Edgar Filing: BLACKROCK DEBT STRATEGIES FUND, INC.

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 52^nd Street, New York, NY 10055

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

Date of fiscal year end: 02/28/2018

Date of reporting period: 02/28/2018

Item 1 – Report to Stockholders

FEBRUARY 28, 2018


ANNUAL REPORT

BlackRock Debt Strategies Fund, Inc. (DSU)

Not FDIC Insured • May Lose Value • No Bank Guarantee

The Markets in Review

Dear Shareholder,

In the 12 months ended February 28, 2018, assets with higher risk and return potential, such as stocks and high-yield bonds, continued to deliver strong performance. Faster global growth drove the equity market, while rising interest rates constrained bond returns.

Emerging market stocks posted the strongest performance, as accelerating growth in China, the second-largest economy in the world, improved the outlook for corporate profits and economic growth across most developing nations. Chinese demand for commodities and other raw materials allayed concerns about the country’s banking system, leading to rising equity prices and foreign investment. Higher prices for industrial metals also bolstered the outlook for emerging-market countries.

Rising interest rates worked against high-quality assets with more interest rate sensitivity. Consequently, the 10-year U.S. Treasury — a bellwether of the bond market — posted a negative return, as rising energy prices, higher wages, and steady job growth drove expectations of higher inflation and interest rate increases by the U.S. Federal Reserve (the “Fed”).

The market’s performance reflected reflationary expectations early in the reporting period, as investors began to sense that a global recovery was afoot. Thereafter, many countries 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 short-term interest rates three times during the year. In October 2017, the Fed also began to reduce its balance sheet, while setting expectations for additional rate hikes in 2018.

By contrast, the European Central Bank (“ECB”) and the Bank of Japan (“BoJ”) continued to expand their balance sheets despite nascent signs of sustained economic growth. Rising global growth and inflation, as well as limited bond supply, put steady pressure on other central banks to follow in the Fed’s footsteps. In October 2017, the ECB announced plans to cut its bond purchases in half for 2018, while the BoJ reiterated its commitment to economic stimulus, as the country’s inflation rate remained below 2.0%.

Rising consumer confidence and improving business sentiment are driving momentum for the U.S. economy. If the Fed maintains a measured pace of stimulus reduction, to the extent that inflation rises, it’s likely to be accompanied by rising real growth and higher wages. That could lead to a favorable combination of moderately higher inflation, steadily rising interest rates, and improving growth in 2018. We continue to believe the primary risks to the economic expansion are trade protectionism, rapidly rising interest rates, and geopolitical tension. In particular, we are closely monitoring trade protectionism and the rise of populism in Western nations.

In December 2017, Congress passed a sweeping tax reform bill. The U.S. tax overhaul is likely to accentuate the existing reflationary themes, including faster growth and rising interest rates. Changing the corporate tax rate to a flat 21% will create many winners and losers among high-and-low tax companies, while the windfall from lower taxes could boost business and consumer spending.

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,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of February 28, 2018
	6-month	12-month
U.S. large cap equities (S&P 500^® Index)	10.84%	17.10%
U.S. small cap equities (Russell 2000^® Index)	8.30	10.51
International equities (MSCI Europe, Australasia, Far East Index)	7.12	20.13
Emerging market equities (MSCI Emerging Markets Index)	10.58	30.51
3-month Treasury bills (ICE BofAML 3-Month U.S. Treasury Bill Index)	0.58	0.99
U.S. Treasury securities (ICE BofAML 10-Year U.S. Treasury Index)	(5.47)	(2.54)
U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index)	(2.18)	0.51
Tax-exempt municipal bonds (S&P Municipal Bond Index)	(1.15)	2.32
U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)	1.11	4.18
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 IS NOT PART OF YOUR FUND REPORT

Table of Contents


	Page
The Markets in Review		2
Annual Report:
Fund Summary		4
The Benefits and Risks of Leveraging		7
Derivative Financial Instruments		7
Financial Statements:
Schedule of Investments		8
Statement of Assets and Liabilities		34
Statement of Operations		35
Statements of Changes in Net Assets		36
Statement of Cash Flows		37
Financial Highlights		38
Notes to Financial Statements		39
Report of Independent Registered Public Accounting Firm		49
Important Tax Information		49
Automatic Dividend Reinvestment Plan		50
Director and Officer Information		51
Additional Information		54
Glossary of Terms Used in this Report		55


			3


Fund Summary as of February 28, 2018		BlackRock Debt Strategies Fund, Inc.

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 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 February 28, 2018 ($11.47)^(a)		7.17%
Current Monthly Distribution per Common Share^(b)		$0.0685
Current Annualized Distribution per Common Share^(b)		$0.8220
Economic Leverage as of February 28, 2018^(c)		31%

^(a)

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.

^(b)

The distribution rate is not constant and is subject to change.

^(c)

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


	02/28/18		02/28/17		Change			High		Low
Market Price	$	11.47	$	11.68		(1.80	)%	$	11.85	$	11.23
Net Asset Value		12.62		12.70		(0.63	)		12.81		12.45

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

LOGO


4		2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Fund Summary as of February 28, 2018 (continued)		BlackRock Debt Strategies Fund, Inc.

Performance and Portfolio Management Commentary

Returns for the period ended February 28, 2018 were as follows:


	Average Annual Total Returns
	1 Year			3 Years			5 Years
Fund at NAV^(a)(b)		6.60	%		6.69	%		6.81	%
Fund at Market Price^(a)(b)		5.35			7.51			4.41
Reference Benchmark^(c)		4.20			4.73			4.69
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index^(d)		4.18			5.20			5.34
S&P/LSTA Leveraged Loan Index^(e)		4.22			4.24			4.01

^(a)

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage.

^(b)

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.

^(c)

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.

^(d)

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.

^(e)

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.

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?

The largest sector contributors over the annual period included the technology, health care and independent energy. B-rated loan credits were the largest driver of positive performance, consistent with the Fund’s overweight positioning within the ratings spectrum. Lastly, tactical positions were substantial positive contributors to performance, including the strategy’s net long equity position and holdings of collateralized loan obligations (“CLOs”).

The sole absolute detractor came from the Fund’s sector exposure to chemicals. There were no absolute detractors from a credit rating perspective. While the Fund’s overall tactical positioning contributed positively in aggregate, exposure to convertible securities detracted from performance.

Describe recent portfolio activity.

Given the strong rally in the leveraged finance markets since the beginning of 2016, both high yield bond and leveraged loan spreads have been trading inside of historical averages. As a result, the portfolio transitioned from a moderately overweight risk position to an in-line risk position over the course of 2017 and into 2018. Throughout the period, the Fund remained focused on quality, and on more consistent cash flow credit stories where balance sheets and asset coverage were strong. The Fund remained underweight to the stressed/distressed segments of the market that carry higher yields and greater downside risk. From an asset allocation perspective, key changes included additions to the Fund’s floating rate loan interest (bank loan) and CLO allocations, and a reduction in exposure to high yield bonds. The Fund reduced sector exposure to media and retail on the view that both segments remain challenged from a fundamental perspective. By contrast, exposure to technology names was increased.

Describe portfolio positioning at period end.

The Fund’s largest credit quality exposures were to B-rated credits, followed by BB-rated issuers. The Fund had exposure to CCC-rated issuers, but continued to avoid lower-rated, riskier market segments. As credit selection remains vital to performance, the Fund maintained its up-in-quality and strong liquidity biases. Stylistically, the Fund’s core issuer and credit biases remained centered on cash flow views, determination of a specific catalyst and/or idiosyncratic characteristics. The Fund generally underweighted businesses with more cyclical income profiles or deteriorating fundamental trends. From an individual issuer perspective, the Fund’s most significant overweight positions were CenturyLink, Inc. and Level 3 Communications (wirelines); First Data Corp. (technology); and Altice and Numericable Group SA (cable & satellite). As of period end, the portfolio held most of its assets in bank loans and high yield bonds, with the remainder in CLOs, investment grade credit, equities and hybrid securities (i.e., 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.


FUND SUMMARY			5


Fund Summary as of February 28, 2018 (continued)		BlackRock Debt Strategies Fund, Inc.

Overview of the Fund’s Total Investments

PORTFOLIO COMPOSITION


	02/28/18			02/28/17
Floating Rate Loan Interests		56	%		47	%
Corporate Bonds		36			49
Asset-Backed Securities		7			2
Investment Companies		—	^(a)		1
Preferred Securities		1			1
Other		—	^(b)		—	^(c)

^(a)

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

^(b)

Includes a less than 1% holding in each of the following investment types: Common Stocks, Options Purchased, Other Interests, Rights and Warrants.

^(c)

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 ALLOCATION^(d)


	02/28/18			02/28/17
A		3	%		—	%
BBB/Baa		11			8
BB/Ba		37			42
B		38			39
CCC/Caa		5			6
N/R		6			5

^(d)

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.


6		2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

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.

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 33¹⁄₃% 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 Financial Statements.


THE BENEFITS AND RISKS OF LEVERAGING / DERIVATIVE FINANCIAL INSTRUMENTS			7

Schedule of Investments

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Security	Shares			Value
Common Stocks — 0.6%

Chemicals — 0.0%
GEO Specialty Chemicals, Inc.^(a)(b)(c)			481,806	$	168,632
GEO Specialty Chemicals, Inc.^(a)(b)			557,488		195,121
LyondellBasell Industries NV, Class A			26		2,814

					366,567
Diversified Financial Services — 0.4%
Kcad Holdings I Ltd.^(a)(b)			1,075,282,733		2,860,268

Health Care Management Services — 0.0%
New Millennium HoldCo, Inc.^(b)			10,718		504

Independent Power and Renewable Electricity Producers — 0.1%
Vistra Energy Corp.			39,599		750,401

Internet Software & Services — 0.0%
New Holdings LLC			252		88,200

Media — 0.0%
Adelphia Communications Corp., Class A^(a)(b)			400,000		—
Adelphia Recovery Trust^(b)			396,568		198

					198
Metals & Mining — 0.0%
Ameriforge Group, Inc.			1,664		74,880

Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp.^(b)			1,707		12,103

Software — 0.1%
Avaya Holdings Corp.^(b)			20,440		429,035

Specialty Retail — 0.0%
Things Remembered, Inc.^(a)(b)			1,199,043		—

Total Common Stocks — 0.6% (Cost — $21,130,855)					4,582,156


	Par (000)
Asset-Backed Securities — 10.4%

Asset-Backed Securities — 10.4%
ALM VI Ltd., Series 2012-6A, Class B1RR, (3 mo. LIBOR US + 2.05%), 3.77%, 07/15/26^(c)(d)		USD	3,000		3,007,766
ALM XII Ltd., Series 2015-12A, Class BR, (3 mo. LIBOR US + 2.05%), 3.77%, 04/16/27^(c)(d)			1,250		1,258,924
ALM XII, Ltd., Series 2015-12A, Class C2R, (3 mo. LIBOR US + 3.20%), 4.92%, 04/16/27^(c)(d)			1,500		1,520,501
ALM XVI Ltd/ALM XVI LLC, Series 2015-16A^(c)(d):
Class BR, (3 mo. LIBOR US + 2.05%), 3.77%, 07/15/27			1,000		1,007,575
Class C1R, (3 mo. LIBOR US + 3.20%), 4.92%, 07/15/27			1,650		1,674,532
Class D, (3 mo. LIBOR US + 5.35%), 7.07%, 07/15/27			1,250		1,256,103
Anchorage Capital CLO 5-R, Ltd., Series 2014-5RA, Class C, 3.57%, 01/15/30^(c)(e)			2,000		2,006,653
Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class CR, (3 mo. LIBOR US + 2.40%), 4.12%, 07/15/30^(c)(d)			700		714,212
Anchorage Capital CLO Ltd., Series 2013-1A, Class BR, 3.87%, 10/13/30^(c)(e)			1,000		1,010,368
Apidos CDO, Series 2015-21A, Class C, (3 mo. LIBOR US + 3.55%), 5.28%, 07/18/27^(c)(d)			1,650		1,658,264


