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: Anne F. Ackerley, Chief Executive Officer, BlackRock Debt Strategies Fund, Inc., 55 East 52nd Street, New York, NY 10055

 

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

 

Date of fiscal year end: 02/28/2011

 

Date of reporting period: 11/30/2010

 

Item 1 – Schedule of Investments

 

 

 

 

Schedule of Investments November 30, 2010 (Unaudited)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Asset-Backed Securities (a)

 

Par
(000)

 

Value

 

ARES CLO Funds, Series 2005-
10A, Class B, 0.68%,
9/18/17 (b)

 

USD

1,250

 

$

1,025,000

 

Goldentree Loan Opportunities III
Ltd., Series 2007-3X, Class B,
0.94%, 5/01/22

 

 

1,335

 

 

1,021,275

 

LCM LP, Series 8A, Class C, 3.29%,
1/14/21 (b)

 

 

2,850

 

 

2,694,675

 

Total Asset-Backed Securities – 1.1%

 

 

 

 

 

4,740,950

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 

Building Products — 0.3%

 

 

 

 

 

 

 

Masonite Worldwide Holdings

 

 

32,730

 

 

1,211,010

 

Nortek, Inc.

 

 

2,970

 

 

121,770

 

 

 

 

 

 

 

 

 

 

 

 

1,332,780

 

Chemicals — 0.1%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

339,340

 

 

130,272

 

LyondellBasell Industries NV,
Class B

 

 

8,315

 

 

242,798

 

Wellman Holdings, Inc.

 

 

5,373

 

 

269

 

 

 

 

 

 

 

 

 

 

 

 

373,339

 

Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Smurfit Kappa Plc

 

 

36,342

 

 

320,308

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd.

 

 

286,757

 

 

5,735

 

Hotels, Restaurants &
Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.

 

 

2,753

 

 

10,048

 

HRP Corp., Class B (b)(d)

 

 

5,000

 

 

50

 

 

 

 

 

 

 

 

 

 

 

 

10,098

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

Euramax International

 

 

2,337

 

 

707,033

 

Paper & Forest Products — 1.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

770,419

 

 

1,891,243

 

Ainsworth Lumber Co. Ltd. (b)

 

 

1,335,501

 

 

3,278,420

 

Western Forest Products, Inc. (b)

 

 

211,149

 

 

104,901

 

 

 

 

 

 

 

 

 

 

 

 

5,274,564

 

Semiconductors & Semiconductor
Equipment — 0.0%

 

 

 

 

 

 

 

SunPower Corp., Class B

 

 

4,892

 

 

56,136

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

Value

 

Software — 0.2%

 

 

 

 

 

 

 

Bankruptcy Management
Solutions, Inc.

 

USD

1,870

 

$

935

 

HMH Holdings/EduMedia

 

 

163,184

 

 

815,919

 

 

 

 

 

 

 

 

 

 

 

 

816,854

 

Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc.

 

 

503,737

 

 

1,008

 

Total Common Stocks – 2.0%

 

 

 

 

 

8,897,855

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 

Aerospace & Defense — 0.7%

 

 

 

 

 

 

 

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

 

 

1,750

 

 

1,881,250

 

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

 

 

1,160

 

 

1,294,850

 

 

 

 

 

 

 

 

 

 

 

 

3,176,100

 

Airlines — 0.7%

 

 

 

 

 

 

 

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

 

 

1,250

 

 

1,306,250

 

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

 

 

950

 

 

1,033,385

 

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

 

 

792

 

 

889,420

 

 

 

 

 

 

 

 

 

 

 

 

3,229,055

 

Auto Components — 1.3%

 

 

 

 

 

 

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

320

 

 

318,400

 

8.00%, 1/15/18

 

 

5,260

 

 

5,220,550

 

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

 

 

 

 

 

 

 

12.00%, 6/01/09

 

 

4,450

 

 

—

 

Series B, 9.50%, 7/01/05

 

 

1,800

 

 

180

 

 

 

 

 

 

 

 

 

 

 

 

5,539,130

 

Beverages — 0.1%

 

 

 

 

 

 

 

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

 

EUR

410

 

 

544,172

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

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

 

USD

442

 

 

446,692

 

Building Products — 4.2%

 

 

 

 

 

 

 

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

 

 

810

 

 

826,200

 

Building Materials Corp. of
America, 7.00%, 2/15/20 (b)

 

 

1,300

 

 

1,339,000

 

 

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, 2010

1


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Building Products (concluded)

 

 

 

 

 

 

 

CPG International I, Inc.:

 

 

 

 

 

 

 

7.50%, 7/01/12 (a)

 

USD

7,500

 

$

7,453,125

 

10.50%, 7/01/13

 

 

1,300

 

 

1,321,125

 

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

 

 

1,700

 

 

1,691,500

 

Nortek, Inc.:

 

 

 

 

 

 

 

11.00%, 12/01/13

 

 

2,983

 

 

3,139,817

 

10.00%, 12/01/18 (b)

 

 

1,730

 

 

1,730,000

 

Ply Gem Industries, Inc., 11.75%,
6/15/13

 

 

1,050

 

 

1,113,000

 

 

 

 

 

 

 

 

 

 

 

 

18,613,767

 

Capital Markets — 0.3%

 

 

 

 

 

 

 

E*Trade Financial Corp., 4.01%,
8/31/19 (b)(f)(g)

 

 

593

 

 

845,766

 

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

 

 

540

 

 

548,999

 

 

 

 

 

 

 

 

 

 

 

 

1,394,765

 

Chemicals — 3.0%

 

 

 

 

 

 

 

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

 

 

1,490

 

 

1,491,862

 

CF Industries, Inc., 6.88%,
5/01/18

 

 

1,475

 

 

1,618,812

 

GEO Specialty Chemicals, Inc. (b):

 

 

 

 

 

 

 

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

 

 

4,171

 

 

2,711,012

 

10.00%, 3/31/15

 

 

4,106

 

 

2,668,640

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

8.88%, 2/01/18

 

 

455

 

 

468,650

 

9.00%, 11/15/20 (b)

 

 

605

 

 

600,463

 

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

 

 

465

 

 

500,456

 

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

 

 

 

 

 

 

 

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

 

 

2,978

 

 

2,590,860

 

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

 

 

978

 

 

381,332

 

 

 

 

 

 

 

 

 

 

 

 

13,032,087

 

Commercial Banks — 2.2%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

2,235

 

 

2,195,887

 

7.00%, 5/01/17

 

 

7,200

 

 

7,020,000

 

Glitnir Banki HF (c)(e):

 

 

 

 

 

 

 

4.76%, 4/20/10 (b)

 

 

184

 

 

55,660

 

6.38%, 9/25/12 (b)

 

 

1,115

 

 

337,288

 

Series EMTN, 5.07%, 1/27/10 EUR

 

 

50

 

 

19,471

 

Series EMTN, 3.00%, 6/30/10

 

 

75

 

 

29,206

 

Series GMTN, 4.38%,
2/05/10

 

 

85

 

 

33,100

 

 

 

 

 

 

 

 

 

 

 

 

9,690,612

 

Commercial Services &
Supplies — 1.5%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%,
3/15/15

 

USD

660

 

 

734,250

 

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

 

 

505

 

 

511,313

 

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

 

 

850

 

 

901,000

 

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

 

 

375

 

 

383,906

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Commercial Services & Supplies
(concluded)

 

 

 

 

 

 

 

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

 

USD

970

 

$

1,071,850

 

West Corp. (b):

 

 

 

 

 

 

 

8.63%, 10/01/18

 

 

2,270

 

 

2,360,800

 

7.88%, 1/15/19

 

 

635

 

 

