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 811-8603
Name of Fund: BlackRock Debt Strategies Fund, Inc.
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, BlackRock Debt Strategies Fund, Inc., 800 Scudders Mill Road,
Plainsboro, NJ 08536. Mailing address: P.O. Box 9011, Princeton, NJ
08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 02/28/2007
Date of reporting period: 09/01/06 - 11/30/06
Item 1 - Schedule of Investments
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2006 (in U.S. dollars)
Face
Amount Corporate Bonds Value
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Aerospace & Defense - 3.3% $ 5,000,000 Alliant Techsystems, Inc., 3% due 8/15/2024 (b)(j) $ 5,850,000
470,000 Argo-Tech Corp., 9.25% due 6/01/2011 487,625
565,000 Bombardier, Inc., 8% due 11/15/2014 (j) 567,820
7,500,000 L-3 Communications Corp., 3% due 8/01/2035 (b)(j) 7,790,625
9,870,000 Vought Aircraft Industries, Inc., 8% due 7/15/2011 9,475,200
--------------
24,171,270
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Automobiles - 0.1% 1,000,000 United Auto Group, Inc., 7.75% due 12/15/2016 (j) 1,000,000
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Automotive - 3.4% 2,500,000 Delco Remy International, Inc., 9.374% due 4/15/2009 (c) 2,356,250
4,900,000 Ford Motor Co., 7.45% due 7/16/2031 3,877,125
750,000 Ford Motor Credit Co., 9.824% due 4/15/2012 (c) 793,806
4,500,000 The Goodyear Tire & Rubber Co., 9.14% due 12/01/2009 (c)(j) 4,516,875
1,830,000 The Goodyear Tire & Rubber Co., 8.625% due 12/01/2011 (j) 1,857,450
1,620,000 Lear Corp., 8.75% due 12/01/2016 (j) 1,595,700
10,050,000 Metaldyne Corp., 11% due 6/15/2012 9,874,125
4,450,000 Venture Holdings Co. LLC, 12% due 6/01/2009 (f) 0
1,800,000 Venture Holdings Co. LLC, Series B, 9.50% due 7/01/2005 (m) 7,200
--------------
24,878,531
----------------------------------------------------------------------------------------------------------------------------------
Broadcasting - 4.6% 5,000,000 Canadian Satellite Radio Holdings, Inc., 12.75% due 2/15/2014 4,981,250
1,100,000 LIN Television Corp. Series B, 6.50% due 5/15/2013 1,045,000
2,800,000 Paxson Communications Corp., 8.757% due 1/15/2012 (c)(j) 2,828,000
3,235,000 Sinclair Broadcast Group, Inc. Class A, 4.875% due 7/15/2018 (b) 2,927,675
11,680,000 Sirius Satellite Radio, Inc., 9.625% due 8/01/2013 11,534,000
8,000,000 XM Satellite Radio, Inc., 9.871% due 5/01/2013 (c) 7,720,000
2,685,000 Young Broadcasting, Inc., 10% due 3/01/2011 2,537,320
--------------
33,573,245
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Cable - International - 0.1% 750,000 NTL Cable Plc, 8.75% due 4/15/2014 783,750
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Cable - U.S. - 9.6% 7,500,000 Adelphia Communications Corp., 6% due 2/15/2006 (b)(m) 46,500
3,450,000 CSC Holdings, Inc., 7.25% due 7/15/2008 3,493,125
4,225,000 Cablevision Systems Corp. Series B, 9.87% due 4/01/2009 (c) 4,425,683
3,750,000 Charter Communications Holdings LLC, 10% due 4/01/2009 3,618,750
2,000,000 Charter Communications Holdings LLC, 11.75% due 1/15/2010 1,890,000
2,000,000 Charter Communications Holdings LLC, 11.125% due 1/15/2011 1,840,000
3,000,000 Charter Communications Holdings LLC, 10% due 5/15/2011 2,692,500
1,289,000 Insight Midwest, LP, 9.75% due 10/01/2009 1,306,724
7,500,000 Intelsat Bermuda Ltd., 11.354% due 6/15/2013 (c)(j) 7,950,000
10,350,000 Intelsat Intermediate Holding Co. Ltd., 9.25% due 2/01/2015 (i) 7,840,125
2,215,000 Intelsat Subsidiary Holdings Co. Ltd., 10.484% due 1/15/2012 (c) 2,242,688
3,375,000 Intelsat Subsidiary Holdings Co. Ltd., 8.25% due 1/15/2013 3,438,281
4,800,000 Intelsat Subsidiary Holdings Co. Ltd., 8.625% due 1/15/2015 4,986,000
1,023,000 Loral Spacecom Corp., 14% due 11/15/2015 (h) 1,191,795
3,875,000 Mediacom LLC, 9.50% due 1/15/2013 3,981,563
7,260,000 PanAmSat Corp., 9% due 6/15/2016 (j) 7,632,075
10,000,000 Rainbow National Services LLC, 10.375% due 9/01/2014 (j) 11,100,000
--------------
69,675,809
----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 9.8% 3,550,000 ArCo Chemical Co., 9.80% due 2/01/2020 4,038,125
4,000,000 Compass Minerals International, Inc. Series B, 12% due 6/01/2013 (i) 3,800,000
9,783,000 GEO Specialty Chemicals, Inc., 13.867% due 12/31/2009 8,070,975
1,166,000 Huntsman International, LLC, 9.875% due 3/01/2009 1,203,895
1,500,000 Innophos, Inc., 8.875% due 8/15/2014 1,503,750
7,650,000 Lyondell Chemical Co., 8% due 9/15/2014 7,889,063
1,775,000 Lyondell Chemical Co., 8.25% due 9/15/2016 1,846,000
2,400,000 Millennium America, Inc., 7.625% due 11/15/2026 2,136,000
1,050,000 Momentive Performance Materials, Inc., 10.125% due 12/01/2014 (j) 1,056,563
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2006 (in U.S. dollars)
Face
Amount Corporate Bonds Value
----------------------------------------------------------------------------------------------------------------------------------
