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 811-8603
Name of Fund: Debt Strategies Fund, Inc.
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, Debt Strategies Fund, Inc., 800 Scudders Mill Road, Plainsboro,
NJ 08536. Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 02/28/2006
Date of reporting period: 09/01/05 - 11/30/05
Item 1 - Schedule of Investments
Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2005 (in U.S. dollars)
Face
Industry Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Aerospace & Defense - 3.0% $ 5,000,000 Alliant Techsystems, Inc., 3% due 8/15/2024 (d)(k) $ 5,837,500
7,500,000 L-3 Communications Corp., 3% due 8/01/2035 (d)(k) 7,293,750
8,120,000 Vought Aircraft Industries, Inc., 8% due 7/15/2011 7,389,200
-------------
20,520,450
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Airlines - 0.4% 4,105,529 American Airlines, Inc. Series 2001-1 Class C, 7.379% due 11/23/2017 2,925,581
-----------------------------------------------------------------------------------------------------------------------------------
Automotive - 2.5% 700,000 Advanced Accessory Systems LLC, 10.75% due 6/15/2011 595,000
4,950,000 Cooper-Standard Automotive, Inc., 8.375% due 12/15/2014 3,712,500
2,700,000 Delco Remy International, Inc., 8.15% due 4/15/2009 (a) 2,511,000
1,550,000 Dura Operating Corp. Series D, 9% due 5/01/2009 937,750
4,900,000 Exide Technologies, 10.50% due 3/15/2013 (d) 3,699,500
6,050,000 Metaldyne Corp., 11% due 6/15/2012 4,582,875
925,000 Tenneco Automotive, Inc. Series B, 10.25% due 7/15/2013 1,010,563
4,450,000 Venture Holdings Co. LLC, 12% due 6/01/2009 (i) 0
1,800,000 Venture Holdings Co. LLC Series B, 9.50% due 7/01/2005 (i) 9,000
-------------
17,058,188
-----------------------------------------------------------------------------------------------------------------------------------
Broadcasting - 5.2% 3,950,000 Emmis Communications Corp., 10.366% due 6/15/2012 (a) 3,954,937
6,000,000 Granite Broadcasting Corp., 9.75% due 12/01/2010 5,580,000
1,100,000 LIN Television Corp., 6.50% due 5/15/2013 (d) 1,053,250
3,870,000 Sinclair Broadcast Group, Inc. Class A, 4.875% due 7/15/2018 (k) 3,521,700
8,300,000 Sirius Satellite Radio, Inc., 9.625% due 8/01/2013 (d) 8,113,250
11,250,000 XM Satellite Radio, Inc., 9.75% due 5/01/2009 (a) 11,362,500
2,000,000 Young Broadcasting Inc., 10% due 3/01/2011 1,880,000
-------------
35,465,637
-----------------------------------------------------------------------------------------------------------------------------------
Cable - International - 1.2% 750,000 NTL Cable Plc, 8.75% due 4/15/2014 787,500
3,500,000 New Skies Satellites NV, 9.573% due 11/01/2011 (a)(d) 3,596,250
3,700,000 New Skies Satellites NV, 9.125% due 11/01/2012 3,801,750
-------------
8,185,500
-----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 9.2% 7,500,000 Adelphia Communications Corp., 6% due 2/15/2006 (i)(k) 168,750
3,450,000 CSC Holdings, Inc., 7.25% due 7/15/2008 3,450,000
4,225,000 Cablevision Systems Corp. Series B, 8.716% due 4/01/2009 (a) 4,309,500
3,750,000 Charter Communications Holdings LLC, 10% due 4/01/2009 3,018,750
2,000,000 Charter Communications Holdings LLC, 11.75% due 1/15/2010 1,620,000
2,000,000 Charter Communications Holdings LLC, 11.125% due 1/15/2011 1,210,000
2,700,000 Charter Communications Holdings LLC, 9.92% due 4/01/2011 1,566,000
3,000,000 Charter Communications Holdings LLC, 10% due 5/15/2011 1,755,000
2,500,000 Insight Midwest, LP, 9.75% due 10/01/2009 2,571,875
3,825,000 Intelsat Bermuda Ltd., 8.695% due 1/15/2012 (a)(d) 3,882,375
3,375,000 Intelsat Bermuda Ltd., 8.25% due 1/15/2013 (d) 3,375,000
4,800,000 Intelsat Bermuda Ltd., 8.625% due 1/15/2015 (d) 4,812,000
6,375,000 Loral Cyberstar, Inc., 10% due 7/15/2006 (i) 6,040,313
2,350,000 Mediacom Broadband LLC, 11% due 7/15/2013 2,526,250
3,875,000 Mediacom LLC, 9.50% due 1/15/2013 3,807,188
10,000,000 Rainbow National Services LLC, 10.375% due 9/01/2014 (d) 10,900,000
1,023,000 Skynet Senior Secured Note, 14% due 12/01/2015 1,196,910
10,350,000 Zeus Special Subsidiary Ltd., 9.25% due 2/01/2015 (c)(d) 6,947,438
-------------
63,157,349
-----------------------------------------------------------------------------------------------------------------------------------
Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2005 (in U.S. dollars)
Face
Industry Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 11.3% $ 3,550,000 ArCo Chemical Co., 9.80% due 2/01/2020 $ 3,976,000
2,320,000 BCP Caylux Holdings Luxembourg SCA, 9.625% due 6/15/2014 2,572,300
