Edgar Filing: BLACKROCK DEBT STRATEGIES FUND, INC.

BLACKROCK DEBT STRATEGIES FUND, INC.

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: John M. Perlowski, Chief Executive Officer, BlackRock Debt Strategies Fund, Inc., 55 East 52^nd Street, New York, NY 10055

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

Date of fiscal year end: 02/28/2017

Date of reporting period: 05/31/2016

Item 1 – Schedule of Investments

Consolidated Schedule of Investments May 31, 2016 (Unaudited)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Common Stocks		Shares		Value
Chemicals — 0.0%
GEO Specialty Chemicals, Inc. (a)(b)			481,806	$	24,090
GEO Specialty Chemicals, Inc. (a)			557,488		27,875
LyondellBasell Industries NV, Class A			26		2,115

					54,080
Diversified Financial Services — 0.0%
Kcad Holdings I Ltd. (a)			1,075,282,733		10,753
Diversified Telecommunication Services — 0.0%
Broadview Networks Holdings, Inc. (a)			5,037		7,807
Health Care Management Services — 0.0%
New Millennium HoldCo, Inc. (a)(c)			10,718		41,532
Media — 0.0%
Adelphia Communications Corp., Class A (a)			400,000		2,000
Adelphia Recovery Trust (a)			396,568		833

					2,833
Oil, Gas & Consumable Fuels — 0.0%
Denbury Resources, Inc. (a)			37,600		144,008
Southcross Holdings LP (a)			94		29,610
Vantage Drilling International (a)			331		—

					173,618
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp. (a)			1,707		29,924
Total Common Stocks — 0.0%					320,547



Asset-Backed Securities		Par (000)
ACAS CLO Ltd., Series 2015-1A, Class D, 4.28%, 4/18/27 (b)(d)	USD		280		255,953
Adirondack Park CLO Ltd., Series 2013-1A, Class D, 4.28%, 4/15/24 (b)(d)			350		320,391
ALM Loan Funding, Series 2013-7RA (b)(d):
Class C, 4.09%, 4/24/24			605		577,077
Class D, 5.64%, 4/24/24			1,150		1,080,380
ALM VII R-2, Ltd., Series 2013-7R2A, Class C, 4.09%, 4/24/24 (b)(d)			250		238,460
ALM XIV Ltd., Series 2014-14A, Class C, 4.08%, 7/28/26 (b)(d)			463		427,185


Asset-Backed Securities		Par (000)		Value
Anchorage Capital CLO Ltd., Series 2015-6A, Class E1, 5.53%, 4/15/27 (b)(d)	USD		750	$	596,363
Apidos CDO, Series 2015-21A, Class C, 4.18%, 7/18/27 (b)(d)			250		225,262
Atlas Senior Loan Fund Ltd. (b)(d):
Series 2012-1A, Class B2L, 6.88%, 8/15/24			340		316,421
Series 2014-6A, Class D, 4.33%, 10/15/26			1,240		1,100,140
Atrium CDO Corp., Series 9A, Class D, 4.17%, 2/28/24 (b)(d)			1,300		1,217,262
BlueMountain CLO Ltd., Class E (b)(d):
Series 2014-4A, 5.97%, 11/30/26			250		200,713
Series 2015-2A, 5.98%, 7/18/27			250		201,098
Carlyle Global Market Strategies CLO Ltd. (b)(d):
Series 2012-4A, Class D, 5.13%, 1/20/25			900		880,939
Series 2013-1A, Class C, 4.63%, 2/14/25			250		237,967
Series 2015-2A, Class C, 4.38%, 4/27/27			250		227,563
Series 2015-2A, Class D, 5.93%, 4/27/27			1,000		855,390
CFIP CLO Ltd., Series 2013-1A, Class D, 4.38%, 4/20/24 (b)(d)			1,500		1,317,343
CIFC Funding Ltd., Series 2014-3A, Class D, 4.04%, 7/22/26 (b)(d)			250		222,064
Highbridge Loan Management Ltd., Series 6A-2015 (b)(d):
Class D, 4.28%, 5/05/27			300		277,050
Class E1, 6.08%, 5/05/27			1,250		1,017,880
Madison Park Funding IX Ltd., Series 2012-9AR, Class DR, 4.48%, 8/15/22 (b)(d)			655		622,505
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 4.14%, 10/23/25 (b)(d)			555		493,454
Neuberger Berman CLO XVI, Ltd., Series 2014-16A, Class D, 3.98%, 4/15/26 (b)(d)			250		226,275
Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class C, 4.38%, 11/14/25 (b)(d)			1,000		887,701
OZLM Funding Ltd., Series 2012-2A, Class C, 4.99%, 10/30/23 (b)(d)			500		483,252
OZLM IX Ltd., Series 2014-9A, Class C, 4.23%, 1/20/27 (b)(d)			750		665,361



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016	1


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Asset-Backed Securities	Par (000)			Value
OZLM VII Ltd., Series 2014-7A, Class C, 4.23%, 7/17/26 (b)(d)		USD	500	$	441,736
OZLM XII Ltd., Series 2015-12A, Class C, 4.34%, 4/30/27 (b)(d)			340		300,424
Regatta Funding LP, Series 2013-2A, Class C, 4.63%, 1/15/25 (b)(d)			750		710,112
Sound Point CLO IV Ltd., Series 2013-3A, Class D, 4.13%, 1/21/26 (b)(d)			500		446,787
Stewart Park CLO Ltd., Series 2015-1A, Class E, 6.08%, 4/15/26 (b)(d)			500		412,743
TICP CLO I Ltd., Series 2015-1A, Class D, 4.18%, 7/20/27 (b)(d)			250		217,547
Venture XI CLO Ltd., Series 2012-11AR, Class DR, 4.58%, 11/14/22 (b)(d)			250		232,291
Venture XII CLO Ltd., Series 2012-12A, Class D, 4.32%, 2/28/24 (b)(d)			250		229,108
Venture XX CLO Ltd., Series 2015-20A, Class D, 4.48%, 4/15/27 (b)(d)			250		225,137
Venture XXI CLO Ltd., Series 2015-21A, Class D, 4.23%, 7/15/27 (b)(d)			500		452,614
Voya CLO Ltd., Series 2012-2AR, Class ER, 6.63%, 10/15/22 (b)(d)			1,250		1,157,025
Webster Park CLO Ltd., Series 2015-1A (b)(d):
Class B1, 3.61%, 1/20/27			500		499,980
Class C, 4.56%, 1/20/27			500		487,645
Total Asset-Backed Securities — 2.8%					20,984,598



Corporate Bonds
Aerospace & Defense — 0.7%
Accudyne Industries Borrower/Accudyne Industries LLC, 7.75%, 12/15/20 (b)			167		138,610
Bombardier, Inc. (b):
6.00%, 10/15/22			55		47,025
7.50%, 3/15/25			883		777,040
Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (b)			307		323,118
KLX, Inc., 5.88%, 12/01/22 (b)			480		472,800
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b)			100		109,250


Corporate Bonds	Par (000)			Value
Aerospace & Defense (continued)
TransDigm, Inc.:
6.00%, 7/15/22		USD	2,095	$	2,131,662
6.50%, 7/15/24			461		470,220
6.38%, 6/15/26 (b)(e)			682		682,853

					5,152,578
Air Freight & Logistics — 0.2%
XPO Logistics, Inc.:
5.75%, 6/15/21		EUR	100		107,450
6.50%, 6/15/22 (b)		USD	1,520		1,459,200

					1,566,650
Airlines — 1.4%
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (b)			712		732,470
American Airlines Group, Inc., 4.63%, 3/01/20 (b)			542		525,740
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)			3,153		3,200,453
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18			2,390		2,509,500
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18			220		228,716
US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 5/15/23			2,108		2,168,058
Virgin Australia Trust, Series 2013-1, Class C, 7.13%, 10/23/18 (b)			744		743,770

					10,108,707
Auto Components — 1.3%
CNH Industrial Finance Europe SA, 2.88%, 5/17/23		EUR	175		192,523
Dakar Finance SA, (9.75% Cash PIK), 9.00%, 11/15/20 (f)			100		110,709
Dana Holding Corp., 6.75%, 2/15/21		USD	180		186,300
Fiat Chrysler Finance Europe:
4.75%, 3/22/21		EUR	100		120,622
4.75%, 7/15/22			100		121,742
Goodyear Tire & Rubber Co., 6.50%, 3/01/21		USD	651		682,736
The Goodyear Tire & Rubber Co., 5.00%, 5/31/26			133		134,496
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19			4,609		4,453,446



2	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Corporate Bonds		Par (000)		Value
Auto Components (continued)
Jaguar Land Rover Automotive PLC:
5.00%, 2/15/22	GBP		100	$	149,904
5.63%, 2/01/23 (b)	USD		425		446,781
Schaeffler Holding Finance BV (f):
(5.75% Cash or 6.50% PIK), 5.75%, 11/15/21	EUR		87		103,654
(6.25% Cash), 6.25%, 11/15/19 (b)	USD		738		771,210
(6.75% Cash), 6.75%, 11/15/22 (b)			2,121		2,338,518
(6.88% Cash), 6.88%, 8/15/18	EUR		101		115,604
Venture Holdings Co. LLC (a)(c):
12.00%, 7/01/49	USD		5,150		1
Series B, 9.50%, 7/01/05			5,125		1

					9,928,247
Banks — 0.9%
Allied Irish Banks PLC, 4.13%, 11/26/25 (d)	EUR		100		105,980
Banco de Sabadell SA, 5.63%, 5/06/26			100		112,925
Banco Espirito Santo SA (a)(c):
2.63%, 5/08/17			100		24,478
4.75%, 1/15/18			200		48,957
4.00%, 1/21/19			100		24,478
Bankia SA, 4.00%, 5/22/24 (d)			300		325,395
CIT Group, Inc.:
5.00%, 5/15/17	USD		950		966,331
5.25%, 3/15/18			1,434		1,480,605
6.63%, 4/01/18 (b)			295		311,134
5.50%, 2/15/19 (b)			3,099		3,238,455
5.00%, 8/01/23			130		132,600
Commerzbank AG, 7.75%, 3/16/21	EUR		100		134,696
Ibercaja Banco SA, 5.00%, 7/28/25 (d)			100		105,312
Lloyds Bank PLC, 11.88%, 12/16/21 (d)			12		14,153

					7,025,499
Beverages — 0.0%
Constellation Brands, Inc., 7.25%, 5/15/17	USD		87		91,459
Horizon Holdings I SASU, 7.25%, 8/01/23	EUR		100		119,031

					210,490
Building Materials — 0.0%
HeidelbergCement AG, 2.25%, 3/30/23			75		85,222


Corporate Bonds		Par (000)		Value
Building Products — 1.0%
American Builders & Contractors Supply Co., Inc. (b):
5.63%, 4/15/21	USD		210	$	217,875
5.75%, 12/15/23			415		431,600
Building Materials Corp. of America, 6.00%, 10/15/25 (b)			1,174		1,247,375
CPG Merger Sub LLC, 8.00%, 10/01/21 (b)			740		699,300
Masonite International Corp., 5.63%, 3/15/23 (b)			579		605,055
Ply Gem Industries, Inc., 6.50%, 2/01/22			1,275		1,268,625
Standard Industries, Inc. (b):
5.13%, 2/15/21			274		284,275
5.50%, 2/15/23			453		466,590
USG Corp.:
9.75%, 1/15/18			980		1,095,415
5.88%, 11/01/21 (b)			1,233		1,293,873

					7,609,983
Capital Markets — 0.5%
American Capital Ltd., 6.50%, 9/15/18 (b)			1,070		1,091,400
Blackstone CQP Holdco LP, 9.30%, 3/19/19			1,420		1,416,411
E*Trade Financial Corp.:
5.38%, 11/15/22			773		807,785
Series A, 0.00%, 8/31/19 (g)(h)			100		267,569

