BLACKROCK DEBT STRATEGIES FUND, INC.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-08603

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

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 02/28/2015

Date of reporting period: 02/28/2015


Item 1 – Report to Stockholders


FEBRUARY 28, 2015

 

 

 

 

 

ANNUAL REPORT

 

    LOGO

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents     

 

     Page  

The Markets in Review

    3   

Annual Report:

 

Fund Summary

    4   

The Benefits and Risks of Leveraging

    7   

Derivative Financial Instruments

    7   
Financial Statements:  

Consolidated Schedule of Investments

    8   

Consolidated Statement of Assets and Liabilities

    27   

Consolidated Statement of Operations

    28   

Consolidated Statements of Changes in Net Assets

    29   

Consolidated Statement of Cash Flows

    30   

Financial Highlights

    31   

Notes to Consolidated Financial Statements

    32   

Report of Independent Registered Public Accounting Firm

    46   

Important Tax Information

    46   

Automatic Dividend Reinvestment Plan

    47   

Officers and Directors

    48   

Additional Information

    51   

 

                
2    BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 28, 2015   


The Markets in Review

Dear Shareholder,

Market volatility, while remaining below the long-term average level, increased over the course of 2014 and into 2015, driven largely by higher valuations in risk assets (such as equities and high yield bonds), geopolitical risks, uneven global economic growth and uncertainty around policy moves from the world’s largest central banks. As the U.S. Federal Reserve (the “Fed”) gradually reduced its bond buying program (which ultimately ended in October 2014), U.S. interest rates surprisingly trended lower during the period.

The first half of 2014 was generally a strong period for most asset classes; however, volatility ticked up in the summer as geopolitical tensions intensified in Ukraine and the Middle East and investors feared that better U.S. economic indicators may compel the Fed to increase short-term interest rates sooner than previously anticipated. Global credit markets tightened as the U.S. dollar strengthened versus other currencies, ultimately putting a strain on investor flows, and financial markets broadly weakened in the third quarter.

Several themes dominated the markets in the fourth quarter that resulted in the strong performance of U.S. markets versus other areas of the world. Economic growth strengthened considerably in the United States while the broader global economy showed signs of slowing. The European Central Bank and the Bank of Japan took aggressive measures to stimulate growth while the Fed moved toward tighter policy, causing further strengthening in the U.S. dollar. Fixed income investors piled into U.S. Treasuries where yields remained persistently low, but were comparatively higher than yields on international sovereign debt, while equity investors favored the relative stability of U.S.-based companies amid rising global risks.

Oil prices, which had been gradually declining since mid-summer, plummeted in the fourth quarter due to a global supply-and-demand imbalance. Energy-related assets sold off sharply and emerging markets struggled as many of those economies rely heavily on oil exports. Conversely, the consumer sectors benefited from lower oil prices as savings at the gas pumps freed up discretionary income for other goods and services.

These trends shifted in early 2015. U.S. equities underperformed international markets given high valuations and the anticipation of a rate hike from the Fed. Oil prices showed signs of stabilizing as suppliers became more disciplined in their exploration and production efforts. Markets in Europe and Japan rebounded, driven largely by central bank policy accommodation and improving economic data.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of February 28, 2015  
    6-month     12-month  

U.S. large cap equities
(S&P 500® Index)

    6.12     15.51

U.S. small cap equities
(Russell 2000® Index)

    5.70        5.63   

International equities
(MSCI Europe, Australasia,
Far East Index)

    (1.26     (0.03

Emerging market equities
(MSCI Emerging
Markets Index)

    (8.30     5.01   

3-month Treasury bills
(BofA Merrill Lynch 3-Month
U.S. Treasury Bill Index)

    0.01        0.03   

U.S. Treasury securities
(BofA Merrill Lynch 10-Year
U.S. Treasury Index)

    4.14        8.66   

U.S. investment-grade
bonds (Barclays
U.S. Aggregate Bond Index)

    2.25        5.05   

Tax-exempt municipal
bonds (S&P Municipal
Bond Index)

    2.17        6.47   

U.S. high yield bonds
(Barclays U.S.
Corporate High Yield 2%
Issuer Capped Index)

    (0.08     2.81   
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.    

 

                
   THIS PAGE NOT PART OF YOUR FUND REPORT       3


Fund Summary as of February 28, 2015     

 

Fund Overview

BlackRock Debt Strategies Fund, Inc.’s (DSU) (the “Fund”) primary investment objective is to provide current income by investing primarily in a diversified portfolio of U.S. companies’ debt instruments, including corporate loans, which are rated in the lower rating categories of the established rating services (BBB or lower by S&P’s or Baa or lower by Moody’s) or unrated debt instruments, which are in the judgment of the investment adviser of equivalent quality. The Fund’s secondary objective is to provide capital appreciation. Corporate loans include senior and subordinated corporate loans, both secured and unsecured. The Fund may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Fund’s investment objectives will be achieved.

 

Portfolio Management Commentary

 

How did the Fund perform?

 

Ÿ  

For the 12-month period ended February 28, 2015, the Fund returned 0.66% based on market price and 4.15% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 0.83% based on market price and 2.14% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

 

Ÿ  

The Fund generally invests about 50% of its assets in high yield bonds and about 50% in floating rate loan interests (bank loans). Both the high yield bond and loan sectors performed well early in the 12-month period, and then weakened in late 2014 before rebounding to end the period with modestly positive returns. The Fund’s top 25 holdings, representing approximately 20% of assets, provided mainly positive returns. Top performers for the fund over the period included Geo Specialty Chemicals, Inc. (chemicals), First Data Corporation (technology), Level 3 Communications, Inc. (diversified telecommunication services), Ally Financial, Inc. (diversified financial services), and HD Supply, Inc. (industrial distribution), all within the top 25 holdings.

 

Ÿ  

Holdings in the oil sector detracted from performance as the price of crude oil declined from approximately $100 to $50 per barrel over the period, leading to significant price declines on both high yield bonds and loans in the sector. Holdings in metals and mining likewise detracted as that sector also endured negative returns.

Describe recent portfolio activity.

 

Ÿ  

During the period, the Fund modestly reduced risk and increased liquidity in the portfolio in light of expectations for increased market volatility going forward.

Describe portfolio positioning at period end.

 

Ÿ  

At period end the Fund held 54% of its total portfolio in floating rate loan interests and 43% in corporate bonds, with the remainder invested in asset-backed securities, common stocks and other interests. The Fund was 27% leveraged. It was also broadly diversified in approximately 500 issuers, consistent with a more mature market cycle where pricing differentials among various issuers have become compressed.

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
4    BLACKROCK DEBT STRATEGIES FUND, INC.   

FEBRUARY 28, 2015

  


    

 

Fund Information     

Symbol on New York Stock Exchange (“NYSE”)

  DSU

Initial Offering Date

  March 27, 1998

Current Distribution Rate on Closing Market Price as of February 28, 2015 ($3.81)1

  7.56%

Current Monthly Distribution per Common Share2

  $0.024

Current Annualized Distribution per Common Share2

  $0.288

Economic Leverage as of February 28, 20153

  27%

 

  1   

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results.

 

  2   

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 

  3   

Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 7.

 

Market Price and Net Asset Value Per Share Summary                                        
           
      2/28/15      2/28/14      Change      High      Low  

Market Price

     $3.81         $4.08         (6.62)%         $4.19         $3.52   

Net Asset Value

     $4.29         $4.44         (3.38)%         $4.47         $4.12   

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

                
   BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 28, 2015    5


    

 

 

Overview of the Fund’s Total Investments

 

Portfolio Composition   2/28/15     2/28/14  

Floating Rate Loan Interests

    54     52

Corporate Bonds

    43        44   

Asset-Backed Securities

    2        1   

Common Stocks

    1        1   

Other Interests

    1      1   

Short-Term Securities

           1   

Other

    2       3  

 

  1   

Representing less than 1% of the Fund’s total investments.

 

  2   

Includes a less than 1% holding in each of the following investment types: Non-Agency Mortgage-Backed Securities, Options Purchased, Preferred Securities and Warrants.

 

  3   

Includes a less than 1% holding in each of the following investment types: Non-Agency Mortgage-Backed Securities, Options Purchased, Options Written, Preferred Securities and Warrants.