$17,025,000 Nova Chemicals Corp., 8.502% due 11/15/2013 (c) $ 17,067,563
10,000,000 Omnova Solutions, Inc., 11.25% due 6/01/2010 10,700,000
5,025,101 PCI Chemicals Canada, Inc., 10% due 12/31/2008 5,150,729
2,500,000 PolyOne Corp., 6.89% due 9/22/2008 2,406,250
2,612,000 Rockwood Specialties Group, Inc., 10.625% due 5/15/2011 2,781,780
1,405,000 Tronox Worldwide LLC, 9.50% due 12/01/2012 1,461,200
--------------
71,111,893
----------------------------------------------------------------------------------------------------------------------------------
Consumer - Durables - 1.7% 16,500,000 Simmons Co., 11.074% due 12/15/2014 (i) 12,540,000
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Consumer - Non-Durables - 1.8% 9,000,000 Hines Nurseries, Inc., 10.25% due 10/01/2011 7,245,000
5,750,000 Levi Strauss & Co., 10.122% due 4/01/2012 (c) 5,922,500
--------------
13,167,500
----------------------------------------------------------------------------------------------------------------------------------
Diversified Media - 5.3% 280,000 Affinion Group, Inc., 10.125% due 10/15/2013 296,100
950,000 Affinion Group, Inc., 11.50% due 10/15/2015 1,002,250
2,000,000 Cadmus Communications Corp., 8.375% due 6/15/2014 1,950,000
7,435,133 Houghton Mifflin Co., 12.127% due 5/15/2011 (c)(j) 7,528,072
4,250,000 Idearc, Inc., 8% due 11/15/2016 (j) 4,319,063
7,500,000 Liberty Media Corp., 0.75% due 3/30/2023 (b) 8,906,250
2,675,000 Muzak Holdings, LLC, 13% due 3/15/2010 535,000
3,875,000 NBC Acquisition Corp., 11% due 3/15/2013 (i) 2,828,750
580,000 Network Communications, Inc., 10.75% due 12/01/2013 586,525
4,325,000 Nielsen Finance LLC, 10% due 8/01/2014 (j) 4,573,688
5,300,000 Universal City Florida Holdings Co. I, 10.239% due 5/01/2010 (c) 5,445,750
--------------
37,971,448
----------------------------------------------------------------------------------------------------------------------------------
Energy - Exploration & 480,000 Berry Petroleum Co., 8.25% due 11/01/2016 480,000
Production - 1.3% 3,000,000 Chaparral Energy, Inc., 8.50% due 12/01/2015 3,000,000
5,500,000 Compton Petroleum Finance Corp., 7.625% due 12/01/2013 5,225,000
960,000 Stone Energy Corp., 8.124% due 7/15/2010 (c)(j) 952,800
--------------
9,657,800
----------------------------------------------------------------------------------------------------------------------------------
Energy - Other - 2.3% 2,045,000 Dresser-Rand Group, Inc., 7.375% due 11/01/2014 2,055,225
8,000,000 Ocean RIG ASA, 9.37% due 4/04/2011 7,960,000
6,300,000 SemGroup LP, 8.75% due 11/15/2015 (j) 6,363,000
--------------
16,378,225
----------------------------------------------------------------------------------------------------------------------------------
Financial - 1.1% 5,743,690 Archimedes Funding III Ltd., 5.50% due 11/29/2011 (c)(j) 3,819,554
1,500,000 Investcorp SA, 7.54% due 10/21/2008 1,522,319
1,210,000 NCO Group, Inc., 10.244% due 11/15/2013 (c)(j) 1,194,875
2,000,000 Pennant CBO Ltd., 13.43% due 3/14/2011 (j) 1,600,000
--------------
8,136,748
----------------------------------------------------------------------------------------------------------------------------------
Food & Tobacco - 0.1% 842,946 Archibald Candy Corp., 10% due 11/01/2007 (f) 53,687
600,000 Swift & Co., 12.50% due 1/01/2010 615,000
--------------
668,687
----------------------------------------------------------------------------------------------------------------------------------
Gaming - 3.7% 9,250,000 Galaxy Entertainment Finance Co. Ltd., 10.42% due 12/15/2010 (c)(j) 9,897,500
1,250,000 Galaxy Entertainment Finance Co. Ltd., 9.875% due 12/15/2012 (j) 1,334,375
5,250,000 Inn of the Mountain Gods Resort & Casino, 12% due 11/15/2010 5,591,250
2,560,000 Little Traverse Bay Bands of Odawa Indians, 10.25% due 2/15/2014 (j) 2,572,800
915,000 Penn National Gaming, Inc., 6.75% due 3/01/2015 898,988
3,400,000 Station Casinos, Inc., 7.75% due 8/15/2016 3,497,750
3,000,000 Tunica-Biloxi Gaming Authority, 9% due 11/15/2015 (j) 3,097,500
--------------
26,890,163
----------------------------------------------------------------------------------------------------------------------------------
Health Care - 6.4% 3,525,000 CDRV Investors, Inc., 9.75% due 1/01/2015 (i) 2,749,500
4,963,829 Cinacalcet Royalty Corp., 8% due 3/30/2017 (j) 5,410,573
3,525,000 Elan Finance Plc, 7.75% due 11/15/2011 3,428,063
4,825,000 Elan Finance Plc, 9.405% due 11/15/2011 (c) 4,800,875
9,000,000 HealthSouth Corp., 11.418% due 6/15/2014 (c)(j) 9,427,500
4,475,000 HealthSouth Corp., 10.75% due 6/15/2016 (j) 4,765,875
1,400,000 Omnicare, Inc. Series OCR, 3.25% due 12/15/2035 (b) 1,225,000
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2006 (in U.S. dollars)
Face
Amount Corporate Bonds Value
----------------------------------------------------------------------------------------------------------------------------------
