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 811-21637 Name of Fund: BlackRock Diversified Income Strategies Fund, Inc. (DVF) Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809 Name and address of agent for service: Donald C. Burke, Chief Executive Officer, BlackRock Diversified Income Strategies Fund, Inc., 800 Scudders Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011 Registrants telephone number, including area code: (800) 882-0052, Option 4 Date of fiscal year end: 08/31/2008 Date of reporting period: 09/01/2008 11/30/2008 Item 1 Schedule of Investments |
BlackRock Diversified Income Strategies Fund, Inc. | ||||||||||
Schedule of Investments November 30, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||||
Par | ||||||||||
Industry | Corporate Bonds | (000) | Value | |||||||
Auto Components - 2.3% | Allison Transmission, Inc., 11%, 11/01/15 (a) | USD | 95 | $ 46,550 | ||||||
Allison Transmission, Inc., 11.25%, 11/01/15 (a)(b) | 305 | 123,525 | ||||||||
The Goodyear Tire & Rubber Co., | ||||||||||
6.318%, 12/01/09 (c)(d) | 2,000 | 1,770,000 | ||||||||
Lear Corp., 8.75%, 12/01/16 | 255 | 54,825 | ||||||||
1,994,900 | ||||||||||
Building Products - 2.7% | CPG International I, Inc., 9.904%, 7/01/12 (c) | 2,500 | 1,400,000 | |||||||
Momentive Performance Materials, Inc. Series WI, | ||||||||||
9.75%, 12/01/14 | 400 | 155,000 | ||||||||
Ply Gem Industries, Inc., 11.75%, 6/15/13 | 1,350 | 799,875 | ||||||||
2,354,875 | ||||||||||
Capital Markets - 2.2% | E*Trade Financial Corp., 12.50%, 11/30/17 (a) | 2,125 | 1,391,875 | |||||||
Marsico Parent Co., LLC, 10.625%, 1/15/16 (a) | 724 | 326,705 | ||||||||
Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (a)(b) | 275 | 124,013 | ||||||||
Marsico Parent Superholdco, LLC, | ||||||||||
14.50%, 1/15/18 (a)(b) | 187 | 84,356 | ||||||||
1,926,949 | ||||||||||
Chemicals - 5.2% | American Pacific Corp., 9%, 2/01/15 | 440 | 382,800 | |||||||
Ames True Temper, Inc., 8.753%, 1/15/12 (c) | 3,425 | 1,781,000 | ||||||||
Hexion U.S. Finance Corp., 6.649%, 11/15/14 (c) | 1,500 | 735,000 | ||||||||
MacDermid, Inc., 9.50%, 4/15/17 (a) | 420 | 226,800 | ||||||||
NOVA Chemicals Corp., 5.72%, 11/15/13 (c) | 2,745 | 1,468,575 | ||||||||
4,594,175 | ||||||||||
Commercial Services & Supplies - | US Investigations Services, Inc., 10.50%, 11/01/15 (a) | 1,000 | 730,000 | |||||||
1.3% | West Corp., 11%, 10/15/16 | 985 | 423,550 | |||||||
1,153,550 | ||||||||||
Construction Materials - 1.6% | Nortek, Inc., 10%, 12/01/13 | 2,050 | 1,435,000 | |||||||
Containers & Packaging - 8.0% | Berry Plastics Holding Corp., 5.871%, 9/15/14 (c) | 2,235 | 1,050,450 | |||||||
Packaging Dynamics Finance Corp., 10%, 5/01/16 (a) | 1,570 | 722,200 | ||||||||
Smurfit Kappa Funding Plc, 7.75%, 4/01/15 (d) | 5,000 | 3,350,000 | ||||||||
Smurfit-Stone Container Enterprises, Inc., 8%, 3/15/17 | 780 | 206,700 | ||||||||
Wise Metals Group LLC, 10.25%, 5/15/12 | 2,750 | 1,691,250 | ||||||||
7,020,600 | ||||||||||
Diversified Financial Services - 2.2% | FCE Bank Plc, 7.125%, 1/16/12 | EUR | 2,300 | 1,607,186 | ||||||
Ford Motor Credit Co. LLC, 7.569%, 1/13/12 (c) | USD | 815 | 358,600 | |||||||
1,965,786 | ||||||||||
Electric Utilities - 1.4% | NSG Holdings LLC, 7.75%, 12/15/25 (a) | 1,570 | 1,224,600 | |||||||
Food & Staples Retailing - 0.2% | Rite Aid Corp., 9.375%, 12/15/15 | 580 | 171,100 | |||||||
Health Care Equipment & Supplies - | DJO Finance LLC, 10.875%, 11/15/14 (d) | 3,750 | 2,737,500 | |||||||
3.1% | ||||||||||
Health Care Providers & Services - | Tenet Healthcare Corp., 6.375%, 12/01/11 | 155 | 117,800 | |||||||
0.4% | Tenet Healthcare Corp., 6.50%, 6/01/12 | 345 | 251,850 | |||||||
369,650 |
1
BlackRock Diversified Income Strategies Fund, Inc. | ||||||||||
Schedule of Investments November 30, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||||
Par | ||||||||||
Industry | Corporate Bonds | (000) | Value | |||||||