 

Credit Quality Allocation4,5   2/28/15     2/28/146  

BBB/Baa

    7     5

BB/Ba

    41        39   

B

    43        45   

CCC/Caa

    5        6   

N/R

    4        5   

 

  4   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s or Moody’s Investors Service. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  5   

Excludes short-term securities.

 

  6   

Information has been revised to conform to current year presentation.

 

                
6    BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 28, 2015   


The Benefits and Risks of Leveraging     

 

 

The Fund may utilize leverage to seek to enhance the yield and net asset value (“NAV”) of its common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Fund’s shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV.

To illustrate these concepts, assume a Fund’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Fund’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, the Fund’s financing cost of leverage is significantly lower than the income earned on the Fund’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Fund had not used leverage. Furthermore, the value of the Fund’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Fund’s obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Fund’s NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Fund’s intended leveraging strategy will be successful.

Leverage also generally causes greater changes in the Fund’s NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the net asset value and market price of a Fund’s shares than if the Fund were not leveraged. In addition, the Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Fund to incur losses. The use of leverage may limit the Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. The Fund incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shares.

The Fund may utilize leverage through a credit facility as described in the Notes to Consolidated Financial Statements.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Fund is permitted to issue debt up to 33 1/3% of their total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

 

Derivative Financial Instruments     

 

The Fund may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage. Derivative financial instruments also involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Fund’s ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments are discussed in detail in the Notes to Consolidated Financial Statements.

 

                
   BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 28, 2015    7


Consolidated Schedule of Investments February 28, 2015

  

(Percentages shown are based on Net Assets)

Common Stocks   

Shares

    Value  

Chemicals — 0.1%

  

GEO Specialty Chemicals, Inc. (a)

       481,806      $ 419,171   

LyondellBasell Industries NV, Class A

       26        2,234   
      

 

 

 
                       421,405   

Diversified Consumer Services — 0.5%

  

Cengage Thomson Learning (a)

       49,549        1,068,425   

Houghton Mifflin Harcourt Co. (a)

       147,998        2,927,400   
      

 

 

 
                       3,995,825   

Diversified Financial Services — 0.1%

  

Kcad Holdings I Ltd. (a)

             756,012,055        756,012   

Diversified Telecommunication Services — 0.0%

  

Broadview Networks Holdings, Inc. (a)

             5,037        9,067   

Electrical Equipment — 0.0%

  

Medis Technologies Ltd. (a)

             286,757        3   

Media — 0.0%

  

Adelphia Recovery Trust (a)

       396,568        1,150   

Adept Communications Corp., Class A

       400,000        3,000   
      

 

 

 
                       4,150   

Paper & Forest Products — 0.5%

  

Ainsworth Lumber Co. Ltd. (a)

       803,254        2,131,601   

Ainsworth Lumber Co. Ltd. (a)(b)

       695,930        1,876,077   
      

 

 

 
                       4,007,678   

Semiconductors & Semiconductor Equipment — 0.0%

  

SunPower Corp. (a)

             1,707        55,751   
Total Common Stocks1.2%                      9,249,891   
      
                          
Asset-Backed Securities (b)   

Par  

(000)

        

ACAS CLO, Ltd., Series 2014-2A, Class D, 4.13%, 1/15/27 (c)

     USD        2,500        2,424,780   

Adams Mill CLO Ltd., Series 2014-1A, Class D1, 3.75%, 7/15/26 (c)

       450        415,125   

ALM Loan Funding, Series 2013-7RA (c):

      

Class C, 3.71%, 4/24/24

       1,310        1,271,101   

Class D, 5.26%, 4/24/24

       1,150        1,067,258   

ALM XIV Ltd., Series 2014-14A, Class C, 3.71%, 7/28/26 (c)

       713        676,264   

Atlas Senior Loan Fund Ltd.,
Series 2014-6A, Class D,
3.96%, 10/15/26 (c)

       1,240        1,180,185   

Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (c)

       1,300        1,249,378   

Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.75%, 7/15/24 (c)

       900        851,553   
Asset-Backed Securities (b)   

Par  

(000)

    Value  

Carlyle Global Market Strategies CLO Ltd. (c):

      

Series 2012-4A, Class D, 4.76%, 1/20/25

     USD        900      $ 909,862   

Series 2013-1A, Class C, 4.26%, 2/14/25

       250        247,242   

Cent CLO 22, Ltd., Series 2014-22A, Class C, 3.98%, 11/07/26 (c)

       625        593,375   

CFIP CLO Ltd., Series 2013-1A, Class D, 4.01%, 4/20/24 (c)

       1,500        1,412,771   

CIFC Funding Ltd., Series 2014-3A, Class D, 3.66%, 7/22/26 (c)

       250        235,676   

Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.26%, 4/20/23 (c)

       1,170        1,157,016   

Galaxy CLO Ltd., Series 2014-18A, Class C1, 3.26%, 10/15/26 (c)

       625        616,944   

Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.76%, 10/23/25 (c)

       555        524,251   

Neuberger Berman CLO XVIII Ltd.,
Series 2014-18A, Class C,
3.98%, 11/14/25 (c)

       1,000        953,770   

Octagon Investment Partners XX Ltd., Series 2014-1A, Class D, 3.91%, 8/12/26 (c)

       350        337,750   

OZLM Funding Ltd., Series 2012-2A, Class C, 4.60%, 10/30/23 (c)

       500        501,333   

OZLM IX, Ltd., Series 2014-9A, Class C, 3.85%, 1/20/27 (c)

       1,000        954,204   

OZLM VII Ltd., Series 2014-7A, Class C, 3.86%, 7/17/26 (c)

       500        477,210   

Regatta Funding LP, Series 2013-2A, Class C, 4.25%, 1/15/25 (c)

       750        725,627   

Symphony CLO Ltd., Series 2012-10A, Class D, 5.51%, 7/23/23 (c)

       650        650,598   

Voya CLO, Ltd., Series 2014-4A, Class SUB, 0.00%, 10/14/26

             1,000        940,700   
Total Asset-Backed Securities — 2.5%                      20,373,973   
      
                          
Corporate Bonds                      

Aerospace & Defense — 0.9%

  

Bombardier, Inc., 7.50%, 3/15/25 (b)(d)

       205        205,000   

DigitalGlobe, Inc., 5.25%, 2/01/21 (b)

       1,017        986,490   

Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (b)

       307        321,966   

Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b)

       347        388,640   

TransDigm, Inc.:

      

5.50%, 10/15/20

       2,250        2,227,500   

6.00%, 7/15/22

       2,205        2,232,563   

6.50%, 7/15/24

       1,030        1,053,175   
      

 

 

 
                       7,415,334   

 

Portfolio Abbreviations

 

CAD    Canadian Dollar
CLO    Collateralized Loan Obligation
DIP    Debtor-In-Possession
EUR    Euro
GBP    British Pound
MSCI    Morgan Stanley Capital International
PIK    Payment-In-Kind
USD    U.S. Dollar

 

See Notes to Consolidated Financial Statements.

 

                
8    BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 28, 2015   


Consolidated Schedule of Investments (continued)

  

(Percentages shown are based on Net Assets)

Corporate Bonds   

Par  

(000)

    Value  

Airlines — 1.4%

  

Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (b)

     USD        712      $ 745,072   

American Airlines Group, Inc.,
4.63%, 3/01/20 (b)

       542        542,678   

American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)

       3,195        3,226,950   

Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18

       2,390        2,533,400   

Delta Air Lines Pass-Through Trust,
Series 2009-1, Class B, 9.75%, 6/17/18

       245        276,623   

US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 5/15/23

       2,300        2,391,774   

Virgin Australia Trust, Series 2013-1, Class C, 7.13%, 10/23/18 (b)

       1,093        1,111,707   
      

 

 

 
                       10,828,204   

Auto Components — 1.8%

  

Affinia Group, Inc., 7.75%, 5/01/21

       1,200        1,248,000   

Autodis SA, 6.50%, 2/01/19

     EUR        100        117,621   

Dana Holding Corp., 6.75%, 2/15/21

     USD        180        190,800   

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

       380        414,137   

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

3.50%, 3/15/17

       145        146,812   

4.88%, 3/15/19

       4,609        4,741,739   

Jaguar Land Rover Automotive PLC:

      

8.25%, 3/15/20

     GBP        569        977,279   

5.63%, 2/01/23 (b)

     USD        425        456,875   

Pittsburgh Glass Works LLC,
8.00%, 11/15/18 (b)

