BLACKROCK Ltd DURATION INCOME TRUST
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company
Act file number 811-21349
Name of Fund: BlackRock Limited Duration Income Trust (BLW)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Limited Duration Income Trust,
55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code:
(800) 882-0052, Option 4
Date of fiscal year end: 08/31/2017
Date of reporting period: 08/31/2017
Item 1 – Report to Stockholders
AUGUST 31, 2017
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| ANNUAL
REPORT |
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BlackRock Floating Rate Income
Strategies Fund, Inc. (FRA)
BlackRock Limited Duration Income Trust (BLW)
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| Not FDIC Insured • May Lose Value • No Bank Guarantee |
Dear Shareholder,
In the 12 months ended August 31, 2017, risk assets, such as stocks and high-yield bonds, continued to deliver strong performance. These markets showed great resilience during a period with big
surprises, including the aftermath of the U.K.’s vote to leave the European Union and the outcome of the U.S. presidential election, which brought only brief spikes in equity market volatility. These expressions of isolationism and discontent
were countered by the closely watched and less surprising elections in France, the Netherlands and Australia.
Interest rates rose, which worked
against high-quality assets with more interest rate sensitivity. As a result, longer-term U.S. Treasuries posted negative returns, as rising energy prices, modest wage increases, and steady job growth led to expectations of higher inflation and
anticipation of interest rate increases by the U.S. Federal Reserve (the “Fed”).
Market prices began to reflect reflationary
expectations toward the end of 2016, as investors sensed that a global recovery was afoot. And those expectations have been largely realized in 2017, as many countries throughout the world experienced sustained and synchronized growth for the first
time since the financial crisis. Growth rates and inflation are still relatively low, but they are finally rising together.
The Fed responded to
these positive developments by increasing interest rates three times and setting expectations for additional interest rate increases. The Fed also appears to be approaching the implementation of its plan to reduce the vast balance sheet reserves
that provided liquidity to the global economy in the aftermath of the financial crisis in 2008. Also, growing skepticism about the near-term likelihood of significant U.S. tax reform and infrastructure spending has tempered reflationary expectations
in the United States.
By contrast, the European Central Bank and the Bank of Japan reiterated their commitments to economic stimulus and balance
sheet expansion despite nascent signs of sustained economic growth in both countries. The Eurozone also benefited from the relatively stable political environment, which is creating momentum for economic reform and pro-growth policies.
Financial markets — and to an extent the Fed — have adopted a “wait-and-see” approach to the economic data and potential fiscal stimulus.
Escalating tensions with North Korea and our nation’s divided politics are significant concerns. Nevertheless, benign credit conditions, modest inflation, and the positive outlook for growth in the world’s largest economies have kept
markets relatively tranquil.
However, the capacity for rapid global growth is restrained by structural factors, including an aging population in
developed countries, low productivity growth, and excess savings. Cyclical factors, such as the Fed moving toward the normalization of monetary policy and the length of the current expansion, also limit economic growth. Tempered economic growth and
high valuations across most assets have laid the groundwork for muted returns going forward. At current valuation levels, potential equity gains will likely be closely tied to the pace of earnings growth, which has remained solid thus far in 2017.
In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market
conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President,
BlackRock Advisors, LLC
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| Total Returns as of August 31, 2017 |
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6-month
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12-month
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| U.S. large cap equities
(S&P
500® Index) |
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5.65 |
% |
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16.23 |
% |
| U.S. small cap equities
(Russell
2000® Index) |
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2.04 |
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14.91 |
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| International equities
(MSCI Europe, Australasia,
Far East Index) |
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12.14 |
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17.64 |
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| Emerging market equities
(MSCI Emerging Markets Index) |
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18.02 |
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24.53 |
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| 3-month Treasury bills
(BofA Merrill Lynch 3-Month
U.S. Treasury Bill Index) |
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0.40 |
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0.62 |
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| U.S. Treasury securities
(BofA Merrill Lynch
10-Year U.S. Treasury
Index) |
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3.10 |
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(3.26 |
) |
| U.S. investment grade bonds
(Bloomberg Barclays U.S.
Aggregate Bond Index) |
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2.74 |
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0.49 |
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| Tax-exempt municipal
bonds (S&P Municipal
Bond Index) |
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3.51 |
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0.92 |
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| U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer
Capped Index) |
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3.03 |
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8.62 |
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| Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest
directly in an index. |
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THIS PAGE NOT PART OF YOUR FUND REPORT |
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ANNUAL REPORT |
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AUGUST 31, 2017 |
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| Fund Summary as of
August 31, 2017 |
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BlackRock Floating Rate Income Strategies Fund, Inc. |
BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA) (the “Fund”) investment objective is to provide shareholders with high current
income and such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and instruments. The Fund seeks to achieve its investment objective by investing,
under normal market conditions, at least 80% of its managed assets in floating rate debt securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which
reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments in floating rate debt securities consisting of secured or unsecured senior floating rate loans that are
rated below investment grade at the time of investment or, if unrated, are considered by the investment adviser to be of comparable quality. The Fund may invest directly in floating rate debt securities or synthetically through the use of
derivatives.
No assurance can be given that the Fund’s investment objective will be achieved.
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| Symbol on New York Stock Exchange (“NYSE”) |
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FRA |
| Initial Offering Date |
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October 31, 2003 |
| Current Distribution Rate on Closing Market Price as of August 31, 2017
($14.10)1 |
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5.19% |
| Current Monthly Distribution per Common Share2 |
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$0.0610 |
| Current Annualized Distribution per Common Share2 |
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$0.7320 |
| Economic Leverage as of August 31,
20173 |
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30% |
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1 |
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Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The
current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results. |
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2 |
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The distribution rate is not constant and is subject to change. |
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3 |
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Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable
to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.
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| Market Price and Net Asset Value Per Share
Summary |
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8/31/17 |
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8/31/16 |
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Change |
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High |
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Low |
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| Market Price |
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$14.10 |
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$13.70 |
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2.92% |
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$14.85 |
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$13.36 |
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| Net Asset Value |
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$14.93 |
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$14.78 |
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1.01% |
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$15.11 |
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$14.76 |
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| Market Price and Net Asset Value History For the Past Five Years |
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| 4 |
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ANNUAL REPORT |
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AUGUST 31, 2017 |
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BlackRock Floating Rate Income Strategies Fund, Inc. |
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| Performance and Portfolio Management
Commentary |
Returns for the period ended August 31, 2017 were as follows:
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Average Annual Total Returns |
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1 Year |
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3 Years |
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5 Years |
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| Fund at NAV1,2 |
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6.93 |
% |
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4.92 |
% |
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6.16 |
% |
| Fund at Market
Price1,2 |
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8.95 |
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5.57 |
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4.65 |
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| S&P/LSTA Leveraged Loan Index3 |
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5.80 |
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3.53 |
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4.24 |
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1 |
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All returns reflect reinvestment of dividends and/or distributions at actual
reinvestment prices. Performance results reflect the Fund’s use of leverage. |
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2 |
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The Fund’s discount to NAV narrowed during the period, which accounts for
the difference between performance based on market price and performance based on NAV. |
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3 |
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An unmanaged market value-weighted index (the “Reference Benchmark”)
designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Past performance is not indicative of future results.
Beginning with this reporting period, FRA is
presenting the Reference Benchmark to accompany fund performance. The Reference Benchmark is presented for informational purposes only, as the Fund is actively managed and does not seek to track or replicate the performance of the Reference
Benchmark or any other index. The portfolio investments of the Fund may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Fund’s performance to differ materially from that of
the Reference Benchmark. The Fund employs leverage as part of its investment strategy, which may change over time at the discretion of BlackRock Advisors, LLC (the “Manager”) as market and other conditions warrant. In contrast, the
Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Fund outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to
evaluate the Fund’s performance, such as the performance of the Fund relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.
More information about the Fund’s historical performance can be found in the “Closed End Funds” section of http://www.blackrock.com.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors
influenced performance?
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Floating rate loan interests (bank loans) benefited from a strong appetite for credit over much of the 12-month period. The largest contributors to
performance over the annual period included the electric, consumer cyclical services, and pharmaceuticals sectors, while more modest contributions came from government-related, real estate investment trust, and environmental loans. The Fund’s
allocation to B-rated names was a significant contributor, along with the BB-rated portion of the portfolio and unrated names. In terms of asset allocation, high yield bonds and equities were substantial
contributors to performance. |
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On the downside, holdings within technology, metals & mining, and oil field services were the largest detractors. Names rated CCC and below
detracted over the annual period. Finally, the Fund’s risk-management strategies detracted slightly over the period. |
Describe recent portfolio activity.
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Early in the period, the Fund maintained an overall focus on the higher quality segments of the loan market. As the period progressed, the Fund moderately
added risk as the broad leveraged finance markets displayed strength. The Fund added to its high yield bond position as relative value for the segment became more appealing with the bank loan universe trading at a premium to par value. At the same
time, the Fund’s net equity long exposure was reduced and the Fund added to positions within the wirelines and cable & satellite sectors. By contrast, the Fund reduced broad energy exposure and shifted its focus to higher quality issuers
within the space. While the Fund’s broad credit positioning remained consistent over the annual period, the BBB-rated allocation was slightly trimmed in favor of CCC-rated names. |
Describe portfolio positioning at period end.
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At period end, the Fund held the majority of its portfolio in floating rate bank loans, with a meaningful position in high yield corporate bonds as well.
The Fund maintained its highest concentration in higher coupon BB-rated loans of select issuers, while limiting exposure to both higher quality loans with less compelling risk/reward profiles and lower-rated loans with more equity-like profiles and
greater downside risk, should credit sentiment weaken. The Fund’s largest positions were within the technology, health care, and consumer cyclical services sectors. In addition, the Fund avoided certain retailers and leisure issuers, where
fundamentals continued to deteriorate. Within energy, the Fund favored higher quality issuers within the independent energy sector, while avoiding more cyclical names within oil field services. The Fund also remained focused on industries and
companies with stable business profiles and consistent cash flow, while avoiding areas of the markets with longer-term concerns and/or deteriorating fundamental trends. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market,
economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
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ANNUAL REPORT |
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AUGUST 31, 2017 |
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5 |
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BlackRock Floating Rate Income Strategies Fund, Inc. |
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| Overview of the Fund’s Total Investments |
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| Portfolio Composition |
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8/31/17 |
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8/31/16 |
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| Floating Rate Loan Interests |
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93 |
% |
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93 |
% |
| Corporate Bonds |
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6 |
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4 |
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| Asset-Backed Securities |
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1 |
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3 |
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| Common Stocks1 |
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— |
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— |
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| Short-Term Securities1 |
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— |
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— |
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| Other |
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—
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2
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—
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3
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1 |
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Representing less than 1% of the Fund’s total investments. |
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2 |
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Includes a less than 1% holding in each of the following investment types: Options Purchased, Other Interests, Preferred Securities, Rights and Warrants.
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3 |
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Includes a less than 1% holding in each of the following investment types: Investment Companies, Non-Agency Mortgage-Backed Securities, Options Purchased,
Other Interests, Preferred Securities and Warrants. |
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| Credit Quality Allocation4,5 |
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8/31/17 |
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8/31/16 |
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A1 |
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— |
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— |
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| BBB/Baa |
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9 |
% |
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11 |
% |
| BB/Ba |
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42 |
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44 |
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| B |
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40 |
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39 |
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| CCC/Caa |
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5 |
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3 |
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| N/R |
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4 |
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3 |
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4 |
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For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings
differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba
or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
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5 |
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Excludes Options Purchased and Short-Term Securities. |
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| 6 |
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ANNUAL REPORT |
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AUGUST 31, 2017 |
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| Fund Summary as of August 31, 2017 |
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BlackRock Limited Duration Income Trust |
BlackRock Limited Duration Income Trust’s (BLW) (the “Fund”) investment objective is to provide current income and capital appreciation. The
Fund seeks to achieve its investment objective by investing primarily in three distinct asset classes:
| • |
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intermediate duration, investment grade corporate bonds, mortgage-related securities, asset-backed securities and U.S. Government and agency securities;
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senior, secured floating rate loans made to corporate and other business entities; and |
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U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade at the time of investment or unrated and deemed by the
investment adviser to be of comparable quality and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade or unrated and deemed by the investment adviser to be of comparable quality.
|
The Fund’s portfolio normally has an average portfolio duration of less than five years (including the effect of
anticipated leverage), although it may be longer from time to time depending on market conditions. The Fund may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Fund’s investment objective will be achieved.
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| Symbol on NYSE |
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BLW |
| Initial Offering Date |
|
July 30, 2003 |
| Current Distribution Rate on Closing Market Price as of August 31, 2017
($15.99)1 |
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5.97% |
| Current Monthly Distribution per Common Share2 |
|
$0.0795 |
| Current Annualized Distribution per Common Share2 |
|
$0.9540 |
| Economic Leverage as of August 31,
20173 |
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29% |
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1 |
|
Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The
current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results. |
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2 |
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The distribution rate is not constant and is subject to change. |
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3 |
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Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets
attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.
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| Market Price and Net Asset Value Per Share Summary |
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8/31/17 |
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8/31/16 |
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Change |
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High |
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|
Low |
|
| Market Price |
|
$ |
15.99 |
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$ |
15.74 |
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|
1.59 |
% |
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$ |
16.14 |
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$ |
14.75 |
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| Net Asset Value |
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$ |
17.02 |
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$ |
16.84 |
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|
1.07 |
% |
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$ |
17.11 |
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$ |
16.54 |
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| Market Price and Net Asset Value History For the Past Five Years |
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ANNUAL REPORT |
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AUGUST 31, 2017 |
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7 |
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BlackRock Limited Duration Income Trust |
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| Performance and Portfolio Management
Commentary |
Returns for the period ended August 31, 2017 were as follows:
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| |
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Average Annual Total Returns |
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| |
|
1 Year |
|
|
3 Years |
|
|
5 Years |
|
| Fund at NAV1,2 |
|
|
9.62 |
% |
|
|
6.46 |
% |
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|
7.86 |
% |
| Fund at Market
Price1,2 |
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|
10.18 |
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|
6.89 |
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|
5.78 |
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| Reference Benchmark3 |
|
|
5.27 |
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|
3.37 |
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|
4.14 |
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| Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index4 |
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|
8.62 |
|
|
|
4.79 |
|
|
|
6.47 |
|
| S&P/LSTA Leveraged Loan Index5 |
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|
5.80 |
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|
3.53 |
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|
4.24 |
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| BATS S
Benchmark6 |
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|
1.48 |
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|
1.73 |
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|
1.70 |
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1 |
|
All returns reflect reinvestment of dividends and/or distributions at actual
reinvestment prices. Performance results reflect the Fund’s use of leverage. |
| |
2 |
|
The Fund’s discount to NAV narrowed during the period, which accounts for
the difference between performance based on market price and performance based on NAV. |
| |
3 |
|
The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (33.33%), the S&P/LSTA Leveraged Loan
Index (33.33%), and the BATS S Benchmark (33.34%). The Reference Benchmark’s index content and weightings may have varied over past periods. |
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4 |
|
An unmanaged index comprised of issuers that meet the following criteria: at
least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
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5 |
|
An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and
interest payments. |
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6 |
|
A composite index comprised of Bloomberg Barclays ABS 1-3 Year AAA Rated ex Home Equity Index, Bloomberg Barclays Corporate 1-5 year Index, Bloomberg
Barclays CMBS Investment Grade 1-3.5 Yr. Index, Blomberg Barclays MBS 15 Yr Index and Bloomberg Barclays Credit Ex-Corporate 1-5 Yr Index. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Past performance is not indicative of future results.
