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<SEC-DOCUMENT>0000900092-10-000521.txt : 20100729
<SEC-HEADER>0000900092-10-000521.hdr.sgml : 20100729
<ACCEPTANCE-DATETIME>20100729154902
ACCESSION NUMBER:		0000900092-10-000521
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20100531
FILED AS OF DATE:		20100729
DATE AS OF CHANGE:		20100729
EFFECTIVENESS DATE:		20100729

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			BLACKROCK FLOATING RATE INCOME STRATEGIES FUND INC
		CENTRAL INDEX KEY:			0001259708
		IRS NUMBER:				000000000

	FILING VALUES:
		FORM TYPE:		N-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21413
		FILM NUMBER:		10977838

	BUSINESS ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809
		BUSINESS PHONE:		800-441-7762

	MAIL ADDRESS:	
		STREET 1:		100 BELLEVUE PARKWAY
		CITY:			WILMINGTON
		STATE:			DE
		ZIP:			19809

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	FLOATING RATE INCOME STRATEGIES FUND INC
		DATE OF NAME CHANGE:	20030813
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>fra.htm
<DESCRIPTION>FRA
<TEXT>

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<P align="center">
<FONT face="ArialMT,Arial,Helvetica,sans-serif">UNITEDSTATES</FONT><BR>
<FONT face="ArialMT,Arial,Helvetica,sans-serif">SECURITIESANDEXCHANGECOMMISSION</FONT><BR>
<FONT face="ArialMT,Arial,Helvetica,sans-serif">Washington,D.C.20549</FONT><BR>
<BR>
<B><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">FORM N-Q</FONT></B><BR>
<BR>
<B><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED</FONT></B><BR>
<B><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">MANAGEMENT INVESTMENT COMPANY</FONT></B></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Investment Company Act file number 811-21413</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Name of Fund: BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Name and address of agent for service: Anne F. Ackerley, Chief Executive Officer, BlackRock</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Floating Rate Income Strategies Fund, Inc., 55 East 52</FONT><SUP><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">nd </FONT></SUP><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Street, New York, NY 10055.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Registrant&#146;s telephone number, including area code: (800) 882-0052, Option 4</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date of fiscal year end: 08/31/2010</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date of reporting period: 05/31/2010</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 1 &#150; Schedule of Investments</FONT></P>

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<P align=left><FONT color=#000080 size=4 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Schedule of Investments </FONT><FONT color=#000080 size=2 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">May 31, 2010 (Unaudited)</FONT></P>
<P align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>
<FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Percentages shown are based on Net Assets)</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="50%"></TD>
     <TD width="26%"></TD>
     <TD width="22%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Common Stocks (a)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Building Products &#151; 0.2%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Masonite Worldwide Holdings&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13,994&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$ 626,231&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Chemicals &#151; 0.0%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">GEO Specialty Chemicals, Inc.</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">13,117</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5,036</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Wellman Holdings, Inc.</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">430</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">21</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5,057&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Construction Materials &#151; 0.0%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Nortek, Inc.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,540&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69,300&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Electrical Equipment &#151; 0.0%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Medis Technologies Ltd.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71,654&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,866&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Paper &amp; Forest Products &#151; 0.4%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Ainsworth Lumber Co. Ltd.</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">133,089</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">465,382</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Ainsworth Lumber Co. Ltd. (b)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">152,951</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">534,834</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Western Forest Products,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Inc. (b)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">84,448</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">27,283</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,027,499&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Software &#151; 0.4%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">HMH Holdings/EduMedia&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 147,163&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 919,769&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total Common Stocks &#150; 1.0%&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,650,722&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Corporate Bonds&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (000) </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Airlines &#151; 0.2%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Delta Air Lines, Inc., Series B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">9.75%, 12/17/16&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;649,500&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Auto Components &#151; 1.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Delphi International Holdings</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Unsecured, 12.00%, 10/06/14</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">32</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">32,306</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Icahn Enterprises LP (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7.75%, 1/15/16</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">940,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">8.00%, 1/15/18</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,880,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,852,306&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Building Products &#151; 2.2%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">CPG International I, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7.18%, 7/01/12 (c)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,500</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,447,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10.50%, 7/01/13</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,323,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5,770,500&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Capital Markets &#151; 0.3%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Marsico Parent Co., LLC, 10.63%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1/15/16 (b)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,048</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">592,120</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Marsico Parent Holdco, LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.13%, 7/15/16 (b)(d)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">461</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">112,934</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="44%"></TD>
     <TD width="11%"></TD>
     <TD width="23%"></TD>
     <TD width="20%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Corporate Bonds&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Capital Markets (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Marsico Parent Superholdco, LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.63%, 1/15/18 (b)(d)</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">303</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 59,002</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">764,056&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Chemicals &#151; 1.2%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">CF Industries, Inc., 6.88%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5/01/18</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">905</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">906,131</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">GEO Specialty Chemicals, Inc. (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7.50%, 3/31/15 (e)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">857</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">557,042</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10.00%, 3/31/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">844</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">548,704</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">LBI Escrow Corp., 8.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">11/01/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,017,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Wellman Holdings, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Subordinate Note (Third Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5.00%, 1/29/19 (d)(e)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">453</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">176,571</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,205,948&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Commercial Services &amp;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Supplies &#151; 0.5%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Clean Harbors, Inc., 7.63%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">8/15/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">800</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">820,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">The Geo Group, Inc., 7.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10/15/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">550</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">547,937</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,367,937&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Construction Materials &#151; 0.6%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Nortek, Inc. , 11.00%, 12/01/13&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,547&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,608,718&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Consumer Finance &#151; 0.5%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Credit Acceptance Corp., 9.13%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2/01/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">360</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">363,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Inmarsat Finance Plc, 7.38%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">12/01/17 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">915</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">912,713</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,276,313&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Containers &amp; Packaging &#151; 3.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Berry Plastics Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">8.25%, 11/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,600</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,572,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">9.50%, 5/15/18 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">700</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">626,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Clondalkin Acquisition BV, 2.26%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">12/15/13 (b)(c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4,000</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,775,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Crown European Holdings SA,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">6.25%, 9/01/11</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">15</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">18,499</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Owens-Brockway Glass Container,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Inc., 6.75%, 12/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">143</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">176,359</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Packaging Dynamics Finance</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Corp., 10.00%, 5/01/16 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">730</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">625,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Smurfit Kappa Acquisitions (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7.25%, 11/15/17</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">525</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">631,366</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7.75%, 11/15/19</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">607,436</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">8,032,223&nbsp; </FONT></TD></TR></TABLE><BR>
<P align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Portfolio Abbreviations</FONT><BR>
<BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">according to the following list:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="6%"></TD>
     <TD width="35%"></TD>
     <TD width="27%"></TD>
     <TD width="30%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">CAD</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Canadian Dollar</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">FKA</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Formerly Known As</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Euro</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MSCI</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Morgan Stanley Capital International</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">GBP</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">British Pound</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">US Dollar</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MAY 31, 2010</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<P align=left><FONT color=#000080 size=4 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Schedule of Investments </FONT><FONT color=#000080 size=2 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(continued)</FONT></P>
<P align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>
<FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Percentages shown are based on Net Assets)</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="45%"></TD>
     <TD width="10%"></TD>
