Edgar Filing: BLACKROCK DEBT STRATEGIES FUND, INC.

BLACKROCK DEBT STRATEGIES FUND, INC.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-08603

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

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 02/28/2016

Date of reporting period: 05/31/2015

Item 1 – Schedule of Investments

Consolidated Schedule of Investments May 31, 2015 (Unaudited)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Common Stocks		Shares		Value
Chemicals — 0.0%
GEO Specialty Chemicals, Inc. (a)(b)			481,806	$	366,172
LyondellBasell Industries NV, Class A			26		2,629

					368,801
Diversified Consumer Services — 0.7%
Cengage Thomson Learning (a)(f)			49,549		1,362,598
Houghton Mifflin Harcourt Co. (a)			147,998		3,904,187

					5,266,785
Diversified Financial Services — 0.3%
Kcad Holdings I Ltd. (a)			1,075,282,733		2,064,543
Diversified Telecommunication Services — 0.0%
Broadview Networks Holdings, Inc. (a)			5,037		8,563
Media — 0.0%
Adelphia Recovery Trust (a)			396,568		793
Adept Communications Corp., Class A			400,000		3,500

					4,293
Paper & Forest Products — 0.5%
Norbord, Inc.			189,449		4,046,630
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp. (a)			1,707		51,876
Total Common Stocks — 1.5%					11,811,491


Asset-Backed Securities (c)		Par (000)
ACAS CLO Ltd., Class D (b):
Series 2014-2A, 4.17%, 1/15/27	USD		2,500		2,467,375
Series 2015-1A, 3.90%, 4/18/27			280		269,742
ALM Loan Funding, Series 2013-7RA (b):
Class C, 3.73%, 4/24/24			1,310		1,293,071
Class D, 5.28%, 4/24/24			1,150		1,141,558
ALM VII R-2, Ltd., Series 2013-7R2A, Class C, 3.73%, 4/24/24 (b)			250		248,705
ALM XIV Ltd., Series 2014-14A, Class C, 3.73%, 7/28/26 (b)			713		694,645
Anchorage Capital CLO Ltd., Series 2015-6A, Class E1, 5.18%, 4/15/27 (b)			750		659,325
Asset-Backed Securities		Par (000)		Value
Apidos CDO, Series 2015-21A, Class C, 3.83%, 7/18/27 (b) (d)	USD		250	$	245,350
Atlas Senior Loan Fund Ltd. (b):
Series 2012-1A, Class B2L, 6.52%, 8/15/24			340		341,839
Series 2014-6A, Class D, 3.98%, 10/15/26			1,240		1,216,225
Atrium CDO Corp., Series 9A, Class D, 3.79%, 2/28/24 (b)			1,300		1,285,543
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.78%, 7/15/24 (b)			900		872,361
BlueMountain CLO Ltd., Class E (b):
Series 2014-4A, 5.58%, 11/30/26			250		237,406
Series 2015-2A, 5.63%, 7/18/27 (d)			250		238,675
Carlyle Global Market Strategies CLO Ltd. (b):
Series 2012-4A, Class D, 4.78%, 1/20/25			900		901,092
Series 2013-1A, Class C, 4.26%, 2/14/25			250		249,991
Series 2015-2A, Class C, 4.02%, 4/27/27			250		245,000
Series 2015-2A, Class D, 5.57%, 4/27/27			1,000		932,700
Cent CLO 22 Ltd., Series 2014-22A, Class C, 4.03%, 11/07/26 (b)			625		609,437
CFIP CLO Ltd., Series 2013-1A, Class D, 4.03%, 4/20/24 (b)			1,500		1,451,595
CIFC Funding Ltd., Class D (b):
Series 2014-3A, 3.68%, 7/22/26			500		481,178
Series 2015-1A, 4.27%, 1/22/27			250		246,650
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.28%, 4/20/23 (b)			1,170		1,170,031
Galaxy CLO Ltd., Series 2014-18A, Class C1, 3.28%, 10/15/26 (b)			625		626,256
Highbridge Loan Management Ltd., Series 6A-2015 (b):
Class D, 1.27%, 5/05/27			300		291,000
Class E1, 5.72%, 5/05/27			1,250		1,181,250
Madison Park Funding IX Ltd., Series 2012-9AR, Class DR, 4.13%, 8/15/22 (b)			655		655,000
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.78%, 10/23/25 (b)			555		546,901



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015	1

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Asset-Backed Securities		Par (000)		Value
Neuberger Berman CLO XVI, Ltd., Series 2014-16A, Class D, 3.63%, 4/15/26 (b)	USD		250	$	240,675
Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class C, 4.03%, 11/14/25 (b)			1,000		985,079
Octagon Investment Partners XX Ltd., Series 2014-1A, Class D, 3.93%, 8/12/26 (b)			350		342,403
OZLM Funding Ltd., Series 2012-2A, Class C, 4.60%, 10/30/23 (b)			500		501,296
OZLM IX, Ltd., Series 2014-9A, Class C, 3.88%, 1/20/27 (b)			1,000		983,529
OZLM VII Ltd., Series 2014-7A, Class C, 3.87%, 7/17/26 (b)			500		487,165
OZLM XII, Ltd., Series 2015-12A, Class C, 3.98%, 4/30/27 (b)			340		328,882
Regatta Funding LP, Series 2013-2A, Class C, 4.28%, 1/15/25 (b)			750		743,569
Sound Point CLO IV Ltd., Series 2013-3A, Class D, 3.78%, 1/21/26 (b)			500		488,090
Stewart Park CLO Ltd., Series 2015-1A, Class E, 5.72%, 4/15/26 (b)			500		470,000
TICP CLO I Ltd., Series 2015-1A, Class D, 3.93%, 7/20/27 (b)			250		237,650
Venture XI CLO Ltd., Series 2012-11AR (b):
Class DR, 4.23%, 11/14/22			250		248,669
Class ER, 6.43%, 11/14/22			250		248,709
Venture XII CLO Ltd., Series 2012-12A, Class D, 3.91%, 2/28/24 (b)			250		245,276
Venture XX CLO Ltd., Series 2015-20A, Class D, 4.13%, 4/15/27 (b)			500		485,750
Voya CLO Ltd. (b):
Series 2012-2AR, Class ER, 6.27%, 10/15/22			1,250		1,250,000
Series 2014-4A, Class SUB, 0.00%, 10/14/26			1,000		932,100
Total Asset-Backed Securities — 3.7%					30,018,743



Corporate Bonds
Aerospace & Defense — 0.6%
Bombardier, Inc., 7.50%, 3/15/25 (b)			205		196,031
Corporate Bonds		Par (000)		Value
Aerospace & Defense (concluded)
DigitalGlobe, Inc., 5.25%, 2/01/21 (b)	USD		1,017	$	1,017,203
Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (b)			307		319,280
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b)			347		381,700
TransDigm, Inc.:
6.00%, 7/15/22			2,205		2,235,319
6.50%, 7/15/24			1,030		1,050,600

					5,200,133
Airlines — 1.3%
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (b)			712		749,380
American Airlines Group, Inc., 4.63%, 3/01/20 (b)			542		527,095
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		2,515,475
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18			245		272,330
US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 5/15/23			2,248		2,337,978
Virgin Australia Trust, Series 2013-1, Class C, 7.13%, 10/23/18 (b)			1,022		1,045,306

					10,674,514
Auto Components — 1.7%
Affinia Group, Inc., 7.75%, 5/01/21			1,200		1,251,000
Autodis SA, 6.50%, 2/01/19	EUR		100		114,788
Dana Holding Corp., 6.75%, 2/15/21	USD		180		190,575
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
3.50%, 3/15/17			145		146,631
4.88%, 3/15/19			4,609		4,753,031
Jaguar Land Rover Automotive PLC, 5.63%, 2/01/23 (b)			425		452,625
Pittsburgh Glass Works LLC, 8.00%, 11/15/18 (b)			194		204,185
Schaeffler Finance BV, 3.25%, 5/15/25	EUR		100		109,006
Schaeffler Holding Finance BV (e):
(5.75% Cash or 6.50% PIK), 5.75%, 11/15/21			145		172,113



2	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Corporate Bonds		Par (000)		Value
Auto Components (concluded)
Schaeffler Holding Finance BV (e) (concluded):
(6.25% Cash or 0.00% PIK), 6.25%, 11/15/19 (b)	USD		738	$	785,055
(6.75% Cash or 0.00% PIK), 6.75%, 11/15/22 (b)			3,522		3,838,980
(6.88% Cash), 6.88%, 8/15/18	EUR		385		440,461
Venture Holdings Co. LLC (a)(f):
12.00%, 7/01/49	USD		5,150		1
Series B, 9.50%, 7/01/05			5,125		1
ZF North America Capital, Inc.:
2.25%, 4/26/19	EUR		100		111,296
4.00%, 4/29/20 (b)	USD		385		391,738
4.50%, 4/29/22 (b)			206		209,605
2.75%, 4/27/23	EUR		200		215,816
4.75%, 4/29/25 (b)	USD		585		585,000

					13,971,907
Automobiles — 0.3%
General Motors Co.:
4.88%, 10/02/23			495		527,507
6.25%, 10/02/43			1,345		1,556,040
5.20%, 4/01/45			680		693,848

					2,777,395
Banks — 0.9%
Banco Espirito Santo SA:
2.63%, 5/08/17	EUR		100		108,067
4.75%, 1/15/18			200		224,324
4.00%, 1/21/19			100		110,514
Bankia SA, 4.00%, 5/22/24 (c)			200		218,013
CIT Group, Inc.:
5.00%, 5/15/17	USD		950		984,960
5.25%, 3/15/18			1,434		1,498,530
6.63%, 4/01/18 (b)			295		317,479
5.50%, 2/15/19 (b)			3,099		3,273,319
5.00%, 8/01/23			130		133,081
Lloyds Bank PLC, 11.88%, 12/16/21 (c)	EUR		12		15,322

					6,883,609
Beverages — 0.1%
Constellation Brands, Inc.:
7.25%, 5/15/17	USD		87		95,700
3.88%, 11/15/19			362		370,597