       194        206,367   

Schaeffler Holding Finance BV (e):

      

(5.75% Cash or 6.50% PIK), 5.75%, 11/15/21

     EUR        145        175,649   

(6.25% Cash or 0.00% PIK), 6.25%, 11/15/19 (b)

     USD        738        782,280   

(6.75% Cash or 0.00% PIK), 6.75%, 11/15/22 (b)

       3,522        3,856,590   

(6.88% Cash), 6.88%, 8/15/18

     EUR        385        453,453   

Titan International, Inc., 6.88%, 10/01/20

     USD        300        273,000   

Venture Holdings Co. LLC:

      

12.00%, 7/01/49

       5,150        1   

Series B, 9.50%, 7/01/05 (a)(f)

       5,125        1   
      

 

 

 
                       14,040,604   

Automobiles — 0.5%

  

Chrysler Group LLC/CG Co-Issuer, Inc., 8.00%, 6/15/19

       1,341        1,416,659   

General Motors Co.:

      

4.88%, 10/02/23

       495        539,236   

6.25%, 10/02/43

       1,345        1,668,910   

5.20%, 4/01/45

       680        752,849   
      

 

 

 
                       4,377,654   

Banks — 0.8%

  

Banco Espirito Santo SA:

      

2.63%, 5/08/17

     EUR        100        109,756   

4.75%, 1/15/18

       200        233,322   

4.00%, 1/21/19

       100        115,111   
Corporate Bonds   

Par  

(000)

    Value  

Banks (concluded)

  

CIT Group, Inc.:

      

5.00%, 5/15/17

     USD        950      $ 988,000   

5.25%, 3/15/18

       1,434        1,514,304   

6.63%, 4/01/18 (b)

       295        321,919   

5.50%, 2/15/19 (b)

       3,099        3,311,901   

5.00%, 8/01/23

       130        137,150   

Lloyds Bank PLC, 11.88%, 12/16/21 (c)

     EUR        12        16,007   
      

 

 

 
                       6,747,470   

Beverages — 0.1%

  

Constellation Brands, Inc.:

      

7.25%, 5/15/17

     USD        87        96,788   

3.88%, 11/15/19

       362        375,575   
      

 

 

 
                       472,363   

Building Products — 0.8%

  

American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (b)

       210        214,200   

BMBG Bond Finance SCA, 5.07%, 10/15/20 (c)

     EUR        245        275,857   

Builders FirstSource, Inc., 7.63%, 6/01/21 (b)

     USD        464        469,800   

Building Materials Corp. of America, 6.75%, 5/01/21 (b)

       920        989,000   

Cemex SAB de CV:

      

5.88%, 3/25/19 (b)

       260        269,165   

4.38%, 3/05/23

     EUR        100        111,905   

5.70%, 1/11/25 (b)

     USD        825        808,912   

CPG Merger Sub LLC, 8.00%, 10/01/21 (b)

       740        747,400   

Ply Gem Industries, Inc., 6.50%, 2/01/22

       1,755        1,702,350   

USG Corp., 9.75%, 1/15/18

       980        1,128,245   
      

 

 

 
                       6,716,834   

Capital Markets — 0.7%

      

American Capital Ltd., 6.50%, 9/15/18 (b)

       1,070        1,116,813   

Blackstone CQP Holdco LP, 9.30%, 3/18/19

       1,332        1,318,822   

E*Trade Financial Corp.:

      

0.00%, 8/31/19 (b)(g)(h)

       593        1,495,119   

5.38%, 11/15/22

       773        815,515   

Series A, 0.00%, 8/31/19 (g)(h)

       100        252,128   

Orange SA, 4.00% (c)(i)

     EUR        250        304,499   
      

 

 

 
                       5,302,896   

Chemicals — 2.8%

      

Ashland, Inc., 3.88%, 4/15/18

     USD        730        759,200   

Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV:

      

5.75%, 2/01/21

     EUR        100        118,619   

7.38%, 5/01/21 (b)

     USD        151        163,458   

Axiall Corp., 4.88%, 5/15/23

       39        39,683   

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

       324        352,350   

Chemtura Corp., 5.75%, 7/15/21

       221        219,342   

GEO Specialty Chemicals, Inc., 7.50%, 3/31/15

       6,039        13,769,855   

Huntsman International LLC:

      

4.88%, 11/15/20

       40        41,150   

8.63%, 3/15/21

       1,195        1,286,621   

5.13%, 4/15/21

     EUR        428        507,691   

5.13%, 11/15/22 (b)

     USD        4,000        4,110,000   

INEOS Group Holdings SA:

      

6.13%, 8/15/18 (b)

       342        347,130   

6.50%, 8/15/18

     EUR        124        144,139   

5.75%, 2/15/19

       151        175,440   

LSB Industries, Inc., 7.75%, 8/01/19

     USD        183        190,777   

 

See Notes to Consolidated Financial Statements.

 

                
   BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 28, 2015    9


Consolidated Schedule of Investments (continued)

  

(Percentages shown are based on Net Assets)

Corporate Bonds   

Par  

(000)

    Value  

Chemicals (concluded)

      

Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18

     USD        30      $ 27,975   
      

 

 

 
                       22,253,430   

Commercial Services & Supplies — 1.6%

  

Abengoa Greenfield SA, 6.50%, 10/01/19 (b)

       742        706,755   

ADS Waste Holdings, Inc., 8.25%, 10/01/20

       267        277,680   

ARAMARK Corp., 5.75%, 3/15/20

       1,599        1,670,955   

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 2.98%, 12/01/17 (c)

       190        190,950   

Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (b)

       164        155,800   

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

       1,305        1,406,137   

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

       1,110        1,173,825   

Modular Space Corp., 10.25%, 1/31/19 (b)

       1,955        1,466,250   

Silk Bidco, 7.50%, 2/01/22

     EUR        150        174,152   

United Rentals North America, Inc.:

      

5.75%, 7/15/18

     USD        1,389        1,441,956   

7.38%, 5/15/20

       760        824,600   

8.25%, 2/01/21

       165        179,025   

7.63%, 4/15/22

       3,143        3,491,276   
      

 

 

 
                       13,159,361   

Communications Equipment — 0.9%

  

Alcatel-Lucent USA, Inc. (b):

      

4.63%, 7/01/17

       645        665,962   

6.75%, 11/15/20

       1,920        2,054,400   

Avaya, Inc., 7.00%, 4/01/19 (b)

       719        726,190   

CommScope, Inc. (b):

      

5.00%, 6/15/21

       265        268,313   

5.50%, 6/15/24

       272        275,400   

Zayo Group LLC/Zayo Capital, Inc.:

      

8.13%, 1/01/20

       2,419        2,564,140   

10.13%, 7/01/20

       785        887,050   
      

 

 

 
                       7,441,455   

Construction & Engineering — 0.6%

  

AECOM Technology Corp. (b):

      

5.75%, 10/15/22

       1,490        1,560,775   

5.88%, 10/15/24

       862        915,875   

BlueLine Rental Finance Corp.,
7.00%, 2/01/19 (b)

       205        212,688   

Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)

       1,925        1,944,250   

Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23

       350        332,062   
      

 

 

 
                       4,965,650   

Construction Materials — 0.8%

  

Allegion US Holding Co., Inc., 5.75%, 10/01/21

       117        122,850   

HD Supply, Inc.:

      

11.00%, 4/15/20

       786        899,970   

7.50%, 7/15/20

       3,069        3,283,830   

5.25%, 12/15/21 (b)

       2,250        2,337,187   
      

 

 

 
                       6,643,837   

Containers & Packaging — 0.7%

  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

      

6.00%, 6/30/21 (b)

       465        452,794   

4.25%, 1/15/22

     EUR        370        420,259   

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

     USD        635        657,225   
Corporate Bonds   

Par  

(000)

    Value  

Containers & Packaging (concluded)

  

Beverage Packaging Holdings Luxembourg II SA, 6.00%, 6/15/17 (b)

     USD        727      $ 734,270   

Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, 1/15/23

       1,575        1,610,438   

Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21

       715        757,900   

Crown European Holdings SA, 4.00%, 7/15/22

     EUR        320        390,325   

Sealed Air Corp. (b):

      

6.50%, 12/01/20

     USD        120        135,924   

8.38%, 9/15/21

       60        67,875   

SGD Group SAS, 5.63%, 5/15/19

     EUR        100        113,863   

Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (b)

