UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07456
Name of Fund: BlackRock Senior High Income Fund, Inc. (ARK)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Anne F. Ackerley, Chief Executive Officer, BlackRock Senior High Income Fund, Inc., 55 East 52nd Street, New York, NY 10055.
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 02/28/2010
Date of reporting period: 02/28/2010
Item 1 – Report to Stockholders
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Annual Report |
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FEBRUARY 28, 2010 |
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BlackRock Corporate High Yield Fund, Inc. (COY) |
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BlackRock Corporate High Yield Fund III, Inc. (CYE) |
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BlackRock Debt Strategies Fund, Inc. (DSU) |
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BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB) |
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BlackRock Senior High Income Fund, Inc. (ARK) |
NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
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Table of Contents |
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Annual Report: |
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4 |
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9 |
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9 |
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Financial Statements: |
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10 |
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48 |
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49 |
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58 |
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67 |
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68 |
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69 |
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72 |
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2 |
ANNUAL REPORT |
FEBRUARY 28, 2010 |
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The past year marked a pivotal turning point for global markets as the Great Recession that started in December 2007 began to recede and give way to recovery. The dramatic about-face could be attributed to a confluence of factors, most notably the extraordinary policy actions of global governments and central banks, a resurgence in corporate profits and growing signs of stability and healing in world economies.
After reaching a trough in early March 2009, stocks galloped higher as investors were lured back into the markets by depressed valuations, desire for higher yields and increasing confidence that all-out financial disaster had been averted. The result was a powerful upswing in global equities and other higher-risk assets through the end of 2009. More recently, the combination of mixed economic data, lingering deflation issues (especially in Europe) and proposed fees and levies on banks dampened investor conviction, resulting in a several-week bout of profit-taking. The selloff had a more pronounced negative effect on international and emerging market equities due primarily to concerns of higher interest rates in Asia and negative headlines out of Europe, particularly in Greece.
Generally speaking, investors’ renewed affinity for risk was notable in the fixed income markets as well, where non-Treasury assets made a robust recovery. One of the major themes in 2009 was the reversal of the flight-to-quality trade. High yield, one of the most battered areas during the financial crisis, emerged as the strongest-performing fixed income sector in both the taxable and tax-exempt space. Despite weak fundamentals, the municipal market produced solid returns as technical conditions remained supportive of the asset class. Municipal bond mutual funds enjoyed strong inflows and tax-exempt issuance remained low thanks to the ever-increasing popularity of the Build America Bond program. Nevertheless, state and local fiscal woes and bankruptcy fears remain firmly in the spotlight, and bear close monitoring.
At the same time, yields on money market securities declined throughout the reporting period and remain near all-time lows, with the Federal Open Market Committee reiterating that economic circumstances are likely to necessitate an accommodative interest rate stance for an “extended period.” Investor assets in money market funds declined from the peak registered in early 2009, but remain above levels registered prior to the financial crisis that began in 2007.
Against this backdrop, the major market averages posted the following returns:
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Total Returns as of February 28, 2010 |
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6-month |
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12-month |
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US equities (S&P 500 Index) |
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9.32 |
% |
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53.62 |
% |
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Small cap US equities (Russell 2000 Index) |
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10.59 |
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63.95 |
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International equities (MSCI Europe, Australasia, Far East Index) |
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0.72 |
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54.58 |
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3-month Treasury bill (BofA Merrill Lynch 3-Month Treasury Bill Index) |
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0.07 |
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0.20 |
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US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index) |
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0.07 |
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(1.54 |
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Taxable fixed income (Barclays Capital US Aggregate Bond Index) |
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3.19 |
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9.32 |
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Tax-exempt fixed income (Barclays Capital Municipal Bond Index) |
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4.13 |
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9.98 |
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High yield bonds (Barclays Capital US Corporate High Yield 2% Issuer Capped Index) |
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13.86 |
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55.20 |
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Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index. |
The market continues to show signs of improvement, but questions about the strength and sustainability of the recovery abound. Through periods of uncertainty, as ever, BlackRock’s full resources are dedicated to the management of our clients’ assets. For additional market perspective and investment insight, visit www.blackrock.com/shareholdermagazine, where you’ll find the most recent issue of our award-winning Shareholder® magazine, as well as its quarterly companion newsletter, Shareholder Perspectives. As always, we thank you for entrusting BlackRock with your investments, and we look forward to your continued partnership in the months and years ahead.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
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THIS PAGE NOT PART OF YOUR FUND REPORT |
3 |
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BlackRock Corporate High Yield Fund, Inc. |
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Investment Objective |
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BlackRock Corporate High Yield Fund, Inc. (COY) (the “Fund”) seeks to provide shareholders with current income with a secondary objective of providing shareholders with capital appreciation. The Fund seeks to achieve its objectives by investing primarily in a diversified portfolio of fixed-income securities that are rated below investment grade by the established rating services (Ba or lower by Moody’s Investors Service, Inc. (“Moody’s”) or BB or lower by Standard & Poor’s Corporation (“S&P’s”)) or are unrated securities of comparable quality.
No assurance can be given that the Fund’s investment objective will be achieved.
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Performance |
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For the 12 months ended February 28, 2010, the Fund returned 99.76% based on market price and 79.91% based on net asset value (“NAV”). For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 86.36% on a market price basis and 68.03% on a NAV basis. The Fund moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. During the period, we found particularly good value in the automotive segment, which represented the Fund’s largest sector overweight. As a group, automotive holdings performed quite well and, thus, were key contributors to performance. In addition, investments in select special situations or distressed credits (including several in the automotive sector) enhanced results. On a credit basis, the Fund’s underweight position in BB credits and overweight in the lower-quality ratings and nonrated credits were additive. On the other hand, the Fund held a 13% position in floating rate loan interests, which hindered performance as the sector underperformed high yield during the period. The Fund also maintained relatively low levels of leverage (at year end, 24% of the Fund’s total managed assets), which detracted from performance versus the Lipper competitors, who maintained leverage closer to the 33⅓% regulatory limit.
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The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
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Fund Information |
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Symbol on New York Stock Exchange (“NYSE”) |
COY |
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Initial Offering Date |
June 25, 1993 |
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Yield on Closing Market Price as of February 28, 2010 ($6.88)1 |
10.64% |
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Current Monthly Distribution per Share2 |
$0.061 |
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Current Annualized Distribution per Share2 |
$0.732 |
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Leverage as of February 28, 20103 |
24% |
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1 |
Yield on closing market
price is calculated by dividing the current annualized distribution per share
by the closing market price. |
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2 |
A change in the distribution rate was declared on March 1, 2010. The Monthly Distribution per Common Share was decreased to $0.051. The Yield on Closing Market Price, Current Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change. |
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3 |
Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 9. |
The table below summarizes the changes in the Fund’s market price and NAV per share:
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2/28/10 |
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2/28/09 |
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Change |
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High |
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Low |
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Market Price |
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$ |
6.88 |
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$ |
3.91 |
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75.96 |
% |
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$ |
7.10 |
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$ |
3.20 |
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Net Asset Value |
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$ |
6.64 |
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$ |
4.19 |
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58.47 |
% |
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$ |
6.74 |
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$ |
3.97 |
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The following unaudited charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:
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Portfolio Composition |
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2/28/10 |
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2/28/09 |
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Corporate Bonds |
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82 |
% |
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82 |
% |
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Floating Rate Loan Interests |
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13 |
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16 |
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Common Stocks |
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3 |
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1 |
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Other Interests |
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2 |
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— |
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Non-Agency Mortgage-Backed Securities |
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— |
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1 |
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Credit Quality Allocations4 |
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2/28/10 |
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2/28/09 |
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BBB/Baa |
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3 |
% |
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4 |
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BB/Ba |
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30 |
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31 |
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B |
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46 |
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47 |
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CCC/Caa |
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12 |
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12 |
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CC/Ca |
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1 |
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1 |
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D |
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1 |
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— |
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Not Rated |
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7 |
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5 |
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4 Using the higher of S&P’s or Moody’s ratings. |
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4 |
ANNUAL REPORT |
FEBRUARY 28, 2010 |
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Fund Summary as of February 28, 2010 |
BlackRock Corporate High Yield Fund III, Inc. |
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Investment Objective |
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BlackRock Corporate High Yield Fund III, Inc. (CYE) (the “Fund”) seeks to provide shareholders with current income by investing primarily in a diversified portfolio of fixed income securities that are rated in the lower rating categories of the established rating services (Ba or lower by Moody’s or BB or lower by S&P’s) or are unrated securities of comparable quality.
No assurance can be given that the Fund’s investment objective will be achieved.
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Performance |
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For the 12 months ended February 28, 2010, the Fund returned 111.12% based on market price and 86.65% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 86.36% on a market price basis and 68.03% on a NAV basis. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. During the period, we found particularly good value in the automotive segment, which represented the Fund’s largest sector overweight. As a group, automotive holdings performed quite well and, thus, were key contributors to performance. In addition, investments in select special situations or distressed credits (including several in the automotive sector) enhanced results. On a credit basis, the Fund’s underweight position in BB credits and overweight in the lower-quality ratings and nonrated credits were additive. On the other hand, the Fund held a 13% position in floating rate loan interests, which hindered performance as the sector underperformed high yield during the period. The Fund also maintained relatively low levels of leverage (at year end, 23% of the Fund’s total managed assets), which detracted from performance versus the Lipper competitors, who maintained leverage closer to the 33⅓% regulatory limit.
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The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
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Fund Information |
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Symbol on NYSE |
CYE |
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Initial Offering Date |
January 30, 1998 |
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Yield on Closing Market Price as of February 28, 2010 ($6.67)1 |
9.90% |
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Current Monthly Distribution per Share2 |
$0.055 |
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Current Annualized Distribution per Share2 |
$0.660 |
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Leverage as of February 28, 20103 |
23% |
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1 |
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
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2 |
A change in the distribution rate was declared on March 1, 2010. The Monthly Distribution per Common Share was decreased to $0.050. The Yield on Closing Market Price, Current Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change. |
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3 |
Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 9. |
The table below summarizes the changes in the Fund’s market price and NAV per share:
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2/28/10 |
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2/28/09 |
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Change |
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High |
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Low |
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Market Price |
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$ |
6.67 |
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$ |
3.57 |
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86.83 |
% |
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$ |
6.78 |
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$ |
3.05 |
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Net Asset Value |
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$ |
6.69 |
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$ |
4.05 |
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65.19 |
% |
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$ |
6.78 |
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$ |
3.83 |
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The following unaudited charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:
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Portfolio Composition |
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2/28/10 |
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2/28/09 |
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Corporate Bonds |
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81 |
% |
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82 |
% |
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Floating Rate Loan Interests |
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13 |
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16 |
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Common Stocks |
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4 |
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1 |
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Other Interests |
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2 |
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— |
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Non-Agency Mortgage-Backed Securities |
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— |
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1 |
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Credit Quality Allocations4 |
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2/28/10 |
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2/28/09 |
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AAA/Aaa |
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— |
% |
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1 |
% |
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BBB/Baa |
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3 |
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5 |
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BB/Ba |
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29 |
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30 |
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B |
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47 |
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46 |
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CCC/Caa |
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12 |
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14 |
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CC/Ca |
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— |
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1 |
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D |
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1 |
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— |
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Not Rated |
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8 |
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3 |
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4 Using the higher of S&P’s or Moody’s ratings. |
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ANNUAL REPORT |
FEBRUARY 28, 2010 |
5 |
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Fund Summary as of February 28, 2010 |
BlackRock Debt Strategies Fund, Inc. |
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Investment Objective |
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BlackRock Debt Strategies Fund, Inc. (DSU) (the “Fund”) seeks to provide current income by investing primarily in a diversified portfolio of US companies’ debt instruments, including corporate loans, that are rated in the lower rating categories of the established rating services (Baa or lower by Moody’s or BBB or lower by S&P’s) or unrated debt instruments of comparable quality.
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No assurance can be given that the Fund’s investment objective will be achieved. |
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Performance |
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For the 12 months ended February 28, 2010, the Fund returned 114.32% based on market price and 87.82% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 86.36% on a market price basis and 68.03% on a NAV basis. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. Unlike most of the other funds in its Lipper category, the Fund is a hybrid that invests in both high yield and bank loans. During the period, approximately 47% of the Fund was invested in floating rate loan interests, with 42% in high yield and the remainder in common stock, convertibles and investment-grade bonds. The Fund continued to outperform its Lipper category, even though loans underperformed high yield over the 12 months. Contributing positively to performance were the Fund’s overweight positions in autos and several distressed credits and special situations, as well as our underweight in health care. On an individual security and credit rating basis, we tended to be overweight in the lower-quality tiers, nonrated and higher-beta credits, which hurt the Fund’s performance in 2008, but has benefited the Fund since. On the other hand, the Fund maintained relatively conservative sector positioning, which had a negative impact on the Fund’s performance in the continuation of the market’s sharp rebound from 2008; still, we believe the Fund’s positioning is the correct stance for the medium term. The Fund also maintained relatively low levels of leverage (at year end, 14% of the Fund’s total managed assets), which has been a detractor in a strong market environment.
