UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSRS CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-21413 Name of Fund: BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809 Name and address of agent for service: Donald C. Burke, Chief Executive Officer, BlackRock 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: (800) 882-0052, Option 4 Date of fiscal year end: 08/31/2008 Date of reporting period: 09/01/2007 – 02/29/2008 Item 1 – Report to Stockholders |
EQUITIES FIXED INCOME REAL ESTATE LIQUIDITY ALTERNATIVES BLACKROCK SOLUTIONS
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BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) SEMI-ANNUAL REPORT FEBRUARY 29, 2008 | (UNAUDITED) |
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE |
Table of Contents | ||
Page | ||
A Letter to Shareholders | 3 | |
Semi-Annual Report: | ||
Fund Summary | 4 | |
The Benefits and Risks of Leveraging | 5 | |
Swap Agreements | 5 | |
Financial Statements: | ||
Schedule of Investments | 6 | |
Statement of Assets and Liabilities | 13 | |
Statement of Operations | 14 | |
Statements of Changes in Net Assets | 15 | |
Statement of Cash Flows | 16 | |
Financial Highlights | 17 | |
Notes to Financial Statements | 18 | |
Officers and Directors | 22 | |
Additional Information | 22 |
2 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 29, 2008
A Letter to Shareholders |
Dear Shareholder
Financial markets weathered intense bouts of volatility in 2007, only to enter 2008 with no relief. January and February proved to be trying months for equities, but strong ones for some areas of the bond market, as fears of an economic recession swelled. The Federal Reserve Board (the “Fed”), after cutting the target federal funds rate 100 basis points (1%) between September 2007 and year-end, more than matched those cuts in January alone. Responding to a slowing economy and continued fallout from chaos in the credit markets, the Fed cut interest rates 75 basis points in a rare unscheduled session on January 22, and followed with a 50-basis-point cut at its regular meeting on January 30. Another 75-basis-point cut on March 18 brought the target rate to 2.25% .
Reverberations from the U.S. subprime mortgage collapse, and the associated liquidity and credit crisis, continue to permeate global financial markets. The S&P 500 Index of U.S. stocks was down in February, marking the fourth consecutive month of negative returns. International markets, while not unscathed, generally have outperformed their U.S. counterparts so far in 2008. Emerging markets, benefiting from stronger economic growth rates, have done particularly well.
In fixed income markets, fears related to the economic slowdown and related credit crisis have led to a prolonged flight to quality. Investors have largely shunned bonds associated with the housing and credit markets in favor of higher-quality government issues. The yield on 10-year Treasury issues, which touched 5.30% in June 2007 (its highest level in five years), fell to 4.04% by year-end and to 3.53% by the end of February, while prices correspondingly rose. After setting a new-issuance record in 2007, supply in the municipal bond market has been on the decline for four consecutive months (measured year over year). The market has struggled with concerns around the creditworthiness of monoline bond insurers and the failure of auctions for auction rate securities, driving yields higher and prices lower across the curve. By period-end, municipal bonds were trading at higher yields than their Treasury counterparts, a very unusu al occurrence by historical standards.
Against this backdrop, the major benchmark indexes posted mixed results for the current reporting period, generally reflecting heightened investor risk aversion:
Total Returns as of February 29, 2008 | 6-month | 12-month | ||||
U.S. equities (S&P 500 Index) | – 8.79% | – 3.60% | ||||
Small cap U.S. equities (Russell 2000 Index) | –12.91 | –12.44 | ||||
International equities (MSCI Europe, Australasia, Far East Index) | – 4.71 | + 0.84 | ||||
Fixed income (Lehman Brothers U.S. Aggregate Bond Index) | + 5.67 | + 7.30 | ||||
Tax-exempt fixed income (Lehman Brothers Municipal Bond Index) | – 0.60 | – 1.17 | ||||
High yield bonds (Lehman Brothers U.S. Corporate High Yield 2% Issuer Cap Index) | – 1.39 | – 3.08 | ||||
Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index.
As you navigate today’s volatile markets, we encourage you to review your investment goals with your financial professional and to make portfolio changes, as needed. For more up-to-date commentary on the economy and financial markets, we invite you to visit www.blackrock.com/funds. As always, we thank you for entrusting BlackRock with your investment assets, and we look forward to continuing to serve you in the months and years ahead.
Sincerely,
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THIS PAGE NOT PART OF YOUR FUND REPORT |
Fund Summary as of February 29, 2008 (Unaudited) Investment Objective |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) seeks a high current income and such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and instruments.
Performance |
For the six-month period ended February 29, 2008, the Fund returned –5.87% based on market price, with dividends reinvested. The Fund’s return based on net asset value (“NAV”) was –6.50%, with dividends reinvested. For the same period, the Lipper Loan Participation Funds category posted an average return of –7.65% on a NAV basis. Widening of credit spreads and the lack of liquidity in the loan market hampered Fund performance. The rapid reduction of short-term rates resulting from Fed rate cuts also had a negative impact on bank loans as investors feared that their floating rate income would reset to lower rates.
Fund Information |
Symbol on New York Stock Exchange | FRA | |
Initital Offering Date | October 31, 2003 | |
Yield on Closing Market Price as of February 29, 2008 ($14.97)* | 10.01% | |
Current Monthly Distribution per share of Common Stock** | $.124835 | |
Current Annualized Distribution per share of Common Stock** | $1.49802 | |
Leverage as of February 29, 2008*** | 27% | |
* | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
** | The distribution is not constant and is subject to change. |
*** | As a percentage of managed assets, which is the total assets of the Fund (including any assets attributable to any borrowing that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage). |
The table below summarizes the changes in the Fund’s market price and net asset value per share:
2/29/08 | 8/31/07 | Change | High | Low | ||||||
Market Price | $14.97 | $16.70 | (10.36%) | $17.53 | $14.03 | |||||
Net Asset Value | $16.25 | $18.25 | (10.96%) | $18.63 | $15.96 | |||||
The following charts show the portfolio composition and credit quality allocations of the Fund’s long-term investments:
Portfolio Composition | ||||
2/29/08 | 8/31/07 | |||
Floating Rate Loan Interests | 76% | 75% | ||
Corporate Bonds | 22 | 24 | ||
Common Stocks | 2 | 1 | ||
Credit Quality Allocations* | ||||
Credit Rating | 2/29/08 | 8/31/07 | ||
BBB/Baa | 2% | 1% | ||
BB/Ba | 33 | 29 | ||
B/B | 45 | 55 | ||
CCC/Caa | 8 | 4 | ||
D | — | 1 | ||
Not Rated | 10 | 9 | ||
Other** | 2 | 1 | ||
* | Using the highest of Standard & Poor’s and Moody’s Investors Service ratings. |
** | Includes portfolio holdings in common stocks, preferred stocks and warrants. |
4 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 29, 2008
The Benefits and Risks of Leveraging BlackRock Floating Rate Income Strategies Fund, Inc. (the “Fund”) utilizes leverage through borrowings. The concept of leveraging is based on the premise that the cost of assets to be obtained from leverage will be based on short-term interest rates, which normally will be lower than the income earned by the Fund on its longer-term portfolio investments. To the extent that the total assets of the Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio invest- ments, the Fund’s Common Stock shareholders will benefit from the incremental yield. |
Leverage creates risks for Common Stock shareholders including the likelihood of greater NAV and market price volatility. In addition, there is the risk that fluctuations in interest rates on borrowings may reduce the Common Stock’s yield and negatively impact its NAV and market price. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Fund’s net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of lever- age, the Fund’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to Common Stock shareholders will be reduced. |
Swap Agreements The Fund may invest in swap agreements, which are over-the-counter contracts in which one party agrees to make periodic payments based on the change in market value of a specified bond, basket of bonds, or index in return for periodic payments based on a fixed or variable interest rate or the change in market value of a different bond, basket of bonds or index. Swap agreements may be used to obtain exposure to a bond or market |
without owning or taking physical custody of securities. Swap agreements involve the risk that the party with whom the Fund has entered into the swap will default on its obligation to pay the Fund and the risk that the Fund will not be able to meet its obligations to pay the other party to the agreement. |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.