4,000,000 Compass Minerals International, Inc. Series B, 12% due 6/01/2013 (c) 3,460,000
9,783,000 GEO Specialty Chemicals, Inc., 12.016% due 12/31/2009 (k) 8,511,210
1,900,000 Huntsman International, LLC, 9.875% due 3/01/2009 1,997,375
1,199,000 Huntsman International, LLC, 10.125% due 7/01/2009 1,234,970
3,150,000 ISP Holdings, Inc. Series B, 10.625% due 12/15/2009 3,299,625
1,500,000 Innophos, Inc., 9.625% due 8/15/2014 (d) 1,507,500
6,000,000 Invista B.V., 9.25% due 5/01/2012 (d) 6,480,000
2,400,000 Millennium America, Inc., 7.625% due 11/15/2026 2,268,000
2,000,000 Nova Chemical Corp., 7.561% due 11/15/2013 (a)(d) 2,040,000
10,000,000 Omnova Solutions, Inc., 11.25% due 6/01/2010 10,550,000
7,575,917 PCI Chemicals Canada, Inc., 10% due 12/31/2008 7,945,243
11,700,000 PolyOne Corp., 10.625% due 5/15/2010 12,051,000
2,612,000 Rockwood Specialties Group, Inc., 10.625% due 5/15/2011 2,827,490
450,000 Rockwood Specialties Group, Inc., 7.50% due 11/15/2014 441,000
6,000,000 Tronox Worldwide LLC, 9.50% due 12/01/2012 (d) 6,180,000
-------------
77,341,713
-----------------------------------------------------------------------------------------------------------------------------------
Consumer - Durables - 2.4% 10,750,000 Sealy Mattress Co., 8.25% due 6/15/2014 10,965,000
10,000,000 Simmons Co., 10.207% due 12/15/2014 (c)(d) 5,200,000
-------------
16,165,000
-----------------------------------------------------------------------------------------------------------------------------------
Consumer - Non-Durables - 1.3% 3,400,000 Chattem, Inc., 7.41% due 3/01/2010 (a) 3,425,500
5,000,000 Hines Nurseries, Inc., 10.25% due 10/01/2011 4,900,000
4,000,000 North Atlantic Holding Co., Inc., 12.25% due 3/01/2014 (c) 800,000
-------------
9,125,500
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Media - 2.9% 2,000,000 Cadmus Communications Corp., 8.375% due 6/15/2014 2,050,000
7,500,000 Liberty Media Corp., 0.75% due 3/30/2023 (k) 8,203,125
1,800,000 Loews Cineplex Entertainment Corp., 8.875% due 8/01/2008 (i) 0
2,675,000 Muzak Holdings, LLC, 13% due 3/15/2010 939,594
3,875,000 NBC Acquisition Corp., 11% due 3/15/2013 (c) 2,760,938
375,000 Universal City Florida Holding Co. I, 8.375% due 5/01/2010 369,375
5,300,000 Universal City Florida Holding Co. I, 9% due 5/01/2010 (a) 5,366,250
-------------
19,689,282
-----------------------------------------------------------------------------------------------------------------------------------
Energy - Exploration & 3,000,000 Chaparral Energy, Inc., 8.50% due 12/01/2015 (d) 3,045,000
Production - 1.3% 5,500,000 Compton Petroleum Corp., 7.625% due 12/01/2013 (d) 5,582,500
-------------
8,627,500
-----------------------------------------------------------------------------------------------------------------------------------
Energy - Other - 3.2% 6,150,000 Aventine Renewable Energy Holdings, Inc.,
10.491% due 12/15/2011 (a)(d) 6,396,000
1,000,000 Dresser, Inc., 9.375% due 4/15/2011 1,052,500
2,045,000 Dresser-Rand Group, Inc., 7.375% due 11/01/2014 (d) 2,091,012
6,950,000 SemGroup LP, 8.75% due 11/15/2015 (d) 7,019,500
6,250,000 Star Gas Partners LP, 10.25% due 2/15/2013 5,093,750
-------------
21,652,762
-----------------------------------------------------------------------------------------------------------------------------------
Financial - 1.1% 5,777,222 Archimedes Funding III Ltd., 5.50% due 11/29/2011 (a)(d) 4,332,917
1,500,000 Investcorp SA, 7.54% due 10/21/2008 1,521,226
2,000,000 Pennant CBO Ltd., 13.43% due 3/14/2011 (d) 1,240,000
1,500,000 SKM-LibertyView CBO Ltd. Series 1A Class C1,
8.71% due 4/10/2011 (d)(f)(i) 480,000
1,000,000 SKM-LibertyView CBO Ltd. Series 1A Class D,
11.91% due 4/10/2011 (d)(f)(i) 15,000
-------------
7,589,143
-----------------------------------------------------------------------------------------------------------------------------------
Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2005 (in U.S. dollars)
Face
Industry Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Food & Drug - 0.7% $ 7,250,000 Duane Reade, Inc., 9.75% due 8/01/2011 $ 5,002,500
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Food & Tobacco - 2.7% 842,946 Archibald Candy Corp., 10% due 11/01/2007 (i) 53,687
4,550,000 Commonwealth Brands, Inc., 9.75% due 4/15/2008 (d) 5,033,437
8,000,000 Commonwealth Brands, Inc., 10.625% due 9/01/2008 (d) 9,130,000
1,175,000 Doane Pet Care Co., 10.75% due 3/01/2010 1,271,937
1,362,000 Dole Food Co., Inc., 8.875% due 3/15/2011 1,399,455