					466,297
Building Products — 0.8%
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (b)			210		214,725
Corporate Bonds		Par (000)		Value
Building Products (concluded)
Builders FirstSource, Inc., 7.63%, 6/01/21 (b)	USD		464	$	484,880
Cemex SAB de CV:
5.88%, 3/25/19 (b)			260		268,450
4.38%, 3/05/23	EUR		100		108,457
5.70%, 1/11/25 (b)	USD		825		811,346
CPG Merger Sub LLC, 8.00%, 10/01/21 (b)			740		777,000
Masonite International Corp., 5.63%, 3/15/23 (b)			579		599,265
Ply Gem Industries, Inc., 6.50%, 2/01/22			1,755		1,741,838
USG Corp., 9.75%, 1/15/18			980		1,127,108

					6,133,069
Capital Markets — 0.7%
American Capital Ltd., 6.50%, 9/15/18 (b)			1,070		1,111,462
Blackstone CQP Holdco LP, 9.30%, 3/18/19			1,363		1,349,471
E*Trade Financial Corp.:
0.00%, 8/31/19 (b)(g)(h)			593		1,684,375
5.38%, 11/15/22			773		807,785
Series A, 0.00%, 8/31/19 (g)(h)			100		284,043
UBS Group AG, 7.00% (c)(i):			200		208,750

					5,445,886
Chemicals — 2.9%
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV:
5.75%, 2/01/21	EUR		100		116,420
7.38%, 5/01/21 (b)	USD		151		163,835
Axiall Corp., 4.88%, 5/15/23			39		38,415
Celanese US Holdings LLC, 5.88%, 6/15/21			324		351,540
Chemtura Corp., 5.75%, 7/15/21			221		227,077
GEO Specialty Chemicals, Inc., 7.50%, 10/30/18			6,039		11,958,032
Huntsman International LLC:
4.88%, 11/15/20			40		40,600
8.63%, 3/15/21			482		509,715
5.13%, 4/15/21	EUR		428		497,102
5.13%, 11/15/22 (b)	USD		4,000		4,010,000
INEOS Group Holdings SA:
6.13%, 8/15/18 (b)			342		351,405
6.50%, 8/15/18	EUR		124		140,786
5.75%, 2/15/19			151		169,989



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015	3

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(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	$	27,150
Platform Specialty Products Corp., 6.50%, 2/01/22 (b)			2,660		2,793,000
The Chemours Co. (b):
6.63%, 5/15/23			1,074		1,090,110
7.00%, 5/15/25			371		377,492

					22,862,668
Commercial Services & Supplies — 1.5%
Abengoa Greenfield SA, 6.50%, 10/01/19 (b)			742		697,480
ADS Waste Holdings, Inc., 8.25%, 10/01/20			267		281,351
ARAMARK Corp., 5.75%, 3/15/20			1,599		1,668,956
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.03%, 12/01/17 (c)			190		191,900
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (b)			164		157,440
Covanta Holding Corp., 6.38%, 10/01/22			1,305		1,389,825
Mobile Mini, Inc., 7.88%, 12/01/20			1,110		1,176,600
Modular Space Corp., 10.25%, 1/31/19 (b)			1,955		1,666,638
Silk Bidco, 7.50%, 2/01/22	EUR		150		171,129
United Rentals North America, Inc.:
7.38%, 5/15/20	USD		760		818,900
8.25%, 2/01/21			76		81,795
7.63%, 4/15/22			3,143		3,433,727

					11,735,741
Communications Equipment — 1.5%
Alcatel-Lucent USA, Inc.:
4.63%, 7/01/17 (b)			645		663,544
6.75%, 11/15/20 (b)			2,130		2,257,800
6.45%, 3/15/29			855		921,262
Avaya, Inc., 7.00%, 4/01/19 (b)			719		719,000
CommScope Technologies Finance LLC, 6.00%, 6/15/25 (b)(d)			844		854,550
CommScope, Inc. (b):
4.38%, 6/15/20 (d)			574		579,022
5.00%, 6/15/21			265		264,338
5.50%, 6/15/24			272		270,980
Plantronics, Inc., 5.50%, 5/31/23 (b)			422		428,330
Zayo Group LLC/Zayo Capital, Inc.:
10.13%, 7/01/20			1,370		1,548,100
Corporate Bonds		Par (000)		Value
Communications Equipment (concluded)
Zayo Group LLC/Zayo Capital, Inc. (concluded):
6.00%, 4/01/23 (b)	USD		3,135	$	3,156,914

					11,663,840
Construction & Engineering — 0.8%
Abengoa Finance SAU, 7.00%, 4/15/20	EUR		112		120,230
AECOM Technology Corp. (b):
5.75%, 10/15/22	USD		1,045		1,081,575
5.88%, 10/15/24			862		896,480
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (b)			1,905		1,966,912
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)			1,925		1,973,125
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23			350		333,375

					6,371,697
Construction Materials — 0.8%
Allegion US Holding Co., Inc., 5.75%, 10/01/21			117		122,558
HD Supply, Inc.:
11.00%, 4/15/20			786		890,145
7.50%, 7/15/20			3,069		3,318,356
5.25%, 12/15/21 (b)			2,250		2,340,000

					6,671,059
Consumer Finance — 1.2%
Ally Financial, Inc.:
6.25%, 12/01/17			30		32,175
5.13%, 9/30/24			3,045		3,113,513
4.63%, 3/30/25			375		367,500
8.00%, 11/01/31			4,726		5,812,980

					9,326,168
Containers & Packaging — 0.8%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
3.27%, 12/15/19 (b)(c)			1,620		1,593,675
6.00%, 6/30/21 (b)			465		467,325
4.25%, 1/15/22	EUR		370		415,514
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		1,555,313



4	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Corporate Bonds		Par (000)		Value
Containers & Packaging (concluded)
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21	USD		715	$	750,750
Crown European Holdings SA, 4.00%, 7/15/22	EUR		320		372,104
JH-Holding Finance SA, (8.25% Cash), 8.25%, 12/01/22 (e)			100		115,871
Sealed Air Corp. (b):
6.50%, 12/01/20	USD		120		133,800
8.38%, 9/15/21			60		67,500
SGD Group SAS, 5.63%, 5/15/19	EUR		100		112,850
Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (b)	USD		200		211,000

					6,529,972
Distributors — 0.1%
VWR Funding, Inc., 7.25%, 9/15/17			938		974,347
Diversified Consumer Services — 0.1%
Laureate Education, Inc., 10.00%, 9/01/19 (b)			427		413,122
Service Corp. International, 4.50%, 11/15/20			307		315,443

					728,565
Diversified Financial Services — 1.4%
AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 5.00%, 10/01/21 (b)			685		726,100
Bank of America Corp.:
6.05%, 5/16/16			325		339,105
6.50%, 8/01/16			410		434,515
5.63%, 10/14/16			100		105,703
General Motors Financial Co., Inc.:
4.38%, 9/25/21			650		677,896
4.25%, 5/15/23			101		103,626
4.00%, 1/15/25			1,095		1,087,897
HSH Nordbank AG, 0.83%, 2/14/17 (c)	EUR		179		158,259
International Lease Finance Corp.:
4.63%, 4/15/21	USD		169		176,182
5.88%, 8/15/22			655		723,775
Jefferies Finance LLC/JFIN Co-Issuer Corp. (b):
7.38%, 4/01/20			825		827,062
6.88%, 4/15/22			716		691,835
Reynolds Group Issuer, Inc.:
9.88%, 8/15/19			308		326,480
5.75%, 10/15/20			4,215		4,388,869
Corporate Bonds		Par (000)		Value
Diversified Financial Services (concluded)
Reynolds Group Issuer, Inc. (concluded):
6.88%, 2/15/21	USD		266	$	280,630

					11,047,934
Diversified Telecommunication Services — 2.0%
CenturyLink, Inc.:
6.45%, 6/15/21			240		255,900
Series V, 5.63%, 4/01/20			1,153		1,203,444
Frontier Communications Corp.:
8.50%, 4/15/20			70		74,900
6.25%, 9/15/21			505		486,378
7.13%, 1/15/23			255		244,162
7.63%, 4/15/24			2,730		2,627,625
6.88%, 1/15/25			225		205,312
Level 3 Financing, Inc.:
3.91%, 1/15/18 (c)			646		654,075
6.13%, 1/15/21			1,217		1,290,020
5.38%, 8/15/22			3,395		3,471,387
5.13%, 5/01/23 (b)			1,560		1,563,900
5.38%, 5/01/25 (b)			1,872		1,862,640
Series TIT, 6.00%, 7/24/17 (h)	EUR		100		132,455
Telecom Italia Finance SA, 7.75%, 1/24/33			100		154,887
Telecom Italia SpA:
6.38%, 6/24/19	GBP		200		339,167
3.25%, 1/16/23	EUR		150		171,211
5.88%, 5/19/23	GBP		300		505,505
Telenet Finance V Luxembourg SCA:
6.25%, 8/15/22			319		380,576
6.75%, 8/15/24			322		394,323

					16,017,867
Electric Utilities — 0.3%
ContourGlobal Power Holdings SA, 7.13%, 6/01/19 (b)	USD		897		935,123
Homer City Generation LP (e):
(8.14% Cash), 8.14%, 10/01/19			220		222,298
(8.73% Cash), 8.73%, 10/01/26			469		475,606
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17			431		456,394



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015	5

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Corporate Bonds		Par (000)		Value
Electric Utilities (concluded)
Talen Energy Supply LLC, 6.50%, 6/01/25 (b)	USD		419	$	427,551

					2,516,972
Electrical Equipment — 0.0%
Belden, Inc., 5.50%, 4/15/23	EUR		209		241,883
Energy Equipment & Services — 1.0%
Calfrac Holdings LP, 7.50%, 12/01/20 (b)	USD		2,195		2,052,325
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21			18		18,000
GrafTech International Ltd., 6.38%, 11/15/20			150		141,000
MEG Energy Corp. (b):
6.50%, 3/15/21			2,599		2,521,030
6.38%, 1/30/23			29		27,405
7.00%, 3/31/24			835		805,775
Peabody Energy Corp., 6.25%, 11/15/21			1,072		527,960
Precision Drilling Corp.:
6.63%, 11/15/20			190		188,100
5.25%, 11/15/24			641		564,881
Transocean, Inc.:
3.00%, 10/15/17			509		496,593
6.00%, 3/15/18			674		685,795
6.50%, 11/15/20			295		280,988

					8,309,852
Food & Staples Retailing — 0.7%
Family Tree Escrow LLC (b):
5.25%, 3/01/20			219		229,676
5.75%, 3/01/23			3,023		3,189,265
Rite Aid Corp.:
9.25%, 3/15/20			435		477,195
6.75%, 6/15/21			47		49,468
6.13%, 4/01/23 (b)			1,954		2,032,160

