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: 02/28/2018

Date of reporting period: 05/31/2017

Item 1 – Schedule of Investments

Consolidated Schedule of Investments May 31, 2017 (Unaudited)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


Common Stocks			Shares		Value
Chemicals — 0.1%
GEO Specialty Chemicals, Inc. (a)(b)				557,488	$	206,271
GEO Specialty Chemicals, Inc. (a)(b)(c)				481,806		178,268
LyondellBasell Industries NV, Class A				26		2,093

						386,632
Computer Services Software & Systems — 0.0%
Adelphia Recovery Trust (b)				396,568		79
Diversified Financial Services — 0.1%
Kcad Holdings I Ltd. (a)(b)				1,075,282,733		1,473,137
Diversified Telecommunication Services — 0.0%
Broadview Networks Holdings, Inc. (b)				5,037		32,640
Health Care Management Services — 0.0%
New Millennium HoldCo, Inc.				10,718		14,802
Independent Power and Renewable Electricity Producers — 0.1%
Vistra Energy Corp.				39,599		584,877
Internet Software & Services — 0.0%
New Holdings LLC				252		85,008
Media — 0.0%
Adelphia Communications Corp., Class A (a)(b)				400,000		4
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp. (b)				1,707		13,434
Specialty Retail — 0.0%
Things Remembered, Inc. (a)(b)				1,199,043		12
Total Common Stocks - 0.3%						2,590,625



Asset-Backed Securities — 6.4%	Par (000)
ACAS CLO Ltd., Series 2015-1A, Class D, 4.81%, 4/18/27 (d)(c)		USD		280		278,085
ALM XIV Ltd., Series 2014-14A, Class C, 4.62%, 7/28/26 (d)(c)				463		463,007
ALM XVI Ltd/ALM XVI LLC, Series 2015-16A, Class D, 6.51%, 7/15/27 (d)(c)				1,250		1,222,314
Anchorage Capital CLO 4 Ltd., Series 2014-4A, Class CR, 4.57%, 7/28/26 (a)(d)(c)				2,250		2,250,000
Anchorage Capital CLO 5 Ltd., Series 2014-5A, Class CR, 3.36%, 10/15/26 (d)(c)				2,000		2,004,515
Apidos CDO, Series 2015-21A, Class C, 4.71%, 7/18/27 (d)(c)				1,650		1,655,941


Asset-Backed Securities	Par (000)			Value
Ares CLO Ltd., Class D (d)(c):
Series 2015-38A, 5.31%, 1/20/27		USD	1,000	$	1,006,037
Series 2016-41A, 5.36%, 1/15/29			450		456,245
Arrowpoint CLO Ltd., Series 2013-1A, Class CR, 5.72%, 11/15/28 (a)(d)(c)			800		800,400
Atlas Senior Loan Fund V Ltd., Series 2014-1A, Class D, 4.61%, 7/16/26 (d)(c)			1,000		991,525
Atlas Senior Loan Fund VI Ltd., Series 2014-6A, Class DR, 4.76%, 10/15/26 (d)(c)			1,000		1,001,589
BlueMountain CLO Ltd. (d)(c)
Series 2014-3A, Class CR, 4.36%, 10/15/26			1,000		998,976
Series 2015-2A, Class E, 6.51%, 7/18/27			250		242,403
Burnham Park CLO Ltd., Series 2016-1A, Class D, 5.01%, 10/20/29 (d)(c)			1,000		1,011,265
Carlyle Global Market Strategies CLO Ltd. (d)(c):
Series 2012-4A, Class DR, 5.26%, 1/20/29			1,000		1,012,439
Series 2013-1A, Class C, 5.18%, 2/14/25			250		251,216
Series 2014-1A, Class CR, 3.91%, 4/17/25			1,500		1,505,581
Series 2015-1A, Class E1, 6.46%, 4/20/27			1,000		985,615
Series 2015-2A, Class C, 4.92%, 4/27/27			250		250,452
Series 2015-2A, Class D, 6.47%, 4/27/27			1,000		988,266
Catskill Park CLO, Ltd., Series 2017-1A, Class C, 4.79%, 4/20/29 (a)(d)(c)			1,000		1,000,000
Cedar Funding IV CLO, Ltd., Series 2014-4A, Class DR, 4.81%, 7/23/30 (a)(d)(c)			1,500		1,500,000
CIFC Funding Ltd., Series 2012-3A, Class B1R, 5.04%, 1/29/25 (d)(c)			1,000		1,004,535
CIFC Funding V Ltd., Series 2015-5A, Class D, 7.46%, 10/25/27 (d)(c)			1,000		995,510
Dryden 49 Senior Loan Fund, Series 2017-49A, Class D, 1.00%, 7/18/30 (a)(d)(c)(e)			1,000		1,000,000



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	1


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


Asset-Backed Securities	Par (000)			Value
Dryden XXXVI Senior Loan Fund, Series 2014-36A, Class DR, 5.40%, 1/15/28 (a)(d)(c)		USD	1,000	$	1,010,000
Highbridge Loan Management Ltd., Series 6A-2015 (d)(c):
Class D, 4.82%, 5/05/27			300		299,527
Class E1, 6.62%, 5/05/27			1,250		1,210,238
LCM XV LP, Series 15A (d)(c):
Class CR, 3.59%, 7/20/30			2,250		2,250,000
Class DR, 4.89%, 7/20/30			1,250		1,250,000
Madison Park Funding X, Ltd., Series 2012-10A, Class DR, 5.36%, 1/20/29 (d)(c)			1,500		1,521,579
Madison Park Funding XIV Ltd., Series 2014-14A, Class DR, 4.41%, 7/20/26 (d)(c)			1,015		1,014,508
Neuberger Berman CLO XVII Ltd., Series 2014-17A, Class DR, 4.78%, 4/22/29 (d)(c)			1,000		999,739
Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class CR, 5.43%, 11/14/27 (d)(c)			1,000		1,008,063
Neuberger Berman CLO XXIII Ltd., Series 2016-23A, Class E, 7.74%, 10/17/27 (d)(c)			1,000		1,000,702
OCP CLO Ltd., Series 2012-2A, Class DR, 5.64%, 11/22/25 (d)(c)			1,000		1,006,266
Octagon Investment Partners XXII, Ltd., 3.22%, 11/25/25 (a)(c)			1,500		1,500,000
OZLM IX Ltd., Series 2014-9A Class CR, 4.71%, 1/20/27 (d)(c)			750		750,906
Sound Point CLO III, Ltd., Series 2013-2A, Class DR, 4.51%, 7/15/25 (a)(d)(c)			1,000		1,000,000
Sound Point CLO IV Ltd., Series 2013-3A (a)(d)(c):
Class CR, 2.53%, 1/21/26			1,000		1,000,000
Class DR, 4.56%, 1/21/26			500		500,000
Steele Creek CLO 2016-1, Ltd., Series 2016-1A, Class E, 7.88%, 6/15/28 (d)(c)			1,000		1,001,610
Symphony CLO Ltd., 4.81%, 7/15/28 (d)(c)			1,700		1,708,562
THL Credit Wind River 2014-3 CLO, Ltd., Series 2014-3A, Class C1R, 1.00%, 1/22/27 (d)(c)(e)			1,000		1,000,000
Voya CLO Ltd., Series 2012-2AR, Class ER, 7.16%, 10/15/22 (d)(c)			1,250		1,251,313
Webster Park CLO Ltd., Series 2015-1A (d)(c):
Class B1, 4.26%, 1/20/27			500		503,025
Class C, 5.21%, 1/20/27			500		505,032


Asset-Backed Securities	Par (000)			Value
York CLO 1, Ltd., Series 2014-1A, Class CR, 3.50%, 1/22/27 (a)(d)(c)		USD	1,500	$	1,500,000
Total Asset-Backed Securities - 6.4%					49,666,986



Corporate Bonds
Aerospace & Defense — 1.5%
Accudyne Industries Borrower/Accudyne Industries LLC, 7.75%, 12/15/20 (c)			1,140		1,154,250
Bombardier, Inc. (c):
6.00%, 10/15/22			1,360		1,360,857
6.13%, 1/15/23			648		650,025
7.50%, 3/15/25			1,032		1,067,583
Colfax Corp., 3.25%, 5/15/25		EUR	100		115,986
EnPro Industries, Inc., 5.88%, 9/15/22 (c)		USD	292		305,140
Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (c)			307		317,745
KLX, Inc., 5.88%, 12/01/22 (c)			1,617		1,706,065
Koppers, Inc., 6.00%, 2/15/25 (c)			606		636,300
Kratos Defense & Security Solutions, Inc., 7.00%, 5/15/19			200		204,500
TransDigm, Inc.:
6.00%, 7/15/22			2,386		2,472,194
6.50%, 7/15/24			1,469		1,527,760
6.38%, 6/15/26			223		228,575

					11,746,980
Air Freight & Logistics — 0.4%
XPO Logistics, Inc.:
5.75%, 6/15/21		EUR	100		118,386
6.50%, 6/15/22 (c)		USD	1,520		1,613,784
6.13%, 9/01/23 (c)			1,004		1,059,220

					2,791,390
Airlines — 0.8%
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (c)			712		736,030
American Airlines Group, Inc., 4.63%, 3/01/20 (c)			542		557,583
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18			2,390		2,461,700
US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 5/15/23			1,952		2,035,000



2	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017


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


Corporate Bonds	Par (000)			Value
Airlines (continued)
Virgin Australia Trust, Series 2013-1, Class C, 7.13%, 10/23/18 (c)		USD	469	$	477,998

					6,268,311
Auto Components — 0.9%
Allison Transmission, Inc., 5.00%, 10/01/24 (c)			685		698,700
Federal-Mogul Holdings LLC, 4.88%, 4/15/24 (d)		EUR	100		112,683
Goodyear Tire & Rubber Co., 5.00%, 5/31/26		USD	133		137,072
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
4.88%, 3/15/19			4,609		4,664,308
Series WI, 6.25%, 2/01/22			319		332,159
Series WI, 6.75%, 2/01/24			151		157,795
IHO Verwaltungs GmbH (f):
(2.75% Cash or 3.50% PIK), 2.75%, 9/15/21		EUR	100		116,266
(3.25% Cash or 4.00% PIK), 3.25%, 9/15/23			100		118,103
(3.75% Cash or 4.50% PIK), 3.75%, 9/15/26			100		119,383
Jaguar Land Rover Automotive PLC, 5.63%, 2/01/23 (c)		USD	425		444,125
Venture Holdings Co. LLC (a)(b)(g):
12.00%, 7/01/49			5,150		1
Series B, 9.50%, 7/01/05			5,125		1
ZF North America Capital, Inc., 4.75%, 4/29/25 (c)			150		157,875

					7,058,471
Banks — 0.4%
Allied Irish Banks PLC, 4.13%, 11/26/25 (d)		EUR	100		120,063
Banco Espirito Santo SA (b)(g):
2.63%, 5/08/17			100		31,454
4.75%, 1/15/18			200		62,908
4.00%, 1/21/19			100		31,454
Banco Popolare, 2.75%, 7/27/20			100		116,149
Bank of Ireland, 4.25%, 6/11/24 (d)			100		118,684
Bankia SA (d):
4.00%, 5/22/24			200		233,657
3.38%, 3/15/27			100		115,318
BPE Financiaciones SA, 2.00%, 2/03/20			100		105,485
BPER Banca, 5.13%, 5/31/27 (d)			100		113,601
CaixaBank SA, 3.50%, 2/15/27 (d)			100		117,647
CIT Group, Inc.:
5.50%, 2/15/19 (c)		USD	1,036		1,092,980
5.00%, 8/01/23			470		507,012

					2,766,412


Corporate Bonds	Par (000)			Value
Beverages — 0.1%
BWAY Holding Co., 5.50%, 4/15/24 (c)		USD	726	$	742,335
Horizon Holdings I SASU, 7.25%, 8/01/23		EUR	100		121,286
Silgan Holdings, Inc., 3.25%, 3/15/25			100		114,997

					978,618
Building Materials — 0.0%
Titan Global Finance PLC, 3.50%, 6/17/21			100		118,464
Building Products — 0.5%
American Builders & Contractors Supply Co., Inc. (c):
5.63%, 4/15/21		USD	84		86,415
5.75%, 12/15/23			415		439,900
Building Materials Corp. of America (c):
5.38%, 11/15/24			85		89,356
6.00%, 10/15/25			664		717,120
CPG Merger Sub LLC, 8.00%, 10/01/21 (c)			666		695,970
Masonite International Corp., 5.63%, 3/15/23 (c)			579		607,950
Ply Gem Industries, Inc., 6.50%, 2/01/22			472		493,240
Standard Industries, Inc. (c):
5.13%, 2/15/21			84		87,570
5.50%, 2/15/23			303		319,286
USG Corp., 4.88%, 6/01/27 (c)			214		216,140

					3,752,947
Capital Markets — 0.5%
Blackstone CQP Holdco LP, 6.50%, 3/20/21 (c)			3,551		3,583,389
LPL Holdings, Inc., 5.75%, 9/15/25 (c)			149		153,842

					3,737,231
Casinos & Gambling — 0.0%
GLP Capital LP/GLP Financing II, Inc., 5.38%, 4/15/26			99		107,168
Chemicals — 3.5%
Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 2/01/25 (c)			1,100		1,122,000
Axalta Coating Systems Dutch Holding B BV, 3.75%, 1/15/25		EUR	100		118,462
Axalta Coating Systems LLC, 4.88%, 8/15/24 (c)		USD	325		332,719
Blue Cube Spinco, Inc.:
9.75%, 10/15/23			366		446,520
10.00%, 10/15/25			250		310,000