     USD        200        208,500   
      

 

 

 
                       5,549,373   

Distributors — 0.1%

  

VWR Funding, Inc., 7.25%, 9/15/17

             938        982,555   

Diversified Consumer Services — 0.1%

  

Laureate Education, Inc., 10.00%, 9/01/19 (b)

       427        407,785   

Service Corp. International, 4.50%, 11/15/20

       307        310,838   
      

 

 

 
                       718,623   

Diversified Financial Services — 2.7%

  

Ally Financial, Inc.:

      

6.25%, 12/01/17

       30        32,400   

5.13%, 9/30/24

       2,730        2,883,562   

8.00%, 11/01/31

       5,281        6,827,753   

Bank of America Corp.:

      

4.50%, 4/01/15

       375        376,131   

6.05%, 5/16/16

       325        342,679   

6.50%, 8/01/16

       410        439,630   

5.63%, 10/14/16

       100        106,708   

CE Energy AS, 7.00%, 2/01/21

     EUR        175        199,016   

General Motors Financial Co., Inc.:

      

4.38%, 9/25/21

     USD        650        690,625   

4.25%, 5/15/23

       101        105,798   

HSH Nordbank AG, 0.89%, 2/14/17 (c)

     EUR        179        172,817   

Jefferies Finance LLC/JFIN Co-Issuer Corp. (b):

      

7.38%, 4/01/20

     USD        825        816,750   

6.88%, 4/15/22

       716        690,940   

MSCI, Inc., 5.25%, 11/15/24 (b)

       385        401,363   

Onex Wizard Acquisition Co. II SCA, 7.75%, 2/15/23

     EUR        126        148,050   

Reynolds Group Issuer, Inc.:

      

9.00%, 4/15/19

     USD        969        1,015,027   

7.88%, 8/15/19

       180        190,980   

9.88%, 8/15/19

       1,032        1,105,530   

5.75%, 10/15/20

       4,215        4,378,331   

6.88%, 2/15/21

       266        281,295   

UBS Group AG (c)(i):

      

5.75%

     EUR        200        233,322   

7.00%

     USD        200        208,748   
      

 

 

 
                       21,647,455   

Diversified Telecommunication Services — 2.1%

  

CenturyLink, Inc.:

      

6.45%, 6/15/21

       240        263,400   

Series V, 5.63%, 4/01/20

       1,153        1,233,710   

Frontier Communications Corp.:

      

8.50%, 4/15/20

       70        79,100   

6.25%, 9/15/21

       505        518,887   

 

See Notes to Consolidated Financial Statements.

 

                
10    BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 28, 2015   


Consolidated Schedule of Investments (continued)

  

(Percentages shown are based on Net Assets)

Corporate Bonds   

Par  

(000)

    Value  

Diversified Telecommunication Services (concluded)

  

Frontier Communications Corp. (concluded):

      

7.13%, 1/15/23

     USD        255      $ 266,156   

7.63%, 4/15/24

       120        128,400   

6.88%, 1/15/25

       225        225,563   

Level 3 Communications, Inc., 8.88%, 6/01/19

       670        709,362   

Level 3 Financing, Inc.:

      

3.83%, 1/15/18 (c)

       646        654,075   

8.13%, 7/01/19

       3,980        4,213,825   

7.00%, 6/01/20

       524        563,410   

8.63%, 7/15/20

       188        204,920   

6.13%, 1/15/21

       1,217        1,288,499   

5.38%, 8/15/22

       3,395        3,512,773   

Telecom Italia Finance SA, 7.75%, 1/24/33

       100        169,548   

Telecom Italia SpA:

      

6.13%, 11/15/16 (h)

       100        153,746   

6.38%, 6/24/19

     GBP        200        342,233   

4.88%, 9/25/20

     EUR        235        302,208   

4.50%, 1/25/21

       330        418,620   

3.25%, 1/16/23

       150        176,954   

5.88%, 5/19/23

     GBP        300        510,907   

Telefonica Europe BV, 4.20% (c)(i)

     EUR        200        238,078   

Telefonica SA, Series TIT, 6.00%, 7/24/17 (h)

       200        263,805   

Telenet Finance V Luxembourg SCA:

      

6.25%, 8/15/22

       319        390,604   

6.75%, 8/15/24

       322        406,277   
      

 

 

 
                       17,235,060   

Electric Utilities — 0.3%

  

ContourGlobal Power Holdings SA, 7.13%, 6/01/19 (b)

     USD        897        905,970   

Homer City Generation LP (e):

      

(8.14% Cash), 8.14%, 10/01/19

       250        240,038   

(8.73% Cash), 8.73%, 10/01/26

       488        489,248   

Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17

       431        447,783   
      

 

 

 
                       2,083,039   

Electrical Equipment — 0.0%

  

Belden, Inc., 5.50%, 4/15/23

     EUR        209        251,107   

Energy Equipment & Services — 0.9%

  

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

     USD        2,281        2,047,198   

Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21

       18        17,640   

GrafTech International Ltd., 6.38%, 11/15/20

       150        121,500   

MEG Energy Corp. (b):

      

6.50%, 3/15/21

       2,747        2,657,722   

6.38%, 1/30/23

       29        27,550   

7.00%, 3/31/24

       687        668,966   

Peabody Energy Corp., 6.25%, 11/15/21

       1,072        892,440   

Precision Drilling Corp.:

      

6.63%, 11/15/20

       190        184,300   

5.25%, 11/15/24 (b)

       641        544,850   
      

 

 

 
                       7,162,166   

Food & Staples Retailing — 0.4%

  

Family Tree Escrow LLC (b):

      

5.25%, 3/01/20

       219        228,855   

5.75%, 3/01/23

       2,123        2,234,457   
Corporate Bonds   

Par  

(000)

    Value  

Food & Staples Retailing (concluded)

  

Rite Aid Corp.:

      

9.25%, 3/15/20

     USD        435      $ 481,763   

6.75%, 6/15/21

       72        76,500   
      

 

 

 
                       3,021,575   

Food Products — 0.3%

  

Anna Merger Sub, Inc., 7.75%, 10/01/22 (b)

       780        803,400   

Barry Callebaut Services NV, 5.50%, 6/15/23 (b)

       200        212,300   

Boparan Finance PLC:

      

5.25%, 7/15/19

     GBP        100        144,165   

4.38%, 7/15/21

     EUR        110        114,048   

5.50%, 7/15/21

     GBP        145        202,592   

Smithfield Foods, Inc.:

      

5.88%, 8/01/21 (b)

     USD        257        270,814   

6.63%, 8/15/22

       849        923,287   
      

 

 

 
                       2,670,606   

Health Care Equipment & Supplies — 0.7%

  

Biomet, Inc., 6.50%, 10/01/20

       1,889        1,999,979   

DJO Finance LLC/DJO Finance Corp.,
8.75%, 3/15/18

       480        500,400   

Fresenius Medical Care US Finance, Inc.,
5.75%, 2/15/21 (b)

       1,495        1,655,712   

Fresenius US Finance II, Inc.,
9.00%, 7/15/15 (b)

       410        420,250   

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

       830        865,275   
      

 

 

 
                       5,441,616   

Health Care Providers & Services — 4.1%

  

Acadia Healthcare Co., Inc., 5.13%, 7/01/22

       295        296,475   

Amsurg Corp., 5.63%, 7/15/22

       2,628        2,785,680   

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19

       1,215        1,266,030   

CHS/Community Health Systems, Inc.:

      

5.13%, 8/15/18

       776        803,160   

6.88%, 2/01/22

       2,134        2,282,046   

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b)

     EUR        200        231,923   

Crown Newco 3 PLC, 7.00%, 2/15/18

     GBP        119        190,382   

DaVita HealthCare Partners, Inc.,
5.13%, 7/15/24

     USD        1,922        1,994,075   

HCA Holdings, Inc., 7.75%, 5/15/21

       3,431        3,671,170   

HCA, Inc.:

      

3.75%, 3/15/19

       1,048        1,070,270   

6.50%, 2/15/20

       2,254        2,563,925   

5.88%, 3/15/22

       1,148        1,290,352   

4.75%, 5/01/23

       523        551,713   

5.00%, 3/15/24

       450        486,000   

5.38%, 2/01/25

       879        931,740   

HealthSouth Corp., 5.75%, 11/01/24

       331        345,895   

Hologic, Inc., 6.25%, 8/01/20

       1,933        2,024,817   

Kindred Healthcare, Inc., 6.38%, 4/15/22

       229        229,000   

Omnicare, Inc.:

      

4.75%, 12/01/22

       203        211,881   

5.00%, 12/01/24

       128        134,720   

Priory Group No. 3 PLC, 7.00%, 2/15/18 (b)

     GBP        189        302,256   

Tenet Healthcare Corp.:

      

6.25%, 11/01/18

     USD        607        662,389   

5.00%, 3/01/19 (b)

       1,124        1,129,620   

5.50%, 3/01/19 (b)

       1,495        1,523,031   

4.75%, 6/01/20

       1,190        1,225,700   

 

See Notes to Consolidated Financial Statements.

