BLACKROCK DEBT STRATEGIES FUND, INC.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-08603

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

Fund Address:    100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 02/29/2016

Date of reporting period: 02/29/2016


Item 1 – Report to Stockholders


FEBRUARY 29, 2016

 

 

 

 

 

ANNUAL REPORT

 

    LOGO

 

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents     

 

     Page  

The Markets in Review

    3   

Annual Report:

 

Fund Summary

    4   

The Benefits and Risks of Leveraging

    6   

Derivative Financial Instruments

    6   
Financial Statements:  

Consolidated Schedule of Investments

    7   

Consolidated Statement of Assets and Liabilities

    27   

Consolidated Statement of Operations

    28   

Consolidated Statements of Changes in Net Assets

    29   

Consolidated Statement of Cash Flows

    30   

Consolidated Financial Highlights

    31   

Notes to Consolidated Financial Statements

    32   

Report of Independent Registered Public Accounting Firm

    44   

Important Tax Information

    44   

Automatic Dividend Reinvestment Plan

    45   

Officers and Directors

    46   

Additional Information

    49   

 

                
2    BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 29, 2016   


The Markets in Review

 

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery while inflationary pressures remained low, investors spent most of 2015 anticipating the curtailment of the Federal Reserve’s near-zero interest rate policy, which ultimately came in December. In contrast, the European Central Bank and the Bank of Japan took measures to stimulate growth. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities.

Global market volatility increased in the latter part of 2015 and continued into early 2016. Oil prices collapsed in mid-2015 due to excess supply, and remained precarious while the world’s largest oil producers sought to negotiate a deal. Developing countries, many of which rely heavily on oil exports to sustain their economies, were particularly affected by falling oil prices. Meanwhile, China, one of the world’s largest oil consumers, exhibited further signs of slowing economic growth. This, combined with a depreciating yuan and declining confidence in the country’s policymakers, stoked worries about the potential impact of China’s weakness on the broader global economy.

Toward the end of the period, volatility abated as investors were relieved to find that conditions were not as bad as previously feared. While the recent selloff in risk assets has resulted in more reasonable valuations and some appealing entry points, investors continue to face mixed economic data and uncertainty relating to oil prices, corporate earnings and an unusual U.S. presidential election season.

For the 12-month period, higher quality assets such as U.S. Treasuries, municipal bonds and investment grade corporate bonds generated positive returns, while risk assets such as equities and high yield bonds broadly declined.

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

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of February 29, 2016  
    6-month     12-month  

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

    (0.92 )%      (6.19 )% 

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

    (10.16     (14.97

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

    (9.48     (15.18

Emerging market equities
(MSCI Emerging
Markets Index)

    (8.85     (23.41

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

    0.06        0.08   

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

    5.01        4.11   

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

    2.20        1.50   

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

    3.56        3.78   

U.S. high yield bonds

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

    (5.57     (8.26
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.    

 

                
   THIS PAGE NOT PART OF YOUR FUND REPORT       3


Fund Summary as of February 29, 2016     

 

Fund Overview

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

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

 

Fund Information     

Symbol on New York Stock Exchange (“NYSE”)

  DSU

Initial Offering Date

  March 27, 1998

Current Distribution Rate on Closing Market Price as of February 29, 2016 ($3.32)1

  7.23%

Current Monthly Distribution per Common Share2

  $0.02

Current Annualized Distribution per Common Share2

  $0.24

Economic Leverage as of February 29, 20163

  21%

 

  1   

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

 

  2   

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

 

  3   

Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 6.

 

Performance and Portfolio Management Commentary

 

Returns for the 12 months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

DSU1,2

    (6.03 )%      (4.73 )% 

Lipper High Yield Funds (Leveraged)3

    (13.14 )%      (11.36 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

The following discussion relates to the Fund’s absolute performance based on NAV:

What factors influenced performance?

 

 

The high yield and bank loan markets were sharply lower over the 12-month period. Both markets were hurt by broader concerns surrounding risk assets. In the case of the high yield sector, energy woes fueled downward price action, while the bank loan market struggled with a tenuous technical backdrop. While both sectors witnessed declines, the Fund’s exposure to names in the health care, gaming and wirelines sectors aided performance.

 

 

Credit markets continued to suffer based on a tumultuous commodity backdrop, where declines persisted into year end and the early portion of 2016. Although the Fund’s energy exposure was modest, holdings there still represented the most notable detractor during the period.

Describe recent portfolio activity.

 

 

The Fund began the period somewhat conservatively positioned, and continued to reduce risk throughout the 12 months as market volatility persisted. The investment advisor currently anticipates keeping more moderate risk levels in the near-to-medium term as uncertainties around commodities and the broader macroeconomic backdrop remain heightened, and equities continue to fluctuate with no clear trajectory. From a sector standpoint, the Fund added to names in the technology and health care sectors, while reducing exposure within the electric and commodity sectors (energy and metals & mining) as market stresses intensified throughout the period.

Describe portfolio positioning at period end.

 

 

At period end, the Fund was positioned with a bias for the mid-to-upper ratings tiers (BB and B- rated credits) versus the lower-rated, potentially riskier CCC issuers. Significant positions included Level 3 Communications, Inc. (wirelines), First Data Corp. (technology) and Zayo (wirelines). Issuer selection remained centered on favorable cash flows and/or identification of a specific catalyst for price improvement. The Fund held a majority of its assets in high yield bonds and bank loans, with the remainder in collateralized loan obligations, investment grade credit, equity and hybrid securities (convertibles and preferreds).

 

 

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

 

 

                
4    BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 29, 2016   


      

 

Market Price and Net Asset Value Per Share Summary                                        
      2/29/16      2/28/15      Change      High      Low  

Market Price

     $3.32         $3.81         (12.86)%         $3.83         $3.07   

Net Asset Value

     $3.79         $4.29         (11.66)%         $4.31         $3.69   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments

 

Portfolio Composition   2/29/16     2/28/15  

Floating Rate Loan Interests

    49     54

Corporate Bonds

    45        43   

Asset-Backed Securities

    3        2   

Investment Companies

    2          

Short-Term Securities

    1          

Other Interests1

             

Common Stocks

    1      1   

Other2

             

 

  1   

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

 

  2   

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

Credit Quality Allocation3,4   2/29/16     2/28/15  

BBB/Baa

    9     7

BB/Ba

    43        41   

B

    37        43   

CCC/Caa

    5        5   

N/R

    6        4   

 

  3   

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

 

  4   

Excludes Short-Term Securities.

 

 

                
   BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 29, 2016    5


The Benefits and Risks of Leveraging     

 

 

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

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

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

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Fund had not used leverage. Furthermore, the value of the

Fund’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Fund’s obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Fund’s NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Fund’s intended leveraging strategy will be successful.

Leverage also generally causes greater changes in the Fund’s NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of the Fund’s shares than if the Fund was not leveraged. In addition, the Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Fund to incur losses. The use of leverage may limit the Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. The Fund incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of the Fund’s investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Fund’s investment advisor will be higher than if the Fund did not use leverage.

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

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

 

 

Derivative Financial Instruments     

 

The Fund may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage. Derivative financial instruments also involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to

the transaction or illiquidity of the derivative financial instrument. The Fund’s ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments are discussed in detail in the Notes to Consolidated Financial Statements.