28,918,000 New World Pasta Co., 9.25% due 2/15/2009 (i) 1,735,080
-------------
18,623,596
-----------------------------------------------------------------------------------------------------------------------------------
Gaming - 1.8% 4,000,000 Inn of the Mountain Gods Resort & Casino, 12% due 11/15/2010 4,160,000
2,000,000 Jacobs Entertainment, Inc., 11.875% due 2/01/2009 2,127,500
1,225,000 Majestic Star Casino LLC, 9.50% due 10/15/2010 1,202,031
1,725,000 Penn National Gaming, Inc., 6.75% due 3/01/2015 1,668,938
3,000,000 Tunica-Biloxi Gaming Authority, 9% due 11/15/2015 (d) 3,000,000
-------------
12,158,469
-----------------------------------------------------------------------------------------------------------------------------------
Health Care - 5.4% 4,450,000 CDRV Investors, Inc., 9.75% due 1/01/2015 (c) 2,670,000
5,000,000 Cinacalcet Royalty Corp., 8% due 3/30/2017 (d) 5,100,000
3,525,000 Elan Finance Plc, 7.75% due 11/15/2011 3,234,187
4,825,000 Elan Finance Plc, 8.34% due 11/15/2011 (a) 4,487,250
2,500,000 HealthSouth Corp., 8.50% due 2/01/2008 2,425,000
2,500,000 HealthSouth Corp., 10.75% due 10/01/2008 2,400,000
5,000,000 Risperdal Consta Pharma, 7% due 1/01/2018 4,387,500
6,000,000 Tenet Healthcare Corp., 7.375% due 2/01/2013 5,460,000
1,400,000 VWR International, Inc., 8% due 4/15/2014 1,386,000
4,100,000 Vanguard Health Holding Co. I, LLC, 11.25% due 10/01/2015 2,931,500
2,325,000 Vanguard Health Holding Co. II, LLC, 9% due 10/01/2014 2,452,875
-------------
36,934,312
-----------------------------------------------------------------------------------------------------------------------------------
Housing - 2.9% 2,000,000 Compression Polymers Corp, 10.46% due 7/01/2012 (a)(d) 1,880,000
1,300,000 Compression Polymers Corp., 10.50% due 7/01/2013 (d) 1,222,000
460,013 Formica Holdings Corp., 8.76% due 6/10/2011 437,012
3,190,000 Goodman Global Holding Co., Inc., 7.491% due 6/15/2012 (a)(d) 3,158,100
8,200,000 Goodman Global Holding Co., Inc., 7.875% due 12/15/2012 (d) 7,708,000
2,500,000 Nortek, Inc., 8.50% due 9/01/2014 2,400,000
2,250,000 Stanley-Martin Communities, 9.75% due 8/15/2015 (d) 2,092,500
700,000 US Concrete, Inc., 8.375% due 4/01/2014 698,250
-------------
19,595,862
-----------------------------------------------------------------------------------------------------------------------------------
Information Technology - 7.3% 1,600,000 Activant Solutions, Inc., 10.054% due 4/01/2010 (a)(d) 1,640,000
4,500,000 Activant Solutions, Inc., 12.65% due 10/01/2011 (a)(b)(d) 4,612,500
6,950,000 Amkor Technology, Inc., 9.25% due 2/15/2008 6,706,750
1,000,000 Amkor Technology, Inc., 10.50% due 5/01/2009 902,500
5,000,000 Cypress Semiconductor Corp., 1.25% due 6/15/2008 (k) 5,837,500
4,725,000 Freescale Semiconductor, Inc., 6.90% due 7/15/2009 (a) 4,843,125
1,375,000 MagnaChip Semiconductor SA, 7.741% due 12/15/2011 (a) 1,388,750
1,050,000 MagnaChip Semiconductor SA, 8% due 12/15/2014 971,250
3,825,000 Sungard Data Systems, Inc., 8.525% due 8/15/2013 (a)(d) 3,963,656
7,075,000 Sungard Data Systems, Inc., 9.125% due 8/15/2013 (d) 7,322,625
4,818,000 Sungard Data Systems, Inc., 10.25% due 8/15/2015 (d) 4,866,180
2,925,000 Telcordia Technologies Inc., 10% due 3/15/2013 (d) 2,544,750
5,075,000 Viasystems, Inc., 10.50% due 1/15/2011 4,694,375
-------------
50,293,961
-----------------------------------------------------------------------------------------------------------------------------------
Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2005 (in U.S. dollars)
Face
Industry Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Leisure - 2.1% $12,000,000 Felcor Lodging LP, 8.83% due 6/01/2011 (a) $ 12,480,000
2,000,000 True Temper Sports, Inc., 8.375% due 9/15/2011 1,800,000
-------------
14,280,000
-----------------------------------------------------------------------------------------------------------------------------------
Manufacturing - 4.8% 575,000 Aearo Co., 8.25% due 4/15/2012 583,625
4,000,000 CPI Holdco, Inc., 9.672% due 2/01/2015 (a)(d) 3,896,128
2,000,000 Chart Industries, Inc., 9.125% due 10/15/2015 (d) 2,020,000
4,525,000 EaglePicher Inc., 9.75% due 9/01/2013 (i) 3,506,875
5,875,000 Invensys Plc, 9.875% due 3/15/2011 (d) 5,757,500
4,899,000 Medis Technologies Ltd., 6% due 7/15/2010 (d)(k) 4,409,100
8,300,000 Mueller Group, Inc., 10% due 5/01/2012 8,756,500
600,000 NMHG Holding Co., 10% due 5/15/2009 639,000
4,000,000 Propex Fabrics, Inc., 10% due 12/01/2012 3,475,000
-------------
33,043,728