627,062

 

 

 

 

 

 

 

 

 

 

 

 

6,590,181

 

Consumer Finance — 1.0%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%,
2/01/17 (b)

 

 

570

 

 

595,650

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.04%, 1/13/12 (a)

 

 

2,680

 

 

2,680,000

 

6.63%, 8/15/17

 

 

900

 

 

927,649

 

 

 

 

 

 

 

 

 

 

 

 

4,203,299

 

Containers & Packaging — 2.7%

 

 

 

 

 

 

 

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

 

EUR

485

 

 

620,108

 

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

 

USD

625

 

 

665,625

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.25%, 11/15/15

 

 

2,100

 

 

2,184,000

 

9.75%, 1/15/21 (b)

 

 

1,145

 

 

1,096,337

 

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

 

EUR

260

 

 

330,742

 

Crown Americas LLC, 7.63%,
5/15/17

 

USD

710

 

 

766,800

 

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

 

 

975

 

 

1,057,875

 

Smurfit Kappa Acquisitions:

 

 

 

 

 

 

 

7.25%, 11/15/17 (b)

 

EUR

830

 

 

1,088,150

 

7.75%, 11/15/19

 

 

2,300

 

 

3,067,602

 

7.75%, 11/15/19 (b)

 

 

785

 

 

1,046,986

 

 

 

 

 

 

 

 

 

 

 

 

11,924,225

 

Diversified Financial
Services — 3.3%

 

 

 

 

 

 

 

Ally Financial Inc.:

 

 

 

 

 

 

 

5.38%, 6/06/11

 

 

436

 

 

565,947

 

7.50%, 12/31/13

 

USD

90

 

 

94,725

 

8.30%, 2/12/15

 

 

1,700

 

 

1,789,250

 

8.00%, 3/15/20 (b)

 

 

200

 

 

206,000

 

7.50%, 9/15/20 (b)

 

 

5,450

 

 

5,341,000

 

8.00%, 11/01/31

 

 

1,350

 

 

1,397,250

 

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

 

 

3,734

 

 

1,717,492

 

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

 

 

665

 

 

693,263

 

Preferred Term Securities VI,
Ltd. (b)(c)

 

 

35

 

 

1,750

 

Reynolds Group DL Escrow, Inc.,
7.75%, 10/15/16 (b)

 

 

1,445

 

 

1,506,413

 

Reynolds Group Issuer, Inc. (b):

 

 

 

 

 

 

 

7.75%, 10/15/16

 

EUR

650

 

 

869,040

 

7.13%, 4/15/19

 

USD

480

 

 

488,400

 

 

 

 

 

 

 

 

 

 

 

 

14,670,530

 

Diversified Telecommunication
Services — 2.0%

 

 

 

 

 

 

 

Frontier Communications Corp.,
8.25%, 4/15/17

 

 

1,076

 

 

1,183,600

 

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

 

 

1,260

 

 

1,351,350

 

 

 

 

2

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2010


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Telecommunication Services
(concluded)

 

 

 

 

 

 

 

Nordic Telephone Co. Holdings
ApS, 8.88%, 5/01/16 (b)

 

USD

390

 

$

415,350

 

Qwest Corp., 8.38%, 5/01/16

 

 

4,000

 

 

4,800,000

 

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

 

 

920

 

 

970,600

 

 

 

 

 

 

 

 

 

 

 

 

8,720,900

 

Electronic Equipment, Instruments
& Components — 0.0%

 

 

 

 

 

 

 

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

 

 

2,675

 

 

268

 

Energy Equipment &
Services — 0.5%

 

 

 

 

 

 

 

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

 

 

1,385

 

 

1,419,625

 

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

 

 

895

 

 

888,287

 

 

 

 

 

 

 

 

 

 

 

 

2,307,912

 

Food & Staples Retailing — 0.4%

 

 

 

 

 

 

 

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

 

 

1,590

 

 

1,707,263

 

Food Products — 0.4%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

 

900

 

 

932,625

 

Smithfield Foods, Inc., 10.00%,
7/15/14 (b)

 

 

840

 

 

949,200

 

 

 

 

 

 

 

 

 

 

 

 

1,881,825

 

Health Care Equipment &
Supplies — 0.3%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%,
11/15/14

 

 

1,345

 

 

1,466,050

 

Health Care Providers &
Services — 1.2%

 

 

 

 

 

 

 

American Renal Holdings, 8.38%,
5/15/18 (b)

 

 

470

 

 

486,450

 

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

 

 

405

 

 

397,912

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

680

 

 

729,300

 

8.88%, 7/01/19

 

 

3,280

 

 

3,493,200

 

 

 

 

 

 

 

 

 

 

 

 

5,106,862

 

Health Care Technology — 0.9%

 

 

 

 

 

 

 

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

 

 

2,980

 

 

3,471,700

 

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

 

 

270

 

 

272,025

 

 

 

 

 

 

 

 

 

 

 

 

3,743,725

 

Hotels, Restaurants &
Leisure — 1.3%

 

 

 

 

 

 

 

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

 

 

1,040

 

 

1,060,800

 

Dunkin Finance Corp., 9.63%,
12/01/18 (b)

 

 

205

 

 

206,281

 

HRP Myrtle Beach Holdings LLC,
14.68%, 4/01/14 (b)(c)(e)(f)

 

 

6,891

 

 

689

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure
(concluded)

 

 

 

 

 

 

 

HRP Myrtle Beach Operations
LLC (b)(c)(e):

 

 

 

 

 

 

 

0.00%, 4/01/12

 

USD

5,000

 

$

500

 

0.00%, 4/01/13

 

 

5,000

 

 

500

 

Harrah’s Operating Co., Inc.,
10.00%, 12/15/18

 

 

475

 

 

401,375

 

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

 

 

839

 

 

692,175

 

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

 

 

1,340

 

 

1,514,200

 

Marina District Finance Co., Inc.,
9.88%, 8/15/18 (b)

 

 

85

 

 

81,388

 

Travelport LLC, 4.92%,
9/01/14 (a)

 

 

2,160

 

 

1,954,800

 

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

 

 

530

 

 

1,272

 

 

 

 

 

 

 

 

 

 

 

 

5,913,980

 

Household Durables — 1.0%

 

 

 

 

 

 

 

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

 

 

1,700

 

 

1,946,500

 

K. Hovnanian Enterprises, Inc.,
10.63%, 10/15/16

 

 

1,695

 

 

1,714,069

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

315

 

 

327,600

 

7.00%, 8/15/15

 

 

600

 

 

618,000

 

 

 

 

 

 

 

 

 

 

 

 

4,606,169

 

IT Services — 0.3%

 

 

 

 

 

 

 

First Data Corp., 10.55%,
9/24/15 (d)

 

 

1,360

 

 

1,148,710

 

Independent Power Producers &
Energy Traders — 3.1%

 

 

 

 

 

 

 

Calpine Construction Finance Co.
LP, 8.00%, 6/01/16 (b)

 

 

1,750

 

 

1,841,875

 

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

 

 

945

 

 

928,463

 

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

 

 

3,190

 

 

3,263,861

 

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

 

 

1,490

 

 

1,528,224

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

2,385

 

 

2,432,700

 

7.38%, 2/01/16

 

 

2,675

 

 

2,688,375

 

8.50%, 6/15/19

 

 

800

 

 

812,000

 

 

 

 

 

 

 

 

 

 

 

 

13,495,498

 

Industrial Conglomerates — 1.7%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,850

 

 

3,042,375

 

13.50%, 12/01/15 (d)

 

 

4,023

 

 

4,364,787

 

 

 

 

 

 

 

 

 

 

 

 

7,407,162

 

