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: 11/30/2015

Item 1 – Schedule of Investments

Consolidated Schedule of Investments November 30, 2015 (Unaudited)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Common Stocks		Shares		Value
Chemicals — 0.1%
GEO Specialty Chemicals, Inc. (a)			557,488	$	250,870
GEO Specialty Chemicals, Inc. (a)(b)			481,806		216,813
LyondellBasell Industries NV, Class A			26		2,491

					470,174
Diversified Consumer Services — 0.2%
Houghton Mifflin Harcourt Co. (a)			75,798		1,497,768
Diversified Financial Services — 0.0%
Kcad Holdings I Ltd. (a)			1,075,282,733		86,023
Diversified Telecommunication Services — 0.0%
Broadview Networks Holdings, Inc. (a)			5,037		7,555
Media — 0.0%
Adelphia Recovery Trust (a)			396,568		793
Adept Communications Corp., Class A			400,000		3,000

					3,793
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp. (a)			1,707		40,900
Total Common Stocks – 0.3%					2,106,213



Asset-Backed Securities		Par (000)
ACAS CLO Ltd., Class D (b)(c):
Series 2014-2A, 4.22%, 1/15/27	USD		2,500		2,329,895
Series 2015-1A, 3.97%, 4/18/27			280		249,604
Adirondack Park CLO Ltd., Series 2013-1A, Class D, 3.97%, 4/15/24 (b)(c)			350		331,545
ALM Loan Funding, Series 2013-7RA (c):
Class C, 3.77%, 4/24/24			1,310		1,279,985
Class D, 5.32%, 4/24/24 (b)			1,150		1,114,437
ALM VII R-2, Ltd., Series 2013-7R2A, Class C, 3.77%, 4/24/24 (b)(c)			250		246,299
ALM XIV Ltd., Series 2014-14A, Class C, 3.77%, 7/28/26 (c)			713		653,728
Anchorage Capital CLO Ltd., Series 2015-6A, Class E1, 5.22%, 4/15/27 (b)(c)			750		618,825


Asset-Backed Securities		Par (000)		Value
Apidos CDO, Series 2015-21A, Class C, 3.83%, 7/18/27 (b)(c)	USD		250	$	232,075
Atlas Senior Loan Fund Ltd. (c):
Series 2012-1A, Class B2L, 6.61%, 8/15/24 (b)			340		332,521
Series 2014-6A, Class D, 4.02%, 10/15/26			1,240		1,148,484
Atrium CDO Corp., Series 9A, Class D, 3.91%, 2/28/24 (c)			1,300		1,227,759
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.82%, 7/15/24 (b)(c)			900		823,081
BlueMountain CLO Ltd., Class E (b)(c):
Series 2014-4A, 5.71%, 11/30/26			250		214,977
Series 2015-2A, 5.63%, 7/18/27			250		211,210
Carlyle Global Market Strategies CLO Ltd. (c):
Series 2012-4A, Class D, 4.79%, 1/20/25			900		899,850
Series 2013-1A, Class C, 4.36%, 2/14/25 (b)			250		241,794
Series 2015-2A, Class C, 4.07%, 4/27/27 (b)			250		240,453
Series 2015-2A, Class D, 5.62%, 4/27/27 (b)			1,000		850,480
Cent CLO 22 Ltd., Series 2014-22A, Class C, 4.09%, 11/07/26 (c)			625		592,875
CFIP CLO Ltd., Series 2013-1A, Class D, 4.07%, 4/20/24 (b)(c)			1,500		1,376,795
CIFC Funding Ltd., Series 2014-3A, Class D, 3.72%, 7/22/26 (b)(c)			250		227,633
Highbridge Loan Management Ltd., Series 6A-2015 (b)(c):
Class D, 3.98%, 5/05/27			300		273,000
Class E1, 5.78%, 5/05/27			1,250		1,037,500
Madison Park Funding IX Ltd., Series 2012-9AR, Class DR, 4.21%, 8/15/22 (b)(c)			655		636,401
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.82%, 10/23/25 (b)(c)			555		523,258
Neuberger Berman CLO XVI, Ltd., Series 2014-16A, Class D, 3.67%, 4/15/26 (b)(c)			250		231,926
Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class C, 4.11%, 11/14/25 (b)(c)			1,000		930,013



BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015	1


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


Asset-Backed Securities		Par (000)		Value
OZLM Funding Ltd., Series 2012-2A, Class C, 4.67%, 10/30/23 (b)(c)	USD		500	$	495,051
OZLM VII Ltd., Series 2014-7A, Class C, 3.92%, 7/17/26 (b)(c)			500		460,055
OZLM IX, Ltd., Series 2014-9A, Class C, 3.89%, 1/20/27 (b)(c)			1,000		933,593
OZLM XII, Ltd., Series 2015-12A, Class C, 4.02%, 4/30/27 (b)(c)			340		313,166
Regatta Funding LP, Series 2013-2A, Class C, 4.32%, 1/15/25 (b)(c)			750		734,097
Sound Point CLO IV Ltd., Series 2013-3A (c):
Class A, 1.66%, 1/21/26			910		900,122
Class D, 3.79%, 1/21/26 (b)			500		458,846
Stewart Park CLO Ltd., Series 2015-1A, Class E, 5.77%, 4/15/26 (b)(c)			500		410,000
TICP CLO I Ltd., Series 2015-1A, Class D, 3.83%, 7/20/27 (b)(c)			250		227,087
Venture XI CLO Ltd., Series 2012-11AR (b)(c):
Class DR, 4.26%, 11/14/22			250		237,402
Class ER, 6.46%, 11/14/22			250		239,764
Venture XII CLO Ltd., Series 2012-12A, Class D, 4.06%, 2/28/24 (b)(c)			250		228,823
Venture XX CLO Ltd., Series 2015-20A, Class D, 4.17%, 4/15/27 (b)(c)			250		234,475
Venture XXI CLO Ltd., Series 2015-21A (c):
Class A, 1.77%, 7/15/27			935		921,069
Class D, 3.88%, 7/15/27 (b)			500		455,150
Voya CLO Ltd., Series 2012-2AR, Class ER, 6.32%, 10/15/22 (b)(c)			1,250		1,175,488
Total Asset-Backed Securities – 3.7%					27,500,591



Corporate Bonds
Aerospace & Defense — 0.5%
Bombardier, Inc., 7.50%, 3/15/25 (b)			205		152,725
Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (b)			307		313,908
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b)			347		377,869
TransDigm, Inc.:
6.00%, 7/15/22			2,205		2,166,412


Corporate Bonds		Par (000)		Value
Aerospace & Defense (continued)
TransDigm, Inc. (continued):
6.50%, 7/15/24	USD		1,030	$	1,014,550

					4,025,464
Air Freight & Logistics — 0.2%
WFS Global Holding SAS, 9.50%, 7/15/22	EUR		150		166,803
XPO Logistics, Inc.:
5.75%, 6/15/21			100		101,182
6.50%, 6/15/22 (b)	USD		1,520		1,398,400

					1,666,385
Airlines — 1.4%
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (b)			712		728,910
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)			3,153		3,235,769
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18			2,390		2,473,650
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18			233		247,735
US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 5/15/23			2,175		2,191,786
Virgin Australia Trust, Series 2013-1, Class C, 7.13%, 10/23/18 (b)			873		886,360

					10,291,305
Auto Components — 1.8%
Affinia Group, Inc., 7.75%, 5/01/21			1,200		1,242,000
Autodis SA, 6.50%, 2/01/19	EUR		100		109,592
CNH Industrial Finance Europe SA, 2.75%, 3/18/19			200		212,408
Dakar Finance SA, 9.00%, 11/15/20 (d)			100		104,598
Dana Holding Corp., 6.75%, 2/15/21	USD		180		185,850
Goodyear Tire & Rubber Co., 6.50%, 3/01/21			651		687,417
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
3.50%, 3/15/17			145		145,000
4.88%, 3/15/19			4,609		4,609,000



2	BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015


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



Corporate Bonds		Par (000)		Value
Auto Components (continued)
Jaguar Land Rover Automotive PLC:
5.00%, 2/15/22	GBP		100	$	155,128
5.63%, 2/01/23 (b)	USD		425		441,201
Schaeffler Holding Finance BV (d):
(5.75% Cash or 6.50% PIK), 5.75%, 11/15/21	EUR		145		165,597
(6.25% Cash), 6.25%, 11/15/19 (b)	USD		738		780,435
(6.75% Cash), 6.75%, 11/15/22 (b)			3,522		3,812,565
(6.88% Cash), 6.88%, 8/15/18	EUR		285		311,385
Venture Holdings Co. LLC:
12.00%, 7/01/49	USD		5,150		1
Series B, 9.50%, 7/01/2005 (a)(e)			5,125		1
ZF North America Capital, Inc.:
4.50%, 4/29/22 (b)			206		202,137
2.75%, 4/27/23	EUR		100		101,705

					13,266,020
Banks — 1.0%
Allied Irish Banks PLC, 4.13%, 11/26/25 (c)			100		107,293
Banca Monte dei Paschi di Siena SpA, 3.63%, 4/01/19			100		107,723
Banco Espirito Santo SA:
2.63%, 5/08/17			100		98,020
4.75%, 1/15/18			200		197,231
4.00%, 1/21/19			100		96,357
Bankia SA, 4.00%, 5/22/24 (c)			300		316,236
CIT Group, Inc.:
5.00%, 5/15/17	USD		950		978,500
5.25%, 3/15/18			1,434		1,487,775
6.63%, 4/01/18 (b)			295		314,544
5.50%, 2/15/19 (b)			3,099		3,246,202
5.00%, 8/01/23			130		132,113
Commerzbank AG, 7.75%, 3/16/21	EUR		200		260,944
Ibercaja Banco SA, 5.00%, 7/28/25 (c)			100		102,998
Lloyds Bank PLC, 11.88%, 12/16/21 (c)			12		14,087

					7,460,023



Corporate Bonds		Par (000)		Value
Beverages — 0.1%
Constellation Brands, Inc.:
7.25%, 5/15/17	USD		87	$	93,090
3.88%, 11/15/19			362		374,670
Horizon Holdings I SASU, 7.25%, 8/01/23	EUR		100		110,549

					578,309
Building Products — 1.1%
American Builders & Contractors Supply Co., Inc. (b):
5.63%, 4/15/21	USD		210		213,150
5.75%, 12/15/23			415		420,706
Building Materials Corp. of America, 6.00%, 10/15/25 (b)			1,625		1,675,781
Cemex SAB de CV, 4.38%, 3/05/23	EUR		100		98,914
CPG Merger Sub LLC, 8.00%, 10/01/21 (b)	USD		740		732,600
LSF9 Balta Issuer SA, 7.75%, 9/15/22	EUR		100		111,680
Masonite International Corp., 5.63%, 3/15/23 (b)	USD		579		605,055
Ply Gem Industries, Inc., 6.50%, 2/01/22			1,755		1,702,350
USG Corp.:
9.75%, 1/15/18			980		1,100,050
5.88%, 11/01/21 (b)			1,108		1,163,400

