Schedule of Investments (unaudited) September 30, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security |
Shares | Value | ||||||||||
Common Stocks | ||||||||||||
Construction & Engineering — 0.0% | ||||||||||||
McDermott International Ltd.(a) | 123,933 | $ | 55,770 | |||||||||
|
| |||||||||||
Diversified Financial Services — 0.0% | ||||||||||||
Kcad Holdings I Ltd.(b) | 309,827,230 | 3,098 | ||||||||||
|
| |||||||||||
Electrical Equipment — 0.0% | ||||||||||||
SunPower Corp.(a) | 1,860 | 42,855 | ||||||||||
|
| |||||||||||
Metals & Mining — 0.0% | ||||||||||||
Project Investor Holdings LLC, (Acquired 02/12/19, | 6,099 | 744 | ||||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment — 0.0% | ||||||||||||
Maxeon Solar Technologies Ltd.(a) | 232 | 5,515 | ||||||||||
|
| |||||||||||
Software — 0.0% | ||||||||||||
Avaya Holdings Corp.(a) | 66 | (d) | 105 | |||||||||
|
| |||||||||||
Specialty Retail — 0.1% | ||||||||||||
NMG Parent LLC | 3,613 | 611,200 | ||||||||||
|
| |||||||||||
Total Common Stocks — 0.1% |
| 719,287 | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Corporate Bonds | ||||||||||||
Airlines — 0.3% | ||||||||||||
Allegiant Travel Co., 8.50%, 02/05/24(e) | USD | 1,195 | 1,181,281 | |||||||||
|
| |||||||||||
Auto Components — 0.1% | ||||||||||||
Clarios Global LP, 6.75%, 05/15/25(e) | 446 | 436,737 | ||||||||||
|
| |||||||||||
Building Materials — 0.0% | ||||||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(e) | 118 | 103,840 | ||||||||||
|
| |||||||||||
Building Products — 0.1% | ||||||||||||
White Cap Buyer LLC, 6.88%, 10/15/28(e) | 250 | 203,990 | ||||||||||
|
| |||||||||||
Capital Markets — 0.0% | ||||||||||||
AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27(e) | 119 | 111,860 | ||||||||||
|
| |||||||||||
Chemicals(e) — 0.1% | ||||||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28 | 51 | 42,330 | ||||||||||
WR Grace Holdings LLC, 5.63%, 08/15/29 | 388 | 291,000 | ||||||||||
|
| |||||||||||
333,330 | ||||||||||||
Construction Materials — 0.1% | ||||||||||||
Wesco Aircraft Holdings, Inc., 9.00%, 11/15/26(e) | 1,028 | 616,800 | ||||||||||
|
| |||||||||||
Diversified Telecommunication Services(e) — 0.1% | ||||||||||||
Lumen Technologies, Inc., 5.38%, 06/15/29 | 398 | 295,779 | ||||||||||
Zayo Group Holdings, Inc., 6.13%, 03/01/28 | 251 | 176,096 | ||||||||||
|
| |||||||||||
471,875 | ||||||||||||
Electric Utilities — 0.0% | ||||||||||||
Pike Corp., 5.50%, 09/01/28(e) | 144 | 116,640 | ||||||||||
Texas Competitive Electric Holdings, 1.00%, 11/10/21(a)(b)(f) | 1,710 | — | ||||||||||
|
| |||||||||||
116,640 |
Security | Par (000) | Value | ||||||||||
Electronic Equipment, Instruments & Components — 0.2% | ||||||||||||
Vertiv Group Corp., 4.13%, 11/15/28(e) | USD | 901 | $ | 725,305 | ||||||||
|
| |||||||||||
Health Care Equipment & Supplies — 0.1% | ||||||||||||
Avantor Funding, Inc., 3.88%, 11/01/29(e) | 374 | 303,763 | ||||||||||
|
| |||||||||||
Health Care Providers & Services — 0.1% | ||||||||||||
Medline Borrower LP, 5.25%, 10/01/29(e) | 384 | 289,920 | ||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure(e) — 0.1% | ||||||||||||
Caesars Entertainment, Inc., 4.63%, 10/15/29 | 390 | 297,992 | ||||||||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 6.75%, 01/15/30 | 381 | 289,356 | ||||||||||
|
| |||||||||||
587,348 | ||||||||||||
Insurance — 0.1% | ||||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(e) | 357 | 307,659 | ||||||||||
|
| |||||||||||
Internet Software & Services(e) — 0.2% | ||||||||||||
Expedia Group, Inc., 6.25%, 05/01/25 | 337 | 339,199 | ||||||||||
Uber Technologies, Inc., 4.50%, 08/15/29 | 381 | 320,278 | ||||||||||
|
| |||||||||||
659,477 | ||||||||||||
Machinery — 0.2% | ||||||||||||
Madison IAQ LLC, 5.88%, 06/30/29(e) | 1,203 | 837,962 | ||||||||||
|
| |||||||||||
Media(e) — 0.2% | ||||||||||||
Liberty Broadband Corp., 2.75%, 09/30/50 | 513 | 491,825 | ||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(g) | 225 | 87,510 | ||||||||||
Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 09/15/26 | 573 | 469,992 | ||||||||||
|
| |||||||||||
1,049,327 | ||||||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||||||
Occidental Petroleum Corp., 6.63%, 09/01/30 | 619 | 628,285 | ||||||||||
|
| |||||||||||
Real Estate Management & Development — 0.0% | ||||||||||||
Realogy Group LLC/Realogy Co.-Issuer Corp., 5.75%, 01/15/29(e) | 265 | 191,131 | ||||||||||
|
| |||||||||||
Wireless Telecommunication Services — 0.0% | ||||||||||||
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25(e) | 138 | 129,862 | ||||||||||
|
| |||||||||||
Total Corporate Bonds — 2.1% |
| 9,286,392 | ||||||||||
|
| |||||||||||
Floating Rate Loan Interests(h) |
| |||||||||||
Aerospace & Defense — 3.4% | ||||||||||||
Atlas CC Acquisition Corp. | ||||||||||||
Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 7.32%, 05/25/28 | 2,854 | 2,495,547 | ||||||||||
Term Loan C, (3 mo. LIBOR + 4.25%, 0.75% Floor), 7.32%, 05/25/28 | 580 | 507,568 | ||||||||||
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, | 709 | 684,220 | ||||||||||
Cobham Ultra U.S. Co-Borrower LLC, USD Term Loan B, (6 mo. LIBOR + 3.75%, 0.50% Floor), 7.06%, 08/03/29 | 374 | 357,170 | ||||||||||
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 8.63%, 04/09/26(b) | 764 | 588,496 |
1 |
|
Schedule of Investments (unaudited) (continued) September 30, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Aerospace & Defense (continued) | ||||||||||||
Peraton Corp. | ||||||||||||
2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%, 0.75% Floor), 10.57%, 02/01/29 | USD | 1,699 | $ | 1,602,718 | ||||||||
Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 6.87%, 02/01/28 | 5,715 | 5,406,299 | ||||||||||
Spirit Aerosystems, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.50% Floor), 6.87%, 01/15/25 | 988 | 975,450 | ||||||||||
TransDigm, Inc., 2020 Term Loan F, (3 mo. LIBOR + 2.25%), 5.92%, 12/09/25 | 2,527 | 2,416,961 | ||||||||||
|
| |||||||||||
15,034,429 | ||||||||||||
Air Freight & Logistics — 0.4% | ||||||||||||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 7.04%, 04/06/28 | 580 | 528,653 | ||||||||||
Kestrel Bidco, Inc., Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.99%, 12/11/26 | 415 | 364,125 | ||||||||||
PECF USS Intermediate Holding III Corp., Term Loan B, (1 mo. LIBOR + 4.25%, 0.50% Floor), 7.37%, 12/15/28 | 963 | 819,375 | ||||||||||
|
| |||||||||||
1,712,153 | ||||||||||||
Airlines — 3.0% | ||||||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 7.46%, 04/20/28 | 1,636 | 1,581,750 | ||||||||||
Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 6.42%, 08/11/28 | 2,042 | 1,938,445 | ||||||||||
American Airlines, Inc. | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 4.87%, 01/29/27 | 276 | 253,241 | ||||||||||
2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 4.82%, 12/15/23 | 1,557 | 1,534,893 | ||||||||||
2018 Term Loan B, (1 mo. LIBOR + 1.75%), 4.83%, 06/27/25 | 1,253 | 1,213,337 | ||||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 8.78%, 06/21/27 | 3,282 | 3,289,637 | ||||||||||
United Airlines, Inc., 2021 Term Loan B, | 3,698 | 3,522,567 | ||||||||||
|
| |||||||||||
13,333,870 | ||||||||||||
Auto Components — 2.4% | ||||||||||||
Adient U.S. LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 6.37%, 04/10/28 | 815 | 767,338 | ||||||||||
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 6.37%, 04/30/26 | 3,646 | 3,440,894 | ||||||||||
Truck Hero, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 6.62%, 01/31/28 | 25 | 21,841 | ||||||||||
USI, Inc. | ||||||||||||
2017 Repriced Term Loan, (3 mo. LIBOR + 2.75%), 6.42%, 05/16/24 | 3,740 | 3,634,105 | ||||||||||
2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 6.92%, 12/02/26 | 214 | 205,575 | ||||||||||
Wand NewCo 3, Inc., 2020 Term Loan, | 2,579 | 2,384,371 | ||||||||||
|
| |||||||||||
10,454,124 |
Security | Par (000) | Value | ||||||||||
