| Schedule of Investments (unaudited) March 31, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
| SCHEDULE OF INVESTMENTS |
1 |
| Schedule of Investments (unaudited) (continued) March 31, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
| 2 |
| Schedule of Investments (unaudited) (continued) March 31, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
| SCHEDULE OF INVESTMENTS |
3 |
| Schedule of Investments (unaudited) (continued) March 31, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
| 4 |
| Schedule of Investments (unaudited) (continued) March 31, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
| SCHEDULE OF INVESTMENTS |
5 |
| Schedule of Investments (unaudited) (continued) March 31, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
| 6 |
| Schedule of Investments (unaudited) (continued) March 31, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
| SCHEDULE OF INVESTMENTS |
7 |
| Schedule of Investments (unaudited) (continued) March 31, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
| 8 |
| Schedule of Investments (unaudited) (continued) March 31, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
| SCHEDULE OF INVESTMENTS |
9 |
| Schedule of Investments (unaudited) (continued) March 31, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
| 10 |
| Schedule of Investments (unaudited) (continued) March 31, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the period ended March 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 12/31/20 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 03/31/21 |
Shares Held at 03/31/21 |
Income | Capital Gain Distributions from Underlying Funds |
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| iShares iBoxx $ High Yield Corporate Bond ETF |
$ | 8,380,800 | $ | — | $ | — | $ | — | $ | (11,520 | ) | $ | 8,369,280 | 96,000 | $ | 60,008 | $ | — | ||||||||||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF |
3,315,120 | — | — | — | (193,920 | ) | 3,121,200 | 24,000 | 12,875 | — | ||||||||||||||||||||||||||
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| $ | — | $ | (205,440 | ) | $ | 11,490,480 | $ | 72,883 | $ | — | ||||||||||||||||||||||||||
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| SCHEDULE OF INVESTMENTS |
11 |
| Schedule of Investments (unaudited) (continued) March 31, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
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| USD | 4,492,770 | EUR | 3,763,000 | State Street Bank and Trust Co. | 06/16/21 | $ | 73,293 | |||||||||||||
| USD | 2,678,655 | GBP | 1,917,000 | Westpac Banking Corp. | 06/16/21 | 35,312 | ||||||||||||||
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| $ | 108,605 | |||||||||||||||||||
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Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
| • | Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access; |
| • | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
| • | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of financial instruments, refer to its most recent financial statements.
The following table summarizes the Fund’s investments categorized in the fair value hierarchy. The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
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| Investments |
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| Long-Term Investments |
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| Common Stocks |
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| Construction & Engineering |
$ | 99,146 | $ | — | $ | — | $ | 99,146 | ||||||||
| Diversified Financial Services |
— | — | 3,098 | 3,098 | ||||||||||||
| Energy Equipment & Services |
— | — | 5,145 | 5,145 | ||||||||||||
| Media |
206,370 | — | — | 206,370 | ||||||||||||
| Metals & Mining |
— | — | 732 | 732 | ||||||||||||
| Oil, Gas & Consumable Fuels |
48,770 | — | — | 48,770 | ||||||||||||
| Semiconductors & Semiconductor Equipment |
69,539 | — | — | 69,539 | ||||||||||||
| Software |
1,850 | — | — | 1,850 | ||||||||||||
| Specialty Retail |
— | 254,716 | — | 254,716 | ||||||||||||
| Corporate Bonds |
— | 30,533,748 | 611,760 | 31,145,508 | ||||||||||||
| Floating Rate Loan Interests |
— | 651,391,970 | 37,345,849 | 688,737,819 | ||||||||||||
| Investment Companies |
16,314,820 | — | — | 16,314,820 | ||||||||||||
| Other Interests |
— | — | — | — | ||||||||||||
| Warrants |
— | 4,546 | — | 4,546 | ||||||||||||
| Liabilities |
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| Unfunded Floating Rate Loan Interests(a) |
— | (2,169 | ) | — | (2,169 | ) | ||||||||||
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| $ | 16,740,495 | $ | 682,182,811 | $ | 37,966,584 | $ | 736,889,890 | |||||||||
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| 12 |
| Schedule of Investments (unaudited) (continued) March 31, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Fair Value Hierarchy as of Period End (continued)
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Derivative Financial Instruments(b) |
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| Assets |
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| Foreign Currency Exchange Contracts. |
$ | — | $ | 108,605 | $ | — | $ | 108,605 | ||||||||
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| (a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
| (b) | Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
| Common Stocks |
Corporate Bonds |
Floating Rate Loan Interests |
Other Interests |
Total | ||||||||||||||||
| Assets |
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| Opening balance, as of December 31, 2020 |
$ | 55,840 | $ | 425,578 | $ | 31,919,645 | $ | — | (a) | $ | 32,401,063 | |||||||||
| Transfers into Level 3 |
— | — | 4,238,139 | — | 4,238,139 | |||||||||||||||
| Transfers out of Level 3(b) |
— | — | (10,315,721 | ) | — | (10,315,721 | ) | |||||||||||||
| Accrued discounts/premiums |
— | 6,074 | 13,073 | — | 19,147 | |||||||||||||||
| Net realized gain (loss) |
— | — | 40,469 | — | 40,469 | |||||||||||||||
| Net change in unrealized appreciation (depreciation)(c) |
(46,865 | ) | 182,206 | 487,540 | — | 622,881 | ||||||||||||||
| Purchases |
— | 4,920 | 14,470,247 | — | 14,475,167 | |||||||||||||||
| Sales |
— | (7,018 | ) | (3,507,543 | ) | — | (3,514,561 | ) | ||||||||||||
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| Closing balance, as of March 31, 2021 |
$ | 8,975 | $ | 611,760 | $ | 37,345,849 | $ | — | (a) | $ | 37,966,584 | |||||||||
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| Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2021(c) |
$ | (46,865 | ) | $ | 182,206 | $ | 526,359 | $ | — | $ | 661,700 | |||||||||
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| (a) | Rounds to less than $1. |
| (b) | As of December 31, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
| (c) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2021 is generally due to investments no longer held or categorized as Level 3 at period end. |
Currency Abbreviation
| EUR | Euro | |
| GBP | British Pound | |
| USD | United States Dollar | |
Portfolio Abbreviation
| DIP | Debtor-In-Possession | |
| ETF | Exchange-Traded Fund | |
| EURIBOR | Euro Interbank Offered Rate | |
| LIBOR | London Interbank Offered Rate | |
| MTN | Medium-Term Note | |
| PIK | Payment-in-Kind | |
| SCHEDULE OF INVESTMENTS |
13 |