Beginning with this reporting period, BLW is
presenting the Reference Benchmark to accompany fund performance. The Reference Benchmark is presented for informational purposes only, as the Fund is actively managed and does not seek to track or replicate the performance of the Reference
Benchmark or any other index. The portfolio investments of the Fund may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Fund’s performance to differ materially from that of
the Reference Benchmark. The Fund employs leverage as part of its investment strategy, which may change over time at the discretion of the Manager as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for
leverage. Therefore, leverage generally may result in the Fund outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Fund’s performance, such as
the performance of the Fund relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.
More information about the Fund’s historical performance can be found in the “Closed End Funds” section of http://www.blackrock.com.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
| • |
|
The largest contributors to the Fund’s performance over the period were its allocations to high yield bonds, leveraged loans, asset-backed securities
(“ABS”), capital securities and investment grade credit. The Fund’s allocations to emerging market debt, foreign sovereign debt, foreign currency exposure obtained through currency derivatives and commercial mortgage-backed securities
(“CMBS”) also aided returns. |
| • |
|
The largest detractor from the Fund’s performance was its stance with respect to duration and yield curve positioning. (Duration is the
portfolio’s sensitivity to changes in the level of rates while yield curve positioning is the portfolio’s sensitivity to changes in the shape of the yield curve.) |
Describe recent portfolio activity.
| • |
|
Given the trend of tighter yield spreads across the fixed-income spectrum, the Fund’s trading activity during the period was focused on sector and
sub-sector rotation. Allocations to ABS and investment grade corporate issues were reduced and rotated into residential mortgage-backed securities (“MBS”), which have lagged the rally seen in other spread sectors and therefore appear to be
relatively attractively valued. Further, the investment adviser believes that interest rate volatility will likely remain low, a backdrop which typically is supportive of MBS returns. Within CMBS, concerns regarding big box retailers resulted in
spreads for lower quality issues widening, leading the Fund to increase its allocation to BBB-rated issues. The Fund’s allocation within emerging market debt also was increased, as a stable global growth environment, fundamental recovery in
several emerging market economies and attractive yields increased the appeal of the sector. From the standpoint of duration and corresponding interest rate sensitivity, the Fund moved to lower duration, with increased exposure to the front end of
the yield curve, on the view that interest rates are likely to rise by the end of 2017. |
Describe portfolio positioning at
period end.
| • |
|
At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield corporate bonds, senior loans, investment
grade corporate credit, CMBS, ABS, agency and non-agency residential MBS, emerging market debt and foreign sovereign debt. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a
forecast of future events and are no guarantee of future results.
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 8 |
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
|
|
|
|
| |
|
BlackRock Limited Duration Income Trust |
|
|
|
|
|
|
|
|
|
|
|
| Overview of the Fund’s Total Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Portfolio Composition |
|
8/31/17 |
|
|
8/31/16 |
|
| Corporate Bonds |
|
|
45 |
% |
|
|
42 |
% |
| Floating Rate Loan Interests |
|
|
27 |
|
|
|
26 |
|
| Asset-Backed Securities |
|
|
9 |
|
|
|
10 |
|
| Preferred Securities |
|
|
8 |
|
|
|
8 |
|
| Non-Agency Mortgage-Backed Securities |
|
|
6 |
|
|
|
8 |
|
| Foreign Agency Obligations |
|
|
4 |
|
|
|
4 |
|
| U.S. Government Sponsored Agency Securities |
|
|
1 |
|
|
|
1 |
|
| U.S. Treasury Obligations |
|
|
— |
1 |
|
|
1 |
|
| Other |
|
|
—
|
2
|
|
|
—
|
3
|
| |
1 |
|
Representing less than 1% of the Fund’s total investments.
|
| |
2 |
|
Includes a less than 1% holding in each of the following investment types: Common Stocks, Options Purchased, Options Written, Other Interests, Rights,
Short-Term Securities and Warrants. |
| |
3 |
|
Includes a less than 1% holding in each of the following investment types: Common Stocks, Investment Companies, Options Purchased, Options Written, Other
Interests, Short-Term Securities and Warrants. |
|
|
|
|
|
|
|
|
|
| Credit Quality Allocation4,5 |
|
8/31/17 |
|
|
8/31/16 |
|
|
AAA/Aaa6 |
|
|
4 |
% |
|
|
4 |
% |
| AA/Aa |
|
|
1 |
|
|
|
1 |
|
| A |
|
|
6 |
|
|
|
7 |
|
| BBB/Baa |
|
|
19 |
|
|
|
19 |
|
| BB/Ba |
|
|
33 |
|
|
|
32 |
|
| B |
|
|
29 |
|
|
|
25 |
|
| CCC/Caa |
|
|
4 |
|
|
|
4 |
|
| N/R |
|
|
4 |
|
|
|
8 |
|
| |
4 |
|
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings
differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba
or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| |
5 |
|
Excludes Options Purchased, Options Written and Short-Term Securities. |
| |
6 |
|
The investment adviser evaluates the credit quality of not-rated investments
based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government
Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
9 |
|
|
|
|
|
| The Benefits and Risks of Leveraging |
|
|
The Funds may utilize leverage to seek to enhance the distribution rate on, and net asset value
(“NAV”) of, their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.
In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Fund on its
longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Funds (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Funds’
shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the
per share NAV.
To illustrate these concepts, assume a Fund’s capitalization is $100 million and it utilizes leverage for an additional
$30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive
slope. In this case, a Fund’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Fund with the proceeds from leverage earn
income based on longer-term interest rates. In this case, a Fund’s financing cost of leverage is significantly lower than the income earned on a Fund’s longer-term investments acquired from such leverage proceeds, and therefore the holders
of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.
However, in order to benefit
shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Funds’ return on assets purchased with leverage proceeds, income
to shareholders is lower than if the Funds had not used leverage. Furthermore, the value of the Funds’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence
the value of portfolio investments. In contrast, the value of the
Funds’ obligations under their respective leverage arrangements generally
does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAVs positively or negatively. Changes in the future direction of interest
rates are very difficult to predict accurately, and there is no assurance that the Funds’ intended leveraging strategy will be successful.
The use of leverage also generally causes greater changes in each Fund’s NAV, market price and dividend rates than comparable portfolios without
leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Fund’s shares than if the Fund were not leveraged. In addition, the Fund may be required to sell portfolio securities at
inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Funds to incur losses. The use of leverage may limit
a Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the
shareholders. Moreover, to the extent the calculation of the Funds’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Funds’ investment adviser will be higher than
if the Funds did not use leverage.
Each Fund may utilize leverage through a credit facility or reverse repurchase agreements as described in the
Notes to Financial Statements.
Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Fund is
permitted to issue debt up to
33 1/3% of its total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund may also be subject to certain asset
coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.
If a Fund segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Fund’s obligations under the reverse repurchase agreement (including accrued
interest), then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.
|
|
|
| Derivative Financial Instruments |
|
|
The Funds may invest in various derivative financial instruments. These instruments are used to obtain
exposure to a security, commodity, index, market, and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange
rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset,
possible default of the counterparty to the
transaction or illiquidity of the instrument. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market
movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower
distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 10 |
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments August 31, 2017 |
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks |
|
|
|
|
Shares |
|
|
Value |
|
| Chemicals — 0.0% |
|
| GEO Specialty Chemicals, Inc. (a)(b) |
|
|
|
|
|
|
167,777 |
|
|
$ |
53,689 |
|
| Diversified Financial Services — 0.1% |
|
| Kcad Holdings I Ltd. (a)(b) |
|
|
|
|
|
|
309,827,230 |
|
|
|
424,463 |
|
| Health Care Management Services — 0.0% |
|
| New Millennium HoldCo, Inc. (b) |
|
|
|
|
|
|
14,906 |
|
|
|
15,845 |
|
| Semiconductors & Semiconductor Equipment — 0.0% |
|
| SunPower Corp. |
|
|
|
|
|
|
1,860 |
|
|
|
16,443 |
|
| Specialty Retail — 0.0% |
|
| Things Remembered, Inc. (a)(b) |
|
|
|
|
|
|
932,803 |
|
|
|
9 |
|
| Total Common Stocks — 0.1% |
|
|
|
|
|
|
|
|
|
|
510,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
Par
(000) |
|
|
|
|
| ALM Loan Funding, Series 2012-5A, Class BR, (3 mo. LIBOR US + 3.000%),
4.30%, 10/18/27 (c)(d) |
|
|
USD |
|
|
|
250 |
|
|
|
250,765 |
|
| ALM VII R Ltd., Series 2013-7RA, Class BR, (3 mo. LIBOR US + 2.700%),
4.00%, 10/15/28 (c)(d) |
|
|
|
|
|
|
250 |
|
|
|
252,456 |
|
| ALM XIV Ltd., Series 2014-14A, Class C, (3 mo. LIBOR US + 3.450%),
4.76%, 7/28/26 (c)(d) |
|
|
|
|
|
|
463 |
|
|
|
464,857 |
|
| ALM XVII Ltd., Series 2015-17A, Class C1, (3 mo. LIBOR US + 4.150%),
5.45%, 1/15/28 (c)(d) |
|
|
|
|
|
|
500 |
|
|
|
504,996 |
|
| AMMC CLO Ltd., Series 2014-15A, Class D, (3 mo. LIBOR US + 4.200%),
5.52%, 12/09/26 (c)(d) |
|
|
|
|
|
|
250 |
|
|
|
253,783 |
|
| Ares CLO Ltd., Series 2016-40A, Class C, (3 mo. LIBOR US + 3.700%),
5.00%, 10/15/27 (c)(d) |
|
|
|
|
|
|
250 |
|
|
|
252,112 |
|
| Ares XXXII CLO Ltd., Series 2014-32A, Class CR, (3 mo. LIBOR US + 3.450%), 4.77%,
11/15/25 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,102 |
|
| Ares XXXIII CLO Ltd., Series 2015-1A, Class A2R, (3 mo. LIBOR US + 1.950%), 3.27%,
12/05/25 (c)(d) |
|
|
|
|
|
|
450 |
|
|
|
453,680 |
|
| Atlas Senior Loan Fund VI Ltd., Series 2014-6A, Class DR, (3 mo. LIBOR US +
3.600%), 4.90%, 10/15/26 (c)(d) |
|
|
|
|
|
|
750 |
|
|
|
751,163 |
|
| Atrium X, Series 10A, Class DR, (3 mo. LIBOR US + 3.000%), 4.30%, 7/16/25 (c)(d) |
|
|
|
|
|
|
250 |
|
|
|
249,903 |
|
| Atrium XII, Series 12A, Class D, (3 mo. LIBOR US + 3.900%), 5.21%, 10/22/26 (c)(d) |
|
|
|
|
|
|
250 |
|
|
|
250,448 |
|
| Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A2R, (3 mo. LIBOR US +
2.050%), 3.36%,
1/20/29 (c)(d) |
|
|
|
|
|
|
500 |
|
|
|
504,832 |
|
| Benefit Street Partners CLO VIII, Ltd., Series 2015-8A (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class B, (3 mo. LIBOR US + 3.000%), 4.31%, 1/20/28 |
|