					5,977,764
Food Products — 0.3%
Anna Merger Sub, Inc., 7.75%, 10/01/22 (b)			780		796,575
Barry Callebaut Services NV, 5.50%, 6/15/23 (b)			200		213,706
Boparan Finance PLC:
5.25%, 7/15/19	GBP		100		145,389
4.38%, 7/15/21	EUR		110		112,658
5.50%, 7/15/21	GBP		145		205,495
Smithfield Foods, Inc.:
5.88%, 8/01/21 (b)	USD		257		269,208
Corporate Bonds		Par (000)		Value
Food Products (concluded)
Smithfield Foods, Inc. (concluded):
6.63%, 8/15/22	USD		849	$	917,557

					2,660,588
Health Care Equipment & Supplies — 1.3%
Biomet, Inc., 6.50%, 10/01/20			1,889		1,984,017
DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (b)			1,542		1,588,260
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (b)			1,495		1,614,600
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b)			410		413,587
Mallinckrodt International Finance SA, 5.75%, 8/01/22 (b)			3,020		3,163,450
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (b):
4.88%, 4/15/20			350		358,313
5.50%, 4/15/25			294		295,691
Teleflex, Inc., 6.88%, 6/01/19			830		858,535

					10,276,453
Health Care Providers & Services — 4.2%
Acadia Healthcare Co., Inc., 5.13%, 7/01/22			1,990		1,990,000
Alere, Inc., 7.25%, 7/01/18			1,500		1,591,875
Amsurg Corp., 5.63%, 7/15/22			2,628		2,690,415
CHS/Community Health Systems, Inc.:
5.13%, 8/15/18			776		798,310
6.88%, 2/01/22			2,134		2,278,066
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b)	EUR		200		227,875
DaVita HealthCare Partners, Inc.:
5.13%, 7/15/24	USD		1,922		1,942,421
5.00%, 5/01/25			1,229		1,221,319
ExamWorks Group, Inc., 5.63%, 4/15/23			468		478,530
HCA Holdings, Inc., 7.75%, 5/15/21			3,431		3,671,239
HCA, Inc.:
3.75%, 3/15/19			1,048		1,063,720
6.50%, 2/15/20			2,254		2,516,027
7.50%, 2/15/22			800		936,000
5.88%, 3/15/22			1,148		1,282,890
4.75%, 5/01/23			1,898		1,964,430
5.00%, 3/15/24			450		469,125
5.38%, 2/01/25			879		905,370
HealthSouth Corp., 5.75%, 11/01/24			331		341,758
Hologic, Inc., 6.25%, 8/01/20			1,933		2,003,071



6	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Corporate Bonds		Par (000)		Value
Health Care Providers & Services (concluded)
Kindred Healthcare, Inc., 6.38%, 4/15/22	USD		229	$	233,580
Omnicare, Inc.:
4.75%, 12/01/22			203		220,255
5.00%, 12/01/24			128		141,600
Sterigenics-Nordion Holdings LLC, 6.50%, 5/15/23 (b)			128		128,960
Tenet Healthcare Corp.:
6.25%, 11/01/18			607		661,248
4.75%, 6/01/20			1,190		1,210,825
6.00%, 10/01/20			1,478		1,581,460
4.50%, 4/01/21			24		23,760
8.13%, 4/01/22			707		770,630

					33,344,759
Hotels, Restaurants & Leisure — 2.1%
Boyd Gaming Corp., 6.88%, 5/15/23			977		994,097
Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (b)(e)			204		207,060
CDW LLC/CDW Finance Corp.:
6.00%, 8/15/22			660		709,500
5.00%, 9/01/23			326		334,391
5.50%, 12/01/24			2,578		2,700,455
Cirsa Funding Luxembourg SA, 5.88%, 5/15/23	EUR		375		410,833
ESH Hospitality, Inc., 5.25%, 5/01/25 (b)	USD		455		458,413
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18			391		404,685
International Game Technology PLC, 6.25%, 2/15/22 (b)			200		194,000
MGM Resorts International:
5.25%, 3/31/20			1,175		1,210,250
6.75%, 10/01/20			151		163,646
6.63%, 12/15/21			1,000		1,075,000
6.00%, 3/15/23			1,462		1,514,997
New Red Finance, Inc., 6.00%, 4/01/22 (b)			1,055		1,094,035
Pinnacle Entertainment, Inc., 6.38%, 8/01/21			597		637,297
PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20	EUR		100		116,198
RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/23 (b)	USD		412		412,000
Sabre GLBL, Inc., 5.38%, 4/15/23 (b)			388		394,790
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)			842		869,365
Snai SpA, 7.63%, 6/15/18	EUR		245		280,520
Corporate Bonds		Par (000)		Value
Hotels, Restaurants & Leisure (concluded)
Station Casinos LLC, 7.50%, 3/01/21	USD		1,618	$	1,723,170
Tropicana Entertainment LLC/Tropicana Finance Corp., 0.00%, 12/15/15 (a)(f)			800		—
The Unique Pub Finance Co. PLC:
Series A4, 5.66%, 6/30/27	GBP		417		649,365
Series N, 6.46%, 3/30/32			200		270,527

					16,824,594
Household Durables — 1.3%
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (b)	USD		556		522,640
Beazer Homes USA, Inc.:
6.63%, 4/15/18			1,125		1,162,969
5.75%, 6/15/19			646		631,465
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (b)			285		286,425
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b)			1,565		1,635,425
The Ryland Group, Inc., 6.63%, 5/01/20			130		141,050
Shea Homes LP/Shea Homes Funding Corp. (b):
5.88%, 4/01/23			858		883,740
6.13%, 4/01/25			868		894,040
Standard Pacific Corp.:
10.75%, 9/15/16			565		625,737
8.38%, 1/15/21			1,735		2,029,950
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (b)			374		375,870
Tri Pointe Holdings, Inc. (b):
4.38%, 6/15/19			615		605,775
5.88%, 6/15/24			420		413,175

					10,208,261
Household Products — 0.4%
Spectrum Brands, Inc.:
6.38%, 11/15/20			315		336,262
6.63%, 11/15/22			1,810		1,941,225
5.75%, 7/15/25 (b)			672		692,160

					2,969,647
Independent Power and Renewable Electricity Producers — 0.9%
AES Corp.:
7.38%, 7/01/21			559		625,731
5.50%, 3/15/24			981		985,905
Baytex Energy Corp., 5.13%, 6/01/21 (b)			210		204,225



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015	7

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Corporate Bonds		Par (000)		Value
Independent Power and Renewable Electricity Producers (concluded)
Calpine Corp.:
5.38%, 1/15/23	USD		768	$	771,840
5.50%, 2/01/24			627		625,432
Dynegy, Inc., 6.75%, 11/01/19 (b)			750		793,125
NRG Energy, Inc.:
7.88%, 5/15/21			218		233,532
6.25%, 5/01/24			330		337,425
NRG REMA LLC:
Series B, 9.24%, 7/02/17			69		72,342
Series C, 9.68%, 7/02/26			746		809,410
QEP Resources, Inc., 5.38%, 10/01/22			1,590		1,597,950

					7,056,917
Insurance — 0.4%
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (b)			747		767,542
CNO Financial Group, Inc.:
4.50%, 5/30/20			40		41,348
6.38%, 10/01/20 (b)			329		350,615
5.25%, 5/30/25			268		278,050
Genworth Holdings, Inc., 4.80%, 2/15/24			295		253,700
Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (b)			400		413,000
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)			725		766,688
Pension Insurance Corp. PLC, 6.50%, 7/03/24	GBP		150		234,682

					3,105,625
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		923,650

					1,648,150
IT Services — 1.5%
Audatex North America, Inc., 6.00%, 6/15/21 (b)			1,125		1,173,983
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (b)			795		841,706
Epicor Software Corp., 8.63%, 5/01/19			720		752,400
First Data Corp.:
7.38%, 6/15/19 (b)			1,938		2,015,520
6.75%, 11/01/20 (b)			2,687		2,868,372
11.75%, 8/15/21			753		861,244
Open Text Corp., 5.63%, 1/15/23 (b)			1,353		1,367,376
Corporate Bonds		Par (000)		Value
IT Services (concluded)
SunGard Data Systems, Inc., 6.63%, 11/01/19	USD		1,410	$	1,471,687
WEX, Inc., 4.75%, 2/01/23 (b)			601		582,970

					11,935,258
Machinery — 0.0%
SPX Corp., 6.88%, 9/01/17			65		70,850
Media — 7.2%
Adria Bidco BV, 7.88%, 11/15/20	EUR		100		117,474
Altice Financing SA:
6.50%, 1/15/22 (b)	USD		1,260		1,291,500
5.25%, 2/15/23	EUR		200		228,446
6.63%, 2/15/23 (b)	USD		1,230		1,274,587
Altice Finco SA, 7.63%, 2/15/25 (b)			225		230,625
Altice SA:
7.25%, 5/15/22	EUR		502		567,887
7.75%, 5/15/22 (b)	USD		895		903,950
6.25%, 2/15/25	EUR		101		109,275
7.63%, 2/15/25 (b)	USD		1,221		1,205,737
Altice US Finance I Corp., 5.38%, 7/15/23 (b)(d)			2,152		2,152,000
Altice US Finance II Corp., 7.75%, 7/15/25 (b)(d)			744		744,000
Altice US Finance SA, 7.75%, 7/15/25 (b)(d)			825		810,769
AMC Networks, Inc.:
7.75%, 7/15/21			1,005		1,092,937
4.75%, 12/15/22			156		159,120
CCO Holdings LLC/CCO Holdings Capital Corp.:
6.50%, 4/30/21			320		336,600
5.25%, 9/30/22			368		373,520
5.13%, 2/15/23			380		380,000
5.13%, 5/01/23 (b)			195		195,975
5.88%, 5/01/27 (b)			155		156,163
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)			669		—
Clear Channel Worldwide Holdings, Inc.:
7.63%, 3/15/20			1,364		1,442,430
6.50%, 11/15/22			3,826		4,037,153
Columbus International, Inc., 7.38%, 3/30/21 (b)			850		921,188
DISH DBS Corp.:
4.25%, 4/01/18			1,460		1,500,150
5.88%, 11/15/24			2,403		2,409,007
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (b)			198		198,000
Gannett Co., Inc.:
5.13%, 10/15/19			215		224,944
5.13%, 7/15/20			237		247,665