	Par (000)			Value
Asset-Backed Securities (continued)
Apidos CLO XII, Series 2013-12A, Class AR, 2.98%, 04/15/31^(c)(e)		USD	776	$	775,314
Ares CLO Ltd.^(c)(d):
Series 2015-38A, Class D, (3 mo. LIBOR US + 4.15%), 5.89%, 01/20/27			1,000		1,000,268
Series 2016-41A, Class D, (3 mo. LIBOR US + 4.20%), 5.92%, 01/15/29			450		464,390
Ares XLIV CLO Ltd., Series 2017-44A^(c)(d):
Class C, (3 mo. LIBOR US + 3.45%), 4.76%, 10/15/29			1,000		1,022,426
Class D, (3 mo. LIBOR US + 6.55%), 7.86%, 10/15/29			1,000		1,025,363
Ares XXVII CLO Ltd., Series 2013-2A^(c)(d):
Class CR, (3 mo. LIBOR US + 2.40%), 4.16%, 07/28/29			1,400		1,424,102
Class DR, (3 mo. LIBOR US + 3.75%), 5.51%, 07/28/29			1,000		1,026,129
Benefit Street Partners CLO XII Ltd., Series 2017-12A^(c)(e):
Class B, 3.35%, 10/15/30			1,000		1,006,690
Class C, 4.40%, 10/15/30			1,250		1,263,046
BlueMountain CLO Ltd., Series 2014-3A, Class CR, (3 mo. LIBOR US + 3.20%), 4.92%, 10/15/26^(c)(d)			1,000		1,005,948
Burnham Park CLO Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 3.85%), 5.59%, 10/20/29^(c)(d)			1,000		1,013,203
Carlyle Global Market Strategies CLO Ltd.^(c)(d):
Series 2012-4A, Class DR, (3 mo. LIBOR US + 4.10%), 5.84%, 01/20/29			1,000		1,023,611
Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.75%), 4.48%, 04/17/25			1,500		1,500,310
Series 2015-1A, Class CR, (3 mo. LIBOR US + 2.00%), 3.74%, 04/20/27			1,250		1,253,743
Series 2015-1A, Class E1, (3 mo. LIBOR US + 5.30%), 7.04%, 04/20/27			1,000		1,005,961
Series 2015-2A, Class C, (3 mo. LIBOR US + 3.75%), 5.51%, 04/27/27			250		250,714
Series 2015-2A, Class D, (3 mo. LIBOR US + 5.30%), 7.06%, 04/27/27			1,000		1,005,511
Catskill Park CLO, Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 3.70%), 5.44%, 04/20/29^(c)(d)			1,000		1,018,541
CBAM 2017-3, Ltd., Series 2017-3A, Class E, 7.87%, 10/17/29^(c)(e)			1,000		1,018,403
Cedar Funding IV CLO, Ltd., Series 2014-4A, Class DR, (3 mo. LIBOR US + 3.65%), 5.01%, 07/23/30^(c)(d)			1,500		1,531,098
CIFC Funding III Ltd., Series 2014-3A, Class C1R, (3 mo. LIBOR US + 1.90%), 3.64%, 07/22/26^(c)(d)			1,375		1,375,644
CIFC Funding Ltd., Series 2014-3A, Class DR, (3 mo. LIBOR US + 3.15%), 4.89%, 07/22/26^(c)(d)			1,000		1,005,001
CIFC Funding V Ltd., Series 2015-5A, Class D, (3 mo. LIBOR US + 6.30%), 8.05%, 10/25/27^(c)(d)			1,000		1,004,679
Dryden Senior Loan Fund, Series 2014-36A, Class DR, (3 mo. LIBOR US + 4.24%), 5.96%, 01/15/28^(c)(d)			1,000		1,020,445
Elevation CLO Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR + 4.68%), 6.52%, 11/15/28^(c)(d)			800		814,044
Greenwood Park CLO, Ltd., Series 2018-1A, Class E, 6.69%, 04/15/31^(a)(c)(e)(f)			425		425,000


8		2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


	Par (000)			Value
Asset-Backed Securities (continued)
Highbridge Loan Management 6-2015, Ltd., Series 6A-2015, Class CR, 4.34%, 02/05/31^(a)(c)(e)(f)		USD	300	$	300,000
Highbridge Loan Management Ltd.^(c)(d):
Series 5A-2015, Class C1R, (3 mo. LIBOR US + 2.10%), 3.86%, 01/29/26			1,250		1,257,242
Series 5A-2015, Class C2R, (3 mo. LIBOR US + 2.10%), 3.86%, 01/29/26			500		501,654
Series 5A-2015, Class D1R, (3 mo. LIBOR US + 3.30%), 5.06%, 01/29/26			1,250		1,252,923
Series 6A-2015, Class D, (3 mo. LIBOR US + 3.65%), 5.44%, 05/05/27			300		300,180
LCM XV LP, Series 15A^(c)(d):
Class CR, (3 mo. LIBOR US + 2.40%), 3.14%, 07/20/30			2,250		2,294,079
Class DR, (3 mo. LIBOR US + 3.70%), 5.44%, 07/20/30			1,250		1,278,556
LCM XXV, Ltd., Series 25A, Class D, (3 mo. LIBOR US + 3.45%), 5.19%, 07/20/30^(c)(d)			1,000		1,016,146
Madison Park Funding Ltd., Series 2018-27A, Class B, 3.85%, 04/20/30^(c)(e)(f)			1,000		1,000,000
Madison Park Funding X, Ltd., Series 2012-10A, Class DR, (3 mo. LIBOR US + 4.20%), 5.94%, 01/20/29^(c)(d)			1,500		1,536,170
Madison Park Funding XIV Ltd., Series 2014-14A, Class DR, (3 mo. LIBOR US + 3.25%), 4.99%, 07/20/26^(c)(d)			1,015		1,022,673
Madison Park Funding XVI Ltd., Series 2015-16A, Class D, (3 mo. LIBOR US + 5.50%), 7.24%, 04/20/26^(c)(d)			1,000		1,001,992
MP CLO VII, Ltd., Series 2015-1A, Class DR, 4.23%, 04/18/27^(c)(e)			280		280,234
Neuberger Berman CLO XV, Series 2013-15A, Class CR, 3.77%, 10/15/29^(c)(e)			1,000		1,012,717
Neuberger Berman CLO XVII Ltd., Series 2014-17A, Class DR, (3 mo. LIBOR US + 3.65%), 5.39%, 04/22/29^(c)(d)			1,000		1,021,163
Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class CR, (3 mo. LIBOR US + 4.25%), 6.08%, 11/14/27^(c)(d)			1,000		1,015,541
Neuberger Berman CLO XXII Ltd., Series 2016-22A, Class E, (3 mo. LIBOR US + 6.75%), 8.48%, 10/17/27^(c)(d)			1,000		1,020,285
Neuberger Berman CLO XXIII Ltd., Series 2016-23A, Class E, (3 mo. LIBOR US + 6.58%), 8.31%, 10/17/27^(c)(d)			1,000		1,019,183
OCP CLO Ltd., Series 2012-2A, Class DR, (3 mo. LIBOR US + 4.47%), 6.37%, 11/22/25^(c)(d)			1,000		1,016,582
Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, 3.64%, 01/22/30^(c)(e)			1,500		1,505,282
OZLM Funding IV Ltd., 3.94%, 10/22/30^(c)(e)			1,000		1,015,374
OZLM Funding, Ltd., Series 2012-1A^(c)(d):
Class BR2, (3 mo. LIBOR US + 2.30%), 4.04%, 07/23/29			1,000		1,018,910
Class CR2, (3 mo. LIBOR US + 3.60%), 5.34%, 07/23/29			1,000		1,023,390
OZLM IX Ltd., Series 2014-9A Class CR, (3 mo. LIBOR US + 3.55%), 5.29%, 01/20/27^(c)(d)			750		753,385
Palmer Square CLO Ltd., Series 2015-2A^(c)(d):
Class CR, (3 mo. LIBOR US + 3.70%), 5.44%, 07/20/30			1,200		1,221,260
Class DR, (3 mo. LIBOR US + 6.50%), 8.24%, 07/20/30			1,000		1,021,978


	Par (000)			Value
Asset-Backed Securities (continued)
Recette CLO Ltd., Series 2015-1A, Class DR, 4.49%, 10/20/27^(c)(e)		USD	1,000	$	1,001,254
Sound Point CLO III, Ltd., Series 2013-2A, Class DR, (3 mo. LIBOR US + 3.35%), 5.07%, 07/15/25^(c)(d)			1,000		1,001,908
Sound Point CLO IV Ltd., Series 2013-3A^(c)(d):
Class CR, (3 mo. LIBOR US + 2.25%), 3.99%, 01/21/26			1,000		1,003,186
Class DR, (3 mo. LIBOR US + 3.40%), 5.14%, 01/21/26			500		501,033
Symphony CLO Ltd. (3 mo. LIBOR US + 3.65%), 5.37%, 07/15/28^(c)(d)			1,700		1,710,179
THL Credit Wind River 2014-3 CLO, Ltd., Series 2014-3A, Class C1R, (3 mo. LIBOR US + 2.20%), 3.94%, 01/22/27^(c)(d)			1,000		1,003,503
Webster Park CLO Ltd., Series 2015-1A^(c)(d):
Class B1, (3 mo. LIBOR US + 3.10%), 4.84%, 01/20/27			500		500,743
Class C, (3 mo. LIBOR US + 4.05%), 5.79%, 01/20/27			500		500,631
York CLO 1, Ltd., Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.35%), 4.09%, 01/22/27^(c)(d)			1,500		1,505,360

Total Asset-Backed Securities — 10.4% (Cost — $75,825,077)					76,829,178


Corporate Bonds — 53.5%

Aerospace & Defense — 1.5%
Arconic, Inc.:
5.13%, 10/01/24			1,739		1,802,039
5.90%, 02/01/27			280		301,000
6.75%, 01/15/28			128		145,920
Bombardier, Inc.^(c):
7.75%, 03/15/20			168		179,340
8.75%, 12/01/21			144		157,860
6.00%, 10/15/22			1,356		1,352,610
6.13%, 01/15/23			390		390,975
7.50%, 12/01/24			648		673,110
7.50%, 03/15/25			1,377		1,413,146
KLX, Inc., 5.88%, 12/01/22^(c)			1,662		1,711,860
Koppers, Inc., 6.00%, 02/15/25^(c)			606		627,210
TransDigm, Inc.:
6.00%, 07/15/22			922		943,897
6.50%, 07/15/24			1,309		1,349,906
6.38%, 06/15/26			31		31,698

					11,080,571
Air Freight & Logistics — 0.2%
XPO Logistics, Inc., 6.50%, 06/15/22^(c)			1,831		1,901,951

Airlines — 0.6%
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 05/15/18^(c)			712		717,340
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 04/29/18			2,390		2,404,937
US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 05/15/23			1,044		1,085,659
Virgin Australia Trust, Series 2013-1, Class C, 7.13%, 10/23/18^(c)			251		254,767

					4,462,703
Auto Components — 0.6%
Allison Transmission, Inc., 5.00%, 10/01/24^(c)			685		694,419