 

 

                
6    BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 29, 2016   


Consolidated Schedule of Investments February 29, 2016

  

(Percentages shown are based on Net Assets)

 

Common Stocks               
Shares
    Value  

Capital Markets — 0.2%

  

E*Trade Financial Corp. (a)

             57,350      $ 1,345,433   

Chemicals — 0.1%

  

GEO Specialty Chemicals, Inc. (a)

       481,806        192,722   

GEO Specialty Chemicals, Inc. (a)(b)

       557,488        222,995   

LyondellBasell Industries NV, Class A

       26        2,086   
      

 

 

 
                       417,803   

Diversified Financial Services — 0.0%

  

Kcad Holdings I Ltd. (a)

             1,075,282,733        10,753   

Diversified Telecommunication Services — 0.0%

  

Broadview Networks Holdings, Inc. (a)

             5,037        7,052   

Health Care Management Services — 0.0%

  

New Millennium HoldCo, Inc. (a)(c)

             10,718        137,544   

Media — 0.0%

  

Adelphia Communications Corp., Class A (a)

       400,000        1,500   

Adelphia Recovery Trust (a)

       396,568        496   
      

 

 

 
                       1,996   

Semiconductors & Semiconductor Equipment — 0.0%

  

SunPower Corp. (a)

             1,707        40,319   
Total Common Stocks — 0.3%                      1,960,900   
      
                          
Asset-Backed Securities   

Par  

(000)

        

ACAS CLO Ltd., Class D (b)(d):

      

Series 2014-2A, 4.52%, 1/15/27

     USD        2,500        2,106,830   

Series 2015-1A, 4.27%, 4/18/27

       280        230,037   

Adirondack Park CLO Ltd.,
Series 2013-1A, Class D,
4.27%, 4/15/24 (b)(d)

       350        300,703   

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

      

Class C, 4.07%, 4/24/24

       605        546,084   

Class D, 5.62%, 4/24/24

       1,150        1,052,224   

ALM VII R-2 Ltd., Series 2013-7R2A, Class C, 4.07%, 4/24/24 (b)(d)

       250        236,369   

ALM XIV Ltd., Series 2014-14A, Class C, 4.07%, 7/28/26 (b)(d)

       463        386,836   

Anchorage Capital CLO Ltd.,
Series 2015-6A, Class E1,
5.52%, 4/15/27 (b)(d)

       750        559,875   

Apidos CDO, Series 2015-21A, Class C, 4.17%, 7/18/27 (b)(d)

       250        212,825   

Atlas Senior Loan Fund Ltd.,
Series 2012-1A, Class B2L, 6.87%, 8/15/24 (b)(d)

       340        275,592   
Asset-Backed Securities   

Par  

(000)

    Value  

Atlas Senior Loan Fund VI Ltd., Series 2014-6A, Class D, 4.32%, 10/15/26 (b)(d)

     USD        1,240      $ 1,035,284   

Atrium CDO Corp., Series 9A, Class D,
3.91%, 2/28/24 (b)(d)

       1,300        1,110,301   

Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 4.12%, 7/15/24 (b)(d)

       900        736,699   

BlueMountain CLO Ltd., Class E (b)(d):

      

Series 2014-4A, 5.71%, 11/30/26

       250        188,283   

Series 2015-2A, 5.97%, 7/18/27

       250        181,260   

Carlyle Global Market Strategies CLO Ltd. (b)(d):

      

Series 2012-4A, Class D, 5.12%, 1/20/25

       900        846,352   

Series 2013-1A, Class C, 4.62%, 2/14/25

       250        220,920   

Series 2015-2A, Class C, 4.37%, 4/27/27

       250        225,470   

Series 2015-2A, Class D, 5.92%, 4/27/27

       1,000        794,730   

CFIP CLO Ltd., Series 2013-1A, Class D,
4.37%, 4/20/24 (b)(d)

       1,500        1,266,735   

CIFC Funding Ltd., Series 2014-3A, Class D,
4.02%, 7/22/26 (b)(d)

       250        203,019   

Highbridge Loan Management Ltd.,
Series 6A-2015 (b)(d):

      

Class D, 4.27%, 5/05/27

       300        261,750   

Class E1, 6.07%, 5/05/27

       1,250        975,000   

Madison Park Funding IX Ltd., Series 2012-9AR, Class DR, 4.47%, 8/15/22 (b)(d)

       655        606,899   

Madison Park Funding XI Ltd., Series 2013-11A, Class D, 4.12%, 10/23/25 (b)(d)

       555        463,799   

Neuberger Berman CLO XVI Ltd.,
Series 2014-16A, Class D,
3.97%, 4/15/26 (b)(d)

       250        195,267   

Neuberger Berman CLO XVIII Ltd.,
Series 2014-18A, Class C,
4.37%, 11/14/25 (b)(d)

       1,000        807,678   

OZLM Funding Ltd., Series 2012-2A, Class C, 4.97%, 10/30/23 (b)(d)

       500        468,522   

OZLM IX Ltd., Series 2014-9A, Class C,
4.22%, 1/20/27 (b)(d)

       1,000        816,301   

OZLM VII Ltd., Series 2014-7A, Class C,
4.22%, 7/17/26 (b)(d)

       500        409,482   

OZLM XII Ltd., Series 2015-12A, Class C,
4.32%, 4/30/27 (b)(d)

       340        279,065   

Regatta Funding LP, Series 2013-2A, Class C, 4.62%, 1/15/25 (b)(d)

       750        686,044   

Sound Point CLO IV Ltd., Series 2013-3A, Class D, 4.12%, 1/21/26 (b)(d)

       500        409,251   

Stewart Park CLO Ltd., Series 2015-1A, Class E, 6.07%, 4/15/26 (b)(d)

       500        352,717   

TICP CLO I Ltd., Series 2015-1A, Class D,
4.17%, 7/20/27 (b)(d)

       250        203,048   
 
Portfolio Abbreviations

 

ADS    American Depositary Shares      GBP    British Pound      
CAD    Canadian Dollar     

OTC

  

Over-the-Counter

     
CLO    Collateralized Loan Obligation     

PIK

  

Payment-In-Kind

     
DIP    Debtor-In-Possession     

SGD

  

Singapore Dollar

     
ETF    Exchange-Traded Fund     

USD

  

U.S. Dollar

     
EUR    Euro              

 

See Notes to Consolidated Financial Statements.

 

                
   BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 29, 2016    7


Consolidated Schedule of Investments (continued)

     

 

Asset-Backed Securities   

Par  

(000)

    Value  

Venture XI CLO Ltd., Series 2012-11AR (b)(d):

      

Class DR, 4.57%, 11/14/22

     USD        250      $ 220,910   

Class ER, 6.77%, 11/14/22

       250        199,385   

Venture XII CLO Ltd., Series 2012-12A, Class D, 4.29%, 2/28/24 (b)(d)

       250        203,877   

Venture XX CLO Ltd., Series 2015-20A, Class D, 4.47%, 4/15/27 (b)(d)

       250        215,425   

Venture XXI CLO Ltd., Series 2015-21A, Class D, 4.22%, 7/15/27 (b)(d)

       500        426,850   

Voya CLO Ltd., Series 2012-2AR, Class ER,
6.62%, 10/15/22 (b)(d)

       1,250        1,108,050   

Webster Park CLO Ltd., Series 2015-1A (b)(d):

      

Class B1, 3.61%, 1/20/27

       500        485,990   

Class C, 4.56%, 1/20/27

             500        458,555   
Total Asset-Backed Securities — 3.2%                      22,970,293   
      
                          
Corporate Bonds                      

Aerospace & Defense — 0.5%

  

