UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-08603

 

Name of Fund: BlackRock Debt Strategies Fund, Inc. (DSU)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Debt Strategies Fund, Inc., 55 East 52nd Street, New York, NY 10055

 

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

 

Date of fiscal year end: 02/28/2011

 

Date of reporting period: 05/31/2011

 

Item 1 – Schedule of Investments

 

 

 

 

Schedule of Investments May 31, 2011 (Unaudited)

BlackRock Debt Strategies Fund, Inc. (DSU)
 (Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

Par
(000)

 

Value

 

ARES CLO Funds, Series 2005-
10A, Class B, 0.64%,
9/18/17 (a)(b)

 

USD

1,250

 

$

1,109,487

 

Ballyrock CDO Ltd., Series 2006-
1A, Class B, 0.60%,
8/28/19 (a)(b)

 

 

1,000

 

 

882,500

 

CSAM Funding, Series 2A,
Class B1, 7.05%, 10/15/16

 

 

625

 

 

631,250

 

Canaras Summit CLO Ltd.,
Series 2007-1A, Class B, 0.73%,
6/19/21 (a)(b)

 

 

1,225

 

 

1,034,206

 

Gannett Peak CLO Ltd.,
Series 2006-1X, Class A2,
0.66%, 10/27/20 (b)

 

 

940

 

 

808,400

 

Greyrock CDO Ltd., Series 2005-
1X, Class A2L, 0.68%,
11/15/17 (b)

 

 

1,980

 

 

1,739,034

 

Portola CLO Ltd., Series 2007-1X,
Class B1, 1.76%, 11/15/21 (b)

 

 

1,245

 

 

1,120,500

 

T2 Income Fund CLO Ltd.,
Series 2007-1A, Class B, 0.88%,
7/15/19 (a)(b)

 

 

1,075

 

 

972,639

 

Total Asset-Backed Securities – 1.8%

 

 

 

 

 

8,298,016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

 

Shares

 

 

 

 

Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

339,340

 

 

130,273

 

Wellman Holdings, Inc.

 

 

906

 

 

2,944

 

Wellman, Inc. (d) (acquired
1/30/09, cost $1,027)

 

 

4,467

 

 

14,518

 

 

 

 

 

 

 

147,735

 

Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Smurfit Kappa Plc

 

 

36,342

 

 

450,824

 

Diversified Financial Services — 1.4%

 

 

 

 

 

 

 

Preferred Term Securities VI,
Ltd. (a)

 

 

35,000

 

 

1,750

 

Kcad Holdings I Ltd.

 

 

493,499,609

 

 

6,795,489

 

 

 

 

 

 

 

6,797,239

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd.

 

 

286,757

 

 

4,875

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.

 

 

2,753

 

 

11,012

 

HRP PIK Corp., Class B (a)

 

 

5,000

 

 

50

 

 

 

 

 

 

 

11,062

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

 

Shares

 

Value

 

Metals & Mining — 0.2%

 

 

 

 

 

 

 

Euramax International

 

 

2,337

 

$

736,249

 

Paper & Forest Products — 1.1%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

294,149

 

 

910,819

 

Ainsworth Lumber Co. Ltd. (a)

 

 

1,233,901

 

 

3,820,718

 

Western Forest Products, Inc. (a)

 

 

211,149

 

 

193,964

 

 

 

 

 

 

 

4,925,501

 

Semiconductors & Semiconductor Equipment — 0.0%

 

 

 

 

 

 

 

SunPower Corp., Class B

 

 

4,892

 

 

101,705

 

Software — 0.2%

 

 

 

 

 

 

 

Bankruptcy Management
Solutions, Inc.

 

 

1,870

 

 

19

 

HMH Holdings/EduMedia

 

 

159,199

 

 

795,995

 

 

 

 

 

 

 

796,014

 

Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc.

 

 

503,737

 

 

504

 

Total Common Stocks – 3.0%

 

 

 

 

 

13,971,708

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

 

Aerospace & Defense — 0.8%

 

 

 

 

 

 

 

Bombardier, Inc., 7.75%,
3/15/20 (a)

 

USD

1,750

 

 

1,977,500

 

Kratos Defense & Security
Solutions, Inc.:

 

 

 

 

 

 

 

10.00%, 6/01/17

 

 

1,000

 

 

1,100,000

 

10.00%, 6/01/17 (a)

 

 

684

 

 

752,400

 

 

 

 

 

 

 

3,829,900

 

Airlines — 0.6%

 

 

 

 

 

 

 

Air Canada, 9.25%, 8/01/15 (a)

 

 

1,060

 

 

1,101,075

 

Delta Air Lines, Inc., Series B,
9.75%, 12/17/16

 

 

902

 

 

955,902

 

United Air Lines, Inc., 12.75%,
7/15/12

 

 

786

 

 

859,320

 

 

 

 

 

 

 

2,916,297

 

Auto Components — 1.5%

 

 

 

 

 

 

 

B-Corp Merger Sub, Inc., 8.25%,
6/01/19 (a)(e)

 

 

170

 

 

171,912

 

Delphi Corp., 6.13%, 5/15/21 (a)

 

 

560

 

 

560,000

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

320

 

 

328,800

 

8.00%, 1/15/18

 

 

5,260

 

 

5,417,800

 

Pittsburgh Glass Works LLC,
8.50%, 4/15/16 (a)

 

 

260

 

 

269,750

 

 

 

Portfolio Abbreviations

 

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

 

 

CAD

Canadian Dollar

EUR

Euro

FKA

Formerly Known As

GBP

British Pound

USD

US Dollar

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2011

1


 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)
 (Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

Auto Components (concluded)

 

 

 

 

 

 

 

Venture Holdings Co. LLC (c)(f):

 

 

 

 

 

 

 

12.00%, 6/01/09

 

USD

4,450

 

$

445

 

Series B, 9.50%, 7/01/05

 

 

1,800

 

 

180

 

 

 

 

 

 

 

6,748,887

 

Beverages — 0.1%

 

 

 

 

 

 

 

Crown European Holdings SA,
7.13%, 8/15/18 (a)

 

EUR

410

 

 

616,582

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

QHP Pharma, 10.25%, 3/15/15
(a)

 

USD

362

 

 

369,109

 

Building Products — 0.8%

 

 

 

 

 

 

 

Associated Materials LLC, 9.13%,
11/01/17 (a)

 

 

370

 

 

382,487

 

Building Materials Corp. of America (a):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

940

 

 

982,300

 

6.75%, 5/01/21

 

 

790

 

 

795,925

 

Momentive Performance Materials,
Inc., 9.00%, 1/15/21 (a)

 

 

1,445

 

 

1,546,150

 

 

 

 

 

 

 

3,706,863

 

Capital Markets — 0.7%

 

 

 

 

 

 

 

American Capital Ltd., 7.96%,
12/31/13 (g)

 

 

1,175

 

 

1,208,276

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17 (h)

 

 

230

 

 

276,575

 

4.01%, 8/31/19 (a)(i)(j)

 

 

593

 

 

906,549

 

KKR Group Finance Co., 6.38%,
9/29/20 (a)

 

 

540

 

 

576,079

 

 

 

 

 

 

 

2,967,479

 

Chemicals — 4.2%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%,
2/01/15

 

 

1,490

 

 

1,460,200

 

American Rock Salt Co. LLC,
8.25%, 5/01/18 (a)

 

 

224

 

 

226,800

 

Celanese US Holdings LLC, 5.88%,
6/15/21

 

 

570

 

 

582,825

 

GEO Specialty Chemicals, Inc. (a):

 

 

 

 

 

 

 

7.50%, 3/31/15 (h)(i)

 

 

4,171

 

 

4,170,787

 

10.00%, 3/31/15

 

 

4,106

 

 

3,797,680

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

8.88%, 2/01/18

 

 

1,330

 

 

1,428,088

 

9.00%, 11/15/20

 

 

670

 

 

720,250

 

Huntsman International LLC,
8.63%, 3/15/21

 

 

600

 

 

671,250

 

OXEA Finance/Cy SCA, 9.50%,
7/15/17 (a)

 

 

465

 

 

514,406

 

Omnova Solutions, Inc., 7.88%,
11/01/18 (a)

 

 

725

 

 

733,156

 

Wellman Holdings, Inc., Subordinate
Note (h):

 

 

 

 

 

 

 

(Second Lien), 10.00%,
1/29/19

 

 

2,978

 

 

4,139,420

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

Chemicals (concluded)

 

 

 

 

 

 

 

Wellman Holdings, Inc., Subordinate
Note (i) (concluded):

