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: 02/29/2012

 

Date of reporting period: 11/30/2011

 

Item 1 – Schedule of Investments

 

 

 

 

Schedule of Investments November 30, 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, 0.74%,
9/18/17 (a)(b)

 

USD

1,250

 

$

1,115,100

 

Ballyrock CDO Ltd., Series
2006-1A, Class B, 0.86%,
8/28/19 (a)(b)

 

 

1,000

 

 

785,000

 

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

 

 

625

 

 

609,375

 

Canaras Summit CLO Ltd.,
Series 2007-1A, Class B, 0.83%,
6/19/21 (a)(b)

 

 

1,225

 

 

972,099

 

Gannett Peak CLO Ltd.,
Series 2006-1X, Class A2,
0.78%, 10/27/20

 

 

940

 

 

695,600

 

Greyrock CDO Ltd., Series 2005-
1X, Class A2L, 0.88%, 11/15/17

 

 

1,980

 

 

1,615,680

 

Portola CLO Ltd., Series 2007-1X,
Class B1, 1.91%, 11/15/21

 

 

1,245

 

 

1,032,478

 

T2 Income Fund CLO Ltd., Series
2007-1A, Class B, 1.00%,
7/15/19 (a)(b)

 

 

1,075

 

 

960,201

 

Total Asset-Backed Securities – 1.8%

 

 

 

 

 

7,785,533

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 

Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

339,340

 

 

149,310

 

Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Smurfit Kappa Plc

 

 

36,342

 

 

219,747

 

Diversified Financial Services — 1.4%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

500,743,395

 

 

5,653,393

 

Preferred Term Securities VI, Ltd. (a)

 

 

3,500,000

 

 

1,750

 

 

 

 

 

 

 

5,655,143

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd.

 

 

286,757

 

 

1,721

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.

 

 

2,753

 

 

6,883

 

HRP PIK Corp., Class B (a)

 

 

5,000

 

 

50

 

 

 

 

 

 

 

6,933

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

Euramax International

 

 

2,337

 

 

642,757

 

Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

137,449

 

 

137,456

 

Ainsworth Lumber Co. Ltd. (a)

 

 

1,133,401

 

 

1,133,456

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

Value

 

Paper & Forest Products (concluded)

 

 

 

 

 

 

 

Western Forest Products, Inc. (a)

 

 

211,149

 

$

153,194

 

 

 

 

 

 

 

1,424,106

 

Semiconductors & Semiconductor Equipment — 0.0%

 

 

 

 

 

 

 

SunPower Corp., Class B

 

 

1,707

 

 

13,349

 

Software — 0.1%

 

 

 

 

 

 

 

Bankruptcy Management
Solutions, Inc.

 

 

1,870

 

 

9

 

HMH Holdings/EduMedia

 

 

159,199

 

 

238,799

 

 

 

 

 

 

 

238,808

 

Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc.

 

 

503,737

 

 

5

 

Total Common Stocks – 2.0%

 

 

 

 

 

8,351,879

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

 

 

 

Aerospace & Defense — 0.8%

 

 

 

 

 

 

 

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

 

USD

1,750

 

 

1,872,500

 

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

 

 

1,364

 

 

1,374,230

 

 

 

 

 

 

 

3,246,730

 

Airlines — 0.6%

 

 

 

 

 

 

 

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

 

 

910

 

 

828,100

 

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

 

 

630

 

 

604,800

 

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

 

 

230

 

 

243,372

 

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

 

 

786

 

 

817,091

 

 

 

 

 

 

 

2,493,363

 

Auto Components — 1.7%

 

 

 

 

 

 

 

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

 

 

170

 

 

154,700

 

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

 

 

560

 

 

564,200

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

320

 

 

330,000

 

8.00%, 1/15/18

 

 

5,260

 

 

5,365,200

 

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

 

 

940

 

 

976,425

 

Venture Holdings Co. LLC:

 

 

 

 

 

 

 

12.00%, 7/01/49

 

 

4,450

 

 

445

 

Series B, 9.50%, 7/01/05 (c)(d)

 

 

1,800

 

 

180

 

 

 

 

 

 

 

7,391,150

 

 

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.

NOVEMBER 30, 2011

1


 

 

 

Schedule of Investments (continued)

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


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 

Beverages — 0.2%

 

 

 

 

 

 

 

Crown European Holdings SA:

 

 

 

 

 

 

 

7.13%, 8/15/18

 

EUR

342

 

$

459,545

 

7.13%, 8/15/18

 

 

410

 

 

550,917

 

 

 

 

 

 

 

1,010,462

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

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

 

USD

227

 

 

229,688

 

Building Products — 0.4%

 

 

 

 

 

 

 

Building Materials Corp. of America (a):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

940

 

 

972,900

 

6.75%, 5/01/21

 

 

790

 

 

786,050

 

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

 

 

185

 

 

131,813

 

 

 

 

 

 

 

1,890,763

 

Capital Markets — 1.0%

 

 

 

 

 

 

 

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

 

 

1,175

 

 

1,180,640

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17

 

 

1,765

 

 

1,994,450

 

4.05%, 8/31/19 (a)(f)(g)

 

 

593

 

 

526,287

 

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

 

 

540

 

 

554,766

 

 

 

 

 

 

 

4,256,143

 

Chemicals — 3.5%

 

 

 

 

 

 

 

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

 

 

1,490

 

 

1,443,438

 

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

 

 

570

 

 

579,975

 

GEO Specialty Chemicals, Inc.:

 

 

 

 

 

 

 

7.50%, 3/31/15 (a)(g)

 

 

4,171

 

 

4,796,405

 

10.00%, 3/31/15

 

 

4,106

 

 

4,105,600

 

Hexion US Finance Corp., 9.00%,
11/15/20

 

 

670

 

 

525,950

 

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

 

 

275

 

 

279,125

 

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

 

 

800

 

 

724,000

 

Lyondell Chemical Co., 11.00%,
5/01/18

 

 

1,339

 

 

1,442,724

 

LyondellBasell Industries NV,
6.00%, 11/15/21 (a)

 

 

145

 

 

147,900

 

Solutia, Inc., 7.88%, 3/15/20

 

 

810

 

 

862,650

 

 

 

 

 

 

 

14,907,767

 

Commercial Banks — 2.0%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/15

 

 

800

 

 

800,000

 

7.00%, 5/01/16

 

 

1,035

 

 

1,024,132

 

7.00%, 5/02/16 (a)

 

 

1,620

 

 

1,599,750

 

7.00%, 5/01/17

 

 

4,534

 

 

4,488,660

 

