BLACKROCK DEBT STRATEGIES FUND, INC.
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company
Act file number 811-08603
Name of Fund: BlackRock Debt Strategies Fund, Inc. (DSU)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Debt Strategies Fund, Inc.,
55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including
area code: (800) 882-0052, Option 4
Date of fiscal year end: 02/28/2018
Date of reporting period: 08/31/2017
Item 1 – Report to Stockholders
AUGUST 31, 2017
|
|
|
|
|
| SEMI-ANNUAL REPORT
(UNAUDITED) |
|
|
|
|
BlackRock Debt Strategies Fund, Inc.
(DSU)
|
| Not FDIC Insured • May Lose Value • No Bank Guarantee |
Dear Shareholder,
In the 12 months ended August 31, 2017, risk assets, such as stocks and high-yield bonds, continued to deliver strong performance. These markets showed great resilience during a period with big
surprises, including the aftermath of the U.K.’s vote to leave the European Union and the outcome of the U.S. presidential election, which brought only brief spikes in equity market volatility. These expressions of isolationism and discontent
were countered by the closely watched and less surprising elections in France, the Netherlands and Australia.
Interest rates rose, which worked
against high-quality assets with more interest rate sensitivity. As a result, longer-term U.S. Treasuries posted negative returns, as rising energy prices, modest wage increases, and steady job growth led to expectations of higher inflation and
anticipation of interest rate increases by the U.S. Federal Reserve (the “Fed”).
Market prices began to reflect reflationary
expectations toward the end of 2016, as investors sensed that a global recovery was afoot. And those expectations have been largely realized in 2017, as many countries throughout the world experienced sustained and synchronized growth for the first
time since the financial crisis. Growth rates and inflation are still relatively low, but they are finally rising together.
The Fed responded to
these positive developments by increasing interest rates three times and setting expectations for additional interest rate increases. The Fed also appears to be approaching the implementation of its plan to reduce the vast balance sheet reserves
that provided liquidity to the global economy in the aftermath of the financial crisis in 2008. Also, growing skepticism about the near-term likelihood of significant U.S. tax reform and infrastructure spending has tempered reflationary expectations
in the United States.
By contrast, the European Central Bank and the Bank of Japan reiterated their commitments to economic stimulus and balance
sheet expansion despite nascent signs of sustained economic growth in both countries. The Eurozone also benefited from the relatively stable political environment, which is creating momentum for economic reform and pro-growth policies.
Financial markets — and to an extent the Fed — have adopted a “wait-and-see” approach to the economic data and potential fiscal stimulus.
Escalating tensions with North Korea and our nation’s divided politics are significant concerns. Nevertheless, benign credit conditions, modest inflation, and the positive outlook for growth in the world’s largest economies have kept
markets relatively tranquil.
However, the capacity for rapid global growth is restrained by structural factors, including an aging population in
developed countries, low productivity growth, and excess savings. Cyclical factors, such as the Fed moving toward the normalization of monetary policy and the length of the current expansion, also limit economic growth. Tempered economic growth and
high valuations across most assets have laid the groundwork for muted returns going forward. At current valuation levels, potential equity gains will likely be closely tied to the pace of earnings growth, which has remained solid thus far in 2017.
In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market
conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President,
BlackRock Advisors, LLC
|
|
|
|
|
|
|
|
|
| Total Returns as of August 31, 2017 |
|
| |
|
6-month
|
|
|
12-month
|
|
| U.S. large cap equities
(S&P
500® Index) |
|
|
5.65 |
% |
|
|
16.23 |
% |
| U.S. small cap equities
(Russell
2000® Index) |
|
|
2.04 |
|
|
|
14.91 |
|
| International equities
(MSCI Europe, Australasia,
Far East Index) |
|
|
12.14 |
|
|
|
17.64 |
|
| Emerging market equities
(MSCI Emerging Markets Index) |
|
|
18.02 |
|
|
|
24.53 |
|
| 3-month Treasury bills
(BofA Merrill Lynch 3-Month
U.S. Treasury Bill Index) |
|
|
0.40 |
|
|
|
0.62 |
|
| U.S. Treasury securities
(BofA Merrill Lynch
10-Year U.S. Treasury
Index) |
|
|
3.10 |
|
|
|
(3.26 |
) |
| U.S. investment grade bonds
(Bloomberg Barclays U.S.
Aggregate Bond Index) |
|
|
2.74 |
|
|
|
0.49 |
|
| Tax-exempt municipal
bonds (S&P Municipal
Bond Index) |
|
|
3.51 |
|
|
|
0.92 |
|
| U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer
Capped Index) |
|
|
3.03 |
|
|
|
8.62 |
|
| Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest
directly in an index. |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 2 |
|
THIS PAGE NOT PART OF YOUR FUND REPORT |
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK DEBT STRATEGIES FUND, INC. |
|
AUGUST 31, 2017 |
|
3 |
|
|
|
|
|
| Fund Summary as of
August 31, 2017 |
|
|
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 investment 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 August 31, 2017
($11.60)1 |
|
7.09% |
| Current Monthly Distribution per Common Share2 |
|
$0.0685 |
| Current Annualized Distribution per Common Share2 |
|
$0.8220 |
| Economic Leverage as of August 31,
20173 |
|
32% |
| |
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. |
| |
3 |
|
Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable
to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 7.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Market Price and Net Asset Value Per Share Summary |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
8/31/17 |
|
|
2/28/17 |
|
|
Change |
|
|
High |
|
|
Low |
|
| Market Price |
|
|
$11.60 |
|
|
|
$11.68 |
|
|
|
(0.68)% |
|
|
|
$11.82 |
|
|
|
$11.23 |
|
| Net Asset Value |
|
|
$12.69 |
|
|
|
$12.70 |
|
|
|
(0.08)% |
|
|
|
$12.81 |
|
|
|
$12.45 |
|
|
| Market Price and Net Asset Value History For the Past Five
Years |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 4 |
|
BLACKROCK DEBT STRATEGIES FUND, INC. |
|
AUGUST 31, 2017 |
|
|
|
| Performance and Portfolio Management Commentary |
Returns for the period ended August 31, 2017 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Average Annual Total Returns |
|
| |
|
6-Month |
|
|
1 Year |
|
|
3 Years |
|
|
5 Years |
|
| Fund at NAV1,2 |
|
|
3.49 |
% |
|
|
11.18 |
% |
|
|
5.94 |
% |
|
|
7.98 |
% |
| Fund at Market
Price1,2 |
|
|
2.86 |
|
|
|
11.76 |
|
|
|
6.20 |
|
|
|
5.17 |
|
| Reference Benchmark3 |
|
|
2.26 |
|
|
|
7.21 |
|
|
|
4.18 |
|
|
|
5.37 |
|
| Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index4 |
|
|
3.03 |
|
|
|
8.62 |
|
|
|
4.79 |
|
|
|
6.47 |
|
| S&P/LSTA Leveraged Loan Index5 |
|
|
1.49 |
|
|
|
5.80 |
|
|
|
3.53 |
|
|
|
4.24 |
|
| |
1 |
|
All returns reflect reinvestment of dividends and/or distributions at actual
reinvestment prices. Performance results reflect the Fund’s use of leverage. |
| |
2 |
|
The Fund’s discount to NAV widened during the period, which accounts for
the difference between performance based on market price and performance based on NAV. |
| |
3 |
|
The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (50%) and the S&P/LSTA Leveraged Loan
Index (50%). The Reference Benchmark’s index content and weightings may have varied over past periods. |
| |
4 |
|
An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at
least one year to maturity; and no issuer represents more than 2% of the index. |
| |
5 |
|
An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and
interest payments. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S.
generally accepted accounting principles.
Past performance is not indicative of future results.
Beginning with this reporting period, DSU is presenting the Reference Benchmark to accompany fund performance. The Reference Benchmark is presented for
informational purposes only, as the Fund is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Fund may differ substantially from the securities
that comprise the indices within the Reference Benchmark, which may cause the Fund’s performance to differ materially from that of the Reference Benchmark. The Fund employs leverage as part of its investment strategy, which may change over time
at the discretion of BlackRock Advisors, LLC (the “Manager”) as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Fund outperforming the
Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Fund’s performance, such as the performance of the Fund relative to a peer group of funds, a
leverage-adjusted benchmark and/or other information provided by the Manager.
More information about the Fund’s historical performance can
be found in the “Closed End Funds” section of http://www.blackrock.com.
The following discussion relates to the Fund’s absolute
performance based on NAV:
What factors influenced performance?
| • |
|
DSU can dynamically allocate between bank loans and high yield bonds depending on market conditions and opportunities. The largest contributors to
performance over the semi-annual period included the technology, health care and cable & satellite sectors, while government-related, insurance and leisure names also contributed. From a credit rating perspective, B-rated, BB-rated and CCC-rated
names were the significant contributors to performance, as the lower credit quality portions of the high yield and bank loan markets drove a rally across both asset classes. The Fund’s allocation to A-rated names represented the smallest
positive contributor. High yield exchange traded funds (“ETFs”), high yield index credit default swaps and preferred equity positions were substantial contributors to performance as well. |
| • |
|
Energy-related sectors, including oil field services and independent energy, were the largest detractors from performance as oil price volatility drove
negative performance. Retailers, the only sector within the high yield bond and bank loan markets to post negative returns year-to-date in 2017, represented a slight detractor. The Fund’s allocation to equity positions was an additional
performance detractor. |
Describe recent portfolio activity.
| • |
|
During the semi-annual period, the portfolio gradually increased risk as leveraged finance markets performed well. The Fund increased its asset
allocations to bank loan positioning relative to high yield bonds. The Fund reduced its tactical investment grade allocation while increasing its position in collateralized loan obligations. The Fund added to positions within the wirelines and cable
& satellite sectors, increasing its allocation to the technology sectors. The Fund reduced broad energy exposure and shifted its focus to higher quality issuers within the space. The Fund added to its BBB-rated position while slightly reducing
CCC-rated names. |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK DEBT STRATEGIES FUND, INC. |
|
AUGUST 31, 2017 |
|
5 |
|
|
|
|
|
| Fund Summary as of August 31, 2017 |
|
|
|
| Performance and Portfolio Management Commentary
(concluded) |
Describe portfolio positioning at period end.
| • |
|
The Fund’s largest positions were within the technology, cable & satellite and health care sectors. By contrast, the Fund avoided retailers and
leisure issues, where fundamentals continued to deteriorate. Within energy, the Fund favored higher quality issuers within the independent energy sector, while avoiding more cyclical names within oil field services. The Fund’s core positioning
remained between BB-rated and B-rated issues. Issuer selection remained centered on favorable cash flows, identification of a specific catalyst for price improvement, and/or idiosyncratic characteristics. The Fund also remained focused on industries
and companies with stable business profiles and consistent cash flow, while avoiding areas of the markets with longer-term concerns and/or deteriorating fundamental trends. |
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.
|
|
|
| Overview of the Fund’s Total
Investments |
|
|
|
|
|
|
|
|
|
| Portfolio Composition |
|
8/31/17 |
|
|
2/28/17 |
|
| Floating Rate Loan Interests |
|
|
54 |
% |
|
|
47 |
% |
| Corporate Bonds |
|
|
39 |
|
|
|
49 |
|
| Asset-Backed Securities |
|
|
7 |
|
|
|
2 |
|
| Investment Companies |
|
|
— |
|
|
|
1 |
|
| Preferred Securities |
|
|
— |
1 |
|
|
1 |
|
| Other |
|
|
— |
2
|
|
|
— |
3
|
| |
1 |
|
Representing less than 1% of the Fund’s total investments. |
| |
2 |
|
Includes a less than 1% holding in each of the following investment types: Common Stocks, Options Purchased, Other Interests, Rights and Warrants.
|
| |
3 |
|
Includes a less than 1% holding in each of the following investment types: Common Stocks, Non-Agency Mortgage-Backed Securities, Options Purchased, Other
Interests, Rights and Warrants. |
|
|
|
|
|
|
|
|
|
| Credit Quality Allocation4,5 |
|
8/31/17 |
|
|
2/28/17 |
|
| A |
|
|
2 |
% |
|
|
— |
|
| BBB/Baa |
|
|
10 |
|
|
|
8 |
% |
| BB/Ba |
|
|
39 |
|
|
|
42 |
|
| B |
|
|
40 |
|
|
|
39 |
|
| CCC/Caa |
|
|
5 |
|
|
|
6 |
|
| N/R |
|
|
4 |
|
|
|
5 |
|
| |
4 |
|
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s or
Moody’s Investors Service. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are
credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| |
5 |
|
Excludes Short-Term Securities. |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 6 |
|
BLACKROCK DEBT STRATEGIES FUND, INC. |
|
AUGUST 31, 2017 |
|
|
|
|
|
| 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, their 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 respective
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.
The use of leverage also
generally causes greater changes in the Fund’s NAV, market price 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 were not leveraged. In addition, the Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as
required by the terms of leverage instruments, which may cause the Fund to incur losses. The use of leverage may limit the Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. The Fund incurs
expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the 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 adviser 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 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. These instruments are used to obtain exposure
to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets 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 and 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 instrument. The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements
accurately, which cannot be assured. The use of these 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, if any, are discussed in detail in the Notes to Consolidated Financial Statements.