FEBRUARY 29, 2008 |
5 |
Schedule of Investments as of February 29, 2008 (Unaudited) (Percentages shown are based on Net Assets) |
Par | ||||||
Floating Rate Loan Interests | (000) | Value | ||||
Aerospace & Defense — 5.3% | ||||||
Avio Holding SpA: | ||||||
Term Loan, 8.718% due 9/25/2016 | USD | 1,991 | $ 1,811,828 | |||
Term Loan B, 7.695% due 9/25/2014 | 1,640 | 1,391,540 | ||||
Term Loan C, 8.07% due 9/25/2015 | 1,640 | 1,399,740 | ||||
Hawker Beechcraft Acquisition Co. LLC: | ||||||
Letter of Credit, 4.73% — 5.26% | ||||||
due 3/31/2014 | 352 | 324,746 | ||||
Term Loan B, 6.83% due 3/31/2014 | 4,131 | 3,809,128 | ||||
IAP Worldwide Services, Inc. First Lien Term Loan, | ||||||
11.125% due 12/20/2012 | 2,203 | 1,817,591 | ||||
Vought Aircraft Industries, Inc.: | ||||||
Revolving Credit, 5.12% — 7% | ||||||
due 12/22/2010 | 2,200 | 2,016,667 | ||||
Term Loan, 7.34% due 12/22/2011 | 2,857 | 2,580,812 | ||||
Tranche B Line of Credit Deposit, 7.82% | ||||||
due 12/22/2010 | 560 | 513,334 | ||||
15,665,386 | ||||||
Airlines — 1.1% | ||||||
Delta Air Lines, Inc. First Lien Term Loan, 7.36% | ||||||
due 5/15/2012 | 1,250 | 1,062,500 | ||||
US Airways Group, Inc. Term Loan B, 5.625% | ||||||
due 3/23/2014 | 2,000 | 1,566,250 | ||||
United Air Lines, Inc. Term Loan B, 5.125% — 7.125% | ||||||
due 1/30/2014 | 712 | 597,376 | ||||
3,226,126 | ||||||
Auto Components — 1.9% | ||||||
Affinia Group, Inc. Term Loan B, 6.244% | ||||||
due 11/30/2011 | 2,544 | 2,263,779 | ||||
Allison Transmission Term Loan B, 5.92% — 7.90% | ||||||
due 8/07/2014 | 2,500 | 2,200,695 | ||||
Delphi Automotive Systems Term Loan B, 6.625% | ||||||
due 7/01/2008 | 500 | 491,500 | ||||
GPX International Tire Corp. Term Loan B, | ||||||
12.60% — 14% due 4/06/2012 | 895 | 639,682 | ||||
5,595,656 | ||||||
Beverages — 0.1% | ||||||
Culligan International Second Lien Term Loan, | ||||||
8.94% — 9.56% due 5/24/2013 | EUR | 500 | 432,670 | |||
Biotechnology — 0.4% | ||||||
Talecris Biotherapeutics, Inc. First Lien Term Loan, | ||||||
6.57% — 6.63% due 12/06/2013 | USD | 1,496 | 1,196,977 | |||
Broadcasting — 0.2% | ||||||
Gray Communications Systems, Inc. Term Loan B, | ||||||
5.82% — 6.50% due 9/18/2014 | 650 | 551,688 | ||||
Building Products — 0.7% | ||||||
PGT Industries, Inc. First Lien Term Loan, | ||||||
7.93% — 8.58% due 2/14/2012 | 2,778 | 2,027,829 | ||||
Chemicals — 6.4% | ||||||
BOC Edwards Ltd. Term Loan B, 5.085% | ||||||
due 10/09/2015 | 498 | 323,375 | ||||
Hercules, Inc. Term Loan B, 4.586% due 10/08/2010 | 1,305 | 1,265,850 | ||||
Huish Detergents, Inc. First Lien Term Loan, | ||||||
6.83% due 4/15/2014 | 1,493 | 1,207,059 | ||||
ISP Chemco Term Loan B, 4.875% — 6.438% | ||||||
due 5/25/2014 | 995 | 893,634 |
Par | ||||||
Floating Rate Loan Interests | (000) | Value | ||||
Chemicals (concluded) | ||||||
Invista: | ||||||
Term Loan, 6.698% due 4/29/2011 | USD | 955 | $ 891,709 | |||
Term Loan B-1, 6.70% due 4/29/2011 | 2,082 | 1,943,484 | ||||
Nalco Co. Tranche B Term Loan, 4.92% — 6.48% | ||||||
due 11/04/2010 | 4,490 | 4,326,726 | ||||
Rockwood Specialties Group, Inc. Tranche D Term | ||||||
Loan, 4.744% due 12/10/2012 | 1,940 | 1,817,134 | ||||
Viridian Group Plc Term Loan, 7.729% — 9.43% | ||||||
due 12/21/2012 | GBP | 3,000 | 4,977,546 | |||
Wellman, Inc. Second Lien Term Loan, 9.989% | ||||||
due 2/10/2010 (a)(f) | USD | 4,750 | 1,504,168 | |||
19,150,685 | ||||||
Commercial Services & Supplies — 3.6% | ||||||
ARAMARK Corp.: | ||||||
Letter of Credit, 4.22% due 1/24/2014 | 211 | 194,963 | ||||
Term Loan B, 6.705% due 1/24/2014 | 3,316 | 3,068,840 | ||||
Brickman Group, Inc. Term Loan, 7.143% | ||||||
due 1/23/2014 | 744 | 673,659 | ||||
Camelbak Products LLC First Lien Term Loan, | ||||||
6.88% — 8.75% due 8/04/2011 | 696 | 610,064 | ||||
Jason, Inc. Term Loan, 5.621% due 4/30/2010 | 498 | 429,716 | ||||
John Maneely Co. Term Loan, 6.345% — 7.693% | ||||||
due 12/08/2013 | 899 | 777,816 | ||||
Kion GmbH: | ||||||
Term Loan B, 6.751% due 3/15/2015 | 250 | 207,266 | ||||
Term Loan C, 7.251% due 3/15/2016 | 250 | 208,360 | ||||
Metokote Corp. Second Lien Term Loan, | ||||||
6.13% — 6.25% due 11/27/2011 | 493 | 429,253 | ||||
RiskMetrics Group, Inc. Term Loan, 7.08% | ||||||
due 1/11/2014 | 1,489 | 1,410,591 | ||||
Waste Services, Inc.: | ||||||
Term Loan D, 7.40% due 3/31/2011 | 695 | 646,790 | ||||
Term Loan E, 7.40% due 3/31/2011 | 366 | 340,738 | ||||
West Corp. Term Loan, 5.465% — 5.635% | ||||||
due 10/24/2013 | 1,975 | 1,675,336 | ||||
10,673,392 | ||||||
Communications Equipment — 1.4% | ||||||
Alltel Corp. Term Loan B3, 5.866% due 5/18/2015 | 4,498 | 4,077,447 | ||||
Computers & Peripherals — 2.1% | ||||||
Intergraph Corp. Term Loan: | ||||||
5.09% — 5.125% due 5/29/2014 | 419 | 375,775 | ||||
9.09% due 11/28/2014 | 500 | 455,000 | ||||
Reynolds and Reynolds Co.: | ||||||
First Lien Term Loan, 6.843% due 10/31/2012 | 3,573 | 3,126,201 | ||||
Second Lien Term Loan, 10.343% | ||||||
due 10/31/2013 | 2,500 | 2,287,500 | ||||
6,244,476 | ||||||
Construction Materials — 1.0% | ||||||
Headwaters, Inc. Term Loan B-1, 5.17% — 6.89% | ||||||
due 4/30/2011 | 1,077 | 1,022,734 | ||||
Nortek, Inc. Term Loan, 5.35% due 8/27/2011 | 2,413 | 2,068,719 | ||||
3,091,453 | ||||||
Containers & Packaging — 2.1% | ||||||
Anchor Glass Container Corp. Term Loan B, 7.08% | ||||||
due 5/03/2013 | 1,484 | 1,380,379 | ||||
Berry Plastics Corp. Term Loan B, 11.646% — 11.97% | ||||||
due 6/15/2014 | 1,095 | 766,538 | ||||
Consolidated Container Co. LLC Second Lien Term Loan, | ||||||
8.751% — 10.581% due 10/15/2014 | 550 | 295,167 |
See Notes to Financial Statements. |
6 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 29, 2008
Schedule of Investments (continued) (Percentages shown are based on Net Assets) |
Par | ||||||
Floating Rate Loan Interests | (000) | Value | ||||
Containers & Packaging (concluded) | ||||||
Graham Packaging Co. LP Term Loan B, | ||||||
6.813% — 7.75% due 4/15/2011 | USD | 1,985 | $ 1,796,921 | |||
Intertape Polymer US, Inc. Term Loan B, | ||||||
7.218% — 9.25% due 7/28/2011 | 1,170 | 1,159,763 | ||||
Smurfit-Stone Container Corp.: | ||||||
Term Loan B, 7.125% due 11/01/2011 | 322 | 303,444 | ||||
Term Loan C, 5.313% — 7.125% due 11/01/2011 | 613 | 578,436 | ||||
6,280,648 | ||||||
Distributors — 1.0% | ||||||
Buhrmann USA, Inc. Term Loan C, 5.119% — 6.991% | ||||||
due 12/23/2010 | 1,878 | 1,793,623 | ||||
Keystone Automotive Operations, Inc. Term Loan B, | ||||||
6.635% — 7.451% due 1/15/2012 | 1,485 | 1,170,675 | ||||
2,964,298 | ||||||
Diversified Financial Services — 1.7% | ||||||
Chrysler Financial Corp. First Lien Term Loan, 9% | ||||||
due 8/03/2012 | 4,000 | 3,473,636 | ||||
J.G. Wentworth Manufacturing Term Loan B, 7.093% | ||||||
due 4/15/2014 | 2,300 | 1,529,500 | ||||
5,003,136 | ||||||
Diversified Telecommunication Services — 0.3% | ||||||
Alaska Communications Systems Holdings, Inc. | ||||||
Incremental Term Loan, 6.58% due 2/01/2012 | 1,000 | 916,667 | ||||
Electrical Equipment — 2.0% | ||||||
Generac Power Systems, Inc.: | ||||||
First Lien Term Loan, 7.203% due 11/10/2013 | 980 | 807,800 | ||||
Second Lien Term Loan, 10.703% due 5/15/2014 | 750 | 511,250 | ||||
Sensus Metering Systems, Inc.: | ||||||
Term Loan B-1, 5.078% – 7.04% | ||||||
due 12/17/2010 | 4,861 | 4,277,565 | ||||
Term Loan B-2, 6.718% – 6.901% | ||||||
due 12/19/2010 | 316 | 277,917 | ||||
5,874,532 | ||||||
Energy Equipment & Services — 0.6% | ||||||
Helix Energy Solutions Term Loan B, 6.377% — 6.83% | ||||||
due 7/01/2013 | 507 | 471,338 | ||||
MEG Energy Corp.: | ||||||
Delayed Draw Term Loan, 6.73% due 4/03/2013 | 328 | 295,876 | ||||
Term Loan B, 6.83% due 4/03/2013 | 983 | 892,601 | ||||
1,659,815 | ||||||
Food & Staples Retailing — 3.3% | ||||||
Advantage Sales & Marketing Term Loan B, | ||||||
5.13% — 6.83% due 4/15/2013 | 1,478 | 1,270,890 | ||||
Bolthouse Farms, Inc. Second Lien Term Loan, | ||||||
10.33% due 12/01/2013 | 1,000 | 910,000 | ||||
DS Waters LP Term Loan B, 7.264% due 11/15/2012 | 990 | 881,100 | ||||
Dole Food Co., Inc.: | ||||||
Letter of Credit, 4.247% due 4/12/2013 | 256 | 215,157 | ||||
Term Loan B, 5.125% — 7.125% due 4/12/2013 | 567 | 475,631 | ||||
Term Loan C, 5.25% — 7.125% due 4/04/2013 | 1,889 | 1,585,438 | ||||
Eight O’Clock Coffee, First Lien Term Loan 7.625% | ||||||
due 7/21/2012 | 483 | 463,934 | ||||
Iglo Birds Eye: | ||||||
Term Loan B, 7.018% — 7.393% | ||||||
due 10/27/2019 | EUR | 500 | 677,471 | |||
Term Loan C, 6.166% — 6.239% | ||||||
due 10/27/2015 | 500 | 682,351 |
Par | ||||||
Floating Rate Loan Interests | (000) | Value | ||||
Food & Staples Retailing (concluded) | ||||||
McJunkin Corp. Term Loan B, 8.08% | ||||||
due 1/31/2014 | USD | 733 | $ 690,429 | |||
Pierre Foods, Inc. Term Loan B, 6.97% | ||||||
due 6/30/2010 | 1,192 | 780,972 | ||||
Sturm Foods, Inc.: | ||||||
First Lien Term Loan, 5.813% due 1/30/2014 | 985 | 725,617 | ||||
Second Lien Term Loan, 9.313% | ||||||
due 6/30/2014 | 1,000 | 656,667 | ||||
10,015,657 | ||||||
Food Products — 0.2% | ||||||
Chiquita Brands International Term Loan C, 6.125% | ||||||
due 6/28/2012 | 713 | 699,243 | ||||
Health Care Equipment & Supplies — 1.3% | ||||||
Biomet, Inc. Term Loan B, 7.858% due 3/25/2015 | 2,996 | 2,863,666 | ||||
ReAble Therapeutics Finance LLC Term Loan, 7.83% | ||||||
due 5/25/2015 | 1,000 | 940,000 | ||||
3,803,666 | ||||||
Health Care Providers & Services — 2.8% | ||||||
CCS Medical First Lien Term Loan, 8.10% | ||||||
due 9/30/2012 | 486 | 439,408 | ||||
Community Health Systems, Inc. Term Loan B, | ||||||
7.331% due 6/18/2014 | 3,332 | 3,044,706 | ||||
DaVita, Inc. Term Loan B, 4.57% — 6.52% | ||||||
due 7/30/2012 | 2,000 | 1,869,166 | ||||
HCA, Inc. Term Loan A, 6.33% due 11/17/2012 | 860 | 790,384 | ||||
Health Management Associates, Inc. Term Loan B, | ||||||
6.58% due 2/28/2014 | 1,949 | 1,674,609 | ||||
Sterigenics International, Inc. Term Loan B, | ||||||
7.25% — 7.76% due 11/30/2013 | 733 | 659,580 | ||||
8,477,853 | ||||||
Hotels, Restaurants & Leisure — 3.9% | ||||||
Golden Nugget, Inc.: | ||||||
Term Loan, 5.12% — 5.13% due 6/30/2014 | 318 | 273,636 | ||||
Term Loan Second Lien, 6.37% — 8.84% | ||||||
due 11/30/2014 | 500 | 375,000 | ||||
Green Valley Ranch Gaming LLC Term Loan, 6.335% | ||||||
due 8/16/2014 | 500 | 375,000 | ||||
Greenwood Racing, Inc. Term Loan, 5.38% | ||||||
due 11/28/2011 | 495 | 452,925 | ||||
Hallmark Entertainment Second Lien Term Loan, | ||||||
9.32% due 10/15/2014 | 1,750 | 1,697,500 | ||||
Harrah's Entertainment, Inc.: | ||||||
Term Loan B2, 6.244% due 1/29/2015 | 2,300 | 2,106,963 | ||||
Term Loan B3, 6.244% due 1/28/2015 | 212 | 194,338 | ||||
Harrah’s Operating Term Loan B, 6.244% | ||||||
due 1/28/2015 | 238 | 217,985 | ||||
Las Vegas Sands LLC Term Loan B, 6.58% | ||||||
due 5/04/2014 | 1,592 | 1,413,895 | ||||
Penn National Gaming, Inc. Term Loan B, | ||||||
4.88% — 7.15% due 10/03/2012 | 1,207 | 1,143,455 | ||||
QCE LLC First Lien Term Loan, 7% — 7.125% | ||||||
due 5/05/2013 | 493 | 416,514 | ||||
Travelport, Inc.: | ||||||
Standby Letter of Credit, 7.08% due 8/31/2013 | 178 | 155,860 | ||||
Term Loan B, 7.448% due 8/31/2013 | 889 | 776,772 | ||||
Venetian Macau US Finance Co. LLC: | ||||||
Delay Draw Term Loan, 7.08% due 5/25/2012 | 750 | 677,557 | ||||
Term Loan B, 7.08% due 5/25/2013 | 1,500 | 1,355,114 | ||||
11,632,514 | ||||||
See Notes to Financial Statements. |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.