7.00%, 5/02/17 (a)

 

 

710

 

 

699,350

 

 

 

 

 

 

 

8,611,892

 

Commercial Services & Supplies — 1.2%

 

 

 

 

 

 

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

690

 

 

707,250

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

 

Value

 

Commercial Services & Supplies (concluded)

 

 

 

 

 

 

 

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

 

USD

799

 

$

799,136

 

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

 

 

140

 

 

124,600

 

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

 

 

850

 

 

894,625

 

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

 

 

540

 

 

557,550

 

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

 

 

640

 

 

640,000

 

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

 

 

970

 

 

1,059,725

 

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

 

 

315

 

 

314,213

 

 

 

 

 

 

 

5,097,099

 

Communications Equipment — 0.2%

 

 

 

 

 

 

 

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

 

 

360

 

 

281,700

 

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

 

 

600

 

 

586,500

 

 

 

 

 

 

 

868,200

 

Consumer Finance — 0.1%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.00%, 4/15/15

 

 

280

 

 

301,417

 

6.63%, 8/15/17

 

 

148

 

 

158,762

 

 

 

 

 

 

 

460,179

 

Containers & Packaging — 1.4%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc:

 

 

 

 

 

 

 

7.38%, 10/15/17

 

EUR

100

 

 

129,331

 

7.38%, 10/15/17

 

 

385

 

 

497,925

 

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

 

USD

625

 

 

667,187

 

Berry Plastics Corp., 8.25%,
11/15/15

 

 

1,010

 

 

1,070,600

 

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

 

EUR

260

 

 

282,983

 

Graphic Packaging International,
Inc., 9.50%, 6/15/17

 

USD

360

 

 

392,400

 

Sealed Air Corp., 8.38%, 9/15/21 (a)

 

 

210

 

 

224,175

 

Smurfit Kappa Acquisitions:

 

 

 

 

 

 

 

7.75%, 11/15/19 (a)

 

EUR

476

 

 

645,997

 

7.75%, 11/15/19

 

 

1,515

 

 

2,056,062

 

 

 

 

 

 

 

5,966,660

 

Diversified Financial Services — 3.5%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

USD

90

 

 

91,013

 

8.30%, 2/12/15

 

 

1,330

 

 

1,346,625

 

8.00%, 3/15/20

 

 

170

 

 

167,663

 

7.50%, 9/15/20

 

 

1,990

 

 

1,922,837

 

8.00%, 11/01/31

 

 

3,160

 

 

3,002,000

 

8.00%, 11/01/31

 

 

1,360

 

 

1,253,449

 

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

 

 

2,374

 

 

356,058

 

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

 

 

665

 

 

679,963

 

FCE Bank Plc, 4.75%, 1/19/15

 

EUR

966

 

 

1,246,093

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

8.75%, 10/15/16 (a)

 

USD

548

 

 

565,810

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2011

2


 

 

 

Schedule of Investments (continued)

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


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services (concluded)

 

 

 

 

 

 

 

Reynolds Group Issuer, Inc. (concluded):

 

 

 

 

 

 

 

8.75%, 10/15/16 (a)

 

EUR

548

 

$

721,620

 

8.75%, 10/15/16

 

 

723

 

 

952,065

 

7.13%, 4/15/19 (a)

 

USD

1,070

 

 

1,045,925

 

7.88%, 8/15/19 (a)

 

 

610

 

 

613,050

 

6.88%, 2/15/21 (a)

 

 

920

 

 

878,600

 

8.25%, 2/15/21 (a)

 

 

255

 

 

216,750

 

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

 

 

200

 

 

210,000

 

 

 

 

 

 

 

15,269,521

 

Diversified Telecommunication Services — 1.7%

 

 

 

 

 

 

 

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

 

 

1,010

 

 

1,041,562

 

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

 

 

2,062

 

 

1,948,590

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

4.20%, 2/15/15 (b)

 

 

2,420

 

 

2,162,875

 

8.75%, 2/15/17

 

 

920

 

 

915,400

 

Qwest Communications
International, Inc., Series B,
7.50%, 2/15/14

 

 

340

 

 

342,125

 

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

 

 

690

 

 

724,500

 

 

 

 

 

 

 

7,135,052

 

Electric Utilities — 0.2%

 

 

 

 

 

 

 

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

 

 

775

 

 

813,750

 

Electronic Equipment, Instruments & Components — 0.0%

 

 

 

 

 

 

 

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

 

 

2,675

 

 

268

 

Energy Equipment & Services — 1.3%

 

 

 

 

 

 

 

Frac Tech Services LLC, 7.63%,
11/15/18 (a)

 

 

1,190

 

 

1,198,925

 

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

 

 

740

 

 

731,675

 

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

 

 

950

 

 

954,750

 

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

 

 

295

 

 

296,475

 

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

 

 

2,180

 

 

2,196,350

 

SunCoke Energy, Inc., 7.63%,
8/01/19 (a)

 

 

185

 

 

181,300

 

 

 

 

 

 

 

5,559,475

 

Gas Utilities — 0.1%

 

 

 

 

 

 

 

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

 

 

485

 

 

485,000

 

Health Care Equipment & Supplies — 0.5%

 

 

 

 

 

 

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

1,270

 

 

1,196,975

 

7.75%, 4/15/18

 

 

770

 

 

617,925

 

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

 

 

475

 

 

480,344

 

 

 

 

 

 

 

2,295,244

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 

Health Care Providers & Services — 2.0%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP,
7.75%, 2/15/19

 

USD

455

 

$

429,975

 

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

 

GBP

108

 

 

154,192

 

HCA, Inc.:

 

 

 

 

 

 

 

6.50%, 2/15/20

 

USD

2,020

 

 

2,009,900

 

7.88%, 2/15/20

 

 

1,210

 

 

1,273,525

 

7.25%, 9/15/20

 

 

265

 

 

272,287

 

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

 

 

85

 

 

80,537

 

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

 

 

905

 

 

953,644

 

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

 

 

3,030

 

 

3,302,700

 

 

 

 

 

 

 

8,476,760

 

Health Care Technology — 0.8%

 

 

 

 

 

 

 

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

 

 

3,205

 

 

3,573,575

 

Hotels, Restaurants & Leisure — 1.5%

 

 

 

 

 

 

 

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

 

 

1,040

 

 

985,400

 

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

 

 

6,892

 

 

689

 

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

 

 

 

 

 

 

 

0.00%, 4/01/12

 

 

5,000

 

 

500

 

12.50%, 4/01/13

 

 

5,000

 

 

500

 

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

 

 

609

 