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK DEBT STRATEGIES FUND, INC. |
|
AUGUST 31, 2017 |
|
7 |
|
|
|
| Schedule of Investments August 31, 2017 (Unaudited) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks |
|
|
|
|
Shares |
|
|
Value |
|
| Chemicals — 0.1% |
|
| GEO Specialty Chemicals, Inc. (a)(b)(c) |
|
|
|
|
|
|
481,806 |
|
|
$ |
154,178 |
|
| GEO Specialty Chemicals, Inc. (a)(b) |
|
|
|
|
|
|
557,488 |
|
|
|
178,396 |
|
| LyondellBasell Industries NV, Class A |
|
|
|
|
|
|
26 |
|
|
|
2,356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
334,930 |
|
| Diversified Financial Services — 0.2% |
|
| Kcad Holdings I Ltd. (a)(b) |
|
|
|
|
|
|
1,075,282,733 |
|
|
|
1,473,137 |
|
| Health Care Management Services — 0.0% |
|
| New Millennium HoldCo, Inc. (b) |
|
|
|
|
|
|
10,718 |
|
|
|
11,393 |
|
| Independent Power and Renewable Electricity Producers — 0.1% |
|
| Vistra Energy Corp. |
|
|
|
|
|
|
39,599 |
|
|
|
700,902 |
|
| Internet Software & Services — 0.0% |
|
| New Holdings LLC |
|
|
|
|
|
|
252 |
|
|
|
89,040 |
|
| Media — 0.0% |
|
| Adelphia Communications Corp., Class A (a)(b) |
|
|
|
|
|
|
400,000 |
|
|
|
4 |
|
| Adelphia Recovery Trust (b) |
|
|
|
|
|
|
396,568 |
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
8 |
|
| Metals & Mining — 0.0% |
|
| Ameriforge Group, Inc. |
|
|
|
|
|
|
1,664 |
|
|
|
51,667 |
|
| Semiconductors & Semiconductor Equipment — 0.0% |
|
| SunPower Corp. (b) |
|
|
|
|
|
|
1,707 |
|
|
|
15,090 |
|
| Specialty Retail — 0.0% |
|
| Things Remembered, Inc. (a)(b) |
|
|
|
|
|
|
1,199,043 |
|
|
|
12 |
|
| Total Common Stocks — 0.4% |
|
|
|
2,676,179 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
|
|
|
Par
(000) |
|
|
|
|
| Asset-Backed Securities — 9.9% |
|
| ACAS CLO Ltd., Series 2015-1A, Class D, (3 mo. LIBOR US + 3.650%),
4.95%, 4/18/27 (c)(d) |
|
|
USD |
|
|
|
280 |
|
|
|
278,118 |
|
| ALM VI Ltd., Series 2012-6A, Class B1RR, (3 mo. LIBOR US + 2.050%),
3.35%, 7/15/26 (c)(d) |
|
|
|
|
|
|
3,000 |
|
|
|
3,000,915 |
|
| ALM XII Ltd., Series 2015-12A (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class BR, (3 mo. LIBOR US + 2.050%), 3.35%, 4/16/27 |
|
|
|
|
|
|
1,250 |
|
|
|
1,252,401 |
|
| Class C2R, (3 mo. LIBOR US + 3.200%), 4.50%, 4/16/27 |
|
|
|
|
|
|
1,500 |
|
|
|
1,502,633 |
|
| ALM XIV Ltd., Series 2014-14A, Class C, (3 mo. LIBOR US + 3.450%),
4.76%, 7/28/26 (c)(d) |
|
|
|
|
|
|
463 |
|
|
|
464,857 |
|
| ALM XVI Ltd/ALM XVI LLC, Series 2015-16A (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class BR, (3 mo. LIBOR US + 2.050%), 3.35%, 7/15/27 |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,319 |
|
| Class C1R, (3 mo. LIBOR US + 3.200%), 4.50%, 7/15/27 |
|
|
|
|
|
|
1,650 |
|
|
|
1,635,652 |
|
| Class D, (3 mo. LIBOR US + 5.350%), 6.65%, 7/15/27 |
|
|
|
|
|
|
1,250 |
|
|
|
1,234,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Asset-Backed Securities (continued) |
|
| Anchorage Capital CLO 5 Ltd., Series 2014-5A, Class CR, (3 mo. LIBOR US
+ 2.200%), 3.50%, 10/15/26 (c)(d) |
|
|
USD |
|
|
|
2,000 |
|
|
$
|
2,004,363 |
|
| Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class CR, (3 mo. LIBOR US
+ 2.400%), 3.70%, 7/15/30 (c)(d) |
|
|
|
|
|
|
700 |
|
|
|
700,473 |
|
| Anchorage Capital CLO Ltd., Series 2014-4A, Class CR, (3 mo. LIBOR US +
3.400%), 4.71%, 7/28/26 (c)(d) |
|
|
|
|
|
|
2,250 |
|
|
|
2,249,453 |
|
| Apidos CDO, Series 2015-21A, Class C, (3 mo. LIBOR US + 3.550%),
4.85%, 7/18/27 (c)(d) |
|
|
|
|
|
|
1,650 |
|
|
|
1,655,777 |
|
| Ares CLO Ltd. (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-38A, Class D, (3 mo. LIBOR US + 4.150%),
5.46%, 1/20/27 |
|
|
|
|
|
|
1,000 |
|
|
|
1,005,856 |
|
| Series 2016-41A, Class D, (3 mo. LIBOR US + 4.200%),
5.50%, 1/15/29 |
|
|
|
|
|
|
450 |
|
|
|
456,088 |
|
| Ares XLIV CLO, Ltd., Series 2017-44A (a)(c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class C, (3 mo. LIBOR US + 3.450%), 4.76%, 10/15/29 |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,000 |
|
| Class D, (3 mo. LIBOR US + 6.550%), 7.86%, 10/15/29 |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,000 |
|
| Ares XXVII CLO Ltd., Series 2013-2A (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class DR, (3 mo. LIBOR US + 3.750%), 5.00%, 7/28/29 |
|
|
|
|
|
|
1,000 |
|
|
|
1,008,673 |
|
| Class CR, (3 mo. LIBOR US + 2.400%), 3.65%, 7/28/29 |
|
|
|
|
|
|
1,400 |
|
|
|
1,412,486 |
|
| Arrowpoint CLO Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR + 4.680%),
6.00%, 11/15/28 (c)(d) |
|
|
|
|
|
|
800 |
|
|
|
810,258 |
|
| Atlas Senior Loan Fund VI Ltd., Series 2014-6A, Class DR, (3 mo. LIBOR
US + 3.600%), 4.90%, 10/15/26 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,001,551 |
|
| BlueMountain CLO Ltd. (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-3A, Class CR, (3 mo. LIBOR US + 3.200%),
4.50%, 10/15/26 |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,531 |
|
| Series 2015-2A, Class E, (3 mo. LIBOR US + 5.350%),
6.65%, 7/18/27 |
|
|
|
|
|
|
250 |
|
|
|
246,623 |
|
| Burnham Park CLO Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 3.850%), 5.16%,
10/20/29 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,010,945 |
|
| Carlyle Global Market Strategies CLO Ltd. (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2012-4A, Class DR, (3 mo. LIBOR US + 4.100%),
5.41%, 1/20/29 |
|
|
|
|
|
|
1,000 |
|
|
|
1,016,760 |
|
|
|
|
|
|
|
|
|
|
|
|
| CDO |
|
Collateralized Debt Obligation |
|
ETF |
|
Exchange-Traded Fund |
|
LIBOR |
|
London Interbank Offered Rate |
| CLO |
|
Collateralized Loan Obligation |
|
EUR |
|
Euro |
|
PIK |
|
Payment-In-Kind |
| DIP |
|
Debtor-In-Possession |
|
EURIBOR |
|
Euro Interbank Offered Rate |
|
USD |
|
U.S. Dollar |
| EBITDA |
|
Earnings Before Interest, Taxes, Depreciation and Amortization |
|
GBP |
|
British Pound |
|
|
|
|
|
|
|
|
|
|
|
| See Notes to Consolidated Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
| 8 |
|
BLACKROCK DEBT STRATEGIES FUND, INC. |
|
AUGUST 31, 2017 |
|
|
|
|
|
| Schedule of Investments (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Asset-Backed Securities (continued) |
|
| Carlyle Global Market Strategies CLO Ltd. (c)(d) (continued): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.750%),
4.05%, 4/17/25 |
|
|
USD |
|
|
|
1,500 |
|
|
$
|
1,506,010 |
|
| Series 2015-1A, Class CR, (3 mo. LIBOR US + 2.000%),
3.31%, 4/20/27 |
|
|
|
|
|
|
1,250 |
|
|
|
1,252,535 |
|
| Series 2015-1A, Class E1, (3 mo. LIBOR US + 5.300%),
6.61%, 4/20/27 |
|
|
|
|
|
|
1,000 |
|
|
|
986,430 |
|
| Series 2015-2A, Class C, (3 mo. LIBOR US + 3.750%),
5.07%, 4/27/27 |
|
|
|
|
|
|
250 |
|
|
|
250,439 |
|
| Series 2015-2A, Class D, (3 mo. LIBOR US + 5.300%),
6.62%, 4/27/27 |
|
|
|
|
|
|
1,000 |
|
|
|
988,577 |
|
| Catskill Park CLO, Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 3.700%), 4.79%,
4/20/29 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,351 |
|
| Cedar Funding IV CLO, Ltd., Series 2014-4A, Class DR, (3 mo. LIBOR US +
3.650%), 4.96%, 7/23/30 (c)(d) |
|
|
|
|
|
|
1,500 |
|
|
|
1,500,013 |
|
| CIFC Funding III Ltd., Series 2014-3A, Class C1R, (3 mo. LIBOR US + 1.900%), 3.21%,
7/22/26 (c)(d) |
|
|
|
|
|
|
1,375 |
|
|
|
1,375,173 |
|
| CIFC Funding Ltd. (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2012-3A, Class B1R, (3 mo. LIBOR US + 4.000%),
5.31%, 1/29/25 |
|
|
|
|
|
|
1,000 |
|
|
|
1,004,308 |
|
| Series 2014-3A, Class DR, (3 mo. LIBOR US + 3.150%),
4.46%, 7/22/26 |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,511 |
|
| CIFC Funding V Ltd., Series 2015-5A, Class D, (3 mo. LIBOR US + 6.300%), 7.61%,
10/25/27 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
995,653 |
|
| Dryden 49 Senior Loan Fund, Series 2017-49A, Class D, (3 mo. LIBOR US +
3.650%), 4.98%, 7/18/30 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,736 |
|
| Dryden Senior Loan Fund, Series 2014-36A, Class DR, (3 mo. LIBOR US +
4.240%), 5.54%, 1/15/28 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,013,900 |
|
| Goldentree Loan Opportunities XI, Ltd., Series 2015-11A, Class E,
(3 mo. LIBOR US + 5.550%), 6.85%, 4/18/27 (c)(d) |
|
|
|
|
|
|
750 |
|
|
|
749,165 |
|
| Highbridge Loan Management Ltd. (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 5A-2015, Class C1R, (3 mo. LIBOR US + 2.100%),
3.41%, 1/29/26 |
|
|
|
|
|
|
1,250 |
|
|
|
1,253,153 |
|
| Series 5A-2015, Class C2R, (3 mo. LIBOR US + 2.100%),
3.41%, 1/29/26 |
|
|
|
|
|
|
500 |
|
|
|
501,261 |
|
| Series 5A-2015, Class D1R, (3 mo. LIBOR US + 3.300%),
4.61%, 1/29/26 |
|
|
|
|
|
|
1,250 |
|
|
|
1,250,650 |
|
| Series 6A-2015, Class D, (3 mo. LIBOR US + 3.650%),
4.96%, 5/05/27 |
|
|
|
|
|
|
300 |
|
|
|
300,195 |
|
| Series 6A-2015, Class E1, (3 mo. LIBOR US + 5.450%),
6.76%, 5/05/27 |
|
|
|
|
|
|
1,250 |
|
|
|
1,211,302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Asset-Backed Securities (continued) |
|
| LCM XV LP, Series 15A (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class CR, (3 mo. LIBOR US + 2.400%), 3.59%, 7/20/30 |
|
|
USD |
|
|
|
2,250 |
|
|
$
|
2,268,116 |
|
| Class DR, (3 mo. LIBOR US + 3.700%), 4.89%, 7/20/30 |
|
|
|
|
|
|
1,250 |
|
|
|
1,251,907 |
|
| LCM XXV, Ltd., Series 25A, Class D, (3 mo. LIBOR US + 3.450%), 4.76%, 7/20/30 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,707 |
|
| Madison Park Funding X, Ltd., Series 2012-10A, Class DR, (3 mo. LIBOR US