|
|
|
|
|
500 |
|
|
|
502,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
Par
(000) |
|
|
Value |
|
| Benefit Street Partners CLO VIII, Ltd., Series 2015-8A (c)(d)
(continued): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class C, (3 mo. LIBOR US + 3.900%), 5.21%, 1/20/28 |
|
|
USD |
|
|
|
500 |
|
|
$
|
500,296 |
|
| CIFC Funding Ltd. (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-4A, Class DR, (3 mo. LIBOR US + 3.350%),
4.67%, 11/27/24 |
|
|
|
|
|
|
250 |
|
|
|
250,717 |
|
| Series 2014-2A, Class A3LR, (3 mo. LIBOR US + 2.250%),
3.57%, 5/24/26 |
|
|
|
|
|
|
280 |
|
|
|
280,376 |
|
| Dryden Senior Loan Fund, Series 2014-36A, Class CR, (3 mo. LIBOR US + 2.800%), 4.10%,
1/15/28 (c)(d) |
|
|
|
|
|
|
250 |
|
|
|
252,947 |
|
| GoldentTree Loan Management US CLO 1 Ltd., Series 2017-1A, Class C,
(3 mo. LIBOR US + 2.200%), 3.51%, 4/20/29 (c)(d) |
|
|
|
|
|
|
250 |
|
|
|
250,136 |
|
| Grippen Park CLO Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.300%), 3.55%,
1/20/30 (c)(d) |
|
|
|
|
|
|
280 |
|
|
|
280,201 |
|
| LCM XVIII LP, Series 18A, Class INC, 0.00%, 4/20/27 (d) |
|
|
|
|
|
|
1,000 |
|
|
|
653,166 |
|
| Sound Point CLO III, Ltd., Series 2013-2A, Class DR, (3 mo. LIBOR US + 3.350%), 4.65%,
7/15/25 (c)(d) |
|
|
|
|
|
|
250 |
|
|
|
250,005 |
|
| TCI-Cent CLO Ltd., Series 2016-1A, Class A2, (3
mo. LIBOR US + 2.200%), 3.52%, 12/21/29 (c)(d) |
|
|
|
|
|
|
300 |
|
|
|
302,772 |
|
| Treman Park CLO LLC, Series 2015-1A, Class D, (3 mo. LIBOR US + 3.860%), 5.17%,
4/20/27 (c)(d) |
|
|
|
|
|
|
1,400 |
|
|
|
1,402,505 |
|
| Venture XIX CLO Ltd., Series 2014-19A, Class BR, (3 mo. LIBOR US + 2.000%), 3.30%,
1/15/27 (c)(d) |
|
|
|
|
|
|
250 |
|
|
|
251,868 |
|
| Webster Park CLO Ltd., Series 2015-1A, Class C,
(3 mo. LIBOR US + 4.050%), 5.36%, 1/20/27 (c)(d) |
|
|
|
|
|
|
500 |
|
|
|
504,883 |
|
| Total Asset-Backed Securities — 2.0% |
|
|
|
|
|
|
|
|
|
|
10,871,367 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
|
|
|
|
|
| Airlines — 0.5% |
|
| US Airways Pass-Through Trust, Series 2012-2,
Class C, 5.45%, 6/03/18 |
|
|
|
|
|
|
2,605 |
|
|
|
2,662,831 |
|
| Banks — 0.0% |
|
| CIT Group, Inc., 5.00%, 8/01/23 |
|
|
|
|
|
|
135 |
|
|
|
146,644 |
|
| Capital Markets — 0.3% |
|
| Blackstone CQP Holdco LP (d): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.50%, 3/20/21 |
|
|
|
|
|
|
1,536 |
|
|
|
1,583,263 |
|
| 6.00%, 8/18/21 |
|
|
|
|
|
|
249 |
|
|
|
248,708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
1,831,971 |
|
|
|
|
| ABS |
|
Asset-Backed Security |
| AUD |
|
Australian Dollar |
| CAD |
|
Canadian Dollar |
| CHF |
|
Swiss Franc |
| CLO |
|
Collateralized Loan Obligation |
| DIP |
|
Debtor-In-Possession |
| ETF |
|
Exchange-Traded Fund |
|
|
|
| EUR |
|
Euro |
| EURIBOR |
|
Euro Interbank Offered Rate |
| GBP |
|
British Pound |
| IDR |
|
Indonesian Rupiah |
| JPY |
|
Japanese Yen |
| LIBOR |
|
London Interbank Offered Rate |
| NOK |
|
Norwegian Krone |
|
|
|
| NZD |
|
New Zealand Dollar |
| OTC |
|
Over-the-Counter |
| PIK |
|
Payment-In-Kind |
| S&P |
|
S&P Global Ratings |
| SEK |
|
Swedish Krona |
| USD |
|
U.S. Dollar |
|
|
|
|
|
|
|
| See Notes to Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
|
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
11 |
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
Par
(000) |
|
|
Value |
|
| Chemicals — 0.6% |
|
| GEO Specialty Chemicals, Inc., 7.50%,
10/30/18 (a) |
|
|
USD |
|
|
|
1,779 |
|
|
$
|
2,513,176 |
|
| Momentive Performance Materials, Inc., 3.88%, 10/24/21 |
|
|
|
|
|
|
1,083 |
|
|
|
1,085,708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
3,598,884 |
|
| Communications Equipment — 0.2% |
|
| Avaya, Inc., 7.00%, 4/01/19 (b)(d)(e) |
|
|
|
|
|
|
1,347 |
|
|
|
1,134,847 |
|
| Consumer Finance — 0.1% |
|
| Ally Financial, Inc., 8.00%, 11/01/31 |
|
|
|
|
|
|
300 |
|
|
|
386,250 |
|
| Containers & Packaging — 1.0% |
|
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 7.25%, 5/15/24 (d) |
|
|
|
|
|
|
300 |
|
|
|
330,930 |
|
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, (3 mo. LIBOR US + 3.500%), 4.80%, 7/15/21 (c)(d) |
|
|
|
|
|
|
5,360 |
|
|
|
5,460,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
5,791,430 |
|
| Diversified Consumer Services — 0.1% |
|
| Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23 (d) |
|
|
|
|
|
|
300 |
|
|
|
331,500 |
|
| Electric Utilities — 0.0% |
|
| Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.,
11.50%, 10/01/20 (a) |
|
|
|
|
|
|
1,061 |
|
|
|
— |
|
| Environmental, Maintenance, & Security Service — 0.1% |
|
| Tervita Escrow Corp., 7.63%, 12/01/21 (d) |
|
|
|
|
|
|
540 |
|
|
|
542,700 |
|
| Health Care Providers & Services — 0.4% |
|
| CHS/Community Health Systems, Inc., 5.13%, 8/01/21 |
|
|
|
|
|
|
1,540 |
|
|
|
1,541,925 |
|
| Envision Healthcare Corp., 6.25%, 12/01/24 (d) |
|
|
|
|
|
|
259 |
|
|
|
279,073 |
|
| HCA, Inc., 5.25%, 6/15/26 |
|
|
|
|
|
|
325 |
|
|
|
349,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
2,170,779 |
|
| Hotels, Restaurants & Leisure — 0.2% |
|
| Scientific Games International, Inc., 7.00%, 1/01/22 (d) |
|
|
|
|
|
|
1,160 |
|
|
|
1,238,300 |
|
| Internet Software & Services — 0.1% |
|
| Symantec Corp., 5.00%, 4/15/25 (d) |
|
|
|
|
|
|
280 |
|
|
|
293,216 |
|
| Media — 1.3% |
|
| Altice Financing SA (d): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.63%, 2/15/23 |
|
|
|
|
|
|
550 |
|
|
|
581,625 |
|
| 7.50%, 5/15/26 |
|
|
|
|
|
|
875 |
|
|
|
958,300 |
|
| Altice US Finance I Corp., 5.50%, 5/15/26 (d) |
|
|
|
|
|
|
350 |
|
|
|
370,344 |
|
| Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.50%, 11/15/22 |
|
|
|
|
|
|
800 |
|
|
|
824,000 |
|
| Series B, 7.63%, 3/15/20 |
|
|
|
|
|
|
545 |
|
|
|
542,956 |
|
| CSC Holdings LLC, 10.88%, 10/15/25 (d) |
|
|
|
|
|
|
410 |
|
|
|
504,300 |
|
| SFR Group SA (d): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.00%, 5/15/22 |
|
|
|
|
|
|
842 |
|
|
|
887,241 |
|
| 7.38%, 5/01/26 |
|
|
|
|
|
|
1,857 |
|
|
|
2,005,597 |
|
| Virgin Media Secured Finance PLC, 5.25%, 1/15/26 (d) |
|
|
|
|
|
|
350 |
|
|
|
364,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
7,038,363 |
|
| Metals & Mining — 1.3% |
|
| Constellium NV, 6.63%, 3/01/25 (d) |
|
|
|
|
|
|
300 |
|
|
|
315,000 |
|
| Freeport-McMoRan, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.38%, 3/15/18 |
|
|
|
|
|
|
2,021 |
|
|
|
2,021,000 |
|
| 3.88%, 3/15/23 |
|
|
|
|
|
|
625 |
|
|
|
618,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
Par
(000) |
|
|
Value |
|
| Metals & Mining (continued) |
|
| Novelis Corp., 6.25%, 8/15/24 (d) |
|
|
USD |
|
|
|
1,460 |
|
|
$
|
1,542,125 |
|
| Teck Resources Ltd., 3.75%, 2/01/23 |
|
|
|
|
|
|
3,058 |
|
|
|
3,079,253 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
7,576,128 |
|
| Oil, Gas & Consumable Fuels — 1.4% |
|
| Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 |
|
|
|
|
|
|
670 |
|
|
|
762,125 |
|
| CONSOL Energy, Inc., 5.88%, 4/15/22 |
|
|
|
|
|
|
2,262 |
|
|
|
2,262,000 |
|
| Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (d) |
|
|
|
|
|
|
995 |
|
|
|
990,025 |
|
| Halcon Resources Corp., 6.75%, 2/15/25 (d) |
|
|
|
|
|
|
1,175 |
|
|
|
1,180,875 |
|
| MEG Energy Corp., 6.50%, 1/15/25 (d) |
|
|
|
|
|
|
1,866 |
|
|
|
1,733,047 |
|
| NGPL PipeCo LLC (d): |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.38%, 8/15/22 |
|
|
|
|
|
|
590 |
|
|
|
606,225 |
|
| 4.88%, 8/15/27 |
|
|
|
|
|
|
415 |
|
|
|
427,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
7,961,747 |
|
| Real Estate Investment Trusts (REITs) — 0.1% |
|
| MGM Growth Properties Operating Partnership LP/MGP Finance
Co-Issuer, Inc., 5.63%, 5/01/24 |
|
|
|
|
|
|
510 |
|
|
|
554,625 |
|
| Software — 0.1% |
|
| Solera LLC/Solera Finance, Inc., 10.50%, 3/01/24 (d) |
|
|
|
|
|
|
520 |
|
|
|
592,150 |
|
| Wireless Telecommunication Services — 0.1% |
|
| Sprint Communications, Inc., 7.00%, 8/15/20 |
|
|
|
|
|
|
325 |
|
|
|
356,281 |
|
| Total Corporate Bonds — 7.9% |
|
|
|
|
|
|
|
|
|
|
44,208,646 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
| Aerospace & Defense — 2.5% |
|
| Accudyne Industries LLC, 2017 Term Loan, (2 mo. LIBOR + 3.750%, 1.00% Floor), 5.01%, 8/02/24 (f) |
|
|
|
|
|
|
3,490 |
|
|
|
3,488,918 |
|
| DAE Aviation Holdings, Inc., 2017 1st Lien Term Loan, 7/07/22 (i) |
|
|
|
|
|
|
510 |
|
|
|
511,275 |
|
| Engility Corp. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B1, (1 mo. LIBOR + 2.750%), 3.99%, 8/12/20 |
|
|
|
|
|
|
329 |
|
|
|
329,403 |
|
| Term Loan B2, (PRIME + 2.750%, 1.00% Floor), 4.49%, 8/12/23 |
|
|
|
|
|
|
594 |
|
|
|
598,190 |
|
| GTCR Valor Companies, Inc., 2017 Term Loan B1, (3 mo. LIBOR + 4.250%), 5.50%, 6/16/23 (f) |
|
|
|
|
|
|
772 |
|
|
|
777,512 |
|
| TransDigm, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2015 Term Loan E, (1 mo. LIBOR + 3.000%), 4.24%, 5/14/22 |
|
|
|
|
|
|
861 |
|
|
|
861,785 |
|
| 2016 Extended Term Loan F, (1 mo. LIBOR + 3.000%), 4.24%, 6/09/23 |
|
|
|
|
|
|
6,319 |
|
|
|
6,326,579 |
|
| Term Loan D, (3 mo. LIBOR + 3.000%), 4.30%, 6/04/21 |
|
|
|
|
|
|
1,131 |
|
|
|
1,132,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
14,025,803 |
|
| Air Freight & Logistics — 1.6% |
|
| Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2, (1 mo. LIBOR + 2.750%), 3.98%, 3/20/22 (f) |
|
|
|
|
|
|
6,299 |
|
|
|
6,315,800 |
|
| CEVA Group PLC, Letter of Credit, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.50%, 3/19/21 (f) |
|
|
|
|
|
|
733 |
|
|
|
684,973 |
|
| CEVA Intercompany BV, Dutch Term Loan, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.81%, 3/19/21 (f) |
|
|
|
|
|
|
749 |
|
|
|
704,818 |
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
| 12 |
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Air Freight & Logistics (continued) |
|
| CEVA Logistics Canada ULC, Canadian Term Loan, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.81%, 3/19/21 (f) |
|
|
USD |
|
|
|
129 |
|
|
$
|
121,522 |
|
| CEVA Logistics US Holdings, Inc., Term Loan, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.81%, 3/19/21 (f) |
|
|
|
|
|
|
997 |
|
|
|
938,745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
8,765,858 |
|
| Airlines — 0.1% |
|
| Northwest Airlines, Inc., Term Loan, (6 mo. LIBOR + 1.230%), 2.65%, 9/10/18
(a)(f) |
|
|
|
|
|
|
359 |
|
|
|
355,326 |
|
| Auto Components — 1.0% |
|
| Anchor Glass Container Corp., 2016 2nd Lien Term Loan, (1 mo. LIBOR + 7.750%), 8.98%, 12/07/24 (f) |
|
|
|
|
|
|
395 |
|
|
|
400,265 |
|
| Dayco Products LLC, 2017 Term Loan B, (3 mo. LIBOR + 5.000%), 6.32%, 5/19/23 (a)(f) |
|
|
|
|
|
|
1,027 |
|
|
|
1,029,994 |
|
| FPC Holdings, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.000%), 5.30%, 11/19/19 |
|
|
|
|
|
|
987 |
|
|
|
970,942 |
|
| Goodyear Tire & Rubber Co., 2nd Lien Term Loan, (1 mo. LIBOR + 2.000%), 3.23%, 4/30/19 |
|
|
|
|
|
|
582 |
|
|
|
582,394 |
|
| GPX International Tire Corp. (i),
Term Loan (a)(b)(e): |
|
|
|
|
|
|
|
|
|
|
|
|
| 3/30/12 |
|
|
|
|
|
|
1,098 |
|
|
|
— |
|
| PIK, 3/30/12 (g) |
|
|
|
|
|
|
18 |
|
|
|
— |
|
| TKC Holdings, Inc., 2017 2nd Lien Term Loan, (1 mo. LIBOR + 8.000%, 1.00% Floor), 9.24%, 2/01/24 (f) |
|
|
|
|
|
|
1,337 |
|
|
|
1,337,000 |
|
| USI, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 5/16/24 (f) |
|
|
|
|
|
|
1,305 |
|
|
|
1,297,118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
5,617,713 |
|
| Automobiles — 0.3% |
|
|
|
|
|
|
|
|
|
| CH Hold Corp. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 2/01/24 |
|
|
|
|
|
|
1,284 |
|
|
|
1,288,332 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 7.250%, 1.00% Floor), 8.49%, 2/01/25 |
|
|
|
|
|
|
245 |
|
|
|
249,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
1,538,232 |
|
| Building Materials — 0.5% |
|
|
|
|
|
|
|
|
|
| Allied Universal HoldCo LLC, 2015 Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 7/28/22 (f) |
|
|
|
|
|
|
1,869 |
|
|
|
1,867,313 |
|
| USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (3 mo. LIBOR + 8.500%, 1.00% Floor), 9.81%, 7/28/23 (f) |
|
|
|
|
|
|
645 |
|
|
|
640,969 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
2,508,282 |
|
| Building Products — 1.5% |
|
| Continental Building Products LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.500%), 3.80%, 8/18/23 (a)(f) |
|
|
|
|
|
|
1,118 |
|
|
|
1,117,790 |
|
| CPG International Inc., 2017 Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 5/03/24 (f) |
|
|
|
|
|
|
1,952 |
|
|
|
1,949,778 |
|
| Jeld-Wen, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 7/01/22
(f) |
|
|
|
|
|
|
1,764 |
|
|
|
1,772,899 |
|
| Ply Gem Industries, Inc., Term Loan, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 2/01/21 (f) |
|
|
|
|
|
|
916 |
|
|
|
921,698 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Building Products (continued) |
|
| Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 12/19/23 (f) |
|
|
USD |
|
|
|
2,734 |
|
|
$
|
2,734,515 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
8,496,680 |
|
| Capital Markets — 0.6% |
|
|
|
|
|
|
|
|
|
| FinCo I LLC, 2017 Term Loan B, 6/14/22 (i) |
|
|
|
|
|
|
1,460 |
|
|
|
1,471,680 |
|
| RPI Finance Trust, Term Loan B6, (3 mo. LIBOR + 2.000%), 3.30%, 3/27/23 (f) |
|
|
|
|
|
|
1,737 |
|
|
|
1,743,204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
3,214,884 |
|
| Chemicals — 3.7% |
|
|
|
|
|
|
|
|
|
| Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 1/31/24 (f) |
|
|
|
|
|
|
1,025 |
|
|
|
1,025,000 |
|
| Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 2.000%), 3.30%, 6/01/24 (f) |
|
|
|
|
|
|
2,375 |
|
|
|
2,380,201 |
|
| CeramTec Acquisition Corp., Term Loan B2, (3 mo. LIBOR + 2.750%), 4.07%, 8/30/20 |
|
|
|
|
|
|
113 |
|
|
|
113,319 |
|
| Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%,
5/16/24 (f) |
|
|
|
|
|
|
1,455 |
|
|
|
1,456,368 |
|
| Chemours Company, 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 5/12/22 (f) |
|
|
|
|
|
|
908 |
|
|
|
909,990 |
|
| Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.75%, 6/01/24
(f) |
|
|
|
|
|
|
620 |
|
|
|
625,971 |
|
| Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.750%), 5.06%, 7/09/19 (f) |
|
|
|
|
|
|
300 |
|
|
|
279,339 |
|
| Huntsman International LLC, Term Loan B2, (1 mo. LIBOR + 3.000%), 4.24%, 4/01/23 (f) |
|
|
|
|
|
|
958 |
|
|
|
961,829 |
|
| MacDermid, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B5, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 6/07/20 |
|
|
|
|
|
|
1,907 |
|
|
|
1,918,750 |
|
| Term Loan B6, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.23%, 6/07/23 |
|
|
|
|
|
|
1,426 |
|
|
|
1,430,568 |
|
| OXEA Finance LLC, Term Loan B2, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.48%, 1/15/20 (f) |
|
|
|
|
|
|
3,010 |
|
|
|
2,994,768 |
|
| PQ Corp., 2017 Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.56%, 11/04/22 (f) |
|
|
|
|
|
|
1,378 |
|
|
|
1,383,274 |
|
| Royal Holdings, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2015 2nd Lien Term Loan, (3 mo. LIBOR + 7.500%, 1.00% Floor), 8.79%, 6/19/23 (a) |
|
|
|
|
|
|
257 |
|
|
|
255,910 |
|
| 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 6/19/22 |
|
|
|
|
|
|
1,115 |
|
|
|
1,120,756 |
|
| Solenis International LP (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.57%, 7/31/21 |
|
|
|
|
|
|
1,493 |
|
|
|
1,495,281 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 6.750%, 1.00% Floor), 8.07%, 7/31/22 |
|
|
|
|
|
|
1,725 |
|
|
|
1,724,275 |
|
| Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.06%, 8/07/20
(f) |
|
|
|
|
|
|
422 |
|
|
|
421,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
20,497,589 |
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
|
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
13 |
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Commercial Services & Supplies — 6.8% |
|
| Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.750%), 3.94%,
11/10/23 (f) |
|
|
USD |
|
|
|
3,321 |
|
|
$
|
3,336,486 |
|
| Asurion LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 2nd Lien Term Loan, 8/04/25 (i) |
|
|
|
|
|
|
565 |
|
|
|
576,537 |
|
| 2017 Term Loan B4, (1 mo. LIBOR + 2.750%), 3.99%, 8/04/22 (f) |
|
|
|
|
|
|
2,000 |
|
|
|
2,004,546 |
|
| 2017 Term Loan B5, (1 mo. LIBOR + 3.000%), 4.24%, 11/03/23 (f) |
|
|
|
|
|
|
3,568 |
|
|
|
3,580,912 |
|
| Camelot UK Holdco Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 10/03/23 (f) |
|
|
|
|
|
|
3,884 |
|
|
|
3,899,241 |
|
| Casella Waste Systems, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.750%), 3.98%, 10/17/23 |
|
|
|
|
|
|
935 |
|
|
|
937,058 |
|
| Catalent Pharma Solutions, Inc., Term Loan B, (1 Week LIBOR + 2.750%, 1.00% Floor), 3.99%,
5/20/21 (f) |
|
|
|
|
|
|
3,613 |
|
|
|
3,629,088 |
|
| Clean Harbors, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.000%), 3.24%, 6/27/24 (f) |
|
|
|
|
|
|
660 |
|
|
|
661,650 |
|
| Creative Artists Agency LLC, 2017 1st Lien Term Loan B, (PRIME + 2.500%, 1.00% Floor), 4.73%,
2/15/24 (f) |
|
|
|
|
|
|
2,080 |
|
|
|
2,090,821 |
|
| Dealer Tire LLC, 2016 Term Loan B, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.06%, 12/22/21 (a)(f) |
|
|
|
|
|
|
995 |
|
|
|
1,003,758 |
|
| Employbridge LLC, Exit Term Loan, (3 mo. LIBOR + 6.500%, 1.00% Floor), 7.80%, 5/16/20 (f) |
|
|
|
|
|
|
372 |
|
|
|
348,536 |
|
| Garda World Security Corp., 2017 Term Loan, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.31%, 5/24/24 (f) |
|
|
|
|
|
|
923 |
|
|
|
927,669 |
|
| GCA Services Group, Inc., 2016 Term Loan, (3 mo. LIBOR + 4.750%, 1.00% Floor), 6.05%, 3/01/23 (f) |
|
|
|
|
|
|
1,861 |
|
|
|
1,865,638 |
|
| Harland Clarke Holdings Corp., Term Loan B6, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.80%, 2/09/22 (f) |
|
|
|
|
|
|
1,048 |
|
|
|
1,050,797 |
|
| KAR Auction Services, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B4, (3 mo. LIBOR + 2.250%), 3.56%, 3/11/21 |
|
|
|
|
|
|
869 |
|
|
|
872,414 |
|
| Term Loan B5, (3 mo. LIBOR + 2.500%), 3.81%, 3/09/23 (f) |
|
|
|
|
|
|
1,375 |
|
|
|
1,379,893 |
|
| Livingston International, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.250%), 5.55%, 4/18/19 (f) |
|
|
|
|
|
|
544 |
|
|
|
514,520 |
|
| Packers Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.73%, 12/02/21 (a)(f) |
|
|
|
|
|
|
1,548 |
|
|
|
1,559,599 |
|
| Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.750%, 1.00% Floor),
3.99%, 5/02/22 (f) |
|
|
|
|
|
|
2,802 |
|
|
|
2,814,888 |
|
| US Security Associates Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 4.000%, 1.00% Floor),
5.30%, 7/14/23 (f) |
|
|
|
|
|
|
2,410 |
|
|
|
2,420,905 |
|
| Waste Industries USA, Inc., 2016 Term Loan, (1 mo. LIBOR + 2.750%), 3.99%, 2/27/20 (f) |
|
|
|
|
|
|
2,084 |
|
|
|
2,085,788 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
37,560,744 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Commercial Services & Supplies — 0.2% |
|
| TruGreen Limited Partnership, 2017 Term Loan, (1 mo. LIBOR + 4.000%, 1.00% Floor),
5.23%,
4/13/23 (a)(f) |
|
|
USD |
|
|
|
1,140 |
|
|
$
|
1,151,249 |
|
| Communications Equipment — 1.1% |
|
| Applied Systems, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 1/25/21 |
|
|
|
|
|
|
906 |
|
|
|
911,446 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 6.500%, 1.00% Floor), 7.80%, 1/24/22 |
|
|
|
|
|
|
376 |
|
|
|
380,547 |
|
| Avaya, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| DIP Term Loan, (1 mo. LIBOR + 7.500%, 1.00% Floor), 8.73%, 1/24/18 (f) |
|
|
|
|
|
|
60 |
|
|
|
60,900 |
|
| Term Loan B7, 6.28%, 5/29/20 (e) |
|
|
|
|
|
|
248 |
|
|
|
209,267 |
|
| Colorado Buyer, Inc., Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 5/01/24 (f) |
|
|
|
|
|
|
1,725 |
|
|
|
1,732,556 |
|
| CommScope, Inc., Term Loan B5, (3 mo. LIBOR + 2.000%), 3.30%, 12/29/22 (f) |
|
|
|
|
|
|
802 |
|
|
|
805,127 |
|
| Riverbed Technology, Inc., 2016 Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 4/24/22 (f) |
|
|
|
|
|
|
854 |
|
|
|
828,024 |
|
| Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, 6/20/24 (i) |
|
|
|
|
|
|
1,160 |
|
|
|
1,168,944 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
6,096,811 |
|
| Construction & Engineering — 1.6% |
|
| Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (2 mo. LIBOR + 4.250%, 1.00% Floor),
5.56%, 6/21/24 (f) |
|
|
|
|
|
|
6,457 |
|
|
|
6,472,239 |
|
| CNT Holdings III Corp., 2017 Term Loan, (2 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 1/22/23 (f) |
|
|
|
|
|
|
1,319 |
|
|
|
1,298,587 |
|
| Pike Corp., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.750%, 1.00% Floor), 4.99%, 3/10/24 (f) |
|
|
|
|
|
|
419 |
|
|
|
422,880 |
|
| USIC Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.500%), 4.92%, 12/08/23 (f) |
|
|
|
|
|
|
926 |
|
|
|
929,065 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
9,122,771 |
|
| Construction Materials — 1.0% |
|
| Filtration Group Corp., 1st Lien Term Loan, (2 mo. LIBOR + 3.000%, 1.00% Floor), 4.26%, 11/21/20 (f) |
|
|
|
|
|
|
3,523 |
|
|
|
3,535,048 |
|
| GYP Holdings III Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 4/01/23 (f) |
|
|
|
|
|
|
2,225 |
|
|
|
2,230,452 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
5,765,500 |
|
| Containers & Packaging — 1.7% |
|
| Anchor Glass Container Corp., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.750%, 1.00% Floor), 4.01%, 12/07/23 |
|
|
|
|
|
|
527 |
|
|
|
528,173 |
|
| Berlin Packaging LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 10/01/21 (f) |
|
|
|
|
|
|
585 |
|
|
|
586,589 |
|
| Berry Plastics Group, Inc., Term Loan M, (1 mo. LIBOR + 2.250%), 3.48%, 10/01/22 (f) |
|
|
|
|
|
|
5,035 |
|
|
|
5,035,928 |
|
| BWAY Holding Co., 2017 Term Loan B, (1 mo. LIBOR + 3.250%), 4.48%, 4/03/24 (f) |
|
|
|
|
|
|
1,799 |
|
|
|
1,799,558 |
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
| 14 |
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Containers & Packaging (continued) |
|
| Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 12/29/23 |
|
|
USD |
|
|
|
1,182 |
|
|
$
|
1,179,673 |
|
| Proampac PG Borrower LLC, 2016 1st Lien Term Loan, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.31%, 11/18/23 |
|
|
|
|
|
|
493 |
|
|
|
498,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
9,627,971 |
|
| Distributors — 0.7% |
|
| American Builders & Contractors Supply Co., Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 10/31/23
(f) |
|
|
|
|
|
|
2,674 |
|
|
|
2,676,265 |
|
| American Tire Distributors Holdings, Inc., 2015 Term Loan, (1 mo. LIBOR + 4.250%, 1.00% Floor),
5.49%, 9/01/21 (f) |
|
|
|
|
|
|
930 |
|
|
|
936,339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
3,612,604 |
|
| Diversified Consumer Services — 4.7% |
|
| AI Aqua Merger Sub, Inc., 2017 Incremental Term Loan, 12/13/23 (i) |
|
|
|
|
|
|
2,095 |
|
|
|
2,098,939 |
|
| Ascend Learning LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.53%, 7/12/24 (f) |
|
|
|
|
|
|
1,165 |
|
|
|
1,168,879 |
|
| Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 11/07/23 (f) |
|
|
|
|
|
|
2,948 |
|
|
|
2,957,055 |
|
| Equian LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| Delayed Draw Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 5/20/24 |
|
|
|
|
|
|
200 |
|
|
|
202,117 |
|
| Term Loan B, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.07%, 5/20/24 |
|
|
|
|
|
|
1,302 |
|
|
|
1,313,748 |
|
| J.D. Power and Associates, 1st Lien Term Loan, (2 mo. LIBOR + 4.250%, 1.00% Floor), 5.55%, 9/07/23 |
|
|
|
|
|
|
1,411 |
|
|
|
1,413,202 |
|
| Serta Simmons Bedding LLC (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.80%, 11/08/23 |
|
|
|
|
|
|
5,006 |
|
|
|
4,858,566 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 8.000%, 1.00% Floor), 9.31%, 11/08/24 |
|
|
|
|
|
|
1,604 |
|
|
|
1,547,225 |
|
| ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 11/08/23 (f) |
|
|
|
|
|
|
4,169 |
|
|
|
4,172,177 |
|
| Spin Holdco, Inc., 2017 Term Loan B, (2 mo. LIBOR + 3.750%, 1.00% Floor), 5.01%, 11/14/22 (f) |
