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: 02/28/2013

 

Date of reporting period: 05/31/2012

 

Item 1 – Schedule of Investments

 

 

 

 

 

Consolidated Schedule of Investments May 31, 2012 (Unaudited)

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

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

Par
(000)

 

 

Value

 

American Airlines Pass-Through
Trust, Series 2011-2, Class A,
8.63%, 4/15/23

 

USD

611

 

$

641,971

 

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

 

 

625

 

 

629,875

 

Fraser Sullivan CLO Ltd., Series
2012-7A, Class C, 4.47%,
4/20/23 (a)(b)

 

 

765

 

 

679,703

 

Gannett Peak CLO Ltd., Series
2006-1X, Class A2, 0.83%,
10/27/20 (b)

 

 

940

 

 

766,100

 

Goldentree Loan Opportunities VI
Ltd., Series 2012-6A, Class D,
4.61%, 4/17/22 (a)(b)

 

 

1,250

 

 

1,155,875

 

Greyrock CDO Ltd., Series 2005-
1X, Class A2L, 0.89%, 11/15/17
(b)

 

 

1,980

 

 

1,725,768

 

LCM LP (a)(b):

 

 

 

 

 

 

 

Series 11A, Class D2, 4.28%,
4/19/22

 

 

1,300

 

 

1,159,600

 

Series 9A, Class E, 4.67%,
7/14/22

 

 

1,000

 

 

792,400

 

Symphony CLO Ltd., Series 2012-
9A, Class D, 4.62%, 4/16/22
(a)(b)

 

 

1,075

 

 

997,277

 

Total Asset-Backed Securities – 2.0%

 

 

 

 

 

8,548,569

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 

Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

339,340

 

 

156,096

 

Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Smurfit Kappa Plc

 

 

36,342

 

 

229,101

 

Diversified Financial Services — 1.1%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

590,545,406

 

 

4,681,253

 

Preferred Term Securities VI Ltd.

 

 

35,000

 

 

1,750

 

 

 

 

 

 

 

4,683,003

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd.

 

 

286,757

 

 

1,061

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.

 

 

2,753

 

 

138

 

HRP PIK Corp., Class B (a)

 

 

5,000

 

 

—

 

 

 

 

 

 

 

138

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

Euramax International

 

 

2,337

 

 

677,817

 

Paper & Forest Products — 0.4%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (c)

 

 

1,264,850

 

 

1,494,038

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

Value

 

Paper & Forest Products (concluded)

 

 

 

 

 

 

 

Western Forest Products, Inc.

 

 

211,149

 

$

169,680

 

 

 

 

 

 

 

1,663,718

 

Semiconductors & Semiconductor Equipment — 0.0%

 

 

 

 

 

 

 

SunPower Corp.

 

 

1,707

 

 

8,552

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management
Solutions, Inc.

 

 

1,870

 

 

56

 

HMH Holdings/EduMedia

 

 

159,199

 

 

1,592

 

 

 

 

 

 

 

1,648

 

Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc.

 

 

503,737

 

 

5

 

Total Common Stocks – 1.7%

 

 

 

 

 

7,421,139

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 

Aerospace & Defense — 0.5%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc.,
7.13%, 3/15/21

 

USD

810

 

 

840,375

 

Kratos Defense & Security
Solutions, Inc., 10.00%,
6/01/17

 

 

1,364

 

 

1,445,840

 

 

 

 

 

 

 

2,286,215

 

Airlines — 0.2%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Series 2009-
1, Class B, 9.75%, 6/17/18

 

 

183

 

 

195,414

 

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

 

 

786

 

 

793,520

 

 

 

 

 

 

 

988,934

 

Auto Components — 1.9%

 

 

 

 

 

 

 

Baker Corp. International, Inc.,
8.25%, 6/01/19 (a)

 

 

170

 

 

170,000

 

Delphi Corp., 6.13%, 5/15/21

 

 

560

 

 

596,400

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

220

 

 

231,000

 

8.00%, 1/15/18

 

 

5,360

 

 

5,674,900

 

Jaguar Land Rover Plc, 8.25%,
3/15/20

 

GBP

392

 

 

592,672

 

Titan International, Inc., 7.88%,
10/01/17

 

USD

940

 

 

972,900

 

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

 

 

 

 

 

 

 

12.00%, 7/01/49

 

 

4,450

 

 

0.00

 

Series B, 9.50%, 7/01/05

 

 

1,800

 

 

0.00

 

 

 

 

 

 

 

8,237,872

 

Beverages — 0.3%

 

 

 

 

 

 

 

Crown European Holdings SA:

 

 

 

 

 

 

 

7.13%, 8/15/18 (a)

 

EUR

410

 

 

541,185

 

7.13%, 8/15/18

 

 

412

 

 

543,825

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

1


 

 

 

 

Consolidated Schedule of Investments (continued)

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

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

Value

 

Beverages (concluded)

 

 

 

 

 

 

 

Refresco Group BV, 7.38%,
5/15/18

 

EUR

213

 

$

234,404

 

 

 

 

 

 

 

1,319,414

 

Biotechnology — 0.0%

 

 

 

 

 

 

 

QHP Royalty Sub LLC, 10.25%,
3/15/15 (a)

 

USD

137

 

 

137,201

 

Building Products — 0.4%

 

 

 

 

 

 

 

Building Materials Corp. of America (a):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

1,000

 

 

1,050,000

 

6.75%, 5/01/21

 

 

590

 

 

603,275

 

 

 

 

 

 

 

1,653,275

 

Capital Markets — 1.0%

 

 

 

 

 

 

 

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

 

 

1,175

 

 

1,178,302

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17

 

 

1,765

 

 

2,025,337

 

2.36%, 8/31/19 (a)(f)(g)

 

 

593

 

 

500,344

 

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

 

 

540

 

 

581,218

 

 

 

 

 

 

 

4,285,201

 

Chemicals — 5.0%

 

 

 

 

 

 

 

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

 

 

1,490

 

 

1,482,550

 

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

 

 

1,415

 

 

1,475,138

 

GEO Specialty Chemicals, Inc.:

 

 

 

 

 

 

 

7.50%, 3/31/15

 

 

4,171

 

 

4,963,237

 

10.00%, 3/31/15

 

 

4,106

 

 

4,105,600

 

Hexion US Finance Corp.:

 

 

 

 

 

 

 

6.63%, 4/15/20 (a)

 

 

1,715

 

 

1,736,437

 

9.00%, 11/15/20

 

 

670

 

 

584,575

 

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

 

 

735

 

 

823,200

 

Ineos Finance Plc (a):

 

 

 

 

 

 

 

8.38%, 2/15/19

 

 

1,470

 

 

1,510,425

 

7.50%, 5/01/20

 

 

715

 

 

707,850

 

Ineos Group Holdings Plc, 8.50%,
2/15/16 (a)

 

 

240

 

 

216,600

 

Kinove German Bondco GmbH,
9.63%, 6/15/18 (a)

 

 

800

 

 

818,000

 

LyondellBasell Industries NV (a):

 

 

 

 

 

 

 

6.00%, 11/15/21

 

 

930

 

 

995,100

 

5.75%, 4/15/24

 

 

1,775

 

 

1,819,375

 

NOVA Chemicals Corp., 8.63%,
11/01/19

 

 

570

 

 

636,975

 

 

 

 

 

 

 

21,875,062

 

Commercial Banks — 0.9%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/02/16 (a)

 

 

1,940

 

 

1,937,575

 

5.00%, 5/15/17

 

 

620

 

 

609,150

 

5.50%, 2/15/19 (a)

 

 

1,430

 

 

1,390,675

 

 

 

 

 

 

 

3,937,400

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

Value

 

Commercial Services & Supplies — 1.5%

 

 

 

 

 

 

 

ARAMARK Holdings Corp., 8.63%,
5/01/16 (a)(h)

 

USD

625

 

$

639,069

 

AWAS Aviation Capital Ltd., 7.00%,
10/17/16 (a)

 

 

757

 

 

781,297

 

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

 

 

55

 

 

52,800

 

Covanta Holding Corp., 6.38%,
10/01/22

 

 

800

 

 

829,503

 

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

 

 

850

 

 

907,375

 

Iron Mountain, Inc., 7.75%,
10/01/19

 

 

430

 

 

457,950

 

Mead Products LLC/ACCO Brands
Corp., 6.75%, 4/30/20 (a)

 

 

1,275

 

 

1,310,062

 

Mobile Mini, Inc., 7.88%,
12/01/20

 

 

640

 

 

672,000

 

Verisure Holding AB:

 

 

 

 

 

 

 

8.75%, 9/01/18

 

EUR

400

 

 

463,688

 

8.75%, 12/01/18

 

 

149

 

 

153,839

 

West Corp., 8.63%, 10/01/18

 

USD

315

 

 

328,388

 

 

 

 

 

 

 

6,595,971

 

Communications Equipment — 0.2%

 

 

 

 

 

 

 

Avaya, Inc., 9.75%, 11/01/15

 

 

360

 

 

297,000

 

Hughes Satellite Systems Corp.,
6.50%, 6/15/19

 

 

600

 

 

609,000

 

 

 

 

 

 

 

906,000

 

Construction Materials — 0.4%

 

 

 

 

 

 

 

HD Supply, Inc., 8.13%, 4/15/19
(a)

 

 

1,540

 

 

1,605,450

 

Consumer Finance — 0.1%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.00%, 4/15/15

 

 

280

 

 

314,300

 

6.63%, 8/15/17

 

 

148

 

 

171,849

 

 

 

 

 

 

 

486,149

 

Containers & Packaging — 1.4%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc:

 

 