$ 5,000,000 Risperdal Consta Pharma, 7% due 1/01/2018 $ 4,600,000
6,000,000 Tenet Healthcare Corp., 7.375% due 2/01/2013 5,475,000
1,400,000 VWR International, Inc., 8% due 4/15/2014 1,428,000
4,100,000 Vanguard Health Holding Co. I, LLC, 11.25% due 10/01/2015 (i) 3,116,000
--------------
46,426,386
----------------------------------------------------------------------------------------------------------------------------------
Housing - 5.6% 2,319,000 Goodman Global Holdings Co., Inc., 8.329% due 6/15/2012 (c) 2,365,380
8,200,000 Goodman Global Holdings Co., Inc., 7.875% due 12/15/2012 7,913,000
10,000,000 Masonite Corp., 11% due 4/06/2015 (j) 9,100,000
5,850,000 Nortek, Inc., 8.50% due 9/01/2014 5,645,250
5,450,000 Ply Gem Industries, Inc., 9% due 2/15/2012 4,482,625
3,000,000 Scranton Products, Inc., 12.39% due 7/01/2012 (c) 3,060,000
1,300,000 Scranton Products, Inc., 10.50% due 7/01/2013 1,322,750
2,250,000 Stanley-Martin Communities LLC, 9.75% due 8/15/2015 1,698,750
5,000,000 Technical Olympic USA, Inc., 8.25% due 4/01/2011 (j) 4,725,000
--------------
40,312,755
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Information Technology - 6.9% 6,950,000 Amkor Technology, Inc., 9.25% due 2/15/2008 7,054,250
3,000,000 Amkor Technology, Inc., 7.125% due 3/15/2011 2,820,000
720,000 Compagnie Generale de Geophysique SA, 7.50% due 5/15/2015 721,800
1,000,000 Cypress Semiconductor Corp., 1.25% due 6/15/2008 (b) 1,268,750
5,770,000 Freescale Semiconductor, Inc., 9.125% due 12/15/2014 (h)(j) 5,770,000
4,270,000 Freescale Semiconductor, Inc., 9.244% due 12/15/2014 (c)(j) 4,253,988
1,235,000 Freescale Semiconductor, Inc., 10.125% due 12/15/2016 (j) 1,248,894
1,435,000 MagnaChip Semiconductor SA, 8.61% due 12/15/2011 (c) 1,277,150
6,300,000 SunGard Data Systems, Inc., 9.125% due 8/15/2013 6,607,125
4,600,000 SunGard Data Systems, Inc., 9.973% due 8/15/2013 (c) 4,778,250
4,818,000 SunGard Data Systems, Inc., 10.25% due 8/15/2015 5,107,080
2,925,000 Telcordia Technologies, Inc., 10% due 3/15/2013 (j) 2,515,500
2,775,000 UGS Capital Corp. II, 10.348% due 6/01/2011 (h)(j) 2,927,625
3,500,000 Viasystems, Inc., 10.50% due 1/15/2011 3,500,000
--------------
49,850,412
----------------------------------------------------------------------------------------------------------------------------------
Leisure - 2.7% 5,371,156 HRP Myrtle Beach Holdings LLC, 14.50% due 4/01/2014 (h)(j) 5,666,570
5,000,000 HRP Myrtle Beach Operations LLC, 9.829% due 4/01/2012 (c)(j) 4,987,500
5,000,000 HRP Myrtle Beach Operations LLC, 12.50% due 4/01/2013 (j) 4,987,500
700,000 Travelport, Inc., 9.875% due 9/01/2014 (j) 691,250
750,000 Travelport, Inc., 9.994% due 9/01/2014 (c)(j) 727,500
230,000 Travelport, Inc., 11.875% due 9/01/2016 (j) 225,975
2,000,000 True Temper Sports, Inc., 8.375% due 9/15/2011 1,785,000
--------------
19,071,295
----------------------------------------------------------------------------------------------------------------------------------
Manufacturing - 1.5% 4,000,000 CPI Holdco, Inc., 11.298% due 2/01/2015 (c) 4,110,000
3,815,000 Invensys Plc, 9.875% due 3/15/2011 (j) 4,110,663
2,465,000 NXP B.V., 9.50% due 10/15/2015 (j) 2,529,706
--------------
10,750,369
----------------------------------------------------------------------------------------------------------------------------------
Metal - Other - 2.7% 1,500,000 Indalex Holding Corp., 11.50% due 2/01/2014 1,605,000
5,000,000 Indalex Holding Corp., 11.50% due 2/01/2014 (j) 5,212,500
8,500,000 James River Coal Co., 9.375% due 6/01/2012 7,480,000
4,550,000 RathGibson, Inc., 11.25% due 2/15/2014 4,777,500
--------------
19,075,000
----------------------------------------------------------------------------------------------------------------------------------
Packaging - 1.9% 665,000 Berry Plastics Holding Corp., 8.875% due 9/15/2014 (j) 670,819
190,000 Berry Plastics Holding Corp., 9.235% due 9/15/2014 (c)(j) 191,663
1,100,000 Graham Packing Co., Inc., 9.875% due 10/15/2014 1,089,000
6,215,000 Packaging Dynamics Finance Corp., 10% due 5/01/2016 (j) 6,246,075
6,325,000 Wise Metals Group LLC, 10.25% due 5/15/2012 5,566,000
--------------
13,763,557
----------------------------------------------------------------------------------------------------------------------------------
Paper - 9.7% 6,500,000 Abitibi-Consolidated, Inc., 8.86% due 6/15/2011 (c) 6,175,000
9,725,000 Ainsworth Lumber Co. Ltd., 9.249% due 10/01/2010 (c) 8,217,625
8,000,000 Ainsworth Lumber Co. Ltd., 9.499% due 4/01/2013 (c) 6,300,000
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2006 (in U.S. dollars)
Face
Amount Corporate Bonds Value
----------------------------------------------------------------------------------------------------------------------------------
$ 2,150,000 Boise Cascade LLC, 8.382% due 10/15/2012 (c) $ 2,155,375
900,000 Boise Cascade LLC, 7.125% due 10/15/2014 864,000