 

505,470

 

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

 

 

3,440

 

 

3,848,500

 

Travelport LLC:

 

 

 

 

 

 

 

4.95%, 9/01/14 (b)

 

 

1,770

 

 

876,150

 

9.88%, 9/01/14

 

 

390

 

 

235,950

 

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

 

 

530

 

 

53

 

 

 

 

 

 

 

6,453,212

 

Household Durables — 0.7%

 

 

 

 

 

 

 

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

 

 

1,700

 

 

1,768,000

 

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

 

 

835

 

 

885,100

 

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

 

 

605

 

 

558,113

 

 

 

 

 

 

 

3,211,213

 

Independent Power Producers & Energy Traders — 3.1%

 

 

 

 

 

 

 

The AES Corp.:

 

 

 

 

 

 

 

7.75%, 10/15/15

 

 

300

 

 

320,250

 

9.75%, 4/15/16

 

 

1,305

 

 

1,474,650

 

7.38%, 7/01/21 (a)

 

 

310

 

 

323,175

 

Calpine Corp. (a):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

3,000

 

 

3,060,000

 

7.50%, 2/15/21

 

 

710

 

 

724,200

 

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

 

 

3,190

 

 

3,269,750

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2011

3


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Independent Power Producers & Energy Traders (concluded)

 

 

 

 

 

 

 

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

 

USD

2,515

 

$

2,590,450

 

NRG Energy, Inc., 7.63%, 1/15/18

 

 

1,300

 

 

1,280,500

 

 

 

 

 

 

 

13,042,975

 

Industrial Conglomerates — 1.7%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,850

 

 

3,013,875

 

13.50%, 12/01/15

 

 

4,023

 

 

4,294,387

 

 

 

 

 

 

 

7,308,262

 

Insurance — 0.6%

 

 

 

 

 

 

 

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

 

 

1,649

 

 

1,731,450

 

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

 

 

700

 

 

634,964

 

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

 

 

415

 

 

365,200

 

 

 

 

 

 

 

2,731,614

 

IT Services — 0.5%

 

 

 

 

 

 

 

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

 

 

720

 

 

667,800

 

First Data Corp. (a):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

 

1,035

 

 

972,900

 

8.25%, 1/15/21

 

 

70

 

 

60,550

 

12.63%, 1/15/21

 

 

599

 

 

494,175

 

 

 

 

 

 

 

2,195,425

 

Machinery — 0.1%

 

 

 

 

 

 

 

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

 

 

278

 

 

289,815

 

Media — 6.7%

 

 

 

 

 

 

 

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

 

 

365

 

 

385,988

 

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

 

 

3,000

 

 

3,457,500

 

CCO Holdings LLC:

 

 

 

 

 

 

 

7.25%, 10/30/17

 

 

510

 

 

520,838

 

7.88%, 4/30/18

 

 

1,075

 

 

1,113,969

 

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

 

 

180

 

 

130,500

 

Checkout Holding Corp., 10.98%,
11/15/15 (a)(f)

 

 

1,090

 

 

539,550

 

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

 

 

410

 

 

440,750

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

639

 

 

669,352

 

Series B, 9.25%, 12/15/17

 

 

5,802

 

 

6,106,605

 

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

 

 

680

 

 

753,950

 

DISH DBS Corp.:

 

 

 

 

 

 

 

7.00%, 10/01/13

 

 

3,000

 

 

3,142,500

 

6.75%, 6/01/21

 

 

470

 

 

458,250

 

Intelsat Luxemburg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

460

 

 

478,400

 

11.50%, 2/04/17 (h)

 

 

190

 

 

174,325

 

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

 

 

1,545

 

 

1,653,150

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

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

 

USD

1,040

 

$

1,040,000

 

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

 

 

1,020

 

 

1,063,350

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

1,239

 

 

1,412,460

 

7.75%, 10/15/18

 

 

1,235

 

 

1,306,012

 

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

 

 

415

 

 

332,000

 

Unitymedia Hessen GmbH & Co.
KG (FKA UPC Germany GmbH),
8.13%, 12/01/17 (a)

 

 

2,730

 

 

2,818,725

 

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

 

EUR

598

 

 

783,444

 

 

 

 

 

 

 

28,781,618

 

Metals & Mining — 0.9%

 

 

 

 

 

 

 

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

 

USD

3,625

 

 

3,824,375

 

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

 

 

4,440

 

 

—

 

 

 

 

 

 

 

3,824,375

 

Multiline Retail — 0.5%

 

 

 

 

 

 

 

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

 

 

1,775

 

 

1,961,375

 

Oil, Gas & Consumable Fuels — 6.9%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc.:

 

 

 

 

 

 

 

6.00%, 6/01/19

 

 

205

 

 

195,775

 

6.25%, 6/01/21

 

 

240

 

 

229,200

 

Arch Coal, Inc.:

 

 

 

 

 

 

 

7.00%, 6/15/19 (a)

 

 

215

 

 

209,625

 

7.25%, 10/01/20

 

 

655

 

 

641,900

 

7.25%, 6/15/21 (a)

 

 

700

 

 

679,000

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

1,592

 

 

1,647,720

 

6.13%, 2/15/21

 

 

1,100

 

 

1,102,750

 

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

 

 

260

 

 

256,425

 

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

 

 

436

 

 

464,340

 

Consol Energy, Inc.:

 

 

 

 

 

 

 

8.25%, 4/01/20

 

 

1,750

 

 

1,881,250

 

6.38%, 3/01/21 (a)

 

 

440

 

 

433,400

 

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

 

 

100

 

 

106,500

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

670

 

 

727,787

 

6.38%, 8/15/21

 

 

570

 

 

581,400

 

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

 

 

1,575

 

 

1,712,019

 

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

 

 

1,300

 

 

1,248,000

 

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

 

 

390

 

 

419,250

 

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

 

 

2,100

 

 

2,163,000

 

Linn Energy LLC:

 

 

 

 

 

 

 

8.63%, 4/15/20

 

 

1,115

 

 

1,165,175

 

7.75%, 2/01/21

 

 

1,970

 

 

1,970,000

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2011

4


 

 

 

 

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)

 

 

 

 

 

 

 

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

 

USD

1,115

 

$

1,087,125

 

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

 

 

3,505

 

 

3,329,750

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19 (a)

 

 

335

 

 

341,700

 

6.50%, 11/01/21

 

 

290

 

 

282,025

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

590

 

 

657,112

 

7.88%, 6/01/15

 

 

795

 

 

846,675

 

7.25%, 8/15/18

 

 

525

 

 

588,000

 