SCHEDULE OF INVESTMENTS			9

Schedule of Investments (continued)

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


	Par (000)			Value
Auto Components (continued)
Gestamp Funding Luxembourg SA, 3.50%, 05/15/23		EUR	100	$	127,032
Goodyear Tire & Rubber Co., 5.00%, 05/31/26		USD	133		133,000
HP Pelzer Holding GmbH, 4.13%, 04/01/24		EUR	100		124,257
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
6.25%, 02/01/22		USD	829		841,435
6.75%, 02/01/24			399		406,980
6.38%, 12/15/25			184		184,690
IHO Verwaltungs GmbH^(g):
(2.75% Cash or 3.50% PIK), 2.75%, 09/15/21		EUR	100		124,269
(3.25% Cash or 4.00% PIK), 3.25%, 09/15/23			100		126,026
(3.75% Cash or 4.50% PIK), 3.75%, 09/15/26			100		128,710
(4.50% Cash or 5.25% PIK), 4.50%, 09/15/23^(c)		USD	900		882,000
Jaguar Land Rover Automotive PLC, 5.63%, 02/01/23^(c)			425		434,562
Tesla, Inc., 5.30%, 08/15/25^(c)			518		491,610
Venture Holdings Co. LLC^(a)(b)(h):
12.00%, 06/01/09			5,150		—
Series B, 9.50%, 07/01/05			5,125		—

					4,698,990
Banks — 0.2%
Allied Irish Banks PLC (5 year EUR Swap + 3.95%), 4.13%, 11/26/25⁽ⁱ⁾		EUR	100		131,707
Alpha Bank AE, 2.50%, 02/05/23			100		121,619
Banco Espirito Santo SA^(b)(h):
2.63%, 05/08/17			100		36,600
4.00%, 01/21/19			100		36,600
Banco Popolare, 2.75%, 07/27/20			100		127,316
Bank of Ireland (5 year EUR Swap + 3.55%), 4.25%, 06/11/24⁽ⁱ⁾			100		127,547
Bankia SA⁽ⁱ⁾:
(5 year EUR Swap + 3.17%), 4.00%, 05/22/24			100		126,673
(5 year EUR Swap + 3.35%), 3.38%, 03/15/27			100		129,371
CaixaBank SA (5 year EUR Swap + 3.35%), 3.50%, 02/15/27⁽ⁱ⁾			100		130,169
CIT Group, Inc., 5.00%, 08/15/22		USD	74		76,313
IKB Deutsche Industriebank AG, 4.00%, 01/31/28^(e)		EUR	100		123,525
National Bank of Greece SA, 2.75%, 10/19/20			100		124,783

					1,292,223
Building Materials — 0.0%
Titan Global Finance PLC, 3.50%, 06/17/21			100		129,015

Building Products — 0.4%
American Builders & Contractors Supply Co., Inc.^(c):
5.63%, 04/15/21		USD	84		85,050
5.75%, 12/15/23			415		432,637
Beacon Escrow Corp., 4.88%, 11/01/25^(c)			640		624,192
Building Materials Corp. of America, 6.00%, 10/15/25^(c)			664		701,350
CPG Merger Sub LLC, 8.00%, 10/01/21^(c)			446		459,380
Ply Gem Industries, Inc., 6.50%, 02/01/22			472		489,266
Standard Industries, Inc.^(c):
5.50%, 02/15/23			303		311,332
5.38%, 11/15/24			85		86,913


	Par (000)			Value
Building Products (continued)
USG Corp., 4.88%, 06/01/27^(c)		USD	214	$	210,790

					3,400,910
Capital Markets — 0.6%
Blackstone CQP Holdco LP^(c):
6.50%, 03/20/21			3,526		3,556,852
6.00%, 08/18/21			576		578,736
NFP Corp., 6.88%, 07/15/25^(c)			106		106,265

					4,241,853
Chemicals — 3.3%
Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25^(c)			1,100		1,105,500
Axalta Coating Systems Dutch Holding B BV, 3.75%, 01/15/25		EUR	100		128,204
Axalta Coating Systems LLC, 4.88%, 08/15/24^(c)		USD	325		326,625
Blue Cube Spinco, Inc.:
9.75%, 10/15/23			564		654,240
10.00%, 10/15/25			376		448,380
CF Industries, Inc., 5.15%, 03/15/34			185		181,300
Chemours Co.:
6.63%, 05/15/23			270		283,838
7.00%, 05/15/25			321		345,877
5.38%, 05/15/27			200		200,500
GEO Specialty Chemicals, Inc., 15.24%, 10/18/25^(a)			7,179		10,179,073
Hexion, Inc., 10.38%, 02/01/22^(c)			311		303,225
Huntsman International LLC, 5.13%, 11/15/22			1,101		1,136,782
INEOS Finance PLC, 4.00%, 05/01/23		EUR	100		125,045
INEOS Group Holdings SA, 5.38%, 08/01/24			100		128,833
Momentive Performance Materials, Inc., 3.88%, 10/24/21		USD	2,675		2,782,000
NOVA Chemicals Corp., 4.88%, 06/01/24^(c)			350		345,625
Olin Corp., 5.00%, 02/01/30			281		271,165
Platform Specialty Products Corp.^(c):
6.50%, 02/01/22			2,687		2,757,534
5.88%, 12/01/25			788		784,060
PQ Corp.^(c):
6.75%, 11/15/22			759		800,745
5.75%, 12/15/25			247		250,705
PSPC Escrow Corp., 6.00%, 02/01/23		EUR	100		127,185
Tronox Finance PLC, 5.75%, 10/01/25^(c)		USD	172		170,710
WR Grace & Co-Conn, 5.13%, 10/01/21^(c)			410		424,350

					24,261,501
Commercial Services & Supplies — 0.8%
ADT Corp.:
6.25%, 10/15/21			574		609,516
3.50%, 07/15/22			283		270,265
4.13%, 06/15/23			330		320,925
4.88%, 07/15/32^(c)			1,054		959,140
Advanced Disposal Services, Inc., 5.63%, 11/15/24^(c)			608		620,160
CD&R Waterworks Merger Sub LLC, 6.13%, 08/15/25^(c)			505		499,950
Harland Clarke Holdings Corp., 8.38%, 08/15/22^(c)			740		765,900
KAR Auction Services, Inc., 5.13%, 06/01/25^(c)			408		411,060
La Financiere Atalian SAS, 4.00%, 05/15/24		EUR	100		126,059
Mobile Mini, Inc., 5.88%, 07/01/24		USD	104		108,160
Paprec Holding SA, 5.25%, 04/01/22		EUR	100		125,077
Park Aerospace Holdings Ltd.^(c):
3.63%, 03/15/21		USD	62		59,675
5.25%, 08/15/22			32		32,040


10		2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


	Par (000)			Value
Commercial Services & Supplies (continued)
Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25^(c)		USD	302	$	305,413
United Rentals North America, Inc.:
4.63%, 07/15/23			114		116,565
5.75%, 11/15/24			165		170,362
5.50%, 07/15/25			2		2,060
5.50%, 05/15/27			177		181,159
Verisure Holding AB, 6.00%, 11/01/22		EUR	113		144,994

					5,828,480
Communications Equipment — 0.5%
CommScope Technologies Finance LLC, 6.00%, 06/15/25^(c)		USD	105		108,444
CommScope Technologies LLC, 5.00%, 03/15/27^(c)			275		268,297
CommScope, Inc., 5.50%, 06/15/24^(c)			227		231,256
Zayo Group LLC/Zayo Capital, Inc.:
6.00%, 04/01/23			2,321		2,410,939
6.38%, 05/15/25			175		182,896
5.75%, 01/15/27^(c)			380		381,900

					3,583,732
Construction & Engineering — 0.5%
BlueLine Rental Finance Corp., 9.25%, 03/15/24^(c)			1,699		1,837,044
Brand Energy & Infrastructure Services, Inc., 8.50%, 07/15/25^(c)			832		859,040
Engility Corp., 8.88%, 09/01/24			468		496,080
SPIE SA, 3.13%, 03/22/24		EUR	100		125,975
Tutor Perini Corp., 6.88%, 05/01/25^(c)		USD	182		191,100
Weekley Homes LLC/Weekley Finance Corp., 6.63%, 08/15/25^(c)			52		51,984

					3,561,223
Construction Materials — 0.6%
American Tire Distributors, Inc., 10.25%, 03/01/22^(c)			384		399,886
HD Supply, Inc., 5.75%, 04/15/24^(c)			3,188		3,343,415
PulteGroup, Inc., 5.50%, 03/01/26			235		238,819
Rexel SA, 3.50%, 06/15/23		EUR	130		166,205

					4,148,325
Consumer Discretionary — 0.2%
Arch Merger Sub, Inc., 8.50%, 09/15/25^(c)		USD	512		491,520
Elis SA, 1.88%, 02/15/23		EUR	100		123,067
Viking Cruises Ltd.^(c):
6.25%, 05/15/25		USD	72		73,080
5.88%, 09/15/27			666		649,350

					1,337,017
Consumer Finance — 0.8%
Ally Financial, Inc.:
5.13%, 09/30/24			1,207		1,252,262
8.00%, 11/01/31			1,755		2,176,200
CDK Global, Inc., 4.88%, 06/01/27^(c)			333		330,403
IHS Markit Ltd., 4.00%, 03/01/26^(c)			151		146,470
Navient Corp.:
6.63%, 07/26/21			177		184,965
6.50%, 06/15/22			326		339,855
5.50%, 01/25/23			345		341,550
7.25%, 09/25/23			10		10,625
6.13%, 03/25/24			237		239,370
5.88%, 10/25/24			258		255,420
5.63%, 08/01/33			260		231,400
OneMain Financial Holdings LLC, 7.25%, 12/15/21^(c)			124		128,821


	Par (000)			Value
Consumer Finance (continued)
Springleaf Finance Corp., 5.63%, 03/15/23		USD	224	$	221,760

					5,859,101
Containers & Packaging — 1.8%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
6.00%, 06/30/21^(c)			1,270		1,298,575
4.63%, 05/15/23^(c)			223		222,721
6.75%, 05/15/24		EUR	125		166,416
7.25%, 05/15/24^(c)		USD	2,485		2,662,056
6.00%, 02/15/25^(c)			1,218		1,248,450
4.75%, 07/15/27		GBP	100		133,870
Ball Corp.:
5.00%, 03/15/22		USD	158		163,925
4.00%, 11/15/23			32		31,680
BWAY Holding Co.^(c):
5.50%, 04/15/24			882		901,845
7.25%, 04/15/25			142		146,615
Horizon Holdings I SASU, 7.25%, 08/01/23		EUR	100		127,996
International Paper Co., 7.30%, 11/15/39		USD	5		6,716
JH-Holding Finance SA, (8.25% PIK), 8.25%, 12/01/22^(g)		EUR	100		128,787
Mercer International, Inc., 6.50%, 02/01/24		USD	144		150,840
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu:
6.88%, 02/15/21			92		93,331
(3 mo. LIBOR US + 3.50%), 5.22%, 07/15/21^(c)(d)			1,361		1,376,311
5.13%, 07/15/23^(c)			372		378,975
7.00%, 07/15/24^(c)			1,882		1,981,981
Sappi Papier Holding GmbH, 4.00%, 04/01/23		EUR	100		127,045
Sealed Air Corp., 4.88%, 12/01/22^(c)		USD	278		286,340
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%, 05/01/22^(c)			1,368		1,415,880
Silgan Holdings, Inc., 3.25%, 03/15/25		EUR	100		124,416
Smurfit Kappa Acquisitions, 4.88%, 09/15/18^(c)		USD	200		199,000
Verallia Packaging SASU, 5.13%, 08/01/22		EUR	100		126,280