 

 

 

 

 

7.38%, 10/15/17 (a)

 

EUR

385

 

 

490,334

 

7.38%, 10/15/17

 

 

100

 

 

127,360

 

9.13%, 10/15/20 (a)

 

USD

300

 

 

309,000

 

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

 

 

625

 

 

678,125

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

4.35%, 9/15/14 (b)

 

 

495

 

 

484,481

 

8.25%, 11/15/15

 

 

655

 

 

692,663

 

9.75%, 1/15/21

 

 

475

 

 

494,000

 

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

 

EUR

1,155

 

 

1,256,779

 

Sealed Air Corp. (a):

 

 

 

 

 

 

 

8.13%, 9/15/19

 

USD

770

 

 

835,450

 

8.38%, 9/15/21

 

 

210

 

 

231,000

 

Smurfit Kappa Acquisitions,
7.75%, 11/15/19

 

EUR

390

 

 

506,347

 

 

 

 

 

 

 

6,105,539

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

2


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Consumer Services — 0.2%

 

 

 

 

 

 

 

ServiceMaster Co., 8.00%,
2/15/20

 

USD

825

 

$

865,219

 

Diversified Financial Services — 3.1%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

90

 

 

95,400

 

8.30%, 2/12/15

 

 

1,330

 

 

1,423,100

 

7.50%, 9/15/20

 

 

1,990

 

 

2,184,025

 

8.00%, 11/01/31

 

 

2,460

 

 

2,767,500

 

8.00%, 11/01/31

 

 

1,030

 

 

1,151,194

 

Archemedes Funding III Ltd.,
5.50%, 11/29/12

 

 

1,829

 

 

—

 

CNG Holdings, Inc., 9.38%,
5/15/20 (a)

 

 

490

 

 

492,450

 

DPL, Inc., 7.25%, 10/15/21 (a)

 

 

180

 

 

195,750

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

7.75%, 10/15/16 (a)

 

EUR

243

 

 

308,733

 

7.75%, 10/15/16 (e)

 

 

334

 

 

424,348

 

7.13%, 4/15/19 (a)

 

USD

1,070

 

 

1,099,425

 

9.88%, 8/15/19 (a)

 

 

2,000

 

 

1,995,000

 

6.88%, 2/15/21 (a)

 

 

920

 

 

933,800

 

8.50%, 2/15/21 (a)

 

 

155

 

 

143,763

 

WMG Acquisition Corp., 9.50%,
6/15/16 (a)

 

 

200

 

 

213,500

 

 

 

 

 

 

 

13,427,988

 

Diversified Telecommunication Services — 1.4%

 

 

 

 

 

 

 

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

 

 

1,010

 

 

1,063,025

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

4.51%, 2/15/15 (b)

 

 

2,420

 

 

2,305,050

 

8.13%, 7/01/19

 

 

2,902

 

 

2,902,000

 

 

 

 

 

 

 

6,270,075

 

Electronic Equipment, Instruments & Components — 0.0%

 

 

 

 

 

 

 

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

 

 

2,675

 

 

—

 

Energy Equipment & Services — 2.4%

 

 

 

 

 

 

 

Calfrac Holdings LP, 7.50%,
12/01/20 (a)

 

 

1,680

 

 

1,579,200

 

Compagnie Générale de
Géophysique Veritas, 6.50%,
6/01/21

 

 

2,100

 

 

2,058,000

 

Frac Tech Services LLC, 8.13%,
11/15/18 (a)

 

 

1,190

 

 

1,178,100

 

Gulfmark Offshore, Inc., 6.38%,
3/15/22 (a)

 

 

130

 

 

130,650

 

Hornbeck Offshore Services, Inc.,
5.88%, 4/01/20 (a)

 

 

265

 

 

259,700

 

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

 

 

740

 

 

742,775

 

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

 

 

950

 

 

969,000

 

Oil States International, Inc.,
6.50%, 6/01/19

 

 

475

 

 

490,438

 

Peabody Energy Corp., 6.25%,
11/15/21 (a)

 

 

2,045

 

 

2,039,887

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Energy Equipment & Services (concluded)

 

 

 

 

 

 

 

Precision Drilling Corp.:

 

 

 

 

 

 

 

6.63%, 11/15/20

 

USD

250

 

$

253,750

 

6.50%, 12/15/21

 

 

840

 

 

846,300

 

 

 

 

 

 

 

10,547,800

 

Food & Staples Retailing — 0.1%

 

 

 

 

 

 

 

Rite Aid Corp., 9.25%, 3/15/20 (a)

 

 

435

 

 

416,513

 

Food Products — 0.2%

 

 

 

 

 

 

 

Constellation Brands, Inc., 6.00%,
5/01/22

 

 

460

 

 

488,750

 

Post Holdings, Inc., 7.38%,
2/15/22 (a)

 

 

260

 

 

264,550

 

 

 

 

 

 

 

753,300

 

Health Care Equipment & Supplies — 0.7%

 

 

 

 

 

 

 

Bausch & Lomb, Inc., 9.88%,
11/01/15

 

 

120

 

 

125,700

 

Biomet, Inc., 10.38%, 10/15/17
(h)

 

 

820

 

 

872,787

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

284

 

 

288,970

 

8.75%, 3/15/18 (a)

 

 

215

 

 

216,075

 

7.75%, 4/15/18

 

 

770

 

 

621,775

 

Fresenius Medical Care US
Finance II, Inc., 5.88%, 1/31/22
(a)

 

 

640

 

 

636,800

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

475

 

 

503,500

 

 

 

 

 

 

 

3,265,607

 

Health Care Providers & Services — 3.0%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP:

 

 

 

 

 

 

 

7.75%, 2/15/19

 

 

455

 

 

473,200

 

7.75%, 2/15/19 (a)

 

 

245

 

 

252,350

 

Crown Newco 3 Plc:

 

 

 

 

 

 

 

7.00%, 2/15/18

 

GBP

194

 

 

284,791

 

7.00%, 2/15/18 (a)

 

 

108

 

 

158,127

 

HCA, Inc.:

 

 

 

 

 

 

 

6.50%, 2/15/20

 

USD

2,020

 

 

2,133,625

 

7.88%, 2/15/20

 

 

1,210

 

 

1,327,975

 

5.88%, 3/15/22

 

 

2,380

 

 

2,362,150

 

IASIS Healthcare LLC, 8.38%,
5/15/19

 

 

1,265

 

 

1,189,100

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

1,310

 

 

1,437,725

 

Tenet Healthcare Corp., 8.88%,
7/01/19

 

 

2,305

 

 

2,564,312

 

United Surgical Partners
International, Inc., 9.00%,
4/01/20 (a)

 

 

415

 

 

430,563

 

Vanguard Health Holding Co. II
LLC, 7.75%, 2/01/19 (a)

 

 

565

 

 

553,700

 

 

 

 

 

 

 

13,167,618

 

Health Care Technology — 0.9%

 

 

 

 

 

 

 

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

 

 

3,205

 

 

3,749,850

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

3


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure — 1.5%

 

 

 

 

 

 

 

Affinity Gaming LLC/Affinity
Gaming Finance Corp., 9.00%,
5/15/18 (a)

 

USD

235

 

$

235,000

 

Caesars Entertainment Operating Co.,
Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

 

210

 

 

223,125

 

10.00%, 12/15/18

 

 

750

 

 

506,250

 

8.50%, 2/15/20 (a)

 

 

1,205

 

 

1,200,481

 

Carlson Wagonlit BV, 6.88%,
6/15/19 (a)

 

 

260

 

 

258,700

 

Diamond Resorts Corp., 12.00%,
8/15/18

 

 

1,040

 

 

1,120,600

 

Gategroup Finance Luxembourg
SA, 6.75%, 3/01/19

 

EUR

235

 

 

284,039

 

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

 

USD

6,892

 

 

1

 

HRP Myrtle Beach Operations LLC (c)(d):

 

 

 

 

 

 

 

12.50%, 4/01/13 (a)

 

 

5,000

 

 

1

 

0.00%, 12/31/49

 

 

5,000

 

 

1

 

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

 

 

609

 

 

554,190

 

Travelport LLC:

 

 

 

 

 

 

 

5.11%, 9/01/14 (b)

 

 

1,770

 

 

1,119,525

 

9.88%, 9/01/14

 

 

390

 

 

272,025

 

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

 

 

530

 

 

—

 

Wynn Las Vegas LLC, 5.38%,
3/15/22 (a)

 

 

995

 

 

963,906

 

 

 

 

 

 

 

6,737,844

 

Household Durables — 0.9%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%,
10/15/17

 

 

1,630

 

 

1,756,325

 

Libbey Glass, Inc., 6.88%,
5/15/20 (a)

 

 

175

 

 

175,437

 

Spie BondCo 3 SCA, 11.00%,
8/15/19

 

EUR

244

 

 

285,867

 

Standard Pacific Corp., 8.38%,
1/15/21

 

USD

1,685

 

 

1,802,950

 

 

 

 

 

 

 

4,020,579

 

Independent Power Producers & Energy Traders — 3.5%

 

 

 

 

 

 

 

AES Corp.:

 

 

 

 

 

 

 

7.75%, 10/15/15

 

 

300

 

 

333,000

 

9.75%, 4/15/16

 

 

1,305

 

 

1,530,112

 

7.38%, 7/01/21 (a)

 

 

130

 

 

140,400

 

Calpine Corp. (a):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

920

 

 

970,600

 

7.50%, 2/15/21

 

 

365

 

 

381,425

 

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

 

 

2,315

 

 

2,459,687

 

Energy Future Intermediate Holding Co.
LLC:

 

 

 

 

 

 

 

10.00%, 12/01/20

 

 

5,880

 

 

6,335,700

 

11.75%, 3/01/22 (a)

 

 

1,060

 

 

1,081,200

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Independent Power Producers & Energy Traders (concluded)

 

 

 

 

 

 

 

Laredo Petroleum, Inc.:

 

 

 

 

 

 

 

9.50%, 2/15/19

 

USD

1,260

 

$

1,398,600

 

7.38%, 5/01/22 (a)

 

 

415

 

 

424,338

 

QEP Resources, Inc., 5.38%,
10/01/22

 

 

335

 

 

327,463

 

 

 

 

 

 

 

15,382,525

 

Industrial Conglomerates — 1.7%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,850

 

 

3,024,563

 

13.50%, 12/01/15

 

 

4,023

 

 

4,269,244

 

 

 

 

 

 

 

7,293,807

 

Insurance — 0.6%

 

 

 

 

 

 

 

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

 

 

1,649

 

 

1,747,940

 

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

 

 

700

 

 

679,321

 

MPL 2 Acquisition Canco, Inc.,
9.88%, 8/15/18 (a)

 

 

415

 

 

356,900

 

 

 

 

 

 

 

2,784,161

 

IT Services — 0.8%

 

 

 

 

 

 

 

Epicor Software Corp., 8.63%,
5/01/19

 

 

720

 

 

721,800

 

First Data Corp.:

 

 

 

 

 

 

 

7.38%, 6/15/19 (a)

 

 

835

 

 

835,000

 

8.25%, 1/15/21 (a)

 

 

535

 

 

518,950

 

12.63%, 1/15/21

 

 

764

 

 

720,070

 

SunGard Data Systems, Inc.,
7.63%, 11/15/20

 

 

600

 

 

615,000

 

 

 

 

 

 

 

3,410,820

 

Machinery — 0.9%

 

 

 

 

 

 

 

UR Financing Escrow Corp. (a):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

877

 

 

892,347

 

7.38%, 5/15/20

 

 

565

 

 

579,125

 

7.63%, 4/15/22

 

 

2,328

 

 

2,380,380

 

 

 

 

 

 

 

3,851,852

 

Media — 5.7%

 

 

 

 

 

 

 

AMC Networks, Inc., 7.75%,
7/15/21 (a)

 

 

365

 

 

405,150

 

Cengage Learning Acquisitions,
Inc., 11.50%, 4/15/20 (a)

 

 

815

 

 

812,962

 

Checkout Holding Corp., 10.67%,
11/15/15 (a)(f)

 

 

1,090

 

 

425,100

 

Cinemark USA, Inc., 8.63%,
6/15/19

 

 

410

 

 

445,875

 

Clear Channel Communications,
Inc., 9.00%, 3/01/21

 

 

765

 

 

657,900

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

639

 

 

683,730

 

7.63%, 3/15/20 (a)

 

 

2,115

 

 

2,019,825

 

Series B, 9.25%, 12/15/17

 

 

5,512

 

 

5,925,400

 

DISH DBS Corp., 5.88%, 7/15/22 (a)

 

 

570

 

 

555,750

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

4


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

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

 

USD

1,370

 

$

1,359,725

 

Intelsat Luxemburg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

310

 

 

323,563

 

11.25%, 2/04/17

 

 

250

 

 

245,625

 

11.50%, 2/04/17 (h)

 

 

1,190

 

 

1,169,175

 

Interactive Data Corp., 10.25%,
8/01/18

 

 

1,545

 

 

1,711,087

 

Lamar Media Corp., 5.88%,
2/01/22 (a)

 

 

480

 

 

483,000

 

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

 

 

1,020

 

 

1,111,800

 

Nielsen Finance LLC, 7.75%,
10/15/18

 

 

1,235

 

 

1,327,625

 

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

 

 

415

 

 

356,900

 

Truven Health Analytics, Inc.,
10.63%, 6/01/20 (a)(i)

 

 

380

 

 

374,300

 

Unitymedia Hessen GmbH & Co. KG:

 

 

 

 

 

 

 

8.13%, 12/01/17 (a)

 

 

2,730

 

 

2,880,150

 

7.50%, 3/15/19

 

 

1,040

 

 

1,097,216

 

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

 

EUR

538

 

 

698,499

 

 

 

 

 

 

 

25,070,357

 

Metals & Mining — 1.5%

 

 

 

 

 

 

 

Eco-Bat Finance Plc, 7.75%,
2/15/17

 

 

305

 

 

363,933

 

FMG Resources August 2006 Property
Ltd. (a):

 

 

 

 

 

 

 

6.88%, 2/01/18

 

USD

430

 

 

422,475

 

6.88%, 4/01/22

 

 

800

 

 

770,000

 

Global Brass and Copper, Inc.,
9.50%, 6/01/19 (a)(i)

 

 

485

 

 

489,850

 

Kaiser Aluminum Corp., 8.25%,
6/01/20 (a)

 

 

360

 

 

361,800

 

New Gold, Inc., 7.00%, 4/15/20 (a)

 

 

120

 

 

122,400

 

Novelis, Inc., 8.75%, 12/15/20

 

 

3,625

 

 

3,833,437

 

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

 

 

4,440

 

 

—

 

Schmolz + Bickenbach
Luxembourg SA, 9.88%,
5/15/19

 

EUR

260

 

 

308,631

 

 

 

 

 

 

 

6,672,526

 

Oil, Gas & Consumable Fuels — 7.8%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc.:

 

 

 

 

 

 

 

6.00%, 6/01/19

 

USD

215

 

 

192,425

 

6.25%, 6/01/21

 

 

590

 

 

525,100

 

Berry Petroleum Co., 6.38%,
9/15/22

 

 

340

 

 

346,800

 

CCS, Inc., 11.00%, 11/15/15 (a)

 

 

920

 

 

952,200

 

Chaparral Energy, Inc., 7.63%,
11/15/22 (a)

 

 

215

 

 

219,838

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

545

 

 

512,300

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (continued)

 

 

 

 

 

 

 

Chesapeake Energy Corp. (concluded):

 

 

 

 

 

 

 

6.88%, 11/15/20

 

USD

285

 

$

270,038

 

6.13%, 2/15/21

 

 

435

 

 

408,900

 

Chesapeake Midstream Partners
LP, 6.13%, 7/15/22

 

 

785

 

 

745,750

 

Chesapeake Oilfield Operating LLC,
6.63%, 11/15/19 (a)

 

 

5

 

 

4,325

 

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

 

 

191

 

 

203,415

 

Concho Resources, Inc., 5.50%,
10/01/22

 

 

395

 

 

388,088

 

Consol Energy, Inc.:

 

 

 

 

 

 

 

8.25%, 4/01/20

 

 

2,145

 

 

2,145,000

 

6.38%, 3/01/21

 

 

440

 

 

402,600

 

Crosstex Energy LP:

 

 

 

 

 

 

 

8.88%, 2/15/18

 

 

100

 

 

105,000

 

7.13%, 6/01/22 (a)

 

 

370

 

 

367,225

 

Denbury Resources, Inc., 8.25%,
2/15/20

 

 

50

 

 

54,000

 

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

 

 

1,300

 

 

1,313,000

 

Everest Acquisition LLC/Everest
Acquisition Finance, Inc. (a):

 

 

 

 

 

 

 

6.88%, 5/01/19

 

 

320

 

 

328,000

 

9.38%, 5/01/20

 

 

240

 

 

246,000

 

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

 

 

195

 

 

204,750

 

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

 

 

2,100

 

 

2,194,500

 

Holly Energy Partners LP, 6.50%,
3/01/20 (a)

 

 

150

 

 

149,250

 

Kodiak Oil & Gas Corp., 8.13%,
12/01/19 (a)

 

 

730

 

 

751,900

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.25%, 11/01/19 (a)

 

 

2,780

 

 

2,647,950

 

8.63%, 4/15/20

 

 

360

 

 

381,600

 

7.75%, 2/01/21

 

 

930

 

 

950,925

 

Newfield Exploration Co., 5.75%,
1/30/22

 

 

1,025

 

 

1,078,812

 

Northern Oil and Gas, Inc., 8.00%,
6/01/20 (a)

 

 

505

 

 

502,475

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

335

 

 

345,050

 

6.50%, 11/01/21

 

 

290

 

 

290,000

 

Offshore Group Investments Ltd.:

 

 

 

 

 

 

 

11.50%, 8/01/15 (a)

 

 

395

 

 

420,675

 

11.50%, 8/01/15

 

 

315

 

 

335,475

 

OGX Petroleo e Gas Participacoes SA (a):

 

 

 

 

 

 

 

8.50%, 6/01/18

 

 

4,930

 

 

4,745,125

 

8.38%, 4/01/22

 

 

565

 

 

535,337

 

PetroBakken Energy Ltd., 8.63%,
2/01/20 (a)

 

 

1,240

 

 

1,258,600

 

Petrohawk Energy Corp., 7.25%,
8/15/18

 

 

525

 

 

598,354

 

Pioneer Natural Resources Co.,
7.20%, 1/15/28

 

 

1,080

 

 

1,333,033

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

5


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Plains Exploration & Production
Co., 6.75%, 2/01/22

 

USD

130

 

$

128,700

 

Range Resources Corp.:

 

 

 

 

 

 

 

5.75%, 6/01/21

 

 

1,230

 

 

1,266,900

 

5.00%, 8/15/22

 

 

547

 

 

525,120

 

Samson Investment Co., 9.75%,
2/15/20 (a)

 

 

705

 

 

701,475

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

7.50%, 3/15/21

 