 

 

 

 

 

 

 

(Third Lien), 5.00%,
1/29/19 (h)

 

USD

1,002

 

$

711,478

 

 

 

 

 

 

 

19,156,340

 

Commercial Banks — 2.0%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/14

 

 

229

 

 

232,361

 

7.00%, 5/01/16

 

 

2,655

 

 

2,664,956

 

7.00%, 5/01/17

 

 

6,370

 

 

6,393,888

 

 

 

 

 

 

 

9,291,205

 

Commercial Services & Supplies — 1.0%

 

 

 

 

 

 

 

AWAS Aviation Capital Ltd., 7.00%,
10/15/16 (a)

 

 

842

 

 

873,127

 

Brickman Group Holdings, Inc.,
9.13%, 11/01/18 (a)

 

 

865

 

 

897,438

 

The Geo Group, Inc., 7.75%,
10/15/17

 

 

850

 

 

911,625

 

Mobile Mini, Inc., 7.88%,
12/01/20 (a)

 

 

640

 

 

676,800

 

RSC Equipment Rental, Inc.,
10.00%, 7/15/17 (a)

 

 

970

 

 

1,099,737

 

West Corp., 8.63%, 10/01/18 (a)

 

 

315

 

 

331,931

 

 

 

 

 

 

 

4,790,658

 

Communications Equipment — 0.5%

 

 

 

 

 

 

 

Avaya, Inc.:

 

 

 

 

 

 

 

9.75%, 11/01/15

 

 

360

 

 

373,950

 

10.13%, 11/01/15 (h)

 

 

1,070

 

 

1,112,800

 

7.00%, 4/01/19 (a)

 

 

255

 

 

249,263

 

EH Holding Corp., 6.50%,
6/15/19 (a)(e)

 

 

600

 

 

606,750

 

 

 

 

 

 

 

2,342,763

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

Nortek, Inc., 10.00%, 12/01/18
(a)

 

 

880

 

 

915,200

 

Consumer Finance — 0.8%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%,
2/01/17

 

 

570

 

 

618,450

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.03%, 1/13/12 (b)

 

 

2,680

 

 

2,696,991

 

7.00%, 4/15/15

 

 

280

 

 

305,872

 

6.63%, 8/15/17

 

 

148

 

 

161,303

 

 

 

 

 

 

 

3,782,616

 

Containers & Packaging — 2.4%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc,
7.38%, 10/15/17 (a)

 

EUR

485

 

 

717,157

 

Ball Corp., 6.75%, 9/15/20

 

USD

625

 

 

664,844

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.25%, 11/15/15

 

 

2,100

 

 

2,252,250

 

9.75%, 1/15/21

 

 

1,145

 

 

1,146,431

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2011

2


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Containers & Packaging (concluded)

 

 

 

 

 

 

 

Beverage Packaging Holdings
Luxembourg II SA, 8.00%,
12/15/16

 

EUR

260

 

$

368,554

 

Smurfit Kappa Acquisitions:

 

 

 

 

 

 

 

7.25%, 11/15/17 (a)

 

 

830

 

 

1,233,272

 

7.75%, 11/15/19

 

 

2,300

 

 

3,450,601

 

7.75%, 11/15/19 (a)

 

 

785

 

 

1,177,705

 

 

 

 

 

 

 

11,010,814

 

Diversified Financial
Services — 3.5%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

5.38%, 6/06/11

 

USD

436

 

 

627,447

 

7.50%, 12/31/13

 

 

90

 

 

97,200

 

8.30%, 2/12/15

 

 

1,330

 

 

1,482,950

 

8.00%, 3/15/20

 

 

170

 

 

187,638

 

7.50%, 9/15/20

 

 

1,990

 

 

2,141,737

 

8.00%, 11/01/31

 

 

1,530

 

 

1,678,852

 

8.00%, 11/01/31

 

 

3,660

 

 

4,053,450

 

Archimedes Funding III Ltd.,
5.50%, 11/29/11 (a)

 

 

2,636

 

 

711,696

 

Axcan Intermediate Holdings, Inc.,
12.75%, 3/01/16

 

 

665

 

 

733,163

 

Reynolds Group DL Escrow,
Inc. (a):

 

 

 

 

 

 

 

8.50%, 10/15/16

 

 

1,130

 

 

1,209,100

 

8.50%, 10/15/16

 

EUR

221

 

 

333,545

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

8.50%, 10/15/16

 

 

650

 

 

981,016

 

7.13%, 4/15/19

 

USD

205

 

 

213,200

 

6.88%, 2/15/21

 

 

920

 

 

948,750

 

8.25%, 2/15/21

 

 

800

 

 

814,000

 

 

 

 

 

 

 

16,213,744

 

Diversified Telecommunication
Services — 1.1%

 

 

 

 

 

 

 

ITC Deltacom, Inc., 10.50%,
4/01/16

 

 

1,010

 

 

1,090,800

 

Level 3 Escrow, Inc., 8.13%,
7/01/19 (a)(e)

 

 

920

 

 

929,200

 

Level 3 Financing, Inc., 8.75%,
2/15/17

 

 

2,160

 

 

2,224,800

 

tw telecom Holdings, Inc., 8.00%,
3/01/18

 

 

690

 

 

749,512

 

 

 

 

 

 

 

4,994,312

 

Electric Utilities — 0.2%

 

 

 

 

 

 

 

IPALCO Enterprises, Inc., 7.25%,
4/01/16 (a)

 

 

775

 

 

869,938

 

Electronic Equipment, Instruments &
Components — 0.2%

 

 

 

 

 

 

 

CDW LLC, 8.00%, 12/15/18 (a)

 

 

820

 

 

879,450

 

Muzak Holdings, LLC, 13.00%,
3/15/10 (c)(f)

 

 

2,675

 

 

268

 

 

 

 

 

 

 

879,718

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Energy Equipment &
Services — 0.8%

 

 

 

 

 

 

 

Compagnie Generale de
Geophysique-Veritas, 7.50%,
5/15/15

 

USD

155

 

$

158,875

 

Frac Tech Services LLC, 7.13%,
11/15/18 (a)

 

 

1,190

 

 

1,261,400

 

Key Energy Services, Inc., 6.75%,
3/01/21

 

 

740

 

 

749,250

 

MEG Energy Corp., 6.50%,
3/15/21 (a)

 

 

950

 

 

957,125

 

Oil States International, Inc.,
6.50%, 6/01/19 (a)(e)

 

 

645

 

 

649,031

 

 

 

 

 

 

 

3,775,681

 

Food & Staples Retailing — 0.5%

 

 

 

 

 

 

 

BI-LO LLC, 9.25%, 2/15/19 (a)

 

 

400

 

 

414,000

 

Rite Aid Corp., 9.75%, 6/12/16

 

 

1,590

 

 

1,776,825

 

 

 

 

 

 

 

2,190,825

 

Food Products — 0.4%

 

 

 

 

 

 

 

Blue Merger Sub, Inc., 7.63%,
2/15/19 (a)

 

 

1,730

 

 

1,765,681

 

JBS USA LLC, 7.25%, 6/01/21 (a)

 

 

210

 

 

205,800

 

 

 

 

 

 

 

1,971,481

 

Gas Utilities — 0.1%

 

 

 

 

 

 

 

Targa Resources Partners LP,
6.88%, 2/01/21 (a)

 

 

485

 

 

483,181

 

Health Care Equipment &
Supplies — 0.5%

 

 

 

 

 

 

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

1,270

 

 

1,371,600

 

7.75%, 4/15/18 (a)

 

 

1,020

 

 

1,048,050

 

 

 

 

 

 

 

2,419,650

 

Health Care Providers &
Services — 1.8%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP,
7.75%, 2/15/19 (a)

 

 

455

 

 

465,238

 

Crown Newco 3 Plc, 7.00%,
2/15/18 (a)

 

GBP

108

 

 

177,660

 

HCA, Inc.:

 

 

 

 

 

 

 

7.88%, 2/15/20

 

USD

1,210

 

 

1,330,244

 

7.25%, 9/15/20

 

 

265

 

 

288,850

 

inVentiv Health, Inc., 10.00%,
8/15/18 (a)

 

 

405

 

 

421,706

 

Omnicare, Inc., 6.88%, 12/15/15

 

 

1,055

 

 

1,084,012

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

680

 

 

740,350

 

8.88%, 7/01/19

 

 

3,280

 

 

3,649,000

 

 

 

 

 

 

 

8,157,060

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%,
3/01/18 (a)

 

 

3,205

 

 

3,813,950

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2011

3


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Technology (concluded)