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

       205        144,013   

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

       307        323,117   

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

       347        369,555   

TransDigm, Inc.:

      

6.00%, 7/15/22

       2,095        2,042,625   

6.50%, 7/15/24

       926        902,850   
      

 

 

 
                       3,782,160   

Air Freight & Logistics — 0.2%

  

XPO Logistics, Inc.:

      

5.75%, 6/15/21

     EUR        100        99,003   

6.50%, 6/15/22 (b)

     USD        1,520        1,438,300   
      

 

 

 
                       1,537,303   

Airlines — 1.4%

  

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

       712        704,880   

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

       542        522,352   

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

       3,153        3,216,219   

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

       2,390        2,467,675   

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

       220        232,015   

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

       2,175        2,159,807   

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

       809        813,212   
      

 

 

 
                       10,116,160   

Auto Components — 1.7%

  

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

       1,200        1,236,000   

Dakar Finance SA, (9.00% Cash)
9.00%, 11/15/20 (e)

     EUR        100        101,022   

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

     USD        180        182,700   

Goodyear Tire & Rubber Co., 6.50%, 3/01/21

       651        685,588   

Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19

       4,609        4,274,847   
Corporate Bonds   

Par  

(000)

    Value  

Auto Components (continued)

  

Jaguar Land Rover Automotive PLC:

      

5.00%, 2/15/22

     GBP        100      $ 135,009   

5.63%, 2/01/23 (b)

     USD        425        426,063   

Schaeffler Holding Finance BV (e):

      

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

     EUR        145        165,231   

(6.25% Cash), 6.25%, 11/15/19 (b)

     USD        738        768,442   

(6.75% Cash), 6.75%, 11/15/22 (b)

       3,522        3,733,320   

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

     EUR        285        318,904   

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

      

12.00%, 7/01/49

     USD        5,150        1   

Series B, 9.50%, 7/01/05

       5,125        1   

ZF North America Capital, Inc., 2.75%, 4/27/23

     EUR        100        101,714   
      

 

 

 
                       12,128,842   

Banks — 1.0%

  

Allied Irish Banks PLC, 4.13%, 11/26/25 (d)

       100        98,994   

Banca Monte dei Paschi di Siena SpA,
3.63%, 4/01/19

       100        104,162   

Banco Espirito Santo SA (a)(c):

      

2.63%, 5/08/17

       100        31,548   

4.75%, 1/15/18

       200        63,095   

4.00%, 1/21/19

       100        31,548   

Bankia SA, 4.00%, 5/22/24 (d)

       300        301,144   

CIT Group, Inc.:

      

5.00%, 5/15/17

     USD        950        972,562   

5.25%, 3/15/18

       1,434        1,475,227   

6.63%, 4/01/18 (b)

       295        310,119   

5.50%, 2/15/19 (b)

       3,099        3,207,465   

5.00%, 8/01/23

       130        130,000   

Commerzbank AG, 7.75%, 3/16/21

     EUR        200        253,741   

Ibercaja Banco SA, 5.00%, 7/28/25 (d)

       100        92,994   

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

       12        14,102   
      

 

 

 
                       7,086,701   

Beverages — 0.1%

  

Ball Corp., 5.00%, 3/15/22

     USD        313        325,911   

Constellation Brands, Inc.:

      

7.25%, 5/15/17

       87        92,003   

3.88%, 11/15/19

       362        374,923   

Horizon Holdings I SASU, 7.25%, 8/01/23

     EUR        100        110,553   
      

 

 

 
                       903,390   

Building Products — 1.0%

  

American Builders & Contractors Supply Co., Inc. (b):

      

5.63%, 4/15/21

     USD        210        214,725   

5.75%, 12/15/23

       415        427,450   

Building Materials Corp. of America,
6.00%, 10/15/25 (b)

       1,174        1,193,078   

Cemex SAB de CV, 4.38%, 3/05/23

     EUR        100        92,195   

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

     USD        740        680,800   

Masonite International Corp., 5.63%, 3/15/23 (b)

       579        599,265   

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

       1,160        993,250   

Standard Industries, Inc. (b):

      

5.13%, 2/15/21

       274        279,480   

5.50%, 2/15/23

       453        458,663   

USG Corp.:

      

9.75%, 1/15/18

       980        1,091,475   

5.88%, 11/01/21 (b)

       1,233        1,279,237   
      

 

 

 
                       7,309,618   
 

 

See Notes to Consolidated Financial Statements.

 

                
8    BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 29, 2016   


Consolidated Schedule of Investments (continued)

     

 

Corporate Bonds   

Par  

(000)

    Value  

Capital Markets — 0.5%

  

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

     USD        1,070      $ 1,091,400   

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

       1,388        1,304,448   

E*Trade Financial Corp.:

      

5.38%, 11/15/22

       773        803,449   

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

       100        227,950   
      

 

 

 
                       3,427,247   

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        187,050   

GEO Specialty Chemicals, Inc., 7.50%, 10/30/18

       6,155        6,339,820   

Huntsman International LLC:

      

5.13%, 4/15/21

     EUR        428        421,368   

5.13%, 11/15/22 (b)

     USD        1,931        1,766,865   

Ineos Finance PLC, 4.00%, 5/01/23

     EUR        100        101,687   

NOVA Chemicals Corp., 5.25%, 8/01/23 (b)

     USD        70        68,950   

Platform Specialty Products Corp. (b):

      

10.38%, 5/01/21

       156        142,350   

6.50%, 2/01/22

       2,317        1,876,770   

WR Grace & Co-Conn, 5.13%, 10/01/21 (b)

       118        122,720   
      

 

 

 
                       11,188,017   

Commercial Services & Supplies — 1.1%

  

ADT Corp., 3.50%, 7/15/22

       260        217,750   

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

       1,599        1,650,967   

Avis Budget Car Rental LLC/Avis
Budget Finance, Inc.,
3.16%, 12/01/17 (d)

       190        190,000   

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

       1,110        1,129,425   

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

       1,955        537,625   

Silk Bidco AS, 7.50%, 2/01/22

     EUR        150        163,586   

United Rentals North America, Inc.:

      

7.38%, 5/15/20

     USD        760        797,050   

8.25%, 2/01/21

       76        79,800   

7.63%, 4/15/22

       2,393        2,544,046   

5.75%, 11/15/24

       285        277,818   

Verisure Holding AB, 6.00%, 11/01/22

     EUR        125        139,381   
      

 

 

 
                       7,727,448   

Communications Equipment — 1.3%

  

Alcatel-Lucent USA, Inc., 6.45%, 3/15/29

     USD        1,605        1,633,087   

CommScope Technologies Finance LLC, 6.00%, 6/15/25 (b)

       944        934,560   

CommScope, Inc. (b):

      

4.38%, 6/15/20

       574        584,045   

5.50%, 6/15/24

       272        263,840   

Plantronics, Inc., 5.50%, 5/31/23 (b)

       422        403,010   

Zayo Group LLC/Zayo Capital, Inc.:

      

10.13%, 7/01/20

       1,370        1,469,325   

6.00%, 4/01/23

       3,825        3,767,625   
      

 

 

 
                       9,055,492   

Construction & Engineering — 0.7%

  

AECOM:

      

5.75%, 10/15/22

       1,045        1,055,450   

5.88%, 10/15/24

       862        857,690   

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

       1,905        1,395,413   
Corporate Bonds   

Par  

(000)

    Value  

Construction & Engineering (continued)

  

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

     USD        1,625      $ 1,645,312   

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

       350        325,938   
      

 

 