					3,583,165
Chemicals — 1.7%
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21 (b)			151		159,954
The Chemours Co.:
6.63%, 5/15/23			245		219,888
7.00%, 5/15/25			548		480,528
GEO Specialty Chemicals, Inc., 7.50%, 10/30/18 (h)			6,272		6,473,810
Huntsman International LLC:
5.13%, 4/15/21	EUR		100		114,547
5.13%, 11/15/22	USD		1,931		1,945,482
Ineos Finance PLC, 4.00%, 5/01/23	EUR		100		108,736
Inovyn Finance PLC, 6.25%, 5/15/21			100		115,298
Platform Specialty Products Corp. (b):
10.38%, 5/01/21	USD		156		159,120
6.50%, 2/01/22			2,712		2,408,595
PQ Corp., 6.75%, 11/15/22 (b)			617		643,222



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016	3


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Corporate Bonds	Par (000)			Value
Chemicals (continued)
WR Grace & Co-Conn, 5.13%, 10/01/21 (b)		USD	118	$	122,351

					12,951,531
Commercial Services & Supplies — 1.0%
ADT Corp.:
3.50%, 7/15/22			765		701,887
4.13%, 6/15/23			295		274,350
4.88%, 7/15/42			55		43,863
ARAMARK Corp., 5.75%, 3/15/20			165		170,259
Aramark Services, Inc., 5.13%, 1/15/24 (b)			383		397,363
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.42%, 12/01/17 (d)			190		190,712
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (b)			200		190,000
Mobile Mini, Inc., 7.88%, 12/01/20			1,110		1,154,400
Modular Space Corp., 10.25%, 1/31/19 (b)			1,955		992,162
Silk Bidco AS, 7.50%, 2/01/22		EUR	150		171,904
United Rentals North America, Inc.:
7.38%, 5/15/20		USD	203		211,120
7.63%, 4/15/22			2,393		2,545,554
5.75%, 11/15/24			165		165,413
Verisure Holding AB, 6.00%, 11/01/22		EUR	125		149,165

					7,358,152
Communications Equipment — 1.1%
Alcatel-Lucent USA, Inc., 6.45%, 3/15/29		USD	2,215		2,347,900
CommScope Technologies Finance LLC, 6.00%, 6/15/25 (b)			944		960,520
CommScope, Inc. (b):
4.38%, 6/15/20			574		591,220
5.50%, 6/15/24			272		274,040
Zayo Group LLC/Zayo Capital, Inc.:
6.00%, 4/01/23			3,310		3,401,025
6.38%, 5/15/25			518		538,720

					8,113,425
Computer Technology — 0.1%
Western Digital Corp., 7.38%, 4/01/23 (b)			391		406,640
Construction & Engineering — 0.7%
AECOM Co.:
5.75%, 10/15/22			1,045		1,078,962
5.88%, 10/15/24			688		712,080


Corporate Bonds	Par (000)			Value
Construction & Engineering (continued)
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (b)		USD	1,905	$	1,609,725
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)			1,625		1,641,250
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23			350		325,500

					5,367,517
Construction Materials — 1.0%
Allegion US Holding Co., Inc., 5.75%, 10/01/21			117		122,558
HD Supply, Inc.:
7.50%, 7/15/20			2,485		2,621,675
5.25%, 12/15/21 (b)			2,410		2,536,525
5.75%, 4/15/24 (b)			1,345		1,398,800
LKQ Italia Bondco SpA, 3.88%, 4/01/24		EUR	100		115,298
PulteGroup, Inc., 5.50%, 3/01/26		USD	446		454,644
Rexel SA, 3.50%, 6/15/23		EUR	130		147,537

					7,397,037
Consumer Finance — 1.0%
Ally Financial, Inc.:
6.25%, 12/01/17		USD	30		31,200
5.13%, 9/30/24			1,207		1,244,719
4.63%, 3/30/25			216		215,460
8.00%, 11/01/31			4,871		5,723,425
Navient Corp.:
5.50%, 1/25/23			45		38,700
6.13%, 3/25/24			237		208,782
5.88%, 10/25/24			258		220,590

					7,682,876
Containers & Packaging — 1.3%
Ardagh Packaging Finance PLC, 9.13%, 10/15/20 (b)			600		628,800
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
3.65%, 12/15/19 (b)(d)			1,620		1,624,050
6.75%, 1/31/21 (b)			415		418,112
3.88%, 5/15/21 (b)(d)			319		319,797
4.25%, 1/15/22		EUR	170		192,697
6.75%, 5/15/24			125		141,168
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. (b):
6.25%, 1/31/19		USD	403		408,037
4.63%, 5/15/23			559		556,205
7.25%, 5/15/24			1,070		1,091,400
Ball Corp.:
4.38%, 12/15/20			665		694,925
5.00%, 3/15/22			313		327,085



4	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Corporate Bonds		Par (000)		Value
Containers & Packaging (continued)
Ball Corp. (continued):
4.38%, 12/15/23	EUR		100	$	120,272
Beverage Packaging Holdings Luxembourg II SA (b):
5.63%, 12/15/16	USD		170		169,788
6.00%, 6/15/17			557		557,000
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23			1,075		1,087,094
Crown European Holdings SA, 4.00%, 7/15/22	EUR		220		263,754
JH-Holding Finance SA, (8.25% Cash), 8.25%, 12/01/22 (f)			100		118,564
Sappi Papier Holding GmbH, 4.00%, 4/01/23			100		113,490
Sealed Air Corp.:
6.50%, 12/01/20 (b)	USD		120		136,800
4.50%, 9/15/23	EUR		100		117,861
5.13%, 12/01/24 (b)	USD		209		214,748
6.88%, 7/15/33 (b)			73		76,650
SGD Group SAS, 5.63%, 5/15/19	EUR		100		114,603
Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (b)	USD		200		209,500

					9,702,400
Diversified Consumer Services — 0.2%
APX Group, Inc., 6.38%, 12/01/19			88		87,120
Laureate Education, Inc., 9.25%, 9/01/19 (b)			427		392,840
Prime Security One MS, Inc., 4.88%, 7/15/32 (b)			20		15,622
Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23 (b)			665		693,262
Service Corp. International, 4.50%, 11/15/20			307		315,059

					1,503,903
Diversified Financial Services — 1.6%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
4.63%, 10/30/20			572		592,020
5.00%, 10/01/21			860		900,850
4.63%, 7/01/22			725		743,125
Aircastle Ltd.:
5.13%, 3/15/21			80		84,400
5.50%, 2/15/22			400		422,000
5.00%, 4/01/23			396		404,910
Bank of America Corp.:
6.50%, 8/01/16			410		413,599
5.63%, 10/14/16			100		101,701


Corporate Bonds		Par (000)		Value
Diversified Financial Services (continued)
Deutsche Bank AG, 4.50%, 5/19/26	EUR		100	$	110,504
Garfunkelux Holdco 3 SA, 8.50%, 11/01/22	GBP		100		146,486
HSH Nordbank AG, 0.58%, 2/14/17 (d)	EUR		129		133,510
International Lease Finance Corp.:
5.88%, 4/01/19	USD		320		342,000
8.25%, 12/15/20			150		176,437
4.63%, 4/15/21			169		174,493
5.88%, 8/15/22			655		714,769
Jefferies Finance LLC/JFIN Co-Issuer Corp. (b):
7.38%, 4/01/20			625		587,500
6.88%, 4/15/22			516		454,080
MSCI, Inc., 5.75%, 8/15/25 (b)			245		257,862
ProGroup AG, 5.13%, 5/01/22	EUR		130		153,699
Reynolds Group Issuer, Inc.:
8.50%, 5/15/18	USD		257		257,642
9.88%, 8/15/19			308		319,935
5.75%, 10/15/20			3,099		3,195,844
6.88%, 2/15/21			266		275,975
8.25%, 2/15/21			460		477,848
UniCredit SpA:
6.95%, 10/31/22	EUR		100		128,436
5.75%, 10/28/25 (d)			100		118,699
4.38%, 1/03/27 (d)(e)			100		111,165

					11,799,489
Diversified Telecommunication Services — 1.8%
CenturyLink, Inc., 6.45%, 6/15/21	USD		1,393		1,413,895
Frontier Communications Corp.:
6.25%, 9/15/21			505		470,913
7.13%, 1/15/23			235		209,738
7.63%, 4/15/24			1,641		1,448,182
6.88%, 1/15/25			1,565		1,302,862
Level 3 Financing, Inc.:
4.41%, 1/15/18 (d)			646		651,653
5.38%, 8/15/22			2,031		2,061,465
5.13%, 5/01/23			1,120		1,125,600
5.38%, 1/15/24			712		724,602
5.38%, 5/01/25			1,388		1,412,568
5.25%, 3/15/26 (b)			371		370,073
SoftBank Group Corp., 4.75%, 7/30/25	EUR		129		153,751
Telecom Italia Capital SA, 7.20%, 7/18/36	USD		280		286,160
Telecom Italia Finance SA, 7.75%, 1/24/33	EUR		100		149,507
Telecom Italia SpA:
6.38%, 6/24/19	GBP		200		318,412



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016	5


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Corporate Bonds	Par (000)			Value
Diversified Telecommunication Services (continued)
Telecom Italia SpA (continued):
3.25%, 1/16/23		EUR	150	$	176,076
5.88%, 5/19/23		GBP	300		477,086
Telenet Finance V Luxembourg SCA:
6.25%, 8/15/22		EUR	319		383,437
6.75%, 8/15/24			322		400,399

					13,536,379
Electrical Equipment — 0.0%
Belden, Inc., 5.50%, 4/15/23			109		123,886
Electronic Equipment, Instruments & Components — 0.5%
CDW LLC/CDW Finance Corp.:
6.00%, 8/15/22		USD	500		525,000
5.00%, 9/01/23			326		327,630
5.50%, 12/01/24			2,446		2,513,265

					3,365,895
Energy Equipment & Services — 0.6%
Ensco PLC:
4.70%, 3/15/21			145		113,825
4.50%, 10/01/24			548		342,500
5.20%, 3/15/25			582		386,739
Gates Global LLC / Gates Global Co., 6.00%, 7/15/22 (b)			419		367,568
Gates Global LLC/Gates Global Co., 5.75%, 7/15/22		EUR	200		187,464
Genesis Energy LP/Genesis Energy Finance Corp.:
5.75%, 2/15/21		USD	103		95,790
6.75%, 8/01/22			557		529,150
GrafTech International Ltd., 6.38%, 11/15/20			150		99,750
Noble Holding International Ltd.:
4.63%, 3/01/21			70		52,850
6.95%, 4/01/25			185		135,512
Transocean, Inc.:
3.75%, 10/15/17			354		344,265
6.00%, 3/15/18			1,094		1,061,180
7.38%, 4/15/18			90		87,638
6.50%, 11/15/20			220		169,950
8.13%, 12/15/21			315		232,312
5.05%, 10/15/22			110		69,300

					4,275,793
Environmental, Maintenance, & Security Service — 0.0%
Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18		EUR	100		111,265


Corporate Bonds	Par (000)			Value
Food & Staples Retailing — 1.1%
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 6.63%, 6/15/24 (b)		USD	528	$	540,540
Casino Guichard Perrachon SA:
3.31%, 1/25/23		EUR	100		117,482
3.25%, 3/07/24			200		230,623
2.33%, 2/07/25			100		108,019
Dollar Tree, Inc. (b):
5.25%, 3/01/20		USD	129		134,482
5.75%, 3/01/23			4,048		4,275,700
Rite Aid Corp.:
9.25%, 3/15/20			435		458,925
6.75%, 6/15/21			32		33,680
6.13%, 4/01/23 (b)			1,954		2,066,355
Tesco PLC, 5.00%, 3/24/23		GBP	100		150,245