7,600,000 Bowater, Inc., 8.36% due 3/15/2010 (c) 7,676,000
3,775,000 Domtar, Inc., 7.125% due 8/15/2015 3,614,563
1,555,000 Graphic Packaging International Corp., 9.50% due 8/15/2013 1,601,650
8,000,000 NewPage Corp., 11.739% due 5/01/2012 (c) 8,660,000
4,725,000 NewPage Corp., 12% due 5/01/2013 4,984,875
13,625,000 Smurfit Kappa Funding Plc, 7.75% due 4/01/2015 13,080,000
1,600,000 Smurfit-Stone Container Enterprises, Inc., 8.375% due 7/01/2012 1,548,000
4,400,000 Verso Paper Holdings LLC, 9.121% due 8/01/2014 (c)(j) 4,488,000
530,000 Verso Paper Holdings LLC, 11.375% due 8/01/2016 (j) 551,200
--------------
69,916,288
----------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.7% 5,000,000 Angiotech Pharmaceuticals, Inc., 9.103% due 12/01/2013 (j) 5,000,000
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Retail - 3.7% 2,200,000 Buffets, Inc., 12.50% due 11/01/2014 (j) 2,205,500
3,790,000 Michaels Stores, Inc., 10% due 11/01/2014 (j) 3,870,538
8,660,000 Michaels Stores, Inc., 11.375% due 11/01/2016 (j) 8,876,500
6,000,000 Neiman Marcus Group, Inc., 9% due 10/15/2015 6,502,500
5,000,000 Neiman Marcus Group, Inc., 10.375% due 10/15/2015 5,531,250
--------------
26,986,288
----------------------------------------------------------------------------------------------------------------------------------
Service - 2.8% 2,000,000 Buhrmann US, Inc., 7.875% due 3/01/2015 1,930,000
3,000,000 Neff Rental LLC, 11.25% due 6/15/2012 3,262,500
14,825,000 United Rentals North America, Inc., 7.75% due 11/15/2013 14,825,000
--------------
20,017,500
----------------------------------------------------------------------------------------------------------------------------------
Telecommunications - 4.3% 5,000,000 ADC Telecommunications, Inc., 5.729% due 6/15/2013 (b)(c) 4,725,000
4,905,000 Cincinnati Bell, Inc., 7.25% due 7/15/2013 5,027,625
195,000 Cincinnati Bell, Inc., 8.375% due 1/15/2014 199,388
2,600,000 Nordic Telephone Co. Holdings ApS, 8.875% due 5/01/2016 (j) 2,749,500
630,000 Nortel Networks Ltd., 9.624% due 7/15/2011 (c)(j) 653,625
7,900,000 Qwest Communications International, Inc., 8.874% due 2/15/2009 (c) 7,988,875
2,675,000 Qwest Corp., 8.61% due 6/15/2013 (c) 2,899,031
6,000,000 Time Warner Telecom Holdings, Inc., 9.25% due 2/15/2014 6,390,000
--------------
30,633,044
----------------------------------------------------------------------------------------------------------------------------------
Transportation - 0.3% 790,000 Britannia Bulk Plc, 11% due 12/01/2011 (j) 743,903
1,760,000 Titan Petrochemicals Group Ltd., 8.50% due 3/18/2012 (j) 1,443,200
--------------
2,187,103
----------------------------------------------------------------------------------------------------------------------------------
Utility - 1.9% 4,142,000 Centerpoint Energy, Inc. Series B, 3.75% due 5/15/2023 (b) 5,959,303
1,150,000 Conexant Systems, Inc., 9.124% due 11/15/2010 (c)(j) 1,162,938
510,000 Dynegy Holdings, Inc., 8.375% due 5/01/2016 530,400
4,000,000 El Paso Performance-Linked Trust, 7.75% due 7/15/2011 4,140,000
440,000 Reliant Energy, Inc., 9.50% due 7/15/2013 468,050
1,425,000 Williams Cos., Inc., 8.625% due 6/01/2010 1,499,447
--------------
13,760,138
----------------------------------------------------------------------------------------------------------------------------------
Wireless Communications - 2.0% 5,250,000 Cricket Communications, Inc., 9.375% due 11/01/2014 (j) 5,368,125
2,150,000 FiberTower Corp., 9% due 11/15/2012 (b)(j) 2,332,084
2,500,000 iPCS Escrow Co., 11.50% due 5/01/2012 2,781,250
300,000 West Corp., 9.50% due 10/15/2014 (j) 297,375
3,270,000 West Corp., 11% due 10/15/2016 (j) 3,249,563
--------------
14,028,397
----------------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds (Cost - $741,417,950) - 101.3% 732,383,601
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Floating Rate Loan Interests**
----------------------------------------------------------------------------------------------------------------------------------
Airlines - 1.1% 3,000,000 Delta Air Lines Term Loan B, 10.118% due 3/16/2008 3,019,218
3,000,000 Delta Air Lines Term Loan C, 12.773% due 3/16/2008 3,047,343
248,750 United Air Lines Delay Draw Term Loan, 9.125% due 2/01/2012 250,793
1,741,250 United Air Lines Term Loan B, 9.12% due 2/01/2012 1,755,553
--------------
8,072,907
----------------------------------------------------------------------------------------------------------------------------------
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2006 (in U.S. dollars)
Face
Amount Floating Rate Loan Interests** Value
----------------------------------------------------------------------------------------------------------------------------------
Automotive - 3.8% $ 7,775,042 Delphi Automotive Systems Term Loan B, 13.75% due 6/14/2011 $ 8,045,224
1,685,185 Intermet Corp. Letter of Credit, 10.20% due 11/08/2010 1,289,167