					7,823,686
Capital Markets — 0.7%
American Capital Ltd., 6.50%, 9/15/18 (b)			1,070		1,106,112
Blackstone CQP Holdco LP, 9.30%, 3/19/19			1,356		1,369,756
E*Trade Financial Corp.:
0.00%, 8/31/19 (b)(f)(g)			593		1,749,178
5.38%, 11/15/22			773		817,448
Series A, 0.00%, 8/31/19 (f)(g)			100		294,971

					5,337,465
Chemicals — 1.6%
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21 (b)			151		160,437
Chemours Co., 7.00%, 5/15/25 (b)			258		192,855
GEO Specialty Chemicals, Inc., 7.50%, 10/30/18			6,039		7,066,110
Huntsman International LLC:
4.88%, 11/15/20			40		37,600



BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015	3


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



Corporate Bonds		Par (000)		Value
Chemicals (continued)
Huntsman International LLC (continued):
5.13%, 4/15/21	EUR		428	$	444,290
5.13%, 11/15/22 (b)	USD		1,931		1,786,175
Ineos Finance PLC, 4.00%, 5/01/23	EUR		100		103,278
INEOS Group Holdings SA, 6.13%, 8/15/18 (b)	USD		342		344,565
Platform Specialty Products Corp., 6.50%, 2/01/22 (b)			1,995		1,735,650
PSPC Escrow II Corp., 10.38%, 5/01/21 (b)			156		159,120

					12,030,080
Commercial Services & Supplies — 1.1%
Abengoa Greenfield SA, 6.50%, 10/01/19 (a)(b)(e)			533		81,283
ADS Waste Holdings, Inc., 8.25%, 10/01/20			267		276,345
ARAMARK Corp., 5.75%, 3/15/20			1,599		1,662,960
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.16%, 12/01/17 (c)			190		190,475
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (b)			164		143,500
Mobile Mini, Inc., 7.88%, 12/01/20			1,110		1,148,850
Modular Space Corp., 10.25%, 1/31/19 (b)			1,955		938,400
Silk Bidco AS, 7.50%, 2/01/22	EUR		150		168,499
United Rentals North America, Inc.:
7.38%, 5/15/20	USD		760		802,750
8.25%, 2/01/21			76		79,705
7.63%, 4/15/22			2,393		2,572,475
Verisure Holding AB:
8.75%, 12/01/18	EUR		100		110,277
6.00%, 11/01/22			125		138,047

					8,313,566
Communications Equipment — 1.3%
Alcatel-Lucent USA, Inc.:
6.75%, 11/15/20 (b)	USD		1,296		1,371,479
6.45%, 3/15/29			855		876,375
Avaya, Inc., 7.00%, 4/01/19 (b)			283		222,863
CommScope Technologies Finance LLC, 6.00%, 6/15/25 (b)			944		903,880
CommScope, Inc. (b):
4.38%, 6/15/20			574		578,305
5.50%, 6/15/24			272		261,120
Plantronics, Inc., 5.50%, 5/31/23 (b)			422		429,385
Zayo Group LLC/Zayo Capital, Inc.:
10.13%, 7/01/20			1,370		1,486,450



Corporate Bonds		Par (000)		Value
Communications Equipment (continued)
Zayo Group LLC/Zayo Capital, Inc. (continued):
6.00%, 4/01/23 (b)	USD		3,825	$	3,681,562

					9,811,419
Construction & Engineering — 0.8%
Abengoa Finance SAU, 7.75%, 2/01/20 (b)			150		22,500
AECOM:
5.75%, 10/15/22			1,045		1,078,304
5.88%, 10/15/24			862		872,775
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (b)			1,905		1,728,788
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)			1,625		1,641,250
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23			350		327,250

					5,670,867
Construction Materials — 1.0%
Allegion US Holding Co., Inc., 5.75%, 10/01/21			117		120,510
HD Supply, Inc.:
7.50%, 7/15/20			4,769		5,031,295
5.25%, 12/15/21 (b)			2,250		2,337,187

					7,488,992
Consumer Finance — 1.2%
Ally Financial, Inc.:
6.25%, 12/01/17			30		31,650
5.13%, 9/30/24			2,320		2,403,984
4.63%, 3/30/25			216		216,000
8.00%, 11/01/31			4,791		5,713,267
Navient Corp.:
5.50%, 1/25/23			45		38,700
6.13%, 3/25/24			45		38,813
5.88%, 10/25/24			80		68,200

					8,510,614
Containers & Packaging — 1.1%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
3.51%, 12/15/19 (b)(c)			1,620		1,591,650
6.00%, 6/30/21 (b)			465		458,025
4.25%, 1/15/22	EUR		370		400,208
Beverage Packaging Holdings Luxembourg II SA (b):
5.63%, 12/15/16	USD		170		169,150
6.00%, 6/15/17			557		554,215



4	BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015


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



Corporate Bonds		Par (000)		Value
Containers & Packaging (continued)
Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, 1/15/23	USD		1,575	$	1,557,281
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21			715		739,131
Crown European Holdings SA, 4.00%, 7/15/22	EUR		320		354,156
JH-Holding Finance SA, (8.25% Cash), 8.25%, 12/01/22 (d)			100		110,493
Sealed Air Corp. (b):
6.50%, 12/01/20	USD		120		133,200
5.13%, 12/01/24			1,250		1,278,125
5.50%, 9/15/25			334		348,195
SGD Group SAS, 5.63%, 5/15/19	EUR		100		108,414
Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (b)	USD		200		207,500

					8,009,743
Diversified Consumer Services — 0.1%
Laureate Education, Inc., 9.25%, 9/01/19 (b)			427		326,655
Service Corp. International, 4.50%, 11/15/20			307		311,221

					637,876
Diversified Financial Services — 1.4%
AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust:
4.63%, 10/30/20			572		587,730
5.00%, 10/01/21			860		892,250
4.63%, 7/01/22			725		733,156
Bank of America Corp.:
6.05%, 5/16/16			325		332,193
6.50%, 8/01/16			410		424,510
5.63%, 10/14/16			100		103,815
Garfunkelux Holdco 3 SA, 8.50%, 11/01/22	GBP		100		155,128
HSH Nordbank AG, 0.76%, 2/14/17 (c)	EUR		179		171,666
International Lease Finance Corp.:
5.88%, 4/01/19	USD		320		340,000
8.25%, 12/15/20			150		178,875
4.63%, 4/15/21			169		174,070
5.88%, 8/15/22			655		707,891
Jefferies Finance LLC/JFIN Co-Issuer Corp. (b):
7.38%, 4/01/20			625		605,469



Corporate Bonds		Par (000)		Value
Diversified Financial Services (continued)
Jefferies Finance LLC/JFIN Co-Issuer Corp. (b) (continued):
6.88%, 4/15/22	USD		716	$	651,560
MSCI, Inc., 5.75%, 8/15/25 (b)			507		526,013
ProGroup AG, 5.13%, 5/01/22	EUR		130		144,605
Reynolds Group Issuer, Inc.:
9.88%, 8/15/19	USD		308		319,550
5.75%, 10/15/20			2,663		2,729,575
6.88%, 2/15/21			266		275,310
8.25%, 2/15/21			257		257,643
UniCredit SpA, 6.95%, 10/31/22	EUR		100		126,873

					10,437,882
Diversified Telecommunication Services — 2.1%
CenturyLink, Inc.:
6.45%, 6/15/21	USD		570		556,046
Series V, 5.63%, 4/01/20			823		815,799
Frontier Communications Corp.:
6.25%, 9/15/21			505		432,406
7.13%, 1/15/23			150		126,375
7.63%, 4/15/24			1,841		1,555,645
6.88%, 1/15/25			841		689,620
11.00%, 9/15/25 (b)			891		873,180
Level 3 Financing, Inc.:
4.10%, 1/15/18 (c)			646		650,845
6.13%, 1/15/21			1,217		1,275,428
5.38%, 8/15/22			2,475		2,491,719
5.13%, 5/01/23 (b)			1,120		1,111,600
5.38%, 1/15/24 (b)			712		712,890
5.38%, 5/01/25 (b)			2,312		2,297,550
Telecom Italia Finance SA, 7.75%, 1/24/33	EUR		100		141,703
Telecom Italia SpA:
6.38%, 6/24/19	GBP		200		332,257
3.25%, 1/16/23	EUR		150		164,602
5.88%, 5/19/23	GBP		300		498,588
Telenet Finance V Luxembourg SCA:
6.25%, 8/15/22	EUR		319		365,688
6.75%, 8/15/24			322		375,931

					15,467,872
Electric Utilities — 0.2%
ContourGlobal Power Holdings SA, 7.13%, 6/01/19 (b)	USD		897		892,515
Homer City Generation LP (d):
(8.14% Cash), 8.14%, 10/01/19	USD		203		200,549



BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015	5


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



Corporate Bonds		Par (000)		Value
Electric Utilities (continued)
Homer City Generation LP (d) (continued):
(8.73% Cash), 8.73%, 10/01/26	USD		458	$	452,925

					1,545,989
Electrical Equipment — 0.0%
Belden, Inc., 5.50%, 4/15/23	EUR		209		224,462
Electronic Equipment, Instruments & Components — 0.0%
CDW LLC/CDW Finance Corp., 5.00%, 9/01/23	USD		326		327,630
Energy Equipment & Services — 0.5%
Calfrac Holdings LP, 7.50%, 12/01/20 (b)			2,195		1,009,700
Gates Global LLC/Gates Global Co., 5.75%, 7/15/22	EUR		200		162,759
Genesis Energy LP/Genesis Energy Finance Corp.:
5.75%, 2/15/21	USD		18		16,380
6.75%, 8/01/22			182		169,260
GrafTech International Ltd., 6.38%, 11/15/20			150		72,000
MEG Energy Corp., 6.38%, 1/30/23 (b)			29		24,070
Peabody Energy Corp., 6.00%, 11/15/18			1,215		281,030
Precision Drilling Corp., 5.25%, 11/15/24			641		499,980
Transocean, Inc.:
3.00%, 10/15/17			509		481,005
6.00%, 3/15/18			674		643,670
6.50%, 11/15/20			220		173,800
4.30%, 10/15/22			75		48,000