     <TD width="24%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Corporate Bonds&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Diversified Financial</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Services &#151; 2.5%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">CIT Group, Inc., 7.00%, 5/01/17</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,990 $</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,698,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">FCE Bank Plc, 7.13%, 1/16/12</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">900</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,098,908</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">GMAC, Inc., 2.74%, 12/01/14 (c)</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,875</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,540,292</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Reynolds Group DL Escrow, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7.75%, 10/15/16 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">800</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">792,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Reynolds Group Issuer, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7.75%, 10/15/16 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">400</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">485,949</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">6,615,624&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Diversified Telecommunication</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Services &#151; 1.4%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">ITC Deltacom, Inc., 10.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4/01/16 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">750</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">720,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">New Communications Holdings,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Inc. (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7.88%, 4/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,100</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,091,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">8.25%, 4/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">585</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">579,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Qwest Communications</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">International, Inc., 8.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10/01/15 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">600</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">601,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Qwest Corp., 8.38%, 5/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">540</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">585,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,578,300&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Energy Equipment &amp;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Services &#151; 0.5%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Expro Finance Luxembourg SCA,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">8.50%, 12/15/16 (b)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,250&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,212,500&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Food &amp; Staples Retailing &#151; 0.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">AmeriQual Group LLC, 9.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4/01/12 (b)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 250&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;227,500&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Food Products &#151; 1.0%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">B&amp;G Foods, Inc., 7.63%, 1/15/18</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">600</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">598,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Bumble Bee Foods LLC, 7.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">12/15/15 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">450</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">447,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Smithfield Foods, Inc., 10.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/15/14 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,605,937</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,652,187&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Health Care Equipment &amp;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Supplies &#151; 0.5%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">DJO Finance LLC, 10.88%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">11/15/14&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,245&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,294,800&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Health Care Providers &amp;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Services &#151; 0.9%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">American Renal Holdings, 8.38%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5/15/18 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">145</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">141,013</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">HCA, Inc., 7.25%, 9/15/20</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">485</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">483,787</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tenet Healthcare Corp. (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">9.00%, 5/01/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">175</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">183,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">8.88%, 7/01/19</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,360</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,426,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,234,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Health Care Technology &#151; 0.8%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">IMS Health, Inc., 12.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3/01/18 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,860</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,134,350</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="44%"></TD>
     <TD width="11%"></TD>
     <TD width="22%"></TD>
     <TD width="21%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Corporate Bonds&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Hotels, Restaurants &amp;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Leisure &#151; 0.4%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Little Traverse Bay Bands of</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Odawa Indians, 10.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2/15/14 (a)(b)(f)</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,565 $</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">518,406</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MGM Mirage, 10.38%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5/15/14 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">490</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">520,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,039,031&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Household Durables &#151; 0.5%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Beazer Homes USA, Inc., 12.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10/15/17&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,200&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,332,000&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Independent Power Producers &amp;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Energy Traders &#151; 2.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Calpine Construction Finance Co.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">LP, 8.00%, 6/01/16 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,725</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,742,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Energy Future Holdings Corp.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10.00%, 1/15/20 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">995,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">NRG Energy, Inc., 7.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,730</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,695,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5,433,125&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Industrial Conglomerates &#151; 0.9%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Sequa Corp. (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">11.75%, 12/01/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">640</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">640,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">13.50%, 12/01/15 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,757</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,790,286</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,430,286&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Media &#151; 2.7%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Affinion Group, Inc., 10.13%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10/15/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,050</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,068,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">CSC Holdings, Inc., 8.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4/15/14 (b)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">420</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">436,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Clear Channel Worldwide Holdings,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Inc. (b):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Series A, 9.25%, 12/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">401</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">406,013</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Series B, 9.25%, 12/15/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,604</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,632,070</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">DISH DBS Corp., 7.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">925</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">938,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Seat Pagine Gialle SpA, 10.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1/31/17 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">669</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">771,702</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">UPC Germany GmbH, 8.13%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">12/01/17 (b)</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,000</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,960,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7,213,835&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Metals &amp; Mining &#151; 0.4%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">FMG Finance Property Ltd.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4.54%, 9/01/11 (b)(c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">265</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">261,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Ryerson, Inc., 7.72%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">11/01/14 (c)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">900</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">838,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,099,813&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Multiline Retail &#151; 0.2%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Dollar General Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10.63%, 7/15/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">100</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">109,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">11.88%, 7/15/17 (d)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">445</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">505,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">614,075</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MAY 31, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=-->
<A name="page_4"></A>
<P align=left><FONT color=#000080 size=4 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Schedule of Investments </FONT><FONT color=#000080 size=2 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(continued)</FONT></P>
<P align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>
<FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Percentages shown are based on Net Assets)</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="53%"></TD>
     <TD width="23%"></TD>
     <TD width="22%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Corporate Bonds&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Oil, Gas &amp; Consumable</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Fuels &#151; 0.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Coffeyville Resources LLC, 9.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4/01/15 (b)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 305&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 301,950&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Paper &amp; Forest Products &#151; 0.7%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Ainsworth Lumber Co. Ltd.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">11.00%, 7/29/15 (b)(d)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,205</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,111,842</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">NewPage Corp., 10.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5/01/12</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">610</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">354,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Verso Paper Holdings LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Series B, 4.09%, 8/01/14 (c)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">340</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">283,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,749,455&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Pharmaceuticals &#151; 0.9%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Angiotech Pharmaceuticals, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4.29%, 12/01/13 (c)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">605</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">471,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Elan Finance Plc, 4.44%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">11/15/11 (c)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,820</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,774,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,246,400&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Semiconductors &amp; Semiconductor</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Equipment &#151; 0.3%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Advanced Micro Devices, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">8.13%, 12/15/17 (b)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">150</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">147,187</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">STATS ChipPAC Ltd.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7.50%, 7/19/10</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">180</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">180,225</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">6.75%, 11/15/11</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">385</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">384,519</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">711,931&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Textiles, Apparel &amp; Luxury</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Goods &#151; 0.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Phillips-Van Heusen Corp., 7.38%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5/15/20&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;360&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;361,800&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Wireless Telecommunication</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Services &#151; 1.7%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Cricket Communications, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7.75%, 5/15/16</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,700</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,725,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Digicel Group Ltd., 9.13%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1/15/15 (b)(d)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">278</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">271,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">iPCS, Inc., 2.47%, 5/01/13 (c)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,500</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,380,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Nextel Communications, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Series E, 6.88%, 10/31/13</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">775</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">742,062</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Sprint Capital Corp., 8.38%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3/15/12</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">375</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">386,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4,504,862&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=3 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total Corporate Bonds &#150; 28.4%&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74,516,175&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=3 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating Rate Loan Interests (c) </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Aerospace &amp; Defense &#151; 1.3%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Hawker Beechcraft Acquisition Co.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Letter of Credit Facility</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Deposit, 2.10%, 3/26/14</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">98</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">80,323</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="44%"></TD>
     <TD width="10%"></TD>
     <TD width="23%"></TD>