 

 

 

 

 

 

 

MedAssets, Inc., 8.00%,
11/15/18 (a)

 

USD

620

 

$

639,375

 

 

 

 

 

 

 

4,453,325

 

Hotels, Restaurants &
Leisure — 1.2%

 

 

 

 

 

 

 

Caesars Entertainment Operating
Co., Inc., 10.00%, 12/15/18

 

 

460

 

 

425,500

 

Diamond Resorts Corp., 12.00%,
8/15/18 (a)

 

 

1,040

 

 

1,120,600

 

HRP Myrtle Beach Holdings LLC,
14.50%, 4/01/14 (a)(c)(f)

 

 

6,892

 

 

689

 

HRP Myrtle Beach Operations LLC
(a)(c)(f):

 

 

 

 

 

 

 

7.38%, 4/01/12

 

 

5,000

 

 

500

 

11.89%, 4/01/13

 

 

5,000

 

 

500

 

Little Traverse Bay Bands of
Odawa Indians, 9.00%, 8/31/20
(a)

 

 

609

 

 

548,100

 

MGM Resorts International,
11.13%, 11/15/17

 

 

1,340

 

 

1,554,400

 

Travelport LLC, 4.94%, 9/01/14
(b)

 

 

2,160

 

 

1,879,200

 

Tropicana Entertainment LLC,
Series WI, 9.63%, 12/15/14
(c)(f)

 

 

530

 

 

53

 

 

 

 

 

 

 

5,529,542

 

Household Durables — 1.0%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

12.00%, 10/15/17

 

 

1,700

 

 

1,921,000

 

9.13%, 6/15/18

 

 

185

 

 

175,750

 

Jarden Corp., 7.50%, 5/01/17

 

 

835

 

 

889,275

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

8.38%, 5/15/18

 

 

530

 

 

539,275

 

8.38%, 1/15/21

 

 

1,280

 

 

1,283,200

 

 

 

 

 

 

 

4,808,500

 

IT Services — 0.9%

 

 

 

 

 

 

 

Eagle Parent Canada, Inc., 8.63%,
5/01/19 (a)

 

 

1,320

 

 

1,334,850

 

First Data Corp.:

 

 

 

 

 

 

 

9.88%, 9/24/15

 

 

110

 

 

113,300

 

7.38%, 6/15/19 (a)

 

 

1,480

 

 

1,505,900

 

12.63%, 1/15/21 (a)

 

 

1,064

 

 

1,157,100

 

 

 

 

 

 

 

4,111,150

 

Independent Power Producers &
Energy Traders — 2.6%

 

 

 

 

 

 

 

AES Corp., 9.75%, 4/15/16

 

 

805

 

 

931,787

 

Calpine Corp., 7.50%, 2/15/21 (a)

 

 

945

 

 

982,800

 

Energy Future Holdings Corp.,
10.00%, 1/15/20

 

 

3,190

 

 

3,453,679

 

Energy Future Intermediate
Holding Co. LLC, 10.00%,
12/01/20

 

 

2,515

 

 

2,735,460

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Independent Power Producers & Energy
Traders (concluded)

 

 

 

 

 

 

 

NRG Energy, Inc., 7.63%,
1/15/18 (a)

 

USD

3,760

 

$

3,797,600

 

 

 

 

 

 

 

11,901,326

 

Industrial Conglomerates — 1.6%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,850

 

 

3,049,500

 

13.50%, 12/01/15 (h)

 

 

4,023

 

 

4,304,444

 

 

 

 

 

 

 

7,353,944

 

Insurance — 0.6%

 

 

 

 

 

 

 

CNO Financial Group, Inc., 9.00%,
1/15/18 (a)

 

 

1,749

 

 

1,888,920

 

Genworth Financial, Inc., 7.63%,
9/24/21

 

 

700

 

 

730,266

 

 

 

 

 

 

 

2,619,186

 

Machinery — 0.3%

 

 

 

 

 

 

 

Navistar International Corp.,
8.25%, 11/01/21

 

 

310

 

 

340,613

 

Titan International, Inc., 7.88%,
10/01/17 (a)

 

 

940

 

 

1,010,500

 

 

 

 

 

 

 

1,351,113

 

Media — 6.3%

 

 

 

 

 

 

 

CCH II LLC, 13.50%, 11/30/16

 

 

1,300

 

 

1,547,000

 

CCO Holdings LLC:

 

 

 

 

 

 

 

7.25%, 10/30/17

 

 

510

 

 

530,400

 

7.88%, 4/30/18

 

 

1,075

 

 

1,139,500

 

CSC Holdings, Inc., 8.50%,
4/15/14

 

 

680

 

 

761,600

 

Cengage Learning Acquisitions,
Inc., 10.50%, 1/15/15 (a)

 

 

1,405

 

 

1,334,750

 

Checkout Holding Corp., 10.69%,
11/15/15 (a)(j)

 

 

1,425

 

 

936,938

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

639

 

 

696,510

 

Series B, 9.25%, 12/15/17

 

 

5,422

 

 

5,923,535

 

DISH DBS Corp.:

 

 

 

 

 

 

 

7.00%, 10/01/13

 

 

3,000

 

 

3,232,500

 

6.75%, 6/01/21 (a)

 

 

650

 

 

656,500

 

Interactive Data Corp., 10.25%,
8/01/18 (a)

 

 

1,715

 

 

1,907,937

 

Kabel BW Erste Beteiligungs
GmbH, 7.50%, 3/15/19 (a)

 

 

1,040

 

 

1,082,900

 

NAI Entertainment Holdings LLC,
8.25%, 12/15/17 (a)

 

 

1,020

 

 

1,101,600

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

1,239

 

 

1,458,922

 

7.75%, 10/15/18 (a)

 

 

1,235

 

 

1,324,538

 

ProQuest LLC, 9.00%, 10/15/18
(a)

 

 

415

 

 

430,044

 

Regal Entertainment Group,
9.13%, 8/15/18

 

 

640

 

 

680,000

 

UPC Germany GmbH, 8.13%,
12/01/17 (a)

 

 

3,000

 

 

3,187,500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2011

4


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Ziggo Finance BV, 6.13%,
11/15/17 (a)

 

EUR

655

 

$

947,323

 

 

 

 

 

 

 

28,879,997

 

Metals & Mining — 1.8%

 

 

 

 

 

 

 

Drummond Co., Inc., 9.00%,
10/15/14 (a)

 

USD

1,056

 

1,108,800

 

FMG Resources August 2006
Property Ltd., 7.00%,
11/01/15 (a)

 

 

2,070

 

2,152,800

 

JMC Steel Group, 8.25%,
3/15/18 (a)

 

 

630

 

650,475

 

Novelis, Inc., 8.75%, 12/15/20 (a)

 

 

3,855

 

 

4,259,775

 

RathGibson, Inc., 11.25%,
2/15/14 (c)(f)

 

 

4,440

 

444

 

 

 

 

 

 

 

8,172,294

 

Multiline Retail — 0.4%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%,
7/15/17 (h)

 

 

1,775

 

2,027,938

 

Oil, Gas & Consumable Fuels — 6.8%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc. (e):

 

 

 

 

 

 

 

6.00%, 6/01/19

 

 

585

 

 

588,656

 

6.25%, 6/01/21

 

 

730

 

 

742,775

 

Arch Coal, Inc., 7.25%, 10/01/20

 

 

1,530

 

 

1,614,150

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

2,147

 

 

2,257,034

 

6.13%, 2/15/21

 

 

1,100

 

 

1,119,250

 

Coffeyville Resources LLC, 9.00%,
4/01/15 (a)

 

 

436

 

473,060

 

Consol Energy, Inc.:

 

 

 

 

 

 

 

8.25%, 4/01/20

 

 

1,750

 

 

1,942,500

 

6.38%, 3/01/21 (a)

 

 

820

 

 

828,200

 

Crosstex Energy LP, 8.88%,
2/15/18

 

 

100

 

108,500

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

9.75%, 3/01/16

 

 

925

 

 

1,040,625

 

8.25%, 2/15/20

 

 

670

 

 

740,350

 

6.38%, 8/15/21

 

 

570

 

 

577,125

 

El Paso Corp., 7.00%, 6/15/17

 

 

1,575

 

 

1,826,038

 

Energy Transfer Equity LP, 7.50%,
10/15/20

 

 

240

 

261,600

 

Energy XXI Gulf Coast, Inc., 7.75%,
6/15/19 (a)

 

 

1,300

 

1,306,500

 

Forest Oil Corp., 8.50%, 2/15/14

 