Banks — 0.8% | ||||||||||||
Directv Financing LLC, Term Loan, | USD | 2,433 | $ | 2,260,490 | ||||||||
LABL, Inc., 2021 USD 1st Lien Term Loan, | 1,609 | 1,446,704 | ||||||||||
|
| |||||||||||
3,707,194 | ||||||||||||
Beverages — 0.8% | ||||||||||||
Naked Juice LLC | ||||||||||||
2nd Lien Term Loan, (3 mo. SOFR + 6.00%, 0.50% Floor), 9.65%, 01/24/30 | 1,179 | 1,066,933 | ||||||||||
Term Loan, (3 mo. SOFR + 3.25%, 0.50% Floor), 6.90%, 01/24/29 | 2,535 | 2,318,425 | ||||||||||
|
| |||||||||||
3,385,358 | ||||||||||||
Building Materials — 0.1% | ||||||||||||
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 6.07%, 04/12/28 | 267 | 218,387 | ||||||||||
|
| |||||||||||
Building Products — 2.0% | ||||||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, | 1,470 | 1,274,081 | ||||||||||
CPG International LLC, 2022 Term Loan B, | 800 | 770,000 | ||||||||||
Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 5.37%, 07/28/28 | 821 | 760,186 | ||||||||||
LSF10 XL Bidco SCA, 2021 EUR Term Loan B4, (3 mo. EURIBOR + 3.67%), 4.87%, 04/12/28 | EUR | 854 | 668,461 | |||||||||
New AMI I LLC, 2022 Term Loan B, (1 mo. SOFR + 6.00%, 0.50% Floor), 9.03%, 03/08/29(b) | USD | 848 | 746,504 | |||||||||
Standard Industries, Inc., 2021 Term Loan B, (6 mo. LIBOR + 2.50%, 0.50% Floor), 6.68%, 09/22/28 | 1,617 | 1,566,267 | ||||||||||
Wilsonart LLC, 2021 Term Loan E, (3 mo. LIBOR + 3.25%, 1.00% Floor), 6.93%, 12/31/26 | 3,180 | 2,895,746 | ||||||||||
|
| |||||||||||
8,681,245 | ||||||||||||
Capital Markets — 3.3% | ||||||||||||
AqGen Ascensus, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%, 0.50% Floor), 8.81%, 08/02/29 | 2,698 | 2,415,141 | ||||||||||
Deerfield Dakota Holding LLC | ||||||||||||
2020 USD Term Loan B, (1 mo. SOFR CME + 3.75%, 1.00% Floor), 6.78%, 04/09/27 | 6,194 | 5,833,069 | ||||||||||
2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 9.87%, 04/07/28(b) | 1,806 | 1,742,790 | ||||||||||
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 6.69%, 11/12/27 | 1,518 | 1,446,294 | ||||||||||
FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 5.62%, 06/27/25 | 615 | 607,222 | ||||||||||
Focus Financial Partners LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.50%, 0.50% Floor), 5.62%, 06/30/28 | 1,474 | 1,423,924 | ||||||||||
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 6.32%, 04/12/24(b) | 1,170 | 1,140,518 | ||||||||||
|
| |||||||||||
14,608,958 | ||||||||||||
Chemicals — 4.5% | ||||||||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (6 mo. SOFR CME + 4.75%, 0.75% Floor), 8.83%, 08/27/26 | 2,521 | 2,463,363 |
SCHEDULE OF INVESTMENTS | 2 |
Schedule of Investments (unaudited) (continued) September 30, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Chemicals (continued) | ||||||||||||
Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 5.42%, 06/01/24 | USD | 696 | $ | 684,273 | ||||||||
CPC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 7.42%, 12/29/27 | 730 | 566,266 | ||||||||||
Discovery Purchaser Corp., 10/04/29(i) | 1,328 | 1,211,800 | ||||||||||
Element Solutions, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 5.12%, 01/31/26 | 1,987 | 1,969,744 | ||||||||||
Illuminate Buyer LLC, 2021 Term Loan, | 1,395 | 1,261,252 | ||||||||||
Lonza Group AG, USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 7.67%, 07/03/28 | 1,077 | 955,540 | ||||||||||
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 6.17%, 03/02/26 | 2,373 | 2,264,427 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 6.37%, 05/15/24 | 1,502 | 1,455,204 | ||||||||||
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (1 mo. LIBOR + 3.25%), 5.94%, 10/14/24 | 1,724 | 1,555,903 | ||||||||||
PQ Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.50%, 0.50% Floor), 5.31%, 06/09/28 | 1,734 | 1,649,081 | ||||||||||
Pregis TopCo Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 4.00%, 0.50% Floor), 6.81%, 07/31/26(b) | 703 | 665,757 | ||||||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 6.81%, 03/16/27 | 1,057 | 979,585 | ||||||||||
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 5.80%, 08/02/28 | 1,649 | 1,561,128 | ||||||||||
Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 2.75%), 5.87%, 10/01/25 | 159 | 149,339 | ||||||||||
W.R. Grace Holdings LLC, 2021 Term | 537 | 501,370 | ||||||||||
|
| |||||||||||
19,894,032 | ||||||||||||
Commercial Services & Supplies — 4.6% | ||||||||||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1 mo. LIBOR + 3.75%, 0.50% Floor), 6.87%, 05/12/28 | 2,629 | 2,305,830 | ||||||||||
Amentum Government Services Holdings LLC, 2022 Term Loan, (3 mo. SOFR CME + 4.00%), 7.39%, 02/15/29(b) | 789 | 751,544 | ||||||||||
Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 4.87%, 03/11/25 | 155 | 149,312 | ||||||||||
Asurion LLC | ||||||||||||
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 6.12%, 11/03/24 | 1,130 | 1,054,715 | ||||||||||
2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 8.37%, 01/31/28 | 1,117 | 837,554 | ||||||||||
2021 2nd Lien Term Loan B4, (1 mo. LIBOR + 5.25%), 8.37%, 01/20/29 | 1,596 | 1,212,960 | ||||||||||
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.00%), 5.12%, 10/08/28 | 699 | 691,880 | ||||||||||
Covanta Holding Corp. | ||||||||||||
2021 Term Loan B, (1 mo. LIBOR + 2.50%, 0.50% Floor), 5.62%, 11/30/28 | 1,137 | 1,100,745 | ||||||||||
2021 Term Loan C, (1 mo. LIBOR + 2.50%, 0.50% Floor), 5.62%, 11/30/28 | 86 | 82,867 | ||||||||||
Creative Artists Agency LLC, 2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 7.37%, 11/27/26 | 1,955 | 1,923,505 |
Security | Par (000) | Value | ||||||||||
Commercial Services & Supplies (continued) | ||||||||||||
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 7.37%, 12/12/25 | USD | 2,545 | $ | 2,471,472 | ||||||||
EnergySolutions LLC, 2018 Term Loan B, | 517 | 477,372 | ||||||||||
Packers Holdings LLC, 2021 Term Loan, | 1,676 | 1,534,331 | ||||||||||
Prime Security Services Borrower LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%, 0.75% Floor), 5.30%, 09/23/26 | 1,933 | 1,868,937 | ||||||||||
Vericast Corp., 2021 Term Loan, (3 mo. LIBOR + 7.75%, 1.00% Floor), 11.42%, 06/16/26 | 327 | 226,365 | ||||||||||
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 7.12%, 08/27/25 | �� | 3,124 | 3,023,022 | |||||||||
Viad Corp., Initial Term Loan, (1 mo. LIBOR + 5.00%, 0.50% Floor), 8.12%, 07/30/28 | 784 | 739,646 | ||||||||||
|
| |||||||||||
20,452,057 | ||||||||||||
Communications Equipment — 0.5% | ||||||||||||
ViaSat, Inc., Term Loan, (1 mo. SOFR CME + 4.50%, 0.50% Floor), 7.65%, 03/02/29 | 2,521 | 2,228,255 | ||||||||||
|
| |||||||||||
Construction & Engineering — 1.9% | ||||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.95%, 06/21/24 | 3,718 | 3,226,883 | ||||||||||
Pike Corp., 2021 Incremental Term Loan B, | 1,045 | 1,012,271 | ||||||||||
SRS Distribution, Inc., 2021 Term Loan B, | 2,778 | 2,558,665 | ||||||||||
USIC Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 6.62%, 05/12/28 | 1,756 | 1,640,957 | ||||||||||
|
| |||||||||||
8,438,776 | ||||||||||||
Construction Materials — 1.8% | ||||||||||||
Core & Main LP, 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 5.58%, 07/27/28 | 4,109 | 3,919,216 | ||||||||||
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 6.12%, 03/29/25 | 2,384 | 2,285,087 | ||||||||||
Oscar AcquisitionCo, LLC, Term Loan B, | 1,108 | 1,012,900 | ||||||||||
Tamko Building Products LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 6.08%, 06/01/26 | 867 | 816,190 | ||||||||||
|
| |||||||||||
8,033,393 | ||||||||||||
Containers & Packaging — 1.6% | ||||||||||||
BWAY Holding Co., 2017 Term Loan B, | 2,373 | 2,205,703 | ||||||||||
Charter Next Generation, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.56%, 12/01/27 | 2,284 | 2,163,066 | ||||||||||
Pregis TopCo Corp., 1st Lien Term Loan, | 617 | 586,195 | ||||||||||
Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 6.65%, 08/18/27 | 1,180 | 1,033,476 | ||||||||||
Trident TPI Holdings, Inc. | ||||||||||||
2021 Delayed Draw Term Loan, (3 mo. LIBOR + 4.00%, 0.50% Floor), 6.30%, 09/15/28 | 90 | 84,896 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%, 0.50% Floor), 7.67%, 09/15/28 | 1,007 | 952,160 | ||||||||||
|
| |||||||||||
7,025,496 |
3 |
|
Schedule of Investments (unaudited) (continued) September 30, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Distributors — 0.8% | ||||||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 5.12%, 01/15/27 | USD | 1,197 | $ | 1,157,398 | ||||||||
TMK Hawk Parent Corp.(b) | ||||||||||||
2020 Super Priority First Out Term | 957 | 880,245 | ||||||||||
2020 Super Priority Second Out Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.57%, 08/28/24 | 3,057 | 1,604,974 | ||||||||||
|
| |||||||||||
3,642,617 | ||||||||||||
Diversified Consumer Services — 2.9% | ||||||||||||
2U, Inc., Term Loan, (1 mo. LIBOR + 5.75%, 0.75% Floor), 8.87%, 12/30/24 | 1,429 | 1,358,896 | ||||||||||
Ascend Learning LLC | ||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%, 0.50% Floor), 8.87%, 12/10/29 | 781 | 676,057 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 6.62%, 12/11/28 | 1,929 | 1,776,996 | ||||||||||
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%, 0.50% Floor), 5.37%, 11/24/28 | 930 | 897,423 | ||||||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.87%, 07/11/25 | 2,232 | 2,160,617 | ||||||||||
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (PRIME + 7.75%), 0.00%, 06/30/27 | 13 | 11,391 | ||||||||||
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (3 mo. LIBOR + 2.25%), 5.16%, 05/15/24 | 1,118 | 1,058,716 | ||||||||||
OLA Netherlands BV, Term Loan, (1 mo. SOFR CME + 6.25%, 0.75% Floor), 9.20%, 12/15/26 | 866 | 822,177 | ||||||||||
PAI Holdco, Inc., 2020 Term Loan B, | 759 | 717,365 | ||||||||||
Serta Simmons Bedding LLC | ||||||||||||
2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 10.79%, 08/10/23 | 466 | 450,967 | ||||||||||
2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 10.79%, 08/10/23 | 730 | 380,633 | ||||||||||
Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%, 0.50% Floor), 7.01%, 01/15/27 | 1,784 | 1,721,790 | ||||||||||
Voyage Australia Pty. Ltd., USD Term | 741 | 711,366 | ||||||||||
|
| |||||||||||
12,744,394 | ||||||||||||
Diversified Financial Services — 7.1% | ||||||||||||
Advisor Group, Inc., 2021 Term Loan, | 1,024 | 971,623 | ||||||||||
Alchemy Copyrights LLC, Term Loan B, | 846 | 822,519 | ||||||||||
AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%, 0.50% Floor), 5.87%, 02/04/28 | 1,736 | 1,663,953 | ||||||||||
AqGen Island Holdings, Inc., Term Loan, | 3,554 | 3,225,321 | ||||||||||
Castlelake Aviation Ltd., Term Loan B, | 2,329 | 2,247,249 |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.50%, 0.50% Floor), 5.62%, 09/01/28 | USD | 1,600 | $ | 1,542,753 | ||||||||
Delta TopCo, Inc. | ||||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 10.33%, 12/01/28 | 670 | 586,250 | ||||||||||
2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.83%, 12/01/27 | 1,733 | 1,565,465 | ||||||||||
EG America LLC, 2018 USD Term Loan, | 906 | 843,483 | ||||||||||
Gainwell Acquisition Corp., Term Loan B, | 3,270 | 3,109,300 | ||||||||||
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (3 mo. SOFR CME + 4.00%, 0.50% Floor), 7.70%, 02/16/28 | 429 | 409,730 | ||||||||||
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.62%, 07/03/24 | 1,677 | 1,614,696 | ||||||||||
KKR Apple Bidco LLC | ||||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%, 0.50% Floor), 8.87%, 09/21/29 | 248 | 236,426 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 2.75%, 0.50% Floor), 5.87%, 09/23/28 | 603 | 574,903 | ||||||||||
LBM Acquisition LLC, Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 7.12%, 12/17/27 | 510 | 444,216 | ||||||||||
Radiate Holdco LLC, 2021 Term Loan B, | 2,183 | 2,014,307 | ||||||||||
RVR Dealership Holdings LLC, Term Loan B, (1 mo. SOFR + 3.75%, 0.75% Floor), 6.87%, 02/08/28 | 733 | 644,046 | ||||||||||
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3 mo. LIBOR + 2.00%), 5.67%, 11/05/28 | 1,340 | 1,306,500 | ||||||||||
SMG U.S. Midco 2, Inc., 2020 Term Loan, | 420 | 399,242 | ||||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 7.92%, 07/30/25 | 225 | 213,832 | ||||||||||
Veritas U.S., Inc., 2021 USD Term Loan B, | 3,726 | 2,942,236 | ||||||||||
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 6.12%, 02/28/27 | 1,470 | 1,420,191 | ||||||||||
White Cap Buyer LLC, Term Loan B, (1 mo. SOFR CME + 3.75%), 6.78%, 10/19/27 | 1,232 | 1,150,505 | ||||||||||
Ziggo Financing Partnership, USD Term | 1,617 | 1,541,001 | ||||||||||
|
| |||||||||||
31,489,747 | ||||||||||||
Diversified Telecommunication Services — 1.7% | ||||||||||||
Cablevision Lightpath LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 6.07%, 11/30/27 | 568 | 542,688 | ||||||||||
Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 6.63%, 10/02/27 | 808 | 695,493 | ||||||||||
Frontier Communications Corp., 2021 DIP Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 7.44%, 05/01/28 | 1,982 | 1,838,521 | ||||||||||
Iridium Satellite LLC, 2021 Term Loan B2, | 1,928 | 1,871,247 |
SCHEDULE OF INVESTMENTS | 4 |
Schedule of Investments (unaudited) (continued) September 30, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 4.87%, 03/01/27 | USD | 1,496 | $ | 1,418,931 | ||||||||
Virgin Media SFA Finance Ltd., GBP Term Loan L, (1 mo. SONIA + 3.25%), 4.97%, 01/15/27 | GBP | 1,000 | 991,731 | |||||||||
|
| |||||||||||
7,358,611 | ||||||||||||
Electric Utilities — 0.9% | ||||||||||||
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 5.57%, 12/15/27 | USD | 1,256 | 1,226,925 | |||||||||
Triton Water Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%, 0.50% Floor), 7.17%, 03/31/28 | 3,224 | 2,889,067 | ||||||||||
|
| |||||||||||
4,115,992 | ||||||||||||
Electrical Equipment — 0.9% | ||||||||||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (6 mo. LIBOR + 4.75%, 0.75% Floor), 7.00%, 06/23/28(b) | 1,533 | 1,417,581 | ||||||||||
AZZ, Inc., Term Loan B, (1 mo. SOFR CME + 4.25%, 0.50% Floor), 7.08%, 05/13/29 | 329 | 268,052 | ||||||||||
Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%, 0.75% Floor), 5.62%, 03/31/27 | 2,425 | 2,325,160 | ||||||||||
|
| |||||||||||
4,010,793 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.4% | ||||||||||||
Coherent Corp., 2022 Term Loan B, (1 mo. LIBOR + 2.75%, 0.50% Floor), 5.31%, 07/02/29 | 1,736 | 1,678,139 | ||||||||||
| �� | |||||||||||
Environmental, Maintenance & Security Service — 0.7% | ||||||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 4.87%, 09/07/27 | 1,973 | 1,919,200 | ||||||||||
TruGreen LP, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 7.12%, 11/02/27 | 1,214 | 1,144,866 | ||||||||||
|
| |||||||||||
3,064,066 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.2% | ||||||||||||
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 5.12%, 05/11/24 | 868 | 850,292 | ||||||||||
|
| |||||||||||
Food & Staples Retailing — 0.4% | ||||||||||||
U.S. Foods, Inc. | ||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 2.00%), 5.12%, 09/13/26 | 829 | 803,710 | ||||||||||
2021 Term Loan B, (1 mo. LIBOR + 2.75%), 5.87%, 11/22/28 | 980 | 954,098 | ||||||||||
|
| |||||||||||
1,757,808 | ||||||||||||
Food Products — 2.4% | ||||||||||||
8th Avenue Food & Provisions, Inc. | ||||||||||||
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.87%, 10/01/25 | 1,192 | 1,039,840 | ||||||||||
2021 Incremental Term Loan, (1 mo. LIBOR + 4.75%, 0.75% Floor), 7.87%, 10/01/25 | 1,527 | 1,341,302 | ||||||||||
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.62%, 10/25/27 | 2,750 | 2,497,047 | ||||||||||
Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 5.37%, 01/29/27 | 3,560 | 3,352,539 | ||||||||||