     <TD width="21%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating Rate Loan Interests (c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Aerospace &amp; Defense (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Hawker Beechcraft Acquisition,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Co., LLC: (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 2.29% - 2.35%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3/26/14</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,604 $</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,318,161</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">TASC, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche A Term Loan, 5.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">12/18/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">663</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">661,895</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B Term Loan, 5.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">12/18/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,317</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,316,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,377,079&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Airlines &#151; 0.4%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Delta Air Lines, Inc., Credit-Linked</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Deposit Loan, 0.20% - 2.32%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4/30/12&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,213&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,157,938&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Auto Components &#151; 3.0%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Affinion Group Holdings, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 7.89%, 3/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,349</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,269,355</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B, 5.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4/08/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,500</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,434,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Allison Transmission, Inc., Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 3.05% - 3.11%, 8/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4,224</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,830,148</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Dana Holding Corp., Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Advance, 4.53% - 4.73%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1/30/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,049</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,008,270</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Exide Technologies, Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.69%, 5/15/12</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">324</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">361,997</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">GPX International Tire Corp.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B Term Loan (a)(f):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">12.25%, 3/30/12</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">572</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">14.00%, 4/11/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">9</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7,904,145&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Automobiles &#151; 1.3%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Ford Motor Co.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B-1 Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.31% - 3.34%, 12/15/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,078</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,866,257</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B-2 Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.26%, 12/15/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">498</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">461,328</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,327,585&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Beverages &#151; 1.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Culligan International Co., Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Second Lien), 5.18%, 4/24/13 EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">500</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">312,922</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">SW Acquisitions Co., Inc., Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 5.75%, 6/01/16</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,494</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,486,580</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,799,502&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Building Products &#151; 1.9%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Building Materials Corp. of</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">America, Term Loan Advance,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.13%, 2/22/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,328</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,282,604</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Goodman Global, Inc., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">6.25%, 2/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,717</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,714,135</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MAY 31, 2010</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<P align=left><FONT color=#000080 size=4 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Schedule of Investments </FONT><FONT color=#000080 size=2 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(continued)</FONT></P>
<P align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>
<FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Percentages shown are based on Net Assets)</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="45%"></TD>
     <TD width="10%"></TD>
     <TD width="24%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating Rate Loan Interests (c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Building Products (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">PGT Industries, Inc., Tranche A-2</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 6.75%, 2/14/12</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,133&nbsp; </FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 1,044,738</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5,041,477&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Chemicals &#151; 6.2%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">CF Industries Holdings, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B-1, 4.50%, 3/17/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,490</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,487,336</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Chemtura Corp., Debtor in</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Possession Return of Capital</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 6.00%, 1/26/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,600</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,603,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Edwards (Cayman Islands II) Ltd.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan (First Lien), 2.35%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5/31/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">486</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">438,436</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Gentek Holding, LLC, Tranche B</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 7.00%, 10/29/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">898</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">897,189</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Huish Detergents, Inc., Tranche B</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 2.11%, 4/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">713</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">678,382</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Lyondell Chemical Co., Exit Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 5.50%, 3/24/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">900</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">899,036</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Matrix Acquisition Corp. (FKA</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MacDermid, Inc.), Tranche C</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 2.65%, 12/15/13</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">548</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">605,640</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Nalco Co., Term Loan, 6.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5/13/16</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,432</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,429,599</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">PQ Corp., (FKA Niagara</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Acquisition, Inc.) Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(First Lien), 3.59% - 3.61%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,708</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,460,994</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Rockwood Specialties Group, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan H, 6.00%, 5/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,525</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,522,141</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Solutia, Inc., Term Loan, 4.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3/01/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,250</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,246,249</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">16,268,002&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Commercial Services &amp; Supplies &#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4.3%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">ARAMARK Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Letter of Credit, 2.03%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">33</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">31,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Letter of Credit, 3.40%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/26/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">52</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">50,387</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B, 3.54%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/26/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">792</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">766,173</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">US Term Loan, 2.17%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1/26/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">497</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">473,663</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Adesa, Inc. (KAR Holdings, Inc.),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Initial Term Loan, 3.11%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10/21/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">814</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">772,823</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Advanced Disposal Services, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B, 6.00%, 1/14/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,097</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,093,135</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Casella Waste Systems, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B, 7.00%, 4/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">744</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">742,514</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">International Lease Finance Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan 1, 6.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2/23/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,125</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,075,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan 2, 7.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3/05/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">975</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">948,675</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="42%"></TD>
     <TD width="16%"></TD>
     <TD width="19%"></TD>
     <TD width="21%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating Rate Loan Interests (c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Commercial Services &amp; Supplies (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Johnson Diversey, Inc., Tranche B</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Dollar, 5.50%, 11/24/15</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">898&nbsp; </FONT></TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 897,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Synagro Technologies, Inc., Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan (First Lien), 2.34% -</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.36%, 4/02/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,560</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,402,019</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">West Corp., Incremental Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan B-3, 7.25%, 10/24/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,989</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,986,453</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">11,239,805&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Communications</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Equipment &#151; 0.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Sorenson Communications, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan C, 6.00%, 10/27/14&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;390,000&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Construction &amp;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Engineering &#151; 1.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Safway Services, LLC, First Out</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche Loan, 9.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">12/14/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,700</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,700,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Welding Services, Term Loan B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5.50%, 3/23/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,150</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,147,605</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,847,605&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Consumer Finance &#151; 2.9%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">American General Finance Corp.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 7.25%, 4/16/16</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,550</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,436,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Chrysler Financial Corp., Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan (Second Lien), 6.84%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">8/02/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4,260</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4,204,467</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7,640,867&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Containers &amp; Packaging &#151; 1.3%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Anchor Glass Container Corp.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B, 6.00%, 2/18/16</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">980</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">970,226</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BWAY Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 5.50%, 5/21/17</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">914</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">909,347</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan Canada, 5.50%,</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5/20/17</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">86</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">85,486</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Berry Plastics Holding Corp.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan C, 2.26%, 4/03/15</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,045</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">935,511</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Graham Packaging Co., LP,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan C, 6.75%, 4/05/14</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">631</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">630,929</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,531,499&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Diversified Consumer</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Services &#151; 2.3%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Coinmach Service Corp., Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 3.47%, 11/14/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,695</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,342,846</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Laureate Education, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Series A, New Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7.00%, 8/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,833</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,785,552</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">6,128,398&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Diversified Financial Services &#151; 2.7%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">CIT Group, Inc., Tranche 2A Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">9.50%, 1/20/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,458</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,488,958</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MAY 31, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_6"></A>
<P align=left><FONT color=#000080 size=4 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Schedule of Investments </FONT><FONT color=#000080 size=2 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(continued)</FONT></P>
<P align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>
<FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Percentages shown are based on Net Assets)</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="45%"></TD>
     <TD width="12%"></TD>
     <TD width="21%"></TD>
     <TD width="20%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating Rate Loan Interests (c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Diversified Financial Services (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MSCI, Inc., Term Loan B, 4.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">6/30/16</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,375 $</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,362,344</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Reynolds Group Holdings, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan (First Lien), 5.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5/05/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">992,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">US Term Loan, 6.25%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5/05/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,292</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,271,421</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7,115,223&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Diversified Telecommunication</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Services &#151; 2.4%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Integra Telecom Holdings, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 9.25%, 4/12/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,625</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,616,193</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Level 3 Communications,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Incremental Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.55%, 3/13/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,275</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,045,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">US Telepacific Corp., Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Second Lien), 9.25%, 7/25/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">475</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">474,109</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Wind Finance SL SA, Euro Facility</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Second Lien), 7.65%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">12/17/14</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,216,407</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Wind Telecomunicazioni SpA,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan A1 Facility,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.92%, 9/22/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">712</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">836,062</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">6,187,834&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Electrical Equipment &#151; 0.5%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Baldor Electric Co., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5.25%, 1/31/14&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,273&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,267,129&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Electronic Equipment,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Instruments &amp; Components &#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1.0%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">CDW Computer Centers, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B, 4.34%, 10/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,050</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,804,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Flextronics International Ltd.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B, 2.54%, 10/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">858</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">820,486</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,624,486&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Energy Equipment &amp;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Services &#151; 0.4%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MEG Energy Corp., Term Loan D,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">6.00%, 4/03/16&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,091&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,075,111&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Food &amp; Staples Retailing &#151; 3.6%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">AB Acquisitions UK Topco 2 Ltd.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(FKA Alliance Boots), Facility</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">B1, 3.56%, 7/09/15</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,300</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,691,412</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Bolthouse Farms, Inc., Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">B, 5.50%, 2/04/16</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,100</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,094,844</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">DSW Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.59%, 10/29/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">912</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">875,467</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Pierre Foods, Inc., Term Loan B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7.00%, 2/17/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,086</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,091,681</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Pilot Travel Centers, Term Loan B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5.25%, 11/18/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,750</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,745,581</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="42%"></TD>
     <TD width="14%"></TD>
     <TD width="22%"></TD>
     <TD width="20%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating Rate Loan Interests (c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Food &amp; Staples Retailing (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Rite Aid Corp., Tranche 4 Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 9.50%, 6/10/15</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,893 $</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,919,979</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">9,418,964&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Food Products &#151; 3.3%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">CII Investment, LLC (FKA Cloverhill):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan A, 8.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10/14/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">852</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">852,479</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B, 8.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10/14/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,037</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,036,807</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Dole Food Co., Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Credit-Linked Deposit, 8.07%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4/12/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">390</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">389,611</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B, 5.00% - 5.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2/10/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">788</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">786,755</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan C, 5.00% - 5.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2/10/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,957</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,954,102</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Pilgrim's Pride Corp., Term Loan A,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5.29%, 12/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,215</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,202,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Pinnacle Foods Finance LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche C Term Loan, 7.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4/02/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,500</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,471,095</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">8,693,699&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Health Care Equipment &amp;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Supplies &#151; 1.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Biomet, Inc., Dollar Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.28% - 3.35%, 3/25/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">739</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">718,215</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">DJO Finance LLC (ReAble</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Therapeutics Finance LLC),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 3.35%, 5/20/14</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">881</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">846,663</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Fresenius AG, Term Loan C1,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4.50%, 9/01/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,297,292</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,862,170&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Health Care Providers &amp; Services &#151; 4.5%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Ardent Health Services, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 6.50%, 8/10/15</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,200</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,173,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Delayed Draw Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.79%, 7/25/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">149</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">139,266</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Funded Term Loan, 2.60% -</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.79%, 7/25/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,890</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,701,503</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">DaVita, Inc., Tranche B-1 Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 1.79% - 1.85%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10/05/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">285</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">278,034</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">HCA, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche A-1 Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1.79%, 11/16/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,924</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,820,412</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B-1 Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.54%, 11/18/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">636</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">601,055</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B-2 Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.54%, 3/31/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,166</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,126,640</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Harden Healthcare, Inc., Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan A, 8.50%, 2/22/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">796</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">780,436</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Renal Advantage Holdings, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 6.00%, 5/25/16</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,100</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,094,500</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MAY 31, 2010</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_7"></A>
<P align=left><FONT color=#000080 size=4 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Schedule of Investments </FONT><FONT color=#000080 size=2 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(continued)</FONT></P>
<P align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>
<FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Percentages shown are based on Net Assets)</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="42%"></TD>
     <TD width="13%"></TD>
     <TD width="24%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating Rate Loan Interests (c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Health Care Providers</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&amp; Services (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Vanguard Health Holding Co. II,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">LLC (Vanguard Health Systems,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Inc.), Initial Term Loan, 5.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=center>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1/29/16</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,000&nbsp;&nbsp;</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 1,973,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">11,687,846&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Health Care Technology &#151; 0.9%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">IMS Health, Inc., Tranche B Dollar</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 5.25%, 2/16/16&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,476&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,453,424&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Hotels, Restaurants &amp;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Leisure &#151; 4.7%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Blackstone UTP Capital LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 7.75%, 11/06/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,496</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,496,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B, 5.50% - 6.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10/23/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,150</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,144,480</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Green Valley Ranch Gaming, LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan (Second Lien), 8.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">8/16/14 (a)(f)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">500</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">29,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Harrah's Operating Co., Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B-1, 3.32%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1/28/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">192</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">160,685</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B-2, 3.32%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1/28/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">259</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">216,237</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B-3, 3.29% -</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.32%, 1/28/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,893</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,243,954</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Penn National Gaming, Inc., Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan B, 2.05% - 2.12%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10/03/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,136</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,102,104</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Six Flags Theme Parks, Inc., Exit</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 6.00%, 4/19/16</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,850</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,837,764</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Travelport LLC (FKA Travelport, Inc.):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Original Post-First Amendment</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">and Restatement Synthetic</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Letter of Credit Loan, 2.79%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">8/23/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">178</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">167,849</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B Dollar Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.79%, 8/23/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">889</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">836,523</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">VML US Finance LLC (FKA Venetian</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Macau):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">New Project Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4.80%, 5/27/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">158</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">152,822</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term B Delayed Draw Project</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 4.80%, 5/25/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">713</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">686,335</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term B Funded Project Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4.80%, 5/27/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,243</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,198,521</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">12,272,899&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">IT Services &#151; 3.0%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Audio Visual Services Group, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B Term Loan (First</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Lien), 2.55%, 2/28/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">992</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">739,313</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Ceridian Corp., US Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.35%, 11/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,142</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,047,250</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="41%"></TD>
