UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act File number 811-21413
Name of Fund: Floating Rate Income Strategies Fund, Inc.
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, Floating Rate Income Strategies Fund, Inc., 800 Scudders Mill
Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton,
NJ, 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 08/31/2006
Date of reporting period: 03/01/06 - 05/31/06
Item 1 - Schedule of Investments
Floating Rate Income Strategies Fund, Inc.
Schedule of Investments as of May 31, 2006
Face
Amount Floating Rate Loan Interests** Value
Aerospace & Defense - 3.9% $ 2,394,000 IAP Worldwide Services, Inc. First Lien Term Loan, 8%
due 12/20/2012 $ 2,417,940
1,874,807 K&F Industries, Inc. Term Loan, 7.28% - 7.34% due 11/18/2013 1,892,970
2,101,911 MRO Acquisitions Corp. First Lien Term Loan, 7.48%
due 8/27/2010 2,124,244
2,777,778 Standard Aero Holdings Term Loan, 6.96% - 7.35%
due 8/24/2012 2,777,778
2,905,412 Vought Aircraft Industries, Inc. Term Loan, 7.60% due
12/22/2011 2,941,729
560,000 Vought Aircraft Industries, Inc. Tranche B Line of Credit
Deposit, 7.33% due 12/22/2010 565,950
1,000,000 Vought Aircraft Revolving Credit, 7.33% - 7.59%
due 12/22/2010 965,000
---------------
13,685,611
Airlines - 0.8% 1,000,000 Delta Air Lines Term Loan B, 10.023% due 3/16/2008 1,015,804
187,500 United Air Lines Delay Draw Term Loan, 8.875% due 2/01/2012 190,359
1,312,500 United Air Lines Term Loan B, 8.625% due 2/01/2012 1,332,516
---------------
2,538,679
Automotive - 3.0% 2,672,143 Affinia Group Term Loan B, 8.13% due 11/30/2011 2,682,163
1,250,000 Delphi Corp. Debtor in Possession Term Loan B, 7.875%
due 10/08/2007 1,273,437
1,000,000 GPX International Tire Corp. Term Loan B, 7.60%
due 4/06/2012 1,008,750
1,575,697 Keystone Automotive Operations, Inc. Term Loan, 6.997% - 7.42%
due 10/30/2009 1,578,651
2,896,483 Tenneco Automotive, Inc. Term Loan B, 7.19% due 12/12/2010 2,921,465
1,272,374 Tenneco Automotive, Inc. Tranche B-1 Credit Linked Deposit,
7.052% due 12/12/2010 1,283,348
---------------
10,747,814
Broadcasting - 2.7% 1,197,716 Emmis Operating Co. Term Loan B, 6.83% - 8.50% due
11/10/2011 1,202,487
1,995,000 Gray Communications Term Loan B, 6.49% due 11/22/2012 2,002,731
382,692 NextMedia Group, Inc. Delay Draw Term Loan, 7.059%
due 11/15/2012 385,084
861,058 NextMedia Group, Inc. First Lien Term Loan, 7.09%
due 11/15/2012 866,439
1,750,000 NextMedia Group, Inc. Second Lien Term Loan, 9.41%
due 11/15/2013 1,789,375
3,250,000 Paxson Communications Corp. First Lien Term Loan, 8.318%
due 11/15/2012 3,335,312
---------------
9,581,428
Cable - U.S. - 17.5% 2,155,172 Cebridge Connections Term Loan B, 7.319% due 11/05/2013 2,146,512
12,000,000 Century Cable Holdings LLC, Discretionary Term Loan, 10%
due 12/31/2009 11,680,560
21,000,000 Charter Communications, Inc. Term Loan B, 7.755%
due 4/28/2013 21,122,766
2,000,000 DIRECTV Holdings, Inc. Tranche B Term Loan, 6.581%
due 4/13/2013 2,011,250
5,000,000 Hilton Head Communications UCA Term Loan B, 9%
due 3/31/2008 4,842,710
4,887,500 Insight Midwest Holdings LLC Term Loan C, 7%
due 12/31/2009 4,917,490
2,962,500 Intelsat Ltd. Term Loan, 5.25% due 7/28/2011 2,980,399