					3,581,654
Food & Staples Retailing — 0.4%
CVS Health Corp., 4.75%, 12/01/22 (b)			203		219,263
Dollar Tree Inc., 5.25%, 3/01/20 (b)			219		226,665
Rite Aid Corp.:
9.25%, 3/15/20			435		464,906
6.75%, 6/15/21			32		34,080
6.13%, 4/01/23 (b)			1,954		2,071,240

					3,016,154
Food Products — 0.5%
Acosta Inc., 7.75%, 10/01/22 (b)			780		719,550
Barry Callebaut Services NV, 5.50%, 6/15/23 (b)			200		211,060
Boparan Finance PLC:
4.38%, 7/15/21	EUR		110		105,180



Corporate Bonds		Par (000)		Value
Food Products (continued)
Boparan Finance PLC (continued):
5.50%, 7/15/21	GBP		145	$	197,638
Post Holdings, Inc. (b):
7.75%, 3/15/24	USD		837		868,387
8.00%, 7/15/25			508		532,130
Smithfield Foods, Inc.:
5.88%, 8/01/21(b)			257		265,353
6.63%, 8/15/22			849		899,940
WhiteWave Foods Co., 5.38%, 10/01/22			239		254,236

					4,053,474
Health Care Equipment & Supplies — 0.7%
Crimson Merger Sub, Inc., 6.63%, 5/15/22 (b)			595		486,412
DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (b)			1,542		1,387,800
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (b)			1,495		1,614,600
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 5.63%, 10/15/23 (b)			401		345,863
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (b):
4.88%, 4/15/20			350		316,750
5.75%, 8/01/22			990		876,150

					5,027,575
Health Care Providers & Services — 4.2%
Acadia Healthcare Co., Inc., 5.13%, 7/01/22			1,990		1,950,200
Alere, Inc.:
7.25%, 7/01/18			1,500		1,550,865
6.38%, 7/01/23 (b)			406		411,075
Amsurg Corp., 5.63%, 7/15/22			2,628		2,582,010
Care UK Health & Social Care PLC, 5.58%, 7/15/19 (c)	GBP		100		139,465
CHS/Community Health Systems, Inc.:
5.13%, 8/15/18	USD		776		791,520
6.88%, 2/01/22			2,134		2,064,645
DaVita HealthCare Partners, Inc.:
5.13%, 7/15/24			3,127		3,119,182
5.00%, 5/01/25			1,229		1,179,840
ExamWorks Group, Inc., 5.63%, 4/15/23			468		465,660
HCA Holdings, Inc., 6.25%, 2/15/21			510		541,875
HCA, Inc.:
3.75%, 3/15/19			1,048		1,058,480



6	BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015


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



Corporate Bonds		Par (000)		Value
Health Care Providers & Services (continued)
HCA, Inc. (continued):
6.50%, 2/15/20	USD		1,744	$	1,929,300
7.50%, 2/15/22			1,055		1,178,962
5.88%, 3/15/22			1,148		1,231,230
4.75%, 5/01/23			1,898		1,883,765
5.00%, 3/15/24			450		453,375
5.38%, 2/01/25			879		863,618
HealthSouth Corp., 5.75%, 11/01/24			274		264,410
Hologic, Inc., 5.25%, 7/15/22 (b)			515		535,600
Sterigenics-Nordion Holdings LLC, 6.50%, 5/15/23 (b)			128		128,160
Tenet Healthcare Corp.:
6.25%, 11/01/18			607		640,385
4.75%, 6/01/20			1,190		1,201,900
4.01%, 6/15/20 (b)(c)			989		975,401
6.00%, 10/01/20			2,918		3,100,375
4.50%, 4/01/21			24		23,700
8.13%, 4/01/22			707		704,791

					30,969,789
Hotels, Restaurants & Leisure — 2.3%
Boyd Gaming Corp., 6.88%, 5/15/23			1,137		1,189,586
Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (b)(d)			204		203,490
CDW LLC/CDW Finance Corp.:
6.00%, 8/15/22			660		696,300
5.50%, 12/01/24			2,678		2,691,390
Cirsa Funding Luxembourg SA, 5.88%, 5/15/23	EUR		275		284,740
ESH Hospitality, Inc., 5.25%, 5/01/25 (b)	USD		455		449,313
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18			391		401,264
International Game Technology PLC, 6.25%, 2/15/22 (b)			200		190,376
Intralot Capital Luxembourg SA, 6.00%, 5/15/21	EUR		100		98,251
Jarden Corp., 5.00%, 11/15/23 (b)	USD		260		266,793
MGM Resorts International:
5.25%, 3/31/20			1,175		1,177,937
6.75%, 10/01/20			330		344,748
6.63%, 12/15/21			1,000		1,042,500
6.00%, 3/15/23			1,108		1,097,612
New Red Finance, Inc., 6.00%, 4/01/22 (b)			1,055		1,094,563
Pinnacle Entertainment, Inc., 6.38%, 8/01/21			597		632,820



Corporate Bonds		Par (000)		Value
Hotels, Restaurants & Leisure (continued)
PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20	EUR		100	$	109,089
RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/23	USD		412		416,120
Sabre GLBL, Inc. (b):
5.38%, 4/15/23			388		388,000
5.25%, 11/15/23			221		217,685
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)			842		861,955
Snai SpA, 7.63%, 6/15/18	EUR		245		253,698
Station Casinos LLC, 7.50%, 3/01/21	USD		1,938		2,054,280
Tropicana Entertainment LLC/Tropicana Finance Corp., 1.00%, 12/15/15 (a)(e)			800		—
Unique Pub Finance Co. PLC:
Series A4, 5.66%, 6/30/27	GBP		406		609,394
Series N, 6.46%, 3/30/32			200		257,091

					17,028,995
Household Durables — 1.3%
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (b)	USD		556		511,520
Beazer Homes USA, Inc.:
6.63%, 4/15/18			935		951,362
5.75%, 6/15/19			646		610,470
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (b)			285		267,900
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b)			193		171,770
Lennar Corp.:
4.75%, 11/15/22			110		109,725
4.88%, 12/15/23			465		465,000
Meritage Homes Corp., 4.50%, 3/01/18			589		596,363
Ryland Group, Inc., 6.63%, 5/01/20			130		143,325
Shea Homes LP/Shea Homes Funding Corp. (b):
5.88%, 4/01/23			858		885,885
6.13%, 4/01/25			868		896,210
Standard Pacific Corp.:
10.75%, 9/15/16			565		601,725
8.38%, 1/15/21			1,735		2,034,287
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (b)			374		374,935



BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015	7


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



Corporate Bonds		Par (000)		Value
Household Durables (continued)
TRI Pointe Holdings, Inc.:
4.38%, 6/15/19	USD		615	$	610,388
5.88%, 6/15/24			420		416,850

					9,647,715
Household Products — 0.4%
Spectrum Brands, Inc.:
6.38%, 11/15/20			315		337,050
6.63%, 11/15/22			1,810		1,932,175
5.75%, 7/15/25 (b)			672		693,000

					2,962,225
Independent Power and Renewable Electricity Producers — 0.9%
AES Corp.:
7.38%, 7/01/21			559		575,770
5.50%, 3/15/24			981		893,877
Calpine Corp.:
5.38%, 1/15/23			768		716,160
5.50%, 2/01/24			627		582,326
Dynegy, Inc., 6.75%, 11/01/19			750		732,660
NRG Energy, Inc.:
7.88%, 5/15/21			138		137,655
6.25%, 7/15/22			403		372,775
6.63%, 3/15/23			47		43,240
6.25%, 5/01/24			972		879,660
NRG Yield Operating LLC, 5.38%, 8/15/24			395		359,261
QEP Resources, Inc., 5.38%, 10/01/22			1,590		1,431,000

					6,724,384
Insurance — 0.2%
CNO Financial Group, Inc., 4.50%, 5/30/20			40		40,800
Genworth Holdings, Inc., 4.80%, 2/15/24			295		216,825
HUB International Ltd., 7.88%, 10/01/21 (b)			400		384,000
Pension Insurance Corp. PLC, 6.50%, 7/03/24	GBP		150		221,512
Trader Corp., 9.88%, 8/15/18 (b)	USD		725		762,156
UNIQA Insurance Group AG, 6.00%, 7/27/46 (c)	EUR		100		111,154

					1,736,447
Internet Software & Services — 0.4%
Equinix, Inc., 5.88%, 1/15/26 (i)	USD		997		1,011,955
IAC/InterActiveCorp, 4.88%, 11/30/18			700		716,625



Corporate Bonds		Par (000)		Value
Internet Software & Services (continued)
Interactive Data Corp., 5.88%, 4/15/19 (b)	USD		910	$	928,200

					2,656,780
IT Services — 2.1%
Audatex North America, Inc., 6.00%, 6/15/21 (b)			1,125		1,134,844
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (b)			795		624,075
First Data Corp. (b):
5.38%, 8/15/23			1,806		1,841,000
7.00%, 12/01/23			6,022		6,074,693
5.00%, 1/15/24			1,141		1,141,000
5.75%, 1/15/24			4,226		4,226,000
WEX, Inc., 4.75%, 2/01/23 (b)			601		555,925

					15,597,537
Machinery — 0.0%
SPX FLOW Inc, 6.88%, 9/01/17			65		68,737
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 6.38%, 5/01/22	EUR		103		110,321

					179,058
Media — 8.1%
Adria Bidco BV, 7.88%, 11/15/20			200		225,679
Altice Financing SA:
6.50%, 1/15/22 (b)	USD		1,260		1,266,300
5.25%, 2/15/23	EUR		200		215,536
6.63%, 2/15/23 (b)	USD		1,230		1,220,000
Altice SA:
7.25%, 5/15/22	EUR		502		514,540
7.75%, 5/15/22 (b)	USD		895		836,825
6.25%, 2/15/25	EUR		101		93,506
7.63%, 2/15/25 (b)	USD		1,221		1,068,375
Altice US Finance I Corp., 5.38%, 7/15/23 (b)			2,912		2,912,000
Altice US Finance II Corp., 7.75%, 7/15/25 (b)			744		716,100
Altice US Finance SA, 7.75%, 7/15/25 (b)			825		792,000
AMC Networks, Inc.:
7.75%, 7/15/21			1,005		1,068,355
4.75%, 12/15/22			156		155,025
CCO Holdings LLC/CCO Holdings Capital Corp.:
6.50%, 4/30/21			620		648,415
5.13%, 2/15/23			380		377,906