|
|
|
|
|
|
1,173 |
|
|
|
1,176,106 |
|
| Wand Intermediate I LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 9/17/21 |
|
|
|
|
|
|
1,379 |
|
|
|
1,386,585 |
|
| Weight Watchers International, Inc., Term Loan B2, (3 mo. LIBOR + 3.250%), 4.49%,
4/02/20 (f) |
|
|
|
|
|
|
4,003 |
|
|
|
3,908,967 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
26,203,566 |
|
| Diversified Financial Services — 1.6% |
|
| AlixPartners LLP, 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 4/04/24 (f) |
|
|
|
|
|
|
2,648 |
|
|
|
2,660,492 |
|
| Diamond (BC) BV, Term Loan, (1 mo. LIBOR + 3.50%), 4.32%, 7/12/24 (f) |
|
|
|
|
|
|
2,315 |
|
|
|
2,299,096 |
|
| Diamond US Holding LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 3/29/24 |
|
|
|
|
|
|
953 |
|
|
|
953,663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Diversified Financial Services (continued) |
|
| Kingpin Intermediate Holdings LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 4.250%, 1.00% Floor),
5.49%, 6/28/24 (f) |
|
|
USD |
|
|
|
1,570 |
|
|
$
|
1,581,116 |
|
| Nomad Foods Europe Midco Ltd., Term Loan B, (1 mo. LIBOR + 2.750%), 3.98%, 4/18/24 (f) |
|
|
|
|
|
|
880 |
|
|
|
883,027 |
|
| SAM Finance Luxembourg Sarl, Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.50%, 12/17/20 (f) |
|
|
|
|
|
|
641 |
|
|
|
641,705 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
9,019,099 |
|
| Diversified Telecommunication Services — 7.0% |
|
| CenturyLink, Inc., 2017 Term Loan B, 2.75%, 1/31/25 |
|
|
|
|
|
|
13,200 |
|
|
|
12,908,544 |
|
| Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 10/04/23 (f) |
|
|
|
|
|
|
787 |
|
|
|
772,182 |
|
| Frontier Communications Corp., 2017 Term Loan B1, (1 mo. LIBOR + 3.750%), 4.99%, 6/15/24 (f) |
|
|
|
|
|
|
1,769 |
|
|
|
1,689,395 |
|
| Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 5/16/24 (f) |
|
|
|
|
|
|
1,515 |
|
|
|
1,514,530 |
|
| Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 2/22/24 (f) |
|
|
|
|
|
|
8,255 |
|
|
|
8,247,240 |
|
| Sprint Communications, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.500%), 3.75%,
2/02/24 (f) |
|
|
|
|
|
|
2,898 |
|
|
|
2,897,738 |
|
| Telenet International Finance Sarl, Term Loan AI, (1 mo. LIBOR + 2.750%), 3.98%, 6/30/25 (f) |
|
|
|
|
|
|
6,045 |
|
|
|
6,054,249 |
|
| Telesat Canada, Term Loan B4, (3 mo. LIBOR + 3.000%), 4.30%, 11/17/23 |
|
|
|
|
|
|
1,138 |
|
|
|
1,146,142 |
|
| Virgin Media Investment Holdings Ltd., Term Loan J, (1 mo. LIBOR + 3.500%), 3.75%,
1/31/26 (f) |
|
|
GBP |
|
|
|
2,830 |
|
|
|
3,669,492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
38,899,512 |
|
| Electric Utilities — 2.0% |
|
| Energy Future Intermediate Holding Co. LLC, 2017 DIP Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor),
4.23%, 6/30/18 (f) |
|
|
USD |
|
|
|
6,640 |
|
|
|
6,666,560 |
|
| PrimeLine Utility Services LLC, Term Loan, (2 mo. LIBOR + 5.500%, 1.00% Floor), 6.76%, 11/12/22 |
|
|
|
|
|
|
1,363 |
|
|
|
1,357,542 |
|
| TEX Operations Co. LLC (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| Exit Term Loan B, (1 mo. LIBOR + 2.750%), 3.98%, 8/04/23 |
|
|
|
|
|
|
2,051 |
|
|
|
2,051,065 |
|
| Exit Term Loan C, (1 mo. LIBOR + 2.750%), 3.98%, 8/04/23 |
|
|
|
|
|
|
471 |
|
|
|
471,248 |
|
| Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 11/10/17 (a)(i) |
|
|
|
|
|
|
1,710 |
|
|
|
— |
|
| Vistra Operations Co. LLC, 2016 Term Loan B2, (1 mo. LIBOR + 2.750%), 3.98%, 12/14/23 (f) |
|
|
|
|
|
|
722 |
|
|
|
722,407 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
11,268,822 |
|
| Electrical Equipment — 0.7% |
|
| Gates Global LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor),
4.55%, 4/01/24 (f) |
|
|
|
|
|
|
4,016 |
|
|
|
4,027,837 |
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
|
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
15 |
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Energy Equipment & Services — 0.9% |
|
| Exgen Texas Power LLC, Term Loan B, (3 mo. LIBOR + 4.750%, 1.00% Floor), 6.05%, 9/16/21 (f) |
|
|
USD |
|
|
|
852 |
|
|
$
|
573,335 |
|
| Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.000%, 1.00% Floor), 7.23%, 3/01/24 (f) |
|
|
|
|
|
|
2,550 |
|
|
|
2,400,188 |
|
| Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 2/21/21 (f) |
|
|
|
|
|
|
656 |
|
|
|
421,428 |
|
| Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.300%), 3.54%, 7/13/20 (a)(f) |
|
|
|
|
|
|
1,369 |
|
|
|
1,300,345 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
4,695,296 |
|
| Food & Staples Retailing — 2.2% |
|
| Albertsons LLC, 2017 Term Loan B4, (1 mo. LIBOR + 2.750%), 3.99%, 8/25/21 (f) |
|
|
|
|
|
|
2,052 |
|
|
|
1,989,801 |
|
| BJ’s Wholesale Club, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 4.97%, 2/03/24 |
|
|
|
|
|
|
2,365 |
|
|
|
2,275,055 |
|
| 2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.500%, 1.00% Floor), 8.71%, 2/03/25 |
|
|
|
|
|
|
229 |
|
|
|
220,092 |
|
| Rite Aid Corp. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 4.750%, 1.00% Floor), 5.99%, 8/21/20 |
|
|
|
|
|
|
1,247 |
|
|
|
1,255,871 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 3.875%, 1.00% Floor), 5.12%, 6/21/21 |
|
|
|
|
|
|
2,373 |
|
|
|
2,382,379 |
|
| US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.750%), 3.99%, 6/27/23 (f) |
|
|
|
|
|
|
4,165 |
|
|
|
4,178,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
12,301,321 |
|
| Food Products — 3.2% |
|
| Chobani LLC, 1st Lien Term Loan, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.49%, 10/07/23 (f) |
|
|
|
|
|
|
2,491 |
|
|
|
2,507,250 |
|
| Dole Food Co., Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.01%, 4/06/24 (f) |
|
|
|
|
|
|
1,060 |
|
|
|
1,061,993 |
|
| Hostess Brands LLC, 2017 Term Loan, (1 mo. LIBOR + 2.500%), 3.74%, 8/03/22 (f) |
|
|
|
|
|
|
2,761 |
|
|
|
2,767,392 |
|
| JBS USA LLC, 2017 Term Loan B, (2 mo. LIBOR + 2.500%), 3.80%, 10/30/22 (f) |
|
|
|
|
|
|
3,711 |
|
|
|
3,666,570 |
|
| Pinnacle Foods Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.000%), 3.23%, 2/02/24 (f) |
|
|
|
|
|
|
2,627 |
|
|
|
2,632,395 |
|
| Reddy Ice Corp. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (3 mo. LIBOR + 5.500%), 6.88%, 5/01/19 |
|
|
|
|
|
|
1,583 |
|
|
|
1,560,743 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 9.500%), 10.81%, 11/01/19 |
|
|
|
|
|
|
532 |
|
|
|
498,085 |
|
| Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 3.000%), 4.24%, 2/05/23 (f) |
|
|
|
|
|
|
3,222 |
|
|
|
3,223,127 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
17,917,555 |
|
| Health Care Equipment & Supplies — 3.7% |
|
| Alere, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2015 Term Loan A, (1 mo. LIBOR + 3.000%), 4.24%, 6/18/20 |
|
|
|
|
|
|
446 |
|
|
|
445,857 |
|
| 2015 Term Loan B, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 6/18/22 |
|
|
|
|
|
|
1,886 |
|
|
|
1,881,623 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Health Care Equipment & Supplies (continued) |
|
| Cotiviti Corp., Term Loan B, (3 mo. LIBOR + 2.500%), 3.80%, 9/28/23 (f) |
|
|
USD |
|
|
|
1,644 |
|
|
$
|
1,647,180 |
|
| DJO Finance LLC, 2015 Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 6/08/20 (f) |
|
|
|
|
|
|
5,260 |
|
|
|
5,232,960 |
|
| Immucor, Inc., Extended Term Loan B, (1 mo. LIBOR + 5.000%, 1.00% Floor), 6.24%, 6/15/21 (f) |
|
|
|
|
|
|
2,744 |
|
|
|
2,778,745 |
|
| Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.750%), 4.05%,
9/24/24 (f) |
|
|
|
|
|
|
1,673 |
|
|
|
1,674,245 |
|
| National Vision, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 3/12/21 (f) |
|
|
|
|
|
|
3,404 |
|
|
|
3,411,113 |
|
| Ortho-Clinical Diagnostics, Inc., Term Loan B, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 6/30/21 (f) |
|
|
|
|
|
|
3,356 |
|
|
|
3,361,774 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
20,433,497 |
|
| Health Care Providers & Services — 6.8% |
|
| Acadia Healthcare Co., Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (1 mo. LIBOR + 2.750%), 3.99%, 2/11/22 |
|
|
|
|
|
|
457 |
|
|
|
459,850 |
|
| Term Loan B2, (1 mo. LIBOR + 2.750%), 3.98%, 2/16/23 |
|
|
|
|
|
|
2,128 |
|
|
|
2,138,238 |
|
| Auris Luxembourg III Sarl, 2017 Term Loan B7, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 1/17/22 (f) |
|
|
|
|
|
|
2,432 |
|
|
|
2,433,693 |
|
| CHG Healthcare Services, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.51%,
6/07/23
(f) |
|
|
|
|
|
|
3,382 |
|
|
|
3,406,133 |
|
| Community Health Systems, Inc., Term Loan G, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.07%, 12/31/19 (f) |
|
|
|
|
|
|
1,059 |
|
|
|
1,055,368 |
|
| Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, (3 mo. LIBOR + 4.000%, 1.00% Floor),
5.26%, 2/07/22 (f) |
|
|
|
|
|
|
824 |
|
|
|
824,061 |
|
| DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.750%), 3.99%, 6/24/21 (f) |
|
|
|
|
|
|
2,038 |
|
|
|
2,050,398 |
|
| DuPage Medical Group, Ltd. (a): |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (3 mo. LIBOR + 3.000%), 4.32%, 8/15/24 |
|
|
|
|
|
|
1,135 |
|
|
|
1,132,163 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 7.000%), 8.32%, 8/15/25 |
|
|
|
|
|
|
395 |
|
|
|
393,025 |
|
| Envision Healthcare Corp., 2016 Term Loan B, (3 mo. LIBOR + 3.000%), 4.30%, 12/01/23 (f) |
|
|
|
|
|
|
7,582 |
|
|
|
7,633,078 |
|
| Explorer Holdings, Inc., 2016 Term Loan B, 5/02/23 (i) |
|
|
|
|
|
|
1,080 |
|
|
|
1,084,050 |
|
| HC Group Holdings III, Inc., Term Loan B, (3 mo. LIBOR + 5.000%, 1.00% Floor), 6.32%, 4/07/22 (a)(f) |
|
|
|
|
|
|
1,427 |
|
|
|
1,433,709 |
|
| HCA, Inc., Term Loan B9, (1 mo. LIBOR + 2.000%), 3.24%, 3/17/23 (f) |
|
|
|
|
|
|
2,179 |
|
|
|
2,185,368 |
|
| Iasis Healthcare LLC, Term Loan B3, (3 mo. LIBOR + 4.000%), 5.30%, 2/16/21 (f) |
|
|
|
|
|
|
334 |
|
|
|
334,914 |
|
| MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%,
6/07/23 (f) |
|
|
|
|
|
|
2,491 |
|
|
|
2,500,087 |
|
| National Mentor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.000%), 4.30%, 1/31/21 |
|
|
|
|
|
|
483 |
|
|
|
485,543 |
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
| 16 |
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Health Care Providers & Services (continued) |
|
| nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.500%, 1.00% Floor), 5.74%, 10/20/22 (a)(f) |
|
|
USD |
|
|
|
1,633 |
|
|
$
|
1,639,626 |
|
| NVA Holdings, Inc., 1st Lien Term Loan B2, (3 mo. LIBOR + 3.500%), 4.80%, 8/14/21 (f) |
|
|
|
|
|
|
1,498 |
|
|
|
1,503,742 |
|
| Surgery Center Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 6/06/24 (f) |
|
|
|
|
|
|
860 |
|
|
|
851,039 |
|
| Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 2/06/24 (f) |
|
|
|
|
|
|
1,455 |
|
|
|
1,435,475 |
|
| Vizient, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.73%, 2/13/23 (f) |
|
|
|
|
|
|
1,817 |
|
|
|
1,835,065 |
|
| WP CityMD Bidco LLC, 1st Lien Term Loan, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.30%, 5/25/24 |
|
|
|
|
|
|
950 |
|
|
|
952,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
37,767,000 |
|
| Health Care Technology — 1.9% |
|
| Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 3/01/24 (f) |
|
|
|
|
|
|
6,461 |
|
|
|
6,457,557 |
|
| Press Ganey Holdings, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 10/21/23 (a) |
|
|
|
|
|
|
1,358 |
|
|
|
1,363,268 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 7.250%, 1.00% Floor), 8.49%, 10/21/24 |
|
|
|
|
|
|
495 |
|
|
|
504,282 |
|
| Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.000%), 3.30%, 3/07/24 |
|
|
|
|
|
|
2,357 |
|
|
|
2,370,565 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
10,695,672 |
|
| Hotels, Restaurants & Leisure — 8.4% |
|
| Amaya Holdings BV (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 7.000%, 1.00% Floor), 8.30%, 8/01/22 |
|
|
|
|
|
|
839 |
|
|
|
841,118 |
|
| Repriced Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.80%, 8/01/21 |
|
|
|
|
|
|
2,730 |
|
|
|
2,736,701 |
|
| Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.500%), 3.70%, 9/15/23 (f) |