+ 4.200%), 5.51%, 1/20/29 (c)(d) |
|
|
|
|
|
|
1,500 |
|
|
|
1,524,490 |
|
| Madison Park Funding XIV Ltd., Series 2014-14A, Class DR, (3 mo. LIBOR
US + 3.250%), 4.56%, 7/20/26 (c)(d) |
|
|
|
|
|
|
1,014 |
|
|
|
1,014,518 |
|
| Madison Park Funding XVI Ltd., Series 2015-16A, Class D, (3 mo. LIBOR US
+ 5.500%), 6.81%, 4/20/26 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
998,875 |
|
| Neuberger Berman CLO XVII Ltd., Series 2014-17A, Class DR, (3 mo. LIBOR
US + 3.650%), 4.96%, 4/22/29 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
999,752 |
|
| Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class CR, (3 mo. LIBOR
US + 4.250%), 5.56%, 11/14/27 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,007,771 |
|
| Neuberger Berman CLO XXII Ltd., Series 2016-22A, Class E, (3 mo. LIBOR
US + 6.750%), 8.05%, 10/17/27 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,005,050 |
|
| Neuberger Berman CLO XXIII Ltd., Series 2016-23A, Class E, (3 mo. LIBOR
US + 6.580%), 7.88%, 10/17/27 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
998,737 |
|
| OCP CLO Ltd., Series 2012-2A, Class DR, (3 mo. LIBOR US + 4.470%),
5.78%, 11/22/25 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,005,988 |
|
| Octagon Investment Partners XXII, Ltd., (3 mo. LIBOR US + 2.100%),
3.41%, 11/25/25 (c)(d) |
|
|
|
|
|
|
1,500 |
|
|
|
1,502,692 |
|
| OZLM Funding IV Ltd., (3 mo. LIBOR USA + 2.350%) 3.50%, 10/22/30 (c)(d)(e) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,000 |
|
| OZLM Funding, Ltd., Series 2012-1A (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class BR2, (3 mo. LIBOR US + 2.300%), 3.61%, 7/23/29 |
|
|
|
|
|
|
1,000 |
|
|
|
1,001,981 |
|
| Class CR2, (3 mo. LIBOR US + 3.600%), 4.91%, 7/23/29 |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,670 |
|
| OZLM IX Ltd., Series 2014-9A Class CR, (3 mo. LIBOR US + 3.550%),
4.86%, 1/20/27 (c)(d) |
|
|
|
|
|
|
750 |
|
|
|
750,889 |
|
| Palmer Square CLO Ltd., Series 2015-2A (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class CR, (3 mo. LIBOR US + 3.700%), 5.01%, 7/20/30 |
|
|
|
|
|
|
1,200 |
|
|
|
1,200,740 |
|
| Class DR, (3 mo. LIBOR US + 6.500%), 7.81%, 7/20/30 |
|
|
|
|
|
|
1,000 |
|
|
|
977,445 |
|
| Sound Point CLO III, Ltd., Series 2013-2A, Class DR, (3 mo. LIBOR US +
3.350%), 4.65%, 7/15/25 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,019 |
|
|
|
|
|
|
|
|
| See Notes to Consolidated Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK DEBT STRATEGIES FUND, INC. |
|
AUGUST 31, 2017 |
|
9 |
|
|
|
| Schedule of Investments (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Asset-Backed Securities (continued) |
|
| Sound Point CLO IV Ltd., Series 2013-3A (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class CR, (3 mo. LIBOR US + 2.250%), 3.56%, 1/21/26 |
|
|
USD |
|
|
|
1,000 |
|
|
$
|
1,001,096 |
|
| Class DR, (3 mo. LIBOR US + 3.400%), 4.71%, 1/21/26 |
|
|
|
|
|
|
500 |
|
|
|
500,233 |
|
| Symphony CLO Ltd., (3 mo. LIBOR US + 3.65%) 4.95%, 7/15/28 (c)(d) |
|
|
|
|
|
|
1,700 |
|
|
|
1,708,311 |
|
| THL Credit Wind River 2014-3 CLO, Ltd.,
Series 2014-3A, Class C1R, (3 mo. LIBOR US + 2.200%), 3.51%, 1/22/27 (c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
1,002,282 |
|
| Webster Park CLO Ltd., Series 2015-1A (c)(d): |
|
|
|
|
|
|
|
|
|
|
|
|
| Class B1, (3 mo. LIBOR US + 3.100%), 4.41%, 1/20/27 |
|
|
|
|
|
|
500 |
|
|
|
500,537 |
|
| Class C, (3 mo. LIBOR US + 4.050%), 5.36%, 1/20/27 |
|
|
|
|
|
|
500 |
|
|
|
504,883 |
|
| York CLO 1, Ltd., Series 2014-1A, Class CR, (3
mo. LIBOR US + 2.350%), 3.66%, 1/22/27 (c)(d) |
|
|
|
|
|
|
1,500 |
|
|
|
1,493,720 |
|
| Total Asset-Backed Securities — 9.9% |
|
|
|
75,311,172 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
|
|
|
|
|
| Aerospace & Defense — 1.6% |
|
| Arconic, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.13%, 10/01/24 |
|
|
|
|
|
|
1,687 |
|
|
|
1,788,220 |
|
| 5.90%, 2/01/27 |
|
|
|
|
|
|
280 |
|
|
|
305,200 |
|
| 6.75%, 1/15/28 |
|
|
|
|
|
|
180 |
|
|
|
205,200 |
|
| Bombardier, Inc. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.00%, 10/15/22 |
|
|
|
|
|
|
1,356 |
|
|
|
1,376,340 |
|
| 6.13%, 1/15/23 |
|
|
|
|
|
|
648 |
|
|
|
664,809 |
|
| 7.50%, 3/15/25 |
|
|
|
|
|
|
1,032 |
|
|
|
1,098,435 |
|
| Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (c) |
|
|
|
|
|
|
307 |
|
|
|
316,210 |
|
| KLX, Inc., 5.88%, 12/01/22 (c) |
|
|
|
|
|
|
1,617 |
|
|
|
1,695,829 |
|
| Koppers, Inc., 6.00%, 2/15/25 (c) |
|
|
|
|
|
|
606 |
|
|
|
642,360 |
|
| Kratos Defense & Security Solutions, Inc., 7.00%, 5/15/19 |
|
|
|
|
|
|
200 |
|
|
|
203,000 |
|
| TransDigm, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.00%, 7/15/22 |
|
|
|
|
|
|
2,218 |
|
|
|
2,295,630 |
|
| 6.50%, 7/15/24 |
|
|
|
|
|
|
1,309 |
|
|
|
1,359,724 |
|
| 6.50%, 5/15/25 |
|
|
|
|
|
|
160 |
|
|
|
164,800 |
|
| 6.38%, 6/15/26 |
|
|
|
|
|
|
223 |
|
|
|
229,411 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
12,345,168 |
|
| Air Freight & Logistics — 0.3% |
|
| XPO Logistics, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.75%, 6/15/21 |
|
|
EUR |
|
|
|
100 |
|
|
|
123,780 |
|
| 6.50%, 6/15/22 (c) |
|
|
USD |
|
|
|
1,974 |
|
|
|
2,076,845 |
|
| 6.13%, 9/01/23 (c) |
|
|
|
|
|
|
71 |
|
|
|
74,106 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
2,274,731 |
|
| Airlines — 0.6% |
|
| Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18
(c) |
|
|
|
|
|
|
712 |
|
|
|
729,800 |
|
| Continental Airlines Pass-Through Trust, Series 2012-3, Class C,
6.13%, 4/29/18 |
|
|
|
|
|
|
2,390 |
|
|
|
2,440,071 |
|
| US Airways Pass-Through Trust, Series 2013-1, Class B,
5.38%, 5/15/23 |
|
|
|
|
|
|
1,075 |
|
|
|
1,139,151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Airlines (continued) |
|
| Virgin Australia Trust, Series 2013-1, Class C, 7.13%, 10/23/18
(c) |
|
|
USD |
|
|
|
396 |
|
|
$
|
406,391 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
4,715,413 |
|
| Auto Components — 1.0% |
|
| Allison Transmission, Inc., 5.00%, 10/01/24 (c) |
|
|
|
|
|
|
685 |
|
|
|
705,550 |
|
| Gestamp Funding Luxembourg SA, 3.50%, 5/15/23 |
|
|
EUR |
|
|
|
100 |
|
|
|
124,527 |
|
| Goodyear Tire & Rubber Co., 5.00%, 5/31/26 |
|
|
USD |
|
|
|
133 |
|
|
|
138,819 |
|
| HP Pelzer Holding GmbH, 4.13%, 4/01/24 |
|
|
EUR |
|
|
|
100 |
|
|
|
122,170 |
|
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.88%, 3/15/19 |
|
|
USD |
|
|
|
4,609 |
|
|
|
4,655,090 |
|
| 6.25%, 2/01/22 |
|
|
|
|
|
|
319 |
|
|
|
328,969 |
|
| 6.75%, 2/01/24 |
|
|
|
|
|
|
151 |
|
|
|
158,973 |
|
| IHO Verwaltungs GmbH (f): |
|
|
|
|
|
|
|
|
|
|
|
|
| (2.75% Cash or 3.50% PIK), 2.75%, 9/15/21 |
|
|
EUR |
|
|
|
100 |
|
|
|
122,080 |
|
| (3.25% Cash or 4.00% PIK), 3.25%, 9/15/23 |
|
|
|
|
|
|
100 |
|
|
|
123,038 |
|
| (3.75% Cash or 4.50% PIK), 3.75%, 9/15/26 |
|
|
|
|
|
|
100 |
|
|
|
124,759 |
|
| Jaguar Land Rover Automotive PLC, 5.63%, 2/01/23 (c) |
|
|
USD |
|
|
|
425 |
|
|
|
439,343 |
|
| Tesla, Inc., 5.30%, 8/15/25 (c) |
|
|
|
|
|
|
454 |
|
|
|
447,735 |
|
| Venture Holdings Co. LLC (a)(b)(g): |
|
|
|
|
|
|
|
|
|
|
|
|
| 12.00%, 6/01/09 |
|
|
|
|
|
|
5,150 |
|
|
|
1 |
|
| Series B, 9.50%, 7/01/05 |
|
|
|
|
|
|
5,125 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
7,491,055 |
|
| Banks — 0.3% |
|
| Allied Irish Banks PLC, (5 year EUR Swap + 3.950%), 4.13%, 11/26/25 (h) |
|
|
EUR |
|
|
|
100 |
|
|
|
127,527 |
|
| Banco Espirito Santo SA (b)(g): |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.63%, 5/08/17 |
|
|
|
|
|
|
100 |
|
|
|
35,862 |
|
| 4.75%, 1/15/18 |
|
|
|
|
|
|
200 |
|
|
|
71,725 |
|
| 4.00%, 1/21/19 |
|
|
|
|
|
|
100 |
|
|
|
35,862 |
|
| Banco Popolare, 2.75%, 7/27/20 |
|
|
|
|
|
|
100 |
|
|
|
124,214 |
|
| Bank of Ireland, (5 year EUR Swap + 3.550%), 4.25%, 6/11/24 (h) |
|
|
|
|
|
|
100 |
|
|
|
125,720 |
|
| Bankia SA (h): |
|
|
|
|
|
|
|
|
|
|
|
|
| (5 year EUR Swap + 3.166%), 4.00%, 5/22/24 |
|
|
|
|
|
|
200 |
|
|
|
247,756 |
|
| (5 year EUR Swap + 3.350%), 3.38%, 3/15/27 |
|
|
|
|
|
|
100 |
|
|
|
124,016 |
|
| CaixaBank SA, (5 year EUR Swap + 3.350%), 3.50%, 2/15/27 (h) |
|
|
|
|
|
|
100 |
|
|
|
126,307 |
|
| CIT Group, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.50%, 2/15/19 (c) |
|
|
USD |
|
|
|
1,036 |
|
|
|
1,083,915 |
|
| 5.00%, 8/15/22 |
|
|
|
|
|
|
74 |
|
|
|
80,098 |
|
| 5.00%, 8/01/23 |
|
|
|
|
|
|
130 |
|
|
|
141,212 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
2,324,214 |
|
| Building Materials — 0.0% |
|
| Titan Global Finance PLC, 3.50%, 6/17/21 |
|
|
EUR |
|
|
|
100 |
|
|
|
127,693 |
|
| Building Products — 0.5% |
|
| American Builders & Contractors Supply Co., Inc. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.63%, 4/15/21 |
|
|
USD |
|
|
|
84 |
|
|
|
86,310 |
|
| 5.75%, 12/15/23 |
|
|
|
|
|
|
415 |
|
|
|
436,269 |
|
|
|
|
|
|
|
|
| See Notes to Consolidated Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
| 10 |
|
BLACKROCK DEBT STRATEGIES FUND, INC. |
|
AUGUST 31, 2017 |
|
|
|
|
|
| Schedule of Investments (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Building Products (continued) |
|
| Building Materials Corp. of America (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.38%, 11/15/24 |
|
|
USD |
|
|
|
85 |
|
|
$
|
88,825 |
|
| 6.00%, 10/15/25 |
|
|
|
|
|
|
664 |
|
|
|
713,800 |
|
| CPG Merger Sub LLC, 8.00%, 10/01/21 (c) |
|
|
|
|
|
|
666 |
|
|
|
690,975 |
|
| Masonite International Corp., 5.63%, 3/15/23 (c) |