FEBRUARY 29, 2008 |
7 |
Schedule of Investments (continued) (Percentages shown are based on Net Assets) |
Par | ||||||
Floating Rate Loan Interests | (000) | Value | ||||
Household Durables — 1.9% | ||||||
American Achievement Corp. Term Loan B, | ||||||
5.42% — 8.50% due 3/22/2011 | USD | 1,041 | $ 947,366 | |||
American Residential Services Second Lien Term | ||||||
Loan, 12% due 4/17/2015 | 2,000 | 1,970,292 | ||||
Simmons Co. Tranche B Term Loan, | ||||||
4.875% — 7.375% due 12/19/2011 | 3,166 | 2,801,878 | ||||
5,719,536 | ||||||
Household Products — 0.5% | ||||||
Spectrum Brands, Inc.: | ||||||
Letter of Credit, 2.994% due 3/30/2013 | 81 | 71,969 | ||||
Term Loan B-1, 7.065% — 8.62% | ||||||
due 3/30/2013 | 1,603 | 1,432,563 | ||||
1,504,532 | ||||||
IT Services — 4.9% | ||||||
Activant Solutions Term Loan B, 6.75% — 7.50% | ||||||
due 5/02/2013 | 2,048 | 1,730,538 | ||||
Alliance Data Systems Term Loan, 8.058% | ||||||
due 12/15/2014 | 3,000 | 2,790,000 | ||||
Audio Visual Services Corp.: | ||||||
Second Lien Term Loan, 8.77% due 8/28/2014 | 1,000 | 920,000 | ||||
Term Loan B, 5.62% due 2/28/2014 | 1,496 | 1,346,625 | ||||
First Data Corp.: | ||||||
Term Loan B, 7.58% — 7.634% due 9/24/2014 | 1,247 | 1,131,964 | ||||
Term Loan B2, 7.58% due 9/24/2014 | 1,000 | 906,944 | ||||
Term Loan B3, 7.58% due 9/24/2014 | 1,000 | 907,000 | ||||
RedPrairie Corp. Term Loan: | ||||||
8% — 8.75% due 7/31/2012 | 643 | 565,706 | ||||
8.188% due 1/31/2013 | 300 | 255,000 | ||||
SunGard Data Systems, Inc. Term Loan B, 5.128% | ||||||
due 2/11/2013 | 4,489 | 4,134,249 | ||||
14,688,026 | ||||||
Independent Power Producers & Energy Traders — 2.2% | ||||||
The AES Corp. Term Loan, 7% — 7.19% | ||||||
due 4/30/2008 | 1,571 | 1,492,071 | ||||
Calpine Generating Company LLC Second Lien Term | ||||||
Loan, 11.07% due 3/12/2010 | 17 | 17,029 | ||||
TXU Corp.: | ||||||
Term Loan B-2, 6.478% — 6.596% due 10/10/2014 | 1,496 | 1,364,704 | ||||
Term Loan B-3, 6.478% — 6.596% due 10/10/2014 | 3,990 | 3,637,703 | ||||
6,511,507 | ||||||
Industrial Conglomerates — 0.9% | ||||||
Sequa Corp. Term Loan B, 8.08% due 12/03/2014 | 1,000 | 939,375 | ||||
Trimas Corp.: | ||||||
Letter of Credit, 6.85% due 8/02/2013 | 375 | 318,750 | ||||
Term Loan B, 5.516% — 5.94% due 8/02/2013 | 1,605 | 1,363,984 | ||||
2,622,109 | ||||||
Insurance — 0.1% | ||||||
Alliant Insurance Services Term Loan B, 7.83% | ||||||
due 10/23/2014 | 499 | 443,887 | ||||
Leisure Equipment & Products — 1.2% | ||||||
24 Hour Fitness Term Loan B, 5.71% — 7.33% | ||||||
due 6/08/2012 | 3,930 | 3,222,600 | ||||
Fender Musical Instruments Corp.: | ||||||
Delay Draw Term Loan, 6.97% due 5/25/2014 | 167 | 140,234 | ||||
Term Loan B, 7.08% — 7.16% due 5/25/2014 | 332 | 279,065 | ||||
3,641,899 | ||||||
Par | ||||||
Floating Rate Loan Interests | (000) | Value | ||||
Machinery — 4.5% | ||||||
Harrington Holdings, Inc. Term Loan, 7.08% | ||||||
due 1/15/2014 | USD | 993 | $ 873,400 | |||
Invensys Plc: | ||||||
Term Loan, 6.604% due 1/15/2011 | 2,779 | 2,612,647 | ||||
Term Loan A, 5.128% due 12/15/2010 | 2,471 | 2,377,941 | ||||
NACCO Materials Handling Group Term Loan B, | ||||||
5.122% — 7.36% due 3/21/2013 | 1,478 | 1,259,569 | ||||
Navistar International Transportation Corp.: | ||||||
Revolving Credit, 6.501% — 8.234% | ||||||
due 6/30/2012 | 1,333 | 1,188,333 | ||||
Term Loan, 6.501% due 6/30/2012 | 3,667 | 3,267,917 | ||||
OshKosh Truck Corp. Term Loan B, 6.90% | ||||||
due 12/06/2013 | 1,975 | 1,838,808 | ||||
13,418,615 | ||||||
Media — 27.5% | ||||||
Affinion Group, Inc. Term Loan, 11.678% | ||||||
due 3/01/2012 | 2,000 | 1,640,000 | ||||
Alix Partners Term Loan B, 6.38% due 10/30/2013 | 1,634 | 1,498,736 | ||||
Bresnan Telecommunications Term Loan B 2, | ||||||
5.01% — 7.15% due 9/17/2011 | 1,500 | 1,337,679 | ||||
Catalina Marketing Group Term Loan, 7.83% | ||||||
due 10/01/2014 | 998 | 837,900 | ||||
Cequel Communications LLC: | ||||||
Second Lien Term Loan, 7.739% due 5/04/2014 | 2,000 | 1,505,000 | ||||
Term Loan B, 5.07 — 7% due 11/05/2013 | 1,641 | 1,372,120 | ||||
Charter Communications, Inc. Term Loan B, | ||||||
5.26% due 4/30/2014 | 7,500 | 6,583,928 | ||||
Clarke American Corp. Term Loan B, 7.33% — 7.698% | ||||||
due 3/12/2013 | 995 | 808,023 | ||||
ClientLogic Holding Corp. Term Loan B, | ||||||
5.622% — 7.343% due 1/30/2014 | 973 | 769,034 | ||||
DIRECTV Holdings LLC Tranche B Term Loan, | ||||||
4.622% due 4/13/2013 | 1,965 | 1,882,156 | ||||
Discovery Communications Term Loan B, 6.83% | ||||||
due 5/15/2013 | 498 | 455,461 | ||||
EMMIS Communications Term Loan B, 7.198% | ||||||
due 10/31/2013 | 964 | 798,646 | ||||
Education Media and Publishing: | ||||||
First Lien Term Loan, 9.141% due 5/15/2009 | 364 | 347,727 | ||||
First Lien Term Loan B, 9.141% due 11/14/2014 | 2,636 | 2,372,727 | ||||
Second Lien Term Loan, 13.641% | ||||||
due 11/14/2014 | 9,000 | 7,830,000 | ||||
GateHouse Media Operating, Inc.: | ||||||
Delay Draw Term Loan, 5.09% due 8/28/2014 | 592 | 418,900 | ||||
Term Loan B, 5.09% due 8/28/2014 | 2,000 | 1,416,000 | ||||
Gray Communications Systems, Inc.: | ||||||
First Lien Delay Draw Term Loan, 5.82% — 6.85% | ||||||
due 9/18/2014 | 349 | 296,043 | ||||
Term Loan D, 6.82% due 9/18/2014 | 1 | 1,020 | ||||
HIT Entertainment Ltd. First Lien Term Loan, | ||||||
5.07% due 8/31/2012 | 732 | 622,229 | ||||
Hanley-Wood LLC Term Loan B, 6.305% — 6.979% | ||||||
due 3/07/2014 | 1,493 | 1,118,442 | ||||
Idearc, Inc. Term Loan B, 6.83% due 11/15/2014 | 7,920 | 6,515,847 | ||||
Insight Midwest Holdings LLC Delay Draw Term | ||||||
Loan, 7% due 4/03/2014 | 3,375 | 3,021,681 |
See Notes to Financial Statements. |
8 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 29, 2008
Schedule of Investments (continued) (Percentages shown are based on Net Assets) |