2,121,875 Mediacom Broadband Group Tranche A Term Loan, 6.02% - 6.48%
due 3/31/2010 2,107,098
3,160,000 Mediacom LLC Term Loan C, 6.87% due 1/31/2015 3,160,000
6,895,000 PanAmSat Corp. Tranche B Term Loan, 6.90% due 8/20/2011 6,952,677
---------------
61,921,462
Chemicals - 7.5% 1,960,000 Hercules, Inc. Term Loan B, 6.479% - 6.528% due 10/08/2010 1,973,781
6,864,200 Huntsman ICI Holdings Term Loan B, 6.831% due 8/16/2012 6,875,464
972,462 Invista Term Loan, 6.75% due 4/29/2011 979,756
2,210,141 Invista Term Loan B-1, 6.75% due 4/29/2011 2,219,351
982,500 Lyondell-Citgo Refining Term Loan, 6.979% due 5/21/2007 984,956
6,597,250 Nalco Co. Tranche B Term Loan, 6.48% - 6.82% due 11/04/2010 6,629,411
1,980,000 Rockwood Specialties Group, Inc. Tranche D Term Loan, 7.126%
due 12/10/2012 1,996,242
4,750,000 Wellman, Inc. Second Lien Term Loan, 11.899% due 2/10/2010 4,859,103
---------------
26,518,064
Consumer - Durables - 0.6% 2,151,711 Simmons Co. Tranche B Term Loan, 7.375% - 9.25%
due 12/19/2011 2,164,488
Consumer - Non-Durables - 1.0% 1,374,328 American Achievement Corp. Term Loan B, 9.50%
due 3/22/2011 1,381,200
1,467,000 Burt's Bees, Inc. Term Loan, 7.44% - 7.919% due 3/29/2011 1,481,670
756,000 Camelbak Products LLC First Lien Term Loan, 8.67%
due 8/04/2011 725,760
---------------
3,588,630
Diversified Media - 4.2% 4,624,152 Liberty Group Operating Term Loan B, 7.375% due 2/28/2012 4,652,188
10,000,000 Metro-Goldwyn-Mayer Studios, Inc. Term Loan B, 7.229%
due 4/30/2011 10,073,750
---------------
14,725,938
Energy - Exploration & 1,000,000 MEG Energy Corp. Term Loan B, 7% due 4/03/2013 1,007,411
Production - 0.3%
Energy - Other - 1.9% 2,750,000 Dresser, Inc. Term Loan Unsecured, 8.65% due 2/25/2010 2,811,875
1,025,000 EPCO, Inc. Term Loan C, 7.077% - 7.221% due 8/18/2010 1,036,165
1,496,250 Key Energy Services, Inc. Term Loan B, 8.25% - 8.40%
due 6/30/2012 1,508,875
1,500,000 Markwest Energy Operating Co. LLC Term Loan B, 7.319%
due 12/29/2010 1,503,750
---------------
6,860,665
Food & Drug - 0.2% 748,087 Alimentation Couche-Tard, Inc. US Term Loan, 6.875%
due 12/17/2010 756,658
Food & Tobacco - 2.8% 1,000,000 Bolthouse Farms, Inc. Second Lien Term Loan, 10.37%
due 12/01/2013 1,022,500
1,430,000 Commonwealth Brands Term Loan, 7.438% due 12/22/2012 1,440,546
3,184,781 Constellation Brands Term Loan B, 6.313% - 6.375%
due 11/30/2011 3,200,110
1,131,812 Doane Pet Care Co. Tranche B Term Loan, 6.94% - 7.376%
due 10/24/2012 1,133,227
186,046 Dole Food Co., Inc. Letter of Credit, 4.92% due 4/12/2013 185,102
418,605 Dole Food Co., Inc. Term Loan B, 6.875% - 8.75%
due 4/12/2013 416,479
1,395,349 Dole Food Co., Inc. Term Loan C, 6.875% - 8.75%
due 4/04/2013 1,388,263
713,333 Pierre Foods, Inc. Term Loan B, 6.93% due 6/30/2010 718,461
500,000 QCE LLC First Lien Term Loan, 7.31% due 5/05/2013 500,729
---------------
10,005,417
Gaming - 6.1% 799,766 Global Cash Access LLC Term Loan B, 6.843% due 3/10/2010 805,764
1,960,188 Green Valley Ranch Gaming LLC Term Loan, 6.979%
due 12/22/2010 1,973,664
895,500 Isle of Capri Black Hawk Term Loan B, 6.89% - 7.214%
due 10/24/2011 900,537
992,500 Isle of Capri Casinos, Inc. Tranche 3 Delay Draw Term Loan,