|
|
|
|
|
|
1,991 |
|
|
|
1,992,964 |
|
| Bronco Midstream Funding LLC, Term Loan B, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.32%, 8/15/20 (f) |
|
|
|
|
|
|
2,217 |
|
|
|
2,236,508 |
|
| Burger King Newco Unlimited Liability Co., Term Loan B3, (3 mo. LIBOR + 2.250%, 1.00% Floor), 3.55%, 2/16/24
(f) |
|
|
|
|
|
|
5,592 |
|
|
|
5,573,080 |
|
| Caesars Entertainment Operating Co., Term Loan B7, 6.25%, 3/01/22 (b)(e) |
|
|
|
|
|
|
2,435 |
|
|
|
3,096,102 |
|
| Caesars Entertainment Resort Properties LLC, Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 10/11/20
(f) |
|
|
|
|
|
|
7,981 |
|
|
|
8,014,170 |
|
| Caesars Growth Properties Holdings LLC, 2017 Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor),
4.24%, 5/08/21 (f) |
|
|
|
|
|
|
2,029 |
|
|
|
2,033,484 |
|
| CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 8/08/21 (f) |
|
|
|
|
|
|
1,332 |
|
|
|
1,334,957 |
|
| CEC Entertainment, Inc., Term Loan B, 2/14/21 (i) |
|
|
|
|
|
|
715 |
|
|
|
709,251 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Hotels, Restaurants & Leisure (continued) |
|
| Cyan Blue Holdco 3 Ltd., 2017 Term Loan B, 7/26/24 (i) |
|
|
USD |
|
|
|
1,300 |
|
|
$
|
1,307,319 |
|
| ESH Hospitality, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 8/30/23 (f) |
|
|
|
|
|
|
3,221 |
|
|
|
3,231,782 |
|
| Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.500%), 3.74%, 11/30/23 (f) |
|
|
|
|
|
|
224 |
|
|
|
224,652 |
|
| Gateway Casinos & Entertainment Ltd., Term Loan B1, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 2/22/23 (f) |
|
|
|
|
|
|
305 |
|
|
|
305,763 |
|
| Hilton Worldwide Finance LLC, Term Loan B2, (1 mo. LIBOR + 2.000%), 3.23%, 10/25/23 (f) |
|
|
|
|
|
|
1,804 |
|
|
|
1,809,590 |
|
| La Quinta Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 2.750%, 1.00% Floor),
4.05%, 4/14/21 (f) |
|
|
|
|
|
|
823 |
|
|
|
824,641 |
|
| Playa Resorts Holding BV, 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.32%, 4/05/24 |
|
|
|
|
|
|
1,425 |
|
|
|
1,424,401 |
|
| RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.250%), 3.56%, 5/11/24 (a)(f) |
|
|
|
|
|
|
1,367 |
|
|
|
1,373,408 |
|
| Sabre GLBL, Inc., Incremental Term Loan B, (3 mo. LIBOR + 2.250%, 1.00% Floor), 3.49%, 2/22/24 (f) |
|
|
|
|
|
|
2,572 |
|
|
|
2,580,444 |
|
| Scientific Games International, Inc., 2017 Term Loan B4, (3 mo. LIBOR + 3.250%), 4.51%, 8/14/24 (f) |
|
|
|
|
|
|
2,691 |
|
|
|
2,708,870 |
|
| Station Casinos LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 6/08/23 |
|
|
|
|
|
|
811 |
|
|
|
809,560 |
|
| Yum! Brands, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.000%), 3.23%, 6/16/23 |
|
|
|
|
|
|
1,444 |
|
|
|
1,450,041 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
46,618,806 |
|
| Household Products — 0.7% |
|
| Spectrum Brands, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.000%), 3.31%, 6/23/22
(f) |
|
|
|
|
|
|
3,845 |
|
|
|
3,859,599 |
|
| Independent Power and Renewable Electricity Producers — 3.3% |
|
| AES Corp., 2017 Term Loan B, (3 mo. LIBOR + 2.000%), 3.32%, 5/24/22 |
|
|
|
|
|
|
1,067 |
|
|
|
1,067,325 |
|
| Aria Energy Operating LLC, Term Loan, (1 mo. LIBOR + 4.500%, 1.00% Floor), 5.74%, 5/27/22 |
|
|
|
|
|
|
1,110 |
|
|
|
1,111,366 |
|
| Calpine Construction Finance Co., LP, Term Loan B1, (1 mo. LIBOR + 2.250%), 3.74%, 5/03/20 (f) |
|
|
|
|
|
|
1,044 |
|
|
|
1,040,691 |
|
| Calpine Corp. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B5, (3 mo. LIBOR + 2.750%), 4.05%, 1/15/24 |
|
|
|
|
|
|
1,118 |
|
|
|
1,113,707 |
|
| Term Loan B6, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.05%, 1/15/23 |
|
|
|
|
|
|
2,118 |
|
|
|
2,111,799 |
|
| Term Loan B7, (3 mo. LIBOR + 2.750%), 4.05%, 5/31/23 |
|
|
|
|
|
|
766 |
|
|
|
763,629 |
|
| Dynegy, Inc., 2017 Term Loan C, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.49%, 2/07/24 (f) |
|
|
|
|
|
|
2,800 |
|
|
|
2,803,366 |
|
| Granite Acquisition, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.30%, 12/19/21 |
|
|
|
|
|
|
3,288 |
|
|
|
3,309,433 |
|
| Term Loan C, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.30%, 12/19/21 |
|
|
|
|
|
|
148 |
|
|
|
149,287 |
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
|
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
17 |
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Independent Power and Renewable Electricity Producers (continued) |
|
| Nautilus Power LLC, Term Loan B, (1 mo. LIBOR + 4.500%), 5.74%, 4/28/24 (f) |
|
|
USD |
|
|
|
2,625 |
|
|
$
|
2,638,125 |
|
| Talen Energy Supply LLC (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B1, (1 mo. LIBOR + 4.000%, 1.00% Floor), 5.24%, 7/15/23 |
|
|
|
|
|
|
289 |
|
|
|
283,283 |
|
| 2017 Term Loan B2, (1 mo. LIBOR + 4.000%, 1.00% Floor), 5.24%, 4/15/24 |
|
|
|
|
|
|
575 |
|
|
|
564,763 |
|
| Terra-Gen Finance Co. LLC, Term Loan B, (1 mo. LIBOR + 4.250%, 1.00% Floor),
5.49%, 12/09/21 (a)(f) |
|
|
|
|
|
|
1,307 |
|
|
|
1,182,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
18,139,564 |
|
| Industrial Conglomerates — 0.8% |
|
| Cortes NP Acquisition Corp., 2017 Term Loan B, (1 mo. LIBOR + 4.000%, 1.00% Floor), 5.24%, 11/30/23 (f) |
|
|
|
|
|
|
2,918 |
|
|
|
2,934,542 |
|
| Sequa Corp., 1st Lien Term Loan, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.81%, 11/28/21 (f) |
|
|
|
|
|
|
1,500 |
|
|
|
1,509,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
4,443,917 |
|
| Insurance — 2.4% |
|
| Alliant Holdings I, Inc., 2015 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.56%, 8/12/22 (f) |
|
|
|
|
|
|
2,785 |
|
|
|
2,783,072 |
|
| AmWINS Group, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.750%, 1.00% Floor), 7.99%, 1/25/25 |
|
|
|
|
|
|
822 |
|
|
|
838,440 |
|
| 2017 Term Loan B, (PRIME + 1.750%, 1.00% Floor), 3.99%, 1/25/24 (f) |
|
|
|
|
|
|
1,871 |
|
|
|
1,871,778 |
|
| AssuredPartners, Inc., 2017 Term Loan, (1 mo. LIBOR + 3.500%), 4.74%, 10/22/24 (f) |
|
|
|
|
|
|
410 |
|
|
|
411,280 |
|
| Edgewood Partners Insurance Center, 2017 1st Lien Term Loan B, (1 Week LIBOR + 5.000%, 1.00% Floor),
6.24%, 3/16/23 (a) |
|
|
|
|
|
|
865 |
|
|
|
865,000 |
|
| Hub International Ltd., Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.26%, 10/02/20 (f) |
|
|
|
|
|
|
1,168 |
|
|
|
1,171,941 |
|
| Sedgwick Claims Management Services, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 3/01/21 |
|
|
|
|
|
|
1,964 |
|
|
|
1,964,732 |
|
| 2016 1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 3/01/21 |
|
|
|
|
|
|
896 |
|
|
|
897,294 |
|
| 2nd Lien Term Loan, (1 mo. LIBOR + 5.750%, 1.00% Floor), 6.99%, 2/28/22 |
|
|
|
|
|
|
1,805 |
|
|
|
1,809,513 |
|
| Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor),
4.55%, 6/22/23 (f) |
|
|
|
|
|
|
730 |
|
|
|
735,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
13,348,525 |
|
| Internet & Direct Marketing Retail — 0.1% |
|
| Harbor Freight Tools USA, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.250%),
4.49%, 8/18/23 (f) |
|
|
|
|
|
|
795 |
|
|
|
797,341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Internet Software & Services — 2.1% |
|
| Go Daddy Operating Co. LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.73%, 2/15/24 (f) |
|
|
USD |
|
|
|
3,777 |
|
|
$
|
3,783,201 |
|
| GTT Communications, Inc., 2017 Add on Term Loan B, (1 mo. LIBOR + 3.250%, 1.00% Floor), 4.50%, 1/09/24 (f) |
|
|
|
|
|
|
363 |
|
|
|
364,083 |
|
| Inmar Holdings, Inc., 2017 1st Lien Term Loan, (2 mo. LIBOR + 3.500%, 1.00% Floor), 4.76%, 5/01/24 |
|
|
|
|
|
|
1,040 |
|
|
|
1,040,655 |
|
| Rackspace Hosting, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 11/03/23 (f) |
|
|
|
|
|
|
3,602 |
|
|
|
3,604,652 |
|
| TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.750%, 1.00% Floor), 4.99%, 5/06/24 (f) |
|
|
|
|
|
|
1,550 |
|
|
|
1,555,161 |
|
| WaveDivision Holdings LLC, Term Loan B, (2 mo. LIBOR + 2.750%, 1.00% Floor), 4.03%, 10/15/19 (f) |
|
|
|
|
|
|
1,443 |
|
|
|
1,443,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
11,790,827 |
|
| IT Services — 7.0% |
|
| Abacus Innovations Corp., Term Loan B, (1 mo. LIBOR + 2.000%), 3.25%, 8/16/23 |
|
|
|
|
|
|
1,378 |
|
|
|
1,380,424 |
|
| Cologix, Inc., 2017 1st Lien Term Loan, (PRIME + 2.000%, 1.00% Floor), 4.46%, 3/20/24 |
|
|
|
|
|
|
1,766 |
|
|
|
1,762,627 |
|
| First Data Corp. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan, (1 mo. LIBOR + 2.500%), 3.74%, 4/26/24 |
|
|
|
|
|
|
10,964 |
|
|
|
10,964,494 |
|
| 2022 Term Loan, (1 mo. LIBOR + 2.250%), 3.49%, 7/08/22 |
|
|
|
|
|
|
838 |
|
|
|
836,957 |
|
| Term Loan A, (1 mo. LIBOR + 2.000%), 3.24%, 6/02/20 |
|
|
|
|
|
|
635 |
|
|
|
634,578 |
|
| IG Investment Holdings LLC, 2017 Term Loan, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.30%, 10/31/21 (f) |
|
|
|
|
|
|
2,728 |
|
|
|
2,743,312 |
|
| NeuStar, Inc. (i): |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B1, 1/08/20 |
|
|
|
|
|
|
244 |
|
|
|
245,258 |
|
| Term Loan B2, 3/01/24 |
|
|
|
|
|
|
776 |
|
|
|
781,427 |
|
| Optiv Security, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (3 mo. LIBOR + 3.250%), 4.56%, 2/01/24 |
|
|
|
|
|
|
3,688 |
|
|
|
3,349,492 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 7.250%), 8.56%, 2/01/25 |
|
|
|
|
|
|
1,141 |
|
|
|
1,012,501 |
|
| Peak 10, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.81%, 8/01/24 |
|
|
|
|
|
|
1,370 |
|
|
|
1,364,863 |
|
| 2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.250%, 1.00% Floor), 8.56%, 8/01/25 |
|
|
|
|
|
|
1,620 |
|
|
|
1,630,805 |
|
| TKC Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 4.250%), 5.49%, 2/01/23 (f) |
|
|
|
|
|
|
2,289 |
|
|
|
2,295,695 |
|
| Vantiv LLC, 2014 Term Loan B, (1 mo. LIBOR + 2.500%), 3.73%, 10/14/23 (f) |
|
|
|
|
|
|
1,101 |
|
|
|
1,101,899 |
|
| VF Holding Corp., Reprice Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 6/30/23 (f) |
|
|
|
|
|
|
4,764 |
|
|
|
4,778,292 |
|
| WEX, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.750%), 3.99%, 6/30/23 (f) |
|
|
|
|
|
|
3,742 |
|
|
|
3,767,011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
38,649,635 |
|
| Leisure Products — 0.2% |
|
| MND Holdings III Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.500%, 1.00% Floor),
5.80%, 6/19/24 (a) |
|
|
|
|
|
|
800 |
|
|
|
810,000 |
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
| 18 |
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Life Sciences Tools & Services — 1.0% |
|
| Albany Molecular Research, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.250%), 4.25%, 7/19/24 |
|
|
USD |
|
|
|
1,991 |
|
|
$
|
1,991,000 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.000%), 8.31%, 7/19/25 |
|
|
|
|
|
|
905 |
|
|
|
916,312 |
|
| Parexel International Corp,, Term Loan B, 8/07/24 (i) |
|
|
|
|
|
|
2,672 |
|
|
|
2,677,330 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
5,584,642 |
|
| Machinery — 2.6% |
|
| Clark Equipment Co., 2017 Term Loan B, (1 mo. LIBOR + 2.750%), 4.01%, 5/18/24 (f) |
|
|
|
|
|
|
1,217 |
|
|
|
1,218,982 |
|
| Columbus McKinnon Corp., Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.30%, 1/31/24 (a)(f) |
|
|
|
|
|
|
217 |
|
|
|
217,821 |
|
| Faenza Acquisition GmbH: |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B1, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.07%, 8/30/20 |
|
|
|
|
|
|
911 |
|
|
|
912,285 |
|
| Term Loan B3, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.07%, 8/30/20 |
|
|
|
|
|
|
276 |
|
|
|
276,679 |
|
| Gardner Denver, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.750%), 4.01%, 7/30/24 (f) |
|
|
|
|
|
|
2,400 |
|
|
|
2,396,572 |
|
| Hayward Industries, Inc., Term Loan B, 7/18/24 (i) |
|
|
|
|
|
|
1,639 |
|
|
|
1,645,865 |
|
| Infiltrator Systems, Inc., 2016 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.80%, 5/27/22 (f) |
|
|
|
|
|
|
1,963 |
|
|
|
1,974,712 |
|
| Manitowoc Foodservice, Inc., 2016 Term Loan B, (1 Week LIBOR + 3.000%), 4.24%, 3/03/23 (f) |
|
|
|
|
|
|
114 |
|
|
|
114,692 |
