,091   
     

 

 

 
                      7,998,295   

IT Services — 4.4%

     

Abacus Innovations Corp., Term Loan B,
3.36%, 8/16/23

      4,072        4,098,468   

Cision US Inc., Term Loan B, 7.00%, 6/16/23

      1,227        1,184,756   

First Data Corp., 2016 Term Loan, 3.58%, 3/24/21

      12,358        12,406,661   

Global Payments Inc., Reprice Term Loan B,
3.03%, 4/22/23

      1,651        1,662,989   

Vantiv LLC, 2014 Term Loan B, 3.25%, 10/14/23

  

    1,107        1,112,050   

WEX, Inc., Term Loan B, 4.25%, 7/01/23

  

    3,771        3,804,900   
     

 

 

 
                      24,269,824   

Leisure Products — 0.2%

     

Bauer Performance Sports Ltd., Term Loan B, 5.00%, 4/15/21

            1,085        1,074,678   

Machinery — 2.2%

     

Faenza Acquisition GmbH:

     

Term Loan B1, 4.25%, 8/30/20

      1,007        1,011,059   

Term Loan B3, 4.25%, 8/30/20

      305        305,964   

Global Brass & Copper, Inc., 2016 Term Loan B,
5.25%, 7/18/23

      1,130        1,141,300   
Floating Rate Loan Interests (c)         

Par  

(000)

    Value  

Machinery (continued)

     

Infiltrator Systems, Inc., 2016 Term Loan B,
4.50%, 5/27/22

    USD        1,499      $ 1,498,203   

Mueller Water Products, Inc., Term Loan B,
4.00%, 11/26/21

      786        790,913   

Navistar International Corp., Term Loan B,
6.50%, 8/07/20

      954        960,448   

Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20

      2,425        2,432,072   

Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19

  

    3,586        3,202,082   

Wabash National Corp., 2015 Term Loan B, 4.25%, 3/16/22

   

    915        914,781   
     

 

 

 
                      12,256,822   

Media — 12.6%

     

Altice US Finance I Corp., 2016 Term Loan B,
3.88%, 1/15/25

      4,979        5,000,648   

AMC Entertainment, Inc., Term Loan B,
3.64%, 12/15/23

      720        723,600   

CBS Radio, Inc., Term Loan B, 4.50%, 10/17/23

      1,053        1,057,915   

Cengage Learning Acquisitions, Inc., 2016 Term
Loan B, 5.25%, 6/07/23

      210        201,794   

Charter Communications Operating LLC, 2016 Term Loan I, 3.50%, 1/24/23

      8,318        8,393,248   

CSC Holdings LLC, 2016 Term Loan, 3.88%, 10/11/24

      3,500        3,521,875   

Entercom Radio LLC, 2016 Term Loan,
4.50%, 11/01/23

      550        553,608   

Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20

      1,586        1,582,430   

Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21

      2,211        2,069,036   

iHeartCommunications, Inc.:

     

Extended Term Loan E, 8.11%, 7/30/19

      515        398,224   

Term Loan D, 7.36%, 1/30/19

      5,966        4,617,935   

Intelsat Jackson Holdings SA, Term Loan B2,
3.75%, 6/30/19

      3,795        3,655,409   

Learfield Communications, Inc., 2016 1st Lien Term Loan, 4.25%, 11/17/23

      1,829        1,840,836   

Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22

      1,215        1,195,256   

Live Nation Entertainment, Inc., Term Loan B,
3.34%, 10/26/23

      485        486,334   

MCC Iowa LLC, Term Loan J, 3.75%, 6/30/21

      513        515,112   
 

 

                
   BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.    NOVEMBER 30, 2016    9


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Floating Rate Loan Interests (c)          Par  
(000)
    Value  

Media (continued)

     

Mediacom Communications Corp., Term Loan F,
2.96%, 3/31/18

    USD        1,092      $ 1,091,661   

MGOC, Inc., Term Loan B, 4.00%, 7/31/20

      1,946        1,945,300   

Mission Broadcasting, Inc., 2016 Term Loan B2,
3.00%, 9/26/23

      401        403,024   

Nexstar Broadcasting, Inc., 2016 Term Loan B,
3.85%, 9/21/23

      4,504        4,522,822   

Numericable U.S. LLC:

     

Term Loan B10, 4.04%, 1/13/25

      2,148        2,141,465   

Term Loan B7, 5.14%, 1/15/24

      1,224        1,234,253   

SBA Senior Finance II LLC, Term Loan B1, 3.34%, 3/24/21

      4,438        4,441,287   

Sinclair Television Group, Inc., Term Loan B,
3.00%, 4/09/20

      197        196,261   

Trader Corp., Term Loan, 5.00%, 9/28/23

      1,565        1,574,124   

Tribune Media Co., Term Loan, 3.75%, 12/27/20

      3,918        3,927,593   

Univision Communications, Inc., Term Loan C4,
4.00%, 3/01/20

      3,688        3,686,393   

UPC Financing Partnership, Term Loan AN,
4.08%, 8/31/24

      1,223        1,227,440   

Virgin Media Investment Holdings Ltd.:

     

Term Loan E, 4.25%, 6/30/23

    GBP        2,840        3,562,184   

Term Loan F, 3.50%, 6/30/23

    USD        2,299        2,311,602   

Ziggo Financing Partnership:

     

Term Loan B1, 3.50%, 1/15/22

      1,232        1,231,748   

Term Loan B2A, 3.50%, 1/15/22

      738        738,431   

Term Loan B3, 3.70%, 1/15/22

      229        229,120   
     

 

 

 
                      70,277,968   

Metals & Mining — 0.8%

     

Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22

      3,524        3,530,012   

WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, 6.50%, 9/30/23

      750        756,098   
     

 

 

 
                      4,286,110   

Multiline Retail — 1.7%

     

BJ’s Wholesale Club, Inc.:

     

1st Lien Term Loan, 4.50%, 9/26/19

      3,502        3,507,121   

2nd Lien Term Loan, 8.50%, 3/26/20

      866        864,990   
Floating Rate Loan Interests (c)          Par  
(000)
    Value  

Multiline Retail (continued)

     

Dollar Tree, Inc., Term Loan B3, 3.06%, 7/06/22

    USD        1,209      $ 1,218,545   

Hudson’s Bay Co., 2015 Term Loan B, 4.25%, 9/30/22

      2,208        2,219,875   

Neiman Marcus Group, Inc., 2020 Term Loan,
4.25%, 10/25/20

      1,841        1,670,406   
     

 

 

 
                      9,480,937   

Oil, Gas & Consumable Fuels — 5.1%

     

California Resources Corp.:

     

Second Out Term Loan, 11.38%, 12/31/21

      3,390        3,686,625   

Term Loan A, 3.61%, 10/01/19

      2,642        2,529,734   

Chesapeake Energy Corp., Term Loan, 8.50%, 8/23/21

      3,286        3,510,387   

CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18

      1,063        1,074,197   

Drillships Financing Holding, Inc., Term Loan B1,
6.00%, 3/31/21

      1,020        529,225   

Energy Transfer Equity LP, Term Loan:

     

2015, 4.14%, 12/02/19

      1,057        1,056,896   

3.39%, 12/02/19

      207        205,834   

EP Energy LLC, 2016 Term Loan, 9.75%, 6/30/21

      174        176,408   

EWT Holdings III Corp., 1st Lien Term Loan,
4.75%, 1/15/21

      588        589,098   

Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21

      895        877,100   

MEG Energy Corp., Refinancing Term Loan,
3.75%, 3/31/20

      4,145        3,894,997   

Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20

      986        963,479   

Power Buyer LLC, 1st Lien Term Loan, 4.25%, 5/06/20

      504        501,937   

PowerTeam Services LLC, 2nd Lien Term Loan,
8.25%, 11/06/20

      470        466,475   

Samchully Midstream 3 LLC, Term Loan B,
5.75%, 10/20/21

      1,432        1,357,234   

Seventy Seven Operating LLC, Term Loan B,
3.89%, 6/25/20

      262        236,908   

Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21

      53        41,096   

Southcross Holdings Borrower LP, Exit Term Loan B, 3.50%, 4/13/23

      91        68,046   

Stonewall Gas Gathering LLC, Term Loan B,
8.75%, 1/28/22

      505        513,700   

TPF II Power LLC, Term Loan B, 5.00%, 10/02/21

      1,965        1,963,524   
 

 