-----------------------------------------------------------------------------------------------------------------------------------
Metal - Other - 1.0% 1,100,000 Aleris International, Inc., 9% due 11/15/2014 1,146,750
5,500,000 James River Coal Co., 9.375% due 6/01/2012 5,857,500
-------------
7,004,250
-----------------------------------------------------------------------------------------------------------------------------------
Packaging - 4.3% 9,053,000 Anchor Glass Container Corp., 11.491% due 9/15/2006 9,234,060
11,905,000 Anchor Glass Container Corp., 11.497% due 2/15/2013 (i) 8,631,125
3,800,000 Consolidated Container Co. LLC, 10.75% due 6/15/2009 (c) 3,230,000
1,100,000 Graham Packing Co., Inc., 9.875% due 10/15/2014 1,064,250
12,300,000 Pliant Corp., 13% due 6/01/2010 (i) 2,337,000
6,575,000 Wise Metals Group LLC, 10.25% due 5/15/2012 5,062,750
-------------
29,559,185
-----------------------------------------------------------------------------------------------------------------------------------
Paper - 9.2% 6,500,000 Abitibi-Consolidated, Inc., 7.991% due 6/15/2011 (a) 6,240,000
6,025,000 Ainsworth Lumber Co. Ltd., 7.77% due 10/01/2010 (a) 5,874,375
2,150,000 Boise Cascade LLC, 7.025% due 10/15/2012 (a) 2,085,500
900,000 Boise Cascade LLC, 7.125% due 10/15/2014 810,000
7,600,000 Bowater, Inc., 7.491% due 3/15/2010 (a) 7,448,000
3,775,000 Domtar, Inc., 7.125% due 8/15/2015 3,340,875
4,250,000 Georgia-Pacific Corp., 9.375% due 2/01/2013 4,765,312
2,000,000 Graphic Packaging International Corp., 9.50% due 8/15/2013 1,890,000
2,000,000 JSG Funding Plc, 9.625% due 10/01/2012 1,980,000
6,125,000 JSG Funding Plc, 7.75% due 4/01/2015 5,022,500
8,000,000 NewPage Corp., 10.50% due 5/01/2012 (a) 7,920,000
4,725,000 NewPage Corp., 12% due 5/01/2013 4,252,500
1,600,000 Smurfit-Stone Container Enterprises, Inc., 8.375% due 7/01/2012 1,560,000
3,450,000 Tembec Industries, Inc., 8.625% due 6/30/2009 2,277,000
7,281,000 Western Forest Products, Inc., 15% due 7/28/2009 (b)(d) 7,919,077
-------------
63,385,139
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Retail - 1.6% 6,000,000 Neiman-Marcus Group, Inc., 9% due 10/15/2015 (d) 6,105,000
5,000,000 Neiman-Marcus Group, Inc., 10.375% due 10/15/2015 (d) 5,056,250
-------------
11,161,250
-----------------------------------------------------------------------------------------------------------------------------------
Service - 5.0% 1,440,000 Allied Waste North America, Inc., 7.875% due 4/15/2013 1,497,600
6,250,000 Allied Waste North America, Inc. Series B, 7.375% due 4/15/2014 6,031,250
2,000,000 Buhrmann US, Inc., 7.875% due 3/01/2015 1,975,000
7,500,000 HydroChem Industrial Services, Inc., 9.25% due 2/15/2013 (d) 7,200,000
3,000,000 Neff Rental LLC, 11.25% due 6/15/2012 (d) 3,142,500
14,825,000 United Rentals North America, Inc., 7.75% due 11/15/2013 (d) 14,269,063
-------------
34,115,413
-----------------------------------------------------------------------------------------------------------------------------------
Telecommunications - 9.0% 5,000,000 ADC Telecommunications, Inc., 5.045% due 6/15/2013 (a)(k) 5,000,000
3,265,000 Alaska Communications Systems Holdings, Inc., 9.875% 3,538,444
due 8/15/2011
Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2005 (in U.S. dollars)
Face
Industry Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
$ 7,500,000 Cincinnati Bell, Inc., 8.375% due 1/15/2014 $ 7,350,000
6,000,000 LCI International, Inc., 7.25% due 6/15/2007 5,985,000
3,200,000 Qwest Capital Funding, Inc., 6.875% due 7/15/2028 2,892,000
7,900,000 Qwest Communications International, Inc., 7.84% due 2/15/2009 (a) 8,008,625
2,675,000 Qwest Corp., 7.741% due 6/15/2013 (a)(d) 2,882,313
4,475,000 Terremark Worldwide, Inc., 9% due 6/15/2009 (k) 3,736,625
6,000,000 Terremark Worldwide, Inc., 9% due 6/15/2009 (d)(k) 5,010,000
7,000,000 Time Warner Telecom Holdings, Inc., 8.34% due 2/15/2011 (a) 7,157,500
6,000,000 Time Warner Telecom Holdings, Inc., 9.25% due 2/15/2014 6,210,000
4,000,000 Time Warner Telecom, Inc., 9.75% due 7/15/2008 4,075,000
-------------
61,845,507
-----------------------------------------------------------------------------------------------------------------------------------
Transportation - 0.9% 3,000,000 Progress Rail Services Corp., 7.75% due 4/01/2012 (d) 3,060,000
3,500,000 Titan Petrochemicals Group Ltd., 8.50% due 3/18/2012 (d) 3,377,500
-------------
6,437,500
-----------------------------------------------------------------------------------------------------------------------------------