|
| Mueller Water Products, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.500%), 3.74%, 11/25/21 (f) |
|
|
|
|
|
|
780 |
|
|
|
783,005 |
|
| Navistar International Corp., 2017 Term Loan B, (1 mo. LIBOR + 4.000%, 1.00% Floor), 5.24%, 8/07/20
(f) |
|
|
|
|
|
|
947 |
|
|
|
952,680 |
|
| Rexnord LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.01%, 8/21/23 (f) |
|
|
|
|
|
|
2,152 |
|
|
|
2,154,943 |
|
| Signode Industrial Group US, Inc., Term Loan B, (3 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 5/04/21
(f) |
|
|
|
|
|
|
859 |
|
|
|
859,312 |
|
| Tecomet, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.06%, 5/02/24 (f) |
|
|
|
|
|
|
965 |
|
|
|
969,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
14,477,373 |
|
| Media — 13.1% |
|
| Altice Financing SA, 2017 Term Loan B, (3 mo. LIBOR + 2.750%), 4.05%, 7/15/25 (f) |
|
|
|
|
|
|
1,012 |
|
|
|
1,010,832 |
|
| Altice US Finance I Corp., 2017 Term Loan, (1 mo. LIBOR + 2.250%), 3.48%, 7/28/25 (f) |
|
|
|
|
|
|
6,489 |
|
|
|
6,437,905 |
|
| CBS Radio, Inc., Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 10/17/23 (f) |
|
|
|
|
|
|
991 |
|
|
|
996,096 |
|
| Charter Communications Operating LLC, 2016 Term Loan I Add, (1 mo. LIBOR + 2.250%), 3.49%, 1/15/24 (f) |
|
|
|
|
|
|
8,255 |
|
|
|
8,291,844 |
|
| CSC Holdings LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.250%), 3.48%, 7/17/25
(f) |
|
|
|
|
|
|
4,698 |
|
|
|
4,664,679 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Media (continued) |
|
| DHX Media Ltd., Term Loan B, (1 mo. LIBOR + 3.750%), 4.99%, 12/29/23 (a)(f) |
|
|
USD |
|
|
|
790 |
|
|
$
|
791,975 |
|
| Entercom Radio LLC, 2016 Term Loan, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.73%, 11/01/23 (f) |
|
|
|
|
|
|
525 |
|
|
|
525,185 |
|
| Getty Images, Inc., Term Loan B, (1 Week LIBOR + 3.500%), 4.80%, 10/18/19 (f) |
|
|
|
|
|
|
578 |
|
|
|
499,119 |
|
| Gray Television, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.73%, 2/07/24 (f) |
|
|
|
|
|
|
652 |
|
|
|
652,377 |
|
| Hemisphere Media Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.500%), 4.74%, 2/08/24 |
|
|
|
|
|
|
1,578 |
|
|
|
1,580,437 |
|
| Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, (1 mo. LIBOR + 3.000%, 1.00% Floor),
4.24%, 5/31/21 (f) |
|
|
|
|
|
|
1,525 |
|
|
|
1,467,773 |
|
| iHeartCommunications, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| Extended Term Loan E, (1 mo. LIBOR + 7.500%), 8.74%, 7/30/19 |
|
|
|
|
|
|
515 |
|
|
|
411,439 |
|
| Term Loan D, (1 mo. LIBOR + 6.750%), 7.99%, 1/30/19 |
|
|
|
|
|
|
5,966 |
|
|
|
4,772,690 |
|
| Intelsat Jackson Holdings SA, Term Loan B2, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.00%, 6/30/19 (f) |
|
|
|
|
|
|
6,884 |
|
|
|
6,853,093 |
|
| Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor),
4.49%, 12/01/23 (f) |
|
|
|
|
|
|
1,820 |
|
|
|
1,828,228 |
|
| Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.80%, 1/07/22 |
|
|
|
|
|
|
1,215 |
|
|
|
1,207,406 |
|
| Live Nation Entertainment, Inc., Term Loan B3, (1 mo. LIBOR + 2.250%), 3.50%, 10/31/23 |
|
|
|
|
|
|
481 |
|
|
|
482,172 |
|
| Mediacom Illinois LLC, Term Loan K, (1 Week LIBOR + 2.250%), 3.45%, 2/15/24 |
|
|
|
|
|
|
1,086 |
|
|
|
1,088,737 |
|
| Mission Broadcasting, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.500%), 3.73%, 1/17/24 (f) |
|
|
|
|
|
|
413 |
|
|
|
413,172 |
|
| Nexstar Broadcasting, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.500%), 3.73%, 1/17/24 (f) |
|
|
|
|
|
|
3,323 |
|
|
|
3,327,196 |
|
| Numericable US LLC, Term Loan B10, (3 mo. LIBOR + 3.250%), 4.56%, 1/14/25 (f) |
|
|
|
|
|
|
813 |
|
|
|
815,938 |
|
| PSAV Holdings LLC, Term Loan B, (2 mo. LIBOR + 3.500%, 1.00% Floor), 4.81%, 4/27/24 |
|
|
|
|
|
|
1,825 |
|
|
|
1,828,048 |
|
| Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.000%), 4.24%, 2/01/24 (f) |
|
|
|
|
|
|
1,372 |
|
|
|
1,352,127 |
|
| SBA Senior Finance II LLC, Term Loan B1, (1 mo. LIBOR + 2.250%), 3.49%, 3/24/21 (f) |
|
|
|
|
|
|
4,404 |
|
|
|
4,409,853 |
|
| Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.250%), 3.49%, 1/03/24 (f) |
|
|
|
|
|
|
195 |
|
|
|
195,200 |
|
| Trader Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.250%), 4.54%, 9/28/23 (f) |
|
|
|
|
|
|
1,561 |
|
|
|
1,557,840 |
|
| Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.000%), 4.24%, 1/27/24 (f) |
|
|
|
|
|
|
3,696 |
|
|
|
3,702,056 |
|
| Unitymedia Hessen GmbH & Co. KG, Term Loan B, 9/30/25 (i) |
|
|
|
|
|
|
2,835 |
|
|
|
2,820,825 |
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
|
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
19 |
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Media (continued) |
|
| Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 3/15/24 (f) |
|
|
USD |
|
|
|
1,993 |
|
|
$
|
1,976,147 |
|
| Virgin Media Bristol LLC, Term Loan I, (1 mo. LIBOR + 2.750%), 3.98%, 1/31/25 (f) |
|
|
|
|
|
|
2,585 |
|
|
|
2,590,015 |
|
| William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.250%, 1.00% Floor),
4.49%, 5/06/21 (f) |
|
|
|
|
|
|
244 |
|
|
|
244,750 |
|
| Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.500%), 3.73%, 4/15/25 (f) |
|
|
|
|
|
|
4,205 |
|
|
|
4,192,385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
72,987,539 |
|
| Metals & Mining — 0.1% |
|
| WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, (3 mo. LIBOR + 5.500%, 1.00% Floor),
6.82%, 9/30/23 (f) |
|
|
|
|
|
|
744 |
|
|
|
752,288 |
|
| Multiline Retail — 0.6% |
|
| Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.25%, 7/31/24 (a) |
|
|
|
|
|
|
985 |
|
|
|
982,537 |
|
| Hudson’s Bay Co., 2015 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 9/30/22 (f) |
|
|
|
|
|
|
2,208 |
|
|
|
2,119,592 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
3,102,129 |
|
| Oil, Gas & Consumable Fuels — 4.0% |
|
| BCP Raptor LLC, Term Loan B, (2 mo. LIBOR + 4.250%, 1.00% Floor), 5.51%, 6/24/24 (f) |
|
|
|
|
|
|
1,770 |
|
|
|
1,780,319 |
|
| BCP Renaissance Parent LLC, Term Loan, 12/07/24 (a)(i) |
|
|
|
|
|
|
2,420 |
|
|
|
— |
|
| California Resources Corp. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| Second Out Term Loan, (1 mo. LIBOR + 10.375%), 11.60%, 12/31/21 |
|
|
|
|
|
|
3,032 |
|
|
|
3,209,015 |
|
| Term Loan A, (1 mo. LIBOR + 3.000%), 4.24%, 10/01/19 (a) |
|
|
|
|
|
|
2,341 |
|
|
|
2,223,882 |
|
| Chesapeake Energy Corp., Term Loan, (3 mo. LIBOR + 7.500%, 1.00% Floor), 8.81%, 8/23/21 (f) |
|
|
|
|
|
|
2,106 |
|
|
|
2,235,324 |
|
| CITGO Holding, Inc., 2015 Term Loan B, (3 mo. LIBOR + 8.500%, 1.00% Floor), 9.80%, 5/12/18 (f) |
|
|
|
|
|
|
1,055 |
|
|
|
1,061,514 |
|
| Drillships Financing Holding, Inc., Term Loan B1, (2 mo. LIBOR + 5.00%), 6.06%,
3/31/21 (e)(f) |
|
|
|
|
|
|
1,018 |
|
|
|
646,148 |
|
| Energy Transfer Equity LP, 2017 Term Loan B, (1 mo. LIBOR + 2.750%), 3.98%, 2/02/24 (f) |
|
|
|
|
|
|
3,072 |
|
|
|
3,075,270 |
|
| EWT Holdings III Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.05%, 1/15/21 (f) |
|
|
|
|
|
|
666 |
|
|
|
672,704 |
|
| MEG Energy Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.73%, 12/31/23 (f) |
|
|
|
|
|
|
2,286 |
|
|
|
2,265,811 |
|
| Moxie Patriot LLC, Term Loan B1, (3 mo. LIBOR + 5.750%), 7.05%, 12/19/20 (f) |
|
|
|
|
|
|
348 |
|
|
|
322,727 |
|
| PowerTeam Services LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 5/06/20 |
|
|
|
|
|
|
500 |
|
|
|
495,061 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 7.250%, 1.00% Floor), 8.55%, 11/06/20 (f) |
|
|
|
|
|
|
470 |
|
|
|
465,888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Oil, Gas & Consumable Fuels (continued) |
|
| Ultra Resources, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 4/12/24 (f) |
|
|
USD |
|
|
|
1,043 |
|
|
$
|
1,041,258 |
|
| Veresen Midstream LP, 2017 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 3/31/22 (f) |
|
|
|
|
|
|
2,715 |
|
|
|
2,726,805 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
22,221,726 |
|
| Personal Products — 1.5% |
|
| Nature’s Bounty Co.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 2nd Lien Term Loan, 9/15/25 (i) |
|
|
|
|
|
|
1,750 |
|
|
|
1,735,423 |
|
| Nature’s Bounty Co. (continued): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan, 8/11/24 (i) |
|
|
|
|
|
|
3,855 |
|
|
|
3,828,516 |
|
| 2017 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.80%, 5/05/23 (f) |
|
|
|
|
|
|
555 |
|
|
|
555,540 |
|
| Prestige Brands, Inc., Term Loan B4, (1 mo. LIBOR + 2.750%), 3.99%, 1/26/24 (f) |
|
|
|
|
|
|
1,934 |
|
|
|
1,935,823 |
|
| Revlon Consumer Products Corp., 2016 Term Loan B, (1 mo. LIBOR + 3.500%), 4.74%, 9/07/23 (f) |
|
|
|
|
|
|
488 |
|
|
|
437,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
8,492,425 |
|
| Pharmaceuticals — 3.5% |
|
| Akorn, Inc., Term Loan B, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.50%, 4/16/21 (a)(f) |
|
|
|
|
|
|
2,483 |
|
|
|
2,511,234 |
|
| Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (PRIME + 1.250%), 3.44%, 1/31/25 (f) |
|
|
|
|
|
|
5,711 |
|
|
|
5,716,798 |
|
| Jaguar Holding Co. II, 2015 Term Loan B, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 8/18/22 (f) |
|
|
|
|
|
|
6,348 |
|
|
|
6,361,740 |
|
| Valeant Pharmaceuticals International, Inc., Series F1 Term Loan B, (1 mo. LIBOR + 4.750%),
5.99%, 4/01/22 (f) |
|
|
|
|
|
|
4,544 |
|
|
|
4,619,663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
19,209,435 |
|
| Professional Services — 0.9% |
|
| Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor),
4.55%, 7/23/21 (f) |
|
|
|
|
|
|
1,749 |
|
|
|
1,680,594 |
|
| Information Resources, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.49%, 1/18/24 (f) |
|
|
|
|
|
|
783 |
|
|
|
787,931 |
|
| SIRVA Worldwide, Inc., 2016 Term Loan, (3 mo. LIBOR + 6.500%, 1.00% Floor), 7.80%, 11/14/22 (a)(f) |
|
|
|
|
|
|
817 |
|
|
|
820,980 |
|
| Sterling Infosystems, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.250%, 1.00% Floor),
5.55%, 6/20/22 (f) |
|
|
|
|
|
|
1,921 |
|
|
|
1,927,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
5,216,547 |
|
| Real Estate Investment Trusts (REITs) — 1.1% |
|
| Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 3/24/24 (f) |
|
|
|
|
|
|
770 |
|
|
|
773,497 |
|
| Communications Sales & Leasing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.000%, 1.00% Floor),
4.24%, 10/24/22 (f) |
|
|
|
|
|
|
577 |
|
|
|
557,055 |
|
| MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 4/25/23 (f) |
|
|
|
|
|
|
4,668 |
|
|
|
4,675,888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
6,006,440 |
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
| 20 |
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Real Estate Management & Development — 1.5% |
|
| CityCenter Holdings LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.500%), 3.73%, 4/18/24 (f) |
|
|
USD |
|
|
|
3,612 |
|
|
$
|
3,616,995 |
|
| DTZ US Borrower LLC, 2015 1st Lien Term Loan, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.56%, 11/04/21 (f) |
|
|
|
|
|
|
1,413 |
|
|
|
1,415,518 |
|
| Realogy Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 7/20/22 (f) |
|
|
|
|
|
|
2,115 |
|
|
|
2,121,232 |
|
| Term Loan A, (1 mo. LIBOR + 2.000%), 3.23%, 10/23/20 |
|
|
|
|
|
|
1,058 |
|
|
|
1,056,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
8,210,247 |
|
| Road & Rail — 0.2% |
|
| Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.500%, 1.00%
Floor), 4.73%, 6/13/23 (f) |
|
|
|
|
|
|
1,236 |
|
|
|
1,238,233 |
|
| Semiconductors & Semiconductor Equipment — 0.6% |
|
| Cavium, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.48%, 8/16/22 (a)(f) |
|
|
|
|
|
|
813 |
|
|
|
814,435 |
|
| MaxLinear, Inc., Term Loan B, (1 mo. LIBOR + 2.500%), 3.73%, 5/12/24 (a)(f) |
|
|
|
|
|
|
400 |
|
|
|
399,147 |
|
| Microsemi Corp., 2015 Term Loan B, (3 mo. LIBOR + 2.250%), 3.55%, 1/15/23 (f) |
|
|
|
|
|
|
420 |
|
|
|
420,819 |
|
| ON Semiconductor Corp., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 3/31/23 (f) |
|
|
|
|
|
|
750 |
|