					13,500,051
Diversified Consumer Services — 0.6%
APX Group, Inc.:
6.38%, 12/01/19		USD	106		107,590
8.75%, 12/01/20			331		333,483
7.88%, 12/01/22			696		733,410
GW Honos Security Corp., 8.75%, 05/15/25^(c)			113		121,616
Laureate Education, Inc., 8.25%, 05/01/25^(c)			119		126,735
Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 05/15/23^(c)			2,740		2,983,175
Service Corp. International, 4.50%, 11/15/20			307		308,535
ServiceMaster Co. LLC, 5.13%, 11/15/24^(c)			156		153,660

					4,868,204
Diversified Financial Services — 0.5%
Aircastle Ltd.:
5.13%, 03/15/21			33		33,908
5.50%, 02/15/22			337		350,480
Arrow Global Finance PLC (3 mo. Euribor + 2.88%), 2.88%, 04/01/25^(d)		EUR	100		119,860
Banca IFIS SpA, 4.50%, 10/17/27^(e)			100		123,983
EC Finance PLC, 2.38%, 11/15/22			100		123,660
FBM Finance, Inc., 8.25%, 08/15/21^(c)		USD	350		369,250
Garfunkelux Holdco 3 SA, 4.50%, 09/01/23^(e)		EUR	100		115,907
Intrum Justitia AB, 2.75%, 07/15/22			100		119,867
Jefferies Finance LLC/JFIN Co-Issuer Corp.^(c):
7.38%, 04/01/20		USD	625		632,506
6.88%, 04/15/22			516		516,000


SCHEDULE OF INVESTMENTS			11

Schedule of Investments (continued)

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


	Par (000)			Value
Diversified Financial Services (continued)
ProGroup AG, 5.13%, 05/01/22		EUR	130	$	162,705
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25^(c)		USD	590		594,425
UniCredit SpA:
6.95%, 10/31/22		EUR	100		149,839
(5 year EUR Swap + 4.32%), 4.38%, 01/03/27⁽ⁱ⁾			100		132,722
Vantiv LLC/Vanity Issuer Corp.^(c):
3.88%, 11/15/25		GBP	100		136,314
4.38%, 11/15/25		USD	221		214,094
WMG Acquisition Corp., 4.13%, 11/01/24		EUR	100		128,009

					4,023,529
Diversified Telecommunication Services — 1.7%
CenturyLink, Inc.:
Series P, 7.60%, 09/15/39		USD	117		102,083
Series S, 6.45%, 06/15/21			1,679		1,716,778
Series U, 7.65%, 03/15/42			401		348,870
Cincinnati Bell, Inc., 7.00%, 07/15/24^(c)			1,054		1,001,300
Frontier Communications Corp.:
7.13%, 01/15/23			216		143,910
7.63%, 04/15/24			579		367,665
6.88%, 01/15/25			1,534		935,740
11.00%, 09/15/25			407		318,986
Level 3 Financing, Inc.:
5.38%, 08/15/22			713		720,130
5.13%, 05/01/23			1,120		1,120,000
5.38%, 01/15/24			646		642,770
5.38%, 05/01/25			758		752,315
5.25%, 03/15/26			340		327,247
OTE PLC, 3.50%, 07/09/20		EUR	100		129,015
SoftBank Group Corp.:
(5 year USD ICE Swap + 4.85%), 6.88%^(i)(j)		USD	735		725,335
4.75%, 09/19/24			200		194,053
4.75%, 07/30/25		EUR	129		165,642
Telecom Italia Capital SA:
6.38%, 11/15/33		USD	579		634,005
6.00%, 09/30/34			498		521,655
7.20%, 07/18/36			397		464,490
7.72%, 06/04/38			59		72,275
Telecom Italia Finance SA, 7.75%, 01/24/33		EUR	100		181,533
Telecom Italia SpA:
3.25%, 01/16/23			150		199,004
5.30%, 05/30/24^(c)		USD	896		928,480

					12,713,281
Electric Utilities — 0.1%
AES Corp., 5.50%, 04/15/25			115		117,875
DPL, Inc., 7.25%, 10/15/21			52		56,680
NextEra Energy Operating Partners LP, 4.25%, 09/15/24^(c)			169		166,676
Talen Energy Supply LLC, 6.50%, 06/01/25			45		34,763

					375,994
Electrical Equipment — 0.0%
Areva SA, 4.88%, 09/23/24		EUR	100		135,061
Belden, Inc., 5.50%, 04/15/23			3		3,779

					138,840
Electronic Equipment, Instruments & Components — 0.3%
CDW LLC/CDW Finance Corp.:
5.00%, 09/01/23		USD	101		102,515
5.50%, 12/01/24			2,303		2,406,635

					2,509,150


	Par (000)			Value
Energy Equipment & Services — 0.7%
Ensco PLC:
5.20%, 03/15/25		USD	55	$	45,650
7.75%, 02/01/26			381		360,045
Gates Global LLC/Gates Global Co., 6.00%, 07/15/22^(c)			390		396,825
Pioneer Energy Services Corp., 6.13%, 03/15/22			573		517,848
Precision Drilling Corp.:
6.50%, 12/15/21			4		4,070
7.75%, 12/15/23			150		158,250
Transocean, Inc.:
5.80%, 10/15/22			186		180,448
9.00%, 07/15/23^(c)			914		987,120
7.50%, 01/15/26^(c)			132		132,990
6.80%, 03/15/38			267		214,935
Trinidad Drilling Ltd., 6.63%, 02/15/25^(c)			436		421,285
Weatherford International Ltd.:
7.75%, 06/15/21			215		214,194
8.25%, 06/15/23			163		158,110
9.88%, 02/15/24			965		955,350
6.50%, 08/01/36			266		202,160
7.00%, 03/15/38			180		143,100
5.95%, 04/15/42			189		136,080

					5,228,460
Environmental, Maintenance, & Security Service — 0.2%
Tervita Escrow Corp., 7.63%, 12/01/21^(c)			1,094		1,099,470
Waste Pro USA, Inc., 5.50%, 02/15/26^(c)			266		267,330

					1,366,800
Food & Staples Retailing — 0.5%
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC:
6.63%, 06/15/24			204		187,935
5.75%, 03/15/25			54		47,250
B&M European Value Retail SA, 4.13%, 02/01/22		GBP	100		141,774
Casino Guichard Perrachon SA, 4.50%, 03/07/24		EUR	200		264,463
Dollar Tree, Inc.:
5.25%, 03/01/20		USD	69		69,862
5.75%, 03/01/23			2,882		2,993,677
Post Holdings, Inc., 5.63%, 01/15/28^(c)			69		67,189
Rite Aid Corp., 6.13%, 04/01/23^(c)			218		219,090

					3,991,240
Food Products — 0.6%
Acosta, Inc., 7.75%, 10/01/22^(c)			272		194,480
B&G Foods, Inc., 5.25%, 04/01/25			200		192,500
Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25^(c)			598		623,415
JBS USA LLC/JBS USA Finance, Inc., 5.75%, 06/15/25^(c)			904		863,320
JBS USA LUX SA/JBS USA Finance, Inc., 6.75%, 02/15/28^(c)			352		348,550
Pilgrim’s Pride Corp.^(c):
5.75%, 03/15/25^(f)			362		360,190
5.88%, 09/30/27			192		186,682
Post Holdings, Inc.^(c):
5.50%, 03/01/25			18		18,113
5.00%, 08/15/26			1,548		1,470,600
5.75%, 03/01/27			87		85,912

					4,343,762


12		2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


	Par (000)			Value
Health Care Equipment & Supplies — 1.1%
Avantor, Inc.:
4.75%, 10/01/24		EUR	100	$	121,123
6.00%, 10/01/24^(c)		USD	3,050		3,050,000
Crimson Merger Sub, Inc., 6.63%, 05/15/22^(c)			2,159		2,142,808
DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 06/15/21^(c)			1,302		1,262,940
Mallinckrodt International Finance SA/Mallinckrodt CB LLC^(c):
4.88%, 04/15/20			350		338,625
5.75%, 08/01/22			1,020		902,700
5.63%, 10/15/23			236		195,290
5.50%, 04/15/25			125		98,750

					8,112,236
Health Care Providers & Services — 2.5%
Acadia Healthcare Co., Inc.:
5.13%, 07/01/22			708		716,567
5.63%, 02/15/23			105		107,725
6.50%, 03/01/24			122		125,965
Air Medical Merger Sub Corp., 6.38%, 05/15/23^(c)			115		109,250
Amsurg Corp., 5.63%, 07/15/22			50		50,813
Centene Corp.:
5.63%, 02/15/21			688		704,340
4.75%, 05/15/22			67		68,131
6.13%, 02/15/24			311		326,550
CHS/Community Health Systems, Inc.:
8.00%, 11/15/19			554		521,043
5.13%, 08/01/21			309		285,052
DaVita, Inc., 5.13%, 07/15/24			517		513,446
Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 05/15/22^(c)(g)			342		342,003
Envision Healthcare Corp., 6.25%, 12/01/24^(c)			115		121,037
HCA, Inc.:
6.50%, 02/15/20			14		14,770
5.88%, 03/15/22			1,050		1,113,000
5.00%, 03/15/24			804		819,075
5.88%, 02/15/26			1,427		1,476,945
5.25%, 06/15/26			989		1,013,725
4.50%, 02/15/27			35		34,169
5.50%, 06/15/47			1,593		1,573,087
HealthSouth Corp., 5.75%, 11/01/24			179		180,790
MEDNAX, Inc., 5.25%, 12/01/23^(c)			208		212,940
MPH Acquisition Holdings LLC, 7.13%, 06/01/24^(c)			695		731,487
Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22^(c)(g)			928		946,560
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 05/01/23^(c)			169		177,450
Sterigenics-Nordion Holdings LLC, 6.50%, 05/15/23^(c)			128		129,920
Surgery Center Holdings, Inc., 8.88%, 04/15/21^(c)			322		334,075
Team Health Holdings, Inc., 6.38%, 02/01/25^(c)			545		498,675
Tenet Healthcare Corp.:
6.00%, 10/01/20			1,123		1,167,909
7.50%, 01/01/22^(c)			322		339,710
8.13%, 04/01/22			2,540		2,679,700
4.63%, 07/15/24^(c)			243		233,280
THC Escrow Corp. III, 5.13%, 05/01/25^(c)			213		206,610
Vizient, Inc., 10.38%, 03/01/24^(c)			398		445,760

					18,321,559


	Par (000)			Value
Health Care Technology — 0.1%
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25^(c)		USD	279	$	279,000
Quintiles IMS, Inc., 3.25%, 03/15/25^(c)		EUR	100		123,075