 

                
   BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 28, 2015    11


Consolidated Schedule of Investments (continued)

  

(Percentages shown are based on Net Assets)

Corporate Bonds   

Par  

(000)

    Value  

Health Care Providers & Services (concluded)

  

Tenet Healthcare Corp. (concluded):

      

6.00%, 10/01/20

     USD        1,478      $ 1,607,325   

4.50%, 4/01/21

       24        24,120   

4.38%, 10/01/21

       1,386        1,387,733   

8.13%, 4/01/22

       1,507        1,706,677   
      

 

 

 
                       32,930,105   

Hotels, Restaurants & Leisure — 1.6%

  

Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (b)(e)

       204        206,550   

CDW LLC/CDW Finance Corp.:

      

6.00%, 8/15/22

       660        704,550   

5.00%, 9/01/23

       456        458,280   

5.50%, 12/01/24

       1,598        1,661,920   

Cirsa Funding Luxembourg SA, 8.75%, 5/15/18

     EUR        821        946,302   

Cleopatra Finance, Ltd., 6.25%, 2/15/22 (b)

     USD        200        200,250   

GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18

       391        406,640   

Greektown Holdings LLC/Greektown Mothership Corp., 8.88%, 3/15/19 (b)

       595        635,163   

MGM Resorts International:

      

6.63%, 12/15/21

       1,000        1,085,000   

6.00%, 3/15/23

       1,150        1,196,000   

New Red Finance, Inc., 6.00%, 4/01/22 (b)

       1,055        1,097,200   

Sabre, Inc., 8.50%, 5/15/19 (b)

       526        565,450   

Six Flags Entertainment Corp.,
5.25%, 1/15/21 (b)

       842        861,955   

Snai SpA, 7.63%, 6/15/18

     EUR        245        283,078   

Station Casinos LLC, 7.50%, 3/01/21

     USD        1,618        1,739,350   

Tropicana Entertainment LLC/Tropicana Finance Corp., 0.00%, 12/15/15 (a)(f)

       800          

The Unique Pub Finance Co. PLC, Series A3, 6.54%, 3/30/21

     GBP        346        550,070   
      

 

 

 
                       12,597,758   

Household Durables — 1.3%

  

Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (b)

     USD        556        496,230   

Beazer Homes USA, Inc.:

      

6.63%, 4/15/18

       1,125        1,170,000   

5.75%, 6/15/19

       646        623,390   

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (b)

       285        294,975   

K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b)

       2,300        2,397,750   

KB Home, 7.25%, 6/15/18

       965        1,031,344   

The Ryland Group, Inc., 6.63%, 5/01/20

       130        138,450   

Standard Pacific Corp.:

      

10.75%, 9/15/16

       565        632,800   

8.38%, 1/15/21

       1,735        2,003,925   

Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (b)

       374        366,520   

Tri Pointe Holdings, Inc. (b):

      

4.38%, 6/15/19

       615        608,081   

5.88%, 6/15/24

       420        420,525   
      

 

 

 
                       10,183,990   
Corporate Bonds   

Par  

(000)

    Value  

Household Products — 0.1%

  

Spectrum Brands, Inc.:

      

6.38%, 11/15/20

     USD        315      $ 339,413   

6.63%, 11/15/22

       375        410,625   
      

 

 

 
                       750,038   

Independent Power and Renewable Electricity Producers — 1.2%

  

Baytex Energy Corp., 5.13%, 6/01/21 (b)

       210        200,025   

Calpine Corp.:

      

6.00%, 1/15/22 (b)

       256        279,168   

5.38%, 1/15/23

       1,355        1,375,325   

5.88%, 1/15/24 (b)

       531        576,135   

5.50%, 2/01/24

       1,138        1,150,803   

5.75%, 1/15/25

       1,193        1,216,860   

Dynegy Finance I, Inc./Dynegy Finance II, Inc., 6.75%, 11/01/19 (b)

       1,455        1,522,294   

NRG Energy, Inc.:

      

7.88%, 5/15/21

       218        236,966   

6.25%, 5/01/24

       330        336,600   

NRG REMA LLC:

      

Series B, 9.24%, 7/02/17

       69        72,858   

Series C, 9.68%, 7/02/26

       746        809,410   

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

       1,590        1,570,125   
      

 

 

 
                       9,346,569   

Insurance — 0.4%

  

A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (b)

       747        769,410   

CNO Financial Group, Inc., 6.38%, 10/01/20 (b)

       329        348,740   

Genworth Holdings, Inc., 4.80%, 2/15/24

       295        259,142   

Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (b)

       400        411,000   

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

       725        777,562   

Pension Insurance Corp. PLC, 6.50%, 7/03/24

     GBP        150        241,026   
      

 

 

 
                       2,806,880   

Internet Software & Services — 0.2%

  

IAC/InterActiveCorp, 4.88%, 11/30/18

     USD        700        724,500   

Interactive Data Corp., 5.88%, 4/15/19 (b)

       910        911,138   
      

 

 

 
                       1,635,638   

IT Services — 1.5%

  

Ceridian HCM Holding, Inc.,
11.00%, 3/15/21 (b)

       795        826,800   

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

       720        756,000   

First Data Corp.:

      

7.38%, 6/15/19 (b)

       3,123        3,279,150   

6.75%, 11/01/20 (b)

       1,502        1,610,895   

11.75%, 8/15/21

       1,370        1,596,050   

Open Text Corp., 5.63%, 1/15/23 (b)

       1,533        1,578,990   

SunGard Data Systems, Inc., 6.63%, 11/01/19

       1,410        1,466,400   

WEX, Inc., 4.75%, 2/01/23 (b)

       601        599,497   
      

 

 

 
                       11,713,782   

Machinery — 0.0%

  

SPX Corp., 6.88%, 9/01/17

             65        70,850   

Media — 6.6%

      

Adria Bidco BV, 7.88%, 11/15/20

     EUR        100        120,857   

Altice Financing SA:

      

6.50%, 1/15/22 (b)

     USD        840        869,400   

5.25%, 2/15/23

     EUR        200        239,197   

6.63%, 2/15/23 (b)

     USD        925        963,156   

 

See Notes to Consolidated Financial Statements.

 

                
12    BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 28, 2015   


Consolidated Schedule of Investments (continued)

  

(Percentages shown are based on Net Assets)

Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

      

Altice Finco SA, 7.63%, 2/15/25 (b)

     USD        225      $ 233,552   

Altice SA:

      

7.25%, 5/15/22

     EUR        823        977,287   

7.75%, 5/15/22 (b)

     USD        1,295        1,337,087   

6.25%, 2/15/25

     EUR        301        343,604   

7.63%, 2/15/25 (b)

     USD        1,221        1,260,682   

AMC Networks, Inc.:

      

7.75%, 7/15/21

       1,005        1,102,987   

4.75%, 12/15/22

       86        86,430   

CCO Holdings LLC/CCO Holdings Capital Corp.:

      

6.50%, 4/30/21

       320        336,800   

5.25%, 9/30/22

       278        284,255   

5.13%, 2/15/23

       380        382,850   

CCOH Safari LLC:

      

5.50%, 12/01/22

       1,208        1,248,770   

5.75%, 12/01/24

       2,426        2,510,910   

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

       669          

Cinemark USA, Inc., 5.13%, 12/15/22

       44        45,043   

Clear Channel Worldwide Holdings, Inc.:

      

7.63%, 3/15/20

       1,364        1,442,430   

6.50%, 11/15/22

       3,826        4,027,347   

Columbus International, Inc.,
7.38%, 3/30/21 (b)