4,814,815 Intermet Corp. Term Loan B, 10.39% due 11/08/2010 3,683,333
4,000,000 JL French Corp. First Lien Term Loan, 8.375% due 6/05/2011 3,775,000
2,000,000 JL French Corp. Second Lien Term Loan, 10.75% due 6/05/2012 1,560,000
2,185,236 Tenneco Automotive, Inc. Term Loan B, 7.36% due 12/12/2010 2,192,749
959,936 Tenneco Automotive, Inc. Tranche B-1 Credit Linked Deposit, 7.32%
due 12/12/2010 963,236
5,750,000 Visteon Corp. Term Loan B, 8.61% due 6/13/2013 5,744,250
--------------
27,252,959
----------------------------------------------------------------------------------------------------------------------------------
Broadcasting - 1.1% 6,500,000 Ellis Communications Term Loan, 10% due 12/30/2011 6,483,750
1,500,000 Persona Communications Second Lien Term Loan, 11.32% due 4/30/2014 1,501,875
--------------
7,985,625
----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 9.1% 10,000,000 Adelphia Communications Corp. Term Loan B, 10.25% due 6/30/2009 9,755,430
8,317,962 Cebridge Connections Second Lien Term Loan, 11.49% due 5/05/2014 8,276,372
4,310,344 Cebridge Connections Term Loan B, 7.62% due 11/06/2013 4,295,866
7,000,000 Century Cable Holdings LLC Discretionary Term Loan, 10.25%
due 12/31/2009 6,820,625
20,000,000 Charter Communications, Inc. Term Loan B, 8.005% due 4/28/2013 20,126,260
6,750,000 Insight Midwest Holdings LLC Delayed Draw Term Loan, 7.572%
due 4/03/2014 6,782,063
2,250,000 Insight Midwest Holdings LLC Term Loan B, 5.32% due 4/06/2014 2,260,688
6,000,000 Olympus Cable Holdings LLC Term Loan B, 10.25% due 9/30/2010 5,854,686
1,500,000 Olympus Cable Holdings LLC Tranche 2 Term Loan A, 9.50%
due 6/30/2010 1,460,157
--------------
65,632,147
----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 2.1% 2,809,462 Huntsman ICI Holdings Term Loan B, 7.07% due 8/16/2012 2,804,779
741,000 NuSil Technology Term Loan, 8.07% due 10/31/2013 744,705
3,152,000 Rockwood Specialties Group, Inc. Tranche D Term Loan, 7.376% due
12/13/2012 3,163,820
10,000,000 Wellman, Inc. Second Lien Term Loan, 12.121% due 2/10/2010 8,500,000
--------------
15,213,304
----------------------------------------------------------------------------------------------------------------------------------
Consumer - Non-Durables - 0.1% 300,000 Gold Toe Investment Corp. Second Lien Term Loan, 11.32%
due 4/30/2014 304,500
662,069 Renfro Corp. Term Loan B, 8.61% - 10.50% due 9/30/2013 660,414
--------------
964,914
----------------------------------------------------------------------------------------------------------------------------------
Diversified Media - 1.0% 7,000,000 Idearc, Inc. Term Loan B, 7.32% due 11/15/2014 7,031,066
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Energy - Exploration & 10,000,000 Frontier Drilling Term Loan B, 8.64% - 8.69% due 6/21/2013 10,000,000
Production - 1.6% 500,000 Longyear Global Holdings, Inc. Second Lien Term Loan, 10.32%
due 10/31/2013 490,000
1,243,750 MEG Energy Corp. Term Loan B, 7.375% due 4/03/2013 1,244,861
--------------
11,734,861
----------------------------------------------------------------------------------------------------------------------------------
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2006 (in U.S. dollars)
Face
Amount Floating Rate Loan Interests** Value
----------------------------------------------------------------------------------------------------------------------------------
Energy - Other - 1.3% $ 468,153 Coleto Creek Wle LP Letter of Credit, 8.128% due 7/31/2013 $ 464,642
31,847 Coleto Creek Wle LP Term Loan B, 8.128% due 7/31/2013 31,608
1,000,000 Exco Resources, Inc. Second Lien Term Loan, 11.32% due 10/31/2011 1,010,000
8,000,000 Scorpion Drilling Ltd. Second Lien Term Loan, 13.57% due 5/05/2015 8,240,000
--------------
9,746,250
----------------------------------------------------------------------------------------------------------------------------------
Financial - 1.0% 6,000,000 JG Wentworth Manufacturing Term Loan, 8.867% 4/12/2011 6,052,500
250,000 Kyle Acquisition Term Loan B, 8.875% due 7/20/2009 248,594
1,000,000 Nielsen Finance LLC Term Loan B, 8.125% due 8/15/2013 1,002,708
--------------
7,303,802
----------------------------------------------------------------------------------------------------------------------------------
Food & Tobacco - 2.5% 1,000,000 Bolthouse Farms, Inc. Second Lien Term Loan, 10.867% due 12/16/2013 1,006,667
2,801,750 Commonwealth Brands Term Loan, 7.688% due 12/22/2012 2,816,459
1,000,000 DS Waters Enterprises, LP Term Loan B, 7.82% due 11/15/2012 1,001,250
465,116 Dole Food Co., Inc. Letter of Credit, 5.244% due 4/12/2013 459,819
1,041,279 Dole Food Co., Inc. Term Loan B, 7.438% - 9.25% due 4/12/2013 1,029,420
3,470,930 Dole Food Co., Inc. Term Loan C, 7.313% - 9.25% due 4/12/2013 3,431,400
1,000,000 Eight O'Clock Coffee Second Lien Term Loan, 8.125% due 7/21/2012 1,000,000