 
                       5,279,803   

Construction Materials — 1.2%

  

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

       117        122,558   

HD Supply, Inc.:

      

7.50%, 7/15/20

       4,769        5,019,372   

5.25%, 12/15/21 (b)

       2,410        2,524,475   

PulteGroup, Inc., 5.50%, 3/01/26 (h)

       652        659,335   
      

 

 

 
                       8,325,740   

Consumer Finance — 1.1%

  

Ally Financial, Inc.:

      

6.25%, 12/01/17

       30        31,238   

5.13%, 9/30/24

       1,605        1,617,037   

4.63%, 3/30/25

       216        209,520   

8.00%, 11/01/31

       5,031        5,540,389   

Navient Corp.:

      

5.50%, 1/25/23

       45        37,238   

6.13%, 3/25/24

       45        37,660   

5.88%, 10/25/24

       80        64,800   
      

 

 

 
                       7,537,882   

Containers & Packaging — 1.1%

  

Ardagh Packaging Finance PLC,
9.13%, 10/15/20 (b)

       600        619,500   

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

      

3.51%, 12/15/19 (b)(d)

       1,620        1,575,450   

4.25%, 1/15/22

     EUR        170        182,179   

Ball Corp., 4.38%, 12/15/20

     USD        665        694,925   

Beverage Packaging Holdings Luxembourg II SA (b):

      

5.63%, 12/15/16

       170        169,788   

6.00%, 6/15/17

       557        554,911   

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

       1,575        1,606,500   

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

     EUR        320        358,562   

JH-Holding Finance SA, (8.25% Cash),
8.25%, 12/01/22 (e)

       100        111,428   

Sealed Air Corp. (b):

      

6.50%, 12/01/20

     USD        120        134,400   

5.13%, 12/01/24

       1,250        1,296,875   

5.50%, 9/15/25

       334        353,205   

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

     EUR        100        106,316   

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

     USD        200        206,600   
      

 

 

 
                       7,970,639   

Diversified Consumer Services — 0.1%

  

Laureate Education, Inc., 9.25%, 9/01/19 (b)

       427        217,770   

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

       307        314,675   
      

 

 

 
                       532,445   

Diversified Financial Services — 1.6%

  

AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust:

      

4.63%, 10/30/20

       572        581,295   
 

 

See Notes to Consolidated Financial Statements.

 

                
   BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 29, 2016    9


Consolidated Schedule of Investments (continued)

     

 

Corporate Bonds   

Par  

(000)

    Value  

Diversified Financial Services (continued)

  

AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust: (continued)

      

5.00%, 10/01/21

     USD        860      $ 882,575   

4.63%, 7/01/22

       725        725,906   

Aircastle Ltd.:

      

5.13%, 3/15/21

       80        80,200   

5.50%, 2/15/22

       510        509,363   

Bank of America Corp.:

      

6.05%, 5/16/16

       325        328,159   

6.50%, 8/01/16

       410        418,904   

5.63%, 10/14/16

       100        102,567   

Garfunkelux Holdco 3 SA, 8.50%, 11/01/22

     GBP        100        131,739   

HSH Nordbank AG, 0.66%, 2/14/17 (d)

     EUR        179        169,060   

International Lease Finance Corp.:

      

5.88%, 4/01/19

     USD        320        338,000   

8.25%, 12/15/20

       150        173,438   

4.63%, 4/15/21

       169        170,690   

5.88%, 8/15/22

       655        696,756   

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

      

7.38%, 4/01/20

       625        481,250   

6.88%, 4/15/22

       516        363,780   

MSCI, Inc., 5.75%, 8/15/25 (b)

       507        546,926   

ProGroup AG, 5.13%, 5/01/22

     EUR        130        145,133   

Reynolds Group Issuer, Inc.:

      

8.50%, 5/15/18

     USD        257        257,000   

9.88%, 8/15/19

       308        317,240   

5.75%, 10/15/20

       3,099        3,184,222   

6.88%, 2/15/21

       266        275,310   

UniCredit SpA, 6.95%, 10/31/22

     EUR        100        120,087   
      

 

 

 
                       10,999,600   

Diversified Telecommunication Services — 2.3%

  

CenturyLink, Inc.:

      

6.45%, 6/15/21

     USD        570        578,903   

Series V, 5.63%, 4/01/20

       823        833,288   

Frontier Communications Corp.:

      

6.25%, 9/15/21

       505        447,556   

7.13%, 1/15/23

       235        204,377   

7.63%, 4/15/24

       2,011        1,759,625   

6.88%, 1/15/25

       1,565        1,318,513   

Level 3 Financing, Inc.:

      

4.10%, 1/15/18 (d)

       646        650,438   

6.13%, 1/15/21

       1,217        1,271,765   

5.38%, 8/15/22

       2,475        2,543,063   

5.13%, 5/01/23

       1,120        1,142,400   

5.38%, 1/15/24 (b)

       712        729,800   

5.38%, 5/01/25

       2,312        2,352,460   

SoftBank Group Corp., 4.75%, 7/30/25

     EUR        129        132,179   

Telecom Italia Capital SA, 7.20%, 7/18/36

     USD        280        260,400   

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

     EUR        100        132,577   

Telecom Italia SpA:

      

6.38%, 6/24/19

     GBP        200        297,313   

3.25%, 1/16/23

     EUR        150        162,026   

5.88%, 5/19/23

     GBP        300        437,974   

Telenet Finance V Luxembourg SCA:

      

6.25%, 8/15/22

     EUR        319        367,412   

6.75%, 8/15/24

       322        378,311   
      

 

 

 
                       16,000,380   
Corporate Bonds   

Par  

(000)

    Value  

Electric Utilities — 0.0%

  

Homer City Generation LP, (8.14% Cash),
8.14%, 10/01/19 (e)

     USD        203      $ 131,674   

Electrical Equipment — 0.0%

  

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

     EUR        109        113,566   

Electronic Equipment, Instruments & Components — 0.5%

  

CDW LLC/CDW Finance Corp.:

      

6.00%, 8/15/22

     USD        660        701,250   

5.00%, 9/01/23

       326        334,150   

5.50%, 12/01/24

       2,678        2,765,035   
      

 

 

 
                       3,800,435   

Energy Equipment & Services — 0.2%

  

Gates Global LLC/Gates Global Co.,
5.75%, 7/15/22

     EUR        200        157,738   

Genesis Energy LP/Genesis Energy Finance Corp.:

      

5.75%, 2/15/21

     USD        18        14,850   

6.75%, 8/01/22

       182        151,970   

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

       150        87,000   

MEG Energy Corp., 6.38%, 1/30/23 (b)

       29        13,703   

Transocean, Inc.:

      

3.00%, 10/15/17

       509        458,100   

6.00%, 3/15/18

       674        542,570   

6.50%, 11/15/20

       220        129,800   
      

 

 

 
                       1,555,731   

Environmental, Maintenance, & Security Service — 0.0%

  

Befesa Zinc SAU Via Zinc Capital SA,
8.88%, 5/15/18

     EUR        100        99,538   

Food & Staples Retailing — 0.4%

      

Rite Aid Corp.:

      

9.25%, 3/15/20

       435        458,925   

6.75%, 6/15/21

       32        33,920   

6.13%, 4/01/23 (b)

       1,954        2,085,895   
      

 

 

 
                       2,578,740   

Food Products — 0.6%

  

Acosta, Inc., 7.75%, 10/01/22 (b)

       780        688,350   

Boparan Finance PLC:

      