6.729% due 2/04/2011 997,214
3,233,750 Penn National Gaming, Inc. Term Loan B, 6.73% - 7.02% due
9/01/2007 3,259,351
2,000,000 Pinnacle Entertainment Term Loan, 7.09% due 12/15/2011 2,012,188
4,988,619 Resorts International First Lien Term Loan, 7.98%
due 4/26/2012 5,050,976
2,458,544 Trump Entertainment Resorts Holdings LP Term Loan B-1,
7.17% due 5/01/2012 2,484,666
1,000,000 Venetian Casino Resort LLC Delay Draw Term Loan, 6.73%
due 6/15/2011 1,005,703
3,100,000 Venetian Casino Resort LLC Term Loan B, 6.28% due 6/15/2011 3,117,679
---------------
21,607,742
Health Care - 3.0% 2,758,000 Community Health Systems, Inc. Term Loan, 6.85% - 6.97%
due 8/19/2011 2,777,825
3,099,138 DaVita, Inc. Tranche B Term Loan, 6.94% - 7.21%
due 10/05/2012 3,102,206
995,405 Duloxetine Royalty Term Loan, 9.577% due 10/18/2013 1,010,336
986,486 Gentiva Health Services, Inc. Term Loan B, 7.24% - 7.37%
due 3/31/2013 992,035
1,897,249 LifePoint Hospitals, Inc. Term Loan B, 6.905% due 4/15/2012 1,902,519
674,528 Rotech Healthcare, Inc. Term Loan B, 7.98% due 3/31/2008 680,431
---------------
10,465,352
Housing - 3.2% 2,920,211 Headwaters, Inc. Term Loan B-1, 7.08% due 4/30/2011 2,938,462
660,336 LIONS Gables Realty Term Loan B, 6.82% - 6.86%
due 9/30/2006 662,055
1,000,000 Mattamy Group Term Loan B, 7.477% due 4/11/2013 1,012,500
2,456,250 Nortek, Inc. Term Loan, 6.69% due 8/27/2011 2,469,300
4,369,500 PGT Industries, Inc. First Lien Term Loan, 8.13% due 2/14/2012 4,402,272
---------------
11,484,589
Information Technology - 2.7% 2,200,000 Activant Solutions Term Loan B, 7.188% due 5/02/2013 2,207,564
3,510,000 Fidelity National Information Solutions, Inc. Term Loan B,
6.83% due 3/09/2013 3,519,596
1,985,000 SunGard Data Systems, Inc. Term Loan B, 7.66% due 2/11/2013 2,000,136
1,980,000 Telcordia Technologies, Inc. Term Loan, 7.668% - 7.727%
due 9/15/2012 1,977,937
---------------
9,705,233
Leisure - 1.1% 4,000,000 24 Hour Fitness Term Loan B, 7.20% - 7.50% due 6/08/2012 4,025,000
Manufacturing - 5.0% 1,180,555 Communications & Power Industries, Inc. Term Loan, 7.34% - 9.25%
due 7/23/2010 1,188,426
2,000,000 Invensys International Holdings Ltd. Second Lien Term Loan,
9.431% due 12/04/2009 2,030,000
2,475,000 Metokote Corp. Second Lien Term Loan, 8.31% - 8.42%
due 11/27/2011 2,501,297
4,477,500 Mueller Group LLC Term Loan B, 7.06% - 7.477%
due 10/03/2012 4,522,275
1,500,000 Nacco Materials Handling Group Term Loan B, 7.17%
due 3/21/2013 1,500,000
5,143,478 Sensus Metering Systems, Inc. Term Loan B-1, 7.22% - 7.58%
due 12/17/2010 5,169,196
683,207 Sensus Metering Systems, Inc. Term Loan B-2, 7.22% - 7.44%
due 12/19/2010 686,623
---------------
17,597,817
Packaging - 5.1% 2,857,143 Anchor Glass Container Corp. Term Loan B, 7.309% due
5/03/2013 2,864,286
6,021,277 Berry Plastics Corp. Term Loan, 6.661% due 7/22/2010 6,058,910
3,437,500 Graham Packaging Co. LP Term Loan B, 6.938% - 7.375%
due 10/07/2011 3,458,627
1,970,000 Intertape Polymer US, Inc. Term Loan B, 7.14% - 7.278%
due 7/28/2011 1,999,140
525,619 Owens-Illinois Group, Inc. Term Loan B-1, 6.85% due 4/01/2008 526,276
3,240,129 Owens-Illinois Group, Inc. Tranche Term Loan C, 6.85%
due 4/01/2008 3,242,154