					8,116,051
Food Products — 0.5%
Acosta, Inc., 7.75%, 10/01/22 (b)		USD	685		661,025
Pinnacle Foods Finance Corp., 5.88%, 1/15/24 (b)			127		133,350
Post Holdings, Inc. (b):
7.75%, 3/15/24			837		909,191
8.00%, 7/15/25			508		563,880
Smithfield Foods, Inc.:
5.88%, 8/01/21 (b)			257		267,923
6.63%, 8/15/22			849		891,450
TreeHouse Foods, Inc., 6.00%, 2/15/24 (b)			274		288,385
WhiteWave Foods Co., 5.38%, 10/01/22			239		255,431

					3,970,635
Health Care Equipment & Supplies — 0.8%
Crimson Merger Sub, Inc., 6.63%, 5/15/22 (b)			595		485,669
DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (b)			1,872		1,680,120
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (b)			1,495		1,659,450
Kinetic Concepts, Inc./KCI USA, Inc., 7.88%, 2/15/21 (b)			191		204,901
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (b):
4.88%, 4/15/20			350		339,500
5.75%, 8/01/22			990		935,550
5.63%, 10/15/23			401		376,940

					5,682,130



6	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Corporate Bonds	Par (000)			Value
Health Care Providers & Services — 4.0%
Acadia Healthcare Co., Inc.:
5.13%, 7/01/22		USD	872	$	876,360
6.50%, 3/01/24 (b)			122		126,609
Alere, Inc., 6.38%, 7/01/23 (b)			406		423,409
Amsurg Corp., 5.63%, 7/15/22			2,072		2,103,080
Centene Escrow Corp. (b):
5.63%, 2/15/21			716		744,640
6.13%, 2/15/24			423		445,474
CHS/Community Health Systems, Inc.:
5.13%, 8/15/18			156		158,903
6.88%, 2/01/22			1,069		918,688
DaVita HealthCare Partners, Inc.:
5.13%, 7/15/24			2,295		2,325,982
5.00%, 5/01/25			1,084		1,074,515
ExamWorks Group, Inc., 5.63%, 4/15/23			288		308,880
HCA Holdings, Inc., 6.25%, 2/15/21			510		545,700
HCA, Inc.:
3.75%, 3/15/19			1,048		1,079,440
6.50%, 2/15/20			1,744		1,918,400
7.50%, 2/15/22			1,055		1,196,106
5.88%, 3/15/22			1,148		1,239,840
4.75%, 5/01/23			1,898		1,935,960
5.00%, 3/15/24			450		461,813
5.38%, 2/01/25			653		662,795
5.88%, 2/15/26			852		881,820
5.25%, 6/15/26			219		225,023
HealthSouth Corp., 5.75%, 11/01/24			239		242,286
Hologic, Inc., 5.25%, 7/15/22 (b)			515		538,819
MEDNAX, Inc., 5.25%, 12/01/23 (b)			574		587,277
MPH Acquisition Holdings LLC, 7.13%, 6/01/24 (b)(e)			548		563,070
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23 (b)			734		755,565
Sterigenics-Nordion Holdings LLC, 6.50%, 5/15/23 (b)			128		130,240
Surgery Center Holdings, Inc., 8.88%, 4/15/21 (b)			146		146,730
Tenet Healthcare Corp.:
6.25%, 11/01/18			607		641,902
4.75%, 6/01/20			1,190		1,217,519
4.15%, 6/15/20 (b)(d)			989		984,055
6.00%, 10/01/20			2,918		3,071,195
4.50%, 4/01/21			24		24,150
6.75%, 6/15/23			1,355		1,273,700

					29,829,945


Corporate Bonds	Par (000)			Value
Hotels, Restaurants & Leisure — 2.1%
Boyd Gaming Corp., 6.88%, 5/15/23		USD	758	$	794,763
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20			300		302,250
Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (b)(f)			204		197,370
Cirsa Funding Luxembourg SA, 5.88%, 5/15/23		EUR	175		198,803
ESH Hospitality, Inc., 5.25%, 5/01/25 (b)		USD	1,302		1,262,940
Gala Electric Casinos PLC, 11.50%, 6/01/19		GBP	64		95,762
GLP Capital LP / GLP Financing II, Inc., 4.38%, 4/15/21		USD	97		99,425
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18			391		403,708
International Game Technology PLC, 6.25%, 2/15/22 (b)			200		203,500
MGM Resorts International:
8.63%, 2/01/19			474		536,805
5.25%, 3/31/20			1,261		1,305,135
6.75%, 10/01/20			371		403,648
6.63%, 12/15/21			1,352		1,458,470
6.00%, 3/15/23			257		268,565
MGP Escrow Issuer LLC/MGP Escrow Co-Issuer, Inc., 5.63%, 5/01/24 (b)			1,946		2,043,300
New Red Finance, Inc., 6.00%, 4/01/22 (b)			1,055		1,093,244
Pinnacle Entertainment, Inc., 5.63%, 5/01/24 (b)			139		135,873
PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20		EUR	100		116,292
Sabre GLBL, Inc., 5.25%, 11/15/23 (b)		USD	221		225,696
Scientific Games International, Inc.:
7.00%, 1/01/22 (b)			188		189,880
10.00%, 12/01/22			127		102,870
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)			842		871,992
Snai SpA, 7.63%, 6/15/18		EUR	245		284,866
Station Casinos LLC, 7.50%, 3/01/21		USD	1,938		2,039,745
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/16 (a)(c)			800		—
Unique Pub Finance Co. PLC:
Series A4, 5.66%, 6/30/27		GBP	395		562,993



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016	7


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Corporate Bonds		Par (000)		Value
Hotels, Restaurants & Leisure (continued)
Unique Pub Finance Co. PLC (continued):
Series N, 6.46%, 3/30/32	GBP		200	$	245,069
Vougeot Bidco PLC, 7.88%, 7/15/20			147		222,510

					15,665,474
Household Durables — 0.8%
Beazer Homes USA, Inc., 6.63%, 4/15/18	USD		935		953,952
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (b)			285		271,463
CalAtlantic Group Inc., 8.38%, 1/15/21			1,735		2,034,287
Lennar Corp.:
4.75%, 11/15/22			110		109,175
4.88%, 12/15/23			265		261,688
Meritage Homes Corp., 4.50%, 3/01/18			589		600,780
Ryland Group, Inc., 6.63%, 5/01/20			130		143,325
Standard Pacific Corp., 10.75%, 9/15/16			565		579,125
TRI Pointe Group, Inc., 4.88%, 7/01/21			525		525,656
TRI Pointe Holdings, Inc., 4.38%, 6/15/19			435		435,000

					5,914,451
Household Products — 0.4%
Spectrum Brands, Inc.:
6.38%, 11/15/20			315		330,356
6.63%, 11/15/22			1,810		1,928,791
5.75%, 7/15/25			462		482,790

					2,741,937
Independent Power and Renewable Electricity Producers — 1.0%
AES Corp.:
7.38%, 7/01/21			559		637,260
5.50%, 3/15/24			981		990,504
6.00%, 5/15/26			201		203,764
Calpine Corp.:
5.38%, 1/15/23			768		750,480
5.50%, 2/01/24			531		513,577
Dynegy, Inc.:
6.75%, 11/01/19			665		666,662
7.38%, 11/01/22			231		222,915
NRG Energy, Inc.:
7.88%, 5/15/21			533		552,987
7.25%, 5/15/26 (b)			920		917,700
NRG Yield Operating LLC, 5.38%, 8/15/24			195		187,688


Corporate Bonds		Par (000)		Value
Independent Power and Renewable Electricity Producers (continued)
QEP Resources, Inc., 5.38%, 10/01/22	USD		1,739	$	1,617,270

					7,260,807
Insurance — 0.3%
HUB International Ltd. (b):
9.25%, 2/15/21			367		381,680
7.88%, 10/01/21			674		660,520
Pension Insurance Corp. PLC, 6.50%, 7/03/24	GBP		150		201,096
Trader Corp., 9.88%, 8/15/18 (b)	USD		725		750,375

					1,993,671
Internet Software & Services — 0.2%
Equinix, Inc., 5.88%, 1/15/26			997		1,039,373
IAC/InterActiveCorp, 4.88%, 11/30/18			663		678,746

					1,718,119
IT Services — 1.9%
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (b)			795		796,988
First Data Corp. (b):
5.38%, 8/15/23			1,561		1,600,025
7.00%, 12/01/23			5,077		5,146,809
5.00%, 1/15/24			1,176		1,175,259
5.75%, 1/15/24			4,611		4,611,000
Millennium Corp., 0.00%			2,240		—
WEX, Inc., 4.75%, 2/01/23 (b)			601		552,920

					13,883,001
Machinery — 0.1%
Gardner Denver, Inc., 6.88%, 8/15/21 (b)			380		325,850
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 6.38%, 5/01/22	EUR		100		115,159

					441,009
Media — 8.0%
Adria Bidco BV, 7.88%, 11/15/20			200		236,160
Altice Financing SA:
6.50%, 1/15/22 (b)	USD		1,260		1,282,050
5.25%, 2/15/23	EUR		200		229,484
7.50%, 5/15/26 (b)	USD		463		461,843
Altice Luxembourg SA:
7.25%, 5/15/22	EUR		202		228,689
7.75%, 5/15/22 (b)	USD		1,110		1,137,056
7.63%, 2/15/25 (b)			766		756,425
Altice SA, 6.25%, 2/15/25	EUR		101		105,354
Altice US Finance I Corp. (b):
5.38%, 7/15/23	USD		2,707		2,755,401
5.50%, 5/15/26			637		649,740



8	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Corporate Bonds		Par (000)		Value
Media (continued)
Altice US Finance II Corp., 7.75%, 7/15/25 (b)	USD		1,569	$	1,627,837
AMC Networks, Inc.:
4.75%, 12/15/22			156		156,000
5.00%, 4/01/24			395		395,988
CCO Holdings LLC/CCO Holdings Capital Corp.:
5.13%, 2/15/23			380		386,650
5.88%, 4/01/24 (b)			979		1,020,607
5.75%, 2/15/26 (b)			428		438,700
5.50%, 5/01/26 (b)			774		781,740
5.88%, 5/01/27 (b)			155		158,681
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20			669		—
Cequel Communications Escrow 1 LLC/Cequel Capital Corp., 6.38%, 9/15/20 (b)			420		427,564
Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (b)			1,185		1,130,916
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 7/23/25 (b)			1,300		1,390,510
Clear Channel Worldwide Holdings, Inc.:
6.50%, 11/15/22			5,710		5,691,450
Series B, 7.63%, 3/15/20			1,364		1,309,440
Columbus International, Inc., 7.38%, 3/30/21 (b)			850		891,013
CSC Holdings LLC, 5.25%, 6/01/24			705		634,500
DISH DBS Corp.:
4.25%, 4/01/18			1,460		1,496,500
5.88%, 11/15/24			1,503		1,391,042
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (b)			198		210,128
Gray Television, Inc., 7.50%, 10/01/20			422		442,573
iHeartCommunications, Inc.:
9.00%, 12/15/19			450		353,250
9.00%, 3/01/21			160		119,400
9.00%, 9/15/22			930		685,875
Intelsat Jackson Holdings SA:
7.25%, 10/15/20			1,445		1,007,887
6.63%, 12/15/22			710		477,475
5.50%, 8/01/23			1,467		942,547
8.00%, 2/15/24 (b)			1,348		1,373,275
Lamar Media Corp., 5.75%, 2/01/26 (b)			145		152,613
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (b)			232		243,394