       1,110        1,165,500   

DISH DBS Corp.:

      

4.25%, 4/01/18

       1,460        1,467,300   

5.88%, 11/15/24

       2,403        2,390,985   

DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (b)

       333        321,345   

Gannett Co., Inc.:

      

5.13%, 10/15/19

       215        225,213   

5.13%, 7/15/20

       237        247,073   

4.88%, 9/15/21 (b)

       466        477,068   

6.38%, 10/15/23

       330        358,050   

5.50%, 9/15/24 (b)

       289        300,560   

Gray Television, Inc., 7.50%, 10/01/20

       557        579,280   

iHeartCommunications, Inc.:

      

9.00%, 12/15/19

       450        444,375   

9.00%, 3/01/21

       906        874,290   

9.00%, 9/15/22

       930        895,125   

Inmarsat Finance PLC, 4.88%, 5/15/22 (b)

       1,000        1,017,700   

Intelsat Jackson Holdings SA:

      

7.25%, 10/15/20

       2,544        2,645,760   

5.50%, 8/01/23

       3,982        3,767,967   

Intelsat Luxembourg SA:

      

6.75%, 6/01/18

       575        564,938   

7.75%, 6/01/21

       390        361,238   

Live Nation Entertainment, Inc.,
7.00%, 9/01/20 (b)

       232        248,820   

MDC Partners, Inc., 6.75%, 4/01/20 (b)

       836        879,890   

Media General Financing Sub, Inc., 5.88%, 11/15/22 (b)

       378        386,505   

Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (b)

       265        268,975   

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)

       538        556,158   

Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (b)

       410        419,225   
Corporate Bonds   

Par  

(000)

    Value  

Media (concluded)

      

Numericable Group SA:

      

4.88%, 5/15/19 (b)

     USD        2,180      $ 2,180,000   

5.38%, 5/15/22

     EUR        135        159,872   

6.00%, 5/15/22 (b)

     USD        1,885        1,917,987   

5.63%, 5/15/24

     EUR        295        349,927   

6.25%, 5/15/24 (b)

     USD        630        646,695   

Outfront Media Capital LLC / Outfront Media Capital Corp.:

      

5.25%, 2/15/22

       130        136,175   

5.63%, 2/15/24

       115        122,619   

RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (b)

       870        922,200   

Sinclair Television Group, Inc.,
5.63%, 8/01/24 (b)

       236        238,950   

Sirius XM Radio, Inc. (b):

      

4.25%, 5/15/20

       141        140,295   

5.75%, 8/01/21

       464        487,200   

Sterling Entertainment Corp., 9.75%, 12/15/19

       1,300        1,326,000   

Townsquare Radio LLC/Townsquare Radio, Inc., 9.00%, 4/01/19 (b)

       865        923,388   

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

      

5.50%, 1/15/23 (b)

       1,270        1,339,850   

4.00%, 1/15/25

     EUR        298        354,543   

Unitymedia KabelBW GmbH, 9.50%, 3/15/21

       150        187,161   

Univision Communications, Inc. (b):

      

8.50%, 5/15/21

     USD        1,820        1,954,225   

5.13%, 5/15/23

       85        87,975   

Virgin Media Secured Finance PLC,
6.25%, 3/28/29

     GBP        453        769,301   

Ziggo Bond Finance BV, 4.63%, 1/15/25

     EUR        168        197,870   
      

 

 

 
                       53,118,217   

Metals & Mining — 3.2%

  

Alcoa, Inc.:

      

6.15%, 8/15/20

     USD        3,000        3,407,868   

5.13%, 10/01/24

       2,261        2,458,905   

Commercial Metals Co., 4.88%, 5/15/23

       1,135        1,083,925   

Constellium NV:

      

4.63%, 5/15/21

     EUR        235        252,458   

8.00%, 1/15/23 (b)

     USD        2,280        2,385,450   

5.75%, 5/15/24 (b)

       439        415,953   

Global Brass & Copper, Inc., 9.50%, 6/01/19

       740        799,200   

Kaiser Aluminum Corp., 8.25%, 6/01/20

       550        596,063   

Novelis, Inc.:

      

8.38%, 12/15/17

       215        224,675   

8.75%, 12/15/20

       4,901        5,317,585   

Peabody Energy Corp., 6.50%, 9/15/20

       585        495,056   

Perstorp Holding AB, 8.75%, 5/15/17 (b)

       410        424,350   

Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.00%, 10/15/17

       1,098        1,122,705   

Steel Dynamics, Inc.:

      

5.13%, 10/01/21 (b)

       790        809,750   

6.38%, 8/15/22

       595        638,137   

ThyssenKrupp AG:

      

3.13%, 10/25/19

     EUR        365        433,471   

1.75%, 11/25/20

       75        83,702   

2.50%, 2/25/25

       100        111,480   

 

See Notes to Consolidated Financial Statements.

 

                
   BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 28, 2015    13


Consolidated Schedule of Investments (continued)

  

(Percentages shown are based on Net Assets)

Corporate Bonds   

Par  

(000)

    Value  

Metals & Mining (concluded)

  

Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (b)

     USD        4,197      $ 4,548,499   
      

 

 

 
                       25,609,232   

Multiline Retail — 0.1%

  

Hema Bondco I BV, 6.25%, 6/15/19

     EUR        350        326,063   

The Neiman Marcus Group Ltd. (b):

      

8.00%, 10/15/21

     USD        455        478,319   

(8.75% Cash or 9.50% PIK), 8.75%, 10/15/21 (e)

       150        157,687   
      

 

 

 
                       962,069   

Oil, Gas & Consumable Fuels — 6.3%

  

Access Midstream Partners LP/ACMP Finance Corp.:

      

6.13%, 7/15/22

       100        107,125   

4.88%, 5/15/23

       2,370        2,441,100   

4.88%, 3/15/24

       132        135,960   

Antero Resources Corp., 5.13%, 12/01/22 (b)

       26        25,610   

Antero Resources Finance Corp.:

      

6.00%, 12/01/20

       25        25,563   

5.38%, 11/01/21

       904        910,780   

Bonanza Creek Energy, Inc., 6.75%, 4/15/21

       200        196,000   

California Resources Corp., 6.00%, 11/15/24 (b)

       2,036        1,814,585   

Chaparral Energy, Inc., 7.63%, 11/15/22

       330        244,200   

Chesapeake Energy Corp.:

      

6.63%, 8/15/20

       785        853,687   

6.88%, 11/15/20

       211        231,836   

6.13%, 2/15/21

       104        110,500   

5.75%, 3/15/23

       1,721        1,796,294   

Cimarex Energy Co., 4.38%, 6/01/24

       254        250,190   

Concho Resources, Inc., 5.50%, 4/01/23

       2,390        2,473,650   

CONSOL Energy, Inc., 5.88%, 4/15/22

       4,037        3,875,520   

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.13%, 3/01/22

       57        57,285   

CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (b)

       740        740,000   

Denbury Resources, Inc.:

      

5.50%, 5/01/22

       260        243,100   

4.63%, 7/15/23

       49        43,916   

El Paso LLC:

      

7.80%, 8/01/31

       143        176,854   

7.75%, 1/15/32

       684        853,575   

Energy Transfer Equity LP, 5.88%, 1/15/24

       1,825        1,952,750   

Enterprise Products Operating LLC,
3.70%, 6/01/15

       500        503,838   

EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19

       525        538,125   

Halcon Resources Corp.:

      

8.88%, 5/15/21

       1,530        1,162,800   

9.25%, 2/15/22

       60        44,850   

Hilcorp Energy I LP/Hilcorp Finance Co. (b):

      

7.63%, 4/15/21

       1,274        1,328,145   

5.00%, 12/01/24

       641        604,143   

Kinder Morgan, Inc. (b):

      

5.00%, 2/15/21

       358        385,663   

5.63%, 11/15/23

       363        407,367   

Kodiak Oil & Gas Corp., 5.50%, 2/01/22

       27        27,270   

Laredo Petroleum, Inc., 7.38%, 5/01/22

       153        157,590   
Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (concluded)

  

Linn Energy LLC/Linn Energy Finance Corp.:

      

6.25%, 11/01/19

     USD        86      $ 73,315   

8.63%, 4/15/20

       2,912        2,642,640   

7.75%, 2/01/21

       490        427,525   

MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:

      