Plains Exploration & Production Co.:

 

 

 

 

 

 

 

7.75%, 6/15/15

 

 

530

 

 

551,863

 

6.75%, 2/01/22

 

 

470

 

 

479,400

 

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

 

 

1,230

 

 

1,313,025

 

SandRidge Energy, Inc., 7.50%,
3/15/21

 

 

825

 

 

754,875

 

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

 

 

1,760

 

 

1,232,000

 

 

 

 

 

 

 

29,298,066

 

Paper & Forest Products — 1.9%

 

 

 

 

 

 

 

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

 

 

1,730

 

 

1,089,892

 

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

 

 

640

 

 

710,400

 

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

 

 

2,950

 

 

3,242,233

 

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

 

 

280

 

 

281,400

 

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

 

 

2,280

 

 

1,590,300

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14

 

 

510

 

 

520,200

 

Series B, 4.18%, 8/01/14 (b)

 

 

890

 

 

560,700

 

 

 

 

 

 

 

7,995,125

 

Pharmaceuticals — 0.4%

 

 

 

 

 

 

 

Valeant Pharmaceuticals International,
6.50%, 7/15/16 (a)

 

 

1,935

 

 

1,872,113

 

Real Estate Investment Trusts (REITs) — 0.4%

 

 

 

 

 

 

 

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

 

 

1,825

 

 

1,697,250

 

Real Estate Management & Development — 0.7%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

340

 

 

259,250

 

12.00%, 4/15/17

 

 

160

 

 

120,000

 

7.88%, 2/15/19 (a)

 

 

2,140

 

 

1,840,400

 

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

 

 

830

 

 

759,450

 

 

 

 

 

 

 

2,979,100

 

Road & Rail — 1.1%

 

 

 

 

 

 

 

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

 

 

995

 

 

957,687

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Road & Rail (concluded)

 

 

 

 

 

 

 

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

 

USD

370

 

$

368,613

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

1,750

 

 

1,754,375

 

6.75%, 4/15/19

 

 

730

 

 

708,100

 

7.38%, 1/15/21

 

 

810

 

 

801,900

 

 

 

 

 

 

 

4,590,675

 

Specialty Retail — 0.3%

 

 

 

 

 

 

 

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

 

 

1,275

 

 

1,294,125

 

Textiles, Apparel & Luxury Goods — 0.1%

 

 

 

 

 

 

 

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

 

 

410

 

 

444,632

 

Transportation Infrastructure — 0.1%

 

 

 

 

 

 

 

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

 

 

353

 

 

335,350

 

Wireless Telecommunication Services — 2.6%

 

 

 

 

 

 

 

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

 

 

3,050

 

 

3,042,375

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

9.13%, 1/15/15

 

 

3,948

 

 

3,888,780

 

8.25%, 9/01/17

 

 

810

 

 

797,850

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

8.38%, 3/15/12

 

 

625

 

 

635,937

 

6.88%, 11/15/28

 

 

1,320

 

 

920,700

 

Sprint Nextel Corp., 9.00%,
11/15/18 (a)

 

 

1,890

 

 

1,904,175

 

 

 

 

 

 

 

11,189,817

 

Total Corporate Bonds – 54.1%

 

 

 

 

 

231,534,878

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

 

 

 

 

 

 

Aerospace & Defense — 0.3%

 

 

 

 

 

 

 

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

 

 

1,489

 

 

1,473,327

 

Airlines — 0.5%

 

 

 

 

 

 

 

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

 

 

2,369

 

 

2,254,163

 

Auto Components — 1.5%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term
Loan B, 2.75%, 8/07/14

 

 

3,453

 

 

3,326,870

 

Autoparts Holdings, Ltd.:

 

 

 

 

 

 

 

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

 

 

1,200

 

 

1,198,884

 

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

 

 

1,800

 

 

1,728,000

 

 

 

 

 

 

 

6,253,754

 

Biotechnology — 0.2%

 

 

 

 

 

 

 

Grifols SA, Term Loan B, 6.00%,
6/01/17

 

 

903

 

 

899,352

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2011

5


 

 

 

 

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

 

Building Products — 1.5%

 

 

 

 

 

 

 

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

 

USD

1,191

 

$

1,113,585

 

Goodman Global Holdings, Inc.:

 

 

 

 

 

 

 

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

 

 

3,025

 

 

3,015,255

 

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

 

 

982

 

 

981,406

 

Momentive Performance Materials,
Inc. (Nautilus), Extended Term
Loan, 4.70%, 5/05/15

 

EUR

1,061

 

 

1,320,616

 

 

 

 

 

 

 

6,430,862

 

Capital Markets — 1.0%

 

 

 

 

 

 

 

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

 

USD

1,764

 

 

1,755,513

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

First Lien Term Loan, 3.37% -
3.42%, 11/13/14

 

 

973

 

 

937,929

 

Extended Term Loan, 5.87% -
6.00%, 5/12/17

 

 

1,682

 

 

1,592,441

 

 

 

 

 

 

 

4,285,883

 

Chemicals — 4.9%

 

 

 

 

 

 

 

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

 

 

2,259

 

 

2,219,123

 

Ashland, Inc., Term Loan B, 3.75%,
8/23/18

 

 

1,300

 

 

1,300,819

 

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

 

 

1,300

 

 

1,298,375

 

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

 

 

1,995

 

 

1,968,047

 

MDI Holdings, LLC (FKA
MacDermid, Inc.), Tranche C
Term Loan, 3.38%, 4/11/14

 

EUR

644

 

 

833,288

 

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

 

USD

1,617

 

 

1,552,200

 

PolyOne Corp., Term Loan B,
5.00%, 11/01/17

 

 

660

 

 

659,175

 

PQ Corp. (FKA Niagara Acquisition,
Inc.), Original Term Loan facility (First
Lien), 3.51% - 3.68%, 7/30/14

 

 

2,451

 

 

2,297,524

 

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

 

 

2,196

 

 

1,889,633

 

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

 

 

4,432

 

 

4,424,599

 

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

 

 

2,382

 

 

2,295,986

 

 

 

 

 

 

 

20,738,769

 

Commercial Services & Supplies — 2.4%

 

 

 

 

 

 

 

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

 

 

2,394

 

 

2,360,611

 

Altegrity, Inc., (FKA US
Investigations Services, Inc.),
Tranche D Term Loan, 7.75%,
2/20/15

 

 

2,789

 

 

2,774,572

 

ARAMARK Corp.:

 

 

 

 

 

 

 

Letter of Credit - 1 Facility,
2.11%, 1/27/14

 