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	3


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


Corporate Bonds	Par (000)			Value
Chemicals (continued)
CF Industries, Inc., 5.15%, 3/15/34		USD	185	$	171,125
Chemours Co.:
6.63%, 5/15/23			270		288,195
7.00%, 5/15/25			321		355,508
The Chemours Co., 5.38%, 5/15/27			312		324,480
GEO Specialty Chemicals, Inc., 7.50%, 10/30/18 (a)(c)			6,763		10,613,144
Hexion, Inc., 10.38%, 2/01/22 (c)			311		314,888
Huntsman International LLC:
4.88%, 11/15/20			231		244,860
5.13%, 4/15/21		EUR	100		127,243
5.13%, 11/15/22		USD	1,101		1,186,327
Ineos Finance PLC, 4.00%, 5/01/23		EUR	100		116,688
INEOS Group Holdings SA, 5.38%, 8/01/24			100		120,199
Inovyn Finance PLC, 6.25%, 5/15/21			80		117,952
Momentive Performance Materials, Inc., 3.88%, 10/24/21		USD	2,675		2,708,437
NOVA Chemicals Corp. (c)(e):
4.88%, 6/01/24			350		350,875
5.25%, 6/01/27			880		881,100
Platform Specialty Products Corp. (c):
10.38%, 5/01/21			506		561,028
6.50%, 2/01/22			4,019		4,139,570
PQ Corp., 6.75%, 11/15/22 (c)			967		1,051,612
PSPC Escrow Corp., 6.00%, 2/01/23		EUR	100		117,985
Tronox Finance LLC:
6.38%, 8/15/20		USD	564		569,640
7.50%, 3/15/22 (c)			172		178,665
WR Grace & Co-Conn, 5.13%, 10/01/21 (c)			488		519,720

					27,388,942
Commercial Services & Supplies — 0.7%
ADT Corp.:
3.50%, 7/15/22			480		469,200
4.13%, 6/15/23			720		714,600
4.88%, 7/15/32 (c)			861		749,070
Advanced Disposal Services, Inc., 5.63%, 11/15/24 (c)			608		623,960
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (c)			200		213,250
Harland Clarke Holdings Corp., 8.38%, 8/15/22 (c)			740		780,700
La Financiere Atalian SAS, 4.00%, 5/15/24		EUR	100		116,563
Mobile Mini, Inc., 5.88%, 7/01/24		USD	104		108,160


Corporate Bonds		Par (000)		Value
Commercial Services & Supplies (continued)
Park Aerospace Holdings Ltd., 5.25%, 8/15/22 (c)	USD		645	$	676,847
Ritchie Bros Auctioneers, Inc., 5.38%, 1/15/25 (c)			302		312,570
United Rentals North America, Inc.:
7.63%, 4/15/22			367		383,056
5.75%, 11/15/24			165		174,489
Verisure Holding AB, 6.00%, 11/01/22	EUR		112		136,940

					5,459,405
Communications Equipment — 0.8%
CommScope Technologies Finance LLC, 6.00%, 6/15/25 (c)	USD		105		111,584
CommScope Technologies LLC, 5.00%, 3/15/27 (c)			1,007		1,007,000
CommScope, Inc. (c):
5.00%, 6/15/21			574		588,706
5.50%, 6/15/24			227		238,066
Zayo Group LLC/Zayo Capital, Inc.:
6.00%, 4/01/23			3,045		3,220,087
6.38%, 5/15/25			175		188,125
5.75%, 1/15/27 (c)			576		607,617

					5,961,185
Construction & Engineering — 0.5%
BlueLine Rental Finance Corp., 9.25%, 3/15/24 (c)			2,767		2,891,515
Engility Corp., 8.88%, 9/01/24			468		503,100
SPIE SA, 3.13%, 3/22/24	EUR		100		116,828
Swissport Investments SA, 6.75%, 12/15/21			100		122,176
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23	USD		350		339,500

					3,973,119
Construction Materials — 0.7%
Allegion US Holding Co., Inc., 5.75%, 10/01/21			117		121,739
American Tire Distributors, Inc., 10.25%, 3/01/22 (c)			384		401,280
HD Supply, Inc. (c):
5.25%, 12/15/21			2,410		2,538,935
5.75%, 4/15/24			1,625		1,732,656
LKQ Italia Bondco SpA, 3.88%, 4/01/24	EUR		100		121,041
PulteGroup, Inc., 5.50%, 3/01/26	USD		446		471,366
Rexel SA, 3.50%, 6/15/23	EUR		130		154,009

					5,541,026
Consumer Discretionary — 0.1%
Nielsen Co. Luxembourg SARL, 5.00%, 2/01/25 (c)	USD		471		480,420



4	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017


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


Corporate Bonds	Par (000)			Value
Consumer Finance — 0.7%
Ally Financial, Inc.:
6.25%, 12/01/17		USD	30	$	30,645
4.63%, 3/30/25			216		216,583
8.00%, 11/01/31			2,656		3,207,120
CDK Global, Inc., 4.88%, 6/01/27 (c)			333		336,540
Navient Corp.:
6.63%, 7/26/21			297		315,652
5.50%, 1/25/23			345		340,580
7.25%, 9/25/23			10		10,510
6.13%, 3/25/24			237		236,479
5.88%, 10/25/24			258		250,905
5.63%, 8/01/33			260		212,550
OneMain Financial Holdings LLC (c):
6.75%, 12/15/19			439		459,852
7.25%, 12/15/21			71		74,770

					5,692,186
Containers & Packaging — 2.5%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
6.00%, 6/30/21 (c)			1,490		1,534,700
4.25%, 1/15/22		EUR	55		63,204
4.25%, 9/15/22 (c)		USD	235		239,406
4.63%, 5/15/23 (c)			559		571,578
2.75%, 3/15/24		EUR	125		142,826
6.75%, 5/15/24			125		156,391
7.25%, 5/15/24 (c)		USD	2,685		2,930,006
6.00%, 2/15/25 (c)			1,646		1,715,955
Ball Corp., 5.00%, 3/15/22			823		879,581
Crown European Holdings SA, 4.00%, 7/15/22		EUR	220		277,349
Graphic Packaging International, Inc., 4.13%, 8/15/24		USD	1,130		1,144,125
International Paper Co., 7.30%, 11/15/39			5		6,746
JH-Holding Finance SA, (8.25% PIK), 8.25%, 12/01/22 (f)		EUR	100		122,445
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu:
5.75%, 10/15/20		USD	3,099		3,181,898
6.88%, 2/15/21			172		176,714
4.66%, 7/15/21 (d)(c)			1,671		1,704,420
5.13%, 7/15/23 (c)			372		386,880
7.00%, 7/15/24 (c)			1,612		1,734,907
Sappi Papier Holding GmbH, 4.00%, 4/01/23		EUR	100		119,075
Sealed Air Corp.:
4.88%, 12/01/22 (c)		USD	120		125,250
4.50%, 9/15/23		EUR	100		126,359


Corporate Bonds	Par (000)			Value
Containers & Packaging (continued)
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%, 5/01/22 (c)		USD	1,771	$	1,846,268
Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (c)			200		204,000
Verallia Packaging SASU, 5.13%, 8/01/22		EUR	100		119,637

					19,509,720
County/City/Special District/School District — 0.0%
Levi Strauss & Co., 3.38%, 3/15/27			100		114,649
Diversified Consumer Services — 0.9%
APX Group, Inc.:
6.38%, 12/01/19		USD	165		170,224
8.75%, 12/01/20			390		404,137
7.88%, 12/01/22			1,240		1,354,564
GW Honos Security Corp., 8.75%, 5/15/25 (c)			113		116,390
Laureate Education, Inc., 8.25%, 5/01/25 (c)			119		125,248
Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23 (c)			4,035		4,411,627
Service Corp. International, 4.50%, 11/15/20			307		312,756
Sotheby’s, 5.25%, 10/01/22 (c)			220		224,400
Tereos Finance Groupe I SA, 4.13%, 6/16/23		EUR	100		113,739

					7,233,085
Diversified Financial Services — 0.6%
Aircastle Ltd.:
5.13%, 3/15/21		USD	33		35,351
5.50%, 2/15/22			427		463,295
Ally Financial, Inc., 5.13%, 9/30/24			1,207		1,253,023
Arrow Global Finance PLC, 2.88%, 4/01/25 (d)		EUR	100		112,391
ASP AMC Merger Sub, Inc., 8.00%, 5/15/25 (c)		USD	157		153,860
FBM Finance, Inc., 8.25%, 8/15/21 (c)			350		376,250
Garfunkelux Holdco 3 SA, 8.50%, 11/01/22		GBP	100		139,153
Jefferies Finance LLC/JFIN Co-Issuer Corp. (c):
7.38%, 4/01/20		USD	625		646,094
6.88%, 4/15/22			516		518,580
ProGroup AG, 5.13%, 5/01/22		EUR	130		154,757
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 6/01/25 (c)		USD	248		253,580



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	5


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


Corporate Bonds	Par (000)			Value
Diversified Financial Services (continued)
UniCredit SpA:
6.95%, 10/31/22		EUR	100	$	135,116
5.75%, 10/28/25 (d)			100		123,541
4.38%, 1/03/27 (d)			100		118,810
WMG Acquisition Corp., 4.13%, 11/01/24			100		119,356

					4,603,157
Diversified Telecommunication Services — 2.0%
CenturyLink, Inc.:
6.45%, 6/15/21		USD	1,753		1,895,431
Series Y, 7.50%, 4/01/24			43		47,085
Cincinnati Bell, Inc., 7.00%, 7/15/24 (c)			1,210		1,270,500
Frontier Communications Corp.:
8.13%, 10/01/18			181		191,408
7.13%, 3/15/19			50		52,875
8.50%, 4/15/20			397		420,820
8.88%, 9/15/20			40		42,550
6.25%, 9/15/21			345		323,438
7.13%, 1/15/23			235		203,569
7.63%, 4/15/24			751		630,840
6.88%, 1/15/25			1,750		1,407,665
Level 3 Financing, Inc.:
4.94%, 1/15/18 (d)			646		647,615
5.38%, 8/15/22			925		952,750
5.13%, 5/01/23			1,120		1,165,506
5.38%, 1/15/24			712		746,269
5.38%, 5/01/25			869		913,258
5.25%, 3/15/26			641		666,441
OTE PLC, 3.50%, 7/09/20		EUR	100		115,143
SoftBank Group Corp., 4.75%, 7/30/25			129		164,498
Telecom Italia Capital SA:
6.38%, 11/15/33		USD	301		323,289
6.00%, 9/30/34			594		627,965
7.20%, 7/18/36			397		456,550
7.72%, 6/04/38			59		70,800
Telecom Italia Finance SA, 7.75%, 1/24/33		EUR	100		152,753
Telecom Italia SpA:
3.25%, 1/16/23			150		185,359
5.88%, 5/19/23		GBP	100		148,891
5.30%, 5/30/24 (c)		USD	905		965,517
Windstream Corp., 7.75%, 10/01/21			451		436,342

					15,225,127
Electric Utilities — 0.0%
AES Corp., 4.88%, 5/15/23			256		260,160
Talen Energy Supply LLC, 6.50%, 6/01/25			45		33,637

					293,797


Corporate Bonds	Par (000)			Value
Electrical Equipment — 0.0%
Areva SA, 4.88%, 9/23/24		EUR	100	$	120,850
Belden, Inc., 5.50%, 4/15/23			109		129,792

					250,642
Electronic Equipment, Instruments & Components — 0.1%
CDW LLC/CDW Finance Corp., 5.00%, 9/01/23		USD	811		837,357
SESI LLC, 7.13%, 12/15/21			180		179,550

					1,016,907
Energy Equipment & Services — 1.0%
Ensco PLC:
4.50%, 10/01/24			175		143,938
5.20%, 3/15/25			55		46,595
Gates Global LLC/Gates Global Co.:
5.75%, 7/15/22		EUR	100		115,098
6.00%, 7/15/22 (c)		USD	836		851,717
Genesis Energy LP/Genesis Energy Finance Corp.:
5.75%, 2/15/21			103		104,545
6.75%, 8/01/22			56		57,750
GrafTech International Ltd., 6.38%, 11/15/20			150		130,875
Noble Holding International Ltd., 4.63%, 3/01/21			22		19,800
Pioneer Energy Services Corp., 6.13%, 3/15/22			740		643,800
Precision Drilling Corp., 6.50%, 12/15/21			5		5,063
Transocean, Inc.:
4.50%, 10/15/17			354		358,204
6.00%, 3/15/18			1,399		1,433,975
7.38%, 4/15/18			90		93,150
5.80%, 10/15/22			240		224,400
9.00%, 7/15/23 (c)			1,416		1,479,720
6.80%, 3/15/38			375		291,562
Trinidad Drilling Ltd., 6.63%, 2/15/25 (c)			724		720,380
Weatherford International Ltd.:
7.75%, 6/15/21			215		226,907
8.25%, 6/15/23			335		355,100
9.88%, 2/15/24 (c)			356		400,500

					7,703,079
Environmental, Maintenance, & Security Service — 0.2%
Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18		EUR	100		112,948
Paprec Holding SA, 5.25%, 4/01/22			100		118,792
Tervita Escrow Corp., 7.63%, 12/01/21 (c)		USD	1,094		1,114,513

					1,346,253



6	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017


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


Corporate Bonds	Par (000)			Value
Food & Staples Retailing — 0.7%
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC (c):
6.63%, 6/15/24		USD	308	$	318,780
5.75%, 3/15/25			363		361,185
B&G Foods, Inc., 5.25%, 4/01/25			378		391,230
B&M European Value Retail SA, 4.13%, 2/01/22		GBP	100		135,288
Casino Guichard Perrachon SA:
4.56%, 1/25/23		EUR	100		125,875
4.50%, 3/07/24			200		248,057
Dollar Tree, Inc.:
5.25%, 3/01/20		USD	69		71,070
5.75%, 3/01/23			2,882		3,052,038
Rite Aid Corp.:
6.75%, 6/15/21			13		13,146
6.13%, 4/01/23 (c)			915		908,870
7.70%, 2/15/27			56		59,360

					5,684,899
Food Products — 0.6%
Acosta, Inc., 7.75%, 10/01/22 (c)			420		354,900
JBS USA LLC/JBS USA Finance, Inc. (c):
7.25%, 6/01/21			355		354,113
5.75%, 6/15/25			957		928,888
Post Holdings, Inc., 5.00%, 8/15/26 (c)			2,342		2,356,637
TreeHouse Foods, Inc., 6.00%, 2/15/24 (c)			274		292,495
WhiteWave Foods Co., 5.38%, 10/01/22			239		269,286

					4,556,319
Forest Products — 0.1%
Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 4/15/25 (c)			598		628,917
FAGE International SA/FAGE USA Dairy Industry, Inc., 5.63%, 8/15/26 (c)			200		204,000

					832,917
Health Care Equipment & Supplies — 0.9%
Crimson Merger Sub, Inc., 6.63%, 5/15/22 (c)			2,051		1,953,577
DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (c)			1,690		1,571,700
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (c)			820		905,075
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19			600		607,500