8	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Corporate Bonds		Par (000)		Value
Media (continued)
Gannett Co., Inc. (concluded):
4.88%, 9/15/21 (b)	USD		466	$	469,495
6.38%, 10/15/23			330		351,450
5.50%, 9/15/24 (b)			289		294,058
Gray Television, Inc., 7.50%, 10/01/20			557		593,205
iHeartCommunications, Inc.:
9.00%, 12/15/19			450		442,125
9.00%, 3/01/21			906		856,170
9.00%, 9/15/22			930		875,130
Intelsat Jackson Holdings SA, 5.50%, 8/01/23			4,372		4,015,420
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (b)			232		247,950
MDC Partners, Inc., 6.75%, 4/01/20 (b)			836		829,730
Media General Financing Sub, Inc., 5.88%, 11/15/22 (b)			378		387,450
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (b)			265		274,275
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)			538		554,140
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (b)			410		411,538
Numericable Group SA:
4.88%, 5/15/19 (b)			3,155		3,173,930
5.38%, 5/15/22	EUR		135		155,143
6.00%, 5/15/22 (b)	USD		1,885		1,901,494
5.63%, 5/15/24	EUR		295		339,421
6.25%, 5/15/24 (b)	USD		630		638,663
Outfront Media Capital LLC/Outfront Media Capital Corp.:
5.25%, 2/15/22			130		134,550
5.63%, 2/15/24			115		120,463
5.63%, 2/15/24 (b)			127		133,033
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (b)			485		516,525
Sirius XM Radio, Inc. (b):
4.25%, 5/15/20			141		140,824
5.75%, 8/01/21			464		483,140
4.63%, 5/15/23			60		57,900
5.38%, 4/15/25			1,525		1,527,287
Sterling Entertainment Corp., 9.75%, 12/15/19			1,300		1,326,000
United Group BV, Series APR, 7.88%, 11/15/20	EUR		100		117,474
Corporate Bonds		Par (000)		Value
Media (concluded)
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
5.50%, 1/15/23 (b)	USD		1,270	$	1,309,687
4.00%, 1/15/25	EUR		298		332,203
Univision Communications, Inc. (b):
8.50%, 5/15/21	USD		1,820		1,940,575
5.13%, 5/15/23			2,690		2,696,725
5.13%, 2/15/25			942		936,819
Virgin Media Secured Finance PLC:
5.38%, 4/15/21 (b)			1,152		1,206,720
6.25%, 3/28/29	GBP		453		733,907
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b)	USD		1,300		1,371,500
Ziggo Bond Finance BV:
4.63%, 1/15/25	EUR		168		188,223
5.88%, 1/15/25 (b)	USD		1,895		1,932,900

					57,328,344
Metals & Mining — 2.8%
Alcoa, Inc.:
6.15%, 8/15/20			1,395		1,570,038
5.13%, 10/01/24			2,261		2,413,617
Constellium NV:
4.63%, 5/15/21	EUR		119		124,163
8.00%, 1/15/23 (b)	USD		2,600		2,743,000
5.75%, 5/15/24 (b)			439		412,660
First Quantum Minerals Ltd. (b):
7.00%, 2/15/21			145		140,469
7.25%, 5/15/22			435		419,231
FMG Resources August 2006 Pty, Ltd., 9.75%, 3/01/22 (b)			161		169,050
Global Brass & Copper, Inc., 9.50%, 6/01/19			740		808,450
Kaiser Aluminum Corp., 8.25%, 6/01/20			550		598,125
Novelis, Inc.:
8.38%, 12/15/17			215		224,944
8.75%, 12/15/20			4,901		5,221,084
Peabody Energy Corp., 6.50%, 9/15/20			562		289,430
Perstorp Holding AB, 8.75%, 5/15/17 (b)			410		429,475
Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.00%, 10/15/17			673		684,778
Steel Dynamics, Inc.:
5.13%, 10/01/21			790		799,875
6.38%, 8/15/22			595		636,650



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015	9

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(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	$	4,480,339

					22,165,378
Multi-Utilities — 0.0%
CE Energy AS, 7.00%, 2/01/21	EUR		175		199,891
Multiline Retail — 0.3%
Hema Bondco I BV, 6.25%, 6/15/19			350		336,354
The Neiman Marcus Group Ltd. (b):
8.00%, 10/15/21	USD		1,955		2,096,738
(8.75% Cash or 9.50% PIK), 8.75%, 10/15/21 (e)			150		162,000

					2,595,092
Oil, Gas & Consumable Fuels — 6.2%
Antero Resources Corp., 5.13%, 12/01/22			26		25,935
Antero Resources Finance Corp.:
6.00%, 12/01/20			211		216,275
5.38%, 11/01/21			904		915,300
Bonanza Creek Energy, Inc., 6.75%, 4/15/21			200		193,500
California Resources Corp.:
5.50%, 9/15/21			728		689,780
6.00%, 11/15/24			3,902		3,589,840
Chaparral Energy, Inc., 7.63%, 11/15/22			330		264,000
Chesapeake Energy Corp.:
6.88%, 11/15/20			211		222,605
6.13%, 2/15/21			104		105,820
5.75%, 3/15/23			1,004		991,450
Cimarex Energy Co., 4.38%, 6/01/24			254		261,303
Concho Resources, Inc., 5.50%, 4/01/23			2,390		2,425,850
CONSOL Energy, Inc., 5.88%, 4/15/22			4,037		3,764,502
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.13%, 3/01/22			57		59,494
CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (b)			740		769,600
Denbury Resources, Inc.:
5.50%, 5/01/22			186		177,514
4.63%, 7/15/23			49		44,713
El Paso LLC:
7.80%, 8/01/31			143		167,801
7.75%, 1/15/32			684		805,821
Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Energy Transfer Equity LP:
7.50%, 10/15/20	USD		345	$	394,163
5.88%, 1/15/24			1,825		1,939,062
EP Energy LLC/Everest Acquisition Finance, Inc., 6.38%, 6/15/23 (b)			711		711,889
Halcon Resources Corp.:
8.63%, 2/01/20 (b)			1,094		1,110,410
8.88%, 5/15/21			1,530		1,074,825
9.25%, 2/15/22			60		41,700
Hilcorp Energy I LP/Hilcorp Finance Co. (b):
7.63%, 4/15/21			1,274		1,328,145
5.00%, 12/01/24			641		623,372
Laredo Petroleum, Inc., 7.38%, 5/01/22			153		162,563
Linn Energy LLC/Linn Energy Finance Corp.:
6.25%, 11/01/19			86		73,530
8.63%, 4/15/20			2,912		2,633,540
7.75%, 2/01/21			490		422,625
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:
6.25%, 6/15/22			34		37,798
4.50%, 7/15/23			10		9,875
4.88%, 6/01/25			1,310		1,301,812
Newfield Exploration Co., 5.38%, 1/01/26			330		341,550
NGPL PipeCo LLC, 9.63%, 6/01/19 (b)			435		443,700
Oasis Petroleum, Inc.:
7.25%, 2/01/19			495		508,612
6.50%, 11/01/21			555		559,162
Pacific Drilling SA, 5.38%, 6/01/20 (b)			299		246,675
Paramount Resources, Ltd., 6.88%, 6/30/23 (b)(d)			518		520,590
PDC Energy, Inc., 7.75%, 10/15/22			510		545,700
Petrobras Global Finance BV, 4.75%, 1/14/25	EUR		100		106,794
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b)	USD		210		200,025
Range Resources Corp.:
5.75%, 6/01/21			277		287,388
5.00%, 8/15/22			10		9,950
5.00%, 3/15/23			23		23,000
Regency Energy Partners LP/Regency Energy Finance Corp., 4.50%, 11/01/23			1,698		1,707,339



10	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Rose Rock Midstream LP/Rose Rock Finance Corp., 5.63%, 7/15/22	USD		464	$	462,840
Rosetta Resources, Inc., 5.63%, 5/01/21			479		507,788
RSP Permian, Inc., 6.63%, 10/01/22 (b)			441		458,640
Sabine Pass Liquefaction LLC:
6.25%, 3/15/22			104		109,460
5.63%, 4/15/23			3,962		4,031,335
5.75%, 5/15/24			762		774,382
5.63%, 3/01/25 (b)			1,187		1,187,000
Sabine Pass LNG LP, 7.50%, 11/30/16			2,590		2,764,825
Sanchez Energy Corp., 6.13%, 1/15/23			838		796,100
SandRidge Energy, Inc.:
8.75%, 1/15/20			91		58,923
7.50%, 2/15/23			1,082		600,510
Seven Generations Energy, Ltd., 6.75%, 5/01/23 (b)			265		266,988
Seventy Seven Energy, Inc., 6.50%, 7/15/22			318		199,545
Summit Midstream Holdings LLC/Summit Midstream Finance Corp.:
7.50%, 7/01/21			798		833,910
5.50%, 8/15/22			834		800,640
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.25%, 10/15/22 (b)			833		880,897
Ultra Petroleum Corp., 5.75%, 12/15/18 (b)			525		507,937
Whiting Petroleum Corp., 5.00%, 3/15/19			1,518		1,518,000

					49,816,617
Paper & Forest Products — 0.0%
International Paper Co., 7.30%, 11/15/39			5		6,308
Pharmaceuticals — 2.0%
Capsugel SA, (7.00% Cash or 7.75% PIK), 7.00%, 5/15/19 (b)(e)			171		174,848
Endo Finance LLC/Endo Finco, Inc. (b):
7.00%, 12/15/20			167		175,768
7.25%, 1/15/22			145		154,063
6.00%, 2/01/25			1,915		1,938,937
Grifols Worldwide Operations, Ltd., 5.25%, 4/01/22			937		955,740
Corporate Bonds		Par (000)		Value
Pharmaceuticals (concluded)
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b)	USD		125	$	134,219
Valeant Pharmaceuticals International, Inc.:
6.75%, 8/15/18 (b)			1,221		1,290,444
5.38%, 3/15/20 (b)			393		409,702
7.00%, 10/01/20 (b)			1,150		1,203,187
6.38%, 10/15/20 (b)			687		732,943
7.50%, 7/15/21 (b)			1,890		2,067,660
5.63%, 12/01/21 (b)			661		685,787
7.25%, 7/15/22 (b)			1,010		1,080,700
5.50%, 3/01/23 (b)			637		649,740
4.50%, 5/15/23	EUR		300		333,609
5.88%, 5/15/23 (b)	USD		2,091		2,166,799
6.13%, 4/15/25 (b)			1,644		1,709,760