					402,075
Hotels, Restaurants & Leisure — 2.1%
Burger King France SAS:
(3 mo. Euribor + 5.25%), 5.25%, 05/01/23^(d)			100		124,299
6.00%, 05/01/24			100		129,306
Cirsa Funding Luxembourg SA, 5.88%, 05/15/23			100		126,176
Codere Finance 2 Luxembourg SA, 6.75%, 11/01/21			100		127,130
CRC Escrow Issuer LLC/CRC Finco, Inc., 5.25%, 10/15/25^(c)		USD	551		538,602
ESH Hospitality, Inc., 5.25%, 05/01/25^(c)			183		182,543
GLP Capital LP/GLP Financing II, Inc., 5.38%, 04/15/26			106		109,445
Golden Nugget, Inc., 6.75%, 10/15/24^(c)			493		505,325
IRB Holding Corp., 6.75%, 02/15/26^(c)			233		232,639
Jacobs Entertainment, Inc., 7.88%, 02/01/24^(c)			165		176,344
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC^(c):
5.00%, 06/01/24			66		66,660
5.25%, 06/01/26			250		253,125
4.75%, 06/01/27			223		217,983
MGM Resorts International:
5.25%, 03/31/20			1,261		1,300,406
6.75%, 10/01/20			275		293,563
6.63%, 12/15/21			1,352		1,460,904
4.63%, 09/01/26			987		964,783
New Red Finance, Inc.^(c):
4.25%, 05/15/24			7		6,685
5.00%, 10/15/25			2,806		2,734,096
Scientific Games International, Inc.:
7.00%, 01/01/22^(c)			905		952,512
10.00%, 12/01/22			2,189		2,375,065
5.00%, 10/15/25^(c)			438		433,072
Six Flags Entertainment Corp., 4.88%, 07/31/24^(c)			925		922,771
Station Casinos LLC, 5.00%, 10/01/25^(c)			572		557,700
Unique Pub Finance Co. PLC, Series A4, 5.66%, 06/30/27		GBP	62		95,644
Vue International Bidco PLC, 7.88%, 07/15/20			147		205,410
Wyndham Worldwide Corp., 4.15%, 04/01/24		USD	166		166,320
Wynn Macau Ltd., 5.50%, 10/01/27^(c)			200		196,940

					15,455,448
Household Durables — 0.6%
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 07/01/22^(c)			285		294,263
K Hovnanian Enterprises, Inc., 10.00%, 07/15/22^(c)			229		249,896
Lennar Corp.:
6.63%, 05/01/20^(c)			130		137,475
8.38%, 01/15/21^(c)			852		950,406
4.75%, 11/15/22			118		118,590
4.88%, 12/15/23			265		268,644
5.25%, 06/01/26^(c)			193		196,860
4.75%, 11/29/27^(c)			605		585,337
Mattamy Group Corp., 6.50%, 10/01/25^(c)			90		94,050
Tempur Sealy International, Inc., 5.50%, 06/15/26			227		223,028
Toll Brothers Finance Corp., 6.75%, 11/01/19			110		115,500


SCHEDULE OF INVESTMENTS			13

Schedule of Investments (continued)

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


	Par (000)			Value
Household Durables (continued)
TRI Pointe Group, Inc.:
4.38%, 06/15/19		USD	435	$	436,087
4.88%, 07/01/21			525		527,625

					4,197,761
Household Products — 0.0%
Diamond (BC) BV, 5.63%, 08/15/25		EUR	102		121,211

Independent Power and Renewable Electricity Producers — 0.9%
AES Corp.:
4.88%, 05/15/23		USD	199		200,741
6.00%, 05/15/26			656		688,800
5.13%, 09/01/27			608		615,600
Calpine Corp.^(c):
5.88%, 01/15/24			128		130,720
5.25%, 06/01/26			1,304		1,264,880
Dynegy, Inc.:
7.38%, 11/01/22			231		243,416
5.88%, 06/01/23			133		136,325
8.00%, 01/15/25^(c)			348		378,015
8.13%, 01/30/26^(c)			217		237,615
NRG Energy, Inc.:
6.63%, 01/15/27			1,562		1,612,765
5.75%, 01/15/28^(c)			298		294,215
NRG Yield Operating LLC, 5.38%, 08/15/24			341		344,622
QEP Resources, Inc., 5.38%, 10/01/22			515		522,725
TerraForm Power Operating LLC^(c):
4.25%, 01/31/23			222		217,560
5.00%, 01/31/28			222		214,852

					7,102,851
Industrial Conglomerates — 0.3%
Colfax Corp., 3.25%, 05/15/25		EUR	100		123,743
Vertiv Group Corp., 9.25%, 10/15/24^(c)		USD	1,747		1,843,085

					1,966,828
Insurance — 0.5%
Ardonagh Midco 3 PLC, 8.38%, 07/15/23		GBP	100		140,833
Assicurazioni Generali SpA^(d):
(3 mo. Euribor + 7.11%), 7.75%, 12/12/42		EUR	100		155,042
(3 mo. Euribor + 5.35%), 5.50%, 10/27/47			100		142,495
Groupama SA, 6.00%, 01/23/27			100		150,164
HUB International Ltd., 7.88%, 10/01/21^(c)		USD	1,138		1,173,563
USIS Merger Sub, Inc., 6.88%, 05/01/25^(c)			23		23,288
Wayne Merger Sub LLC, 8.25%, 08/01/23^(c)			1,978		2,057,120

					3,842,505
Internet Software & Services — 0.3%
Equinix, Inc.:
2.88%, 03/15/24		EUR	100		122,000
5.88%, 01/15/26		USD	997		1,044,357
Netflix, Inc., 3.63%, 05/15/27		EUR	100		122,569
Rackspace Hosting, Inc., 8.63%, 11/15/24^(c)		USD	405		421,771
Sabre GLBL, Inc., 5.25%, 11/15/23^(c)			221		222,657
Symantec Corp., 5.00%, 04/15/25^(c)			422		428,151
United Group BV, 4.38%, 07/01/22		EUR	126		155,995
ZPG PLC, 3.75%, 07/15/23		GBP	100		136,228

					2,653,728
IT Services — 1.5%
Ceridian HCM Holding, Inc., 11.00%, 03/15/21^(c)		USD	795		821,497
First Data Corp.^(c):
7.00%, 12/01/23			3,353		3,524,841
5.75%, 01/15/24			5,296		5,388,680
Gartner, Inc., 5.13%, 04/01/25^(c)			320		328,000


	Par (000)			Value
IT Services (continued)
WEX, Inc., 4.75%, 02/01/23^(c)		USD	826	$	831,679

					10,894,697
Leisure Products — 0.1%
Mattel, Inc., 6.75%, 12/31/25^(c)			422		429,385

Machinery — 0.3%
EnPro Industries, Inc., 5.88%, 09/15/22			292		302,673
Platin 1426 GmbH, 5.38%, 06/15/23		EUR	109		132,149
RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25^(c)		USD	265		261,025
SPX FLOW, Inc.^(c):
5.63%, 08/15/24			359		365,282
5.88%, 08/15/26			359		368,872
Terex Corp., 5.63%, 02/01/25^(c)			940		949,400

					2,379,401
Media — 6.7%
Altice Financing SA, 7.50%, 05/15/26^(c)			594		598,455
Altice Luxembourg SA:
7.75%, 05/15/22^(C)			1,690		1,575,925
6.25%, 02/15/25		EUR	100		113,802
Altice US Finance I Corp.^(c):
5.38%, 07/15/23		USD	2,707		2,750,989
5.50%, 05/15/26			637		630,630
AMC Networks, Inc.:
5.00%, 04/01/24			259		259,648
4.75%, 08/01/25			528		511,500
Cablevision Systems Corp., 8.00%, 04/15/20			502		533,475
CBS Radio, Inc., 7.25%, 11/01/24^(c)			159		163,738
CCO Holdings LLC/CCO Holdings Capital Corp.:
5.13%, 02/15/23			380		386,175
4.00%, 03/01/23^(c)			486		473,242
5.13%, 05/01/27^(c)			3,948		3,801,608
5.00%, 02/01/28^(c)			155		146,328
Cequel Communications Holdings I LLC/Cequel Capital Corp.^(c):
6.38%, 09/15/20			294		297,308
5.13%, 12/15/21			1,670		1,660,446
7.75%, 07/15/25			2,044		2,176,860
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25			1,300		1,336,401
Clear Channel International BV, 8.75%, 12/15/20^(c)			762		796,290
Clear Channel Worldwide Holdings, Inc.:
6.50%, 11/15/22			6,604		6,769,887
Series B, 7.63%, 03/15/20			1,993		1,990,509
CSC Holdings LLC:
10.13%, 01/15/23^(c)			1,250		1,396,875
5.25%, 06/01/24			742		714,175
6.63%, 10/15/25^(c)			400		420,000
10.88%, 10/15/25^(c)			3,849		4,541,820
DISH DBS Corp.:
5.88%, 07/15/22			1,537		1,498,575
5.00%, 03/15/23			281		258,169
7.75%, 07/01/26			1,635		1,610,475
eircom Finance DAC, 4.50%, 05/31/22		EUR	100		124,989
Hughes Satellite Systems Corp., 5.25%, 08/01/26		USD	1,433		1,397,175
Intelsat Jackson Holdings SA:
5.50%, 08/01/23			14		11,568
9.75%, 07/15/25^(c)			1,103		1,046,471
LG Finance Co. Corp., 5.88%, 11/01/24^(c)			231		241,303
LGE HoldCo VI BV, 7.13%, 05/15/24		EUR	100		131,760


14		2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


	Par (000)			Value
Media (continued)
Live Nation Entertainment, Inc., 4.88%, 11/01/24^(c)		USD	72	$	71,550
MDC Partners, Inc., 6.50%, 05/01/24^(c)			490		488,775
Meredith Corp., 6.88%, 02/01/26^(c)			378		389,812
Midcontinent Communications/Midcontinent Finance Corp., 6.88%, 08/15/23^(c)			463		489,044
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 08/01/18^(c)			538		538,000
Numericable Group SA, 5.38%, 05/15/22		EUR	100		124,553
SFR Group SA^(c):
6.00%, 05/15/22		USD	1,192		1,157,730
7.38%, 05/01/26			2,109		2,035,818
Sirius XM Radio, Inc., 4.63%, 05/15/23^(c)			60		59,850
TEGNA, Inc.:
5.13%, 10/15/19			115		116,581
5.50%, 09/15/24^(c)			172		176,730
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28^(c)			400		386,000
Telesat Canada/Telesat LLC, 8.88%, 11/15/24^(c)			399		437,902
Tribune Media Co., 5.88%, 07/15/22			34		34,680
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.00%, 01/15/25^(c)			400		407,000
Univision Communications, Inc., 5.13%, 05/15/23^(c)			381		360,997
UPCB Finance IV Ltd., 5.38%, 01/15/25^(c)			200		197,750
Videotron Ltd., 5.13%, 04/15/27^(c)			632		637,612
Virgin Media Finance PLC, 5.75%, 01/15/25^(c)			967		950,077
Virgin Media Receivables Financing Notes I DAC, 5.50%, 09/15/24		GBP	200		279,542
Virgin Media Secured Finance PLC, 4.88%, 01/15/27			100		137,326
Ziggo Secured Finance BV, 5.50%, 01/15/27^(c)		USD	150		143,813

					49,987,713
Metals & Mining — 3.7%
Alcoa Nederland Holding BV, 7.00%, 09/30/26^(c)			270		291,600
ArcelorMittal, 3.13%, 01/14/22		EUR	100		132,385
Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25^(c)		USD	317		335,227
Constellium NV^(c):
5.75%, 05/15/24			250		251,875
5.88%, 02/15/26			926		935,260
First Quantum Minerals Ltd.^(c):
7.00%, 02/15/21			730		752,812
7.25%, 05/15/22			235		242,050
FMG Resources August 2006 Property Ltd., 9.75%, 03/01/22^(c)			553		610,866
Freeport-McMoRan, Inc.:
2.38%, 03/15/18			2,868		2,865,706
3.10%, 03/15/20			430		425,700
4.00%, 11/14/21			804		799,980
3.55%, 03/01/22			2,317		2,253,978
3.88%, 03/15/23			2,705		2,623,850
5.40%, 11/14/34			1,271		1,239,225
5.45%, 03/15/43			1,200		1,158,000
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23^(c)			542		573,165
Joseph T Ryerson & Son, Inc., 11.00%, 05/15/22^(c)			482		536,635
Kinross Gold Corp., 6.88%, 09/01/41			180		207,450
Novelis Corp.^(c):
6.25%, 08/15/24			2,118		2,165,655