Par | ||||||
Floating Rate Loan Interests | (000) | Value | ||||
Media (concluded) | ||||||
Intelsat Ltd. Term Loan B: | ||||||
7.225% due 6/27/2013 | USD | 1,933 | $ 1,775,829 | |||
5.644% due 2/01/2014 | 3,525 | 3,483,874 | ||||
Knology, Inc. Term Loan B, 6.953% due 3/15/2012 | 746 | 626,850 | ||||
Mediacom Broadband Group Tranche A Term Loan, | ||||||
4.62% — 4.70% due 3/31/2010 | 1,388 | 1,202,500 | ||||
Mediacom LLC Term Loan C, 4.87% — 5.74% | ||||||
due 1/31/2015 | 3,128 | 2,694,335 | ||||
Metro-Goldwyn-Mayer Studios, Inc. Term Loan B, | ||||||
8.108% due 4/30/2011 | 4,353 | 3,576,592 | ||||
Multicultural Radio Broadcasting Inc. Term Loan, | ||||||
7.901% due 12/15/2012 | 356 | 334,640 | ||||
National Cinemedia LLC Term Loan B, 6.87% | ||||||
due 2/13/2015 | 1,000 | 852,813 | ||||
NextMedia Group, Inc.: | ||||||
Delay Draw Term Loan, 5.098% due 11/15/2012 | 323 | 279,787 | ||||
First Lien Term Loan, 5.086% due 11/15/2012 | 431 | 372,837 | ||||
Second Lien Term Loan, 7.77% due 11/15/2013 | 1,750 | 1,435,000 | ||||
Nielsen Finance LLC Term Loan B, 5.346% | ||||||
due 8/09/2013 | 5,925 | 5,218,951 | ||||
PagesJaunes Group: | ||||||
Term Loan, 9% due 1/11/2017 | EUR | 500 | 617,694 | |||
Term Loan B, 7% due 1/11/2015 | 1,000 | 1,249,305 | ||||
Term Loan C, 7.677% due 1/11/2016 | 500 | 627,815 | ||||
PanAmSat Corp.: | ||||||
Term Loan B, 5.644% due 1/03/2014 | USD | 1,353 | 1,228,795 | |||
Term Loan B2, 5.644% due 1/03/2014 | 1,353 | 1,229,164 | ||||
Term Loan B2C, 5.644% due 1/03/2014 | 1,353 | 1,228,795 | ||||
Paxson Communications Corp. First Lien Term Loan, | ||||||
7.627% due 1/15/2012 | 3,250 | 2,713,750 | ||||
Penton Media Term Loan, 8.122% due 2/15/2014 | 1,000 | 715,000 | ||||
ProSiebenSat.1 Media AG Term Loan B: | ||||||
7.02% due 6/30/2015 | EUR | 500 | 609,534 | |||
7.325% due 6/30/2016 | 500 | 524,301 | ||||
San Juan Cable Term Loan B, 11.97% | ||||||
due 3/15/2013 | USD | 1,061 | 896,604 | |||
Thomson Learning Inc. Term Loan, | ||||||
5.62% — 7.58% due 6/30/2014 | 1,496 | 1,304,628 | ||||
Univision Communications, Inc.: | ||||||
Delay Draw Term Loan, 5.375% due 9/30/2014 | 74 | 61,772 | ||||
Delay Draw Term Loan, 5.494% due 9/30/2014 | 2,584 | 2,162,023 | ||||
First Lien Term Loan, 5.625% due 3/31/2016 | 1,500 | 1,434,375 | ||||
81,906,862 | ||||||
Multi-Utilities — 3.2% | ||||||
Coleto Creek: | ||||||
Letter of Credit, 7.58% due 7/31/2013 | 1,827 | 1,598,221 | ||||
Term Loan B, 4.73% due 7/31/2013 | 127 | 111,465 | ||||
Energy Transfer Equity LP Term Loan B, 4.878% | ||||||
due 11/01/2012 | 1,000 | 933,333 | ||||
KGen Partners: | ||||||
Letter of Credit, 6.625% due 2/15/2014 | 375 | 323,438 | ||||
Term Loan B, 6.625% due 2/15/2014 | 619 | 533,672 | ||||
NE Energy Second Lien Term Loan, 9.438% | ||||||
due 5/11/2014 | 500 | 398,334 | ||||
Riverside Energy Center Term Loan, 7.494% | ||||||
due 6/24/2011 | 1,581 | 1,543,429 | ||||
Rocky Mountain Energy Center LLC: | ||||||
Credit Linked Deposit, 3.144% due 6/24/2011 | 134 | 130,784 | ||||
Term Loan, 7.494% due 6/24/2011 | 856 | 835,896 |
Par | ||||||
Floating Rate Loan Interests | (000) | Value | ||||
Multi-Utilities (concluded) | ||||||
Wolf Hollow I LP: | ||||||
First Lien Term Loan, 7.08% due 6/22/2012 | USD | 1,407 | $ 1,161,170 | |||
Letter of Credit, 5.521% due 6/22/2012 | 1,200 | 990,000 | ||||
Revolving Credit, 5.521% — 5.366% | ||||||
due 6/22/2012 | 300 | 240,000 | ||||
Second Lien Term Loan, 9.343% | ||||||
due 12/22/2012 | 1,000 | 820,000 | ||||
9,619,742 | ||||||
Multiline Retail — 1.2% | ||||||
Neiman Marcus Group, Inc. Term Loan, | ||||||
4.931% — 6.90% due 4/06/2013 | 3,734 | 3,446,780 | ||||
Oil, Gas & Consumable Fuels — 2.2% | ||||||
Big West Oil & Gas: | ||||||
Delay Draw Term Loan, 5.375% due 5/15/2014 | 125 | 114,375 | ||||
Term Loan B, 5.50% due 5/15/2014 | 445 | 407,175 | ||||
Coffeyville Resources LLC: | ||||||
Letter of Credit, 4.629% due 12/21/2013 | 486 | 454,865 | ||||
Term Loan B, 7.75% — 7.979% due 12/21/2013 | 1,583 | 1,479,763 | ||||
Petroleum Geo-Services ASA Term Loan B, 6.58% | ||||||
due 6/28/2015 | 995 | 923,691 | ||||
SandRidge Energy, Inc. Term Loan B, 8.354% | ||||||
due 4/01/2014 | 1,600 | 1,448,000 | ||||
Western Refining Co. LP: | ||||||
Delay Draw Term Loan, 4.994% due 5/30/2014 | 245 | 219,186 | ||||
Term Loan B, 4.994% due 5/30/2014 | 1,603 | 1,442,250 | ||||
6,489,305 | ||||||
Paper & Forest Products — 3.5% | ||||||
Boise Cascade Holdings LLC Second Lien Term | ||||||
Loan, 7.50% due 2/05/2015 | 1,250 | 1,229,687 | ||||
Georgia Pacific Corp.: | ||||||
First Lien Term Loan B, 6.58% — 6.896% | ||||||
due 2/14/2013 | 980 | 901,764 | ||||
Term Loan B, 6.58% — 6.839% due 12/20/2012 | 1,496 | 1,376,738 | ||||
NewPage Corp. Term Loan B, 8.688% | ||||||
due 12/07/2014 | 1,250 | 1,211,979 | ||||
SP Newsprint Co. Tranche B-1 Credit Linked Deposit, | ||||||
3.122% due 1/09/2010 | 1,973 | 1,943,147 | ||||
Verso Paper Holdings LLC Term Loan B, 9.489% | ||||||
due 2/01/2013 | 4,130 | 3,655,050 | ||||
10,318,365 | ||||||
Pharmaceuticals — 0.9% | ||||||
Pharmaceutical Technologies & Services (PTS) | ||||||
Term Loan: | ||||||
7.015% due 4/10/2014 | EUR | 995 | 1,336,838 | |||
7.08% due 4/10/2014 | USD | 1,493 | 1,231,313 | |||
2,568,151 | ||||||
Real Estate Management & Development — 0.9% | ||||||
Mattamy Group Term Loan B, 5.375% due 4/11/2013 | 983 | 894,075 | ||||
Realogy Corp. Term Loan B, 4.763% due 9/22/2014 | 1,990 | 1,664,138 | ||||
2,558,213 | ||||||
Road & Rail — 0.9% | ||||||
Rail America, Inc. Term Loan, 5.32% due 8/14/2008 | 1,000 | 935,000 | ||||
Swift Transportation Co., Inc. Term Loan B, 6.50% | ||||||
due 5/10/2014 | 2,093 | 1,614,244 | ||||
2,549,244 | ||||||
See Notes to Financial Statements. |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.