|
|
|
|
|
|
579 |
|
|
|
603,608 |
|
| Ply Gem Industries, Inc., 6.50%, 2/01/22 |
|
|
|
|
|
|
472 |
|
|
|
492,060 |
|
| Standard Industries, Inc., 5.50%, 2/15/23 (c) |
|
|
|
|
|
|
303 |
|
|
|
319,286 |
|
| USG Corp., 4.88%, 6/01/27 (c) |
|
|
|
|
|
|
214 |
|
|
|
219,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
3,650,483 |
|
| Capital Markets — 0.6% |
|
| Blackstone CQP Holdco LP (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.50%, 3/20/21 |
|
|
|
|
|
|
3,526 |
|
|
|
3,634,495 |
|
| 6.00%, 8/18/21 |
|
|
|
|
|
|
576 |
|
|
|
575,325 |
|
| LPL Holdings, Inc., 5.75%, 9/15/25 (c) |
|
|
|
|
|
|
149 |
|
|
|
156,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
4,365,897 |
|
| Chemicals — 3.1% |
|
| Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 2/01/25 (c) |
|
|
|
|
|
|
1,100 |
|
|
|
1,130,250 |
|
| Axalta Coating Systems Dutch Holding B BV, 3.75%, 1/15/25 |
|
|
EUR |
|
|
|
100 |
|
|
|
125,376 |
|
| Axalta Coating Systems LLC, 4.88%, 8/15/24 (c) |
|
|
USD |
|
|
|
325 |
|
|
|
332,313 |
|
| Blue Cube Spinco, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.75%, 10/15/23 |
|
|
|
|
|
|
366 |
|
|
|
443,775 |
|
| 10.00%, 10/15/25 |
|
|
|
|
|
|
316 |
|
|
|
389,470 |
|
| CF Industries, Inc., 5.15%, 3/15/34 |
|
|
|
|
|
|
185 |
|
|
|
174,825 |
|
| Chemours Co.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.63%, 5/15/23 |
|
|
|
|
|
|
270 |
|
|
|
286,538 |
|
| 7.00%, 5/15/25 |
|
|
|
|
|
|
321 |
|
|
|
353,903 |
|
| 5.38%, 5/15/27 |
|
|
|
|
|
|
312 |
|
|
|
325,260 |
|
| GEO Specialty Chemicals, Inc., 7.50%, 10/30/18 (a)(c) |
|
|
|
|
|
|
6,891 |
|
|
|
9,735,259 |
|
| Hexion, Inc., 10.38%, 2/01/22 (c) |
|
|
|
|
|
|
311 |
|
|
|
303,225 |
|
| Huntsman International LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.13%, 4/15/21 |
|
|
EUR |
|
|
|
100 |
|
|
|
135,414 |
|
| 5.13%, 11/15/22 |
|
|
USD |
|
|
|
1,101 |
|
|
|
1,164,307 |
|
| Ineos Finance PLC, 4.00%, 5/01/23 |
|
|
EUR |
|
|
|
100 |
|
|
|
123,207 |
|
| INEOS Group Holdings SA, 5.38%, 8/01/24 |
|
|
|
|
|
|
100 |
|
|
|
127,182 |
|
| Inovyn Finance PLC, 6.25%, 5/15/21 |
|
|
|
|
|
|
80 |
|
|
|
99,284 |
|
| Momentive Performance Materials, Inc., 3.88%, 10/24/21 |
|
|
USD |
|
|
|
2,675 |
|
|
|
2,681,687 |
|
| NOVA Chemicals Corp. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.88%, 6/01/24 |
|
|
|
|
|
|
350 |
|
|
|
350,000 |
|
| 5.25%, 6/01/27 |
|
|
|
|
|
|
567 |
|
|
|
565,582 |
|
| Platform Specialty Products Corp. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 10.38%, 5/01/21 |
|
|
|
|
|
|
506 |
|
|
|
554,702 |
|
| 6.50%, 2/01/22 |
|
|
|
|
|
|
2,570 |
|
|
|
2,666,375 |
|
| PQ Corp., 6.75%, 11/15/22 (c) |
|
|
|
|
|
|
759 |
|
|
|
821,617 |
|
| PSPC Escrow Corp., 6.00%, 2/01/23 |
|
|
EUR |
|
|
|
100 |
|
|
|
124,997 |
|
| Tronox Finance LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.38%, 8/15/20 |
|
|
USD |
|
|
|
128 |
|
|
|
130,080 |
|
| 7.50%, 3/15/22 (c) |
|
|
|
|
|
|
172 |
|
|
|
180,170 |
|
| WR Grace & Co-Conn, 5.13%, 10/01/21 (c) |
|
|
|
|
|
|
118 |
|
|
|
128,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
23,453,123 |
|
| Commercial Services & Supplies — 0.7% |
|
| ADT Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.50%, 7/15/22 |
|
|
|
|
|
|
141 |
|
|
|
140,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Commercial Services & Supplies (continued) |
|
| ADT Corp. (continued): |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.13%, 6/15/23 |
|
|
USD |
|
|
|
330 |
|
|
$
|
334,125 |
|
| 4.88%, 7/15/32 (c) |
|
|
|
|
|
|
1,054 |
|
|
|
976,267 |
|
| Advanced Disposal Services, Inc., 5.63%, 11/15/24 (c) |
|
|
|
|
|
|
608 |
|
|
|
632,320 |
|
| CD&R Waterworks Merger Sub LLC, 6.13%, 8/15/25 (c) |
|
|
|
|
|
|
205 |
|
|
|
209,100 |
|
| Harland Clarke Holdings Corp., 8.38%, 8/15/22 (c) |
|
|
|
|
|
|
740 |
|
|
|
790,875 |
|
| KAR Auction Services, Inc., 5.13%, 6/01/25 (c) |
|
|
|
|
|
|
628 |
|
|
|
649,478 |
|
| La Financiere Atalian SAS, 4.00%, 5/15/24 |
|
|
EUR |
|
|
|
100 |
|
|
|
124,104 |
|
| Mobile Mini, Inc., 5.88%, 7/01/24 |
|
|
USD |
|
|
|
104 |
|
|
|
107,640 |
|
| Paprec Holding SA, 5.25%, 4/01/22 |
|
|
EUR |
|
|
|
100 |
|
|
|
124,402 |
|
| Park Aerospace Holdings Ltd., 5.25%, 8/15/22 (c) |
|
|
USD |
|
|
|
645 |
|
|
|
672,413 |
|
| Ritchie Bros Auctioneers, Inc., 5.38%, 1/15/25 (c) |
|
|
|
|
|
|
302 |
|
|
|
314,080 |
|
| United Rentals North America, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.63%, 4/15/22 |
|
|
|
|
|
|
174 |
|
|
|
181,482 |
|
| 5.75%, 11/15/24 |
|
|
|
|
|
|
165 |
|
|
|
176,600 |
|
| Verisure Holding AB, 6.00%, 11/01/22 |
|
|
EUR |
|
|
|
113 |
|
|
|
145,052 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
5,578,487 |
|
| Communications Equipment — 0.7% |
|
| CommScope Technologies Finance LLC, 6.00%, 6/15/25 (c) |
|
|
|
|
|
|
105 |
|
|
|
111,563 |
|
| CommScope Technologies LLC, 5.00%, 3/15/27 (c) |
|
|
|
|
|
|
1,007 |
|
|
|
1,003,526 |
|
| CommScope, Inc., 5.50%, 6/15/24 (c) |
|
|
|
|
|
|
227 |
|
|
|
236,647 |
|
| Zayo Group LLC/Zayo Capital, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.00%, 4/01/23 |
|
|
|
|
|
|
3,045 |
|
|
|
3,222,980 |
|
| 6.38%, 5/15/25 |
|
|
|
|
|
|
175 |
|
|
|
188,071 |
|
| 5.75%, 1/15/27 (c) |
|
|
|
|
|
|
576 |
|
|
|
611,268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
5,374,055 |
|
| Construction & Engineering — 0.5% |
|
| BlueLine Rental Finance Corp., 9.25%, 3/15/24 (c) |
|
|
|
|
|
|
1,697 |
|
|
|
1,852,954 |
|
| Brand Energy & Infrastructure Services, Inc., 8.50%, 7/15/25 (c) |
|
|
|
|
|
|
832 |
|
|
|
896,480 |
|
| Engility Corp., 8.88%, 9/01/24 |
|
|
|
|
|
|
468 |
|
|
|
510,705 |
|
| SPIE SA, 3.13%, 3/22/24 |
|
|
EUR |
|
|
|
100 |
|
|
|
123,867 |
|
| Tutor Perini Corp., 6.88%, 5/01/25 (c) |
|
|
USD |
|
|
|
182 |
|
|
|
195,650 |
|
| Weekley Homes LLC/Weekley Finance Corp., 6.63%, 8/15/25 (c) |
|
|
|
|
|
|
152 |
|
|
|
147,440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
3,727,096 |
|
| Construction Materials — 0.5% |
|
| Allegion US Holding Co., Inc., 5.75%, 10/01/21 |
|
|
|
|
|
|
117 |
|
|
|
120,583 |
|
| American Tire Distributors, Inc., 10.25%, 3/01/22 (c) |
|
|
|
|
|
|
384 |
|
|
|
396,480 |
|
| HD Supply, Inc., 5.75%, 4/15/24 (c) |
|
|
|
|
|
|
2,029 |
|
|
|
2,176,102 |
|
| LKQ Italia Bondco SpA, 3.88%, 4/01/24 |
|
|
EUR |
|
|
|
100 |
|
|
|
130,057 |
|
| PulteGroup, Inc., 5.50%, 3/01/26 |
|
|
USD |
|
|
|
446 |
|
|
|
479,450 |
|
| Rexel SA, 3.50%, 6/15/23 |
|
|
EUR |
|
|
|
130 |
|
|
|
162,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
3,465,671 |
|
| Consumer Discretionary — 0.2% |
|
| Arch Merger Sub, Inc., 8.50%, 9/15/25 (c) |
|
|
USD |
|
|
|
610 |
|
|
|
590,937 |
|
| Nielsen Co. Luxembourg SARL, 5.00%, 2/01/25 (c) |
|
|
|
|
|
|
471 |
|
|
|
486,308 |
|
|
|
|
|
|
|
|
| See Notes to Consolidated Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK DEBT STRATEGIES FUND, INC. |
|
AUGUST 31, 2017 |
|
11 |
|
|
|
| Schedule of Investments (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Consumer Discretionary (continued) |
|
| ServiceMaster Co. LLC, 5.13%, 11/15/24 (c) |
|
|
USD |
|
|
|
156 |
|
|
$
|
160,290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
1,237,535 |
|
| Consumer Finance — 0.9% |
|
| Ally Financial, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.25%, 12/01/17 |
|
|
|
|
|
|
30 |
|
|
|
30,300 |
|
| 5.13%, 9/30/24 |
|
|
|
|
|
|
1,207 |
|
|
|
1,300,543 |
|
| 4.63%, 3/30/25 |
|
|
|
|
|
|
216 |
|
|
|
225,180 |
|
| 8.00%, 11/01/31 |
|
|
|
|
|
|
2,439 |
|
|
|
3,140,213 |
|
| CDK Global, Inc., 4.88%, 6/01/27 (c) |
|
|
|
|
|
|
333 |
|
|
|
337,995 |
|
| IHS Markit Ltd., 4.75%, 2/15/25 (c) |
|
|
|
|
|
|
213 |
|
|
|
226,845 |
|
| Navient Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.63%, 7/26/21 |
|
|
|
|
|
|
297 |
|
|
|
316,676 |
|
| 5.50%, 1/25/23 |
|
|
|
|
|
|
345 |
|
|
|
348,450 |
|
| 7.25%, 9/25/23 |
|
|
|
|
|
|
10 |
|
|
|
10,846 |
|
| 6.13%, 3/25/24 |
|
|
|
|
|
|
237 |
|
|
|
241,740 |
|
| 5.88%, 10/25/24 |
|
|
|
|
|
|
258 |
|
|
|
260,709 |
|
| 5.63%, 8/01/33 |
|
|
|
|
|
|
260 |
|
|
|
217,750 |
|
| OneMain Financial Holdings LLC (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.75%, 12/15/19 |
|
|
|
|
|
|
439 |
|
|
|
458,206 |
|
| 7.25%, 12/15/21 |
|
|
|
|
|
|
71 |
|
|
|
74,461 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
7,189,914 |
|
| Containers & Packaging — 2.1% |
|
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.00%, 6/30/21 (c) |
|
|
|
|
|
|
1,270 |
|
|
|
1,303,973 |
|
| 4.63%, 5/15/23 (c) |
|
|
|
|
|
|
223 |
|
|
|
229,133 |
|
| 2.75%, 3/15/24 |
|
|
EUR |
|
|
|
125 |
|
|
|
152,526 |
|
| 6.75%, 5/15/24 |
|
|
|
|
|
|
125 |
|
|
|
166,663 |
|
| 7.25%, 5/15/24 (c) |
|
|
USD |
|
|
|
2,485 |
|
|
|
2,741,203 |
|
| 6.00%, 2/15/25 (c) |
|
|
|
|
|
|
1,418 |
|
|
|
1,510,170 |
|
| 4.75%, 7/15/27 |
|
|
GBP |
|
|
|
100 |
|
|
|
130,773 |
|
| Ball Corp., 5.00%, 3/15/22 |
|
|
USD |
|
|
|
158 |
|
|
|
169,060 |
|
| BWAY Holding Co., 5.50%, 4/15/24 (c) |
|
|
|
|
|
|
1,144 |
|
|
|
1,194,050 |
|
| Crown European Holdings SA, 4.00%, 7/15/22 |
|
|
EUR |
|
|
|
220 |
|
|
|
293,170 |
|
| Horizon Holdings I SASU, 7.25%, 8/01/23 |
|
|
|
|
|
|
100 |
|
|
|
127,378 |
|
| International Paper Co., 7.30%, 11/15/39 |
|
|
USD |
|
|
|
5 |
|
|
|
6,944 |
|
| JH-Holding Finance SA, (8.25% PIK), 8.25%, 12/01/22 (f) |
|
|
EUR |
|
|
|
100 |
|
|
|
130,301 |
|
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.75%, 10/15/20 |
|
|
USD |