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The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
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Fund Information |
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Symbol on NYSE |
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DSU |
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Initial Offering Date |
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March 27, 1998 |
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Yield on Closing Market Price as of February 28, 2010 ($3.91)1 |
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9.51% |
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Current Monthly Distribution per Share2 |
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$0.031 |
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Current Annualized Distribution per Share2 |
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$0.372 |
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Leverage as of February 28, 20103 |
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14% |
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1 |
Yield on closing market
price is calculated by dividing the current annualized distribution per share
by the closing market price. |
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2 |
The distribution rate is not constant and is subject to change. |
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3 |
Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 9. |
The table below summarizes the changes in the Fund’s market price and NAV per share:
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|
|
2/28/10 |
|
2/28/09 |
|
Change |
High |
|
Low |
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Market Price |
|
$ |
3.91 |
|
$ |
2.07 |
|
|
88.89 |
% |
$ |
3.91 |
|
$ |
1.63 |
|
|
Net Asset Value |
|
$ |
3.89 |
|
$ |
2.35 |
|
|
65.53 |
% |
$ |
3.90 |
|
$ |
2.21 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following unaudited charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:
|
|
|
|
|
Portfolio Composition |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2/28/10 |
|
2/28/09 |
|
||
|
|
|
|
|
|
|
||
|
Corporate Bonds |
|
49 |
% |
|
53 |
% |
|
|
Floating Rate Loan Interests |
|
47 |
|
|
43 |
|
|
|
Common Stocks |
|
4 |
|
|
3 |
|
|
|
Non-Agency Mortgage-Backed Securities |
|
— |
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Quality Allocations4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2/28/10 |
|
2/28/09 |
|
||
|
|
|
|
|
|
|
||
|
BBB/Baa |
|
5 |
% |
|
9 |
% |
|
|
BB/Ba |
|
27 |
|
|
— |
|
|
|
B |
|
44 |
|
|
59 |
|
|
|
CCC/Caa |
|
11 |
|
|
21 |
|
|
|
CC/Ca |
|
— |
|
|
4 |
|
|
|
D |
|
1 |
|
|
1 |
|
|
|
Not Rated |
|
12 |
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 |
Using the higher of S&P’s or Moody’s ratings. |
|
|
|
|
|
|
|
|
|
6 |
ANNUAL REPORT |
FEBRUARY 28, 2010 |
|
|
|
|
|
|
|
|
|
|
Fund Summary as of February 28, 2010 |
BlackRock Floating Rate Income Strategies Fund II, Inc. |
|
|
|
|
|
Investment Objective |
|
|
BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB) (the “Fund”) seeks a high current income and such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and instruments.
|
|
|
|
|
No assurance can be given that the Fund’s investment objective will be achieved. |
|
|
|
|
|
Performance |
|
|
For the 12 months ended February 28, 2010, the Fund returned 99.15% based on market price and 62.08% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 98.84% on a market price basis and 55.06% on a NAV basis. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. During the period, approximately 20% of the Fund was invested in high yield bonds, which contributed positively to performance as high yield outperformed floating rate loan interests. Overweight positions in the automotive sector and a few special situations and distressed credits also helped the Fund’s results, as did an underweight in health care. On the other hand, the Fund generally favored less economically sensitive sectors and higher-quality credits, which detracted from performance as these issues underperformed lower-rated issues and those sectors with greater economic sensitivity. In addition, the Fund maintained relatively conservative levels of leverage (at year end, 15% of the Fund’s total managed assets), which was a detractor versus the Lipper competitors, who maintained leverage closer to the 33⅓% regulatory limit.
|
|
|
|
|
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
|
|
|
|
|
Fund Information |
|
|
|
|
|
|
|
|
|
Symbol on NYSE |
|
|
FRB |
|
|
Initial Offering Date |
|
|
July 30, 2004 |
|
|
Yield on Closing Market Price as of February 28, 2010 ($15.01)1 |
|
|
6.00% |
|
|
Current Monthly Distribution per Share2 |
|
|
$0.075 |
|
|
Current Annualized Distribution per Share2 |
|
|
$0.900 |
|
|
Leverage as of February 28, 20103 |
|
|
15% |
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Yield on closing market
price is calculated by dividing the current annualized distribution per share
by the closing market price. |
|
|
|
|
|
|
2 |
The distribution rate is not constant and is subject to change. |
|
|
|
|
|
|
3 |
Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 9. |
The table below summarizes the changes in the Fund’s market price and NAV per share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
|
|
2/28/10 |
|
2/28/09 |
|
Change |
High |
|
Low |
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Market Price |
|
$ |
15.01 |
|
$ |
8.28 |
|
|
81.28 |
% |
$ |
15.10 |
|
$ |
7.16 |
|
|
Net Asset Value |
|
$ |
13.16 |
|
$ |
8.92 |
|
|
47.53 |
% |
$ |
13.21 |
|
$ |
8.58 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following unaudited charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:
|
|
|
|
|
Portfolio Composition |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2/28/10 |
|
2/28/09 |
|
||
|
|
|
|
|
|
|
||
|
Floating Rate Loan Interests |
|
73 |
% |
|
71 |
% |
|
|
Corporate Bonds |
|
26 |
|
|
28 |
|
|
|
Other Interests |
|
1 |
|
|
— |
|
|
|
Non-Agency Mortgage-Backed Securities |
|
— |
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Quality Allocations4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2/28/10 |
|
2/28/09 |
|
||
|
|
|
|
|
|
|
||
|
BBB/Baa |
|
6 |
% |
|
15 |
% |
|
|
BB/Ba |
|
34 |
|
|
8 |
|
|
|
B |
|
38 |
|
|
57 |
|
|
|
CCC/Caa |
|
10 |
|
|
15 |
|
|
|
CC/Ca |
|
1 |
|
|
2 |
|
|
|
D |
|
2 |
|
|
1 |
|
|
|
Not Rated |
|
9 |
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 |
Using the higher of S&P’s or Moody’s ratings. |
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
FEBRUARY 28, 2010 |
7 |
|
|
|
|
|
|
|
|
|
|
Fund Summary as of February 28, 2010 |
BlackRock Senior High Income Fund, Inc. |
|
|
|
|
|
Investment Objective |
|
|
BlackRock Senior High Income Fund, Inc. (ARK) (the “Fund”) seeks to provide shareholders with as high a level of current income as is consistent with its investment policies and prudent investment management by investing principally in senior debt obligations of companies, including corporate loans made by banks and other financial institutions and both privately placed and publicly offered corporate bonds and notes.
|
|
|
|
|
No assurance can be given that the Fund’s investment objective will be achieved. |
|
|
|
|
|
Performance |
|
|
For the 12 months ended February 28, 2010, the Fund returned 95.61% based on market price and 68.90% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 86.36% on a market price basis and 68.03% on a NAV basis. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. Unlike most of the other funds in its Lipper category, the Fund is a hybrid that invests in both high yield and bank loans. During the period, approximately 46% of the Fund was invested in floating rate loan interests, with 48% in high yield and the remainder in common stock, convertibles and investment-grade bonds. The Fund outperformed its Lipper category, even though loans underperformed high yield over the 12 months. Contributing positively to performance were our overweight positions in autos and several distressed credits and special situations, as well as the Fund’s underweight in health care. On an individual security and credit rating basis, the Fund tended to be overweight in the lower-quality tiers, nonrated and higher-beta credits, which hurt performance in 2008, but has benefited the Fund since. On the other hand, the Fund maintained relatively conservative sector positioning, which had a negative impact on performance in the continuation of the market’s sharp rebound from 2008; still, we believe the Fund’s positioning is the correct stance for the medium term. We also maintained relatively low levels of leverage (at year end, 16% of the Fund’s total assets), which has been a detractor in a strong market environment.
|
|
|
|
|
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
|
|
|
|
|
Fund Information |
|
|
|
|
|
|
|
|
|
Symbol on NYSE |
|
|
ARK |
|
|
Initial Offering Date |
|
|
April 30, 1993 |
|
|
Yield on Closing Market Price as of February 28, 2010 ($3.94)1 |
|
|
7.61% |
|
|
Current Monthly Distribution per Common Share2 |
|
|
$0.025 |
|
|
Current Annualized Distribution per Common Share2 |
|
|
$0.300 |
|
|
Leverage as of February 28, 20103 |
|
|
16% |
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Yield on closing market
price is calculated by dividing the current annualized distribution per share
by the closing market price. |
|
|
|
|
|
|
2 |
The distribution is not constant and is subject to change. |
|
|
|
|
|
|
3 |
Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 9. |
The table below summarizes the changes in the Fund’s market price and NAV per share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2/28/10 |
|
2/28/09 |
|
Change |
High |
|
Low |
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Market Price |
|
$ |
3.94 |
|
$ |
2.21 |
|
|
78.28 |
% |
$ |
3.97 |
|
$ |
1.78 |
|
|
Net Asset Value |
|
$ |
3.91 |
|
$ |
2.54 |
|
|
53.94 |
% |
$ |
3.93 |
|
$ |
2.41 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following unaudited charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:
|
|
|
|
|
Portfolio Composition |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2/28/10 |
|
2/28/09 |
|
||
|
|
|
|
|
|
|
||
|
Corporate Bonds |
|
52 |
% |
|
55 |
% |
|
|
Floating Rate Loan Interests |
|
46 |
|
|
44 |
|
|
|
Common Stocks |
|
2 |
|
|
— |
|
|
|
Non-Agency Mortgage-Backed Securities |
|
— |
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Quality Allocations4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2/28/10 |
|
2/28/09 |
|
||
|
|
|
|
|
|
|
||
|
BBB/Baa |
|
5 |
% |
|
2 |
% |
|
|
BB/Ba |
|
33 |
|
|
22 |
|
|
|
B |
|
43 |
|
|
59 |
|
|
|
CCC/Caa |
|
11 |
|
|
8 |
|
|
|
CC/Ca |
|
— |
|
|
3 |
|
|
|
D |
|
1 |
|
|
1 |
|
|
|
Not Rated |
|
7 |
|
|
5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 |
Using the higher of S&P’s or Moody’s ratings. |
|
|
|
|
|
|
|
|
|
8 |
ANNUAL REPORT |
FEBRUARY 28, 2010 |
|
|
|
|
|
|
|
|
|
The Funds may utilize leverage to seek to enhance the yield and NAV. However, these objectives cannot be achieved in all interest rate environments.
The Funds may utilize leverage by borrowing through a credit facility. In general, the concept of leveraging is based on the premise that the cost of assets to be obtained from leverage will be based on short-term interest rates, which normally will be lower than the income earned by each Fund on its longer-term portfolio investments. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Fund’s shareholders will benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Funds had not used leverage.
To illustrate these concepts, assume a Fund’s capitalization is $100 million and it issues debt securities for an additional $30 million, creating a total value of $130 million available for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Fund pays interest expense on the $30 million of debt securities based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with assets received from borrowings earn the income based on long-term interest rates. In this case, the interest expense of borrowings is significantly lower than the income earned on the Fund’s long-term investments, and therefore the shareholders are the beneficiaries of the incremental net income.
If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates of 6%, the yield curve has a negative slope. In this case, the Fund pays interest expense on the higher short-term interest rates whereas the Fund’s total portfolio earns income based on lower long-term interest rates.
Furthermore, the value of the Fund’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Fund’s borrowings do not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Fund’s NAV positively or negatively in addition to the impact on Fund performance from leverage from borrowings.
The use of leverage may enhance opportunities for increased income to the Funds and shareholders, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in each Fund’s NAV, market price and dividend rate than a comparable portfolio without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, each Fund’s net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Fund’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders will be reduced. Each Fund may be required to sell portfolio securities at inopportune times at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Fund to incur losses. The use of leverage may limit each Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund will incur expenses in connection with the use of leverage, all of which are borne by the shareholders and may reduce income.