Utility - 0.9% 4,142,000 Centerpoint Energy, Inc. Series B, 3.75% due 5/15/2023 (k) 4,980,755
1,425,000 Williams Cos., Inc., 8.625% due 6/01/2010 1,533,656
-------------
6,514,411
-----------------------------------------------------------------------------------------------------------------------------------
Wireless 1,750,000 Dobson Cellular Systems, 8.375% due 11/01/2011 1,855,000
Communications - 2.6% 4,675,000 Dobson Cellular Systems, 9% due 11/01/2011 (a) 4,850,312
2,500,000 iPCS Escrow Co., 11.50% due 5/01/2012 2,881,250
1,600,000 Rural Cellular Corp., 8.991% due 3/15/2010 (a) 1,644,000
6,600,000 US Unwired, Inc., 8.741% due 6/15/2010 (a) 6,798,000
-------------
18,028,562
-----------------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds (Cost - $778,276,646) - 107.2% 735,487,250
-----------------------------------------------------------------------------------------------------------------------------------
Floating Rate Loan Interests*
-----------------------------------------------------------------------------------------------------------------------------------
Airlines - 0.2% 1,000,000 Delta Air Lines, Inc. Term Loan B, 11.01% due 3/16/2008 1,038,000
-----------------------------------------------------------------------------------------------------------------------------------
Automotive - 1.6% 7,775,042 Delphi Automotive Systems Term Loan B, 10.30% due 6/14/2011 8,094,145
2,185,236 Tenneco Automotive, Inc. Term Loan B, 6.08% due 12/12/2010 2,223,205
959,936 Tenneco Automotive, Inc. Tranche B-1 Credit Linked Deposit,
6.339% due 12/12/2010 976,614
-------------
11,293,964
-----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 7.0% 7,000,000 Century Cable Holdings LLC Discretionary Term Loan,
10% due 12/31/2009 6,884,500
10,000,000 Century Cable Holdings LLC Term Loan B, 9% due 6/30/2009 9,844,640
14,794,107 Charter Communications Operating LLC Tranche B Term Loan,
7.42% - 7.50% due 4/07/2011 14,838,608
7,860,000 Insight Midwest Holdings LLC Term Loan C, 6.063%
due 12/31/2009 7,972,005
885,043 New Skies Satellites, BV Term Loan, 5.875% - 6.063%
due 5/04/2011 896,422
6,000,000 Olympus Cable Holdings LLC Term Loan B, 9% due 9/30/2010 5,911,074
1,500,000 Olympus Cable Holdings LLC Tranche 2 Term Loan A,
9% due 6/30/2010 1,475,090
-------------
47,822,339
-----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 3.0% 3,016,676 Huntsman ICI Holdings Term Loan B, 5.72% due 8/16/2012 3,032,704
3,470,868 Invista B.V. New Tranche B-1 Term Loan, 6.313% due 4/29/2011 3,529,439
1,491,515 Invista B.V. New Tranche B-2 Term Loan, 6.313% due 4/29/2011 1,516,684
916,457 Pinnacle Polymers Term Loan, 6.58% - 9% due 12/15/2006 926,544
3,184,000 Rockwood Specialties Group, Inc. Tranche D Term Loan,
5.93% due 12/10/2012 3,228,917
8,000,000 Wellman, Inc. Second Lien Term Loan, 11% due 2/10/2010 8,146,664
-------------
20,380,952
-----------------------------------------------------------------------------------------------------------------------------------
Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2005 (in U.S. dollars)
Face
Industry Amount Floating Rate Loan Interests* Value
-----------------------------------------------------------------------------------------------------------------------------------
Consumer - Durables - 0.7% $ 5,000,000 Simmons Co. Term Loan, 7% due 6/19/2012 $ 5,060,940
-----------------------------------------------------------------------------------------------------------------------------------
Consumer - Non-Durables - 1.5% 9,800,000 Levi Strauss & Co. Tranche A Term Loan, 10.989% - 11.185%
due 9/29/2009 10,192,000
-----------------------------------------------------------------------------------------------------------------------------------
Energy - Exploration & 10,000,000 Exco Holdings, Inc. Term Loan, 9% due 8/30/2006 9,925,000
Production - 1.8% 2,500,000 TXOK Acquisition Term Loan C, 8.875% due 9/27/2010 2,531,250
-------------
12,456,250
-----------------------------------------------------------------------------------------------------------------------------------
Energy - Other - 1.3% 1,148,861 Dresser, Inc. Term Loan C, 6.72% due 4/10/2009 1,159,991
2,500,000 Dresser, Inc. Term Loan Unsecured, 6.91% due 2/25/2010 2,543,750
2,000,000 EPCO, Inc. Term Loan B, 6.409% due 8/18/2010 2,030,312
3,000,000 Scorpion Drilling Ltd. Second Lien Term Loan, 11.64% due 5/05/2015 3,015,000
-------------
8,749,053
-----------------------------------------------------------------------------------------------------------------------------------