6,000,000 QCE LLC Second Lien Term Loan, 11.117% due 11/05/2013 5,973,750
2,070,000 S&C Holdco 2, Inc. Term Loan, 8% due 3/19/2010 1,500,750
--------------
18,219,515
----------------------------------------------------------------------------------------------------------------------------------
Gaming - 0.7% 5,000,000 Venetian Macau U.S. Finance Co. LLC Term Loan B, 8.12% due 5/25/2013 5,023,125
----------------------------------------------------------------------------------------------------------------------------------
Housing - 0.8% 4,672,338 Headwaters, Inc. Term Loan B-1, 7.38% due 4/30/2011 4,648,976
1,000,000 Ply Gem Industries, Inc. First Lien Term Loan, 11.07% due 10/31/2011 1,006,250
--------------
5,655,226
----------------------------------------------------------------------------------------------------------------------------------
Information Technology - 3.4% 3,787,892 Activant Solutions Term Loan B, 7.375% - 7.438% due 5/02/2013 3,754,748
1,000,000 Advanced Micro Devices, Inc. Term Loan B, 7.57% due 10/31/2013 1,003,472
8,000,000 Aspect Software Second Lien Term Loan, 12.375% due 7/11/2012 8,013,336
3,027,500 Fidelity National Information Solutions, Inc. Term Loan B, 7.07%
due 3/08/2013 3,027,291
3,500,000 The Reynolds and Reynolds Company Third Lien Term Loan, 12.82% due
10/31/2014 3,530,625
3,324,375 Telcordia Technologies, Inc. Term Loan, 7.86% - 7.90% due 9/15/2012 3,235,032
2,000,000 Verifone, Inc. Term Loan B, 7.07% due 2/28/2013 2,004,376
--------------
24,568,880
----------------------------------------------------------------------------------------------------------------------------------
Metal - Other - 1.2% 4,010,526 Euramax International Plc Second Lien Term Loan, 12.489%
due 6/29/2013 3,865,145
1,989,474 Euramax International Plc Second Lien Term Loan, 12.49%
due 6/29/2013 1,917,355
2,551,265 Euramax International Plc Tranche 3 Term Loan B, 8.188%
due 6/29/2012 2,553,179
--------------
8,335,679
----------------------------------------------------------------------------------------------------------------------------------
Packaging - 0.8% 3,832,759 Anchor Glass Container Corp. Term Loan B, 7.617% - 7.65%
due 5/03/2013 3,832,759
2,000,000 Graham Packaging Co. LP Second Lien Term Loan, 9.688% due 4/07/2012 2,018,750
--------------
5,851,509
----------------------------------------------------------------------------------------------------------------------------------
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2006 (in U.S. dollars)
Face
Amount Floating Rate Loan Interests** Value
----------------------------------------------------------------------------------------------------------------------------------
Retail - 0.1% $ 1,000,000 Petco Animal Supplies, Inc. Term Loan, 8.07% - 8.10% due 10/31/2012 $ 1,003,500
----------------------------------------------------------------------------------------------------------------------------------
Service - 1.3% 3,500,000 NES Rentals Holdings, Inc. Term Loan C, 12.125% due 7/20/2013 3,520,416
6,049,200 Waste Services, Inc. Term Loan B, 8.32% - 10.50% due 3/31/2011 6,072,383
--------------
9,592,799
----------------------------------------------------------------------------------------------------------------------------------
Telecommunications - 0.7% 500,000 Time Warner Telecom Term Loan, 7.57% due 10/31/2013 496,563
3,161,871 Winstar Communications Debtor in Possession, 6.366%
due 12/31/2006 (f) 4,347,573
--------------
4,844,136
----------------------------------------------------------------------------------------------------------------------------------
Utility - 1.7% 2,000,000 Calpine Corp. Second Lien Debtor in Possession, 9.367%
due 12/20/2007 2,028,334
1,995,000 Covanta Energy Corp. Delay Draw Term Loan, 7.621% due 6/30/2012 1,990,013
3,250,000 Covanta Energy Corp. Second Lien Term Loan, 10.871% due 6/24/2013 3,302,813
4,000,000 Generac Portable Products, Inc. Second Lien Term Loan, 11.32%
due 5/15/2014 4,017,500
750,000 NE Energy Second Lien Term Loan, 7.82% due 10/31/2014 759,688
--------------
12,098,348
----------------------------------------------------------------------------------------------------------------------------------
Wireless Communications - 1.2% 5,500,000 Centennial Cellular Operating Co. Term Loan, 7.57% - 7.65%
due 2/09/2011 5,535,519
3,000,000 West Corp. Term Loan, 8.07% due 10/31/2013 2,994,108
--------------
8,529,627
----------------------------------------------------------------------------------------------------------------------------------
Total Floating Rate Loan Interests (Cost - $264,228,266) - 36.6% 264,660,179
----------------------------------------------------------------------------------------------------------------------------------
Shares
Held Common Stocks
----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 0.6% 149,627 Loral Space & Communications Ltd. (e) 4,598,038
