UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-08603
Name of Fund: BlackRock Debt Strategies Fund, Inc. (DSU)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Donald C. Burke, Chief Executive
Officer, BlackRock Debt Strategies Fund, Inc., 800 Scudders Mill Road,
Plainsboro, NJ 08536. Mailing address: P.O. Box 9011, Princeton, NJ
08543-9011
Registrant's telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 02/28/2009
Date of reporting period: 03/01/2008 - 05/31/2008
Item 1 - Schedule of Investments
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry Corporate Bonds (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Aerospace & Defense - 1.3% Alliant Techsystems, Inc., 3%, 8/15/24 (a)(b) $ 5,000 $ 7,631,250
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Auto Components - 0.9% Allison Transmission, 11.25%, 11/01/15 (b)(c) 1,730 1,574,300
The Goodyear Tire & Rubber Co., 8.625%, 12/01/11 2 2,110
Lear Corp., 8.75%, 12/01/16 1,020 925,650
Metaldyne Corp., 11%, 6/15/12 9,350 3,085,500
Venture Holdings Co. LLC, 12%, 6/01/09 (d) (n) 4,450 0
Venture Holdings Co. LLC Series B, 9.50%,
7/01/05 (d)(e)(n) 1,800 180
-------------
5,587,740
-----------------------------------------------------------------------------------------------------------------------------------
Building Products - 1.5% CPG International I, Inc., 9.904%, 7/01/12 (f) 7,500 6,225,000
CPG International I, Inc., 10.50%, 7/01/13 1,300 1,079,000
Masonite International Corp., 11%, 4/06/15 2,270 1,520,900
-------------
8,824,900
-----------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 1.8% E*Trade Financial Corp., 12.50%, 11/30/17 (b) 10,000 10,900,000
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Chemicals - 6.0% American Pacific Corp., 9%, 2/01/15 1,490 1,467,650
ArCo Chemical Co., 9.80%, 2/01/20 3,550 2,982,000
GEO Specialty Chemicals Inc., 7.50%, 3/31/15 (a) 3,772 2,824,350
GEO Specialty Chemicals, Inc., 11.283%,
12/31/09 (a) 6,415 4,803,231
Hanna (M.A.) Co., 6.89%, 9/22/08 2,500 2,500,000
Hexion U.S. Finance Corp., 7.176%,
11/15/14 (f) 5,100 4,845,000
MacDermid, Inc., 9.50%, 4/15/17 (b) 6,360 6,169,200
NOVA Chemicals Corp., 5.953%, 11/15/13 (f) 12,305 10,582,300
-------------
36,173,731
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Commercial Banks - 0.2% Investcorp SA, 7.54%, 10/21/08 1,500 1,500,918
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Commercial Services & PNA Intermediate Holding Corp., 9.676%,
Supplies - 1.6% 2/15/13 (c)(f) 1,090 940,125
Sally Holdings LLC, 10.50%, 11/15/16 3,043 2,966,925
US Investigations Services, Inc., 10.50%, 11/01/15 (b) 3,400 3,077,000
West Corp., 11%, 10/15/16 3,270 2,893,950
-------------
9,878,000
-----------------------------------------------------------------------------------------------------------------------------------
Construction Materials - 1.8% Nortek Holdings, Inc., 10%, 12/01/13 (b) 6,830 6,787,313
Nortek, Inc., 8.50%, 9/01/14 5,850 4,095,000
-------------
10,882,313
-----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging - 4.6% Berry Plastics Holding Corp., 6.651%,
9/15/14 (f) 375 316,875
Berry Plastics Holding Corp., 8.875%, 9/15/14 665 608,475
Graphic Packaging International Corp., 9.50%, 8/15/13 705 710,288
Packaging Dynamics Finance Corp., 10%, 5/01/16 (b) 6,215 4,101,900
Smurfit Kappa Funding Plc, 7.75%, 4/01/15 13,625 12,364,688
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry Corporate Bonds (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Smurfit-Stone Container Enterprises, Inc., 8.375%, 7/01/12 $ 1,600 $ 1,488,000
Smurfit-Stone Container Enterprises, Inc., 8%, 3/15/17 2,600 2,242,500
Wise Metals Group LLC, 10.25%, 5/15/12 6,325 5,518,563
-------------
27,351,289
-----------------------------------------------------------------------------------------------------------------------------------
Distributors - 0.3% Buhrmann US, Inc., 7.875%, 3/01/15 2,000 1,892,500
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Consumer NBC Acquisition Corp., 11%, 3/15/13 (m) 3,875 3,410,000
Services - 0.6%
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Diversified Financial Archimedes Funding III Ltd., 5.50%, 11/29/11 (b) 5,744 2,871,845
Services - 1.3% Ford Motor Credit Co. LLC, 5.80%, 1/12/09 760 745,666
Ford Motor Credit Co. LLC, 5.46%, 1/13/12 (f) 2,680 2,264,571
Ford Motor Credit Co. LLC, 7.163%, 4/15/12 (f) 750 737,796
Preferred Term Securities VI, Ltd. (b) 35 1,330,000
-------------
7,949,878
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Qwest Corp., 6.026%, 6/15/13 (f) 2,675 2,594,750
Services - 0.4%
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Electric Utilities - 0.9% NSG Holdings LLC, 7.75%, 12/15/25 (b) 5,380 5,312,750
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Electronic Equipment & Muzak Holdings, LLC, 13%, 3/15/10 (m) 2,675 1,350,875
Instruments - 1.1% NXP BV, 5.463%, 10/15/13 (f) 5,520 5,050,800
-------------
6,401,675
-----------------------------------------------------------------------------------------------------------------------------------
Energy Equipment & Compagnie Generale de Geophysique-Veritas, 7.50%, 5/15/15 245 248,063
Services - 2.4% Ocean RIG ASA, 6.791%, 4/04/11 (f) 8,000 8,000,000
SemGroup LP, 8.75%, 11/15/15 (b) 6,300 6,142,500
-------------
14,390,563
-----------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 0.2% Rite Aid Corp., 9.375%, 12/15/15 1,910 1,489,800
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Gas Utilities - 0.5% El Paso Performance-Linked Trust, 7.75%, 7/15/11 (b) 2,900 2,983,172
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Health Care Equipment & LVB Acquisition Merger Sub, Inc., 10%, 10/15/17 (b) 1,200 1,287,000
Supplies - 3.2% LVB Acquisition Merger Sub, Inc., 10.375%, 10/15/17 (b)(c) 1,200 1,275,000
LVB Acquisition Merger Sub, Inc., 11.625%, 10/15/17 (b) 1,600 1,696,000
ReAble Therapeutics Finance LLC, 10.875%, 11/15/14 (b) 15,000 15,000,000
-------------
19,258,000
-----------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & Community Health Systems, Inc. Series WI, 8.875%, 7/15/15 2,575 2,655,469
Services - 0.6% Universal Hospital Services, Inc., 6.303%, 6/01/15 (f) 930 881,175
-------------
3,536,644
-----------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & HRP Myrtle Beach Operations LLC, 7.383%, 4/01/12 (b)(f) 5,000 4,400,000
Leisure - 7.1%
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry Corporate Bonds (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
HRP Myrtle Beach Operations LLC, 12.50%, 4/01/13 (b) $ 5,000 $ 3,750,000
HRP Myrtle Beach Holdings LLC, 14.50%, 4/01/14 (b)(c) 6,650 4,023,558
Harrah's Operating Co., Inc., 10.75%,
2/01/16 (b) 10,131 8,788,643
Harrah's Operating Co., Inc., 10.75%,
2/01/18 (b)(c) 4,260 3,211,911
Little Traverse Bay Bands of Odawa Indians, 10.25%, 2/15/14 (b) 2,560 2,393,600
Pinnacle Entertainment, Inc., 7.50%,
6/15/15 (b) 1,620 1,336,500
Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15 (b) 1,370 1,195,325
Snoqualmie Entertainment Authority, 6.936%, 2/01/14 (b)(f) 1,015 786,625
Station Casinos, Inc., 7.75%, 8/15/16 3,400 2,830,500
Travelport LLC, 7.307%, 9/01/14 (f) 2,600 2,210,000
Tropicana Entertainment LLC Series WI, 9.625%, 12/15/14 (d) 830 464,800
Tunica-Biloxi Gaming Authority, 9%,
11/15/15 (b) 3,000 2,925,000
Universal City Florida Holding Co. I, 7.623%, 5/01/10 (f) 4,375 4,298,438
-------------
42,614,900
-----------------------------------------------------------------------------------------------------------------------------------
Household Durables - 0.6% Jarden Corp., 7.50%, 5/01/17 1,910 1,704,675
Stanley-Martin Communities LLC, 9.75%, 8/15/15 2,250 1,012,500
The Yankee Candle Co., Inc., 9.75%, 2/15/17 920 717,600
-------------
3,434,775
-----------------------------------------------------------------------------------------------------------------------------------
Independent Power Producers & Energy Future Holding Corp., 11.25%, 11/01/17 (b)(c) 3,200 3,296,000
Energy Traders - 1.0% Texas Competitive Electric Holdings Co. LLC, 10.50%, 11/01/16 (b)(c) 2,400 2,436,000
-------------
5,732,000
-----------------------------------------------------------------------------------------------------------------------------------
Insurance - 0.6% Alliant Holdings I, Inc., 11%, 5/01/15 (b) 2,500 2,162,500
USI Holdings Corp., 6.551%, 11/15/14 (b)(f) 1,630 1,312,150
-------------
3,474,650
-----------------------------------------------------------------------------------------------------------------------------------
Machinery - 1.0% Esco Corp., 6.651%, 12/15/13 (b)(f) 3,070 2,824,400
RBS Global, Inc., 8.875%, 9/01/16 1,685 1,626,025
Titan International, Inc., 8%, 1/15/12 1,530 1,541,475
-------------
5,991,900
-----------------------------------------------------------------------------------------------------------------------------------
Marine - 0.3% Navios Maritime Holdings, Inc., 9.50%, 12/15/14 465 478,950
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry Corporate Bonds (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Titan Petrochemicals Group Ltd., 8.50%, 3/18/12 (b) $ 1,760 $ 1,144,000
-------------
1,622,950
-----------------------------------------------------------------------------------------------------------------------------------
Media - 7.4% Affinion Group, Inc., 10.125%, 10/15/13 280 286,300
Affinion Group, Inc., 11.50%, 10/15/15 800 813,000
Cablevision Systems Corp. Series B, 7.133%, 4/01/09 (f) 5,950 5,979,750
Cadmus Communications Corp., 8.375%, 6/15/14 2,000 1,700,000
Canadian Satellite Radio Holdings, Inc., 12.75%, 2/15/14 5,000 4,675,000
Charter Communications Holdings LLC, 10%, 4/01/09 3,750 3,665,625
Charter Communications Holdings LLC, 11.125%, 1/15/11 1,319 896,920
Charter Communications Holdings LLC, 10%, 5/15/11 1,978 1,384,600
Mediacom LLC, 9.50%, 1/15/13 3,875 3,700,625
Network Communications, Inc., 10.75%, 12/01/13 20 15,300
Nielsen Finance LLC, 10%, 8/01/14 (b) 4,110 4,238,438
Paxson Communications Corp., 5.963%, 1/15/12 (b)(f) 2,800 2,338,000
Sinclair Broadcast Group, Inc. Class A, 4.875%, 7/15/18 (a)(m) 3,235 2,972,156
Sirius Satellite Radio, Inc., 9.625%, 8/01/13 5,795 4,969,213
TL Acquisitions, Inc., 10.50%, 1/15/15 (b) 5,230 4,759,300
Windstream Regatta Holdings, Inc., 11%, 12/01/17 (b) 2,665 1,785,550
-------------
44,179,777
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Metals & Mining - 2.4% Aleris International, Inc., 9%, 12/15/14 (c) 1,410 1,152,675
Aleris International, Inc., 10%, 12/15/16 1,500 1,076,250
Indalex Holding Corp. Series B, 11.50%, 2/01/14 2,854 1,555,430
RathGibson, Inc., 11.25%, 2/15/14 4,550 4,481,750
Ryerson, Inc., 10.248%, 11/01/14 (b)(f) 6,720 6,199,200
-------------
14,465,305
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Oil, Gas & Consumable Chaparral Energy, Inc., 8.50%, 12/01/15 1,410 1,247,850
Fuels - 0.9% Compton Petroleum Finance Corp., 7.625%, 12/01/13 2,220 2,172,825
SandRidge Energy, Inc., 6.416%, 4/01/14 (b)(f) 2,000 1,960,000
-------------
5,380,675
-----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 7.1% Abitibi-Consolidated, Inc., 6.276%, 6/15/11 (f) 6,500 2,925,000
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry Corporate Bonds (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Ainsworth Lumber Co. Ltd., 6.551%,
10/01/10 (f) $ 10,609 $ 5,092,320
Ainsworth Lumber Co. Ltd., 7.25%, 10/01/12 866 389,700
Ainsworth Lumber Co. Ltd., 6.801%, 4/01/13 (f) 9,830 5,013,300
Bowater, Inc., 9%, 8/01/09 640 579,200
Bowater, Inc., 5.776%, 3/15/10 (f) 7,600 6,004,000
Domtar Corp., 7.125%, 8/15/15 3,775 3,605,125
NewPage Corp., 9.123%, 5/01/12 (f) 8,000 8,360,000
NewPage Corp., 10%, 5/01/12 (b) 2,720 2,896,800
NewPage Corp., 12%, 5/01/13 3,325 3,516,188
Verso Paper Holdings LLC Series B, 6.623%, 8/01/14 (f) 4,400 4,092,000
-------------
42,473,633
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Pharmaceuticals - 2.0% Angiotech Pharmaceuticals, Inc., 6.432%, 12/01/13 (f) 5,000 4,325,000
Elan Finance Plc, 6.676%, 11/15/11 (f) 4,825 4,535,500
Elan Finance Plc, 7.75%, 11/15/11 3,525 3,445,688
-------------
12,306,188
-----------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts RAIT Financial Trust, 6.875%, 4/15/27 (a)(b) 3,500 1,815,625
(REITs) - 0.3%
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Real Estate Management & Realogy Corp., 10.50%, 4/15/14 4,770 3,577,500
Development - 1.5% Realogy Corp., 11%, 4/15/14 (c) 6,190 4,023,500
Realogy Corp., 12.375%, 4/15/15 2,815 1,534,175
-------------
9,135,175
-----------------------------------------------------------------------------------------------------------------------------------
Road & Rail - 0.3% Swift Transportation Co., Inc., 10.426%, 5/15/15 (b)(f) 5,060 1,669,800
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Semiconductors & Semiconductor Freescale Semiconductor, Inc., 8.875%, 12/15/14 1,330 1,177,050
Equipment - 0.6% Spansion, Inc., 5.807%, 6/01/13 (b)(f) 3,370 2,460,100
-------------
3,637,150
-----------------------------------------------------------------------------------------------------------------------------------
Software - 0.2% BMS Holdings, Inc., 9.954%, 2/15/12 (b)(c)(f) 2,567 1,540,006
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Specialty Retail - 3.3% Buffets, Inc., 12.50%, 11/01/14 (d)(g) 1,440 28,800
General Nutrition Centers, Inc., 7.199%, 3/15/14 (c)(f) 5,560 4,832,881
General Nutrition Centers, Inc., 10.75%, 3/15/15 4,480 4,009,600
Michaels Stores, Inc., 10%, 11/01/14 2,240 2,072,000
Michaels Stores, Inc., 11.375%, 11/01/16 2,785 2,395,100
Movie Gallery, Inc., 11%, 5/01/12 (d) 21,700 5,425,000
United Auto Group, Inc., 7.75%, 12/15/16 1,380 1,283,400
-------------
20,046,781
-----------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Centennial Communications Corp., 8.541%, 1/01/13 (f) 1,905 1,814,513
Services - 3.5%
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry Corporate Bonds (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Cricket Communications, Inc., 9.375%, 11/01/14 $ 2,760 $ 2,663,400
Cricket Communications, Inc., 9.375%, 11/01/14 (b) 920 887,800
Digicel Group Ltd., 8.875%, 1/15/15 (b) 3,560 3,266,300
Digicel Group Ltd., 9.125%, 1/15/15 (b)(c) 7,248 6,080,380
FiberTower Corp., 9%, 11/15/12 (a) 350 267,750
FiberTower Corp., 9%, 11/15/12 (a)(b) 2,150 1,644,750
iPCS, Inc., 4.998%, 5/01/13 (f) 1,250 1,075,000
Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (b) 2,600 2,561,000
Orascom Telecom Finance SCA, 7.875%, 2/08/14 (b) 755 722,913
-------------
20,983,806
-----------------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds - 71.3% 428,454,969
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Senior Floating Rate Loan Interests
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Aerospace & Defense - 0.2% Hawker Beechcraft Acquisition Co. LLC Letter of Credit,
4.73%, 3/31/14 27 24,896
Hawker Beechcraft Acquisition Co. LLC Term Loan B,
4.696% - 6.83%, 3/31/14 456 427,217
IAP Worldwide Services, Inc. Term Loan, 9.0%, 12/31/12 1,136 935,702
-------------
1,387,815
-----------------------------------------------------------------------------------------------------------------------------------
Airlines - 0.6% Delta Air Lines, Inc. First Lien Term Loan, 2.55% - 6.83%, 5/15/12 1,980 1,680,171
US Airways Group, Inc. Term Loan B, 5.18%,
3/22/14 1,980 1,342,440
United Air Lines, Inc. Term Loan B, 4.69% - 4.94%, 1/30/14 1,068 816,207
-------------
3,838,818
-----------------------------------------------------------------------------------------------------------------------------------
Auto Components - 2.6% Allison Transmission Term Loan B, 5.48% - 7.90%, 8/07/14 7,738 7,086,401
Delphi Automotive Systems Term Loan, 8.50%, 12/31/08 2,723 2,673,023
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.54%, 4/30/14 2,000 1,868,500
Intermet Corp. Letter of Credit, 7.94%, 11/08/10 1,685 1,487,176
Intermet Corp. Term Loan B, 7.99%, 11/08/10 1,163 1,025,933
Metaldyne Corp. Letter of Credit, 5.17% - 6.50%, 1/15/12 87 67,825
Metaldyne Corp. Term Loan B, 6.50%, 1/15/14 588 461,207
TRW Automotive, Inc. Term Loan B, 4.69% - 6.88%, 12/31/13 993 964,958
-------------
15,635,023
-----------------------------------------------------------------------------------------------------------------------------------
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry Senior Floating Rate Loan Interests (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Beverages - 0.2% Culligan International Second Lien Term Loan, 8.84%, 4/24/13 EUR 1,500 $ 1,166,807
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Biotechnology - 0.2% Talecris Biotherapeutics, Inc. First Lien Term Loan, 6.57%, 11/13/14 $ 1,492 1,358,123
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Building Products - 1.0% Building Material Corp. of America First Lien Term Loan,
5.688%, 2/22/14 3,000 2,681,250
Masonite International Term Loan, 4.63% - 5.046%, 4/06/13 1,873 1,775,062
Masonite International Term Loan B, 4.63% - 5.046%, 4/06/13 1,877 1,778,086
-------------
6,234,398
-----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 4.7% Flint Group Term Loan, 4.88%, 12/20/14 2,000 1,774,376
Huish Detergents, Inc. First Lien Term Loan, 4.70%, 4/15/14 2,985 2,643,316
Huish Detergents, Inc. Second Lien Term Loan, 6.95%, 10/15/14 1,250 1,050,000
Huntsman ICI Holdings Term Loan B, 6.615%, 8/16/12 1,636 1,582,845
Ineos Group Plc Term Loan B, 4.885%, 2/20/15 1,625 1,486,875
Ineos Group Plc Term Loan C, 5.385%, 2/20/14 1,625 1,486,875
PQ Corp. First Lien Term Loan, 6.15%, 5/29/15 2,000 1,875,000
PQ Corp. Second Lien Term Loan, 9.40%, 5/29/16 12,500 11,000,000
Rockwood Specialties Group, Inc. Tranche D Term Loan,
4.399%, 12/10/12 617 589,257
Solutia, Inc. Term Loan, 15.50%, 4/21/15 2,468 2,412,650
Wellman, Inc. Second Lien Term Loan, 11.66%, 2/10/10 (d) 10,000 2,300,000
-------------
28,201,194
-----------------------------------------------------------------------------------------------------------------------------------
Commercial Services & ARAMARK Corp. Letter of Credit, 5.198%,
Supplies - 5.2% 1/30/14 474 444,785
ARAMARK Corp. Term Loan B, 4.57%, 1/30/14 7,462 7,001,204
Euramax International Plc First Lien Term Loan, 7.813%, 6/29/12 2,436 2,094,792
Euramax International Plc Second Lien Term Loan, 12.646%, 6/29/13 3,750 2,212,500
Jason, Inc. Term Loan B, 7.25%, 4/30/10 1,465 1,279,843
John Maneely Co. Term Loan B, 5.966% - 6.02%, 12/15/13 1,344 1,251,684
NES Rentals Holdings, Inc. Term Loan C, 11.875%, 7/12/13 3,020 2,355,597
Service Master Bridge Loan, 8.42%, 7/28/08 6,070 4,856,000
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry Senior Floating Rate Loan Interests (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Waste Services, Inc. Term Loan D, 5.15%, 3/31/11 $ 5,914 $ 5,840,253
West Corp. Term Loan, 5.465% - 6.093%, 10/31/13 3,960 3,661,638
-------------
30,998,296
-----------------------------------------------------------------------------------------------------------------------------------
Communications Alltel Corp. Term Loan B3, 5.466% - 5.568%, 5/18/15 6,982 6,472,346
Equipment - 1.2% SafeNet, Inc. First Lien Term Loan, 5.46%, 5/11/15 993 858,513
-------------
7,330,859
-----------------------------------------------------------------------------------------------------------------------------------
Computers & Peripherals - 0.2% Intergraph Corp. Term Loan, 5.27% - 7.08%, 5/15/14 419 402,466
Intergraph Corp. Term Loan, 9.09%, 11/15/14 1,000 963,750
-------------
1,366,216
-----------------------------------------------------------------------------------------------------------------------------------
Construction & Engineering - 0.1% Brand Energy & Infrastructure Services, Inc. Term Loan B,
5.0% - 5.188%, 2/15/14 493 447,842
-----------------------------------------------------------------------------------------------------------------------------------
Construction Materials - 0.3% Headwaters, Inc. Term Loan B-1, 4.90%, 4/30/11 1,963 1,869,281
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Containers & Packaging - 1.6% Anchor Glass Container Corp. Term Loan B, 5.113%, 5/03/13 2,216 2,188,599
Berry Plastics Corp. Term Loan B, 9.728% - 11.646%, 6/15/14 9,222 6,455,623
Consolidated Container Co. LLC Second Lien Term Loan,
8.751% - 10.581%, 10/15/14 350 152,250
Graham Packaging Co. LP Term Loan B, 7.188% - 8.0%, 4/15/11 491 468,557
-------------
9,265,029
-----------------------------------------------------------------------------------------------------------------------------------
Distributors - 0.2% Keystone Automotive Operations, Inc. Term Loan B,
6.21% - 7.75%, 1/15/12 1,677 1,333,068
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Diversified Consumer Coinmach Laundry Corp. Term Loan B, 6.07% - 7.0%,
Services - 0.8% 11/15/14 5,500 4,867,500
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Diversified Financial J.G. Wentworth Manufacturing Term Loan B, 7.45%, 4/15/14 4,000 3,150,000
Services - 0.5%
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Winstar Communications Debtor In Possession, 6.366%, 12/31/06 (e) 3,162 4,813,949
Services - 0.8%
-----------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.4% Generac Power Systems, Inc. First Lien Term Loan, 5.288%, 11/15/13 3,000 2,437,500
-----------------------------------------------------------------------------------------------------------------------------------
Energy Equipment & Dresser, Inc. First Lien Term Loan, 5.113% - 5.565%, 5/15/14 2,946 2,815,602
Services - 1.3% Dresser, Inc. Second Lien Term Loan, 8.82%, 5/15/15 2,500 2,364,583
MEG Energy Corp. Delayed Draw Term Loan, 4.70%, 3/23/13 1,248 1,176,653
MEG Energy Corp. Term Loan B, 4.70%, 4/03/13 1,225 1,152,520
-------------
7,509,358
-----------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - 1.6% Bolthouse Farms, Inc. Second Lien Term Loan, 10.33%, 12/01/13 1,000 940,000
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry Senior Floating Rate Loan Interests (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
DS Waters LP Term Loan B, 7.119%, 11/15/12 $ 1,000 $ 930,000
Dole Food Co., Inc. Letter of Credit, 2.58% - 4.247%, 4/12/13 608 562,686
Dole Food Co., Inc. Term Loan B, 4.75% - 7.125%, 4/12/13 1,341 1,240,723
Dole Food Co., Inc. Term Loan C, 4.75% - 7.125%, 4/04/13 4,470 4,135,743
McJunkin Corp. Term Loan B, 6.134%, 1/30/14 494 485,932
Sturm Foods, Inc. First Lien Term Loan, 5.438%, 1/30/14 990 770,550
Sturm Foods, Inc. Second Lien Term Loan, 11.063%, 6/30/14 1,250 700,000
-------------
9,765,634
-----------------------------------------------------------------------------------------------------------------------------------
Food Products - 0.5% Eight O'Clock Coffee First Lien Term Loan, 5.50%, 7/21/12 907 870,348
Jetro Holdings, Inc. Term Loan, 5.20%, 5/11/14 1,938 1,821,250
-------------
2,691,598
-----------------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & Biomet, Inc. Term Loan B, 5.696%, 3/25/14 1,995 1,937,077
Supplies - 0.9% ReAble Therapeutics Finance LLC Term Loan,
5.696%, 5/14/14 3,491 3,395,241
-------------
5,332,318
-----------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & CCS Medical First Lien Term Loan, 5.93%, 10/31/12 477 407,816
Services - 1.0% Community Health Systems, Inc. Term Loan B, 4.733%, 6/18/14 2,856 2,692,653
Rotech Healthcare, Inc. Term Loan B, 8.899% - 10.832%, 9/26/11 3,420 2,975,010
-------------
6,075,479
-----------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Golden Nugget, Inc. Term Loan Second Lien, 5.81% - 8.84%, 11/30/14 1,500 1,020,000
Leisure - 3.1% Green Valley Ranch Gaming LLC Term Loan, 6.335%, 8/30/14 750 492,188
Harrah's Entertainment, Inc. Term Loan B2, 6.244%, 1/29/15 700 653,516
Harrah's Entertainment, Inc. Term Loan B3, 5.92%, 1/29/15 494 461,876
Harrah's Operating Term Loan B, 5.92%, 1/31/15 556 518,221
Las Vegas Sands LLC Delay Draw Term Loan, 4.17%, 5/23/14 800 735,334
Las Vegas Sands LLC Term Loan B, 4.45%, 5/04/14 3,176 2,919,274
OSI Restaurant Partners, Inc. Revolving Credit, 4.878%, 5/15/14 75 64,718
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry Senior Floating Rate Loan Interests (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
OSI Restaurant Partners, Inc. Term Loan B, 5.0%, 5/15/14 $ 887 $ 763,659
QCE LLC Second Lien Term Loan, 10.948%, 11/05/13 6,000 4,890,000
Venetian Macau US Finance Co. LLC Delay Draw Term Loan,
7.45%, 5/25/12 2,500 2,412,500
Venetian Macau US Finance Co. LLC Term Loan B, 7.45%, 5/25/13 3,500 3,377,500
-------------
18,308,786
-----------------------------------------------------------------------------------------------------------------------------------
Household Durables - 0.5% American Residential Services Second Lien Term Loan,
12.0%, 4/17/15 (n) 3,000 2,956,963
-----------------------------------------------------------------------------------------------------------------------------------
Household Products - 0.7% Spectrum Brands, Inc. Letter of Credit, 2.678%, 4/15/13 282 268,056
Spectrum Brands, Inc. Term Loan B-1, 5.69% - 7.096%, 4/15/13 4,125 3,922,096
-------------
4,190,152
-----------------------------------------------------------------------------------------------------------------------------------
IT Services - 3.0% Activant Solutions Term Loan B, 6.75% - 7.50%, 5/02/13 3,686 3,262,423
Audio Visual Services Corp. Second Lien Term Loan, 8.20%, 9/15/14 1,000 900,000
Ceridian Corp. Term Loan, 5.59%, 11/07/14 3,500 3,062,500
First Data Corp. Term Loan B, 5.446% - 7.634%, 9/24/14 2,488 2,305,743
First Data Corp. Term Loan B2, 5.349% - 5.446%, 9/24/14 5,995 5,558,990
First Data Corp. Term Loan B3, 5.446% - 7.634%, 9/24/14 1,995 1,850,600
RedPrairie Corp. Term Loan, 6.0%, 7/31/12 296 260,700
RedPrairie Corp. Term Loan, 7.0% - 8.0%, 7/31/12 887 780,961
-------------
17,981,917
-----------------------------------------------------------------------------------------------------------------------------------
Independent Power Producers & TXU Corp. Term Loan B-2, 6.234% - 6.478%, 10/14/29 3,990 3,754,682
Energy Traders - 1.3% TXU Corp. Term Loan B-3, 6.478% - 6.596%, 10/10/14 3,980 3,740,205
-------------
7,494,887
-----------------------------------------------------------------------------------------------------------------------------------
Insurance - 0.3% Alliant Insurance Services Term Loan B, 5.696%, 10/23/14 995 922,863
USI Holdings Corp. Term Loan B, 5.45%, 5/15/14 993 915,581
-------------
1,838,444
-----------------------------------------------------------------------------------------------------------------------------------
Machinery - 1.9% Harrington Holdings, Inc. Term Loan, 5.113%, 1/15/14 990 910,800
Maxim Crane Term Loan B, 4.71% - 6.25%, 6/14/14 993 982,575
Navistar International Transportation Corp. Revolving Credit,
5.17% - 6.149%, 6/30/12 1,867 1,753,112
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry Senior Floating Rate Loan Interests (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Navistar International Transportation Corp. Term Loan,
6.501%, 6/30/12 $ 5,133 $ 4,821,057
OshKosh Truck Corp. Term Loan B, 7.11%, 11/30/13 1,975 1,885,301
Rexnord Corp. Payment In Kind Term Loan, 10.058% - 12.131%, 3/02/13 1,200 942,271
-------------
11,295,116
-----------------------------------------------------------------------------------------------------------------------------------
Media - 10.9% Affinion Group, Inc. Term Loan, 11.678%, 3/01/12 4,000 3,340,000
Cequel Communications LLC Second Lien Term Loan,
8.873% - 9.239%, 5/04/14 9,799 8,402,936
Cequel Communications LLC Term Loan B, 4.685% - 7.36%, 11/05/13 1,582 1,471,502
Charter Communications, Inc. Term Loan B, 4.90%, 4/30/14 11,721 10,408,712
ClientLogic Holding Corp. Term Loan B,
5.106% - 7.343%, 1/30/14 973 778,768
Easton-Bell Sports, Inc. Term Loan B, 8.98% - 8.99%, 5/01/12 4,251 3,841,471
Education Media and Publishing First Lien Term Loan B,
6.901%, 11/14/14 5,053 4,623,523
Education Media and Publishing Second Lien Term Loan,
11.401%, 11/14/14 18,205 15,109,943
Ellis Communications Term Loan, 10.0%, 12/30/11 6,330 5,063,981
GateHouse Media Operating, Inc. Delay Draw Term Loan,
4.72% - 5.09%, 9/15/14 592 412,688
GateHouse Media Operating, Inc. Term Loan B, 5.09%, 9/15/14 2,000 1,395,000
Insight Midwest Holdings LLC Delay Draw Term Loan, 7.0%, 4/03/14 4,150 3,961,768
Insight Midwest Holdings LLC Term Loan B, 7.36%, 4/06/14 1,250 1,193,304
Multicultural Radio Broadcasting Inc. Term Loan, 5.75%, 12/15/12 444 403,813
NEP Supershooters, LP Term Loan B, 4.946%, 2/13/14 990 895,120
Penton Media Term Loan, 7.899%, 2/15/14 1,000 700,000
ProSiebenSat.1 Media AG Term Loan B, 6.77%, 6/30/15 EUR 500 539,892
ProSiebenSat.1 Media AG Term Loan B, 7.02%, 6/30/16 1,000 1,079,783
Univision Communications, Inc. First Lien Term Loan, 4.954%, 9/30/14 $ 168 141,380
Univision Communications, Inc. First Lien Term Loan,
7.072% - 7.21%, 9/30/14 1,882 1,586,001
-------------
65,349,585
-----------------------------------------------------------------------------------------------------------------------------------
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry Senior Floating Rate Loan Interests (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.4% Coleto Creek Letter of Credit, 5.446%, 7/31/13 $ 454 $ 411,771
Coleto Creek Term Loan B, 2.596%, 7/31/13 32 28,875
Energy Transfer Equity LP Term Loan B, 4.508%, 11/01/12 750 727,902
NE Energy Second Lien Term Loan, 7.125%, 10/31/14 750 652,500
USPF Holdings Term Loan, 4.477%, 4/15/14 952 870,747
-------------
2,691,795
-----------------------------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.6% Neiman Marcus Group, Inc. Term Loan, 4.758%, 4/06/13 3,750 3,583,125
-----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 1.3% Big West Oil & Gas Delay Draw Term Loan, 5.068%, 5/15/14 219 204,531
Big West Oil & Gas Term Loan B, 5.0%, 5/15/14 774 724,041
Petroleum Geo-Services ASA Term Loan B, 4.45%, 6/30/15 1,907 1,842,317
Scorpion Drilling Ltd. Second Lien Term Loan, 12.406%, 5/05/15 3,500 3,570,000
Western Refining Co. LP Delay Draw Term Loan, 4.649%, 3/15/14 184 162,856
Western Refining Co. LP Term Loan B, 4.649%, 3/15/14 1,198 1,060,578
-------------
7,564,323
-----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.8% Boise Cascade Holdings LLC Second Lien Term Loan, 7.50%, 2/05/15 1,500 1,501,340
Verso Paper Holdings LLC Term Loan B, 9.078%, 2/01/13 3,671 3,457,199
-------------
4,958,539
-----------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.4% Pharmaceutical Technologies & Services (PTS) Term Loan,
4.946%, 4/15/14 2,978 2,646,253
-----------------------------------------------------------------------------------------------------------------------------------
Real Estate Management & Enclave First Lien Term Loan, 6.14%, 3/01/12 4,000 3,477,200
Development - 1.2% Georgian Towers Term Loan, 6.14%, 3/01/12 4,000 3,394,800
Yellowstone Club Term Loan B, 5.238%, 10/15/10 438 357,232
-------------
7,229,232
-----------------------------------------------------------------------------------------------------------------------------------
Software - 1.1% Aspect Software Second Lien Term Loan, 11.50%, 7/05/12 7,000 6,300,000
-----------------------------------------------------------------------------------------------------------------------------------
Specialty Retail - 0.6% ADESA, Inc. Term Loan B, 4.95%, 10/30/13 1,985 1,839,599
Burlington Coat Factory Warehouse Corp. Term Loan B, 5.34%, 4/15/13 981 829,363
Claire's Stores Term Loan B, 5.613% - 7.58%, 5/24/14 1,484 1,180,066
-------------
3,849,028
-----------------------------------------------------------------------------------------------------------------------------------
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry Senior Floating Rate Loan Interests (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury David's Bridal, Inc. Term Loan B, 4.696%, 1/30/14 $ 990 $ 863,775
Goods - 0.2% Renfro Corp. Term Loan B, 6.15% - 6.34%, 9/30/13 740 592,112
-------------
1,455,887
-----------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Centennial Cellular Operating Co. Term Loan,
Services - 1.1% 4.696% - 5.085%, 2/09/11 4,750 4,634,813
IPC Systems First Lien Term Loan, 4.946%, 5/25/14 1,985 1,521,834
NG Wireless Term Loan, 5.446% - 5.613%, 7/31/14 610 579,144
-------------
6,735,791
-----------------------------------------------------------------------------------------------------------------------------------
Total Senior Floating Rate Loan Interests - 55.5% 333,505,928
-----------------------------------------------------------------------------------------------------------------------------------
Common Stocks Shares
-----------------------------------------------------------------------------------------------------------------------------------
Airlines - 0.2% Delta Air Lines, Inc. (g) 221,600 1,362,840
-----------------------------------------------------------------------------------------------------------------------------------
Building Products - 0.1% Neenah Enterprises Inc. (g) 144,858 517,143
-----------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 0.3% E*Trade Financial Corp. (g) 484,043 1,984,576
-----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 0.0% GEO Specialty Chemicals, Inc. (g) 339,340 130,273
GenTek Inc. (g) 403 11,812
-------------
142,085
-----------------------------------------------------------------------------------------------------------------------------------
Commercial Services & New Outsourcing Solutions, Inc. (g) 90,876 181,752
Supplies - 0.0%
-----------------------------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.5% Loral Space & Communications Ltd. (g) 150,354 2,915,364
-----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.2% Smurfit Kappa Plc 36,342 370,329
Viskase Cos., Inc. (g) 1,428,423 542,801
-------------
913,130
-----------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.3% Medis Technologies Ltd. (g) 286,757 1,775,026
-----------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & HRP PIK Corp. Class B (b)(n) 5,000 50
Leisure - 0.0% Lodgian, Inc. (g) 27,787 250,083
-------------
250,133
-----------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities - 1.1% CenterPoint Energy, Inc. 375,937 6,368,373
-----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.1% Western Forest Products, Inc. Restricted Shares (g) 211,149 255,011
-----------------------------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor Cypress Semiconductor Corp. (g) 17,839 497,351
Equipment - 0.1%
-----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks - 2.9% 17,162,784
-----------------------------------------------------------------------------------------------------------------------------------
Preferred Securities
-----------------------------------------------------------------------------------------------------------------------------------
Par
Capital Trusts (000)
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Financial Citigroup, Inc., 8.40% (f)(o) $ 4,200 4,163,418
Services - 0.7%
-----------------------------------------------------------------------------------------------------------------------------------
Total Capital Trusts - 0.7% 4,163,418
-----------------------------------------------------------------------------------------------------------------------------------
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Industry Preferred Stocks Shares Value
-----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - 1.8% EXCO Resources, Inc., 7% (a)(b) 179 $ 2,148,000
EXCO Resources, Inc., 11% (b) 737 8,844,000
-----------------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks - 1.8% 10,992,000
-----------------------------------------------------------------------------------------------------------------------------------
Total Preferred Securities - 2.5% 15,155,418
-----------------------------------------------------------------------------------------------------------------------------------
Warrants (i)
-----------------------------------------------------------------------------------------------------------------------------------
Building Products - 0.1% Neenah Enterprises Inc. (expires 9/30/13) 130,547 459,525
-----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 0.0% GenTek Inc. Tranche B (expires 11/10/08) 471 7,866
GenTek Inc. Tranche C (expires 11/10/10) 231 2,657
-------------
10,523
-----------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & HealthSouth Corp. (expires 1/16/14) 126,761 31,690
Services - 0.0%
-----------------------------------------------------------------------------------------------------------------------------------
Media - 0.0% Sirius Satellite Radio, Inc. (expires 5/15/09) 15,000 150
-----------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication American Tower Corp. (expires 8/01/08) 1,325 852,472
Services - 0.1%
-----------------------------------------------------------------------------------------------------------------------------------
Total Warrants - 0.2% 1,354,360
-----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest
Other Interests (j) (000)
-----------------------------------------------------------------------------------------------------------------------------------
Airlines - 0.0% Delta Air Lines, Inc. Default 8.33% Escrow $ 5,505 89,456
Delta Air Lines, Inc. Default 10% Escrow 4,200 57,750
-------------
147,206
-----------------------------------------------------------------------------------------------------------------------------------
Auto Components - 0.0% Cambridge Industries, Inc. (Litigation Trust Certificates) (n) 3,615 36
-----------------------------------------------------------------------------------------------------------------------------------
Media - 0.0% Adelphia Escrow (n) 7,500 750
Adelphia Preferred Escrow (n) 5 1
Adelphia Recovery Trust (n) 9,406 37,624
Adelphia Recovery Trust Series ACC-6B INT (n) 500 50
-------------
38,425
-----------------------------------------------------------------------------------------------------------------------------------
Total Other Interests - 0.0% 185,667
-----------------------------------------------------------------------------------------------------------------------------------
Total Long-Term Securities
(Cost - $916,803,907) - 132.4% 795,819,126
-----------------------------------------------------------------------------------------------------------------------------------
Short-Term Securities
-----------------------------------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series, 2.63% (k)(l) 2,382 2,381,662
-----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $2,381,662) - 0.4% 2,381,662
-----------------------------------------------------------------------------------------------------------------------------------
Total Investments Before Options Written
(Cost - $919,185,569*) - 132.8% 798,200,788
-----------------------------------------------------------------------------------------------------------------------------------
Options Written (h) Contracts+
-----------------------------------------------------------------------------------------------------------------------------------
Call Options Pay a fixed rate of 0.93% and receive a floating rate based on
3-month USD LIBOR, expiring July 2008,
Broker Credit Suisse International 8 (48,128)
-----------------------------------------------------------------------------------------------------------------------------------
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Options Written (h) Contracts+ Value
-----------------------------------------------------------------------------------------------------------------------------------
Put Options Receive a fixed rate of 0.93% and pay a floating rate based on
3-month USD LIBOR, expiring July 2008,
Broker Credit Suisse International 8 $ (310,344)
-----------------------------------------------------------------------------------------------------------------------------------
Total Options Written
(Premiums Received - $480,000) - (0.0%) (358,472)
-----------------------------------------------------------------------------------------------------------------------------------
Total Investments, Net of Options Written - 132.8% 797,842,316
Liabilities in Excess of Other Assets - (32.8%) (196,931,477)
-------------
Net Assets - 100.0% $ 600,910,839
=============
* The cost and unrealized appreciation (depreciation) of investments as of
May 31, 2008, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 919,620,698
=============
Gross unrealized appreciation $ 19,601,946
Gross unrealized depreciation (141,021,856)
-------------
Net unrealized depreciation . $(121,419,910)
=============
+ One contract represents a notional amount of $1,000,000.
(a) Convertible security.
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration to qualified institutional investors. Unless otherwise
indicated, these securities are not considered to be illiquid.
(c) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(d) Issuer filed for bankruptcy or is in default of interest payments.
(e) As a result of bankruptcy proceedings, the company did not repay the
principal amount of the security upon maturity. The security is non-income
producing.
(f) Variable rate security. Rate shown is as of report date.
(g) Non-income producing security.
(h) This European style swaption, which can be exercised only on the
expiration date, represents a standby commitment whereby the writer of the
option is obligated to enter into a predetermined interest rate swap
contract upon exercise of swaption.
(i) Warrants entitle the Fund to purchase a predetermined number of shares of
common stock and are non-income producing. The purchase price and number
of shares are subject to adjustment under certain conditions until the
expiration date.
(j) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(k) Investments in companies considered to be an affiliate of the Fund, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
--------------------------------------------------------------------------
Net
Activity Interest
Affiliate (000) Income
--------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series $ 2,382 $ 30,195
--------------------------------------------------------------------------
(l) Represents the current yield as of report date.
(m) Represents a step bond.
(n) Security is fair valued.
(o) Security is perpetual in nature and has no stated maturity date. In
certain instances, a final maturity date may be extended and/or the final
payment may be deferred at the issuer's option for a specified time
without default.
BlackRock Debt Strategies Fund, Inc.
Schedule of Investments May 31, 2008 (Unaudited)
o For Fund compliance purposes, the Fund's industry classifications refer to
any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Fund management. This definition may not apply for purposes of
this report, which may combine industry sub-classifications for reporting
ease.
o Forward foreign currency contracts as of May 31, 2008, were as follows:
--------------------------------------------------------------------------
Currency Currency Settlement Unrealized
Purchased Sold Date Appreciation
--------------------------------------------------------------------------
$ 5,110,256 EUR 3,247,500 7/23/08 $ 71,418
--------------------------------------------------------------------------
o Swaps outstanding as of May 31, 2008 were as follows:
---------------------------------------------------------------------------------
Notional
Amount Unrealized
(000) Depreciation
---------------------------------------------------------------------------------
Sold credit default protection on Ford Motor Company
and receive 3.80%
Broker, Lehman Brothers Special Finance
Expires March 2010 $ 10,000 $ (961,710)
Sold credit default protection on BAA Ferovial Junior
Term Loan and receive 2%
Broker, Deutsche Bank AG London
Expires June 2012 GBP 1,733 (99,421)
Bought credit default protection on Dow Jones CDX
North America High Yield Series 10 Index and pay 5%
Broker, Morgan Stanley Capital Services
Expires June 2013 $ 8,991 (149,785)
---------------------------------------------------------------------------------
Total $ (1,210,916)
============
o Currency Abbreviations:
EUR Euro
GBP British Pound
BlackRock Debt Strategies Fund, Inc.
o Effective March 1, 2008, the Fund adopted Financial Accounting Standards
Board Statement of Financial Accounting Standards No. 157, "Fair Value
Measurements" ("FAS 157"). FAS 157 clarifies the definition of fair value,
establishes a framework for measuring fair values and requires additional
disclosures about the use of fair value measurements. Various inputs are
used in determining the fair value of investments, which are as follows:
o Level 1 - price quotations in active markets/exchanges for
identical securities
o Level 2 - other observable inputs (including, but not limited
to: quoted prices for similar assets or liabilities in markets
that are not active, inputs other than quoted prices that are
observable for the assets or liabilities (such as interest
rates, yield curves, volatilities, prepayment speeds, loss
severities, credit risks, and default rates) or other
market-corroborated inputs)
o Level 3 - unobservable inputs based on the best information
available in the circumstance, to the extent observable inputs
are not available (including the Fund's own assumption used in
determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities.
For information about the Fund's policy regarding valuation of investments
and other significant accounting policies, please refer to the Fund's most
recent financial statements as contained in its annual report.
The following table summarizes the inputs used as of May 31, 2008 in
determining the fair valuation of the Fund's investments:
--------------------------------------------------------------------
Valuation Investments in Other Financial
Inputs Securities Instruments*
--------------------------------------------------------------------
Level 1 $ 16,861,232 $ (358,472)
Level 2 778,343,902 --
Level 3 2,995,654 --
--------------------------------------------------------------------
Total $ 798,200,788 $ (358,472)
====================================================================
* Other financial instruments are options.
The following is a reconciliation of investments for unobservable inputs
(Level 3) were used in determining fair value:
--------------------------------------------------------------------
Investments in
Securities
--------------------------------------------------------------------
Balance, as of February 29, 2008 $ 2,994,080
Accrued discounts/premiums --
Realized gain (loss) --
Change in unrealized appreciation (depreciation) 1,574
Net purchases (sales) --
Net transfers in/out of Level 3 --
--------------------------------------------------------------------
Balance, as of May 31, 2008 $ 2,995,654
====================================================================
Item 2 - Controls and Procedures
2(a) - The registrant's principal executive and principal financial
officers or persons performing similar functions have concluded that
the registrant's disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940, as amended
(the "1940 Act")) are effective as of a date within 90 days of the
filing of this report based on the evaluation of these controls and
procedures required by Rule 30a-3(b) under the 1940 Act and Rule
13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act)
that occurred during the registrant's last fiscal quarter that have
materially affected, or are reasonably likely to materially affect,
the registrant's internal control over financial reporting.
Item 3 - Exhibits
Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Debt Strategies Fund, Inc.
By: /s/ Donald C. Burke
--------------------------------
Donald C. Burke
Chief Executive Officer of
BlackRock Debt Strategies Fund, Inc.
Date: July 18, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Donald C. Burke
--------------------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
BlackRock Debt Strategies Fund, Inc.
Date: July 18, 2008
By: /s/ Neal J. Andrews
--------------------------------
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Debt Strategies Fund, Inc.
Date: July 18, 2008