Corporate Bonds	Par (000)			Value
Health Care Equipment & Supplies (continued)
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (c):
4.88%, 4/15/20		USD	350	$	350,000
5.75%, 8/01/22			990		978,244
5.63%, 10/15/23			384		368,640
5.50%, 4/15/25			125		114,688

					6,849,424
Health Care Providers & Services — 4.0%
Acadia Healthcare Co., Inc.:
5.13%, 7/01/22			872		889,440
5.63%, 2/15/23			235		244,106
6.50%, 3/01/24			122		130,235
Alere, Inc., 6.38%, 7/01/23 (c)			406		438,988
Amsurg Corp., 5.63%, 7/15/22			2,812		2,934,673
Centene Corp.:
5.63%, 2/15/21			716		747,776
4.75%, 5/15/22			67		69,881
6.13%, 2/15/24			311		337,920
4.75%, 1/15/25			855		882,787
CHS/Community Health Systems, Inc.:
8.00%, 11/15/19			400		402,000
7.13%, 7/15/20			252		248,220
5.13%, 8/01/21			498		504,225
6.88%, 2/01/22			499		443,486
6.25%, 3/31/23			1,017		1,054,375
DaVita, Inc., 5.13%, 7/15/24			810		824,175
HCA, Inc.:
6.50%, 2/15/20			2,792		3,067,710
5.88%, 3/15/22			778		863,580
4.75%, 5/01/23			658		701,856
5.00%, 3/15/24			1,015		1,087,471
5.38%, 2/01/25			733		770,566
5.88%, 2/15/26			1,572		1,707,585
5.25%, 6/15/26			1,310		1,423,053
4.50%, 2/15/27			1,227		1,262,338
HealthSouth Corp., 5.75%, 11/01/24			179		184,818
Hologic, Inc., 5.25%, 7/15/22 (c)			475		498,750
MEDNAX, Inc., 5.25%, 12/01/23 (c)			574		582,610
MPH Acquisition Holdings LLC, 7.13%, 6/01/24 (c)			1,696		1,812,515
New Amethyst Corp., 6.25%, 12/01/24 (c)			449		480,430
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23 (c)			609		651,630
Sterigenics-Nordion Holdings LLC, 6.50%, 5/15/23 (c)			128		131,840
Surgery Center Holdings, Inc., 8.88%, 4/15/21 (c)			146		156,038



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	7


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


Corporate Bonds		Par (000)		Value
Health Care Providers & Services (continued)
Tenet Healthcare Corp.:
4.63%, 6/15/20 (d)	USD		989	$	996,417
6.00%, 10/01/20			1,395		1,494,394
4.50%, 4/01/21			280		287,364
8.13%, 4/01/22			2,540		2,679,700
Vizient, Inc., 10.38%, 3/01/24 (c)			200		230,500

					31,223,452
Health Care Technology — 0.0%
Quintiles IMS, Inc., 3.25%, 3/15/25 (c)	EUR		100		115,424
Hotels, Restaurants & Leisure — 2.3%
Burger King France SAS:
5.25%, 5/01/23 (d)			100		116,053
6.00%, 5/01/24			100		119,075
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20	USD		1,428		1,479,765
Codere Finance 2 Luxembourg SA, 6.75%, 11/01/21	EUR		100		116,590
ESH Hospitality, Inc., 5.25%, 5/01/25 (c)	USD		183		186,997
Jacobs Entertainment, Inc., 7.88%, 2/01/24 (c)			303		319,665
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (c):
5.00%, 6/01/24			66		68,660
5.25%, 6/01/26			234		245,525
MGM Resorts International:
5.25%, 3/31/20			1,495		1,591,188
6.75%, 10/01/20			584		648,970
6.63%, 12/15/21			1,352		1,517,620
4.63%, 9/01/26			987		988,234
New Red Finance, Inc. (c):
6.00%, 4/01/22			2,115		2,201,609
4.25%, 5/15/24			759		759,000
PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20	EUR		100		116,373
Sabre GLBL, Inc., 5.25%, 11/15/23 (c)	USD		221		229,840
Scientific Games International, Inc.:
7.00%, 1/01/22 (c)			2,281		2,434,968
10.00%, 12/01/22			2,189		2,383,274
Six Flags Entertainment Corp. (c):
4.88%, 7/31/24			543		546,394
5.50%, 4/15/27			257		264,710
Station Casinos LLC, 7.50%, 3/01/21			969		1,005,338
Stonegate Pub Co. Financing PLC, 4.88%, 3/15/22	GBP		100		130,917


Corporate Bonds		Par (000)		Value
Hotels, Restaurants & Leisure (continued)
Thomas Cook Group PLC, 6.25%, 6/15/22	EUR		100	$	122,220
Unique Pub Finance Co. PLC, Series A4, 5.66%, 6/30/27	GBP		194		279,325
Vue International Bidco PLC, 7.88%, 7/15/20			147		194,563

					18,066,873
Household Durables — 0.6%
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (c)	USD		285		292,837
CalAtlantic Group, Inc.:
8.38%, 1/15/21			1,090		1,283,856
5.25%, 6/01/26			285		292,838
Lennar Corp.:
4.75%, 11/15/22			118		123,181
4.88%, 12/15/23			265		276,925
Meritage Homes Corp., 4.50%, 3/01/18			589		597,835
Ryland Group, Inc., 6.63%, 5/01/20			130		143,325
Standard Pacific Corp., 5.88%, 11/15/24			97		104,518
Tempur Sealy International, Inc., 5.50%, 6/15/26			725		728,045
TRI Pointe Group, Inc.:
4.38%, 6/15/19			435		445,875
4.88%, 7/01/21			525		546,000

					4,835,235
Household Products — 0.3%
Spectrum Brands, Inc., 6.63%, 11/15/22			1,810		1,905,025
Independent Power and Renewable Electricity Producers — 0.6%
AES Corp., 6.00%, 5/15/26			201		215,070
Calpine Corp., 5.38%, 1/15/23			128		125,535
Dynegy, Inc.:
6.75%, 11/01/19			665		684,119
7.38%, 11/01/22			231		227,535
NRG Energy, Inc.:
7.88%, 5/15/21			124		128,340
6.63%, 1/15/27			1,358		1,334,235
NRG Yield Operating LLC, 5.38%, 8/15/24			195		201,337
QEP Resources, Inc., 5.38%, 10/01/22			1,300		1,270,750
TerraForm Power Operating LLC, 6.38%, 2/01/23 (c)(h)			205		212,175

					4,399,096



8	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017


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


Corporate Bonds	Par (000)			Value
Industrial Conglomerates — 0.2%
Vertiv Group Corp, 9.25%, 10/15/24 (c)		USD	1,747	$	1,886,760
Insurance — 0.5%
Assicurazioni Generali SpA (d):
7.75%, 12/12/42		EUR	100		137,329
5.50%, 10/27/47			100		122,011
Groupama SA, 6.00%, 1/23/27			100		132,286
HUB International Ltd., 7.88%, 10/01/21 (c)		USD	1,138		1,189,210
Old Mutual PLC, 8.00%, 6/03/21		GBP	100		149,707
USIS Merger Sub, Inc., 6.88%, 5/01/25 (c)		USD	155		156,938
Wayne Merger Sub LLC, 8.25%, 8/01/23 (c)			1,560		1,649,700

					3,537,181
Internet Software & Services — 0.4%
Equinix, Inc., 5.88%, 1/15/26			997		1,083,929
IAC/InterActiveCorp, 4.88%, 11/30/18			550		555,500
Netflix, Inc.:
5.50%, 2/15/22			72		78,201
4.38%, 11/15/26 (c)			1,038		1,039,349
3.63%, 5/15/27		EUR	100		115,171
Symantec Corp., 5.00%, 4/15/25 (c)		USD	422		437,825

					3,309,975
IT Services — 1.5%
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (c)			795		836,738
First Data Corp. (c):
7.00%, 12/01/23			3,627		3,917,160
5.75%, 1/15/24			5,296		5,593,900
Gartner, Inc., 5.13%, 4/01/25 (c)			320		334,400
Millennium Corp., 0.00%, 8/15/23 (a)			2,240		—
WEX, Inc., 4.75%, 2/01/23 (c)			601		597,995

					11,280,193
Machinery — 0.3%
CNH Industrial Finance Europe SA, 1.38%, 5/23/22		EUR	100		111,773
SPX FLOW, Inc. (c):
5.63%, 8/15/24		USD	359		367,975
5.88%, 8/15/26			359		370,890
Terex Corp., 5.63%, 2/01/25 (c)			940		963,500
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 6.38%, 5/01/22		EUR	100		120,348

					1,934,486


Corporate Bonds	Par (000)			Value
Media — 9.1%
Adria Bidco BV, 7.88%, 11/15/20		EUR	200	$	234,021
Altice Financing SA, 7.50%, 5/15/26 (c)		USD	1,795		1,976,744
Altice Finco SA, 8.13%, 1/15/24 (c)			200		217,500
Altice Luxembourg SA:
7.75%, 5/15/22 (c)			1,110		1,179,375
6.25%, 2/15/25		EUR	100		123,664
7.63%, 2/15/25 (c)		USD	203		221,524
Altice US Finance I Corp. (c):
5.38%, 7/15/23			2,707		2,825,431
5.50%, 5/15/26			637		667,258
AMC Entertainment Holdings, Inc., 6.38%, 11/15/24		GBP	100		138,624
AMC Networks, Inc.:
4.75%, 12/15/22		USD	156		160,095
5.00%, 4/01/24			1,160		1,177,388
Cablevision Systems Corp.:
8.63%, 9/15/17			65		66,138
7.75%, 4/15/18			362		377,269
8.00%, 4/15/20			502		563,495
CBS Radio, Inc., 7.25%, 11/01/24 (c)			195		205,725
CCO Holdings LLC/CCO Holdings Capital Corp.:
5.13%, 2/15/23			1,110		1,157,286
5.13%, 5/01/27 (c)			3,751		3,842,431
5.88%, 5/01/27 (c)			316		336,540
Cequel Communications Holdings I LLC/Cequel Capital Corp. (c):
6.38%, 9/15/20			294		301,350
5.13%, 12/15/21			1,670		1,704,351
7.75%, 7/15/25			2,044		2,273,950
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 7/23/25			1,300		1,410,987
Clear Channel International BV, 8.75%, 12/15/20 (c)			700		742,000
Clear Channel Worldwide Holdings, Inc.:
6.50%, 11/15/22			6,300		6,490,969
Series B, 7.63%, 3/15/20			2,749		2,762,745
Columbus Cable Barbados Ltd., 7.38%, 3/30/21 (c)			850		905,675
CSC Holdings LLC:
7.88%, 2/15/18			372		387,345
10.13%, 1/15/23 (c)			1,250		1,455,462
5.25%, 6/01/24			996		1,017,165
6.63%, 10/15/25 (c)			1,298		1,429,942
10.88%, 10/15/25 (c)			2,790		3,396,825
DISH DBS Corp.:
5.88%, 7/15/22			1,537		1,640,747
5.00%, 3/15/23			305		313,485



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	9


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


Corporate Bonds	Par (000)			Value
Media (continued)
DISH DBS Corp. (continued):
5.88%, 11/15/24		USD	152	$	161,880
7.75%, 7/01/26			2,068		2,429,900
eircom Finance DAC, 4.50%, 5/31/22		EUR	100		118,085
Hughes Satellite Systems Corp.:
5.25%, 8/01/26		USD	1,433		1,474,199
6.63%, 8/01/26			381		403,860
iHeartCommunications, Inc.:
9.00%, 12/15/19			1,010		799,789
9.00%, 3/01/21			160		117,600
9.00%, 9/15/22			930		681,225
10.63%, 3/15/23			850		626,875
Intelsat Jackson Holdings SA:
7.25%, 4/01/19			1,400		1,340,500
5.50%, 8/01/23			85		69,913
LG Finance Co. Corp., 5.88%, 11/01/24 (c)			231		240,818
LGE HoldCo VI BV, 7.13%, 5/15/24		EUR	100		127,219
MDC Partners, Inc., 6.50%, 5/01/24 (c)		USD	520		523,900
Midcontinent Communications/Midcontinent Finance Corp. (c):
6.25%, 8/01/21			265		274,275
6.88%, 8/15/23			309		333,334
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c)			538		540,018
Numericable Group SA, 5.38%, 5/15/22		EUR	100		117,177
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.25%, 2/15/22		USD	130		135,200
Play Topco SA, 5.38%, 9/15/22 (f)		EUR	117		136,308
SFR Group SA (c):
6.00%, 5/15/22		USD	1,192		1,247,130
7.38%, 5/01/26			4,095		4,430,258
Sirius XM Radio, Inc. (c):
4.25%, 5/15/20			141		142,974
5.75%, 8/01/21			464		480,240
4.63%, 5/15/23			60		60,938
Sterling Entertainment Corp., 9.75%, 12/15/19 (a)			1,300		1,287,000
TEGNA, Inc.:
5.13%, 10/15/19			215		220,106
5.50%, 9/15/24 (c)			138		142,830
Telesat Canada/Telesat LLC, 8.88%, 11/15/24 (c)			586		656,320
Tribune Media Co., 5.88%, 7/15/22			448		472,080
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
4.00%, 1/15/25		EUR	198		235,213


Corporate Bonds	Par (000)			Value
Media (continued)
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (continued):
5.00%, 1/15/25 (c)		USD	400	$	414,500
Univision Communications, Inc., 5.13%, 5/15/23 (c)			381		383,617
Videotron Ltd./Videotron Ltee, 5.13%, 4/15/27 (c)			632		654,120
Virgin Media Finance PLC, 5.75%, 1/15/25 (c)			967		988,757
Virgin Media Receivables Financing Notes I DAC, 5.50%, 9/15/24		GBP	100		136,326
Virgin Media Secured Finance PLC:
5.25%, 1/15/26 (c)		USD	975		992,062
5.50%, 8/15/26 (c)			320		329,600
4.88%, 1/15/27		GBP	100		133,999
6.25%, 3/28/29			233		330,920
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (c)		USD	1,300		1,352,000
Wind Acquisition Finance SA:
7.00%, 4/23/21		EUR	100		117,053
7.38%, 4/23/21 (c)		USD	1,205		1,255,610
Ziggo Bond Finance BV, 5.88%, 1/15/25 (c)			1,095		1,119,637