					15,863,906
Professional Services — 0.1%
Truven Health Analytics, Inc., 10.63%, 6/01/20			380		399,950
Real Estate Investment Trusts (REITs) — 0.2%
Felcor Lodging LP, 5.63%, 3/01/23			377		393,965
iStar Financial, Inc.:
4.00%, 11/01/17			535		526,975
5.00%, 7/01/19			375		370,781

					1,291,721
Real Estate Management & Development — 0.7%
Lennar Corp., 4.75%, 11/15/22			110		109,038
Realogy Corp. (b):
7.63%, 1/15/20			3,446		3,682,912
9.00%, 1/15/20			214		230,585
Realogy Group LLC/Realogy Co-Issuer Corp. (b):
4.50%, 4/15/19			1,181		1,198,715
5.25%, 12/01/21			506		515,487
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (b)			245		256,638

					5,993,375
Road & Rail — 0.6%
EC Finance PLC, 5.13%, 7/15/21	EUR		215		248,768
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (b)	USD		1,565		1,561,087
The Hertz Corp.:
7.50%, 10/15/18			1,555		1,609,425
7.38%, 1/15/21			1,122		1,173,893



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015	11

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Corporate Bonds		Par (000)		Value
Road & Rail (concluded)
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (b)	USD		350	$	357,000

					4,950,173
Semiconductors & Semiconductor Equipment — 0.4%
Micron Technology, Inc. (b):
5.25%, 1/15/24			495		490,050
5.50%, 2/01/25			225		223,290
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (b)			1,020		1,076,100
Sensata Technologies BV (b):
5.63%, 11/01/24			220		234,575
5.00%, 10/01/25			1,002		1,011,389

					3,035,404
Software — 0.6%
Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (b)(e)			918		934,065
Infor US, Inc., 6.50%, 5/15/22 (b)			1,572		1,633,151
Nuance Communications, Inc., 5.38%, 8/15/20 (b)			2,270		2,289,862

					4,857,078
Specialty Retail — 0.4%
Magnolia BC SA, 9.00%, 8/01/20	EUR		220		260,352
Party City Holdings, Inc., 8.88%, 8/01/20	USD		410		441,365
Penske Automotive Group, Inc., 5.38%, 12/01/24			1,100		1,138,500
Sally Holdings LLC/Sally Capital, Inc.:
5.75%, 6/01/22			146		155,490
5.50%, 11/01/23			559		591,143
Sonic Automotive, Inc., 5.00%, 5/15/23			146		145,635
THOM Europe SAS, 7.38%, 7/15/19	EUR		285		330,231
TUI AG, 4.50%, 10/01/19			105		121,376

					3,184,092
Textiles, Apparel & Luxury Goods — 0.2%
Levi Strauss & Co.:
6.88%, 5/01/22	USD		405		441,450
5.00%, 5/01/25 (b)			394		392,522
PVH Corp., 4.50%, 12/15/22			122		123,830
Corporate Bonds		Par (000)		Value
Textiles, Apparel & Luxury Goods (concluded)
The William Carter Co., 5.25%, 8/15/21	USD		469	$	485,415

					1,443,217
Tobacco — 0.0%
Altria Group, Inc., 9.95%, 11/10/38			17		28,407
Trading Companies & Distributors — 0.1%
Ashtead Capital, Inc. (b):
6.50%, 7/15/22			539		578,751
5.63%, 10/01/24			525		547,313

					1,126,064
Transportation Infrastructure — 0.2%
Aguila 3 SA, 7.88%, 1/31/18 (b)			459		461,295
JCH Parent, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (b)(e)			1,066		788,655

					1,249,950
Wireless Telecommunication Services — 3.8%
Communications Sales & Leasing, Inc. (b):
6.00%, 4/15/23			600		603,000
8.25%, 10/15/23			830		846,600
Crown Castle International Corp., 5.25%, 1/15/23			115		121,239
Crown Castle Towers LLC, 6.11%, 1/15/40 (b)			375		430,469
Digicel Group Ltd. (b):
8.25%, 9/30/20			245		254,065
7.13%, 4/01/22			1,000		972,500
Digicel Ltd., 6.00%, 4/15/21 (b)			3,378		3,335,775
The Geo Group, Inc., 5.88%, 1/15/22			370		390,813
SBA Communications Corp., 4.88%, 7/15/22 (b)			2,400		2,413,680
Sprint Communications, Inc. (b):
9.00%, 11/15/18			7,557		8,662,211
7.00%, 3/01/20			3,950		4,359,812
Sprint Corp.:
7.88%, 9/15/23			2,604		2,648,008
7.13%, 6/15/24			1,476		1,428,030
T-Mobile USA, Inc.:
6.63%, 4/28/21			455		485,166
6.13%, 1/15/22			81		84,949
6.73%, 4/28/22			295		314,175
6.00%, 3/01/23			588		610,417
6.84%, 4/28/23			85		90,525
6.50%, 1/15/24			584		616,120
6.38%, 3/01/25			1,100		1,148,125



12	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Corporate Bonds		Par (000)		Value
Wireless Telecommunication Services (concluded)
Wind Acquisition Finance SA, 4.00%, 7/15/20	EUR		868	$	966,671

					30,782,350
Total Corporate Bonds — 59.9%					478,947,558



Floating Rate Loan Interests (c)
Aerospace & Defense — 1.5%
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21	USD		1,516		1,529,937
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20			1,387		1,387,574
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21			1,675		1,756,656
Transdigm, Inc.:
2015 Term Loan E, 3.50%, 5/14/22			704		698,521
Term Loan D, 3.75%, 6/04/21			844		841,997
TransUnion LLC, Term Loan, 4.00%, 4/09/21			5,648		5,629,820

					11,844,505
Air Freight & Logistics — 0.4%
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21			982		932,443
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21			1,025		973,470
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21			157		149,317
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21			1,413		1,342,718

					3,397,948
Airlines — 0.6%
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18			2,945		2,942,818
Northwest Airlines, Inc. :
2.25%, 3/10/17			328		321,488
1.63%, 9/10/18			351		336,243
1.64%, 9/10/18			177		169,238
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19			1,264		1,261,836

					5,031,623
Auto Components — 2.1%
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20			782		782,287
Floating Rate Loan Interests (c)		Par (000)		Value
Auto Components (concluded)
Autoparts Holdings Ltd.:
1st Lien Term Loan, 7.00%, 7/29/17	USD		2,067	$	1,985,910
2nd Lien Term Loan, 10.50%, 1/29/18			1,890		1,691,550
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19			1,229		1,230,974
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19			1,486		1,474,326
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21			6,373		6,343,532
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19			1,803		1,815,037
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20			1,275		1,280,980
UCI International, Inc., Term Loan B, 5.50%, 7/26/17			280		277,066

					16,881,662
Banks — 0.1%
Redtop Acquisitions Ltd.:
1st Lien Term Loan, 4.50%, 12/03/20			597		596,691
2nd Lien Term Loan, 8.25%, 6/03/21			380		381,138

					977,829
Building Products — 2.5%
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20			1,804		1,800,152
CPG International, Inc., Term Loan, 4.75%, 9/30/20			4,150		4,121,906
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21			1,544		1,498,068
Hanson Building Products Ltd., 1st Lien Term Loan, 6.50%, 2/18/22			591		592,884
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21			1,624		1,620,564
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21			2,195		2,205,472
Nortek, Inc., Term Loan, 3.50%, 10/30/20			2,059		2,051,715
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21			2,015		2,013,643
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20			1,197		1,197,121



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015	13

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Floating Rate Loan Interests (c)		Par (000)		Value
Building Products (concluded)
Wilsonart LLC:
Incremental Term Loan B2, 4.00%, 10/31/19	USD		410	$	408,616
Term Loan B, 4.00%, 10/31/19			2,278		2,270,927

					19,781,068
Capital Markets — 0.4%
Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18			987		950,810
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17			658		656,091
RPI Finance Trust, Term Loan B4, 3.50%, 11/09/20			1,400		1,401,400

					3,008,301
Chemicals — 3.0%
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19			239		239,883
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19			124		124,464
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20			2,939		2,937,463
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20			73		73,225
Chemours Company Co., Term Loan B, 3.75%, 5/22/22			1,018		1,018,365
Chromaflo Technologies Corp.:
1st Lien Term Loan, 4.50%, 12/02/19			716		712,376
2nd Lien Term Loan, 8.25%, 6/02/20			405		394,860
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19			1,574		1,544,387
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18			1,220		1,219,197
Kronos Worldwide Inc., 2015 Term Loan, 4.00%, 2/18/20			431		431,007
MacDermid, Inc., 1st Lien Term Loan, 4.50%, 6/07/20			2,371		2,379,576
Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21			2,891		2,895,944
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17			1,626		1,601,435
OXEA Finance LLC:
2nd Lien Term Loan, 8.25%, 7/15/20			1,155		1,059,135
Term Loan B2, 4.25%, 1/15/20			1,473		1,418,576
Floating Rate Loan Interests (c)		Par (000)		Value
Chemicals (concluded)
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18	USD		849	$	851,473
Solenis International LP:
1st Lien Term Loan, 4.25%, 7/31/21			1,662		1,662,065
2nd Lien Term Loan, 7.75%, 7/31/22			1,915		1,851,575
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20			722		720,332
Univar, Inc., Term Loan B, 5.00%, 6/30/17			703		701,428

					23,836,766
Commercial Services & Supplies — 3.4%
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19			2,590		2,576,496
ARAMARK Corp.:
Term Loan E, 3.25%, 9/07/19			2,852		2,855,935
Term Loan F, 3.25%, 2/24/21			1,214		1,212,655
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20			2,475		2,460,817
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21			2,099		2,106,344
Connolly Corp.:
1st Lien Term Loan, 4.50%, 5/14/21			3,443		3,449,911
2nd Lien Term Loan, 8.00%, 5/14/22			2,125		2,132,969
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20			2,853		2,839,206
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19			845		836,501
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19			4,614		4,603,818
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/27/20			657		660,102
West Corp., Term Loan B10, 3.25%, 6/30/18			1,248		1,245,411