Under the Investment Company Act of 1940, the Funds are permitted to borrow through a credit facility up to 33⅓% of their total managed assets. As of February 28, 2010, the Funds had outstanding leverage from credit facility borrowings as a percentage of their total managed assets as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percent
of |
|
|
|
|
|
|
|
|
|
COY |
|
24 |
% |
|
|
CYE |
|
23 |
% |
|
|
DSU |
|
14 |
% |
|
|
FRB |
|
15 |
% |
|
|
ARK |
|
16 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Funds may invest in various derivative instruments, including swaps, foreign currency exchange contracts and options, as specified in Note 2 of the Notes to Financial Statements, which constitute forms of economic leverage. Such instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit and/or foreign currency exchange rate risks. Such derivative instruments involve risks, including the imperfect correlation between the value of a derivative instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative instrument.
The Funds’ ability to successfully use a derivative instrument depends on the investment advisor’s ability to accurately predict pertinent market movements, which cannot be assured. The use of derivative instruments may result in losses greater than if they had not been used, may require a Fund to sell or purchase portfolio securities at inopportune times or for distressed values, may limit the amount of appreciation a Fund can realize on an investment or may cause a Fund to hold a security that they might otherwise sell. The Funds’ investments in these instruments are discussed in detail in the Notes to Financial Statements.
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
FEBRUARY 28, 2010 |
9 |
|
|
|
|
|
|
|
|
|
|
BlackRock Corporate High Yield Fund, Inc. (COY) |
|
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Auto Components — 0.1% |
|
|
|
|
|
|
|
|
Lear Corp. (a) |
|
|
3,958 |
|
$ |
274,171 |
|
|
|
|
|
|
|
|
|
|
|
Building Products — 0.7% |
|
|
|
|
|
|
|
|
Masonite Worldwide Holdings (a) |
|
|
35,518 |
|
|
1,491,756 |
|
|
|
|
|
|
|
|
|
|
|
Capital Markets — 0.2% |
|
|
|
|
|
|
|
|
E*Trade Financial Corp. (a) |
|
|
269,000 |
|
|
433,090 |
|
|
|
|
|
|
|
|
|
|
|
Chemicals — 0.0% |
|
|
|
|
|
|
|
|
Wellman Holdings, Inc. (a) |
|
|
1,425 |
|
|
356 |
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment — 0.9% |
|
|
|
|
|
|
|
|
Brocade Communications Systems, Inc. (a) |
|
|
45,000 |
|
|
261,900 |
|
|
Loral Space & Communications Ltd. (a) |
|
|
58,901 |
|
|
1,916,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,177,950 |
|
|
|
|
|
|
|
|
|
|
|
Construction Materials — 0.0% |
|
|
|
|
|
|
|
|
Nortek, Inc. (a) |
|
|
2,020 |
|
|
74,740 |
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging — 0.2% |
|
|
|
|
|
|
|
|
Rock-Tenn Co., Class A |
|
|
12,000 |
|
|
502,080 |
|
|
Smurfit Kappa Plc (a) |
|
|
3,634 |
|
|
29,954 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
532,034 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services — 0.4% |
|
|
|
|
|
|
|
|
Bank of America Corp. |
|
|
60,000 |
|
|
999,600 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services — 0.5% |
|
|
|
|
|
|
|
|
Qwest Communications International, Inc. |
|
|
229,998 |
|
|
1,048,791 |
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment — 0.0% |
|
|
|
|
|
|
|
|
Medis Technologies Ltd. (a) |
|
|
67,974 |
|
|
4,826 |
|
|
SunPower Corp., Class B (a) |
|
|
352 |
|
|
5,748 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,574 |
|
|
|
|
|
|
|
|
|
|
|
Food Products — 0.0% |
|
|
|
|
|
|
|
|
Pilgrims Pride Corp. (a) |
|
|
6,449 |
|
|
58,170 |
|
|
|
|
|
|
|
|
|
|
|
Household Durables — 0.2% |
|
|
|
|
|
|
|
|
Beazer Homes USA, Inc. (a) |
|
|
22,188 |
|
|
92,302 |
|
|
Pulte Homes, Inc. (a) |
|
|
28,000 |
|
|
303,240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
395,542 |
|
|
|
|
|
|
|
|
|
|
|
Machinery — 0.1% |
|
|
|
|
|
|
|
|
Accuride Corp. (a) |
|
|
84,388 |
|
|
109,704 |
|
|
Accuride Corp. — Restricted Shares (a) |
|
|
84,389 |
|
|
109,706 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
219,410 |
|
|
|
|
|
|
|
|
|
|
|
Media — 0.3% |
|
|
|
|
|
|
|
|
Gannett Co., Inc. |
|
|
45,000 |
|
|
681,750 |
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products — 0.1% |
|
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd. (a) |
|
|
37,144 |
|
|
78,016 |
|
|
Ainsworth Lumber Co. Ltd. (a)(b) |
|
|
41,686 |
|
|
87,555 |
|
|
Western Forest Products, Inc. (a) |
|
|
147,968 |
|
|
30,938 |
|
|
Western Forest Products, Inc. (a)(b) |
|
|
41,528 |
|
|
8,683 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
205,192 |
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services — 0.3% |
|
|
|
|
|
|
|
|
FiberTower Corp. (a) |
|
|
76,542 |
|
|
315,354 |
|
|
SBA Communications Corp., Class A (a) |
|
|
8,500 |
|
|
300,560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
615,914 |
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks — 4.0% |
|
|
|
|
|
9,219,040 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Airlines — 2.4% |
|
|
|
|
|
|
|
|
American Airlines, Inc., 10.50%, 10/15/12 (b) |
|
USD |
940 |
|
$ |
963,500 |
|
|
American Airlines Pass Through Trust, Series |
|
|
390 |
|
|
392,925 |
|
|
Continental Airlines, Inc.: |
|
|
|
|
|
|
|
|
Series 1997-4-B, 6.90%, 7/02/18 |
|
|
503 |
|
|
462,977 |
|
|
Series 2001-1-C, 7.03%, 12/15/12 |
|
|
270 |
|
|
262,771 |
|
|
Series 2003-RJ, 7.88%, 1/02/20 |
|
|
389 |
|
|
345,822 |
|
|
Delta Air Lines, Inc., Series B, 9.75%, 12/17/16 |
|
|
975 |
|
|
1,004,250 |
|
|
United Air Lines, Inc., 12.75%, 7/15/12 |
|
|
2,000 |
|
|
2,120,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,552,245 |
|
|
|
|
|
|
|
|
|
|
|
Auto Components — 0.8% |
|
|
|
|
|
|
|
|
Delphi International Holdings Unsecured, |
|
|
41 |
|
|
40,674 |
|
|
The Goodyear Tire & Rubber Co.: |
|
|
|
|
|
|
|
|
7.86%, 8/15/11 |
|
|
1,125 |
|
|
1,164,375 |
|
|
8.63%, 12/01/11 |
|
|
612 |
|
|
634,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,839,999 |
|
|
|
|
|
|
|
|
|
|
|
Biotechnology — 0.3% |
|
|
|
|
|
|
|
|
QHP Pharma, 10.25%, 3/15/15 (b) |
|
|
700 |
|
|
714,616 |
|
|
|
|
|
|
|
|
|
|
|
Building Products — 1.1% |
|
|
|
|
|
|
|
|
Associated Materials LLC, 9.88%, 11/15/16 |
|
|
660 |
|
|
699,600 |
|
|
Building Materials Corp. of America, 7.00%, |
|
|
570 |
|
|
570,000 |
|
|
Goodman Global Group, Inc., 12.86%, |
|
|
280 |
|
|
162,400 |
|
|
Ply Gem Industries, Inc., 11.75%, 6/15/13 |
|
|
1,050 |
|
|
1,065,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,497,750 |
|
|
|
|
|
|
|
|
|
|
|
Capital Markets — 0.4% |
|
|
|
|
|
|
|
|
E*Trade Financial Corp., 3.43% 8/31/19 (b)(c)(d) |
|
|
226 |
|
|
343,520 |
|
|
Marsico Parent Co., LLC, 10.63%, 1/15/16 (b) |
|
|
904 |
|
|
543,530 |
|
|
Marsico Parent Holdco, LLC, 12.50%, |
|
|
385 |
|
|
85,094 |
|
|
Marsico Parent Superholdco, LLC, 14.50%, |
|
|
248 |
|
|
43,018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,015,162 |
|
|
|
|
|
|
|
|
|
|
|
Chemicals — 2.8% |
|
|
|
|
|
|
|
|
American Pacific Corp., 9.00%, 2/01/15 |
|
|
800 |
|
|
790,000 |
|
|
Georgia Gulf Corp., 9.00%, 1/15/17 (b) |
|
|
215 |
|
|
223,063 |
|
|
Hexion Finance Escrow LLC, 8.88%, 2/01/18 (b) |
|
|
1,685 |
|
|
1,575,475 |
|
|
Hexion U.S. Finance Corp., 9.75%, 11/15/14 |
|
|
285 |
|
|
269,325 |
|
|
Huntsman International LLC (b): |
|
|
|
|
|
|
|
|
6.88%, 11/15/13 |
|
EUR |
260 |
|
|
330,133 |
|
|
5.50%, 6/30/16 |
|
USD |
510 |
|
|
448,800 |
|
|
Innophos, Inc., 8.88%, 8/15/14 |
|
|
740 |
|
|
760,350 |
|
|
MacDermid, Inc., 9.50%, 4/15/17 (b) |
|
|
1,180 |
|
|
1,180,000 |
|
|
Wellman Holdings, Inc. (d): |
|
|
|
|
|
|
|
|
Second Lien Subordinate Note, 10.00%, |
|
|
790 |
|
|
790,000 |
|
|
Third Lien Subordinate Note, 5.00%, |
|
|
252 |
|
|
126,361 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,493,507 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Abbreviations |
|
|
|
|
|
|
|
|
To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list: |
|
|
|
|
|
CAD |
Canadian Dollar |
|
EUR |
Euro |
|
GBP |
British Pound |
|
USD |
US Dollar |
|
|
|
|
|
See Notes to Financial Statements. |
|
|
|
|
||
|
10 |
ANNUAL REPORT |
FEBRUARY 28, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund, Inc. (COY) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies — 3.2% |
|
|
|
|
|
|
|
|
ACCO Brands Corp., 10.63%, 3/15/15 (b) |
|
USD |
480 |
|
$ |
521,760 |
|
|
RSC Equipment Rental, Inc., 10.00%, 7/15/17 (b) |
|
|
555 |
|
|
593,850 |
|
|
Scientific Games International, Inc., |
|
|
785 |
|
|
830,137 |
|
|
Waste Services, Inc., 9.50%, 4/15/14 |
|
|
2,800 |
|
|
2,877,000 |
|
|
West Corp.: |
|
|
|
|
|
|
|
|
9.50%, 10/15/14 |
|
|
400 |
|
|
397,000 |
|
|
11.00%, 10/15/16 |
|
|
2,040 |
|
|
2,045,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,264,847 |
|
|
|
|
|
|
|
|
|
|
|
Construction Materials — 1.2% |
|
|
|
|
|
|
|
|
Nortek, Inc., 11.00%, 12/01/13 |
|
|
2,029 |
|
|
2,130,426 |
|
|
Texas Industries, Inc., 7.25%, 7/15/13 |
|
|
720 |
|
|
700,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,830,626 |
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance — 0.5% |
|
|
|
|
|
|
|
|
Credit Acceptance Corp., 9.13%, 2/01/17 (b) |
|
|
640 |
|
|
636,800 |
|
|
Ford Motor Credit Co. LLC: |
|
|
|
|
|
|
|
|
3.00%, 1/13/12 (f) |
|
|
195 |
|
|
182,813 |
|
|
7.80%, 6/01/12 |
|
|
200 |
|
|
202,114 |
|
|
8.00%, 12/15/16 |
|
|
170 |
|
|
170,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,192,430 |