                
10    BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC   

NOVEMBER 30, 2016

  


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Floating Rate Loan Interests (c)          Par  
(000)
    Value  

Oil, Gas & Consumable Fuels (continued)

     

Ultra Resources, Inc., Revolver, 4.61%, 4/06/17 (a)(d)

    USD        1,222      $ 1,139,515   

Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22

      2,736        2,742,583   
     

 

 

 
                      28,124,998   

Personal Products — 0.9%

  

Prestige Brands, Inc., Term Loan B3, 3.50%, 9/03/21

      2,240        2,253,844   

Revlon Consumer Products Corp., 2016 Term Loan B, 4.25%, 9/07/23

      2,995        2,997,396   
     

 

 

 
                      5,251,240   

Pharmaceuticals — 5.5%

  

Akorn, Inc., Term Loan B, 5.25%, 4/16/21

      2,483        2,501,921   

CCC Information Services, Inc., Term Loan,
4.00%, 12/20/19

      895        894,284   

DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21

      6,071        6,071,092   

Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.75%, 9/26/22

      1,382        1,374,713   

Grifols Worldwide Operations USA, Inc., Term Loan B, 3.46%, 2/27/21

      4,187        4,218,464   

Jaguar Holding Co. II, 2015 Term Loan B,
4.25%, 8/18/22

      6,397        6,411,130   

NBTY, Inc., Term Loan B, 5.00%, 5/05/23

      1,752        1,753,151   

Valeant Pharmaceuticals International, Inc.:

     

Series A3 Tranche A, 4.36%, 10/20/18

      453        450,252   

Series C2 Term Loan B, 5.25%, 12/11/19

      3,964        3,922,489   

Series D2 Term Loan B, 5.00%, 2/13/19

      1,097        1,086,719   

Series E Term Loan B, 5.25%, 8/05/20

      1,405        1,387,436   

Series F1 Term Loan B, 5.50%, 4/01/22

      777        770,951   
     

 

 

 
                      30,842,602   

Professional Services — 2.6%

  

Acosta Holdco, Inc., 2015 Term Loan, 4.25%, 9/26/21

      696        658,439   

Advantage Sales & Marketing, Inc.:

     

2014 1st Lien Term Loan, 4.25%, 7/23/21

      1,102        1,093,707   
Floating Rate Loan Interests (c)          Par  
(000)
    Value  

Professional Services (continued)

     

Advantage Sales & Marketing, Inc. (continued):

     

2014 2nd Lien Term Loan, 7.50%, 7/25/22

    USD        338      $ 318,000   

Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18

      3,170        3,171,320   

Sterling Infosystems, Inc., 1st Lien Term Loan B, 5.75%, 6/20/22

      1,626        1,617,714   

TransUnion LLC, Term Loan B2, 3.50%, 4/09/21

      7,349        7,383,194   
     

 

 

 
                      14,242,374   

Real Estate Investment Trusts (REITs) — 1.4%

  

Communications Sales & Leasing, Inc., Term Loan B, 4.50%, 10/24/22

      2,376        2,389,945   

MGM Growth Properties LLC, 2016 Term Loan B, 3.50%, 4/25/23

      5,430        5,453,017   
     

 

 

 
                      7,842,962   

Real Estate Management & Development — 1.5%

  

CityCenter Holdings LLC, Term Loan B,
4.25%, 10/16/20

      2,154        2,169,667   

DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.25%, 11/04/21

      1,876        1,870,495   

Realogy Corp.:

     

2016 Term Loan B, 3.75%, 7/20/22

      3,136        3,158,463   

Term Loan A, 2.53%, 10/23/20

      1,101        1,098,639   
     

 

 