Machinery — 1.1%

 

 

 

 

 

 

 

ESCO Corp., 4.17%,
12/15/13 (a)(b)

 

 

3,070

 

 

3,073,837

 

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

 

 

1,780

 

 

1,909,050

 

 

 

 

 

 

 

 

 

 

 

 

4,982,887

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2010

3


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media — 5.3%

 

 

 

 

 

 

 

CCO Holdings LLC, 7.88%,
4/30/18 (b)

 

USD

2,075

 

$

2,147,625

 

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

 

 

680

 

 

745,450

 

Checkout Holding Corp., 10.99%,
11/15/15 (b)(f)

 

 

1,425

 

 

862,125

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

639

 

 

677,340

 

Series B, 9.25%, 12/15/17

 

 

5,422

 

 

5,787,985

 

DISH DBS Corp., 7.00%, 10/01/13

 

 

3,000

 

 

3,195,000

 

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

 

 

1,715

 

 

1,852,200

 

The McClatchy Co., 11.50%,
2/15/17

 

 

205

 

 

214,738

 

Nielsen Finance LLC, 11.63%,
2/01/14

 

 

1,925

 

 

2,194,500

 

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

 

 

415

 

 

427,450

 

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

 

 

555

 

 

585,525

 

TL Acquisitions, Inc., 10.50%,
1/15/15 (b)

 

 

895

 

 

895,000

 

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

 

 

3,000

 

 

3,120,000

 

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

 

EUR

655

 

 

828,963

 

 

 

 

 

 

 

 

 

 

 

 

23,533,901

 

Metals & Mining — 1.5%

 

 

 

 

 

 

 

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

 

USD

1,056

 

 

1,114,080

 

FMG Resources August 2006 Pty
Ltd., 7.00%, 11/01/15 (b)

 

 

2,070

 

 

2,095,890

 

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

 

 

4,440

 

 

22,200

 

Ryerson, Inc., 7.66%,
11/01/14 (a)

 

 

3,595

 

 

3,352,337

 

 

 

 

 

 

 

 

 

 

 

 

6,584,507

 

Multiline Retail — 0.5%

 

 

 

 

 

 

 

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

 

 

1,775

 

 

2,059,000

 

Oil, Gas & Consumable
Fuels — 4.6%

 

 

 

 

 

 

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

1,440

 

 

1,886,400

 

10.75%, 2/01/18

 

 

135

 

 

164,531

 

Chesapeake Energy Corp., 6.63%,
8/15/20

 

 

2,645

 

 

2,664,837

 

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

 

 

490

 

 

521,850

 

Consol Energy, Inc., 8.25%,
4/01/20 (b)

 

 

1,750

 

 

1,894,375

 

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

 

 

100

 

 

104,250

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

9.75%, 3/01/16

 

 

925

 

 

1,024,438

 

8.25%, 2/15/20

 

 

670

 

 

730,300

 

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

 

 

1,575

 

 

1,659,486

 

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

 

 

1,065

 

 

1,102,275

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

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

 

USD

470

 

$

509,950

 

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

 

 

660

 

 

676,500

 

Linn Energy LLC (b):

 

 

 

 

 

 

 

8.63%, 4/15/20

 

 

700

 

 

742,000

 

7.75%, 2/01/21

 

 

815

 

 

827,225

 

Massey Energy Co., 6.88%,
12/15/13

 

 

1,300

 

 

1,309,750

 

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

 

 

700

 

 

735,000

 

OPTI Canada, Inc., 9.00%,
12/15/12 (b)

 

 

1,850

 

 

1,840,750

 

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

 

 

855

 

 

852,863

 

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

 

 

1,760

 

 

1,144,000

 

 

 

 

 

 

 

 

 

 

 

 

20,390,780

 

Paper & Forest Products — 2.7%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.,
11.00%, 7/29/15 (b)(d)

 

 

4,312

 

 

3,858,979

 

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

 

 

640

 

 

734,400

 

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

 

 

2,950

 

 

3,259,750

 

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

 

 

2,740

 

 

2,479,700

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14

 

 

550

 

 

596,750

 

Series B, 4.04%, 8/01/14 (a)

 

 

890

 

 

792,100

 

 

 

 

 

 

 

 

 

 

 

 

11,721,679

 

Pharmaceuticals — 0.5%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc.,
4.05%, 12/01/13 (a)

 

 

1,335

 

 

1,091,362

 

Novasep Holding SAS, 9.63%,
12/15/16 (b)

 

EUR

564

 

 

483,184

 

Valeant Pharmaceuticals
International (b):

 

 

 

 

 

 

 

6.75%, 10/01/17

 

USD

315

 

 

311,063

 

7.00%, 10/01/20

 

 

400

 

 

390,000

 

 

 

 

 

 

 

 

 

 

 

 

2,275,609

 

Professional Services — 0.1%

 

 

 

 

 

 

 

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

 

 

560

 

 

565,600

 

Real Estate Investment Trusts
(REITs) — 0.3%

 

 

 

 

 

 

 

Omega Healthcare Investors, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/20

 

 

1,010

 

 

1,052,925

 

6.75%, 10/15/22 (b)

 

 

450

 

 

448,875

 

 

 

 

 

 

 

 

 

 

 

 

1,501,800

 

Road & Rail — 0.1%

 

 

 

 

 

 

 

The Hertz Corp., 7.50%,
10/15/18 (b)

 

 

510

 

 

515,100

 

Specialty Retail — 0.3%

 

 

 

 

 

 

 

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

 

 

1,275

 

 

1,252,688

 

Textiles, Apparel & Luxury
Goods — 0.3%

 

 

 

 

 

 

 

Phillips-Van Heusen Corp.:

 

 

 

 

 

 

 

7.38%, 5/15/20

 

 

925

 

 

992,062

 

 

 

 

4

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2010


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Textiles, Apparel & Luxury Goods
(concluded)

 

 

 

 

 

 

 

Phillips-Van Heusen Corp. (concluded):

 

 

 

 

 

 

 

7.75%, 11/15/23

 

USD

410

 

$

447,234

 

 

 

 

 

 

 

 

 

 

 

 

1,439,296

 

Wireless Telecommunication
Services — 2.5%

 

 

 

 

 

 

 

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

 

 

3,050

 

 

3,118,625

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

9.13%, 1/15/15

 

 

3,948

 

 

3,987,480

 

8.25%, 9/01/17

 

 

300

 

 

315,000

 

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

 

 

2,275

 

 

2,272,156

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

8.38%, 3/15/12

 

 

625

 

 

657,813

 

6.88%, 11/15/28

 

 

850

 

 

722,500

 

 

 

 

 

 

 

 

 

 

 

 

11,073,574

 

Total Corporate Bonds – 54.0%

 

 

 

 

 

238,457,360

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (a)

 

 

 

 

 

 

 

Aerospace & Defense — 0.4%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co., LLC:

 

 

 

 

 

 

 

Letter of Credit Linked
Deposit, 0.19%, 3/26/14

 

 

119

 

 

100,846

 

Term Loan, 2.26% - 2.29%,
3/26/14

 

 

2,071

 

 

1,756,678

 

 

 

 

 

 

 

 

 

 

 

 

1,857,524

 

Airlines — 0.4%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit-Linked
Deposit Loan, 2.29%, 4/30/12

 

 

1,940

 

 

1,891,500

 

Auto Components — 1.3%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term
Loan, 3.01% - 3.04%, 8/07/14

 

 

3,930

 

 

3,792,065

 

Dana Holding Corp., Term
Advance, 4.51% - 4.54%,
1/30/15

 

 

328

 

 

328,076

 

Global Autocare, Term Loan B,
6.00%, 11/02/16

 