					69,938,871
Metals & Mining — 5.2%
Alcoa Nederland Holding BV, 7.00%, 9/30/26 (c)			270		295,650
Alcoa, Inc.:
6.15%, 8/15/20			1,395		1,531,575
5.13%, 10/01/24			1,371		1,457,373
5.90%, 2/01/27			280		305,900
Anglo American Capital PLC:
3.50%, 3/28/22		EUR	100		122,230
4.88%, 5/14/25 (c)		USD	1,025		1,062,853
ArcelorMittal:
7.50%, 10/15/39			178		199,324
7.25%, 3/01/41			453		500,565
Cliffs Natural Resources, Inc., 8.25%, 3/31/20 (c)			332		365,200
Constellium NV (c):
8.00%, 1/15/23			2,965		3,053,950
6.63%, 3/01/25			1,424		1,374,160
First Quantum Minerals Ltd. (c):
7.00%, 2/15/21			947		991,793
7.25%, 5/15/22			235		242,050
7.50%, 4/01/25			790		795,431
FMG Resources August 2006 Property Ltd., 9.75%, 3/01/22 (c)			553		633,531
Freeport-McMoRan, Inc.:
2.38%, 3/15/18			3,710		3,706,290



10	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017


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


Corporate Bonds		Par (000)		Value
Metals & Mining (continued)
Freeport-McMoRan, Inc. (continued):
3.10%, 3/15/20	USD		1,135	$	1,116,942
4.00%, 11/14/21			804		784,865
3.55%, 3/01/22			1,064		994,840
3.88%, 3/15/23			3,888		3,613,507
5.40%, 11/14/34			1,271		1,124,835
5.45%, 3/15/43			1,728		1,461,231
Grinding Media, Inc./MC Grinding Media Canada, Inc., 7.38%, 12/15/23 (c)			491		529,666
Joseph T Ryerson & Son, Inc., 11.00%, 5/15/22 (c)			482		547,070
Kinross Gold Corp.:
5.95%, 3/15/24			110		120,175
6.88%, 9/01/41			180		189,000
Novelis Corp. (c):
6.25%, 8/15/24			1,758		1,852,229
5.88%, 9/30/26			1,904		1,970,640
Nyrstar Netherlands Holdings BV, 6.88%, 3/15/24	EUR		100		115,975
Peabody Securities Finance Corp., 6.38%, 3/31/25 (c)	USD		252		252,000
Steel Dynamics, Inc.:
5.13%, 10/01/21			790		814,688
6.38%, 8/15/22			595		616,718
5.25%, 4/15/23			1,015		1,049,256
5.50%, 10/01/24			138		146,108
5.00%, 12/15/26			35		35,613
Teck Resources Ltd.:
3.75%, 2/01/23			1,403		1,380,201
8.50%, 6/01/24 (c)			722		833,910
6.13%, 10/01/35			181		188,240
6.00%, 8/15/40			811		823,165
5.20%, 3/01/42			1,118		1,039,740
5.40%, 2/01/43			977		913,495
ThyssenKrupp AG, 1.38%, 3/03/22	EUR		75		83,887
United States Steel Corp., 8.38%, 7/01/21 (c)	USD		624		684,840

					39,920,711
Multi-Utilities — 0.2%
NGL Energy Partners LP/NGL Energy Finance Corp.:
6.88%, 10/15/21			390		394,875
7.50%, 11/01/23 (c)			780		789,750

					1,184,625
Multiline Retail — 0.1%
Neiman Marcus Group Ltd. (c):
8.00%, 10/15/21			1,035		535,612


Corporate Bonds		Par (000)		Value
Multiline Retail (continued)
Neiman Marcus Group Ltd. (c) (continued):
(8.75% Cash or 9.50% PIK), 8.75%, 10/15/21 (f)	USD		150	$	72,750

					608,362
Offshore Drilling & Other Services — 0.0%
Sensata Technologies BV, 5.63%, 11/01/24 (c)			220		236,775
Oil, Gas & Consumable Fuels — 7.9%
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 4/01/22 (c)			763		782,075
California Resources Corp., 8.00%, 12/15/22 (c)			391		292,761
Carrizo Oil & Gas, Inc., 6.25%, 4/15/23			235		228,538
Cheniere Corpus Christi Holdings LLC:
7.00%, 6/30/24			642		719,040
5.88%, 3/31/25			1,631		1,751,286
5.13%, 6/30/27 (c)			674		683,267
Chesapeake Energy Corp.:
6.88%, 11/15/20			100		103,500
8.00%, 12/15/22 (c)			205		221,656
8.00%, 1/15/25 (c)			1,239		1,232,805
CONSOL Energy, Inc.:
5.88%, 4/15/22			6,328		6,240,990
8.00%, 4/01/23			40		42,150
Continental Resources, Inc., 3.80%, 6/01/24			808		754,995
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 4/01/23			90		93,318
CrownRock LP/CrownRock Finance, Inc. (c):
7.13%, 4/15/21			635		654,050
7.75%, 2/15/23			105		111,300
DCP Midstream LLC (c):
4.75%, 9/30/21			745		756,175
6.45%, 11/03/36			250		266,250
6.75%, 9/15/37			426		461,145
Denbury Resources, Inc.:
9.00%, 5/15/21 (c)			1,288		1,320,200
5.50%, 5/01/22			690		500,250
4.63%, 7/15/23			251		167,543
Eclipse Resources Corp., 8.88%, 7/15/23			140		141,050
Energy Transfer Equity LP:
7.50%, 10/15/20			200		223,500
5.88%, 1/15/24			1,078		1,150,765
5.50%, 6/01/27			494		519,935



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	11


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


Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
EP Energy LLC/Everest Acquisition Finance, Inc.:
9.38%, 5/01/20	USD		493	$	451,095
8.00%, 11/29/24(c)			625		645,312
Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21 (c)			798		833,910
Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (c)			149		153,098
Gulfport Energy Corp.:
6.63%, 5/01/23			163		164,223
6.00%, 10/15/24 (c)			342		335,160
Halcon Resources Corp., 6.75%, 2/15/25 (c)			2,092		1,950,790
Hilcorp Energy I LP/Hilcorp Finance Co., 5.00%, 12/01/24 (c)			132		125,895
MEG Energy Corp. (c):
6.38%, 1/30/23			54		46,305
7.00%, 3/31/24			610		527,650
6.50%, 1/15/25			1,914		1,870,935
Murphy Oil Corp.:
6.88%, 8/15/24			673		704,967
6.13%, 12/01/42			83		79,058
NGPL PipeCo LLC (c):
7.12%, 12/15/17			1,400		1,431,500
7.77%, 12/15/37			1,393		1,654,187
Noble Holding International Ltd., 7.75%, 1/15/24			378		333,468
Oasis Petroleum, Inc., 6.50%, 11/01/21			849		861,735
ONEOK, Inc.:
7.50%, 9/01/23			190		226,456
6.00%, 6/15/35			165		174,900
Paramount Resources Ltd., 6.88%, 6/30/23 (c)			2,515		2,659,612
Parker Drilling Co.:
7.50%, 8/01/20			387		358,459
6.75%, 7/15/22			362		311,320
Parsley Energy LLC/Parsley Finance Corp., 5.38%, 1/15/25 (c)			315		318,938
Petroleos Mexicanos, 5.38%, 3/13/22 (c)			102		108,649
Precision Drilling Corp., 7.75%, 12/15/23 (c)			150		154,875
QEP Resources, Inc., 5.25%, 5/01/23			95		92,150
Range Resources Corp. (c):
5.88%, 7/01/22			1,343		1,373,217
5.00%, 8/15/22			10		9,825
5.00%, 3/15/23			555		541,125
Resolute Energy Corp., 8.50%, 5/01/20			639		650,182


Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Rockies Express Pipeline LLC (c):
6.85%, 7/15/18	USD		99	$	103,703
6.00%, 1/15/19			26		27,284
5.63%, 4/15/20			660		702,900
6.88%, 4/15/40			564		611,940
Rowan Cos., Inc.:
4.88%, 6/01/22			95		90,131
7.38%, 6/15/25			1,024		1,003,520
RSP Permian, Inc.:
6.63%, 10/01/22			356		375,135
5.25%, 1/15/25 (c)			408		413,100
Sanchez Energy Corp.:
7.75%, 6/15/21			672		633,360
6.13%, 1/15/23			3,156		2,777,280
Seven Generations Energy Ltd., 8.25%, 5/15/20 (c)			381		398,145
SM Energy Co.:
6.50%, 11/15/21			300		303,000
6.13%, 11/15/22			187		185,013
5.00%, 1/15/24			931		861,175
5.63%, 6/01/25			227		213,310
Southwestern Energy Co., 5.80%, 1/23/20			2,322		2,356,830
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (c):
5.13%, 2/01/25			248		256,680
5.38%, 2/01/27			2		2,085
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.38%, 8/01/22			120		123,900
Tesoro Corp. (c):
4.75%, 12/15/23			1,202		1,265,105
5.13%, 12/15/26			1,588		1,699,160
Tesoro Logistics LP/Tesoro Logistics Finance Corp.:
6.13%, 10/15/21			81		84,493
6.25%, 10/15/22			833		891,310
Tutor Perini Corp., 6.88%, 5/01/25 (c)			182		190,418
Ultra Resources, Inc., 6.88%, 4/15/22 (c)			162		163,418
Weatherford International LLC, 6.80%, 6/15/37			157		146,010
Weatherford International Ltd.:
6.50%, 8/01/36			625		577,888
7.00%, 3/15/38			350		327,250
5.95%, 4/15/42			282		241,815
Whiting Petroleum Corp., 5.00%, 3/15/19			1,484		1,480,290
Williams Cos., Inc.:
4.55%, 6/24/24			744		764,460
5.75%, 6/24/44			1,453		1,515,653



12	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017


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


Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
WPX Energy, Inc.:
7.50%, 8/01/20	USD		115	$	121,325
6.00%, 1/15/22			943		952,430
8.25%, 8/01/23			400		438,000

					60,865,056
Oil: Crude Producers — 0.5%
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.:
5.63%, 5/01/24			2,115		2,281,556
4.50%, 9/01/26			1,279		1,279,000

					3,560,556
Pharmaceuticals — 1.8%
Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 5/15/22 (c)(f)			342		352,783
Endo Finance LLC/Endo Finco, Inc. (c):
5.88%, 10/15/24			200		206,750
6.00%, 2/01/25			200		179,200
Ephios Bondco PLC, 6.25%, 7/01/22	EUR		100		122,024
Ephios Holdco II PLC, 8.25%, 7/01/23			100		125,780
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24 (c)	USD		1,161		1,264,039
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (c)			2,123		2,245,072
NBTY, Inc., 7.63%, 5/15/21 (c)			981		1,025,145
NewCo SAB MidCo SASU, 5.38%, 4/15/25	EUR		100		115,431
Tennessee Merger Sub, Inc., 6.38%, 2/01/25 (c)	USD		1,876		1,822,065
Valeant Pharmaceuticals International, Inc. (c):
6.75%, 8/15/18			280		282,275
7.00%, 10/01/20			1,441		1,376,155
7.50%, 7/15/21			616		570,958
6.75%, 8/15/21			379		339,205
5.63%, 12/01/21			631		541,082
6.50%, 3/15/22			742		778,952
7.25%, 7/15/22			1,010		896,375
7.00%, 3/15/24			1,166		1,233,057
6.13%, 4/15/25			387		311,535

					13,787,883


Corporate Bonds		Par (000)		Value
Producer Durables: Miscellaneous — 0.1%
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 2/01/23 (c)	USD		369	$	394,830
Real Estate Investment Trusts (REITs) — 0.2%
Hilton Domestic Operating Co., Inc., 4.25%, 9/01/24 (c)			423		427,230
iStar, Inc., 4.00%, 11/01/17			535		536,605
MPT Operating Partnership LP/MPT Finance Corp., 3.33%, 3/24/25	EUR		100		115,482
NH Hotel Group SA, 3.75%, 10/01/23			129		152,158
Starwood Property Trust, Inc., 5.00%, 12/15/21 (c)	USD		638		665,115

					1,896,590
Real Estate Management & Development — 0.5%
ADLER Real Estate AG, 4.75%, 4/08/20	EUR		100		119,165
The Howard Hughes Corp., 5.38%, 3/15/25 (c)	USD		283		291,844
Realogy Group LLC/Realogy Co-Issuer Corp. (c):
4.50%, 4/15/19			391		405,662
5.25%, 12/01/21			487		511,350
4.88%, 6/01/23			1,861		1,874,957
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (c)			245		249,288

					3,452,266
Road & Rail — 0.8%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.:
3.80%, 12/01/17 (d)			190		190,000
5.13%, 6/01/22 (c)			1,880		1,825,950
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (c)			1,338		1,378,140
Herc Rentals, Inc. (c):
7.50%, 6/01/22			200		212,500
7.75%, 6/01/24			312		333,060
Hertz Corp.:
7.38%, 1/15/21			404		381,022
7.63%, 6/01/22 (c)			432		432,000
5.50%, 10/15/24 (c)			259		207,848
Hertz Holdings Netherlands BV, 4.13%, 10/15/21	EUR		100		106,128
Loxam SAS, 3.50%, 5/03/23			100		117,353
United Rentals North America, Inc.:
6.13%, 6/15/23	USD		564		595,308
5.50%, 7/15/25			2		2,108
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (c)			350		363,125

					6,144,542



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	13


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


Corporate Bonds		Par (000)		Value
Semiconductors & Semiconductor Equipment — 0.5%
Advanced Micro Devices, Inc., 7.50%, 8/15/22	USD		200	$	220,750
Micron Technology, Inc.:
5.25%, 8/01/23 (c)			433		444,908
5.50%, 2/01/25			24		25,035
Microsemi Corp., 9.13%, 4/15/23 (c)			35		40,338
NXP BV/NXP Funding LLC (c):
4.13%, 6/15/20			861		906,202
4.13%, 6/01/21			347		366,085
4.63%, 6/15/22			1,050		1,134,000
4.63%, 6/01/23			202		218,160
Sensata Technologies UK Financing Co. PLC, 6.25%, 2/15/26 (c)			200		218,000