     <TD width="12%"></TD>
     <TD width="23%"></TD>
     <TD width="21%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating Rate Loan Interests (c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">IT Services (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">First Data Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Initial Tranche B-1 Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.03% - 3.09%, 9/24/14</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">355 $</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">299,062</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Initial Tranche B-2 Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.03% - 3.04%, 9/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4,594</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,863,520</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Initial Tranche B-3 Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.03% - 3.04%, 9/24/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">489</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">411,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">SunGard Data Systems, Inc.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Solar Capital Corp.):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Incremental Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">6.75%, 2/28/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">993</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">986,164</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B US Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4.00% - 4.06%, 2/28/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">544</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">527,780</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7,874,652&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Independent Power Producers &amp;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Energy Traders &#151; 1.4%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Dynegy Holdings, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Letter of Credit Facility,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4.11%, 4/02/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,388</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,320,317</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B Term Loan, 4.11%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4/02/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">111</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">106,014</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Texas Competitive Electric Holdings</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Co., LLC (TXU):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Initial Tranche B-1 Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.79% - 3.85%, 10/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,534</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,178,643</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Initial Tranche B-3 Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.79% - 3.85%, 10/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,419</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,083,824</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,688,798&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Industrial Conglomerates &#151; 1.0%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Sequa Corp., Term Loan, 3.48% -</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.79%, 12/03/14&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,844&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,597,567&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Insurance &#151; 0.2%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Alliant Holdings I, Inc., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.29%, 8/21/14&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;488&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446,063&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Internet &amp; Catalog Retail &#151; 0.2%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">FTD Group, Inc., Tranche B Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 6.75%, 8/26/14&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;573&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;571,740&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Leisure Equipment &amp;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Products &#151; 0.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Fender Musical Instruments Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Delayed Draw Loan, 2.61%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">6/09/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">145</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">127,190</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Initial Loan, 2.55%, 6/09/14</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">287</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">251,791</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">378,981&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Machinery &#151; 1.7%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Accuride Corp., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">9.75%, 1/31/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">790</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">785,886</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Bucyrus International, Inc., Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan C, 4.50%, 1/26/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,205</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,197,971</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">6 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MAY 31, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_8"></A>
<P align=left><FONT color=#000080 size=4 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Schedule of Investments </FONT><FONT color=#000080 size=2 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(continued)</FONT></P>
<P align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>
<FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Percentages shown are based on Net Assets)</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="42%"></TD>
     <TD width="12%"></TD>
     <TD width="24%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating Rate Loan Interests (c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Machinery (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Generac Acquisition Corp., Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan (First Lien), 2.79%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">11/10/13</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">165 $</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">152,617</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">NACCO Materials Handling Group,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Inc., Loan, 2.10% - 2.37%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3/21/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,444</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,256,062</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Oshkosh Truck Corp., Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">B, 6.54%, 12/06/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,175</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,173,126</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4,565,662&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Marine &#151; 0.2%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Horizon Lines, LLC, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Return of Capital, 3.55% -</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.57%, 8/08/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">436</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">372,507</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan A, 3.55%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">8/08/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">310</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">278,486</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">650,993&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Media &#151; 16.0%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Cengage Learning Acquisitions,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Inc. (Thomson Learning),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche 1 Incremental Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4,168</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4,189,023</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Cequel Communications, LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 2.29%, 11/05/13</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">526</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">501,696</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Charter Communications Operating,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">New Term Loan, 2.30%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3/06/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">614</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">567,318</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B1, 2.30%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3/25/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">725</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">724,887</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan C, 3.55%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">9/06/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5,253</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4,889,785</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">FoxCo Acquisition Subordinated,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">LLC, Term Loan, 7.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/14/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">788</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">767,390</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">HMH Publishing Co., Ltd., Tranche</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">A Term Loan, 5.60%, 6/12/14</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,995</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,826,580</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Hanley-Wood, LLC</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(FSC Acquisition), Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.63% -2.75%, 3/10/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,466</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">806,437</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Harland Clarke Holdings Corp.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(FKA Clarke American Corp.),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.79% - 2.85%, 6/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,248</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,087,820</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Insight Midwest Holdings, LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B, 2.04% - 2.10%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">325</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">306,893</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Intelsat Corp. (FKA PanAmSat Corp.):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B-2-A Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.79%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">332</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">315,974</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B-2-B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.79%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">332</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">315,877</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B-2-C Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.79%, 1/03/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">332</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">315,877</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="44%"></TD>
     <TD width="10%"></TD>
     <TD width="23%"></TD>
     <TD width="21%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating Rate Loan Interests (c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Media (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Intelsat Subsidiary Holding Co.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Ltd., Tranche B Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.79%, 7/03/13</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,678&nbsp; </FONT></TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 1,611,021</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Lamar Media Corp., Term Loan B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4.25%, 12/30/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,175</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,172,797</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Lavena Holding 3 GmbH</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Prosiebensat.1 Media AG):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Facility B1, 3.34%, 6/30/15</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">337</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">305,428</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Facility C1, 3.59%, 6/30/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">337</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">305,428</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MCNA Cable Holdings LLC</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(OneLink Communications),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 6.89%, 3/01/13 (d)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,336</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,068,631</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Mediacom Broadband, Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan E, 4.50%, 10/23/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,225</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,174,010</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Mediannuaire Holding (Pages</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Jaunes), Term Loan D, 4.90%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1/11/17</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">500</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">404,958</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Newsday, LLC, Fixed Rate Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 10.50%, 8/01/13</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,750</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,837,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Nielsen Finance LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Dollar Term Loan:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.35%, 8/09/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">969</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">903,539</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Class B, 4.10%, 5/01/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,103</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,023,840</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Regal Cinemas Corp.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B, 3.79%, 11/06/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">992,083</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Sinclair Television Group, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B Term Loan, 6.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10/29/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,155</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,155,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Springer Science+Business Media</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">SA, Facility A1, 6.75%, 7/01/16 EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,000</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,445,085</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Sunshine Acquisition Ltd. (FKA</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">HIT Entertainment), Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Facility, 5.60%, 3/20/12</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">957</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">881,069</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">UPC Financing Partnership,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Facility U, 4.99%, 12/31/17</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,850</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,098,330</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Virgin NTL Cable Plc, Term Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">B, 4.40%, 12/31/15</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">750</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,044,560</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Weather Channel, Term Loan B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5.00%, 9/14/15</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,264</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,257,091</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Worldcolor Press Inc., and</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Worldcolor (USA) Corp. (FKA</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Quebecor World, Inc.), Advance,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">9.00%, 7/23/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,617</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,629,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Yell Group Plc TPI, Term Loan A,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.48%, 8/09/11</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">938</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">909,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">41,835,452&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Multi-Utilities &#151; 0.6%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Energy Transfer Equity, LP, Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 2.09%, 11/01/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,000</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">978,571</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">FirstLight Power Resources, Inc.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(FKA NE Energy, Inc.):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Synthetic Letter of Credit,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.81%, 11/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">51</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">47,791</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MAY 31, 2010</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_9"></A>