---------------
18,149,393
Paper - 2.9% 1,178,571 Boise Cascade Holdings LLC Tranche D Term Loan, 6.75%
due 10/28/2011 1,186,138
997,500 Georgia Pacific Corp. First Lien Term Loan B, 6.88% - 6.979%
due 2/14/2013 1,000,384
1,000,000 Georgia Pacific Corp. Second Lien Term Loan C, 7.88% -
8.081% due 2/14/2014 1,014,279
1,685,064 Riverside Energy Center Term Loan, 9.376% due 6/24/2011 1,739,829
1,972,738 SP Newsprint Co. Tranche B-1 Credit Linked Deposit, 4.829%
due 1/09/2010 1,998,630
681,105 SP Newsprint Co. Tranche B-1 Term Loan, 7.34% due 1/09/2010 690,044
2,054,743 Smurfit-Stone Container Corp. Term Loan B, 7.125% - 7.313%
due 11/01/2011 2,069,155
697,059 Smurfit-Stone Container Corp. Term Loan C, 7.125% - 7.313%
due 11/01/2011 701,948
---------------
10,400,407
Retail - 1.2% 1,129,352 American Reprographics Co. Term Loan, 6.70% - 8.75%
due 6/18/2009 1,133,587
1,682,868 General Nutrition Centers, Inc. Tranche B Term Loan, 7.97%
due 12/05/2009 1,696,541
1,424,051 The Neiman Marcus Group, Inc. Term Loan, 7.34%
due 4/06/2013 1,437,847
---------------
4,267,975
Service - 4.0% 1,990,000 Baker Tanks, Inc. Term Loan B, 7.20% - 7.593% due 11/23/2012 2,012,387
2,849,250 Burhrmann USA, Inc. Term Loan C, 6.67% - 6.88%
due 12/23/2010 2,863,496
1,997,982 Coinmach Laundry Corp. Term Loan B, 7.625% - 7.688%
due 12/16/2012 2,022,542
2,260,172 Coinstar, Inc. Term Loan, 6.96% - 7.03% due 7/07/2011 2,294,074
997,500 RGIS Inventory Specialists First Lien Term Loan, 7.479%
due 12/31/2012 997,500
808,070 United Rentals, Inc. Term Loan, 7.10% due 2/14/2011 813,542
164,912 United Rentals, Inc. Tranche B Credit Linked Deposit, 4.829%
due 2/14/2011 166,029
1,959,794 Weight Watchers International, Inc. First Lien Term Loan,
7.318% - 7.331% due 11/18/2010 1,981,842
1,000,000 Weight Watchers International, Inc. Term Loan C, 9.489%
due 7/17/2006 1,014,375
---------------
14,165,787
Telecommunications - 1.2% 2,000,000 Alaska Communication Systems Holdings, Inc. Incremental Term Loan,
6.729% due 2/01/2012 2,006,750
2,172,500 Consolidated Communications, Inc. Term Loan D, 6.729% - 6.924%
due 10/14/2011 2,183,362
---------------
4,190,112
Utility - 12.6% 1,571,429 AES Corp. Term Loan, 5.69% - 6.75% due 4/30/2008 1,582,887
2,500,000 Calpine Corp. Delay Draw Term Loan, 8.979% due 12/20/2007 2,564,582
4,902,199 Calpine Corp. Term Loan B, 10.35% due 7/16/2007 4,771,472
1,500,000 Calpine Generating Co. LLC First Lien Term Loan, 8.773%
due 4/01/2009 1,551,042
2,500,000 Calpine Generating Co. LLC Second Lien Term Loan, 10.773%
due 3/11/2010 2,677,082
1,667,431 Cogentrix Delaware Holdings, Inc. Term Loan, 6.75%
due 4/15/2012 1,673,857
2,341,463 Covanta Energy Corp. First Lien Letter of Credit, 4.96%
due 6/24/2012 2,346,341
1,677,896 Covanta Energy Corp. First Lien Term Loan, 7.96% - 8.081%
due 6/24/2012 1,681,391
2,500,000 Covanta Energy Corp. Second Lien Term Loan, 10.46% - 10.581%
due 6/24/2013 2,556,250
1,425,000 El Paso Corp. Deposit Account, 4.729% due 11/23/2009 1,434,599
1,843,000 El Paso Corp. Term Loan, 7.75% due 11/23/2009 1,856,183
4,950,000 KGen LLC Tranche A Term Loan, 7.604% due 8/05/2011 4,990,219
3,118,687 LSP Gen Finance Co. LLC First Lien Term Loan, 6.843%