|
|
|
1,571 |
|
|
|
1,600,283 |
|
| 6.88%, 2/15/21 |
|
|
|
|
|
|
172 |
|
|
|
176,930 |
|
| (3 mo. LIBOR US + 3.500%), 4.80%, 7/15/21 (c)(d) |
|
|
|
|
|
|
1,435 |
|
|
|
1,461,906 |
|
| 5.13%, 7/15/23 (c) |
|
|
|
|
|
|
372 |
|
|
|
387,695 |
|
| 7.00%, 7/15/24 (c) |
|
|
|
|
|
|
1,882 |
|
|
|
2,016,092 |
|
| Sappi Papier Holding GmbH, 4.00%, 4/01/23 |
|
|
EUR |
|
|
|
100 |
|
|
|
125,680 |
|
| Sealed Air Corp., 4.50%, 9/15/23 |
|
|
|
|
|
|
100 |
|
|
|
134,983 |
|
| Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%, 5/01/22 (c) |
|
|
USD |
|
|
|
1,771 |
|
|
|
1,828,558 |
|
| Silgan Holdings, Inc., 3.25%, 3/15/25 |
|
|
EUR |
|
|
|
100 |
|
|
|
122,468 |
|
| Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (c) |
|
|
USD |
|
|
|
200 |
|
|
|
204,000 |
|
| Verallia Packaging SASU, 5.13%, 8/01/22 |
|
|
EUR |
|
|
|
100 |
|
|
|
126,104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
16,340,043 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Diversified Consumer Services — 0.8% |
|
| APX Group, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.38%, 12/01/19 |
|
|
USD |
|
|
|
106 |
|
|
$
|
108,369 |
|
| 8.75%, 12/01/20 |
|
|
|
|
|
|
331 |
|
|
|
340,930 |
|
| 7.88%, 12/01/22 |
|
|
|
|
|
|
696 |
|
|
|
755,160 |
|
| GW Honos Security Corp., 8.75%, 5/15/25 (c) |
|
|
|
|
|
|
113 |
|
|
|
120,653 |
|
| Laureate Education, Inc., 8.25%, 5/01/25 (c) |
|
|
|
|
|
|
119 |
|
|
|
129,413 |
|
| Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23 (c) |
|
|
|
|
|
|
4,035 |
|
|
|
4,458,675 |
|
| Service Corp. International, 4.50%, 11/15/20 |
|
|
|
|
|
|
307 |
|
|
|
311,221 |
|
| Sotheby’s, 5.25%, 10/01/22 (c) |
|
|
|
|
|
|
220 |
|
|
|
225,775 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
6,450,196 |
|
| Diversified Financial Services — 0.4% |
|
| Aircastle Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.13%, 3/15/21 |
|
|
|
|
|
|
33 |
|
|
|
34,980 |
|
| 5.50%, 2/15/22 |
|
|
|
|
|
|
139 |
|
|
|
151,510 |
|
| Arrow Global Finance PLC, (3 mo. Euribor + 2.875%), 2.88%, 4/01/25 (d) |
|
|
EUR |
|
|
|
100 |
|
|
|
119,305 |
|
| ASP AMC Merger Sub, Inc., 8.00%, 5/15/25 (c) |
|
|
USD |
|
|
|
79 |
|
|
|
75,050 |
|
| CNH Industrial Finance Europe SA, 1.38%, 5/23/22 |
|
|
EUR |
|
|
|
100 |
|
|
|
120,843 |
|
| FBM Finance, Inc., 8.25%, 8/15/21 (c) |
|
|
USD |
|
|
|
350 |
|
|
|
373,625 |
|
| Intrum Justitia AB, (3 mo. Euribor + 2.625%), 2.63%, 7/15/22 (d) |
|
|
EUR |
|
|
|
100 |
|
|
|
120,832 |
|
| Jefferies Finance LLC/JFIN Co-Issuer Corp. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.38%, 4/01/20 |
|
|
USD |
|
|
|
625 |
|
|
|
643,750 |
|
| 6.88%, 4/15/22 |
|
|
|
|
|
|
516 |
|
|
|
516,000 |
|
| ProGroup AG, 5.13%, 5/01/22 |
|
|
EUR |
|
|
|
130 |
|
|
|
162,955 |
|
| Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 6/01/25 (c) |
|
|
USD |
|
|
|
306 |
|
|
|
312,885 |
|
| UniCredit SpA: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.95%, 10/31/22 |
|
|
EUR |
|
|
|
100 |
|
|
|
144,571 |
|
| (5 year EUR Swap + 4.316%), 4.38%, 1/03/27 (h) |
|
|
|
|
|
|
100 |
|
|
|
127,785 |
|
| WMG Acquisition Corp., 4.13%, 11/01/24 |
|
|
|
|
|
|
100 |
|
|
|
125,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
3,030,041 |
|
| Diversified Telecommunication Services — 1.8% |
|
| CenturyLink, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| Series P, 7.60%, 9/15/39 |
|
|
USD |
|
|
|
117 |
|
|
|
103,253 |
|
| Series S, 6.45%, 6/15/21 |
|
|
|
|
|
|
1,753 |
|
|
|
1,834,076 |
|
| Series U, 7.65%, 3/15/42 |
|
|
|
|
|
|
401 |
|
|
|
352,880 |
|
| Cincinnati Bell, Inc., 7.00%, 7/15/24 (c) |
|
|
|
|
|
|
1,054 |
|
|
|
1,043,460 |
|
| Frontier Communications Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.25%, 9/15/21 |
|
|
|
|
|
|
143 |
|
|
|
121,908 |
|
| 7.13%, 1/15/23 |
|
|
|
|
|
|
235 |
|
|
|
184,475 |
|
| 7.63%, 4/15/24 |
|
|
|
|
|
|
751 |
|
|
|
593,290 |
|
| 6.88%, 1/15/25 |
|
|
|
|
|
|
1,750 |
|
|
|
1,330,000 |
|
| Level 3 Financing, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| (6 mo. LIBOR US + 3.500%), 4.94%, 1/15/18 (d) |
|
|
|
|
|
|
646 |
|
|
|
647,615 |
|
| 5.38%, 8/15/22 |
|
|
|
|
|
|
713 |
|
|
|
733,534 |
|
| 5.13%, 5/01/23 |
|
|
|
|
|
|
1,120 |
|
|
|
1,138,200 |
|
| 5.38%, 1/15/24 |
|
|
|
|
|
|
646 |
|
|
|
660,341 |
|
| 5.38%, 5/01/25 |
|
|
|
|
|
|
758 |
|
|
|
778,845 |
|
| 5.25%, 3/15/26 |
|
|
|
|
|
|
263 |
|
|
|
268,918 |
|
| OTE PLC, 3.50%, 7/09/20 |
|
|
EUR |
|
|
|
100 |
|
|
|
124,993 |
|
|
|
|
|
|
|
|
| See Notes to Consolidated Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
| 12 |
|
BLACKROCK DEBT STRATEGIES FUND, INC. |
|
AUGUST 31, 2017 |
|
|
|
|
|
| Schedule of Investments (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Diversified Telecommunication Services (continued) |
|
| SoftBank Group Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| (5 year USD ICE Swap + 4.854%), 6.88% (h)(i) |
|
|
USD |
|
|
|
200 |
|
|
$
|
205,800 |
|
| 4.75%, 7/30/25 |
|
|
EUR |
|
|
|
129 |
|
|
|
172,629 |
|
| Telecom Italia Capital SA: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.38%, 11/15/33 |
|
|
USD |
|
|
|
579 |
|
|
|
661,507 |
|
| 6.00%, 9/30/34 |
|
|
|
|
|
|
662 |
|
|
|
731,510 |
|
| 7.20%, 7/18/36 |
|
|
|
|
|
|
397 |
|
|
|
494,265 |
|
| 7.72%, 6/04/38 |
|
|
|
|
|
|
59 |
|
|
|
75,803 |
|
| Telecom Italia Finance SA, 7.75%, 1/24/33 |
|
|
EUR |
|
|
|
100 |
|
|
|
174,855 |
|
| Telecom Italia SpA: |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.25%, 1/16/23 |
|
|
|
|
|
|
150 |
|
|
|
197,197 |
|
| 5.30%, 5/30/24 (c) |
|
|
USD |
|
|
|
905 |
|
|
|
979,662 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
13,609,016 |
|
| Electric Utilities — 0.1% |
|
| AES Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.88%, 5/15/23 |
|
|
|
|
|
|
170 |
|
|
|
173,825 |
|
| 5.13%, 9/01/27 |
|
|
|
|
|
|
270 |
|
|
|
274,725 |
|
| Talen Energy Supply LLC, 6.50%, 6/01/25 |
|
|
|
|
|
|
45 |
|
|
|
32,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
481,400 |
|
| Electrical Equipment — 0.0% |
|
| Areva SA, 4.88%, 9/23/24 |
|
|
EUR |
|
|
|
100 |
|
|
|
132,265 |
|
| Belden, Inc., 5.50%, 4/15/23 |
|
|
|
|
|
|
109 |
|
|
|
136,679 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
268,944 |
|
| Electronic Equipment, Instruments & Components — 0.4% |
|
| CDW LLC/CDW Finance Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.00%, 9/01/23 |
|
|
USD |
|
|
|
101 |
|
|
|
105,166 |
|
| 5.50%, 12/01/24 |
|
|
|
|
|
|
2,275 |
|
|
|
2,493,969 |
|
| SESI LLC, 7.75%, 9/15/24 (c) |
|
|
|
|
|
|
265 |
|
|
|
267,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
2,866,785 |
|
| Energy Equipment & Services — 0.7% |
|
| Ensco PLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.50%, 10/01/24 |
|
|
|
|
|
|
175 |
|
|
|
127,750 |
|
| 5.20%, 3/15/25 |
|
|
|
|
|
|
55 |
|
|
|
40,975 |
|
| Gates Global LLC/Gates Global Co.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.75%, 7/15/22 |
|
|
EUR |
|
|
|
100 |
|
|
|
121,366 |
|
| 6.00%, 7/15/22 (c) |
|
|
USD |
|
|
|
892 |
|
|
|
914,122 |
|
| Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21 |
|
|
|
|
|
|
103 |
|
|
|
103,000 |
|
| GrafTech International Ltd., 6.38%, 11/15/20 |
|
|
|
|
|
|
150 |
|
|
|
139,125 |
|
| Noble Holding International Ltd., 4.63%, 3/01/21 |
|
|
|
|
|
|
22 |
|
|
|
18,755 |
|
| Pioneer Energy Services Corp., 6.13%, 3/15/22 |
|
|
|
|
|
|
740 |
|
|
|
588,300 |
|
| Precision Drilling Corp., 6.50%, 12/15/21 |
|
|
|
|
|
|
5 |
|
|
|
4,850 |
|
| Transocean, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.00%, 3/15/18 |
|
|
|
|
|
|
194 |
|
|
|
197,638 |
|
| 5.80%, 10/15/22 |
|
|
|
|
|
|
240 |
|
|
|
227,400 |
|
| 9.00%, 7/15/23 (c) |
|
|
|
|
|
|
859 |
|
|
|
912,687 |
|
| 6.80%, 3/15/38 |
|
|
|
|
|
|
375 |
|
|
|
286,875 |
|
| Trinidad Drilling Ltd., 6.63%, 2/15/25 (c) |
|
|
|
|
|
|
724 |
|
|
|
669,700 |
|
| Weatherford International Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.75%, 6/15/21 |
|
|
|
|
|
|
215 |
|
|
|
215,000 |
|
| 8.25%, 6/15/23 |
|
|
|
|
|
|
240 |
|
|
|
235,200 |
|
| 9.88%, 2/15/24 (c) |
|
|
|
|
|
|
356 |
|
|
|
364,010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
5,166,753 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Environmental, Maintenance, & Security Service — 0.2% |
|
| Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18 |
|
|
EUR |
|
|
|
100 |
|
|
$
|
119,531 |
|
| Tervita Escrow Corp., 7.63%, 12/01/21 (c) |
|
|
USD |
|
|
|
1,094 |
|
|
|
1,099,470 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
1,219,001 |
|
| Food & Staples Retailing — 0.6% |
|
| Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.63%, 6/15/24 |
|
|
|
|
|
|
204 |
|
|
|
194,718 |
|
| 5.75%, 3/15/25 |
|
|
|
|
|
|
54 |
|
|
|
48,667 |
|
| B&M European Value Retail SA, 4.13%, 2/01/22 |
|
|
GBP |
|
|
|
100 |
|
|
|
134,483 |
|
| Casino Guichard Perrachon SA: |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.56%, 1/25/23 |
|
|
EUR |
|
|
|
100 |
|
|
|
134,399 |
|
| 4.50%, 3/07/24 |
|
|
|
|
|
|
200 |
|
|
|
266,149 |
|
| Dollar Tree, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.25%, 3/01/20 |
|
|
USD |
|
|
|
69 |
|
|
|
70,941 |
|
| 5.75%, 3/01/23 |
|
|
|
|
|
|
2,882 |
|
|
|
3,040,510 |
|
| Rite Aid Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.75%, 6/15/21 |
|
|
|
|
|
|
20 |
|
|
|
20,700 |
|
| 6.13%, 4/01/23 (c) |
|
|
|
|
|
|
524 |
|
|
|
514,175 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
4,424,742 |
|
| Food Products — 0.7% |
|
| Acosta, Inc., 7.75%, 10/01/22 (c) |