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging — 4.1% |
|
|
|
|
|
|
|
|
Berry Plastics Escrow LLC, 8.88%, 9/15/14 (b) |
|
|
440 |
|
|
423,500 |
|
|
Berry Plastics Holding Corp., 8.88%, 9/15/14 |
|
|
1,000 |
|
|
962,500 |
|
|
Crown European Holdings SA, 6.25%, 9/01/11 |
|
EUR |
73 |
|
|
101,389 |
|
|
Graphic Packaging International, Inc., |
|
USD |
810 |
|
|
850,500 |
|
|
Impress Holdings BV, 3.38%, 9/15/13 (b)(f) |
|
|
390 |
|
|
363,675 |
|
|
Owens-Brockway Glass Container, Inc.: |
|
|
|
|
|
|
|
|
8.25%, 5/15/13 |
|
|
925 |
|
|
938,875 |
|
|
6.75%, 12/01/14 |
|
EUR |
152 |
|
|
206,972 |
|
|
Packaging Dynamics Finance Corp., 10.00%, |
|
USD |
1,010 |
|
|
804,212 |
|
|
Pregis Corp., 12.38%, 10/15/13 |
|
|
1,130 |
|
|
1,121,525 |
|
|
Rock-Tenn Co., 8.20%, 8/15/11 |
|
|
1,875 |
|
|
2,020,312 |
|
|
Smurfit Kappa Acquisitions (b): |
|
|
|
|
|
|
|
|
7.25%, 11/15/17 |
|
EUR |
465 |
|
|
620,507 |
|
|
7.75%, 11/15/19 |
|
|
440 |
|
|
596,133 |
|
|
Solo Cup Co., 10.50%, 11/01/13 |
|
USD |
450 |
|
|
471,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,481,475 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services — 1.2% |
|
|
|
|
|
|
|
|
Service Corp. International, 7.00%, 6/15/17 |
|
|
2,800 |
|
|
2,744,000 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services — 8.7% |
|
|
|
|
|
|
|
|
Axcan Intermediate Holdings, Inc., |
|
|
490 |
|
|
530,425 |
|
|
CIT Group, Inc., 7.00%, 5/01/17 |
|
|
6,615 |
|
|
5,846,006 |
|
|
FCE Bank Plc: |
|
|
|
|
|
|
|
|
7.88%, 2/15/11 |
|
GBP |
1,150 |
|
|
1,766,681 |
|
|
7.13%, 1/16/12 |
|
EUR |
1,450 |
|
|
1,957,026 |
|
|
7.13%, 1/15/13 |
|
|
550 |
|
|
733,933 |
|
|
GMAC LLC: |
|
|
|
|
|
|
|
|
7.25%, 3/02/11 |
|
USD |
578 |
|
|
583,058 |
|
|
6.88%, 9/15/11 |
|
|
500 |
|
|
500,000 |
|
|
6.88%, 8/28/12 |
|
|
600 |
|
|
594,000 |
|
|
2.45%, 12/01/14 (f) |
|
|
441 |
|
|
377,274 |
|
|
6.75%, 12/01/14 |
|
|
950 |
|
|
907,250 |
|
|
8.30%, 2/12/15 (b) |
|
|
2,140 |
|
|
2,158,725 |
|
|
8.00%, 11/01/31 |
|
|
1,200 |
|
|
1,107,000 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services (concluded) |
|
|
|
|
|
|
|
|
Leucadia National Corp., 8.13%, 9/15/15 |
|
USD |
1,250 |
|
$ |
1,268,750 |
|
|
Reynolds Group DL Escrow, Inc., |
|
|
1,340 |
|
|
1,356,750 |
|
|
Reynolds Group Issuer, Inc., 7.75%, 10/15/16 (b) |
|
EUR |
350 |
|
|
475,393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,162,271 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services — 3.9% |
|
|
|
|
|
|
|
|
Broadview Networks Holdings, Inc., |
|
USD |
1,000 |
|
|
960,000 |
|
|
GCI, Inc., 8.63%, 11/15/19 (b) |
|
|
1,100 |
|
|
1,117,875 |
|
|
Level 3 Financing, Inc., 10.00%, 2/01/18 (b) |
|
|
630 |
|
|
578,025 |
|
|
Nordic Telephone Co. Holdings ApS, |
|
|
200 |
|
|
214,000 |
|
|
Qwest Communications International, Inc.: |
|
|
|
|
|
|
|
|
7.50%, 2/15/14 |
|
|
1,890 |
|
|
1,908,900 |
|
|
8.00%, 10/01/15 (b) |
|
|
500 |
|
|
517,500 |
|
|
Series B, 7.50%, 2/15/14 |
|
|
1,645 |
|
|
1,661,450 |
|
|
Qwest Corp.: |
|
|
|
|
|
|
|
|
7.63%, 6/15/15 |
|
|
500 |
|
|
534,375 |
|
|
8.38%, 5/01/16 |
|
|
650 |
|
|
711,750 |
|
|
Windstream Corp., 8.13%, 8/01/13 |
|
|
700 |
|
|
728,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,931,875 |
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities — 1.3% |
|
|
|
|
|
|
|
|
Intergen NV, 9.00%, 6/30/17 (b) |
|
|
385 |
|
|
392,700 |
|
|
NSG Holdings LLC, 7.75%, 12/15/25 (b) |
|
|
965 |
|
|
834,725 |
|
|
Tenaska Alabama Partners LP, 7.00%, 6/30/21 (b) |
|
|
1,684 |
|
|
1,687,163 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,914,588 |
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components — 0.1% |
|
|
|
|
|
|
|
|
Jabil Circuit, Inc., 7.75%, 7/15/16 |
|
|
280 |
|
|
289,800 |
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services — 1.4% |
|
|
|
|
|
|
|
|
Compagnie Générale de Géophysique-Veritas: |
|
|
|
|
|
|
|
|
7.50%, 5/15/15 |
|
|
195 |
|
|
191,100 |
|
|
7.75%, 5/15/17 |
|
|
300 |
|
|
294,000 |
|
|
Expro Finance Luxembourg SCA, 8.50%, |
|
|
1,715 |
|
|
1,706,425 |
|
|
North American Energy Alliance LLC, 10.88%, |
|
|
625 |
|
|
662,500 |
|
|
North American Energy Partners, Inc., |
|
|
355 |
|
|
353,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,207,250 |
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing — 0.8% |
|
|
|
|
|
|
|
|
AmeriQual Group LLC, 9.50%, 4/01/12 (b) |
|
|
750 |
|
|
675,000 |
|
|
Duane Reade, Inc., 11.75%, 8/01/15 |
|
|
160 |
|
|
201,600 |
|
|
Rite Aid Corp.: |
|
|
|
|
|
|
|
|
9.75%, 6/12/16 |
|
|
380 |
|
|
405,650 |
|
|
10.25%, 10/15/19 |
|
|
580 |
|
|
613,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,895,600 |
|
|
|
|
|
|
|
|
|
|
|
Food Products — 0.7% |
|
|
|
|
|
|
|
|
B&G Foods, Inc., 7.63%, 1/15/18 |
|
|
200 |
|
|
202,000 |
|
|
Reddy Ice Corp., 11.25%, 3/15/15 (b)(g) |
|
|
410 |
|
|
410,000 |
|
|
Smithfield Foods, Inc., 10.00%, 7/15/14 (b) |
|
|
760 |
|
|
822,700 |
|
|
TreeHouse Foods, Inc., 7.75%, 3/01/18 (g) |
|
|
150 |
|
|
153,938 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,588,638 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. |
|
|
|
|
||
|
ANNUAL REPORT |
FEBRUARY 28, 2010 |
11 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund, Inc. (COY) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies — 1.3% |
|
|
|
|
|
|
|
|
DJO Finance LLC: |
|
|
|
|
|
|
|
|
10.88%, 11/15/14 |
|
USD |
1,605 |
|
$ |
1,717,350 |
|
|
10.88%, 11/15/14 (b) |
|
|
560 |
|
|
599,200 |
|
|
Hologic, Inc., 2.00%, 12/15/37 (d)(h) |
|
|
910 |
|
|
778,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,094,600 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services — 3.6% |
|
|
|
|
|
|
|
|
Community Health Systems, Inc., Series WI, |
|
|
1,360 |
|
|
1,407,600 |
|
|
HCA, Inc., 9.13%, 11/15/14 |
|
|
1,645 |
|
|
1,729,306 |
|
|
LifePoint Hospitals, Inc., 3.50%, 5/15/14 (d) |
|
|
100 |
|
|
91,625 |
|
|
Tenet Healthcare Corp. (b): |
|
|
|
|
|
|
|
|
9.00%, 5/01/15 |
|
|
1,502 |
|
|
1,573,345 |
|
|
10.00%, 5/01/18 |
|
|
622 |
|
|
684,200 |
|
|
8.88%, 7/01/19 |
|
|
1,215 |
|
|
1,281,825 |
|
|
Vanguard Health Holding Co. LLC, 8.00%, |
|
|
1,450 |
|
|
1,424,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,192,526 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Technology — 0.8% |
|
|
|
|
|
|
|
|
IMS Health, Inc., 12.50%, 3/01/18 (b) |
|
|
1,650 |
|
|
1,897,500 |
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure — 3.8% |
|
|
|
|
|
|
|
|
Greektown Holdings, LLC, 10.75%, |
|
|
412 |
|
|
24,720 |
|
|
Harrah’s Operating Co., Inc., 11.25%, 6/01/17 |
|
|
1,025 |
|
|
1,063,437 |
|
|
Icahn Enterprises LP, 8.00%, 1/15/18 (b) |
|
|
2,200 |
|
|
2,068,000 |
|
|
Inn of the Mountain Gods Resort & Casino, 12.00%, |
|
|
1,425 |
|
|
691,125 |
|
|
Little Traverse Bay Bands of Odawa Indians, 10.25%, |
|
|
1,175 |
|
|
296,687 |
|
|
MGM Mirage: |
|
|
|
|
|
|
|
|
13.00%, 11/15/13 |
|
|
1,045 |
|
|
1,191,300 |
|
|
10.38%, 5/15/14 (b) |
|
|
235 |
|
|
249,100 |
|
|
11.13%, 11/15/17 (b) |
|
|
780 |
|
|
842,400 |
|
|
Pinnacle Entertainment, Inc., 8.63%, 8/01/17 (b) |
|
|
640 |
|
|
608,000 |
|
|
San Pasqual Casino, 8.00%, 9/15/13 (b) |
|
|
925 |
|
|
878,750 |
|
|
Scientific Games Corp., 0.75%, 12/01/24 (d)(h) |
|
|
270 |
|
|
262,238 |
|
|
Shingle Springs Tribal Gaming Authority, 9.38%, |
|
|
45 |
|
|
35,775 |
|
|
Travelport LLC: |
|
|
|
|
|
|
|
|
4.88%, 9/01/14 (f) |
|
|
145 |
|
|
134,850 |
|
|
9.88%, 9/01/14 |
|
|
190 |
|
|
194,275 |
|
|
Tropicana Entertainment LLC, Series WI, 9.63%, |
|
|
315 |
|
|
197 |
|
|
Virgin River Casino Corp., 9.00%, 1/15/12 (a)(i) |
|
|
805 |
|
|
152,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,693,804 |
|
|
|
|
|
|
|
|
|
|
|
Household Durables — 2.5% |
|
|
|
|
|
|
|
|
Beazer Homes USA, Inc., 12.00%, 10/15/17 (b) |
|
|
1,425 |
|
|
1,588,875 |
|
|
Jarden Corp., 8.00%, 5/01/16 |
|
|
240 |
|
|
250,800 |
|
|
K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16 |
|
|
1,620 |
|
|
1,692,900 |
|
|
KB Home: |
|
|
|
|
|
|
|
|
6.38%, 8/15/11 |
|
|
29 |
|
|
29,508 |
|
|
9.10%, 9/15/17 |
|
|
205 |
|
|
212,687 |
|
|
Standard Pacific Corp.: |
|
|
|
|
|
|
|
|
6.25%, 4/01/14 |
|
|
485 |
|
|
436,500 |
|
|
7.00%, 8/15/15 |
|
|
325 |
|
|
292,500 |
|
|
10.75%, 9/15/16 |
|
|
1,130 |
|
|
1,178,025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,681,795 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
Household Products — 0.1% |
|
|
|
|
|
|
|
|
Libbey Glass, Inc., 10.00%, 2/15/15 (b) |
|
USD |
125 |
|
$ |
129,375 |
|
|
|
|
|
|
|
|
|
|
|
IT Services — 1.5% |
|
|
|
|
|
|
|
|
Alliance Data Systems Corp., 1.75%, 8/01/13 (d) |
|
|
1,585 |
|
|
1,466,125 |
|
|
First Data Corp.: |
|
|
|
|
|
|
|
|
9.88%, 9/24/15 (b) |
|
|
15 |
|
|
12,975 |
|
|
9.88%, 9/24/15 |
|
|
1,500 |
|
|
1,282,500 |
|
|
11.25%, 3/31/16 |
|
|
760 |
|
|
623,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,384,800 |
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders — 3.8% |
|
|
|
|
|
|
|
|
The AES Corp., 8.75%, 5/15/13 (b) |
|
|
994 |
|
|
1,011,395 |
|
|
AES Eastern Energy LP, Series 99-B, |
|
|
575 |
|
|
623,156 |
|
|
Calpine Construction Finance Co. LP, 8.00%, |
|
|
1,190 |
|
|
1,204,875 |
|
|
Energy Future Holdings Corp.: |
|
|
|
|
|
|
|
|
10.88%, 11/01/17 |
|
|
400 |
|
|
303,000 |
|
|
11.25%, 11/01/17 (e) |
|
|
2,738 |
|
|
1,916,516 |
|
|
10.00%, 1/15/20 (b) |
|
|
1,715 |
|
|
1,749,300 |
|
|
NRG Energy, Inc., 7.25%, 2/01/14 |
|
|
2,010 |
|
|
2,025,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,833,317 |
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates — 2.6% |