Hotels, Restaurants & Leisure - 4.5% | Harrah's Operating Co., Inc., 10.75%, 2/01/16 (a) | USD | 4,159 | $ 925,378 | ||||||
Harrah's Operating Co., Inc., 10.75%, 2/01/18 (a)(b) | 1,278 | 114,204 | ||||||||
Little Traverse Bay Bands of Odawa Indians, | ||||||||||
10.25%, 2/15/14 (a) | 800 | 524,000 | ||||||||
Shingle Springs Tribal Gaming Authority, | ||||||||||
9.375%, 6/15/15 (a) | 410 | 184,500 | ||||||||
Snoqualmie Entertainment Authority, | ||||||||||
6.875%, 2/01/14 (a)(c) | 305 | 179,950 | ||||||||
Travelport LLC, 6.828%, 9/01/14 (c) | 810 | 194,400 | ||||||||
Tropicana Entertainment LLC Series WI, 9.625%, | ||||||||||
12/15/14 (e)(f) | 120 | 4,200 | ||||||||
Tunica-Biloxi Gaming Authority, 9%, 11/15/15 (a) | 1,000 | 845,000 | ||||||||
Universal City Florida Holding Co. I, | ||||||||||
7.943%, 5/01/10 (c) | 2,025 | 931,500 | ||||||||
3,903,132 | ||||||||||
Household Durables - 0.4% | Stanley-Martin Communities LLC, 9.75%, 8/15/15 | 1,250 | 331,250 | |||||||
Independent Power Producers & | Energy Future Holding Corp., 11.25%, 11/01/17 (a)(b) | 1,000 | 532,500 | |||||||
Energy Traders - 1.1% | Texas Competitive Electric Holdings Co. LLC, 10.50%, | |||||||||
11/01/16 (a)(b) | 800 | 432,000 | ||||||||
964,500 | ||||||||||
Industrial Conglomerates - 1.7% | Sequa Corp., 11.75%, 12/01/15 (a) | 1,530 | 673,200 | |||||||
Sequa Corp., 13.50%, 12/01/15 (a)(b) | 1,995 | 850,428 | ||||||||
1,523,628 | ||||||||||
Insurance - 2.5% | American International Group, Inc., 8.25%, 8/15/18 (a) | 3,000 | 2,001,594 | |||||||
USI Holdings Corp., 6.024%, 11/15/14 (a)(c) | 490 | 201,513 | ||||||||
2,203,107 | ||||||||||
Machinery - 1.5% | ESCO Corp., 5.871%, 12/15/13 (a)(c) | 920 | 598,000 | |||||||
RBS Global, Inc., 8.875%, 9/01/16 | 505 | 313,100 | ||||||||
Titan International, Inc., 8%, 1/15/12 | 460 | 358,800 | ||||||||
1,269,900 | ||||||||||
Marine - 0.1% | Navios Maritime Holdings, Inc., 9.50%, 12/15/14 (a) | 141 | 84,600 | |||||||
Media - 3.7% | Affinion Group, Inc., 10.125%, 10/15/13 | 320 | 219,200 | |||||||
Canadian Satellite Radio Holdings, Inc., | ||||||||||
12.75%, 2/15/14 | 3,000 | 990,000 | ||||||||
Local Insight Regatta Holdings, Inc., 11%, 12/01/17 | 832 | 391,040 | ||||||||
TL Acquisitions, Inc., 10.50%, 1/15/15 (a) | 1,570 | 847,800 | ||||||||
Virgin Media, Inc., 6.50%, 11/15/16 (a)(g) | 2,000 | 832,500 | ||||||||
3,280,540 | ||||||||||
Metals & Mining - 2.6% | Aleris International, Inc., 9%, 12/15/14 (b) | 370 | 22,200 | |||||||
Aleris International, Inc., 10%, 12/15/16 | 500 | 52,500 | ||||||||
RathGibson, Inc., 11.25%, 2/15/14 | 1,390 | 847,900 | ||||||||
Ryerson, Inc., 10.568%, 11/01/14 (a)(c) | 2,010 | 1,326,600 | ||||||||
2,249,200 | ||||||||||
Oil, Gas & Consumable Fuels - 0.8% | SandRidge Energy, Inc., 7.508%, 4/01/14 (c) | 1,000 | 667,633 |
2
BlackRock Diversified Income Strategies Fund, Inc. | ||||||||||
Schedule of Investments November 30, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||||
Par | ||||||||||
Industry | Corporate Bonds | (000) | Value | |||||||
Paper & Forest Products - 8.3% | Abitibi-Consolidated, Inc., 5.496%, 6/15/11 (c) | USD | 5,000 | $ 750,000 | ||||||
Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (a) | 2,570 | 1,721,610 | ||||||||
Bowater, Inc., 9%, 8/01/09 | 190 | 82,650 | ||||||||
NewPage Corp., 9.443%, 5/01/12 (c) | 3,000 | 1,575,000 | ||||||||
NewPage Corp., 10%, 5/01/12 | 1,820 | 982,800 | ||||||||
Verso Paper Holdings LLC Series B, | ||||||||||
6.943%, 8/01/14 (c) | 4,000 | 2,160,000 | ||||||||
7,272,060 | ||||||||||
Pharmaceuticals - 2.3% | Angiotech Pharmaceuticals, Inc., 5.953%, 12/01/13 (c) | 1,500 | 855,000 | |||||||
Elan Finance Plc, 6.149%, 11/15/11 (c) | 2,000 | 1,130,000 | ||||||||
1,985,000 | ||||||||||
Real Estate Management & | Realogy Corp., 10.50%, 4/15/14 | 2,445 | 427,875 | |||||||
Development - 0.8% | Realogy Corp., 12.375%, 4/15/15 | 1,460 | 233,600 | |||||||
661,475 | ||||||||||
Road & Rail - 0.1% | Swift Transportation Co., Inc., 9.899%, 5/15/15 (a)(c) | 400 | 46,000 | |||||||