FEBRUARY 29, 2008 |
9 |
Schedule of Investments (continued) (Percentages shown are based on Net Assets) |
Par | ||||||
Floating Rate Loan Interests | (000) | Value | ||||
Semiconductors & Semiconductor Equipment — 0.6% | ||||||
Marvell Technology Group Term Loan B, 7.33% | ||||||
due 11/15/2009 | USD 1,974 | $ 1,855,325 | ||||
Specialty Retail — 0.6% | ||||||
ADESA, Inc. Term Loan B, 7.08% due 10/18/2013 | 1,493 | 1,333,549 | ||||
Claire’s Stores Term Loan B, 5.994% — 7.58% | ||||||
due 5/24/2014 | 744 | 583,221 | ||||
1,916,770 | ||||||
Textiles, Apparel & Luxury Goods — 0.4% | ||||||
David’s Bridal, Inc. Term Loan B, 6.58% | ||||||
due 1/31/2014 | 744 | 643,884 | ||||
Renfro Corp. Term Loan B, 6.38% — 8.08% | ||||||
due 10/04/2013 | 495 | 430,362 | ||||
1,074,246 | ||||||
Trading Companies & Distributors — 0.2% | ||||||
United Rentals, Inc.: | ||||||
Term Loan, 5.10% due 2/14/2011 | 360 | 340,937 | ||||
Tranche B Credit Linked Deposit, 4.50% | ||||||
due 2/14/2011 | 152 | 143,786 | ||||
484,723 | ||||||
Wireless Telecommunication Services — 1.4% | ||||||
Centennial Cellular Operating Co. Term Loan, | ||||||
5.085% — 6.83% due 2/09/2011 | 931 | 882,102 | ||||
Crown Castle Operating Co. Term Loan, 6.33% | ||||||
due 3/15/2014 | 2,481 | 2,241,100 | ||||
IPC Systems First Lien Term Loan, 7.093% | ||||||
due 5/25/2014 | 995 | 784,391 | ||||
NG Wireless Term Loan, 6.021% — 7.593% | ||||||
due 7/31/2014 | 406 | 386,096 | ||||
4,293,689 | ||||||
Total Floating Rate Loan Interests | ||||||
(Cost — $347,393,359) — 103.1% | 306,893,340 | |||||
Corporate Bonds | ||||||
Auto Components — 0.3% | ||||||
The Goodyear Tire & Rubber Co., 8.663% | ||||||
due 12/01/2009 (b) | 1,000 | 996,250 | ||||
Biotechnology — 0.3% | ||||||
Angiotech Pharmaceuticals, Inc., 6.826% | ||||||
due 12/01/2013 (b) | 1,000 | 790,000 | ||||
Building Products — 2.0% | ||||||
CPG International I, Inc.: | ||||||
11.468% due 7/01/2012 (b) | 2,000 | 1,660,000 | ||||
10.50% due 7/01/2013 | 3,000 | 2,640,000 | ||||
Masonite International Corp., 11% due 4/06/2015 | 2,500 | 1,725,000 | ||||
6,025,000 | ||||||
Capital Markets — 2.2% | ||||||
E*Trade Financial Corp., 12.50% due 11/30/2017 (c) | 5,000 | 4,762,500 | ||||
Marsico Parent Co., LLC, 10.625% due 1/15/2016 (c)(d)(k) 1,168 | 1,051,200 | |||||
Marsico Parent Holdco, LLC, 12.50% | ||||||
due 7/15/2016 (c)(d)(k) | 400 | 372,000 | ||||
Marsico Parent Superholdco, LLC, 14.50% | ||||||
due 1/15/2018 (c)(d)(k) | 267 | 261,660 | ||||
6,447,360 | ||||||
Par | ||||||
Corporate Bonds | (000) | Value | ||||
Chemicals — 1.1% | ||||||
GEO Specialty Chemicals, Inc., 13.85% | ||||||
due 12/31/2009 (c)(e) | USD | 2,011 | $ 1,505,736 | |||
Hexion U.S. Finance Corp., 7.565% | ||||||
due 11/15/2014 (b) | 1,500 | 1,342,500 | ||||
NOVA Chemicals Corp., 7.863% due 11/15/2013 (b) | 485 | 412,250 | ||||
3,260,486 | ||||||
Commercial Services & Supplies — 1.6% | ||||||
Allied Waste North America, Inc. Series B, | ||||||
7.375% due 4/15/2014 | 3,375 | 3,248,438 | ||||
US Investigations Services, Inc., 10.50% | ||||||
due 11/01/2015 (c) | 1,600 | 1,328,000 | ||||
The Yankee Candle Company, Inc., 9.75% | ||||||
due 2/15/2017 | 240 | 194,400 | ||||
4,770,838 | ||||||
Communications Equipment — 0.2% | ||||||
Dycom Industries, Inc., 8.125% due 10/15/2015 | 600 | 564,000 | ||||
Containers & Packaging — 2.1% | ||||||
Berry Plastics Holding Corp., 8.866% | ||||||
due 9/15/2014 (b) | 1,450 | 1,145,500 | ||||
Clondalkin Acquisition BV, 6.991% | ||||||
due 12/15/2013 (b)(c) | 4,000 | 3,280,000 | ||||
Packaging Dynamics Finance Corp., 10% | ||||||
due 5/01/2016 (c) | 2,350 | 1,856,500 | ||||
6,282,000 | ||||||
Diversified Financial Services — 0.2% | ||||||
Ford Motor Credit Co. LLC, 8.708% | ||||||
due 4/15/2012 (b) | 750 | 718,017 | ||||
Diversified Telecommunication Services — 0.5% | ||||||
Qwest Corp., 8.241% due 6/15/2013 (b) | 1,450 | 1,395,625 | ||||
Electronic Equipment & Instruments — 0.6% | ||||||
NXP BV, 7.008% due 10/15/2013 (b) | 2,390 | 1,929,925 | ||||
Energy Equipment & Services — 1.0% | ||||||
Ocean RIG ASA, 8.681% due 4/04/2011 (b) | 3,000 | 2,940,000 | ||||
Food & Staples Retailing — 0.0% | ||||||
AmeriQual Group LLC, 9.50% due 4/01/2012 (c) | 250 | 167,500 | ||||
Health Care Equipment & Supplies — 2.5% | ||||||
ReAble Therapeutics Finance LLC, 10.875% | ||||||
due 11/15/2014 (c) | 8,000 | 7,560,000 | ||||
Health Care Providers & Services — 0.1% | ||||||
Universal Hospital Services, Inc., 8.288% | ||||||
due 6/01/2015 (b) | 460 | 432,400 | ||||
Hotels, Restaurants & Leisure — 3.0% | ||||||
American Real Estate Partners LP, 7.125% | ||||||
due 2/15/2013 | 5,000 | 4,750,000 | ||||
Harrah’s Operating Co., Inc.: | ||||||
10.75% due 2/01/2016 (c) | 2,703 | 2,344,853 | ||||
10.75% due 2/01/2018 (c)(d) | 426 | 339,030 | ||||
Little Traverse Bay Bands of Odawa Indians, 10.25% | ||||||
due 2/15/2014 (c) | 1,565 | 1,566,956 | ||||
9,000,839 | ||||||
See Notes to Financial Statements. |
10 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 29, 2008
Schedule of Investments (continued) (Percentages shown are based on Net Assets) |
Par | ||||||
Corporate Bonds | (000) | Value | ||||
Independent Power Producers | ||||||
& Energy Traders — 0.4% | ||||||
Texas Competitive Electric Holdings Co. LLC, 10.25% | ||||||
due 11/01/2015 (c) | USD | 1,230 | $ 1,199,250 | |||
Machinery — 1.1% | ||||||
Ahern Rentals, Inc., 9.25% due 8/15/2013 | �� | 250 | 196,250 | |||
Invensys Plc, 9.875% due 3/15/2011 (c) | 1,346 | 1,419,685 | ||||
Sunstate Equipment Co. LLC, 10.50% | ||||||
due 4/01/2013 (c) | 2,000 | 1,600,000 | ||||
3,215,935 | ||||||
Media — 3.3% | ||||||
CSC Holdings, Inc. Series B, 7.625% due 4/01/2011 | 2,000 | 1,987,500 | ||||
Cablevision Systems Corp. Series B: | ||||||
9.644% due 4/01/2009 (b) | 2,000 | 2,000,000 | ||||
8% due 4/15/2012 | 575 | 553,438 | ||||
NTL Cable Plc, 8.75% due 4/15/2014 | 375 | 320,625 | ||||
Nielsen Finance LLC, 10% due 8/01/2014 | 4,000 | 3,860,000 | ||||
Windstream Regatta Holdings, Inc., 11% | ||||||
due 12/01/2017 (c) | 1,244 | 970,320 | ||||
9,691,883 | ||||||
Metals & Mining — 2.2% | ||||||
FMG Finance Pty Ltd., 7.076% due 9/01/2011 (b)(c) | 265 | 263,675 | ||||
Freeport-McMoRan Copper & Gold, Inc., 8.394% | ||||||
due 4/01/2015 (b) | 4,220 | 4,056,475 | ||||
Novelis, Inc., 7.25% due 2/15/2015 | 700 | 630,000 | ||||
Ryerson, Inc., 10.614% due 11/01/2014 (b)(c) | 1,680 | 1,554,000 | ||||
6,504,150 | ||||||
Paper & Forest Products — 2.4% | ||||||
Abitibi-Consolidated, Inc., 8.491% | ||||||
due 6/15/2011 (b) | 2,650 | 1,378,000 | ||||
Ainsworth Lumber Co. Ltd. (b): | ||||||
8.58% due 10/01/2010 | 1,500 | 1,080,000 | ||||
8.83% due 4/01/2013 | 940 | 582,800 | ||||
Domtar Corp., 7.125% due 8/15/2015 | 625 | 587,500 | ||||
NewPage Corp., 9.489% due 5/01/2012 (b) | 925 | 906,500 | ||||
Verso Paper Holdings LLC Series B, 6.989% | ||||||
due 8/01/2014 (b) | 3,000 | 2,550,000 | ||||
7,084,800 | ||||||
Real Estate Management & Development — 0.9% | ||||||
Realogy Corp., 11% due 4/15/2014 (d) | 4,000 | 2,560,000 | ||||
Road & Rail — 0.4% | ||||||
Atlantic Express Transportation Corp., 12.455% | ||||||
due 4/15/2012 (b) | 1,000 | 650,000 | ||||
St. Acquisition Corp., 10.815% | ||||||
due 5/15/2015 (b)(c) | 1,350 | 580,500 | ||||
1,230,500 | ||||||
Semiconductors & Semiconductor Equipment — 1.0% | ||||||
Avago Technologies Finance Pte. Ltd., 8.576% | ||||||
due 6/01/2013 (b) | 900 | 893,250 | ||||
Spansion, Inc., 6.201% due 6/01/2013 (b)(c) | 2,870 | 2,095,100 | ||||
2,988,350 | ||||||
Par | ||||
Corporate Bonds | (000) | Value | ||
Specialty Retail — 0.3% | ||||
AutoNation, Inc., 6.258% due 4/15/2013 (b) | USD 250 | $ 205,000 | ||
General Nutrition Centers, Inc., 10.009% | ||||
due 3/15/2014 (b)(d) | 700 | 558,250 | ||
763,250 | ||||
Wireless Telecommunication Services — 0.2% | ||||
Cricket Communications, Inc., 9.375% | ||||
due 11/01/2014 | 370 | 329,300 | ||
Digicel Group Ltd., 9.125% due 1/15/2015 (c)(d) | 278 | 237,125 | ||
566,425 | ||||
Total Corporate Bonds | ||||
(Cost — $101,262,954) — 29.9% | 89,084,783 | |||
Common Stocks (f) | Shares | |||
Capital Markets — 0.3% | ||||
E*Trade Financial Corp. | 242,021 | 1,033,430 | ||
Chemicals — 0.0% | ||||
GEO Specialty Chemicals, Inc. | 13,117 | 13,117 | ||
Electrical Equipment — 0.3% | ||||
Medis Technologies Ltd. | 71,654 | 776,013 | ||
Energy Equipment & Services — 1.6% | ||||
Trico Marine Services, Inc. | 119,185 | 4,710,191 | ||
Paper & Forest Products — 0.1% | ||||
Western Forest Products, Inc. | 84,448 | 140,711 | ||
Total Common Stocks (Cost — $5,419,777) — 2.3% | 6,673,462 | |||
Preferred Stocks | ||||
Capital Markets — 0.0% | ||||
Marsico Parent Superholdco, LLC, 16.75% (c)(k) | 78 | 77,922 | ||
Total Preferred Stocks (Cost — $73,543) — 0.0% | 77,922 | |||
Warrants (g) | ||||
Electric Utilities — 0.0% | ||||
Reliant Resources (expires 10/25/2008) | 4,558 | 72,928 | ||
Total Warrants (Cost — $0) — 0.0% | 72,928 | |||
See Notes to Financial Statements. |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.