<P align=left><FONT color=#000080 size=4 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Schedule of Investments </FONT><FONT color=#000080 size=2 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(continued)</FONT></P>
<P align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>
<FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Percentages shown are based on Net Assets)</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="45%"></TD>
     <TD width="10%"></TD>
     <TD width="24%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating Rate Loan Interests (c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Multi-Utilities (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">FirstLight Power Resources, Inc.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(FKA NE Energy, Inc.) (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term B Advance (First Lien),</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.81%, 11/01/13</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">489</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 461,973</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,488,335&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Multiline Retail &#151; 1.4%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Dollar General Corp., Tranche B-2</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 3.09% - 3.10%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/07/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,686</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,608,069</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Hema Holding BV:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Facility B, 2.43%, 7/06/15</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">406</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">472,409</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Facility C, 3.18%, 7/05/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">406</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">472,409</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">The Neiman Marcus Group, Inc.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan, 2.35% - 2.54%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4/06/13</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,080</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">985,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,537,937&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Oil, Gas &amp; Consumable Fuels &#151; 1.5%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Big West Oil, LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Delayed Draw Loan, 4.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5/15/14</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">779</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">768,109</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Initial Advance Loan, 4.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5/15/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">619</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">610,854</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Initial Advance Loan, 12.00%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1/26/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">625</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">626,042</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tronox Worldwide LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B-1 Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">9.00%, 6/24/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,465</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,470,024</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche B-2 Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">9.00%, 6/24/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">385</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">385,757</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,860,786&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Paper &amp; Forest Products &#151; 1.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Georgia-Pacific LLC, Term Loan B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.29% - 2.54%, 12/23/12</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,553</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,514,539</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Verso Paper Finance Holdings</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">LLC, Loan, 6.60% - 7.35%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2/01/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,085</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,352,612</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,867,151&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Personal Products &#151; 0.3%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">American Safety Razor Co., LLC:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan (Second Lien), 10.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">675</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">278,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan (First Lien), 6.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/31/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">458</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">415,752</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">694,190&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Pharmaceuticals &#151; 1.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Warner Chilcott Co., LLC</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan A, 5.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10/30/14</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,091</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,088,818</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Warner Chilcott Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Additional Term Loan, 5.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4/30/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">502</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">500,946</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="44%"></TD>
     <TD width="10%"></TD>
     <TD width="23%"></TD>
     <TD width="21%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating Rate Loan Interests (c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Pharmaceuticals (concluded)</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Warner Chilcott Corp. (concluded):</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B-1 , 5.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4/30/15</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">836 $</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">834,166</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B-2, 5.75%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4/30/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">584</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">582,516</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,006,446&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Professional Services &#151; 0.9%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Booz Allen Hamilton, Inc., Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan C, 6.00%, 7/31/15&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,244&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,241,008&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Real Estate Management &amp;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Development &#151; 2.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Mattamy Funding Partnership,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B, 2.81%, 4/11/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">960</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">902,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Realogy Corp.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Delayed Draw Term Loan B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.29%, 10/10/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,419</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,039,544</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Initial Term Loan B, 3.29%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10/10/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,850</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,402,763</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Synthetic Letter of Credit,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3.35%, 10/10/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">244</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">205,457</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5,550,164&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Software &#151; 0.8%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Reynolds &amp; Reynolds, Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5.25%, 4/16/17</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">858</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">850,924</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Telcordia Technologies, Inc., Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan B, 6.75%, 4/09/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,300</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,277,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,128,174&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Specialty Retail &#151; 1.2%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Bass Pro Group LLC, Term Loan B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5.00% - 5.75%, 4/06/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">800</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">795,480</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Burlington Coat Factory</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Warehouse Corp., Term Loan,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.57% - 2.76%, 5/28/13</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">493</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">452,846</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Matalan, Term Loan, 5.57%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3/24/16</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">GBP</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">500</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">718,105</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Michaels Stores, Inc.:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B-1, 2.56% -</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2.81%, 10/31/13</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">715</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">650,279</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Term Loan B-2, 4.81% -</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5.06%, 7/31/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">534</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">507,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,124,460&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Textiles, Apparel &amp; Luxury</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Goods &#151; 1.0%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Hanesbrands, Inc., New Term</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Loan, 5.25% - 5.50%,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">12/10/15</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">737</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">736,586</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">PVH/Hilfiger, US Term Loan B,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4.75%, 4/19/16</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,800</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,799,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,535,742</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">8 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MAY 31, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

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<A name="page_10"></A>
<P align=left><FONT color=#000080 size=4 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Schedule of Investments </FONT><FONT color=#000080 size=2 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(continued)</FONT></P>
<P align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>
<FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Percentages shown are based on Net Assets)</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="42%"></TD>
     <TD width="10%"></TD>
     <TD width="27%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Par</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating Rate Loan Interests (c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Value </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Wireless Telecommunication</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Services &#151; 2.0%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Digicel International Finance Ltd.,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Tranche A, 2.81%, 3/30/12</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,373 $</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,280,646</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MetroPCS Wireless, Inc., Tranche</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">B Term Loan, 2.63%, 11/03/13</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,991</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,906,363</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5,187,009&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total Floating Rate Loan Interests &#150; 90.1%&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 236,143,997&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Beneficial</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Interest</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Other Interests (g)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000) </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Auto Components &#151; 1.1%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Delphi Debtor-in-Possession</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Holding Co. LLP, Class B</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Membership Interests &#151; (h)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,937,342&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Diversified Financial</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Services &#151; 0.3%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">J.G. Wentworth LLC Preferred</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Equity Interests (i) &#151; (h)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;684,050&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total Other Interests &#150; 1.4%&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,621,392&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Warrants (j)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Software &#151; 0.0%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">HMH Holdings/EduMedia</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(expires 3/09/17)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11,690&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&#151;&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total Warrants &#150; 0.0%&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&#151;&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total Long-Term Investments</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 3px double" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Cost &#150; $334,103,934) &#150; 120.9%&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 316,932,286&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Short-Term Securities </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BlackRock Liquidity Funds,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">TempFund, Institutional Class,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">0.16% (k)(l)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,148,666&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,148,666&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total Short-Term Securities</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Cost &#150; $7,148,666) &#150; 2.7%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7,148,666</FONT>&nbsp;</TD></TR></TABLE><BR>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="64%"></TD>