8	BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015


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



Corporate Bonds		Par (000)		Value
Media (continued)
CCO Holdings LLC/CCO Holdings Capital Corp. (continued) :
5.88%, 5/01/27 (b)	USD		155	$	153,838
CCO Safari II LLC, 4.91%, 7/23/25 (b)			1,300		1,319,792
CCOH Safari LLC, 5.75%, 2/15/26 (b)			1,684		1,692,420
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(e)			669		—
Clear Channel Worldwide Holdings, Inc.:
7.63%, 3/15/20			1,364		1,323,080
6.50%, 11/15/22			3,826		3,756,982
Columbus International, Inc., 7.38%, 3/30/21 (b)			850		895,687
CSC Holdings LLC, 5.25%, 6/01/24			215		182,213
DISH DBS Corp.:
4.25%, 4/01/18			1,460		1,452,700
5.88%, 11/15/24			1,728		1,546,560
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (b)			198		196,020
Gray Television, Inc., 7.50%, 10/01/20			422		437,825
iHeartCommunications, Inc.:
9.00%, 12/15/19			450		326,250
9.00%, 3/01/21			1,356		931,911
9.00%, 9/15/22			930		634,725
Intelsat Jackson Holdings SA, 5.50%, 8/01/23			3,792		2,825,040
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (b)			232		243,890
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (b)			265		269,638
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)			538		544,052
Neptune Finco Corp. (b):
10.13%, 1/15/23			912		953,040
6.63%, 10/15/25			951		985,474
10.88%, 10/15/25			431		455,782
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (b)			410		407,437
Numericable Group SA:
4.88%, 5/15/19 (b)			3,155		3,147,112
5.38%, 5/15/22	EUR		135		148,340
6.00%, 5/15/22 (b)	USD		1,765		1,742,937
5.63%, 5/15/24	EUR		295		321,033
6.25%, 5/15/24 (b)	USD		330		325,050



Corporate Bonds		Par (000)		Value
Media (continued)
Outfront Media Capital LLC/Outfront Media Capital Corp.:
5.25%, 2/15/22	USD		130	$	133,413
5.63%, 2/15/24			115		118,450
5.63%, 2/15/24 (b)			127		131,128
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (b)			485		494,700
Sirius XM Radio, Inc. (b):
4.25%, 5/15/20			141		141,705
5.75%, 8/01/21			464		479,614
4.63%, 5/15/23			60		58,050
5.38%, 4/15/25			2,636		2,609,640
Sterling Entertainment Corp., 9.75%, 12/15/19			1,300		1,300,000
TEGNA, Inc.:
5.13%, 10/15/19			215		223,600
4.88%, 9/15/21 (b)			466		468,330
5.50%, 9/15/24 (b)			289		291,167
Tribune Media Co., 5.88%, 7/15/22 (b)			938		938,000
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
5.50%, 1/15/23 (b)			1,270		1,276,350
4.00%, 1/15/25	EUR		298		314,065
3.50%, 1/15/27			200		199,688
Univision Communications, Inc. (b):
8.50%, 5/15/21	USD		1,820		1,892,800
5.13%, 5/15/23			3,190		3,086,325
5.13%, 2/15/25			942		910,207
Virgin Media Secured Finance PLC:
5.38%, 4/15/21 (b)			1,152		1,186,560
4.88%, 1/15/27	GBP		100		142,399
6.25%, 3/28/29			453		692,497
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b)	USD		1,300		1,267,500
Ziggo Bond Finance BV:
4.63%, 1/15/25	EUR		168		169,424
5.88%, 1/15/25 (b)	USD		1,895		1,781,300

					59,636,302
Metals & Mining — 2.2%
Alcoa, Inc.:
6.15%, 8/15/20			1,395		1,454,287
5.13%, 10/01/24			1,756		1,661,615
Constellium NV (b):
8.00%, 1/15/23			2,600		2,236,000
5.75%, 5/15/24			1,175		881,250



BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015	9


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



Corporate Bonds		Par (000)		Value
Metals & Mining (continued)
First Quantum Minerals Ltd. (b):
7.00%, 2/15/21	USD		145	$	92,166
7.25%, 5/15/22			435		268,613
Glencore Finance Europe SA, 4.63%, 4/03/18	EUR		100		100,372
Global Brass & Copper, Inc., 9.50%, 6/01/19	USD		740		789,950
Kaiser Aluminum Corp., 8.25%, 6/01/20			550		582,312
Novelis, Inc.:
8.38%, 12/15/17			215		212,850
8.75%, 12/15/20			4,671		4,542,547
Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.00%, 10/15/17			673		566,922
Steel Dynamics, Inc.:
5.13%, 10/01/21			790		768,275
6.38%, 8/15/22			595		602,437
5.25%, 4/15/23			155		148,800
5.50%, 10/01/24			23		21,965
Teck Resources Ltd.:
3.00%, 3/01/19			340		228,863
5.20%, 3/01/42			227		104,988
5.40%, 2/01/43			103		47,380
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (b)			1,555		1,228,450

					16,540,042
Multi-Utilities — 0.0%
CE Energy AS, 7.00%, 2/01/21	EUR		175		190,295
Multiline Retail — 0.9%
Dollar Tree Inc., 5.75%, 3/01/23 (b)	USD		4,263		4,422,862
Hema Bondco I BV, 6.25%, 6/15/19	EUR		250		195,462
House of Fraser Funding PLC, 6.34%, 9/15/20 (c)	GBP		100		150,761
Neiman Marcus Group Ltd. (b):
8.00%, 10/15/21	USD		1,955		1,744,837
(8.75% Cash or 9.50% PIK), 8.75%, 10/15/21 (d)			150		133,500

					6,647,422
Offshore Drilling & Other Services — 0.2%
Sensata Technologies BV (b):
5.63%, 11/01/24			220		223,300
5.00%, 10/01/25			1,002		946,890

					1,170,190



Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels — 4.9%
Antero Resources Corp., 5.13%, 12/01/22	USD		26	$	23,660
Antero Resources Finance Corp., 5.38%, 11/01/21			750		690,000
Bonanza Creek Energy, Inc., 6.75%, 4/15/21			239		187,615
California Resources Corp.:
5.00%, 1/15/20			326		207,825
5.50%, 9/15/21			895		537,000
6.00%, 11/15/24			2,598		1,558,800
Concho Resources, Inc.:
6.50%, 1/15/22			172		175,440
5.50%, 4/01/23			1,398		1,363,050
CONSOL Energy, Inc., 5.88%, 4/15/22			3,746		2,453,630
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.13%, 3/01/22			57		48,735
CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (b)			740		752,950
Denbury Resources, Inc.:
5.50%, 5/01/22			421		261,020
4.63%, 7/15/23			49		28,420
Energy Transfer Equity LP:
7.50%, 10/15/20			345		360,525
5.88%, 1/15/24			1,302		1,204,350
EP Energy LLC/Everest Acquisition Finance, Inc., 6.38%, 6/15/23			336		257,040
Halcon Resources Corp., 8.63%, 2/01/20 (b)			502		395,325
Hilcorp Energy I LP/Hilcorp Finance Co., 5.00%, 12/01/24 (b)			461		414,614
Laredo Petroleum, Inc., 7.38%, 5/01/22			153		149,175
Linn Energy LLC/Linn Energy Finance Corp., 12.00%, 12/15/20 (b)			24		14,760
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:
4.50%, 7/15/23			10		8,875
4.88%, 6/01/25			655		582,950
MEG Energy Corp. (b):
6.50%, 3/15/21			2,599		2,235,140
7.00%, 3/31/24			1,011		856,822
Memorial Resource Development Corp., 5.88%, 7/01/22			1,262		1,176,815



10	BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015


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



Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
NGPL PipeCo LLC, 9.63%, 6/01/19 (b)	USD		435	$	378,450
Noble Energy, Inc., 5.63%, 5/01/21			479		483,787
Oasis Petroleum, Inc.:
7.25%, 2/01/19			495		469,012
6.50%, 11/01/21			555		471,750
6.88%, 1/15/23			200		172,500
Paramount Resources, Ltd., 6.88%, 6/30/23 (b)			388		333,680
PDC Energy, Inc., 7.75%, 10/15/22			510		515,100
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b)			210		177,975
Range Resources Corp.:
5.75%, 6/01/21			277		258,303
5.00%, 8/15/22			10		8,850
5.00%, 3/15/23			23		20,355
Rockies Express Pipeline LLC (b):
6.85%, 7/15/18			224		229,040
6.00%, 1/15/19			110		108,900
Rose Rock Midstream LP/Rose Rock Finance Corp., 5.63%, 7/15/22			339		284,760
RSP Permian, Inc., 6.63%, 10/01/22			356		353,775
Sabine Pass Liquefaction LLC:
5.63%, 2/01/21			745		720,787
6.25%, 3/15/22			104		100,490
5.63%, 4/15/23			3,962		3,654,945
5.75%, 5/15/24			962		887,445
5.63%, 3/01/25 (b)			442		405,535
Sabine Pass LNG LP, 7.50%, 11/30/16			3,335		3,401,700
Sanchez Energy Corp., 6.13%, 1/15/23			1,057		726,687
SandRidge Energy, Inc.:
8.75%, 1/15/20			91		16,153
7.50%, 2/15/23			1,082		170,415
Seven Generations Energy Ltd. (b):
8.25%, 5/15/20			1,510		1,464,700
6.75%, 5/01/23			365		322,113
SM Energy Co., 6.13%, 11/15/22			1,730		1,656,475
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.25%, 10/15/22 (b)			833		861,114
Whiting Petroleum Corp., 5.00%, 3/15/19			839		788,660
Williams Cos., Inc.:
3.70%, 1/15/23			132		106,180
4.55%, 6/24/24			456		374,043



Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
WPX Energy, Inc., 5.25%, 9/15/24	USD		210	$	173,775

					36,041,990
Paper & Forest Products — 0.0%
International Paper Co., 7.30%, 11/15/39			5		5,972
Pharmaceuticals — 2.3%
Capsugel SA, (7.00% Cash or 7.75% PIK), 7.00%, 5/15/19 (b)(d)			171		172,069
Endo Finance LLC, 5.75%, 1/15/22 (b)			380		362,900
Endo Finance LLC/Endo Finco, Inc. (b):
7.50%, 12/15/20			167		173,054
7.25%, 1/15/22			145		146,087
6.00%, 7/15/23			1,018		979,825
6.00%, 2/01/25			1,693		1,608,350
Ephios Bondco PLC, 6.25%, 7/01/22	EUR		275		307,171
Ephios Holdco II PLC, 8.25%, 7/01/23			100		109,089
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22	USD		937		951,055
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/238 (b)			1,330		1,276,800
Valeant Pharmaceuticals International, Inc.:
6.75%, 8/15/18 (b)			1,221		1,190,475
5.38%, 3/15/20 (b)			869		777,755
7.00%, 10/01/20 (b)			1,516		1,409,880
6.38%, 10/15/20 (b)			1,152		1,055,520
7.50%, 7/15/21 (b)			2,026		1,914,732
5.63%, 12/01/21 (b)			870		759,075
7.25%, 7/15/22 (b)			1,010		914,050
5.50%, 3/01/23 (b)			637		546,227
4.50%, 5/15/23	EUR		300		264,666
5.88%, 5/15/23 (b)	USD		1,388		1,200,620
6.13%, 4/15/25 (b)			916		792,340