 

28

 

 

26,890

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Commercial Services & Supplies (concluded)

 

 

 

 

 

 

 

ARAMARK Corp. (concluded):

 

 

 

 

 

 

 

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

 

USD

29

 

$

28,017

 

Term Loan B, 2.24%, 1/27/14

 

 

342

 

 

333,798

 

Term Loan B, 3.62%, 7/26/16

 

 

438

 

 

426,020

 

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

 

 

879

 

 

868,924

 

Delos Aircraft, Inc., Term Loan B2,
7.00%, 3/17/16

 

 

975

 

 

975,975

 

Synagro Technologies, Inc., Term Loan
B, 2.25% - 2.26%, 4/02/14

 

 

876

 

 

739,084

 

Volume Services America, Inc., Term
Loan B, 10.50% - 10.75%, 9/16/16

 

 

1,782

 

 

1,753,042

 

 

 

 

 

 

 

10,286,933

 

Communications Equipment — 0.7%

 

 

 

 

 

 

 

Avaya, Inc., Term Loan B1, 3.26%,
10/24/14

 

 

1,828

 

 

1,697,578

 

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

 

 

1,493

 

 

1,485,038

 

 

 

 

 

 

 

3,182,616

 

Construction & Engineering — 0.9%

 

 

 

 

 

 

 

BakerCorp., Inc., Term Loan B,
5.00%, 6/01/18

 

 

873

 

 

862,775

 

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

 

 

2,750

 

 

2,750,000

 

 

 

 

 

 

 

3,612,775

 

Consumer Finance — 0.8%

 

 

 

 

 

 

 

Springleaf Financial Funding Co.
(FKA AGFS Funding Co.), Term
Loan, 5.50%, 5/10/17

 

 

4,145

 

 

3,593,218

 

Containers & Packaging — 0.5%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., Term
Loan C, 2.25%, 4/03/15

 

 

339

 

 

318,834

 

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

 

 

1,728

 

 

1,741,449

 

 

 

 

 

 

 

2,060,283

 

Diversified Consumer Services — 2.8%

 

 

 

 

 

 

 

Coinmach Service Corp., Term
Loan B, 3.25% - 3.32%,
11/20/14

 

 

4,524

 

 

4,022,040

 

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

 

 

5,108

 

 

4,759,184

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
2.76%, 7/24/14

 

 

319

 

 

302,155

 

Term Loan, 2.75% - 2.83%,
7/24/14

 

 

3,207

 

 

3,034,142

 

 

 

 

 

 

 

12,117,521

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 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

 

Diversified Financial Services — 0.9%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.:

 

 

 

 

 

 

 

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

 

USD

960

 

$

942,969

 

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

 

 

2,900

 

 

2,847,800

 

 

 

 

 

 

 

3,790,769

 

Diversified Telecommunication Services — 2.9%

 

 

 

 

 

 

 

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

 

 

3,618

 

 

3,638,147

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

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

 

 

6,000

 

 

5,805,000

 

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

 

 

1,500

 

 

1,451,250

 

Tranche A Term Loan, 2.65%,
3/13/14

 

 

200

 

 

187,750

 

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

 

 

1,500

 

 

1,417,125

 

 

 

 

 

 

 

12,499,272

 

Electrical Equipment — 0.1%

 

 

 

 

 

 

 

Generac Acquisition Corp., Term Loan
B, 2.75% - 2.87%, 11/11/13

 

 

297

 

 

289,793

 

Electronic Equipment, Instruments & Components — 1.2%

 

 

 

 

 

 

 

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

 

 

486

 

 

459,702

 

CDW LLC, Term Loan, 3.75%,
10/10/14

 

 

2,114

 

 

2,029,970

 

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

 

 

2,753

 

 

2,714,089

 

 

 

 

 

 

 

5,203,761

 

Energy Equipment & Services — 2.0%

 

 

 

 

 

 

 

CCS Corp., Term Loan B, 3.37%,
11/14/14

 

 

1,165

 

 

1,062,366

 

Dynegy Holdings, Inc.:

 

 

 

 

 

 

 

Coal Co. Term Loan, 9.25%,
8/04/16

 

 

1,643

 

 

1,640,059

 

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

 

 

3,007

 

 

3,028,711

 

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

 

 

3,000

 

 

2,966,790

 

 

 

 

 

 

 

8,697,926

 

Food & Staples Retailing — 1.5%

 

 

 

 

 

 

 

AB Acquisitions UK Topco 2 Ltd.
(FKA Alliance Boots), Facility B1,
3.63%, 7/09/15

 

GBP

3,000

 

 

4,186,847

 

US Foodservice, Inc., Term Loan B,
2.75% - 2.76%, 7/03/14

 

USD

2,192

 

 

1,990,083

 

 

 

 

 

 

 

6,176,930

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Food Products — 2.6%

 

 

 

 

 

 

 

Advance Pierre Foods, Inc.:

 

 

 

 

 

 

 

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

 

USD

2,871

 

$

2,853,057

 

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

 

 

1,800

 

 

1,790,244

 

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

 

 

4,199

 

 

3,968,504

 

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

 

 

1,505

 

 

1,504,228

 

Solvest, Ltd. (Dole):

 

 

 

 

 

 

 

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

 

 

589

 

 

400,360

 

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

 

 

749

 

 

743,526

 

 

 

 

 

 

 

11,259,919

 

Health Care Equipment & Supplies — 1.2%

 

 

 

 

 

 

 

Biomet, Inc., Term Loan B, 3.26% -
3.36%, 3/25/15

 

 

264

 

 

254,619

 

DJO Finance LLC, Term Loan B,
3.26%, 5/20/14

 

 

1,859

 

 

1,789,425

 

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

 

 

1,520

 

 

1,460,323

 

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

 

 

1,520

 

 

1,525,320

 

 

 

 

 

 

 

5,029,687

 

Health Care Providers & Services — 4.8%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Extended Term Loan B, 3.82%,
1/25/17

 

 

150

 

 

144,750

 

Non-Extended Delayed Draw
Term Loan, 2.51%, 7/25/14

 

 

72

 

 

69,476

 

Non-Extended Term Loan,
2.51% - 2.77%, 7/25/14

 

 

1,420

 

 

1,369,279

 

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

 

 

1,810

 

 

1,772,235

 

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

 

 

1,985

 

 

1,975,075

 

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

 

 

1,990

 

 

1,927,813

 

Harden Healthcare, Inc.:

 

 

 

 

 

 

 

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

 

 

673

 

 

659,214

 

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

 

 

2,238

 

 

2,193,617

 