Corporate Bonds		Par (000)		Value
Media (continued)
MDC Partners, Inc., 6.50%, 5/01/24 (b)	USD		784	$	758,520
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (b)			265		274,275
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)			538		548,760
Neptune Finco Corp. (b):
10.13%, 1/15/23			712		797,440
6.63%, 10/15/25			1,298		1,386,277
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (b)			410		419,225
Numericable Group SA:
6.00%, 5/15/22 (b)			1,192		1,186,636
5.63%, 5/15/24	EUR		195		225,103
7.38%, 5/01/26 (b)	USD		4,095		4,130,831
Numericable-SFR SA, 5.63%, 5/15/24	EUR		100		115,437
Outfront Media Capital LLC/Outfront Media Capital Corp.:
5.25%, 2/15/22	USD		130		132,113
5.63%, 2/15/24			242		250,470
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (b)			485		499,550
Sirius XM Radio, Inc. (b):
4.25%, 5/15/20			141		143,644
5.75%, 8/01/21			464		485,460
4.63%, 5/15/23			60		58,950
Sterling Entertainment Corp., 9.75%, 12/15/19			1,300		1,287,000
TEGNA, Inc.:
5.13%, 10/15/19			215		221,450
4.88%, 9/15/21 (b)			466		475,320
5.50%, 9/15/24 (b)			289		298,393
Tribune Media Co., 5.88%, 7/15/22			873		881,730
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
5.50%, 1/15/23 (b)			1,270		1,309,687
4.00%, 1/15/25	EUR		198		224,380
3.50%, 1/15/27			200		215,387
Univision Communications, Inc. (b):
8.50%, 5/15/21	USD		893		933,185
5.13%, 5/15/23			3,002		3,024,515
5.13%, 2/15/25			1,170		1,161,225
Virgin Media Secured Finance PLC:
5.38%, 4/15/21 (b)			1,152		1,198,080
5.50%, 8/15/26 (b)			320		323,200



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016	9


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Corporate Bonds	Par (000)			Value
Media (continued)
Virgin Media Secured Finance PLC (continued):
4.88%, 1/15/27		GBP	100	$	137,050
6.25%, 3/28/29			453		658,563
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b)		USD	1,300		1,339,000
Wind Acquisition Finance SA, 7.00%, 4/23/21		EUR	100		106,814
Ziggo Bond Finance BV:
4.63%, 1/15/25			168		182,719
5.88%, 1/15/25 (b)		USD	1,095		1,084,050

					59,654,196
Metals & Mining — 3.6%
Alcoa, Inc.:
6.15%, 8/15/20			1,395		1,498,753
5.13%, 10/01/24			1,371		1,322,590
Anglo American Capital PLC, 3.50%, 3/28/22		EUR	100		102,265
ArcelorMittal:
6.13%, 6/01/18		USD	592		617,900
7.25%, 2/25/22			61		63,745
7.75%, 3/01/41			390		358,800
Constellium NV (b):
8.00%, 1/15/23			2,600		2,275,000
5.75%, 5/15/24			1,175		916,500
First Quantum Minerals Ltd. (b):
7.00%, 2/15/21			145		114,459
7.25%, 5/15/22			435		332,775
FMG Resources August 2006 Property Ltd., 9.75%, 3/01/22 (b)			553		588,945
Freeport-McMoRan, Inc.:
2.38%, 3/15/18			2,868		2,781,960
3.10%, 3/15/20			430		392,106
4.00%, 11/14/21			175		151,813
3.55%, 3/01/22			882		738,675
3.88%, 3/15/23			2,057		1,691,882
5.40%, 11/14/34			1,271		962,782
5.45%, 3/15/43			377		284,518
Glencore Finance Europe SA, 4.63%, 4/03/18		EUR	100		117,396
Joseph T Ryerson & Son, Inc., 11.00%, 5/15/22 (b)		USD	482		495,255
Kaiser Aluminum Corp., 8.25%, 6/01/20			550		572,687
Novelis, Inc.:
8.38%, 12/15/17			215		219,838
8.75%, 12/15/20			4,371		4,534,912
Steel Dynamics, Inc.:
5.13%, 10/01/21			790		805,310
6.38%, 8/15/22			595		624,750


Corporate Bonds	Par (000)			Value
Metals & Mining (continued)
Steel Dynamics, Inc. (continued):
5.25%, 4/15/23		USD	295	$	302,611
5.50%, 10/01/24			138		141,823
Teck Resources Ltd.:
2.50%, 2/01/18			559		563,193
3.00%, 3/01/19			620		593,650
3.75%, 2/01/23			213		154,958
Teck Resources, Ltd. (b)(e):
8.00%, 6/01/21			513		523,260
8.50%, 6/01/24			504		516,600
United States Steel Corp., 8.38%, 7/01/21 (b)			624		644,280
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (b)			820		752,350

					26,758,341
Multiline Retail — 0.1%
Hema Bondco I BV, 6.25%, 6/15/19		EUR	100		86,460
Neiman Marcus Group Ltd. (b):
8.00%, 10/15/21		USD	1,035		781,425
(8.75% Cash or 9.50% PIK), 8.75%, 10/15/21 (f)			150		105,375

					973,260
Offshore Drilling & Other Services — 0.0%
Sensata Technologies BV, 5.63%, 11/01/24 (b)			220		230,450
Oil, Gas & Consumable Fuels — 6.4%
Alberta Energy Co. Ltd., 7.38%, 11/01/31			143		137,084
California Resources Corp., 8.00%, 12/15/22 (b)			1,362		994,260
Cenovus Energy, Inc.:
5.70%, 10/15/19			89		91,059
3.00%, 8/15/22			72		64,094
3.80%, 9/15/23			195		173,959
6.75%, 11/15/39			317		304,618
5.20%, 9/15/43			60		47,454
Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 (b)			912		934,800
Chesapeake Energy Corp.:
3.88%, 4/15/19 (d)			1,097		805,609
8.00%, 12/15/22 (b)			530		426,650
Concho Resources, Inc., 6.50%, 1/15/22			172		177,590
CONSOL Energy, Inc.:
5.88%, 4/15/22			3,515		2,864,725
8.00%, 4/01/23			120		103,200
Continental Resources, Inc.:
5.00%, 9/15/22			249		235,305
4.50%, 4/15/23			321		292,311



10	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Corporate Bonds	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
Continental Resources, Inc. (continued):
3.80%, 6/01/24		USD	1,350	$	1,177,875
4.90%, 6/01/44			105		86,363
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 4/01/23 (b)			90		84,150
CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (b)			740		765,900
Denbury Resources, Inc., 9.00%, 5/15/21 (b)			538		529,257
Encana Corp.:
3.90%, 11/15/21			288		256,320
6.50%, 8/15/34			382		338,425
6.63%, 8/15/37			226		199,043
6.50%, 2/01/38			1,048		925,918
5.15%, 11/15/41			454		333,852
Energy Transfer Equity LP:
7.50%, 10/15/20			200		204,000
5.88%, 1/15/24			1,078		999,845
5.50%, 6/01/27			380		329,650
Freeport-McMoRan Oil & Gas LLC/FCX Oil & Gas, Inc.:
6.50%, 11/15/20			323		310,080
6.63%, 5/01/21			325		307,937
Genesis Energy LP / Genesis Energy Finance Corp., 5.63%, 6/15/24			85		76,288
Gulfport Energy Corp.:
7.75%, 11/01/20			422		428,330
6.63%, 5/01/23			60		58,950
Hilcorp Energy I LP/Hilcorp Finance Co. (b):
7.63%, 4/15/21			125		129,063
5.00%, 12/01/24			461		437,950
Marathon Oil Corp., 5.20%, 6/01/45			570		478,798
MEG Energy Corp. (b):
6.50%, 3/15/21			2,599		2,046,712
6.38%, 1/30/23			29		22,185
7.00%, 3/31/24			724		557,480
Memorial Resource Development Corp., 5.88%, 7/01/22			997		993,261
NGPL PipeCo LLC (b):
7.12%, 12/15/17			4,303		4,502,014
9.63%, 6/01/19			435		455,662
7.77%, 12/15/37			262		257,415
Noble Energy, Inc., 5.63%, 5/01/21			248		257,931
PDC Energy, Inc., 7.75%, 10/15/22			510		532,950


Corporate Bonds	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
QEP Resources, Inc.:
6.88%, 3/01/21		USD	52	$	52,260
5.25%, 5/01/23			95		87,400
Range Resources Corp.:
5.75%, 6/01/21			277		269,383
5.00%, 8/15/22			10		9,388
5.00%, 3/15/23			555		516,150
Rockies Express Pipeline LLC (b):
6.85%, 7/15/18			99		102,960
6.00%, 1/15/19			26		26,975
5.63%, 4/15/20			140		142,450
6.88%, 4/15/40			64		62,400
RSP Permian, Inc., 6.63%, 10/01/22			356		367,570
Sabine Pass Liquefaction LLC:
5.63%, 2/01/21			625		638,281
6.25%, 3/15/22			104		106,340
5.63%, 4/15/23			5,633		5,689,330
5.75%, 5/15/24			762		765,810
5.63%, 3/01/25			208		208,000
Sabine Pass LNG LP, 7.50%, 11/30/16			2,500		2,556,250
Sanchez Energy Corp.:
7.75%, 6/15/21			672		514,080
6.13%, 1/15/23			1,236		889,920
Seven Generations Energy Ltd. (b):
8.25%, 5/15/20			1,580		1,651,100
6.75%, 5/01/23			210		213,150
SM Energy Co.:
6.13%, 11/15/22			802		733,830
5.00%, 1/15/24			931		796,107
Southwestern Energy Co.:
3.30%, 1/23/18			809		780,685
7.50%, 2/01/18			210		211,050
4.10%, 3/15/22			90		73,350
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.38%, 8/01/22			120		119,100
Tesoro Logistics LP / Tesoro Logistics Finance Corp.:
6.25%, 10/15/22			833		860,072
6.38%, 5/01/24			198		203,940
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.13%, 10/15/21			81		83,633
Vantage Drilling International, 10.00%, 12/31/20			5		—
Weatherford International LLC:
6.35%, 6/15/17			305		308,050
6.80%, 6/15/37			117		78,390
Weatherford International Ltd.:
6.00%, 3/15/18			516		508,260
5.13%, 9/15/20			340		275,400



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016	11


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Corporate Bonds	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
Weatherford International Ltd. (continued):
4.50%, 4/15/22		USD	219	$	169,725
6.50%, 8/01/36			145		93,888
5.95%, 4/15/42			148		94,350
Whiting Petroleum Corp.:
5.00%, 3/15/19			101		90,900
5.75%, 3/15/21			390		330,525
6.25%, 4/01/23			91		75,075
Williams Cos., Inc., 4.55%, 6/24/24			494		431,015
WPX Energy, Inc.:
5.25%, 1/15/17			70		69,825
7.50%, 8/01/20			115		112,700
6.00%, 1/15/22			588		529,200
8.25%, 8/01/23			400		391,000

					48,025,589
Paper & Forest Products — 0.0%
International Paper Co., 7.30%, 11/15/39			5		6,409
Pharmaceuticals — 1.5%
Capsugel SA, (7.00% Cash or 7.75% PIK), 7.00%, 5/15/19 (b)(f)			132		132,495
Endo Finance LLC/Endo Finco, Inc., 6.00%, 2/01/25 (b)			223		193,453
Ephios Bondco PLC, 6.25%, 7/01/22		EUR	100		117,106
Ephios Holdco II PLC, 8.25%, 7/01/23			100		113,768
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22		USD	937		958,082
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (b)			1,763		1,800,023
NBTY, Inc., 7.63%, 5/15/21 (b)			1,159		1,182,180
Valeant Pharmaceuticals International, Inc.:
6.75%, 8/15/18 (b)			961		939,378
5.38%, 3/15/20 (b)			35		30,888
7.00%, 10/01/20 (b)			1,766		1,593,815
6.38%, 10/15/20 (b)			197		175,330
7.50%, 7/15/21 (b)			2,026		1,833,530
5.63%, 12/01/21 (b)			568		479,960
7.25%, 7/15/22 (b)			1,010		884,255
4.50%, 5/15/23		EUR	300		256,188
5.88%, 5/15/23 (b)		USD	94		79,195
6.13%, 4/15/25 (b)			220		183,975