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 6.37%, 02/05/26 | 402 | 384,374 |
Security | Par (000) | Value | ||||||||||
Food Products (continued) | ||||||||||||
Sovos Brands Intermediate, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 6.62%, 06/08/28 | USD | 1,523 | $ | 1,446,754 | ||||||||
UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. SOFR CME + 3.00%), 6.15%, 01/20/28 | 685 | 663,628 | ||||||||||
|
| |||||||||||
10,725,484 | ||||||||||||
Gas Utilities — 0.7% | ||||||||||||
Freeport LNG Investments LLLP, Term Loan B, (3 mo. LIBOR + 3.50%, 0.50% Floor), 6.21%, 12/21/28 | 3,343 | 3,087,753 | ||||||||||
|
| |||||||||||
Health Care Equipment & Supplies — 1.7% | ||||||||||||
Electron BidCo, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.00%, 0.50% Floor), 6.12%, 11/01/28 | 2,196 | 2,077,360 | ||||||||||
Insulet Corp., Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 6.37%, 05/04/28 | 767 | 746,187 | ||||||||||
Medline Borrower LP, USD Term Loan B, | 4,359 | 4,000,189 | ||||||||||
Venga Finance SARL, 2021 USD Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 7.82%, 12/04/28(b) | 651 | 598,710 | ||||||||||
|
| |||||||||||
7,422,446 | ||||||||||||
Health Care Providers & Services — 3.0% | ||||||||||||
CCRR Parent, Inc., Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 6.87%, 03/06/28 | 1,624 | 1,561,403 | ||||||||||
CHG Healthcare Services, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 6.37%, 09/29/28 | 1,026 | 983,117 | ||||||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 7.46%, 01/08/27 | 1,446 | 1,359,824 | ||||||||||
Envision Healthcare Corp. | ||||||||||||
2022 1st Out Term Loan, (3 mo. SOFR CME + 7.87%, 1.00% Floor), 10.53%, 03/31/27 | 177 | 169,521 | ||||||||||
2022 2nd Out Term Loan, (3 mo. SOFR CME + 4.25%, 1.00% Floor), 6.83%, 03/31/27 | 1,182 | 513,933 | ||||||||||
EyeCare Partners LLC | ||||||||||||
2020 Term Loan, (3 mo. LIBOR + 3.75%), 7.42%, 02/18/27 | 1,673 | 1,514,001 | ||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.50% Floor), 10.42%, 11/15/29 | 581 | 528,603 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 3.75%, 0.50% Floor), 7.42%, 11/15/28(b) | 536 | 500,452 | ||||||||||
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 8.17%, 03/05/26 | 1,047 | 926,038 | ||||||||||
Orbcomm, Inc., Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 7.34%, 09/01/28 | 874 | 798,454 | ||||||||||
PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%, 0.75% Floor), 6.62%, 02/14/25 | 52 | 47,961 | ||||||||||
Sotera Health Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%, 0.50% Floor), 5.87%, 12/11/26 | 2,539 | 2,221,625 | ||||||||||
Vizient, Inc., 2022 Term Loan B, (1 mo. SOFR CME + 2.25%, 0.50% Floor), 5.37%, 04/28/29 | 337 | 335,260 | ||||||||||
WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 6.92%, 12/22/28 | 1,861 | 1,776,006 | ||||||||||
|
| |||||||||||
13,236,198 |
5 |
|
Schedule of Investments (unaudited) (continued) September 30, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Health Care Services — 0.3% | ||||||||||||
Azalea Topco, Inc., Term Loan, (1 mo. LIBOR + 3.50%), 6.62%, 07/24/26 | USD | 973 | $ | 882,911 | ||||||||
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 0.50% Floor), 9.88%, 11/01/29(b) | 611 | 580,450 | ||||||||||
|
| |||||||||||
1,463,361 | ||||||||||||
Health Care Technology — 3.1% | ||||||||||||
Athenahealth, Inc., 2022 Term Loan B, (1 mo. SOFR CME + 3.50%, 0.50% Floor), 6.58%, 02/15/29 | 2,884 | 2,578,043 | ||||||||||
Change Healthcare Holdings LLC, 2017 Term Loan B, (PRIME + 1.50%), 7.75%, 03/01/24 | 1,382 | 1,376,732 | ||||||||||
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.87%, 10/10/25 | 721 | 688,382 | ||||||||||
IQVIA, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 4.87%, 03/07/24 | 476 | 474,206 | ||||||||||
Polaris Newco LLC, USD Term Loan B, (1 mo. LIBOR + 4.00%, 0.50% Floor), 7.67%, 06/02/28 | 4,170 | 3,838,777 | ||||||||||
Press Ganey Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 6.87%, 07/24/26 | 1,693 | 1,538,749 | ||||||||||
Verscend Holding Corp., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 0.50% Floor), 10.12%, 04/02/29(b) | 3,092 | 2,999,240 | ||||||||||
|
| |||||||||||
13,494,129 | ||||||||||||
Hotels, Restaurants & Leisure — 7.0% | ||||||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 4.87%, 11/19/26 | 2,436 | 2,324,583 | ||||||||||
Aristocrat Technologies, Inc., 2022 Term Loan B, (3 mo. SOFR CME + 2.25%, 0.50% Floor), 5.90%, 05/24/29 | 101 | 99,687 | ||||||||||
Caesars Resort Collection LLC | ||||||||||||
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 5.87%, 12/23/24 | 1,955 | 1,906,767 | ||||||||||
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 6.62%, 07/21/25 | 694 | 683,309 | ||||||||||
Carnival Corp., USD Term Loan B, (6 mo. LIBOR + 3.00%, 0.75% Floor), 5.88%, 06/30/25 | 1,447 | 1,309,578 | ||||||||||
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 5.12%, 03/17/28 | 775 | 749,358 | ||||||||||
ECL Entertainment LLC, Term Loan, (1 mo. LIBOR + 7.50%, 0.75% Floor), 10.62%, 05/01/28 | 574 | 565,131 | ||||||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 6.67%, 03/08/24 | 3,882 | 2,929,404 | ||||||||||
Fertitta Entertainment LLC, 2022 Term Loan B, (1 mo. SOFR + 4.00%, 0.50% Floor), 7.03%, 01/27/29 | 4,134 | 3,828,475 | ||||||||||
Flutter Financing BV, 2022 USD Term Loan B, 07/29/28(i) | 1,185 | 1,155,185 | ||||||||||
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 5.12%, 11/30/23 | 1,303 | 1,295,288 | ||||||||||
IRB Holding Corp., 2020 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.87%, 02/05/25 | 1,577 | 1,521,476 | ||||||||||
Penn National Gaming, Inc., 2022 Term Loan B, (1 mo. SOFR CME + 2.75%, 0.50% Floor), 5.88%, 05/03/29 | 1,487 | 1,426,670 |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 5.87%, 03/13/28 | USD | 1,504 | $ | 1,437,349 | ||||||||
Scientific Games International, Inc., 2022 USD Term Loan, (1 mo. SOFR CME + 3.00%, 0.50% Floor), 5.91%, 04/14/29 | 816 | 791,068 | ||||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 5.89%, 07/21/26 | 1,113 | 1,069,093 | ||||||||||
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%, 0.25% Floor), 5.37%, 02/08/27 | 2,055 | 1,961,870 | ||||||||||
Travelport Finance Luxembourg SARL | ||||||||||||
2020 Super Priority Term Loan, (3 mo. LIBOR + 1.50%, 1.00% Floor, 7.25% PIK), 6.21%, 02/28/25(g) | 1,436 | 1,418,869 | ||||||||||
2021 Consented Term Loan, (3 mo. LIBOR + 6.75%), 10.42%, 05/29/26 | 1,672 | 1,179,085 | ||||||||||
Twin River Worldwide Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 5.93%, 10/02/28 | 901 | 811,514 | ||||||||||
Whatabrands LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 6.37%, 08/03/28 | 2,268 | 2,093,804 | ||||||||||
Wyndham Hotels & Resorts, Inc., Term | 534 | 519,090 | ||||||||||
|
| |||||||||||
31,076,653 | ||||||||||||
Household Durables — 1.6% | ||||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.25%, 0.50% Floor), 7.32%, 05/17/28 | 1,649 | 1,210,212 | ||||||||||
Hunter Douglas Inc., USD Term Loan B1, (3 mo. SOFR CME + 3.50%), 6.34%, 02/26/29 | 2,254 | 1,845,186 | ||||||||||
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 4.87%, 02/04/27 | 1,496 | 1,437,633 | ||||||||||
Snap One Holdings Corp., Term Loan B, (6 mo. LIBOR + 4.50%, 0.50% Floor), 7.38%, 12/08/28 | 1,078 | 978,119 | ||||||||||
Springs Windows Fashions LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 7.60%, 10/06/28 | 827 | 643,285 | ||||||||||
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 6.37%, 10/30/27 | 1,371 | 1,107,699 | ||||||||||
|
| |||||||||||
7,222,134 | ||||||||||||
Household Products — 0.1% | ||||||||||||
Spectrum Brands, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.00%, 0.50% Floor), 5.12%, 03/03/28 | 535 | 506,775 | ||||||||||
|
| |||||||||||
Independent Power and Renewable Electricity Producers — 0.6% | ||||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 5.12%, 01/15/25 | 502 | 487,713 | ||||||||||