FEBRUARY 29, 2008 |
11 |
Schedule of Investments (concluded) (Percentages shown are based on Net Assets) |
Par | ||||
Short-Term Securities | (000) | Value | ||
Federal Home Loan Bank, 1.46% | ||||
due 3/03/2008 (i) | USD 2,600 | 2,600,000 | ||
Beneficial Interest | ||||
(000) | ||||
BlackRock Liquidity Series, LLC | ||||
Cash Sweep Series, 3.76% (h)(i) | USD 3,160 | $ 3,160,435 | ||
Total Short-Term Securities | ||||
(Cost — $5,760,435) — 2.0% | 5,760,435 | |||
Number of | ||||
Options Purchased | Contracts | Value | ||
Call Options Purchased | ||||
Marsico Parent Super Holdco LLC, expiring | ||||
December 2009 at USD 942.86 | ||||
Broker Goldman Sachs & Co. (f)(k) | — (j) | $ 35,000 | ||
Total Options Purchased | ||||
(Cost — $19,556) — 0.0% | 35,000 | |||
Total Investments (Cost — $459,929,624*) — 137.3% | 408,597,870 | |||
Liabilities in Excess of Other Assets — (37.3%) | (111,065,264) | |||
Net Assets — 100.0% | $297,532,606 | |||
* The cost and unrealized appreciation (depreciation) of investments as of February 29, 2008, as computed for federal income tax purposes, were as follows: |
Aggregate cost | $ 460,033,107 | |
Gross unrealized appreciation | $ 3,653,802 | |
Gross unrealized depreciation | (55,089,039) | |
Net unrealized depreciation | $ (51,435,237) | |
(a) Issuer filed for bankruptcy or is in default of interest. (b) Floating rate security. Rate is as of the report date. (c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. Unless otherwise indicated, these securities are not considered to be illiquid. (d) Represents a pay-in-kind security which may pay interest/dividends in additional face/shares. (e) Convertible security. (f) Non-income producing security. (g) Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date. (h) Investments in companies considered to be an affiliate of the Fund, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
Net | ||||
Activity | Interest | |||
Affiliate | (000) | Income | ||
BlackRock Liquidity Series, LLC | ||||
Cash Sweep Series | $3,160 | $64,979 | ||
(i) Represents the current yield as of February 29, 2008. (j) Amount is less than 1 contract. (k) Illiquid security. • For 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 ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. |
• Forward foreign exchange contracts as of February 29,2008 were as follows: |
Unrealized | ||||||
Currency | Currency | Settlement | Appreciation | |||
Purchased | Sold | Date | (Depreciation) | |||
EUR 950,000 | USD 1,405,541 | 4/23/2008 | $ 34,089 | |||
GBP 285,000 | USD 558,837 | 4/23/2008 | 5,270 | |||
USD 9,788,482 | EUR 6,677,000 | 4/23/2008 | (329,843) | |||
USD 3,538,587 | GBP 1,801,000 | 4/23/2008 | (26,172) | |||
Total Unrealized Depreciation on Forward | ||||||
Foreign Exchange Contracts — Net | $ (316,656) | |||||
Swaps outstanding as of February 29, 2008 were as follows: |
Notional | Unrealized | ||||
Amount | Appreciation | ||||
(000) | (Depreciation) | ||||
Sold credit default protection on | |||||
D.R.Horton, Inc. and receive 4.65% | |||||
Broker, Lehman Brothers Special Finance | |||||
Expires March 2009 | USD 2,000 | $ (4,726) | |||
Sold credit default protection on | |||||
Ford Motor Company and receive 3.80% | |||||
Broker, UBS Warburg | |||||
Expires March 2010 | USD10,000 | (1,119,751) | |||
Sold credit default protection on | |||||
LCDX Index and receive 2.25% | |||||
Broker, UBS Warburg | |||||
Expires December 2012 | USD 1,500 | 8,238 | |||
Sold credit default protection on | |||||
LCDX Index and receive 2.25% | |||||
Broker, JPMorgan Chase | |||||
Expires December 2012 | USD 1,500 | (16,512) | |||
Total | $(1,132,751) | ||||
• Currency abbreviations: EUR Euro GBP British Pound USD U.S. Dollar |
See Notes to Financial Statements. |
12 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 29, 2008
Statement of Assets and Liabilities | ||
As of February 29, 2008 (Unaudited) | ||
Assets | ||
Investments at value — unaffiliated (identified cost — $456,749,633) | $ 405,402,435 | |
Investments at value — affiliated (identified cost — $3,160,435) | 3,160,435 | |
Options purchased, at value (cost — $19,556) | 35,000 | |
Unrealized appreciation on forward foreign exchange contracts | 39,359 | |
Unrealized appreciation on swaps | 8,238 | |
Investments sold receivable | 10,828,328 | |
Interest receivable | 6,727,590 | |
Principal paydown receivable | 205,422 | |
Swaps receivable | 113,174 | |
Commitment fees receivable | 19,911 | |
Prepaid expenses and other assets | 510,811 | |
Total assets | 427,050,703 | |
Liabilities | ||
Loan payable | 108,500,000 | |
Bank overdraft | 2,339,329 | |
Unrealized depreciation on swaps | 1,140,989 | |
Unrealized depreciation on forward foreign exchange contracts | 356,015 | |
Unrealized depreciation on unfunded loan commitments | 301,462 | |
Swap premiums received | 235,973 | |
Deferred income | 20,702 | |
Investments purchased payable | 15,061,459 | |
Investment advisory fees payable | 255,606 | |
Dividends to shareholders payable | 232,488 | |
Interest on loans payable | 83,127 | |
Directors payable | 28,592 | |
Swaps payable | 3,734 | |
Other affiliates payable | 2,339 | |
Other liabilities payable | 872,829 | |
Other accrued expenses payable | 83,453 | |
Total liabilities | 129,518,097 | |
Net Assets | ||
Net Assets | $ 297,532,606 | |
Net Assets Consist of | ||
Common Stock, par value $.10 per share (18,305,029 shares issued and outstanding) | $ 1,830,503 | |
Paid-in capital in excess of par | 347,369,214 | |
Undistributed net investment income | 3,742,258 | |
Accumulated net realized loss | (2,334,685) | |
Net unrealized depreciation | (53,074,684) | |
Net Assets, $16.25 net asset value per share of Common Stock | $ 297,532,606 | |
See Notes to Financial Statements. |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.
FEBRUARY 29, 2008 |
13 |
Statement of Operations | ||
For the Six Months Ended February 29, 2008 (Unaudited) | ||
Investment Income | ||
Interest (including $64,979 from affiliates) | $ 18,791,250 | |
Facility and other fees | 115,814 | |
Total income | 18,907,064 | |
Expenses | ||
Investment advisory | 1,587,891 | |
Borrowing costs | 97,911 | |
Accounting services | 56,864 | |
Professional fees | 42,471 | |
Printing | 23,000 | |
Directors | 17,097 | |
Custodian | 12,525 | |
Transfer agent | 6,394 | |
Registration | 5,002 | |
Miscellaneous | 29,839 | |
Total expenses before interest expense | 1,878,994 | |
Interest expense | 2,712,236 | |
Total expenses | 4,591,230 | |
Net investment income | 14,315,834 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) from: | ||
Investments | (1,513,841) | |
Swaps | 372,946 | |
Foreign currency | (501,961) | |
(1,642,856) | ||
Net change in unrealized appreciation/depreciation on: | ||
Investments | (33,877,444) | |
Swaps | (439,405) | |
Unfunded loan commitments | 169,700 | |
Foreign currency | (447,297) | |
(34,594,446) | ||
Total realized and unrealized loss | (36,237,302) | |
Net Decrease in Net Assets Resulting from Operations | $ (21,921,468) | |
See Notes to Financial Statements. |
14 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 29, 2008
Statements of Changes in Net Assets | ||||
For the | ||||
Six Months Ended | For the | |||
February 29, 2008 | Year Ended | |||
Increase (Decrease) in Net Assets: | (Unaudited) | August 31, 2007 | ||
Operations | ||||
Net investment income | $ 14,315,834 | $ 28,102,505 | ||
Net realized gain (loss) | (1,642,856) | 2,341,072 | ||
Net change in unrealized depreciation | (34,594,446) | (21,949,912) | ||
Net increase (decrease) in net assets resulting from operations | (21,921,468) | 8,493,665 | ||
Dividends to Shareholders from | ||||
Net investment income | (14,610,653) | (28,142,426) | ||
Net Assets | ||||
Total decrease in net assets | (36,532,121) | (19,648,761) | ||
Beginning of period | 334,064,727 | 353,713,488 | ||
End of period | $ 297,532,606 | $ 334,064,727 | ||
End of period undistributed net investment income | $ 3,742,258 | $ 4,037,077 | ||
See Notes to Financial Statements. |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.