					10,953,621


Corporate Bonds	Par (000)			Value
Real Estate — 0.0%
Tesco Property Finance 4 PLC, 5.80%, 10/13/40		GBP	99	$	129,142
Real Estate Investment Trusts (REITs) — 0.2%
Corrections Corp. of America, 4.63%, 5/01/23		USD	36		36,540
Felcor Lodging LP, 5.63%, 3/01/23			377		384,540
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.63%, 10/15/21			513		531,267
iStar Financial, Inc.:
4.00%, 11/01/17			535		532,967
5.00%, 7/01/19			375		356,250

					1,841,564
Real Estate Management & Development — 0.4%
Realogy Group LLC/Realogy Co-Issuer Corp. (b):
4.50%, 4/15/19			801		825,030
5.25%, 12/01/21			1,178		1,219,230
4.88%, 6/01/23			883		875,274
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (b)			245		241,937

					3,161,471
Restaurants — 0.0%
Pizzaexpress Financing 2 PLC, 6.63%, 8/01/21		GBP	120		173,382
Road & Rail — 0.7%
EC Finance PLC, 5.13%, 7/15/21		EUR	215		252,080
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (b)		USD	1,338		1,331,310
Herc Spinoff Escrow Issuer LLC/Herc Spinoff Escrow Issuer Corp. (b)(e):
7.50%, 6/01/22			222		223,110
7.75%, 6/01/24			200		200,500
Hertz Corp.:
7.50%, 10/15/18			1,555		1,579,414
7.38%, 1/15/21			1,122		1,145,843
Loxam SAS, 3.50%, 5/03/23		EUR	100		112,500
United Rentals North America, Inc., 5.50%, 7/15/25		USD	17		16,681
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (b)			350		348,250

					5,209,688
Semiconductors & Semiconductor Equipment — 0.4%
NXP BV/NXP Funding LLC (b):
4.13%, 6/15/20			1,064		1,085,280
4.63%, 6/15/22			1,050		1,065,750



12	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Corporate Bonds		Par (000)		Value
Semiconductors & Semiconductor Equipment (continued)
Sensata Technologies BV, 5.00%, 10/01/25 (b)	USD		852	$	854,130
Sensata Technologies UK Financing Co. PLC, 6.25%, 2/15/26 (b)			200		210,000

					3,215,160
Software — 0.8%
Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (b)(f)			623		520,136
Infor US, Inc., 6.50%, 5/15/22			1,352		1,240,460
Informatica LLC, 7.13%, 7/15/23 (b)			300		285,750
Nuance Communications, Inc., 5.38%, 8/15/20 (b)			1,270		1,290,638
PTC, Inc., 6.00%, 5/15/24			197		205,126
Solera LLC/Solera Finance, Inc., 10.50%, 3/01/24 (b)			1,516		1,644,860
SS&C Technologies Holdings, Inc., 5.88%, 7/15/23			485		504,400

					5,691,370
Specialty Retail — 0.4%
L Brands, Inc., 6.88%, 11/01/35			723		762,765
New Look Secured Issuer PLC, 6.50%, 7/01/22	GBP		200		284,688
Penske Automotive Group, Inc., 5.38%, 12/01/24	USD		646		646,000
Sally Holdings LLC/Sally Capital, Inc.:
5.75%, 6/01/22			146		151,840
5.50%, 11/01/23			570		598,500
Sonic Automotive, Inc., 5.00%, 5/15/23			146		143,445
THOM Europe SAS, 7.38%, 7/15/19	EUR		285		336,528

					2,923,766
Technology Hardware, Storage & Peripherals — 0.2%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (b)(e):
4.42%, 6/15/21	USD		365		372,288
6.02%, 6/15/26			445		449,843
8.35%, 7/15/46			385		391,923

					1,214,054
Textiles, Apparel & Luxury Goods — 0.2%
BiSoho SAS, 5.88%, 5/01/23	EUR		100		114,341
Levi Strauss & Co.:
6.88%, 5/01/22	USD		405		432,168


Corporate Bonds		Par (000)		Value
Textiles, Apparel & Luxury Goods (continued)
Levi Strauss & Co. (continued):
5.00%, 5/01/25	USD		189	$	189,236
PVH Corp., 4.50%, 12/15/22			122		124,135
William Carter Co., 5.25%, 8/15/21			469		485,415

					1,345,295
Tobacco — 0.0%
Altria Group, Inc., 9.95%, 11/10/38			17		30,162
Trading Companies & Distributors — 0.1%
Ashtead Capital, Inc., 5.63%, 10/01/24 (b)			320		323,200
Travis Perkins PLC, 4.50%, 9/07/23	GBP		100		143,784

					466,984
Transportation Infrastructure — 0.1%
JCH Parent, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (b)(f)	USD		1,189		511,278
Onorato Armatori SpA, 7.75%, 2/15/23	EUR		100		109,039

					620,317
Wireless Telecommunication Services — 2.5%
Communications Sales & Leasing, Inc./CSL Capital LLC, 8.25%, 10/15/23	USD		430		405,275
Crown Castle Towers LLC, 6.11%, 1/15/40 (b)			375		414,426
Digicel Group Ltd., 7.13%, 4/01/22 (b)			485		374,081
Digicel Ltd., 6.00%, 4/15/21 (b)			2,628		2,328,093
Geo Group, Inc.:
5.88%, 1/15/22			90		91,350
5.88%, 10/15/24			360		364,050
GEO Group, Inc., 6.00%, 4/15/26			295		297,950
Matterhorn Telecom SA, 3.88%, 5/01/22	EUR		100		108,644
OTE PLC, 3.50%, 7/09/20			100		111,265
SBA Communications Corp., 5.63%, 10/01/19	USD		581		602,061
Sprint Capital Corp.:
6.90%, 5/01/19			270		251,775
6.88%, 11/15/28			1,205		899,231
Sprint Communications, Inc.:
9.00%, 11/15/18 (b)			6,417		6,826,084
7.00%, 8/15/20			540		461,981
Sprint Corp.:
7.13%, 6/15/24			1,591		1,197,227
7.63%, 2/15/25			115		86,502



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016	13


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Corporate Bonds		Par (000)		Value
Wireless Telecommunication Services (continued)
T-Mobile USA, Inc.:
6.63%, 4/28/21	USD		390	$	409,988
6.13%, 1/15/22			81		85,455
6.73%, 4/28/22			295		309,381
6.00%, 3/01/23			653		680,752
6.84%, 4/28/23			85		89,994
6.50%, 1/15/24			584		619,770
6.38%, 3/01/25			535		560,412
6.50%, 1/15/26			926		979,245
Wind Acquisition Finance SA, 4.00%, 7/15/20	EUR		168		185,757

					18,740,749
Total Corporate Bonds — 57.4%					427,548,929



Floating Rate Loan Interests (d)
Aerospace & Defense — 0.6%
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21	USD		1,426		1,431,384
Engility Corp., 2nd Lien Term Loan, 12.00%, 5/30/21			815		809,072
Transdigm, Inc.:
2015 Term Loan E, 3.50%, 5/14/22			697		693,503
Term Loan C, 3.75%, 2/28/20			980		979,632
Term Loan D, 3.75%, 6/04/21			835		834,499

					4,748,090
Air Freight & Logistics — 0.5%
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21			982		836,137
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21			1,014		864,108
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21			156		132,542
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21			1,399		1,191,874
XPO Logistics, Inc., Term Loan, 5.50%, 11/01/21			918		924,583

					3,949,244
Airlines — 0.6%
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18			2,915		2,921,836
Northwest Airlines, Inc.:
2.75%, 3/10/17			164		162,800
2.13%, 9/10/18			377		366,714


Floating Rate Loan Interests (d)		Par (000)		Value
Airlines (continued)
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19	USD		1,251	$	1,251,613

					4,702,963
Auto Components — 1.5%
Autoparts Holdings Ltd.:
1st Lien Term Loan, 7.00%, 7/29/17			1,984		1,831,563
2nd Lien Term Loan, 11.00%, 1/29/18			1,890		1,448,213
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19			963		948,648
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19			1,471		1,264,968
Gates Global, Inc., Term Loan B, 4.25%, 7/06/21			5,197		5,023,023
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.75%, 4/30/19			602		602,187
Schaeffler AG, Term Loan B, 4.25%, 5/15/20			275		276,274

					11,394,876
Banks — 0.1%
Redtop Acquisitions Ltd.:
1st Lien Term Loan, 4.50%, 12/03/20			591		590,157
2nd Lien Term Loan, 8.25%, 6/03/21			376		352,504

					942,661
Building Materials — 0.3%
USAGM HoldCo LLC:
2015 2nd Lien Term Loan, 9.50%, 7/28/23			895		809,975
2015 Term Loan, 4.75%, 7/28/22			1,667		1,622,317

					2,432,292
Building Products — 2.0%
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20			1,513		1,489,833
CPG International, Inc., Term Loan, 4.75%, 9/30/20			3,940		3,929,868
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21			1,390		1,364,713
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21			2,173		2,178,844
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21			1,852		1,850,786
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20			1,197		1,199,611



14	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Floating Rate Loan Interests (d)		Par (000)		Value
Building Products (continued)
Wilsonart LLC:
Incremental Term Loan B2, 4.00%, 10/31/19	USD		406	$	404,985
Term Loan B, 4.00%, 10/31/19			2,254		2,250,514

					14,669,154
Capital Markets — 0.3%
Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18			428		390,497
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17			651		649,874
RPI Finance Trust, Term Loan B4, 3.50%, 11/09/20			1,386		1,390,580

					2,430,951
Chemicals — 1.9%
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19			237		235,758
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19			123		122,323
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20			2,636		2,640,435
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20			72		72,211
Ineos US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18			1,002		1,000,349
MacDermid, Inc.:
1st Lien Term Loan, 5.50%, 6/07/20			2,347		2,338,742
Term Loan B3, 5.50%, 6/07/20			577		575,415
OXEA Finance LLC, Term Loan B2, 4.25%, 1/15/20			1,458		1,434,551
PQ Corp., Term Loan, 5.75%, 11/04/22			700		705,642
Royal Holdings, Inc.:
2015 1st Lien Term Loan, 4.50%, 6/19/22			516		515,713
2015 2nd Lien Term Loan, 8.50%, 6/19/23			655		621,706
Solenis International LP:
1st Lien Term Loan, 4.25%, 7/31/21			1,174		1,163,693
2nd Lien Term Loan, 7.75%, 7/31/22			1,915		1,730,681


Floating Rate Loan Interests (d)		Par (000)		Value
Chemicals (continued)
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20	USD		652	$	647,820

					13,805,039
Commercial Services & Supplies — 3.1%
ADS Waste Holdings, Inc., Term Loan B2, 3.75%, 10/09/19			2,503		2,496,915
ARAMARK Corp.:
Term Loan E, 3.25%, 9/07/19			1,988		1,992,169
Term Loan F, 3.25%, 2/24/21			1,202		1,203,110
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20			1,971		1,915,468
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21			2,078		2,082,319
Connolly Corp.:
1st Lien Term Loan, 4.50%, 5/14/21			1,998		1,994,764
2nd Lien Term Loan, 8.00%, 5/14/22			2,125		2,066,563
GCA Services Group, Inc., 2016 Term Loan, 5.75%, 3/01/23			1,270		1,277,150
KAR Auction Services, Inc., Term Loan B3, 4.25%, 3/09/23			910		915,305
Koosharem LLC, Exit Term Loan, 7.50%, 5/16/20			1,885		1,560,229
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19			836		779,896
Prime Security Services Borrower LLC, 2016 Incremental Term Loan B1, 5.50%, 5/02/22			800		807,336
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19			2,225		2,190,722
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/27/20			650		652,688
West Corp., Term Loan B10, 3.25%, 6/30/18			1,178		1,177,118

					23,111,752
Communications Equipment — 1.2%
Applied Systems, Inc.:
1st Lien Term Loan, 4.25%, 1/25/21			573		572,196
2nd Lien Term Loan, 7.50%, 1/24/22			534		530,320
Avaya, Inc., Term Loan B7, 6.25%, 5/29/20			943		687,013
CommScope, Inc., Term Loan B5, 3.83%, 12/29/22			552		553,147
Riverbed Technology, Inc., 2016 Term Loan, 5.75%, 4/24/22			289		290,131