Calpine Corp. | ||||||||||||
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 5.12%, 08/12/26 | 704 | 674,440 | ||||||||||
Term Loan B9, (1 mo. LIBOR + 2.00%), 5.12%, 04/05/26 | 1,508 | 1,446,555 | ||||||||||
|
| |||||||||||
2,608,708 | ||||||||||||
Industrial Conglomerates — 2.2% | ||||||||||||
AVSC Holding Corp.(g) | ||||||||||||
2020 Term Loan B1, (3 mo. LIBOR + 3.25%, 1.00% Floor, 0.25% PIK), 6.39%, 03/03/25 | 1,397 | 1,219,364 |
SCHEDULE OF INVESTMENTS | 6 |
Schedule of Investments (unaudited) (continued) September 30, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Industrial Conglomerates (continued) | ||||||||||||
AVSC Holding Corp.(g) (continued) | ||||||||||||
2020 Term Loan B3, (3 mo. LIBOR + 5.00%, 10.00% PIK), 9.34%, 10/15/26 | USD | 947 | $ | 957,753 | ||||||||
Diamond BC BV, 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 5.56%, 09/29/28 | 1,735 | 1,595,727 | ||||||||||
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 9.76%, 11/28/23 | 679 | 676,929 | ||||||||||
Stitch Aquisition Corp., Term Loan B, (3 mo. LIBOR + 6.75%, 0.75% Floor), 10.42%, 07/28/28 | 1,089 | 938,359 | ||||||||||
Vertical U.S. Newco, Inc., Term Loan B, | 1,900 | 1,822,766 | ||||||||||
Vertiv Group Corp., 2021 Term Loan B, | 2,442 | 2,318,895 | ||||||||||
|
| |||||||||||
9,529,793 | ||||||||||||
Insurance — 5.0% | ||||||||||||
Alliant Holdings Intermediate LLC | ||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 6.37%, 05/09/25 | 2,892 | 2,766,225 | ||||||||||
2021 Term Loan B4, (1 mo. LIBOR + 3.50%, 0.50% Floor), 6.49%, 11/06/27 | 3,798 | 3,593,345 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.25%), 6.37%, 05/09/25 | 1,016 | 972,362 | ||||||||||
AmWINS Group, Inc., 2021 Term Loan B, | 3,371 | 3,218,604 | ||||||||||
AssuredPartners, Inc. | ||||||||||||
2020 Term Loan B, (1 mo. LIBOR + 3.50%), 6.62%, 02/12/27 | 1,408 | 1,330,218 | ||||||||||
2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 6.62%, 02/12/27 | 882 | 833,698 | ||||||||||
Hub International Ltd. | ||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 3.00%), 5.77%, 04/25/25 | 2,854 | 2,740,681 | ||||||||||
2021 Term Loan B, (3 mo. LIBOR + 3.25%, 0.75% Floor), 5.98%, 04/25/25 | 2,673 | 2,571,232 | ||||||||||
NFP Corp., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 6.37%, 02/15/27 | 186 | 174,461 | ||||||||||
Ryan Specialty Group LLC, Term Loan, | 1,363 | 1,315,217 | ||||||||||
Sedgwick Claims Management Services, Inc. | ||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 6.37%, 12/31/25 | 788 | 744,769 | ||||||||||
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 6.87%, 09/03/26 | 1,020 | 972,643 | ||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 7.37%, 09/03/26 | 819 | 788,110 | ||||||||||
|
| |||||||||||
22,021,565 | ||||||||||||
Interactive Media & Services — 2.5% | ||||||||||||
Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 3.00%, 0.75% Floor), 6.67%, 06/26/28 | 1,737 | 1,688,757 | ||||||||||
Arches Buyer, Inc., 2021 Term Loan B, | 737 | 660,785 | ||||||||||
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 6.12%, 10/30/26 | 3,341 | 3,224,530 |
Security | Par (000) | Value | ||||||||||
Interactive Media & Services (continued) | ||||||||||||
Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 5.12%, 08/10/27 | USD | 734 | $ | 710,370 | ||||||||
Grab Holdings, Inc., Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 7.62%, 01/29/26 | 5,077 | 4,743,826 | ||||||||||
|
| |||||||||||
11,028,268 | ||||||||||||
Internet & Direct Marketing Retail — 0.5% | ||||||||||||
CNT Holdings I Corp., 2020 Term Loan, | 1,842 | 1,751,360 | ||||||||||
PUG LLC, 2021 Incremental Term Loan B, | 368 | 322,245 | ||||||||||
|
| |||||||||||
2,073,605 | ||||||||||||
Internet Software & Services — 0.4% | ||||||||||||
Uber Technologies, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 6.57%, 02/25/27 | 1,771 | 1,722,814 | ||||||||||
|
| |||||||||||
IT Services — 7.1% | ||||||||||||
Aruba Investments, Inc. | ||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 0.75% Floor), 10.83%, 11/24/28 | 1,440 | 1,303,200 | ||||||||||
2020 USD Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 7.08%, 11/24/27 | 767 | 705,007 | ||||||||||
Boxer Parent Co., Inc., 2021 USD Term Loan, (1 mo. LIBOR + 3.75%), 6.87%, 10/02/25 | 2,042 | 1,931,047 | ||||||||||
Camelot Finance SA, Term Loan B, (1 mo. LIBOR + 3.00%), 6.12%, 10/30/26 | 2,182 | 2,107,649 | ||||||||||
CCC Intelligent Solutions, Inc., Term Loan, (1 mo. LIBOR + 2.25%, 0.50% Floor), 4.37%, 09/21/28 | 1,687 | 1,628,196 | ||||||||||
CoreLogic, Inc. | ||||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.50% Floor), 9.63%, 06/04/29(b) | 1,416 | 948,385 | ||||||||||
Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 6.63%, 06/02/28 | 3,382 | 2,528,123 | ||||||||||
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 1.75%), 4.87%, 04/28/28 | 2,049 | 1,971,047 | ||||||||||
Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4, (1 mo. LIBOR + 4.00%, 0.75% Floor), 7.12%, 12/01/27 | 4,990 | 4,738,782 | ||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 6.62%, 02/12/27(b) | 2,536 | 2,193,301 | ||||||||||
Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 11.67%, 10/09/28 | 4,215 | 4,183,388 | ||||||||||
TierPoint LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 6.87%, 05/05/26 | 963 | 910,390 | ||||||||||
Trans Union LLC | ||||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 4.87%, 11/16/26 | 1,859 | 1,790,425 | ||||||||||
2021 Term Loan B6, (1 mo. LIBOR + 2.25%, 0.50% Floor), 5.37%, 12/01/28 | 2,608 | 2,521,306 | ||||||||||
Virtusa Corp., 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 6.87%, 02/11/28 | 1,046 | 977,636 | ||||||||||
WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 5.37%, 03/31/28 | 975 | 944,374 | ||||||||||
ZoomInfo LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 6.12%, 02/02/26 | 218 | 214,621 | ||||||||||
|
| |||||||||||
31,596,877 | ||||||||||||
Leisure Products — 0.5% | ||||||||||||
Fender Musical Instruments Corp., 2021 Term Loan B, (1 mo. SOFR + 4.00%, 0.50% Floor), 6.75%, 12/01/28 | 978 | 828,918 |
7 |
|
Schedule of Investments (unaudited) (continued) September 30, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Leisure Products (continued) | ||||||||||||
MND Holdings III Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.62%, 06/19/24 | USD | 982 | $ | 949,172 | ||||||||
Peloton Interactive, Inc., Term Loan, (6 mo. SOFR CME + 6.50%, 0.50% Floor), 8.35%, 05/25/27 | 345 | 336,075 | ||||||||||
|
| |||||||||||
2,114,165 | ||||||||||||
Life Sciences Tools & Services — 3.0% | ||||||||||||
Avantor Funding, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.25%, 0.50% Floor), 5.37%, 11/08/27 | 2,308 | 2,242,446 | ||||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 7.62%, 02/04/27 | 3,320 | 3,090,297 | ||||||||||
ICON Luxembourg SARL, LUX Term Loan, (3 mo. LIBOR + 2.25%, 0.50% Floor), 5.94%, 07/03/28 | 2,655 | 2,591,745 | ||||||||||
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3 mo. SOFR + 3.00%, 0.50% Floor), 5.55%, 10/19/27 | 1,495 | 1,445,255 | ||||||||||
Parexel International Corp., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 6.37%, 11/15/28 | 3,417 | 3,254,467 | ||||||||||
PRA Health Sciences, Inc., US Term Loan, (3 mo. LIBOR + 2.25%, 0.50% Floor), 5.94%, 07/03/28 | 662 | 645,737 | ||||||||||
|
| |||||||||||
13,269,947 | ||||||||||||
Machinery — 3.3% | ||||||||||||
Albion Acquisitions Ltd., USD Term Loan, (3 mo. LIBOR + 5.25%, 0.50% Floor), 8.01%, 08/17/26 | 1,840 | 1,739,672 | ||||||||||
ASP Blade Holdings, Inc., Initial Term Loan, (3 mo. LIBOR + 4.00%, 0.50% Floor), 7.67%, 10/13/28 | 274 | 239,437 | ||||||||||
Clark Equipment Co., 2022 Term Loan B, (3 mo. SOFR CME + 2.50%, 0.50% Floor), 6.15%, 04/20/29 | 303 | 296,267 | ||||||||||
Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 6.44%, 05/14/28 | 396 | 386,389 | ||||||||||
Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 6.62%, 10/21/28 | 1,176 | 1,113,880 | ||||||||||
Fluidra SA, 2022 USD Term Loan B, (1 mo. SOFR CME + 2.10%), 5.13%, 01/29/29 | 310 | 299,265 | ||||||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. SOFR CME + 1.75%), 4.88%, 03/01/27 | 2,230 | 2,159,675 | ||||||||||
Madison IAQ LLC, Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 6.82%, 06/21/28 | 3,720 | 3,429,703 | ||||||||||
SPX Flow, Inc., 2022 Term Loan, (1 mo. SOFR CME + 4.50%, 0.50% Floor), 7.63%, 04/05/29 | 1,390 | 1,282,275 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 5.88%, 03/28/25 | 3,885 | 3,470,165 | ||||||||||
Zurn LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%, 0.50% Floor), 5.37%, 10/04/28 | 126 | 124,045 | ||||||||||
|
| |||||||||||
14,540,773 | ||||||||||||
Media — 12.9% | ||||||||||||
Altice Financing SA | ||||||||||||
2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 5.26%, 07/15/25 | 1,087 | 1,019,770 | ||||||||||
USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 5.26%, 01/31/26 | 1,559 | 1,455,827 |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 6.91%, 08/14/26(b) | USD | 3,474 | $ | 3,143,748 | ||||||||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (3 mo. LIBOR + 3.00%), 5.76%, 04/22/26 | 1,511 | 1,178,135 | ||||||||||
Cable One, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 5.12%, 05/03/28 | 1,033 | 1,012,917 | ||||||||||
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 4.87%, 04/30/25 | 2,612 | 2,559,242 | ||||||||||
City Football Group Ltd., Term Loan, (3 mo. LIBOR + 3.50%, 0.50% Floor), 6.48%, 07/21/28 | 1,587 | 1,506,340 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 6.31%, 08/21/26 | 3,837 | 3,415,715 | ||||||||||
CMG Media Corp., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 6.62%, 12/17/26 | — | (d) | 292 | |||||||||
Connect Finco SARL, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.62%, 12/11/26 | 6,675 | 6,195,020 | ||||||||||
CSC Holdings LLC | ||||||||||||
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 5.07%, 07/17/25 | 2,130 | 2,024,831 | ||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 5.32%, 04/15/27 | 1,790 | 1,670,312 | ||||||||||
E.W. Scripps Co., 2020 Term Loan B3, (1 mo. LIBOR + 2.75%, 0.75% Floor), 5.87%, 01/07/28 | 824 | 795,857 | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 6.37%, 12/01/23 | 874 | 714,472 | ||||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 5.37%, 03/24/25 | 1,321 | 1,271,109 | ||||||||||
Live Nation Entertainment, Inc., Term | 2,537 | 2,384,979 | ||||||||||
MH Sub I LLC | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 6.62%, 09/13/24 | 3,479 | 3,309,166 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.87%, 09/13/24 | 2,903 | 2,753,744 | ||||||||||
2021 2nd Lien Term Loan, (1 mo. SOFR CME + 6.25%), 9.28%, 02/23/29 | 951 | 888,514 | ||||||||||
Nexstar Broadcasting, Inc., 2019 Term | 874 | 860,531 | ||||||||||
Sinclair Television Group, Inc., 2022 Term Loan B4, (1 mo. SOFR CME + 3.75%), 6.88%, 04/21/29 | 1,817 | 1,714,450 | ||||||||||
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 6.11%, 09/28/23(b) | 4,102 | 3,937,665 | ||||||||||
UPC Financing Partnership, 2021 USD Term Loan AX, (1 mo. LIBOR + 2.92%), 5.74%, 01/31/29 | 768 | 731,240 | ||||||||||
Virgin Media Bristol LLC | ||||||||||||
2020 USD Term Loan Q, (1 mo. LIBOR + 3.25%), 6.07%, 01/31/29 | 1,335 | 1,289,944 | ||||||||||
USD Term Loan N, (1 mo. LIBOR + 2.50%), 5.32%, 01/31/28 | 988 | 941,552 | ||||||||||
Voyage Digital Ltd., USD Term Loan B, | 1,015 | 988,733 | ||||||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 5.87%, 05/18/25 | 2,972 | 2,829,533 |
SCHEDULE OF INVESTMENTS | 8 |
Schedule of Investments (unaudited) (continued) September 30, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.12%), 5.24%, 01/20/28 | USD | 2,123 | $ | 2,054,095 | ||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 6.12%, 03/09/27 | 5,045 | 4,200,582 | ||||||||||
|
| |||||||||||
56,848,315 | ||||||||||||
Oil, Gas & Consumable Fuels — 1.5% | ||||||||||||
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 6.87%, 12/13/25 | 914 | 797,645 | ||||||||||
Lealand Finance Co. BV(g) | ||||||||||||
2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 6.12%, 06/28/24 | 40 | 24,146 | ||||||||||
2020 Take Back Term Loan, (1 mo. LIBOR + 1.00%, 3.00% PIK), 4.12%, 06/30/25 | 298 | 148,546 | ||||||||||
M6 ETX Holdings II Midco LLC, Term Loan B, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 7.99%, 09/19/29 | 267 | 261,660 | ||||||||||
Medallion Midland Acquisition LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 6.87%, 10/18/28 | 1,929 | 1,861,756 | ||||||||||
Murphy USA, Inc., Term Loan B, (1 mo. LIBOR + 1.75%, 0.50% Floor), 4.32%, 01/31/28 | 641 | 638,324 | ||||||||||
Oryx Midstream Services Permian Basin LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 6.21%, 10/05/28 | 3,131 | 3,031,893 | ||||||||||
|
| |||||||||||
6,763,970 | ||||||||||||
Personal Products — 1.4% | ||||||||||||
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (3 mo. SOFR + 6.00%, 1.00% Floor), 8.94%, 12/22/26 | 408 | 386,502 | ||||||||||
Prestige Brands, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.00%, 0.50% Floor), 5.12%, 07/03/28 | 212 | 211,037 | ||||||||||
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%, 0.75% Floor), 7.42%, 10/01/26 | 6,075 | 5,638,009 | ||||||||||
|
| |||||||||||
6,235,548 | ||||||||||||
Pharmaceuticals — 2.7% | ||||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 6.90%, 05/04/25 | 1,217 | 1,007,988 | ||||||||||
Bausch Health Cos., Inc., 2022 Term | 1,152 | 881,828 | ||||||||||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%, 0.50% Floor), 5.06%, 02/22/28 | 1,596 | 1,579,120 | ||||||||||
Elanco Animal Health, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 4.31%, 08/01/27 | 1,493 | 1,417,313 | ||||||||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 5.12%, 11/15/27 | 1,592 | 1,508,075 | ||||||||||
Jazz Financing Lux SARL, USD Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 6.62%, 05/05/28 | 2,193 | 2,116,560 | ||||||||||
Option Care Health, Inc., 2021 Term | 702 | 685,326 |
Security | Par (000) | Value | ||||||||||
Pharmaceuticals (continued) | ||||||||||||
Organon & Co., USD Term Loan, (3 mo. LIBOR + 3.00%, 0.50% Floor), 6.19%, 06/02/28 | USD | 1,543 | $ | 1,503,831 | ||||||||
Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 6.67%, 11/18/27(b) | 1,399 | 1,290,908 | ||||||||||
|
| |||||||||||
11,990,949 | ||||||||||||
Professional Services — 1.5% | ||||||||||||
Dun & Bradstreet Corp. | ||||||||||||
2022 Incremental Term Loan B2, (1 mo. SOFR CME + 3.25%), 6.28%, 01/18/29 | 713 | 686,840 | ||||||||||
Term Loan, (1 mo. LIBOR + 3.25%), 6.33%, 02/06/26 | 2,339 | 2,257,677 | ||||||||||
Element Materials Technology Group U.S. Holdings, Inc. | ||||||||||||
2022 USD Delayed Draw Term Loan, (3 mo. LIBOR + 4.25%, 0.50% Floor), 7.90%, 07/06/29 | 608 | 569,338 | ||||||||||
2022 USD Term Loan, (3 mo. SOFR CME + 4.25%, 0.50% Floor), 7.90%, 07/06/29 | 1,318 | 1,233,567 | ||||||||||
Galaxy U.S. Opco, Inc., Term Loan, (1 mo. SOFR CME + 4.75%, 0.50% Floor), 7.78%, 04/29/29(b) | 2,016 | 1,890,000 | ||||||||||
|
| |||||||||||
6,637,422 | ||||||||||||
Real Estate Management & Development — 1.0% | ||||||||||||
Chamberlain Group, Inc., Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 6.62%, 11/03/28 | 2,463 | 2,232,443 | ||||||||||
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 5.87%, 08/21/25 | 2,359 | 2,250,360 | ||||||||||
|
| |||||||||||
4,482,803 | ||||||||||||
Road & Rail — 0.4% | ||||||||||||
Avis Budget Car Rental LLC, 2020 Term | 660 | 622,037 | ||||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 8.56%, 08/04/25(b) | 1,185 | 1,073,447 | ||||||||||
|
| |||||||||||
1,695,484 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | ||||||||||||