FEBRUARY 29, 2008 |
15 |
Statement of Cash Flows | ||
For the Six Months Ended February 29, 2008 (Unaudited) | ||
Cash Provided by Operating Activities | ||
Net decrease in net assets resulting from operations | $ (21,921,468) | |
Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities: | ||
Increase in receivables, prepaid expenses and other assets | (782,658) | |
Increase in other liabilities | 649,819 | |
Net realized and unrealized loss | 36,999,714 | |
Amortization of premium and discount | (78,631) | |
Paid-in-kind income | (78,587) | |
Net realized loss on foreign currency | (501,961) | |
Proceeds from sales and paydowns of long-term securities | 96,283,946 | |
Purchases of long-term securities | (103,614,945) | |
Net purchases of short-term securities | (5,747,674) | |
Net cash provided by operating activities | 1,207,555 | |
Cash Used for Financing Activities | ||
Cash receipts from loan | 104,000,000 | |
Cash payments from loan | (102,500,000) | |
Cash dividends paid | (14,663,098) | |
Increase in bank overdraft | 2,339,329 | |
Net cash used for financing activities | (10,823,769) | |
Cash | ||
Net decrease in cash | (9,616,214) | |
Cash (including foreign cash) at beginning of period | 9,616,214 | |
Cash at end of period | $ — | |
Cash Flow Information | ||
Cash paid during the period for interest | $ 2,792,259 | |
See Notes to Financial Statements. |
16 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 29, 2008
Financial Highlights | ||||||||||||
For the Period | ||||||||||||
For the Six | October 31, | |||||||||||
Months Ended | For the Year Ended August 31, | 20031 to | ||||||||||
February 29, 2008 | August 31, | |||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | ||||||||
Per Share Operating Performance | ||||||||||||
Net asset value, beginning of period | $ 18.25 | $ 19.32 | $ 19.35 | $ 19.16 | $ 19.10 | |||||||
Net investment income | .782 | 1.542 | 1.402 | 1.232 | .66 | |||||||
Net realized and unrealized gain (loss) | (1.98) | (1.07) | (.06) | .08 | .02 | |||||||
Net increase (decrease) from investment operations | (1.20) | .47 | 1.34 | 1.31 | .68 | |||||||
Dividends and distributions from: | ||||||||||||
Net investment income | (.80) | (1.54) | (1.37) | (1.11) | (.60) | |||||||
Net realized gain | — | — | — | (.01) | — | |||||||
Total dividends and distributions | (.80) | (1.54) | (1.37) | (1.12) | (.60) | |||||||
Capital charges with respect to issuance of shares | — | — | — | — | (.02) | |||||||
Net asset value, end of period | $ 16.25 | $ 18.25 | $ 19.32 | $ 19.35 | $ 19.16 | |||||||
Market price, end of period | $ 14.97 | $ 16.70 | $ 17.49 | $ 17.85 | $ 19.44 | |||||||
Total Investment Return3 | ||||||||||||
Based on net asset value | (6.50%)4 | 2.74% | 7.92% | 7.27% | 3.50%4 | |||||||
Based on market price | (5.87%)4 | 3.85% | 5.91% | (2.47%) | .29%4 | |||||||
Ratios to Average Net Assets | ||||||||||||
Total expenses, net of waiver and excluding interest expense | 1.16%5 | 1.20% | 1.14% | 1.22% | .71%5 | |||||||
Total expenses, net of waiver | 2.84%5 | 3.33% | 2.54% | 2.18% | .87%5 | |||||||
Total expenses | 2.84%5 | 3.33% | 2.54% | 2.18% | 1.08%5 | |||||||
Net investment income | 8.86%5 | 7.88% | 7.30% | 6.34% | 3.80%5 | |||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000) | $ 297,533 | $ 334,065 | $ 353,713 | $ 354,114 | $ 350,254 | |||||||
Portfolio turnover | 23% | 69% | 57% | 48% | 43% | |||||||
Amount of loan outstanding, end of period (000) | $ 108,500 | $ 107,000 | $ 135,200 | $ 123,600 | $ 123,225 | |||||||
Average amount of loan outstanding during the | ||||||||||||
period (000) | $ 102,293 | $ 133,763 | $ 101,916 | $ 117,702 | $ 38,654 | |||||||
Asset coverage, end of period, per $1,000 of loan outstanding | $ 3,742 | $ 4,122 | $ 3,616 | $ 3,865 | $ 3,842 | |||||||
1 | Commencement of operations. |
2 | Based on average shares outstanding. |
3 | Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns exclude the effects of sales charges. |
4 | Aggregate total investment return. |
5 | Annualized. |
See Notes to Financial Statements. |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.
FEBRUARY 29, 2008 |
17 |
Notes to Financial Statements (Unaudited) 1. Significant Accounting Policies: BlackRock Floating Rate Income Strategies Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, closed-end management investment company. The Fund’s financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require the use of management accruals and esti- mates. Actual results may differ from these estimates. The Fund deter- mines, and makes available for publication, the net asset value of its Common Stock on a daily basis. The following is a summary of significant accounting policies followed by the Fund: Valuation of Investments: The Fund values most of its corporate bond investments on the basis of last available bid price or current market quotations provided by dealers or pricing services selected under the supervision of the Fund’s Board of Directors (the “Board”). In determin- ing the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, market transactions in comparable investments, various relationships observed in the market between investments, and calculated yield measures based on valuation technology commonly employed in the market for such investments. Floating rate loans are valued in accordance with guidelines established by the Fund’s Board. Floating rate loan interests are valued at the mean between the last available bid prices from one or more brokers or deal- ers as obtained from Loan Pricing Corporation (“LPC”). For the limited number of floating rate loans for which no reliable price quotes are available, such floating rate loans may be valued by LPC through the use of pricing matrixes to determine valuations. If the pricing service does not provide a value for a floating rate loan, BlackRock Advisors, LLC (the “Advisor”), an indirect, wholly owned subsidiary of BlackRock, Inc., will value the floating rate loan at fair value, which is intended to approximate market value. Equity investments traded on a national securities exchange or the NASDAQ Global Market System are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. Equity invest- ments traded on a national exchange for which there were no sales on that day and equity investments traded on over-the-counter (“OTC”) mar- kets for which market quotations are readily available are valued at the last available bid price. Effective September 4, 2007, exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade and previous- ly were valued at the last sales price as of the close of options trading on applicable exchanges. Over-the-counter (“OTC”) options quotations are provided by dealers or pricing services selected under the supervi- sion of the Board. Considerations utilized by dealers or pricing services in valuing OTC options include, but are not limited to, volatility |
factors of the underlying security, price movement of the underlying security in relation to the strike price and the time left until expiration of the option. Swap agreements are valued by quoted fair values received daily by the Fund’s pricing service. Short-term securities may be valued at amortized cost. In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment, the investment will be valued by, under the direction of, or in accordance with, a method approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the Advisor and/or sub-advisor seeks to determine the price that the Fund might reasonably expect to receive from the cur- rent sale of that asset in an arm’s-length transaction. Fair value determi- nations shall be based upon all available factors that the Advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subse- quently reported to the Board or a committee thereof. Generally, trading in foreign securities is substantially completed each day at various times prior to the close of business on the New York Stock Exchange (“NYSE”). The values of such securities used in computing the net assets of the Fund are determined as of such times. Foreign curren- cy exchange rates will be determined as of the close of business on the NYSE. Occasionally, events affecting the values of such securities and such exchange rates may occur between the times at which they are determined and the close of business on the NYSE that may not be reflected in the computation of the Fund’s net assets. If events (for example, a company announcement, market volatility or a natural disas- ter) occur during such periods that are expected to materially affect the value of such securities, those securities may be valued at their fair value as determined in good faith by the Board or by the Advisor using a pricing service and/or procedures approved by the Board. Floating Rate Loans: The Fund invests in floating rate loans, which are generally non-investment grade, made by banks, other financial institu- tions, and privately and publicly offered corporations. Floating rate loans generally pay interest at rates that are periodically determined by refer- ence to a base lending rate plus a premium. The base lending rates are generally (i) the lending rate offered by one or more European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more U.S. banks or (iii) the certificate of deposit rate. The Fund considers these investments to be investments in debt securi- ties for purposes of its investment policies. The Fund earns and/or pays facility and other fees on floating rate loans. Other fees earned/paid include commitment, amendment, con- sent, commissions and prepayment penalty fees. Facility, amendment and consent fees are typically amortized as premium and/or accreted as discount over the term of the loan. Commitment, commission and various other fees are recorded as income. Prepayment penalty fees are recorded as gains or losses. When the Fund buys a floating rate loan it |
18 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 29, 2008
Notes to Financial Statements (continued) may receive a facility fee and when it sells a floating rate loan it may pay a facility fee. On an ongoing basis, the Fund may receive a commit- ment fee based on the undrawn portion of the underlying line of credit portion of a floating rate loan. In certain circumstances, a Fund may receive a prepayment penalty fee upon the prepayment of a floating rate loan by a borrower. Other fees received by the Fund may include covenant waiver fees and covenant modification fees. The Fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks. Floating rate loans are usually freely callable at the issuer’s option. The Fund may invest in such loans in the form of participations in loans (“Participations”) and assignments of all or a portion of loans from third parties. Participations typically will result in the Fund having a contractu- al relationship only with the lender, not with the borrower. The Fund will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loans, nor any rights of offset against the borrower, and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Fund will assume the credit risk of both the borrower and the lender that is selling the Participation. The Fund’s investments in loan participation interests involve the risk of insolvency of the finan- cial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Derivative Financial Instruments: The Fund may engage in various portfolio investment strategies to increase the return of the Fund and to hedge, or protect, its exposure to interest rate movements and move- ments in the securities markets. Losses may arise if the value of the con- tract decreases due to an unfavorable change in the price of the under- lying security, or if the counterparty does not perform under the contract. •Options — The Fund may write and purchase call and put options. When the Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent lia- bility. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires (or the Fund enters into |
a closing transaction), the Fund realizes a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction is less than or exceeds the premiums paid or received). If an option is exercised, the premium paid or received is added to the cost of the purchase or the proceeds from the sale in determining whether the Fund has realized a gain or a loss on investment transactions. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying position at the exercise price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying position at the exercise price at any time or at a specified time dur- ing the option period. •Forward foreign exchange contracts — The Fund may enter into for- ward foreign exchange contracts as a hedge against either specific transactions or portfolio positions. Forward currency contracts, when used by the Fund, help to manage the overall exposure to the foreign currency backing some of the investments held by the Fund. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. •Credit Default Swaps — The Fund may invest in credit default swaps, which are agreements in which one party pays fixed periodic pay- ments to a counterparty in consideration for a guarantee from the counterparty to make a specific payment should a negative credit event take place. These periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are also realized upon termination of swap agreements. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). Risks arise from the possible inability of the counter- parties to meet the terms of their contracts. The Fund is exposed to credit loss in the event of non-performance by the other party to the swap. The Fund may utilize credit default swaps for the purpose of reducing the interest rate sensitivity of the portfolio and decreasing the Fund’s exposure to interest rate risk. Foreign Currency Transactions: Foreign currency amounts are translated into United States dollars on the following basis: (i) market value of investment securities, assets and liabilities at the current rate of exchange; and (ii) purchases and sales of investment securities, income and expenses at the rates of exchange prevailing on the respective dates of such transactions. |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.