6.25%, 6/15/22

       34        36,040   

4.50%, 7/15/23

       10        10,060   

NGPL PipeCo LLC, 9.63%, 6/01/19 (b)

       435        436,088   

Oasis Petroleum, Inc.:

      

7.25%, 2/01/19

       495        491,906   

6.50%, 11/01/21

       555        532,453   

Pacific Drilling SA, 5.38%, 6/01/20 (b)

       299        237,892   

PDC Energy, Inc., 7.75%, 10/15/22

       510        530,400   

Petroleum Geo-Services ASA,
7.38%, 12/15/18 (b)

       210        191,625   

Range Resources Corp.:

      

5.75%, 6/01/21

       277        291,543   

5.00%, 8/15/22

       10        10,225   

5.00%, 3/15/23

       23        23,518   

Regency Energy Partners LP/Regency Energy Finance Corp., 4.50%, 11/01/23

       1,698        1,736,205   

Rose Rock Midstream LP/Rose Rock Finance Corp., 5.63%, 7/15/22

       464        462,840   

Rosetta Resources, Inc., 5.63%, 5/01/21

       479        456,248   

RSP Permian, Inc., 6.63%, 10/01/22 (b)

       441        443,756   

Sabine Pass Liquefaction LLC:

      

6.25%, 3/15/22

       104        109,460   

5.63%, 4/15/23

       3,962        4,051,145   

5.75%, 5/15/24

       562        574,645   

5.63%, 3/01/25 (b)(d)

       1,387        1,393,935   

Sabine Pass LNG LP, 7.50%, 11/30/16

       2,590        2,738,925   

Sanchez Energy Corp., 6.13%, 1/15/23 (b)

       838        768,865   

SandRidge Energy, Inc.:

      

8.75%, 1/15/20

       91        69,615   

7.50%, 2/15/23

       1,082        773,630   

Seventy Seven Energy, Inc., 6.50%, 7/15/22

       318        165,360   

Southern Star Central Corp., 5.13%, 7/15/22 (b)

       1,155        1,186,762   

Summit Midstream Holdings LLC/Summit Midstream Finance Corp.:

      

7.50%, 7/01/21

       798        839,895   

5.50%, 8/15/22

       834        808,980   

Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.25%, 10/15/22 (b)

       833        882,980   

Ultra Petroleum Corp., 5.75%, 12/15/18 (b)

       525        509,250   

Whiting Petroleum Corp., 5.00%, 3/15/19

       1,518        1,495,230   
      

 

 

 
                       50,122,827   

Paper & Forest Products — 0.0%

  

International Paper Co., 7.30%, 11/15/39

             5        6,718   

Pharmaceuticals — 1.8%

  

Capsugel SA, (7.00% Cash or 7.75% PIK), 7.00%, 5/15/19 (b)(e)

       171        174,206   

Endo Finance LLC/Endo Finco, Inc. (b):

      

7.00%, 12/15/20

       167        176,603   

7.25%, 1/15/22

       145        155,694   

6.00%, 2/01/25

       1,915        2,027,506   

Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (b)

       937        960,425   

 

See Notes to Consolidated Financial Statements.

 

                
14    BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 28, 2015   


Consolidated Schedule of Investments (continued)

  

(Percentages shown are based on Net Assets)

Corporate Bonds   

Par  

(000)

    Value  

Pharmaceuticals (concluded)

  

Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b)

     USD        125      $ 134,688   

Mallinckrodt International Finance SA, 5.75%, 8/01/22 (b)

       3,020        3,193,650   

Valeant Pharmaceuticals International, Inc. (b):

      

6.75%, 8/15/18

       1,221        1,297,312   

7.00%, 10/01/20

       1,150        1,207,500   

6.38%, 10/15/20

       760        799,900   

7.50%, 7/15/21

       1,890        2,050,650   

5.63%, 12/01/21

       661        672,567   

7.25%, 7/15/22

       1,010        1,073,125   

5.50%, 3/01/23

       637        643,370   
      

 

 

 
                       14,567,196   

Professional Services — 0.0%

  

Truven Health Analytics, Inc., 10.63%, 6/01/20

             380        390,450   

Real Estate Investment Trusts (REITs) — 0.4%

  

Felcor Lodging LP:

      

6.75%, 6/01/19

       1,703        1,779,635   

5.63%, 3/01/23

       377        389,705   

iStar Financial, Inc.:

      

4.00%, 11/01/17

       535        532,325   

5.00%, 7/01/19

       375        375,000   
      

 

 

 
                       3,076,665   

Real Estate Management & Development — 1.1%

  

Lennar Corp., 4.75%, 11/15/22

       110        112,200   

Realogy Corp. (b):

      

7.63%, 1/15/20

       3,446        3,713,065   

9.00%, 1/15/20

       214        235,400   

Realogy Group LLC/Realogy Co-Issuer Corp., 4.50%, 4/15/19 (b)

       1,687        1,716,522   

Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (b)

       245        249,900   

Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19

       2,730        2,873,325   
      

 

 

 
                       8,900,412   

Road & Rail — 0.7%

  

EC Finance PLC, 5.13%, 7/15/21

     EUR        215        253,227   

Florida East Coast Holdings Corp., 6.75%, 5/01/19 (b)

     USD        2,225        2,294,531   

The Hertz Corp.:

      

7.50%, 10/15/18

       1,555        1,609,425   

7.38%, 1/15/21

       1,122        1,180,905   

Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (b)

       350        351,750   
      

 

 

 
                       5,689,838   

Semiconductors & Semiconductor Equipment — 0.3%

  

Micron Technology, Inc., 5.50%, 2/01/25 (b)

       1,035        1,060,875   

NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (b)

       1,020        1,081,200   

Sensata Technologies BV, 5.63%, 11/01/24 (b)

       220        235,950   
      

 

 

 
                       2,378,025   

Software — 0.9%

  

Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK),
7.13%, 5/01/21 (b)(e)

       918        923,738   

Infor US, Inc.:

      

11.50%, 7/15/18

       1,659        1,808,310   

9.38%, 4/01/19

       2,155        2,313,931   
Corporate Bonds   

Par  

(000)

    Value  

Software (concluded)

  

Nuance Communications, Inc.,
5.38%, 8/15/20 (b)

     USD        2,270      $ 2,326,750   
      

 

 

 
                       7,372,729   

Specialty Retail — 0.4%

  

L Brands, Inc., 8.50%, 6/15/19

       320        386,400   

Magnolia BC SA, 9.00%, 8/01/20

     EUR        220        256,531   

New Look Bondco I PLC, 8.75%, 5/14/18

     GBP        100        162,228   

Party City Holdings, Inc., 8.88%, 8/01/20

     USD        410        447,925   

PC Nextco Holdings LLC/PC Nextco Finance, Inc., (8.75% Cash or 9.50% PIK), 8.75%, 8/15/19

       184        187,680   

QVC, Inc., 7.38%, 10/15/20 (b)

       95        99,038   

Sally Holdings LLC/Sally Capital, Inc.:

      

5.75%, 6/01/22

       146        155,490   

5.50%, 11/01/23

       559        586,950   

Sonic Automotive, Inc., 5.00%, 5/15/23

       146        146,000   

THOM Europe SAS, 7.38%, 7/15/19

     EUR        285        331,686   

TUI AG, 4.50%, 10/01/19

       105        125,455   
      

 

 

 
                       2,885,383   

Textiles, Apparel & Luxury Goods — 0.1%

  

Levi Strauss & Co., 6.88%, 5/01/22

     USD        405        445,500   

PVH Corp., 4.50%, 12/15/22

       122        124,135   

The William Carter Co., 5.25%, 8/15/21

       469        491,160   
      

 

 

 
                       1,060,795   

Tobacco — 0.0%

  

Altria Group, Inc., 9.95%, 11/10/38

             17        29,602   

Trading Companies & Distributors — 0.2%

  

Ashtead Capital, Inc. (b):

      

6.50%, 7/15/22

       1,304        1,418,100   

5.63%, 10/01/24

       525        551,250   
      

 

 

 
                       1,969,350   

Transportation Infrastructure — 0.2%

  

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

       459        464,738   

JCH Parent, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (b)(e)

       1,080        999,000   
      

 

 

 
                       1,463,738   

Utilities — 0.2%

  

AES Corp., 5.50%, 3/15/24

             1,540        1,563,100   

Wireless Telecommunication Services — 4.1%

  

Crown Castle International Corp.,
5.25%, 1/15/23

       115        121,325   

Crown Castle Towers LLC, 6.11%, 1/15/40 (b)

       375        431,145   

Digicel Group Ltd. (b):

      

8.25%, 9/30/20

       1,215        1,228,973   

7.13%, 4/01/22

       1,000        952,500   

Digicel Ltd., 6.00%, 4/15/21 (b)

       4,898        4,861,265   

The Geo Group, Inc., 5.88%, 1/15/22

       370        390,350   

SBA Communications Corp., 4.88%, 7/15/22 (b)

       2,400        2,400,000   

Sprint Communications, Inc. (b):

      

9.00%, 11/15/18

       7,557        8,785,012   

7.00%, 3/01/20

       3,950        4,375,849   

Sprint Corp.:

      

7.88%, 9/15/23

       2,604        2,688,630   

7.13%, 6/15/24

       1,476        1,468,620   

T-Mobile USA, Inc.:

      

6.63%, 4/28/21

       455        484,006   

6.13%, 1/15/22

       81        85,253   

6.73%, 4/28/22

       295        314,175   

 

See Notes to Consolidated Financial Statements.