 

1,560

 

 

1,560,975

 

 

 

 

 

 

 

 

 

 

 

 

5,681,116

 

Automobiles — 0.7%

 

 

 

 

 

 

 

Ford Motor Co.:

 

 

 

 

 

 

 

Tranche B-1 Term Loan,
3.01% - 3.05%, 12/15/13

 

 

2,923

 

 

2,891,965

 

Tranche B-2 Term Loan,
3.01% - 3.05%, 12/15/13

 

 

315

 

 

311,140

 

 

 

 

 

 

 

 

 

 

 

 

3,203,105

 

Biotechnology — 0.3%

 

 

 

 

 

 

 

Grifols SA, Term Loan B, 6.00%,
10/01/16

 

 

1,405

 

 

1,417,294

 

Building Products — 1.3%

 

 

 

 

 

 

 

Goodman Global, Inc.:

 

 

 

 

 

 

 

Term Loan (Second Lien),
9.00%, 10/13/17

 

 

1,200

 

 

1,227,300

 

Term Loan B, 5.75%,
10/13/16

 

 

3,250

 

 

3,271,450

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (a)

 

Par
(000)

 

Value

 

Building Products (concluded)

 

 

 

 

 

 

 

Momentive Performance Materials
(Blitz 06-103 GmbH), Tranche
B-2 Term Loan, 3.05%,
12/04/13

 

EUR

1,072

 

$

1,313,494

 

 

 

 

 

 

 

 

 

 

 

 

5,812,244

 

Capital Markets — 0.4%

 

 

 

 

 

 

 

Nuveen Investments, Inc., Term
Loan (First Lien), 3.29%,
11/13/14

 

USD

1,925

 

 

1,793,548

 

Chemicals — 4.3%

 

 

 

 

 

 

 

Arizona Chemical, Term Loan B,
6.75%, 11/18/16

 

 

1,200

 

 

1,206,750

 

CF Industries, Inc., Term Loan B-1,
4.50%, 4/05/15

 

 

786

 

 

788,223

 

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

 

 

1,300

 

 

1,307,583

 

Gentek Holding, LLC, Term Loan B,
6.75%, 9/30/15

 

 

2,575

 

 

2,607,187

 

Lyondell Chemical Co., Exit Term
Loan, 5.50%, 4/08/16

 

 

675

 

 

675,697

 

MacDermid, Inc., Tranche C Term
Loan, 3.01%, 12/15/13

 

EUR

694

 

 

832,708

 

PQ Corp. (FKA Niagara Acquisition,
Inc.), Term Loan (First Lien),
3.51% - 3.54%, 7/30/14

 

USD

2,932

 

 

2,787,337

 

Rockwood Specialties Group, Inc.,
Term Loan H, 6.00%, 5/15/14

 

 

1,340

 

 

1,343,735

 

Solutia, Inc., Term Loan, 4.50%,
3/17/17

 

 

1,649

 

 

1,654,323

 

Styron Sarl, Term Loan, 7.50%,
6/17/16

 

 

1,580

 

 

1,599,750

 

Tronox Worldwide LLC, Exit Term
Loan, 7.00%, 12/24/15

 

 

3,965

 

 

3,981,534

 

 

 

 

 

 

 

 

 

 

 

 

18,784,827

 

Commercial Banks — 0.4%

 

 

 

 

 

 

 

CIT Group, Inc., Tranche 3 Term
Loan, 6.25%, 1/20/12

 

 

1,950

 

 

1,979,819

 

Commercial Services &
Supplies — 3.2%

 

 

 

 

 

 

 

ARAMARK Corp.:

 

 

 

 

 

 

 

Letter of Credit - 1 Facility,
0.10%, 1/26/14

 

 

55

 

 

54,251

 

Letter of Credit - 2 Facility,
0.10%, 7/26/16

 

 

29

 

 

28,679

 

US Term Loan, 2.16%,
1/26/14

 

 

684

 

 

673,456

 

US Term Loan B, 3.54%,
7/26/16

 

 

438

 

 

436,082

 

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

 

 

2,250

 

 

2,291,249

 

Altegrity, Inc., Incremental Term
Loan, 7.75%, 2/21/15

 

 

2,992

 

 

2,999,981

 

Casella Waste Systems, Inc., Term
Loan B, 7.00%, 4/09/14

 

 

385

 

 

387,532

 

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

 

 

975

 

 

989,799

 

International Lease Finance Corp.,
Term Loan 1, 6.75%, 3/17/15

 

 

2,800

 

 

2,836,000

 

Quad/Graphics, Inc., Term Loan,
5.50%, 4/20/16

 

 

948

 

 

926,699

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2010

5


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (a)

 

Par
(000)

 

Value

 

Commercial Services & Supplies
(concluded)

 

 

 

 

 

 

 

Synagro Technologies, Inc., Term
Loan (First Lien), 2.26%,
4/02/14

 

USD

984

 

$

866,962

 

Volume Services America, Inc.
(Centerplate), Term Loan B,
10.75%, 8/24/16

 

 

1,800

 

 

1,795,500

 

 

 

 

 

 

 

 

 

 

 

 

14,286,190

 

Communications Equipment — 0.3%

 

 

 

 

 

 

 

Avaya, Inc., Term Loan B, 3.04%,
10/24/14

 

 

1,545

 

 

1,401,605

 

Construction & Engineering — 0.6%

 

 

 

 

 

 

 

Safway Services, LLC, First Out
Tranche Loan, 9.00%, 12/18/17

 

 

2,750

 

 

2,750,000

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

Fairmount Minerals Ltd., Term
Loan B, 6.25% - 6.75%,
8/05/16

 

 

675

 

 

683,719

 

Consumer Finance — 1.1%

 

 

 

 

 

 

 

AGFS Funding Co., Term Loan,
7.25%, 4/21/15

 

 

5,000

 

 

5,036,720

 

Containers & Packaging — 0.5%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., Term
Loan C, 2.27% - 2.28%,
4/03/15

 

 

342

 

 

320,932

 

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

 

 

1,700

 

 

1,713,812

 

 

 

 

 

 

 

 

 

 

 

 

2,034,744

 

Diversified Consumer
Services — 2.6%

 

 

 

 

 

 

 

Coinmach Service Corp., Term
Loan, 3.28%, 11/14/14

 

 

4,571

 

 

3,985,545

 

Laureate Education:

 

 

 

 

 

 

 

Delay Draw Term Loan, 3.54%,
8/15/14

 

 

71

 

 

66,635

 

Series A New Term Loan,
7.00%, 8/15/14

 

 

4,286

 

 

4,261,746

 

Term Loan B, 3.54%, 8/17/14

 

 

474

 

 

445,120

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Closing Date Term Loan,
2.76% - 2.80%, 7/24/14

 

 

2,528

 

 

2,389,573

 

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

 

 

410

 

 

388,013

 

 

 

 

 

 

 

 

 

 

 

 

11,536,632

 

Diversified Financial
Services — 1.4%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.:

 

 

 

 

 

 

 

Incremental US Term Loan,
6.25%, 5/05/16

 

 

1,391

 

 

1,399,365

 

Term Loan D, 6.50%, 5/01/16

 

 

1,600

 

 

1,610,667

 

US Term Loan, 6.75%,
5/05/16

 

 

1,185

 

 

1,193,935

 

Whitelabel IV SA:

 

 

 

 

 

 

 

Term Loan B1, 6.75%,
8/11/17

 

EUR

565

 

 

733,659

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (a)

 

Par
(000)

 

Value

 

Diversified Financial
Services (concluded)

 

 

 

 

 

 

 

Whitelabel IV SA (concluded):

 

 