4.38%, 7/15/21

       110        104,407   

5.50%, 7/15/21

     GBP        145        174,522   

Pinnacle Foods Finance LLC/Pinnacle
Foods Finance Corp., 5.88%, 1/15/24 (b)

     USD        127        133,985   

Post Holdings, Inc. (b):

      

7.75%, 3/15/24

       837        916,515   

8.00%, 7/15/25

       508        560,070   

Smithfield Foods, Inc.:

      

5.88%, 8/01/21 (b)

       257        261,418   

6.63%, 8/15/22

       849        895,695   

TreeHouse Foods, Inc., 6.00%, 2/15/24 (b)

       274        288,385   

WhiteWave Foods Co., 5.38%, 10/01/22

       239        255,730   
      

 

 

 
                       4,279,077   

Health Care Equipment & Supplies — 0.7%

  

Crimson Merger Sub, Inc., 6.63%, 5/15/22 (b)

       595        428,400   

DJO Finance LLC/DJO Finance Corp.,
8.13%, 6/15/21 (b)

       1,542        1,291,425   

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

       1,495        1,614,600   
 

 

See Notes to Consolidated Financial Statements.

 

                
10    BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 29, 2016   


Consolidated Schedule of Investments (continued)

     

 

Corporate Bonds   

Par  

(000)

    Value  

Health Care Equipment & Supplies (continued)

  

Kinetic Concepts, Inc./KCI USA, Inc.,
7.88%, 2/15/21 (b)

     USD        221      $ 227,630   

Mallinckrodt International Finance SA (b):

      

4.88%, 4/15/20

       350        346,500   

5.75%, 8/01/22

       990        977,625   

Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 5.63%, 10/15/23 (b)

       401        393,983   
      

 

 

 
                       5,280,163   

Health Care Providers & Services — 4.7%

  

Acadia Healthcare Co., Inc.:

      

5.13%, 7/01/22

       1,990        1,973,085   

6.50%, 3/01/24 (b)

       122        125,965   

Alere, Inc.:

      

7.25%, 7/01/18

       1,500        1,571,250   

6.38%, 7/01/23 (b)

       406        445,585   

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

       2,628        2,706,840   

Care UK Health & Social Care PLC,
5.59%, 7/15/19 (d)

     GBP        100        117,785   

Centene Escrow Corp. (b):

      

5.63%, 2/15/21

     USD        716        748,220   

6.13%, 2/15/24

       423        448,909   

CHS/Community Health Systems, Inc.:

      

5.13%, 8/15/18

       776        778,910   

6.88%, 2/01/22

       2,134        1,829,905   

DaVita HealthCare Partners, Inc.:

      

5.13%, 7/15/24

       3,127        3,181,722   

5.00%, 5/01/25

       1,229        1,225,928   

ExamWorks Group, Inc., 5.63%, 4/15/23

       468        470,340   

HCA Holdings, Inc., 6.25%, 2/15/21

       510        539,325   

HCA, Inc.:

      

3.75%, 3/15/19

       1,048        1,067,545   

6.50%, 2/15/20

       1,744        1,931,829   

7.50%, 2/15/22

       1,055        1,191,939   

5.88%, 3/15/22

       1,148        1,231,230   

4.75%, 5/01/23

       1,898        1,928,842   

5.00%, 3/15/24

       450        459,000   

5.38%, 2/01/25

       723        736,556   

5.88%, 2/15/26

       852        877,560   

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

       274        276,740   

Hologic, Inc., 5.25%, 7/15/22 (b)

       515        539,411   

MEDNAX, Inc., 5.25%, 12/01/23 (b)

       574        594,808   

Sterigenics-Nordion Holdings LLC,
6.50%, 5/15/23 (b)

       128        120,320   

Tenet Healthcare Corp.:

      

6.25%, 11/01/18

       607        638,868   

4.75%, 6/01/20

       1,190        1,201,900   

4.01%, 6/15/20 (b)(d)

       989        974,165   

6.00%, 10/01/20

       2,918        3,098,916   

4.50%, 4/01/21

       24        23,850   
      

 

 

 
                       33,057,248   

Hotels, Restaurants & Leisure — 2.0%

  

Boyd Gaming Corp., 6.88%, 5/15/23

       1,287        1,322,392   

Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20

       300        293,250   

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

       204        177,480   

Cirsa Funding Luxembourg SA, 5.88%, 5/15/23

     EUR        175        176,096   
Corporate Bonds   

Par  

(000)

    Value  

Hotels, Restaurants & Leisure (continued)

      

ESH Hospitality, Inc., 5.25%, 5/01/25 (b)

     USD        335      $ 324,950   

Gala Electric Casinos PLC, 11.50%, 6/01/19

     GBP        64        92,294   

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

     USD        391        393,444   

International Game Technology PLC, 6.25%, 2/15/22 (b)

       200        188,875   

Intralot Capital Luxembourg SA, 6.00%, 5/15/21

     EUR        100        93,936   

MGM Resorts International:

      

5.25%, 3/31/20

     USD        1,526        1,556,520   

6.75%, 10/01/20

       330        353,100   

6.63%, 12/15/21

       1,352        1,436,500   

6.00%, 3/15/23

       1,108        1,135,700   

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

       1,055        1,099,838   

Pinnacle Entertainment, Inc., 6.38%, 8/01/21

       597        633,566   

PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20

     EUR        100        109,321   

RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/23

     USD        278        277,305   

Sabre GLBL, Inc. (b):

      

5.38%, 4/15/23

       388        390,910   

5.25%, 11/15/23

       221        224,315   

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

       842        860,819   

Snai SpA, 7.63%, 6/15/18

     EUR        245        262,526   

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

     USD        1,938        2,022,787   

Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/16 (a)(c)

       800          

Unique Pub Finance Co. PLC:

      

Series A4, 5.66%, 6/30/27

     GBP        400        547,639   

Series N, 6.46%, 3/30/32

       200        235,536   

Vougeot Bidco PLC, 7.88%, 7/15/20

       147        209,103   
      

 

 

 
                       14,418,202   

Household Durables — 1.0%

      

Beazer Homes USA, Inc., 6.63%, 4/15/18

     USD        935        939,675   

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

       285        237,975   

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

       193        150,540   

Lennar Corp., 4.88%, 12/15/23

       465        453,375   

Meritage Homes Corp., 4.50%, 3/01/18

       589        587,528   

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

       130        139,750   

Shea Homes LP/Shea Homes Funding Corp., 5.88%, 4/01/23 (b)

       858        838,695   

Standard Pacific Corp.:

      

10.75%, 9/15/16

       565        589,012   

8.38%, 1/15/21

       1,735        1,977,900   

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

       185        172,050   

TRI Pointe Holdings, Inc.:

      

4.38%, 6/15/19

       435        419,775   

5.88%, 6/15/24

       410        389,500   
      

 

 

 
                       6,895,775   

Household Products — 0.4%

      

Spectrum Brands, Inc.:

      

6.38%, 11/15/20

       315        331,931   

6.63%, 11/15/22

       1,810        1,948,013   

5.75%, 7/15/25

       672        708,120   
      

 

 

 
                       2,988,064   
 

 

See Notes to Consolidated Financial Statements.