|
|
|
|
|
|
|
|
Sequa Corp. (b): |
|
|
|
|
|
|
|
|
11.75%, 12/01/15 |
|
|
2,190 |
|
|
2,146,200 |
|
|
13.50%, 12/01/15 (e) |
|
|
3,759 |
|
|
3,768,149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,914,349 |
|
|
|
|
|
|
|
|
|
|
|
Insurance — 0.9% |
|
|
|
|
|
|
|
|
Alliant Holdings I, Inc., 11.00%, 5/01/15 (b) |
|
|
1,600 |
|
|
1,628,000 |
|
|
USI Holdings Corp., 4.13%, 11/15/14 (b)(f) |
|
|
630 |
|
|
521,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,149,325 |
|
|
|
|
|
|
|
|
|
|
|
Internet & Catalog Retail — 0.2% |
|
|
|
|
|
|
|
|
NetFlix, Inc., 8.50%, 11/15/17 (g) |
|
|
330 |
|
|
345,675 |
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services — 0.3% |
|
|
|
|
|
|
|
|
Equinix, Inc, 8.13%, 3/01/18 |
|
|
570 |
|
|
570,000 |
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products — 1.0% |
|
|
|
|
|
|
|
|
Brunswick Corp., 11.25%, 11/01/16 (b) |
|
|
1,870 |
|
|
2,080,375 |
|
|
Easton-Bell Sports, Inc., 9.75%, 12/01/16 (b) |
|
|
265 |
|
|
274,938 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,355,313 |
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services — 0.1% |
|
|
|
|
|
|
|
|
Bio-Rad Laboratories, Inc., 8.00%, 9/15/16 (b) |
|
|
200 |
|
|
209,000 |
|
|
|
|
|
|
|
|
|
|
|
Machinery — 1.2% |
|
|
|
|
|
|
|
|
AGY Holding Corp., 11.00%, 11/15/14 |
|
|
900 |
|
|
720,000 |
|
|
Accuride Corp., 7.50%, 2/26/20 (d)(e) |
|
|
9 |
|
|
14,773 |
|
|
Navistar International Corp.: |
|
|
|
|
|
|
|
|
3.00%, 10/15/14 (d) |
|
|
480 |
|
|
490,800 |
|
|
8.25%, 11/01/21 |
|
|
1,000 |
|
|
1,015,000 |
|
|
RBS Global, Inc., 8.88%, 9/01/16 |
|
|
420 |
|
|
380,100 |
|
|
Titan International, Inc., 5.63%, 1/15/17 (b)(d) |
|
|
220 |
|
|
231,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,852,223 |
|
|
|
|
|
|
|
|
|
|
|
Marine — 1.1% |
|
|
|
|
|
|
|
|
Horizon Lines, Inc., 4.25%, 8/15/12 (d) |
|
|
1,985 |
|
|
1,642,587 |
|
|
Navios Maritime Holdings, Inc., 8.88%, 11/01/17 (b) |
|
|
470 |
|
|
478,225 |
|
|
Trico Shipping AS, 11.88%, 11/01/14 (b) |
|
|
310 |
|
|
300,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,421,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. |
|
|
|
|
||
|
12 |
ANNUAL REPORT |
FEBRUARY 28, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund, Inc. (COY) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
Media — 14.0% |
|
|
|
|
|
|
|
|
Affinion Group, Inc., 10.13%, 10/15/13 |
|
USD |
2,255 |
|
$ |
2,277,550 |
|
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
502 |
|
|
593,417 |
|
|
CCO Holdings LLC, 8.75%, 11/15/13 |
|
|
665 |
|
|
674,975 |
|
|
CMP Susquehanna Corp., 3.20%, 5/15/14 (b) |
|
|
150 |
|
|
3,000 |
|
|
COX Enterprises, Inc.: |
|
|
|
|
|
|
|
|
Loan Close 2, 12.00%, 8/15/18 |
|
|
600 |
|
|
600,000 |
|
|
Loan Close 3, 12.00%, 8/15/18 |
|
|
700 |
|
|
700,000 |
|
|
Shares Loan, 12.00%, 8/15/18 |
|
|
700 |
|
|
700,000 |
|
|
CSC Holdings, Inc., 8.50%, 4/15/14 (b) |
|
|
370 |
|
|
388,963 |
|
|
Cablevision Systems Corp., Series B, |
|
|
1,465 |
|
|
1,543,744 |
|
|
Catalina Marketing Corp., 10.50%, 10/01/15 (b)(e) |
|
|
555 |
|
|
579,975 |
|
|
Charter Communications Operating, LLC (b): |
|
|
|
|
|
|
|
|
10.00%, 4/30/12 |
|
|
500 |
|
|
517,500 |
|
|
10.38%, 4/30/14 |
|
|
660 |
|
|
669,900 |
|
|
Clear Channel Worldwide Holdings, Inc. (b): |
|
|
|
|
|
|
|
|
Series A, 9.25%, 12/15/17 |
|
|
779 |
|
|
794,580 |
|
|
Series B, 9.25%, 12/15/17 |
|
|
3,710 |
|
|
3,812,025 |
|
|
DISH DBS Corp., 7.00%, 10/01/13 |
|
|
90 |
|
|
92,025 |
|
|
Gannett Co., Inc., 8.75%, 11/15/14 (b) |
|
|
665 |
|
|
695,756 |
|
|
Harland Clarke Holdings Corp.: |
|
|
|
|
|
|
|
|
6.00%, 5/15/15 (f) |
|
|
330 |
|
|
262,350 |
|
|
9.50%, 5/15/15 |
|
|
390 |
|
|
355,875 |
|
|
Intelsat Corp., 9.25%, 6/15/16 |
|
|
2,420 |
|
|
2,504,700 |
|
|
Intelsat Subsidiary Holding Co. Ltd., 8.88%, |
|
|
250 |
|
|
253,750 |
|
|
Liberty Global, Inc., 4.50%, 11/15/16 (b)(d) |
|
|
410 |
|
|
489,437 |
|
|
Liberty Media Corp., 3.13%, 3/30/23 (d) |
|
|
1,023 |
|
|
1,046,017 |
|
|
Lighthouse International Co. SA: |
|
|
|
|
|
|
|
|
8.00%, 4/30/14 |
|
EUR |
519 |
|
|
441,687 |
|
|
8.00%, 4/30/14 (b) |
|
|
163 |
|
|
138,719 |
|
|
Lions Gate Entertainment, Inc., 10.25%, |
|
USD |
345 |
|
|
345,863 |
|
|
McClatchy Co., 11.50%, 2/15/17 (b) |
|
|
240 |
|
|
234,000 |
|
|
Network Communications, Inc., 10.75%, 12/01/13 |
|
|
20 |
|
|
9,200 |
|
|
Nielsen Finance LLC: |
|
|
|
|
|
|
|
|
11.63%, 2/01/14 |
|
|
70 |
|
|
77,963 |
|
|
10.00%, 8/01/14 |
|
|
1,740 |
|
|
1,805,250 |
|
|
ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(d)(i) |
|
|
812 |
|
|
771,181 |
|
|
Rainbow National Services LLC (b): |
|
|
|
|
|
|
|
|
8.75%, 9/01/12 |
|
|
410 |
|
|
418,200 |
|
|
10.38%, 9/01/14 |
|
|
1,496 |
|
|
1,572,670 |
|
|
Seat Pagine Gialle SpA, 10.50%, 1/31/17 (b) |
|
EUR |
800 |
|
|
1,008,388 |
|
|
TL Acquisitions, Inc., 10.50%, 1/15/15 (b) |
|
USD |
3,245 |
|
|
2,957,006 |
|
|
UPC Germany GmbH (b): |
|
|
|
|
|
|
|
|
8.13%, 12/01/17 |
|
|
500 |
|
|
500,000 |
|
|
8.13%, 12/01/17 |
|
EUR |
522 |
|
|
717,892 |
|
|
9.63%, 12/01/19 |
|
|
930 |
|
|
1,279,003 |
|
|
UPC Holding BV, 9.88%, 4/15/18 (b) |
|
USD |
500 |
|
|
520,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,352,561 |
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining — 5.2% |
|
|
|
|
|
|
|
|
Aleris International, Inc. (a)(i): |
|
|
|
|
|
|
|
|
9.00%, 12/15/14 |
|
|
950 |
|
|
2,375 |
|
|
10.00%, 12/15/16 |
|
|
800 |
|
|
17,000 |
|
|
Drummond Co., Inc.: |
|
|
|
|
|
|
|
|
9.00%, 10/15/14 (b) |
|
|
800 |
|
|
800,000 |
|
|
7.38%, 2/15/16 |
|
|
215 |
|
|
200,488 |
|
|
FMG Finance Property Ltd. (b): |
|
|
|
|
|
|
|
|
10.00%, 9/01/13 |
|
|
500 |
|
|
527,500 |
|
|
10.63%, 9/01/16 |
|
|
1,100 |
|
|
1,226,500 |
|
|
Foundation PA Coal Co., 7.25%, 8/01/14 |
|
|
1,850 |
|
|
1,850,000 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining (concluded) |
|
|
|
|
|
|
|
|
GoldCorp., Inc., 2.00%, 8/01/14 (b)(d) |
|
USD |
180 |
|
$ |
201,600 |
|
|
McJunkin Red Man Corp., 9.50%, 12/15/16 (b) |
|
|
1,160 |
|
|
1,162,900 |
|
|
Murray Energy Corp., 10.25%, 10/15/15 (b) |
|
|
795 |
|
|
795,994 |
|
|
New World Resources NV, 7.38%, 5/15/15 |
|
EUR |
610 |
|
|
739,243 |
|
|
Novelis, Inc.: |
|
|
|
|
|
|
|
|
7.25%, 2/15/15 |
|
USD |
1,440 |
|
|
1,335,600 |
|
|
11.50%, 2/15/15 |
|
|
405 |
|
|
430,312 |
|
|
Ryerson, Inc.: |
|
|
|
|
|
|
|
|
7.62%, 11/01/14 (f) |
|
|
380 |
|
|
339,150 |
|
|
12.00%, 11/01/15 |
|
|
245 |
|
|
251,738 |
|
|
Steel Dynamics, Inc., 7.38%, 11/01/12 |
|
|
440 |
|
|
447,700 |
|
|
Teck Resources Ltd.: |
|
|
|
|
|
|
|
|
10.25%, 5/15/16 |
|
|
285 |
|
|
339,862 |
|
|
10.75%, 5/15/19 |
|
|
640 |
|
|
787,200 |
|
|
Vedanta Resources Plc, 9.50%, 7/18/18 (b) |
|
|
600 |
|
|
633,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,088,162 |
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail — 1.3% |
|
|
|
|
|
|
|
|
Dollar General Corp.: |
|
|
|
|
|
|
|
|
10.63%, 7/15/15 |
|
|
140 |
|
|
153,300 |
|
|
11.88%, 7/15/17 (e) |
|
|
2,257 |
|
|
2,623,762 |
|
|
Saks, Inc., 9.88%, 10/01/11 |
|
|
275 |
|
|
285,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,062,375 |
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels — 7.4% |
|
|
|
|
|
|
|
|
Arch Coal, Inc., 8.75%, 8/01/16 (b) |
|
|
290 |
|
|
300,150 |
|
|
Atlas Energy Operating Co. LLC: |
|
|
|
|
|
|
|
|
12.13%, 8/01/17 |
|
|
450 |
|
|
506,250 |
|
|
10.75%, 2/01/18 |
|
|
240 |
|
|
259,800 |
|
|
Berry Petroleum Co., 8.25%, 11/01/16 |
|
|
470 |
|
|
471,175 |
|
|
Bill Barrett Corp., 9.88%, 7/15/16 |
|
|
225 |
|
|
238,219 |
|
|
Chesapeake Energy Corp., 2.25%, 12/15/38 (d) |
|
|
775 |
|
|
575,437 |
|
|
Connacher Oil and Gas Ltd. (b): |
|
|
|
|
|
|
|
|
11.75%, 7/15/14 |
|
|
165 |
|
|
181,500 |
|
|
10.25%, 12/15/15 |
|
|
1,075 |
|
|
1,036,031 |
|
|
Crosstex Energy LP, 8.88%, 2/15/18 (b) |
|
|
910 |
|
|
923,650 |
|
|
Denbury Resources, Inc., 8.25%, 2/15/20 |
|
|
800 |
|
|
828,000 |
|
|
Encore Acquisition Co., 6.25%, 4/15/14 |
|
|
1,850 |
|
|
1,863,875 |
|
|
Forest Oil Corp., 7.25%, 6/15/19 |
|
|
440 |
|
|
431,200 |
|
|
Massey Energy Co., 3.25%, 8/01/15 (d) |
|
|
1,675 |
|
|
1,507,500 |
|
|
Niska Gas Storage US LLC, 8.88%, 3/15/18 (b)(g) |
|
|
1,875 |
|
|
1,875,000 |
|
|
OPTI Canada, Inc., 9.00%, 12/15/12 (b) |
|
|
1,250 |
|
|
1,271,875 |
|
|
Petrohawk Energy Corp.: |
|
|
|
|
|
|
|
|
10.50%, 8/01/14 |
|
|
530 |
|
|
575,050 |
|
|
7.88%, 6/01/15 |
|
|
450 |
|
|
450,000 |
|
|
Range Resources Corp., 8.00%, 5/15/19 |
|
|
400 |
|
|
419,000 |
|
|
Roseton-Danskammer 2001, Series B, |
|
|
1,760 |
|
|
1,698,400 |
|
|
Sabine Pass LNG LP, 7.50%, 11/30/16 |
|
|
350 |
|
|
307,125 |
|
|
SandRidge Energy, Inc.: |
|
|
|
|
|
|
|
|
8.63%, 4/01/15 (e) |
|
|
120 |
|
|
118,200 |
|
|
9.88%, 5/15/16 (b) |
|
|
500 |
|
|
516,250 |
|
|
8.00%, 6/01/18 (b) |
|
|
125 |
|
|
119,688 |
|
|
Teekay Shipping Corp., 8.50%, 1/15/20 |
|
|
610 |
|
|
619,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,092,525 |
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products — 4.0% |
|
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(e) |
|
|
328 |
|
|
244,714 |
|
|
Boise Paper Holdings LLC, 9.00%, 11/01/17 (b) |
|
|
355 |
|
|
365,650 |
|
|
Clearwater Paper Corp., 10.63%, 6/15/16 (b) |
|
|
370 |
|
|
410,700 |
|
|
Georgia-Pacific LLC, 8.25%, 5/01/16 (b) |
|
|
1,525 |
|
|
1,608,875 |
|
|
Glatfelter, 7.13%, 5/01/16 (b) |
|
|
190 |
|
|
182,400 |
|
|
|
|
|
|
See Notes to Financial Statements. |
|
|
|
|
||
|
ANNUAL REPORT |
FEBRUARY 28, 2010 |
13 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund, Inc.