					16,911,740
Professional Services — 0.1%
Truven Health Analytics, Inc., 10.63%, 6/01/20			380		393,300
Real Estate Investment Trusts (REITs) — 0.3%
Corrections Corp. of America, 4.63%, 5/01/23			76		72,105
Felcor Lodging LP, 5.63%, 3/01/23			377		389,253



BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015	11


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



Corporate Bonds		Par (000)		Value
Real Estate Investment Trusts (REITs) (continued)
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.63%, 10/15/21	USD		513	$	534,136
iStar Financial, Inc.:
4.00%, 11/01/17			535		520,287
5.00%, 7/01/19			375		363,750

					1,879,531
Real Estate Management & Development — 0.3%
Realogy Group LLC/Realogy Co-Issuer Corp. (b):
4.50%, 4/15/19			1,181		1,222,335
5.25%, 12/01/21			798		825,930
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (b)			245		249,900

					2,298,165
Road & Rail — 0.6%
EC Finance PLC, 5.13%, 7/15/21	EUR		215		238,596
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (b)	USD		1,338		1,311,240
Hertz Corp.:
7.50%, 10/15/18			1,555		1,586,100
7.38%, 1/15/21			1,122		1,167,452
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (b)			350		348,250

					4,651,638
Semiconductors & Semiconductor Equipment — 0.4%
Micron Technology, Inc., 5.25%, 1/15/24 (b)			465		432,450
NXP BV/NXP Funding LLC (b):
4.13%, 6/15/20			1,064		1,060,010
5.75%, 2/15/21			1,020		1,065,900
4.63%, 6/15/22			325		320,937

					2,879,297
Software — 0.7%
Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (b)(d)			793		615,566
Infor US, Inc., 6.50%, 5/15/22 (b)			1,352		1,199,900
Informatica LLC, 7.13%, 7/15/23 (b)			350		336,000
Nuance Communications, Inc., 5.38%, 8/15/20 (b)			2,270		2,304,050



Corporate Bonds		Par (000)		Value
Software (continued)
SS&C Technologies Holdings, Inc., 5.88%, 7/15/23 (b)	USD		410	$	425,375

					4,880,891
Specialty Retail — 0.6%
L Brands, Inc., 6.88%, 11/01/35 (b)			1,053		1,079,325
Magnolia BC SA, 9.00%, 8/01/20	EUR		220		250,746
New Look Secured Issuer PLC, 6.50%, 7/01/22	GBP		300		454,446
Penske Automotive Group, Inc., 5.38%, 12/01/24	USD		1,100		1,113,750
Sally Holdings LLC/Sally Capital, Inc.:
5.75%, 6/01/22			146		152,205
5.50%, 11/01/23			570		588,169
Sonic Automotive, Inc., 5.00%, 5/15/23			146		139,795
THOM Europe SAS, 7.38%, 7/15/19	EUR		285		318,822

					4,097,258
Textiles, Apparel & Luxury Goods — 0.2%
Levi Strauss & Co.:
6.88%, 5/01/22	USD		405		437,400
5.00%, 5/01/25			394		393,015
PVH Corp., 4.50%, 12/15/22			122		120,170
William Carter Co., 5.25%, 8/15/21			469		481,898

					1,432,483
Tobacco — 0.0%
Altria Group, Inc., 9.95%, 11/10/38			17		27,359
Trading Companies & Distributors — 0.1%
Ashtead Capital, Inc. (b):
6.50%, 7/15/22			539		563,255
5.63%, 10/01/24			525		534,188

					1,097,443
Transportation Infrastructure — 0.2%
Aguila 3 SA, 7.88%, 1/31/18 (b)			459		470,475
JCH Parent, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (b)(d)			1,126		709,190

					1,179,665
Wireless Telecommunication Services — 3.6%
Communications Sales & Leasing, Inc., 6.00%, 4/15/23 (b)			600		567,000
Communications Sales & Leasing, Inc./CSL Capital LLC, 8.25%, 10/15/23			830		738,700



12	BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015


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



Corporate Bonds		Par (000)		Value
Wireless Telecommunication Services (continued)
Crown Castle International Corp.:
4.88%, 4/15/22	USD		157	$	160,533
5.25%, 1/15/23			115		119,169
Crown Castle Towers LLC, 6.11%, 1/15/40 (b)			375		412,322
Digicel Group Ltd., 7.13%, 4/01/22 (b)			485		390,769
Digicel Ltd., 6.00%, 4/15/21 (b)			2,228		1,988,490
Geo Group, Inc.:
5.88%, 1/15/22			90		88,763
5.88%, 10/15/24			360		351,450
Matterhorn Telecom SA, 3.88%, 5/01/22	EUR		100		98,391
SBA Communications Corp., 4.88%, 7/15/22	USD		2,400		2,385,000
Sprint Communications, Inc. (b):
9.00%, 11/15/18			7,557		8,161,560
7.00%, 3/01/20			2,845		2,903,678
Sprint Corp.:
7.88%, 9/15/23			2,604		2,096,220
7.13%, 6/15/24			1,476		1,129,140
T-Mobile USA, Inc.:
6.63%, 4/28/21			455		470,356
6.13%, 1/15/22			81		82,661
6.73%, 4/28/22			295		303,850
6.00%, 3/01/23			588		590,940
6.84%, 4/28/23			85		87,338
6.50%, 1/15/24			584		588,380
6.38%, 3/01/25			620		616,900
6.50%, 1/15/26			1,316		1,314,355
Wind Acquisition Finance SA, 4.00%, 7/15/20	EUR		668		714,597

					26,360,562
Total Corporate Bonds - 58.3%					430,428,981



Floating Rate Loan Interests (c)
Aerospace & Defense — 0.7%
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21	USD		1,426		1,424,853
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20			99		96,371
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21			1,375		1,404,219
Transdigm, Inc.:
2015 Term Loan E, 3.50%, 5/14/22			700		677,391



Floating Rate Loan Interests (c)		Par (000)		Value
Aerospace & Defense (continued)
Transdigm, Inc. (continued):
Term Loan C, 3.75%, 2/28/20	USD		985	$	959,557
Term Loan D, 3.75%, 6/04/21			839		817,132

					5,379,523
Air Freight & Logistics — 0.5%
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21			982		845,746
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21			1,020		878,498
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21			156		134,749
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21			1,406		1,211,722
XPO Logistics, Inc., Term Loan, 5.50%, 11/01/21			920		915,980

					3,986,695
Airlines — 0.7%
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18			2,930		2,923,312
Northwest Airlines, Inc.:
2.39%, 3/10/17			246		244,200
1.77%, 9/10/18			453		438,925
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19			1,264		1,252,746

					4,859,183
Auto Components — 1.6%
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20			665		661,940
Autoparts Holdings Ltd.:
1st Lien Term Loan, 7.00%, 7/29/17			2,067		1,550,151
2nd Lien Term Loan, 11.00%, 1/29/18			1,890		894,594
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19			1,223		1,207,922
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19			1,478		1,204,973
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21			5,300		4,944,030
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.75%, 4/30/19			1,003		1,002,501



BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015	13


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



Floating Rate Loan Interests (c)		Par (000)		Value
Auto Components (continued)
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20	USD		432	$	432,000

					11,898,111
Banks — 0.1%
Redtop Acquisitions Ltd.:
1st Lien Term Loan, 4.50%, 12/03/20			594		589,954
2nd Lien Term Loan, 8.25%, 6/03/21			378		366,915

					956,869
Building Materials — 0.3%
USAGM HoldCo LLC:
2015 2nd Lien Term Loan, 9.50%, 7/28/23			895		861,438
2015 Term Loan, 4.75%, 7/28/22			1,672		1,598,516

					2,459,954
Building Products — 2.0%
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20			1,619		1,605,283
CPG International, Inc., Term Loan, 4.75%, 9/30/20			3,960		3,831,224
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21			1,397		1,350,717
Hanson Building Products Ltd., 1st Lien Term Loan, 6.50%, 3/13/22			295		286,007
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21			2,184		2,174,635
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21			2,004		1,971,902
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20			1,197		1,189,040
Wilsonart LLC:
Incremental Term Loan B2, 4.00%, 10/31/19			408		398,311
Term Loan B, 4.00%, 10/31/19			2,266		2,213,540

					15,020,659
Capital Markets — 0.4%
Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18			982		912,468
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17			651		649,463



Floating Rate Loan Interests (c)		Par (000)		Value
Capital Markets (coutinued)
RPI Finance Trust, Term Loan B4, 3.50%, 11/09/20	USD		1,393	$	1,379,638

					2,941,569
Chemicals — 2.0%
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19			238		235,658
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19			124		122,272
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20			2,787		2,757,214
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20			73		71,855
Chromaflo Technologies Corp., 2nd Lien Term Loan, 8.25%, 6/02/20			405		372,586
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19			100		81,486
Ineos US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18			1,007		986,301
MacDermid, Inc.:
1st Lien Term Loan, 4.50%, 6/07/20			2,359		2,284,914
Term Loan B3, 4.50%, 6/07/20			580		563,870
OXEA Finance LLC:
2nd Lien Term Loan, 9.50%, 7/15/20			1,155		1,041,429
Term Loan B2, 4.25%, 1/15/20			1,465		1,399,171
Royal Holdings, Inc.:
2015 1st Lien Term Loan, 4.50%, 6/19/22			519		513,902
2015 2nd Lien Term Loan, 8.50%, 6/19/23			655		648,994
Solenis International LP:
1st Lien Term Loan, 4.25%, 7/31/21			1,179		1,153,701
2nd Lien Term Loan, 7.75%, 7/31/22			1,915		1,737,862
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20			652		632,337

					14,603,552
Commercial Services & Supplies — 3.1%
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19			2,503		2,443,208
ARAMARK Corp.:
Term Loan E, 3.25%, 9/07/19			2,522		2,508,430
Term Loan F, 3.25%, 2/24/21			1,208		1,194,912



14	BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015


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



Floating Rate Loan Interests (c)		Par (000)		Value
Commercial Services & Supplies (continued)
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20	USD		2,462	$	2,269,848
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21			2,089		2,064,425
Connolly Corp.:
1st Lien Term Loan, 4.50%, 5/14/21			2,008		1,977,302
2nd Lien Term Loan, 8.00%, 5/14/22			2,125		2,105,514
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20			2,839		2,775,289
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19			841		783,906
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19			3,175		3,082,485
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/27/20			654		652,920
West Corp., Term Loan B10, 3.25%, 6/30/18			1,248		1,227,555