Synaptics, Inc., Term Loan B, (3 mo. LIBOR + 2.25%, 0.50% Floor), 4.36%, 12/02/28 | 628 | 619,814 | ||||||||||
|
| |||||||||||
Software — 15.4% | ||||||||||||
Applied Systems, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 0.50% Floor), 6.67%, 09/19/24 | 734 | 714,373 | ||||||||||
Barracuda Networks, Inc., 2022 Term Loan, (1 mo. SOFR CME + 4.50%, 0.50% Floor), 7.53%, 08/15/29 | 766 | 718,669 | ||||||||||
Central Parent, Inc., 2022 USD Term Loan B, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 6.61%, 07/06/29 | 733 | 704,765 | ||||||||||
Cloudera, Inc.(b) | ||||||||||||
2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%, 0.50% Floor), 9.12%, 10/08/29 | 975 | 819,000 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.50% Floor), 6.87%, 10/08/28 | 2,986 | 2,612,746 | ||||||||||
ConnectWise LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.50% Floor), 7.17%, 09/29/28 | 1,015 | 946,793 |
9 |
|
Schedule of Investments (unaudited) (continued) September 30, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
Cornerstone OnDemand, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.50% Floor), 6.87%, 10/16/28(b) | USD | 1,199 | $ | 1,001,144 | ||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 6.37%, 05/28/24 | 1,031 | 916,896 | ||||||||||
E2open LLC, 2020 Term Loan B, (3 mo. LIBOR + 3.50%, 0.50% Floor), 6.64%, 02/04/28 | 285 | 271,573 | ||||||||||
Epicor Software Corp., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 10.87%, 07/31/28 | 2,141 | 2,081,052 | ||||||||||
Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. SOFR CME + 3.75%), 7.45%, 03/11/28 | 2,134 | 2,012,235 | ||||||||||
Informatica LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 5.88%, 10/27/28 | 5,134 | 4,970,188 | ||||||||||
Instructure Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 6.12%, 10/30/28(b) | 731 | 709,385 | ||||||||||
IPS Corp.(b) | ||||||||||||
2021 2nd Lien Term Loan B, (1 mo. LIBOR + 7.00%, 0.50% Floor), 10.12%, 10/01/29 | 1,046 | 941,400 | ||||||||||
2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 6.62%, 10/02/28 | 587 | 543,967 | ||||||||||
Magenta Buyer LLC | ||||||||||||
2021 USD 1st Lien Term Loan, (1 mo. LIBOR + 4.75%, 0.75% Floor), 7.87%, 07/27/28 | 2,426 | 2,183,736 | ||||||||||
2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 8.25%, 0.75% Floor), 11.37%, 07/27/29 | 2,204 | 2,018,219 | ||||||||||
McAfee LLC, 2022 USD Term Loan B, (1 mo. SOFR CME + 3.75%), 6.36%, 03/01/29 | 3,484 | 3,168,802 | ||||||||||
Netsmart Technologies, Inc., 2020 Term | 1,562 | 1,488,171 | ||||||||||
Planview Parent, Inc. | ||||||||||||
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 10.92%, 12/18/28(b) | 930 | 883,500 | ||||||||||
Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 7.67%, 12/17/27 | 2,132 | 2,015,145 | ||||||||||
Proofpoint, Inc. | ||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 6.32%, 08/31/28 | 2,810 | 2,633,050 | ||||||||||
2nd Lien Term Loan, (3 mo. LIBOR + 6.25%, 0.50% Floor), 9.32%, 08/31/29 | 1,451 | 1,391,146 | ||||||||||
RealPage, Inc. | ||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 0.50% Floor), 6.12%, 04/24/28 | 6,240 | 5,836,168 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.75% Floor), 9.62%, 04/23/29 | 2,965 | 2,855,827 | ||||||||||
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 6.37%, 05/30/25 | 675 | 640,422 | ||||||||||
Severin Acquisition LLC, 2018 Term Loan B, (3 mo. SOFR CME + 3.00%), 6.03%, 08/01/25 | 2,776 | 2,689,895 | ||||||||||
Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.50% Floor), 7.17%, 10/07/27 | 4,220 | 4,050,845 | ||||||||||
Tempo Acquisition LLC, 2022 Term Loan B, (1 mo. SOFR CME + 3.00%), 6.03%, 08/31/28 | 4,816 | 4,682,117 | ||||||||||
Tibco Software, Inc., 2022 USD Term Loan, (3 mo. SOFR CME + 4.50%, 0.50% Floor), 8.02%, 03/20/29 | 3,841 | 3,441,805 |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
Ultimate Software Group, Inc. | ||||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.25%, 0.50% Floor), 7.54%, 05/03/27 | USD | 1,402 | $ | 1,317,914 | ||||||||
2021 Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 5.54%, 05/04/26 | 4,338 | 4,117,868 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 6.87%, 05/04/26 | 2,870 | 2,729,812 | ||||||||||
|
| |||||||||||
68,108,628 | ||||||||||||
Specialty Retail — 5.1% | ||||||||||||
Belron Finance U.S. LLC | ||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 5.19%, 11/13/25(b) | 436 | 424,022 | ||||||||||
2019 USD Term Loan B3, (3 mo. LIBOR + 2.25%), 5.06%, 10/30/26(b) | 868 | 842,389 | ||||||||||
2021 USD Term Loan B, (3 mo. LIBOR + 2.50%, 0.50% Floor), 5.38%, 04/13/28 | 3,005 | 2,911,992 | ||||||||||
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (1 day SONIA + 4.25%), 5.44%, 06/23/25 | GBP | 1,000 | 976,981 | |||||||||
EG Group Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.25%, 0.50% Floor), 7.92%, 03/31/26 | USD | 568 | 529,469 | |||||||||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 6.06%, 11/24/28(b) | 683 | 657,234 | ||||||||||
Mavis Tire Express Services Corp., 2021 Term Loan B, (1 mo. SOFR CME + 4.00%, 0.75% Floor), 7.25%, 05/04/28 | 3,002 | 2,808,761 | ||||||||||
MED ParentCo LP, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 7.37%, 08/31/26 | 1,706 | 1,430,136 | ||||||||||
Midas Intermediate Holdco II LLC, (1 mo. SOFR CME + 8.35%, 0.75% Floor), 11.20%, 06/30/27 | 1,734 | 1,560,690 | ||||||||||
PetSmart, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 6.87%, 02/11/28 | 5,277 | 4,981,915 | ||||||||||
Research Now Group, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 5.50%, 1.00% Floor), 8.84%, 12/20/24 | 984 | 884,265 | ||||||||||
Restoration Hardware, Inc., 2022 Incremental Term Loan, (1 mo. SOFR CME + 3.25%, 0.50% Floor), 6.38%, 10/20/28 | 868 | 787,979 | ||||||||||
Reverb Buyer, Inc. | ||||||||||||
2021 1st Lien Term Loan, 11/01/28(i) | 2,517 | 2,438,466 | ||||||||||
2021 Delayed Draw Term Loan, 3.50%, 11/01/28 | 405 | 384,752 | ||||||||||
Woof Holdings, Inc.(b) | ||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 7.32%, 12/21/27 | 547 | 515,241 | ||||||||||
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 10.82%, 12/21/28 | 560 | 534,800 | ||||||||||
|
| |||||||||||
22,669,092 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.2% | ||||||||||||
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 8.12%, 07/23/26 | 1,015 | 812,027 | ||||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods — 0.4% | ||||||||||||
Crocs, Inc., Term Loan B, (3 mo. SOFR + 3.50%, 0.50% Floor), 7.20%, 02/17/29 | 1,881 | 1,765,965 | ||||||||||
|
| |||||||||||
Trading Companies & Distributors — 0.9% | ||||||||||||
Beacon Roofing Supply, Inc., 2021 Term | 1,378 | 1,326,636 |
SCHEDULE OF INVESTMENTS | 10 |
Schedule of Investments (unaudited) (continued) September 30, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
| ||||||||||||
Trading Companies & Distributors (continued) | ||||||||||||
Foundation Building Materials Holding Co. LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 6.06%, 01/31/28 | USD | 1,062 | $ | 954,111 | ||||||||
ION Trading Finance Ltd., 2021 USD Term Loan, (3 mo. LIBOR + 4.75%), 8.42%, 04/03/28 | 676 | 625,467 | ||||||||||
SRS Distribution, Inc., 2022 Incremental Term Loan, (3 mo. SOFR CME + 3.50%), 6.18%, 06/02/28 | 992 | 909,833 | ||||||||||
|
| |||||||||||
3,816,047 | ||||||||||||
Wireless Telecommunication Services — 1.1% | ||||||||||||
GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.56%, 04/30/28 | 1,096 | 1,061,559 | ||||||||||
MetroNet Systems Holdings LLC, 2021 1st Lien Term Loan, (1 mo. SOFR + 3.86%), 6.61%, 06/02/28 | 707 | 662,719 | ||||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 4.87%, 04/11/25 | 3,352 | 3,255,050 | ||||||||||
|
| |||||||||||
4,979,328 | ||||||||||||
|
| |||||||||||
Total Floating Rate Loan Interests — 136.7% |
| 604,087,026 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Investment Companies |