 

225

 

 

218,250

 

8.13%, 10/15/22 (a)

 

 

205

 

 

201,925

 

SESI LLC:

 

 

 

 

 

 

 

6.38%, 5/01/19

 

 

530

 

 

556,500

 

7.13%, 12/15/21 (a)

 

 

525

 

 

572,250

 

SM Energy Co., 6.50%, 11/15/21

 

 

425

 

 

434,562

 

Targa Resources Partners LP,
6.88%, 2/01/21

 

 

485

 

 

499,550

 

Titan Petrochemicals Group Ltd.,
8.50%, 3/18/49

 

 

1,760

 

 

704,000

 

 

 

 

 

 

 

34,263,047

 

Paper & Forest Products — 0.6%

 

 

 

 

 

 

 

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

 

 

640

 

 

713,600

 

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

 

 

280

 

 

277,900

 

NewPage Corp., 11.38%,
12/31/14 (c)(d)

 

 

2,280

 

 

1,413,600

 

 

 

 

 

 

 

2,405,100

 

Pharmaceuticals — 0.4%

 

 

 

 

 

 

 

Valeant Pharmaceuticals International (a):

 

 

 

 

 

 

 

6.50%, 7/15/16

 

 

990

 

 

1,009,800

 

7.25%, 7/15/22

 

 

660

 

 

620,400

 

 

 

 

 

 

 

1,630,200

 

Real Estate Investment Trusts (REITs) — 0.4%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%,
6/01/19

 

 

1,825

 

 

1,829,562

 

Real Estate Management & Development — 1.2%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

275

 

 

243,375

 

12.00%, 4/15/17

 

 

160

 

 

141,600

 

7.88%, 2/15/19 (a)

 

 

2,030

 

 

1,928,500

 

7.63%, 1/15/20 (a)

 

 

1,190

 

 

1,222,725

 

9.00%, 1/15/20 (a)

 

 

340

 

 

340,000

 

Shea Homes LP, 8.63%, 5/15/19

 

 

1,240

 

 

1,292,700

 

 

 

 

 

 

 

5,168,900

 

Road & Rail — 1.0%

 

 

 

 

 

 

 

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

 

 

295

 

 

305,325

 

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

 

 

370

 

 

379,250

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

1,490

 

 

1,551,462

 

6.75%, 4/15/19

 

 

265

 

 

270,963

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Road & Rail (concluded)

 

 

 

 

 

 

 

The Hertz Corp. (concluded):

 

 

 

 

 

 

 

6.75%, 4/15/19 (a)

 

USD

285

 

$

291,412

 

7.38%, 1/15/21

 

 

1,280

 

 

1,342,400

 

 

 

 

 

 

 

4,140,812

 

Software — 0.6%

 

 

 

 

 

 

 

Lawson Software, Inc., 9.38%,
4/01/19 (a)

 

 

2,500

 

 

2,575,000

 

Specialty Retail — 0.6%

 

 

 

 

 

 

 

Claire’s Stores, Inc., 9.00%,
3/15/19 (a)

 

 

430

 

 

430,000

 

Penske Automotive Group, Inc.,
7.75%, 12/15/16

 

 

1,275

 

 

1,319,625

 

Sally Holdings LLC:

 

 

 

 

 

 

 

6.88%, 11/15/19 (a)

 

 

650

 

 

692,250

 

5.75%, 6/01/22

 

 

300

 

 

303,375

 

 

 

 

 

 

 

2,745,250

 

Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

Levi Strauss & Co., 6.88%,
5/01/22 (a)

 

 

265

 

 

263,013

 

PVH Corp., 7.75%, 11/15/23

 

 

410

 

 

469,450

 

 

 

 

 

 

 

732,463

 

Transportation Infrastructure — 0.1%

 

 

 

 

 

 

 

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

 

 

353

 

 

360,060

 

Wireless Telecommunication Services — 3.8%

 

 

 

 

 

 

 

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

 

 

3,050

 

 

3,217,750

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

9.13%, 1/15/15

 

 

3,948

 

 

3,888,780

 

8.25%, 9/01/17

 

 

810

 

 

814,050

 

MetroPCS Wireless, Inc., 6.63%,
11/15/20

 

 

690

 

 

667,575

 

Sprint Capital Corp., 6.88%,
11/15/28

 

 

1,720

 

 

1,277,100

 

Sprint Nextel Corp. (a):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

4,260

 

 

4,611,450

 

7.00%, 3/01/20

 

 

1,900

 

 

1,914,250

 

 

 

 

 

 

 

16,390,955

 

Total Corporate Bonds – 59.6%

 

 

 

 

 

260,349,473

 
               

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

 

 

 

 

 

 

Aerospace & Defense — 0.3%

 

 

 

 

 

 

 

TransDigm, Inc.:

 

 

 

 

 

 

 

Add on Term Loan B2, 4.00%,
2/14/17

 

 

264

 

 

262,039

 

Term Loan (First Lien), 4.00%,
2/14/17

 

 

1,196

 

 

1,186,034

 

 

 

 

 

 

 

1,448,073

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

6


 

 

 

 

Consolidated 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

 

Airlines — 0.4%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit - New
Term Loan B, 5.50%, 4/20/17

 

USD

1,867

 

$

1,855,459

 

Auto Components — 2.1%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term
Loan B, 2.74%, 8/07/14

 

 

2,255

 

 

2,211,327

 

August LuxUK Holding Co. Sarl,
Luxco Term Loan, 6.25%,
4/27/18

 

 

195

 

 

195,486

 

Autoparts Holdings Ltd.:

 

 

 

 

 

 

 

First Lien Term Loan, 6.50%,
7/28/17

 

 

1,393

 

 

1,347,728

 

Second Lien Term Loan,
10.50%, 1/29/18

 

 

1,800

 

 

1,629,000

 

Federal-Mogul Corp., Term Loan B,
2.18%, 12/29/14

 

 

1,032

 

 

970,366

 

The Goodyear Tire & Rubber
Company, Term Loan (Second
Lien), 4.75%, 4/30/19

 

 

1,800

 

 

1,742,634

 

Schaeffler AG, Term Loan C2,
6.00%, 1/27/17

 

 

945

 

 

940,275

 

 

 

 

 

 

 

9,036,816

 

Biotechnology — 0.3%

 

 

 

 

 

 

 

Grifols, Inc., Term Loan B, 4.50%,
6/01/17

 

 

1,195

 

 

1,178,611

 

Building Products — 1.6%

 

 

 

 

 

 

 

Armstrong World Industries, Inc.,
Term Loan B, 4.00%, 3/09/18

 

 

893

 

 

882,563

 

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

 

 

1,185

 

 

1,140,562

 

Goodman Global, Inc.:

 

 

 

 

 

 

 

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

 

 

3,025

 

 

3,013,864

 

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

 

 

764

 

 

770,127

 

Momentive Performance Materials,
Inc. (Nautilus), Extended Term
Loan, 3.89%, 5/05/15

 

EUR

1,056

 

 

1,199,091

 

 

 

 

 

 

 

7,006,207

 

Capital Markets — 1.0%

 

 

 

 

 

 

 

HarbourVest Partners, Term Loan
(First Lien), 6.25%, 12/16/16

 

USD

1,599

 

 

1,598,726

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

(First Lien), Term Loan, 5.97%,
5/13/17

 

 

418

 

 

411,113

 

Incremental Term Loan,
7.25%, 5/13/17

 

 

555

 

 

553,613

 

Term Loan, 5.97%, 5/12/17

 

 

1,682

 

 

1,658,022

 

 

 

 

 

 

 

4,221,474

 

Chemicals — 4.4%

 

 

 

 

 

 

 

American Rock Salt Holdings LLC,
Term Loan, 5.50%, 4/25/17

 

 

2,247

 

 

2,130,261

 

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

 

 

1,300

 

 

1,298,921

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

 

Value

 

Chemicals (concluded)

 

 

 

 

 

 

 

Gentek, Inc., Term Loan B, 5.00% -
5.75%, 10/06/15

 

USD

1,305

 

$

1,304,653

 

Ineos US Finance LLC, 6 year Term
Loan, 6.50%, 5/04/18

 

 

6,105

 

 

5,979,603

 

MDI Holdings LLC, Tranche C Term
Loan, 2.58%, 4/11/14

 

EUR

615

 

 

749,738

 

Nexeo Solutions LLC, Term Loan B,
5.00% - 5.75%, 9/08/17

 

USD

1,609

 

 

1,566,520

 

PolyOne Corp., Term Loan, 5.00%,
12/20/17

 

 

658

 

 

656,500

 

PQ Corp., Term Loan B, 3.99%,
7/30/14

 

 

3,091

 

 

2,964,417

 

Styron Sarl LLC, Term Loan B,
6.00% - 6.75%, 8/02/17

 

 

652

 

 

581,399

 

Tronox Worldwide LLC, Term Loan
B, 4.25%, 2/08/18

 

 

762

 

 

748,805

 

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

 

 

1,250

 

 

1,214,688

 

 

 

 

 

 

 

19,195,505

 

Commercial Services & Supplies — 2.6%

 

 

 

 

 

 

 

ACCO Brands Corp., Term Loan B,
4.25%, 4/30/19

 

 

1,343

 

 

1,341,571

 

Altegrity, Inc., Tranche D Term
Loan, 7.75%, 2/20/15

 

 

2,546

 

 

2,525,016

 

AWAS Finance Luxembourg Sarl,
Term Loan B, 5.25%, 6/10/16

 

 

841

 

 

836,753

 

Delos Aircraft, Inc., Term Loan B2,
4.75%, 4/12/16

 

 