     <TD width="35%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Options Purchased&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Contracts&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Over-the-Counter Call Options &#151; 0.0%</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Marsico Parent Superholdco LLC,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Strike Price USD 942.86, expires</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">12/21/19, Broker Goldman</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Sachs Bank USA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 4,200&nbsp;&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total Options Purchased</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Cost &#150; $19,556) &#150; 0.0%&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,200&nbsp; </FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total Investments</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(Cost &#150; $341,272,156*) &#150; 123.6%</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">324,085,152</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Liabilities in Excess of Other Assets &#150; (23.6)%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(61,861,076)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Net Assets &#150; 100.0%</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 262,224,076</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">* The cost and unrealized appreciation (depreciation) of investments as of</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">May 31, 2010, as computed for federal income tax purposes, were as</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="54%"></TD>
     <TD width="45%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">follows:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Aggregate cost</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 341,533,685</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Gross unrealized appreciation</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 5,664,329</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Gross unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(23,112,862)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Net unrealized depreciation</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ (17,448,533)</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(a) Non-income producing security.</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(b) Security exempt from registration under Rule 144A of the Securities Act</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">of 1933. These securities may be resold in transactions exempt from</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">registration to qualified institutional investors.</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(c) Variable rate security. Rate shown is as of report date.</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(d) Represents a payment-in-kind security which may pay interest/dividends</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">in additional face/shares.</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(e) Convertible security.</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(f) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(g) Other interests represent beneficial interest in liquidation trusts and</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">other reorganization entities and are non-income producing.</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(h) Amount is less than $1,000.</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(i) </FONT><FONT color=#231f20 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">The investment is held by a wholly owned taxable subsidiary of the Fund.</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(j) Warrants entitle the Fund to purchase a predetermined number of shares</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">of common stock and are non-income producing. The purchase price and</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">number of shares are subject to adjustment under certain conditions</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">until the expiration date.</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(k) Investments in companies considered to be an affiliate of the Fund</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">during the period, for purposes of Section 2(a)(3) of the Investment</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="24%"></TD>
     <TD width="18%"></TD>
     <TD width="17%"></TD>
     <TD width="22%"></TD>
     <TD width="17%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=4 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Company Act of 1940, as amended, were as follows:</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Shares Held</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Shares Held</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">at August</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">at May 31,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Affiliate</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">31, 2009</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Net Activity</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2010</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Income</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BlackRock</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Liquidity Funds,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">TempFund,</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Institutional</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Class</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,018,379</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">5,130,287</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7,148,666 $</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4,365</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(l) Represents the current yield as of report date.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MAY 31, 2010</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">9</FONT></P>
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<P align=left><FONT color=#000080 size=4 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Schedule of Investments </FONT><FONT color=#000080 size=2 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(continued)</FONT></P>
<P align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#149; Foreign currency exchange contracts as of May 31, 2010 were as follows:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="7%"></TD>
     <TD width="22%"></TD>
     <TD width="18%"></TD>
     <TD width="14%"></TD>
     <TD width="14%"></TD>
     <TD width="3%"></TD>
     <TD width="19%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Currency</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Currency</FONT>&nbsp;</TD>
     <TD colSpan=3 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&nbsp;&nbsp; Counter-&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Settlement</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Appreciation</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Purchased</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Sold</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">party</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Date</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&nbsp;&nbsp;&nbsp; (Depreciation)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD&nbsp;&nbsp;&nbsp;12,413,284&nbsp;&nbsp; EUR</FONT></TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">9,891,000</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BNP</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Paribas</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/14/10</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 269,230</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">493,600&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">611,665</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Citibank</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">NA</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/14/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(5,629)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">EUR</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">36,000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">45,322</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Citigroup</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Global AG</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/14/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(1,122)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">952,060&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EUR</FONT>&nbsp;</TD>
     <TD colSpan=2 align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">769,000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deutsche</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Bank AG</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/14/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7,890</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">GBP</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,538,000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,282,698</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Citibank</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">NA</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/28/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(58,190)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">314,337&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CAD</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">315,000</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Citibank</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">NA</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/28/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">15,074</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,416,659&nbsp;&nbsp;&nbsp;&nbsp; GBP</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">917,500</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Citibank</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">NA</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/28/10</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">89,620</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">USD</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">4,701,204&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GBP</FONT>&nbsp;</TD>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,038,500</FONT>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Royal</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Bank of</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Scotland</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Plc</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7/28/10</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">306,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 623,298</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#149; For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Fund management. This definition may not apply for purposes of this report, which may combine such industry sub-</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">classifications for reporting ease.</FONT><BR>
<BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#149; Fair Value Measurements - Various inputs are used in determining the fair value of investments, which are as follows:</FONT><BR>
<BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#149; Level 1 &#151; price quotations in active markets/exchanges for identical assets and liabilities</FONT><BR>
<BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#149; Level 2 &#151; other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active,</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves,</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)</FONT><BR>
<BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#149; Level 3 &#151; unobservable inputs based on the best information available in the circumstances, to the extent</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">observable inputs are not available (including the Fund's own assumptions used in determining the fair value of</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">investments)</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">investing in those securities. For information about the Fund's policy regarding valuation of investments and other</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">significant accounting policies, please refer to the Fund&#146;s most recent financial statements as contained in its semi-</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">annual report.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">10 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MAY 31, 2010</FONT></P>
<HR align=center SIZE=2 width="100%" noShade>
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<P align=left><FONT color=#000080 size=4 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Schedule of Investments </FONT><FONT color=#000080 size=2 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(continued)</FONT></P>
<P align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">The following tables summarize the inputs used as of May 31, 2010 in determining the fair valuation of the Fund's investments:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="23%"></TD>
     <TD width="19%"></TD>
     <TD width="19%"></TD>
     <TD width="3%"></TD>
     <TD width="13%"></TD>
     <TD width="20%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=6 align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Investments in Securities</FONT></TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Valuation Inputs</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Level 1</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Level 2</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Assets:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Long-Term Investments:</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Common Stocks</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 1,121,762</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 604,134</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 924,826</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 2,650,722</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Corporate Bonds</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">73,201,552</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1,314,623</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">74,516,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating Rate Loan</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Interests</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">203,847,164</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">32,296,833</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">236,143,997</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Other Interests</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,621,392</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3,621,392</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Short-Term Securities&#133;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7,148,666</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">7,148,666</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 8,270,428</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 277,652,850</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 38,157,674</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 324,080,952</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=6 align=center><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Other Financial Intruments </FONT><SUP><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1</FONT></SUP></TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Valuation Inputs</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Level 1</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Level 2</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Assets</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 692,439</FONT>&nbsp;</TD>