due 5/04/2013 3,133,632
500,000 LSP Gen Finance Co. LLC Term Loan, 8.593% due 5/04/2014 508,333
2,474,755 LSP Kendall Energy Term Loan B, 6.979% due 10/07/2013 2,472,693
434,992 Midwest Generation LLC Term Loan C, 6.39% - 6.74%
due 4/27/2011 437,620
498,750 Mirant Corp. Term Loan B, 6.83% due 1/03/2013 499,685
2,023,333 Quanta Services, Inc. Credit Linked Deposit, 4.93%
due 6/19/2008 2,029,656
561,033 Reliant Energy, Inc. Term Loan, 7.465% due 4/30/2010 562,216
133,966 Rocky Mountain Energy Center LLC Credit Linked Deposit, 4.568%
due 6/24/2011 138,320
1,165,871 Rocky Mountain Energy Center LLC Term Loan, 9.376%
due 6/24/2011 1,203,762
1,481,527 Wolf Hollow I LP First Lien Term Loan, 7.185% due 6/22/2012 1,498,194
1,200,000 Wolf Hollow I LP Letter of Credit, 7.331% due 6/22/2012 1,213,500
300,000 Wolf Hollow I LP Revolving Credit, 7.059% due 6/22/2012 303,281
1,000,000 Wolf Hollow I LP Second Lien Term Loan, 9.435%
due 12/22/2012 1,022,500
---------------
44,709,297
Wireless 2,154,167 Centennial Cellular Operating Co. Term Loan, 7.21% - 7.57%
Communications - 0.6% due 2/09/2011 2,170,323
Total Floating Rate Loan Interests
(Cost - $334,550,706) - 95.1% 337,041,292
Corporate Bonds
Aerospace & Defense - 0.1% 250,000 Alliant Techsystems, Inc., 6.75% due 4/01/2016 245,313
Automotive - 0.1% 250,000 Autonation, Inc., 7.045% due 4/15/2013 (a)(b) 252,500
Cable - International - 0.1% 375,000 NTL Cable Plc, 8.75% due 4/15/2014 376,875
Cable - U.S. - 2.7% 2,000,000 CSC Holdings, Inc. Series B, 7.625% due 4/01/2011 2,010,000
2,000,000 Cablevision Systems Corp. Series B, 9.62% due 4/01/2009 (a) 2,125,000
3,000,000 Cablevision Systems Corp. Series B, 8% due 4/15/2012 2,970,000
750,000 Intelsat Subsidiary Holding Co. Ltd., 9.614% due 1/15/2012 (a) 760,313
500,000 Intelsat Subsidiary Holding Co. Ltd., 8.25% due 1/15/2013 501,875
800,000 Quebecor Media, Inc., 7.75% due 3/15/2016 (b) 812,000
250,000 Quebecor World Capital Corp., 8.75% due 3/15/2016 (b) 235,673
---------------
9,414,861
Chemicals - 0.8% 2,011,000 GEO Specialty Chemicals, Inc., 13.50% due 12/31/2009 (c) 1,749,570
1,125,000 Nova Chemicals Corp., 8.405% due 11/15/2013 (a) 1,133,438
---------------
2,883,008
Diversified Media - 0.3% 250,000 RH Donnelley Corp., 6.875% due 1/15/2013 (b) 228,750
550,000 RH Donnelley Corp., 8.875% due 1/15/2016 (b) 552,750
450,000 RH Donnelley Corp., Series A-2, 6.875% due 1/15/2013 (b) 411,750
---------------
1,193,250
Energy - Other - 0.9% 3,000,000 Ocean RIG ASA, 8.99% due 4/04/2011 2,985,000
250,000 PHI, Inc., 7.125% due 4/15/2013 (b) 243,750
---------------
3,228,750
Food & Drug - 0.2% 500,000 Stripes Acquisition LLC, 10.625% due 12/15/2013 (b) 542,500
Food & Tobacco - 1.2% 250,000 AmeriQual Group LLC, 9.25% due 4/01/2012 (b) 258,750
3,000,000 Smithfield Foods, Inc., 7% due 8/01/2011 2,940,000
1,050,000 The Wornick Co., 10.875% due 7/15/2011 1,080,188
---------------
4,278,938
Gaming - 2.5% 1,100,000 Galaxy Entertainment Finance Co. Ltd., 10.42%
due 12/15/2010 (a)(b) 1,149,500
2,000,000 Little Traverse Bay Bands of Odawa Indians, 10.25%
due 2/15/2014 (b) 1,980,000
550,000 MTR Gaming Group, Inc., 9% due 6/01/2012 (b) 556,188
5,000,000 Majestic Star Casino LLC, 9.50% due 10/15/2010 5,300,000