975

 

 

973,781

 

KAR Auction Services, Inc., Term
Loan B, 5.00%, 5/19/17

 

 

2,382

 

 

2,376,045

 

Protection One Alarm Monitoring,
Inc., Term Loan, 5.75%,
3/16/19

 

 

960

 

 

952,397

 

Synagro Technologies, Inc., Term
Loan B, 2.24%, 4/02/14

 

 

871

 

 

760,277

 

Volume Services America, Inc.,
Term Loan B, 10.50% - 11.75%,
9/16/16

 

 

1,773

 

 

1,762,663

 

 

 

 

 

 

 

11,528,503

 

Communications Equipment — 1.4%

 

 

 

 

 

 

 

Avaya, Inc.:

 

 

 

 

 

 

 

Term Loan B1, 3.22%,
10/24/14

 

 

1,818

 

 

1,711,969

 

Term Loan B3, 4.97%,
10/26/17

 

 

329

 

 

290,048

 

CommScope, Inc., Term Loan B,
4.25%, 1/12/18

 

 

1,485

 

 

1,474,783

 

Telesat Canada, Term Loan A,
4.38%, 3/24/17

 

CAD

2,630

 

 

2,450,864

 

 

 

 

 

 

 

5,927,664

 

Construction & Engineering — 0.9%

 

 

 

 

 

 

 

BakerCorp. International, Inc.,
Term Loan B, 4.75%, 6/01/18

 

USD

1,192

 

 

1,177,757

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

7


 

 

 

 

Consolidated 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

 

Construction & Engineering (concluded)

 

 

 

 

 

 

 

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

 

USD

2,750

 

$

2,750,000

 

 

 

 

 

 

 

3,927,757

 

Construction Materials — 0.9%

 

 

 

 

 

 

 

HD Supply, Inc., Senior Debt B,
7.25%, 10/12/17

 

 

3,980

 

 

3,995,920

 

Consumer Finance — 0.7%

 

 

 

 

 

 

 

Springleaf Finance Corp., Term
Loan, 5.50%, 5/10/17

 

 

3,130

 

 

2,886,110

 

Containers & Packaging — 0.4%

 

 

 

 

 

 

 

Sealed Air Corp., Term Loan B,
4.75%, 10/03/18

 

 

1,719

 

 

1,720,665

 

Diversified Consumer Services — 2.7%

 

 

 

 

 

 

 

Coinmach Service Corp., Term
Loan, 3.24%, 11/20/14

 

 

4,501

 

 

4,185,676

 

Education Management LLC, Term
Loan C3, 8.25%, 3/29/18

 

 

1,095

 

 

1,072,005

 

Laureate Education, Inc., Extended
Term Loan, 5.25%, 8/15/18

 

 

3,798

 

 

3,638,556

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
2.74%, 7/24/14

 

 

158

 

 

154,170

 

Term Loan, 2.74% - 2.99%,
7/24/14

 

 

1,591

 

 

1,548,193

 

Weight Watchers International,
Inc., Term Loan F, 4.00%,
3/12/19

 

 

1,185

 

 

1,163,078

 

 

 

 

 

 

 

11,761,678

 

Diversified Financial Services — 1.0%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.:

 

 

 

 

 

 

 

Tranche B Term Loan, 6.50%,
2/09/18

 

 

945

 

 

945,442

 

Tranche C Term Loan, 6.50%,
8/09/18

 

 

3,585

 

 

3,594,307

 

 

 

 

 

 

 

4,539,749

 

Diversified Telecommunication Services — 2.4%

 

 

 

 

 

 

 

Hawaiian Telcom Communications,
Inc., Term Loan B, 7.00%,
2/28/17

 

 

2,025

 

 

1,997,156

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Term Loan B2, 5.75%,
9/03/18

 

 

5,500

 

 

5,447,970

 

Term Loan B3, 5.75%,
8/31/18

 

 

1,500

 

 

1,485,810

 

Tranche A Term Loan, 2.49% -
2.72%, 3/13/14

 

 

200

 

 

194,584

 

US Telepacific Corp., Term Loan B,
5.75%, 2/23/17

 

 

1,493

 

 

1,405,515

 

 

 

 

 

 

 

10,531,035

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

 

Value

 

Electronic Equipment, Instruments & Components — 0.5%

 

 

 

 

 

 

 

CDW LLC, Extended Term Loan,
4.00%, 7/14/17

 

USD

831

 

$

794,290

 

Sensata Technologies Finance Co.
LLC, Term Loan, 4.00%,
5/11/18

 

 

1,476

 

 

1,451,590

 

 

 

 

 

 

 

2,245,880

 

Energy Equipment & Services — 2.1%

 

 

 

 

 

 

 

Dynegy Midwest Generation LLC,
Coal Co. Term Loan, 9.25%,
8/04/16

 

 

1,635

 

 

1,666,467

 

Dynegy Power LLC, Gas Co. Term
Loan, 9.25%, 8/04/16

 

 

2,992

 

 

3,082,981

 

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

 

 

2,985

 

 

2,949,300

 

Tervita Corp., Term Loan B, 3.24%,
11/14/14

 

 

1,359

 

 

1,302,887

 

 

 

 

 

 

 

9,001,635

 

Food & Staples Retailing — 1.2%

 

 

 

 

 

 

 

AB Acquisitions UK Topco 2 Ltd.,
Facility B1, 3.57%, 7/09/15

 

GBP

3,000

 

 

4,268,739

 

US Foods, Inc. (FKA US
Foodservice, Inc.), Term Loan B,
2.74%, 7/03/14

 

USD

1,145

 

 

1,105,218

 

 

 

 

 

 

 

5,373,957

 

Food Products — 1.9%

 

 

 

 

 

 

 

Advance Pierre Foods:

 

 

 

 

 

 

 

Term Loan (First Lien), 7.00%,
9/30/16

 

 

2,556

 

 

2,559,057

 

Term Loan (Second Lien),
11.25%, 9/29/17

 

 

1,800

 

 

1,809,558

 

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

 

 

1,709

 

 

1,665,744

 

Pinnacle Foods Finance LLC, Term
Loan E, 4.75%, 10/17/18

 

 

1,380

 

 

1,368,137

 

Solvest Ltd. (Dole):

 

 

 

 

 

 

 

Tranche B-2 Term Loan,
5.00% - 6.00%, 7/06/18

 

 

401

 

 

399,545

 

Tranche C-2 Term Loan, 5.00%
- 6.00%, 7/06/18

 

 

718

 

 

714,976

 

 

 

 

 

 

 

8,517,017

 

Health Care Equipment & Supplies — 1.8%

 

 

 

 

 

 

 

Bausch & Lomb, Inc., Term Loan B,
5.25%, 5/17/19

 

 

2,150

 

 

2,111,214

 

DJO Finance LLC:

 

 

 

 

 

 

 

Term Loan B2, 5.24%,
11/01/16

 

 

761

 

 

753,480

 

Term Loan B3, 6.25%,
9/15/17

 

 

2,340

 

 

2,311,733

 

Hupah Finance Inc., Term Loan B,
6.25%, 1/21/19

 

 

1,265

 

 

1,268,959

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

8


 

 

 

 

Consolidated 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

 

Health Care Equipment & Supplies (concluded)

 

 

 

 

 

 

 

Immucor, Inc., Term Loan B,
7.25%, 8/17/18

 

USD

1,512

 

$

1,509,572

 

 

 

 

 

 

 

7,954,958

 

Health Care Providers & Services — 2.9%

 

 

 

 

 

 

 

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

 

 

1,766

 

 

1,751,886

 

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

 

 

1,975

 

 

1,962,222

 

Emergency Medical Services, Term
Loan, 5.25% - 6.00%, 5/25/18

 

 

1,566

 

 

1,545,141

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

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

 

 

609

 

 

596,433

 

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

 

 

2,025

 

 

1,984,706

 

HCA, Inc., 2.49%, 11/18/13

 

 

245

 

 

242,653

 

inVentiv Health, Inc.:

 

 

 

 

 

 

 

Combined Term Loan, 6.50%,
8/04/16

 

 

492

 

 

460,888

 

Incremental Term Loan B-3,
6.75%, 5/15/18

 

 

1,015

 

 

963,261

 

Medpace, Inc., Term Loan, 6.50% -
7.25%, 6/16/17

 

 

1,985

 

 

1,905,600

 

Wolverine Healthcare, Term Loan
B, 6.75%, 5/12/17

 

 

1,060

 

 

1,042,775

 

 

 

 

 

 

 

12,455,565

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

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

 

 

1,974

 

 

1,956,792

 

Kinetic Concepts, Inc., Term Loan
B, 7.00%, 5/04/18

 

 

1,307

 

 

1,314,082

 

MedAssets, Inc., Term Loan,
5.25%, 11/16/16

 

 

937

 

 

932,881

 

 

 

 

 

 

 

4,203,755

 

Hotels, Restaurants & Leisure — 3.6%

 

 

 

 

 

 

 

Alpha D2 Ltd.:

 

 

 

 

 

 

 

Term Loan B, 5.75%, 4/28/17

 

 

690

 

 

688,130

 

Term Loan B, 1.00%, 6/08/18

 

 

430

 

 

425,519

 

Caesars Entertainment Operating Co.,
Inc.:

 

 

 

 

 

 

 

Extended Term Loan B6,
5.49%, 1/26/18

 

 

330

 

 

290,453

 

Incremental Term Loan B4,
9.50%, 10/31/16

 

 

1,006

 

 

1,012,708

 

Term Loan B1, 3.24%,
1/28/15

 

 

1,934

 

 

1,764,932

 