 

470

 

 

520,525

 

Hilcorp Energy I LP, 7.63%,
4/15/21 (a)

 

 

2,165

 

2,284,075

 

Linn Energy LLC:

 

 

 

 

 

 

 

8.63%, 4/15/20

 

 

1,115

 

 

1,220,925

 

7.75%, 2/01/21 (a)

 

 

2,165

 

 

2,284,075

 

Niska Gas Storage US LLC,
8.88%, 3/15/18

 

 

1,600

 

1,720,000

 

OGX Petroleo e Gas Participacoes
SA, 8.50%, 6/01/18 (a)(e)

 

 

3,215

 

3,290,552

 

Oasis Petroleum, Inc., 7.25%,
2/01/19 (a)

 

 

375

 

377,813

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Petrohawk Energy Corp., 6.25%,
6/01/19 (a)

 

USD

920

 

$

908,500

 

Range Resources Corp., 5.75%,
6/01/21

 

 

1,230

 

1,225,387

 

SandRidge Energy, Inc., 7.50%,
3/15/21 (a)

 

 

825

 

853,875

 

Titan Petrochemicals Group Ltd.,
8.50%, 3/18/12 (a)

 

 

1,760

 

1,372,800

 

 

 

 

 

 

 

31,484,890

 

Paper & Forest Products — 2.7%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.,
11.00%, 7/29/15 (a)(h)

 

 

4,420

 

4,375,305

 

Clearwater Paper Corp., 10.63%,
6/15/16

 

 

640

 

724,800

 

Georgia-Pacific LLC, 8.25%,
5/01/16 (a)

 

 

2,950

 

3,348,250

 

NewPage Corp., 11.38%,
12/31/14

 

 

2,615

 

2,523,475

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14

 

 

510

 

 

553,350

 

Series B, 4.02%, 8/01/14 (b)

 

 

890

 

 

856,625

 

 

 

 

 

 

 

12,381,805

 

Pharmaceuticals — 0.4%

 

 

 

 

 

 

 

Valeant Pharmaceuticals International (a):

 

 

 

 

 

 

 

6.50%, 7/15/16

 

 

1,355

 

 

1,348,225

 

6.75%, 10/01/17

 

 

170

 

 

168,300

 

7.00%, 10/01/20

 

 

160

 

 

156,800

 

 

 

 

 

 

 

1,673,325

 

Professional Services — 0.1%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%,
10/01/20 (a)

 

 

560

 

571,200

 

Real Estate Investment Trusts (REITs) — 0.8%

 

 

 

 

 

 

 

FelCor Lodging LP, 6.75%,
6/01/19 (a)

 

 

1,825

 

1,815,875

 

Longview Fibre Paper & Packaging,
Inc., 8.00%, 6/01/16 (a)

 

 

280

 

284,200

 

Omega Healthcare Investors, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/20

 

 

1,010

 

 

1,075,650

 

6.75%, 10/15/22 (a)

 

 

450

 

 

448,875

 

 

 

 

 

 

 

3,624,600

 

Real Estate Management & Development — 1.0%

 

 

 

 

 

 

 

Realogy Corp. (a):

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

1,295

 

 

1,366,225

 

12.00%, 4/15/17

 

 

485

 

 

508,038

 

7.88%, 2/15/19

 

 

2,300

 

 

2,311,500

 

Shea Homes LP, 8.63%, 5/15/19
(a)

 

 

610

 

616,862

 

 

 

 

 

 

 

4,802,625

 

Road & Rail — 1.2%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC,
8.25%, 1/15/19

 

 

1,805

 

1,870,431

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2011

5


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Road & Rail (concluded)

 

 

 

 

 

 

 

Florida East Coast Railway Corp.,
8.13%, 2/01/17 (a)

 

USD

370

 

$

385,725

 

The Hertz Corp. (a):

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

1,750

 

 

1,837,500

 

6.75%, 4/15/19

 

 

730

 

 

737,300

 

7.38%, 1/15/21

 

 

810

 

 

838,350

 

 

 

 

 

 

 

5,669,306

 

Specialty Retail — 0.3%

 

 

 

 

 

 

 

United Auto Group, Inc., 7.75%,
12/15/16

 

 

1,275

 

1,313,250

 

Textiles, Apparel & Luxury Goods — 0.1%

 

 

 

 

 

 

 

Phillips-Van Heusen Corp., 7.75%,
11/15/23

 

 

410

 

458,863

 

Transportation Infrastructure — 0.1%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18 (a)

 

 

353

 

 

360,943

 

Wireless Telecommunication Services — 2.5%

 

 

 

 

 

 

 

Cricket Communications, Inc.,
7.75%, 5/15/16

 

 

3,050

 

3,240,625

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

9.13%, 1/15/15

 

 

3,948

 

 

4,076,310

 

8.25%, 9/01/17

 

 

810

 

 

850,500

 

Intelsat Jackson Holdings SA,
7.25%, 10/15/20 (a)

 

 

980

 

982,450

 

Nextel Communications, Inc.,
Series E, 6.88%, 10/31/13

 

 

815

 

822,131

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

8.38%, 3/15/12

 

 

625

 

 

654,688

 

6.88%, 11/15/28

 

 

1,010

 

 

979,700

 

 

 

 

 

 

 

11,606,404

 

Total Corporate Bonds – 58.5%

 

 

 

 

 

269,555,829

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

 

 

 

 

 

 

Aerospace & Defense — 0.5%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co., LLC:

 

 

 

 

 

 

 

Letter of Credit Linked
Deposit, 2.31%, 3/26/14

 

 

53

 

46,618

 

Term Loan, B.19%, 3/26/14

 

 

939

 

 

823,769

 

TransDigm, Inc., Term Loan (First
Lien), 4.00% - 5.25%, 2/14/17

 

 

1,496

 

1,501,861

 

 

 

 

 

 

 

2,372,248

 

Airlines — 0.7%

 

 

 

 

 

 

 

Delta Air Lines, Inc.:

 

 

 

 

 

 

 

Credit New Term Loan B,
5.50%, 4/20/17

 

 

3,000

 

2,968,125

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Auto Components — 0.9%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term
Loan, 2.96%, 8/07/14

 

USD

2,142

 

$

2,126,135

 

Armored Auto Group, Inc. (FKA
Viking Acquisition, Inc.), Term
Loan B, 6.00%, 11/04/16

 

 

1,815

 

1,815,450

 

 

 

 

 

 

 

3,941,585

 

Biotechnology — 0.2%

 

 

 

 

 

 

 

Grifols SA, Term Loan B, 6.00%,
11/23/16

 

 

905

 

911,976

 

Building Products — 1.6%

 

 

 

 

 

 

 

CPG International I, Inc., Term
Loan B, 6.00%, 2/18/17

 

 

1,197

 

1,199,245

 

Goodman Global, Inc.:

 

 

 

 

 

 

Initial Term Loan (First Lien),
5.75%, 10/28/16

 

 

3,234

 

3,253,495

 

Term Loan (Second Lien),
9.00%, 10/30/17

 

 

1,200

 

1,235,700

 

Momentive Performance Materials
(Blitz 06-103 GmbH), Tranche B-
2B Term Loan, 4.45%, 5/05/15

 

EUR

1,067

 

1,511,024

 

 

 

 

 

 

 

7,199,464

 

Capital Markets — 1.0%

 

 

 

 

 

 

 

HarbourVest Partners, Term Loan,
6.25%, 12/14/16

 

USD

1,896

 

1,905,103

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

Extended Term Loan (First
Lien), 3.27%, 11/13/14

 

 

968

 

952,295

 

Non-Extended Term Loan (First
Lien), 5.76%, 5/13/17

 

 

1,682

 

1,688,220

 

 

 

 

 

 

 

4,545,618

 

Chemicals — 4.7%

 

 

 

 

 

 

 

AZ Chemical Inc.,, Term Loan B,
4.75%, 11/21/16

 

 

1,065

 

1,069,344

 

American Rock Salt Holdings LLC,
Term Loan, 5.50%, 4/19/17

 

 

2,270

 

2,282,769

 

Chemtura Corp., Exit Term Loan,
5.50%, 8/27/16

 

 

1,300

 

1,306,500

 

Gentek, Inc., Tranche B Term Loan,
6.75%, 3/03/17

 

 

2,562

 

2,564,259

 

MDI Holdings, LLC (FKA
MacDermid, Inc.), Tranche C
Term Loan, 3.43%, 4/11/14

 

EUR

650

 

916,335

 

Nexeo Solutions, LLC, Term Loan
B, 5.00%, 9/08/17

 

