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: 02/28/2010
Date of reporting period: 05/31/2009
Item 1 – Schedule of Investments
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BlackRock Debt Strategies Fund, Inc. |
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Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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Industry |
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Corporate Bonds |
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Par |
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Value |
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Aerospace & Defense - 0.4% |
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Hawker Beechcraft Acquisition Co. LLC, 8.50%, 4/01/15 |
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USD |
3,200 |
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$ |
1,344,000 |
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Auto Components - 0.7% |
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Allison Transmission, Inc., 11%, 11/01/15 (a) |
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320 |
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249,600 |
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Allison Transmission, Inc., 11.25%, 11/01/15 (a)(b) |
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1,020 |
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683,400 |
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The Goodyear Tire & Rubber Co., 8.625%, 12/01/11 |
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1,000 |
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972,500 |
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Lear Corp., 8.75%, 12/01/16 |
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|
700 |
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182,000 |
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Venture Holdings Co. LLC, 12%, 6/01/09 (c)(d) |
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4,450 |
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0 |
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Venture Holdings Co. LLC Series B, 9.50%, 7/01/05 (c)(d)(e) |
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1,800 |
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180 |
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2,087,680 |
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Building Products - 3.7% |
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Building Materials Corp. of America, 7.75%, 8/01/14 |
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4,000 |
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3,500,000 |
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CPG International I, Inc., 8.561%, 7/01/12 (f) |
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7,500 |
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3,975,000 |
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CPG International I, Inc., 10.50%, 7/01/13 |
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|
1,300 |
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|
682,500 |
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Momentive Performance Materials, Inc. Series WI, 9.75%, 12/01/14 |
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1,600 |
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608,000 |
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Ply Gem Industries, Inc., 11.75%, 6/15/13 |
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4,220 |
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2,700,800 |
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11,466,300 |
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Capital Markets - 2.3% |
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E*Trade Financial Corp., 12.50%, 11/30/17 (a)(b) |
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10,625 |
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7,039,063 |
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Chemicals - 3.3% |
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American Pacific Corp., 9%, 2/01/15 |
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1,490 |
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1,300,025 |
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GEO Specialty Chemicals Corp., 7.50%, 3/31/15 (a)(b)(g) |
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|
4,067 |
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2,643,682 |
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GEO Specialty Chemicals, Inc., 10%, 3/31/15 (a)(f) |
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|
4,106 |
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2,668,640 |
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Wellman Holdings, Inc. Second Lien Subordinate Note, 10%, 1/29/19 (a)(g) |
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|
2,978 |
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2,978,000 |
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Wellman Holdings, Inc. Third Lien Subordinate Note, 5%, 1/29/19 (a)(g) |
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|
906 |
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|
453,000 |
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10,043,347 |
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Commercial Services & Supplies - 0.9% |
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West Corp., 11%, 10/15/16 |
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3,270 |
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2,779,500 |
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Construction Materials - 0.9% |
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Nortek, Inc., 10%, 12/01/13 |
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3,070 |
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1,987,825 |
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Nortek, Inc., 8.50%, 9/01/14 |
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2,850 |
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755,250 |
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2,743,075 |
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Containers & Packaging - 2.6% |
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Berry Plastics Holding Corp., 4.504%, 9/15/14 (f) |
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|
375 |
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245,625 |
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Packaging Dynamics Finance Corp., 10%, 5/01/16 (a) |
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|
6,215 |
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2,082,025 |
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Smurfit Kappa Funding Plc, 7.75%, 4/01/15 |
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3,325 |
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2,261,000 |
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Smurfit-Stone Container Enterprises, Inc., 8.375%, 7/01/12 (c)(d) |
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1,600 |
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504,000 |
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Smurfit-Stone Container Enterprises, Inc., 8%, 3/15/17 (c)(d) |
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2,600 |
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845,000 |
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Wise Metals Group LLC, 10.25%, 5/15/12 |
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6,325 |
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2,103,063 |
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8,040,713 |
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Diversified Consumer Services - 0.6% |
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NBC Acquisition Corp., 11%, 3/15/13 |
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3,875 |
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1,937,500 |
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Diversified Financial Services - 5.8% |
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Archimedes Funding III Ltd., 5.50%, 11/29/11 (a) |
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5,744 |
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2,067,728 |
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FCE Bank Plc, 7.125%, 1/16/12 |
|
EUR |
8,000 |
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|
9,613,210 |
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1
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BlackRock Debt Strategies Fund, Inc. |
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Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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Industry |
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Corporate Bonds |
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Par |
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Value |
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Ford Motor Credit Co. LLC, 3.889%, 1/13/12 (f) |
|
USD |
2,680 |
|
$ |
2,117,200 |
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GMAC LLC, 6.875%, 9/15/11 (a) |
|
|
900 |
|
|
805,500 |
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GMAC LLC, 6.75%, 12/01/14 (a) |
|
|
3,690 |
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|
3,081,150 |
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GMAC LLC, 8%, 11/01/31 (a) |
|
|
460 |
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|
345,000 |
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18,029,788 |
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Diversified Telecommunication Services - 2.1% |
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Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (a) |
|
|
2,600 |
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|
2,600,000 |
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Qwest Corp., 8.375%, 5/01/16 (a) |
|
|
4,000 |
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3,930,000 |
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6,530,000 |
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Electric Utilities - 0.4% |
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NSG Holdings LLC, 7.75%, 12/15/25 (a) |
|
|
1,505 |
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1,211,525 |
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Electronic Equipment, Instruments & Components - 0.0% |
|
Muzak Holdings, LLC, 13%, 3/15/10 (c)(d) |
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|
2,675 |
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|
133,750 |
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Food & Staples Retailing - 0.2% |
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Supervalu, Inc., 8%, 5/01/16 |
|
|
500 |
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|
490,000 |
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Health Care Equipment & Supplies - 1.1% |
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DJO Finance LLC, 10.875%, 11/15/14 |
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|
4,250 |
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|
3,485,000 |
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Health Care Providers & Services - 1.0% |
|
Community Health Systems, Inc. Series WI, 8.875%, 7/15/15 |
|
|
3,010 |
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2,976,137 |
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|
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Hotels, Restaurants & Leisure - 4.5% |
|
HRP Myrtle Beach Holdings LLC, 14.50%, 4/01/14 (a)(b)(c)(d) |
|
|
6,892 |
|
|
8,614 |
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HRP Myrtle Beach Operations LLC, 7.383%, 4/01/12 (a)(c)(d) |
|
|
5,000 |
|
|
50,000 |
|
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HRP Myrtle Beach Operations LLC, 12.50%, 4/01/13 (a)(c)(d) |
|
|
5,000 |
|
|
6,250 |
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Harrah’s Operating Co., Inc., 10%, 12/15/15 (a) |
|
|
1,160 |
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|
788,800 |
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Harrah’s Operating Co., Inc., 10%, 12/15/18 (a) |
|
|
2,377 |
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|
1,586,648 |
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Harrah’s Operating Co., Inc., 10%, 12/15/18 (a) |
|
|
3,863 |
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|
2,578,553 |
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Little Traverse Bay Bands of Odawa Indians, 10.25%, 2/15/14 (a) |
|
|
2,560 |
|
|
1,107,200 |
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MGM Mirage, 10.375%, 5/15/14 (a) |
|
|
800 |
|
|
824,000 |
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MGM Mirage, 11.125%, 11/15/17 (a) |
|
|
1,340 |
|
|
1,403,650 |
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Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15 (a) |
|
|
1,370 |
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|
794,600 |
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Snoqualmie Entertainment Authority, 5.384%, 2/01/14 (a)(f) |
|
|
1,015 |
|
|
530,338 |
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Travelport LLC, 5.293%, 9/01/14 (f) |
|
|
2,160 |
|
|
1,080,000 |
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Tropicana Entertainment LLC Series WI, 9.625%, 12/15/14 (c)(d) |
|
|
530 |
|
|
2,650 |
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Tunica-Biloxi Gaming Authority, 9%, 11/15/15 (a) |
|
|
1,860 |
|
|
1,613,550 |
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Universal City Florida Holding Co. I, 5.778%, 5/01/10 (f) |
|
|
2,000 |
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|
1,430,000 |
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13,804,853 |
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Household Durables - 0.6% |
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KB Home, 6.375%, 8/15/11 |
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1,170 |
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1,123,200 |
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Stanley-Martin Communities LLC, 9.75%, 8/15/15 |
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2,250 |
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|
697,500 |
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1,820,700 |
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2
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BlackRock Debt Strategies Fund, Inc. |
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Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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Industry |
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Corporate Bonds |
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Par |
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Value |
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IT Services - 0.4% |
|
First Data Corp., 9.875%, 9/24/15 |
|
USD |
425 |
|
$ |
289,000 |
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First Data Corp., 11.25%, 3/31/16 (a) |
|
|
1,800 |
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|
972,000 |
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1,261,000 |
|
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Independent Power Producers & Energy Traders - 1.6% |
|
Calpine Construction Finance Co. LP, 8%, 6/01/16 (a) |
|
|
1,250 |
|
|
1,189,062 |
|
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|
|
Energy Future Holdings Corp., 11.25%, 11/01/17 (b) |
|
|
3,392 |
|
|
1,748,654 |
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|
|
|
Texas Competitive Electric Holdings Co. LLC, 10.25%, 11/01/15 |
|
|
1,800 |
|
|
1,066,500 |
|
|
|
|
Texas Competitive Electric Holdings Co. LLC, 11.25%, 11/01/16 (b) |
|
|
2,535 |
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|
991,578 |
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4,995,794 |
|
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|
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|
|
|
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Industrial Conglomerates - 1.5% |
|
Sequa Corp., 11.75%, 12/01/15 (a) |
|
|
5,100 |
|
|
2,269,500 |
|
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|
|
Sequa Corp., 13.50%, 12/01/15 (a)(b) |
|
|
7,291 |
|
|
2,360,481 |
|
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|
|
|
|
|
|
|
|
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|
|
|
|
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|
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4,629,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance - 0.9% |
|
Alliant Holdings I, Inc., 11%, 5/01/15 (a) |
|
|
2,500 |
|
|
1,862,500 |
|
|
|
|
USI Holdings Corp., 4.758%, 11/15/14 (a)(f) |
|
|
1,630 |
|
|
892,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,754,925 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery - 2.0% |
|
ESCO Corp., 4.504%, 12/15/13 (a)(f) |
|
|
3,070 |
|
|
2,210,400 |
|
|
|
|
Ingersoll-Rand Global Holding Co. Ltd., 9.50%, 4/15/14 |
|
|
960 |
|
|
1,040,501 |
|
|
|
|
RBS Global, Inc., 9.50%, 8/01/14 (a) |
|
|
660 |
|
|
551,100 |
|
|
|
|
RBS Global, Inc., 8.875%, 9/01/16 |
|
|
1,685 |
|
|
1,221,625 |
|
|
|
|
Titan International, Inc., 8%, 1/15/12 |
|
|
1,530 |
|
|
1,315,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,339,426 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Marine - 0.2% |
|
Navios Maritime Holdings, Inc., 9.50%, 12/15/14 |
|
|
465 |
|
|
355,725 |
|
|
|
|
Titan Petrochemicals Group Ltd., 8.50%, 3/18/12 |
|
|
1,760 |
|
|
369,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
725,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 6.3% |
|
Affinion Group, Inc., 10.125%, 10/15/13 |
|
|
1,080 |
|
|
1,015,200 |
|
|
|
|
CSC Holdings, Inc., 8.50%, 4/15/14 (a) |
|
|
680 |
|
|
676,600 |
|
|
|
|
Canadian Satellite Radio Holdings, Inc., 12.75%, 2/15/14 |
|
|
5,000 |
|
|
1,175,000 |
|
|
|
|
Charter Communications Holdings LLC, 10%, 4/01/09 (c)(d) |
|
|
2,402 |
|
|
12,010 |
|
|
|
|
Charter Communications Holdings LLC, 11.125%, 1/15/11 (c)(d) |
|
|
1,319 |
|
|
65,950 |
|
|
|
|
Charter Communications Holdings LLC, 10%, 5/15/11 (c)(d) |
|
|
1,978 |
|
|
9,890 |
|
|
|
|
Intelsat Corp., 9.25%, 8/15/14 (a) |
|
|
4,500 |
|
|
4,342,500 |
|
|
|
|
Local Insight Regatta Holdings, Inc., 11%, 12/01/17 |
|
|
2,665 |
|
|
719,550 |
|
|
|
|
Network Communications, Inc., 10.75%, 12/01/13 |
|
|
20 |
|
|
4,000 |
|
|
|
|
Nielsen Finance LLC, 11.625%, 2/01/14 (a) |
|
|
5,000 |
|
|
4,950,000 |
|
|
|
|
TL Acquisitions, Inc., 10.50%, 1/15/15 (a) |
|
|
5,230 |
|
|
4,079,400 |
|
|
|
|
Virgin Media, Inc., 6.50%, 11/15/16 (a)(g) |
|
|
3,000 |
|
|
2,321,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,371,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining - 2.2% |
|
Aleris International, Inc., 9%, 12/15/14 (b)(c)(d) |
|
|
1,100 |
|
|
11,000 |
|
|
|
|
Aleris International, Inc., 10%, 12/15/16 (c)(d) |
|
|
1,500 |
|
|
5,625 |
|
|
|
|
RathGibson, Inc., 11.25%, 2/15/14 |
|
|
4,440 |
|
|
1,176,600 |
|
|
|
|
Ryerson, Inc., 8.403%, 11/01/14 (a)(f) |
|
|
6,720 |
|
|
3,704,400 |
|
3
|
|
|
|
BlackRock Debt Strategies Fund, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Teck Resources Ltd., 10.75%, 5/15/19 (a) |
|
USD |
1,875 |
|
$ |
1,928,906 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,826,531 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 2.7% |
|
Chesapeake Energy Corp., 9.50%, 2/15/15 |
|
|
1,645 |
|
|
1,624,437 |
|
|
|
|
Compton Petroleum Finance Corp., 7.625%, 12/01/13 |
|
|
2,220 |
|
|
1,110,000 |
|
|
|
|
Denbury Resources, Inc., 9.75%, 3/01/16 |
|
|
1,875 |
|
|
1,912,500 |
|
|
|
|
Forest Oil Corp., 8.50%, 2/15/14 (a) |
|
|
2,265 |
|
|
2,185,725 |
|
|
|
|
SandRidge Energy, Inc., 4.833%, 4/01/14 (f) |
|
|
2,000 |
|
|
1,580,618 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,413,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products - 5.1% |
|
Abitibi-Consolidated, Inc., 4.82%, 6/15/11 (c)(d)(f) |
|
|
6,500 |
|
|
617,500 |
|
|
|
|
Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (a)(b) |
|
|
10,017 |
|
|
2,742,189 |
|
|
|
|
Georgia-Pacific LLC, 8.25%, 5/01/16 (a) |
|
|
2,950 |
|
|
2,905,750 |
|
|
|
|
NewPage Corp., 7.278%, 5/01/12 (f) |
|
|
8,000 |
|
|
3,880,000 |
|
|
|
|
NewPage Corp., 10%, 5/01/12 |
|
|
2,720 |
|
|
1,523,200 |
|
|
|
|
NewPage Corp., 12%, 5/01/13 |
|
|
3,325 |
|
|
1,088,938 |
|
|
|
|
Verso Paper Holdings LLC, 11.50%, 7/01/14 (a) |
|
|
550 |
|
|
505,824 |
|
|
|
|
Verso Paper Holdings LLC Series B, 4.778%, 8/01/14 (f) |
|
|
4,400 |
|
|
2,376,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,639,401 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - 2.2% |
|
Angiotech Pharmaceuticals, Inc., 4.418%, 12/01/13 (f) |
|
|
5,000 |
|
|
3,600,000 |
|
|
|
|
Elan Finance Plc, 7.75%, 11/15/11 |
|
|
3,525 |
|
|
3,172,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,772,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) - 0.3% |
|
RAIT Financial Trust, 6.875%, 4/15/27 (a)(g) |
|
|
3,500 |
|
|
945,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development - 1.1% |
|
Realogy Corp., 10.50%, 4/15/14 |
|
|
5,690 |
|
|
2,091,075 |
|
|
|
|
Realogy Corp., 12.375%, 4/15/15 |
|
|
5,053 |
|
|
1,263,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,354,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment - 0.7% |
|
Spansion, Inc., 4.386%, 6/01/13 (a)(c)(d) |
|
|
3,370 |
|
|
2,123,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Software - 0.1% |
|
BMS Holdings, Inc., 9.224%, 2/15/12 (a)(b)(f) |
|
|
1,555 |
|
|
187,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail - 3.4% |
|
General Nutrition Centers, Inc., 6.404%, 3/15/14 (b)(f) |
|
|
2,835 |
|
|
2,338,875 |
|
|
|
|
General Nutrition Centers, Inc., 10.75%, 3/15/15 |
|
|
4,480 |
|
|
3,864,000 |
|
|
|
|
Michaels Stores, Inc., 10%, 11/01/14 |
|
|
2,240 |
|
|
1,612,800 |
|
|
|
|
Michaels Stores, Inc., 11.375%, 11/01/16 |
|
|
2,785 |
|
|
1,517,825 |
|
|
|
|
United Auto Group, Inc., 7.75%, 12/15/16 |
|
|
1,380 |
|
|
1,062,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,396,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services - 4.7% |
|
Cricket Communications, Inc., 7.75%, 5/15/16 (a) |
|
|
2,250 |
|
|
2,174,063 |
|
|
|
|
Crown Castle International Corp., 9%, 1/15/15 |
|
|
385 |
|
|
388,850 |
|
|
|
|
Digicel Group Ltd., 8.875%, 1/15/15 (a) |
|
|
3,560 |
|
|
2,848,000 |
|
|
|
|
Digicel Group Ltd., 9.125%, 1/15/15 (a)(b) |
|
|
7,248 |
|
|
5,508,480 |
|
|
|
|
MetroPCS Wireless, Inc., 9.25%, 11/01/14 |
|
|
1,000 |
|
|
1,003,750 |
|
4
|
|
|
|
BlackRock Debt Strategies Fund, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
MetroPCS Wireless, Inc., 9.25%, 11/01/14 (a) |
|
USD |
2,100 |
|
$ |
2,100,000 |
|
|
|
|
Orascom Telecom Finance SCA, 7.875%, 2/08/14 (a) |
|
|
755 |
|
|
619,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,642,243 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds - 66.5% |
|
|
|
|
|
205,340,332 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense - 0.2% |
|
IAP Worldwide Services, Inc. Term Loan (First Lien), 7.25%, 12/30/12 |
|
|
1,052 |
|
|
641,688 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines - 0.9% |
|
Delta Air Lines, Inc. Credit- Linked Deposit Loan, 0.166% - 2.414%, 4/30/12 |
|
|
1,960 |
|
|
1,659,467 |
|
|
|
|
US Airways Group, Inc. Loan, 2.809%, 3/21/14 |
|
|
2,197 |
|
|
1,184,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,843,608 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Components - 3.0% |
|
Allison Transmission, Inc. Term Loan, 3.12% - 3.15%, 8/07/14 |
|
|
7,501 |
|
|
5,784,863 |
|
|
|
|
Dana Holding Corp. Term Advance, 7.25%, 1/31/15 |
|
|
2,922 |
|
|
1,381,514 |
|
|
|
|
Goodyear Tire & Rubber Co., The Loan (Second Lien), 2.07%, 4/30/14 |
|
|
1,050 |
|
|
877,899 |
|
|
|
|
Intermet Corp. First Lien Credit Facility, 6.293%, 11/08/10 (c)(d) |
|
|
1,214 |
|
|
485,591 |
|
|
|
|
Intermet Corp. Letter of Credit, 5.12%, 11/09/10 (c)(d) |
|
|
1,090 |
|
|
435,856 |
|
|
|
|
Intermet Corp. Synth Letter of Credit, 6.293%, 11/09/10 (b) |
|
|
83 |
|
|
33,199 |
|
|
|
|
Intermet Corp. Term Loan B, 6.239%, 11/08/10 (b) |
|
|
360 |
|
|
143,866 |
|
|
|
|
Metaldyne Co. LLC Deposit Funded Loan, 0.166% - 5.188%, 1/11/12 (c)(d) |
|
|
86 |
|
|
10,298 |
|
|
|
|
Metaldyne Co. LLC Initial Tranche B Term Loan, 6.188%, 1/13/14 (c)(d) |
|
|
592 |
|
|
70,455 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,223,541 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobiles - 0.2% |
|
General Motors Corp. Secured Term Loan, 8%, 11/29/13 |
|
|
792 |
|
|
741,745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Beverages - 0.1% |
|
Culligan International Co. Loan (Second Lien), 5.694% - 6.561%, 4/24/13 EUR |
|
|
1,500 |
|
|
376,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products - 1.5% |
|
Building Materials Corp. of America Term Loan Advance, 3.063%, 2/22/14 USD |
|
|
2,970 |
|
|
2,504,794 |
|
|
|
|
Stile Acquisition Corp. (aka Masonite) Canadian Term Loan, 6.75%, 4/06/13 |
|
|
1,955 |
|
|
1,000,291 |
|
|
|
|
Stile U.S. Acquisition Corp. (aka Masonite) U.S. Term Loan, 6.25%, 4/06/13 |
|
|
1,976 |
|
|
1,011,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,516,410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals - 4.3% |
|
Ashland, Inc. Term Loan B, 7.65%, 5/13/14 |
|
|
1,000 |
|
|
998,750 |
|
|
|
|
Nalco Co. Term Loan B, 6.50%, 5/06/16 |
|
|
1,725 |
|
|
1,728,234 |
|
|
|
|
PQ Corp. (fka Niagara Acquisition, Inc.) Loan (Second Lien), 7.54%, 7/30/15 |
|
|
12,500 |
|
|
6,291,663 |
|
|
|
|
PQ Corp. (fka Niagara Acquisition, Inc.) Term Loan (First Lien), 4.29% - 4.47%, 7/31/14 |
|
|
1,985 |
|
|
1,498,675 |
|
|
|
|
Solutia Inc. Loan, 7.25%, 2/28/14 |
|
|
3,225 |
|
|
2,597,681 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,115,003 |
|
|
|
|
|
|
|
|
|
|
|
|
5
|
|
|
|
BlackRock Debt Strategies Fund, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Floating Rate Loan Interests |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
Commercial Services & Supplies - 0.3% |
|
John Maneely Co. Term Loan, 3.599% - 4.389%, 12/09/13 |
|
USD |
1,273 |
|
$ |
996,259 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment - 0.3% |
|
Safenet, Inc. Term Loan (First Lien), 2.849%, 4/12/14 |
|
|
982 |
|
|
757,753 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals - 0.3% |
|
Intergraph Corp. Second Lien Term Loan, 6.316% - 6.664%, 11/28/14 |
|
|
1,000 |
|
|
875,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction Materials - 0.4% |
|
Headwaters Inc. Term Loan B1 (First Lien), 6.22%, 4/30/11 |
|
|
1,846 |
|
|
1,199,695 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging - 0.3% |
|
Smurfit-Stone Container DIP Term Loan, 10%, 7/28/10 |
|
|
1,053 |
|
|
1,062,459 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributors - 0.2% |
|
Keystone Automotive Operations, Inc. Loan, 3.835% - 5.75%, 1/12/12 |
|
|
1,660 |
|
|
746,926 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services - 1.3% |
|
Coinmach Corp. Term Loan, 3.31% - 3.76%, 11/14/14 |
|
|
5,197 |
|
|
3,950,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 0.1% |
|
J.G. Wentworth, LLC Loan (First Lien), 3.47%, 4/04/14 (c)(d) |
|
|
4,000 |
|
|
346,668 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services - 0.9% |
|
Hawaiian Telcom Communications, Inc. Tranche C Term Loan, 4.75%, 5/30/14 |
|
|
4,517 |
|
|
2,281,235 |
|
|
|
|
Paetec Communications Term Loan, 2.819%, 2/28/13 |
|
|
600 |
|
|
543,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,824,235 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment - 0.1% |
|
Generac Acquisition Corp. First Lien Term Loan, 2.911%, 11/10/13 |
|
|
427 |
|
|
293,364 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services - 1.1% |
|
Dresser, Inc. Term B Loan, 3.104%, 5/04/14 |
|
|
162 |
|
|
140,244 |
|
|
|
|
Dresser, Inc. Term Loan (Second Lien), 6.085%, 5/04/15 |
|
|
2,500 |
|
|
1,521,875 |
|
|
|
|
MEG Energy Corp. Delayed Draw Term Loan, 3.22%, 4/02/13 |
|
|
1,236 |
|
|
1,064,452 |
|
|
|
|
MEG Energy Corp. Initial Term Loan, 3.22%, 4/03/13 |
|
|
700 |
|
|
602,936 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,329,507 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing - 0.3% |
|
DS Waters of America, Inc. Term Loan, 4.335%, 10/29/12 |
|
|
1,000 |
|
|
685,000 |
|
|
|
|
McJunkin Corp. Term Loan, 4.47%, 1/31/14 |
|
|
350 |
|
|
311,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
996,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Tobacco - 0.2% |
|
WM. Bolthouse Farms, Inc. Second Lien Term Loan, 5.819%, 12/16/13 |
|
|
750 |
|
|
571,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products - 1.0% |
|
Dole Food Co., Inc. Credit-Linked Deposit, 1.139%, 4/12/13 |
|
|
288 |
|
|
285,986 |
|
|
|
|
Dole Food Co., Inc. Tranche B Term Loan, 7.25% - 8%, 4/12/13 |
|
|
505 |
|
|
501,222 |
|
|
|
|
Solvest, Ltd. (Dole) Tranche C Term Loan, 7.25% - 8%, 4/12/13 |
|
|
1,882 |
|
|
1,867,597 |
|
|
|
|
Sturm Foods, Inc. Initial Term Loan Second Lien, 7.125%, 7/31/14 |
|
|
1,250 |
|
|
493,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,148,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies - 1.0% |
|
DJO Finance LLC (ReAble Therapeutics Fin LLC) Term Loan, 3.319% - 4.22%, 5/20/14 |
|
|
3,456 |
|
|
3,051,869 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services - 3.4% |
|
CCS Medical, Inc. (Chronic Care) Term Loan (First Lien), 4.97%, 9/30/12 |
|
|
469 |
|
|
214,078 |
|
6
|
|
|
|
BlackRock Debt Strategies Fund, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Floating Rate Loan Interests |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
CHS/Community Health Systems, Inc. Funded Term Loan, 2.569%, 7/25/14 |
|
USD |
2,442 |
|
$ |
2,166,671 |
|
|
|
|
DaVita, Inc. Term Loan B, 1.82%, 10/05/12 |
|
|
925 |
|
|
863,863 |
|
|
|
|
Fresenius AG Term Loan B1, 6.75%, 7/06/14 |
|
|
405 |
|
|
404,696 |
|
|
|
|
Fresenius AG Term Loan B2, 6.75%, 7/06/14 |
|
|
285 |
|
|
284,786 |
|
|
|
|
HCA Inc. Tranche A-1 Term Loan, 2.97%, 11/17/12 |
|
|
6,173 |
|
|
5,522,945 |
|
|
|
|
Rotech Healthcare, Inc. Term Loan B, 6.319%, 9/26/11 |
|
|
3,740 |
|
|
1,122,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,579,174 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 2.2% |
|
Golden Nugget, Inc. Second Lien Term Loan, 3.57%, 12/31/14 |
|
|
1,500 |
|
|
360,000 |
|
|
|
|
Green Valley Ranch Gaming, LLC Second Lien Term Loan, 3.599%, 8/16/14 |
|
|
750 |
|
|
75,000 |
|
|
|
|
Harrah’s Operating Co., Inc. Term B-1 Loan, 3.319% - 4.092%, 1/28/15 |
|
|
550 |
|
|
422,570 |
|
|
|
|
Harrah’s Operating Co., Inc. Term B-2 Loan, 3.319% - 4.092%, 1/28/15 |
|
|
693 |
|
|
531,108 |
|
|
|
|
Harrah’s Operating Co., Inc. Term B-3 Loan, 3.286% - 4.092%, 1/28/15 |
|
|
489 |
|
|
375,618 |
|
|
|
|
Las Vegas Sands, LLC Delayed Draw I Term Loan, 2.07%, 5/23/14 |
|
|
416 |
|
|
297,445 |
|
|
|
|
Las Vegas Sands, LLC Tranche B Term Loan, 2.07%, 5/23/14 |
|
|
1,272 |
|
|
910,004 |
|
|
|
|
QCE, LLC (Quiznos) Term Loan (Second Lien), 6.982%, 11/05/13 |
|
|
6,000 |
|
|
1,860,000 |
|
|
|
|
VML U.S. Finance LLC (aka Venetian Macau) New Project Term Loan, 2.57%, 5/25/13 |
|
|
1,000 |
|
|
834,000 |
|
|
|
|
VML U.S. Finance LLC (aka Venetian Macau) Term B Delayed Draw Project Loan, 2.57%, 5/25/12 |
|
|
1,279 |
|
|
1,066,364 |
|
|
|
|
VML U.S. Finance LLC (aka Venetian Macau) Term B Funded Project Loan, 2.57%, 5/27/13 |
|
|
221 |
|
|
184,652 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,916,761 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables - 0.8% |
|
American Residential Services LLC Term Loan (Second Lien), 10%, 4/17/15 |
|
|
3,045 |
|
|
2,618,071 |
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services - 1.9% |
|
Audio Visual Services Group, Inc. Loan (Second Lien), 7.72%, 8/28/14 |
|
|
1,020 |
|
|
64,593 |
|
|
|
|
Ceridian Corp U.S. Term Loan, 3.316%, 11/09/14 |
|
|
3,460 |
|
|
2,547,554 |
|
|
|
|
First Data Corp. Initial Tranche B-2 Term Loan, 3.059% - 3.069%, 9/24/14 |
|
|
972 |
|
|
712,979 |
|
|
|
|
RedPrairie Corp. Term Loan, 3.688% - 5.25%, 7/20/12 |
|
|
780 |
|
|
561,414 |
|
|
|
|
RedPrairie Corp. Term Loan, 4.313% - 5.25%, 7/20/12 |
|
|
260 |
|
|
187,420 |
|
|
|
|
SunGard Data Systems Inc. (Solar Capital Corp.) New U.S. Term Loan, 2.071%, 2/28/14 |
|
|
2,075 |
|
|
1,881,506 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,955,466 |
|
|
|
|
|
|
|
|
|
|
|
|
7
|
|
|
|
BlackRock Debt Strategies Fund, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Floating Rate Loan Interests |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
Independent Power Producers & Energy Traders - 0.7% |
|
Texas Competitive Electric Holdings Co., LLC (TXU) Initial Tranche B-2 Term Loan, 3.819% - 3.882%, 10/10/14 |
|
USD |
2,955 |
|
$ |
2,034,483 |
|
|
|
|
Texas Competitive Electric Holdings Co., LLC (TXU) Initial Tranche B-3 Term Loan, 3.819% - 3.882%, 10/10/14 |
|
|
199 |
|
|
136,010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,170,493 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates - 0.3% |
|
Sequa Corp. Term Loan, 3.61% - 4.08%, 12/03/14 |
|
|
1,394 |
|
|
1,048,673 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance - 0.2% |
|
Alliant Holdings I, Inc. Term Loan, 4.232%, 8/21/14 |
|
|
598 |
|
|
508,709 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet & Catalog Retail - 0.4% |
|
FTD Group, Inc. Tranche B Term Loan, 6.75%, 8/04/14 |
|
|
1,416 |
|
|
1,359,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services - 0.4% |
|
Life Technologies Corp. Term B Facility, 5.25%, 11/20/15 |
|
|
1,250 |
|
|
1,246,719 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery - 2.4% |
|
Navistar International Corp. Revolving Credit-Linked Deposit, 0.166% - 3.569%, 1/19/12 |
|
|
1,867 |
|
|
1,556,667 |
|
|
|
|
Navistar International Corp. Term Advance, 3.569%, 1/19/12 |
|
|
5,133 |
|
|
4,280,836 |
|
|
|
|
Oshkosh Truck Corp. Term B Loan, 7.15% - 7.32%, 12/06/13 |
|
|
1,695 |
|
|
1,451,014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,288,517 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 9.9% |
|
Affinion Group Holdings, Inc. Loan, 9.273%, 3/01/12 |
|
|
4,000 |
|
|
2,600,000 |
|
|
|
|
Cengage Learning Acquisitions, Inc. (Thomson Learning) Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 |
|
|
3,217 |
|
|
3,083,417 |
|
|
|
|
Cequel Communications, LLC (aka Cebridge) Term Loan, 2.349% - 2.401%, 11/05/13 |
|
|
1,566 |
|
|
1,411,446 |
|
|
|
|
Cequel Communications, LLC Tranche B Term Loan (Second Lien), 6.411%, 5/05/14 |
|
|
6,691 |
|
|
5,583,526 |
|
|
|
|
Charter Communications Term Loan B1, 7.934%, 3/25/14 |
|
|
1,770 |
|
|
1,718,374 |
|
|
|
|
EB Sports Corp Loan, 7.57%, 5/01/12 |
|
|
4,658 |
|
|
1,863,050 |
|
|
|
|
Ellis Communications KDOC, LLC Loan, 10%, 12/30/11 |
|
|
6,303 |
|
|
1,764,771 |
|
|
|
|
HMH Publishing Co. Ltd. (fka Education Media) Mezzanine, 4.66%, 11/14/14 |
|
|
19,448 |
|
|
3,889,508 |
|
|
|
|
HMH Publishing Co. Ltd. (fka Education Media) Tranche A Term Loan, 7.66%, 6/12/14 |
|
|
5,060 |
|
|
3,604,985 |
|
|
|
|
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG) Facility B1, 4.589%, 6/30/15 |
|
EUR |
337 |
|
|
111,759 |
|
|
|
|
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG) Facility C1, 4.839%, 6/30/16 |
|
|
674 |
|
|
223,518 |
|
|
|
|
Multicultural Radio Broadcasting, Inc. Term Loan, 3.164%, 12/18/12 |
|
USD |
409 |
|
|
259,556 |
|
|
|
|
Newsday, LLC Fixed Rate Term Loan, 9.75%, 8/01/13 |
|
|
4,250 |
|
|
4,239,375 |
|
|
|
|
Penton Media, Inc. Loan (Second Lien), 6.039%, 2/01/14 |
|
|
1,000 |
|
|
96,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,449,535 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining - 0.2% |
|
Euramax International, Inc. Domestic Loan (Second Lien), 13%, 6/29/13 |
|
|
1,679 |
|
|
50,382 |
|
8
|
|
|
|
BlackRock Debt Strategies Fund, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Floating Rate Loan Interests |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Euramax International, Inc. Domestic Loan (Second Lien), 13%, 6/29/13 |
|
USD |
833 |
|
$ |
24,993 |
|
|
|
|
Euramax International, Inc. Domestic Term Loan, 8.75%, 6/29/12 |
|
|
2,447 |
|
|
619,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
695,374 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities - 0.7% |
|
Energy Transfer Equity, LP Term Loan, 2.706%, 11/01/12 |
|
|
750 |
|
|
709,375 |
|
|
|
|
FirstLight Power Resources, Inc. (fka NE Energy, Inc.) Second Lien Term Loan, 5.75%, 5/01/14 |
|
|
750 |
|
|
519,375 |
|
|
|
|
USPF Holdings, LLC Term Loan, 2.085%, 4/11/14 |
|
|
918 |
|
|
798,711 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,027,461 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail - 0.4% |
|
Dollar General Corp. Tranche B-2 Term Loan, 3.069% - 3.07%, 7/07/14 |
|
|
1,250 |
|
|
1,142,858 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 2.9% |
|
Big West Oil, LLC Delayed Advance Loan, 6.50%, 5/15/14 |
|
|
962 |
|
|
755,563 |
|
|
|
|
Big West Oil, LLC Initial Advance Loan, 6.50%, 5/15/14 |
|
|
810 |
|
|
635,794 |
|
|
|
|
ScorpionDrilling Ltd. Loan (Second Lien), 8.72%, 5/08/14 |
|
|
2,000 |
|
|
1,600,000 |
|
|
|
|
ScorpionDrilling Ltd. Second Lien, 8.72%, 5/08/14 |
|
|
1,500 |
|
|
1,200,000 |
|
|
|
|
Turbo Beta Ltd. Dollar Facility, 14.50%, 3/15/18 |
|
|
6,033 |
|
|
4,826,244 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,017,601 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Other - 0.4% |
|
Lamar Advertising Co. Term Loan B, 5.50%, 9/28/12 |
|
|
1,225 |
|
|
1,206,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products - 0.4% |
|
Georgia-Pacific LLC Term B Loan, 2.319%, 12/20/12 |
|
|
1,055 |
|
|
977,589 |
|
|
|
|
Verso Paper Finance Holdings LLC Loan, 7.278% - 8.028%, 2/01/13 |
|
|
3,861 |
|
|
193,041 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,170,630 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - 0.3% |
|
Warner Chilcott Co., Inc. Tranche B Acquisition Date Term Loan, 2.319%, 1/18/12 |
|
|
740 |
|
|
699,998 |
|
|
|
|
Warner Chilcott Corp. Tranche C Acquisition Date Term Loan, 2.139%, 1/18/12 |
|
|
260 |
|
|
245,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
945,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development - 0.3% |
|
Enclave First Lien Term Loan, 6.14%, 3/01/12 |
|
|
4,000 |
|
|
600,000 |
|
|
|
|
Georgian Towers Term Loan, 6.14%, 3/01/12 |
|
|
4,000 |
|
|
420,116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,020,116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Software - 0.7% |
|
Aspect Software, Inc. Loan (Second Lien), 7.375%, 7/11/12 |
|
|
7,000 |
|
|
2,170,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail - 0.3% |
|
Adesa, Inc. (KAR Holdings, Inc.) Initial Term Loan, 2.57% - 3.47%, 10/20/13 |
|
|
1,000 |
|
|
856,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services - 0.3% |
|
Cricket Communications, Inc. (aka Leap Wireless) Term B Loan, 5.75%, 6/16/13 |
|
|
784 |
|
|
787,773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Floating Rate Loan Interests - 47.5% |
|
|
|
|
|
146,791,261 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S.
Government Agency |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - 2.1% |
|
Crown Castle Towers LLC Series 2005-1A Class AFL, 0.699%, 6/15/35 (a)(f) |
|
|
3,005 |
|
|
2,854,750 |
|
9
|
|
|
|
BlackRock Debt Strategies Fund, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Non-U.S.
Government Agency |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Crown Castle Towers LLC Series 2005-1A Class AFX, 4.643%, 6/15/35 (a) |
|
USD |
3,555 |
|
$ |
3,466,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Non-U.S. Government Agency Mortgage-Backed Securities -2.1% |
|
|
|
|
|
6,320,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines - 0.0% |
|
Delta Air Lines, Inc. (d) |
|
|
14,829 |
|
|
86,156 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products - 0.0% |
|
Neenah Enterprises Inc. (d) |
|
|
144,858 |
|
|
60,840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals - 0.0% |
|
GEO Specialty Chemicals, Inc. (a)(d) |
|
|
339,340 |
|
|
130,273 |
|
|
|
|
GenTek Inc. (d) |
|
|
403 |
|
|
9,466 |
|
|
|
|
Wellman Holdings, Inc. (a)(d) |
|
|
5,373 |
|
|
1,343 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
141,082 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment - 1.5% |
|
Loral Space & Communications Ltd. (d) |
|
|
150,354 |
|
|
4,636,917 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging - 0.4% |
|
Smurfit Kappa Plc |
|
|
36,342 |
|
|
203,766 |
|
|
|
|
Viskase Cos., Inc. (d) |
|
|
1,428,423 |
|
|
928,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,132,241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 0.0% |
|
Preferred Term Securities VI, Ltd. (a)(d) |
|
|
35,000 |
|
|
350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment - 0.1% |
|
Medis Technologies Ltd. (d) |
|
|
286,757 |
|
|
77,424 |
|
|
|
|
SunPower Corp. Class B (d) |
|
|
4,892 |
|
|
125,822 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
203,246 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 0.0% |
|
Buffets Restaurants Holdings, Inc. (d) |
|
|
2,752 |
|
|
28 |
|
|
|
|
HRP Corp. Class B (a)(b)(d) |
|
|
5,000 |
|
|
50 |
|
|
|
|
Lodgian, Inc. (d) |
|
|
27,787 |
|
|
52,795 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
52,873 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products - 1.2% |
|
Ainsworth Lumber Co. Ltd. (d) |
|
|
1,190,019 |
|
|
1,689,516 |
|
|
|
|
Ainsworth Lumber Co. Ltd. (a)(d) |
|
|
1,335,501 |
|
|
1,889,055 |
|
|
|
|
Western Forest Products, Inc. (a)(d) |
|
|
211,149 |
|
|
50,285 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,628,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail - 0.4% |
|
Movie Gallery, Inc. (d) |
|
|
503,737 |
|
|
1,254,305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks -3.6% |
|
|
|
|
|
11,196,866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Trusts |
|
Par |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 0.3% |
|
Citigroup, Inc. Series E, 8.40% (c)(d)(f)(h) |
|
|
905 |
|
|
791,866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Securities - 0.3% |
|
|
|
|
|
791,866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants (i) |
|
Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products - 0.0% |
|
Neenah Enterprises Inc. (expires 9/30/13) |
|
|
130,547 |
|
|
48,302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals - 0.0% |
|
GenTek Inc. Tranche C (expires 11/10/10) |
|
|
231 |
|
|
693 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services - 0.0% |
|
HealthSouth Corp. (expires 1/16/14) |
|
|
126,761 |
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 0.0% |
|
Buffets Restaurants Holdings, Inc. (expires 4/29/14) |
|
|
1,216 |
|
|
12 |
|
|
|
|
|
|
|
|
|
|
|
|
10
|
|
|
|
BlackRock Debt Strategies Fund, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Industry |
|
Warrants (i) |
|
Shares |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
Specialty Retail - 0.0% |
|
Movie Gallery, Inc. (expires 5/15/15) |
|
|
62,323 |
|
$ |
31,162 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Warrants - 0.0% |
|
|
|
|
|
80,170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Interests (j) |
|
|
Beneficial |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines - 0.0% |
|
Delta Air Lines, Inc. Default 8.33% Escrow |
|
USD |
5,505 |
|
|
34,406 |
|
|
|
|
Delta Air Lines, Inc. Default 10% Escrow |
|
|
4,200 |
|
|
26,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60,656 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 0.0% |
|
Buffets, Inc. |
|
|
1,440 |
|
|
144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 0.0% |
|
Adelphia Escrow |
|
|
7,500 |
|
|
750 |
|
|
|
|
Adelphia Preferred Escrow |
|
|
5 |
|
|
1 |
|
|
|
|
Adelphia Recovery Trust |
|
|
9,406 |
|
|
37,624 |
|
|
|
|
Adelphia Recovery Trust Series ACC-6B INT |
|
|
500 |
|
|
50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail - 0.0% |
|
Movie Gallery, Inc. Default Escrow |
|
|
21,700 |
|
|
217 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Other Interests - 0.0% |
|
|
|
|
|
99,442 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments (Cost - $637,972,095*) - 120.0% |
|
|
|
|
|
370,620,812 |
|
|
|
|
Liabilities in Excess of Other Assets - (20.0)% |
|
|
|
|
|
(61,892,383 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets - 100.0% |
|
|
|
|
$ |
308,728,429 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of May 31, 2009, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
|
|
Aggregate cost |
|
$ |
639,356,308 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
$ |
8,126,655 |
|
|
Gross unrealized depreciation |
|
|
(276,862,151 |
) |
|
|
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(268,735,496 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
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. |
|
|
|
|
|
|
(b) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
|
|
|
|
(c) |
Issuer filed for bankruptcy and/or is in default of interest payments. |
|
|
|
|
|
|
(d) |
Non-income producing security. |
|
|
|
|
|
|
(e) |
As a result of bankruptcy proceedings, the company did not repay the principal amount of the security upon maturity. |
|
|
|
|
|
|
(f) |
Variable rate security. Rate shown is as of report date. |
|
|
|
|
|
|
(g) |
Convertible security. |
|
|
|
|
|
|
(h) |
Security is perpetual in nature and has no stated maturity date. |
|
|
|
|
|
|
(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. |
11
|
|
|
BlackRock Debt Strategies Fund, Inc. |
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
• |
Investments in companies considered to be an affiliate of the Fund, for purposes of Section 2(a)(3) of the Investment Co. Act of 1940, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Affiliate |
|
Net Activity |
|
Income |
|
||
|
|
|
|
|
|
|
||
|
BlackRock Liquidity Series, LLC Cash Sweep Series |
|
USD |
(4,725,260 |
) |
$ |
3,977 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
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. |
|
|
|
|
|
|
• |
Foreign currency exchange contracts as of May 31, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Currency |
|
Currency |
|
Counterparty |
|
Settlement |
|
Unrealized |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|||
|
EUR |
172,000 |
|
USD |
239,866 |
|
Citibank, NA |
|
6/02/09 |
|
$ |
3,284 |
|
|
GBP |
266,000 |
|
USD |
384,208 |
|
UBS AG |
|
6/10/09 |
|
|
45,706 |
|
|
USD |
1,236,070 |
|
CAD |
1,600,000 |
|
Citibank, NA |
|
6/10/09 |
|
|
(229,570 |
) |
|
USD |
9,194,934 |
|
EUR |
6,747,000 |
|
Citibank, NA |
|
7/15/09 |
|
|
(339,741 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
$ |
(520,321 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Credit default swaps on single-name issues - buy protection outstanding as of May 31, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
First Data Corp. |
|
5 |
% |
|
JPMorgan
Chase |
|
December 2013 |
|
USD |
1,500 |
|
$ |
74,365 |
|
|
First Data Corp. |
|
5 |
% |
|
JPMorgan
Chase |
|
December 2013 |
|
USD |
1,000 |
|
|
49,465 |
|
|
Host Hotels & Resorts LP |
|
5 |
% |
|
Goldman
Sachs |
|
March 2014 |
|
USD |
2,500 |
|
|
(308,770 |
) |
|
Masco Corp. |
|
5.30 |
% |
|
JPMorgan
Chase |
|
March 2014 |
|
USD |
1,500 |
|
|
(121,857 |
) |
|
Masco Corp. |
|
6.25 |
% |
|
JPMorgan
Chase |
|
March 2014 |
|
USD |
1,500 |
|
|
(177,782 |
) |
|
Mohawk Industries, Inc. |
|
4.45 |
% |
|
JPMorgan
Chase |
|
March 2014 |
|
USD |
1,500 |
|
|
(105,022 |
) |
|
Mohawk Industries, Inc. |
|
5.20 |
% |
|
JPMorgan
Chase |
|
March 2014 |
|
USD |
1,500 |
|
|
(154,219 |
) |
|
Lennar Corp. |
|
5.75 |
% |
|
JPMorgan
Chase |
|
June 2014 |
|
USD |
1,700 |
|
|
(160,271 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
(904,091 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12
|
|
|
BlackRock Debt Strategies Fund, Inc. |
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
• |
Credit default swaps on single-name issues - sold protection outstanding as of May 31, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Issuer |
|
Receive |
|
Counterparty |
|
Expiration |
Credit |
|
Notional |
|
Unrealized |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
BAA Ferrovial Junior Term Loan |
|
2.00 |
% |
|
Deutsche Bank AG |
|
March 2012 |
A- |
|
GBP |
900 |
|
$ |
(268,028 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Using Standard and Poor’s ratings of the issuer.
2 The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.
|
|
|
|
|
|
• |
Currency Abbreviations: |
|
|
|
|
|
|
CAD |
Canadian Dollar |
|
|
|
|
|
|
EUR |
Euro |
|
|
|
|
|
|
GBP |
British Pound |
|
|
|
|
|
|
USD |
US Dollar |
13
|
|
|
BlackRock Debt Strategies Fund, Inc. |
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
• |
Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“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: |
||
|
|
|
||
|
|
|
• |
Level 1 - price quotations in active markets/exchanges for identical securities |
|
|
|
|
|
|
|
|
• |
Level 2 - other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
|
|
|
• |
Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions 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, 2009 in determining the fair valuation of the Fund’s investments: |
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Valuation |
|
Investments in |
|
Other Financial |
|
|||||
|
|
|
|
|
|
|
|||||
|
|
|
Assets |
|
Assets |
|
Liabilities |
|
|||
|
|
|
|
|
|
|
|
|
|||
|
Level 1 |
|
$ |
8,972,697 |
|
|
— |
|
|
— |
|
|
Level 2 |
|
|
271,846,082 |
|
$ |
172,820 |
|
$ |
(1,597,232 |
) |
|
Level 3 |
|
|
89,802,033 |
|
|
— |
|
|
(268,028 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
370,620,812 |
|
$ |
172,820 |
|
$ |
(1,865,260 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Other financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument. |
14
|
|
|
BlackRock Debt Strategies Fund, Inc. |
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
Balance, as of February 28, 2009 |
|
$ |
106,044,416 |
|
|
Realized loss |
|
|
(13,650,341 |
) |
|
Change in unrealized appreciation |
|
|
17,124,352 |
|
|
Net sales |
|
|
(24,182,066 |
) |
|
Net transfers in/out of Level 3 |
|
|
4,465,672 |
|
|
|
|
|
|
|
|
Balance as of May 31, 2009 |
|
$ |
89,802,033 |
|
|
|
|
|
|
|
15
|
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 13(a)-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. |
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Item 3 – |
Exhibits |
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Certifications – Attached hereto |
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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. |
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BlackRock Debt Strategies Fund, Inc. |
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By: |
/s/ Donald C. Burke | ||
| Donald C. Burke | |||
| Chief Executive Officer of | |||
| BlackRock Debt Strategies Fund, Inc. | |||
| Date: July 15, 2009 | |||
| 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. | |||
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By: |
/s/ Donald C. Burke | ||
| Donald C. Burke | |||
| Chief Executive Officer (principal executive officer) of | |||
| BlackRock Debt Strategies Fund, Inc. | |||
| Date: July 15, 2009 | |||
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By: |
/s/ Neal J. Andrews | ||
| Neal J. Andrews | |||
| Chief Financial Officer (principal financial officer) of | |||
| BlackRock Debt Strategies Fund, Inc. | |||
| Date: July 15, 2009 | |||