Semiconductors & Semiconductor | Avago Technologies Finance Pte. Ltd., | |||||||||
Equipment - 0.7% | 7.703%, 6/01/13 (c) | 400 | 333,000 | |||||||
Spansion, Inc., 5.328%, 6/01/13 (a)(c) | 1,410 | 296,100 | ||||||||
629,100 | ||||||||||
Software - 0.2% | BMS Holdings, Inc., 10.595%, 2/15/12 (a)(b)(c) | 423 | 160,895 | |||||||
Specialty Retail - 1.8% | Buffets, Inc., 12.50%, 11/01/14 (e)(f) | 360 | 900 | |||||||
General Nutrition Centers, Inc., | ||||||||||
7.584%, 3/15/14 (b)(c) | 1,670 | 951,900 | ||||||||
Michaels Stores, Inc., 10%, 11/01/14 | 715 | 225,225 | ||||||||
Michaels Stores, Inc., 11.375%, 11/01/16 | 1,135 | 249,700 | ||||||||
United Auto Group, Inc., 7.75%, 12/15/16 | 355 | 129,575 | ||||||||
1,557,300 | ||||||||||
Wireless Telecommunication | BCM Ireland Preferred Equity Ltd., | |||||||||
Services - 4.0% | 11.245%, 2/15/17 (a)(b) | EUR | 426 | 108,153 | ||||||
Digicel Group Ltd., 8.875%, 1/15/15 (a) | USD | 1,070 | 551,050 | |||||||
Digicel Group Ltd., 9.125%, 1/15/15 (a)(b) | 2,129 | 1,075,145 | ||||||||
FiberTower Corp., 9%, 11/15/12 (a)(g) | 650 | 195,813 | ||||||||
FiberTower Corp., 9%, 11/15/12 (g) | 350 | 105,438 | ||||||||
iPCS, Inc., 5.318%, 5/01/13 (c) | 380 | 266,000 | ||||||||
Nordic Telephone Co. Holdings ApS, | ||||||||||
8.875%, 5/01/16 (a) | 800 | 580,000 | ||||||||
Nordic Telephone Co. Holdings ApS, | ||||||||||
10.357%, 5/01/16 (a)(c) | EUR | 500 | 428,795 | |||||||
Orascom Telecom Finance SCA, 7.875%, 2/08/14 (a) | 325 | 178,750 | ||||||||
3,489,144 | ||||||||||
Total Corporate Bonds - 67.7% | 59,227,149 |
3
BlackRock Diversified Income Strategies Fund, Inc. | ||||||||||
Schedule of Investments November 30, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||||
Par | ||||||||||
Industry | Floating Rate Loan Interests | (000) | Value | |||||||
Airlines - 0.4% | US Airways Group, Inc. Term Loan, 3.936%, 3/23/14 | USD | 740 | $ 340,770 | ||||||
Auto Components - 3.1% | Allison Transmission, Inc. Term Loan, 4.38% - 5.57%, | |||||||||
8/07/14 | 1,954 | 1,163,936 | ||||||||
Dana Holding Corp. Term Advance, 6.75% - 7.52%, | ||||||||||
1/31/15 | 890 | 527,965 | ||||||||
Intermet Corp. First Lien Term Loan, | ||||||||||
7.696%, 11/08/10 (e)(f) | 360 | 287,778 | ||||||||
Intermet Corp. First Lien Term Loan, | ||||||||||
7.696%, 5/15/11 (b) | 38 | 30,115 | ||||||||
Intermet Corp. Synthetic Line of Credit, 2.343%, | ||||||||||
11/08/10 (e)(f) | 519 | 415,483 | ||||||||
Intermet Corp. Synthetic Line of Credit, | ||||||||||
2.343%, 11/09/10 (b) | 24 | 19,318 | ||||||||
Metaldyne Co. LLC DF Loan, 1.286% - 8.313%, 1/11/12 | 87 | 29,423 | ||||||||
Metaldyne Co. LLC Initial Tranche B Term Loan, | ||||||||||
7.875%, 1/11/14 | 588 | 200,077 | ||||||||
2,674,095 | ||||||||||
Automobiles - 0.3% | Ford Motor Co. Term Loan B, 4.43%, 12/15/13 | 324 | 129,468 | |||||||
General Motors Corp. Secured Term Loan B, | ||||||||||
5.795%, 11/29/13 | 249 | 95,763 | ||||||||
225,231 | ||||||||||
Beverages - 0.1% | Culligan International Co. Loan (Second Lien), 9.184% - | |||||||||
9.711%, 4/24/13 | EUR | 500 | 114,345 | |||||||
Biotechnology - 0.5% | Talecris Biotherapeutics, Inc. First Lien Term Loan, | |||||||||
4.91% - 5.64%, 12/06/13 | USD | 495 | 434,329 | |||||||
Building Products - 0.8% | Stile Acquisition Corp. (Masonite International) Term | |||||||||
Loan B, 6%, 4/05/13 | 572 | 331,017 | ||||||||
Stile Acquisition Corp. (Masonite International) Term | ||||||||||
Loan, 5.50%, 4/05/13 | 566 | 327,829 | ||||||||
658,846 | ||||||||||
Chemicals - 4.7% | Edwards (Cayman Islands II) Ltd. First Lien Term Loan | |||||||||
B, 3.436%, 5/23/14 | 494 | 320,938 | ||||||||
Huish Detergents, Inc. Tranche B Term Loan, 5.77%, | ||||||||||
4/26/14 | 494 | 384,302 | ||||||||
ISP Chemco LLC Term Loan, 2.938% - 3.688%, 6/04/14 | 494 | 365,375 | ||||||||
PQ Corp. First Lien Term Loan, 6.72% - 7.02%, 5/29/16 | 499 | 308,601 | ||||||||
PQ Corp. Second Lien Term Loan, 9.97%, 5/29/15 | 3,250 | 1,543,750 | ||||||||