					23,085,794
Communications Equipment — 1.3%
Applied Systems, Inc.:
1st Lien Term Loan, 4.25%, 1/25/21			599		588,336
2nd Lien Term Loan, 7.50%, 1/24/22			540		517,725
Avaya, Inc., Term Loan B7, 6.25%, 5/29/20			1,278		966,536
CommScope, Inc., Term Loan B5, 3.75%, 12/29/22			555		547,890
Riverbed Technology, Inc., Term Loan B, 6.00%, 4/24/22			385		384,188
Telesat Canada, Term Loan A, 3.89%, 3/24/17	CAD		2,038		1,520,541
Zayo Group LLC, Term Loan B, 3.75%, 5/06/21	USD		4,824		4,764,914

					9,290,130
Construction & Engineering — 0.1%
AECOM Technology Corp., 2014 Term Loan B, 3.75%, 10/15/21			590		589,677
Construction Materials — 0.2%
Beacon Roofing Supply, Inc., Term Loan B, 4.00%, 10/01/22			590		586,312



Floating Rate Loan Interests (c)		Par (000)		Value
Construction Materials (continued)
Filtration Group Corp., 1st Lien Term Loan, 4.25%, 11/21/20	USD		1,116	$	1,089,072

					1,675,384
Containers & Packaging — 0.8%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19			429		425,096
Berry Plastics Holding Corp.:
Term Loan E, 3.75%, 1/06/21			979		966,888
Term Loan F, 4.00%, 10/01/22			3,571		3,544,282
BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20			1,076		1,044,417

					5,980,683
Distributors — 0.2%
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20			939		931,266
American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21			299		298,375

					1,229,641
Diversified Consumer Services — 1.5%
Allied Security Holdings LLC:
1st Lien Term Loan, 4.25%, 2/12/21			2,655		2,595,709
2nd Lien Term Loan, 8.00%, 8/13/21			599		564,554
Bright Horizons Family Solutions, Inc.:
Incremental Term Loan B1, 4.50%, 1/30/20			1,497		1,498,214
Term Loan B, 4.00%, 1/30/20			1,527		1,523,252
ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21			4,971		4,936,455

					11,118,184
Diversified Financial Services — 0.8%
AlixPartners LLP, 2015 Term Loan B, 4.50%, 7/28/22			525		520,737
AssuredPartners, Inc., 2015 1st Lien Term Loan, 5.75%, 10/21/22			945		939,094
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.50%, 12/01/18			2,393		2,380,777
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20			285		284,310



BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015	15


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



Floating Rate Loan Interests (c)		Par (000)		Value
Diversified Financial Services (continued)
TransFirst, Inc., Incremental Term Loan B, 4.75%, 11/12/21	USD		1,489	$	1,475,733

					5,600,651
Diversified Telecommunication Services — 2.3%
Altice Financing SA, Term Loan:
Delayed Draw, 5.50%, 7/02/19			404		404,095
5.25%, 2/04/22			1,096		1,087,686
Cequel Communications LLC, Term Loan B, 3.50%, 2/14/19			350		344,750
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19			1,811		1,796,176
Integra Telecom, Inc.:
2015 1st Lien Term Loan, 5.25%, 8/14/20			1,766		1,714,222
2nd Lien Term Loan, 9.75%, 2/21/20			1,063		1,038,619
Level 3 Financing, Inc.:
2013 Term Loan B, 4.00%, 1/15/20			8,605		8,589,941
2019 Term Loan, 4.00%, 8/01/19			1,305		1,302,214
Virgin Media Investment Holdings Ltd., Term Loan F, 3.50%, 6/30/23			687		675,799

					16,953,502
Electrical Equipment — 0.3%
Texas Competitive Electric Holdings Co. LLC:
DIP Term Loan, 3.75%, 11/07/16			1,227		1,222,425
Extended Term Loan, 4.68%, 10/10/17 (a)(e)			2,375		805,125

					2,027,550
Electronic Equipment, Instruments & Components — 0.2%
CDW LLC, Term Loan, 3.25%, 4/29/20			1,395		1,342,669
Energy Equipment & Services — 0.7%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20			2,542		2,490,320
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20			3,269		3,066,737

					5,557,057



Floating Rate Loan Interests (c)		Par (000)			Value
Food & Staples Retailing — 0.9%
Hostess Brands LLC:
1st Lien Term Loan, 4.50%, 8/03/22	USD		1,240		$	1,233,279
2nd Lien Term Loan, 8.50%, 8/03/23			65			65,023
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21			1,054			1,044,935
Rite Aid Corp.:
5.75%, 8/21/20			695			697,029
4.88%, 6/21/21			1,475			1,475,457
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19			1,390			1,383,430
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19			1,142			1,131,378

						7,030,531
Food Products — 1.5%
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18			2,777			2,767,034
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18			1,589			1,579,424
Pabst Brewing Co., Inc., Term Loan, 5.75%, 10/21/21			1,549			1,542,994
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19			1,585			1,579,511
Pinnacle Foods Finance LLC, Term Loan G, 3.00%, 4/29/20			1,846			1,826,612
Post Holdings Inc., Series A Incremental Term Loan, 3.75%, 6/02/21			—	(j)		416
Reddy Ice Corp.:
1st Lien Term Loan, 6.75%, 5/01/19			1,819			1,498,024
2nd Lien Term Loan, 10.75%, 11/01/19			995			597,000

						11,391,015
Health Care Equipment & Supplies — 2.1%
Alere, Inc., 2015 Term Loan B, 4.25%, 6/18/22			1,582			1,560,161
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18			1,678			1,667,993
DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20			2,688			2,623,287
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18			96			94,606



16	BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015


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



Floating Rate Loan Interests (c)		Par (000)		Value
Health Care Equipment & Supplies (continued)
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18	USD		2,401	$	2,310,915
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21			1,632		1,605,925
Mallinckrodt International Finance SA, Term Loan B, 3.25%, 3/19/21			536		513,872
Millennium Health LLC, Term Loan B, 6.50%, 4/16/21			1,072		428,738
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21			2,463		2,395,614
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21			2,283		2,140,147

					15,341,258
Health Care Providers & Services — 4.0%
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22			479		480,178
Air Medical Group Holdings, Inc., Term Loan B, 4.50%, 4/28/22			632		617,500
Amsurg Corp., 1st Lien Term Loan B, 3.50%, 7/16/21			1,926		1,908,107
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19			2,724		2,685,387
Community Health Systems, Inc.:
Term Loan F, 3.48%, 12/31/18			1,379		1,353,172
Term Loan G, 3.75%, 12/31/19			2,084		2,037,279
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/07/22			1,443		1,436,445
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21			6,922		6,882,848
Envision Healthcare Corp., Term Loan:
4.25%, 5/25/18			1,089		1,086,229
B2, 3.88%, 10/28/22			805		800,218
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17			1,185		1,197,042
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21			1,349		1,310,744
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21			679		660,758
Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22			665		653,363
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20			985		976,712
Surgical Care Affiliates, Inc., Term Loan B, 4.25%, 3/17/22			448		444,392
Team Health Inc., Term Loan B, 4.50%, 11/06/22			2,255		2,238,088



Floating Rate Loan Interests (c)		Par (000)		Value
Health Care Providers & Services (continued)
U.S. Renal Care, Inc.:
2013 Term Loan, 4.25%, 7/03/19	USD		1,985	$	1,976,137
2015 Term Loan B, 5.25%, 11/06/22			1,125		1,116,563

					29,861,162
Health Care Technology — 0.5%
IMS Health, Inc., Term Loan, 3.50%, 3/17/21			2,576		2,545,870
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19			1,291		1,281,473

					3,827,343
Hotels, Restaurants & Leisure — 4.8%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21			1,594		1,525,839
2nd Lien Term Loan, 8.00%, 8/01/22			2,200		2,172,253
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20			1,382		1,372,837
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20			1,750		1,583,434
Burger King Newco Unlimited Liability Co., 2015 Term Loan B, 3.75%, 12/12/21			4,219		4,191,671
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20			8,432		7,870,361
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21			1,080		1,072,808
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20			1,515		1,505,722
Intrawest ULC, Term Loan, 4.75%, 12/09/20			997		994,126
La Quinta Intermediate Holdings LLC, Term Loan B, 3.75%, 4/14/21			4,330		4,245,974
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20			1,617		1,587,379
MGM Resorts International, Term Loan B, 3.50%, 12/20/19			2,153		2,139,228
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20			450		449,055
Sabre, Inc.:
Incremental Term Loan, 4.00%, 2/19/19			632		627,757
Term Loan B, 4.00%, 2/19/19			866		858,497



BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015	17


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



Floating Rate Loan Interests (c)		Par (000)		Value
Hotels, Restaurants & Leisure (continued)
Scientific Games International, Inc.:
2014 Term Loan B1, 6.00%, 10/18/20	USD		976	$	903,467
2014 Term Loan B2, 6.00%, 10/01/21			993		917,358
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20			1,881		1,865,237

					35,883,003
Household Products — 0.5%
Bass Pro Group LLC, 2015 Term Loan, 4.00%, 6/05/20			1,478		1,382,413
Spectrum Brands, Inc., Term Loan, 3.50%, 6/23/22			2,162		2,157,732

					3,540,145
Independent Power and Renewable Electricity Producers — 0.8%
Calpine Construction Finance Co., LP, Term Loan B1, 3.00%, 5/03/20			803		767,390
Calpine Corp., Term Loan B6, 4.00%, 1/13/23			1,180		1,168,200
Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 6/19/16			2,104		2,095,515
Granite Acquisition, Inc.:
Term Loan B, 5.00%, 12/19/21			1,695		1,576,284
Term Loan C, 5.00%, 12/19/21			75		69,880

					5,677,269
Industrial Conglomerates — 0.1%
Sequa Corp., Term Loan B, 5.25%, 6/19/17			693		500,731
Insurance — 0.7%
Asurion LLC, Term Loan B1, 5.00%, 5/24/19			1,115		1,049,325
Cooper Gay Swett & Crawford of Delaware Holding Corp., 1st Lien Term Loan, 5.00%, 4/16/20			1,019		974,288
Sedgwick Claims Management Services, Inc.:
1st Lien Term Loan, 3.75%, 3/01/21			1,645		1,590,124
2nd Lien Term Loan, 6.75%, 2/28/22			1,650		1,515,245

					5,128,982



Floating Rate Loan Interests (c)		Par (000)		Value
Internet Software & Services — 0.8%
Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21	USD		2,419	$	2,407,617
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21			3,133		3,125,138
W3 Co., 2nd Lien Term Loan, 9.25%, 9/11/20			289		164,887