 
                      8,297,264   

Road & Rail — 0.4%

  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, 5.00%, 6/13/23

      1,245        1,252,395   

SIRVA Worldwide, Inc., 2016 Term Loan,
7.50%, 11/14/22

      821        802,528   
     

 

 

 
                      2,054,923   

Semiconductors & Semiconductor Equipment — 2.8%

  

Avago Technologies Cayman Ltd., Term Loan B3, 3.54%, 2/01/23

      8,735        8,815,038   

Cavium, Inc., Term Loan B, 3.75%, 8/16/22

      930        935,813   

Microsemi Corp., 2015 Term Loan B,
3.75%, 1/15/23

      452        455,020   

NXP BV, Term Loan F, 3.41%, 12/07/20

      4,439        4,450,594   
 

 

                
  

BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC

  

NOVEMBER 30, 2016

   11


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Floating Rate Loan Interests (c)         

Par  

(000)

    Value  

Semiconductors & Semiconductor Equipment (continued)

  

 

ON Semiconductor Corp., Incremental Term Loan, 3.78%, 3/31/23

    USD        1,050      $ 1,056,562   
     

 

 

 
                      15,713,027   

Software — 8.1%

  

BMC Software Finance, Inc., Term Loan,
5.00%, 9/10/20

      2,808        2,741,524   

DTI Holdco, Inc., 2016 Term Loan B, 6.25%, 9/21/23

      1,560        1,535,945   

Infor US, Inc., Term Loan B5, 3.75%, 6/03/20

      3,692        3,684,390   

Informatica Corp., Term Loan, 4.50%, 8/05/22

      4,082        3,990,860   

IQOR US, Inc., Term Loan B, 6.00%, 4/01/21

      739        694,439   

Kronos Incorporated:

     

1st Lien Term Loan, 5.00%, 11/01/23

      4,610        4,620,096   

2nd Lien Term Loan, 9.25%, 10/04/24

      1,695        1,735,527   

Landslide Holdings, Inc., 2016 1st Lien Term Loan, 5.50%, 9/27/22

      1,075        1,080,375   

Mitchell International, Inc.:

     

1st Lien Term Loan, 4.50%, 10/13/20

      2,116        2,110,164   

2nd Lien Term Loan, 8.50%, 10/11/21

      1,600        1,576,000   

RP Crown Parent LLC, 2016 Term Loan B,
4.50%, 10/12/23

      2,216        2,227,099   

SolarWinds, Inc., 2016 Term Loan, 5.50%, 2/05/23

      3,237        3,257,701   

Solera LLC, Term Loan B, 5.75%, 3/03/23

      995        1,005,577   

Sophia LP, 2015 Term Loan B, 4.75%, 9/30/22

      2,488        2,491,090   

SS&C Technologies, Inc.:

     

2015 Term Loan B1, 4.00%, 7/08/22

      4,776        4,809,084   

2015 Term Loan B2, 4.00%, 7/08/22

      552        555,544   

Tibco Software Inc., Term Loan B, 6.50%, 12/04/20

      1,916        1,910,376   

Vertafore, Inc., 2016 1st Lien Term Loan,
4.75%, 6/30/23

      4,800        4,812,000   
     

 

 

 
                      44,837,791   

Specialty Retail — 2.7%

  

Academy Ltd., 2015 Term Loan B, 5.00%, 7/01/22

      1,140        1,049,141   
Floating Rate Loan Interests (c)         

Par  

(000)

    Value  

Specialty Retail (continued)

     

Bass Pro Group LLC:

     

Asset Sale Term Loan, 5.66%, 5/04/18

    USD        665      $ 663,756   

Term Loan B, 5.00%, 11/04/23

      820        813,407   

Leslie’s Poolmart, Inc., 2016 Term Loan,
5.25%, 8/16/23

      1,215        1,224,113   

Michaels Stores, Inc., 2016 Term Loan B1,
3.75%, 1/27/23

      4,541        4,572,487   

Outerwall ,Inc., 1st Lien Term Loan, 5.25%, 9/27/23

      805        813,300   

Party City Holdings, Inc., 2016 Term Loan,
3.75%, 8/19/22

      2,870        2,883,165   

Petco Animal Supplies, Inc.:

     