Food & Tobacco - 0.5% 3,564,111 Dr Pepper/Seven Up Bottling Group, Inc. Term Loan B,
5.863% - 6.181% due 12/19/2010 3,619,800
-----------------------------------------------------------------------------------------------------------------------------------
Gaming - 0.6% 3,945,577 Buffington Harbor Parking Associates LLC Term Loan B,
10.875% due 7/01/2011 3,945,577
-----------------------------------------------------------------------------------------------------------------------------------
Health Care - 1.1% 4,500,000 HealthSouth Corp. Term Loan A, 10.375% due 1/16/2011 4,424,999
3,040,121 Medpointe Healthcare Inc. Tranche B Term Loan, 9.49% due 9/30/2008 3,059,122
-------------
7,484,121
-----------------------------------------------------------------------------------------------------------------------------------
Housing - 3.3% 4,620,197 General Growth Properties, Inc. Term Loan B, 6.22% due 11/12/2008 4,653,694
4,980,066 Headwaters, Inc. Term Loan B-1, 6.43% - 8.25% due 4/30/2011 5,027,790
2,939,910 LNR Property Corp. Tranche B Term Loan, 6.71% - 6.72% due 2/03/2008 2,958,284
10,000,000 Stile U.S. Acquisition Corp. Bridge Loan, 10.384% due 4/06/2015 10,000,000
-------------
22,639,768
-----------------------------------------------------------------------------------------------------------------------------------
Information Technology - 0.9% 3,088,750 Fidelity National Information Solutions, Inc. Term Loan B,
5.864% due 3/09/2013 3,101,574
3,358,125 Telcordia Technologies, Inc. Term Loan, 6.61% due 9/15/2012 3,333,990
-------------
6,435,564
-----------------------------------------------------------------------------------------------------------------------------------
Manufacturing - 0.7% 5,000,000 Invensys International Holdings Ltd. Second Lien Term Loan,
8.529% due 12/04/2009 5,125,000
-----------------------------------------------------------------------------------------------------------------------------------
Metal - Other - 1.3% 663,158 Euramax International Plc Second Lien Term Loan, 10.55% due 6/29/2013 642,434
2,992,500 Euramax International Plc Tranche 3 Term Loan B, 8.50% due 6/29/2012 2,983,615
5,336,842 Euramax International Plc Tranche 4 Second Lien Term Loan,
10.55% due 6/29/2013 5,170,066
-------------
8,796,115
-----------------------------------------------------------------------------------------------------------------------------------
Packaging - 1.0% 6,774,814 Owens-Illinois Group, Inc. Tranche Term Loan C, 6.12% due 4/01/2008 6,825,625
-----------------------------------------------------------------------------------------------------------------------------------
Service - 0.6% 3,940,000 Waste Services, Inc. Tranche B Term Loan, 8.02% - 8.53% due 3/31/2011 3,979,400
-----------------------------------------------------------------------------------------------------------------------------------
Steel - 0.0% 7,711,830 Acme Metals, Inc. Term Loan, 11.75% - 12.25% due 12/01/2005 (i) 0
-----------------------------------------------------------------------------------------------------------------------------------
Utility - 1.6% 2,600,000 Calpine Corp. Second Lien Term Loan, 9.90% due 7/15/2007 1,996,800
5,000,000 Covanta Energy Corp. Second Lien Term Loan,
9.461% - 9.613% due 6/24/2013 5,037,500
1,500,000 El Paso Corp. Deposit Account, 2.77% due 11/23/2009 1,507,812
2,460,000 El Paso Corp. Term Loan, 6.813% due 11/23/2009 2,476,230
-------------
11,018,342
-----------------------------------------------------------------------------------------------------------------------------------
Wireless 5,910,000 Centennial Cellular Operating Co. Term Loan, 6.27% - 6.83%
Communications - 0.9% due 2/09/2011 5,942,783
-----------------------------------------------------------------------------------------------------------------------------------
Total Floating Rate Loan Interests (Cost - $205,070,747) - 29.6% 202,805,593
-----------------------------------------------------------------------------------------------------------------------------------
Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2005 (in U.S. dollars)
Shares
Industry Held Common Stocks Value
-----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 0.2% 339,340 GEO Specialty Chemicals, Inc. (j) $ 1,527,030
-----------------------------------------------------------------------------------------------------------------------------------
Energy - Other - 0.7% 199,154 Trico Marine Services, Inc. (j) 4,960,926