| |||||||||||
Fixed Income Funds — 0.3% | ||||||||||||
Invesco Senior Loan ETF | 64,300 | 1,298,217 | ||||||||||
|
| |||||||||||
Total Investment Companies — 0.3% |
| 1,298,217 | ||||||||||
|
| |||||||||||
Benefical Interest (000) | ||||||||||||
| ||||||||||||
Other Interests(j) |
| |||||||||||
IT Services(a)(b)(j) — 0.0% | ||||||||||||
Millennium Corp. Claim | USD | 1,508 | — | |||||||||
Millennium Lender Claim Trust | 1,607 | — | ||||||||||
|
| |||||||||||
Total Other Interests — 0.0% |
| — | ||||||||||
|
|
Security |
Shares | Value | ||||||
| ||||||||
Warrants | ||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||
California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)(a) | 999 | $ | 10,390 | |||||
|
| |||||||
Total Warrants — 0.0% | 10,390 | |||||||
|
| |||||||
Total Investments — 139.2% |
| 615,401,312 | ||||||
Liabilities in Excess of Other Assets — (39.2)% |
| (173,378,838 | ) | |||||
|
| |||||||
Net Assets — 100.0% | $ | 442,022,474 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(c) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $744, representing less than 0.05% of its net assets as of period end, and an original cost of $214,007. |
(d) | Rounds to less than 1,000. |
(e) | 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. |
(f) | Issuer filed for bankruptcy and/or is in default. |
(g) | 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. |
(h) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(i) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(j) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
For Fund compliance purposes, the Fund’s industry classifications refer to 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.
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the period ended September 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 12/31/21 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 09/30/22 | Shares Held at 09/30/22 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class(a) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | — | $ | 2,604 | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | As of period end, the entity is no longer held. |
11 |
|
Schedule of Investments (unaudited) (continued) September 30, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||||
USD | 711,409 | EUR | 708,000 | Bank of Montreal | 12/21/22 | $ | 13,295 | |||||||||||||||||||||||||||
USD | 2,008,283 | GBP | 1,747,000 | HSBC Bank PLC | 12/21/22 | 55,378 | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
$ | 68,673 | |||||||||||||||||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps — Sell Protection
Reference Obligation/Index | | Financing Rate Received by the Fund | | | Payment Frequency | | | Termination Date | | | Credit Rating | (a) | | Notional Amount (000) | (b) | Value | | Upfront Premium Paid (Received) | | | Unrealized Appreciation (Depreciation) | | ||||||||||
CDX.NA.HY.37.V2 | 5.00 | % | Quarterly | 12/20/26 | B- | USD 5,544 | $ | (18,906 | ) | $ | 351,459 | $ | (370,365 | ) | ||||||||||||||||||
CDX.NA.HY.38.V2 | 5.00 | Quarterly | 06/20/27 | B | USD 4,544 | (94,655 | ) | 33,938 | (128,593 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (113,561 | ) | $ | 385,397 | $ | (498,958 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access; |
• | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
• | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of 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 Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the 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 financial instruments, refer to its most recent financial statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Common Stocks | ||||||||||||||||
Construction & Engineering | $ | 55,770 | $ | — | $ | — | $ | 55,770 | ||||||||
Diversified Financial Services | — | — | 3,098 | 3,098 | ||||||||||||
Electrical Equipment | 42,855 | — | — | 42,855 | ||||||||||||
Metals & Mining | — | — | 744 | 744 | ||||||||||||
Semiconductors & Semiconductor Equipment | 5,515 | — | — | 5,515 | ||||||||||||
Software | 105 | — | — | 105 | ||||||||||||
Specialty Retail | — | 611,200 | — | 611,200 | ||||||||||||
Corporate Bonds | — | 9,286,392 | — | 9,286,392 | ||||||||||||
Floating Rate Loan Interests | — | 557,463,448 | 46,623,578 | 604,087,026 |
SCHEDULE OF INVESTMENTS | 12 |
Schedule of Investments (unaudited) (continued) September 30, 2022 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
|
Fair Value Hierarchy as of Period End (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investment Companies | $ | 1,298,217 | $ | — | $ | — | $ | 1,298,217 | ||||||||
Other Interests | — | — | — | — | ||||||||||||
Warrants | 10,390 | — | — | 10,390 | ||||||||||||
Liabilities | ||||||||||||||||
Unfunded Floating Rate Loan Interests(a) | — | (54,866 | ) | (13,106 | ) | (67,972 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,412,852 | $ | 567,306,174 | $ | 46,614,314 | $ | 615,333,340 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(b) | ||||||||||||||||
Assets | ||||||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | 68,673 | $ | — | $ | 68,673 | ||||||||
Liabilities | ||||||||||||||||
Credit Contracts | — | (498,958 | ) | — | (498,958 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | — | $ | (430,285 | ) | $ | — | $ | (430,285 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
A reconciliation of Level 3 financial instruments 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 | Corporate Bonds | Floating Rate Loan | Other Interests | Unfunded Loan | Total | |||||||||||||||||||
| ||||||||||||||||||||||||
Assets/Liabilities | ||||||||||||||||||||||||
Opening balance, as of December 31, 2021 | $ | 3,891 | $ | — | (a) | $ | 27,319,074 | $ | — | (a) | $ | (589 | ) | $ | 27,322,376 | |||||||||
Transfers into Level 3(b) | — | — | 34,258,508 | — | (1,674 | ) | 34,256,834 | |||||||||||||||||
Transfers out of Level 3(c) | — | — | (8,710,689 | ) | — | — | (8,710,689 | ) | ||||||||||||||||
Accrued discounts/premiums | — | — | 277,242 | — | — | 277,242 | ||||||||||||||||||
Net realized gain (loss) | — | — | 87,356 | — | — | 87,356 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation)(d) | (49 | ) | — | (4,949,957 | ) | — | (10,843 | ) | (4,960,849 | ) | ||||||||||||||
Purchases | — | — | 5,945,947 | — | — | 5,945,947 | ||||||||||||||||||
Sales | — | — | (7,603,903 | ) | — | — | (7,603,903 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Closing balance, as of September 30, 2022 | $ | 3,842 | $ | — | (a) | $ | 46,623,578 | $ | — | (a) | $ | (13,106 | ) | $ | 46,614,314 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2022(d) | $ | (49 | ) | $ | — | $ | (4,826,696 | ) | $ | — | $ | (10,843 | ) | $ | (4,837,588 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Rounds to less than $1. |
(b) | As of December 31, 2021, the Fund used observable inputs in determining the value of certain investments. As of September 30, 2022, 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. |
(c) | As of December 31, 2021, the Fund used significant unobservable inputs in determining the value of certain investments. As of September 30, 2022, 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. |
(d) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at September 30, 2022 is generally due to investments no longer held or categorized as Level 3 at period end. |
Currency Abbreviation | ||
EUR | Euro | |
GBP | British Pound | |
USD | United States Dollar | |
Portfolio Abbreviation | ||
CME | Chicago Mercantile Exchange | |
DIP | Debtor-In-Possession | |
ETF | Exchange-Traded Fund | |
EURIBOR | Euro Interbank Offered Rate | |
LIBOR | London Interbank Offered Rate |
Portfolio Abbreviation (continued) | ||
PIK | Payment-in-Kind | |
SCA | Societe en Commandite par Actions | |
SOFR | Secured Overnight Financing Rate | |
SONIA | Sterling Overnight Interbank Average Rate |
13 |
|