Solutia, Inc. Term Loan, 8.50%, 2/28/14 | 997 | 730,659 | ||||||||
Wellman, Inc. Second Lien Term Loan, | ||||||||||
9.989%, 2/10/10 (e)(f) | 3,000 | 450,000 | ||||||||
4,103,625 | ||||||||||
Commercial Services & Supplies - 2.4% ARAMARK Corp. Letter of Credit, 2.469%, 1/26/14 | 24 | 18,704 | ||||||||
ARAMARK Corp. Term Loan B, 5.637%, 1/26/14 | 372 | 294,414 | ||||||||
Brickman Group Holdings, Inc. Tranche B Term Loan, | ||||||||||
3.436%, 1/23/14 | 739 | 443,250 | ||||||||
NES Rentals Holdings, Inc. Permanent Second Lien | ||||||||||
Term Loan C, 9.125%, 7/12/13 | 1,726 | 759,313 |
4
BlackRock Diversified Income Strategies Fund, Inc. | ||||||||
Schedule of Investments November 30, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||
Par | ||||||||
Industry | Floating Rate Loan Interests | (000) | Value | |||||
West Corp. Term B-2 Loan, 3.811% - 5.594%, 10/31/13 USD | 983 | $ 609,787 | ||||||
2,125,468 | ||||||||
Computers & Peripherals - 0.9% | Dealer Computer Services Inc. (Reynolds and Reynolds) | |||||||
Co. First Lien Term Loan, 3.436%, 10/31/12 | 665 | 395,848 | ||||||
Intergraph Corp. Second Lien Term Loan, 8.196%, | ||||||||
11/17/14 | 500 | 382,500 | ||||||
778,348 | ||||||||
Construction & Engineering - 0.4% | Brand Energy & Infrastructure Services, Inc. (FR Brand | |||||||
Acquisition Corp.) First Lien Term Loan B, 4.625% - | ||||||||
6.063%, 2/15/15 | 492 | 386,613 | ||||||
Containers & Packaging - 2.3% | Berry Plastics Corp. Term Loan B, 11.334%, 6/15/14 | 2,999 | 899,773 | |||||
Graham Packaging Co. LP New Term Loan B, | ||||||||
4.438% - 6.063%, 9/30/11 | 1,474 | 1,118,507 | ||||||
2,018,280 | ||||||||
Diversified Consumer Services - 1.5% | Coinmach Corp. Term Loan B, | |||||||
4.46% - 5.22%, 11/15/14 | 1,741 | 1,305,921 | ||||||
Diversified Financial Services - 0.7% | J.G. Wentworth LLC Term First Lien Loan B, 6.012%, | |||||||
4/03/14 | 2,000 | 650,000 | ||||||
Diversified Telecommunication | Hawaiian Telcom Communications, Inc. Tranche C | |||||||
Services - 2.1% | Term Loan, 6.262%, 6/01/14 | 1,500 | 597,500 | |||||
Wind Acquisitions Holding Finance S.A. Dollar Loan, | ||||||||
11.753%, 12/21/11 (b) | 2,115 | 1,269,092 | ||||||
1,866,592 | ||||||||
Electrical Equipment - 0.3% | Generac Power Systems, Inc. First Lien Term Loan, | |||||||
6.65%, 11/10/13 | 499 | 297,426 | ||||||
Energy Equipment & Services - 1.5% | Dresser, Inc. Term B Loan, | |||||||
3.686% - 4.486%, 5/15/14 | 970 | 661,206 | ||||||
MEG Energy Corp. Delayed Draw Term Loan, 5.77%, | ||||||||
3/23/13 | 497 | 332,906 | ||||||
MEG Energy Corp. Initial Term Loan B, 5.77%, 3/23/13 | 487 | 326,625 | ||||||
1,320,737 | ||||||||
Food & Staples Retailing - 1.0% | McJunkin Corp. Term Loan, 7.012%, 1/30/14 | 737 | 586,553 | |||||
Wm. Bolthouse Farms, Inc. Second Lien Term Loan, | ||||||||
9.262%, 12/01/13 | 500 | 322,500 | ||||||
909,053 | ||||||||
Food Products - 2.1% | Dole Food Co., Inc. Credit-Linked Deposit, 4.689%, | |||||||
4/12/13 | 140 | 98,146 | ||||||
Dole Food Co., Inc. Tranche B Term Loan, 3.50% - 5%, | ||||||||
4/12/13 | 247 | 173,955 | ||||||
JRD Holdings, Inc. (Jetro Holdings) Term Loan, 4.02%, | ||||||||
5/11/14 | 484 | 382,656 | ||||||
Sturm Foods, Inc. Initial Term Loan First Loan, 5.875%, | ||||||||
1/22/14 (b) | 493 | 284,419 | ||||||
Sturm Foods, Inc. Second Lien Term Loan Initial Term, | ||||||||
9.50%, 6/30/14 | 500 | 232,500 | ||||||
Solvest Ltd. (Dole), Inc. Term Loan C, 3.50% - 6.813%, | ||||||||
4/12/13 | 922 | 648,107 | ||||||
1,819,783 |
5
BlackRock Diversified Income Strategies Fund, Inc. | ||||||||||
Schedule of Investments November 30, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||||
Par | ||||||||||
Industry | Floating Rate Loan Interests | (000) | Value | |||||||
Health Care Equipment & Supplies - | Biomet, Inc. Dollar Term Loan, 6.762%, 3/25/15 | USD | 496 | $ 402,731 | ||||||
1.4% | DJO LLC Term Loan, 6.723% - 6.762%, 11/20/13 | 744 | 558,281 | |||||||
Hologic, Inc. Term Loan B, 6.25%, 3/31/13 | 300 | 261,272 | ||||||||