-----------------------------------------------------------------------------------------------------------------------------------
Financial - 0.4% 35,000 Preferred Term Securities VI (d)(j) 2,568,125
-----------------------------------------------------------------------------------------------------------------------------------
Food & Tobacco - 0.5% 1,428,423 Viskase Cos., Inc. 3,628,194
-----------------------------------------------------------------------------------------------------------------------------------
Leisure - 0.0% 27,787 Lodgian, Inc. (j) 285,928
-----------------------------------------------------------------------------------------------------------------------------------
Manufacturing - 0.2% 724,291 ACP Holding Co. (d)(j) 1,448,582
-----------------------------------------------------------------------------------------------------------------------------------
Paper - 0.1% 211,149 Western Forest Products, Inc. (j) 424,629
-----------------------------------------------------------------------------------------------------------------------------------
Service - 0.4% 90,876 Outsourcing Solutions Inc. (j) 2,453,646
-----------------------------------------------------------------------------------------------------------------------------------
Steel - 0.0% 41,149 Acme Package Corp. Senior Holdings (j)(l) 0
-----------------------------------------------------------------------------------------------------------------------------------
Telecommunications - 0.1% 59,534 IDT Corp. Class B (j) 726,315
-----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks (Cost - $16,452,498) - 2.6% 18,023,375
-----------------------------------------------------------------------------------------------------------------------------------
Preferred Stocks
-----------------------------------------------------------------------------------------------------------------------------------
Automotive - 0.5% 200,000 General Motors Corp. Series C, 6.25% (d)(k) 3,300,000
-----------------------------------------------------------------------------------------------------------------------------------
Broadcasting - 0.0% 2 Paxson Communications Corp., 9.75% (b)(d)(k) 11,390
-----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 0.0% 5,000 Adelphia Communications Corp. Series B, 13% 1,250
-----------------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks (Cost - $5,357,315) - 0.5% 3,312,640
-----------------------------------------------------------------------------------------------------------------------------------
Warrants (g)
-----------------------------------------------------------------------------------------------------------------------------------
Broadcasting - 0.0% 15,000 Sirius Satellite Radio, Inc. (expires 5/15/2009) 7,500
-----------------------------------------------------------------------------------------------------------------------------------
Health Care - 0.0% 126,761 HealthSouth Corp. (expires 1/16/2014) 316,903
-----------------------------------------------------------------------------------------------------------------------------------
Manufacturing - 0.2% 652,739 ACP Holding Co. (expires 9/30/2013) 1,305,478
-----------------------------------------------------------------------------------------------------------------------------------
Paper - 0.0% 18 Cellu Tissue Holdings, Inc. Series A (expires 9/28/2011) 0
7,000 MDP Acquisitions Plc (expires 10/01/2013) 35,000
-------------
35,000
-----------------------------------------------------------------------------------------------------------------------------------
Wireless 1,325 American Tower Corp. (expires 8/01/2008) 507,808
Communications - 0.1%
-----------------------------------------------------------------------------------------------------------------------------------
Total Warrants (Cost - $870,754) - 0.3% 2,172,689
-----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Other Interests (e)
-----------------------------------------------------------------------------------------------------------------------------------
Airlines - 0.2% $ 2,641,443 US Airways Group, Inc. (Certificate of Beneficial Interest) 1,109,406
-----------------------------------------------------------------------------------------------------------------------------------
Automotive - 0.0% 3,614,601 Cambridge Industries, Inc. (Litigation Trust Certificates) (j) 36,146
-----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 0.1% 9,500,000 Pegasus Satellite Communications, Inc.