---------------
8,985,688
Health Care - 0.4% 675,000 Angiotech Pharmaceuticals, Inc., 7.75% due 4/01/2014 (b) 673,313
575,000 US Oncology, Inc., 9% due 8/15/2012 602,313
---------------
1,275,626
Information 4,050,000 Freescale Semiconductor, Inc., 7.818% due 7/15/2009 (a) 4,131,000
Technology - 3.5% 4,625,000 MagnaChip Semiconductor SA, 8.579% due 12/15/2011 (a) 4,590,313
1,825,000 SunGard Data Systems, Inc., 9.431% due 8/15/2013 (a)(b) 1,920,813
1,900,000 SunGard Data Systems, Inc., 10.25% due 8/15/2015 (b) 1,985,500
---------------
12,627,626
Leisure - 1.6% 5,400,000 Felcor Lodging LP, 9.57% due 6/01/2011 (a) 5,568,750
Manufacturing - 1.0% 325,000 ERICO International Corp., 8.875% due 3/01/2012 338,000
2,900,000 Invensys Plc, 9.875% due 3/15/2011 (b) 3,146,500
---------------
3,484,500
Metal - Other - 0.2% 700,000 Novelis, Inc., 7.75% due 2/15/2015 668,500
Packaging - 0.3% 1,000,000 Packaging Dynamics Finance Corp., 10% due 5/01/2016 (b) 1,007,500
Paper - 1.4% 2,650,000 Abitibi-Consolidated, Inc., 8.829% due 6/15/2011 (a) 2,656,625
700,000 Ainsworth Lumber Co. Ltd., 8.71% due 10/01/2010 (a) 700,000
725,000 Domtar, Inc., 7.125% due 8/15/2015 630,750
925,000 NewPage Corp., 11.399% due 5/01/2012 (a) 1,005,938
---------------
4,993,313
Retail - 1.0% 1,600,000 Jean Coutu Group, Inc., 8.50% due 8/01/2014 1,488,000
2,000,000 Neiman-Marcus Group, Inc., 9% due 10/15/2015 (b) 2,082,500
---------------
3,570,500
Service - 1.8% 250,000 Ahern Rentals, Inc., 9.25% due 8/15/2013 256,875
3,375,000 Allied Waste North America, Inc. Series B, 7.375%
due 4/15/2014 3,248,438
600,000 Dycom Industries, Inc., 8.125% due 10/15/2015 612,000
250,000 iPayment, Inc., 9.75% due 5/15/2014 (b) 250,625
2,000,000 Sunstate Equipment Co. LLC, 10.50% due 4/01/2013 (b) 2,115,000
---------------
6,482,938
Steel - 0.9% 3,000,000 CSN Islands VIII Corp., 9.75% due 12/16/2013 (b) 3,232,500
Telecommunications - 3.3% 3,000,000 Cincinnati Bell, Inc., 8.375% due 1/15/2014 3,030,000
3,700,000 Qwest Communications International, Inc., 8.67%
due 2/15/2009 (a) 3,764,750
1,450,000 Qwest Corp., 8.579% due 6/15/2013 (a) 1,564,188
3,500,000 Time Warner Telecom Holdings, Inc., 9.17% due 2/15/2011 (a) 3,552,500
---------------
11,911,438
Utility - 3.1% 2,000,000 Calpine Corp., 9.875% due 12/01/2011 (b)(f) 1,905,000
1,675,000 Dynegy Holdings, Inc., 8.375% due 5/01/2016 (b) 1,666,625
700,000 Edison Mission Energy, 7.50% due 6/15/2013 (b) 693,000
3,000,000 NRG Energy, Inc., 7.25% due 2/01/2014 3,000,000
4,000,000 Reliant Energy, Inc., 6.75% due 12/15/2014 3,620,000
---------------
10,884,625
Wireless 3,250,000 Rogers Wireless Communications, Inc., 8.454%
Communications - 1.0% due 12/15/2010 (a) 3,351,563
250,000 Rural Cellular Corp., 9.41% due 3/15/2010 (a) 255,000
---------------
3,606,563
Total Corporate Bonds (Cost - $99,301,880) - 28.4% 100,716,062
Shares
Held Common Stocks
Chemicals - 0.0% 13,117 GEO Specialty Chemicals, Inc. (e) 26,234
Energy - Other - 1.2% 127,985 Trico Marine Services, Inc. (e) 4,133,916
Manufacturing - 0.5% 71,654 Medis Technologies Ltd. (e) 1,736,893
Paper - 0.0% 84,448 Western Forest Products, Inc. (e) 131,932
Total Common Stocks (Cost - $4,496,224) - 1.7% 6,028,975