|
|
|
|
|
|
272 |
|
|
|
203,320 |
|
| B&G Foods, Inc., 5.25%, 4/01/25 |
|
|
|
|
|
|
325 |
|
|
|
333,938 |
|
| Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 4/15/25 (c) |
|
|
|
|
|
|
598 |
|
|
|
650,325 |
|
| FAGE International SA/FAGE USA Dairy Industry, Inc., 5.63%, 8/15/26 (c) |
|
|
|
|
|
|
200 |
|
|
|
204,000 |
|
| JBS USA LLC/JBS USA Finance, Inc., 5.75%, 6/15/25 (c) |
|
|
|
|
|
|
957 |
|
|
|
959,392 |
|
| Post Holdings, Inc. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.50%, 3/01/25 |
|
|
|
|
|
|
70 |
|
|
|
72,800 |
|
| 5.00%, 8/15/26 |
|
|
|
|
|
|
2,342 |
|
|
|
2,342,000 |
|
| 5.75%, 3/01/27 |
|
|
|
|
|
|
111 |
|
|
|
114,885 |
|
| TreeHouse Foods, Inc., 6.00%, 2/15/24 (c) |
|
|
|
|
|
|
274 |
|
|
|
289,755 |
|
| WhiteWave Foods Co., 5.38%, 10/01/22 |
|
|
|
|
|
|
239 |
|
|
|
270,044 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
5,440,459 |
|
| Health Care Equipment & Supplies — 0.8% |
|
| Crimson Merger Sub, Inc., 6.63%, 5/15/22 (c) |
|
|
|
|
|
|
2,051 |
|
|
|
2,009,980 |
|
| DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (c) |
|
|
|
|
|
|
1,690 |
|
|
|
1,606,007 |
|
| IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19 |
|
|
|
|
|
|
600 |
|
|
|
600,000 |
|
| Mallinckrodt International Finance SA/Mallinckrodt CB LLC (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.88%, 4/15/20 |
|
|
|
|
|
|
350 |
|
|
|
347,375 |
|
| 5.75%, 8/01/22 |
|
|
|
|
|
|
1,020 |
|
|
|
1,004,700 |
|
| 5.63%, 10/15/23 |
|
|
|
|
|
|
414 |
|
|
|
396,405 |
|
| 5.50%, 4/15/25 |
|
|
|
|
|
|
125 |
|
|
|
116,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
6,081,029 |
|
| Health Care Providers & Services — 3.5% |
|
| Acadia Healthcare Co., Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.13%, 7/01/22 |
|
|
|
|
|
|
708 |
|
|
|
732,780 |
|
| 5.63%, 2/15/23 |
|
|
|
|
|
|
229 |
|
|
|
238,732 |
|
| 6.50%, 3/01/24 |
|
|
|
|
|
|
122 |
|
|
|
131,150 |
|
| Alere, Inc., 6.38%, 7/01/23 (c) |
|
|
|
|
|
|
406 |
|
|
|
434,420 |
|
| Amsurg Corp., 5.63%, 7/15/22 |
|
|
|
|
|
|
2,812 |
|
|
|
2,924,480 |
|
| Centene Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.63%, 2/15/21 |
|
|
|
|
|
|
716 |
|
|
|
744,640 |
|
|
|
|
|
|
|
|
| See Notes to Consolidated Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK DEBT STRATEGIES FUND, INC. |
|
AUGUST 31, 2017 |
|
13 |
|
|
|
| Schedule of Investments (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Health Care Providers & Services (continued) |
|
| Centene Corp. (continued): |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.75%, 5/15/22 |
|
|
USD |
|
|
|
67 |
|
|
$
|
70,317 |
|
| 6.13%, 2/15/24 |
|
|
|
|
|
|
311 |
|
|
|
334,714 |
|
| 4.75%, 1/15/25 |
|
|
|
|
|
|
855 |
|
|
|
882,787 |
|
| CHS/Community Health Systems, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.00%, 11/15/19 |
|
|
|
|
|
|
400 |
|
|
|
396,500 |
|
| 7.13%, 7/15/20 |
|
|
|
|
|
|
252 |
|
|
|
237,038 |
|
| 5.13%, 8/01/21 |
|
|
|
|
|
|
498 |
|
|
|
498,622 |
|
| 6.88%, 2/01/22 |
|
|
|
|
|
|
154 |
|
|
|
127,628 |
|
| 6.25%, 3/31/23 |
|
|
|
|
|
|
1,017 |
|
|
|
1,024,627 |
|
| DaVita, Inc., 5.13%, 7/15/24 |
|
|
|
|
|
|
517 |
|
|
|
527,663 |
|
| Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 5/15/22 (c)(f) |
|
|
|
|
|
|
342 |
|
|
|
353,542 |
|
| Envision Healthcare Corp., 6.25%, 12/01/24 (c) |
|
|
|
|
|
|
449 |
|
|
|
483,797 |
|
| HCA, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.50%, 2/15/20 |
|
|
|
|
|
|
175 |
|
|
|
190,572 |
|
| 5.88%, 3/15/22 |
|
|
|
|
|
|
778 |
|
|
|
861,946 |
|
| 5.00%, 3/15/24 |
|
|
|
|
|
|
450 |
|
|
|
478,125 |
|
| 5.38%, 2/01/25 |
|
|
|
|
|
|
733 |
|
|
|
773,315 |
|
| 5.88%, 2/15/26 |
|
|
|
|
|
|
1,572 |
|
|
|
1,695,795 |
|
| 5.25%, 6/15/26 |
|
|
|
|
|
|
1,179 |
|
|
|
1,268,899 |
|
| 4.50%, 2/15/27 |
|
|
|
|
|
|
265 |
|
|
|
268,644 |
|
| 5.50%, 6/15/47 |
|
|
|
|
|
|
1,593 |
|
|
|
1,646,764 |
|
| HealthSouth Corp., 5.75%, 11/01/24 |
|
|
|
|
|
|
179 |
|
|
|
184,370 |
|
| Hologic, Inc., 5.25%, 7/15/22 (c) |
|
|
|
|
|
|
475 |
|
|
|
500,080 |
|
| MEDNAX, Inc., 5.25%, 12/01/23 (c) |
|
|
|
|
|
|
574 |
|
|
|
594,090 |
|
| MPH Acquisition Holdings LLC, 7.13%, 6/01/24 (c) |
|
|
|
|
|
|
1,803 |
|
|
|
1,933,717 |
|
| RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23 (c) |
|
|
|
|
|
|
539 |
|
|
|
572,014 |
|
| Sterigenics-Nordion Holdings LLC, 6.50%, 5/15/23 (c) |
|
|
|
|
|
|
128 |
|
|
|
131,840 |
|
| Surgery Center Holdings, Inc., 8.88%, 4/15/21 (c) |
|
|
|
|
|
|
322 |
|
|
|
330,855 |
|
| Tenet Healthcare Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.00%, 10/01/20 |
|
|
|
|
|
|
1,395 |
|
|
|
1,485,243 |
|
| 7.50%, 1/01/22 (c) |
|
|
|
|
|
|
254 |
|
|
|
273,685 |
|
| 8.13%, 4/01/22 |
|
|
|
|
|
|
2,540 |
|
|
|
2,667,000 |
|
| 4.63%, 7/15/24 (c) |
|
|
|
|
|
|
243 |
|
|
|
242,951 |
|
| THC Escrow Corp. III, 5.13%, 5/01/25 (c) |
|
|
|
|
|
|
213 |
|
|
|
214,321 |
|
| Vizient, Inc., 10.38%, 3/01/24 (c) |
|
|
|
|
|
|
200 |
|
|
|
230,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
26,687,663 |
|
| Health Care Technology — 0.0% |
|
| Quintiles IMS, Inc., 3.25%, 3/15/25 (c) |
|
|
EUR |
|
|
|
100 |
|
|
|
122,440 |
|
| Hotels, Restaurants & Leisure — 2.1% |
|
| Burger King France SAS: |
|
|
|
|
|
|
|
|
|
|
|
|
| (3 mo. Euribor + 5.250%), 5.25%, 5/01/23 (d) |
|
|
|
|
|
|
100 |
|
|
|
123,027 |
|
| 6.00%, 5/01/24 |
|
|
|
|
|
|
100 |
|
|
|
127,825 |
|
| Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20 |
|
|
USD |
|
|
|
1,428 |
|
|
|
1,463,700 |
|
| Codere Finance 2 Luxembourg SA, 6.75%, 11/01/21 |
|
|
EUR |
|
|
|
100 |
|
|
|
122,162 |
|
| ESH Hospitality, Inc., 5.25%, 5/01/25 (c) |
|
|
USD |
|
|
|
183 |
|
|
|
188,490 |
|
| GLP Capital LP/GLP Financing II, Inc., 5.38%, 4/15/26 |
|
|
|
|
|
|
99 |
|
|
|
107,415 |
|
| Jacobs Entertainment, Inc., 7.88%, 2/01/24 (c) |
|
|
|
|
|
|
165 |
|
|
|
177,788 |
|
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.00%, 6/01/24 |
|
|
|
|
|
|
66 |
|
|
|
68,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Hotels, Restaurants & Leisure (continued) |
|
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (c) (continued): |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.25%, 6/01/26 |
|
|
USD |
|
|
|
234 |
|
|
$
|
246,578 |
|
| KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.75%, 6/01/27 (c) |
|
|
|
|
|
|
223 |
|
|
|
228,854 |
|
| MGM Resorts International: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.25%, 3/31/20 |
|
|
|
|
|
|
1,261 |
|
|
|
1,330,355 |
|
| 6.75%, 10/01/20 |
|
|
|
|
|
|
275 |
|
|
|
305,250 |
|
| 6.63%, 12/15/21 |
|
|
|
|
|
|
1,352 |
|
|
|
1,517,620 |
|
| 4.63%, 9/01/26 |
|
|
|
|
|
|
987 |
|
|
|
1,004,263 |
|
| New Red Finance, Inc. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.25%, 5/15/24 |
|
|
|
|
|
|
7 |
|
|
|
7,088 |
|
| 5.00%, 10/15/25 (e) |
|
|
|
|
|
|
1,162 |
|
|
|
1,192,502 |
|
| Sabre GLBL, Inc., 5.25%, 11/15/23 (c) |
|
|
|
|
|
|
221 |
|
|
|
226,525 |
|
| Scientific Games International, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.00%, 1/01/22 (c) |
|
|
|
|
|
|
2,714 |
|
|
|
2,897,195 |
|
| 10.00%, 12/01/22 |
|
|
|
|
|
|
2,189 |
|
|
|
2,435,262 |
|
| Six Flags Entertainment Corp. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.88%, 7/31/24 |
|
|
|
|
|
|
543 |
|
|
|
547,778 |
|
| 5.50%, 4/15/27 |
|
|
|
|
|
|
257 |
|
|
|
262,782 |
|
| Station Casinos LLC, 7.50%, 3/01/21 |
|
|
|
|
|
|
969 |
|
|
|
1,005,337 |
|
| Stonegate Pub Co. Financing PLC, 4.88%, 3/15/22 |
|
|
GBP |
|
|
|
100 |
|
|
|
131,551 |
|
| Unique Pub Finance Co. PLC, Series A4, 5.66%, 6/30/27 |
|
|
|
|
|
|
80 |
|
|
|
115,752 |
|
| Vue International Bidco PLC, 7.88%, 7/15/20 |
|
|
|
|
|
|
147 |
|
|
|
194,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
16,028,344 |
|
| Household Durables — 0.6% |
|
| Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (c) |
|
|
USD |
|
|
|
285 |
|
|
|
297,112 |
|
| CalAtlantic Group, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.38%, 1/15/21 |
|
|
|
|
|
|
1,090 |
|
|
|
1,269,850 |
|
| 5.25%, 6/01/26 |
|
|
|
|
|
|
193 |
|
|
|
198,790 |
|
| K Hovnanian Enterprises, Inc. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 10.00%, 7/15/22 |
|
|
|
|
|
|
147 |
|
|
|
150,675 |
|
| 10.50%, 7/15/24 |
|
|
|
|
|
|
131 |
|
|
|
136,895 |
|
| Lennar Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.75%, 11/15/22 |
|
|
|
|
|
|
118 |
|
|
|
123,310 |
|
| 4.88%, 12/15/23 |
|
|
|
|
|
|
265 |
|
|
|
280,237 |
|
| Ryland Group, Inc., 6.63%, 5/01/20 |
|
|
|
|
|
|
130 |
|
|
|
143,325 |
|
| Tempur Sealy International, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.63%, 10/15/23 |
|
|
|
|
|
|
146 |
|
|
|
152,023 |
|
| 5.50%, 6/15/26 |
|
|
|
|
|
|
725 |
|
|
|
748,309 |
|
| Toll Brothers Finance Corp., 6.75%, 11/01/19 |
|
|
|
|
|
|
110 |
|
|
|
119,763 |
|
| TRI Pointe Group, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.38%, 6/15/19 |
|
|
|
|
|
|
435 |
|
|
|
443,700 |
|
| 4.88%, 7/01/21 |
|
|
|
|
|
|
525 |
|
|
|
548,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
4,612,614 |
|
| Independent Power and Renewable Electricity Producers — 0.4% |
|
| AES Corp., 6.00%, 5/15/26 |
|
|
|
|
|
|
201 |
|
|
|
214,568 |
|
| Calpine Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.38%, 1/15/23 |
|
|
|
|
|
|
128 |
|
|
|
121,760 |
|
| 5.25%, 6/01/26 (c) |
|
|
|
|
|
|
91 |
|
|
|
89,180 |
|
| Dynegy, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.38%, 11/01/22 |
|
|
|
|
|
|
231 |
|
|
|
239,085 |
|