----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 0.1% 339,340 GEO Specialty Chemicals, Inc. (e) 339,340
----------------------------------------------------------------------------------------------------------------------------------
Financial - 0.3% 35,000 Preferred Term Securities VI (j) 1,953,350
----------------------------------------------------------------------------------------------------------------------------------
Food & Tobacco - 0.3% 1,428,423 Viskase Cos., Inc. (e) 2,142,635
----------------------------------------------------------------------------------------------------------------------------------
Leisure - 0.1% 5,000 HRP PIK Corp. Class B (j) 50
27,787 Lodgian, Inc. (e) 398,743
--------------
398,793
----------------------------------------------------------------------------------------------------------------------------------
Manufacturing - 0.9% 724,291 ACP Holding Co. (e) 905,364
403 GenTek Inc. (e) 13,230
286,757 Medis Technologies Ltd. (e) 5,792,491
--------------
6,711,085
----------------------------------------------------------------------------------------------------------------------------------
Paper - 0.0% 211,149 Western Forest Products, Inc. (e) 305,062
----------------------------------------------------------------------------------------------------------------------------------
Service - 0.4% 90,876 Outsourcing Solutions Inc. (e) 2,908,024
----------------------------------------------------------------------------------------------------------------------------------
Steel - 0.0% 41,149 Acme Package Corp. Senior Holdings (e)(l) 0
----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks (Cost - $22,346,702) - 2.7% 19,356,327
----------------------------------------------------------------------------------------------------------------------------------
Preferred Stocks
----------------------------------------------------------------------------------------------------------------------------------
Automotive - 0.6% 200,000 General Motors Corp. Series C, 6.25% (b) 4,510,000
----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 0.3% 5,000 Adelphia Communications Corp., Series B, 13% (e) 1,750
9,594 Loral Spacecom Corp., Series A, 12% (e)(h) 1,947,582
--------------
1,949,332
----------------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks (Cost - $7,243,044) - 0.9% 6,459,332
----------------------------------------------------------------------------------------------------------------------------------
Warrants (a)
----------------------------------------------------------------------------------------------------------------------------------
Broadcasting - 0.0% 15,000 Sirius Satellite Radio, Inc. (expires 5/15/2009) 6,750
----------------------------------------------------------------------------------------------------------------------------------
Health Care - 0.0% 126,761 HealthSouth Corp. (expires 1/16/2014) 101,409
----------------------------------------------------------------------------------------------------------------------------------
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2006 (in U.S. dollars)
Shares
Held Warrants (a) Value
----------------------------------------------------------------------------------------------------------------------------------
Manufacturing - 0.1% 652,739 ACP Holding Co. (expires 9/30/2013) $ 783,287
471 GenTek Inc. Tranche B (expires 11/10/2008) 19,782
231 GenTek Inc. Tranche C (expires 11/10/2010) 7,623
--------------
810,692
----------------------------------------------------------------------------------------------------------------------------------
Paper - 0.0% 17 Cellu Tissue Holdings, Inc. (expires 5/08/2007) 0
7,000 MDP Acquisitions Plc (expires 10/01/2013) 140,000
--------------
140,000
----------------------------------------------------------------------------------------------------------------------------------
Wireless Communications - 0.1% 1,325 American Tower Corp. (expires 8/01/2008) 707,644
----------------------------------------------------------------------------------------------------------------------------------
Total Warrants (Cost - $870,754) - 0.2% 1,766,495
----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Other Interests (g)
----------------------------------------------------------------------------------------------------------------------------------
Automotive - 0.0% $ 3,614,601 Cambridge Industries, Inc. (Litigation Trust Certificates) 36
----------------------------------------------------------------------------------------------------------------------------------
Total Other Interests (Cost - $0) - 0.0% 36
----------------------------------------------------------------------------------------------------------------------------------
Short-Term Securities
----------------------------------------------------------------------------------------------------------------------------------