USD

1,625

 

1,624,493

 

PQ Corp. (FKA Niagara Acquisition,
Inc.), Original Term Loan Facility
(First Lien), 3.53%, 7/30/14

 

 

2,266

 

2,210,351

 

Styron Sarl, Term Loan B, 6.00%,
8/02/17

 

 

2,793

 

2,807,962

 

Tronox Worldwide LLC, Exit Term
Loan, 7.00%, 10/15/15

 

 

4,454

 

4,485,384

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2011

6


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Chemicals (concluded)

 

 

 

 

 

 

 

Univar, Inc., Term Loan B, 5.00%,
6/30/17

 

USD

2,394

 

$

2,392,717

 

 

 

 

 

 

 

21,660,114

 

Commercial Banks — 0.4%

 

 

 

 

 

 

 

CIT Group Inc., Tranche 3 Term
Loan, 6.25%, 8/11/15

 

 

1,792

 

1,809,520

 

Commercial Services & Supplies — 2.5%

 

 

 

 

 

 

 

ARAMARK Corp.:

 

 

 

 

 

 

 

Letter of Credit - 1 Facility,
2.12%, 1/27/14

 

 

28

 

27,160

 

Letter of Credit - 2 Facility,
3.49%, 7/26/16

 

 

29

 

28,764

 

US Term Loan, 2.18%,
1/27/14

 

 

342

 

337,153

 

US Term Loan B, 3.56%,
7/26/16

 

 

438

 

437,383

 

AWAS Finance Luxembourg Sarl,
Loan B, 7.75%, 6/10/16

 

 

813

 

828,645

 

Adesa, Inc. (KAR Holdings, Inc.),
Initial Term Loan B, 5.00%,
5/19/17

 

 

2,400

 

2,407,200

 

Altegrity, Inc. (FKA US
Investigations Services, Inc.),
Tranche D Term Loan, 7.75%,
2/21/15

 

 

2,978

 

3,001,692

 

Delos Aircraft, Inc., Term Loan 2,
7.00%, 3/17/16

 

 

975

 

976,741

 

Quad/Graphics, Inc., Term Loan,
5.50%, 4/14/16

 

 

943

 

942,090

 

Synagro Technologies, Inc., Term
Loan (First Lien), 2.20%,
4/02/14

 

 

881

 

830,335

 

Volume Services America, Inc.
(Centerplate), Term Loan B,
10.50%, 9/16/16

 

 

1,791

 

1,802,194

 

 

 

 

 

 

 

11,619,357

 

Communications Equipment — 1.3%

 

 

 

 

 

 

 

Avaya, Inc.:

 

 

 

 

 

 

 

Term Loan B, 3.01%,
10/26/14

 

 

1,837

 

1,772,396

 

Term Loan B-3, 4.76%,
10/26/17

 

 

2,943

 

2,864,353

 

CommScope, Inc., Term Loan B,
5.00%, 1/14/18

 

 

1,500

 

1,507,500

 

 

 

 

 

 

 

6,144,249

 

Construction & Engineering — 0.8%

 

 

 

 

 

 

 

BakerCorp., Inc., Term Loan B,
5.00%, 6/08/17

 

 

1,100

 

1,102,750

 

Safway Services, LLC, First Out
Tranche Loan, 9.00%, 12/16/17

 

 

2,750

 

2,750,000

 

 

 

 

 

 

 

3,852,750

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Consumer Finance — 0.9%

 

 

 

 

 

 

 

Springleaf Financial Funding Co.
(FKA AGFS Funding Co.), Term
Loan, 5.50%, 5/05/17

 

USD

4,250

 

$

4,243,362

 

Containers & Packaging — 0.4%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., Term
Loan C, 2.23%, 4/03/15

 

 

340

 

327,056

 

Graham Packaging Co., LP, Term
Loan D, 6.00%, 9/23/16

 

 

1,692

 

1,696,189

 

 

 

 

 

 

 

2,023,245

 

Diversified Consumer Services — 2.7%

 

 

 

 

 

 

 

Coinmach Service Corp., Term
Loan, 3.26%, 11/20/14

 

 

4,548

 

4,377,192

 

Laureate Education:

 

 

 

 

 

 

Closing Date Term Loan,
3.52%, 8/17/14

 

 

710

 

704,173

 

Delayed Draw Term Loan,
3.52%, 8/17/14

 

 

106

 

105,433

 

Series A New Term Loan,
7.00%, 8/31/14

 

 

4,317

 

4,328,198

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Closing Date Term Loan,
2.81%, 7/24/14

 

 

2,659

 

2,593,492

 

Delayed Draw Term Loan,
2.75%, 7/24/14

 

 

265

 

258,273

 

 

 

 

 

 

 

12,366,761

 

Diversified Financial Services — 0.7%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.,
Term Loan E, 4.25%, 2/09/18

 

 

3,000

 

2,998,125

 

Diversified Telecommunication Services — 0.8%

 

 

 

 

 

 

 

Hawaiian Telcom Communications,
Inc., Term Loan, 9.00%,
11/01/15

 

 

3,618

 

3,711,139

 

Electrical Equipment — 0.1%

 

 

 

 

 

 

 

Generac Acquisition Corp., Term
Loan (First Lien), 2.71%,
11/11/13

 

 

297

 

295,028

 

Electronic Equipment, Instruments & Components — 1.2%

 

 

 

 

 

 

 

Aeroflex Inc., Term Loan B, 4.25%,
5/09/18

 

 

1,800

 

1,800,000

 

CDW LLC (FKA CDW Corp.):

 

 

 

 

 

 

 

Extended Term Loan B, 4.50%,
7/14/17

 

 

1,781

 

1,774,799

 

Non-Extended Term Loan,
3.95%, 10/10/14

 

 

2,114

 

2,106,934

 

 

 

 

 

 

 

5,681,733

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2011

7


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Energy Equipment &
Services — 0.6%

 

 

 

 

 

 

 

MEG Energy Corp., Tranche D Term
Loan, 4.00%, 3/16/18

 

USD

2,700

 

$

2,705,484

 

Food & Staples Retailing — 2.1%

 

 

 

 

 

 

 

AB Acquisitions UK Topco 2 Ltd.
(FKA Alliance Boots), Facility B1,
3.59%, 7/05/15

 

GBP

3,000

 

 

4,811,623

 

Pilot Travel Centers LLC, Initial
Tranche B Term Loan, 4.25%,
3/30/18

 

USD

1,500

 

 

1,505,157

 

U.S. Foodservice, Inc.:

 

 

 

 

 

 

 

Term Loan B, 2.70%, 7/03/14

 

 

2,203

 

 

2,085,665

 

Term Loan 2, 5.75%, 5/25/17

 

 

1,300

 

 

1,278,333

 

 

 

 

 

 

 

9,680,778

 

Food Products — 3.4%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan,
(Second Lien):

 

 

 

 

 

 

 

7.00%, 9/30/16

 

 

2,886

 

 

2,901,131

 

11.25%, 9/29/17

 

 

1,800

 

 

1,829,250

 

Del Monte Corp., Term Loan B,
4.50%, 3/08/18

 

 

5,050

 

 

5,048,389

 

Green Mountain Coffee Roasters,
Inc., Term B Facility, 5.50%,
12/16/16

 

 

433

 

 

433,634

 

Michaels Foods Group, Inc. (FKA
M-Foods Holdings, Inc.), Term
Loan B, 4.25%, 2/23/18

 

 

1,160

 

 

1,163,738

 

Pinnacle Foods Finance LLC,
Tranche D Term Loan, 6.00%,
4/02/14

 

 

1,505

 

 

1,519,590

 

Solvest, Ltd. (Dole):

 

 

 

 

 

 

 

Tranche B-1 Term Loan,
5.50%, 3/02/17

 

 

776

 

 

779,141

 

Tranche C-1 Term Loan,
5.00%, 3/02/17

 

 

1,926

 

 

1,934,084

 

 

 

 

 

 

 

15,608,957

 

Health Care Equipment &
Supplies — 0.9%

 

 

 

 

 

 

 

DJO Finance LLC (FKA ReAble
Therapeutics Finance LLC), Term
Loan, 3.19%, 5/20/14

 

 

1,718

 

 

1,705,185

 

Iasis Healthcare LLC, Term Loan,
5.00%, 5/03/18

 

 

2,600

 

 

2,601,950

 

 

 

 

 

 

 

4,307,135

 

Health Care Providers & Services
— 3.7%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Non-Extended Delayed Draw
Term Loan, 2.50%, 7/25/14