HCA, Inc.:

 

 

 

 

 

 

 

Term Loan B, 2.62%,
11/18/13

 

 

245

 

 

240,330

 

Tranche B-3 Term Loan,
3.62%, 5/01/18

 

 

1,329

 

 

1,255,816

 

Health Management Associates,
Term Loan B, 3.50%, 11/16/18

 

 

1,575

 

 

1,567,787

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 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

 

Health Care Providers & Services (concluded)

 

 

 

 

 

 

 

inVentiv Health, Inc. (FKA Ventive
Health, Inc.):

 

 

 

 

 

 

 

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

 

USD

2,706

 

$

2,642,740

 

Incremental Term Loan B3,
6.75%, 5/15/18

 

 

1,438

 

 

1,405,156

 

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

 

 

1,995

 

 

1,905,225

 

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

 

 

1,290

 

 

1,287,024

 

 

 

 

 

 

 

20,415,537

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

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

 

 

1,985

 

 

1,978,180

 

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

 

 

1,310

 

 

1,316,144

 

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

 

 

942

 

 

931,654

 

 

 

 

 

 

 

4,225,978

 

Hotels, Restaurants & Leisure — 3.2%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co.,
Inc.:

 

 

 

 

 

 

 

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

 

 

1,011

 

 

996,214

 

Term Loan B1, 3.42%,
1/28/15

 

 

1,424

 

 

1,214,443

 

Term Loan B2, 3.26% - 3.42%,
1/28/15

 

 

841

 

 

717,189

 

Term Loan B3, 3.32% - 3.42%,
1/28/15

 

 

4,309

 

 

3,676,207

 

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

 

 

2,564

 

 

2,521,948

 

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

 

 

1,017

 

 

876,836

 

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

 

 

1,476

 

 

1,465,673

 

Six Flags Theme Parks, Inc.,
Tranche B Term Loan, (First
Lien), 5.25% - 6.00%, 6/30/16

 

 

2,166

 

 

2,154,752

 

 

 

 

 

 

 

13,623,262

 

Independent Power Producers & Energy Traders — 1.0%

 

 

 

 

 

 

 

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

 

 

1,791

 

 

1,770,851

 

Texas Competitive Electric
Holdings Co. LLC (TXU),
Extended Term Loan, 4.75%,
10/10/17

 

 

3,716

 

 

2,419,687

 

 

 

 

 

 

 

4,190,538

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Industrial Conglomerates — 0.7%

 

 

 

 

 

 

 

Sequa Corp.:

 

 

 

 

 

 

 

Incremental Term Loan,
7.00%, 12/03/14

 

USD

555

 

$

553,613

 

Term Loan, 3.63% - 3.70%,
12/03/14

 

 

2,643

 

 

2,546,700

 

 

 

 

 

 

 

3,100,313

 

Internet Software & Services — 0.2%

 

 

 

 

 

 

 

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

 

 

1,180

 

 

1,041,350

 

IT Services — 3.6%

 

 

 

 

 

 

 

Ceridian Corp., Term Loan, 3.26% -
3.38%, 11/10/14

 

 

2,316

 

 

2,054,452

 

First Data Corp.:

 

 

 

 

 

 

 

Extended Term Loan B, 4.26%,
3/23/18

 

 

6,563

 

 

5,479,138

 

Term Loan B-1, 3.01%,
9/24/14

 

 

592

 

 

523,869

 

Term Loan B-3, 3.01%,
9/24/14

 

 

210

 

 

185,947

 

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

 

 

853

 

 

816,886

 

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

 

 

1,154

 

 

1,128,602

 

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

 

 

1,455

 

 

1,453,763

 

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

 

 

3,711

 

 

3,692,796

 

 

 

 

 

 

 

15,335,453

 

Leisure Equipment & Products — 0.4%

 

 

 

 

 

 

 

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

 

 

1,737

 

 

1,684,745

 

Machinery — 0.9%

 

 

 

 

 

 

 

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

 

 

2,253

 

 

2,234,413

 

Terex Corp.:

 

 

 

 

 

 

 

Term Loan, 6.03%, 4/28/17

 

EUR

220

 

 

289,702

 

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

 

USD

1,300

 

 

1,296,750

 

 

 

 

 

 

 

3,820,865

 

Media — 9.8%

 

 

 

 

 

 

 

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

 

 

1,103

 

 

1,066,891

 

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

 

 

985

 

 

898,086

 

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

 

 

1,796

 

 

1,780,543

 

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

 

 

1,500

 

 

1,498,590

 

Cengage Learning Acquisitions, Inc.
(FKA Thomson Learning):

 

 

 

 

 

 

 

Term Loan, 2.51%, 7/03/14

 

 

83

 

 

70,026

 

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

 

 

1,257

 

 

1,158,142

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 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

 

Media (concluded)

 

 

 

 

 

 

 

Charter Communications Operating,
LLC:

 

 

 

 

 

 

 

Extended Term Loan, 3.62%,
9/06/16

 

USD

2,663

 

$

2,613,265

 

Term Loan, 7.25%, 3/06/14

 

 

46

 

 

45,732

 

Clear Channel Communications,
Inc., Term Loan B, 3.91%,
1/28/16

 

 

3,145

 

 

2,340,069

 

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

 

 

1,500

 

 

1,459,380

 

Gray Television, Inc., Term Loan B,
3.75%, 12/31/14

 

 

1,221

 

 

1,192,233

 

HMH Publishing Co., Ltd., Term
Loan, 6.44%, 6/12/14

 

 

2,339

 

 

1,607,734

 

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

 

 

1,097

 

 

1,078,048

 

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

 

 

8,180

 

 

8,070,961

 

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

 

 

1,692

 

 

1,657,670

 

Lavena Holding 3 GmbH
(Prosiebensat.1 Media AG), Term
Loan B, 4.20%, 3/06/15

 

EUR

304

 

 

312,648

 

Lavena Holdings 4 GmbH
(Prosiebensat.1 Media AG), Term
Loan C, 4.45%, 3/04/16

 

 

608

 

 

629,378

 

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

 

USD

980

 

 

962,850

 

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

 

 

4,250

 

 

4,372,187

 

Nielsen Finance LLC, Class C Term
Loan, 3.50%, 5/02/16

 

 

404

 

 

391,858

 

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

 

 

1,308

 

 

1,302,611

 

Sunshine Acquisition Ltd. (FKA HIT
Entertainment), Term Facility,
5.50%, 6/01/12

 

 

1,916

 

 

1,888,945

 

Univision Communications, Inc.,
Extended First Lien Term Loan,
4.51%, 3/31/17

 