| 8.13%, 1/30/26 (c) |
|
|
|
|
|
|
217 |
|
|
|
224,053 |
|
| NRG Energy, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.88%, 5/15/21 |
|
|
|
|
|
|
124 |
|
|
|
128,030 |
|
| 6.63%, 1/15/27 |
|
|
|
|
|
|
1,358 |
|
|
|
1,425,900 |
|
|
|
|
|
|
|
|
| See Notes to Consolidated Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
| 14 |
|
BLACKROCK DEBT STRATEGIES FUND, INC. |
|
AUGUST 31, 2017 |
|
|
|
|
|
| Schedule of Investments (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Independent Power and Renewable Electricity Producers (continued) |
|
| NRG Yield Operating LLC, 5.38%, 8/15/24 |
|
|
USD |
|
|
|
195 |
|
|
$
|
203,775 |
|
| QEP Resources, Inc., 5.38%, 10/01/22 |
|
|
|
|
|
|
515 |
|
|
|
495,687 |
|
| TerraForm Power Operating LLC, 6.38%, 2/01/23 (c)(j) |
|
|
|
|
|
|
205 |
|
|
|
212,175 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
3,354,213 |
|
| Industrial Conglomerates — 0.3% |
|
| Colfax Corp., 3.25%, 5/15/25 |
|
|
EUR |
|
|
|
100 |
|
|
|
121,747 |
|
| Vertiv Group Corp., 9.25%, 10/15/24 (c) |
|
|
USD |
|
|
|
1,747 |
|
|
|
1,943,537 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
2,065,284 |
|
| Insurance — 0.5% |
|
| Ardonagh Midco 3 PLC, 8.38%, 7/15/23 |
|
|
GBP |
|
|
|
100 |
|
|
|
125,584 |
|
| Assicurazioni Generali SpA (d): |
|
|
|
|
|
|
|
|
|
|
|
|
| (3 mo. Euribor + 7.113%), 7.75%, 12/12/42 |
|
|
EUR |
|
|
|
100 |
|
|
|
150,294 |
|
| (3 mo. Euribor + 5.350%), 5.50%, 10/27/47 |
|
|
|
|
|
|
100 |
|
|
|
137,420 |
|
| Groupama SA, 6.00%, 1/23/27 |
|
|
|
|
|
|
100 |
|
|
|
146,426 |
|
| HUB International Ltd., 7.88%, 10/01/21 (c) |
|
|
USD |
|
|
|
1,138 |
|
|
|
1,183,179 |
|
| Old Mutual PLC, 8.00%, 6/03/21 |
|
|
GBP |
|
|
|
100 |
|
|
|
149,838 |
|
| USIS Merger Sub, Inc., 6.88%, 5/01/25 (c) |
|
|
USD |
|
|
|
23 |
|
|
|
23,431 |
|
| Wayne Merger Sub LLC, 8.25%, 8/01/23 (c) |
|
|
|
|
|
|
1,560 |
|
|
|
1,638,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
3,554,172 |
|
| Internet Software & Services — 0.3% |
|
| Equinix, Inc., 5.88%, 1/15/26 |
|
|
|
|
|
|
997 |
|
|
|
1,094,208 |
|
| IAC/InterActiveCorp, 4.88%, 11/30/18 |
|
|
|
|
|
|
327 |
|
|
|
328,635 |
|
| Netflix, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.38%, 11/15/26 (c) |
|
|
|
|
|
|
134 |
|
|
|
130,650 |
|
| 3.63%, 5/15/27 |
|
|
EUR |
|
|
|
100 |
|
|
|
120,357 |
|
| Symantec Corp., 5.00%, 4/15/25 (c) |
|
|
USD |
|
|
|
422 |
|
|
|
441,918 |
|
| United Group BV: |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.38%, 7/01/22 |
|
|
EUR |
|
|
|
126 |
|
|
|
152,716 |
|
| (3 mo. Euribor + 4.375%), 4.38%, 7/01/23 (d) |
|
|
|
|
|
|
100 |
|
|
|
120,087 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
2,388,571 |
|
| IT Services — 1.4% |
|
| Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (c) |
|
|
USD |
|
|
|
795 |
|
|
|
841,706 |
|
| First Data Corp. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.00%, 12/01/23 |
|
|
|
|
|
|
3,353 |
|
|
|
3,612,858 |
|
| 5.75%, 1/15/24 |
|
|
|
|
|
|
5,296 |
|
|
|
5,574,040 |
|
| Gartner, Inc., 5.13%, 4/01/25 (c) |
|
|
|
|
|
|
320 |
|
|
|
337,200 |
|
| WEX, Inc., 4.75%, 2/01/23 (c) |
|
|
|
|
|
|
601 |
|
|
|
616,776 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
10,982,580 |
|
| Machinery — 0.3% |
|
| EnPro Industries, Inc., 5.88%, 9/15/22 (c) |
|
|
|
|
|
|
292 |
|
|
|
304,410 |
|
| SPX FLOW, Inc. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.63%, 8/15/24 |
|
|
|
|
|
|
359 |
|
|
|
370,667 |
|
| 5.88%, 8/15/26 |
|
|
|
|
|
|
359 |
|
|
|
375,155 |
|
| Terex Corp., 5.63%, 2/01/25 (c) |
|
|
|
|
|
|
940 |
|
|
|
984,650 |
|
| Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 6.38%, 5/01/22 |
|
|
EUR |
|
|
|
100 |
|
|
|
127,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
2,162,725 |
|
| Media — 8.2% |
|
| Altice Financing SA, 7.50%, 5/15/26 (c) |
|
|
USD |
|
|
|
1,995 |
|
|
|
2,184,924 |
|
| Altice Finco SA, 8.13%, 1/15/24 (c) |
|
|
|
|
|
|
200 |
|
|
|
216,190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Media (continued) |
|
| Altice Luxembourg SA: |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.75%, 5/15/22 (c) |
|
|
USD |
|
|
|
1,110 |
|
|
$
|
1,177,987 |
|
| 6.25%, 2/15/25 |
|
|
EUR |
|
|
|
100 |
|
|
|
129,277 |
|
| 7.63%, 2/15/25 (c) |
|
|
USD |
|
|
|
203 |
|
|
|
219,687 |
|
| Altice US Finance I Corp. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.38%, 7/15/23 |
|
|
|
|
|
|
2,707 |
|
|
|
2,835,582 |
|
| 5.50%, 5/15/26 |
|
|
|
|
|
|
637 |
|
|
|
674,026 |
|
| AMC Networks, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.00%, 4/01/24 |
|
|
|
|
|
|
259 |
|
|
|
267,094 |
|
| 4.75%, 8/01/25 |
|
|
|
|
|
|
625 |
|
|
|
627,344 |
|
| Cablevision Systems Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.63%, 9/15/17 |
|
|
|
|
|
|
65 |
|
|
|
65,098 |
|
| 8.00%, 4/15/20 |
|
|
|
|
|
|
502 |
|
|
|
555,337 |
|
| CBS Radio, Inc., 7.25%, 11/01/24 (c) |
|
|
|
|
|
|
159 |
|
|
|
167,348 |
|
| CCO Holdings LLC/CCO Holdings Capital Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.13%, 2/15/23 |
|
|
|
|
|
|
380 |
|
|
|
392,825 |
|
| 5.13%, 5/01/27 (c) |
|
|
|
|
|
|
4,806 |
|
|
|
4,950,180 |
|
| 5.00%, 2/01/28 (c) |
|
|
|
|
|
|
490 |
|
|
|
498,271 |
|
| Cequel Communications Holdings I LLC/Cequel Capital Corp. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.38%, 9/15/20 |
|
|
|
|
|
|
294 |
|
|
|
300,703 |
|
| 5.13%, 12/15/21 |
|
|
|
|
|
|
1,670 |
|
|
|
1,699,225 |
|
| 7.75%, 7/15/25 |
|
|
|
|
|
|
2,044 |
|
|
|
2,256,065 |
|
| Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 7/23/25 |
|
|
|
|
|
|
1,300 |
|
|
|
1,392,653 |
|
| Clear Channel International BV, 8.75%, 12/15/20 (c) |
|
|
|
|
|
|
762 |
|
|
|
796,290 |
|
| Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.50%, 11/15/22 |
|
|
|
|
|
|
6,300 |
|
|
|
6,477,187 |
|
| Series B, 7.63%, 3/15/20 |
|
|
|
|
|
|
2,419 |
|
|
|
2,409,929 |
|
| Columbus Cable Barbados Ltd., 7.38%, 3/30/21 (c) |
|
|
|
|
|
|
400 |
|
|
|
427,920 |
|
| CSC Holdings LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 10.13%, 1/15/23 (c) |
|
|
|
|
|
|
1,250 |
|
|
|
1,448,062 |
|
| 5.25%, 6/01/24 |
|
|
|
|
|
|
996 |
|
|
|
1,022,145 |
|
| 6.63%, 10/15/25 (c) |
|
|
|
|
|
|
1,298 |
|
|
|
1,421,310 |
|
| 10.88%, 10/15/25 (c) |
|
|
|
|
|
|
3,640 |
|
|
|
4,477,200 |
|
| DISH DBS Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.88%, 7/15/22 |
|
|
|
|
|
|
1,537 |
|
|
|
1,661,881 |
|
| 5.00%, 3/15/23 |
|
|
|
|
|
|
305 |
|
|
|
315,004 |
|
| 5.88%, 11/15/24 |
|
|
|
|
|
|
152 |
|
|
|
163,970 |
|
| 7.75%, 7/01/26 |
|
|
|
|
|
|
2,068 |
|
|
|
2,427,315 |
|
| eircom Finance DAC, 4.50%, 5/31/22 |
|
|
EUR |
|
|
|
100 |
|
|
|
124,253 |
|
| Hughes Satellite Systems Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.25%, 8/01/26 |
|
|
USD |
|
|
|
1,433 |
|
|
|
1,502,859 |
|
| 6.63%, 8/01/26 |
|
|
|
|
|
|
381 |
|
|
|
415,766 |
|
| iHeartCommunications, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.00%, 12/15/19 |
|
|
|
|
|
|
492 |
|
|
|
391,140 |
|
| 9.00%, 3/01/21 |
|
|
|
|
|
|
160 |
|
|
|
116,400 |
|
| 10.63%, 3/15/23 |
|
|
|
|
|
|
850 |
|
|
|
622,625 |
|
| Intelsat Jackson Holdings SA: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.50%, 8/01/23 |
|
|
|
|
|
|
23 |
|
|
|
19,205 |
|
| 9.75%, 7/15/25 (c) |
|
|
|
|
|
|
485 |
|
|
|
493,487 |
|
| LG Finance Co. Corp., 5.88%, 11/01/24 (c) |
|
|
|
|
|
|
231 |
|
|
|
241,395 |
|
| LGE HoldCo VI BV, 7.13%, 5/15/24 |
|
|
EUR |
|
|
|
100 |
|
|
|
134,223 |
|
| MDC Partners, Inc., 6.50%, 5/01/24 (c) |
|
|
USD |
|
|
|
490 |
|
|
|
488,162 |
|
| Midcontinent Communications/Midcontinent Finance Corp., 6.88%, 8/15/23 (c) |
|
|
|
|
|
|
463 |
|
|
|
497,725 |
|
| NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c) |
|
|
|
|
|
|
538 |
|
|
|
538,807 |
|
|
|
|
|
|
|
|
| See Notes to Consolidated Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
|
|
BLACKROCK DEBT STRATEGIES FUND, INC. |
|
AUGUST 31, 2017 |
|
15 |
|
|
|
| Schedule of Investments (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Media (continued) |
|
| Numericable Group SA, 5.38%, 5/15/22 |
|
|
EUR |
|
|
|
100 |
|
|
$
|
124,274 |
|
| Outfront Media Capital LLC/Outfront Media Capital Corp., 5.25%, 2/15/22 |
|
|
USD |
|
|
|
130 |
|
|
|
134,225 |
|
| SFR Group SA (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.00%, 5/15/22 |
|
|
|
|
|
|
1,192 |
|
|
|
1,256,046 |
|
| 7.38%, 5/01/26 |
|
|
|
|
|
|
4,095 |
|
|
|
4,422,682 |
|
| Sirius XM Radio, Inc., 4.63%, 5/15/23 (c) |
|
|
|
|
|
|
60 |
|
|
|
61,800 |
|
| Sterling Entertainment Corp., 9.75%, 12/15/19 (a) |
|
|
|
|
|
|
1,300 |
|
|
|
1,287,000 |
|
| TEGNA, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.13%, 10/15/19 |
|
|
|
|
|
|
215 |
|
|
|
218,225 |
|
| 5.50%, 9/15/24 (c) |
|
|
|
|
|
|
172 |
|
|
|
181,030 |
|
| Telesat Canada/Telesat LLC, 8.88%, 11/15/24 (c) |
|
|
|
|
|
|
586 |
|
|
|
656,320 |
|
| Tribune Media Co., 5.88%, 7/15/22 |
|
|
|
|
|
|
448 |
|
|
|
464,800 |
|
| Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH: |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.00%, 1/15/25 |
|
|
EUR |
|
|
|
198 |
|
|
|
249,263 |
|
| 5.00%, 1/15/25 (c) |
|
|
USD |
|
|
|
400 |
|
|
|
422,000 |
|
| Univision Communications, Inc., 5.13%, 5/15/23 (c) |
|
|
|
|
|
|
381 |
|
|
|
387,668 |
|
| Videotron Ltd., 5.13%, 4/15/27 (c) |
|
|
|
|
|
|
632 |
|
|
|
650,960 |
|
| Virgin Media Finance PLC, 5.75%, 1/15/25 (c) |
|
|
|
|
|
|
967 |
|
|
|
996,010 |
|
| Virgin Media Receivables Financing Notes I DAC, 5.50%, 9/15/24 |