 

                
   BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 29, 2016    11


Consolidated Schedule of Investments (continued)

     

 

Corporate Bonds   

Par  

(000)

    Value  

Independent Power and Renewable Electricity Producers — 0.7%

  

 

AES Corp.:

      

7.38%, 7/01/21

     USD        559      $ 582,757   

5.50%, 3/15/24

       981        902,520   

Calpine Corp.:

      

5.38%, 1/15/23

       768        716,160   

5.50%, 2/01/24

       531        477,900   

Dynegy, Inc., 6.75%, 11/01/19

       665        616,372   

NRG Energy, Inc.:

      

7.88%, 5/15/21

       138        130,238   

6.25%, 7/15/22

       403        340,535   

6.25%, 5/01/24

       215        178,450   

NRG Yield Operating LLC, 5.38%, 8/15/24

       195        171,600   

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

       1,320        897,600   
      

 

 

 
                       5,014,132   

Insurance — 0.3%

      

HUB International Ltd. (b):

      

9.25%, 2/15/21

       367        375,258   

7.88%, 10/01/21

       400        358,000   

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

     GBP        150        185,184   

Trader Corp., 9.88%, 8/15/18 (b)

     USD        725        754,000   

UNIQA Insurance Group AG, 6.00%, 7/27/46 (d)

     EUR        100        100,706   
      

 

 

 
                       1,773,148   

Internet Software & Services — 0.1%

      

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

     USD        700        708,750   

IT Services — 2.2%

      

Audatex North America, Inc., 6.00%, 6/15/21 (b)

       1,125        1,136,250   

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

       795        655,875   

First Data Corp. (b):

      

5.38%, 8/15/23

       1,806        1,878,240   

7.00%, 12/01/23

       5,637        5,637,000   

5.00%, 1/15/24

       1,141        1,158,834   

5.75%, 1/15/24

       4,611        4,639,819   

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

       601        525,875   
      

 

 

 
                       15,631,893   

Media — 8.0%

      

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

     EUR        200        227,765   

Altice Financing SA:

      

6.50%, 1/15/22 (b)

     USD        1,260        1,269,450   

5.25%, 2/15/23

     EUR        200        208,432   

Altice SA:

      

7.25%, 5/15/22

       402        416,543   

7.75%, 5/15/22 (b)

     USD        895        865,913   

6.25%, 2/15/25

     EUR        101        93,941   

7.63%, 2/15/25 (b)

     USD        1,221        1,117,215   

Altice US Finance I Corp., 5.38%, 7/15/23 (b)

       2,912        2,948,400   

Altice US Finance II Corp., 7.75%, 7/15/25 (b)

       744        693,780   

Altice US Finance SA, 7.75%, 7/15/25 (b)

       825        765,188   

AMC Networks, Inc.:

      

7.75%, 7/15/21

       1,005        1,062,788   

4.75%, 12/15/22

       156        158,340   

CCO Holdings LLC/CCO Holdings Capital Corp.:

      

6.50%, 4/30/21

       620        644,413   

5.13%, 2/15/23

       380        377,150   

5.88%, 4/01/24 (b)

       1,506        1,538,002   

5.88%, 5/01/27 (b)

       155        155,000   

CCO Safari II LLC, 4.91%, 7/23/25 (b)

       1,300        1,333,671   
Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

      

CCOH Safari LLC, 5.75%, 2/15/26 (b)

     USD        838      $ 840,204   

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

       669          

Clear Channel Worldwide Holdings, Inc.:

      

Series A, 6.50%, 11/15/22

       1,211        1,098,982   

Series B, 6.50%, 11/15/22

       3,140        3,045,800   

Series B, 7.63%, 3/15/20

       1,364        1,200,320   

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

       850        882,300   

CSC Holdings LLC, 5.25%, 6/01/24

       565        483,075   

DISH DBS Corp.:

      

4.25%, 4/01/18

       1,460        1,470,950   

5.88%, 11/15/24

       1,728        1,552,694   

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

       198        198,990   

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

       422        443,628   

iHeartCommunications, Inc.:

      

9.00%, 12/15/19

       450        317,250   

9.00%, 3/01/21

       160        109,000   

9.00%, 9/15/22

       930        623,100   

Intelsat Jackson Holdings SA:

      

7.25%, 10/15/20

       505        348,450   

5.50%, 8/01/23

       3,117        2,026,050   

Lamar Media Corp., 5.75%, 2/01/26 (b)

       145        150,165   

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

       232        243,310   

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

       265        267,650   

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

       538        543,380   

Neptune Finco Corp. (b):

      

10.13%, 1/15/23

       912        981,540   

6.63%, 10/15/25

       951        1,003,305   

10.88%, 10/15/25

       200        216,000   

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

       410        415,125   

Numericable Group SA:

      

4.88%, 5/15/19 (b)

       3,155        3,153,422   

6.00%, 5/15/22 (b)

       2,720        2,692,800   

5.63%, 5/15/24

     EUR        195        209,479   

6.25%, 5/15/24 (b)

     USD        330        321,750   

Outfront Media Capital LLC/Outfront Media Capital Corp.:

      

5.25%, 2/15/22

       130        132,925   

5.63%, 2/15/24

       242        251,830   

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

       485        468,025   

Sirius XM Radio, Inc. (b):

      

4.25%, 5/15/20

       141        143,115   

5.75%, 8/01/21

       464        481,400   

4.63%, 5/15/23

       60        58,500   

5.38%, 4/15/25

       401        399,998   

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

       1,300        1,274,000   

TEGNA, Inc.:

      

5.13%, 10/15/19

       215        227,900   

4.88%, 9/15/21 (b)

       466        477,650   

5.50%, 9/15/24 (b)

       289        296,225   

Tribune Media Co., 5.88%, 7/15/22 (b)

       873        873,000   
 

 

See Notes to Consolidated Financial Statements.

 

                
12    BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 29, 2016   


Consolidated Schedule of Investments (continued)

     

 

Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

      

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

      

5.50%, 1/15/23 (b)

     USD        1,270      $ 1,330,325   

4.00%, 1/15/25

     EUR        298        309,591   

3.50%, 1/15/27

       200        196,505   

Univision Communications, Inc. (b):

      

8.50%, 5/15/21

     USD        1,820        1,829,100   

5.13%, 5/15/23

       3,190        3,166,075   

5.13%, 2/15/25

       942        921,983   

Virgin Media Secured Finance PLC:

      

5.38%, 4/15/21 (b)

       1,152        1,193,760   

4.88%, 1/15/27

     GBP        100        124,397   

6.25%, 3/28/29

       453        599,771   

WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b)

     USD        1,300        1,238,250   

Ziggo Bond Finance BV:

      

4.63%, 1/15/25

     EUR        168        171,336   

5.88%, 1/15/25 (b)

     USD        1,625        1,576,250   
      

 

 

 
                       56,456,621   

Metals & Mining — 2.1%

      

Alcoa, Inc.:

      

6.15%, 8/15/20

       1,395        1,408,950   

5.13%, 10/01/24

       1,756        1,586,985   

ArcelorMittal, 6.13%, 6/01/18

       240        235,526   

Constellium NV (b):

      

8.00%, 1/15/23

       2,600        2,210,000   

5.75%, 5/15/24

       1,425        1,083,000   

First Quantum Minerals Ltd. (b):

      

7.00%, 2/15/21

       145        74,675   

7.25%, 5/15/22

       435        215,325   

Freeport-McMoRan Copper & Gold, Inc., 3.10%, 3/15/20

       205        148,049   

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

       550        572,000   

Novelis, Inc.:

      

8.38%, 12/15/17

       215        213,925   

8.75%, 12/15/20

       4,371        4,054,102   

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

       458        352,660   

Steel Dynamics, Inc.:

      