 

 

 

 

 

Term Loan B2, 6.75%,
8/11/17

 

EUR

935

 

$

1,214,108

 

 

 

 

 

 

 

 

 

 

 

 

6,151,734

 

Diversified Telecommunication
Services — 1.7%

 

 

 

 

 

 

 

Hawaiian Telcom Communications,
Inc., Term Loan, 9.00%,
10/28/15

 

USD

3,418

 

 

3,437,330

 

Level 3 Communications,
Incremental Term Loan, 2.54%,
3/13/14

 

 

3,250

 

 

3,017,856

 

Wind Telecomunicazioni SpA:

 

 

 

 

 

 

 

Term Loan Facility B2, 3.47%,
5/26/14

 

 

569

 

 

565,699

 

Term Loan Facility C2, 3.47%,
5/24/13

 

 

569

 

 

565,700

 

 

 

 

 

 

 

 

 

 

 

 

7,586,585

 

Electric Utilities — 0.7%

 

 

 

 

 

 

 

New Development Holdings LLC,
Term Loan, 7.00%, 7/03/17

 

 

2,992

 

 

3,040,021

 

Electrical Equipment — 0.1%

 

 

 

 

 

 

 

Generac Acquisition Corp., Term
Loan (First Lien), 2.75% - 2.79%,
11/10/13

 

 

343

 

 

330,383

 

Electronic Equipment, Instruments
& Components — 0.7%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.), Term
Loan, 4.25%, 10/10/14

 

 

2,559

 

 

2,463,709

 

Flextronics International Ltd.,
Closing Date Loan B, 2.50%,
10/01/12

 

 

534

 

 

528,122

 

 

 

 

 

 

 

 

 

 

 

 

2,991,831

 

Energy Equipment &
Services — 0.4%

 

 

 

 

 

 

 

MEG Energy Corp., Tranche D Term
Loan, 6.00%, 4/03/16

 

 

1,907

 

 

1,908,477

 

Food & Staples Retailing — 1.5%

 

 

 

 

 

 

 

AB Acquisitions UK Topco 2 Ltd.
(FKA Alliance Boots), Facility B1,
3.56%, 7/09/15

 

GBP

1,700

 

 

2,364,967

 

Pilot Travel Centers LLC, Initial
Tranche B Term Loan, 5.25%,
6/30/16

 

USD

2,151

 

 

2,175,579

 

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

 

 

2,365

 

 

2,141,311

 

 

 

 

 

 

 

 

 

 

 

 

6,681,857

 

Food Products — 2.9%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan
(Second Lien):

 

 

 

 

 

 

 

7.50%, 9/29/16

 

 

2,900

 

 

2,873,416

 

11.25%, 9/29/17

 

 

1,800

 

 

1,813,500

 

Dole Food Co., Inc., Tranche B-1
Term Loan, 5.00% - 5.50%,
3/02/17

 

 

795

 

 

797,895

 

Green Mountain Coffee, Inc., Term
Loan B, 6.00%, 11/09/16

 

 

1,200

 

 

1,206,750

 

 

 

 

6

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2010


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (a)

 

Par
(000)

 

Value

 

Food Products (concluded)

 

 

 

 

 

 

 

Michael Foods Group, Inc.
(FKA M-Foods Holdings, Inc.),
Term Loan B, 6.25%, 6/29/16

 

USD

998

 

$

1,006,540

 

Pilgrim’s Pride Corp., Term Loan A,
5.29%, 12/01/12

 

 

1,430

 

 

1,387,100

 

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

 

 

1,803

 

 

1,823,125

 

Solvest Ltd. (Dole), Tranche C-1
Term Loan, 5.00% - 5.50%,
3/02/17

 

 

1,974

 

 

1,980,636

 

 

 

 

 

 

 

 

 

 

 

 

12,888,962

 

Health Care Equipment &
Supplies — 0.4%

 

 

 

 

 

 

 

DJO Finance LLC (FKA ReAble
Therapeutics Finance LLC), Term
Loan, 3.26%, 5/20/14

 

 

1,727

 

 

1,688,171

 

Health Care Providers &
Services — 4.6%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
2.54%, 7/25/14

 

 

195

 

 

190,360

 

Term Loan Facility, 2.51% -
2.54%, 7/25/14

 

 

3,822

 

 

3,782,663

 

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

 

 

2,000

 

 

2,005,000

 

Gentiva Health Services, Inc., Term
Loan B, 6.75%, 8/12/16

 

 

150

 

 

151,000

 

HCA, Inc.:

 

 

 

 

 

 

 

Tranche A-1 Term Loan,
1.54%, 11/16/12

 

 

4,494

 

 

4,393,463

 

Tranche B-1 Term Loan,
2.54%, 11/18/13

 

 

245

 

 

239,794

 

Harden Healthcare, Inc.:

 

 

 

 

 

 

 

Add-on Term Loan, 7.75%,
3/02/15

 

 

2,584

 

 

2,532,075

 

Tranche A Term Loan, 8.50%,
2/22/15

 

 

769

 

 

753,887

 

inVentiv Health, Inc. (FKA Ventive
Health, Inc.), Term Loan B,
6.50%, 7/31/16

 

 

3,482

 

 

3,499,284

 

Renal Advantage Holdings, Inc.,
Tranche B Term Loan, 6.00%,
6/03/16

 

 

1,097

 

 

1,098,622

 

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

 

 

1,840

 

 

1,846,271

 

 

 

 

 

 

 

 

 

 

 

 

20,492,419

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

IMS Health, Inc., Tranche B Dollar
Term Loan, 5.25%, 2/26/16

 

 

2,721

 

 

2,744,526

 

MedAssets, Inc., Term Loan B,
5.25%, 11/15/16

 

 

1,600

 

 

1,607,000

 

 

 

 

 

 

 

 

 

 

 

 

4,351,526

 

Hotels, Restaurants &
Leisure — 4.4%

 

 

 

 

 

 

 

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

 

 

2,481

 

 

2,506,062

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (a)

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure
(concluded)

 

 

 

 

 

 

 

Dunkin’ Finance Corp.,
Term Loan B, 5.75%, 11/09/17

 

USD

2,900

 

$

2,926,668

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 3.29%,
1/28/15

 

 

449

 

 

391,392

 

Term Loan B-3, 3.29%,
1/28/15

 

 

3,024

 

 

2,639,167

 

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

 

 

2,233

 

 

2,305,981

 

SW Acquisitions Co., Inc., Term
Loan, 5.75%, 6/01/16

 

 

2,631

 

 

2,645,920

 

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

 

 

3,386

 

 

3,400,722

 

Travelport LLC (FKA Travelport,
Inc.), Delayed Draw Term Loan,
2.79%, 8/23/13

 

 

500

 

 

483,310

 

VML US Finance LLC (FKA Venetian
Macau):

 

 

 

 

 

 

 

New Project Term Loan,
4.80%, 5/27/13

 

 

824

 

 

824,327

 

Term B Delayed Draw Project
Loan, 4.80%, 5/25/12

 

 

1,054

 

 

1,053,552

 

Term B Funded Project Loan,
4.80%, 5/27/13

 

 

183

 

 

182,434

 

 

 

 

 

 

 

 

 

 

 

 

19,359,535

 

Household Durables — 0.4%

 

 

 

 

 

 

 

Visant Corp. (FKA Jostens), Term
Loan B, 7.00%, 12/20/16

 

 

1,900

 

 

1,915,437

 

IT Services — 3.2%

 

 

 

 

 

 

 

Ceridian Corp., US Term Loan,
3.25% - 3.27%, 11/09/14

 

 

3,085

 

 

2,903,911

 