 

1,872

 

 

1,674,901

 

UPC Broadband Holding B.V., Term
Loan U, 5.37%, 12/29/17

 

EUR

646

 

 

813,329

 

UPC Financing Partnership, Term
Loan, 4.75%, 12/29/17

 

USD

855

 

 

834,694

 

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

 

 

594

 

 

584,502

 

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

 

 

1,432

 

 

1,424,103

 

 

 

 

 

 

 

41,729,376

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Metals & Mining — 2.1%

 

 

 

 

 

 

 

Novelis, Inc., Term Loan, 3.75%,
3/10/17

 

USD

3,126

 

$

3,070,351

 

SunCoke Energy, Inc., Term Loan
B, 4.00% - 5.25%, 7/26/18

 

 

1,596

 

 

1,568,070

 

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

 

 

4,355

 

 

4,270,971

 

 

 

 

 

 

 

8,909,392

 

Multi-Utilities — 0.1%

 

 

 

 

 

 

 

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

 

 

395

 

 

379,453

 

Multiline Retail — 1.3%

 

 

 

 

 

 

 

Dollar General Corp., Tranche B-2
Term Loan, 3.00% - 3.00%, 7/07/14

 

 

1,439

 

 

1,431,601

 

Hema Holding BV:

 

 

 

 

 

 

 

Second Lien Term Loan,
6.36%, 1/05/17

 

EUR

2,900

 

 

3,182,341

 

Term Loan B, 3.36%, 7/05/16

 

 

363

 

 

435,768

 

Term Loan C, 4.11%, 7/06/15

 

 

363

 

 

433,332

 

 

 

 

 

 

 

5,483,042

 

Oil, Gas & Consumable Fuels — 1.1%

 

 

 

 

 

 

 

Gibson Energy, Term Loan B,
5.75%, 6/15/18

 

USD

1,496

 

 

1,490,639

 

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

 

 

3,341

 

 

3,324,019

 

 

 

 

 

 

 

4,814,658

 

Paper & Forest Products — 0.8%

 

 

 

 

 

 

 

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

 

 

1,050

 

 

1,053,937

 

Verso Paper Finance Holdings LLC,
Term Loan, 6.68% - 7.43%,
2/01/13 (h)

 

 

4,576

 

 

2,287,980

 

 

 

 

 

 

 

3,341,917

 

Pharmaceuticals — 1.8%

 

 

 

 

 

 

 

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

 

 

1,787

 

 

1,699,408

 

Endo Pharmaceuticals Holdings,
Inc., Term Loan B, 4.00%,
6/18/18

 

 

1,207

 

 

1,204,321

 

Pharmaceutical Products Development:

 

 

 

 

 

 

 

Bridge Term Loan, 1.00%,
11/02/12

 

 

1,310

 

 

—

 

Term Loan B, 9.75%,
12/05/18

 

 

1,745

 

 

1,720,378

 

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

 

 

778

 

 

754,709

 

RPI Finance Trust, Term Loan
Tranche 2, 4.00%, 5/09/18

 

 

1,147

 

 

1,139,003

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 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

 

Pharmaceuticals (concluded)

 

 

 

 

 

 

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

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

 

USD

864

 

$

850,185

 

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

 

 

432

 

 

425,092

 

 

 

 

 

 

 

7,793,096

 

Professional Services — 1.1%

 

 

 

 

 

 

 

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

 

 

245

 

 

244,236

 

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

 

 

2,500

 

 

2,507,125

 

Fifth Third Processing Solutions,
LLC, Term Loan B (First Lien),
4.50%, 11/03/16

 

 

2,084

 

 

2,072,125

 

 

 

 

 

 

 

4,823,486

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

Istar Financial, Inc., Term Loan A1,
5.00%, 6/28/13

 

 

3,142

 

 

3,100,021

 

Real Estate Management & Development — 1.3%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
3.44%, 10/10/13

 

 

2,670

 

 

2,469,116

 

Extended Letter of Credit,
4.44%, 10/10/16

 

 

334

 

 

295,298

 

Extended Term Loan, 4.69%,
10/10/16

 

 

3,033

 

 

2,683,878

 

 

 

 

 

 

 

5,448,292

 

Road & Rail — 0.3%

 

 

 

 

 

 

 

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

 

 

1,085

 

 

1,087,040

 

Semiconductors & Semiconductor Equipment — 0.6%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc.,
Extended Term Loan B, 4.50%,
12/01/16

 

 

728

 

 

687,139

 

Microsemi Corp., Term Loan B,
5.75%, 2/02/18

 

 

1,090

 

 

1,087,962

 

NXP B.V., Incremental Term Loan,
5.50%, 12/12/17

 

 

905

 

 

868,239

 

 

 

 

 

 

 

2,643,340

 

Software — 0.1%

 

 

 

 

 

 

 

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

 

 

600

 

 

569,502

 

Specialty Retail — 3.5%

 

 

 

 

 

 

 

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

 

 

1,900

 

 

1,865,173

 

Burlington Coat Factory
Warehouse Corp., Term Loan B,
6.25%, 2/23/17

 

 

1,407

 

 

1,367,519

 

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

 

 

2,175

 

 

2,124,257

 

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

 

 

652

 

 

598,772

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Specialty Retail (concluded)

 

 

 

 

 

 

 

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

 

USD

796

 

$

752,220

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 2.63% -
2.69%, 10/31/13

 

 

980

 

 

952,540

 

Term Loan B-2, 4.88% -
4.94%, 7/31/16

 

 

1,517

 

 

1,475,714

 

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

 

 

2,708

 

 

2,626,421

 

Toys ‘R’ Us Delaware, Inc.:

 

 

 

 

 

 

Initial Loan, 6.00%, 9/01/16

 

 

1,902

 

 

1,875,362

 

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

 

 

1,144

 

 

1,120,885

 

 

 

 

 

 

 

14,758,863

 

Wireless Telecommunication Services — 1.7%

 

 

 

 

 

 

 

MetroPCS Wireless, Inc., Term Loan B,
4.00% - 4.06%, 3/16/18

 

 

1,264

 

 

1,223,868

 

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

 

 

5,887

 

 

5,872,077

 

 

 

 

 

 

 

7,095,945

 

Total Floating Rate Loan Interests – 72.5%

 

 

 

 

 

309,552,977

 

 

 

 

 

 

 

 

 

 

 

Other Interests (i)

 

Beneficial
Interest
(000)

 

 

 

Auto Components — 0.0%

 

 

 

 

 

 

 

Intermet Liquidating Trust, Class A (c)