Warrants (d)
Utility - 0.0% 4,558 Reliant Resources (expires 10/25/2008) 29,627
Total Warrants (Cost - $0) - 0.0% 29,627
Total Investments (Cost - $438,348,810*) - 125.2% 443,815,956
Liabilities in Excess of Other Assets - (25.2%) (89,217,173)
---------------
Net Assets - 100.0% $ 354,598,783
===============
* The cost and unrealized appreciation (depreciation) of investments
as of May 31, 2006, as computed for federal income tax purposes,
were as follows:
Aggregate cost $ 438,283,095
================
Gross unrealized appreciation $ 6,907,410
Gross unrealized depreciation (1,374,549)
----------------
Net unrealized appreciation $ 5,532,861
================
** Floating rate loan interests in which the Fund invests generally
pay interest at rates that are periodically redetermined by reference
to a base lending rate plus a premium. The base lending rates are
generally (i) the lending rate offered by one or more major European
banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime
rate offered by one or more major U.S. banks or (iii) the certificate
of deposit rate.
(a) Floating rate security.
(b) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(c) Convertible security.
(d) 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.
(e) Non-income producing security.
(f) Non-income producing security; issuer filed for bankruptcy or is in
default of interest payments.
o 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. Industries are shown as a percent of net assets.
o Swaps outstanding as of May 31, 2006 were as follows:
Notional Unrealized
Amount Depreciation
Sold credit default protection on General
Motors Corp. and receive 4.40%
Broker, Morgan Stanley Capital Services, Inc.
Expires June 2007 $ 2,000,000 $ (70,122)
o 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 Interest
Affiliate Activity Income
Merrill Lynch Liquidity Series, LLC
Cash Sweep Series I - $ 37,389
Item 2 - Controls and Procedures
2(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others particularly
during the period in which this report is being prepared. The
registrant's certifying officers have determined that the
registrant's disclosure controls and procedures are effective based
on our evaluation of these controls and procedures as of a date
within 90 days prior to the filing date of this report.
2(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act
(17 CFR 270.30a-3(d)) that occurred during the last fiscal quarter of
the period covered by this report that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting.
Item 3 - Exhibits
Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
Floating Rate Income Strategies Fund, Inc.
By: /s/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.
Chief Executive Officer
Floating Rate Income Strategies Fund, Inc.
Date: July 21, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on
the dates indicated.
By: /s/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.
Chief Executive Officer
Floating Rate Income Strategies Fund, Inc.
Date: July 21, 2006
By: /s/ Donald C. Burke
-----------------------
Donald C. Burke
Chief Financial Officer
Floating Rate Income Strategies Fund, Inc.
Date: July 21, 2006