EVERTEC, Inc., Term Loan B,
7.00%, 8/20/16

 

 

1,150

 

 

1,144,250

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan,
3.00%, 9/24/14

 

 

1,625

 

 

1,462,500

 

Initial Tranche B-2 Term Loan,
3.00%, 9/24/14

 

 

3,043

 

 

2,738,426

 

Initial Tranche B-3 Term Loan,
3.00%, 9/24/14

 

 

1,371

 

 

1,236,451

 

SunGard Data Systems, Inc. (Solar
Capital Corp.), Incremental Term
Loan, 6.75%, 2/28/14

 

 

348

 

 

348,659

 

TransUnion Corp., Term Loan B,
6.75%, 6/15/17

 

 

4,239

 

 

4,282,829

 

 

 

 

 

 

 

 

 

 

 

 

14,117,026

 

Independent Power Producers &
Energy Traders — 0.5%

 

 

 

 

 

 

 

Dynegy Holdings, Inc.:

 

 

 

 

 

 

 

Term Letter of Credit Facility,
4.01%, 4/02/13

 

 

327

 

 

318,909

 

Tranche B Term Loan, 4.01%,
4/02/13

 

 

26

 

 

25,475

 

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

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan,
3.75% - 3.79%, 10/10/14

 

 

2,166

 

 

1,672,516

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2010

7


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (a)

 

Par
(000)

 

Value

 

Independent Power Producers &
Energy Traders (concluded)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Initial Tranche B-3 Term Loan,
3.75% - 3.79%, 10/10/14

 

USD

196

 

$

150,815

 

 

 

 

 

 

 

 

 

 

 

 

2,167,715

 

Industrial Conglomerates — 0.9%

 

 

 

 

 

 

 

Sequa Corp., Term Loan, 3.54% -
3.55%, 12/03/14

 

 

1,393

 

 

1,321,195

 

Tomkins Plc, Term Loan B, 6.25%,
9/16/16

 

 

2,500

 

 

2,527,345

 

 

 

 

 

 

 

 

 

 

 

 

3,848,540

 

Insurance — 0.1%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., Term Loan,
3.29%, 8/21/14

 

 

581

 

 

563,671

 

Internet & Catalog Retail — 0.2%

 

 

 

 

 

 

 

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

 

 

1,096

 

 

1,097,569

 

Media — 9.1%

 

 

 

 

 

 

 

Affinion Group, Inc., Tranche B
Term Loan, 5.00%, 10/09/16

 

 

995

 

 

987,953

 

Cengage Learning Acquisitions, Inc.
(Thomson Learning):

 

 

 

 

 

 

 

Term Loan, 2.54%, 7/03/14

 

 

1,250

 

 

1,152,031

 

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

 

 

1,270

 

 

1,272,731

 

Charter Communications Operating,
LLC:

 

 

 

 

 

 

 

Term Loan B1, 7.25%,
3/06/14

 

 

1,486

 

 

1,540,682

 

Term Loan C, 3.54%, 9/06/16

 

 

3,693

 

 

3,611,475

 

EB Sports Corp., Loan, 11.50%,
5/01/12

 

 

1,551

 

 

1,519,750

 

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

 

 

6,303

 

 

2,363,533

 

Getty Images, Inc., Term Loan B,
5.25%, 10/29/16

 

 

2,800

 

 

2,821,700

 

HMH Publishing Co., Ltd., Tranche
A Term Loan, 5.75%, 6/12/14

 

 

2,421

 

 

2,236,730

 

Hanley-Wood, LLC (FSC
Acquisition), Term Loan, 2.56%,
3/10/14

 

 

740

 

 

327,293

 

Interactive Data Corp., Term Loan,
6.75%, 1/29/17

 

 

1,297

 

 

1,314,029

 

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

 

 

 

 

 

 

 

Facility B1, 3.52%, 6/30/15

 

EUR

337

 

 

351,616

 

Facility C1, 3.77%, 6/30/16

 

 

674

 

 

703,233

 

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

 

USD

990

 

 

980,100

 

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

 

 

4,250

 

 

4,505,000

 

Sinclair Television Group, Inc., New
Tranche B Term Loan, 5.50%,
10/29/15

 

 

1,587

 

 

1,607,121

 

Springer Science+Business Media
SA, Facility A1, 6.75%, 7/01/16

 

EUR

1,900

 

 

2,450,869

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (a)

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Sunshine Acquisition Ltd. (FKA HIT
Entertainment), Term Facility,
5.54%, 6/01/12

 

USD

1,432

 

$

1,385,759

 

TWCC Holdings Corp.,
Replacement Term Loans,
5.00%, 9/14/15

 

 

1,917

 

 

1,925,938

 

UPC Financing Partnership,
Facility U, 4.85%, 12/31/17

 

EUR

1,600

 

 

1,943,822

 

Univision Communications, Inc.,
Exit Term Loan, 4.51%, 3/31/17

 

 

1,950

 

 

1,816,191

 

Virgin Media Investment Holdings
Ltd., Facility B, 4.78%,
12/31/15

 

GBP

1,250

 

 

1,922,791

 

Yell Group Plc/Yell Finance (UK)
Ltd., Facility A3, 2.76%, 8/09/11

 

USD

1,266

 

 

1,227,656

 

 

 

 

 

 

 

 

 

 

 

 

39,968,003

 

Metals & Mining — 0.5%

 

 

 

 

 

 

 

Euramax International, Inc., Domestic
Term Loan:

 

 

 

 

 

 

 

10.00%, 6/29/13

 

 

1,286

 

 

1,222,113

 

14.00%, 6/29/13

 

 

1,219

 

 

1,157,962

 

 

 

 

 

 

 

 

 

 

 

 

2,380,075

 

Multi-Utilities — 0.1%

 

 

 

 

 

 

 

FirstLight Power Resources, Inc. (FKA
NE Energy, Inc.):

 

 

 

 

 

 

 

Synthetic Letter of Credit,
0.16%, 11/01/13

 

 

9

 

 

8,218

 

Term B Advance (First Lien),
2.81%, 11/01/13

 

 

466

 

 

447,142

 

 

 

 

 

 

 

 

 

 

 

 

455,360

 

Multiline Retail — 1.6%

 

 

 

 

 

 

 

Dollar General Corp., Tranche B-2
Term Loan, 3.00% - 3.01%,
7/07/14

 

 

1,439

 

 

1,430,952

 

Hema Holding BV:

 

 

 

 

 

 

 

Facility B, 2.85%, 7/06/15

 

EUR

369

 

 

458,666

 

Facility C, 3.60%, 7/05/16

 

 

369

 

 

458,667

 

Facility D, 5.85%, 1/01/17

 

 

2,900

 

 

3,613,754

 

The Neiman Marcus Group, Inc.,
Term Loan B, 4.30%, 4/06/16

 

USD

961

 

 

940,993

 

 

 

 

 

 

 

 

 

 

 

 

6,903,032

 

Oil, Gas & Consumable
Fuels — 2.2%

 

 

 

 

 

 

 

Big West Oil, LLC, Term Loan,
12.00%, 7/23/15

 

 

1,187

 

 

1,209,766

 

Obsidian Natural Gas Trust, Term
Loan, 7.00%, 11/30/15

 

 

4,043

 

 

4,123,860

 

Turbo Beta Ltd., Dollar Facility,
14.25%, 3/15/18

 

 

6,226

 

 

4,358,350

 

 

 

 

 

 

 

 

 

 

 

 

9,691,976

 

Paper & Forest Products — 0.8%

 

 

 

 

 

 

 

Georgia-Pacific LLC, Term Loan B,
2.29%, 12/23/12

 

 

156

 

 

155,893

 