	Par (000)			Value
Metals & Mining (continued)
Novelis Corp.^(c) (continued):
5.88%, 09/30/26		USD	1,822	$	1,835,665
Nyrstar Netherlands Holdings BV, 6.88%, 03/15/24		EUR	100		125,033
Ovako AB, 5.00%, 10/05/22			100		124,206
Steel Dynamics, Inc.:
5.13%, 10/01/21		USD	790		799,875
5.25%, 04/15/23			295		301,269
5.50%, 10/01/24			138		142,830
4.13%, 09/15/25			243		235,102
5.00%, 12/15/26			35		35,700
Teck Resources Ltd.:
3.75%, 02/01/23			1,348		1,317,670
8.50%, 06/01/24^(c)			1,257		1,398,412
5.20%, 03/01/42			750		725,625
5.40%, 02/01/43			977		967,230
ThyssenKrupp AG, 1.38%, 03/03/22		EUR	75		92,324
United States Steel Corp.:
8.38%, 07/01/21^(c)		USD	496		531,960
6.88%, 08/15/25			274		287,700

					27,322,020
Multi-Utilities — 0.1%
NGL Energy Partners LP/NGL Energy Finance Corp., 6.88%, 10/15/21			423		426,172

Multiline Retail — 0.1%
Neiman Marcus Group Ltd.^(c):
8.00%, 10/15/21			1,035		626,175
(8.75% Cash or 9.50% PIK), 8.75%, 10/15/21^(g)			157		88,776

					714,951
Oil, Gas & Consumable Fuels — 6.3%
Andeavor Logistics LP, Series A, 6.88%^(i)(j)			402		409,789
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/22^(c)			548		583,620
California Resources Corp., 8.00%, 12/15/22^(c)			489		387,532
Calumet Specialty Products Partners LP/Calumet Finance Corp., 6.50%, 04/15/21			120		117,000
Carrizo Oil & Gas, Inc., 6.25%, 04/15/23			211		211,528
Cheniere Corpus Christi Holdings LLC:
7.00%, 06/30/24			442		494,598
5.88%, 03/31/25			1,250		1,321,875
5.13%, 06/30/27			1,062		1,073,947
Cheniere Energy Partners LP, 5.25%, 10/01/25^(c)			425		429,250
Chesapeake Energy Corp.^(c):
8.00%, 12/15/22			95		101,056
8.00%, 06/15/27			1,064		1,020,110
CONSOL Energy, Inc.:
5.88%, 04/15/22			6,448		6,484,270
8.00%, 04/01/23			40		42,350
11.00%, 11/15/25^(c)			388		415,160
Continental Resources, Inc.:
3.80%, 06/01/24			598		580,807
4.38%, 01/15/28^(c)			218		212,550
Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 05/15/25^(c)			517		524,755
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 04/01/23			90		92,700
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25^(c)			750		735,000
DCP Midstream LLC^(c):
4.75%, 09/30/21			745		758,037
6.45%, 11/03/36			250		275,000


SCHEDULE OF INVESTMENTS			15

Schedule of Investments (continued)

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
DCP Midstream LLC^(c) (continued):
6.75%, 09/15/37		USD	426	$	474,990
DEA Finance SA, 7.50%, 10/15/22		EUR	100		134,186
Denbury Resources, Inc., 9.25%, 03/31/22^(c)		USD	696		713,400
Diamond Offshore Drilling, Inc., 7.88%, 08/15/25			118		119,770
Diamondback Energy, Inc., 5.38%, 05/31/25			162		162,000
Eclipse Resources Corp., 8.88%, 07/15/23			140		140,700
Endeavor Energy Resources LP/EER Finance, Inc., 5.50%, 01/30/26^(c)			152		150,860
Energy Transfer Equity LP:
7.50%, 10/15/20			200		217,000
4.25%, 03/15/23			221		216,788
5.88%, 01/15/24			523		554,380
5.50%, 06/01/27			279		288,765
EP Energy LLC/Everest Acquisition Finance, Inc.:
9.38%, 05/01/20			20		18,600
9.38%, 05/01/24^(c)			741		546,487
8.00%, 11/29/24^(c)			577		594,310
Extraction Oil & Gas, Inc.^(c):
7.38%, 05/15/24			102		107,610
5.63%, 02/01/26			481		471,380
Genesis Energy LP/Genesis Energy Finance Corp., 6.50%, 10/01/25			184		183,540
Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21^(c)			149		155,333
Gulfport Energy Corp.:
6.63%, 05/01/23			215		220,913
6.00%, 10/15/24			192		188,640
6.38%, 05/15/25			212		209,085
Halcon Resources Corp.:
6.75%, 02/15/25^(c)			75		75,563
Series WI, 6.75%, 02/15/25			701		708,010
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., 5.63%, 02/15/26^(c)			356		356,000
Indigo Natural Resources LLC, 6.88%, 02/15/26^(c)			226		220,965
MEG Energy Corp.^(c):
6.38%, 01/30/23			3		2,573
7.00%, 03/31/24			534		455,235
6.50%, 01/15/25			938		920,412
Murphy Oil Corp.:
6.88%, 08/15/24			673		707,579
5.75%, 08/15/25			25		24,913
5.88%, 12/01/42			58		54,230
Nabors Industries, Inc., 5.75%, 02/01/25^(c)			380		362,662
NGPL PipeCo LLC^(c):
4.38%, 08/15/22			240		239,400
7.77%, 12/15/37			1,179		1,444,275
Noble Holding International Ltd.:
7.75%, 01/15/24			400		365,500
7.70%, 04/01/25			159		142,305
7.88%, 02/01/26^(c)			1,319		1,325,595
Oasis Petroleum, Inc.:
6.50%, 11/01/21			268		273,360
6.88%, 03/15/22			227		232,533
6.88%, 01/15/23			143		145,860
Paramount Resources Ltd., 6.88%, 06/30/23^(c)			953		991,120
Parker Drilling Co., 7.50%, 08/01/20			195		179,888
Parsley Energy LLC/Parsley Finance Corp.^(c):
5.38%, 01/15/25			315		311,850
5.63%, 10/15/27			310		307,481
PDC Energy, Inc., 6.13%, 09/15/24			98		100,205


	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
Petroleos Mexicanos, 5.38%, 03/13/22^(c)		USD	102	$	106,590
Precision Drilling Corp., 7.13%, 01/15/26^(c)			64		64,560
Range Resources Corp.:
5.88%, 07/01/22			1,015		1,030,225
4.88%, 05/15/25			97		92,878
Resolute Energy Corp., 8.50%, 05/01/20			639		638,201
Rockies Express Pipeline LLC^(c):
6.85%, 07/15/18			99		100,238
6.00%, 01/15/19			26		26,585
5.63%, 04/15/20			140		145,425
6.88%, 04/15/40			564		661,290
Rowan Cos., Inc.:
4.88%, 06/01/22			95		89,300
4.75%, 01/15/24			162		140,940
7.38%, 06/15/25			707		698,162
RSP Permian, Inc.:
6.63%, 10/01/22			356		371,130
5.25%, 01/15/25			408		411,060
Sanchez Energy Corp.:
7.75%, 06/15/21			1,496		1,428,680
6.13%, 01/15/23			473		354,750
7.25%, 02/15/23^(c)			226		228,825
SESI LLC:
7.13%, 12/15/21			180		183,600
7.75%, 09/15/24^(c)			265		275,600
Seven Generations Energy Ltd., 5.38%, 09/30/25^(c)			367		358,743
SM Energy Co.:
6.50%, 11/15/21			300		304,500
6.50%, 01/01/23			34		34,000
5.00%, 01/15/24			1,009		948,460
5.63%, 06/01/25			12		11,468
6.75%, 09/15/26			30		30,150
Southwestern Energy Co.:
6.70%, 01/23/25			90		88,200
7.50%, 04/01/26			371		374,710
7.75%, 10/01/27			182		185,640
Sunoco LP/Sunoco Finance Corp.^(c):
4.88%, 01/15/23			510		507,399
5.88%, 03/15/28			151		151,566
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.^(c):
5.50%, 09/15/24			146		150,377
5.50%, 01/15/28			605		606,512
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:
5.13%, 02/01/25			248		247,378
5.38%, 02/01/27			2		2,000
5.00%, 01/15/28^(c)			482		468,142
Whiting Petroleum Corp., 6.63%, 01/15/26^(c)			496		505,920
Williams Cos., Inc., 5.75%, 06/24/44			1,453		1,543,812
WPX Energy, Inc.:
7.50%, 08/01/20			77		82,390
6.00%, 01/15/22			521		540,537
8.25%, 08/01/23			400		453,000
5.25%, 09/15/24			158		158,000

					46,888,128
Pharmaceuticals — 1.4%
Ephios Bondco PLC, 6.25%, 07/01/22		EUR	100		127,222
Ephios Holdco II PLC, 8.25%, 07/01/23			100		130,673
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24^(c)		USD	468		500,760


16		2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


	Par (000)			Value
Pharmaceuticals (continued)
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 08/01/23^(c)		USD	2,123	$	2,133,615
Nidda Healthcare Holding AG, 3.50%, 09/30/24		EUR	100		122,238
Teva Pharmaceutical Finance Netherlands II BV, 1.25%, 03/31/23			100		108,579
Teva Pharmaceutical Finance Netherlands III BV, 1.70%, 07/19/19		USD	540		526,877
Valeant Pharmaceuticals International, Inc.^(c):
7.50%, 07/15/21			456		458,280
6.75%, 08/15/21			52		50,700
5.63%, 12/01/21			180		170,100
6.50%, 03/15/22			742		771,680
5.50%, 03/01/23			1,575		1,393,875
4.50%, 05/15/23		EUR	340		362,394
5.88%, 05/15/23		USD	755		671,006
7.00%, 03/15/24			1,166		1,227,215
6.13%, 04/15/25			673		590,558
5.50%, 11/01/25			811		802,383

					10,148,155
Real Estate Investment Trusts (REITs) — 0.7%
GEO Group, Inc.:
5.88%, 01/15/22			90		92,363
5.13%, 04/01/23			373		371,135
5.88%, 10/15/24			608		614,080
6.00%, 04/15/26			100		99,655
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, 04/01/25			102		102,383
Iron Mountain, Inc., 3.00%, 01/15/25		EUR	100		121,414
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.:
5.63%, 05/01/24		USD	1,453		1,503,128
4.50%, 09/01/26			1,228		1,169,670
NH Hotel Group SA, 3.75%, 10/01/23		EUR	129		164,659
Starwood Property Trust, Inc.:
5.00%, 12/15/21		USD	638		652,355
4.75%, 03/15/25^(c)			98		95,060
VICI Properties 1 LLC/VICI FC, Inc., 8.00%, 10/15/23			264		292,576

					5,278,478
Real Estate Management & Development — 0.3%
ADLER Real Estate AG:
4.75%, 04/08/20		EUR	100		127,090
2.13%, 02/06/24			100		121,292
Greystar Real Estate Partners LLC, 5.75%, 12/01/25^(c)		USD	218		220,725
Howard Hughes Corp., 5.38%, 03/15/25^(c)			283		279,109
Realogy Group LLC/Realogy Co-Issuer Corp.^(c):
4.50%, 04/15/19			391		396,376
5.25%, 12/01/21			487		493,088
4.88%, 06/01/23			114		110,295
RESIDOMO Sro, 3.38%, 10/15/24		EUR	100		122,610
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18^(c)		USD	175		175,035