|
|
752,355 |
|
| Versum Materials, Inc., Term Loan, (3 mo. LIBOR + 2.500%), 3.80%, 9/29/23 |
|
|
|
|
|
|
948 |
|
|
|
951,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
3,338,546 |
|
| Software — 13.5% |
|
| Almonde, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 7.250%, 1.00% Floor), 8.57%, 6/13/25 (f) |
|
|
|
|
|
|
833 |
|
|
|
846,928 |
|
| Aptean, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 4.250%, 1.00% Floor), 5.55%, 12/20/22 (f) |
|
|
|
|
|
|
1,102 |
|
|
|
1,109,821 |
|
| BMC Software Finance, Inc., 2017 Term Loan, (1 mo. LIBOR + 4.000%, 1.00% Floor), 5.24%, 9/10/22 (f) |
|
|
|
|
|
|
3,608 |
|
|
|
3,618,738 |
|
| Cypress Intermediate Holdings III, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 4/27/24 |
|
|
|
|
|
|
920 |
|
|
|
918,343 |
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.750%, 1.00% Floor), 7.99%, 4/27/25 |
|
|
|
|
|
|
525 |
|
|
|
539,275 |
|
| Dell, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.500%), 3.74%, 9/07/23 (f) |
|
|
|
|
|
|
2,571 |
|
|
|
2,580,144 |
|
| Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.750%), 5.07%, 5/28/24 (f) |
|
|
|
|
|
|
2,187 |
|
|
|
2,206,924 |
|
| DTI Holdco, Inc., 2016 Term Loan B, (3 mo. LIBOR + 5.250%, 1.00% Floor), 6.51%, 9/30/23 (f) |
|
|
|
|
|
|
1,453 |
|
|
|
1,387,291 |
|
| Hyland Software, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.000%), 8.24%, 7/07/25 |
|
|
|
|
|
|
420 |
|
|
|
426,825 |
|
| 2017 Term Loan, (1 mo. LIBOR + 3.250%), 4.49%, 7/01/22 |
|
|
|
|
|
|
1,459 |
|
|
|
1,469,805 |
|
| Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.750%, 1.00% Floor), 4.05%, 2/01/22 (f) |
|
|
|
|
|
|
3,696 |
|
|
|
3,683,854 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Software (continued) |
|
| Informatica Corp., Term Loan, (3 mo. LIBOR + 3.500%), 4.80%, 8/05/22 (f) |
|
|
USD |
|
|
|
3,353 |
|
|
$
|
3,354,727 |
|
| IPS Corp., 2016 1st Lien Term Loan, (1 mo. LIBOR + 5.250%, 1.00% Floor), 6.49%, 12/20/23 (a)(f) |
|
|
|
|
|
|
637 |
|
|
|
638,392 |
|
| IQOR US, Inc., Term Loan B, (3 mo. LIBOR + 5.000%, 1.00% Floor), 6.30%, 4/01/21 (f) |
|
|
|
|
|
|
1,293 |
|
|
|
1,279,903 |
|
| Kronos, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor), 4.76%, 11/01/23 |
|
|
|
|
|
|
4,587 |
|
|
|
4,622,069 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 8.250%, 1.00% Floor), 9.56%, 11/01/24 |
|
|
|
|
|
|
1,695 |
|
|
|
1,750,087 |
|
| LANDesk Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.250%, 1.00% Floor), 5.49%, 1/20/24 (f) |
|
|
|
|
|
|
399 |
|
|
|
393,570 |
|
| MA FinanceCo. LLC, Term Loan B3, (1 mo. LIBOR + 2.750%), 3.98%, 6/21/24 (f) |
|
|
|
|
|
|
261 |
|
|
|
261,095 |
|
| Misys Europe SA, 1st Lien Term Loan, (3 mo. LIBOR + 3.500%), 4.82%, 6/13/24 (f) |
|
|
|
|
|
|
2,925 |
|
|
|
2,937,431 |
|
| Mitchell International, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (2 mo. LIBOR + 3.500%, 1.00% Floor), 4.76%, 10/13/20 |
|
|
|
|
|
|
2,100 |
|
|
|
2,103,788 |
|
| 2nd Lien Term Loan, (3 mo. LIBOR + 7.500%, 1.00% Floor), 8.81%, 10/11/21 |
|
|
|
|
|
|
1,600 |
|
|
|
1,610,496 |
|
| Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.500%, 1.00% Floor),
4.81%, 4/26/24 (f) |
|
|
|
|
|
|
3,367 |
|
|
|
3,282,825 |
|
| Project Leopard Holdings, Inc., Term Loan B, (3 mo. LIBOR + 5.500%, 1.00% Floor), 6.76%, 7/07/23 (a)(f) |
|
|
|
|
|
|
870 |
|
|
|
874,350 |
|
| RP Crown Parent LLC, 2016 Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 10/12/23 (f) |
|
|
|
|
|
|
2,205 |
|
|
|
2,219,910 |
|
| Seattle Spinco, Inc., Term Loan B3, (3 mo. LIBOR + 2.750%), 4.03%, 6/21/24 (f) |
|
|
|
|
|
|
1,765 |
|
|
|
1,763,241 |
|
| SolarWinds Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 2/05/23 (f) |
|
|
|
|
|
|
3,213 |
|
|
|
3,224,229 |
|
| Solera LLC, Term Loan B, (2 mo. LIBOR + 3.250%, 1.00% Floor), 4.51%, 3/03/23 (f) |
|
|
|
|
|
|
4,003 |
|
|
|
4,012,934 |
|
| Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.250%, 1.00% Floor), 4.55%, 9/30/22 (f) |
|
|
|
|
|
|
3,630 |
|
|
|
3,624,203 |
|
| SS&C Technologies, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2017 Term Loan B1, (1 mo. LIBOR + 2.250%), 3.49%, 7/08/22 |
|
|
|
|
|
|
4,473 |
|
|
|
4,488,966 |
|
| 2017 Term Loan B2, (1 mo. LIBOR + 2.250%), 3.49%, 7/08/22 |
|
|
|
|
|
|
234 |
|
|
|
234,383 |
|
| Synchronoss Technologies, Inc., Term Loan, (3 mo. LIBOR + 4.500%), 5.76%, 1/19/24 (f) |
|
|
|
|
|
|
848 |
|
|
|
835,157 |
|
| Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.000%), 4.23%, 5/01/24 (f) |
|
|
|
|
|
|
3,330 |
|
|
|
3,339,990 |
|
| Tibco Software Inc., Repriced Term Loan B, (1 mo. LIBOR + 3.500%, 1.00% Floor), 4.74%, 12/04/20 (f) |
|
|
|
|
|
|
2,420 |
|
|
|
2,425,165 |
|
| Trans Union LLC, Term Loan B3, (1 mo. LIBOR + 2.000%), 3.24%, 4/07/23 (f) |
|
|
|
|
|
|
5,298 |
|
|
|
5,299,119 |
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
|
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
21 |
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Software (continued) |
|
| Veritas Bermuda Ltd., Repriced Term Loan B, (3 mo. LIBOR + 4.500%, 1.00% Floor), 5.80%, 1/27/23 (f) |
|
|
USD |
|
|
|
1,837 |
|
|
$
|
1,849,767 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
75,213,745 |
|
| Specialty Retail — 2.1% |
|
| Academy Ltd., 2015 Term Loan B, (3 mo. LIBOR + 4.000%, 1.00% Floor), 5.23%, 7/01/22 (f) |
|
|
|
|
|
|
719 |
|
|
|
478,611 |
|
| Bass Pro Group LLC, Asset Sale Term Loan, (3 mo. LIBOR + 4.750%), 6.05%, 6/09/18 (f) |
|
|
|
|
|
|
665 |
|
|
|
665,419 |
|
| Leslie’s Poolmart, Inc., 2016 Term Loan, (3 mo. LIBOR + 3.750%, 1.00% Floor), 5.06%, 8/16/23 (f) |
|
|
|
|
|
|
2,006 |
|
|
|
2,005,521 |
|
| Michaels Stores, Inc., 2016 Term Loan B1, (1 mo. LIBOR + 2.750%, 1.00% Floor), 3.99%, 1/30/23 (f) |
|
|
|
|
|
|
2,009 |
|
|
|
2,004,311 |
|
| Party City Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 3.000%), 4.30%, 8/19/22 (f) |
|
|
|
|
|
|
1,956 |
|
|
|
1,957,179 |
|
| Petco Animal Supplies, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.000%, 1.00% Floor), 4.31%, 1/26/23
(f) |
|
|
|
|
|
|
1,684 |
|
|
|
1,414,154 |
|
| PetSmart, Inc., Term Loan B2, (1 mo. LIBOR + 3.000%, 1.00% Floor), 4.24%, 3/11/22 (f) |
|
|
|
|
|
|
183 |
|
|
|
160,664 |
|
| Staples, Inc., 2017 Term Loan B, 8/06/24 (i) |
|
|
|
|
|
|
3,110 |
|
|
|
3,093,735 |
|
| Things Remembered, Inc., 2016 Term Loan, (PIK + 1.000%), 2.24%, 2/29/20 (a)(f)(g) |
|
|
|
|
|
|
1,043 |
|
|
|
104,264 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
11,883,858 |
|
| Technology Hardware, Storage & Peripherals — 0.3% |
|
| Western Digital Corp., 2017 Term Loan B, (3 mo. LIBOR + 2.750%), 3.98%, 4/29/23
(f) |
|
|
|
|
|
|
1,474 |
|
|
|
1,481,216 |
|
| Textiles, Apparel & Luxury Goods — 0.4% |
|
| Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.250%),
6.55%, 8/12/22 (a)(f) |
|
|
|
|
|
|
2,409 |
|
|
|
2,421,389 |
|
| Trading Companies & Distributors — 1.3% |
|
| Beacon Roofing Supply, Inc., Term Loan B, (3 mo. LIBOR + 2.750%), 3.98%, 10/01/22 (f) |
|
|
|
|
|
|
1,376 |
|
|
|
1,380,523 |
|
| HD Supply Waterworks Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.000%, 1.00% Floor), 4.46%, 8/01/24 (f) |
|
|
|
|
|
|
2,380 |
|
|
|
2,382,975 |
|
| HD Supply, Inc. (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| Term Loan B1, (1 mo. LIBOR + 2.250%), 3.49%, 8/13/21 |
|
|
|
|
|
|
2,365 |
|
|
|
2,364,394 |
|
| Term Loan B2, (1 mo. LIBOR + 2.500%), 3.74%, 10/17/23 |
|
|
|
|
|
|
1,027 |
|
|
|
1,028,778 |
|
| Nexeo Solutions LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.750%), 5.05%, 6/09/23 (f) |
|
|
|
|
|
|
248 |
|
|
|
248,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
7,405,337 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests |
|
Par
(000) |
|
|
Value |
|
| Transportation — 0.2% |
|
| Gruden Acquisition, Inc., 2017 Term Loan, (1 mo. LIBOR + 5.500%, 1.00% Floor),
6.80%, 8/18/22 (f) |
|
|
|
|
|
|
1,151 |
|
|
$
|
1,133,202 |
|
| Wireless Telecommunication Services — 2.8% |
|
| GEO Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.250%), 3.49%, 3/22/24 (f) |
|
|
|
|
|
|
2,439 |
|
|
|
2,439,912 |
|
| Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 12/07/20 (g) |
|
|
|
|
|
|
8,235 |
|
|
|
7,835,475 |
|
| LTS Buyer LLC, 1st Lien Term Loan, (3 mo. LIBOR + 3.250%), 4.55%, 4/13/20 (f) |
|
|
|
|
|
|
5,380 |
|
|
|
5,385,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
15,660,706 |
|
| Total Floating Rate Loan Interests — 135.9% |
|
|
|
|
|
|
|
755,682,431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Interests (h) |
|
Beneficial
Interest
(000) |
|
|
|
|
| Auto Components — 0.0% |
|
| Intermet Liquidating Trust, Class A (a) |
|
|
|
|
|
|
256 |
|
|
|
3 |
|
| IT Services — 0.0% |
|
| Millennium Lender Claims (a)(b) |
|
|
|
|
|
|
3,115 |
|
|
|
— |
|
| Total Other Interests — 0.0% |
|
|
|
|
|
|
|
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Trust Preferred |
|
|
|
|
Shares |
|
|
|
|
| Diversified Financial Services — 0.3% |
|
| GMAC Capital Trust I, Series 2, 7.10%, 2/15/40 |
|
|
|
|
|
|
60,894 |
|
|
|
1,585,934 |
|
| Total Preferred Securities — 0.3% |
|
|
|
|
|
|
|
|
|
|
1,585,934 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Rights — 0.0% |
|
|
|
|
|
|
|
|
|
| Electric Utilities — 0.0% |
|
| Tex Energy LLC (a) |
|
|
|
|
|
|
46,682 |
|
|
|
49,016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Warrants — 0.0% |
|
| Software — 0.0% |
|
| HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant,
Expires 6/22/19, Strike Price $42.27) (a) |
|
|
|
|
|
|
2,406 |
|
|
|
168 |
|
Total Long-Term Investments
(Cost — $816,251,342) — 146.2% |
|
|
|
812,908,014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
|
| BlackRock Liquidity Funds, T-Fund,
Institutional Class, 0.89% (j)(k) |
|
|
|
|
|
|
3,819,454 |
|
|
|
3,819,454 |
|
Total Short-Term Securities
(Cost — $3,819,454) — 0.7% |
|
|
|
3,819,454 |
|
Options Purchased
(Cost — $146,934) — 0.0% |
|
|
|
38,466 |
|
| Total Investments (Cost — $820,217,730) — 146.9% |
|
|
|
816,765,934 |
|
| Liabilities in Excess of Other Assets — (46.9)% |
|
|
|
|
|
|
|
|
|
|
(260,793,726 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Assets — 100.0% |
|
|
$ |
555,972,208 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Consolidated Schedule of Investments |
| (a) |
|
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (b) |
|
Non-income producing security. |
|
|
|
|
|
|
|
| See Notes to Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
| 22 |
|
ANNUAL REPORT |
|
AUGUST 31, 2017 |
|
|
|
|
|
| Consolidated Schedule of Investments (continued) |
|
BlackRock Floating Rate Income Strategies Fund, Inc.
(FRA) |
| (c) |
|
Floating rate security. Rate shown is the rate in effect as of period end. |
| (d) |
|
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. |
| (e) |
|
Issuer filed for bankruptcy and/or is in default. |
| (f) |
|
Variable rate security. Rate shown is the rate in effect as of period end. |
| (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) |
|
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
| (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) |
|
Annualized 7-day yield as of period end. |
| (k) |
|
During the year ended August 31, 2017, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company
Act of 1940, as amended, and/or related parties of the Fund were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Affiliate |
|
Shares Held
at August 31,
2016 |
|
|
Shares
Purchased |
|
|
Shares
Sold |
|
|
Shares Held
at August 31,
2017 |
|
|
Value at
August 31,
2017 |
|
|
Income |
|
|
Net
Realized
Gain1 |
|
|
Change
in
Unrealized
Appreciation
(Depreciation) |
|
| BlackRock Liquidity Funds, T-Fund, Institutional Class |
|
|
— |
|
|
|
3,819,454 |
2 |
|
|
— |
|
|
|
3,819,454 |
|
|
$ |
3,819,454 |
|
|
$ |
9,434 |
|
|
$ |
13 |
|
|
|
— |
|
| BlackRock Liquidity Funds, TempFund, Institutional Class |
|
|
1,859,207 |
|
|
|
— |
|
|
|
(1,859,207 |
)3 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
27,839 |
|
|
|
— |
|
|
|
(27,839 |