Term Loan B3, 3.24% - 3.47%,
1/28/15

 

 

4,288

 

 

3,912,352

 

Dunkin’ Brands, Inc., Term Loan B,
4.00%, 11/23/17

 

 

2,526

 

 

2,495,082

 

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

 

 

243

 

 

225,892

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.54% - 2.72%,
6/14/13

 

 

15

 

 

14,906

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par 
(000)

 

Value

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

OSI Restaurant Partners LLC
(concluded):

 

 

 

 

 

 

 

Term Loan B, 2.56%, 6/14/14

 

USD

154

 

$

150,720

 

Sabre, Inc., Non Extended Initial
Term Loan, 2.24%, 9/30/14

 

 

585

 

 

555,873

 

SeaWorld Parks & Entertainment,
Inc., Term Loan B, 4.00%,
8/17/17

 

 

1,472

 

 

1,449,518

 

Six Flags Theme Parks, Inc.,

 

 

 

 

 

 

 

Tranche B Term Loan (First
Lien), 4.25%, 12/20/18

 

 

790

 

 

781,539

 

Wendy’s International, Inc.:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
0.50%, 5/15/19

 

 

861

 

 

849,651

 

Term Loan B, 4.75%, 5/15/19

 

 

1,079

 

 

1,064,721

 

 

 

 

 

 

 

15,681,996

 

Household Products — 0.3%

 

 

 

 

 

 

 

Prestige Brands, Inc., Term Loan,
5.25% - 6.25%, 1/31/19

 

 

1,381

 

 

1,380,943

 

Independent Power Producers & Energy Traders — 0.4%

 

 

 

 

 

 

 

AES Corp., Term Loan, 4.25%,
6/01/18

 

 

1,782

 

 

1,760,402

 

Industrial Conglomerates — 0.8%

 

 

 

 

 

 

 

Schrader International, Term Loan
B, 1.00%, 4/27/18

 

 

150

 

 

150,377

 

Sequa Corp.:

 

 

 

 

 

 

 

Incremental Term Loan,
6.25%, 12/03/14

 

 

554

 

 

552,228

 

Term Loan, 3.72%, 12/03/14

 

 

2,643

 

 

2,591,555

 

 

 

 

 

 

 

3,294,160

 

Insurance — 0.2%

 

 

 

 

 

 

 

Asurion LLC, Term Loan (First
Lien), 5.50%, 5/24/18

 

 

1,067

 

 

1,048,795

 

Internet Software & Services — 0.3%

 

 

 

 

 

 

 

Web.com Group, Inc., Term Loan B,
7.00%, 10/27/17

 

 

1,157

 

 

1,144,363

 

IT Services — 3.9%

 

 

 

 

 

 

 

Ceridian Corp., Term Loan, 3.24%,
11/10/14

 

 

2,292

 

 

2,166,089

 

First Data Corp.:

 

 

 

 

 

 

 

Extended Term Loan B, 4.24%,
3/23/18

 

 

7,253

 

 

6,552,377

 

Term Loan B-1, 2.99%,
9/24/14

 

 

1,307

 

 

1,235,539

 

Term Loan B-3, 2.99%,
9/24/14

 

 

210

 

 

198,586

 

InfoGroup Inc., Term Loan B,
5.75%, 5/25/18

 

 

853

 

 

759,298

 

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

 

 

1,028

 

 

1,025,430

 

NeuStar, Inc., Term Loan B, 5.00%,
11/08/18

 

 

1,448

 

 

1,451,344

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

9


 

 

 

 

Consolidated 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

 

IT Services (concluded)

 

 

 

 

 

 

 

TransUnion LLC, Term Loan B,
5.50%, 2/12/18

 

USD

3,693

 

$

3,708,397

 

 

 

 

 

 

 

17,097,060

 

Leisure Equipment & Products — 0.9%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term
Loan B, 8.50%, 7/19/13

 

 

1,380

 

 

1,379,631

 

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

 

 

1,838

 

 

1,801,072

 

Freedom Group, Inc., Term Loan,
5.50%, 4/12/19

 

 

570

 

 

567,863

 

 

 

 

 

 

 

3,748,566

 

Machinery — 1.8%

 

 

 

 

 

 

 

Harbor Freight Tools USA, Inc.,
Term Loan B, 5.50%, 11/10/17

 

 

855

 

 

846,877

 

Rexnord Corp., Term Loan B,
5.00%, 4/02/18

 

 

648

 

 

644,485

 

Terex Corp.:

 

 

 

 

 

 

 

Term Loan, 6.00%, 4/28/17

 

EUR

219

 

 

267,287

 

Term Loan B, 5.50%, 4/28/17

 

USD

2,037

 

 

2,035,370

 

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

 

 

2,242

 

 

2,229,681

 

Wabash National Corp., Term Loan
B, 6.00%, 5/02/19

 

 

1,945

 

 

1,925,550

 

 

 

 

 

 

 

7,949,250

 

Media — 9.9%

 

 

 

 

 

 

 

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

 

 

582

 

 

573,794

 

Affinion Group, Inc., Term Loan B,
5.00%, 7/16/15

 

 

350

 

 

323,553

 

AMC Networks, Inc., Term Loan B,
4.00%, 12/31/18

 

 

1,412

 

 

1,398,274

 

Capsugel Healthcare Ltd., Term
Loan, 5.25%, 8/01/18

 

 

1,462

 

 

1,460,484

 

Cengage Learning Acquisitions, Inc.:

 

 

 

 

 

 

 

Term Loan, 2.49%, 7/03/14

 

 

82

 

 

74,502

 

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

 

 

1,250

 

 

1,196,172

 

Charter Communications Operating LLC:

 

 

 

 

 

 

 

Term Loan C, 3.50%, 9/06/16

 

 

2,055

 

 

2,023,366

 

Term Loan D, 4.00%, 5/15/19

 

 

800

 

 

788,658

 

Clear Channel Communications, Inc.:

 

 

 

 

 

 

 

Term Loan B, 3.89%, 1/28/16

 

 

3,765

 

 

2,928,397

 

Term Loan C, 3.89%, 1/28/16

 

 

556

 

 

429,684

 

Cumulus Media, Inc., Term Loan,
5.75%, 9/17/18

 

 

1,495

 

 

1,483,792

 

EMI Music Publishing Ltd., Term
Loan B, 1.00%, 11/14/17

 

 

895

 

 

889,406

 

Gray Television, Inc., Term Loan B,
3.74%, 12/31/14

 

 

1,215

 

 

1,202,744

 

HMH Publishing Co. Ltd., Term
Loan, 0.00%, 6/12/14

 

 

2,319

 

 

1,285,554

 

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

 

 

1,022

 

 

1,012,606

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Intelsat Jackson Holdings SA,
Tranche B Term Loan, 5.25%,
4/02/18

 

USD

8,139

 

$

8,065,970

 

Interactive Data Corp., Term Loan
B, 4.50%, 2/12/18

 

 

1,683

 

 

1,653,548

 

Kabel Deutschland GmbH, Term
Loan F, 4.25%, 2/01/19

 

 

2,265

 

 

2,226,790

 

Lavena Holding 3 GmbH
(Prosiebensat.1 Media AG),
Facility B1, 3.68%, 3/06/15

 

EUR

304

 

 

319,787

 

Lavena Holding 4 GmbH
(Prosiebensat.1 Media AG), Term
Loan C, 4.06%, 3/04/16

 

 

608

 

 

643,332

 

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

 

USD

4,250

 

 

4,332,365

 

Nielsen Finance LLC, Class C Term
Loan, 3.49%, 5/02/16

 

 

402

 

 

395,400

 

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

 

 

2,048

 

 

2,030,017

 

Univision Communications, Inc.,
Extended Term Loan, 4.49%,
3/31/17

 

 

3,272

 

 

2,998,150

 

UPC Broadband Holding B.V., Term
Loan U, 4.40%, 12/29/17

 

EUR

196

 

 

236,099

 

UPC Financing Partnership:

 

 

 

 

 

 

 

Term Loan, 4.75%, 12/29/17

 

USD

1,050

 

 

1,033,725

 

Term Loan T, 3.74%,
12/30/16

 

 

255

 

 

251,494

 

WC Luxco Sarl, Term Loan B3,
4.25%, 3/15/18

 

 

591

 

 

586,643

 

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

 

 

1,405

 

 

1,394,335

 

 

 

 

 

 

 

43,238,641

 

Metals & Mining — 1.9%

 

 

 

 

 

 

 

Constellium Holding Co. BV, Term
Loan B, 9.25%, 5/22/18

 

 

430

 

 

419,250

 

Novelis, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B2,
4.00%, 3/10/17

 

 

1,127

 

 

1,103,014

 

Term Loan, 4.00%, 3/10/17

 

 

3,111

 

 

3,041,942

 

SunCoke Energy, Inc., Term Loan
B, 4.00%, 7/26/18

 

 

1,588

 

 

1,568,152

 

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

 

 

2,275

 

 

2,185,026

 

 

 

 

 

 

 

8,317,384

 

Multiline Retail — 1.3%

 

 

 

 

 

 

 

99 Cents Only Stores, Term Loan
B, 5.25%, 1/11/19

 

 

1,496

 

 

1,485,567

 

Hema Holding BV:

 

 

 

 

 

 

 

Second Lien Term Loan,
5.40%, 1/05/17

 

EUR

2,900

 

 

3,218,302

 

Term Loan B, 2.40%, 7/05/16

 

 

363

 

 

421,960

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

10


 

 

 

 

Consolidated 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

 

Multiline Retail (concluded)

 

 

 

 

 

 

 

Hema Holding BV (concluded):