 

                
   BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 28, 2015    15


Consolidated Schedule of Investments (continued)

  

(Percentages shown are based on Net Assets)

Corporate Bonds   

Par  

(000)

    Value  

Wireless Telecommunication Services (concluded)

  

T-Mobile USA, Inc. (concluded):

      

6.00%, 3/01/23

     USD        588      $ 613,290   

6.84%, 4/28/23

       85        90,844   

6.50%, 1/15/24

       584        617,580   

6.38%, 3/01/25

       1,870        1,954,150   

Wind Acquisition Finance SA, 4.00%, 7/15/20

     EUR        868        988,091   
      

 

 

 
                       32,851,058   
Total Corporate Bonds59.0%                      473,181,281   
      
                          
Floating Rate Loan Interests (c)                      

Aerospace & Defense — 1.5%

  

BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21

     USD        1,520        1,523,162   

DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20

       1,390        1,388,069   

TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21

       1,675        1,756,656   

Transdigm, Inc.:

      

Term Loan C, 3.75%, 2/28/20

       706        702,340   

Term Loan D, 3.75%, 6/04/21

       846        842,443   

TransUnion LLC, Term Loan, 4.00%, 4/09/21

       5,662        5,636,279   
      

 

 

 
                       11,848,949   

Air Freight & Logistics — 0.4%

  

CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21

       982        906,678   

CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21

       1,027        948,962   

CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21

       158        145,558   

CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21

       1,417        1,308,913   
      

 

 

 
                       3,310,111   

Airlines — 0.6%

  

Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18

       2,953        2,950,167   

Northwest Airlines, Inc.:

      

2.18%, 3/10/17

       412        400,834   

1.56%, 9/10/18

       603        576,183   

US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19

       1,277        1,272,707   
      

 

 

 
                       5,199,891   

Auto Components — 2.3%

  

Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20

       782        781,310   

Autoparts Holdings Ltd.:

      

1st Lien Term Loan, 6.50%, 7/29/17

       2,170        2,169,655   

2nd Lien Term Loan, 10.50%, 1/29/18

       1,890        1,838,025   

Dayco Products LLC, Term Loan B, 5.25%, 12/12/19

       1,233        1,221,765   

FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19

       1,490        1,469,411   

Gates Global, Inc., Term Loan B, 4.25%, 7/05/21

       6,389        6,339,473   

Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19

       2,733        2,745,305   
Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Auto Components (concluded)

  

INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20

     USD        1,595      $ 1,604,969   

UCI International, Inc., Term Loan B, 5.50%, 7/26/17

       281        280,595   
      

 

 

 
                       18,450,508   

Banks — 0.1%

  

Redtop Acquisitions Ltd.:

      

1st Lien Term Loan, 4.50%, 12/03/20

       599        598,201   

2nd Lien Term Loan, 8.25%, 6/03/21

       381        381,150   
      

 

 

 
                       979,351   

Building Products — 2.4%

  

Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20

       1,856        1,822,236   

CPG International, Inc., Term Loan, 4.75%, 9/30/20

       4,161        4,088,137   

GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21

       1,548        1,513,463   

Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21

       1,628        1,608,705   

Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21

       2,200        2,205,500   

Nortek, Inc., Term Loan, 3.75%, 10/30/20

       2,065        2,047,860   

Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21

       2,020        1,985,240   

Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20

       1,197        1,191,890   

Wilsonart LLC:

      

Incremental Term Loan B2, 4.00%, 10/31/19

       411        407,083   

Term Loan B, 4.00%, 10/31/19

       2,283        2,262,463   
      

 

 

 
                       19,132,577   

Capital Markets — 0.3%

  

Affinion Group, Inc.:

      

2nd Lien Term Loan, 8.50%, 10/12/18

       960        840,915   

Term Loan B, 6.75%, 4/30/18

       989        939,197   

American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17

       658        654,861   
      

 

 

 
                       2,434,973   

Chemicals — 3.1%

  

Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19

       240        239,460   

Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19

       124        124,244   

Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20

       2,947        2,923,328   

CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20

       73        72,953   

Chromaflo Technologies Corp.:

      

1st Lien Term Loan, 4.50%, 12/02/19

       718        709,675   

2nd Lien Term Loan, 8.25%, 5/30/20

       405        399,938   

Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19

       1,578        1,546,374   

INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18

       1,223        1,218,278   

MacDermid, Inc.:

      

1st Lien Term Loan, 4.50%, 6/07/20

       2,377        2,383,254   

Term Loan B2, 4.75%, 6/07/20

       1,428        1,435,132   

 

See Notes to Consolidated Financial Statements.

 

                
16    BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 28, 2015   


Consolidated Schedule of Investments (continued)

  

(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)   

Par  

(000)

    Value  

Chemicals (concluded)

  

Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21

     USD        2,973      $ 2,982,508   

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

       2,552        2,485,451   

OXEA Finance LLC:

      

2nd Lien Term Loan, 8.25%, 7/15/20

       1,155        1,087,144   

Term Loan B2, 4.25%, 1/15/20

       1,476        1,427,417   

Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18

       852        853,150   

Solenis International LP:

      

1st Lien Term Loan, 4.25%, 7/31/21

       1,666        1,645,002   

2nd Lien Term Loan, 7.75%, 7/31/22

       1,915        1,855,961   

Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20

       724        718,545   

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

       704        698,832   
      

 

 

 
                       24,806,646   

Commercial Services & Supplies — 3.4%

  

ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19

       2,597        2,566,625   

ARAMARK Corp.:

      

Term Loan E, 3.25%, 9/07/19

       2,852        2,843,245   

Term Loan F, 3.25%, 2/24/21

       1,217        1,211,227   

Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20

       2,481        2,418,966   

Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21

       2,861        2,866,988   

Connolly Corp.:

      

1st Lien Term Loan, 5.00%, 5/14/21

       2,861        2,873,154   

2nd Lien Term Loan, 8.00%, 5/14/22

       2,125        2,098,437   

KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21

       1,161        1,151,064   

Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20

       2,861        2,828,443   

Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19

       847        819,569   

Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19

       3,551        3,523,217   

Waste Industries USA, Inc., Term Loan B, 4.25%, 2/20/20

       657        658,184   

West Corp., Term Loan B10, 3.25%, 6/30/18

       1,248        1,243,677   
      

 

 

 
                       27,102,796   

Communications Equipment — 2.5%

  

Amaya Holdings BV:

      

1st Lien Term Loan, 5.00%, 8/01/21

       1,197        1,188,023   

2nd Lien Term Loan, 8.00%, 8/01/22

       8,380        8,330,223   

Applied Systems, Inc.:

      

1st Lien Term Loan, 4.25%, 1/25/21

       604        602,016   

2nd Lien Term Loan, 7.50%, 1/24/22

       540        535,140   

Avaya, Inc., Extended Term Loan B3, 4.67%, 10/26/17

       1,949        1,891,949   

CommScope, Inc., Term Loan B3, 2.83%, 1/21/17

       807        805,673   

Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22

       430        433,225   

Telesat Canada, Term Loan A, 4.40%, 3/24/17

     CAD        2,236        1,777,080   

Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19

     USD        4,861        4,855,065   
      

 

 

 
                       20,418,394   
Floating Rate Loan Interests (c)   

Par  

(000)