5.13%, 10/01/21

       790        770,250   

6.38%, 8/15/22

       595        595,000   

5.25%, 4/15/23

       295        276,563   

5.50%, 10/01/24

       138        129,375   

Teck Resources Ltd., 3.00%, 3/01/19

       340        259,250   

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

       1,150        966,000   
      

 

 

 
                       15,151,635   

Multi-Utilities — 0.0%

      

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

     EUR        175        185,614   

Multiline Retail — 0.8%

      

Dollar Tree, Inc., (b)

      

5.25%, 3/01/20

     USD        219        229,950   

5.75%, 3/01/23

       4,263        4,534,766   

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

     EUR        250        178,152   

House of Fraser Funding PLC,
6.34%, 9/15/20 (d)

     GBP        100        135,705   
Corporate Bonds   

Par  

(000)

    Value  

Multiline Retail (continued)

      

Neiman Marcus Group Ltd. (b):

      

8.00%, 10/15/21

     USD        1,035      $ 729,572   

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

       150        90,375   
      

 

 

 
                       5,898,520   

Offshore Drilling & Other Services — 0.2%

      

Sensata Technologies BV (b):

      

5.63%, 11/01/24

       220        226,600   

5.00%, 10/01/25

       1,002        984,465   
      

 

 

 
                       1,211,065   

Oil, Gas & Consumable Fuels — 3.7%

      

Anadarko Finance Co., Series B, 7.50%, 5/01/31

       71        63,629   

Anadarko Petroleum Corp., 3.45%, 7/15/24

       564        457,115   

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

       62        18,445   

California Resources Corp., 8.00%, 12/15/22 (b)

       1,237        309,250   

Cenovus Energy, Inc.:

      

3.00%, 8/15/22

       72        52,581   

3.80%, 9/15/23

       95        69,012   

Concho Resources, Inc.:

      

6.50%, 1/15/22

       172        165,120   

5.50%, 4/01/23

       1,133        1,053,690   

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

       2,833        1,848,532   

Continental Resources, Inc., 3.80%, 6/01/24

       1,350        914,987   

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

       740        632,700   

Denbury Resources, Inc.:

      

5.50%, 5/01/22

       100        31,250   

4.63%, 7/15/23

       49        14,210   

Energy Transfer Equity LP:

      

7.50%, 10/15/20

       315        288,225   

5.88%, 1/15/24

       1,232        1,016,400   

Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.:

      

6.50%, 11/15/20

       205        151,188   

6.63%, 5/01/21

       205        151,188   

Hilcorp Energy I LP/Hilcorp Finance Co., 5.00%, 12/01/24 (b)

       461        313,480   

MEG Energy Corp. (b):

      

6.50%, 3/15/21

       2,599        1,254,017   

7.00%, 3/31/24

       1,011        465,060   

Memorial Resource Development Corp., 5.88%, 7/01/22

       1,235        839,800   

Newfield Exploration Co., 5.63%, 7/01/24

       77        69,878   

NGPL PipeCo LLC (b):

      

7.12%, 12/15/17

       245        228,463   

9.63%, 6/01/19

       435        408,900   

7.77%, 12/15/37

       322        228,620   

Noble Energy, Inc., 5.63%, 5/01/21

       248        223,953   

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

       510        474,300   

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

       210        130,200   

Range Resources Corp.:

      

5.75%, 6/01/21

       277        234,065   

5.00%, 8/15/22

       10        8,350   

Rockies Express Pipeline LLC (b):

      

6.85%, 7/15/18

       99        95,783   

6.00%, 1/15/19

       90        84,150   
 

 

See Notes to Consolidated Financial Statements.

 

                
   BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 29, 2016    13


Consolidated Schedule of Investments (continued)

     

 

Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

      

RSP Permian, Inc., 6.63%, 10/01/22

     USD        356      $ 318,620   

Sabine Pass Liquefaction LLC:

      

5.63%, 2/01/21

       625        596,484   

6.25%, 3/15/22

       104        99,060   

5.63%, 4/15/23

       5,633        5,196,442   

5.75%, 5/15/24

       862        793,574   

5.63%, 3/01/25

       442        401,115   

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

       2,500        2,603,125   

Sanchez Energy Corp., 6.13%, 1/15/23

       1,050        372,750   

Seven Generations Energy Ltd. (b):

      

8.25%, 5/15/20

       1,510        1,445,825   

6.75%, 5/01/23

       280        240,800   

SM Energy Co., 6.13%, 11/15/22

       1,260        548,100   

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

       833        766,360   

Weatherford International LLC, 6.35%, 6/15/17

       305        288,225   

Weatherford International Ltd., 6.00%, 3/15/18

       175        149,625   

Whiting Petroleum Corp., 6.25%, 4/01/23

       65        29,738   

Williams Cos., Inc., 4.55%, 6/24/24

       315        236,250   
      

 

 

 
                       26,382,634   

Paper & Forest Products — 0.0%

      

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

             5        5,442   

Pharmaceuticals — 2.3%

      

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

       171        171,214   

Endo Finance LLC, 5.75%, 1/15/22 (b)

       455        459,550   

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

      

7.75%, 1/15/22

       145        150,438   

6.00%, 7/15/23

       1,018        1,028,180   

6.00%, 2/01/25

       1,693        1,684,535   

Ephios Bondco PLC, 6.25%, 7/01/22

     EUR        275        304,394   

Ephios Holdco II PLC, 8.25%, 7/01/23

       100        103,890   

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

     USD        937        968,624   

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (b)

       1,660        1,693,200   

Valeant Pharmaceuticals International, Inc.:

      

6.75%, 8/15/18 (b)

       1,221        1,178,265   

5.38%, 3/15/20 (b)

       869        786,445   

7.00%, 10/01/20 (b)

       1,766        1,664,455   

6.38%, 10/15/20 (b)

       1,152        1,056,960   

7.50%, 7/15/21 (b)

       2,026        1,909,505   

5.63%, 12/01/21 (b)

       870        744,389   

7.25%, 7/15/22 (b)

       1,010        924,150   

4.50%, 5/15/23

     EUR        300        261,215   

5.88%, 5/15/23 (b)

     USD        926        781,312   

6.13%, 4/15/25 (b)

       916        768,867   
      

 

 

 
                       16,639,588   

Professional Services — 0.1%

      

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

             380        407,075   

Real Estate Investment Trusts (REITs) — 0.3%

      

Corrections Corp. of America, 4.63%, 5/01/23

       76        76,380   

Felcor Lodging LP, 5.63%, 3/01/23

       377        383,598   

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.63%, 10/15/21

       513        532,237   
Corporate Bonds   

Par  

(000)

    Value  

Real Estate Investment Trusts (REITs) (continued)

  

   

iStar Financial, Inc.:

      

4.00%, 11/01/17

     USD        535      $ 506,244   

5.00%, 7/01/19

       375        349,219   
      

 

 

 
                       1,847,678   

Real Estate Management & Development — 0.3%

  

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

       110        108,625   

Realogy Group LLC/Realogy Co-Issuer Corp. (b):

      

4.50%, 4/15/19

       801        823,028   

5.25%, 12/01/21

       1,178        1,197,142   

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

       245        241,325   
      

 

 

 
                       2,370,120   

Road & Rail — 0.7%

      

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

     EUR        215        241,255   

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

     USD        1,338        1,339,673   

Hertz Corp.:

      

7.50%, 10/15/18

       1,555        1,574,437   

7.38%, 1/15/21

       1,122        1,113,585   

United Rentals North America, Inc.,
5.50%, 7/15/25

       170        161,288   

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

       350        330,750   
      

 