					5,697,642
IT Services — 2.5%
Blue Coat Holdings Inc., 2015 Term Loan, 4.50%, 5/20/22			1,330		1,290,938
Epicor Software Corp., 1st Lien Term Loan, 4.75%, 6/01/22			1,646		1,613,846
First Data Corp.:
2018 Extended Term Loan, 3.71%, 3/24/18			12,272		12,133,855
2018 Term Loan, 3.71%, 9/24/18			1,935		1,914,837
2021 Extended Term Loan, 4.21%, 3/24/21			385		383,179
Vantiv LLC, 2014 Term Loan B, 3.75%, 6/13/21			1,233		1,230,478

					18,567,133
Machinery — 0.7%
Faenza Acquisition GmbH:
Term Loan B1, 4.25%, 8/30/20			697		689,723
Term Loan B3, 4.25%, 8/30/20			212		209,887
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21			566		565,374
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20			1,574		1,536,838
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19			2,105		1,843,005

					4,844,827
Media — 5.2%
Cengage Learning Acquisitions, Inc.:
1st Lien Term Loan, 7.00%, 3/31/20			3,429		3,371,936
Term Loan, 0.00%, 7/03/16 (a)(e)			2,596		—
Charter Communications Operating LLC, Term Loan I, 3.50%, 1/24/23			4,610		4,597,645



18	BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015


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



Floating Rate Loan Interests (c)		Par (000)		Value
Media (continued)
Clear Channel Communications, Inc., Term Loan D, 6.98%, 1/30/19	USD		3,467	$	2,501,172
CSC Holdings LLC, Term Loan B, 2.73%, 4/17/20			1,108		1,097,126
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21			1,684		1,612,448
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19			1,191		1,111,683
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/16/20			613		609,438
Media General, Inc., Term Loan B, 4.00%, 7/31/20			541		536,788
Neptune Finco Corp., 2015 Term Loan B, 5.00%, 10/09/22			3,310		3,298,183
Numericable U.S. LLC:
Term Loan B1, 4.50%, 5/21/20			1,676		1,639,560
Term Loan B2, 4.50%, 5/21/20			1,450		1,418,442
Term Loan B6, 4.75%, 1/31/23			1,280		1,252,006
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21			1,950		1,906,704
Tribune Media Co., Term Loan, 3.75%, 12/27/20			2,587		2,570,409
TWCC Holding Corp., Term Loan B1, 5.75%, 2/11/20			1,060		1,058,573
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20			4,405		4,333,531
WideOpenWest Finance LLC, 2015 Term Loan B, 4.50%, 4/01/19			1,454		1,414,247
Ziggo Financing Partnership:
Term Loan B1, 3.50%, 1/15/22			1,561		1,521,981
Term Loan B2A, 3.50%, 1/15/22			1,023		997,365
Term Loan B3, 3.50%, 1/15/22			1,682		1,640,311

					38,489,548
Metals & Mining — 0.3%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20			530		23,187
Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22			2,265		2,197,419

					2,220,606
Multiline Retail — 1.3%
BJ’s Wholesale Club, Inc.:
1st Lien Term Loan, 4.50%, 9/26/19			2,298		2,249,647



Floating Rate Loan Interests (c)		Par (000)		Value
Multiline Retail (continued)
BJ’s Wholesale Club, Inc. (continued):
2nd Lien Term Loan, 8.50%, 3/26/20	USD		785	$	749,023
Dollar Tree, Inc., Term Loan B1, 3.50%, 7/06/22			2,852		2,839,047
Hudson’s Bay Co., 2015 Term Loan B, 4.75%, 9/30/22			882		877,529
Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20			2,859		2,670,055

					9,385,301
Oil, Gas & Consumable Fuels — 1.6%
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18			973		973,492
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21			1,693		848,147
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18			2,223		2,004,713
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19			192		53,232
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20			2,050		1,927,000
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20			200		191,126
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21			1,504		1,364,551
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21			189		146,604
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21			780		655,305
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21			627		431,106
Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22			1,899		1,906,363
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21			1,194		1,180,308

					11,681,947
Personal Products — 0.1%
Prestige Brands, Inc., Term Loan B3, 3.50%, 9/03/21			1,120		1,113,961
Pharmaceuticals — 3.2%
Akorn, Inc., Term Loan B, 6.00%, 4/16/21			1,678		1,604,635
Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.75%, 9/26/22			2,935		2,883,638



BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015	19


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



Floating Rate Loan Interests (c)		Par (000)		Value
Pharmaceuticals (continued)
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.23%, 2/27/21	USD		3,723	$	3,689,455
Horizon Pharma Holdings USA, Inc., Term Loan B, 4.50%, 5/07/21			349		305,918
Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22			4,174		4,058,922
JLL/Delta Dutch Newco BV, 2014 Incremental Term Loan, 4.25%, 3/11/21			2,090		2,020,498
Valeant Pharmaceuticals International, Inc.:
Series C2 Term Loan B, 3.75%, 12/11/19			1,036		976,131
Series D2 Term Loan B, 3.50%, 2/13/19			1,521		1,432,052
Series E Term Loan B, 3.75%, 8/05/20			1,492		1,402,922
Term Loan B F1, 4.00%, 4/01/22			6,003		5,659,688

					24,033,859
Professional Services — 2.4%
Acosta Holdco, Inc., 2015 Term Loan, 4.25%, 9/26/21			1,349		1,289,115
Advantage Sales & Marketing, Inc.:
2014 1st Lien Term Loan, 4.25%, 7/23/21			1,817		1,757,077
2014 2nd Lien Term Loan, 7.50%, 7/25/22			1,870		1,700,765
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18			3,465		3,424,888
ON Assignment, Inc., 2015 Term Loan, 3.75%, 6/05/22			1,438		1,433,342
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19			1,110		1,068,836
TransUnion LLC, Term Loan B2, 3.50%, 4/09/21			5,619		5,470,510
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19			1,698		1,660,080

					17,804,613
Real Estate Investment Trusts (REITs) — 0.1%
Communications Sales & Leasing, Inc., Term Loan B, 5.00%, 10/24/22			469		432,491
Real Estate Management & Development — 1.1%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20			1,441		1,430,736



Floating Rate Loan Interests (c)		Par (000)		Value
Real Estate Management & Development (continued)
DTZ US Borrower LLC, 2015 1st Lien Term Loan, 4.25%, 11/04/21	USD		2,090	$	2,050,580
Realogy Corp.:
Extended Letter of Credit, 0.05%, 10/10/16			629		619,940
Term Loan B, 3.75%, 3/05/20			4,322		4,300,304

					8,401,560
Road & Rail — 0.2%
Road Infrastructure Investment LLC:
1st Lien Term Loan, 4.25%, 3/31/21			614		595,998
2nd Lien Term Loan, 7.75%, 9/30/21			1,175		1,116,250

					1,712,248
Semiconductors & Semiconductor Equipment — 2.5%
Avago Technologies Cayman Ltd., Term Loan B:
2015, 4.25%, 11/06/22			7,575		7,493,569
3.75%, 5/06/21			3,768		3,763,396
Freescale Semiconductor, Inc.:
Term Loan B4, 4.25%, 2/28/20			3,202		3,196,213
Term Loan B5, 5.00%, 1/15/21			402		401,334
NXP BV, 2015 Term Loan B, 3.75%, 10/30/20			3,732		3,708,668

					18,563,180
Software — 2.4%
GCA Services Group, Inc.:
2nd Lien Term Loan, 9.25%, 10/22/20			624		611,520
Term Loan B, 4.25%, 11/01/19			1,083		1,076,607
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20			2,284		2,174,641
Informatica Corp., Term Loan, 4.50%, 8/05/22			2,441		2,369,794
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21			1,076		848,029
Kronos, Inc.:
2nd Lien Term Loan, 9.75%, 4/30/20			1,952		1,971,384
Initial Incremental Term Loan, 4.50%, 10/30/19			1,159		1,151,474
Mitchell International, Inc.:
1st Lien Term Loan, 4.50%, 10/12/20			2,009		1,964,617



20	BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015


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



Floating Rate Loan Interests (c)		Par (000)		Value
Software (continued)
Mitchell International, Inc. (continued):
2nd Lien Term Loan, 8.50%, 10/11/21	USD		1,250	$	1,223,437
Sophia LP, 2015 Term Loan B, 4.75%, 9/30/22			600		593,904
SS&C Technologies, Inc.:
2015 Term Loan B1, 3.75%, 7/08/22			2,901		2,888,495
2015 Term Loan B2, 3.75%, 7/08/22			436		434,109
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20			113		103,706

					17,411,717
Specialty Retail — 2.0%
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19			1,546		1,506,102
Michaels Stores, Inc.:
Incremental 2014 Term Loan B2, 4.00%, 1/28/20			2,079		2,060,935
Term Loan B, 3.75%, 1/28/20			1,606		1,589,704
Party City Holdings, Inc., 2015 Term Loan B, 4.25%, 8/19/22			2,755		2,686,814
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17			2,776		2,768,572
PetSmart, Inc., Term Loan B, 4.25%, 3/11/22			2,751		2,699,343
Things Remembered, Inc., Term Loan B, 8.25%, 5/24/18			1,938		1,404,782

					14,716,252
Technology Hardware, Storage & Peripherals — 0.3%
Dell International LLC, Term Loan B2, 4.00%, 4/29/20			1,989		1,977,629
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18			2,838		2,625,089
Thrifts & Mortgage Finance — 0.2%
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21			1,506		1,497,563
Trading Companies & Distributors — 0.3%
HD Supply, Inc., 2015 Term Loan B, 3.75%, 8/13/21			1,975		1,953,275
Wireless Telecommunication Services — 1.7%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20			2,320		2,274,189
New Lightsquared LLC, PIK Exit Term Loan, 9.75%, 6/15/20 (d)			8,100		7,877,250



Floating Rate Loan Interests (c)		Par (000)		Value
Wireless Telecommunication Services (continued)
T-Mobile USA, Inc., Term Loan B, 3.50%, 10/30/22	USD		2,090	$	2,090,982

					12,242,421
Total Floating Rate Loan Interests – 65.0%					480,111,338



Investment Companies — 3.0%		Shares
iShares iBoxx $ High Yield Corporate Bond ETF (k)			267,180		22,189,299



Non-Agency Mortgage-Backed Securities		Par (000)
Collateralized Mortgage Obligations — 0.2%
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.60%, 11/05/30 (b)(c)	USD		1,668		1,674,605



Other Interests (l)		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 (m)			2		3,116,250
Total Other Interests — 0.4%					3,116,262