 

 

72

 

 

69,965

 

Non-Extended Term Loan,
2.50%, 7/25/14

 

 

1,426

 

 

1,377,112

 

ConvaTec, Inc., Dollar Term Loan,
5.75%, 12/22/16

 

 

1,297

 

 

1,299,992

 

DaVita, Inc., Term Loan B, 4.50%,
10/20/16

 

 

1,995

 

 

2,006,222

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

 

Value

 

Health Care Providers & Services
(concluded)

 

 

 

 

 

 

 

Emergency Medical Services, Term
Loan, 5.25%, 5/02/18

 

USD

2,000

 

$

1,995,358

 

HCA, Inc.:

 

 

 

 

 

 

 

Tranche A-1 Term Loan,
1.56%, 11/19/12

 

 

1,329

 

 

1,321,455

 

Tranche B-1 Tern Loan, 2.56%,
11/18/13

 

 

245

 

 

243,570

 

Harden Healthcare, Inc.:

 

 

 

 

 

 

 

Tranche A Additional Term
Loan, 7.75%, 3/02/15

 

 

2,459

 

 

2,409,756

 

Tranche A Term Loan, 8.50%,
3/02/15

 

 

703

 

 

689,359

 

inVentiv Health, Inc. (FKA Ventive
Health, Inc.), Term Loan B,
4.75%, 8/04/16

 

 

3,019

 

 

3,024,185

 

Renal Advantage Holdings, Inc.,
Tranche B Term Loan, 5.75%,
12/16/16

 

 

1,297

 

 

1,304,044

 

Vanguard Health Holding Co. II,
LLC (Vanguard Health Systems,
Inc.), Initial Term Loan, 5.00%,
1/29/16

 

 

1,401

 

 

1,400,073

 

 

 

 

 

 

 

17,141,091

 

Health Care Technology — 0.7%

 

 

 

 

 

 

 

IMS Health, Inc., Tranche B Dollar
Term Loan, 4.50%, 8/25/17

 

 

2,180

 

 

2,184,175

 

MedAssets, Inc., Term Loan B,
5.25% - 6.00%, 11/16/16

 

 

988

 

 

993,360

 

 

 

 

 

 

 

3,177,535

 

Hotels, Restaurants &
Leisure — 5.4%

 

 

 

 

 

 

 

Blackstone UTP Capital LLC, Loan,
7.75%, 11/06/14

 

 

2,299

 

 

2,333,788

 

Dunkin’ Brands, Inc., Term Loan B,
4.25%, 11/23/17

 

 

2,893

 

 

2,894,558

 

Gateway Casinos & Entertainment,
Ltd., Term Loan B, 6.50%,
4/20/16

 

CAD

1,097

 

 

1,135,352

 

Golden Living, Term Loan, 5.00%,
5/04/18

 

USD

2,100

 

 

2,066,400

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 3.27%,
1/28/15

 

 

1,424

 

 

1,324,661

 

Term Loan B-2, 3.19%,
1/28/15

 

 

1,260

 

 

1,172,430

 

Term Loan B-3, 3.30%,
1/28/15

 

 

5,729

 

 

5,331,371

 

Term Loan B-4, 9.50%,
10/31/16

 

 

576

 

 

610,604

 

Seaworld Parks & Entertainment,
Inc. (FKA SW Acquisitions Co.,
Inc.), Term Loan B, 4.00%,
8/17/17

 

 

2,481

 

 

2,489,404

 

Six Flags Theme Parks, Inc.,
Tranche B Term Loan (First
Lien), 5.25%, 6/30/16

 

 

3,386

 

 

3,410,068

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2011

8


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

VML US Finance LLC (FKA Venetian
Macau):

 

 

 

 

 

 

 

New Project Term Loan,
4.70%, 5/27/13

 

USD

888

 

$

885,967

 

Term B Delayed Draw Project
Loan, 4.70%, 5/25/12

 

 

1,044

 

 

1,043,537

 

Term B Funded Project Loan,
4.70%, 5/27/13

 

 

181

 

 

180,700

 

 

 

 

 

 

 

24,878,840

 

Household Durables — 0.3%

 

 

 

 

 

 

 

Visant Corp. (FKA Jostens), Term
Loan B, 5.25%, 12/22/16

 

 

1,476

 

 

1,474,585

 

IT Services — 3.4%

 

 

 

 

 

 

 

Ceridian Corp., US Term Loan,
3.19%, 11/10/14

 

 

3,077

 

 

2,990,657

 

First Data Corp.:

 

 

 

 

 

 

 

Extended Term Loan B, 4.19%,
3/23/18

 

 

6,585

 

 

6,142,409

 

Initial Tranche B-1 Term Loan,
2.94%, 9/24/14

 

 

147

 

 

137,138

 

Initial Tranche B-2 Term Loan,
2.94%, 9/24/14

 

 

449

 

 

419,911

 

Initial Tranche B-3 Term Loan,
2.94%, 9/24/14

 

 

210

 

 

196,241

 

infoGROUP, Inc., Term Loan,
5.75%, 5/22/18

 

 

965

 

 

957,762

 

iPayment, Inc., Term Loan B,
5.75%, 5/08/17

 

 

1,200

 

 

1,205,500

 

TransUnion LLC, Replacement
Term Loan, 4.75%, 2/12/18

 

 

3,730

 

 

3,742,827

 

 

 

 

 

 

 

15,792,445

 

Independent Power Producers &
Energy Traders — 1.8%

 

 

 

 

 

 

 

AES Corp., Term Loan B, 4.00%,
5/17/18

 

 

1,800

 

 

1,798,314

 

Calpine Corp., Term Loan B,
4.50%, 4/02/18

 

 

3,100

 

 

3,106,200

 

Texas Competitive Electric Holdings Co.,
LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan,
4.71%, 10/10/17

 

 

250

 

 

197,250

 

Initial Tranche B-2 Term Loan,
3.73%, 10/10/14

 

 

2,155

 

 

1,834,592

 

Initial Tranche B-3 Term Loan,
3.73%, 10/10/14

 

 

1,442

 

 

1,227,624

 

 

 

 

 

 

 

8,163,980

 

Industrial Conglomerates — 0.8%

 

 

 

 

 

 

 

Sequa Corp., Term Loan, 3.50%,
12/03/14

 

 

1,393

 

 

1,375,327

 

Tomkins Plc, Term Loan B, 4.25%,
9/29/16

 

 

2,460

 

 

2,466,029

 

 

 

 

 

 

 

3,841,356

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Internet & Catalog Retail — 0.2%

 

 

 

 

 

 

 

FTD Group, Inc., Tranche B Term
Loan, 6.75%, 8/26/14

 

USD

1,025

 

$

1,023,667

 

Leisure Equipment &
Products — 0.4%

 

 

 

 

 

 

 

EB Sports Corp., Loan, 11.50%,
12/31/15

 

 

1,641

 

 

1,640,925

 

Media — 10.5%

 

 

 

 

 

 

 

Acosta, Inc., Term Loan, 4.75%,
3/01/18

 

 

1,800

 

 

1,801,800

 

Affinion Group, Inc., Tranche B
Term Loan, 5.00%, 10/10/16

 

 

990

 

 

989,262

 

Cengage Learning Acquisitions, Inc.
(Thomson Learning):

 

 

 

 

 

 

 

Term Loan, 2.44%, 7/03/14

 

 

1,244

 

 

1,157,868

 

Tranche 1 Incremental Term
Loan, 7.50%, 7/03/14

 

 

1,263

 

 

1,263,590

 

Charter Communications Operating,
LLC:

 

 

 

 

 

 

 

Term Loan B, 7.25%, 3/06/14

 

 

46

 

 

46,514

 

Term Loan C, 3.56%, 9/06/16

 

 

2,677

 

 

2,677,993

 

Clear Channel Communications,
Inc., Term Loan B, 3.84%,
1/28/16

 

 

3,145

 

 

2,748,818

 

Ellis Communications KDOC, LLC,
Loan, 10.00%, 12/30/11

 

 

6,303

 

 

2,363,538

 

Getty Images, Inc., Initial Term
Loan, 5.25%, 11/07/16

 

 

3,240

 

 

3,258,084

 

HMH Publishing Co., Ltd., Tranche
A Term Loan, 6.03%, 6/12/14

 

 

2,358

 

 

2,221,565

 

Hubbard Broadcasting, Second
Lien Term Loan B, 5.25%,
4/28/17

 

 

1,100

 

 

1,106,875

 