2016 Term Loan B1, 5.00%, 1/26/23

      829        834,439   

2016 Term Loan B2, 5.14%, 1/26/23

      1,613        1,622,635   

Things Remembered, Inc., 2016 Term Loan,
1.00%, 2/29/20

      959        412,488   
     

 

 

 
                      14,888,931   

Technology Hardware, Storage & Peripherals — 0.6%

  

Dell Inc., 2016 Term Loan B, 4.00%, 9/07/23

      2,590        2,613,647   

Linxens France SA, Term Loan, 5.00%, 10/14/22

      789        788,051   
     

 

 

 
                      3,401,698   

Textiles, Apparel & Luxury Goods — 0.6%

  

Ascend Performance Materials LLC, Term Loan B, 6.50%, 8/12/22

      2,428        2,417,472   

J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21

      340        217,933   

Samsonite International SA, Term Loan B,
4.00%, 8/01/23

      495        500,103   
     

 

 

 
                      3,135,508   

Thrifts & Mortgage Finance — 0.5%

  

IG Investment Holdings LLC, Term Loan B,
6.00%, 10/29/21

            2,749        2,764,548   

Trading Companies & Distributors — 1.1%

  

Beacon Roofing Supply, Inc., Term Loan B,
3.50%, 10/01/22

      1,387        1,391,519   

HD Supply, Inc.:

     

Incremental Term Loan B1, 3.59%, 8/13/21

      3,719        3,727,863   

Incremental Term Loan B2,
3.63%, 10/17/23

      1,035        1,040,175   
 

 

                
12    BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC   

NOVEMBER 30, 2016

  


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

Floating Rate Loan Interests (c)          

    
Par  

(000)

    Value  

Trading Companies & Distributors (continued)

  

 

Nexeo Solutions LLC, 2016 Term Loan,
5.25%, 6/09/23

     USD        249      $ 251,038   
      

 

 

 
                       6,410,595   

Transportation — 0.2%

      

Gruden Acquisition, Inc., 1st Lien Term Loan, 5.75%, 8/18/22

             1,260        1,178,544   

Wireless Telecommunication Services — 2.8%

  

 

Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 6/15/20 (f)

       7,653        7,117,183   

LTS Buyer LLC, 1st Lien Term Loan,
4.09%, 4/13/20

       5,422        5,428,747   

T-Mobile USA, Inc., Term Loan B,
3.50%, 11/09/22

       2,776        2,801,505   
      

 

 

 
                       15,347,435   
Total Floating Rate Loan Interests — 137.2%                762,561,546   
      
                          
Non-Agency Mortgage-Backed Securities                      

Collateralized Mortgage Obligations — 0.2%

  

 

Hilton USA Trust, Series 2013-HLT, Class EFX, 4.45%, 11/05/30 (b)(c)

             991        990,631   
      
                          
Investment Companies           Shares         

Capital Markets — 0.0%

      

Eaton Vance Floating-Rate Income Trust

       54        794   

Eaton Vance Senior Income Trust

             13,945        90,642   
Total Investment Companies — 0.0%        91,436   
 
           
Other Interests (g)          

Beneficial
Interest

(000)

        

Auto Components — 0.0%

      

Intermet Liquidating Trust, Class A

     USD        256,351        2   
Other Interests (g)          

Beneficial

Interest

(000)

    Value  

Household Durables — 0.5%

      

Stanley Martin, Class B Membership Units (h)

     USD        1,250      $ 2,509,838   
Total Other Interests — 0.5%                      2,509,840   
      
                          
Preferred Securities           Shares         
Trust Preferred — 0.3%                         

Diversified Financial Services — 0.3%

      

GMAC Capital Trust I, Series 2
6.60%, 2/15/40 (c)

             60,894        1,527,146   
Total Preferred Securities — 0.3%                      1,527,146   
      
                          
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)

             2,406        2,943   
Total Long-Term Investments
(Cost — $820,787,060) — 147.3%
                     818,473,277   
Options Purchased
(Cost – $43,022) – 0.0%
                       

Total Investments
(Cost — $820,830,082
*) — 147.3%

   

    818,473,277   

Liabilities in Excess of Other Assets — (47.3)%

  

      (262,683,466
      

 

 

 

Net Assets — 100.0%

       $ 555,789,811   
      

 

 

 

*  As of November 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

      

      

Tax cost

       $ 824,211,787   
      

 

 

 

Gross unrealized appreciation

       $ 8,575,083   

Gross unrealized depreciation

         (14,313,593
      

 

 

 

Net unrealized depreciation

       $ (5,738,510
      

 

 

 
 
Notes to Schedule of Investments      

 

(a)   Non-income producing security.