FEBRUARY 29, 2008 |
19 |
Notes to Financial Statements (continued) The Fund reports foreign currency related transactions as components of realized gains for financial reporting purposes, whereas such compo- nents are treated as ordinary income for federal income tax purposes. Income Taxes: It is the Fund’s policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment compa- nies and to distribute substantially all of its taxable income to its share- holders. Therefore, no federal income tax provision is required. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates. Effective February 29, 2008, the Fund implemented Financial Accounting Standards Board (“FASB”) Interpretation No. 48, “Accounting for Uncertainty in Income Taxes — an interpretation of FASB Statement No. 109” (“FIN 48”). FIN 48 prescribes the minimum recognition thresh- old a tax position must meet in connection with accounting for uncer- tainties in income tax positions taken or expected to be taken by an entity, including investment companies, before being measured and recognized in the financial statements. The Advisor has evaluated the application of FIN 48 to the Fund, and has determined that the adoption of FIN 48 does not have a material impact on the Fund’s financial state- ments. The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns remain open for the years ended August 31, 2004 through August 31, 2006. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. Investment Transactions and Investment Income: Investment trans- actions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on security transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Interest income is recognized on the accrual basis. The Fund amortizes all premiums and discounts on debt securities. Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are record- ed on the ex-dividend dates. Bank Overdraft: The Fund recorded a bank overdraft, which resulted from management estimates of available cash. Recent Accounting Pronouncements: In September 2006, Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. FAS 157 defines fair value, establishes a frame- work for measuring fair value and expands disclosures about fair value measurements. The impact on the Fund’s financial statement disclo- sures, if any, is currently being assessed. |
In addition, in February 2007, Statement of Financial Accounting Standards No. 159, “The Fair Value Option for Financial Assets and Financial Liabilities” (“FAS 159”), was issued and is effective for fiscal years beginning after November 15, 2007. Early adoption is permitted as of the beginning of a fiscal year that begins on or before November 15, 2007, provided the entity also elects to apply the provisions of FAS 157. FAS 159 permits entities to choose to measure many financial instruments and certain other items at fair value that are not currently required to be measured at fair value. FAS 159 also establishes presen- tation and disclosure requirements designed to facilitate comparisons between entities that choose different measurement attributes for similar types of assets and liabilities. The impact on the Fund’s financial state- ment disclosures, if any, is currently being assessed. Segregation: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Fund segregate assets in connection with certain investments (e.g., swaps), the Fund will, consistent with certain interpretive letters issued by the SEC, designate on its books and records cash or other liquid debt securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by the Fund's Board, non-interested Directors (“Independent Directors”) defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of other certain BlackRock Closed-End Funds selected by the Independent Directors. This has approximately the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in other certain BlackRock Closed-End Funds. The deferred compensation, if any, is included in other assets in the Statement of Assets and Liabilities. The deferred compensation plan is not funded and obligations thereun- der represent general unsecured claims against the general assets of the Fund. Each Fund may, however, elect to invest in common shares of other certain BlackRock Closed-End Funds selected by the Independent Directors in order to match its deferred compensation obligations. Other: Expenses that are directly related to one of the Funds are charged to that Fund. Other operating expenses are pro-rated to certain Funds on the basis of relative net assets. |
20 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 29, 2008
Notes to Financial Statements (concluded) 2. Investment Advisory Agreement and Other Transactions with Affiliates: The Fund entered into an Investment Advisory Agreement with the Advisor to provide investment advisory and administration services. Merrill Lynch & Co., Inc. (“Merrill Lynch”) and The PNC Financial Services Group, Inc. are principal owners of BlackRock, Inc. The Advisor is responsible for the management of the Fund’s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of the Fund. For such services, the Fund pays the Advisor a monthly fee at an annual rate of 0.75% of the average daily value of the Fund’s net assets plus the proceeds of any outstanding borrowings used for leverage. In addition, the Advisor has entered into a separate sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Advisor, under which the Advisor pays BFM for services it provides, a monthly fee that is a percentage of the management fee paid by the Fund to the Advisor. For the six months ended February 29, 2008, the Fund reimbursed the Advisor for certain accounting services. The reimbursements, which are included in accounting services expenses in the Statement of Operations, was $3,027. Certain officers and/or directors of the Fund are officers and/or directors of BlackRock, Inc. or its affiliates. 3. Investments: Purchases and sales (including paydowns) of investments, excluding short-term securities, for the six months ended February 29, 2008 were $114,014,599 and $100,161,273, respectively. 4. Capital Stock Transactions: The Fund is authorized to issue 200,000,000 shares of capital stock, par value $0.10, all of which are initially classified as Common Stock. The Board is authorized, however, to classify and reclassify any unissued shares of capital stock without approval of the holders of Common Stock. Shares issued and outstanding during the six months ended February 29, 2008 and the year ended August 31, 2007 remained constant. 5. Commitments: The Fund may invest in floating rate loans. In connection with these investments, the Fund may, with its Advisor, also enter into unfunded corporate loans (“commitments”). Commitments may obligate the Fund to furnish temporary financing to a borrower until permanent financing |
can be arranged. At February 29, 2008, the Fund had outstanding com- mitments of $3,832,000. In connection with these commitments, the Fund earns a commitment fee, typically set as a percentage of the com- mitment amount. Such fee income, which is classified in the Statement of Operations as facility and other fees, is recognized ratably over the commitment period. As of February 29, 2008, the Fund had the follow- ing unfunded loan commitments: |
Value of | ||||
Unfunded | Underlying | |||
Commitment | Loan | |||
Borrower | (000) | (000) | ||
American Greetings Corp | $1,000 | $940 | ||
Big West Oil & Gas | $ 425 | $389 | ||
Community Health | $ 168 | $169 | ||
Golden Nugget, Inc | $ 182 | $156 | ||
Las Vegas Sands | $ 400 | $356 | ||
MEG Energy Corp | $ 671 | $605 | ||
Ng Wireless | $ 94 | $ 89 | ||
Univision Communications, Inc | $ 92 | $ 84 | ||
Vought Aircraft Industries, Inc | $ 800 | $743 | ||
6. Short-Term Borrowings: |
The Fund is a party to a revolving credit and security agreement funded by a commercial paper asset securitization program with Citicorp North America, Inc. (“Citicorp”), as Agent, certain secondary backstop lenders and certain asset securitization conduits, as lenders (the “Lenders”). On May 16, 2007, the agreement was renewed for one year and has a maximum limit of $172,500,000. Under the Citicorp administered pro- gram, the conduits will fund advances to the Fund through highly rated commercial paper. The Fund has granted a security interest in substan- tially all of its assets to, and in favor of, the Lenders as security for its obligations to the Lenders. The interest rate on the Fund borrowings is based on the interest rate carried by the commercial paper plus a program fee. In addition, the Fund pays a liquidity fee to the secondary backstop lenders and the agent. The weighted average annual interest rate was 5.36% for the six months ended February 29, 2008. 7. Capital Loss Carryforward: As of August 31, 2007, the Fund had capital loss carryforwards of $691,829, all of which expires in 2013. This amount will be available to offset future realized capital gains. 8. Subsequent Event: The Fund paid an ordinary income dividend in the amount of $0.124835 per share on March 31, 2008 to shareholders of record on March 14, 2008. |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.
FEBRUARY 29, 2008 |
21 |
Officers and Directors G. Nicholas Beckwith, III, Director Richard E. Cavanagh, Director Richard S. Davis, Director Kent Dixon, Director Frank J. Fabozzi, Director Kathleen F. Feldstein, Director James T. Flynn, Director Henry Gabbay, Director Jerrold B. Harris, Director R. Glenn Hubbard, Director W. Carl Kester, Director Karen . Robards, Director Robert S. Salomon, Jr., Director Donald C. Burke, Fund President and Chief Executive Officer Anne F. Ackerley, Vice President Neal J. Andrews, Chief Financial Officer Jay M. Fife, Treasurer Brian . Kindelan, Chief Compliance Officer Howard Surloff, Secretary |
Custodian State Street Bank and Trust Company Boston, MA 02101 Transfer Agent Computershare Trust Company, N.A. Providence, RI 02940 Accounting Agent State Street Bank and Trust Company Princeton, NJ 08540 Independent Registered Public Accounting Firm Deloitte & Touche LLP Princeton, NJ 08540 Legal Counsel Skadden, Arps, Slate, Meagher & Flom LLP New York, NY 10036 |
Additional Information Availability of Quarterly Schedule of Investments The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the |
SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. The Fund’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762. |
Electronic Delivery Electronic copies of most financial reports are available on the Fund’s website or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Fund’s electronic delivery program. |
Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages: Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service. |
22 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC. FEBRUARY 29, 2008
Additional Information (concluded) General Information The Fund will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and it is intended to reduce expenses and elimi- nate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact the Fund at (800) 441-7762. |
Quarterly performance, semi-annual and annual reports and other information regarding the Fund may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Fund and does not, and is not intended to, incorporate BlackRock’s website into this report. |
BlackRock Privacy Principles |
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following infor- mation is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties. If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy- related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations. BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on appli- cations, forms or other documents; (ii) information about your transac- tions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites. |
BlackRock does not sell or disclose to non-affiliated third parties any non- public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose. We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information. |
BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.
FEBRUARY 29, 2008 |
23 |
![](https://capedge.com/proxy/N-CSRS/0000900092-08-000128/brfltrtincstratsar02081x24x1.jpg)
This report is transmitted to shareholders only. It is not a pro- spectus. Past performance results shown in this report should not be considered a representation of future performance. The Fund leverages its Common Stock, which creates risk for Common Stock shareholders, including the likelihood of greater volatility of net asset value and market price of Common Stock shares, and the risk that fluctuations in short-term interest rates may reduce the Common Stock’s yield. Statements and other information herein are as dated and are subject to change. A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securi- ties is available (1) without charge, upon request, by calling toll-free (800) 441-7762; (2) at www.blackrock.com; and (3) on the Securities and Exchange Commission’s website at http://www.sec.gov. Information about how the Fund voted proxies relating to securities held in the Fund’s portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at www.blackrock.com or by calling (800) 441-7762 and (2) on the Securities and Exchange Commission’s website at http://www.sec.gov. BlackRock Floating Rate Income Strategies Fund, Inc. 100 Bellevue Parkway Wilmington, DE 19809 |
#FRIS-2/08 |
Item 2 – Code of Ethics – Not Applicable to this semi-annual report Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report Item 5 – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report Item 6 – Schedule of Investments – The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not Applicable to this semi-annual report Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable Item 10 – Submission of Matters to a Vote of Security Holders – The registrant’s Nominating and Governance Committee will consider nominees to the Board recommended by shareholders when a vacancy becomes available. Shareholders who wish to recommend a nominee should send nominations which include biographical information and set forth the qualifications of the proposed nominee to the registrant’s Secretary. There have been no material changes to these procedures. Item 11 – Controls and Procedures 11(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. 11(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 second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. Item 12 – Exhibits attached hereto 12(a)(1) – Code of Ethics – Not Applicable to this semi-annual report 12(a)(2) – Certifications – Attached hereto 12(a)(3) – Not Applicable 12(b) – 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/ Donald C. Burke Donald C. Burke Chief Executive Officer of BlackRock Floating Rate Income Strategies Fund, Inc. Date: April 23, 2008 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/ Donald C. Burke Donald C. Burke Chief Executive Officer (principal executive officer) of BlackRock Floating Rate Income Strategies Fund, Inc. Date: April 23, 2008 By: /s/ Neal J. Andrews Neal J. Andrews Chief Financial Officer (principal financial officer) of BlackRock Floating Rate Income Strategies Fund, Inc. Date: April 23, 2008 |