					26,980,165
Communications Equipment — 1.8%
Applied Systems, Inc.:
1st Lien Term Loan, 4.25% - 5.50%, 1/25/21			602		602,977
2nd Lien Term Loan, 7.50%, 1/24/22			540		542,700



14	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Floating Rate Loan Interests (c)		Par (000)		Value
Communications Equipment (concluded)
Avaya, Inc., Term Loan B7, 6.25%, 4/16/20	USD		3,625	$	3,572,147
Blue Coat Systems, Inc., 2015 Term Loan, 4.50%, 5/15/22			940		941,175
CommScope, Inc.:
Incremental Term Loan B, 3.75%, 5/21/22			555		555,694
Term Loan B3, 2.69%, 1/21/17			805		804,382
Riverbed Technology, Inc., Term Loan B, 6.00%, 4/24/22			430		434,033
Telesat Canada, Term Loan A, 4.10%, 3/24/17	CAD		2,170		1,734,928
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 3.75%, 5/06/21	USD		4,849		4,841,515

					14,029,551
Construction & Engineering — 0.3%
AECOM Technology Corp., Term Loan B, 3.75%, 10/15/21			807		812,127
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/20/20			1,185		1,191,909

					2,004,036
Construction Materials — 0.9%
Filtration Group Corp., 1st Lien Term Loan, 4.25%, 11/21/20			597		598,740
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18			6,621		6,626,115

					7,224,855
Containers & Packaging — 0.4%
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21			1,959		1,958,703
BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20			1,082		1,085,427

					3,044,130
Distributors — 0.4%
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20			3,241		3,235,919
American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21			300		302,751

					3,538,670
Diversified Consumer Services — 1.5%
Allied Security Holdings LLC:
1st Lien Term Loan, 4.25%, 2/12/21			2,668		2,668,835
Floating Rate Loan Interests (c)		Par (000)		Value
Diversified Consumer Services (concluded)
Allied Security Holdings LLC (concluded):
2nd Lien Term Loan, 8.00%, 8/13/21	USD		599	$	600,991
Bright Horizons Family Solutions, Inc.:
Incremental Term Loan B1, 4.50%, 1/30/20			1,505		1,510,457
Term Loan B, 4.00% — 5.25%, 1/30/20			1,535		1,536,593
ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21			4,996		5,008,650
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20			580		286,782

					11,612,308
Diversified Financial Services — 0.8%
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21			1,343		1,343,252
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.50%, 12/01/18			2,393		2,401,259
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20			1,154		1,156,493
TransFirst, Inc., 2014 1st Lien Term Loan, 5.50%, 11/12/21			1,496		1,496,624

					6,397,628
Diversified Telecommunication Services — 2.1%
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20			1,806		1,808,587
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19			2,823		2,832,765
Integra Telecom, Inc.:
2015 1st Lien Term Loan, 5.25%, 8/05/20			1,774		1,764,197
2nd Lien Term Loan, 9.75%, 2/21/20			1,063		1,068,297
Level 3 Financing, Inc.:
2013 Term Loan B, 4.00%, 1/15/20			8,605		8,599,665



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015	15

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Floating Rate Loan Interests (c)		Par (000)		Value
Diversified Telecommunication Services (concluded)
Level 3 Financing, Inc. (concluded):
2019 Term Loan, 4.00%, 8/01/19	USD		920	$	919,254

					16,992,765
Electric Utilities — 0.3%
American Energy — Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20			659		499,870
American Energy — Utica LLC:
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18			805		757,087
2nd Lien Term Loan, 5.50%, 9/30/18			481		451,512
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18			806		757,202

					2,465,671
Electrical Equipment — 0.3%
Texas Competitive Electric Holdings Co. LLC:
DIP Term Loan, 3.75%, 5/05/16			1,227		1,232,548
Extended Term Loan, 4.67%, 10/10/17 (a)(f)			2,375		1,442,812

					2,675,360
Electronic Equipment, Instruments & Components — 0.4%
CDW LLC, Term Loan, 3.25%, 4/29/20			2,922		2,912,900
Energy Equipment & Services — 0.8%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20			3,292		3,305,814
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20			3,286		3,231,352

					6,537,166
Food & Staples Retailing — 0.6%
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21			1,060		1,062,324
Rite Aid Corp.:
5.75%, 8/21/20			695		701,950
4.88%, 6/21/21			1,475		1,476,844
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19			1,400		1,403,442

					4,644,560
Food Products — 2.2%
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18			2,854		2,854,494
Floating Rate Loan Interests (c)		Par (000)		Value
Food Products (concluded)
Dole Food Co., Inc., Term Loan B, 4.50% — 5.75%, 11/01/18	USD		2,505	$	2,517,927
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21			2,402		2,408,863
Pabst Brewing Co., Inc., Term Loan, 5.75%, 10/21/21			2,686		2,703,147
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19			2,289		2,297,810
Pinnacle Foods Finance LLC, Term Loan G, 3.00%, 4/29/20			1,846		1,840,478
Post Holdings Inc., Series A Incremental Term Loan, 3.75%, 6/02/21			700		697,571
Reddy Ice Corp.:
1st Lien Term Loan, 6.75%, 5/01/19			1,829		1,618,488
2nd Lien Term Loan, 10.75%, 11/01/19			995		761,175

					17,699,953
Health Care Equipment & Supplies — 2.0%
Biomet, Inc., Term Loan B2, 3.68%, 7/25/17			2,078		2,075,434
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18			1,689		1,685,012
DJO Finance LLC, 2015 Term Loan, 4.25%, 4/21/20			2,220		2,223,463
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18			97		96,863
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18			2,413		2,422,345
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21			1,632		1,631,250
Millennium Health LLC, Term Loan B, 5.25%, 4/16/21			1,077		739,277
National Vision, Inc., 1st Lien Term Loan, 4.00% — 5.25%, 3/12/21			2,476		2,448,008
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21			3,056		3,012,627

					16,334,279
Health Care Providers & Services — 4.9%
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22			482		485,859
Air Medical Group Holdings, Inc., Term Loan B, 4.50%, 4/06/22			1,250		1,244,200
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20			2,125		2,082,500



16	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Floating Rate Loan Interests (c)		Par (000)		Value
Health Care Providers & Services (concluded)
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21	USD		1,935	$	1,940,238
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18			709		709,245
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19			2,738		2,748,163
Community Health Systems, Inc.:
Term Loan F, 3.53%, 12/31/18			1,386		1,389,487
Term Loan G, 3.75%, 12/31/19			2,089		2,089,134
Term Loan H, 4.00%, 1/27/21			3,843		3,850,061
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16			1,837		1,836,815
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/07/22			1,450		1,460,266
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21			6,957		6,969,600
Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20			1,285		1,287,430
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17			1,335		1,361,841
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21			1,482		1,478,338
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21			1,115		1,116,374
Sterigenics-Nordion Holdings LLC, Term Loan B, 4.25%, 5/15/22			665		665,000
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20			990		994,012
Surgical Care Affiliates, Inc., Term Loan B, 4.25%, 3/17/22			450		451,125
Tenet Healthcare Corp.:
Interim Term Loan, 4.50%, 3/22/16			3,225		3,225,000
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19			1,995		1,996,593

					39,381,281
Health Care Technology — 0.5%
IMS Health, Inc., Term Loan, 3.50%, 3/17/21			2,589		2,584,320
Floating Rate Loan Interests (c)		Par (000)		Value
Health Care Technology (concluded)
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19	USD		1,308	$	1,306,359

					3,890,679
Hotels, Restaurants & Leisure — 6.6%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21			1,194		1,191,612
2nd Lien Term Loan, 8.00%, 8/01/22			8,380		8,481,230
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20			1,572		1,576,750
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20			1,821		1,771,081
Burger King Newco, Term Loan B, 3.75%, 12/10/21			5,122		5,124,625
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20			8,474		8,138,547
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21			1,155		1,160,479
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20			4,118		4,124,288
Intrawest ULC, Term Loan, 4.75%, 12/09/20			1,002		1,007,956
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21			6,285		6,296,059
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20			1,626		1,625,318
MGM Resorts International, Term Loan B, 3.50%, 12/20/19			2,164		2,161,047
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20			945		947,505
Sabre, Inc.:
Incremental Term Loan, 4.00%, 2/19/19			635		635,522
Term Loan B, 4.00%, 2/19/19			870		870,445
Scientific Games International, Inc.:
2014 Term Loan B1, 6.00%, 10/18/20			981		984,925
2014 Term Loan B2, 6.00%, 10/01/21			998		1,000,991
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20			2,293		2,297,009



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015	17

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Floating Rate Loan Interests (c)		Par (000)		Value
Hotels, Restaurants & Leisure (concluded)
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 5.75%, 9/02/21	USD		3,388	$	3,415,723

					52,811,112
Household Products — 0.5%
Bass Pro Group LLC, Term Loan, 3.75% — 5.25%, 11/20/19			1,986		1,985,583
Spectrum Brands, Inc., Term Loan C, 3.50%, 9/04/19			2,122		2,126,060

					4,111,643
Independent Power and Renewable Electricity Producers — 0.7%
Calpine Construction Finance Co., LP, Term Loan B1, 3.00%, 5/03/20			807		795,193
Calpine Corp., Term Loan B5, 3.50%, 5/19/22			1,260		1,256,711
Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 6/19/16			2,104		2,112,351
Granite Acquisition Inc.:
Term Loan B, 5.00%, 12/19/21			1,703		1,723,313
Term Loan C, 5.00%, 12/19/21			75		76,015

					5,963,583
Industrial Conglomerates — 0.2%
Sequa Corp., Term Loan B, 5.25%, 6/19/17			2,240		1,974,199
Insurance — 0.8%
Alliant Holdings I, Inc.:
Term Loan B, 5.00%, 12/20/19			714		719,739
Term Loan B1, 5.00%, 12/20/19			169		169,791
Cooper Gay Swett & Crawford of Delaware Holding Corp., 1st Lien Term Loan, 5.00%, 4/16/20			1,025		952,808
Sedgwick Claims Management Services, Inc.:
1st Lien Term Loan, 3.75%, 3/01/21			1,653		1,633,460
2nd Lien Term Loan, 6.75%, 2/28/22			1,650		1,624,227
Floating Rate Loan Interests (c)		Par (000)		Value
Insurance (concluded)
York Risk Services Holding Corp., Term Loan B, 4.75%, 10/01/21	USD		1,245	$	1,234,267