 

(b)   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.

 

(c)   Variable rate security. Rate as of period end.

 

(d)   Convertible Security.

 

                
  

BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC

  

NOVEMBER 30, 2016

   13


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
    

 

 

(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.

 

(h)   All or a portion of security is held by a wholly owned subsidiary.

During the period ended November 30, 2016, 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 November 30,
2016
    Value at
November
30, 2016
    Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

    1,859,207               (1,859,207 )1                      

BlackRock Liquidity Funds, T-Fund, Institutional Class

                                     $ 646   

iShares iBoxx $ High Yield Corporate Bond ETF

    27,839               (27,839                   33,812   

Total

  

         $ 34,458   
         

 

 

 

1   Represents net shares sold.

      

   

  Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry 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 industry sub-classifications for reporting ease.

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts  

Contracts

Short

  Issue   Expiration   Notional
Value
  Unrealized
Appreciation
 
(16)   10-Year U.S. Treasury Note   March 2017   USD1,992,250   $ 6,635   

Forward Foreign Currency Exchange Contracts

Currency
Purchased
       Currency
Sold
     Counterparty   Settlement
Date
       Unrealized
Appreciation
(Depreciation)
 
CAD     969,000           USD           718,021       Royal Bank of Scotland PLC     12/05/16         $ 3,352   
USD     723,161           CAD           969,000       BNP Paribas S.A.     12/05/16           1,788   
USD     3,384,874           GBP           2,783,000       Royal Bank of Scotland PLC     12/05/16           (97,346
USD     3,475,536           GBP           2,783,000       Royal Bank of Scotland PLC     1/05/17           (10,482
Total                       $ (102,688
                     

 

 

 

 

                
14    BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC   

NOVEMBER 30, 2016

  


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

OTC Options Purchased

 

Description   Put/
Call
    Counterparty     Expiration
Date
    Strike
Price
    Contracts     Value  

Marsico Parent Superholdco LLC

    Call        Goldman Sachs & Co.        12/14/19        USD        942.86        44          

Centrally Cleared Credit Default Swaps — Sell Protection

 

Index   Receive
Fixed
Rate
    Expiration
Date
    Credit
Rating1
    Notional
Amount
(000)2
    Unrealized
Appreciation
 

Markit CDX North America High Yield Index, Series 27, Version 1

    5.00     12/20/21        B+        USD        5,268      $ 45,485   

1   Using Standard &Poor’s rating of the issuer or the underlying securities of the index, as applicable.

      

   

2   The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

      

   

 

OTC Total Return Swaps  
Reference Entity  

Fixed Rate/

Floating Rate

  Counterparty   Effective
Date
    Expiration
Date
   

Notional
Amount
(000)

    Value     Premiums
Paid
(Received)
    Unrealized
Appreciation
 

iBoxx USD Liquid High Yield Index

  3-Month LIBOR Plus 0.00%1   JPMorgan Chase Bank N.A.     N/A        12/20/16        USD        570      $ 30,376             $ 30,376   

1  Fund pays the floating rate and receives the total return of the reference entity.

     

         

 

Portfolio Abbreviations

 

CLO

   Collateralized Loan Obligation
DIP    Debtor-In-Possession
DIP    Debtor-In-Possession
ETF    Exchange-Traded Fund
LOC    Letter of Credit
PIK    Payment-In-Kind
CAD    Canadian Dollar
GBP    British Pound

USD

   United States Dollar

 

                
   BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC   

NOVEMBER 30, 2016

   15


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

 

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 metholdologies 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 Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 Investments include equity or debt issued by privately-held companies. 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 methodologies 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 annual report.