1,222,284 | ||||||||||
Health Care Providers & Services - | CCS Medical Inc., Term Loan (First Lien), 7.02%, 8/01/12 | 485 | 244,079 | |||||||
1.0% | Health Management Associates, Inc. Term Loan B, | |||||||||
5.512%, 2/28/14 | 881 | 589,719 | ||||||||
833,798 | ||||||||||
Hotels, Restaurants & Leisure - 2.0% | Golden Nugget, Inc. Second Lien Term Loan, 4.69%, | |||||||||
11/30/14 | 500 | 75,000 | ||||||||
Green Valley Ranch Gaming LLC Second Lien Term | ||||||||||
Loan, 5.018%, 2/26/14 | 500 | 35,000 | ||||||||
Harrah's Operating Co., Inc., Term B-2 Loan, 6.535% - | ||||||||||
6.762%, 1/28/15 | 497 | 290,416 | ||||||||
Lake at Las Vegas Joint Venture/LLV -1, LLC | ||||||||||
Revolving Loan Credit-Linked Deposit Account, | ||||||||||
11.75%, 12/14/12 (e)(f) | 120 | 7,373 | ||||||||
Lake at Las Vegas Joint Venture/LLV -1, LLC Term Loan | ||||||||||
B, 11.75%, 12/14/12 (e)(f) | 910 | 55,718 | ||||||||
Las Vegas Sands LLC Delay Draw Term Loan, 5.52%, | ||||||||||
5/23/14 | 199 | 96,314 | ||||||||
Las Vegas Sands LLC Tranche B Term Loan, 5.52%, | ||||||||||
5/04/14 | 790 | 381,395 | ||||||||
QCE, LLC (Quiznos) Second Lien Term Loan, 9.512%, | ||||||||||
11/05/13 | 1,000 | 475,000 | ||||||||
VML US Finance LLC (Venetian Macau) Delay Draw Term | ||||||||||
Loan, 6.02%, 5/25/12 | 76 | 42,776 | ||||||||
VML US Finance LLC (Venetian Macau) Term Loan B, | ||||||||||
6.02%, 5/25/13 | 549 | 307,550 | ||||||||
1,766,542 | ||||||||||
Household Durables - 1.1% | American Residential Services LLC Second Lien Term | |||||||||
Loan, 12%, 4/17/15 (h) | 1,005 | 991,518 | ||||||||
Household Products - 0.8% | Spectrum Brands, Inc. Dollar Term B Loan, 5.768% - | |||||||||
8.32%, 4/15/13 | 1,103 | 655,116 | ||||||||
Spectrum Brands, Inc. Letter of Credit, 2.70%, 4/15/13 | 81 | 47,845 | ||||||||
702,961 | ||||||||||
IT Services - 3.5% | Activant Solutions Term Loan B, 6.063% - 6.25%, | |||||||||
5/02/13 | 1,582 | 965,139 | ||||||||
Audio Visual Services Group Inc., Loan Second Lien, | ||||||||||
9.27%, 8/28/13 | 500 | 162,500 | ||||||||
Audio Visual Services Group Inc., Tranche B Term Loan, | ||||||||||
6.02%, 2/28/14 | 990 | 396,000 | ||||||||
Ceridian Corp. U.S. Term Loan, 4.423%, 11/09/14 | 1,000 | 720,000 | ||||||||
First Data Corp. Term Loan B2, 4.149% - 6.512%, | ||||||||||
9/24/14 | 1,142 | 772,343 | ||||||||
First Data Corp. Term Loan B3, 5.947% - 6.512%, | ||||||||||
9/24/14 | 122 | 82,475 | ||||||||
3,098,457 |
6
BlackRock Diversified Income Strategies Fund, Inc. | ||||||||||
Schedule of Investments November 30, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||||
Par | ||||||||||
Industry | Floating Rate Loan Interests | (000) | Value | |||||||
Independent Power Producers & | Texas Competitive Electric Holdings Co. LLC (TXU) | |||||||||
Energy Traders - 0.6% | Term Loan B-2, 5.268% - 7.262%, 10/10/14 | USD | 740 | $ 500,240 | ||||||
Industrial Conglomerates - 0.3% | Sequa Corp. Term Loan B, 5.02% - 6.96%, 12/03/14 | 398 | 271,308 | |||||||
Insurance - 0.4% | Alliant Holdings I, Inc. Term Loan, 6.762%, 10/23/14 | 495 | 314,325 | |||||||
Internet & Catalog Retail - 0.5% | FTD Group, Inc. Tranche B Term Loan, 7.50% - 8.035%, | |||||||||
8/26/14 | 500 | 432,500 | ||||||||
Machinery - 2.2% | Navistar International Corp. Revolving Credit Linked | |||||||||
Deposit, 4.686% - 7.126%, 1/19/12 | 800 | 432,000 | ||||||||
Navistar International Corp. Term Advance, 4.686%, | ||||||||||
1/19/12 | 2,200 | 1,188,000 | ||||||||
Rexnord Holdings, Inc. Term Loan, | ||||||||||
9.81%, 3/02/13 (b) | 381 | 296,925 | ||||||||
1,916,925 | ||||||||||
Media - 21.1% | Affinion Group Holdings, Inc. Loan, 9.868%, 3/01/12 | 1,150 | 460,000 | |||||||
Alix Partners LLP Tranche C Term Loan, 6.75%, | ||||||||||
10/30/13 | 506 | 415,013 | ||||||||
Cengage Learning Acquisitions, Inc. (Thomson Learning) | ||||||||||
Term Loan B-2, 7.50%, 7/05/14 | 3,242 | 2,723,175 | ||||||||
Cequel Communications, LLC (Cebridge) Second Lien | ||||||||||