(Litigation Trust Certificates) (j) 760,000
-----------------------------------------------------------------------------------------------------------------------------------
Total Other Interests (Cost - $2,153,868) - 0.3% 1,905,552
-----------------------------------------------------------------------------------------------------------------------------------
Short-Term Securities
-----------------------------------------------------------------------------------------------------------------------------------
$ 1,439,790 Merrill Lynch Liquidity Series, LLC Cash Sweep Series I (h) 1,439,790
-----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities (Cost - $1,439,790) - 0.2% 1,439,790
-----------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $1,009,621,618**) - 140.7% 965,146,889
Liabilities in Excess of Other Assets - (40.7%) (279,187,905)
-------------
Net Assets - 100.0% $ 685,958,984
=============
Debt Strategies Fund, Inc.
Schedule of Investments as of November 30, 2005 (in U.S. dollars)
* Floating rate loan interests in which the Fund invests generally pay
interest at rates that are periodically redetermined by reference to a
base lending rate plus a premium. The base lending rates are generally (i)
the lending rate offered by one or more European banks, such as LIBOR
(London InterBank Offered Rate), (ii) the prime rate offered by one or
more U.S. banks or (iii) the certificate of deposit rate.
** The cost and unrealized appreciation (depreciation) of investments as of
November 30, 2005, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 1,009,862,684
===============
Gross unrealized appreciation $ 36,781,956
Gross unrealized depreciation (81,497,751)
---------------
Net unrealized depreciation $ (44,715,795)
===============
(a) Floating rate note.
(b) Represents a pay-in-kind security, which may pay interest/dividends in
additional face/shares.
(c) Represents a step bond; the interest rate shown reflects the effective
yield at the time of purchase.
(d) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(e) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities.
(f) Mortgage-Backed Securities are subject to principal paydowns as a result
of prepayments or refinancing of the underlying mortgage instruments. As a
result, the average life may be substantially less than the original
maturity.
(g) Warrants entitle the Fund to purchase a predetermined number of shares of
common stock and are non-income producing. The purchase price and number
of shares are subject to adjustment under certain conditions until the
expiration date.
(h) Investments in companies considered to be an affiliate of the Fund, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
------------------------------------------------------------------------------------------------
Affiliate Net Activity Interest Income
------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $ 1,236,108 $ 23,891
------------------------------------------------------------------------------------------------
(i) Non-income producing security; issuer filed for bankruptcy or is in
default of interest payments.
(j) Non-income producing security.
(k) Convertible security.
(l) Restricted securities as to resale, representing 0.0% of net assets, were
as follows:
--------------------------------------------------------------------------
Issue Acquisition Date Cost Value
--------------------------------------------------------------------------
Acme Package Corp. Senior Holdings 11/25/2002 - -
--------------------------------------------------------------------------
For Fund compliance purposes, the Fund's industry classifications refer to
any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Fund management. This definition may not apply for purposes of
this report, which may combine industry sub-classifications for reporting
ease. Industries are shown as a percent of net assets.
Swaps outstanding as of November 30, 2005 were as follows:
---------------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
---------------------------------------------------------------------------------------
Sold credit default protection on General Motors
Corp. and receive 5%
Broker, Citibank N.A.
Expires December 2006 $ 8,000,000 $ (118,411)
Sold credit default protection on General Motors
Corp. and receive 5%
Broker, Lehman Brothers Special Finance
Expires December 2006 $ 7,000,000 84,495
---------------------------------------------------------------------------------------
Total $ (33,916)
=============
Item 2 - Controls and Procedures
2(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others particularly
during the period in which this report is being prepared. The
registrant's certifying officers have determined that the registrant's
disclosure controls and procedures are effective based on our evaluation
of these controls and procedures as of a date within 90 days prior to the
filing date of this report.
2(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR
270.30a-3(d)) that occurred during the last fiscal quarter of the period
covered by this report that has materially affected, or is 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.
Debt Strategies Fund, Inc.
By: /s/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.
Chief Executive Officer
Debt Strategies Fund, Inc.
Date: January 25, 2006
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/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.
Chief Executive Officer
Debt Strategies Fund, Inc.
Date: January 25, 2006
By: /s/ Donald C. Burke
-----------------------
Donald C. Burke
Chief Financial Officer
Debt Strategies Fund, Inc.
Date: January 25, 2006