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:

       

Asset-Backed Securities

         $ 12,128,751      $ 1,989,888      $ 14,118,639   

Common Stocks

  $ 663,774        24,222        472,030        1,160,026   

Corporate Bonds

           33,746,061        1,765,009        35,511,070   

Floating Rate Loan Interests

           712,747,307        49,814,239        762,561,546   

Investment Companies

    91,436                      91,436   

Non-Agency Mortgage-Backed Securities

           990,631               990,631   

Other Interests

                  2,509,840        2,509,840   

Preferred Securities

    1,527,146                      1,527,146   

Warrants

                  2,943        2,943   

Unfunded floating rate loan interests1

           5,857               5,857   
 

 

 

 

Total

  $ 2,282,356      $ 759,642,829      $ 56,553,949      $ 818,479,134   
 

 

 

 

 

 

                
16    BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC   

NOVEMBER 30, 2016

  


Consolidated Schedule of Investments (continued)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

 

     Level 1     Level 2     Level 3     Total  
Derivative Financial Instruments 2        

Assets:

       

Credit contracts

         $ 45,485             $ 45,485   

Foreign currency exchange contracts

           5,140               5,140   

Interest rate contracts

  $ 6,635        30,376               37,011   

Liabilities:

       

Foreign currency exchange contracts

           (107,828            (107,828
 

 

 

 

Total

  $ 6,635      $ (26,827          $ (20,192
 

 

 

 

1    Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

       

2    Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts 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, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1     Level 2     Level 3     Total  
Assets:  

Foreign currency at value

  $ 467,130                    $ 467,130   

Cash pledged:

       

Futures contracts

    24,000                      24,000   

Centrally cleared swaps

    294,000                      294,000   

Liabilities:

       

Bank borrowings payable

         $ (229,000,000            (229,000,000

Bank overdraft

           (113,186            (113,186
 

 

 

 

Total

  $ 785,130      $ (229,113,186          $ (228,328,056
 

 

 

 

 

During the period ended November 30, 2016, there were no transfers between Level 1 and Level 2.

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the 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:

 

     Common
Stocks
       Asset-
Backed
Securities
       Corporate
Bonds
       Floating
Rate Loan
Interests
       Other
Interests
       Warrants        Total  
Assets:                                

Opening balance, as of August 31, 2016

  $ 140,083         $ 2,218,460         $ 1,527,870         $ 44,995,306         $ 1,562,503         $ 4,902         $ 50,449,124   

Transfers into Level 31

                                  25,983,050                               25,983,050   

Transfers out of Level 32

                                  (20,029,917                            (20,029,917

Accrued discounts/premiums

              958           112           46,852                               47,922   

Net realized gain (loss)

              1,250                     (406,701                            (405,451

Net change in unrealized

appreciation (depreciation)3

    331,947           19,220           205,407           1,037,157           947,337           (1,959        2,539,109   

Purchases

                        31,620           4,463,599                               4,495,219   

Sales

              (250,000                  (6,275,107                            (6,525,107

Closing balance, as of November 30, 2016

  $ 472,030         $ 1,989,888         $ 1,765,009         $ 49,814,239         $ 2,509,840         $ 2,943         $ 56,553,949   
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at November 30, 20163

  $ 331,947         $ 21,044         $ 205,407         $ 648,519         $ 947,337         $ (1,959      $ 2,152,295   
 

 

 

 

 

                
   BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC    NOVEMBER 30, 2016    17


Consolidated Schedule of Investments (concluded)

  

BlackRock Floating Rate Income Strategies Fund, Inc.  (FRA)

 

 

  1   

As of August 31, 2016, the Fund used observable inputs in determining the value of certain investments. As of November 30, 2016, 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 November 30, 2016, 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   

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at November 30, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.

 

                
18    BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC   

NOVEMBER 30, 2016

  


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:  January 23, 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:  January 23, 2017

 

By:       /s/ Neal J. Andrews                     
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Floating Rate Income Strategies Fund, Inc.

Date:  January 23, 2017