					3,573,478
Software — 3.0%
BMC Software Finance, Inc., 8.13%, 7/15/21 (c)			2,838		2,898,449
CDW LLC/CDW Finance Corp., 5.50%, 12/01/24			2,275		2,457,000
Inception Merger Sub, Inc./Rackspace Hosting, Inc., 8.63%, 11/15/24 (c)			1,590		1,694,845
Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (c)(f)			1,666		1,720,145
Infor US, Inc., 6.50%, 5/15/22			3,047		3,172,689
Informatica LLC, 7.13%, 7/15/23 (c)			840		846,300
JDA Escrow LLC/JDA Bond Finance, Inc., 7.38%, 10/15/24 (c)			145		150,438
Nuance Communications, Inc. (c):
5.38%, 8/15/20			437		445,194
6.00%, 7/01/24			835		887,187
PTC, Inc., 6.00%, 5/15/24			197		209,927
Solera LLC/Solera Finance, Inc., 10.50%, 3/01/24 (c)			2,716		3,109,820
SS&C Technologies Holdings, Inc., 5.88%, 7/15/23			1,485		1,586,908
TIBCO Software, Inc., 11.38%, 12/01/21 (c)			2,212		2,444,260
Veritas US, Inc./Veritas Bermuda Ltd., 10.50%, 2/01/24 (c)			1,279		1,384,517

					23,007,679
Specialty Retail — 0.3%
Asbury Automotive Group, Inc., 6.00%, 12/15/24			1,163		1,189,894
JC Penney Corp., Inc.:
8.13%, 10/01/19			111		123,071
7.40%, 4/01/37			151		116,270


Corporate Bonds		Par (000)		Value
Specialty Retail (continued)
L Brands, Inc., 6.88%, 11/01/35	USD		208	$	202,280
Penske Automotive Group, Inc., 5.75%, 10/01/22			288		298,080
PetSmart, Inc., 5.88%, 6/01/25 (c)			401		402,504
PVH Corp., 4.50%, 12/15/22			122		125,660

					2,457,759
Technology Hardware, Storage & Peripherals — 0.6%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (c):
7.13%, 6/15/24			1,277		1,423,158
6.02%, 6/15/26			245		270,439
8.35%, 7/15/46			385		494,472
Western Digital Corp.:
7.38%, 4/01/23 (c)			521		570,235
10.50%, 4/01/24			1,315		1,541,180

					4,299,484
Textiles, Apparel & Luxury Goods — 0.0%
BiSoho SAS, 5.88%, 5/01/23	EUR		90		110,207
Thrifts & Mortgage Finance — 0.1%
Jerrold Finco PLC, 6.25%, 9/15/21	GBP		100		135,958
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.25%, 3/15/22 (c)	USD		681		698,876

					834,834
Trading Companies & Distributors — 0.0%
Ashtead Capital, Inc., 5.63%, 10/01/24 (c)			320		342,400
Transportation Infrastructure — 0.0%
CMA CGM SA, 7.75%, 1/15/21	EUR		100		117,334
WFS Global Holding SAS, 9.50%, 7/15/22			100		123,200

					240,534
Utilities — 0.0%
ContourGlobal Power Holdings SA, 5.13%, 6/15/21			100		118,620
Wireless Telecommunication Services — 2.9%
Communications Sales & Leasing, Inc./CSL Capital LLC:
6.00%, 4/15/23 (c)	USD		255		267,113
8.25%, 10/15/23			1,561		1,642,952
7.13%, 12/15/24 (c)			83		83,208
Crown Castle Towers LLC, 6.11%, 1/15/40 (c)			375		405,997
CyrusOne LP / CyrusOne Finance Corp. (c):
5.00%, 3/15/24			610		623,725
5.38%, 3/15/27			40		41,200



14	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017


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


Corporate Bonds		Par (000)		Value
Wireless Telecommunication Services (continued)
Digicel Group Ltd., 7.13%, 4/01/22 (c)	USD		485	$	424,981
Digicel Ltd., 6.00%, 4/15/21 (c)			2,228		2,154,988
GEO Group, Inc.:
5.88%, 1/15/22			90		93,600
5.13%, 4/01/23			373		374,865
5.88%, 10/15/24			608		626,240
6.00%, 4/15/26			295		305,325
Matterhorn Telecom SA, 3.88%, 5/01/22	EUR		100		115,845
Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 2/15/25 (c)	USD		634		648,265
Sprint Capital Corp.:
6.90%, 5/01/19			270		291,263
6.88%, 11/15/28			1,748		1,938,095
Sprint Communications, Inc. (c):
9.00%, 11/15/18			2,380		2,612,050
7.00%, 3/01/20			540		599,400
Sprint Corp.:
7.88%, 9/15/23			1,079		1,246,245
7.13%, 6/15/24			5,183		5,830,227
7.63%, 2/15/25			430		494,500
T-Mobile USA, Inc.:
6.13%, 1/15/22			81		85,354
6.00%, 3/01/23			653		694,596
6.84%, 4/28/23			85		90,950
6.50%, 1/15/24			584		632,326
Wind Acquisition Finance SA, 4.00%, 7/15/20	EUR		168		191,412

					22,514,722
Total Corporate Bonds - 66.2%					511,026,734



Floating Rate Loan Interests
Aerospace & Defense — 0.8%
Engility Corp. (d):
Term Loan B1, 4.29%, 8/12/20	USD		233		234,438
Term Loan B2, 4.79%, 8/12/23			433		437,404
TransDigm, Inc. (d):
2015 Term Loan E, 4.04%, 5/14/22			1,690		1,693,460
2016 Extended Term Loan F, 4.04%, 6/09/23			2,755		2,758,733
Term Loan D, 4.15%, 6/04/21			827		829,626

					5,953,661


Floating Rate Loan Interests		Par (000)		Value
Air Freight & Logistics — 0.9%
Avolon TLB Borrower 1 (Luxembourg) Sarl, Term Loan B2, 3.76%, 3/20/22 (d)	USD		5,050	$	5,112,772
CEVA Group PLC, Synthetic LOC, 6.50%, 3/19/21 (d)			701		617,312
CEVA Intercompany BV, Dutch Term Loan, 6.67%, 3/19/21 (d)			718		647,412
CEVA Logistics Canada ULC, Canadian Term Loan, 6.67%, 3/19/21 (d)			124		111,478
CEVA Logistics US Holdings, Inc., Term Loan, 6.67%, 3/19/21 (d)			947		853,375

					7,342,349
Airlines — 0.0%
Northwest Airlines, Inc., Term Loan, 2.65%, 9/10/18 (a)(d)			226		222,607
Auto Components — 0.7%
Anchor Glass Container Corp., 2016 1st Lien Term Loan, 4.25%, 12/07/23 (d)			364		366,494
Dayco Products LLC, 2017 Term Loan B, 4.29%, 5/08/23 (a)(d)			955		955,000
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19 (d)			1,120		1,103,559
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.00%, 4/30/19 (d)			401		403,841
TKC Holdings, Inc., 2017 2nd Lien Term Loan, 8.50%, 2/01/24 (a)(d)			1,000		1,005,000
USI, Inc., 2017 Term Loan B, 4.18%, 5/16/24 (d)			1,680		1,677,060

					5,510,954
Automobiles — 0.1%
CH Hold Corp., 1st Lien Term Loan, 4.00%, 2/01/24 (d)			820		825,370
Building Materials — 0.5%
Allied Universal HoldCo LLC, 2015 Term Loan, 4.79%, 7/28/22 (d)			2,948		2,962,164
USAGM HoldCo LLC, 2015 2nd Lien Term Loan, 9.67%, 7/28/23 (d)			895		905,633

					3,867,797
Building Products — 1.4%
Continental Building Products LLC, 2017 Term Loan B, 3.65%, 8/18/23 (a)(d)			1,424		1,430,747
CPG International Inc., 2017 Term Loan, 4.90%, 5/03/24 (d)			1,966		1,969,778



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	15


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


Floating Rate Loan Interests		Par (000)		Value
Building Products (continued)
GYP Holdings III Corp., 1st Lien Term Loan, 4.67%, 4/01/21 (d)	USD		1,376	$	1,377,117
Jeld-Wen, Inc., 2017 Term Loan B, 4.15%, 7/01/22 (d)			1,654		1,672,195
Ply Gem Industries, Inc., Term Loan, 4.15%, 2/01/21 (d)			1,217		1,223,202
Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 3.79%, 11/15/23 (d)			315		313,691
Wilsonart LLC, 2016 Term Loan, 4.65%, 12/19/23 (d)			2,640		2,658,078

					10,644,808
Capital Markets — 0.3%
RPI Finance Trust, Term Loan B6, 3.15%, 3/27/23 (d)			2,084		2,091,858
Chemicals — 2.0%
Alpha 3 BV, 2017 Term Loan B1, 4.15%, 1/31/24 (d)			715		718,353
Axalta Coating Systems Dutch Holding BV, Term Loan, 3.65%, 5/16/24 (d)			2,185		2,195,248
Axalta Coating Systems US Holdings, Inc., Term Loan B1, 3.65%, 2/01/23 (d)			2,097		2,108,528
CeramTec Acquisition Corp., Term Loan B2, 3.95%, 8/30/20 (d)			71		72,065
Charter NEX US Holdings, Inc., 2017 Term Loan B, 4.29%, 5/10/24 (d)			1,355		1,357,114
Chemours Co., 2017 Term Loan B, 3.50%, 5/12/22 (d)			114		114,274
MacDermid, Inc. (d):
Term Loan B5, 4.54%, 6/07/20			337		339,890
Term Loan B6, 4.04%, 6/07/23			1,829		1,839,648
OXEA Finance LLC, Term Loan B2, 4.40%, 1/15/20 (d)			2,368		2,326,155
PQ Corp., 2016 Term Loan, 5.29%, 11/04/22 (d)			695		702,464
Royal Holdings, Inc. (d):
2015 2nd Lien Term Loan, 8.65%, 6/19/23 (a)			361		360,476
2017 Term Loan B, 4.40%, 6/19/22			512		517,645
Solenis International LP, 2nd Lien Term Loan, 7.95%, 7/31/22 (d)			1,915		1,913,813
Tata Chemicals North America, Inc., Term Loan B, 3.94%, 8/07/20 (d)			573		573,460

					15,139,133


Floating Rate Loan Interests		Par (000)		Value
Commercial Services & Supplies — 3.5%
Advanced Disposal Services, Inc., Term Loan B3, 3.70%, 11/10/23 (d)	USD		1,987	$	2,000,305
Asurion LLC (d):
2016 Term Loan B2, 4.29%, 7/08/20			462		463,262
2017 Term Loan B5, 4.04%, 11/03/23			1,392		1,401,506
Term Loan B4, 4.29%, 8/04/22			2,396		2,407,610
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.93%, 11/26/20 (d)			1,951		1,953,984
Camelot UK Holdco Ltd., 2017 Term Loan B, 4.54%, 10/03/23 (d)			4,960		4,994,200
Creative Artists Agency LLC, 2017 1st Lien Term Loan B, 4.50%, 2/15/24 (d)			1,297		1,312,959
Employbridge LLC, Exit Term Loan, 7.65%, 5/16/20 (d)			516		477,578
Garda World Security Corp., 2017 Term Loan, 4.50%, 4/05/24 (d)			865		866,827
GCA Services Group, Inc., 2016 Term Loan, 5.87%, 3/01/23 (d)			1,247		1,251,387
Harland Clarke Holdings Corp., Term Loan B6, 6.65%, 2/09/22 (d)			940		939,060
KAR Auction Services, Inc. (d):
Term Loan B3, 5.13%, 6/01/25			628		640,560
Term Loan B5, 3.56%, 3/09/23			708		713,086
Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, 4.29%, 5/02/22 (d)			2,183		2,200,078
Spin Holdco, Inc., Term Loan B, 4.43%, 11/14/19 (d)			3,069		3,064,684
US Security Associates Holdings, Inc., 2016 Term Loan, 6.15%, 7/14/23 (d)			1,667		1,685,375
Waste Industries USA, Inc., 2016 Term Loan, 3.79%, 2/27/20 (d)			644		648,915

					27,021,376
Commercial Services & Supplies — 0.4%
Catalent Pharma Solutions, Inc., Term Loan B, 3.79%, 5/20/21 (d)			2,429		2,453,680
Livingston International, Inc., 1st Lien Term Loan, 5.50%, 4/18/19 (d)			828		811,195

					3,264,875



16	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017


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


Floating Rate Loan Interests		Par (000)		Value
Communications Equipment — 0.6%
Applied Systems, Inc. (d):
1st Lien Term Loan, 4.40%, 1/25/21	USD		567	$	570,797
2nd Lien Term Loan, 7.65%, 1/24/22			534		538,107
Avaya, Inc. (d):
DIP Term Loan, 8.50%, 1/24/18			215		221,370
Term Loan B7, 7.65%, 5/29/20 (b)(g)			935		764,537
Colorado Buyer, Inc., Term Loan B, 4.17%, 5/01/24 (d)			1,195		1,200,975
CommScope, Inc., Term Loan B5, 3.70%, 12/29/22 (d)			487		488,439
Riverbed Technology, Inc., 2016 Term Loan, 4.30%, 4/24/22 (d)			1,188		1,172,430

					4,956,655
Construction & Engineering — 0.5%
CNT Holdings III Corp., 2017 Term Loan, 4.30%, 1/22/23 (d)			644		646,460
Safway Group Holding LLC, Term Loan B, 5.76%, 8/19/23 (a)(d)			2,274		2,279,259
USIC Holdings, Inc., 2016 1st Lien Term Loan, 5.17%, 12/08/23 (d)			833		838,118

					3,763,837
Construction Materials — 0.5%
Filtration Group Corp., 1st Lien Term Loan, 4.29%, 11/21/20 (d)			3,649		3,666,692
Containers & Packaging — 1.0%
Berlin Packaging LLC, 2014 1st Lien Term Loan, 8.50%, 10/01/21 (d)			99		99,479
Berry Plastics Group, Inc., Term Loan I, 3.54%, 10/01/22 (d)			3,674		3,701,679
BWAY Holding Co., 2017 Term Loan B, 4.25%, 4/03/24 (d)			2,970		2,965,664
Flex Acquisition Company, Inc., 1st Lien Term Loan, 4.40%, 12/29/23 (d)			1,150		1,155,750

					7,922,572
Distributors — 0.3%
American Builders & Contractors Supply Co., Inc., 2017 Term Loan B, 3.54%, 10/31/23 (d)			2,322		2,332,850
American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.29%, 9/01/21 (d)			294		294,735