Verso Paper Finance Holdings LLC,
7.29%, 2/01/13 (d)

 

 

4,278

 

 

3,422,670

 

 

 

 

 

 

 

 

 

 

 

 

3,578,563

 

 

 

 

8

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2010


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (a)

 

Par
(000)

 

Value

 

Personal Products — 0.4%

 

 

 

 

 

 

 

NBTY, Inc., Term Loan B, 6.25%,
9/20/17

 

USD

1,700

 

$

1,719,113

 

Pharmaceuticals — 0.7%

 

 

 

 

 

 

 

Warner Chilcott Co., LLC, Term
Loan A, 6.00%, 10/30/14

 

 

689

 

 

688,497

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Additional Term Loan, 6.25%,
4/30/15

 

 

674

 

 

677,901

 

Term Loan B-1, 6.25%,
4/30/15

 

 

269

 

 

270,392

 

Term Loan B-2, 6.25%,
4/30/15

 

 

444

 

 

446,813

 

Term Loan B-3, 6.50%,
2/20/16

 

 

672

 

 

677,581

 

Term Loan B-4, 6.50%,
2/20/16

 

 

223

 

 

225,120

 

 

 

 

 

 

 

 

 

 

 

 

2,986,304

 

Professional Services — 0.9%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Tranche
C Term Loan, 6.00%, 7/31/15

 

 

1,737

 

 

1,740,783

 

Fifth Third Processing Solutions,
LLC, Term Loan B, 5.50%,
10/21/16

 

 

2,100

 

 

2,106,825

 

 

 

 

 

 

 

 

 

 

 

 

3,847,608

 

Real Estate Investment Trusts
(REITs) — 0.1%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan
(Second Lien), 1.75%, 6/28/11

 

 

400

 

 

382,778

 

Real Estate Management &
Development — 1.7%

 

 

 

 

 

 

 

Enclave, Term Loan (First Lien),
6.14%, 3/01/12 (c)(e)

 

 

4,000

 

 

1

 

Realogy Corp.:

 

 

 

 

 

 

 

Delayed Draw Term Loan B,
3.25% - 3.29%, 10/10/13

 

 

1,464

 

 

1,344,041

 

Initial Term Loan B, 3.29%,
10/10/13

 

 

4,407

 

 

4,046,359

 

Synthetic Letter of Credit,
0.11%, 10/10/13

 

 

601

 

 

551,556

 

Term Loan (Second Lien),
13.50%, 10/15/17

 

 

1,500

 

 

1,625,625

 

 

 

 

 

 

 

 

 

 

 

 

7,567,582

 

Semiconductors & Semiconductor
Equipment — 0.5%

 

 

 

 

 

 

 

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

 

 

738

 

 

693,362

 

Microsemi Corp., Term Loan B,
5.00%, 10/25/17

 

 

1,300

 

 

1,310,833

 

 

 

 

 

 

 

 

 

 

 

 

2,004,195

 

Software — 0.3%

 

 

 

 

 

 

 

Telcordia Technologies, Inc.,
Term Loan, 6.75%, 4/30/16

 

 

1,095

 

 

1,100,315

 

Specialty Retail — 1.9%

 

 

 

 

 

 

 

Burlington Coat Factory
Warehouse Corp., Term Loan,
2.51% - 2.52%, 5/28/13

 

 

680

 

 

660,280

 

Gymboree Corp., Term Loan B,
5.50%, 11/09/17

 

 

1,500

 

 

1,505,894

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (a)

 

Par
(000)

 

Value

 

Specialty Retail (concluded)

 

 

 

 

 

 

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

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

 

USD

1,384

 

$

1,333,870

 

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

 

 

543

 

 

537,385

 

Petco Animal Supplies, Inc.,
Term Loan B, 6.00%, 8/18/17

 

 

2,800

 

 

2,804,900

 

Toys ‘R’ US, Inc., Term Loan B,
6.00%, 8/17/16

 

 

1,736

 

 

1,745,878

 

 

 

 

 

 

 

 

 

 

 

 

8,588,207

 

Textiles, Apparel & Luxury
Goods — 0.3%

 

 

 

 

 

 

 

Philips Van Huesen Corp., US
Tranche B Term Loan, 4.75%,
5/06/16

 

 

1,325

 

 

1,339,523

 

Wireless Telecommunication
Services — 1.9%

 

 

 

 

 

 

 

Cavtel Holdings, LLC, Term Loan,
11.50%, 12/31/12

 

 

825

 

 

827,543

 

Digicel International Finance Ltd.,
US Term Loan (Non-Rollover),
2.81%, 3/30/12

 

 

875

 

 

849,107

 

MetroPCS Wireless, Inc., Tranche
B-2 Term Loan, 3.81%,
11/03/16

 

 

906

 

 

904,382

 

Vodafone Americas Finance 2 Inc.,
Initial Loan, 6.88%, 7/30/15

 

 

5,500

 

 

5,582,500

 

 

 

 

 

 

 

 

 

 

 

 

8,163,532

 

Total Floating Rate Loan
Interests – 66.1%

 

 

 

 

 

292,008,212

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (h)

 

Beneficial
Interest
(000)

 

 

 

 

Airlines — 0.1%

 

 

 

 

 

 

 

Delta Air Lines, Inc. Default Escrow:

 

 

 

 

 

 

 

8.33%

 

 

5,505

 

 

130,468

 

10%

 

 

4,200

 

 

99,540

 

 

 

 

 

 

 

 

 

 

 

 

230,008

 

Auto Components — 0.0%

 

 

 

 

 

 

 

Intermet Liquidating Trust, Class A

 

 

833

 

 

250

 

Diversified Financial
Services — 0.3%

 

 

 

 

 

 

 

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

 

 

1

 

 

1,190,710

 

Hotels, Restaurants &
Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc.

 

 

1,440

 

 

144

 

Household Durables — 0.3%

 

 

 

 

 

 

 

Stanley Martin, Class B
Membership Units (i)

 

 

2

 

 

1,219,500

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

 

7,500

 

 

750

 

Adelphia Preferred Escrow

 

 

5

 

 

1

 

Adelphia Recovery Trust

 

 

9,406

 

 

37,624

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2010

9


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (h)

 

Beneficial
Interest
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Adelphia Recovery Trust,
Series ACC-6B INT

 

USD

500

 

$

50

 

 

 

 

 

 

 

 

 

 

 

 

38,425

 

Metals & Mining — 0.3%

 

 

 

 

 

 

 

RathGibson Acquisition Corp.,
LLC (i)

 

 

280

 

 

1,488,924

 

Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc. Default Escrow

 

 

21,700

 

 

217

 

Total Other Interests – 1.0%

 

 

 

 

 

4,168,178

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (j)

 

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 — 0.0%

 

 

 

 

 

 

 

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

 

 

12,661

 

 

56,975

 

Oil, Gas & Consumable
Fuels — 0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (No Expiration)

 

 

4

 

 

—

 

Software — 0.0%

 

 

 

 

 

 

 

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

 

 

1,247

 

 

13

 

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

 

 

24,924

 

 

—

 

 

 

 

 

 

 

 

 

 

 

 

13

 

Total Warrants – 0.0%

 

 

 

 

 

57,001

 

Total Long-Term Investments
(Cost – $617,892,127) – 124.2%

 

 

 

 

 

548,329,556

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.18% (k)(l)

 

 

2,405,698

 

 

2,405,698

 

Total Short-Term Securities
(Cost – $2,405,698) – 0.5%

 

 

 

 

 

2,405,698

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investments
(Cost – $620,297,825*) – 124.7%

 

 

 

 

 

550,735,254

 

Liabilities in Excess of Other Assets – (24.7)%

 

 

 

 

 

(109,176,854

)

 

 

 

 

 

Net Assets – 100.0%

 

 

 

 

$

441,558,400

 

 

 

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of November 30, 2010, as computed for federal income tax purposes were as follows:

 

 

 

 

 

 

 

Aggregate cost

 

$

619,748,188

 

 

 

 

 

Gross unrealized appreciation

 

$

21,930,205

 

 

Gross unrealized depreciation

 

 

(90,943,139

)

 

 

 

 

Net unrealized depreciation

 

$

(69,012,934

)

 

 

 

 

 

(a)

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

 

 

(b)

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

 

 

(c)

Non-income producing security.