(COY) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Paper & Forest Products (concluded) |
|
|
|
|
|
|
|
|
NewPage Corp.: |
|
|
|
|
|
|
|
|
10.00%, 5/01/12 |
|
USD |
740 |
|
$ |
425,500 |
|
|
11.38%, 12/31/14 |
|
|
5,385 |
|
|
5,142,675 |
|
|
Verso Paper Holdings LLC: |
|
|
|
|
|
|
|
|
11.50%, 7/01/14 (b) |
|
|
320 |
|
|
336,000 |
|
|
Series B, 4.00%, 8/01/14 (f) |
|
|
260 |
|
|
209,950 |
|
|
Series B, 9.13%, 8/01/14 |
|
|
305 |
|
|
280,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,207,064 |
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals — 1.4% |
|
|
|
|
|
|
|
|
Angiotech Pharmaceuticals, Inc., 4.00%, |
|
|
995 |
|
|
805,950 |
|
|
Elan Corp. Plc, 8.75%, 10/15/16 (b) |
|
|
695 |
|
|
674,150 |
|
|
Elan Finance Plc, 8.88%, 12/01/13 |
|
|
90 |
|
|
91,350 |
|
|
Novasep Holding SAS, 9.63%, 12/15/16 (b) |
|
EUR |
893 |
|
|
1,124,762 |
|
|
Valeant Pharmaceuticals International, 8.38%, |
|
USD |
515 |
|
|
533,025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,229,237 |
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) — 0.5% |
|
|
|
|
|
|
|
|
iStar Financial, Inc., 5.65%, 9/15/11 |
|
|
1,500 |
|
|
1,170,000 |
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development — 0.5% |
|
|
|
|
|
|
|
|
Forest City Enterprises, Inc., 7.63%, 6/01/15 |
|
|
1,325 |
|
|
1,192,500 |
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment — 1.0% |
|
|
|
|
|
|
|
|
Advanced Micro Devices, Inc., 8.13%, 12/15/17 (b) |
|
|
1,140 |
|
|
1,154,250 |
|
|
Spansion, Inc., 3.79%, 6/01/13 (a)(b)(i) |
|
|
1,135 |
|
|
1,123,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,277,900 |
|
|
|
|
|
|
|
|
|
|
|
Software — 0.0% |
|
|
|
|
|
|
|
|
BMS Holdings, Inc., 7.89%, 2/15/12 (b)(e) |
|
|
426 |
|
|
8,512 |
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail — 1.5% |
|
|
|
|
|
|
|
|
Asbury Automotive Group, Inc., 7.63%, 3/15/17 |
|
|
330 |
|
|
311,438 |
|
|
General Nutrition Centers, Inc., 10.75%, 3/15/15 |
|
|
550 |
|
|
556,188 |
|
|
Group 1 Automotive, Inc., 2.25%, 6/15/36 (d)(h) |
|
|
985 |
|
|
770,762 |
|
|
Limited Brands, Inc., 8.50%, 6/15/19 |
|
|
745 |
|
|
798,081 |
|
|
United Auto Group, Inc., 7.75%, 12/15/16 |
|
|
1,030 |
|
|
982,362 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,418,831 |
|
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods — 1.6% |
|
|
|
|
|
|
|
|
Levi Strauss & Co., 8.63%, 4/01/13 |
|
EUR |
1,750 |
|
|
2,394,812 |
|
|
Quiksilver, Inc., 6.88%, 4/15/15 |
|
USD |
1,490 |
|
|
1,270,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,665,037 |
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services — 5.3% |
|
|
|
|
|
|
|
|
Cricket Communications, Inc.: |
|
|
|
|
|
|
|
|
9.38%, 11/01/14 |
|
|
955 |
|
|
950,225 |
|
|
10.00%, 7/15/15 |
|
|
1,795 |
|
|
1,817,438 |
|
|
7.75%, 5/15/16 |
|
|
210 |
|
|
213,413 |
|
|
Digicel Group Ltd. (b): |
|
|
|
|
|
|
|
|
8.88%, 1/15/15 |
|
|
1,285 |
|
|
1,227,175 |
|
|
9.13%, 1/15/15 (e) |
|
|
1,911 |
|
|
1,862,866 |
|
|
FiberTower Corp., 9.00%, 1/01/16 (e) |
|
|
284 |
|
|
230,144 |
|
|
iPCS, Inc., 2.37%, 5/01/13 (f) |
|
|
760 |
|
|
699,200 |
|
|
MetroPCS Wireless, Inc., 9.25%, 11/01/14 |
|
|
2,255 |
|
|
2,249,362 |
|
|
Nextel Communications, Inc.: |
|
|
|
|
|
|
|
|
Series D, 7.38%, 8/01/15 |
|
|
60 |
|
|
55,350 |
|
|
Series E, 6.88%, 10/31/13 |
|
|
1,770 |
|
|
1,699,200 |
|
|
Series F, 5.95%, 3/15/14 |
|
|
100 |
|
|
90,750 |
|
|
Orascom Telecom Finance SCA, 7.88%, 2/08/14 (b) |
|
|
265 |
|
|
233,200 |
|
|
Sprint Capital Corp., 6.88%, 11/15/28 |
|
|
1,200 |
|
|
909,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,237,323 |
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds — 103.4% |
|
|
|
|
|
238,343,433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (f) |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Aerospace & Defense — 0.1% |
|
|
|
|
|
|
|
|
Hawker Beechcraft Acquisition Co. LLC, |
|
USD |
274 |
|
$ |
250,482 |
|
|
|
|
|
|
|
|
|
|
|
Auto Components — 1.0% |
|
|
|
|
|
|
|
|
Allison Transmission, Inc., Term Loan, |
|
|
2,216 |
|
|
2,029,556 |
|
|
Dana Holding Corp., Term Advance, 4.48% – 6.50%, |
|
|
399 |
|
|
388,763 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,418,319 |
|
|
|
|
|
|
|
|
|
|
|
Automobiles — 2.7% |
|
|
|
|
|
|
|
|
Ford Motor Co., Tranche B-1 Term Loan, |
|
|
6,641 |
|
|
6,203,454 |
|
|
|
|
|
|
|
|
|
|
|
Building Products — 1.3% |
|
|
|
|
|
|
|
|
CPG International I, Inc., Term Loan, 5.23%, 2/28/11 |
|
|
2,955 |
|
|
2,954,774 |
|
|
|
|
|
|
|
|
|
|
|
Capital Markets — 0.1% |
|
|
|
|
|
|
|
|
Marsico Parent Co., LLC, Term Loan, |
|
|
381 |
|
|
241,724 |
|
|
|
|
|
|
|
|
|
|
|
Chemicals — 1.1% |
|
|
|
|
|
|
|
|
PQ Corp., Term Loan (First Lien), |
|
|
739 |
|
|
675,956 |
|
|
Solutia Inc., Loan, 7.25%, 2/28/14 |
|
|
304 |
|
|
308,132 |
|
|
Tronox Worldwide LLC, Tranche B-1 Term Loan, |
|
|
1,400 |
|
|
1,436,680 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,420,768 |
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering — 0.8% |
|
|
|
|
|
|
|
|
Safway, Last Out, Term Loan, 15.63%, 12/14/17 |
|
|
1,750 |
|
|
1,750,000 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services — 2.0% |
|
|
|
|
|
|
|
|
Wind Finance SL SA, Facility (Second Lien), |
|
EUR |
3,350 |
|
|
4,543,237 |
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing — 0.5% |
|
|
|
|
|
|
|
|
Rite Aid Corp., Tranche 4 Term Loan, |
|
USD |
1,200 |
|
|
1,243,200 |
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure — 1.2% |
|
|
|
|
|
|
|
|
Travelport LLC (fka Travelport Inc.), Loan, |
|
|
2,994 |
|
|
2,739,623 |
|
|
|
|
|
|
|
|
|
|
|
IT Services — 0.0% |
|
|
|
|
|
|
|
|
First Data Corp., Initial Tranche B-1 Term Loan, |
|
|
99 |
|
|
86,682 |
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders — 1.2% |
|
|
|
|
|
|
|
|
Texas Competitive Electric Holdings Co., LLC (TXU): |
|
|
|
|
|
|
|
|
Initial Tranche B-1 Term Loan, |
|
|
206 |
|
|
165,845 |
|
|
Initial Tranche B-2 Term Loan, |
|
|
648 |
|
|
520,967 |
|
|
Initial Tranche B-3 Term Loan, |
|
|
2,571 |
|
|
2,056,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,743,811 |
|
|
|
|
|
|
|
|
|
|
|
Machinery — 0.2% |
|
|
|
|
|
|
|
|
Accuride Corp., Term Loan, 9.75%, 6/30/13 |
|
|
550 |
|
|
548,854 |
|
|
|
|
|
|
|
|
|
|
|
Media — 2.3% |
|
|
|
|
|
|
|
|
Affinion Group Holdings, Inc., Loan, 8.39%, 3/01/12 |
|
|
436 |
|
|
412,302 |
|
|
Cengage Learning Acquisitions, Inc. (Thomson |
|
|
1,478 |
|
|
1,462,725 |
|
|
HMH Publishing Co., Ltd.: |
|
|
|
|
|
|
|
|
Mezzanine, 1.26%, 11/14/14 |
|
|
487 |
|
|
60,093 |
|
|
Tranche A Term Loan, 5.23%, 6/12/14 |
|
|
1,435 |
|
|
1,207,459 |
|
|
|
|
|
|
See Notes to Financial Statements. |
|
|
|
|
|
|
|
14 |
ANNUAL REPORT |
FEBRUARY 28, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund, Inc.