Preferred Securities		Par (000)		Value
Capital Trusts — 0.4%
ABN AMRO Bank NV, 5.75% (c)(h)	USD		200		212,297
Banco Bilbao Vizcaya Argentaria SA, 6.75% (c)(h)			200		208,835
Banco Popular Espanol SA, 8.25% (c)(h)			200		205,499
Banco Santander SA, 6.25% (c)(h)			200		205,428
Bank of Ireland, 7.38% (c)(h)			200		219,452
BNP Paribas SA, 7.38% (b)(c)(h)			400		411,000
Gas Natural Fenosa Finance BV, 3.38% (c)(h)	EUR		200		190,105
Orange SA, 4.00% (c)(h)	USD		250		270,741



BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015	21


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



Preferred Securities		Par (000)		Value
Capital Trusts (continued)
Santander UK Group Holdings PLC, 7.38% (c)(h)	USD		200		$307,940
Telefonica Europe, 4.20% (c)(h)			200		213,423
UBS Group AG, 5.75% (c)(h)			200		220,819
UBS Group AG, 7.00% (c)(h)			200		211,155
					2,876,694



Preferred Stock		Shares
Capital Markets — 0.0%
Goldman Sachs Group, Inc., Series J, 0.00% (c)(h)			13,550		341,596



Trust Preferred
Diversified Financial Services — 0.2%
GMAC Capital Trust I, Series 2, 2/15/40 (c)			59,219		1,504,738
Total Preferred Securities - 0.6%					4,723,028



Warrants — 0.0%	Shares		Value
Software — 0.0%
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) (a)		3,049	$	20,567
Total Long-Term Investments (Cost — $1,038,717,728) — 131.5%				971,870,884



Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.14% (k)(n)		2,920,888		2,920,888
Total Short-Term Securities (Cost — $2,920,888) — 0.4%				2,920,888
Options Purchased (Cost — $5,867) — 0.0%				—
Total Investments (Cost — $1,041,644,483*) — 131.9%				974,791,772
Liabilities in Excess of Other Assets — (31.9)%				(235,585,945	)

Net Assets — 100.0%			$	739,205,827

* As of November 30, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:
Tax cost			$	1,049,812,030

Gross unrealized appreciation			$	9,760,531
Gross unrealized depreciation				(84,780,789	)

Net unrealized depreciation			$	(75,020,258	)

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 period end.

(d)

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.

(e)

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

(f)

Zero-coupon bond.

(g)

Convertible security.

(h)

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

(i)

When-issued security.

(j)

Amount is less than $500.



22	BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015


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

(k)

During the period ended November 30, 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 November 30, 2015		Value at November 30, 2015		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		—		2,920,888	¹		2,920,888	$	2,920,888	$	662
iShares iBoxx $ High Yield Corporate Bond ETF		—		267,180			267,180		22,189,299		738,265
¹ Represent net shares purchased.

(l)

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

(m)

All or a portion of security is held by a wholly owned subsidiary.

(n)

Represents the current yield as of period end.

Portfolio Abbreviations


ADS		American Depositary Shares
CAD		Canadian Dollar
CLO		Collateralized Loan Obligation
DIP		Debtor-In-Possession
ETF		Exchange-Traded Fund
EUR		Euro
GBP		British Pound
OTC		Over-the-Counter
PIK		Payment-In-Kind
SGD		Singapore Dollar
USD		U.S. Dollar


Derivative Financial Instruments Outstanding as of Period End


Financial Futures Contracts


Contracts Short	Issue	Expiration	Notional Value		Unrealized Depreciation
(12)	German Euro BOBL Futures	December 2015		$1,648,598	$	(21,438	)
(5)	German Euro-Bund Futures	December 2015		$836,312		(24,992	)
(2)	10-Year U.S. Treasury Note	March 2016		$252,875		(640	)
(4)	Long Gilt Future	March 2016		$709,252		(2,535	)
Total					$	(49,605	)



BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015	23


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

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation (Depreciation)
USD	666,160	CAD	878,000	UBS AG	12/03/15	$	8,711
USD	14,604,936	EUR	13,216,000	Barclays Bank PLC	12/03/15		641,386
USD	81,769	EUR	76,000	Morgan Stanley & Co. International PLC	12/03/15		1,471
USD	4,126,421	GBP	2,688,000	Morgan Stanley & Co. International PLC	12/03/15		78,054
USD	656,910	CAD	878,000	HSBC Bank PLC	1/06/16		(541	)
USD	13,923,276	EUR	13,145,000	UBS AG	1/06/16		18,921
USD	4,026,888	GBP	2,680,000	BNP Paribas S.A.	1/06/16		(10,179	)
Total						$	737,823

OTC Options Purchased

Description

Put/
Call

Counterparty

Expiration
Date

Strike
Price

Contracts

Value

Marsico Parent Superholdco LLC

Call

Goldman Sachs & Co

12/14/19

USD 942.86

—

Centrally Cleared Credit Default Swaps — Sold Protection

Issuer

Receive
Fixed
Rate

Expiration
Date

Credit
Rating¹

Notional
Amount
(000)²

Unrealized
Depreciation

Dow Jones CDX North America High Yield Index, Series 24, Version 2

5.00

6/20/20

B+

4,717

(8,706

)

¹ Using Standard & Poor’s (“S&P’s”) rating of the issuer or the underlying securities of the index, as applicable.

² The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

OTC Credit Default Swaps — Sell Protection

Issuer/Index

Receive
Fixed
Rate

Counterparty

Expiration
Date

Credit
Rating¹

Notional
Amount
(000)²

Value

Premiums
Received

Unrealized
Depreciation

Astaldi SpA

5.00%

Citibank N.A.

12/20/20

B+

EUR 20

(2,000

)

(1,740

)

(260

)

¹ Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.

² The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.



24	BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015


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

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes 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 Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

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 significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as level 3.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. 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 semi-annual report.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	20,459,201	$	7,041,390	$	27,500,591
Common Stocks	$	1,541,159		11,348		553,706		2,106,213
Corporate Bonds		—		420,693,113		9,735,868		430,428,981
Floating Rate Loan Interests		—		449,506,880		30,604,458		480,111,338
Investment Companies		22,189,299		—		—		22,189,299
Non-Agency Mortgage-Backed Securities		—		1,674,605		—		1,674,605
Other Interests		—		—		3,116,262		3,116,262
Preferred Securities		1,846,334		2,876,694		—		4,723,028
Warrants		—		—		20,567		20,567
Short-Term Securities:
Money Market Funds		2,920,888		—		—		2,920,888

Total	$	28,497,680	$	895,221,841	$	51,072,251	$	974,791,772



BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015	25


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


	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Foreign currency exchange contracts		—		$	748,543			—	$	748,543
Liabilities:
Interest rate contracts	$	(49,605	)		—			—		(49,605	)
Credit contracts		—			(8,966	)		—		(8,966	)
Foreign currency exchange contracts		—			(10,720	)		—		(10,720	)

Total	$	(49,605	)	$	728,857			—	$	679,252

¹ Derivative financial instruments are swaps, financial futures contracts 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 period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	2,829,258		—			—	$	2,829,258
Cash pledged for centrally cleared swaps		271,000		—			—		271,000
Cash pledged for financial futures contracts		44,710		—			—		44,710
Foreign currency at value		175,147		—			—		175,147
Liabilities:
Bank borrowings payable		—	$	(225,000,000	)		—		(225,000,000	)

Total	$	3,320,115	$	(225,000,000	)		—	$	(221,679,885	)

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		—			—			—			11,455,744			—			—			11,455,744
Transfers out of Level 3²		—			—			—			(8,945,166	)		—			—			(8,945,166	)
Accrued discounts/premiums		—			14,937			25,513			58,487			—			—			98,937
Net realized gain (loss)		(5,274,636	)		(284,148	)		710			(87,645	)		(750	)		—			(5,646,469	)
Net change in unrealized appreciation (depreciation)³		4,241,469			(483,218	)		(6,728,375	)		(496,794	)		64,307			(475,142	)		(3,877,753	)
Purchases		411,687			7,164,080			6,134,461			7,698,898			—			—			21,409,126
Sales		—			(1,319,461	)		(6,111,120	)		(17,574,165	)		(113,131	)		—			(25,117,877	)
Closing balance, as of November 30, 2015	$	553,706		$	7,041,390		$	9,735,868		$	30,604,458		$	3,116,262		$	20,567		$	51,072,251



26	BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015


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


Net change in unrealized appreciation (depreciation) on investments still held at November 30, 2015³	$	(1,033,165	)	$	(482,723	)	$	(6,728,375	)	$	(776,744	)	$	63,631	$	4,298	$	(8,953,078	)

¹ As of February 28, 2015, the Fund used significant observable inputs in determining the value of certain investments. As of November 30, 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 $11,455,744 transferred from Level 2 to Level 3 in the disclosure hierarchy.
² As of February 28, 2015, the Fund used significant unobservable inputs in determining the value of certain investments. As of November 30, 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 $8,945,166 transferred from Level 3 to Level 2 in the disclosure hierarchy.
³ Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at November 30, 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 period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $37,645,862.

Value

Valuation Techniques

Unobservable Inputs

Range of
Unobservable Inputs
Utilized

Assets:

Common Stocks

553,706

Market Comparable Companies

Last 12 Months EBITDA Multiple¹

5.75x

Illiquidity Discount²

20.00%

Last 12 Months EBITDA Multiple¹

4.63x — 4.88x

Current Fiscal Year EBITDA Multiple¹

4.88x

Discontinued Operations Expected
Sale Proceeds¹

$20³

Corporate Bonds⁴

9,735,866

Discounted Cash Flow

Internal Rate of Return²

10.32%

Market Comparable Companies

Last 12 Months EBITDA Multiple¹

5.75x

Illiquidity Discount²

20.00%

Last Transaction Price

Transaction Price¹

$101.00

Other investments including other Interests

3,136,817

Market Comparable Companies

Tangible Book Value Multiple¹

1.20x

Last Dealer Mark — Adjusted

Delta Adjustment Based on Daily
Movement in the Common Equity¹

120.00%

Total

13,426,389

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.

³ Amount is stated in millions.

⁴ For the period ended November 30, 2015, the valuation technique for a certain investment classified as Corporate Bonds changed to Last Transaction Price. The investment was previously valued utilizing an income approach. Transaction Price was considered to be a more relevant measure of fair value for this investment which leverages the most recent market transactions.



BLACKROCK DEBT STRATEGIES FUND, INC.	NOVEMBER 30, 2015	27

Item 2 – Controls and Procedures

2(a) –

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

2(b) –

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

Item 3 – Exhibits

Certifications – Attached hereto

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

BlackRock Debt Strategies Fund, Inc.


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

Date: January 22, 2016

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


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

Date: January 22, 2016


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

Date: January 22, 2016