 

 

(d)

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

 

 

(e)

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

 

 

(f)

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

 

 

(g)

Convertible security.

 

 

(h)

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

 

 

(i)

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

 

 

(j)

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.

 

 

(k)

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,
2010

 

Net
Activity

 

Shares
Held at
November 30,
2010

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Liquidity
Funds,
TempFund,
Institutional
Class

 

1,319,723

 

1,085,975

 

2,405,698

 

$

4,921

 

 

 

(l)

Represents the current yield as of report date.

 

 

•

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. This definition may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

 

10

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2010


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

 

•

Foreign currency exchange contracts as of November 30, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

CAD

741,100

 

USD

 

 

726,787

 

Citibank NA

 

 

1/19/11

 

$

(5,600

)

USD

2,718,254

 

CAD

 

 

2,740,000

 

Citibank NA

 

 

1/19/11

 

 

51,873

 

USD

3,942,496

 

GBP

 

 

2,482,000

 

Citibank NA

 

 

1/19/11

 

 

83,185

 

EUR

1,115,000

 

USD

 

 

1,500,576

 

Citibank NA

 

 

1/28/11

 

 

(53,570

)

USD

1,784,379

 

EUR

 

 

1,317,000

 

Citibank NA

 

 

1/28/11

 

 

75,225

 

USD

25,516,537

 

EUR

 

 

18,636,500

 

Deutsche Bank AG

 

 

1/28/11

 

 

1,330,775

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

1,481,888

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

•

Credit default swaps on single-name issues - buy protection outstanding as of November 30, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 

K. Hovnanian
Enterprises, Inc.

 

5.00

%

 

Goldman Sachs International

 

December 2011

 

USD

 

855

 

$

11,653

 

K. Hovnanian
Enterprises, Inc.

 

5.00

%

 

Goldman Sachs International

 

September 2013

 

USD

 

250

 

 

9,498

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

21,151

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

•

Credit default swaps on single-name issues - sold protection outstanding as of November 30, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Depreciation

 

BAA Ferrovial, Junior
Term Loan

 

2.00

%

 

Deutsche Bank AG

 

March 2012

 

A-

 

GBP

 

900

 

$

(1,660

)

 

 

 

 

1

Using Standard and Poor’s rating.

 

 

 

 

2

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

 

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivatives, which are as follows:

 

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

 

 

 

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

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2010

11


 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

The following tables summarize the inputs used as of November 30, 2010 in determining the fair valuation of the Fund’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

—

 

 

—

 

$

4,740,950

 

$

4,740,950

 

Common Stocks

 

$

3,644,649

 

$

4,306,696

 

 

946,510

 

 

8,897,855

 

Corporate Bonds

 

 

—

 

 

228,385,887

 

 

10,071,473

 

 

238,457,360

 

Floating Rate Loan Interests

 

 

—

 

 

221,325,907

 

 

70,682,305

 

 

292,008,212

 

Other Interests

 

 

—

 

 

230,008

 

 

3,938,170

 

 

4,168,178

 

Warrants

 

 

56,975

 

 

—

 

 

26

 

 

57,001

 

Short-Term Securities

 

 

2,405,698

 

 

—

 

 

—

 

 

2,405,698

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan Commitments

 

 

—

 

 

—

 

 

(18,706

)

 

(18,706

)

Total

 

$

6,107,322

 

$

454,248,498

 

$

90,360,728

 

$

550,716,548

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Financial Instruments1

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

$

21,151

 

 

 

 

$

21,151

 

Foreign currency exchange contracts

 

 

—

 

 

1,541,058

 

 

—

 

 

1,541,058

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

 

 

 

$

(1,660

)

 

(1,660

)

Foreign currency exchange contracts

 

 

—

 

 

(59,170

)

 

—

 

 

(59,170

)

Total

 

 

—

 

$

1,503,039

 

$

(1,660

)

$

1,501,379

 

 

 

 

 

1

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

Common Stocks

 

Corporate
Bonds

 

Floating Rate Loan
Interests

 

 

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2010

 

 

—

 

$

311,675

 

$

11,805,208

 

$

58,483,045

 

Accrued discounts/premiums

 

 

—

 

 

—

 

 

369,389

 

 

364,374

 

Realized gain (loss)

 

 

—

 

 

—

 

 

214,567

 

 

(6,026,025

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Change in unrealized appreciation/ depreciation2

 

 

—

 

 

713,481

 

 

835,351

 

 

9,466,377

 

Purchases

 

 

—

 

 

—

 

 

23,853

 

 

1,601,073

 

Sales

 

 

—

 

 

—

 

 

(3,126,054

)

 

(35,055,108

)

Transfers in3

 

$

4,740,950

 

 

815,918

 

 

—

 

 

49,298,880

 

Transfers out3

 

 

—

 

 

(894,564

)

 

(50,841

)

 

(7,450,311

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of November 30, 2010

 

$

4,740,950

 

$

946,510

 

$

10,071,473

 

$

70,682,305

 

 

 

 

 

 

12

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2010


 

 

 

 

Schedule of Investments (concluded)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests

 

Warrants

 

Unfunded Loan
Commitments

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2010

 

$

2,253,500

 

$

31,175

 

 

—

 

$

72,884,603

 

Accrued discounts/premiums

 

 

—

 

 

—

 

 

—

 

 

733,763

 

Realized gain (loss)

 

 

364,537

 

 

(79,953

)

 

—

 

 

(5,526,874

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Change in unrealized appreciation/ depreciation2

 

 

(838,734

)

 

48,792

 

$

(18,706

)

 

10,206,561

 

Purchases

 

 

—

 

 

—

 

 

—

 

 

1,624,926

 

Sales

 

 

(520,767

)

 

—

 

 

—

 

 

(38,701,929

)

Transfers in3

 

 

2,679,634

 

 

12

 

 

—

 

 

57,535,394

 

Transfers out3

 

 

—

 

 

—

 

 

—

 

 

(8,395,716

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of November 30, 2010

 

$

3,938,170

 

$

26

 

$

(18,706

)

$

90,360,728

 

 

 

 

 

 

 

2

The change in the unrealized appreciation/depreciation on the securities still held on November 30, 2010 was $2,499,920.

 

 

 

 

3

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

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

 

 

 

 

 

 

 

Credit Contracts

 

Balance, as of February 28, 2010

 

$

(94,696

)

Accrued discounts/premiums

 

 

—

 

Net realized gain (loss)

 

 

—

 

Net change in unrealized appreciation/depreciation4

 

 

93,036

 

Purchases

 

 

—

 

Sales

 

 

—

 

Transfers in5

 

 

—

 

Transfers out5

 

 

—

 

 

 

Balance, as of November 30, 2010

 

$

(1,660

)

 

 

 

 

 

 

4

The change in the unrealized appreciation/depreciation on the securities still held on November 30, 2010 was $93,036.

 

 

 

 

5

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

 

 

 

 

 

BLACKROCK DEBT STRATEGIES FUND, INC.

NOVEMBER 30, 2010

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