Intelsat Jackson Holdings S A (FKA
Intelsat Jackson Holdings, Ltd.),
Tranche B Term Loan, 5.25%,
4/02/18

 

 

8,000

 

 

8,045,552

 

Interactive Data Corp., Term Loan,
4.75%, 2/12/18

 

 

1,700

 

 

1,704,240

 

Lavena Holding 3 GmbH
(Prosiebensat.1 Media AG):

 

 

 

 

 

 

 

Facility B1, 3.68%, 3/06/15

 

EUR

304

 

 

398,651

 

Facility C1, 3.93%, 3/04/16

 

 

608

 

 

797,302

 

Mediacom Illinois, LLC (FKA
Mediacom Communications,
LLC), Tranche D Term Loan,
5.50%, 3/31/17

 

USD

985

 

 

987,463

 

Newsday LLC, Fixed Rate Term
Loan, 10.50%, 8/01/13

 

 

4,250

 

 

4,515,625

 

Sinclair Television Group, Inc., New
Tranche B Term Loan, 4.00%,
10/28/16

 

 

1,318

 

 

1,317,883

 

Springer Science+Business Media
SA, Facility A1, 6.75%, 6/30/15

 

EUR

1,900

 

 

2,747,960

 

Sunshine Acquisition Ltd. (FKA HIT
Entertainment), Term Facility,
5.52%, 6/01/12

 

USD

1,926

 

 

1,902,459

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2011

9


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

UPC Broadband Holding B.V., Term
U, 5.24%, 12/31/17

 

EUR

1,246

 

$

1,788,611

 

Univision Communications, Inc.,
Extended First Lien Term Loan,
4.44%, 3/31/17

 

USD

2,677

 

 

2,584,599

 

Weather Channel, Term Loan B,
4.25%, 2/13/17

 

 

1,696

 

 

1,704,936

 

 

 

 

 

 

 

48,131,188

 

Metals & Mining — 1.8%

 

 

 

 

 

 

 

Novelis Inc., Term Loan, 4.00%,
3/10/17

 

 

3,142

 

 

3,154,891

 

Walter Energy, Inc., Term Loan B,
4.00%, 4/02/18

 

 

5,100

 

 

5,110,430

 

 

 

 

 

 

 

8,265,321

 

Multi-Utilities — 0.1%

 

 

 

 

 

 

 

FirstLight Power Resources, Inc.
(FKA NE Energy, Inc.), Term B
Advance (First Lien), 2.81%,
11/01/13

 

 

421

 

 

416,258

 

Multiline Retail — 1.4%

 

 

 

 

 

 

 

Dollar General Corp., Tranche B-2
Term Loan, 2.94%, 7/07/14

 

 

1,439

 

 

1,435,032

 

Hema Holding BV:

 

 

 

 

 

 

 

Facility B, 3.25%, 7/06/15

 

EUR

369

 

 

527,318

 

Facility C, 4.00%, 7/05/16

 

 

369

 

 

527,318

 

Facility D, 6.25%, 1/05/17

 

 

2,900

 

 

4,121,221

 

 

 

 

 

 

 

6,610,889

 

Oil, Gas & Consumable
Fuels — 0.9%

 

 

 

 

 

 

 

Obsidian Natural Gas Trust, Term
Loan, 7.00%, 11/02/15

 

USD

3,981

 

 

4,040,278

 

Paper & Forest Products — 0.9%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC,
Term Loan with PIK Option
6.52%, 2/01/13 (h)

 

 

4,424

 

 

3,981,913

 

Personal Products — 0.1%

 

 

 

 

 

 

 

NBTY, Inc., Term Loan B, 4.25%,
10/02/17

 

 

381

 

 

380,772

 

Pharmaceuticals — 1.1%

 

 

 

 

 

 

 

Axcan Pharma, Inc., Term Loan,
5.50%, 2/10/17

 

 

1,796

 

 

1,786,522

 

Quinteles Transnational Corp.,
Term Loan, 5.75%, 6/08/18

 

 

1,150

 

 

1,142,094

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Term Loan B-1, 4.25%,
3/15/18

 

 

960

 

 

961,794

 

Term Loan B-2, 4.25%,
3/15/18

 

 

480

 

 

480,897

 

Term Loan B-3, 4.25%,
3/15/18

 

 

660

 

 

661,279

 

 

 

 

 

 

 

5,032,586

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

 

Professional Services — 0.8%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Tranche
B Term Loan, 4.00%, 8/03/17

 

USD

1,650

 

$

1,657,366

 

Fifth Third Processing Solutions,
LLC, Term Loan B (First Lien),
4.75%, 11/03/16

 

 

2,095

 

 

2,095,797

 

 

 

 

 

 

 

3,753,163

 

Real Estate Investment Trusts
(REITs) — 1.0%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan
(Second Lien), 5.00%, 6/28/13

 

 

4,429

 

 

4,405,899

 

Real Estate Management &
Development — 1.3%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Synthetic Letter of
Credit Loan, 4.64%, 10/10/16

 

 

671

 

 

623,729

 

Extended Term Loan B, 4.52%,
10/10/16

 

 

5,956

 

 

5,535,820

 

 

 

 

 

 

 

6,159,549

 

Semiconductors & Semiconductor
Equipment — 0.4%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc.,
Extended Maturity Term Loan,
4.46%, 12/01/16

 

 

733

 

 

729,765

 

Microsemi Corp., Term Loan B,
4.00%, 11/02/17

 

 

1,297

 

 

1,301,072

 

 

 

 

 

 

 

2,030,837

 

Software — 0.1%

 

 

 

 

 

 

 

Telcordia Technologies, Inc., Term
Loan, 6.75%, 4/09/16

 

 

481

 

 

480,719

 

Specialty Retail — 3.2%

 

 

 

 

 

 

 

Burlington Coat Factory
Warehouse Corp., Term Loan B,
6.25%, 2/18/17

 

 

1,421

 

 

1,420,727

 

General Nutrition Centers, Inc.,
Term Loan B, 4.25%, 3/02/18

 

 

2,175

 

 

2,176,631

 

J. Crew Group, Inc., Term Loan B,
4.75%, 3/07/18

 

 

655

 

 

642,105

 

Jo-Ann Stores, Inc., Term Loan B,
4.75%, 3/16/18

 

 

800

 

 

791,400

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 2.56%,
10/31/13

 

 

980

 

 

967,428

 

Term Loan B-2, 4.81%,
7/31/16

 

 

502

 

 

503,560

 

Petco Animal Supplies, Inc., Term
Loan B, 4.50%, 11/24/17

 

 

2,708

 

 

2,705,232

 

Sensata Technologies Finance
Company, LLC, New Term Loan,
4.00%, 5/11/18

 

 

2,760

 

 

2,764,024

 

Toys ‘R’ Us Delaware, Inc.:
Initial Loan, 4.25%, 9/01/16

 

 

1,727

 

 

1,729,338

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2011

10


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Specialty Retail (concluded)

 

 

 

 

 

 

 

Term Loan B, 5.25%, 6/14/18

 

USD

1,150

 

$

1,140,214

 

 

 

 

 

 

 

14,840,659

 

 

 

 

 

 

 

 

 

Wireless Telecommunication
Services — 1.6%

 

 

 

 

 

 

 

MetroPCS Wireless, Inc., Term
Loan B, 4.00%, 3/16/18

 

 

1,496

 

 

1,489,393

 

Vodafone Americas Finance 2 Inc.,
Initial Loan, 6.88%, 8/11/15

 

 

5,694

 

 

5,865,143

 

 

 

 

 

 

 

7,354,536

 

Total Floating Rate
Loan Interests – 70.3%

 

 

 

 

 

323,665,744

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (k)

 

Beneficial
Interest
(000)

 

 

 

 

Auto Components — 0.0%

 

 

 

 

 

 

 

Intermet Liquidating Trust Class A

 

 

833

 

 

8

 

Diversified Financial
Services — 0.3%

 

 

 

 

 

 

 

J.G. Wentworth LLC Preferred
Equity Interests (l)

 

 

1

 

 

1,320,018

 

Hotels, Restaurants &
Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc.