					2,627,585


Floating Rate Loan Interests		Par (000)		Value
Diversified Consumer Services — 2.6%
Bright Horizons Family Solutions, Inc., 2017 Term Loan B, 3.00%, 11/07/23 (d)	USD		2,986	$	3,008,967
Equian LLC (d):
Delayed Draw Term Loan, 4.05%, 5/20/24			553		554,686
Term Loan B, 4.00%, 5/20/24			1,798		1,802,731
Nomad Foods Europe Midco Ltd., Term Loan B, 4.17%, 4/18/24 (d)			1,215		1,221,075
Serta Simmons Bedding LLC (d):
1st Lien Term Loan, 4.56%, 11/08/23			4,351		4,364,504
2nd Lien Term Loan, 9.18%, 11/08/24			885		892,744
ServiceMaster Co., 2016 Term Loan B, 3.54%, 11/08/23 (d)			4,868		4,909,176
Weight Watchers International, Inc., Term Loan B2, 4.40%, 4/02/20 (d)			3,550		3,427,364

					20,181,247
Diversified Financial Services — 0.2%
AlixPartners LLP, 2017 Term Loan B, 4.15%, 4/04/24 (d)			1,460		1,468,891
SAM Finance Luxembourg Sarl, Term Loan, 4.39%, 12/17/20 (d)			245		246,156

					1,715,047
Diversified Telecommunication Services — 5.6%
CenturyLink, Inc., 2017 Term Loan B, 6.75%, 1/31/25 (d)			18,215		18,179,299
Consolidated Communications, Inc., Term Loan B2, 6.67%, 10/05/23 (d)			680		683,400
Digicel International Finance Ltd., 2017 Term Loan B, 6.00%, 5/08/24 (d)			2,050		2,066,666
Level 3 Financing, Inc., 2017 Term Loan B, 3.26%, 2/22/24 (d)			8,075		8,085,094
Sprint Communications, Inc., 1st Lien Term Loan B, 3.56%, 2/02/24 (d)			3,035		3,043,225
Telenet International Finance Sarl, Term Loan AI, 3.74%, 6/30/25 (d)			5,485		5,506,446
Telesat Canada, 2017 Term Loan B, 4.15%, 11/17/23 (d)			1,343		1,355,348
Zayo Group LLC, 2017 Term Loan B2, 3.51%, 1/19/24 (d)			4,122		4,147,272

					43,066,750



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	17


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


Floating Rate Loan Interests		Par (000)		Value
Electric Utilities — 0.8%
Energy Future Intermediate Holding Co. LLC, 2016 DIP Term Loan, 4.29%, 6/30/17 (d)	USD		6,104	$	6,129,915
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 5.03%, 11/10/17 (a)			2,375		—

					6,129,915
Electrical Equipment — 0.5%
Gates Global LLC, 2017 Term Loan B, 4.41%, 4/01/24 (d)			3,746		3,760,340
Energy Equipment & Services — 0.4%
Gavilan Resources LLC, 2nd Lien Term Loan, 7.00%, 3/01/24 (d)			1,500		1,483,125
Seadrill Partners Finco LLC, Term Loan B, 3.65%, 2/21/21 (d)			905		619,886
Weatherford International Ltd., Term Loan, 3.35%, 7/13/20 (a)(d)			783		771,516

					2,874,527
Food & Staples Retailing — 2.3%
Albertsons LLC (d):
2016 Term Loan B4, 4.04%, 8/22/21			3,801		3,821,934
2016 Term Loan B5, 4.40%, 12/22/22			542		545,471
BJ’s Wholesale Club, Inc. (d):
2017 1st Lien Term Loan, 4.75%, 2/03/24			2,635		2,629,519
2017 2nd Lien Term Loan, 8.50%, 2/03/25			1,115		1,128,246
Hostess Brands LLC, 2017 Term Loan, 3.54%, 8/03/22 (d)			2,811		2,830,118
Rite Aid Corp. (d):
5.75%, 8/21/20			695		697,314
4.88%, 6/21/21			1,475		1,478,230
US Foods, Inc., 2016 Term Loan B, 3.79%, 6/27/23 (d)			4,789		4,825,974

					17,956,806
Food Products — 1.5%
Chobani LLC, 1st Lien Term Loan, 5.29%, 10/07/23 (d)			1,437		1,456,159
Dole Food Company, Inc., 2017 Term Loan B, 4.03%, 4/06/24 (d)			780		783,065
JBS USA LLC, 2017 Term Loan B, 3.50%, 10/30/22 (d)			1,970		1,939,465
Pinnacle Foods Finance LLC, 2017 Term Loan B, 3.00%, 2/02/24 (d)			2,564		2,575,265


Floating Rate Loan Interests		Par (000)		Value
Food Products (continued)
Reddy Ice Corp. (d):
1st Lien Term Loan, 6.75%, 5/01/19	USD		1,791	$	1,765,734
2nd Lien Term Loan, 10.75%, 11/01/19			724		680,560
Reynolds Group Holdings, Inc., 2017 Term Loan, 4.04%, 2/05/23 (d)			2,200		2,210,397

					11,410,645
Health Care Equipment & Supplies — 2.4%
Alere, Inc., 2015 Term Loan B, 4.30%, 6/18/22 (d)			1,558		1,563,571
Capsugel Holdings US, Inc., Term Loan B, 4.04%, 7/31/21 (d)			2,161		2,162,519
Cotiviti Corp., Term Loan B, 3.90%, 9/28/23 (d)			2,294		2,297,239
DJO Finance LLC, 2015 Term Loan, 4.29%, 6/08/20 (d)			4,107		4,059,609
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 (d)			2,416		2,405,314
National Vision, Inc., 1st Lien Term Loan, 4.04%, 3/12/21 (d)			2,673		2,683,318
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.78%, 6/30/21 (d)			3,058		3,067,628

					18,239,198
Health Care Providers & Services — 4.1%
Air Medical Group Holdings, Inc., Term Loan B, 4.29%, 4/28/22 (d)			622		613,816
CHG Healthcare Services, Inc., Term Loan B, 4.92%, 6/07/23 (d)			2,153		2,172,091
Community Health Systems, Inc. (d):
Term Loan G, 3.80%, 12/31/19			1,398		1,398,240
Term Loan H, 4.05%, 1/27/21			1,163		1,163,388
Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, 5.93%, 2/07/22 (d)			583		588,972
DaVita HealthCare Partners, Inc., Term Loan B, 3.79%, 6/24/21 (d)			6,817		6,866,923
Envision Healthcare Corp., 2016 Term Loan B, 4.15%, 12/01/23 (d)			5,182		5,235,128
inVentiv Health, Inc., 2016 Term Loan B, 4.80%, 11/09/23 (d)			3,547		3,566,701
MPH Acquisition Holdings LLC, 2016 Term Loan B, 4.90%, 6/07/23 (d)			2,166		2,170,492



18	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017


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


Floating Rate Loan Interests		Par (000)		Value
Health Care Providers & Services (continued)
National Mentor Holdings, Inc., Term Loan B, 4.15%, 1/31/21 (d)	USD		669	$	669,978
nThrive, Inc., 2016 1st Lien Term Loan, 5.54%, 10/20/22 (d)			1,323		1,325,543
NVA Holdings, Inc. (d):
1st Lien Term Loan B2, 3.90%, 8/14/21			380		383,800
Delayed Draw Term Loan B2, 5.00%, 8/14/21			380		383,800
Surgery Center Holdings, Inc., 1st Lien Term Loan, 4.75%, 11/03/20 (d)			1,342		1,345,010
Team Health Holdings, Inc., 1st Lien Term Loan, 3.79%, 2/06/24 (d)			2,095		2,082,556
U.S. Renal Care, Inc., 2015 Term Loan B, 5.40%, 12/31/22 (d)			1		579
Vizient, Inc., 2017 Term Loan B, 4.50%, 2/13/23 (d)			1,333		1,348,533

					31,315,550
Health Care Services — 0.1%
WP CityMD Bidco LLC, 1st Lien Term Loan, 5.75%, 5/25/24 (d)			870		871,087
Health Care Technology — 1.2%
Change Healthcare Holdings, Inc., 2017 Term Loan B, 3.79%, 3/01/24 (d)			6,345		6,364,035
Press Ganey Holdings, Inc., 1st Lien Term Loan, 4.29%, 10/21/23 (d)			943		943,816
Quintiles IMS, Inc., 2017 Term Loan B, 3.15%, 3/07/24 (d)			1,834		1,850,804

					9,158,655
Hotels, Restaurants & Leisure — 4.6%
Amaya Holdings BV (d):
2nd Lien Term Loan, 8.15%, 8/01/22			2,200		2,201,818
Repriced Term Loan B, 4.65%, 8/01/21			3,311		3,317,133
Boyd Gaming Corp., 2017 Term Loan B2, 3.45%, 9/15/23 (d)			1,143		1,147,514
Bronco Midstream Funding LLC, Term Loan B, 5.17%, 8/15/20 (d)			1,556		1,572,031
Burger King Newco Unlimited Liability Co., Term Loan B3, 3.40%, 2/16/24 (d)			4,157		4,163,121
Caesars Entertainment Operating Co., Term Loan B7, 3.75%, 3/01/22 (d)			1,685		2,093,191


Floating Rate Loan Interests		Par (000)		Value
Hotels, Restaurants & Leisure (continued)
Caesars Entertainment Resort Properties LLC, Term Loan B, 4.54%, 10/11/20 (d)	USD		10,101	$	10,154,184
Caesars Growth Properties Holdings LLC, 2017 Term Loan, 3.75%, 5/08/21 (d)			1,811		1,821,649
CCM Merger, Inc., Term Loan B, 5.75%, 8/08/21 (d)			936		941,303
ESH Hospitality, Inc., 2017 Term Loan B, 3.54%, 8/30/23 (d)			1,861		1,870,598
Four Seasons Hotels Ltd., 1st Lien Term Loan, 4.15%, 11/30/23 (d)			214		216,742
Hilton Worldwide Finance LLC, Term Loan B2, 3.02%, 10/25/23 (d)			857		861,820
La Quinta Intermediate Holdings LLC, Term Loan B, 3.91%, 4/14/21 (d)			453		455,037
Sabre GLBL, Inc., Term Loan B, 3.79%, 2/22/24 (d)			1,230		1,242,003
Scientific Games International, Inc., 2017 Term Loan B3, 5.08%, 10/01/21 (d)			1,527		1,549,409
Station Casinos LLC, 2016 Term Loan B, 3.50%, 6/08/23 (d)			1,136		1,135,378
Yum! Brands, Inc., 1st Lien Term Loan B, 3.00%, 6/16/23 (d)			905		910,548

					35,653,479
Household Products — 0.2%
Spectrum Brands, Inc., 2017 Term Loan B, 3.18%, 6/23/22 (d)			1,763		1,773,188
Independent Power and Renewable Electricity Producers — 1.4%
AES Corporation, 2017 Term Loan B, 5.17%, 5/15/22 (d)			1,475		1,471,770
Calpine Construction Finance Co., LP, Term Loan B1, 3.30%, 5/03/20 (d)			791		787,962
Calpine Corp. (d):
Term Loan B5, 3.90%, 1/15/24			464		462,532
Term Loan B6, 3.90%, 1/15/23			1,165		1,162,197
Dynegy, Inc., 2017 Term Loan C, 4.25%, 2/07/24 (d)			2,539		2,535,022
Granite Acquisition, Inc. (d):
Term Loan B, 5.15%, 12/19/21			1,669		1,669,313
Term Loan C, 5.15%, 12/19/21			75		75,140



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	19


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


Floating Rate Loan Interests		Par (000)		Value
Independent Power and Renewable Electricity Producers (continued)
Nautilus Power LLC, Term Loan B, 6.60%, 4/28/24 (d)	USD		2,540	$	2,517,775

					10,681,711
Industrial Conglomerates — 0.5%
Cortes NP Acquisition Corp., 2017 Term Loan B, 5.00%, 11/30/23 (d)			2,840		2,864,970
Sequa Corp., 1st Lien Term Loan, 6.67%, 11/26/21 (d)			1,150		1,156,474

					4,021,444
Insurance — 1.3%
Alliant Holdings I, Inc., 2015 Term Loan B, 4.42%, 8/12/22 (d)			2,311		2,313,447
AmWINS Group, Inc., 2017 Term Loan B, 3.79%, 1/25/24 (d)			918		918,563
AssuredPartners, Inc., 2017 Term Loan, 4.49%, 10/21/22 (d)			1,536		1,537,063
Edgewood Partners Insurance Center, 2017 1st Lien Term Loan B, 6.02%, 3/16/23 (a)(d)			1,175		1,180,875
Hub International Ltd., Term Loan B, 4.17%, 10/02/20 (d)			1,069		1,074,294
Sedgwick Claims Management Services, Inc. (d):
1st Lien Term Loan, 3.79%, 3/01/21			1,620		1,623,269
2nd Lien Term Loan, 6.79%, 2/28/22			1,650		1,654,125

					10,301,636
Internet & Direct Marketing Retail — 0.2%
Harbor Freight Tools USA, Inc., 2016 Term Loan B, 4.29%, 8/19/23 (d)			1,388		1,386,610
Internet Software & Services — 0.8%
Go Daddy Operating Company LLC, 2017 Term Loan B, 3.54%, 2/15/24 (d)			2,633		2,640,917
Rackspace Hosting, Inc., 1st Lien Term Loan, 4.54%, 11/03/23 (d)			2,299		2,311,699
TierPoint LLC, 2017 1st Lien Term Loan, 4.79%, 5/06/24 (d)			1,468		1,468,880

					6,421,496
IT Services — 3.3%
Cision US, Inc., Term Loan B, 7.15%, 6/16/23 (d)			1,136		1,144,084
First Data Corp., 2017 Term Loan, 3.53%, 4/26/24 (d)			12,109		12,171,541


Floating Rate Loan Interests		Par (000)		Value
IT Services (continued)
NeuStar, Inc. (d):
Term Loan B1, 3.90%, 8/28/19	USD		201	$	203,107
Term Loan B2, 3.02%, 2/28/24			549		554,098
Optiv Security, Inc. (d):
1st Lien Term Loan, 4.44%, 2/01/24			3,349		3,314,235
2nd Lien Term Loan, 8.44%, 2/01/25			1,000		985,000
TKC Holdings, Inc., 2017 Term Loan, 4.75%, 2/01/23 (d)			1,400		1,405,838
Vantiv LLC, 2014 Term Loan B, 3.49%, 10/14/23 (d)			796		800,431
VF Holding Corp., Reprice Term Loan, 4.29%, 6/30/23 (d)			2,199		2,201,949
WEX, Inc., Term Loan B, 4.54%, 7/01/23 (d)			2,456		2,475,254