10,729,351 BlackRock Liquidity Series, LLC Cash Sweep Series I, 5.26% (d)(k) 10,729,351
----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities (Cost - $10,729,351) - 1.5% 10,729,351
----------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $1,046,836,067*) - 143.2% 1,035,355,321
Liabilities in Excess of Other Assets - (43.2%) (312,400,786)
--------------
Net Assets - 100.0% $ 722,954,535
==============
* The cost and unrealized appreciation (depreciation) of investments as of
November 30, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 1,046,578,127
===============
Gross unrealized appreciation $ 32,895,947
Gross unrealized depreciation (44,118,753)
---------------
Net unrealized depreciation $ (11,222,806)
===============
** Floating rate loan interests in which the Fund invests generally pay
interest at rates that are periodically redetermined by reference to a
base lending rate plus a premium. The base lending rates are generally (i)
the lending rate offered by one or more European banks, such as LIBOR,
(London InterBank Offered Rate), (ii) the prime rate offered by one or
more U.S. banks or (iii) the certificate of deposit rate.
(a) 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.
(b) Convertible security.
(c) Floating rate security.
(d) Investments in companies considered to be an affiliate of the Fund, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
-----------------------------------------------------------------------------------
Affiliate Net Activity Interest
-----------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series I $ 10,729,351 $218,222
-----------------------------------------------------------------------------------
(e) Non-income producing security.
(f) Non-income producing security; issuer filed for bankruptcy or is in
default of interest payments.
(g) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(h) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(i) Represents a step bond; the interest rate shown reflects the effective
yield at the time of purchase.
(j) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(k) Represents the current yield as of November 30, 2006.
(l) Restricted securities as to resale, representing 0.0% of net assets, were
as follows:
--------------------------------------------------------------------------
Issue Acquisition Date Cost Value
--------------------------------------------------------------------------
Acme Package Corp. Senior Holdings 11/25/2002 -- --
--------------------------------------------------------------------------
(m) As a result of bankruptcy proceedings, the company did not repay the
principal amount of the security upon maturity and is non-income
producing.
o 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 ratings group indexes, and/or as
defined by Fund management. This definition may not apply for purposes of
this report, which may combine industry sub-classifications for reporting
ease. Industries are shown as a percentage of net assets.
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2006 (in U.S. dollars)
o Swaps outstanding as of November 30, 2006 were as follows:
Notional Unrealized
Amount Appreciation
------------------------------------------------------------------------------------------
Sold credit default protection on General Motors Corp.
and receive 5%
Broker, Citibank N.A.
Expires December 2006 $ 8,000,000 $ 601,704
Sold credit default protection on General Motors Corp.
and receive 5%
Broker, Lehman Brothers Special Finance
Expires December 2006 $ 7,000,000 578,991
------------------------------------------------------------------------------------------
Total $ 1,180,695
============
Item 2 - Controls and Procedures
2(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others particularly
during the period in which this report is being prepared. The
registrant's certifying officers have determined that the registrant's
disclosure controls and procedures are effective based on our evaluation
of these controls and procedures as of a date within 90 days prior to the
filing date of this report.
2(b) - There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR
270.30a-3(d)) that occurred during the last fiscal quarter of the period
covered by this report that has materially affected, or is 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/ Robert C. Doll, Jr.
---------------------------
Robert C. Doll, Jr.
Chief Executive Officer
BlackRock Debt Strategies Fund, Inc.
Date: January 23, 2007
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/ Robert C. Doll, Jr.
---------------------------
Robert C. Doll, Jr.
Chief Executive Officer
BlackRock Debt Strategies Fund, Inc.
Date: January 23, 2007
By: /s/ Donald C. Burke
---------------------------
Donald C. Burke
Chief Financial Officer
BlackRock Debt Strategies Fund, Inc.
Date: January 23, 2007