|
|
GBP |
|
|
|
100 |
|
|
|
134,157 |
|
| Virgin Media Secured Finance PLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.88%, 1/15/27 |
|
|
|
|
|
|
100 |
|
|
|
134,462 |
|
| 6.25%, 3/28/29 |
|
|
|
|
|
|
233 |
|
|
|
327,987 |
|
| Wind Acquisition Finance SA: |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.00%, 4/23/21 |
|
|
EUR |
|
|
|
100 |
|
|
|
123,864 |
|
| 7.38%, 4/23/21 (c) |
|
|
USD |
|
|
|
1,205 |
|
|
|
1,252,863 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
62,729,712 |
|
| Metals & Mining — 4.1% |
|
| Alcoa Nederland Holding BV, 7.00%, 9/30/26 (c) |
|
|
|
|
|
|
270 |
|
|
|
301,725 |
|
| Anglo American Capital PLC, 3.50%, 3/28/22 |
|
|
EUR |
|
|
|
100 |
|
|
|
132,546 |
|
| ArcelorMittal: |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.13%, 1/14/22 |
|
|
|
|
|
|
100 |
|
|
|
129,411 |
|
| 7.50%, 10/15/39 |
|
|
USD |
|
|
|
178 |
|
|
|
210,485 |
|
| 7.25%, 3/01/41 |
|
|
|
|
|
|
249 |
|
|
|
288,292 |
|
| Big River Steel LLC/BRS Finance Corp., 7.25%, 9/01/25 (c) |
|
|
|
|
|
|
317 |
|
|
|
332,058 |
|
| Constellium NV (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.00%, 1/15/23 |
|
|
|
|
|
|
1,937 |
|
|
|
2,062,905 |
|
| 6.63%, 3/01/25 |
|
|
|
|
|
|
924 |
|
|
|
970,200 |
|
| First Quantum Minerals Ltd. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.00%, 2/15/21 |
|
|
|
|
|
|
730 |
|
|
|
751,444 |
|
| 7.25%, 5/15/22 |
|
|
|
|
|
|
235 |
|
|
|
241,463 |
|
| FMG Resources August 2006 Property Ltd., 9.75%, 3/01/22 (c) |
|
|
|
|
|
|
553 |
|
|
|
626,272 |
|
| Freeport-McMoRan, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.38%, 3/15/18 |
|
|
|
|
|
|
2,868 |
|
|
|
2,868,000 |
|
| 3.10%, 3/15/20 |
|
|
|
|
|
|
430 |
|
|
|
430,000 |
|
| 4.00%, 11/14/21 |
|
|
|
|
|
|
804 |
|
|
|
804,402 |
|
| 3.55%, 3/01/22 |
|
|
|
|
|
|
867 |
|
|
|
852,911 |
|
| 3.88%, 3/15/23 |
|
|
|
|
|
|
3,848 |
|
|
|
3,809,520 |
|
| 5.40%, 11/14/34 |
|
|
|
|
|
|
1,271 |
|
|
|
1,223,337 |
|
| 5.45%, 3/15/43 (e) |
|
|
|
|
|
|
1,382 |
|
|
|
1,285,260 |
|
| Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23 (c) |
|
|
|
|
|
|
542 |
|
|
|
582,650 |
|
| Joseph T Ryerson & Son, Inc., 11.00%, 5/15/22 (c) |
|
|
|
|
|
|
482 |
|
|
|
545,262 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Metals & Mining (continued) |
|
| Kinross Gold Corp., 6.88%, 9/01/41 |
|
|
USD |
|
|
|
180 |
|
|
$
|
193,050 |
|
| Novelis Corp. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.25%, 8/15/24 |
|
|
|
|
|
|
1,758 |
|
|
|
1,856,887 |
|
| 5.88%, 9/30/26 |
|
|
|
|
|
|
1,904 |
|
|
|
1,984,920 |
|
| Nyrstar Netherlands Holdings BV, 6.88%, 3/15/24 |
|
|
EUR |
|
|
|
100 |
|
|
|
122,021 |
|
| Peabody Energy Corp., 6.38%, 3/31/25 (c) |
|
|
USD |
|
|
|
252 |
|
|
|
257,040 |
|
| Steel Dynamics, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.13%, 10/01/21 |
|
|
|
|
|
|
790 |
|
|
|
810,698 |
|
| 6.38%, 8/15/22 |
|
|
|
|
|
|
595 |
|
|
|
615,825 |
|
| 5.25%, 4/15/23 |
|
|
|
|
|
|
295 |
|
|
|
305,325 |
|
| 5.50%, 10/01/24 |
|
|
|
|
|
|
138 |
|
|
|
148,178 |
|
| 5.00%, 12/15/26 |
|
|
|
|
|
|
35 |
|
|
|
37,013 |
|
| Teck Resources Ltd.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.75%, 2/01/23 |
|
|
|
|
|
|
1,348 |
|
|
|
1,357,369 |
|
| 8.50%, 6/01/24 (c) |
|
|
|
|
|
|
1,052 |
|
|
|
1,212,430 |
|
| 6.13%, 10/01/35 |
|
|
|
|
|
|
181 |
|
|
|
199,553 |
|
| 6.00%, 8/15/40 |
|
|
|
|
|
|
811 |
|
|
|
865,742 |
|
| 5.20%, 3/01/42 |
|
|
|
|
|
|
1,118 |
|
|
|
1,101,230 |
|
| 5.40%, 2/01/43 |
|
|
|
|
|
|
977 |
|
|
|
974,557 |
|
| ThyssenKrupp AG, 1.38%, 3/03/22 |
|
|
EUR |
|
|
|
75 |
|
|
|
89,661 |
|
| United States Steel Corp., 8.38%, 7/01/21 (c) |
|
|
USD |
|
|
|
624 |
|
|
|
689,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
31,269,162 |
|
| Multi-Utilities — 0.2% |
|
| NGL Energy Partners LP/NGL Energy Finance Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.88%, 10/15/21 |
|
|
|
|
|
|
390 |
|
|
|
380,250 |
|
| 7.50%, 11/01/23 |
|
|
|
|
|
|
780 |
|
|
|
750,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
1,131,000 |
|
| Multiline Retail — 0.1% |
|
| Neiman Marcus Group Ltd. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.00%, 10/15/21 |
|
|
|
|
|
|
1,035 |
|
|
|
530,438 |
|
| (8.75% Cash or 9.50% PIK), 8.75%, 10/15/21 (f) |
|
|
|
|
|
|
150 |
|
|
|
68,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
598,688 |
|
| Oil, Gas & Consumable Fuels — 6.1% |
|
| Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 4/01/22 (c) |
|
|
|
|
|
|
763 |
|
|
|
776,352 |
|
| California Resources Corp., 8.00%, 12/15/22 (c) |
|
|
|
|
|
|
391 |
|
|
|
215,539 |
|
| Carrizo Oil & Gas, Inc., 6.25%, 4/15/23 |
|
|
|
|
|
|
192 |
|
|
|
186,240 |
|
| Cheniere Corpus Christi Holdings LLC: |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.00%, 6/30/24 |
|
|
|
|
|
|
542 |
|
|
|
616,525 |
|
| 5.88%, 3/31/25 |
|
|
|
|
|
|
1,404 |
|
|
|
1,509,300 |
|
| 5.13%, 6/30/27 (c) |
|
|
|
|
|
|
952 |
|
|
|
985,320 |
|
| Chesapeake Energy Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.88%, 11/15/20 |
|
|
|
|
|
|
100 |
|
|
|
100,000 |
|
| 8.00%, 12/15/22 (c) |
|
|
|
|
|
|
125 |
|
|
|
129,219 |
|
| CONSOL Energy, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.88%, 4/15/22 |
|
|
|
|
|
|
6,328 |
|
|
|
6,328,000 |
|
| 8.00%, 4/01/23 |
|
|
|
|
|
|
40 |
|
|
|
42,200 |
|
| Continental Resources, Inc., 3.80%, 6/01/24 |
|
|
|
|
|
|
808 |
|
|
|
751,440 |
|
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 4/01/23 |
|
|
|
|
|
|
90 |
|
|
|
92,925 |
|
| CrownRock LP/CrownRock Finance, Inc. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.13%, 4/15/21 |
|
|
|
|
|
|
635 |
|
|
|
647,700 |
|
| 7.75%, 2/15/23 |
|
|
|
|
|
|
105 |
|
|
|
111,300 |
|
|
|
|
|
|
|
|
| See Notes to Consolidated Financial Statements. |
|
|
|
|
| |
|
|
|
|
|
|
| 16 |
|
BLACKROCK DEBT STRATEGIES FUND, INC. |
|
AUGUST 31, 2017 |
|
|
|
|
|
| Schedule of Investments (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
Par
(000) |
|
|
Value |
|
| Oil, Gas & Consumable Fuels (continued) |
|
| DCP Midstream LLC (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.75%, 9/30/21 |
|
|
USD |
|
|
|
745 |
|
|
$
|
763,625 |
|
| 6.45%, 11/03/36 |
|
|
|
|
|
|
250 |
|
|
|
263,125 |
|
| 6.75%, 9/15/37 |
|
|
|
|
|
|
426 |
|
|
|
451,560 |
|
| DEA Finance SA, 7.50%, 10/15/22 |
|
|
EUR |
|
|
|
100 |
|
|
|
129,401 |
|
| Denbury Resources, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.00%, 5/15/21 (c) |
|
|
USD |
|
|
|
134 |
|
|
|
119,930 |
|
| 5.50%, 5/01/22 |
|
|
|
|
|
|
690 |
|
|
|
315,675 |
|
| 4.63%, 7/15/23 |
|
|
|
|
|
|
251 |
|
|
|
110,440 |
|
| Diamond Offshore Drilling, Inc., 7.88%, 8/15/25 |
|
|
|
|
|
|
118 |
|
|
|
118,000 |
|
| Eclipse Resources Corp., 8.88%, 7/15/23 |
|
|
|
|
|
|
140 |
|
|
|
140,000 |
|
| Energy Transfer Equity LP: |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.50%, 10/15/20 |
|
|
|
|
|
|
200 |
|
|
|
225,750 |
|
| 5.88%, 1/15/24 |
|
|
|
|
|
|
838 |
|
|
|
902,945 |
|
| 5.50%, 6/01/27 |
|
|
|
|
|
|
734 |
|
|
|
781,710 |
|
| EP Energy LLC/Everest Acquisition Finance, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.38%, 5/01/20 |
|
|
|
|
|
|
493 |
|
|
|
362,971 |
|
| 8.00%, 11/29/24 (c) |
|
|
|
|
|
|
379 |
|
|
|
370,473 |
|
| Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21 (c) |
|
|
|
|
|
|
798 |
|
|
|
823,935 |
|
| Genesis Energy LP/Genesis Energy Finance Corp., 6.50%, 10/01/25 |
|
|
|
|
|
|
184 |
|
|
|
180,320 |
|
| Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (c) |
|
|
|
|
|
|
149 |
|
|
|
148,255 |
|
| Gulfport Energy Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.63%, 5/01/23 |
|
|
|
|
|
|
163 |
|
|
|
162,185 |
|
| 6.00%, 10/15/24 (c) |
|
|
|
|
|
|
342 |
|
|
|
335,160 |
|
| Halcon Resources Corp., 6.75%, 2/15/25 (c) |
|
|
|
|
|
|
1,952 |
|
|
|
1,961,760 |
|
| MEG Energy Corp. (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.38%, 1/30/23 |
|
|
|
|
|
|
54 |
|
|
|
43,133 |
|
| 7.00%, 3/31/24 |
|
|
|
|
|
|
607 |
|
|
|
482,565 |
|
| 6.50%, 1/15/25 |
|
|
|
|
|
|
1,914 |
|
|
|
1,777,627 |
|
| Murphy Oil Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.88%, 8/15/24 |
|
|
|
|
|
|
673 |
|
|
|
710,856 |
|
| 6.13%, 12/01/42 |
|
|
|
|
|
|
83 |
|
|
|
78,020 |
|
| NGPL PipeCo LLC (c): |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.38%, 8/15/22 |
|
|
|
|
|
|
240 |
|
|
|
246,600 |
|
| 4.88%, 8/15/27 |
|
|
|
|
|
|
250 |
|
|
|
257,500 |
|
| 7.77%, 12/15/37 |
|
|
|
|
|
|
1,177 |
|
|
|
1,462,422 |
|
| Noble Holding International Ltd., 7.75%, 1/15/24 |
|
|
|
|
|
|
378 |
|
|
|
291,997 |
|
| Oasis Petroleum, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.50%, 11/01/21 |
|
|
|
|
|
|
268 |
|
|
|
260,965 |
|
| 6.88%, 3/15/22 |
|
|
|
|
|
|
73 |
|
|
|
70,993 |
|
| 6.88%, 1/15/23 |
|
|
|
|
|
|
65 |
|
|
|
62,205 |
|
| ONEOK, Inc., 6.00%, 6/15/35 |
|
|
|
|
|
|
165 |
|
|
|
184,023 |
|
| Paramount Resources Ltd., 6.88%, 6/30/23 (c) |
|
|
|
|
|
|
2,515 |
|
|
|
2,615,600 |
|
| Parker Drilling Co., 7.50%, 8/01/20 |
|
|
|
|
|
|
195 |
|
|
|
167,700 |
|
| Parsley Energy LLC/Parsley Finance Corp., 5.38%, 1/15/25 (c) |
|
|
|
|
|
|
315 |
|
|
|
316,575 |
|
| Petroleos Mexicanos, 5.38%, 3/13/22 (c) |
|
|
|
|
|
|
102 |
|
|
|
109,446 |
|
| Precision Drilling Corp., 7.75%, 12/15/23 |
|
|
|
|
|
|
150 |
|
|
|
148,875 |
|
| QEP Resources, Inc., 5.25%, 5/01/23 |
|
|
|
|
|
|
95 |
|
|
|
90,250 |
|
| Range Resources Corp.: |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.88%, 7/01/22 (c) |
|