 

 

1,440

 

 

14

 

Household Durables — 0.4%

 

 

 

 

 

 

 

Stanley Martin, Class B
Membership Units (l)

 

 

2

 

 

1,764,459

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

 

7,500

 

 

75

 

Adelphia Preferred Escrow

 

 

5

 

 

0

 

Adelphia Recovery Trust

 

 

9,406

 

 

941

 

Adelphia Recovery Trust, Series
ACC-6B INT

 

 

500

 

 

50

 

 

 

 

 

 

 

1,066

 

Metals & Mining — 0.5%

 

 

 

 

 

 

 

RathGibson Acquisition Corp.
LLC (l)

 

 

280

 

 

2,459,747

 

Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc. Default Escrow

 

 

21,700

 

 

217

 

Total Other Interests – 1.2%

 

 

 

 

 

5,545,529

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (l)

 

Shares

 

Value

 

Health Care Providers &
Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires
1/16/14)

 

 

126,761

 

$

1

 

Hotels, Restaurants &
Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.
(Expires 4/29/14)

 

 

1,216

 

 

12

 

Media — 0.0%

 

 

 

 

 

 

 

Charter Communications, Inc.
(Expires 11/30/14)

 

 

12,661

 

 

164,593

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management
Solutions, Inc. (Expires 9/29/17)

 

 

1,247

 

 

13

 

HMH Holdings/EduMedia
(Expires 3/09/17)

 

 

24,924

 

 

—

 

 

 

 

 

 

 

13

 

Total Warrants – 0.0%

 

 

 

 

 

164,619

 

Total Long-Term Investments
(Cost – $673,107,164) – 135.2%

 

 

 

 

 

621,201,445

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.10% (n)(o)

 

 

2,969,926

 

 

2,969,926

 

Total Short-Term Securities
(Cost – $2,969,926) – 0.7%

 

 

 

 

 

2,969,926

 

Total Investments
(Cost – $676,077,090*) – 135.5%

 

 

 

 

 

624,171,371

 

Liabilities in Excess of Other Assets – (35.5)%

 

 

 

 

 

(163,431,899

)

Net Assets – 100.0%

 

 

 

 

$

460,739,472

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2011

11


 

 

 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of May 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

676,808,394

 

Gross unrealized appreciation

 

$

28,182,237

 

Gross unrealized depreciation

 

 

(80,111,263

)

Net unrealized depreciation

 

$

(51,929,026

)

 

 

(a)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(b)

Variable rate security. Rate shown is as of report date.

 

 

(c)

Non-income producing security.

 

 

(d)

Restricted security as to resale. As of report date the Fund held less than 0.1% of its net assets, with a current market value of $14,518 and an original cost of $1,027, in this security.

 

 

(e)

When-issued security. Unsettled when-issued transactions were as follows:

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 

Citigroup Global Market

 

$

929,200

 

$

15,971

 

 

Credit Suisse International

 

$

649,031

 

$

4,031

 

 

Deutsche Bank Securities

 

$

606,750

 

$

6,750

 

 

JPMorgan Chase

 

$

3,290,552

 

$

75,553

 

 

Morgan Stanley Co.

 

$

1,503,343

 

$

18,343

 

 

 

(f)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(g)

Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date.

 

 

(h)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(i)

Convertible security.

 

 

(j)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(k)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(l)

The investment is held by a wholly-owned taxable subsidiary of the Fund.

 

 

(m)

Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

(n)

Investments in companies considered to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
February 28,
2011

 

Net
Activity

 

Shares
Held at
May 31,
2011

 

Income

 

 

BlackRock
Liquidity
Funds,
TempFund,
Institutional
Class

 

 

436,377

 

 

2,533,549

 

 

2,969,926

 

$

1,197

 

 

 

(o)

Represents the current yield as of report date.

 

 

   •

Foreign currency exchange contracts as of May 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

 

 

 

 

Currency
Sold

 

 

Counterparty

 

 

Settlement
Date

 

 

Unrealized
Appreciation
Depreciation

 

USD

 

 

1,204,735

 

 

CAD

1,158,000

 

 

Citibank NA

 

 

7/07/11

 

$

10,549

 

USD

 

 

24,334,995

 

 

EUR

16,740,500

 

 

UBS AG

 

 

7/27/11

 

 

276,002

 

USD

 

 

4,997,378

 

 

GBP

3,056,500

 

 

Citibank NA

 

 

7/27/11

 

 

(28,421

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

258,130

 

 

 

   •

Credit default swaps on single-name issues - buy protection outstanding as of May 31, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

National
Amount
(000)

 

Unrealized
Depreciation

 

K. Hovnanian
Enterprises, Inc.

 

5.00

%

Goldman Sachs
International

 

 

9/20/13

 

$

250

 

$

(499

)

 

 

 

   •

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are summarized in three broad levels for financial reporting purposes as follows

 

 

 

 

•

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

•

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

•

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its annual report.

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2011

12


 

 
   

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

The following tables summarize the inputs used as of May 31, 2011 in determining the fair valuation of the Fund’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

 

—

 

$

3,116,332

 

$

5,181,684

 

$

8,298,016

 

Common Stocks

 

$

1,673,703

 

 

4,558,717

 

 

7,739,288

 

 

13,971,708

 

Corporate Bonds

 

 

—

 

 

255,474,034

 

 

14,081,795

 

 

269,555,829

 

Floating Rate
Loan Interests

 

 

—

 

 

281,268,758

 

 

42,396,986

 

 

323,665,744

 

Other Interests

 

 

991

 

 

—

 

 

5,544,538

 

 

5,545,529

 

Warrants

 

 

164,593

 

 

—

 

 

26

 

 

164,619

 

Short-Term
Securities

 

 

2,969,926

 

 

—

 

 

—

 

 

2,969,926

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan
Commitments

 

 

—

 

 

—

 

 

(3,688

)

 

(3,688

)

Total

 

$

4,809,213

 

$

544,417,841

 

$

74,940,629

 

$

624,167,683

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency
exchange
contracts

 

 

—

 

$

286,551

 

$

—

 

$

286,551

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Contracts

 

 

—

 

 

(499

)

 

—

 

 

(499

)

Foreign currency
exchange
contracts

 

 

—

 

 

(28,421

)

 

—

 

 

(28,421

)

Total

 

$

—

 

$

257,631

 

$

—

 

$

257,631

 

 

 

1 Derivative financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-
Backed
Securities

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan
Interests

 

Other
Interests

 

Warrants

 

Unfunded
Loan
Commitments

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2011

 

$

6,393,325

 

$

926,586

 

$

12,777,038

 

$

50,753,656

 

$

4,757,077

 

$

26

 

 

—

 

$

75,607,708

 

Accrued discounts/
premiums

 

 

17,242

 

 

—

 

 

128,357

 

 

91,302

 

 

—

 

 

—

 

 

—

 

 

236,901

 

Net realized gain (loss)

 

 

62,231

 

 

—

 

 

11,620

 

 

17,095

 

 

—

 

 

—

 

 

—

 

 

90,946

 

Net change in unrealized
appreciation/depreciation2

 

 

(89,889

)

 

(3,693,464

)

 

1,313,280

 

 

3,502,875

 

 

787,466

 

 

—

 

$

(3,688

)

 

1,816,580

 

Purchases

 

 

1,712,700

 

 

10,499,620

 

 

—

 

 

2,529,820

 

 

—

 

 

—

 

 

—

 

 

14,742,140

 

Sales

 

 

(1,813,925

)

 

—

 

 

(148,500

)

 

(12,743,255

)

 

—

 

 

—

 

 

—

 

 

(14,705,680

)

Transfers in3

 

 

—

 

 

6,546

 

 

—

 

 

7,600,945

 

 

—

 

 

—

 

 

—

 

 

7,607,491

 

Transfers out3

 

 

(1,100,000

)

 

—

 

 

—

 

 

(9,355,452

)

 

(5

)

 

—

 

 

—

 

 

(10,455,457

)

Balance, as of May 31, 2011

 

$

5,181,684

 

$

7,739,288

 

$

14,081,795

 

$

42,396,986

 

$

5,544,538

 

$

26

 

$

(3,688)

 

$

74,940,629

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2011

13


 

 
   

 

 

Schedule of Investments (concluded)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

 

2 The change in unrealized appreciation/depreciation on securities still held on May 31, 2011 was $(1,575,927).

 

 

3 The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

A reconciliation of Level 3 investments and derivatives is presented when the Fund had a significant amount of Level 3 investments and derivatives at the beginning and/or end of the period in relation to net assets.

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2011

14

Item 2 –

Controls and Procedures

 

 

2(a) –

The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

 

 

2(b) –

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

 

Item 3 –

Exhibits

 

 

 

Certifications – Attached hereto

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

 

 

BlackRock Debt Strategies Fund, Inc.

 

 
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Debt Strategies Fund, Inc.
   
  Date: July 26, 2011
   
  Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
   
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Debt Strategies Fund, Inc.
   
  Date: July 26, 2011
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Debt Strategies Fund, Inc.
     
  Date: July 26, 2011