Tranche A Term Loan (Cash Pay), 7.693%, 5/05/14 | 2,000 | 1,100,000 | ||||||||
Cequel Communications, LLC (Cebridge) Term Loan B, | ||||||||||
4.235% - 6.334% 11/05/13 | 795 | 529,630 | ||||||||
EB Sports Corp. Term Loan B, 9.27%, 5/01/12 | 1,327 | 464,462 | ||||||||
Ellis Communications KDOC, LLC Loan, 10%, 12/30/11 | 1,948 | 1,168,611 | ||||||||
Getty Images, Inc. Initial Term Loan, 8.053%, 6/30/15 | 500 | 426,875 | ||||||||
HMH Publishing Co. Ltd. First Lien Term Loan B, | ||||||||||
7.50%, 11/14/14 | 1,538 | 968,864 | ||||||||
HMH Publishing Co. Ltd. Second Lien Term Loan, | ||||||||||
13% - 13.016%, 11/14/14 | 5,755 | 3,452,971 | ||||||||
Insight Midwest Holdings LLC Delay Draw Term Loan, | ||||||||||
4.85%, 4/06/14 | 475 | 369,143 | ||||||||
Lavena Holding 3GmBH (ProSiebenSat.1 Media AG) | ||||||||||
Term Loan B, 7.526%, 6/30/15 | EUR | 337 | 39,225 | |||||||
NEP II Inc., Term B Loan, 6.012%, 2/16/14 | USD | 985 | 640,244 | |||||||
National Cinemedia LLC Term Loan, 3.75%, 2/12/15 | 1,500 | 947,144 | ||||||||
Newsday LLC Fixed Rate Term Loan, 9.75%, 7/02/13 | 2,000 | 1,660,000 | ||||||||
Nielsen Finance LLC Dollar Term Loan, 3.767% - | ||||||||||
4.388%, 8/09/13 | 1,960 | 1,298,204 | ||||||||
Penton Media Inc., Loan (Second Lien), 8.42%, 2/01/13 | 1,000 | 475,000 | ||||||||
Penton Media Inc., Term Loan (First Lien), 3.686% - | ||||||||||
5.67%, 2/01/14 | 985 | 394,000 | ||||||||
Sitel LLC. (ClientLogic) Term Loan B, | ||||||||||
4.678% - 6.789%, 1/30/14 | 911 | 500,864 | ||||||||
Weather Channel Term Loan B, 7.25%, 6/01/15 | 500 | 428,750 | ||||||||
18,462,175 | ||||||||||
Metals & Mining - 0.9% | Euramax International Holdings B.V. European Second | |||||||||
Lien Domestic Loan, 11%, 6/29/13 | 166 | 58,026 |
7
BlackRock Diversified Income Strategies Fund, Inc. | ||||||||||
Schedule of Investments November 30, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||||
Par | ||||||||||
Industry | Floating Rate Loan Interests | (000) | Value | |||||||
Euramax International Inc. Domestic Second Lien | ||||||||||
Domestic Loan, 11.75%, 6/29/13 | USD | 334 | $ 116,974 | |||||||
Euramax International Inc. Domestic Term Loan, 7.50%, | ||||||||||
6/29/12 | 1,218 | 572,414 | ||||||||
747,414 | ||||||||||
Multiline Retail - 0.7% | Neiman Marcus Group, Inc. Term Loan, 4.565%, 4/06/13 | 1,000 | 625,000 | |||||||
Oil, Gas & Consumable Fuels - 5.2% | Abbot Group Plc Bridge Loan, 14.50%, 3/15/18 (h) | 1,717 | 1,682,354 | |||||||
Petroleum GEO-Services ASA/PGS Finance Inc., Term | ||||||||||
Loan, 5.51%, 6/06/15 | 477 | 350,350 | ||||||||
Scorpion Drilling Ltd. Second Lien, 8.936%, 5/05/15 | 2,000 | 1,900,000 | ||||||||
Vulcan Energy Corp. (Plains Resources Inc.) Term Loan | ||||||||||
B-3, 5.383% - 6.25%, 9/03/11 | 750 | 635,625 | ||||||||
4,568,329 | ||||||||||
Paper & Forest Products - 0.5% | Boise Paper Holdings, LLC (Aldabra Sub LLC), Tranche B | |||||||||
First Lien Term Loan, 7.50%, 2/05/15 | 497 | 402,975 | ||||||||
Pharmaceuticals - 0.5% | Pharmaceutical Technologies & Services (PTS) Term | |||||||||
Loan, 6.012%, 4/10/14 | 631 | 382,695 | ||||||||
Professional Services - 0.2% | Booz Allen Hamilton, Inc. Tranche B Term Loan, 7.50%, | |||||||||
7/01/15 | 250 | 213,672 | ||||||||
Real Estate Management & | LNR Property Corp. Initial Tranche B Term Loan, 6.69%, | |||||||||
Development - 1.5% | 7/12/11 | 2,640 | 1,280,400 | |||||||
Road & Rail - 0.9% | Rail America, Inc. Term Loan, 7.883%, 6/30/09 | 530 | 434,928 | |||||||
Rail America, Inc. Term Loan B, 7.883%, 6/30/09 | 470 | 385,072 | ||||||||
820,000 | ||||||||||
Software - 1.4% | Aspect Software Inc., Loan (Second Lien), 9.188%, | |||||||||
7/05/12 | 2,500 | 1,250,000 | ||||||||
Specialty Retail - 0.2% | Claire's Stores Inc. Term B Loan, 4.186% - 6.512%, | |||||||||
5/29/14 | 493 | 202,392 | ||||||||
Wireless Telecommunication | IPC Systems First Lien Term Loan, 6.012%, 5/31/14 | 463 | 229,343 | |||||||
Services - 0.3% | ||||||||||