					6,334,292
Internet Software & Services — 1.1%
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/28/21			1,574		1,571,507
Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21			2,432		2,438,847
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21			3,299		3,308,349
W3 Co.:
1st Lien Term Loan, 5.75%, 3/13/20			1,107		1,024,345
2nd Lien Term Loan, 9.25%, 9/11/20			289		253,116

					8,596,164
IT Services — 2.4%
Epicor Software Corp., 1st Lien Term Loan, 4.75%, 5/08/22			1,650		1,651,551
First Data Corp.:
2018 Extended Term Loan, 3.68%, 3/24/18			12,272		12,262,096
2018 Term Loan, 3.68%, 9/24/18			1,935		1,933,529
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18			942		911,663
SunGard Data Systems, Inc.:
Term Loan C, 3.93%, 2/28/17			1,080		1,080,453
Term Loan E, 4.00%, 3/08/20			414		414,571
Vantiv LLC, 2014 Term Loan B, 3.75%, 6/13/21			1,240		1,243,580

					19,497,443
Leisure Products — 0.2%
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21			1,652		1,638,871
Machinery — 1.0%
Alliance Laundry Systems LLC:
2nd Lien Term Loan, 9.50%, 12/10/19			442		444,027
Refinancing Term Loan, 4.25%, 12/10/18			1,508		1,508,738
Allison Transmission, Inc., Term Loan B3, 3.50%, 8/23/19			855		858,027



18	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Floating Rate Loan Interests (c)		Par (000)		Value
Machinery (concluded)
Faenza Acquisition GmbH:
Term Loan B1, 4.25%, 8/30/20	USD		719	$	721,715
Term Loan B3, 4.25%, 8/30/20			216		217,284
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21			569		572,299
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20			1,907		1,904,530
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19			2,105		2,042,075

					8,268,695
Media — 5.0%
Cengage Learning Acquisitions, Inc.:
1st Lien Term Loan, 8.25%, 3/31/20			6,079		6,092,819
Term Loan, 0.00%, 7/03/15 (a)(f)			2,596		—
Clear Channel Communications, Inc., Term Loan D, 6.94%, 1/30/19			3,467		3,237,457
CSC Holdings LLC, Term Loan B, 2.69%, 4/17/20			1,114		1,107,293
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20			1,356		1,356,808
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19			2,521		2,510,198
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20			616		616,395
Media General, Inc., Term Loan B, 4.25%, 7/31/20			1,834		1,840,906
Mediacom Communications Corp., Term Loan F, 2.65%, 3/31/18			787		783,115
Numericable U.S. LLC:
Term Loan B1, 4.50%, 5/21/20			1,685		1,688,874
Term Loan B2, 4.50%, 5/21/20			1,457		1,461,106
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20			807		805,719
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21			1,960		1,951,131
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20			3,593		3,594,172
TWCC Holding Corp., Refinancing Term Loan B, 5.75%, 2/13/20			1,065		1,064,670
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20			4,428		4,420,454
Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 6/07/20			687		684,727
Floating Rate Loan Interests (c)		Par (000)		Value
Media (concluded)
WideOpenWest Finance LLC, 2015 Term Loan B, 4.50%, 4/01/19	USD		2,693	$	2,690,226
Ziggo Financing Partnership:
Term Loan B1, 3.50%, 1/15/22			1,561		1,553,857
Term Loan B2A, 3.50%, 1/15/22			1,023		1,018,254
Term Loan B3, 3.50%, 1/15/22			1,682		1,674,665

					40,152,846
Metals & Mining — 0.8%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20			530		446,965
Novelis, Inc., Term Loan, 3.75%, 3/10/17			4,071		4,066,531
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17			1,556		1,564,276

					6,077,772
Multiline Retail — 1.3%
BJ’s Wholesale Club, Inc.:
1st Lien Term Loan, 4.50%, 9/26/19			3,460		3,470,055
2nd Lien Term Loan, 8.50%, 3/26/20			785		792,850
Dollar Tree, Inc., Term Loan B, 4.25%, 3/09/22			2,955		2,982,097
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20			414		415,925
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20			2,873		2,873,403

					10,534,330
Oil, Gas & Consumable Fuels — 2.4%
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18			2,654		1,863,329
CITGO Holding Inc., 2015 Term Loan B, 9.50%, 5/12/18			1,666		1,687,347
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21			2,781		2,381,963
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18			2,223		2,207,348
Fieldwood Energy LLC, 1st Lien Term Loan, 3.88%, 9/28/18			857		829,892
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15			487		483,110
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19			193		135,687
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20			2,050		2,039,750



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015	19

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Floating Rate Loan Interests (c)		Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19	USD		580	$	553,900
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20			200		197,500
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21			1,511		1,496,100
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21			190		177,669
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21			784		781,135
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21			630		608,179
Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22			2,395		2,412,963
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21			1,200		1,198,313

					19,054,185
Pharmaceuticals — 3.2%
Akorn, Inc., Term Loan B, 4.50%, 4/16/21			1,687		1,689,156
Concordia Healthcare Corp., Term Loan B, 4.75%, 4/21/22			620		624,650
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21			644		643,178
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.19%, 2/27/21			3,742		3,749,872
Horizon Pharma Holdings USA, Inc., Term Loan B, 4.50%, 4/22/21			550		552,750
Mallinckrodt International Finance SA:
Incremental Term Loan B1, 3.50%, 3/19/21			846		845,352
Term Loan B, 3.25%, 3/19/21			1,653		1,650,622
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19			3,231		3,229,006
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18			4,195		4,199,334
Valeant Pharmaceuticals International,Inc., Term Loan B:
Series C2, 3.50%, 12/11/19			1,036		1,036,683
Series E, 3.50%, 8/05/20			1,492		1,491,977
Floating Rate Loan Interests (c)		Par (000)		Value
Pharmaceuticals (concluded)
Valeant Pharmaceuticals International,Inc., Term Loan B (concluded):
Term Loan B F1, 4.00%, 4/01/22	USD		5,693	$	5,705,154

					25,417,734
Professional Services — 1.5%
Advantage Sales & Marketing, Inc.:
2014 1st Lien Term Loan, 4.25%, 7/23/21			1,827		1,825,150
2014 2nd Lien Term Loan, 7.50%, 7/25/22			1,870		1,884,493
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18			3,483		3,488,324
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22			1,675		1,678,149
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19			1,147		1,152,333
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19			1,707		1,707,718

					11,736,167
Real Estate Management & Development — 1.1%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20			1,441		1,445,508
DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21			2,319		2,327,459
Realogy Corp.:
Extended Letter of Credit, 2.21%, 10/10/16			633		626,241
Term Loan B, 3.75%, 3/05/20			4,344		4,347,992

					8,747,200
Road & Rail — 0.3%
Road Infrastructure Investment LLC:
1st Lien Term Loan, 4.25%, 3/31/21			1,233		1,223,306
2nd Lien Term Loan, 7.75%, 9/21/21			1,175		1,104,500

					2,327,806
Semiconductors & Semiconductor Equipment — 1.0%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21			4,555		4,558,331
Freescale Semiconductor, Inc.:
Term Loan B4, 4.25%, 2/28/20			3,218		3,226,511



20	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Floating Rate Loan Interests (c)		Par (000)		Value
Semiconductors & Semiconductor Equipment (concluded)
Freescale Semiconductor, Inc.: (concluded):
Term Loan B5, 5.00%, 1/15/21	USD		404	$	406,677

					8,191,519
Software — 2.2%
GCA Services Group, Inc.:
2nd Lien Term Loan, 9.25%, 10/22/20			624		627,120
Term Loan B, 4.25% - 5.50%, 11/01/19			1,122		1,122,112
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/11/22			1,688		1,685,420
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20			4,559		4,535,765
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21			1,262		1,173,726
Kronos, Inc.:
2nd Lien Term Loan, 9.75%, 4/30/20			1,952		2,016,531
Initial Incremental Term Loan, 4.50%, 10/30/19			1,160		1,162,948
Mitchell International, Inc.:
1st Lien Term Loan, 4.50%, 10/12/20			1,818		1,821,945
2nd Lien Term Loan, 8.50%, 10/11/21			1,250		1,247,662
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18			1,635		1,636,508
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20			274		274,244

					17,303,981
Specialty Retail — 2.5%
Academy Ltd., Term Loan, 4.50%, 8/03/18			2,313		2,318,735
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19			1,913		1,914,791
Michaels Stores, Inc.:
Incremental 2014 Term Loan B2, 4.00%, 1/28/20			2,089		2,096,399
Term Loan B, 3.75%, 1/28/20			1,615		1,615,391
Party City Holdings, Inc., Term Loan, 4.00% -5.25%, 7/27/19			2,777		2,779,635
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17			2,791		2,795,497
PetSmart, Inc., Term Loan B, 4.25%, 3/11/22			4,790		4,803,364
Floating Rate Loan Interests (c)		Par (000)		Value
Specialty Retail (concluded)
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18	USD		2,036	$	1,720,558

					20,044,370
Technology Hardware, Storage & Peripherals — 0.4%
Dell, Inc., Term Loan B, 4.50%, 4/29/20			3,199		3,200,686
Textiles, Apparel & Luxury Goods — 0.9%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18			2,853		2,510,322
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21			1,757		1,597,094
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21			1,354		1,350,050
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19			1,678		1,683,963

					7,141,429
Thrifts & Mortgage Finance — 0.2%
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21			1,513		1,515,826
Wireless Telecommunication Services — 0.3%
Communications Sales & Leasing, Inc., Term Loan B, 5.00%, 10/24/22			945		941,456
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20			1,680		1,677,555

					2,619,011
Total Floating Rate Loan Interests — 70.8%					566,386,523


Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 0.2%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c)			1,668		1,700,099



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015	21

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Investment Companies — 2.5%		Shares		Value
iShares iBoxx $ High Yield Corporate Bond ETF (j)	USD		223,000	$	20,272,930



Other Interests (k)		Beneficial Interest (000)
Auto Components — 0.0%
Intermet Liquidating Trust, Class A,			1,154		12
Household Durables — 0.4%
Stanley Martin, Class B Membership Units (l)			2		3,222,000
Media — 0.0%
Adelphia Escrow, 0.00% (a)			7,500		75
Adelphia Preferred Escrow, 0.00% (a)			8		—
Adelphia Recovery Trust (a):
0.00%			9,406		3,762
Series ACC-6B INT, 0.00%			750		8

					3,845
Total Other Interests — 0.4%					3,225,857


Preferred Securities Capital Trusts		Shares		Value
Orange SA, 4.00% (c)(i)			250		289,018
UBS AG, 5.75% (c)(i)	EUR		200		226,799
Telefonica Europe BV, 4.20% (c)(i)			200		228,633
Preferred Stocks
Capital Markets — 0.1%
The Goldman Sachs Group, Inc., Series J, 0.00% (c)(i)	USD		13,550		336,853
Preferred Securities		Shares		Value
Trust Preferreds
Diversified Financial Services — 0.2%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c)	USD		59,219	$	1,537,901
Total Preferred Securities — 0.3%					2,619,204


Warrants (m)
Chemicals — 0.1%
GEO Specialty Chemicals, Inc., (Expired 3/31/15)			557,488		418,116
Software — 0.0%
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)			3,049		39,274
Total Warrants — 0.1%					457,390
Total Long-Term Investments (Cost — $1,131,237,709) — 139.4%					1,115,439,795


Options Purchased (Cost $5,867)				—
Total Investments (Cost — $1,131,243,576) — 139.4%					1,115,439,795
Liabilities in Excess of Other Assets — (39.4)%					(315,259,641	)

Net Assets — 100.0%				$	800,180,154

As of May 31, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:


Tax cost	$	1,139,411,123

Gross unrealized appreciation	$	27,075,468
Gross unrealized depreciation		(51,046,796	)

Net unrealized depreciation	$	(23,971,328	)

Notes to Consolidated Schedule of Investments

(a)

Non-income producing security.