 

 

833

 

 

1

 

Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc., Litigation
Trust Certificate

 

 

10,000

 

 

100

 

Diversified Financial Services — 0.3%

 

 

 

 

 

 

 

DSU JGW SPV, LLC (JG Wentworth LLC
Preferred Equity Interests) (c)(j)

 

 

1

 

 

1,320,018

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc. (c)

 

 

1,440

 

 

14

 

Household Durables — 0.4%

 

 

 

 

 

 

 

DSU (S-Martin) SPV, LLC (Stanley
Martin, Class B Membership
Units) (c)(j)

 

 

2

 

 

1,844,155

 

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

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2011

10


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Other Interests (i)

 

Beneficial
Interest
(000)

 

 

 

 

Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc. Default
Escrow (c)

 

USD

21,700

 

$

217

 

Total Other Interests – 0.7%

 

 

 

 

 

3,168,021

 

 

 

 

 

 

 

 

 
               

 

 

 

 

 

 

 

 

Warrants (k)

 

Shares

 

 

 

 

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 — 0.1%

 

 

 

 

 

 

 

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

 

 

12,661

 

 

147,627

 

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 – 0.1%

 

 

 

 

 

147,653

 

Total Investments (Cost — $636,001,525*) - 131.2%

 

 

 

 

 

560,540,941

 

Liabilities in Excess of Other Assets – (31.2)%

 

 

 

 

 

(133,249,418

)

Net Assets – 100.0%

 

 

 

 

$

427,291,523

 

 

 

 

 

 

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of November 30, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

631,973,780

 

Gross unrealized appreciation

 

$

10,431,112

 

Gross unrealized depreciation

 

 

(81,863,951

)

Net unrealized depreciation

 

$

(71,432,839

)

 

 

(a)

Security exempt from registration pursuant to Rule 144A under 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)

Issuer filed for bankruptcy and/or is in default of 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)

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

 

 

(j)

Wholly owned subsidiary.

 

 

(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.

 

 

•

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
November 30,
2011

 

Income

 

BlackRock Liquidity Funds, TempFund, Institutional Class

 

 

436,377

 

 

(436,377

)

 

—

 

$

1,894

 

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2011

11


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)


 

 

•

Foreign currency exchange contracts as of November 30, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency Sold

 

Counterparty

 

Settlement Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

 

 

4,253,926

 

GBP

2,729,500

 

Citibank NA

 

1/18/12

 

$

(26,587

)

CAD

 

 

154,000

 

USD

152,123

 

Deutsche Bank Securities, Inc.

 

1/18/12

 

 

(1,311

)

EUR

 

 

181,500

 

USD

247,996

 

Citibank NA

 

1/25/12

 

 

(3,987

)

USD

 

 

18,355,013

 

EUR

13,346,000

 

Citibank NA

 

1/25/12

 

 

412,640

 

EUR

 

 

364,000

 

USD

495,006

 

Deutsche Bank Securities, Inc.

 

1/25/12

 

 

(5,645

)

EUR

 

 

254,000

 

USD

344,902

 

Royal Bank of Scotland

 

1/25/12

 

 

(3,424

)

USD

 

 

83,622

 

EUR

60,000

 

Royal Bank of Scotland

 

1/25/12

 

 

2,957

 

Total

 

 

 

 

 

 

 

 

 

 

 

$

374,643

 

 

 

 

•

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 in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund’s perceived risk of 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 semi-annual report.

The following tables summarize the inputs used as of November 30, 2011 in determining the fair valuation of the Fund’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2011

12


 

 


Schedule of Investments (concluded)


BlackRock Debt Strategies Fund, Inc. (DSU)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

—

 

$

3,047,399

 

$

4,738,134

 

$

7,785,533

 

Common Stocks

 

$

312,602

 

 

1,997,721

 

 

6,041,556

 

 

8,351,879

 

Corporate Bonds

 

 

—

 

 

221,768,711

 

 

9,766,167

 

 

231,534,878

 

Floating Rate Loan interests

 

 

—

 

 

279,422,986

 

 

30,129,991

 

 

309,552,977

 

Other Interests

 

 

3,441

 

 

—

 

 

3,164,580

 

 

3,168,021

 

Warrants

 

 

147,627

 

 

—

 

 

26

 

 

147,653

 

Total

 

$

463,670

 

$

506,236,817

 

$

53,840,454

 

$

560,540,941

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments 1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

—

 

$

415,597

 

 

—

 

$

415,597

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

—

 

 

(40,954

)

 

—

 

 

(40,954

)

Total

 

 

—

 

$

374,643

 

 

—

 

$

374,643

 

 

 

1

Derivative financial instruments are foreign currency exchange contracts, which 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

 

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

 

 

52,656

 

 

—

 

 

378,492

 

 

173,625

 

 

—

 

 

—

 

 

604,773

 

Net realized gain (loss)

 

 

62,231

 

 

18,840

 

 

(7,815,300

)

 

155,475

 

 

1,749,851

 

 

—

 

 

(5,828,903

)

Net change in unrealized appreciation/depreciation2

 

 

(568,853

)

 

(10,558,098

)

 

9,811,688

 

 

4,070,780

 

 

159,270

 

 

—

 

 

2,914,787

 

Purchases

 

 

1,712,700

 

 

15,678,130

 

 

25,052

 

 

6,667,523

 

 

9,832

 

 

—

 

 

24,093,237

 

Sales

 

 

(1,813,925

)

 

(23,902

)

 

(5,411,247

)

 

(25,539,504

)

 

(3,511,445

)

 

—

 

 

(36,300,023

)

Transfers in3

 

 

—

 

 

—

 

 

444

 

 

6,815,140

 

 

—

 

 

—

 

 

6,815,584

 

Transfers out3

 

 

(1,100,000

)

 

—

 

 

—

 

 

(12,966,704

)

 

(5

)

 

—

 

 

(14,066,709

)

Balance, as of November 30, 2011

 

$

4,738,134

 

$

6,041,556

 

$

9,766,167

 

$

30,129,991

 

$

3,164,580

 

$

26

 

$

53,840,454

 

 

 

2

The change in unrealized appreciation/depreciation on securities still held on November 30, 2011 was $(13,486,899).

 

 

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


 

 

 

 

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2011

13

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: January 23, 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: January 23, 2012

 

 

 

 By: /s/ Neal J. Andrews

 

 

 

Neal J. Andrews

 

 

Chief Financial Officer (principal financial officer) of

 

 

BlackRock Debt Strategies Fund, Inc.

 

 

 

 

Date: January 23, 2012