 

 
                       4,760,988   

Semiconductors & Semiconductor Equipment — 0.5%

  

Micron Technology, Inc., 5.25%, 1/15/24 (b)

       410        344,400   

NXP BV/NXP Funding LLC (b):

      

4.13%, 6/15/20

       1,064        1,076,076   

5.75%, 2/15/21

       1,020        1,060,800   

4.63%, 6/15/22

       1,050        1,047,375   
      

 

 

 
                       3,528,651   

Software — 0.9%

      

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

       763        536,008   

Infor US, Inc., 6.50%, 5/15/22 (b)

       1,352        1,172,860   

Informatica LLC, 7.13%, 7/15/23 (b)

       300        276,000   

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

       2,270        2,321,075   

Solera LLC/Solera Finance, Inc.,
10.50%, 3/01/24 (b)

       1,340        1,273,000   

SS&C Technologies Holdings, Inc.,
5.88%, 7/15/23 (b)

       485        511,675   
      

 

 

 
                       6,090,618   

Specialty Retail — 0.5%

      

L Brands, Inc., 6.88%, 11/01/35 (b)

       1,053        1,118,812   

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

     EUR        220        253,005   

New Look Secured Issuer PLC, 6.50%, 7/01/22

     GBP        300        407,116   

Penske Automotive Group, Inc., 5.38%, 12/01/24

     USD        781        757,570   

Sally Holdings LLC/Sally Capital, Inc.:

      

5.75%, 6/01/22

       146        153,665   

5.50%, 11/01/23

       570        595,650   

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

       146        137,970   

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

     EUR        285        319,339   
      

 

 

 
                       3,743,127   
 

 

See Notes to Consolidated Financial Statements.

 

                
14    BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 29, 2016   


Consolidated Schedule of Investments (continued)

     

 

Corporate Bonds   

Par  

(000)

    Value  

Textiles, Apparel & Luxury Goods — 0.2%

      

Levi Strauss & Co.:

      

6.88%, 5/01/22

     USD        405      $ 434,363   

5.00%, 5/01/25

       394        394,039   

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

       122        122,610   

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

       469        478,380   
      

 

 

 
                       1,429,392   

Tobacco — 0.0%

      

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

             17        27,834   

Trading Companies & Distributors — 0.1%

      

Ashtead Capital, Inc., 5.63%, 10/01/24 (b)

             525        519,750   

Transportation Infrastructure — 0.1%

      

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

       1,126        607,877   

Onorato Armatori SpA, 7.75%, 2/15/23

     EUR        100        106,337   
      

 

 

 
                       714,214   

Wireless Telecommunication Services — 3.0%

      

Communications Sales & Leasing, Inc./CSL Capital LLC, 8.25%, 10/15/23

     USD        430        383,775   

Crown Castle International Corp.:

      

4.88%, 4/15/22

       157        164,065   

5.25%, 1/15/23

       115        121,756   

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

       375        413,237   

Digicel Group Ltd., 7.13%, 4/01/22 (b)

       485        346,775   

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

       2,228        1,907,168   

Equinix, Inc., 5.88%, 1/15/26

       997        1,041,865   

Geo Group, Inc.:

      

5.88%, 1/15/22

       90        90,675   

5.88%, 10/15/24

       360        353,700   

Matterhorn Telecom SA, 3.88%, 5/01/22

     EUR        100        95,187   

SBA Communications Corp., 4.88%, 7/15/22

     USD        2,400        2,442,000   

Sprint Capital Corp.:

      

6.90%, 5/01/19

       270        230,175   

6.88%, 11/15/28

       1,080        783,000   

Sprint Communications, Inc.:

      

9.00%, 11/15/18 (b)

       6,417        6,661,488   

7.00%, 3/01/20 (b)

       383        376,297   

7.00%, 8/15/20

       540        423,900   

Sprint Corp., 7.13%, 6/15/24

       1,476        1,051,650   

T-Mobile USA, Inc.:

      

6.63%, 4/28/21

       455        475,475   

6.13%, 1/15/22

       81        83,228   

6.73%, 4/28/22

       295        308,600   

6.00%, 3/01/23

       588        605,640   

6.84%, 4/28/23

       85        88,400   

6.50%, 1/15/24

       584        600,060   

6.38%, 3/01/25

       620        626,200   

6.50%, 1/15/26

       1,316        1,333,595   

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

     EUR        368        387,318   
      

 

 

 
                       21,395,229   
Total Corporate Bonds — 56.1%                      398,000,798   
      
                          
Floating Rate Loan Interests (d)                      

Aerospace & Defense — 0.7%

  

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

     USD        1,426        1,425,523   
Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Aerospace & Defense (continued)

      

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

     USD        1,375      $ 1,289,062   

Transdigm, Inc.:

      

2015 Term Loan E, 3.50%, 5/14/22

       699        666,457   

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

       982        952,994   

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

       837        798,737   
      

 

 

 
                       5,132,773   

Air Freight & Logistics — 0.5%

      

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

       982        755,770   

CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21

       1,017        783,045   

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

       156        120,108   

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

       1,403        1,080,063   

XPO Logistics, Inc., Term Loan, 5.50%, 11/01/21

       920        912,530   
      

 

 

 
                       3,651,516   

Airlines — 0.7%

      

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

       2,922        2,917,024   

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        1,251,950   
      

 

 

 
                       4,852,099   

Auto Components — 1.6%

      

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

       665        663,603   

Autoparts Holdings Ltd.:

      

1st Lien Term Loan, 7.00%, 7/29/17

       2,067        1,656,947   

2nd Lien Term Loan, 11.00%, 1/29/18

       1,890        907,200   

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

       1,041        1,019,747   

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

       1,475        1,069,153   

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

       5,286        4,645,195   

Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.75%, 4/30/19

       602        603,505   

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

       432        431,154   
      

 

 

 
                       10,996,504   

Banks — 0.1%

      

Redtop Acquisitions Ltd.:

      

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

       593        583,757   

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

       377        353,719   
      

 

 

 
                       937,476   

Building Materials — 0.3%

      

USAGM HoldCo LLC:

      

2015 2nd Lien Term Loan, 9.50%, 7/28/23

       895        823,400   

2015 Term Loan, 4.75%, 7/28/22

       1,672        1,560,202   
      

 

 

 
                       2,383,602   

Building Products — 2.0%

      

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

       1,566        1,527,055   
 

 

See Notes to Consolidated Financial Statements.

 

                
   BLACKROCK DEBT STRATEGIES FUND, INC.    FEBRUARY 29, 2016    15


Consolidated Schedule of Investments (continued)

     

 

Floating Rate Loan Interests (d)   

Par  

(000)

    Value  

Building Products (continued)

      

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

     USD        3,950      $ 3,712,830   

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

       1,394        1,310,118   

Hanson Building Products Ltd., 1st Lien Term Loan, 6.50%, 3/13/22

       47        41,978   

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

       2,178        2,153,497   

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

       1,999        1,886,082   

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

       1,197        1,165,697   

Wilsonart LLC:

      

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

       407        395,178   

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

       2,260        2,196,075   
      

 

 

 
                       14,388,510   

Capital Markets — 0.4%

      

Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18

       979        853,452   

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

       651        644,580   

RPI Finance Trust, Term Loan B4, 3.50%, 11/09/20

       1,389        1,383,402   
      

 

 

 
                       2,881,434   

Chemicals — 1.8%

      

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

       237        233,854   

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

       123