(b)

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

(c)

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

(d)

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


Counterparty	Value		Unrealized Appreciation
Barclays Capital, Inc.	$	520,590	$	5,009
JP Morgan Securities LLC		5,624,366		11,235



22	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)

(e)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

(f)

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

(g)

Zero-coupon bond.

(h)

Convertible security.

(i)

Security is perpetual in nature and has no stated maturity date.

(j)

During the period ended May 31, 2015, investments in issuers considered to be an affiliate of the Fund 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, 2015		Shares Purchased		Shares Held at May 31, 2015		Value at May 31, 2015		Net Income
BlackRock Liquidity Funds, TempFund, Institutional Class		—		—		—		—	$	308
iShares iBoxx $ High Yield Corporate Bond ETF		—		223,000		223,000	$	20,272,930		—

(k)

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

(l)

Security is held by a wholly owned subsidiary.

(m)

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.

Portfolio Abbreviations


ADS		American Depositary Shares Security is held by a wholly owned subsidiary
CAD		Canadian Dollar
CLO		Collateralized Loan Obligation
DIP		Debtor-In-Possession
ETF		Exchange-Traded Fund
EUR		Euro
GBP		British Pound
PIK		Payment-In-Kind
SGD		Singapore Dollar
USD		U.S. Dollar

•

As of May 31, 2015, forward foreign currency exchange contracts outstanding were as follows:


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CAD	151,000	USD	125,820	Goldman Sachs International		7/21/15	$	(4,492	)
EUR	200,000	USD	219,853	HSBC Bank USA, NA		7/21/15		(46	)
EUR	515,000	USD	553,170	Royal Bank of Scotland PLC		7/21/15		12,832
EUR	146,000	USD	165,319	Standard Chartered Bank		7/21/15		(4,861	)
EUR	55,000	USD	59,677	State Street Bank and Trust Co.		7/21/15		770
EUR	450,000	USD	507,949	State Street Bank and Trust Co.		7/21/15		(13,384	)
GBP	172,000	USD	271,228	Goldman Sachs International		7/21/15		(8,436	)
GBP	100,000	USD	154,609	Goldman Sachs International		7/21/15		(1,823	)
USD	1,104,472	CAD	1,353,000	Royal Bank of Canada (UK)		7/21/15		17,345
USD	416,585	EUR	372,000	Bank of America, N.A.		7/21/15		7,745
USD	12,920,621	EUR	12,005,000	UBS AG London		7/21/15		(273,268	)



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015	23


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)

•

As of May 31, 2015, forward foreign currency exchange contracts outstanding were as follows (concluded):


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	3,202,583	GBP	2,166,000	Barclays Bank PLC		7/21/15	$	(106,758	)
Total							$	(374,376	)

•

OTC options purchased as of May 31, 2015 were as follows:

Description

Counterparty

Put/
Call

Strike
Price

Expiration
Date

Contracts

Notional
Amount
(000)

Value

Marsico Parent Superholdco LLC

Goldman Sachs & Co.

Call

USD 942.86

12/14/19

USD

—

•

As of of May 31, 2015, OTC credit default swaps – sold protection outstanding were as follows:


Issuer	Receive Fixed Rate			Counterparty	Expiration Date	Credit Rating¹	Notional Amount (000)²		Value		Premiums Paid (Received)			Unrealized Appreciation
MetLife, Inc.		5.00	%	Deutsche Bank AG	6/20/15	A-		USD 150	$	409	$	118		$	290
MetLife, Inc.		1.00	%	UBS AG	9/20/15	A-		USD 175		497		(774	)		1,271
Total									$	906	$	(656	)	$	1,561

¹ Using Standard & Poor’s rating of the issuer.
² The maximum potential amount the Fund may pay should a negative credit event take place as defined under the trems of the agreement.

•

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

•

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)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Fund’s most recent financial statements as contained in its annual report.



24	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)

As of May 31, 2015, the following table summarizes the Fund’s investments categorized in the disclosure hierarchy:


	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	19,797,054		$	10,221,689	$	30,018,743
Common Stocks	$	8,013,885		1,366,891			2,430,715		11,811,491
Corporate Bonds		—		476,272,085			2,675,473		478,947,558
Floating Rate Loan Interests		—		536,345,823			30,040,700		566,386,523
Investment Companies		20,272,930		—			—		20,272,930
Non-Agency Mortgage-Backed Securities		—		1,700,099			—		1,700,099
Other Interests		—		3,762			3,222,095		3,225,857
Preferred Securities		1,874,754		744,450			—		2,619,204
Warrants		—		418,116			39,274		457,390

Total	$	30,161,569	$	1,036,648,280		$	48,629,946	$	1,115,439,795


	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Credit contracts		—	$	1,561			—	$	1,561
Foreign currency exchange contracts		—		38,692			—		38,692
Liabilities:
Foreign currency exchange contracts		—		(413,068	)		—		(413,068	)

Total		—	$	(372,815	)		—	$	(372,815	)


¹Derivative financial instruments are swaps and forward foreign currency exchange contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of May 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	1,773,814		—			—	$	1,773,814
Foreign currency at value		134,480		—			—		134,480
Liabilities:
Bank borrowings payable			$	(316,000,000	)				(316,000,000	)

Total	$	1,908,294	$	(316,000,000	)		—	$	(314,091,706	)

During the period ended May 31, 2015, there were no transfers between Level 1 and Level 2.

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:


	Common Stocks			Asset- Backed Securities		Corporate Bonds			Floating Rate Loan Interests			Other Interests			Warrants			Total
Assets:
Opening balance, as of February 28, 2015	$	1,175,186		$	1,949,200	$	16,414,679		$	38,495,099		$	3,165,836		$	495,709		$	61,695,709
Transfers into Level 3¹		—			1,412,772		—			5,914,937			22,500			—			7,350,209
Transfers out of Level 3²		—			—		(13,769,855	)		(10,473,204	)		—			(479,440	)		(24,722,499	)
Accrued discounts/premiums		46,984			4,807		(227	)		41,622			(113,131	)		—			(19,945	)
Net realized gain (loss)		(5,274,638	)		927		—			25,018			—			—			(5,248,693	)



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015	25


Consolidated Schedule of Investments (concluded)		BlackRock Debt Strategies Fund, Inc. (DSU)


Net change in unrealized Appreciation (depreciation)^3,4		6,077,071		74,672			(83	)		340,054			146,890		23,005		6,661,609
Purchases		406,112		7,209,061			30,959			4,425,828			—		—		12,071,960
Sales		—		(429,750	)		—			(8,728,654	)		—		—		(9,158,404	)

Closing balance, as of May 31, 2015	$	2,430,715	$	10,221,689		$	2,675,473		$	30,040,700		$	3,222,095	$	39,274	$	48,629,946

Net change in unrealized appreciation (depreciation) on investments still held at May 31, 2015⁴		802,436		61,055			(82	)		355,966			146,888		23,005		1,389,268

As of February 28, 2015, the Fund used significant observable inputs in determining the value of certain investments. As of May 31, 2015, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $7,350,209 transferred from Level 2 to Level 3 in the disclosure hierarchy.

As of February 28, 2015, the Fund used significant unobservable inputs in determining the value of certain investments. As of May 31, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $24,722,499 transferred from Level 3 to Level 2 in the disclosure hierarchy.

Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statement of Operations.

⁴

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at May 31, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.

The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of May 31, 2015. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $27,886,338. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

Value

Valuation Techniques

Unobservable Inputs

Range of

Unobservable Inputs

Utilized

Assets:

Common Stocks

366,172

Market Comparable Companies

Last 12 Months EBITDA Multiple¹

6.25x

Illiquidity Discount²

17.50

2,064,543

Market Comparable Companies

Last 12 Months EBITDA Multiple¹

4.63x - 4.88x

Current Fiscal Year EBITDA Multiple¹

5.13x - 5.33x

Discontinued Operations Expected Sale Proceeds¹

Corporate Bonds

11,958,032

Market Comparable Companies

Last 12 Months EBITDA Multiple¹

6.25x

Illiquidity Discount²

17.50

2,675,471

Discounted Cash Flow

Internal Rate of Return²

10.00

Other Interests

3,222,000

Market Comparable Companies

Tangible Book Value Multiple¹

1.25x

Warrants

418,116

Market Comparable Companies

Last 12 Months EBITDA Multiple¹

6.25x

Illiquidity Discount²

17.50

39,274

Last Dealer Mark - Adjusted

Delta Adjustment Based on Daily Movement in the Common Equity¹

120.00

Total

20,743,608

¹ Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.

² Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

³Amount is stated in millions.



26	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2015

Item 2 – Controls and Procedures


2(a) –		The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

2(b) –		There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Debt Strategies Fund, Inc.


By:		/s/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of BlackRock Debt Strategies Fund, Inc.

Date:		July 23, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:		/s/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of
		BlackRock Debt Strategies Fund, Inc.

Date:		July 23, 2015

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

Date:		July 23, 2015