					25,255,537
Life Sciences Tools & Services — 0.6%
Patheon Holdings I BV, 2017 Term Loan, 4.41%, 4/20/24 (d)			4,613		4,631,508
Machinery — 1.7%
Clark Equipment Co., 2017 Term Loan B, 4.04%, 5/18/24 (d)			1,120		1,127,000
Faenza Acquisition GmbH (d):
Term Loan B1, 3.95%, 8/30/20			594		598,929
Term Loan B3, 3.95%, 8/30/20			181		182,253
Gardner Denver, Inc., Term Loan, 4.57%, 7/30/20 (d)			1,616		1,619,112
Mueller Water Products, Inc., 2017 Term Loan B, 3.54%, 11/25/21 (d)			557		561,616
Navistar International Corp., 2017 Term Loan B, 5.00%, 8/07/20 (d)			759		771,238
Rexnord LLC, 2016 Term Loan B, 3.75%, 8/21/23 (d)			1,320		1,324,926
Signode Industrial Group US, Inc., Term Loan B, 3.79%, 5/04/21 (d)			874		877,202
Silver II US Holdings LLC, Term Loan, 4.15%, 12/13/19 (d)			5,201		5,175,558
Tecomet, Inc., 2017 Term Loan B, 4.92%, 4/13/24 (d)			890		894,450

					13,132,284
Media — 6.4%
Acosta Holdco, Inc., 2015 Term Loan, 4.29%, 9/26/21 (d)			644		600,131



20	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017


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


Floating Rate Loan Interests		Par (000)		Value
Media (continued)
Altice Financing SA, 2017 Term Loan B, 3.91%, 7/15/25 (d)	USD		675	$	675,284
Altice US Finance I Corp., 2017 Term Loan, 3.28%, 7/15/25 (d)			4,786		4,775,972
CBS Radio, Inc., Term Loan B, 4.51%, 10/17/23 (d)			1,314		1,325,597
Charter Communications Operating LLC, 2016 Term Loan I Add, 3.29%, 1/15/24 (d)			4,564		4,592,424
CSC Holdings LLC, 2017 1st Lien Term Loan, 3.25%, 7/15/25 (d)			3,785		3,776,225
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.04%, 5/31/21 (d)			1,714		1,617,874
iHeartCommunications, Inc., Term Loan D, 7.79%, 1/30/19 (d)			3,967		3,259,693
Intelsat Jackson Holdings SA, Term Loan B2, 3.89%, 6/30/19 (d)			8,375		8,265,992
Live Nation Entertainment, Inc., Term Loan B2, 3.56%, 10/31/23 (d)			603		607,743
Mission Broadcasting, Inc., 2016 Term Loan B2, 4.00%, 1/17/24 (d)			304		306,312
Nexstar Broadcasting, Inc., 2017 Term Loan B, 4.00%, 1/17/24 (d)			3,100		3,126,494
Numericable U.S. LLC, Term Loan B10, 4.42%, 1/14/25 (d)			2,164		2,164,666
SBA Senior Finance II LLC, Term Loan B1, 3.30%, 3/24/21 (d)			1,921		1,927,179
Trader Corp., 2017 Term Loan B, 4.29%, 9/28/23 (d)			1,075		1,075,892
Tribune Media Co., Term Loan C, 4.04%, 1/27/24 (d)			2,554		2,562,156
Univision Communications, Inc., Term Loan C5, 3.79%, 3/15/24 (d)			2,693		2,669,629
Virgin Media Bristol LLC, Term Loan I, 3.74%, 1/31/25 (d)			3,470		3,484,088
Ziggo Secured Finance Partnership, Term Loan E, 3.49%, 4/15/25 (d)			2,925		2,923,772

					49,737,123
Metals & Mining — 0.1%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20 (d)			530		52,115
WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, 6.70%, 9/30/23 (d)			512		516,053

					568,168


Floating Rate Loan Interests		Par (000)		Value
Multiline Retail — 0.2%
Hudson’s Bay Co., 2015 Term Loan B, 4.29%, 9/30/22 (d)	USD		882	$	848,071
Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 (d)			510		395,749
					1,243,820
Oil, Gas & Consumable Fuels — 2.8%
California Resources Corp. (d):
Second Out Term Loan, 11.38%, 12/31/21			3,145		3,477,206
Term Loan A, 4.04%, 10/01/19			1,519		1,467,055
Chesapeake Energy Corp., Term Loan, 8.69%, 8/23/21 (d)			3,907		4,209,402
CITGO Holding, Inc., 2015 Term Loan B, 9.65%, 5/12/18 (d)			822		831,884
Drillships Financing Holding, Inc., Term Loan B1, 8.00%, 3/31/21 (d)			1,400		1,005,660
EagleClaw Midstream Services LLC, Bridge Term Loan, 3.50%, 7/12/24 (a)(d)			2,515		—
Energy Transfer Equity LP, 2017 Term Loan B, 3.75%, 2/02/24 (d)			2,885		2,882,113
MEG Energy Corp., 2017 Term Loan B, 4.68%, 12/31/23 (d)			3,415		3,403,762
Moxie Patriot LLC, Term Loan B1, 6.90%, 12/19/20 (d)			499		455,276
PowerTeam Services LLC, 2nd Lien Term Loan, 8.40%, 11/06/20 (a)(d)			200		196,000
Samchully Midstream 3 LLC, Term Loan B, 5.90%, 10/20/21 (a)(d)			1,174		1,144,817
Ultra Resources, Inc., 1st Lien Term Loan, 4.00%, 3/23/24 (d)			1,028		1,024,793
Veresen Midstream LP, 2017 Term Loan B, 4.54%, 3/31/22 (d)			1,871		1,880,542
					21,978,510
Personal Products — 0.5%
Nature’s Bounty Co., 2017 Term Loan B, 6.65%, 5/05/23 (d)			1,055		1,054,290
Prestige Brands, Inc., Term Loan B4, 3.79%, 1/26/24 (d)			1,954		1,969,057
Revlon Consumer Products Corp., 2016 Term Loan B, 4.54%, 9/07/23 (d)			1,028		980,607
					4,003,954
Pharmaceuticals — 2.3%
Akorn, Inc., Term Loan B, 5.31%, 4/16/21 (a)(d)			1,349		1,364,592



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	21


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


Floating Rate Loan Interests		Par (000)		Value
Pharmaceuticals (continued)
Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, 3.20%, 1/31/25 (d)	USD		5,985	$	5,995,354
Jaguar Holding Co. II, 2015 Term Loan B, 3.79%, 8/18/22 (d)			4,111		4,114,924
Valeant Pharmaceuticals International, Inc., Series F1 Term Loan B, 5.75%, 4/01/22 (d)			5,832		5,933,645
					17,408,515
Professional Services — 1.4%
Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, 4.29%, 7/23/21 (d)			1,628		1,609,086
Information Resources, Inc., 1st Lien Term Loan, 5.26%, 1/18/24 (d)			775		782,022
SIRVA Worldwide, Inc., 2016 Term Loan, 7.66%, 11/14/22 (a)(d)			1,122		1,119,382
Sterling Infosystems, Inc., 1st Lien Term Loan B, 5.40%, 6/20/22 (d)			1,500		1,507,500
TransUnion LLC, Term Loan B2, 3.54%, 4/09/23 (d)			5,534		5,584,958
					10,602,948
Real Estate Investment Trusts (REITs) — 0.7%
Capital Automotive LP, 2017 1st Lien Term Loan, 4.03%, 3/24/24 (d)			580		584,530
Communications Sales & Leasing, Inc., 2017 Term Loan B, 4.04%, 10/24/22 (d)			1,462		1,468,590
MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, 3.29%, 4/25/23 (d)			3,179		3,196,740
					5,249,860
Real Estate Management & Development — 0.8%
CityCenter Holdings LLC, 2017 Term Loan B, 3.50%, 4/18/24 (d)			1,406		1,411,254
DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.42%, 11/04/21 (d)			2,058		2,063,010
Realogy Corp., 2017 Term Loan B, 3.29%, 7/20/22 (d)			2,619		2,635,855
					6,110,119
Semiconductors & Semiconductor Equipment — 0.4%
Cavium, Inc., 2017 Term Loan B, 3.28%, 8/16/22 (a)(d)			525		526,098


Floating Rate Loan Interests		Par (000)		Value
Semiconductors & Semiconductor Equipment (continued)
Microsemi Corp., 2015 Term Loan B, 3.33%, 1/15/23 (d)	USD		392	$	393,895
ON Semiconductor Corp., 2017 Term Loan B, 3.29%, 3/31/23 (d)			488		490,021
Sensata Technologies BV, 7,100.00% - 5.00%, 10/01/25 (d)(c)			852		884,478
Versum Materials, Inc., Term Loan, 3.65%, 9/29/23 (d)			711		719,130

					3,013,622
Software — 7.2%
Aptean, Inc., 2016 1st Lien Term Loan, 8.75%, 12/20/22 (d)			440		441,927
BMC Software Finance, Inc., 2017 Term Loan, 5.00%, 9/13/22 (d)			2,044		2,052,877
CCC Information Services, Inc. (d):
2017 1st Lien Term Loan, 4.04%, 4/27/24			1,225		1,221,325
2017 2nd Lien Term Loan, 7.79%, 4/27/25			495		505,672
Dell, Inc., 2017 Term Loan B, 3.55%, 9/07/23 (d)			3,050		3,066,955
DTI Holdco, Inc., 2016 Term Loan B, 6.42%, 9/30/23 (d)			1,120		1,098,528
Hyland Software, Inc. (d):
2017 2nd Lien Term Loan, 4.40%, 7/12/25			580		588,700
2017 Term Loan, 4.29%, 7/01/22			1,275		1,283,587
Infor US, Inc., Term Loan B6, 3.90%, 2/01/22 (d)			2,874		2,866,709
Informatica Corp., Term Loan, 4.65%, 8/05/22 (d)			3,684		3,681,018
IQOR US, Inc., Term Loan B, 6.15%, 4/01/21 (d)			1,519		1,515,827
Kronos Inc., 2017 Term Loan B, 4.68%, 11/01/23 (d)			2,608		2,632,069
Kronos, Inc., 2nd Lien Term Loan, 9.42%, 11/01/24 (d)			1,175		1,220,531
LANDesk Group, Inc., 2017 Term Loan B, 5.30%, 1/20/24 (d)			335		335,419
MA FinanceCo. LLC, Term Loan B3, 5.87%, 4/29/24 (d)			279		278,768
Misys Europe SA (d):
1st Lien Term Loan, 3.54%, 4/27/24			3,105		3,110,962
2nd Lien Term Loan, 3.54%, 4/27/25			1,151		1,173,157
Mitchell International, Inc. (d):
1st Lien Term Loan, 4.67%, 10/13/20			1,978		1,989,953



22	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017


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


Floating Rate Loan Interests		Par (000)		Value
Software (continued)
Mitchell International, Inc. (d) (continued):
2nd Lien Term Loan, 8.67%, 10/11/21	USD		1,250	$	1,257,425
Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, 4.67%, 4/26/24 (d)			2,284		2,273,539
RP Crown Parent LLC, 2016 Term Loan B, 4.54%, 10/12/23 (d)			1,999		2,015,190
Seattle Spinco, Inc., Term Loan B3, 3.65%, 4/19/24 (d)			1,884		1,882,587
SolarWinds Holdings, Inc., 2017 Term Loan, 4.54%, 2/05/23 (d)			2,481		2,492,571
Solera LLC, Term Loan B, 4.29%, 3/03/23 (d)			2,324		2,338,996
Sophia LP, 2017 Term Loan B, 4.40%, 9/30/22 (d)			1,761		1,754,807
SS&C Technologies, Inc. (d):
2017 Term Loan B1, 3.29%, 7/08/22			2,475		2,489,579
2017 Term Loan B2, 3.29%, 7/08/22			172		173,014
Synchronoss Technologies, Inc., Term Loan, 4.08%, 1/19/24 (d)			1,160		1,068,940
Tempo Acquisition LLC, Term Loan, 4.00%, 5/01/24 (d)			2,815		2,824,036
Tibco Software, Inc., 2017 Term Loan B, 5.55%, 12/04/20 (d)			2,229		2,249,513
Veritas US, Inc., Term Loan B1, 6.77%, 1/27/23 (d)			3,954		3,956,756
					55,840,937
Specialty Retail — 0.9%
Academy Ltd., 2015 Term Loan B, 5.04%, 7/01/22 (d)			1,027		826,447
Bass Pro Group LLC, Asset Sale Term Loan, 5.90%, 6/09/18 (d)			655		660,731
Leslie’s Poolmart, Inc., 2016 Term Loan, 4.79%, 8/16/23 (d)			831		835,719
Michaels Stores, Inc., 2016 Term Loan B1, 3.79%, 1/30/23 (d)			1,243		1,241,175
Party City Holdings, Inc., 2016 Term Loan, 4.05%, 8/19/22 (d)			1,925		1,924,848
Petco Animal Supplies, Inc., 2017 Term Loan B, 4.17%, 1/26/23 (d)			997		925,846
Things Remembered, Inc., 2016 Term Loan, 4.18%, 2/29/20 (a)(d)			1,303		195,487
					6,610,253


Floating Rate Loan Interests		Par (000)		Value
Textiles, Apparel & Luxury Goods — 0.3%
Ascend Performance Materials Operations LLC, Term Loan B, 6.65%, 8/12/22 (d)	USD		2,488	$	2,506,378
Thrifts & Mortgage Finance — 0.2%
IG Investment Holdings LLC, 2017 Term Loan, 5.18%, 10/31/21 (d)			1,482		1,493,453
Trading Companies & Distributors — 0.5%
Beacon Roofing Supply, Inc., Term Loan B, 3.75%, 10/01/22 (d)			581		584,201
HD Supply, Inc. (d):
Incremental Term Loan B1, 3.90%, 8/13/21			1,248		1,256,217
Incremental Term Loan B2, 3.90%, 10/17/23			1,905		1,916,153
Nexeo Solutions LLC, 2017 Term Loan B, 4.95%, 6/09/23 (d)			243		245,826
					4,002,397
Wireless Telecommunication Services — 1.9%
GEO Group, Inc., 2017 Term Loan B, 3.25%, 3/22/24 (d)			1,505		1,505,948
Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 4.15%, 12/07/20 (d)(f)			9,132		8,777,801
LTS Buyer LLC, 1st Lien Term Loan, 4.40%, 4/13/20 (d)			3,816		3,830,620
Radiate Holdco LLC, 1st Lien Term Loan, 4.04%, 2/01/24 (d)			945		946,540
					15,060,909
Total Floating Rate Loan Interests - 76.4%					590,191,755