					2,045,620
Road & Rail — 0.5%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.13%, 06/01/22^(c)			1,335		1,331,663
Herc Rentals, Inc.^(c):
7.50%, 06/01/22			144		154,080
7.75%, 06/01/24			228		248,452
Hertz Corp., 7.63%, 06/01/22^(c)			744		764,460


	Par (000)			Value
Road & Rail (continued)
Loxam SAS:
3.50%, 05/03/23		EUR	100	$	125,667
6.00%, 04/15/25			100		131,129
United Rentals North America, Inc., 4.63%, 10/15/25		USD	492		479,700
Watco Cos. LLC/Watco Finance Corp., 6.38%, 04/01/23^(c)			350		358,750

					3,593,901
Semiconductors & Semiconductor Equipment — 0.1%
Advanced Micro Devices, Inc., 7.50%, 08/15/22			200		219,500
Micron Technology, Inc., 5.50%, 02/01/25			24		24,900
Microsemi Corp., 9.13%, 04/15/23^(c)			35		38,762
Sensata Technologies BV^(c):
5.63%, 11/01/24			220		235,191
5.00%, 10/01/25			288		290,160

					808,513
Software — 2.1%
BMC Software Finance, Inc., 8.13%, 07/15/21^(c)			791		793,966
Genesys Telecommunications Laboratories Inc/Greeneden Lux 3 Sarl/Greeneden US Holdings LLC, 10.00%, 11/30/24^(c)			721		797,606
Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 05/01/21^(c)^(g)			1,666		1,695,155
Infor US, Inc., 6.50%, 05/15/22			3,047		3,115,557
Informatica LLC, 7.13%, 07/15/23^(c)			1,059		1,079,651
Nuance Communications, Inc.:
5.38%, 08/15/20^(c)			437		440,824
6.00%, 07/01/24			835		873,869
PTC, Inc., 6.00%, 05/15/24			197		207,096
RP Crown Parent LLC, 7.38%, 10/15/24^(c)			145		151,163
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24^(c)			2,690		3,020,332
TIBCO Software, Inc., 11.38%, 12/01/21^(c)			1,466		1,598,204
Veritas US, Inc./Veritas Bermuda Ltd.^(c):
7.50%, 02/01/23			369		374,535
10.50%, 02/01/24			1,279		1,221,445

					15,369,403
Specialty Retail — 0.4%
Asbury Automotive Group, Inc., 6.00%, 12/15/24			1,041		1,080,037
Group 1 Automotive, Inc., 5.25%, 12/15/23^(c)			69		70,725
Hexion US Finance Corp., 6.63%, 04/15/20			64		59,520
JC Penney Corp., Inc.:
8.13%, 10/01/19			111		116,411
7.40%, 04/01/37			115		82,800
L Brands, Inc.:
6.88%, 11/01/35			386		383,105
6.75%, 07/01/36			109		106,820
Masaria Investments SAU, 5.00%, 09/15/24		EUR	100		123,678
Penske Automotive Group, Inc., 5.75%, 10/01/22		USD	288		295,920
PetSmart, Inc., 5.88%, 06/01/25^(c)			401		312,780
PVH Corp., 3.13%, 12/15/27		EUR	107		129,833
Shop Direct Funding PLC, 7.75%, 11/15/22		GBP	100		128,071

					2,889,700
Technology Hardware, Storage & Peripherals — 0.5%
Dell International LLC/EMC Corp.^(c):
7.13%, 06/15/24		USD	1,277		1,374,371
6.02%, 06/15/26			245		261,576
8.35%, 07/15/46			385		487,751


SCHEDULE OF INVESTMENTS			17

Schedule of Investments (continued)

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


	Par (000)			Value
Technology Hardware, Storage & Peripherals (continued)
Western Digital Corp.:
7.38%, 04/01/23^(c)		USD	521	$	566,327
4.75%, 02/15/26			881		887,608

					3,577,633
Textiles, Apparel & Luxury Goods — 0.0%
BiSoho SAS, 5.88%, 05/01/23		EUR	54		70,419
Levi Strauss & Co., 3.38%, 03/15/27			100		125,769

					196,188
Thrifts & Mortgage Finance — 0.1%
Jerrold Finco PLC, 6.25%, 09/15/21		GBP	100		140,492
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.^(c):
5.25%, 03/15/22		USD	225		226,688
5.25%, 10/01/25			316		307,310

					674,490
Trading Companies & Distributors — 0.0%
Ashtead Capital, Inc., 5.63%, 10/01/24^(c)			320		334,400

Transportation Infrastructure — 0.0%
Swissport Financing Sarl, 9.75%, 12/15/22		EUR	100		127,799
WFS Global Holding SAS, 9.50%, 07/15/22			100		130,036

					257,835
Utilities — 0.0%
ContourGlobal Power Holdings SA, 5.13%, 06/15/21			100		124,245

Wireless Telecommunication Services — 2.4%
CyrusOne LP/CyrusOne Finance Corp.:
5.00%, 03/15/24		USD	797		802,977
5.38%, 03/15/27			62		62,155
Digicel Group Ltd., 7.13%, 04/01/22^(c)			485		420,980
Digicel Ltd., 6.00%, 04/15/21^(c)			2,228		2,141,665
Equinix, Inc., 2.88%, 10/01/25		EUR	100		120,856
Matterhorn Telecom SA:
3.88%, 05/01/22			100		123,830
4.00%, 11/15/27			100		119,404
Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 02/15/25^(c)		USD	380		363,850
SBA Communications Corp., 4.00%, 10/01/22^(c)			499		489,020
Sprint Capital Corp.:
6.90%, 05/01/19			270		279,542
8.75%, 03/15/32			262		284,270
Sprint Communications, Inc., 7.00%, 03/01/20^(c)			1,497		1,581,206
Sprint Corp.:
7.88%, 09/15/23			1,079		1,116,765
7.13%, 06/15/24			4,792		4,758,935
7.63%, 02/15/25			1,113		1,113,000
7.63%, 03/01/26			366		364,664
T-Mobile USA, Inc.:
6.00%, 03/01/23			653		679,120
6.50%, 01/15/24			584		611,740
4.50%, 02/01/26			732		718,275
4.75%, 02/01/28			935		911,980
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23			745		694,713

					17,758,947

Total Corporate Bonds — 53.5% (Cost — $402,867,584)					397,123,083


	Par (000)			Value
Floating Rate Loan Interests^(k) — 82.2%
Aerospace & Defense — 1.2%
Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.90%, 08/18/24		USD	3,297	$	3,313,683
DAE Aviation Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.40%, 07/07/22			489		492,724
TransDigm, Inc. :
2017 Extended Term Loan F, (3 mo. LIBOR + 2.75%), 4.41%, 06/09/23			3,554		3,574,343
2017 Term Loan E, (1 mo. LIBOR + 2.75%), 4.40%, 05/14/22			1,678		1,688,162

					9,068,912
Air Freight & Logistics — 0.5%
Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2, (1 mo. LIBOR + 2.25%), 3.84%, 04/03/22			756		755,461
CEVA Group PLC, Letter of Credit, (3 mo. LIBOR + 5.50%), 6.50%, 03/19/21^(a)			701		687,461
CEVA Intercompany BV, Dutch Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 7.27%, 03/19/21			713		699,554
CEVA Logistics Canada ULC, Canadian Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 7.27%, 03/19/21			123		120,457
CEVA Logistics US Holdings, Inc., Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 7.27%, 03/19/21			940		922,105
Livingston International, Inc., Term Loan B3, (3 mo. LIBOR + 5.75%), 7.44%, 03/20/20			342		341,081

					3,526,119
Airlines — 0.0%
Northwest Airlines, Inc., Term Loan, (6 mo. LIBOR + 1.23%), 2.68%, 09/10/18^(a)			151		149,849

Auto Components — 0.7%
Boing US Holdco, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.29%, 10/03/24			1,720		1,727,533
Dayco Products LLC, 2017 Term Loan B, (1 mo. LIBOR + 5.00%), 6.98%, 05/19/23^(a)			948		958,501
FPC Holdings, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.00%), 5.69%, 11/19/19			1,118		1,111,786
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.59%, 04/30/19			401		401,209
USI, Inc., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 4.69%, 05/16/24			773		771,679

					4,970,708
Automobiles — 0.1%
CH Hold Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.65%, 02/01/24			888		892,576

Banks — 0.1%
Banco Espirito Santo SA, 1,445.84%-4.75%, 01/15/19		EUR	200		71,370
Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.02%, 11/01/24		USD	470		469,709

					541,079
Building Materials — 0.1%
Allied Universal HoldCo LLC, 2015 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.44%, 07/28/22			688		679,652


18		2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


	Par (000)			Value
Building Materials (continued)
USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (3 mo. LIBOR + 8.50%, 1.00% Floor), 10.27%, 07/28/23		USD	395	$	391,050

					1,070,702
Building Products — 0.9%
Continental Building Products LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.25%), 3.91%, 08/18/23			371		374,744
CPG International Inc., 2017 Term Loan, (6 mo. LIBOR + 3.75%, 1.00% Floor), 5.59%, 05/03/24			1,952		1,964,549
Jeld-Wen Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.00%), 3.69%, 12/14/24			945		949,489
Ply Gem Industries, Inc., Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.69%, 02/01/21			1,012		1,015,131
Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.95%, 12/19/23			2,620		2,635,540

					6,939,453
Capital Markets — 0.9%
Duff & Phelps Corp., 2017 Term Loan B, 02/13/25^(l)			485		488,502
EIG Management Company LLC, 2018 Term Loan B, 01/30/25^(l)			1,576		1,586,569
FinCo I LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 12/27/22			1,360		1,372,240
Greenhill & Co., Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.38%, 10/12/22			1,448		1,457,050
RPI Finance Trust, Term Loan B6, (3 mo. LIBOR + 2.00%), 3.69%, 03/27/23			2,050		2,060,824

					6,965,185
Chemicals — 2.4%
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.69%, 01/31/24			711		716,049
Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 2.00%), 3.69%, 06/01/24			2,141		2,152,456
CeramTec Acquisition Corp., Term Loan B2, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.73%, 08/30/20^(a)			71		70,737
Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.65%, 05/16/24			1,348		1,350,248
Chemours Company, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 05/12/22			113		113,131
EaglePicher Technologies LLC, 1st Lien Term Loan B, 02/27/25^(l)			1,065		1,065,671
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.19%, 06/28/24			660		667,016
Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.90%, 11/07/24			1,000		1,006,250
Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.75%), 5.49%, 07/09/19			196		187,697
H.B. Fuller Co., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.84%, 10/20/24			1,332		1,337,495
Invictus^(l):
1st Lien Term Loan, 01/24/25			751		755,595
2nd Lien Term Loan, 01/23/26			390		392,683


	Par (000)			Value
Chemicals (continued)
MacDermid, Inc. :
Term Loan B6, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.65%, 06/07/23		USD	1,687	$	1,696,809
Term Loan B7, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.15%, 06/07/20			311		311,895
Oxea Holding Drei GmbH, 2017 Term Loan B2, (3 mo. LIBOR + 3.50%), 5.25%, 10/11/24^(a)			3,383		3,400,438
PQ Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.29%, 02/08/25			1,453		1,460,058
Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.50%, 08/07/20			526		526,357
Tronox Blocked Borrower LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 4.69%, 09/22/24			74		74,262
Tronox Finance LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 4.69%, 09/22/24			170		171,374