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016	15


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Floating Rate Loan Interests (d)		Par (000)		Value
Communications Equipment (continued)
Telesat Canada:
Term Loan A, 3.00%, 3/28/17	CAD		1,874	$	1,421,822
Term Loan B2, 3.50%, 3/28/19	USD		524		523,158
Zayo Group LLC, Term Loan B, 3.75%, 5/06/21			4,338		4,341,587

					8,919,374
Construction & Engineering — 0.2%
AECOM Technology Corp., 2014 Term Loan B, 3.75%, 10/15/21			506		507,810
CNT Holdings III Corp, Term Loan B, 5.25%, 1/22/23			650		653,659

					1,161,469
Construction Materials — 0.4%
Filtration Group Corp., 1st Lien Term Loan, 4.25%, 11/21/20			1,111		1,110,977
HD Supply, Inc., 2015 Term Loan B, 3.75%, 8/13/21			1,965		1,966,599

					3,077,576
Containers & Packaging — 0.8%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19			427		427,517
Berry Plastics Holding Corp.:
Term Loan E, 3.75%, 1/06/21			979		981,591
Term Loan F, 4.00%, 10/01/22			3,222		3,234,082
BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20			1,071		1,070,700

					5,713,890
Distributors — 0.2%
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20			936		936,387
American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21			297		288,369

					1,224,756
Diversified Consumer Services — 1.7%
Allied Security Holdings LLC:
1st Lien Term Loan, 4.25%, 2/12/21			2,643		2,642,639
2nd Lien Term Loan, 8.00%, 8/13/21			599		599,494
AssuredPartners, Inc., 2015 1st Lien Term Loan, 5.75%, 10/21/22			1,748		1,747,637


Floating Rate Loan Interests (d)		Par (000)		Value
Diversified Consumer Services (continued)
Bright Horizons Family Solutions, Inc.:
Incremental Term Loan B1, 4.25%, 1/30/20	USD		1,490	$	1,494,391
Term Loan B, 3.75%, 1/30/20			1,519		1,525,051
ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21			4,946		4,964,494

					12,973,706
Diversified Financial Services — 0.4%
AlixPartners LLP, 2015 Term Loan B, 4.50%, 7/28/22			522		523,812
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.50%, 12/01/18			2,393		2,401,163
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20			276		276,412

					3,201,387
Diversified Telecommunication Services — 2.1%
Hawaiian Telcom Communications, Inc., Term Loan B, 5.25%, 6/06/19			1,802		1,798,649
Integra Telecom, Inc.:
2015 1st Lien Term Loan, 5.25%, 8/14/20			1,757		1,691,888
2nd Lien Term Loan, 9.75%, 2/12/21			1,063		1,003,987
Level 3 Financing, Inc.:
2013 Term Loan B, 4.00%, 1/15/20			8,605		8,632,966
2019 Term Loan, 4.00%, 8/01/19			1,305		1,307,682
Telenet International Finance Sarl, Term Loan AD, 3.75%, 6/30/24			975		979,401

					15,414,573
Electrical Equipment — 0.3%
Texas Competitive Electric Holdings Co. LLC:
DIP Term Loan, 3.75%, 11/07/16			1,227		1,227,026
Extended Term Loan, 4.92%, 10/10/17 (a)(c)			2,375		742,188

					1,969,214
Electronic Equipment, Instruments & Components — 0.2%
CDW LLC, Term Loan, 3.25%, 4/29/20			1,388		1,389,110



16	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Floating Rate Loan Interests (d)		Par (000)		Value
Energy Equipment & Services — 0.1%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20	USD		1,078	$	1,077,675
Food & Staples Retailing — 0.7%
Hostess Brands LLC:
1st Lien Term Loan, 4.50%, 8/03/22			1,234		1,237,909
2nd Lien Term Loan, 8.50%, 8/03/23			65		64,778
Rite Aid Corp.:
5.75%, 8/21/20			695		696,737
4.88%, 6/21/21			1,475		1,476,844
Supervalu, Inc., Refinancing Term Loan B, 5.50%, 3/21/19			257		256,546
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19			1,136		1,136,555

					4,869,369
Food Products — 1.1%
Blue Ribbon LLC, Term Loan, 5.00%, 11/13/21			1,549		1,546,866
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18			1,585		1,579,962
Pinnacle Foods Finance LLC:
Incremental Term Loan I, 3.75%, 1/13/23			723		726,312
Term Loan G, 3.25%, 4/29/20			1,846		1,847,217
Reddy Ice Corp.:
1st Lien Term Loan, 6.75%, 5/01/19			1,810		1,592,922
2nd Lien Term Loan, 10.75%, 11/01/19			995		703,962

					7,997,241
Health Care Equipment & Supplies — 1.6%
Alere, Inc., 2015 Term Loan B, 4.25%, 6/18/22			1,574		1,568,864
Capsugel Holdings US, Inc., Term Loan B, 4.00%, 7/31/21			1,668		1,667,924
DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20			2,675		2,619,072
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18			96		95,732
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18			1,541		1,462,802
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21			2,701		2,667,767
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21			2,271		2,150,138

					12,232,299


Floating Rate Loan Interests (d)		Par (000)		Value
Health Care Management Services — 0.0%
New Millennium HoldCo, Inc., Exit Term Loan, 7.50%, 12/21/20 (a)(c)	USD		366	$	274,304
Health Care Providers & Services — 4.5%
Acadia Healthcare Co., Inc., Term Loan B, 3.75%, 2/11/22			477		477,955
Air Medical Group Holdings, Inc., Term Loan B, 4.25%, 4/28/22			629		621,830
Amsurg Corp., 1st Lien Term Loan B, 3.50%, 7/16/21			1,916		1,919,195
CHG Healthcare Services Inc., Term Loan:
2016 B, 3.75%, 5/19/23			2,175		2,183,156
4.25%, 11/19/19			2,709		2,708,113
Community Health Systems, Inc.:
Term Loan F, 3.92%, 12/31/18			1,218		1,215,609
Term Loan G, 3.75%, 12/31/19			2,073		2,031,213
Term Loan H, 4.00%, 1/27/21			740		728,567
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/07/22			1,436		1,430,117
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21			6,887		6,928,649
Envision Healthcare Corp., Term Loan:
4.25%, 5/25/18			1,083		1,084,097
B2, 4.50%, 10/28/22			803		805,565
MPH Acquisition Holdings LLC, Term Loan:
2016 B, 4.25%, 5/26/23			1,875		1,888,125
3.75%, 3/31/21			1,193		1,202,539
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21			676		674,648
Quorum Health Corporation, Term Loan B, 6.75%, 4/29/22			525		524,507
Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22			662		658,367
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20			980		982,213
Surgical Care Affiliates, Inc., Term Loan B, 4.25%, 3/17/22			446		444,667
Team Health, Inc., 2015 Term Loan B, 4.50%, 11/23/22			2,249		2,253,591
U.S. Renal Care, Inc., 2015 Term Loan B, 5.25%, 12/31/22			1,122		1,112,368



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016	17


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Floating Rate Loan Interests (d)		Par (000)		Value
Health Care Providers & Services (continued)
Vizient, Inc., 1st Lien Term Loan, 6.25%, 2/13/23	USD		1,515	$	1,532,998

					33,408,089
Health Care Technology — 0.3%
IMS Health, Inc., Term Loan, 3.50%, 3/17/21			2,563		2,563,161
Hotels, Restaurants & Leisure — 4.5%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21			1,586		1,535,210
2nd Lien Term Loan, 8.00%, 8/01/22			2,200		2,154,831
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20			2,187		2,190,838
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20			1,669		1,485,058
Burger King Newco Unlimited Liability Co., Term Loan B2, 3.75%, 12/10/21			4,197		4,211,142
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20			8,389		8,019,557
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21			1,052		1,056,671
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20			1,515		1,518,611
La Quinta Intermediate Holdings LLC, Term Loan B, 3.75%, 4/14/21			938		927,546
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20			1,609		1,609,969
Sabre, Inc.:
Incremental Term Loan, 4.50%, 2/19/19			629		628,875
Term Loan B, 4.00%, 2/19/19			861		862,332
Scientific Games International, Inc.:
2014 Term Loan B1, 6.00%, 10/18/20			971		961,108
2014 Term Loan B2, 7.50%, 10/01/21			988		976,391
Station Casinos LLC, Term Loan B:
2016, 3.00%, 5/23/23			3,525		3,529,406
4.25%, 3/02/20			1,814		1,816,351

					33,483,896
Household Products — 0.4%
Bass Pro Group LLC, 2015 Term Loan, 4.00%, 6/05/20			774		760,803


Floating Rate Loan Interests (d)		Par (000)		Value
Household Products (continued)
Spectrum Brands, Inc., Term Loan, 3.50%, 6/23/22	USD		2,151	$	2,159,500

					2,920,303
Independent Power and Renewable Electricity Producers — 0.8%
Calpine Construction Finance Co., LP, Term Loan B1, 3.00%, 5/03/20			799		779,775
Calpine Corp., Term Loan B6, 4.00%, 1/15/23			1,177		1,173,519
Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 12/19/16			2,104		2,103,154
Granite Acquisition, Inc.:
Term Loan B, 5.00%, 12/19/21			1,686		1,668,127
Term Loan C, 5.00%, 12/19/21			75		74,326

					5,798,901
Industrial Conglomerates — 0.1%
Sequa Corp., Term Loan B, 5.25%, 6/19/17			515		404,558
Insurance — 0.6%
Asurion LLC, Term Loan B1, 5.00%, 5/24/19			1,109		1,110,223
Sedgwick Claims Management Services, Inc.:
1st Lien Term Loan, 3.75%, 3/01/21			1,637		1,612,051
2nd Lien Term Loan, 6.75%, 2/28/22			1,650		1,581,937

					4,304,211
Internet Software & Services — 0.3%
Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21			2,407		2,414,491
W3 Co., 2nd Lien Term Loan, 9.25%, 9/11/20			289		115,710

					2,530,201
IT Services — 2.1%
Blue Coat Holdings, Inc., 2015 Term Loan, 4.50%, 5/20/22			1,323		1,317,977
Cision US Inc., Term Loan B, 5.75%, 5/12/23			1,145		1,104,570
First Data Corp.:
2018 Term Loan, 3.94%, 9/24/18			1,935		1,934,187
2021 Extended Term Loan, 4.44%, 3/24/21			10,292		10,334,569



18	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Floating Rate Loan Interests (d)	Par (000)			Value
IT Services (continued)
Vantiv LLC, 2014 Term Loan B, 3.50%, 6/13/21		USD	1,215	$	1,217,966

					15,909,269
Machinery — 0.8%
Allison Transmission, Inc., Term Loan B3, 3.50%, 8/23/19			1,095		1,097,891
Faenza Acquisition GmbH:
Term Loan B1, 4.25%, 8/30/20			665		665,431
Term Loan B3, 4.25%, 8/30/20			203		203,075
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21			563		564,986
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20			1,566		1,556,844
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19			2,057		1,852,764

					5,940,991
Media — 5.5%
Altice U.S. Finance I Corp., Extended Term Loan, 4.25%, 12/14/22			2,106		2,108,389
Cengage Learning Acquisitions, Inc., Term Loan:
1st Lien, 7.00%, 3/31/20			3,427		3,421,158
2016 B, 4.75%, 5/17/23			2,640		2,636,700
0.00%, 7/03/16 (a)(c)			2,596		—
Charter Communications Operating LLC, 2016 Term Loan I, 3.50%, 1/24/23			4,610		4,628,578
Clear Channel Communications, Inc., Term Loan D, 7.20%, 1/30/19			3,467		2,654,559
CSC Holdings LLC, Term Loan B, 2.95%, 4/17/20			1,103		1,110,125
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21			1,676		1,653,594
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19			1,191		1,094,813
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/16/20			609		610,137
Media General, Inc., Term Loan B, 4.00%, 7/31/20			541		541,114
Neptune Finco Corp., 2015 Term Loan B, 5.00%, 10/09/22			3,310		3,334,130
Numericable U.S. LLC:
Term Loan B6, 4.75%, 2/10/23			1,277		1,278,396