Total Floating Rate Loan Interests - 72.3% | 63,264,715 | |||||||||
Asset-Backed Securities | ||||||||||
North Street Referenced Linked Notes 2000-1 Ltd. | ||||||||||
Series 2005-8A Class D, 16.496%, 6/15/41 (a)(c) | 1,350 | 63,977 | ||||||||
Total Asset-Backed Securities - 0.1% | 63,977 | |||||||||
Preferred Securities | ||||||||||
Capital Trusts | ||||||||||
Diversified Financial Services - 0.9% | Citigroup, Inc. Series E, 8.40% (c)(i) | 1,300 | 767,585 | |||||||
Total Capital Trusts - 0.9% | 767,585 | |||||||||
Preferred Stocks | Shares | |||||||||
Capital Markets - 0.0% | Marsico Parent Superholdco, LLC, 16.75% (a) | 48 | 24,960 | |||||||
Total Preferred Stocks - 0.0% | 24,960 | |||||||||
Total Preferred Securities - 0.9% | 792,545 | |||||||||
Common Stocks | ||||||||||
Capital Markets - 0.1% | E*Trade Financial Corp. (e) | 96,809 | 130,692 | |||||||
Electrical Equipment - 0.1% | Medis Technologies Ltd. (e) | 176,126 | 118,004 | |||||||
Oil, Gas & Consumable Fuels - 1.0% | EXCO Resources, Inc. (e) | 112,387 | 862,008 |
8
BlackRock Diversified Income Strategies Fund, Inc. | ||||||||||
Schedule of Investments November 30, 2008 (Unaudited) | (Percentages shown are based on Net Assets) | |||||||||
Industry | Common Stocks | Shares | Value | |||||||
Paper & Forest Products - 0.8% | Ainsworth Lumber Co. Ltd. | 311,678 | $ 329,220 | |||||||
Ainsworth Lumber Co. Ltd. (a) | 349,782 | 369,170 | ||||||||
698,390 | ||||||||||
Total Common Stocks - 2.0% | 1,809,094 | |||||||||
Total Long-Term Investments | ||||||||||
(Cost - $232,955,433) - 143.0% | 125,157,480 | |||||||||
Beneficial | ||||||||||
Interest | ||||||||||
Short-Term Securities | (000) | |||||||||
BlackRock Liquidity Series, LLC Cash Sweep Series, | ||||||||||
1.64% (j)(k) | USD | 1,643 | 1,642,928 | |||||||
Total Short-Term Securities | ||||||||||
(Cost - $1,642,928) - 1.9% | 1,642,928 | |||||||||
Options Purchased | Contracts | |||||||||
Call Options | Marsico Parent Superholdco LLC, expiring December | |||||||||
2019 at $942.86 | 13 | 18,850 | ||||||||
Total Options Purchased | ||||||||||
(Cost - $12,711) - 0.0% | 18,850 | |||||||||
Total Investments | ||||||||||
(Cost - $234,611,072*) - 144.9% | 126,819,258 | |||||||||
Liabilities in Excess of Other Assets - (44.9)% | (39,310,028) | |||||||||
Net Assets - 100.0% | $ 87,509,230 |
* The cost and unrealized appreciation (depreciation) of investments as of November 30, 2008,
as computed for federal income tax purposes, were as follows:
Aggregate cost | $ 234,612,283 | |
Gross unrealized appreciation | $ 6,139 | |
Gross unrealized depreciation | (107,799,164) | |
Net unrealized depreciation | $ (107,793,025) |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in
transactions exempt from registration to qualified institutional investors.
(b) Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(c) Variable rate security. Rate shown is as of report date.
(d) All or portion of security held as collateral in connection with swap contracts.
(e) Non-income producing security.
(f) Issuer filed for bankruptcy and/or is in default of interest payments.
(g) Convertible security.
(h) The security is fair valued.
(i) Security is perpetual in nature and has no stated maturity date.
9
BlackRock Diversified Income Strategies Fund, Inc.
Schedule of Investments November 30, 2008 (Unaudited)
(j) 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:
Net | ||||||||
Affiliate | Activity | Income | ||||||
BlackRock Liquidity Series, LLC Cash Sweep Series | USD (3,949,477) | $ 11,877 | ||||||
(k) | Represents the current yield as of report date. |
For Fund portfolio compliance purposes, the Fund's industry classifications refer to any one or more of the
industry sub-classifications used by one or more widely recognized market indexes or ratings group
indexes, and/or as defined by Fund management. This definition may not apply for purposes of this
report, which may combine industry sub-classifications for reporting ease.