					17,456,221
Commercial Services & Supplies — 3.8%
Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 3.72%, 11/10/23			1,965		1,971,017
Asurion LLC :
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.65%, 08/04/25			901		922,849
2017 Term Loan B4, (1 mo. LIBOR + 2.75%), 4.40%, 08/04/22			1,894		1,902,526
2018 Term Loan B6, (1 mo. LIBOR + 2.75%), 4.40%, 11/03/23			1,717		1,726,101
Camelot UK Holdco Ltd., 2017 Repriced Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.90%, 10/03/23			4,923		4,955,477
Catalent Pharma Solutions, Inc., Term Loan B, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.90%, 05/20/24			2,407		2,415,290
Convergint Technologies LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.66%, 02/03/25			546		545,364
Creative Artists Agency LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.59%, 02/15/24			1,287		1,296,653
Dealer Tire LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.00%, 12/22/21^(a)			95		96,065
Employbridge LLC, Exit Term Loan, (3 mo. LIBOR + 6.50% 1.00% Floor), 8.19%, 05/16/20			512		504,749
Garda World Security Corp., 2017 Term Loan, (PRIME + 2.50%), 7.00%, 05/24/24			858		865,872
Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 6.44%, 11/03/23			818		825,066
KAR Auction Services, Inc., Term Loan B5, (3 mo. LIBOR + 2.50%), 4.25%, 03/09/23			1,135		1,140,336
Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.40%, 05/02/22			2,172		2,188,882
US Security Associates Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.69%, 07/14/23			2,047		2,061,869
West Corp., 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 5.65%, 10/10/24			2,185		2,203,206
Wrangler Buyer Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 4.65%, 09/27/24			2,599		2,611,198

					28,232,520
Communications Equipment — 0.6%
Avaya, Inc., Exit Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 6.34%, 12/15/24			1,538		1,545,672


SCHEDULE OF INVESTMENTS			19

Schedule of Investments (continued)

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


	Par (000)			Value
Communications Equipment (continued)
Colorado Buyer, Inc., Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.78%, 05/01/24		USD	1,189	$	1,194,756
CommScope, Inc., Term Loan B5, (1 mo. LIBOR + 2.00%), 3.65%, 12/29/22			394		395,462
Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.15%, 11/01/24			1,649		1,666,529

					4,802,419
Construction & Engineering — 1.1%
AECOM, Term Loan B, 02/22/25 ^(l)			720		720,598
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.00%, 06/21/24			5,641		5,680,773
CNT Holdings III Corp., 2017 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.90%, 01/22/23			224		217,850
Engility Corp. :
Term Loan B1, (1 mo. LIBOR + 2.75%), 4.40%, 08/12/20			214		215,715
Term Loan B2, (PRIME + 2.25%), 4.90%, 08/12/23			381		383,206
Pike Corp., Replacement Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.15%, 09/20/24			145		145,903
USIC Holdings, Inc., 2017 Term Loan B, (6 mo. LIBOR + 3.50%, 1.00% Floor), 5.00%, 12/08/23			1,038		1,044,152

					8,408,197
Construction Materials — 0.9%
Core & Main LP, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.57%, 08/01/24			229		229,808
Filtration Group Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.98%, 11/21/20			4,348		4,388,321
GYP Holdings III Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.77%, 04/01/23			2,293		2,304,826

					6,922,955
Containers & Packaging — 1.2%
Berlin Packaging LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.89%, 10/01/21			99		98,842
Berry Global, Inc., Term Loan Q, (1 mo. LIBOR + 2.00%), 3.62%, 10/01/22			3,728		3,739,309
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 4.96%, 04/03/24			2,955		2,966,232
Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.69%, 12/29/23			1,141		1,146,374
Plastipak Holdings, Inc., Term Loan B, (3 mo. LIBOR + 2.75%), 4.45%, 10/14/24			863		867,583

					8,818,340
Distributors — 0.6%
American Builders & Contractors Supply Co., Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 10/31/23			2,304		2,316,160
American Tire Distributors Holdings, Inc., 2015 Term Loan, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.90%, 09/01/21			292		295,155
TriMark USA LLC:
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.15%, 08/28/24			1,786		1,795,786


	Par (000)			Value
Distributors (continued)
TriMark USA LLC (continued):
Delayed Draw Term Loan, 08/28/24^(l)		USD	83	$	83,336

					4,490,437
Diversified Consumer Services — 2.9%
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.65%, 07/12/24			823		825,678
Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (PRIME + 1.25%), 3.65%, 11/07/23			2,971		2,989,428
Equian LLC, Add on Term Loan B, (3 mo. LIBOR + 3.25%), 5.15%, 05/17/24			2,340		2,350,029
J.D. Power and Associates, 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.94%, 09/07/23			1,970		1,982,338
Nomad Foods Europe Midco Ltd.:
2017 Delayed Draw Term Loan B6, (3 mo. LIBOR + 2.25%), 3.86%, 05/15/24			93		93,596
2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 3.84%, 05/15/24			1,323		1,326,337
Serta Simmons Bedding LLC:
1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.22%, 11/08/23			2,745		2,645,689
2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 9.58%, 11/08/24			862		782,108
ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 11/08/23			4,831		4,852,940
Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.08%, 11/14/22			1,832		1,841,806
Weight Watchers International, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.75%), 6.43%, 11/29/24			1,830		1,850,668

					21,540,617
Diversified Financial Services — 0.9%
AlixPartners LLP, 2017 Term Loan B, (3 mo. LIBOR + 2.75% 1.00% Floor), 4.44%, 04/04/24			1,449		1,456,904
Clipper Acquisitions Corp., 2017 Term Loan B, (2 mo. LIBOR + 2.00%, 1.00% Floor), 3.62%, 12/11/24^(a)			625		627,344
CVS Holdings I LP, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.79%, 02/06/25^(a)			975		971,344
Endo Luxembourg Finance Company I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 5.94%, 04/29/24			720		718,283
Kingpin Intermediate Holdings LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.73%, 06/28/24^(a)			1,533		1,557,200
Oryx Southern Delaware Holdings LLC, Term Loan, 02/09/25^(a)(l)			1,105		1,099,475

					6,430,550
Diversified Telecommunication Services — 5.2%
CenturyLink, Inc.:
2017 Term Loan A, (1 mo. LIBOR + 2.75%), 4.40%, 11/01/22			4,650		4,633,725
2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 01/31/25			12,880		12,651,380
Frontier Communications Corp.:
2017 Term Loan B1, (1 mo. LIBOR + 3.75%), 5.40%, 06/15/24			56		54,848


20		2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (continued)

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


	Par (000)			Value
Diversified Telecommunication Services (continued)
Frontier Communications Corp. (continued):
Delayed Draw Term Loan A, (1 mo. LIBOR + 2.75%), 4.40%, 03/31/21^(a)		USD	1,351	$	1,336,237
Hargray Communications Group, Inc., 2017 Term Loan B, 05/16/24^(l)			1,075		1,076,881
Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.85%, 02/22/24			8,075		8,087,355
MTN Infrastructure TopCo, Inc:
1st Lien Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.90%, 11/15/24			397		399,664
MTN Topco Term Loan, 11/17/24^(l)			373		374,083
Sprint Communications, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 4.19%, 02/02/24			1,976		1,977,225
Telenet Financing USD LLC, Term Loan AL, (1 mo. LIBOR + 2.50%), 4.09%, 03/01/26			4,380		4,392,615
Telesat Canada, Term Loan B4, (3 mo. LIBOR + 3.00%), 4.70%, 11/17/23			1,333		1,338,718
Virgin Media Investment Holdings Ltd., GBP Term Loan L, (LIBOR - GBP + 3.25%), 3.75%, 01/15/27		GBP	1,400		1,929,788

					38,252,519
Electric Utilities — 1.5%
Energy Future Intermediate Holding Co. LLC, 2017 DIP Term Loan, (1 Week LIBOR + 3.00%, 1.00% Floor), 4.47%, 06/30/18		USD	10,985		10,983,682
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 11/10/18^(a)(b)			2,375		—

					10,983,682
Electrical Equipment — 0.7%
EXC Holdings III Corp., 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.50%, 1.00% Floor), 5.16%, 12/02/24			875		881,834
Gates Global LLC, 2017 Repriced Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.44%, 04/01/24			3,718		3,741,108
Generac Power Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 2.00%), 3.69%, 05/31/23			745		747,050

					5,369,992
Energy Equipment & Services — 0.8%
Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor), 7.59%, 03/01/24			1,500		1,504,995
GrafTech Finance, Inc., 2018 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.08%, 02/12/25^(a)			1,690		1,687,887
Ocean Rig UDW Inc., Term Loan, 8.00%, 09/20/24			181		187,269
Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.33%, 11/08/22			770		799,838
Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 7.69%, 02/21/21			897		776,487
Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.30%), 3.95%, 07/13/20			712		703,159

					5,659,635
Food & Staples Retailing — 1.2%
Albertsons LLC, 2017 Term Loan B4, (1 mo. LIBOR + 2.75%), 4.40%, 08/25/21			755		744,608


	Par (000)			Value
Food & Staples Retailing (continued)
BJ’s Wholesale Club, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.08%, 02/03/24		USD	2,148	$	2,142,127
Hostess Brands LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 3.90%, 08/03/22			2,803		2,811,043
US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.15%, 06/27/23			2,988		3,009,345

					8,707,123
Food Products — 1.5%
Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.15%, 10/10/23			1,427		1,435,866
Dole Food Co., Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.36%, 04/06/24			770		773,000
JBS USA LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.10%, 10/30/22			1,955		1,945,449
Pinnacle Foods Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.58%, 02/02/24			2,544		2,558,752
Reddy Ice Corp.:
1st Lien Term Loan, (PRIME + 4.50%), 7.26%, 05/01/19^(a)			1,777		1,777,481
2nd Lien Term Loan, (3 mo. LIBOR + 9.50%), 11.20%, 11/01/19			724		680,560
Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 4.40%, 02/05/23			2,184		2,193,122

					11,364,230
Health Care Equipment & Supplies — 2.6%
Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 5.65%, 11/21/24			2,678		2,703,655
Cotiviti Corp., Term Loan B, (3 mo. LIBOR + 2.25%), 3.95%, 09/28/23			2,277		2,287,051
CryoLife, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.69%, 11/14/24^(a)			1,745		1,762,450
DJO Finance LLC, 2015 Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.92%, 06/08/20			5,792		5,735,206
Immucor, Inc., Extended Term Loan B, (2 mo. LIBOR + 5.00%, 1.00% Floor), 6.65%, 06/15/21			3,385		3,444,169
Ortho-Clinical Diagnostics SA, Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.44%, 06/30/21			3,034		3,057,322

					18,989,853
Health Care Providers & Services — 4.1%
Air Medical Group Holdings, Inc.:
2017 Term Loan B2, 09/07/24^(l)			1,347		1,360,807
Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.94%, 04/28/22			618		620,902
CHG Healthcare Services Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.77%, 06/07/23			2,327		2,348,832
Community Health Systems, Inc., Term Loan G, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.73%, 12/31/19			927		918,576
Concentra Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.53%, 06/01/22			1,780		1,791,125
Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.81%, 02/07/22			877		874,141


SCHEDULE OF INVESTMENTS			21

Schedule of Investments (continued)

February 28, 2018

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


	Par (000)			Value
Health Care Providers & Services (continued)
DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 06/24/21		USD	6,765	$	6,808,011
Diplomat Pharmacy, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.10%, 12/12/24			818		823,553
DuPage Medical Group, Ltd.: