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: Anne F. Ackerley, Chief Executive Officer, BlackRock Debt Strategies Fund, Inc., 55 East 52nd Street, New York, NY 10055.
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 02/28/2010
Date of reporting period: 11/30/2009
Item 1 – Schedule of Investments
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BlackRock Debt Strategies Fund, Inc. (DSU) |
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Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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Industry |
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Common Stocks |
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Shares |
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Value |
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Auto Components - 0.1% |
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Lear Corp. |
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7,033 |
|
$ |
443,005 |
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Building Products - 0.6% |
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Masonite Worldwide Holdings (a) |
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71,958 |
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2,518,530 |
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Neenah Enterprises Inc. (a) |
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144,858 |
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21,004 |
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2,539,534 |
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|
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Chemicals - 0.0% |
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GEO Specialty Chemicals, Inc. (a) |
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339,340 |
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|
130,273 |
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|
|
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Wellman Holdings, Inc. (a) |
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5,373 |
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1,343 |
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131,616 |
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Communications Equipment - 1.0% |
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Loral Space & Communications, Ltd. (a) |
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116,985 |
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3,873,373 |
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Containers & Packaging - 0.8% |
|
Smurfit Kappa Plc |
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|
36,342 |
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297,973 |
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|
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Viskase Cos., Inc. (a) |
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1,428,423 |
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2,714,004 |
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3,011,977 |
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Diversified Financial Services - 0.0% |
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Preferred Term Securities VI, Ltd. (a)(b) |
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|
35,000 |
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|
350 |
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Electrical Equipment - 0.0% |
|
Medis Technologies Ltd. (a) |
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|
286,757 |
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|
19,213 |
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SunPower Corp., Class B (a) |
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4,892 |
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87,420 |
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106,633 |
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Hotels, Restaurants & Leisure - 0.0% |
|
Buffets Restaurants Holdings, Inc. (a) |
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|
2,753 |
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|
19,271 |
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|
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HRP Corp., Class B (a)(b)(c) |
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|
5,000 |
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|
50 |
|
|
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Lodgian, Inc. (a) |
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27,787 |
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35,289 |
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54,610 |
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Metals & Mining - 0.0% |
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Euramax International |
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2,337 |
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70,119 |
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Paper & Forest Products - 1.2% |
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Ainsworth Lumber Co., Ltd. |
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1,190,019 |
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2,311,483 |
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Ainsworth Lumber Co., Ltd. (a)(b) |
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1,335,501 |
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2,596,895 |
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Western Forest Products, Inc. (a)(b) |
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211,149 |
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39,013 |
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4,947,391 |
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Specialty Retail - 0.2% |
|
Movie Gallery, Inc. (a) |
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503,737 |
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629,671 |
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Total Common Stocks - 3.9% |
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15,808,279 |
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Corporate Bonds |
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Par |
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Aerospace & Defense - 0.5% |
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TransDigm, Inc., 7.75%, 7/15/14 (b) |
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USD |
2,000 |
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2,030,000 |
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Airlines - 0.4% |
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Delta Air Lines, Inc., Series B, 9.75%, 12/17/16 |
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|
1,000 |
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1,000,000 |
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United Air Lines, Inc., 12.75%, 7/15/12 |
|
|
800 |
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814,000 |
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1,814,000 |
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Auto Components - 0.2% |
|
The Goodyear Tire & Rubber Co., 8.63%, 12/01/11 |
|
|
900 |
|
|
921,375 |
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|
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Venture Holdings Co., LLC, 12.00%, 6/01/09 (a)(d) |
|
|
4,450 |
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— |
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Venture Holdings Co., LLC, Series B, 9.50%, 7/01/05 (a)(d)(e) |
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|
1,800 |
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|
180 |
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921,555 |
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Biotechnology - 0.4% |
|
Gilead Sciences, Inc., 0.63%, 5/01/13 (f) |
|
|
690 |
|
|
885,788 |
|
|
|
|
QHP Pharma, 10.25%, 3/15/15 (b) |
|
|
590 |
|
|
596,744 |
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1,482,532 |
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Building Products - 2.2% |
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CPG International I, Inc., 7.87%, |
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|
7,500 |
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|
6,806,250 |
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CPG International I, Inc., 10.50%, 7/01/13 |
|
|
1,300 |
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|
1,179,750 |
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Ply Gem Industries, Inc., 11.75%, 6/15/13 |
|
|
1,050 |
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|
1,002,750 |
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8,988,750 |
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Capital Markets - 0.2% |
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E*Trade Financial Corp., 4.01%, 8/31/19 (b)(f)(h) |
|
|
593 |
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925,821 |
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Chemicals - 2.7% |
|
American Pacific Corp., 9.00%, 2/01/15 |
|
|
1,490 |
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|
1,389,425 |
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|
|
|
GEO Specialty Chemicals, Inc., 7.50%, 3/31/15 (b)(c)(h) |
|
|
4,171 |
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|
2,711,012 |
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|
|
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GEO Specialty Chemicals, Inc., 10.00%, 3/31/15 (f) |
|
|
4,106 |
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|
2,668,640 |
|
1
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BlackRock Debt Strategies Fund, Inc. (DSU) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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|
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Industry |
|
Corporate Bonds |
|
Par |
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Value |
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||
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Huntsman International, LLC, 5.50%, 6/30/16 (b) |
|
USD |
900 |
|
$ |
780,750 |
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Wellman Holdings, Inc., Second Lien Subordinate Note, 10.00%, 1/29/19 (b)(f) |
|
|
2,978 |
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|
2,978,000 |
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|
|
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Wellman Holdings, Inc., Third Lien Subordinate Note, 5.00%, 1/29/19 (c)(f) |
|
|
930 |
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|
465,000 |
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10,992,827 |
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Commercial Banks - 0.1% |
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Glitnir Banki HF, 4.15%, 4/20/10 (a)(b)(d) |
|
|
184 |
|
|
39,560 |
|
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Glitnir Banki HF, 6.38%, 9/25/12 (a)(b)(d) |
|
|
1,115 |
|
|
239,725 |
|
|
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Glitnir Banki HF, Series EMTN, 5.07%, 1/27/10 (a)(d) |
|
EUR |
50 |
|
|
15,766 |
|
|
|
|
Glitnir Banki HF, Series EMTN, 3.00%, 6/30/10 (a)(d) |
|
|
75 |
|
|
23,649 |
|
|
|
|
Glitnir Banki HF, Series GMTN, 4.38%, 2/05/10 (a)(d) |
|
|
85 |
|
|
26,803 |
|
|
|
|
|
|
|
|
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|
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345,503 |
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Commercial Services & Supplies - 1.4% |
|
ACCO Brands Corp., 10.63%, 3/15/15 (b) |
|
USD |
660 |
|
|
711,975 |
|
|
|
|
Clean Harbors, Inc., 7.63%, 8/15/16 (b) |
|
|
1,200 |
|
|
1,207,500 |
|
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The Geo Group, Inc., 7.75%, 10/15/17 (b) |
|
|
850 |
|
|
862,750 |
|
|
|
|
RSC Equipment Rental, Inc., 10.00%, 7/15/17 (b) |
|
|
970 |
|
|
1,045,175 |
|
|
|
|
West Corp., 9.50%, 10/15/14 |
|
|
340 |
|
|
331,500 |
|
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|
West Corp., 11.00%, 10/15/16 |
|
|
1,400 |
|
|
1,410,500 |
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5,569,400 |
|
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Construction Materials - 0.8% |
|
Nortek, Inc., 10.00%, 12/01/13 (a)(d) |
|
|
2,970 |
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|
3,044,250 |
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Consumer Finance - 0.8% |
|
Ford Motor Credit Co., LLC, 3.03%, 1/13/12 (g) |
|
|
2,680 |
|
|
2,429,420 |
|
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|
Inmarsat Finance Plc, 7.38%, 12/01/17 (b) |
|
|
725 |
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|
732,250 |
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3,161,670 |
|
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Containers & Packaging - 3.2% |
|
Berry Plastics Corp., 4.13%, 9/15/14 (g) |
|
|
375 |
|
|
292,500 |
|
|
|
|
Berry Plastics Escrow, LLC, 8.25%, 11/15/15 (b) |
|
|
2,100 |
|
|
2,073,750 |
|
|
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|
Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16 |
|
EUR |
600 |
|
|
828,854 |
|
|
|
|
Crown Americas, LLC, 7.63%, 5/15/17 (b) |
|
USD |
710 |
|
|
724,200 |
|
|
|
|
Graphic Packaging International, Inc., 9.50%, 6/15/17 |
|
|
975 |
|
|
1,028,625 |
|
|
|
|
Packaging Dynamics Finance Corp., 10.00%, 5/01/16 (b) |
|
|
2,390 |
|
|
1,768,600 |
|
|
|
|
Smurfit Kappa Acquisitions, 7.25%, 11/15/17 |
|
EUR |
830 |
|
|
1,190,201 |
|
|
|
|
Smurfit Kappa Acquisitions, 7.75%, 11/15/19 |
|
|
785 |
|
|
1,140,406 |
|
|
|
|
Smurfit Kappa Funding Plc, 7.75%, 4/01/15 |
|
USD |
3,325 |
|
|
3,175,375 |
|
|
|
|
Solo Cup Co., 10.50%, 11/01/13 (b) |
|
|
440 |
|
|
463,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
12,685,611 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services - 0.5% |
|
NBC Acquisition Corp., 11.00%, 3/15/13 |
|
|
3,875 |
|
|
2,053,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 4.1% |
|
Archimedes Funding III Ltd., 5.50%, 11/29/11 (b) |
|
|
5,744 |
|
|
2,699,534 |
|
|
|
|
FCE Bank Plc, 7.13%, 1/16/12 |
|
EUR |
3,250 |
|
|
4,660,425 |
|
|
|
|
GMAC Inc., 5.38%, 6/06/11 |
|
|
436 |
|
|
615,394 |
|
|
|
|
GMAC LLC, 7.25%, 3/02/11 (b) |
|
USD |
148 |
|
|
144,670 |
|
|
|
|
GMAC LLC, 6.88%, 9/15/11 (b) |
|
|
900 |
|
|
866,250 |
|
2
|
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
Par |
|
Value |
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||
|
|
|
|
|
|
|
|
|
||
|
|
|
GMAC LLC, 6.88%, 8/28/12 (b) |
|
USD |
750 |
|
$ |
710,625 |
|
|
|
|
GMAC LLC, 6.75%, 12/01/14 (b) |
|
|
3,180 |
|
|
2,846,100 |
|
|
|
|
GMAC LLC, 8.00%, 11/01/31 (b) |
|
|
1,530 |
|
|
1,311,975 |
|
|
|
|
Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (b) |
|
|
1,400 |
|
|
1,414,000 |
|
|
|
|
Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 |
|
EUR |
650 |
|
|
961,365 |
|
|
|
|
Saturns Investments Europe Plc, 6.19%, 6/09/14 |
|
USD |
480 |
|
|
336,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,566,338 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services - 2.4% |
|
Cincinnati Bell, Inc., 8.25%, 10/15/17 |
|
|
1,600 |
|
|
1,588,000 |
|
|
|
|
Nordic Telephone Co. Holdings ApS, 8.88%, 5/01/16 (b) |
|
|
2,600 |
|
|
2,730,000 |
|
|
|
|
PAETEC Holding Corp., 8.88%, 6/30/17 |
|
|
1,100 |
|
|
1,091,750 |
|
|
|
|
Qwest Corp., 8.38%, 5/01/16 (b)(i) |
|
|
4,000 |
|
|
4,180,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,589,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities - 0.3% |
|
NSG Holdings, LLC, 7.75%, 12/15/25 (b) |
|
|
1,505 |
|
|
1,346,975 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components - 0.0% |
|
Muzak Holdings, LLC,
13.00%, |
|
|
2,675 |
|
|
267 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing - 0.1% |
|
Duane Reade, Inc., 11.75%, 8/01/15 (b) |
|
|
280 |
|
|
301,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products - 0.3% |
|
Smithfield Foods, Inc., 10.00%, 7/15/14 (b) |
|
|
1,250 |
|
|
1,309,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies - 0.3% |
|
DJO Finance, LLC, 10.88%, 11/15/14 |
|
|
1,345 |
|
|
1,415,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services - 1.8% |
|
Community Health Systems, Inc., Series WI, 8.88%, 7/15/15 |
|
|
3,010 |
|
|
3,070,200 |
|
|
|
|
DaVita, Inc., 7.25%, 3/15/15 |
|
|
980 |
|
|
975,100 |
|
|
|
|
Tenet Healthcare Corp., 9.00%, 5/01/15 (b) |
|
|
680 |
|
|
719,100 |
|
|
|
|
Tenet Healthcare Corp., 8.88%, 7/01/19 (b) |
|
|
2,110 |
|
|
2,257,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,022,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 1.7% |
|
American Real Estate Partners LP, 7.13%, 2/15/13 |
|
|
2,150 |
|
|
2,107,000 |
|
|
|
|
HRP Myrtle Beach Holdings, LLC, 0.00%, 4/01/14 (a)(b)(d) |
|
|
6,892 |
|
|
689 |
|
|
|
|
HRP Myrtle Beach Operations, LLC, 12.50%, 4/01/12 (a)(b)(d) |
|
|
5,000 |
|
|
500 |
|
|
|
|
HRP Myrtle Beach Operations, LLC, 14.50%, 4/01/13 (a)(b)(d) |
|
|
5,000 |
|
|
500 |
|
|
|
|
Little Traverse Bay Bands of Odawa Indians, 10.25%, 2/15/14 (a)(b)(d) |
|
|
2,560 |
|
|
640,000 |
|
|
|
|
MGM Mirage, 11.13%, 11/15/17 (b) |
|
|
1,340 |
|
|
1,467,300 |
|
|
|
|
Shingle Springs Tribal Gaming Authority, 9.38%, 6/15/15 (b) |
|
|
380 |
|
|
275,500 |
|
|
|
|
Snoqualmie Entertainment Authority, 4.68%, 2/01/14 (b)(g) |
|
|
1,015 |
|
|
517,650 |
|
|
|
|
Travelport, LLC, 4.88%, 9/01/14 (g) |
|
|
2,160 |
|
|
1,814,400 |
|
|
|
|
Tropicana Entertainment, LLC, Series WI, 9.63%, 12/15/14 (a)(d) |
|
|
530 |
|
|
1,987 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,825,526 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables - 1.5% |
|
Beazer Homes USA, Inc., 12.00%, 10/15/17 (b) |
|
|
1,700 |
|
|
1,836,000 |
|
|
|
|
K Hovnanian Enterprises, Inc., 10.63%, 10/15/16 (b) |
|
|
2,365 |
|
|
2,412,300 |
|
3
|
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
KB Home, 6.38%, 8/15/11 |
|
USD |
180 |
|
$ |
180,450 |
|
|
|
|
Standard Pacific Corp., 6.25%, 4/01/14 |
|
|
315 |
|
|
277,987 |
|
|
|
|
Standard Pacific Corp., 7.00%, 8/15/15 |
|
|
855 |
|
|
754,537 |
|
|
|
|
Stanley-Martin Communities, LLC, 9.75%, 8/15/15 (a)(d) |
|
|
2,250 |
|
|
675,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,136,274 |
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services - 0.9% |
|
First Data Corp., 9.88%, 9/24/15 |
|
|
1,170 |
|
|
1,041,300 |
|
|
|
|
First Data Corp., 11.25%, 3/31/16 |
|
|
1,600 |
|
|
1,320,000 |
|
|
|
|
SunGard Data Systems, Inc., 4.88%, 1/15/14 |
|
|
1,265 |
|
|
1,165,381 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,526,681 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders - 2.8% |
|
The AES Corp., 8.75%, 5/15/13 (b) |
|
|
625 |
|
|
635,937 |
|
|
|
|
AES Eastern Energy LP, Series 99-B, 9.67%, 1/02/29 |
|
|
1,010 |
|
|
868,600 |
|
|
|
|
Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (b) |
|
|
1,750 |
|
|
1,758,750 |
|
|
|
|
Energy Future Holdings Corp., 11.25%, 11/01/17 (c) |
|
|
1,946 |
|
|
1,215,950 |
|
|
|
|
NRG Energy, Inc., 7.25%, 2/01/14 |
|
|
5,500 |
|
|
5,548,125 |
|
|
|
|
NRG Energy, Inc., 8.50%, 6/15/19 |
|
|
800 |
|
|
808,000 |
|
|
|
|
Texas Competitive Electric Holdings Co., LLC, 10.50%, 11/01/16 (c) |
|
|
143 |
|
|
90,547 |
|
|
|
|
Texas Competitive Electric Holdings Co., LLC, Series B, 10.25%, 11/01/15 |
|
|
470 |
|
|
333,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,259,609 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates - 1.5% |
|
Sequa Corp., 11.75%, 12/01/15 (b) |
|
|
2,850 |
|
|
2,536,500 |
|
|
|
|
Sequa Corp., 13.50%, 12/01/15 (b)(c) |
|
|
3,892 |
|
|
3,385,611 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,922,111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance - 0.9% |
|
Alliant Holdings I, Inc.,
11.00%, |
|
|
2,500 |
|
|
2,462,500 |
|
|
|
|
USI Holdings Corp., 4.15%,
11/15/14 |
|
|
1,630 |
|
|
1,295,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,758,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products - 0.3% |
|
Brunswick Corp., 11.25%, 11/01/16 (b) |
|
|
1,225 |
|
|
1,368,937 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery - 2.1% |
|
ESCO Corp., 4.13%, 12/15/13 (b)(g) |
|
|
3,070 |
|
|
2,809,050 |
|
|
|
|
Navistar International Corp., 8.25%, 11/01/21 |
|
|
2,000 |
|
|
1,965,000 |
|
|
|
|
RBS Global, Inc., 9.50%, 8/01/14 (b) |
|
|
660 |
|
|
656,700 |
|
|
|
|
RBS Global, Inc., 8.88%, 9/01/16 |
|
|
1,685 |
|
|
1,457,525 |
|
|
|
|
Titan International, Inc., 8.00%, 1/15/12 |
|
|
1,530 |
|
|
1,495,575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,383,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Marine - 0.3% |
|
Navios Maritime Holdings, Inc., 9.50%, 12/15/14 |
|
|
355 |
|
|
349,231 |
|
|
|
|
Navios Maritime Holdings, Inc., 8.88%, 11/01/17 (b) |
|
|
840 |
|
|
861,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,210,231 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 6.2% |
|
Affinion Group, Inc., 10.13%, 10/15/13 |
|
|
2,010 |
|
|
2,050,200 |
|
|
|
|
CSC Holdings, Inc., 8.50%, 4/15/14 (b) |
|
|
680 |
|
|
714,850 |
|
|
|
|
Canadian Satellite Radio Holdings, Inc., 12.75%, 2/15/14 |
|
|
5,000 |
|
|
3,000,000 |
|
|
|
|
Charter Communications Holdings, LLC, 10.00%, 4/01/09 (a)(d) |
|
|
2,402 |
|
|
12,010 |
|
|
|
|
Charter Communications Holdings, LLC, 11.13%, 1/15/11 (a)(d) |
|
|
1,319 |
|
|
65,950 |
|
4
|
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Charter Communications Holdings, LLC, 10.00%, 5/15/11 (a)(d) |
|
USD |
1,978 |
|
$ |
9,890 |
|
|
|
|
Intelsat Corp., 9.25%, 8/15/14 |
|
|
4,500 |
|
|
4,533,750 |
|
|
|
|
Local Insight Regatta Holdings, Inc., 11.00%, 12/01/17 |
|
|
1,265 |
|
|
759,000 |
|
|
|
|
Network Communications, Inc., 10.75%, 12/01/13 |
|
|
20 |
|
|
8,050 |
|
|
|
|
Nielsen Finance, LLC, 11.63%, 2/01/14 |
|
|
5,000 |
|
|
5,375,000 |
|
|
|
|
TL Acquisitions, Inc., 10.50%, 1/15/15 (b) |
|
|
3,680 |
|
|
3,413,200 |
|
|
|
|
TVN Finance Corp. Plc, 10.75%, 11/15/17 |
|
EUR |
500 |
|
|
758,281 |
|
|
|
|
UPC Germany GmbH, 8.13%, 12/01/17 (b) |
|
USD |
3,000 |
|
|
3,000,000 |
|
|
|
|
Virgin Media, Inc., 6.50%, 11/15/16 (b)(f) |
|
|
940 |
|
|
1,092,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,792,931 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining - 1.9% |
|
Aleris International, Inc., 9.00%, 12/15/14 (a)(d) |
|
|
1,100 |
|
|
4,125 |
|
|
|
|
Aleris International, Inc., 10.00%, 12/15/16 (a)(d) |
|
|
1,500 |
|
|
5,625 |
|
|
|
|
Murray Energy Corp.,
10.25%, |
|
|
790 |
|
|
774,200 |
|
|
|
|
RathGibson, Inc., 11.25%, 2/15/14 (a)(d) |
|
|
4,440 |
|
|
1,554,000 |
|
|
|
|
Ryerson, Inc., 7.66%, 11/01/14 (g)(i) |
|
|
3,595 |
|
|
3,172,587 |
|
|
|
|
Teck Resources Ltd., 10.75%, 5/15/19 |
|
|
1,875 |
|
|
2,189,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,699,599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail - 0.1% |
|
Saks, Inc., 9.88%, 10/01/11 |
|
|
235 |
|
|
243,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 3.0% |
|
Arch Coal, Inc., 8.75%, 8/01/16 (b) |
|
|
1,250 |
|
|
1,287,500 |
|
|
|
|
Atlas Energy Operating Co., LLC, 12.13%, 8/01/17 |
|
|
1,440 |
|
|
1,609,200 |
|
|
|
|
Atlas Energy Resources, LLC, 10.75%, 2/01/18 (b) |
|
|
355 |
|
|
386,062 |
|
|
|
|
Denbury Resources, Inc., 9.75%, 3/01/16 |
|
|
925 |
|
|
978,187 |
|
|
|
|
El Paso Corp., 7.00%, 6/15/17 |
|
|
1,500 |
|
|
1,470,000 |
|
|
|
|
Forest Oil Corp., 8.50%, 2/15/14 (b) |
|
|
1,430 |
|
|
1,462,175 |
|
|
|
|
Forest Oil Corp., 7.25%, 6/15/19 |
|
|
360 |
|
|
341,100 |
|
|
|
|
Massey Energy Co., 6.88%, 12/15/13 |
|
|
1,300 |
|
|
1,280,500 |
|
|
|
|
OPTI Canada, Inc., 9.00%, 12/15/12 (b) |
|
|
1,000 |
|
|
997,500 |
|
|
|
|
SandRidge Energy, Inc., 3.91%, 4/01/14 (g) |
|
|
2,000 |
|
|
1,691,504 |
|
|
|
|
Titan Petrochemicals Group Ltd., 8.50%, 3/18/12 (b) |
|
|
1,760 |
|
|
607,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,110,928 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products - 3.8% |
|
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(c) |
|
|
4,104 |
|
|
2,503,408 |
|
|
|
|
Clearwater Paper Corp.,
10.63%, |
|
|
640 |
|
|
704,000 |
|
|
|
|
Georgia-Pacific LLC, 8.25%, 5/01/16 (b) |
|
|
2,950 |
|
|
3,127,000 |
|
|
|
|
NewPage Corp., 10.00%, 5/01/12 |
|
|
820 |
|
|
528,900 |
|
|
|
|
NewPage Corp., 11.38%, 12/31/14 (b) |
|
|
6,745 |
|
|
6,643,825 |
|
|
|
|
Verso Paper Holdings, LLC, 11.50%, 7/01/14 (b) |
|
|
550 |
|
|
599,500 |
|
|
|
|
Verso Paper Holdings, LLC, Series B, 4.03%, 8/01/14 (g) |
|
|
1,365 |
|
|
1,023,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,130,383 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - 1.3% |
|
Angiotech Pharmaceuticals, Inc., 4.01%, 12/01/13 (g) |
|
|
5,000 |
|
|
4,125,000 |
|
|
|
|
Elan Corp. Plc, 8.75%, 10/15/16 (b) |
|
|
965 |
|
|
907,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,032,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) - 0.3% |
|
RAIT Financial Trust,
6.88%, |
|
|
3,500 |
|
|
1,330,000 |
|
|
|
|
|
|
|
|
|
|
|
|
5
|
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
Real Estate Management & Development - 0.9% |
|
Realogy Corp., 10.50%, 4/15/14 |
|
USD |
375 |
|
$ |
301,875 |
|
|
|
|
Realogy Corp., 12.38%, 4/15/15 |
|
|
5,053 |
|
|
3,183,390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,485,265 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment - 0.7% |
|
Spansion, Inc., 3.79%, 6/01/13 (a)(b)(d) |
|
|
2,720 |
|
|
2,828,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Software - 0.2% |
|
Advanced Micro Devices, Inc., 8.13%, 12/15/17 (b) |
|
|
755 |
|
|
712,531 |
|
|
|
|
BMS Holdings, Inc., 8.35%,
|
|
|
1,627 |
|
|
32,532 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
745,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail - 0.7% |
|
General Nutrition Centers, Inc., 10.75%, 3/15/15 |
|
|
1,360 |
|
|
1,380,400 |
|
|
|
|
United Auto Group, Inc., 7.75%, 12/15/16 |
|
|
1,380 |
|
|
1,335,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,715,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods - 0.6% |
|
Levi Strauss & Co., 8.63%, 4/01/13 |
|
EUR |
1,550 |
|
|
2,269,212 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services - 2.8% |
|
Cricket Communications, Inc., 7.75%, 5/15/16 (b) |
|
USD |
3,250 |
|
|
3,209,375 |
|
|
|
|
Crown Castle International Corp., 9.00%, 1/15/15 |
|
|
245 |
|
|
259,087 |
|
|
|
|
Digicel Group Ltd., 9.13%, 1/15/15 (b)(c) |
|
|
4,248 |
|
|
4,099,320 |
|
|
|
|
MetroPCS Wireless, Inc., 9.25%, 11/01/14 |
|
|
2,860 |
|
|
2,867,150 |
|
|
|
|
Orascom Telecom Finance SCA, 7.88%, 2/08/14 (b) |
|
|
755 |
|
|
634,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,069,132 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds - 57.2% |
|
|
|
|
|
229,411,543 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (g) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense - 0.1% |
|
Hawker Beechcraft, Term Loan B, 10.50%, 3/26/14 |
|
|
475 |
|
|
462,531 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines - 0.4% |
|
Delta Air Lines, Inc., Credit-Linked Deposit Loan, 0.09% - 2.28%, 4/30/12 |
|
|
1,960 |
|
|
1,721,533 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Components - 2.7% |
|
Allison Transmission, Inc., Term Loan, 2.99% - 3.04%, 8/07/14 |
|
|
7,461 |
|
|
6,528,805 |
|
|
|
|
Dana Holding Corp., Term Advance, 7.25%, 1/31/15 |
|
|
3,153 |
|
|
2,814,369 |
|
|
|
|
The Goodyear Tire & Rubber Co., Loan (Second Lien), 2.34%, 4/30/14 |
|
|
750 |
|
|
670,313 |
|
|
|
|
Lear Corp., Term Loan (Second Lien), 9.00%, 11/09/12 |
|
|
950 |
|
|
951,584 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,965,071 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobiles - 0.5% |
|
Ford Motor Co., Term Loan, 3.24% - 3.29%, 12/15/13 |
|
|
1,992 |
|
|
1,745,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Beverages - 0.8% |
|
Culligan International Co., Loan (Second Lien), 5.17%, 4/24/13 |
|
EUR |
1,500 |
|
|
827,728 |
|
|
|
|
Inbev NV, Bridge Loan, 1.43%, 7/15/11 |
|
USD |
1,000 |
|
|
993,333 |
|
|
|
|
Inbev NV/SA, Bridge Loan, 1.72%, 7/15/13 |
|
|
1,500 |
|
|
1,468,595 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,289,656 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products - 0.9% |
|
Building Materials Corp. of America, Term Loan Advance, 3.00%, 2/22/14 |
|
|
2,207 |
|
|
1,996,372 |
|
6
|
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Floating Rate Loan Interests (g) |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Goodman Global Holdings, Term Loan B, 6.25%, 2/13/14 |
|
USD |
1,525 |
|
$ |
1,523,730 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,520,102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals - 2.3% |
|
Ashland Inc., Term B Borrowing, 7.65%, 5/13/14 |
|
|
649 |
|
|
658,654 |
|
|
|
|
Gentek, Inc., Term Loan B, 7.00%, 10/20/14 |
|
|
800 |
|
|
803,334 |
|
|
|
|
Nalco Co., Term Loan, 6.50%, 5/13/16 |
|
|
1,716 |
|
|
1,727,102 |
|
|
|
|
PQ Corp. (fka Niagara Acquisition, Inc.), Loan (Second Lien), 6.74%, 7/30/15 |
|
|
1,990 |
|
|
1,630,673 |
|
|
|
|
PQ Corp. (fka Niagara Acquisition, Inc.), Original Term Loan (First Lien), 3.49% - 3.54%, 7/30/14 |
|
|
1,975 |
|
|
1,738,000 |
|
|
|
|
Solutia Inc., Loan, 7.25%, 2/28/14 |
|
|
2,393 |
|
|
2,419,933 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,977,696 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies - 1.6% |
|
ARAMARK Corp., LLC, Facility Letter of Credit, 0.29%, 1/26/14 |
|
|
130 |
|
|
116,868 |
|
|
|
|
ARAMARK Corp., U.S. Term Loan, 2.11% - 2.16%, 1/26/14 |
|
|
1,971 |
|
|
1,777,051 |
|
|
|
|
Casella Waste Systems, Inc., Term Loan B, 7.00%, 4/08/14 |
|
|
389 |
|
|
389,998 |
|
|
|
|
John Maneely Co., Term Loan, 3.49% - 3.53%, 12/09/13 |
|
|
1,266 |
|
|
1,158,093 |
|
|
|
|
Synagro Technologies, Inc., Term Loan (First Lien), 2.23% - 2.24%, 4/02/14 |
|
|
792 |
|
|
638,460 |
|
|
|
|
West Corp., Term Loan B-3, 7.25%, 11/08/13 |
|
|
2,247 |
|
|
2,231,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,312,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals - 0.2% |
|
Intergraph Corp., Term Loan (Second Lien), 6.26%, 11/28/14 |
|
|
1,000 |
|
|
940,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance - 1.0% |
|
DaimlerChrysler Financial Services Americas, LLC, Term Loan (First Lien), 4.24%, 8/03/12 |
|
|
3,925 |
|
|
3,771,270 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging - 0.3% |
|
Graham Packaging Co., LP, Term Loan B, 2.50%, 10/07/11 |
|
|
1,325 |
|
|
1,279,019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributors - 0.0% |
|
Keystone Automotive Operations, Inc., Loan, 3.74% - 5.75%, 1/12/12 |
|
|
153 |
|
|
95,792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services - 2.0% |
|
Coinmach Service Corp., Term Loan, 3.24% - 3.27%, 11/14/14 |
|
|
5,171 |
|
|
4,395,395 |
|
|
|
|
Laureate Education, Term Loan B, 7.00%, 12/31/14 |
|
|
3,500 |
|
|
3,373,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,768,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 1.8% |
|
CIT Group, Term Loan A, 9.50%, 1/20/12 |
|
|
5,850 |
|
|
5,932,877 |
|
|
|
|
Reynolds Group, Term Loan B, 6.25%, 10/28/15 |
|
|
1,200 |
|
|
1,197,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,129,877 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services - 1.5% |
|
Cavtel Holdings, LLC, Term Loan, 10.50%, 12/31/12 |
|
|
875 |
|
|
689,063 |
|
|
|
|
Hawaiian Telcom Communications, Inc., Tranche C Term Loan, 4.75%, 5/30/14 |
|
|
4,571 |
|
|
3,262,631 |
|
|
|
|
Integra Telecom Holdings, Inc., Term Loan (First Lien), 10.50%, 8/31/13 |
|
|
1,621 |
|
|
1,610,059 |
|
|
|
|
PAETEC Holding Corp., Incremental Term Loan, 2.73%, 2/28/13 |
|
|
252 |
|
|
237,114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,798,867 |
|
|
|
|
|
|
|
|
|
|
|
|
7
|
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Floating Rate Loan Interests (g) |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
Electrical Equipment - 0.1% |
|
Generac Acquisition Corp., Term Loan (First Lien), 2.78%, 11/10/13 |
|
USD |
427 |
|
$ |
385,922 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services - 1.0% |
|
Dresser, Inc., Term Loan B, 2.52%, 5/04/14 |
|
|
162 |
|
|
148,330 |
|
|
|
|
Dresser, Inc., Term Loan (Second Lien), 5.99% - 6.02%, 5/04/15 |
|
|
2,500 |
|
|
2,256,250 |
|
|
|
|
MEG Energy Corp., Delayed Draw Term Loan, 2.29%, 4/02/13 |
|
|
1,230 |
|
|
1,117,479 |
|
|
|
|
MEG Energy Corp., Initial Term Loan, 2.29%, 4/03/13 |
|
|
696 |
|
|
632,910 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,154,969 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing - 2.4% |
|
AB Acquisitions Topco 2 Ltd. (fka Alliance Boots), Facility B1, 3.52%, 7/09/15 |
|
GBP |
1,700 |
|
|
2,447,704 |
|
|
|
|
DS Waters of America, Inc., Term Loan, 4.29%, 10/20/12 |
|
USD |
1,000 |
|
|
858,333 |
|
|
|
|
McJunkin Corp., Term Loan, 5.50%, 1/31/14 |
|
|
348 |
|
|
331,380 |
|
|
|
|
Pilot Travel Centers, Term Loan B, 0.00%, 11/24/15 |
|
|
2,500 |
|
|
2,502,083 |
|
|
|
|
Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15 |
|
|
2,250 |
|
|
2,313,749 |
|
|
|
|
SuperValu, Term Loan B, 1.50%, 6/02/12 |
|
|
1,195 |
|
|
1,128,976 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,582,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products - 0.9% |
|
Dole Food Co., Inc., Credit-Linked Deposit, 0.28%, 4/12/13 |
|
|
288 |
|
|
289,576 |
|
|
|
|
Dole Food Co., Inc., Tranche B Term Loan, 8.00%, 4/12/13 |
|
|
503 |
|
|
504,898 |
|
|
|
|
Solvest, Ltd. (Dole), Tranche C Term Loan, 8.00%, 4/12/13 |
|
|
1,661 |
|
|
1,668,695 |
|
|
|
|
Wm. Wrigley Jr. Co., Tranche B Term Loan, 6.50%, 9/30/14 |
|
|
1,300 |
|
|
1,303,922 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,767,091 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies - 1.0% |
|
Biomet, Inc., Dollar Term Loan, 3.25% - 3.29%, 3/25/15 |
|
|
650 |
|
|
614,250 |
|
|
|
|
DJO Finance LLC (ReAble Therapeutics Finance LLC), Term Loan, 3.23% - 3.28%, 5/20/14 |
|
|
3,439 |
|
|
3,228,127 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,842,377 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services - 3.5% |
|
CCS Medical, Inc., (Chronic Care), Loan Debtor In Possession, 11.00%, 11/14/09 |
|
|
31 |
|
|
31,247 |
|
|
|
|
CCS Medical, Inc., (Chronic Care), Term Loan (First Lien), 4.35%, 9/30/12 (a)(d) |
|
|
819 |
|
|
428,784 |
|
|
|
|
CCS Medical Return of Capital, 0.00%, 9/30/11 |
|
|
608 |
|
|
318,262 |
|
|
|
|
CHS/Community Health Systems, Inc., Delayed Draw Term Loan, 2.51%, 7/25/14 |
|
|
181 |
|
|
165,001 |
|
|
|
|
CHS/Community Health Systems, Inc., Funded Term Loan, 2.48% - 2.51%, 7/25/14 |
|
|
3,569 |
|
|
3,261,562 |
|
|
|
|
Fresenius SE, Tranche B-1 Term Loan, 6.75%, 9/26/14 |
|
|
403 |
|
|
404,235 |
|
|
|
|
Fresenius SE, Tranche B-2 Term Loan, 6.75%, 9/26/14 |
|
|
281 |
|
|
282,057 |
|
|
|
|
HCA Inc., Tranche A-1 Term Loan, 1.78%, 11/17/12 |
|
|
6,297 |
|
|
5,847,224 |
|
8
|
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Floating Rate Loan Interests (g) |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Rotech Healthcare Inc., Term Loan, 6.28%, 9/26/11 |
|
USD |
1,800 |
|
$ |
1,503,318 |
|
|
|
|
Vanguard Health Holding Co. II, LLC (Vanguard Health System, Inc.), Replacement Term Loan, 2.49%, 9/23/11 |
|
|
1,625 |
|
|
1,573,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,814,874 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 2.4% |
|
Busch Entertainment Corp., Term Loan, 3.78%, 5/05/16 |
|
|
2,250 |
|
|
2,250,563 |
|
|
|
|
Golden Nugget, Inc., Second Lien Term Loan, 3.51%, 12/31/14 |
|
|
500 |
|
|
200,000 |
|
|
|
|
Green Valley Ranch Gaming, LLC, Loan (Second Lien), 3.55%, 8/16/14 |
|
|
750 |
|
|
168,750 |
|
|
|
|
Harrah’s Operating Co., Inc., Term Loan B, 9.50%, 10/31/16 |
|
|
2,250 |
|
|
2,177,438 |
|
|
|
|
Harrah’s Operating Co., Inc., Term Loan B-1, 3.28%, 1/28/15 |
|
|
449 |
|
|
347,475 |
|
|
|
|
Harrah’s Operating Co., Inc., Term Loan B-2, 3.28%, 1/28/15 |
|
|
565 |
|
|
437,639 |
|
|
|
|
QCE, LLC (Quiznos), Term Loan (Second Lien), 2.56%, 11/05/13 |
|
|
2,258 |
|
|
1,816,417 |
|
|
|
|
VML US Finance, LLC (aka Venetian Macau), New Project Term Loan, 5.79%, 5/25/13 |
|
|
995 |
|
|
940,690 |
|
|
|
|
VML US Finance, LLC (aka Venetian Macau), Term B Delayed Draw Project Loan, 5.79%, 5/25/12 |
|
|
1,272 |
|
|
1,202,780 |
|
|
|
|
VML US Finance, LLC (aka Venetian Macau), Term B Funded Project Loan, 5.79%, 5/27/13 |
|
|
220 |
|
|
208,274 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,750,026 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables - 1.3% |
|
American Residential Services, LLC, Term Loan (Second Lien), 12.00%, 4/17/15 |
|
|
3,076 |
|
|
2,890,774 |
|
|
|
|
Universal City Development, Term Loan B, 7.75%, 10/29/14 |
|
|
2,500 |
|
|
2,486,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,377,494 |
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services - 1.9% |
|
Audio Visual Services Group, Inc., Loan (Second Lien), 6.79%, 8/28/14 |
|
|
1,059 |
|
|
105,867 |
|
|
|
|
Ceridian Corp., U.S. Term Loan, 3.24% - 3.28%, 11/09/14 |
|
|
2,935 |
|
|
2,530,415 |
|
|
|
|
First Data Corp., Initial Tranche B-2 Term Loan, 3.03% - 3.04%, 9/24/14 |
|
|
3,749 |
|
|
3,113,560 |
|
|
|
|
RedPrairie Corp., Tack-on Loan, 3.38%, 7/20/12 |
|
|
260 |
|
|
243,983 |
|
|
|
|
RedPrairie Corp., Term Loan B, 3.31% - 5.25%, 7/20/12 |
|
|
777 |
|
|
730,834 |
|
|
|
|
SunGard Data Systems Inc., (Solar Capital Corp.), Tranche B U.S. Term Loan, 3.88% - 3.90%, 2/28/16 |
|
|
717 |
|
|
673,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,398,514 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders - 0.8% |
|
Dynegy Holdings Inc., Term Letter of Credit Facility Term Loan, 3.99%, 4/02/13 |
|
|
925 |
|
|
873,658 |
|
|
|
|
Dynegy Holdings Inc., Tranche B Term Loan, 3.99%, 4/02/13 |
|
|
75 |
|
|
70,509 |
|
9
|
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Floating Rate Loan Interests (g) |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Texas Competitive Electric Holdings Co., LLC (TXU), Initial Tranche B-2 Term Loan, 3.74% - 3.78%, 10/10/14 |
|
USD |
2,940 |
|
$ |
2,189,895 |
|
|
|
|
Texas Competitive Electric Holdings Co., LLC (TXU), Initial Tranche B-3 Term Loan, 3.74% - 3.78%, 10/10/14 |
|
|
198 |
|
|
146,230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,280,292 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates - 0.3% |
|
Sequa Corp., Term Loan, 3.58% - 3.94%, 12/03/14 |
|
|
1,394 |
|
|
1,203,709 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance - 0.1% |
|
Alliant Holdings I, Inc., Term Loan, 3.28%, 8/21/14 |
|
|
595 |
|
|
538,876 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet & Catalog Retail - 0.3% |
|
FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14 |
|
|
1,316 |
|
|
1,305,925 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services - 0.3% |
|
Life Technologies Corp., Term B Facility, 5.25%, 11/23/15 |
|
|
1,271 |
|
|
1,267,935 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery - 1.2% |
|
Accuride, Term Loan, 6.00%, 1/31/12 |
|
|
2,045 |
|
|
2,029,663 |
|
|
|
|
Navistar Financial Corp., Tranche A Term Loan, 2.25%, 3/27/10 |
|
|
1,500 |
|
|
1,475,625 |
|
|
|
|
Oshkosh Truck Corp., Term B Loan, 6.29% - 6.33%, 12/06/13 |
|
|
1,464 |
|
|
1,458,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,963,948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 11.2% |
|
Affinion Group Holdings, Inc., Loan, 8.27%, 3/01/12 |
|
|
2,941 |
|
|
2,609,784 |
|
|
|
|
Cengage Learning Acquisitions, Inc., (Thomson Learning), Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 |
|
|
2,194 |
|
|
2,158,785 |
|
|
|
|
Cequel Communications, LLC, Term Loan, 2.26% - 4.25%, 11/05/13 |
|
|
1,352 |
|
|
1,246,754 |
|
|
|
|
Cequel Communications, LLC, Tranche B Term Loan (Second Lien), 6.26%, 5/05/14 |
|
|
2,228 |
|
|
2,216,712 |
|
|
|
|
Charter Communications, Operating, LLC, New Term Loan, 7.25%, 3/06/14 |
|
|
750 |
|
|
693,125 |
|
|
|
|
Charter Communications, Term Loan B-1, 7.25%, 3/25/14 |
|
|
3,261 |
|
|
3,293,671 |
|
|
|
|
EB Sports Corp., Loan, 6.56%, 5/01/12 |
|
|
3,018 |
|
|
2,625,912 |
|
|
|
|
Ellis Communications KDOC, LLC, Loan, 10.00%, 12/30/11 |
|
|
6,303 |
|
|
1,764,771 |
|
|
|
|
HMH Publishing Co. Ltd., Mezzanine, 17.50%, 11/14/14 |
|
|
1,210 |
|
|
242,088 |
|
|
|
|
HMH Publishing Co. Ltd., Tranche A Term Loan, 5.28%, 6/12/14 |
|
|
5,075 |
|
|
4,307,128 |
|
|
|
|
Hanley-Wood, LLC (FSC Acquisition), Term Loan, 2.48%, 3/08/14 |
|
|
750 |
|
|
315,000 |
|
|
|
|
Lamar Media Corp., Series B, Incremental Loan, 5.50%, 9/28/12 |
|
|
1,000 |
|
|
991,850 |
|
|
|
|
Lamar Media Corp., Term Loan, 5.50%, 9/30/12 |
|
|
1,685 |
|
|
1,671,309 |
|
|
|
|
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG), Facility B1, 3.53%, 6/30/15 |
|
EUR |
337 |
|
|
334,335 |
|
|
|
|
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG), Facility C1, 3.78%, 6/30/16 |
|
|
674 |
|
|
668,671 |
|
10
|
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Floating Rate Loan Interests (g) |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Mediacom Illinois, LLC (fka Mediacom Communications, LLC), Tranche D Term Loan, 5.50%, 3/31/17 |
|
USD |
1,000 |
|
$ |
996,250 |
|
|
|
|
Multicultural Radio Broadcasting, Inc., Term Loan, 2.99%, 12/18/12 |
|
|
389 |
|
|
291,563 |
|
|
|
|
NTL Cable Plc, Term Loan B, 3.58%, 9/03/12 |
|
GBP |
783 |
|
|
1,248,839 |
|
|
|
|
Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13 |
|
USD |
4,250 |
|
|
4,448,335 |
|
|
|
|
Penton Media, Inc., Loan (Second Lien), 5.28%, 2/01/14 |
|
|
1,000 |
|
|
203,333 |
|
|
|
|
Sinclair Broadcast Group, Term Loan B, 6.50%, 10/16/15 |
|
|
1,000 |
|
|
1,000,417 |
|
|
|
|
Springer, Term Loan C, 3.47%, 9/17/12 |
|
EUR |
376 |
|
|
540,465 |
|
|
|
|
Springer, Term Loan E, 3.69%, 9/17/12 |
|
|
734 |
|
|
1,056,303 |
|
|
|
|
Sunshine Acquisition Ltd. (aka HIT Entertainment), Term Facility, 2.53%, 3/20/12 |
|
USD |
2,000 |
|
|
1,715,000 |
|
|
|
|
United Pan Europe Communications, Term Loan, 3.74%, 12/31/16 |
|
|
2,000 |
|
|
1,901,000 |
|
|
|
|
Virgin Media Investment Holdings Ltd., B7 Facility, 4.40%, 9/03/12 |
|
GBP |
29 |
|
|
47,009 |
|
|
|
|
Virgin Media Investment Holdings Ltd., C Facility, 4.40%, 9/03/12 |
|
|
650 |
|
|
1,037,341 |
|
|
|
|
Virgin Media Investment Holdings Ltd., C Facility, 4.17%, 7/17/13 |
|
|
1,975 |
|
|
3,017,104 |
|
|
|
|
World Color Press Inc., and World Color (USA) Corp., (fka Quebecor World Inc.), Advance, 9.00%, 7/23/12 |
|
USD |
799 |
|
|
800,552 |
|
|
|
|
Yell Group, Plc, TPI, Term Loan A, 7.12%, 8/09/11 |
|
|
1,500 |
|
|
1,372,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,815,906 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining - 1.3% |
|
Euramax International, Inc., Domestic Term Loan, 14.00%, 6/29/13 (c) |
|
|
1,259 |
|
|
780,447 |
|
|
|
|
Euramax International, Inc., Domestic Term Loan (Cash Pay), 10.00%, 6/29/13 |
|
|
1,286 |
|
|
797,589 |
|
|
|
|
RathGibson, Inc., Loan Debtor In Possession, 10.50% - 10.75%, 2/10/10 |
|
|
3,665 |
|
|
3,665,418 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,243,454 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities - 0.7% |
|
Energy Transfer Equity, LP, Term Loan, 1.99%, 11/01/12 |
|
|
750 |
|
|
729,844 |
|
|
|
|
FirstLight Power Resources, Inc., (fka NE Energy, Inc.), Synthetic Letter of Credit, 0.16%, 11/01/13 |
|
|
86 |
|
|
77,954 |
|
|
|
|
FirstLight Power Resources, Inc., (fka NE Energy, Inc.), Term Advance (Second Lien), 4.81%, 5/01/14 |
|
|
750 |
|
|
633,750 |
|
|
|
|
FirstLight Power Resources, Inc. (fka NE Energy, Inc.), Term B Advance (First Lien), 2.81%, 11/01/13 |
|
|
664 |
|
|
605,015 |
|
|
|
|
USPF Holdings, LLC, Term Loan, 1.99%, 4/11/14 |
|
|
884 |
|
|
839,516 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,886,079 |
|
|
|
|
|
|
|
|
|
|
|
|
11
|
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Floating Rate Loan Interests (g) |
|
|
Par |
|
Value |
|
|
|
|
|||||||||
|
Multiline Retail - 1.2% |
|
Dollar General Corp., Tranche B-2 Term Loan, 2.98%, 7/07/14 |
|
USD |
1,746 |
|
$ |
1,625,128 |
|
|
|
|
Hema BV, Term Loan B, 5.43%, 1/01/17 |
|
EUR |
2,900 |
|
|
3,091,684 |
|
|
|
|
The Neiman Marcus Group Inc., Term Loan, 2.24% - 2.32%, 4/06/13 |
|
USD |
240 |
|
|
204,133 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,920,945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 2.1% |
|
Big West Oil, LLC, Delayed Advance Loan, 6.50%, 5/15/14 |
|
|
1,117 |
|
|
1,061,051 |
|
|
|
|
Big West Oil, LLC, Initial Advance Loan, 6.50%, 5/15/14 |
|
|
888 |
|
|
843,746 |
|
|
|
|
ScorpionDrilling Ltd., Loan (Second Lien), 7.78%, 5/08/14 |
|
|
2,085 |
|
|
1,928,625 |
|
|
|
|
Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18 |
|
GBP |
6,110 |
|
|
4,582,418 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,415,840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Packaging - 0.2% |
|
Berry Plastics Corp., Term Loan C, 2.30%, 4/02/15 |
|
USD |
900 |
|
|
756,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products - 0.6% |
|
Georgia-Pacific, LLC, Term B Loan, 2.24% - 2.30%, 12/22/12 |
|
|
906 |
|
|
860,063 |
|
|
|
|
Verso Paper Finance Holdings, LLC, Loan, 6.53% - 7.28%, 2/01/13 |
|
|
4,003 |
|
|
1,440,994 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,301,057 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal Products - 0.2% |
|
American Safety Razor Co., LLC, Loan (Second Lien), 6.54%, 1/30/14 |
|
|
325 |
|
|
267,042 |
|
|
|
|
American Safety Razor, Term Loan (First Lien), 2.79%, 7/25/13 |
|
|
475 |
|
|
445,708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
712,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - 0.8% |
|
Warner Chilcott, Term Loan A, 5.50%, 10/14/14 |
|
|
1,220 |
|
|
1,215,755 |
|
|
|
|
Warner Chilcott, Term Loan B, 5.75%, 3/30/15 |
|
|
610 |
|
|
607,878 |
|
|
|
|
Warner Chilcott, Term Loan B-1, 5.75%, 4/30/15 |
|
|
1,342 |
|
|
1,337,331 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,160,964 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development - 0.6% |
|
Enclave, Term Loan (First Lien), 6.14%, 3/01/12 |
|
|
4,000 |
|
|
481,152 |
|
|
|
|
Georgian Towers, Term Loan, 6.14%, 3/01/12 |
|
|
4,000 |
|
|
455,628 |
|
|
|
|
Realogy Corp., Term Loan (Second Lien), 13.50%, 10/15/17 |
|
|
1,500 |
|
|
1,544,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,481,030 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail - 0.5% |
|
Adesa, Inc. (KAR Holdings, Inc.), Initial Term Loan, 2.49%, 10/21/13 |
|
|
1,000 |
|
|
918,333 |
|
|
|
|
Michaels Stores, Inc., Term Loan B, 2.56%, 10/31/13 |
|
|
585 |
|
|
503,047 |
|
|
|
|
Michaels Stores, Inc., Term Loan B, 4.81%, 7/31/16 |
|
|
787 |
|
|
698,295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,119,675 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services - 0.2% |
|
MetroPCS Wireless, Inc., Tranche B Term Loan, 2.50% - 2.56%, 11/03/13 |
|
|
1,000 |
|
|
921,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Floating Rate Loan Interests - 53.2% |
|
|
|
|
|
213,147,575 |
|
|
|
|
|
|
|
|
|
|
|
|
12
|
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Other Interests (j) |
|
|
Beneficial |
|
|
Value |
|
|
|
|||||||||
|
Airlines - 0.0% |
|
Delta Air Lines, Inc., Default 8.33% Escrow |
|
USD |
5,505 |
|
$ |
55,050 |
|
|
|
|
Delta Air Lines, Inc., Default 10.00% Escrow |
|
|
4,200 |
|
|
42,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
97,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Components - 0.1% |
|
Internet Liquidating Trust, Class A |
|
|
1,687 |
|
|
506,066 |
|
|
|
|
Lear Corp., Escrow |
|
|
700 |
|
|
7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
506,073 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 0.3% |
|
JG Wentorth, LLC, Preferred Equity Interests |
|
|
1 |
|
|
1,077,566 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 - 0.4% |
|
|
|
|
|
1,719,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants (k) |
|
|
Shares |
|
|
|
|
|
|
|||||||||
|
Auto Components - 0.1% |
|
Lear Corp. (expires 11/09/14) |
|
|
2,744 |
|
|
168,739 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products - 0.0% |
|
Neenah Enterprises Inc. (expires 9/30/13) |
|
|
130,547 |
|
|
12,402 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 0.0% |
|
Turbo Cayman Ltd. (No Expiration) |
|
|
3 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail - 0.0% |
|
Movie Gallery, Inc. (expires 5/15/15) |
|
|
62,323 |
|
|
31,161 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Warrants - 0.1% |
|
|
|
|
|
212,315 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Long-Term Investments |
|
|
|
|
|
460,299,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
|
|
|
|||||||||
|
|
|
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.16% (l)(m) |
|
|
3,940,839 |
|
|
3,940,839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Short-Term Securities |
|
|
|
|
|
3,940,839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments (Cost - $579,266,501*) - 115.8% |
|
|
|
|
|
464,240,026 |
|
|
|
|
Liabilities in Excess of Other Assets - (15.8)% |
|
|
|
|
|
(63,341,122 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets - 100.0% |
|
|
|
|
$ |
400,898,904 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of November 30, 2009, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
|
|
Aggregate cost |
|
$ |
580,650,836 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
$ |
17,713,475 |
|
|
Gross unrealized depreciation |
|
|
(134,124,285 |
) |
|
|
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(116,410,810 |
) |
|
|
|
|
|
|
|
|
|
|
(a) |
Non-income producing 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. |
|
|
|
|
(c) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
|
|
(d) |
Issuer filed for bankruptcy and/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. |
13
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
|
|
|
|
|
|
(f) |
Convertible security. |
|
|
|
|
(g) |
Variable rate security. Rate shown is as of report date. |
|
|
|
|
(h) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
|
|
(i) |
All or a portion of security held as collateral for swaps. |
|
|
|
|
(j) |
Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. |
|
|
|
|
(k) |
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. |
|
|
|
|
(l) |
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: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Affiliate |
|
|
|
Net |
|
Income |
|
||
|
|
|||||||||
|
BlackRock Liquidity Funds, TempFund, Institutional Class |
|
USD |
|
|
3,940,338 |
|
$ |
6,970 |
|
|
BlackRock Liquidity Series, LLC Cash Sweep Series |
|
USD |
|
|
(4,725,260 |
) |
$ |
749 |
|
|
|
|||||||||
|
|
|
|
(m) |
Represents the current yield as of report date. |
|
|
|
|
• |
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 November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Currency |
|
|
|
Currency |
|
Counterparty |
|
Settlement |
|
Unrealized |
|
|||
|
|
||||||||||||||
|
USD |
|
18,322,808 |
|
EUR |
|
12,323,500 |
|
Citibank, NA |
|
1/20/10 |
|
$ |
(178,196 |
) |
|
USD |
|
1,283,835 |
|
EUR |
|
864,500 |
|
Deutsche Bank AG |
|
1/20/10 |
|
|
(14,020 |
) |
|
GBP |
|
276,000 |
|
USD |
|
449,720 |
|
Citibank, NA |
|
1/27/10 |
|
|
4,151 |
|
|
USD |
|
2,704,459 |
|
CAD |
|
2,810,000 |
|
Goldman Sachs Bank USA |
|
1/27/10 |
|
|
41,986 |
|
|
USD |
|
5,349,993 |
|
GBP |
|
3,227,000 |
|
Citibank, NA |
|
1/27/10 |
|
|
43,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
(102,760 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Credit default swaps on single - name issues - buy protection outstanding as of November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
|
Unrealized |
|
||||
|
|
||||||||||||||||
|
K Hovnanian Enterprises, Inc. |
|
5.00 |
% |
|
Goldman Sachs International |
|
December 2011 |
|
USD |
|
855 |
|
|
$ |
(11,456 |
) |
|
Masco Corp. |
|
5.30 |
% |
|
JPMorgan Chase Bank NA |
|
March 2014 |
|
USD |
|
1,500 |
|
|
|
(174,868 |
) |
|
Masco Corp. |
|
6.25 |
% |
|
JPMorgan Chase Bank NA |
|
March 2014 |
|
USD |
|
1,500 |
|
|
|
(230,452 |
) |
|
Mohawk Industries, Inc. |
|
4.45 |
% |
|
JPMorgan Chase Bank NA |
|
March 2014 |
|
USD |
|
1,500 |
|
|
|
(127,530 |
) |
|
Mohawk Industries, Inc. |
|
5.20 |
% |
|
JPMorgan Chase Bank NA |
|
March 2014 |
|
USD |
|
1,500 |
|
|
|
(171,570 |
) |
14
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
|
Unrealized |
|
||||
|
|
||||||||||||||||
|
Brunswick Corp. |
|
5.00 |
% |
|
Goldman Sachs Bank USA |
|
September 2014 |
|
USD |
|
325 |
|
|
$ |
(18,348 |
) |
|
Ford Motor Co. |
|
5.00 |
% |
|
Deutsche Bank AG |
|
September 2014 |
|
USD |
|
650 |
|
|
|
8,801 |
|
|
Ford Motor Co. |
|
5.00 |
% |
|
Deutsche Bank AG |
|
September 2014 |
|
USD |
|
700 |
|
|
|
(538 |
) |
|
Boston Scientific Corp. |
|
1.00 |
% |
|
Goldman Sachs Bank USA |
|
December 2014 |
|
USD |
|
900 |
|
|
|
10,836 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(715,125 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Credit default swaps on single - name issues - sold protection outstanding as of November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Issuer |
|
Receive |
|
Counterparty |
|
Expiration |
|
Credit |
|
Notional |
|
|
Unrealized |
|
||||
|
|
||||||||||||||||||
|
BAA Plc |
|
2.00 |
% |
|
Deutsche Bank AG |
|
March 2012 |
|
A |
|
GBP 900 |
|
|
|
$ |
(190,937 |
) |
|
|
|
||||||||||||||||||
|
|
|
|
|
1Using Standard & Poor’s ratings of the issuer. |
|
|
|
|
|
2The maximum potential amount the Fund may pay should a negative credit event take place as defined under the term of the agreement. |
|
|
|
|
|
• |
Currency Abbreviations: |
|
|
|
||
|
|
CAD |
Canadian Dollar |
|
|
EUR |
Euro |
|
|
GBP |
British Pound |
|
|
USD |
US Dollar |
|
|
|
|
|
• |
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 assets and liabilities |
|
|
|
|
|
|
• |
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. |
|
15
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
|
|
|
|
|
|
|
The following table summarizes the inputs used as of November 30, 2009 in determining the fair valuation of the Fund’s investments: |
|
|
|
|
|
|
|
|
||||
|
Valuation |
|
Investments in |
|
|
|
|
||||
|
|
|
Assets |
|
|
|
|
|
|
||
|
Level 1 |
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
Common Stocks |
|
$ |
12,711,276 |
|
|
Short-Term Securities |
|
|
3,940,839 |
|
|
|
|
|
|
|
|
Total Level 1 |
|
|
16,652,115 |
|
|
|
|
|
|
|
|
Level 2 |
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
Common Stocks |
|
|
2,895,218 |
|
|
Corporate Bonds |
|
|
214,431,520 |
|
|
Floating Rate Loan Interests |
|
|
132,831,530 |
|
|
Other Interests |
|
|
97,049 |
|
|
Warrants |
|
|
181,142 |
|
|
|
|
|
|
|
|
Total Level 2 |
|
|
350,436,459 |
|
|
|
|
|
|
|
|
Level 3 |
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
Common Stocks |
|
|
201,785 |
|
|
Corporate Bonds |
|
|
14,980,023 |
|
|
Floating Rate Loan Interests |
|
|
80,316,045 |
|
|
Other Interests |
|
|
1,622,426 |
|
|
Warrants |
|
|
31,173 |
|
|
|
|
|
|
|
|
Total Level 3 |
|
|
97,151,452 |
|
|
|
|
|
|
|
|
Total |
|
$ |
464,240,026 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Valuation |
|
Other Financial Instruments1 |
|
||||
|
|
|||||||
|
|
|
Assets |
|
Liabilities |
|
||
|
|
|
|
|
|
|||
|
Level 1 |
|
|
— |
|
|
— |
|
|
Level 2 |
|
$ |
109,093 |
|
$ |
(926,978 |
) |
|
Level 3 |
|
|
— |
|
|
(223,355 |
) |
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
109,093 |
|
|
(1,150,333 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1Other financial instruments are swaps, unfunded loan commitment and foreign currency exchange contracts which are shown at the unrealized appreciation/depreciation on the instrument. |
|
|
|
|
|
The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
|
|
Investments in Securities |
|
||||||||||
|
|
|||||||||||||
|
|
|
Common |
|
Corporate |
|
Floating |
|
Other |
|
||||
|
|
|||||||||||||
|
Balance, as of February 28, 2009 |
|
$ |
131,666 |
|
$ |
12,983,142 |
|
$ |
92,859,804 |
|
$ |
38,643 |
|
|
Accrued discounts/premiums |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
Realized gain (loss) |
|
|
— |
|
|
2 |
|
|
(37,300,651 |
) |
|
— |
|
|
Change in unrealized appreciation (depreciation)2 |
|
|
— |
|
|
(181,200 |
) |
|
71,543,941 |
|
|
(6,000 |
) |
|
Net purchases (sales) |
|
|
— |
|
|
11,923 |
|
|
(58,323,172 |
) |
|
— |
|
|
Net transfers in/out of Level 3 |
|
|
70,119 |
|
|
2,166,156 |
|
|
11,536,123 |
|
|
1,589,783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of November 30, 2009 |
|
$ |
201,785 |
|
$ |
14,980,023 |
|
$ |
80,316,045 |
|
$ |
1,622,426 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16
|
|
|
BlackRock Debt Strategies Fund, Inc. (DSU) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities (concluded) |
|||||||
|
|
|||||||
|
|
|
Warrants |
|
Total |
|
||
|
|
|||||||
|
Balance, as of February 28, 2009 |
|
$ |
31,161 |
|
$ |
106,044,416 |
|
|
Accrued discounts/premiums |
|
|
— |
|
|
— |
|
|
Realized gain (loss) |
|
|
— |
|
|
(37,300,649 |
) |
|
Change in unrealized appreciation (depreciation)2 |
|
|
— |
|
|
71,356,741 |
|
|
Net purchases (sales) |
|
|
— |
|
|
(58,311,249 |
) |
|
Net transfers in/out of Level 3 |
|
|
12 |
|
|
15,362,193 |
|
|
|
|
|
|
|
|
|
|
|
Balance, as of November 30, 2009 |
|
$ |
31,173 |
|
$ |
97,151,452 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 |
The change in unrealized appreciation/depreciation on securities still held at November 30, 2009 was $24,656,946. |
|
|
|
|
|
|
|
|
||||
|
Other Financial Instruments3 |
|
|||
|
|
||||
|
|
|
Liabilities |
|
|
|
|
|
|
||
|
Balance, as of February 28, 2009 |
|
$ |
(249,620 |
) |
|
Accrued discounts/premiums |
|
|
— |
|
|
Realized gain (loss) |
|
|
— |
|
|
Change in unrealized appreciation (depreciation) |
|
|
58,683 |
|
|
Net purchases (sales) |
|
|
— |
|
|
Net transfers in/out of Level 3 |
|
|
(32,418 |
) |
|
|
|
|
|
|
|
Balance, as of November 30, 2009 |
|
$ |
(223,355 |
) |
|
|
|
|
|
|
|
|
|
|
3 |
Other financial instruments are foreign currency exchange contracts and swaps. |
17
|
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. | ||
|
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/ Anne F. Ackerley | ||
| Anne F. Ackerley | |||
| Chief Executive Officer of | |||
| BlackRock Debt Strategies Fund, Inc. | |||
| Date: January 22, 2010 | |||
| 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/ Anne F. Ackerley | ||
| Anne F. Ackerley | |||
| Chief Executive Officer (principal executive officer) of | |||
| BlackRock Debt Strategies Fund, Inc. | |||
| Date: January 22, 2010 | |||
By: |
/s/ Neal J. Andrews | ||
| Neal J. Andrews | |||
| Chief Financial Officer (principal financial officer) of | |||
| BlackRock Debt Strategies Fund, Inc. | |||
| Date: January 22, 2010 | |||