Floating Rate Loan Interests (d)	Par (000)			Value
Media (continued)
Numericable U.S. LLC (continued):
Term Loan B7, 5.00%, 1/15/24		USD	2,120	$	2,125,300
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21			1,940		1,938,012
Tribune Media Co., Term Loan, 3.75%, 12/27/20			2,574		2,577,908
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20			4,382		4,379,131
Virgin Media Investment Holdings Ltd., Term Loan F, 3.65%, 6/30/23			687		687,021
Ziggo Financing Partnership:
Term Loan B1, 3.65%, 1/15/22			1,561		1,559,055
Term Loan B2A, 3.65%, 1/15/22			1,023		1,021,660
Term Loan B3, 3.60%, 1/15/22			1,682		1,680,267

					41,040,047
Metals & Mining — 0.3%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20			530		71,550
Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22			2,254		2,245,901

					2,317,451
Multiline Retail — 1.0%
BJ’s Wholesale Club, Inc.:
1st Lien Term Loan, 4.50%, 9/26/19			2,236		2,224,805
2nd Lien Term Loan, 8.50%, 3/26/20			781		753,588
Dollar Tree, Inc., Term Loan B1, 3.50%, 7/06/22			1,971		1,980,497
Hudson’s Bay Co., 2015 Term Loan B, 4.75%, 9/30/22			882		882,118
Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20			1,568		1,435,628

					7,276,636
Oil, Gas & Consumable Fuels — 1.7%
California Resources Corp., Term Loan A, 2.00%, 10/01/19			398		364,668
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18			831		834,072
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21			1,684		735,461
EP Energy LLC, Term Loan B3, 2.75%, 5/24/18			710		574,827
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20			3,954		3,518,942



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016	19


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Floating Rate Loan Interests (d)	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20		USD	2,050	$	1,906,500
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20			200		192,000
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21			1,225		1,041,372
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21 (a)(c)			188		157,901
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21			71		56,801
Southcross Holdings Borrower LP, Exit Term Loan B, 3.50%, 4/13/23			83		66,748
Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22			1,890		1,779,867
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21			1,188		1,184,693

					12,413,852
Personal Products — 0.3%
NBTY, Inc., Term Loan B, 5.00%, 5/05/23			885		889,868
Prestige Brands, Inc., Term Loan B3, 3.51%, 9/03/21			1,059		1,061,323

					1,951,191
Pharmaceuticals — 2.9%
Akorn, Inc., Term Loan B, 5.25%, 4/16/21			1,349		1,356,158
DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21			2,329		2,289,836
Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.75%, 9/26/22			2,928		2,885,826
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.45%, 2/27/21			3,704		3,712,105
Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22			4,153		4,156,225
Valeant Pharmaceuticals International, Inc.:
Series C2 Term Loan B, 4.75%, 12/11/19			1,025		1,010,667
Series D2 Term Loan B, 4.50%, 2/13/19			1,505		1,484,403
Series E Term Loan B, 4.75%, 8/05/20			1,476		1,452,455


Floating Rate Loan Interests (d)	Par (000)			Value
Pharmaceuticals (continued)
Valeant Pharmaceuticals International, Inc. (continued):
Series F1 Term Loan B, 5.00%, 4/01/22		USD	3,416	$	3,370,981

					21,718,656
Professional Services — 2.3%
Acosta Holdco, Inc., 2015 Term Loan, 4.25%, 9/26/21			1,342		1,333,938
Advantage Sales & Marketing, Inc.:
2014 1st Lien Term Loan, 4.25%, 7/23/21			1,808		1,800,316
2014 2nd Lien Term Loan, 7.50%, 7/25/22			1,870		1,781,175
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18			3,448		3,444,110
ON Assignment, Inc., 2015 Term Loan, 3.75%, 6/03/22			2,093		2,096,326
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19			1,110		1,052,178
TransUnion LLC, Term Loan B2, 3.50%, 4/09/21			5,591		5,589,335

					17,097,378
Real Estate Investment Trusts (REITs) — 0.4%
Communications Sales & Leasing, Inc., Term Loan B, 5.00%, 10/24/22			466		462,832
MGM Growth Properties LLC, 2016 Term Loan B, 4.00%, 4/25/23			2,140		2,152,990

					2,615,822
Real Estate Management & Development — 1.1%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20			1,158		1,160,644
DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.25%, 11/04/21			2,079		2,072,364
Realogy Corp.:
Extended Letter of Credit, 2.43%, 10/16/16			626		618,366
Term Loan B, 3.75%, 3/05/20			4,300		4,307,100

					8,158,474
Road & Rail — 0.2%
Road Infrastructure Investment LLC:
1st Lien Term Loan, 4.25%, 3/31/21			606		600,759



20	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Floating Rate Loan Interests (d)	Par (000)			Value
Road & Rail (continued)
Road Infrastructure Investment LLC (continued):
2nd Lien Term Loan, 7.75%, 9/30/21		USD	1,175	$	1,157,375

					1,758,134
Semiconductors & Semiconductor Equipment — 1.7%
Avago Technologies Cayman Ltd., 2016 Term Loan B1, 4.25%, 2/01/23			9,425		9,447,526
Microsemi Corp., 2015 Term Loan B, 5.25%, 1/15/23			704		710,490
NXP BV, 2015 Term Loan B, 3.75%, 12/07/20			1,995		2,000,434
ON Semiconductor Corp., Term Loan B, 5.25%, 3/31/23			430		432,778

					12,591,228
Software — 2.6%
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20			2,273		2,226,276
Informatica Corp., Term Loan, 4.50%, 8/05/22			2,779		2,744,493
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21			711		583,190
Kronos, Inc.:
2nd Lien Term Loan, 9.75%, 4/30/20			1,951		1,990,334
Initial Incremental Term Loan, 4.50%, 10/30/19			1,140		1,140,749
Mitchell International, Inc.:
1st Lien Term Loan, 4.50%, 10/13/20			1,998		1,983,917
2nd Lien Term Loan, 8.50%, 10/11/21			1,250		1,154,162
SolarWinds, Inc., Term Loan, 6.50%, 2/03/23			2,500		2,499,225
Solera Holdings, Inc., Term Loan B, 5.75%, 3/03/23			1,020		1,025,528
Sophia LP, 2015 Term Loan B, 4.75%, 9/30/22			597		596,504
SS&C Technologies, Inc.:
2015 Term Loan B1, 4.01%, 7/08/22			2,781		2,789,802
2015 Term Loan B2, 4.02%, 7/08/22			382		383,514

					19,117,694
Specialty Retail — 1.4%
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19			704		704,474


Floating Rate Loan Interests (d)	Par (000)			Value
Specialty Retail (continued)
Michaels Stores, Inc.:
Incremental 2014 Term Loan B2, 4.00%, 1/28/20		USD	1,697	$	1,701,239
Term Loan B, 3.75%, 1/28/20			1,598		1,600,106
Party City Holdings, Inc., 2015 Term Loan B, 4.25%, 8/19/22			3,489		3,478,265
Petco Animal Supplies, Inc., 2016 Term Loan B1, 5.75%, 1/26/23			1,630		1,640,083
PetSmart, Inc., Term Loan B, 4.25%, 3/11/22			702		701,714
Things Remembered, Inc., Term Loan B, 0.00%, 5/24/18 (a)(c)			1,916		526,819

					10,352,700
Technology Hardware, Storage & Peripherals — 0.3%
Dell International LLC, Term Loan B2, 4.00%, 4/29/20			1,984		1,984,705
Textiles, Apparel & Luxury Goods — 0.3%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18			2,513		2,475,368
Thrifts & Mortgage Finance — 0.2%
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21			1,498		1,491,826
Trading Companies & Distributors — 0.1%
Beacon Roofing Supply, Inc., Term Loan B, 4.00%, 10/01/22			587		587,995
Nexeo Solutions LLC, 2016 Term Loan, 4.50%, 5/05/23			245		245,154

					833,149
Wireless Telecommunication Services — 1.6%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20			2,308		2,300,592
New Lightsquared LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 6/15/20 (f)			8,282		7,619,515
T-Mobile USA, Inc., Term Loan B, 3.50%, 11/09/22			2,085		2,097,554

					12,017,661
Total Floating Rate Loan Interests — 60.2%					448,158,517



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016	21


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Investment Companies — 3.0%		Shares		Value
iShares iBoxx $ High Yield Corporate Bond ETF (j)			267,180	$	22,338,920



Non-Agency Mortgage-Backed Securities — 0.2%		Par (000)
Collateralized Mortgage Obligations — 0.2%
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.60%, 11/05/30 (b)(d)	USD		1,263		1,265,780



Other Interests (k)		Beneficial Interest (000)
Auto Components — 0.0%
Intermet Liquidating Trust, Class A			1,154		12
Household Durables — 0.4%
Stanley Martin, Class B Membership Units (l)			2		2,745,000
Total Other Interests — 0.4%					2,745,012



Preferred Securities
Capital Trusts		Par (000)
ABN AMRO Bank NV, 5.75% (d)(i)			200		214,768
Banco Bilbao Vizcaya Argentaria SA, 6.75% (d)(i)			200		204,728
Banco Popular Espanol SA, 8.25% (d)(i)			200		195,159
Banco Santander SA, Series ., 6.25% (d)(i)			200		198,608
Bank of Ireland, 7.38% (d)(i)			200		217,913
BNP Paribas SA, 7.38% (b)(d)(i)			400		399,000
Cooperatieve Rabobank UA, 6.63% (d)(i)			200		227,002
Credit Agricole SA, 6.50% (d)(i)			100		109,457
Enel SpA, 6.50% (d)(i)			100		120,450
Gas Natural Fenosa Finance BV, 3.38% (d)(i)			200		199,106
HBOS Capital Funding LP, 6.85% (i)			100		101,750
HSBC Holdings PLC, 6.88% (d)(e)(i)			200		201,500
Intesa Sanpaolo SpA, 7.00% (d)(i)			400		430,596
Orange SA, 4.00% (d)(i)			250		281,840
Santander UK Group Holdings PLC, 7.38% (d)(i)			200		280,618
Telefonica Europe BV, 4.20% (d)(i)			200		222,541


Capital Trusts		Par (000)		Value
Telefonica Europe BV, 5.00% (d)(i)	USD		100	$	112,943
TOTAL SA, 3.88% (d)(i)			100		114,580
UBS Group AG, 5.75% (d)(i)			200		226,424
UBS Group AG, 7.00% (d)(i)			200		208,500
Total Capital Trusts — 0.6%					4,267,483



Preferred Stock		Shares
Capital Markets — 0.0%
Goldman Sachs Group, Inc., Series J, 0.00% (d)(i)			13,550		350,945



Trust Preferred
Diversified Financial Services — 0.2%
GMAC Capital Trust I, Series 2, 2/15/40, 8.13% (d)			59,219		1,478,921
Total Preferred Securities — 0.8%					6,097,349



Warrants
Software — 0.0%
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) (a)			3,049		7,828
Total Long-Term Investments (Cost — $974,223,313) — 124.8%					929,467,480



Short-Term Securities — 0.1%
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.39% (j)(m)			743,708		743,708
Total Short-Term Securities (Cost — $743,708) — 0.1%					743,708
Options Purchased (Cost — $5,867) — 0.0%					—
*Total Investments (Cost — $974,972,888) — 124.9%**					930,211,188
Liabilities in Excess of Other Assets — (24.9)%					(185,555,633	)

Net Assets — 100.0%				$	744,655,555



22	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)

As of May 31, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:


Tax cost	$	980,605,506

Gross unrealized appreciation	$	13,161,295
Gross unrealized depreciation		(63,555,613	)

Net unrealized depreciation	$	(50,394,318	)

Notes to Consolidated Schedule of Investments

(a)

Non-income producing security.