Investment Companies — 1.8%
iShares iBoxx USD High Yield Corporate Bond ETF (i)			157,001		13,918,139



Other Interests (j)		Beneficial Interest (000)
Auto Components — 0.0%
Intermet Liquidating Trust, Class A (a)			1,154		12

Preferred Securities

Capital Trusts		Par (000)
Allied Irish Banks PLC, 7.38% (d)(k)			200		242,342



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	23


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


Capital Trusts	Par (000)		Value
Banco Popular Espanol SA, 11.50% (d)(k)		100	$	73,018
Banco Santander SA, 6.25% (d)(k)		100		112,475
Bank of America Corp., Series X, 6.25% (d)(k)		1,100		1,181,400
Barclays PLC, 7.25% (d)(k)		200		275,357
Citigroup, Inc., Series N, 5.80% (d)(k)		1,100		1,142,625
Cooperatieve Rabobank UA, 6.63% (d)(k)		200		250,819
Credit Agricole SA, 6.50% (d)(k)		100		122,174
Enel SpA (d):
6.50%, 1/10/74		100		121,457
7.75%, 9/10/75		100		145,924
Erste Group Bank AG, 6.50% (d)(k)		200		241,633
Gas Natural Fenosa Finance BV, 3.38% (d)(k)		100		112,054
Goldman Sachs Group, Inc., Series L, 5.70% (d)(k)		750		774,375
HBOS Capital Funding LP, 6.85% (k)		100		102,055
HSBC Holdings PLC, 6.00% (d)(k)		600		612,375
Intesa Sanpaolo SpA, 7.00% (d)(k)		400		467,313
JPMorgan Chase & Co., Series V, 5.00% (d)(k)		780		793,650
Lanxess AG, 4.50% (d)(k)		50		60,882
National Westminster Bank PLC, Series C, 1.47% (d)(k)		100		82,281
Origin Energy Finance Ltd., 4.00% (d)(k)		100		114,948
Repsol International Finance BV, 4.50% (d)(k)		100		115,106
Royal Bank of Scotland Group PLC, 8.63% (d)(k)		246		269,370
Solvay Finance SA, 5.12% (d)(k)		100		124,417
Telefonica Europe BV (d)(k):
3.75%		100		115,930
4.20%		200		237,357
5.00%		100		121,110
TOTAL SA, 3.88% (d)(k)		100		120,929
UBS Group AG, 5.75% (d)(k)		200		249,154
Total Capital Trusts — 1.1%				8,382,530



Preferred Stock — 0.1%	Shares
Capital Markets — 0.1%
Goldman Sachs Group, Inc., Series J, 5.50% (d)(k)		13,550		374,657


Trust Preferred — 0.2%	Shares		Value
Diversified Financial Services — 0.2%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (d)		56,219	$	1,506,779
Total Preferred Securities - 1.4%				10,263,966


Rights — 0.0%
Electric Utilities — 0.0%
Tex Energy LLC (a)		39,599		41,579


Warrants
Software — 0.0%
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $21.14) (a)		3,049		1,250
Transportation Infrastructure — 0.0%
Jack Cooper Enterprises, Inc., Class B (Issued/exercisable 4/26/17, 1 Share for 1 Warrant, Expires 4/26/27, Strike Price $0.01) (a)		4,494		28,852
Turbo Cayman Ltd. (Expires 3/15/18, Strike Price $0.01) (a)		1		—

				28,852
Total Warrants - 0.0%				30,102
Total Long-Term Investments (Cost — $1,183,517,532) — 152.5%				1,177,729,898
Options Purchased (Cost — $5,867) — 0.0%				—
Total Investments (Cost — $1,183,523,399*) — 152.5%				1,177,729,898
Liabilities in Excess of Other Assets — (52.5)%				(405,277,345	)

Net Assets — 100.0%			$	772,452,553

As of May 31, 2017, gross unrealized appreciation and depreciation based on cost for U.S. federal income tax purposes were as follows:


Tax cost	$	1,183,539,308

Gross unrealized appreciation	$	29,686,281
Gross unrealized depreciation		(35,495,691	)

Net unrealized depreciation	$	(5,809,410	)



24	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017


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

Notes to Schedule of Investments

(a)

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(b)

Non-income producing security.

(c)

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.

(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)

Issuer filed for bankruptcy and/or is in default.

(h)

Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

(i)

During the period ended May 31, 2017, 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,
2017

Shares
Purchased

Shares

Sold

Shares
Held at

May 31,

2017

Value at

May 31,

2017

Income

Net Realized

Gain (Loss)

Change in
Unrealized

Appreciation
(Depreciation)

iShares iBoxx USD High Yield Corporate Bond ETF

157,001

—

157,001

13,918,139

58,799

—

56,520

(j)

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

(k)

Perpetual security with no stated maturity date.

For compliance purposes, the sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.


Portfolio Abbreviations


CLO		Collateralized Loan Obligation
CR		Custodian Receipt
DIP		Debtor-In-Possession
ETF		Exchange-Traded Fund
EUR		Euro
GBP		British Pound
LOC		Letter of Credit
OTC		Over-the-Counter
PIK		Payment-In-Kind
USD		U.S. Dollar



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	25


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

Derivative Financial Instruments Outstanding as of Period End


Futures Contracts
Contracts Short	Issue	Expiration		Notional Value	Unrealized Appreciation (Depreciation)
(2)	Euro BOBL		June 2017	$296,991	$	1,054
(3)	Euro Bund Future		June 2017	$547,026		1,492
(1)	UK Long Gilt Bond		September 2017	$164,845		(207	)
Total					$	2,339

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
EUR	300,000	USD	333,442		Barclays Bank PLC		6/06/17	$	3,625
EUR	451,000	USD	491,104		Goldman Sachs International		6/06/17		15,619
EUR	110,000	USD	123,464		Standard Chartered Bank		6/06/17		127
USD	2,342,941	GBP	1,809,000		JPMorgan Chase Bank N.A.		6/06/17		11,896

									31,267

USD	14,816,971	EUR	13,560,000		Deutsche Bank AG		6/06/17		(418,435	)
USD	190,921	EUR	175,000		Goldman Sachs International		6/06/17		(5,702	)
USD	100,492	EUR	92,000		Northern Trust Co.		6/06/17		(2,875	)
USD	14,457,181	EUR	12,849,000		Deutsche Bank AG		7/06/17		(3,124	)
USD	2,315,304	GBP	1,800,000		Deutsche Bank AG		7/06/17		(6,438	)

									(436,574	)
Net Unrealized (Depreciation)								$	(405,307	)

OTC Options Purchased

Description

Put/Call

Counterparty

Expiration

Date

Strike

Price

Contracts

Value

Marsico Parent Superholdco LLC

Call

Goldman Sachs & Co.

12/14/19

USD

942.86

—


Centrally Cleared Credit Default Swaps—Buy Protection
Issuer / Index	Pay Fixed Rate			Expiration Date		Notional Amount (000)		Unrealized Appreciation (Depreciation)
Markit iTraxx XO, Series 27, Version 1		5.00	%		6/20/22	EUR	140	$	(4,236	)


Centrally Cleared Credit Default Swaps—Sell Protection
Issuer / Index	Receive Fixed Rate			Expiration Date		Credit Rating¹		Notional Amount (000)²		Unrealized Appreciation (Depreciation)
Chesapeake Energy Corp.		5.00	%		12/20/21		CCC		620	$	7,247
Markit CDX North America High Yield Index, Series 27, Version 2		5.00	%		12/20/21		B		8,991		199,859
Dow Jones CDX North America High Yield Index, Series 28, Version 1		5.00	%		6/20/22		B+		7,205		31,626
Total										$	238,732



26	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017


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 (Depreciation)
Hellenic Telecommunications Organization SA		5.00	%	Barclays Bank PLC		12/20/21		B+	EUR		30	$		4,830			1,644		$	3,186
GFKL Financial Services AG		5.00	%	Credit Suisse International		6/20/22		B-	EUR		11			(701	)		(739	)		38
Hertz Corp.		5.00	%	Barclays Bank PLC		6/20/22		B-	USD		70			(13,127	)		(7,143	)		(5,984	)
Hertz Corp.		5.00	%	Goldman Sachs International		6/20/22		B-	USD		91			(4,982	)		(5,948	)		966
International Game Technology		5.00	%	Credit Suisse International		6/20/22		BB+	EUR		10			1,265			1,041			224
International Game Technology		5.00	%	JPMorgan Chase Bank N.A.		6/20/22		BB+	EUR		30			3,832			3,237			595
Total													$(8,883)			$	(7,908	)	$	(975	)

Using Standard & Poor’s (“S&P’s”) rating of the issuer or the underlying securities of the index, as applicable.

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of agreement.

OTC Total Return Swaps

Reference Entity

Fixed Amount/

Floating

Rate¹

Counterparty

Effective
Date

Expiration Date

Contract

Amount

(000)

Value

Premiums

Paid

(Received)

Unrealized

Appreciation
(Depreciation)

iBoxx USD Liquid High Yield Index

3-Month
LIBOR

Goldman Sachs
International

N/A

6/20/17

USD

1,650,000

27,131

(1,320

)

28,451

The Fund pays the fixed amount and receives the total return of the reference entity.



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	27


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


Fair Value Heirarchy 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. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

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		—	$	36,606,586	$	13,060,400	$	49,666,986
Common Stocks	$	600,404		132,529		1,857,692		2,590,625
Corporate Bonds		—		499,126,588		11,900,146		511,026,734
Floating Rate Loan Interests		—		577,439,899		12,751,856		590,191,755
Investment Companies		13,918,139		—		—		13,918,139
Other Interests		—		—		12		12
Preferred Securities		—		8,382,530		—		8,382,530
Preferred Stock		374,657		—		—		374,657
Rights		—		—		41,579		41,579
Trust Preferred		1,506,779		—		—		1,506,779
Warrants		—		—		30,102		30,102
Unfunded Floating Rate Loan Interests¹		—		734		—		734

Total	$	16,399,979	$	1,121,688,866	$	39,641,787	$	1,177,730,632

Derivative Financial Instruments²
Assets:



28	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017


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


Foreign currency exchange contracts		—		$	31,267		—	$	31,267
Credit contracts		—			243,741		—		243,741
Interest rate contracts	$	2,546			28,451		—		30,997
Liabilities:
Foreign currency exchange contracts		—			(436,574	)	—		(436,574	)
Credit contracts		—			(10,220	)	—		(10,220	)
Interest rate contracts		(207	)		—		—		(207	)

Total	$	2,339		$	(143,335	)	—	$	(140,996	)

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange 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 statement purposes. As of period end, bank borrowings payable of $363,000,000 are categorized as Level 2 within the disclosure hierarchy.

During the period ended May 31, 2017, there were no transfers between Level 1 and Level 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		Rights			Warrants		Total
Assets:
Opening balance, as of February 28, 2017	$	2,519,729		$	1,800,000		$	10,591,604	$	15,974,274		$	12	$	81,663		$	29,644	$	30,996,926
Transfers into Level 3¹		—			—			—		6,626,987			—		—			—		6,626,987
Transfers out of Level 3²		—			(1,000,000	)		—		(9,666,312	)		—		—			—		(10,666,312	)
Accrued discounts/premiums		—			(60	)		—		42,151			—		—			—		42,091
Net realized gain (loss)		—			—			—		69,594			—		23,553			—		93,147
Net change in unrealized appreciation (depreciation)³		(592,664	)		(8,040	)		1,184,077		(264,243	)		—		(30,734	)		458		288,854
Purchases		—			12,268,500			124,465		3,691,535			—		—			—		16,084,500
Sales		(69,373	)		—			—		(3,722,130	)		—		(32,903	)		—		(3,824,406	)

Closing balance, as of May 31, 2017	$	1,857,692		$	13,060,400		$	11,900,146	$	12,751,856		$	12	$	41,579		$	30,102	$	39,641,787

Net change in unrealized appreciation (depreciation) on investments still held at May 31, 20173	$	(592,664	)	$	(8,040	)	$	1,184,077	$	(216,894	)		—	$	(11,880	)	$	457	$	355,056

As of February 28, 2017, the Fund used observable inputs in determining the value of certain investments. As of May 31, 2017, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at the beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

As of February 28, 2017, the Fund used significant unobservable inputs in determining the value of certain investments. As of May 31, 2017, the Fund used observable inputs in determining the value of the same investments. As a result, investments at the beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at May 31, 2017 is generally due to investments no longer held or categorized as Level 3 at period end.



BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017	29


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

The following table summarizes the valuation approaches used and unobservable inputs utilized by 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 $25,464,623. A significant change in the third party information could result in a significantly lower or higher value of such Level 3 investments.


	Value		Valuation Approach	Unobservable Inputs	Range of Unobservable Inputs Utilized
Assets:
Common Stocks	$	1,857,676	Market	Time to Exit¹	1 - 2 years
				Volatility¹	29.0%
				EBITDA Multiple¹	7.25x
				Marketability Discount²	12.9%
				Last 12 Months EBITDA Multiple¹	4.50x - 6.25x
				Current Fiscal Year EBITDA Multiple¹	4.75x - 7.75x
Corporate Bonds		11,900,144	Income	Discount Rate²	10.4%
			Market	EBITDA Multiple¹	7.25x
				Marketability Discount²	12.90%
				Time to Exit¹	1 - 2 years
				Volatility¹	29.0%
Floating Rate Loan Interests		418,094	Income	Discount Rate²	4.79%
			Market	Last 12 Months Revenue Multiple¹	0.085x
Warrants		1,250	Market	Volatility¹	25.0%

Total	$	14,177,164

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.

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.



30	BLACKROCK DEBT STRATEGIES FUND, INC.	MAY 31, 2017

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 24, 2017

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 24, 2017


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

Date: July 24, 2017