Foreign currency exchange contracts as of November 30, 2008 were as follows:
Unrealized | ||||||||||||
Currency | Currency | Settlement | Appreciation | |||||||||
Purchased | Sold | Date | (Depreciation) | |||||||||
USD | 463,120 | CAD | 560,000 | 1/21/09 | $ 11,337 | |||||||
USD | 3,176,702 | EUR | 2,516,000 | 12/10/08 | (19,041) | |||||||
Total | $ (7,704) | |||||||||||
| ||||||||||||
| Currency Abbreviations: | |||||||||||
CAD | Canadian Dollar | |||||||||||
EUR | Euro | |||||||||||
GBP | British Pound | |||||||||||
USD | U.S. Dollar |
Credit default swaps on single-name issues - sold protection outstanding as of November 30, 2008
were as follows:
Notional | ||||||||||||
Receivable Fixed | Credit | Amount | Unrealized | |||||||||
Issuer | Rate | Counterparty | Expiration | Rating1 | (000)2 | Depreciation | ||||||
Ford Motor Co. | 4.20% | Deutsche Bank AG | March 2010 | CCC | USD 4,000 | $ (2,568,596) | ||||||
(1) Using the higher of Standard and Poor's or Moody's Investor Services ratings. |
(2) The maximum potential amount the Fund may be required to pay should a negative credit event take place
as defined under the terms of the agreement
Credit default swaps on traded indexes - buy protection outstanding as of November 30, 2008 were as follows:
Notional | ||||||||||
Amount | Unrealized | |||||||||
Issuer | Pay Fixed Rate | Counterparty | Expiration | (000)1 | Appreciation | |||||
Dow Jones CDX | ||||||||||
North America | ||||||||||
High Yield Index | ||||||||||
10.V1 | 5.00% | Credit Suisse International June 2013 | USD 2,000 | $ 301,882 |
(1) The maximum potential amount the Fund may receive should a negative credit event take place as defined
under the terms of the agreement.
10
BlackRock Diversified Income Strategies Fund, Inc.
Schedule of Investments November 30, 2008 (Unaudited)
Credit default swaps on traded indexes - sold protection outstanding as of November 30, 2008
were as follows:
Notional | ||||||||||
Receivable Fixed | Amount | Unrealized | ||||||||
Issuer | Rate | Counterparty | Expiration | (000)1 | Depreciation | |||||
ACES High Yield | ||||||||||
Index (10 - 13% | Morgan Stanley Captial | |||||||||
Tranche) | 5.00% | Services Inc. | March 2010 | USD 7,000 | (3,693,793) | |||||
BAA Ferovial | ||||||||||
Junior Term | ||||||||||
Loan | 2.00% | Deutsche Bank AG | June 2012 | GBP 300 | (104,494) | |||||
Total | $ (3,798,287) |
(1) The maximum potential amount the Fund may be required to pay should a negative credit event take place
as defined under the terms of the agreement
| Interest rate swaps outstanding as of November 30, 2008 were as follows: | |||||||
Notional | ||||||||
Amount | Unrealized | |||||||
(000) | Depreciation | |||||||
Pay a fixed rate of 4.823% and receive a floating rate | ||||||||
based on 3-month LIBOR | ||||||||
Broker, JPMorgan Chase Bank N.A. | ||||||||
Expires January 2013 | USD | 20,000 | $ (1,689,148) |
Pay a fixed rate of 3.622% and receive a floating rate
based on 3-month USD LIBOR
Broker, JPMorgan Chase Bank N.A. | ||||||
Expires September 2013 | USD | 29,000 | (1,136,683) | |||
Total | $ (2,825,831) |
11
BlackRock Diversified Income Strategies Fund, Inc.
Schedule of Investments November 30, 2008 (Unaudited)
? Effective September 1, 2008, the Fund adopted Financial Accounting Standards Board
Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157")
FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair
values and requires additional disclosures about the use of fair value measurements. Various
inputs are used in determining the fair value of investments, which are as follows:
? Level 1 - price quotations in active markets/exchanges for identical securities
? Level 2 - other observable inputs (including, but not limited to: quoted prices for
similar assets or liabilities in markets that are 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
circumstance, to the extent observable inputs are not available (including the
Fund's own assumption used in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the
risk associated with investing in those securities. For information about the Fund's policy
regarding valuation of investments and other significant accounting policies, please refer to
the Fund's most recent financial statements as contained in its annual report.
The following table summarizes the inputs used as of November 30, 2008 in determining the
fair valuation of the Fund's investments:
Valuation | Investments in | Other Financial | ||
Inputs | Securities | Instruments* | ||
Level 1 | $ 1,439,924 | - | ||
Level 2 | 91,271,382 | $ (8,775,192) | ||
Level 3 | 34,089,102 | (104,494) | ||
Total | $ 126,800,408 | $ (8,879,686) |
* Other financial instruments are swaps, futures and options.
The following is a reconciliation of investments for unobservable inputs (Level 3) were used
in determining fair value:
Investments in | Other Financial | |||
Securities | Instruments* | |||
Balance, as of September 1, 2008 | $ 17,146,004 | - | ||
Accrued discounts/premiums | 20,255 | - | ||
Realized gain (loss) | (357,164) | - | ||
Change in unrealized appreciation (depreciation) | (17,776,765) | $ (37,021) | ||
Net purchases (sales) | (1,801,137) | - | ||
Net transfers in/out of Level 3 | 36,857,909 | (67,743) | ||
Balance, as of November 30, 2008 | $ 34,089,102 | $ (104,764) | ||
* Other financial instruments are swaps, futures and options. |
12
Item 2 Controls and Procedures 2(a) The registrants principal executive and principal financial officers or persons performing similar functions have concluded that the registrants 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 registrants internal control over financial reporting (as defined in Rule 30a- 3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants 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 Diversified Income Strategies Fund, Inc. By: /s/ Donald C. Burke Donald C. Burke Chief Executive Officer of BlackRock Diversified Income Strategies Fund, Inc. Date: January 20, 2009 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Donald C. Burke Donald C. Burke Chief Executive Officer (principal executive officer) of BlackRock Diversified Income Strategies Fund, Inc. Date: January 20, 2009 By: /s/ Neal J. Andrews Neal J. Andrews Chief Financial Officer (principal financial officer) of BlackRock Diversified Income Strategies Fund, Inc. Date: January 20, 2009 |