 

 

 

 

 

 

 

Term Loan C, 3.15%, 7/06/15

 

EUR

363

 

$

419,719

 

 

 

 

 

 

 

5,545,548

 

Oil, Gas & Consumable Fuels — 1.7%

 

 

 

 

 

 

 

Chesapeake Energy Corp.,
Unsecured Term Loan, 8.50%,
12/01/17

 

USD

3,245

 

 

3,184,968

 

EP Energy LLC, Term Loan B,
6.50%, 4/24/18

 

 

820

 

 

820,517

 

Gibson Energy, Term Loan B,
4.75%, 6/15/18

 

 

1,489

 

 

1,479,445

 

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

 

 

2,099

 

 

2,099,002

 

 

 

 

 

 

 

7,583,932

 

Paper & Forest Products — 0.8%

 

 

 

 

 

 

 

NewPage Corp., DIP Term Loan,
8.00%, 3/07/13

 

 

1,050

 

 

1,058,316

 

Verso Paper Finance Holdings LLC,
Term Loan, 6.72% - 7.47%,
2/01/13

 

 

4,737

 

 

2,368,338

 

 

 

 

 

 

 

3,426,654

 

Pharmaceuticals — 1.9%

 

 

 

 

 

 

 

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

 

 

1,778

 

 

1,718,842

 

Pharmaceutical Product
Development, Inc., Term Loan B,
6.25%, 12/05/18

 

 

2,495

 

 

2,495,837

 

Quintiles Transnational Corp., Term
Loan B, 5.00%, 6/08/18

 

 

774

 

 

762,298

 

RPI Finance Trust:

 

 

 

 

 

 

 

Incremental Tranche 2 Term
Loan, 4.00%, 11/09/18

 

 

325

 

 

322,156

 

Term Loan Tranche 2, 4.00%,
5/09/18

 

 

570

 

 

565,982

 

Valeant Pharmaceuticals
International, Add-On Term Loan
B, 3.75%, 2/13/19

 

 

1,070

 

 

1,045,657

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

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

 

 

860

 

 

853,299

 

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

 

 

430

 

 

426,650

 

 

 

 

 

 

 

8,190,721

 

Professional Services — 0.7%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Tranche
B Term Loan, 3.75%, 8/03/17

 

 

244

 

 

242,928

 

Emdeon, Inc., Term Loan B, 6.75%,
11/02/18

 

 

2,590

 

 

2,583,820

 

ON Assignment, Inc., Term Loan B,
5.00%, 5/15/19

 

 

450

 

 

444,938

 

 

 

 

 

 

 

3,271,686

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Real Estate Investment Trusts (REITs) — 1.0%

 

 

 

 

 

 

 

iStar Financial, Inc.:

 

 

 

 

 

 

 

Term Loan A1, 5.00%,
6/28/13

 

USD

4,087

 

$

4,068,557

 

Term Loan A2, 7.00%,
6/30/14

 

 

140

 

 

139,650

 

 

 

 

 

 

 

4,208,207

 

Real Estate Management & Development — 0.9%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Synthetic Letter of
Credit Loan, 4.49%,
10/10/16

 

 

384

 

 

350,351

 

Extended Term Loan, 4.49%,
10/10/16

 

 

3,700

 

 

3,372,711

 

Stockbridge SBE Holdings LLC,
Term Loan B, 13.00%, 5/02/17

 

 

300

 

 

295,500

 

 

 

 

 

 

 

4,018,562

 

Road & Rail — 0.7%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC,
Incremental Term Loan, 6.25%,
9/21/18

 

 

692

 

 

690,345

 

RailAmerica, Inc., Term Loan B,
4.00%, 3/01/19

 

 

1,575

 

 

1,567,786

 

Road Infrastructure Investment
LLC, Term Loan B, 6.25%,
3/30/18

 

 

825

 

 

812,625

 

 

 

 

 

 

 

3,070,756

 

Semiconductors & Semiconductor Equipment — 0.5%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc.,
Extended Term Loan B, 4.49%,
12/01/16

 

 

1,503

 

 

1,408,520

 

NXP B.V., Term Loan A-2, 5.50%,
3/03/17

 

 

955

 

 

939,625

 

 

 

 

 

 

 

2,348,145

 

Software — 1.7%

 

 

 

 

 

 

 

Blackboard, Inc., Term Loan B,
7.50%, 10/04/18

 

 

599

 

 

570,448

 

Lawson Software, Inc., Term Loan
B, 6.25%, 4/05/18

 

 

3,630

 

 

3,622,885

 

Magic Newco LLC, Second Lien
Term Loan, 1.00%, 12/06/19

 

 

395

 

 

381,503

 

Sophia, LP, Term Loan B, 6.25%,
7/19/18

 

 

1,200

 

 

1,202,148

 

SS&C Technologies:

 

 

 

 

 

 

 

Term Loan B-1, 5.00%,
5/11/19

 

 

1,609

 

 

1,602,562

 

Term Loan B-2, 5.00%,
5/13/19

 

 

166

 

 

165,782

 

 

 

 

 

 

 

7,545,328

 

Specialty Retail — 3.4%

 

 

 

 

 

 

 

Academy Ltd., Term Loan, 6.00%,
8/03/18

 

 

1,895

 

 

1,895,250

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

11


 

 

 

 

Consolidated 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)

 

 

 

 

 

 

 

Bass Pro Group LLC, Term Loan,
5.25%, 6/13/17

 

USD

825

 

$

822,253

 

Burlington Coat Factory
Warehouse Corp., Term Loan B,
5.50%, 2/28/17

 

 

1,039

 

 

1,029,296

 

Claire’s Stores, Inc., Term Loan B,
3.00% - 3.22%, 5/29/14

 

 

989

 

 

919,270

 

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

 

 

1,335

 

 

1,319,033

 

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

 

 

776

 

 

766,797

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Extended Term Loan B3,
5.00%, 7/29/16

 

 

980

 

 

975,727

 

Term Loan B2, 5.00%,
7/29/16

 

 

862

 

 

858,313

 

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

 

 

2,555

 

 

2,520,522

 

Things Remembered, Inc., New
Term Loan B, 8.00%, 5/30/18

 

 

1,100

 

 

1,078,000

 

Toys ‘R’ Us Delaware, Inc.:

 

 

 

 

 

 

 

Term Loan, 6.00%, 9/01/16

 

 

591

 

 

577,110

 

Term Loan B2, 5.25%,
5/25/18

 

 

690

 

 

658,600

 

Term Loan B3, 5.25%,
5/25/18

 

 

365

 

 

345,838

 

TheYankee Candle Co., Inc., New
Term Loan B, 5.25%, 4/02/19

 

 

1,065

 

 

1,056,746

 

 

 

 

 

 

 

14,822,755

 

Textiles, Apparel & Luxury Goods — 0.3%

 

 

 

 

 

 

 

Ascend Performance Materials
LLC, Term Loan B, 6.75%,
4/10/18

 

 

1,435

 

 

1,394,346

 

Wireless Telecommunication Services — 1.9%

 

 

 

 

 

 

 

Crown Castle International Corp.,
Term Loan B, 4.00%, 1/31/19

 

 

753

 

 

741,816

 

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

 

 

1,258

 

 

1,222,694

 

Vodafone Americas Finance 2, Inc.,
Term Loan, 6.88%, 8/11/15 (h)

 

 

6,091

 

 

6,182,772

 

 

 

 

 

 

 

8,147,282

 

Total Floating Rate Loan Interests – 75.3%

 

 

 

 

 

328,749,475

 

 

 

 

 

 

 

 

 

 

Other Interests (j)

 

Shares

 

 

 

 

Auto Components — 0.0%

 

 

 

 

 

 

 

Intermet Liquidating Trust, Class A (c)

 

 

833

 

 

1

 

 

 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000)

 

Value

 

Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc., Litigation
Trust Certificate (c)

 

USD

10,000

 

$

100

 

Diversified Financial Services — 0.3%

 

 

 

 

 

 

 

JG Wentworth LLC Preferred Equity
Interests (c)

 

 

1

 

 

1,293,079

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc. (c)

 

 

1,440

 

 

14

 

Household Durables — 0.5%

 

 

 

 

 

 

 

Stanley Martin, Class B
Membership Units

 

 

2

 

 

2,304,000

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow (c)

 

 

7,500

 

 

75

 

Adelphia Preferred Escrow (c)

 

 

5

 

 

—

 

Adelphia Recovery Trust (c)

 

 

9,406

 

 

941

 

Adelphia Recovery Trust, Series
ACC-6B INT (c)

 

 

500

 

 

2,500

 

 

 

 

 

 

 

3,516

 

Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc. Default Escrow (c)

 

 

21,700

 

 

217

 

Total Other Interests – 0.8%

 

 

 

 

 

3,600,927

 

 

 

 

 

 

 

 

 

 

Warrants (k)

 

 

 

 

 

 

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp.

 

 

 

 

 

 

 

(Expires 1/16/14)

 

 

126,761

 

 

2

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.