     <TD colSpan=2 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 7,389</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 699,828</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Liabilities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(64,941)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(80,825)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(145,766)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 627,498</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ (73,436)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 554,062</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1 </FONT></SUP><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Other financial instruments are foreign currency exchange contracts, options and unfunded loan</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">commitments. Foreign currency exchange contracts and unfunded loan commitments are shown at</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">the unrealized appreciation/depreciation on the instruments and options are shown at value.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">determine fair value:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="21%"></TD>
     <TD width="18%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="12%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Investments in Securities</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Floating</FONT>&nbsp;</TD>
     <TD align=right>&nbsp;</TD>
     <TD align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Common</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Corporate</FONT>&nbsp;</TD>
     <TD align=right>&nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Rate Loan</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Other</FONT>&nbsp;</TD>
     <TD align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Stocks</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Bonds</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Interests</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Interests</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Total</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Balance, as of</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">August 31, 2009</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 5,143</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 2,823,032</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 54,573,840</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 262,849</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 57,664,864</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Accrued</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">discounts/premiums</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">-</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">41,187</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">89</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">-</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">41,276</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Realized gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">-</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">1</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(11,263,115)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(14,550)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(11,277,664)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Change in unrealized</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">appreciation/</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp; &nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">depreciation</FONT><SUP><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2</FONT></SUP>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(86)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(20,989)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">20,991,164</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">435,751</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">21,405,840</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Net purchases (sales)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">-</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">9,086</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(24,815,126)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">-</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(24,806,040)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Net transfers in/out of</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">919,769</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(1,537,694)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(7,190,019)</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2,937,342</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(4,870,602)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Balance, as of</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">May 31, 2010</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 924,826</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 1,314,623</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 32,296,833</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$3,621,392</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 38,157,674</FONT>&nbsp;</TD></TR></TABLE><BR>
<P align=left><SUP><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">2 </FONT></SUP><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">The change in unrealized appreciation/depreciation on securities still held at May 31, 2010 was $2,971,591.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MAY 31, 2010</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">11</FONT></P>
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<A name="page_13"></A>
<P align=left><FONT color=#000080 size=4 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Schedule of Investments </FONT><FONT color=#000080 size=2 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(concluded)</FONT></P>
<P align=left><FONT color=#000080 size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">The following table is a reconciliation of Level 3 other financial instruments for which significant</FONT><BR>
<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">unobservable inputs were used to determine fair value:</FONT></P>
<TABLE border=0 cellSpacing=0>
<TR>
     <TD width="44%"></TD>
     <TD width="27%"></TD>
     <TD width="28%"></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" colSpan=2 align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Other Financial Instruments</FONT><SUP><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3</FONT></SUP>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Assets</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Liabilities</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Balance, as of August 31, 2009</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">-</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ (49,905)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Accrued discounts/premiums</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">-</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Net realized gain (loss)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">-</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Net change in unrealized appreciation/</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;<FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">depreciation</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 7,389</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">(30,920)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Net purchases (sales)</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">-</FONT>&nbsp;</TD>
     <TD align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Net transfers in/out of Level 3</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">-</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">-</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Balance, as of May 31, 2010</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ 7,389</FONT>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">$ (80,825)</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 align=right><SUP><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">3</FONT></SUP><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">Other financial instruments are unfunded loan commitments.</FONT>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR></TABLE><BR>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">12 BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.</FONT></P>
<P align=left><FONT size=1 face="Franklin Gothic Book,Arial,Helvetica,sans-serif">MAY 31, 2010</FONT></P>
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<A name="page_14"></A>

<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 2 &#150; Controls and Procedures</FONT></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2(a) &#150; The registrant's principal executive and principal financial officers or persons performing</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">similar functions have concluded that the registrant's disclosure controls and procedures (as</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#147;1940 Act&#148;)) are effective as of a date within 90 days of the filing of this report based on the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and Rule 13(a)-15(b) under the Securities Exchange Act of 1934, as amended.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2(b) &#150; There were no changes in the registrant's internal control over financial reporting (as defined</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal quarter</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">that have materially affected, or are reasonably likely to materially affect, the registrant's</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">internal control over financial reporting.</FONT></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 3 &#150; Exhibits</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Certifications &#150; Attached hereto</FONT></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the undersigned, thereunto duly authorized.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Anne F. Ackerley</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Anne F. Ackerley</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: July 23, 2010</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Company Act of 1940, this report has been signed below by the following persons on behalf</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the registrant and in the capacities and on the dates indicated.</FONT></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Anne F. Ackerley</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Anne F. Ackerley</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer (principal executive officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: July 23, 2010</FONT></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Neal J. Andrews</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Financial Officer (principal financial officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></P>
<P align="left">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: July 23, 2010</FONT></P>

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<P align="left"> <B><FONT size=2 face="Arial-BoldMT,Arial,Helvetica,sans-serif">EX-99.CERT</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">THE SARBANES-OXLEY ACT OF 2002</FONT></B></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">I, Anne F. Ackerley, Chief Executive Officer (principal executive officer) of BlackRock Floating Rate Income Strategies</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Fund, Inc., certify that:</FONT></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1. I have reviewed this report on Form N-Q of BlackRock Floating Rate Income Strategies Fund, Inc.;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a</FONT></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">material fact necessary to make the statements made, in light of the circumstances under which such statements were made,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">not misleading with respect to the period covered by this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the investments of the registrant as of the end of the fiscal quarter for which the report is filed;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">designed under our supervision, to ensure that material information relating to the registrant, including its</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">which this report is being prepared;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) designed such internal control over financial reporting, or caused such internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial reporting and the preparation of financial statements for external purposes in accordance with generally</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">accepted accounting principles;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">days prior to the filing date of this report, based on such evaluation; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">d) disclosed in this report any change in the registrant's internal control over financial reporting that</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">materially affect, the registrant's internal control over financial reporting; and</FONT></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the registrant's board of directors (or persons performing the equivalent functions):</FONT></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">summarize, and report financial information; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) any fraud, whether or not material, that involves management or other employees who have a significant</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">role in the registrant's internal control over financial reporting.</FONT></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: July </FONT><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">23, </FONT><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2010</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Anne F. Ackerley</FONT></U></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Anne F. Ackerley</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer (principal executive officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></P>
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<P align="left"> <B><FONT size=2 face="Arial-BoldMT,Arial,Helvetica,sans-serif">EX-99.CERT</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">THE SARBANES-OXLEY ACT OF 2002</FONT></B></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">I, Neal J. Andrews, Chief Financial Officer (principal financial officer) of BlackRock Floating Rate Income Strategies</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Fund, Inc., certify that:</FONT></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1. I have reviewed this report on Form N-Q of BlackRock Floating Rate Income Strategies Fund, Inc.;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a</FONT></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">material fact necessary to make the statements made, in light of the circumstances under which such statements were made,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">not misleading with respect to the period covered by this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the investments of the registrant as of the end of the fiscal quarter for which the report is filed;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">designed under our supervision, to ensure that material information relating to the registrant, including its</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">which this report is being prepared;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) designed such internal control over financial reporting, or caused such internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial reporting and the preparation of financial statements for external purposes in accordance with generally</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">accepted accounting principles;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">days prior to the filing date of this report, based on such evaluation; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">d) disclosed in this report any change in the registrant's internal control over financial reporting that</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">materially affect, the registrant's internal control over financial reporting; and</FONT></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the registrant's board of directors (or persons performing the equivalent functions):</FONT></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">summarize, and report financial information; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) any fraud, whether or not material, that involves management or other employees who have a significant</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">role in the registrant's internal control over financial reporting.</FONT></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: July </FONT><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">23, </FONT><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2010</FONT><BR>
<BR>
<U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/s/ Neal J. Andrews</FONT></U></P>
<P align="left"> <FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Financial Officer (principal financial officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Floating Rate Income Strategies Fund, Inc.</FONT></P>
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