(b)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(c)

Issuer filed for bankruptcy and/or is in default of interest payments.

(d)

Variable rate security. Rate as of period end.

(e)

When-issued security.

(f)

Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

(g)

Zero-coupon bond.

(h)

Convertible security.

(i)

Perpetual security with no stated maturity date.

(j)

During the period ended May 31, 2016, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares Held at February 28, 2016		Shares Purchased		Shares Sold			Shares Held at May 31, 2016		Value at May 31, 2016		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		5,011,655		—		(4,267,947	)¹		743,708	$	743,708	$	733
iShares iBoxx $ High Yield Corporate Bond ETF		267,180		—		—			267,180	$	22,338,920	$	315,246
Total										$	23,082,628	$	315,979

¹Represents net shares sold.

(k)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(l)

All or a portion of security is held by a wholly owned subsidiary.

(m)

Current yield as of period end.

Derivative Financial Instruments Outstanding as of Period End


Futures Contracts


Contracts Short	Issue	Expiration	Notional Value		Unrealized Appreciation (Depreciation)
(2)	10-Year U.S. Treasury Note	September 2016		USD 259,375	$	(19	)
(11)	German Euro BOBL Futures	June 2016		USD 1,607,980		1,215
(3)	German Euro-Bund Futures	June 2016		USD 547,324		(3,340	)
Total					$	(2,144	)



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016	23


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	180,000		USD	201,767	State Street Bank and Trust Co.		6/06/16	$	(1,465	)
EUR	353,000		USD	393,279	State Street Bank and Trust Co.		6/06/16		(465	)
USD	619,504		CAD	776,000	Westpac Banking Corp.		6/06/16		27,760
USD	113,365		EUR	100,000	Bank of America N.A.		6/06/16		2,086
USD	219,097		EUR	190,000	Canadian Imperial Bank of Commerce		6/06/16		7,667
USD	45,745		EUR	40,000	Morgan Stanley & Co. International PLC		6/06/16		1,233
USD	16,007		EUR	14,000	Morgan Stanley & Co. International PLC		6/06/16		428
USD	370,487		EUR	328,000	Morgan Stanley & Co. International PLC		6/06/16		5,493
USD	13,313,395		EUR	11,647,000	Morgan Stanley & Co. International PLC		6/06/16		352,760
USD	11,386		EUR	10,000	Royal Bank of Scotland PLC		6/06/16		259
USD	109,320		EUR	96,000	Royal Bank of Scotland PLC		6/06/16		2,493
USD	317,090		EUR	280,000	Royal Bank of Scotland PLC		6/06/16		5,509
USD	57,667		EUR	50,000	Standard Chartered Bank		6/06/16		2,028
USD	200,552		EUR	175,000	State Street Bank and Trust Co.		6/06/16		5,814
USD	28,815		GBP	20,000	State Street Bank and Trust Co.		6/06/16		(153	)
USD	4,256,791		GBP	2,912,000	State Street Bank and Trust Co.		6/06/16		39,130
USD	590,399		CAD	769,000	Royal Bank of Canada		7/06/16		3,992
USD	13,842,241		EUR	12,396,000	Barclays Bank PLC		7/06/16		33,382
USD	101,455		EUR	91,000	HSBC Bank PLC		7/06/16		83
USD	111,470		EUR	100,000	State Street Bank and Trust Co.		7/06/16		72
USD	4,143,079		GBP	2,829,000	Barclays Bank PLC		7/06/16		44,685
Total								$	532,791

OTC Options Purchased

Description

Put/

Call

Counterparty

Expiration

Date

Strike

Price

Contracts

Value

Marsico Parent Superholdco LLC

Call

Goldman Sachs & Co.

12/14/2019

942.86

—

Centrally Cleared Credit Default Swaps — Sell Protection


Issuer /Index	Receive Fixed Rate			Expiration Date		Credit Rating¹		Notional Amount (000)²		Unrealized Appreciation (Depreciation)
Dow Jones CDX North America High Yield, Series 24, Version 3		5.00	%		6/20/20		B+		4,670		$	(154,048	)
Dow Jones CDX North America High Yield, Series 25, Version 2		5.00	%		12/20/20		B+		14,850			645,870
Total											$	491,822

¹ Using Standard & Poor’s rating of the issuer or the underlying securities of the index, as applicable.
² The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.



24	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)

OTC Credit Default Swaps — Sell Protection


Issuer/Index	Receive Fixed Rate			Counterparty	Expiration Date		Credit Rating¹	Notional Amount (000)²			Value		Premiums Paid (Received)		Unrealized Appreciation
Fiat Chrysler Automobiles NV		5.00	%	Bank of America N.A.		12/20/20	BB		EUR	55	$	4,447	$	4,788	$	(341	)
Fiat Chrysler Automobiles NV		5.00	%	Bank of America N.A.		12/20/20	BB		EUR	1		43		45		(2	)
Fiat Chrysler Automobiles NV		5.00	%	Barclays Bank PLC		6/20/21	BB		EUR	51		3,778		3,541		237
Fiat Chrysler Automobiles NV		5.00	%	Citibank N.A.		6/20/21	BB		EUR	31		2,261		2,525		(264	)
Fiat Chrysler Automobiles NV		5.00	%	Citibank N.A.		6/20/21	BB		EUR	31		2,261		2,525		(264	)
Fiat Chrysler Automobiles NV		5.00	%	Citibank N.A.		6/20/21	BB		EUR	31		2,261		2,525		(264	)
Fiat Chrysler Automobiles NV		5.00	%	Citibank N.A.		6/20/21	BB		EUR	49		3,623		3,392		231
Fiat Industrial Finance Europe SA		5.00	%	BNP Paribas S.A.		12/20/20	BB+		EUR	21		2,666		2,260		406
Total											$	21,340	$	21,601	$	(261	)


Portfolio Abbreviations


ADS		American Depositary Shares
CAD		Canadian Dollar
CLO		Collateralized Loan Obligation
DIP		Debtor-In-Possession
ETF		Exchange-Traded Fund
EUR		Euro
GBP		British Pound
MSCI		Morgan Stanley Capital International
OTC		Over-the-Counter
PIK		Payment-In-Kind.
SGD		Singapore Dollar
USD		U.S. Dollar



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016	25


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

•

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 and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as level 3.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Fund’s most recent financial statements as contained in its annual report.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	17,707,508	$	3,277,090	$	20,984,598
Common Stocks	$	39,846		188,373		92,328		320,547
Corporate Bonds		—		419,788,117		7,760,812		427,548,929
Floating Rate Loan Interests		—		423,729,662		24,428,855		448,158,517
Investment Companies		22,338,920		—		—		22,338,920
Non-Agency Mortgage-Backed Securities		—		1,265,780		—		1,265,780
Other Interests		—		—		2,745,012		2,745,012
Preferred Securities		1,829,866		4,267,483		—		6,097,349
Warrants		—		—		7,828		7,828
Short-Term Securities		743,708		—		—		743,708

Total	$	24,952,340	$	866,946,923	$	38,311,925	$	930,211,188



26	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Derivative Financial Instruments¹
Assets:
Credit contracts		—		$	646,744		—	$	646,744
Foreign currency exchange contracts		—			534,874		—		534,874
Interest rate contracts	$	1,215			—		—		1,215
Liabilities:
Credit contracts					(155,183	)	—		(155,183	)
Foreign currency exchange contracts		—			(2,083	)	—		(2,083	)
Interest rate contracts		(3,359	)		—		—		(3,359	)

Total	$	(2,144	)	$	1,024,352		—	$	1,022,208

¹ Derivative financial instruments are swaps, futures contracts and forward foreign currency contracts. Swaps, futures contracts and forward currency contracts are valued at the unrealized appreciation (depreciation) on the instrument.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
	Level 1			Level 2			Level 3	Total
Assets:
Cash	$	936,894			—		—	$	936,894
Cash pledged for centrally cleared swaps		1,074,000			—		—		1,074,000
Cash pledged for futures contracts		25,710			—		—		25,710
Foreign currency at value		16,343			—		—		16,343
Liabilities:
Bank borrowings payable		—		$	(181,000,000	)	—		(181,000,000	)

Total	$	2,052,947		$	(181,000,000	)	—	$	(178,947,053	)

During the period ended May 31, 2016, there were no transfers between levels 1 and 2.

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:


	Common Stocks			Asset- Backed Securities			Corporate Bonds			Floating Rate Loan Interests			Other Interests			Warrants			Total
Assets:
Opening balance, as of February 29, 2016	$	426,470		$	5,724,520		$	8,918,270		$	26,851,447		$	3,123,012		$	10,056		$	45,053,775
Transfers into Level 3¹		—			—			—			12,375,503			—			—			12,375,503
Transfers out of Level 3²		—			(2,615,445	)		(1,304,448	)		(15,252,079	)		—			—			(19,171,972	)
Accrued discounts/premiums		—			1,601			802			19,431			—			—			21,834
Net realized gain (loss)		—			—			—			(111,324	)		—			—			(111,324	)
Net change in unrealized appreciation (depreciation)³		(343,489	)		166,414			29,497			2,130,951			(195,443	)		(2,228	)		1,785,702
Purchases		9,347			—			116,691			71,011			—			—			197,049
Sales		—			—			—			(1,656,085	)		(182,557	)		—			(1,838,642	)
Closing balance, as of May 31, 2016		92,328			3,277,090			7,760,812			24,428,855			2,745,012			7,828			38,311,925

Net change in unrealized appreciation (depreciation) on investments still held at May 31, 2016⁴		(343,489	)		166,414			29,497			2,029,400			(195,443	)		(2,228	)		1,684,151



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016	27


Consolidated Schedule of Investments (concluded)		BlackRock Debt Strategies Fund, Inc. (DSU)

¹ As of February 29, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of May 31, 2016, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $12,375,503 transferred from Level 2 to Level 3 in the disclosure hierarchy.

² As of February 29, 2016, the Fund used significant unobservable inputs in determining the value of certain investments. As of May 31, 2016, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $19,171,972 transferred from Level 3 to Level 2 in the disclosure hierarchy.

⁴ Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at May 31, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $27,746,322. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

Value

Valuation Techniques

Unobservable Inputs

Range of
Unobservable Inputs
Utilized

Assets:

Common Stocks¹

51,965

Option Pricing Model

EBITDA Multiple²

6.00x

Marketability Discount³

20.00%

Risk Free Rate²

0.78%

Volatility²

31.00%

Years to Exit²

1-2 Years

Corporate Bonds¹

7,760,810

Discounted Cash Flow

Internal Rate of Return³

10.00% — 11.00%

Option Pricing Model

EBITDA Multiple²

6.00x

Marketability Discount³

20.00%

Risk Free Rate³

0.78%

Volatility³

31.00%

Years to Exit³

1-2 Years

Other Interests and Warrants

2,752,828

Market Comparables

Tangible Book Value Multiple²

1.00x

Last Dealer Mark — Adjusted

Delta Adjustment Based on Daily Movement in the Common Equity²

90%

Total

10,565,603

¹ For the period ended May 31, 2016, the valuation technique for certain investments classified as common stocks and corporate bonds changed to an Option Pricing Model. The investments were previously valued utilizing Market Comparables. An option pricing model was considered to be a more relevant measure of fair value for these investments.

² Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.

³ Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.



28	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2016

Item 2 – Controls and Procedures

2(a) –

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

2(b) –

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Debt Strategies Fund, Inc.


By:		/s/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of
		BlackRock Debt Strategies Fund, Inc.

Date:		July 22, 2016

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/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of
		BlackRock Debt Strategies Fund, Inc.

Date:		July 22, 2016

By:		/s/ Neal J. Andrews
		Neal J. Andrews
		Chief Financial Officer (principal financial officer) of
		BlackRock Debt Strategies Fund, Inc.

Date:		July 22, 2016