 

 

 

 

 

 

 

(Expires 4/29/14)

 

 

1,216

 

 

—

 

Media — 0.0%

 

 

 

 

 

 

 

Charter Communications, Inc.
(Issued/exercisable 11/30/09,
1 Share for 1 warrant, Expires
11/30/14, Strike Price $51.28)

 

 

12,661

 

 

215,237

 

Software — 0.0%

 

 

 

 

 

 

 

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

 

 

1,247

 

 

—

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

12


 

 

 

 

Consolidated Schedule of Investments (continued)

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


 

 

 

 

 

 

 

 

Warrants (k)

 

Shares

 

Value

 

Software (concluded)

 

 

 

 

 

 

 

HMH Holdings/EduMedia
(Issued/Exercisable 3/09/10,
19 Shares for 1 Warrant, Expires
3/09/17, Strike Price $12.26)

 

 

24,924

 

$

—

 

 

 

 

 

 

 

—

 

Total Warrants – 0.0%

 

 

 

 

 

215,239

 

Total Long-Term Investments
(Cost – $677,237,328) – 139.4%

 

 

 

 

 

608,884,822

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Beneficial
Interest
(000)

 

 

 

 

Money Market Funds — 0.2%

 

 

 

 

 

 

 

Bank of New York Cash Reserves,
0.01% (l)

 

USD

1,047

 

 

1,047,400

 

Total Short-Term Securities
(Cost – $1,047,400) – 0.2%

 

 

 

 

 

1,047,400

 

Total Investments (Cost - $678,284,728*) – 139.6%

 

 

 

 

 

609,932,222

 

Liabilities in Excess of Other Assets – (39.6)%

 

 

 

 

 

(173,067,396

)

Net Assets – 100.0%

 

 

 

 

$

436,864,826

 

 

 

 

 

*

As of May 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

 

 

 

 

Tax cost

 

$

673,720,195

 

Gross unrealized appreciation

 

$

16,797,158

 

Gross unrealized depreciation

 

 

(80,585,131

)

Net unrealized depreciation

 

$

(63,787,973

)

 

 

(a)

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

 

 

(b)

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

 

 

(c)

Non-income producing security.

 

 

(d)

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

 

 

(e)

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.

 

 

(f)

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

 

 

(g)

Convertible security.

 

 

(h)

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

 

 

(i)

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


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

Goldman Sachs & Co.

 

$

489,850

 

$

4,850

 

JPMorgan Chase & Co.

 

$

374,300

 

$

(3,211

)

 

 

(j)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

 

(k)

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.

 

 

(l)

Represents the current yield as of report date.


 

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

DIP

Debtor-In-Possession

EBITDA

Earnings Before Interest, Taxes, Depreciation and Amortization

EUR

Euro

FKA

Formerly Known As

GBP

British Pound

USD

US Dollar

 

 

•

Foreign currency exchange contracts as of May 31, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency Purchased

 

Currency Sold

 

Counterparty

 

Settlement Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

128,243

 

CAD

126,000

 

Citibank NA

 

7/18/12

 

$

6,376

 

USD

2,203,802

 

CAD

2,170,000

 

UBS AG

 

7/18/12

 

 

104,976

 

USD

5,182,312

 

GBP

3,247,500

 

Goldman Sachs & Co.

 

7/18/12

 

 

178,268

 

EUR

714,000

 

USD

932,579

 

UBS AG

 

7/25/12

 

 

(49,436

)

USD

17,374,500

 

EUR

13,162,500

 

Citibank NA

 

7/25/12

 

 

1,093,863

 

USD

133,134

 

EUR

103,000

 

UBS AG

 

7/25/12

 

 

5,734

 

USD

261,483

 

EUR

202,000

 

UBS AG

 

7/25/12

 

 

11,631

 

Total

 

 

 

 

 

 

 

 

$

1,351,412

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

13


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

 

 

•

Credit default swaps on traded indexes - sold protection outstanding as of May 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Depreciation

 

Dow Jones CDX
North America High
Yield Index Series 18

 

5.00%

 

Deutsche Bank AG

 

6/20/17

 

B+

 

USD

4,500

 

$

(170,441

)

Dow Jones CDX
North America High
Yield Index Series 18

 

5.00%

 

JPMorgan Chase & Co.

 

6/20/17

 

B+

 

USD

8,050

 

 

(398,381

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(568,822

)

 

 

 

1

Using Standard & Poor’s ratings.

 

 

2

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

 

 

 

•

For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

 

 

 

•

Level 1 — unadjusted 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)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of 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.

The following tables summarize the inputs used as of May 31, 2012 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

 

 

—

 

$

641,971

 

$

7,906,598

 

$

8,548,569

 

Common
Stocks

 

$

1,673,469

 

 

230,907

 

 

5,516,763

 

 

7,421,139

 

Corporate
Bonds

 

 

—

 

 

250,726,443

 

 

9,623,030

 

 

260,349,473

 

Floating Rate
Loan interests

 

 

—

 

 

305,941,763

 

 

22,807,712

 

 

328,749,475

 

Other Interests

 

 

3,441

 

 

—

 

 

3,597,486

 

 

3,600,927

 

Warrants

 

 

215,237

 

 

—

 

 

2

 

 

215,239

 

Short-Term
Securities

 

 

1,047,400

 

 

—

 

 

—

 

 

1,047,400

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan
Commitments

 

 

—

 

 

(204,220

)

 

—

 

 

(204,220

)

Total

 

$

2,939,547

 

$

557,336,864

 

$

49,451,591

 

$

609,728,002

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign
currency
exchange
contracts

 

 

—

 

$

1,400,848

 

 

—

 

$

1,400,848

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit
contracts

 

 

—

 

 

(568,822

)

 

—

 

 

(568,822

)

Foreign
currency
exchange
contracts

 

 

—

 

 

(49,436

)

 

—

 

 

(49,436

)

Total

 

 

—

 

$

782,590

 

 

—

 

$

782,590

 

 

 

1

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


 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

14


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Certain of the Fund’s assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. At May 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign
currency

 

$

1,278,845

 

 

—

 

 

—

 

$

1,278,845

 

Cash

 

 

71,094

 

 

—

 

 

—

 

 

71,094

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Loan Payable

 

 

—

 

$

(163,000,000

)

 

—

 

 

(163,000,000

)

Total

 

$

1,349,939

 

$

(163,000,000

)

 

—

 

$

(161,650,061

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

There were no transfers between Level 1 and Level 2 during the period ended May 31, 2012.

The following table summarizes the valuation techniques used and unobservable inputs developed by the BlackRock Global Valuation Methodologies Committee to determine the fair value of certain of the Fund’s Level 3 investments as of May 31, 2012:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Value

 

Valuation Techniques

 

Unobservable Inputs1

 

Range of
Unobservable Inputs

 

Weighted Average of
Unobservable Inputs2

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

4,837,350

 

Market Comparable Companies

 

EBITDA Multiple

 

5.0x – 6.3x

 

6.3x

 

Other Interests

 

 

2,304,000

 

Market Comparable Companies

 

Tangible Book Value

 

1.11x

 

1.11x

 

Corporate Bonds

 

 

9,068,837

 

Market Comparable Companies

 

EBITDA Multiple

 

5.0x

 

5.0x

 

Floating Rate Loan Interests 

 

 

2,368,338

 

Estimated Final Distribution

 

Probable Outcome

 

 50%

 

 50%

 

Total3

 

$

18,578,525

 

 

 

 

 

 

 

 

 

 

 

1

A change to the unobservable input may result in a significant change to the value of the investment as follows:


 

 

 

 

 

Unobservable Input

 

Impact to Value if Input Increases

 

Impact to Value if Input Decreases

EBITDA Multiple

 

Increase

 

Decrease

Tangible Book Value

 

Increase

 

Decrease

Probable Outcome

 

Increase

 

Decrease

 

 

2

Unobservable inputs are weighted based on the value of the investments included in the range.

 

 

3

Does not include Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.


 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

15


 

 

 

 

Consolidated Schedule of Investments (concluded)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

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

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Opening balance, as of
February 29, 2012

 

$

4,989,143

 

$

5,458,062

 

$

9,604,936

 

$

28,186,100

 

$

3,410,858

 

$

2

 

$

51,649,101

 

Transfers into Level 31

 

 

—

 

 

—

 

 

—

 

 

447,763

 

 

—

 

 

—

 

 

447,763

 

Transfers out of Level 31

 

 

—

 

 

(38

)

 

—

 

 

(7,387,501

)

 

—

 

 

—

 

 

(7,387,539

)

Accrued discounts/
premiums

 

 

19,415

 

 

—

 

 

99,800

 

 

55,688

 

 

—

 

 

—

 

 

174,903

 

Net realized gain (loss)

 

 

(45,069

)

 

—

 

 

—

 

 

25,671

 

 

—

 

 

—

 

 

(19,398

)

Net change in unrealized
appreciation/depreciation2

 

 

181,702

 

 

(351,386

)

 

(161,874

)

 

(68,835

)

 

176,628

 

 

—

 

 

(223,765

)

Purchases

 

 

4,774,632

 

 

410,125

 

 

80,168

 

 

3,201,414

 

 

10,000

 

 

—

 

 

8,476,339

 

Sales

 

 

(2,013,225

)

 

—

 

 

—

 

 

(1,652,588

)

 

—

 

 

—

 

 

(3,665,813

)

Closing balance, as of
May 31, 2012

 

$

7,906,598

 

$

5,516,763

 

$

9,623,030

 

$

22,807,712

 

$

3,597,486

 

$

2

 

$

49,451,591

 

 

 

1

Transfers into and transfers out of Level 3 represent the beginning of the reporting period value. As of February 29, 2012, the Fund used significant unobservable inputs in determining the value of certain investments. As of May 31, 2012, the Fund used observable inputs in determining the value on the same investments. As a result, investments with a beginning of period value of $7,387,539 transferred from Level 3 to Level 2 in the disclosure hierarchy.

 

 

2

The change in unrealized appreciation/depreciation on securities still held as of May 31, 2012 was $(344,319).

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

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

MAY 31, 2012

16

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 25, 2012
   
  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 25, 2012
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Debt Strategies Fund, Inc.
     
  Date: July 25, 2012