(COY) |
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (f) |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Media (concluded) |
|
|
|
|
|
|
|
|
Newsday, LLC, Fixed Rate Term Loan, |
|
USD |
1,250 |
|
$ |
1,335,938 |
|
|
Virgin Media Investment Holdings Ltd., C Facility, |
|
GBP |
240 |
|
|
341,862 |
|
|
Worldcolor Press Inc. and Worldcolor (USA) Corp. |
|
USD |
498 |
|
|
503,176 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,323,555 |
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail — 0.6% |
|
|
|
|
|
|
|
|
Hema Holding BV, Mezzanine, 8.24% — 8.92%, |
|
EUR |
1,018 |
|
|
1,004,451 |
|
|
The Neiman Marcus Group, Inc., Term Loan, |
|
USD |
348 |
|
|
312,381 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,316,832 |
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels — 0.7% |
|
|
|
|
|
|
|
|
Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18 |
|
|
2,175 |
|
|
1,631,030 |
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products — 0.3% |
|
|
|
|
|
|
|
|
Verso Paper Finance Holdings LLC, PIK Loan, |
|
|
1,199 |
|
|
659,462 |
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development — 0.2% |
|
|
|
|
|
|
|
|
Realogy Corp.: |
|
|
|
|
|
|
|
|
Initial Term B Loan, 3.25%, 10/10/13 |
|
|
375 |
|
|
330,849 |
|
|
Synthetic Letter of Credit, 0.08%, 10/10/13 |
|
|
118 |
|
|
104,479 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
435,328 |
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail — 0.3% |
|
|
|
|
|
|
|
|
Claire’s Stores, Inc., Term Loan B, 3.00%, 5/29/14 |
|
|
264 |
|
|
217,886 |
|
|
Michaels Stores, Inc. B-1 Term Loan, |
|
|
349 |
|
|
314,406 |
|
|
Pedalgreen Ltd. PIK Loan Facility, 0.00%, |
|
GBP |
119 |
|
|
166,949 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
699,241 |
|
|
|
|
|
|
|
|
|
|
|
Total Floating Rate Loan Interests — 16.6% |
|
|
|
|
|
38,210,376 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Other Interests (j) |
|
Beneficial |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Components — 1.8% |
|
|
|
|
|
|
|
|
Delphi Debtor in Possession Holding Co. LLP, |
|
USD |
— |
(k) |
|
4,209,089 |
|
|
|
|
|
|
|
|
|
|
|
Media — 0.0% |
|
|
|
|
|
|
|
|
Adelphia Escrow |
|
|
700 |
|
|
70 |
|
|
Adelphia Recovery Trust |
|
|
878 |
|
|
3,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,581 |
|
|
|
|
|
|
|
|
|
|
|
Total Other Interests — 1.8% |
|
|
|
|
|
4,212,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,581 |
|
|
Preferred Stocks |
|
Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media — 0.0% |
|
|
|
|
|
|
|
|
CMP Susquehanna Radio Holdings Corp. (a)(b)(f) |
|
|
34,982 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Stocks — 0.0% |
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants (l) |
|
Shares |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Construction & Engineering — 0.0% |
|
|
|
|
|
|
|
|
Safway US LLC (expires 12/14/17) |
|
|
321 |
|
$ |
1 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services — 0.0% |
|
|
|
|
|
|
|
|
HealthSouth Corp. (expires 1/16/14) |
|
|
29,930 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Media — 0.0% |
|
|
|
|
|
|
|
|
CMP Susquehanna Radio Holdings Corp. |
|
|
39,975 |
|
|
— |
|
|
New Vision Holdings LLC (expires 9/30/14) |
|
|
14,965 |
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels — 0.0% |
|
|
|
|
|
|
|
|
Turbo Cayman Ltd. (no expiration) |
|
|
1 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Total Warrants — 0.0% |
|
|
|
|
|
151 |
|
|
|
|
|
|
|
|
|
|
|
Total Long-Term Investments |
|
|
|
|
|
289,985,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlackRock Liquidity Funds, TempCash, Institutional |
|
|
4,931,674 |
|
|
4,931,674 |
|
|
|
|
|
|
|
|
|
|
|
Total
Short-Term Securities |
|
|
|
|
|
4,931,674 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Call Options — 0.0% |
|
|
|
|
|
|
|
|
Marsico Parent Superholdco LLC, Strike Price |
|
|
17 |
|
|
3,230 |
|
|
|
|
|
|
|
|
|
|
|
Total
Options Purchased |
|
|
|
|
|
3,230 |
|
|
|
|
|
|
|
|
|
|
|
Total Investments (Cost — $301,185,307*) — 127.9% |
|
|
|
|
|
294,920,574 |
|
|
Liabilities in Excess of Other Assets — (27.9)% |
|
|
|
|
|
(64,328,036 |
) |
|
|
|
|
|
|
|
|
|
|
Net Assets — 100.0% |
|
|
|
|
$ |
230,592,538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. |
|
|
|
|
||
|
ANNUAL REPORT |
FEBRUARY 28, 2010 |
15 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund, Inc. (COY) |
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of February 28, 2010, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
|
|
|
|
|
Aggregate cost |
|
|
|
|
$ |
302,371,946 |
|
|
|
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
|
|
$ |
13,143,585 |
|
|
Gross unrealized depreciation |
|
|
|
|
|
(20,594,957 |
) |
|
|
|
|
|
|
|
|
|
|
Net unrealized depreciation |
|
|
|
|
$ |
(7,451,372 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Non-income producing security. |
|
|
|
|
(b) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
|
|
(c) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
|
|
(d) |
Convertible security. |
|
|
|
|
(e) |
Represents a payment-in-kind security which may pay interest/dividends in additional face/shares. |
|
|
|
|
(f) |
Variable rate security. Rate shown is as of report date. |
|
|
|
|
(g) |
When-issued security. Unsettled when-issued security transactions were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Value |
|
Unrealized |
|
||
|
|
|
|
|
|
|
||
|
Citigroup Global |
|
$ |
345,675 |
|
|
— |
|
|
JPMorgan Securities |
|
$ |
410,000 |
|
|
— |
|
|
Morgan Stanley Capital Services, Inc. |
|
$ |
1,875,000 |
|
|
— |
|
|
Wells Fargo Bank |
|
$ |
153,938 |
|
$ |
3,938 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(h) |
Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date. |
|
|
|
|
(i) |
Issuer filed for bankruptcy and/or is in default of interest payments. |
|
|
|
|
(j) |
Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. |
|
|
|
|
(k) |
Amount is less than $1,000. |
|
|
|
|
(l) |
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. |
|
|
|
|
(m) |
Investments in companies considered to be an affiliate of the Fund, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Net |
|
Income |
|
||
|
|
|
|
|
|
|
||
|
BlackRock Liquidity Funds, TempCash, Institutional Class |
|
$ |
4,931,674 |
|
$ |
8,170 |
|
|
BlackRock Liquidity Series, LLC Cash Sweep Series |
|
$ |
(7,111,263 |
) |
$ |
905 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(n) |
Represents the current yield as of report date. |
|
|
|
|
• |
For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report which may combine industry sub-classifications for reporting ease. These industry classifications are unaudited. |
|
|
|
|
• |
Foreign currency exchange contracts as of February 28, 2010 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency |
|
Currency |
|
Counterparty |
|
Settlement |
|
Unrealized |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|||
|
EUR |
304,000 |
|
USD |
414,608 |
|
Citibank NA |
|
3/03/10 |
|
$ |
(669 |
) |
|
EUR |
1,467,800 |
|
USD |
2,023,491 |
|
Citibank NA |
|
3/24/10 |
|
|
(24,948 |
) |
|
USD |
21,425,096 |
|
EUR |
14,828,500 |
|
Citibank NA |
|
3/24/10 |
|
|
1,234,740 |
|
|
USD |
756,103 |
|
EUR |
541,500 |
|
Citibank NA |
|
3/24/10 |
|
|
18,800 |
|
|
USD |
321,195 |
|
GBP |
204,500 |
|
Citibank NA |
|
4/21/10 |
|
|
9,497 |
|
|
USD |
2,349,986 |
|
GBP |
1,451,500 |
|
Morgan |
|
4/21/10 |
|
|
137,617 |
|
|
|
|
|
|
|
|
Stanley
Capital |
|
|
|
|
|
|
|
USD |
181,633 |
|
CAD |
190,000 |
|
Goldman
Sachs |
|
4/21/10 |
|
|
1,076 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
$ |
1,376,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2010 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Pay |
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
iStar Financial, Inc. |
|
5.00 |
% |
Morgan |
|
September |
|
USD |
1,500 |
|
$ |
(15,610 |
) |
|
K. Hovnanian |
|
5.00 |
% |
Goldman |
|
December |
|
USD |
475 |
|
|
(3,057 |
) |
|
K. Hovnanian |
|
5.00 |
% |
Goldman |
|
December |
|
USD |
925 |
|
|
(32,364 |
) |
|
Louisiana-Pacific |
|
5.00 |
% |
JPMorgan |
|
March |
|
USD |
500 |
|
|
(131,515 |
) |
|
Macy’s, Inc. |
|
8.05 |
% |
Goldman |
|
March |
|
USD |
600 |
|
|
(143,867 |
) |
|
Centex Corp. |
|
1.00 |
% |
Deutsche |
|
September |
|
USD |
175 |
|
|
973 |
|
|
Limited |
|
1.00 |
% |
Goldman |
|
September |
|
USD |
1,000 |
|
|
(35,054 |
) |
|
Limited |
|
1.00 |
% |
JPMorgan |
|
September |
|
USD |
50 |
|
|
(1,717 |
) |
|
American |
|
5.00 |
% |
Deutsche |
|
December |
|
USD |
375 |
|
|
(2,807 |
) |
|
Boston Scientific |
|
1.00 |
% |
Goldman |
|
December |
|
USD |
500 |
|
|
919 |
|
|
Brunswick Corp. |
|
5.00 |
% |
Morgan |
|
December |
|
USD |
1,500 |
|
|
13,409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
(350,690 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. |
|
|
|
|
|
|
|
16 |
ANNUAL REPORT |
FEBRUARY 28, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (concluded) |
BlackRock Corporate High Yield Fund, Inc. (COY) |
|
|
|
|
• |
Credit default swaps on single-name issues — sold protection outstanding as of February 28, 2010 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Issuer |
|
Receive |
|
|
Counterparty |
|
Expiration |
|
Credit |
|
Notional |
|
Unrealized |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Advanced |
|
5.00 |
% |
|
|
JPMorgan
|
|
March |
|
B– |
|
USD 550 |
|
$ |
2,053 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realogy Corp. |
|
5.00 |
% |
|
|
Credit
Suisse |
|
March |
|
C |
|
USD 100 |
|
|
1,285 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realogy Corp. |
|
5.00 |
% |
|
|
JPMorgan
|
|
March |
|
C |
|
USD 450 |
|
|
(14,983 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Standard |
|
5.00 |
% |
|
|
Goldman
|
|
March |
|
CCC |
|
USD 250 |
|
|
(224 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(11,869 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Using S&P’s rating of the issuer. |
|
|
|
|
2 |
The maximum potential amount the Fund may pay should a negative credit take place as defined under the terms of the agreement. |
|
|
|
|
|
• |
Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows: |
|
|
|
|
|
|
|
• |
Level 1 — price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
|
• |
Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
|
• |
Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments) |
|
|
|
|
|
|
The inputs or methodologies 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 Note 1 of the Notes to Financial Statements. |
|
|
|
|
|
|
|
The following tables summarize the inputs used as of February 28, 2010 in determining the fair valuation of the Fund’s investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
||||||||||
|
|
|
|
|
||||||||||
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
8,807,025 |
|
$ |
336,919 |
|
$ |
75,096 |
|
$ |
9,219,040 |
|
|
Corporate Bonds |
|
|
— |
|
|
234,382,073 |
|
|
3,961,360 |
|
|
238,343,433 |
|
|
Floating Rate |
|
|
— |
|
|
18,991,565 |
|
|
19,218,811 |
|
|
38,210,376 |
|
|
Other Interests |
|
|
— |
|
|
— |
|
|
4,212,670 |
|
|
4,212,670 |
|
|
Warrants |
|
|
— |
|
|
1 |
|
|
150 |
|
|
151 |
|
|
Short-Term |
|
|
4,931,674 |
|
|
— |
|
|
— |
|
|
4,931,674 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
13,738,699 |
|
$ |
253,710,558 |
|
$ |
27,468,087 |
|
$ |
294,917,344 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments1 |
|
||||||||||
|
|
|
|
|||||||||||
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
— |
|
$ |
1,423,599 |
|
|
— |
|
$ |
1,423,599 |
|
|
Liabilities |
|
|
— |
|
|
(406,815 |
) |
$ |
(51,643 |
) |
|
(458,458 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
— |
|
$ |
1,016,784 |
|
$ |
(51,643 |
) |
$ |
965,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Other financial instruments are swaps, foreign currency exchange contracts, options and unfunded loan commitments. Swaps, foreign currency exchange contracts and unfunded loan commitments are shown at the unrealized appreciation/depreciation on the instrument and options are shown at market value. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
||||||||||||||||
|
|
|
|
|
||||||||||||||||
|
|
|
Common |
|
Corporate |
|
Floating
Rate |
|
Other |
|
Warrants |
|
Total |
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Balance, as of February 28, 2009 |
|
$ |
356 |
|
$ |
1,404,473 |
|
$ |
14,962,760 |
|
$ |
3,582 |
|
|
— |
|
$ |
16,371,171 |
|
|
Accrued discounts/premiums |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
Realized gain (loss) |
|
|
— |
|
|
(5,465 |
) |
|
(4,784,296 |
) |
|
— |
|
|
— |
|
|
(4,789,761 |
) |
|
Change in unrealized appreciation/depreciation2 |
|
|
— |
|
|
282,192 |
|
|
15,063,883 |
|
|
— |
|
|
— |
|
|
15,346,075 |
|
|
Net purchases (sales) |
|
|
— |
|
|
6,342 |
|
|
(7,162,942 |
) |
|
— |
|
|
— |
|
|
(7,156,600 |
) |
|
Net transfers in (out) of Level 3 |
|
|
74,740 |
|
|
2,273,818 |
|
|
1,139,406 |
|
|
4,209,088 |
|
$ |
150 |
|
|
7,697,202 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of February 28, 2010 |
|
$ |
75,096 |
|
$ |
3,961,360 |
|
$ |
19,218,811 |
|
$ |
4,212,670 |
|
$ |
150 |
|
$ |
27,468,087 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 |
Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in the unrealized appreciation/depreciation on the securities still held on February 28, 2010 was $6,741,424. |
The following table is a reconciliation of Level 3 other financial instruments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other
Financial |
|
|
|
|
|
|
|
|
|
Balance, as of February 28, 2009 |
|
|
— |
|
|
Accrued discounts/premiums |
|
|
— |
|
|
Realized gain (loss) |
|
|
— |
|
|
Change in unrealized appreciation/depreciation4 |
|
$ |
(51,643 |
) |
|
Net purchases (sales) |
|
|
— |
|
|
Net transfers in/out of Level 3 |
|
|
— |
|
|
|
|
|
|
|
|
Balance, as of February 28, 2010 |
|
$ |
(51,643 |
) |
|
|
|
|
|
|
|
|
|
|
3 |
Other financial instruments are unfunded loan commitments. |
|
|
|
|
4 |
Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in unrealized appreciation/depreciation on the securities still held at February 28, 2010 was $(51,643). |
|
|
|
|
|
See Notes to Financial Statements. |
||
|
|
|
|
|
ANNUAL REPORT |
FEBRUARY 28, 2010 |
17 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments February 28, 2010 |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Auto Components — 0.2% |
|
|
|
|
|
|
|
|
Lear Corp. (a) |
|
|
6,665 |
|
$ |
461,685 |
|
|
|
|
|
|
|
|
|
|
|
Building Products — 0.6% |
|
|
|
|
|
|
|
|
Masonite Worldwide Holdings (a) |
|
|
34,575 |
|
|
1,452,150 |
|
|
|
|
|
|
|
|
|
|
|
Capital Markets — 0.2% |
|
|
|
|
|
|
|
|
E*Trade Financial Corp. (a) |
|
|
296,000 |
|
|
476,560 |
|
|
|
|
|
|
|
|
|
|
|
Chemicals — 0.1% |
|
|
|
|
|
|
|
|
Solutia, Inc. (a) |
|
|
8,000 |
|
|
112,560 |
|
|
Wellman Holdings, Inc. (a) |
|
|
1,522 |
|
|
381 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
112,941 |
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment — 1.0% |
|
|
|
|
|
|
|
|
Brocade Communications Systems, Inc. (a) |
|
|
50,000 |
|
|
291,000 |
|
|
Loral Space & Communications Ltd. (a) |
|
|
64,095 |
|
|
2,085,010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,376,010 |
|
|
|
|
|
|
|
|
|
|
|
Construction Materials — 0.0% |
|
|
|
|
|
|
|
|
Nortek, Inc. (a) |
|
|
2,145 |
|
|
79,365 |
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging — 0.2% |
|
|
|
|
|
|
|
|
Rock-Tenn Co., Class A |
|
|
13,000 |
|
|
543,920 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services — 0.4% |
|
|
|
|
|
|
|
|
Bank of America Corp. |
|
|
65,000 |
|
|
1,082,900 |
|
|
Citigroup, Inc. (a) |
|
|
1 |
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,082,903 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services — 0.5% |
|
|
|
|
|
|
|
|
Qwest Communications International, Inc. |
|
|
247,855 |
|
|
1,130,219 |
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment — 0.0% |
|
|
|
|
|
|
|
|
Medis Technologies Ltd. (a) |
|
|
70,784 |
|
|
5,025 |
|
|
SunPower Corp., Class B (a) |
|
|
778 |
|
|
12,705 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,730 |
|
|
|
|
|
|
|
|
|
|
|
Food Products — 0.0% |
|
|
|
|
|
|
|
|
Pilgrims Pride Corp. (a) |
|
|
6,334 |
|
|
57,133 |
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure — 0.0% |
|
|
|
|
|
|
|
|
Buffets Restaurants Holdings, Inc. (a) |
|
|
1,099 |
|
|
6,209 |
|
|
|
|
|
|
|
|
|
|
|
Household Durables — 0.4% |
|
|
|
|
|
|
|
|
Beazer Homes USA, Inc. (a) |
|
|
139,500 |
|
|
580,320 |
|
|
Pulte Homes, Inc. (a) |
|
|
30,000 |
|
|
324,900 |
|
|
Standard-Pacific Corp. (a) |
|
|
15,000 |
|
|
63,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
968,520 |
|
|
|
|
|
|
|
|
|
|
|
Machinery — 0.1% |
|
|
|
|
|
|
|
|
Accuride Corp. (a) |
|
|
90,983 |
|
|
118,278 |
|
|
Accuride Corp. — Restricted Shares (a) |
|
|
90,983 |
|
|
118,278 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
236,556 |
|
|
|
|
|
|
|
|
|
|
|
Media — 0.3% |
|
|
|
|
|
|
|
|
Gannett Co., Inc. |
|
|
56,000 |
|
|
848,400 |
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products — 0.2% |
|
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd. (a) |
|
|
125,117 |
|
|
262,791 |
|
|
Ainsworth Lumber Co. Ltd. (a)(b) |
|
|
140,415 |
|
|
294,922 |
|
|
Western Forest Products, Inc. (a) |
|
|
158,023 |
|
|
33,041 |
|
|
Western Forest Products, Inc. (a)(b) |
|
|
45,762 |
|
|
9,568 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
600,322 |
|
|
|
|
|
|
|
|
|
|
|
Software — 0.1% |
|
|
|
|
|
|
|
|
TiVo, Inc. (a) |
|
|
31,000 |
|
|
293,880 |
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services — 0.3% |
|
|
|
|
|
|
|
|
FiberTower Corp. (a) |
|
|
76,542 |
|
|
315,353 |
|
|
SBA Communications Corp., Class A (a) |
|
|
8,500 |
|
|
300,560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
615,913 |
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks — 4.6% |
|
|
|
|
|
11,360,416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
Airlines — 2.4% |
|
|
|
|
|
|
|
|
American Airlines, Inc., 10.50%, 10/15/12 (b) |
|
USD |
1,080 |
|
$ |
1,107,000 |
|
|
American Airlines Pass Through Trust, Series |
|
|
400 |
|
|
403,000 |
|
|
Continental Airlines, Inc.: |
|
|
|
|
|
|
|
|
Series 1997-4-B, 6.90%, 7/02/18 (c) |
|
|
522 |
|
|
480,124 |
|
|
Series 2001-1-C, 7.03%, 12/15/12 |
|
|
302 |
|
|
294,485 |
|
|
Series 2003-RJ, 7.88%, 1/02/20 |
|
|
440 |
|
|
391,931 |
|
|
Delta Air Lines, Inc., Series B, 9.75%, 12/17/16 |
|
|
1,100 |
|
|
1,133,000 |
|
|
United Air Lines, Inc., 12.75%, 7/15/12 |
|
|
2,100 |
|
|
2,226,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,035,540 |
|
|
|
|
|
|
|
|
|
|
|
Auto Components — 1.7% |
|
|
|
|
|
|
|
|
Delphi International Holdings Unsecured, |
|
|
91 |
|
|
91,104 |
|
|
The Goodyear Tire & Rubber Co.: |
|
|
|
|
|
|
|
|
7.86%, 8/15/11 |
|
|
1,200 |
|
|
1,242,000 |
|
|
8.63%, 12/01/11 |
|
|
552 |
|
|
572,700 |
|
|
Icahn Enterprises LP (b): |
|
|
|
|
|
|
|
|
4.00%, 8/15/13 (d)(e) |
|
|
255 |
|
|
224,069 |
|
|
8.00%, 1/15/18 |
|
|
2,360 |
|
|
2,218,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,348,273 |
|
|
|
|
|
|
|
|
|
|
|
Biotechnology — 0.3% |
|
|
|
|
|
|
|
|
QHP Pharma, 10.25%, 3/15/15 (b) |
|
|
710 |
|
|
724,825 |
|
|
|
|
|
|
|
|
|
|
|
Building Products — 1.1% |
|
|
|
|
|
|
|
|
Associated Materials LLC, 9.88%, 11/15/16 |
|
|
720 |
|
|
763,200 |
|
|
Building Materials Corp. of America, 7.00%, |
|
|
620 |
|
|
620,000 |
|
|
Goodman Global Group, Inc., |
|
|
290 |
|
|
168,200 |
|
|
Ply Gem Industries, Inc., 11.75%, 6/15/13 |
|
|
1,090 |
|
|
1,106,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,657,750 |
|
|
|
|
|
|
|
|
|
|
|
Capital Markets — 0.7% |
|
|
|
|
|
|
|
|
E*Trade Financial Corp. (e)(f): |
|
|
|
|
|
|
|
|
3.39%, 8/31/19 (b) |
|
|
244 |
|
|
370,880 |
|
|
Series A, 3.64%, 8/31/19 |
|
|
7 |
|
|
10,640 |
|
|
MU Finance Plc, 8.75%, 2/01/17 (b) |
|
GBP |
422 |
|
|
595,209 |
|
|
Marsico Parent Co., LLC, 10.63%, 1/15/16 (b) |
|
USD |
963 |
|
|
579,004 |
|
|
Marsico Parent Holdco, LLC, 12.50%, |
|
|
411 |
|
|
90,851 |
|
|
Marsico Parent Superholdco, LLC, 14.50%, |
|
|
269 |
|
|
46,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,693,343 |
|
|
|
|
|
|
|
|
|
|
|
Chemicals — 2.8% |
|
|
|
|
|
|
|
|
American Pacific Corp., 9.00%, 2/01/15 |
|
|
880 |
|
|
869,000 |
|
|
Georgia Gulf Corp., 9.00%, 1/15/17 (b) |
|
|
230 |
|
|
238,625 |
|
|
Hexion Finance Escrow LLC, 8.88%, 2/01/18 (b) |
|
|
1,820 |
|
|
1,701,700 |
|
|
Hexion U.S. Finance Corp., 9.75%, 11/15/14 |
|
|
310 |
|
|
292,950 |
|
|
Huntsman International LLC (b): |
|
|
|
|
|
|
|
|
6.88%, 11/15/13 |
|
EUR |
280 |
|
|
355,528 |
|
|
5.50%, 6/30/16 |
|
USD |
545 |
|
|
479,600 |
|
|
Innophos, Inc., 8.88%, 8/15/14 |
|
|
825 |
|
|
847,688 |
|
|
MacDermid, Inc., 9.50%, 4/15/17 (b) |
|
|
1,260 |
|
|
1,260,000 |
|
|
Wellman Holdings, Inc. (e): |
|
|
|
|
|
|
|
|
Second Lien Subordinate Note, 10.00%, |
|
|
844 |
|
|
844,000 |
|
|
Third Lien Subordinate Note, 5.00%, |
|
|
269 |
|
|
134,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,023,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. |
||
|
|
||
|
18 |
ANNUAL REPORT |
FEBRUARY 28, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Par |
|
|
|
|
|
Corporate Bonds |
|
|
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Commercial Banks — 0.1% |
|
|
|
|
|
|
|
|
Glitnir Banki HF (a)(h): |
|
|
|
|
|
|
|
|
4.38%, 2/05/10 |
|
USD |
50 |
|
$ |
17,702 |
|
|
4.15%, 4/20/10 (b) |
|
|
111 |
|
|
28,860 |
|
|
Series EMTN, 5.07%, 1/27/10 |
|
EUR |
50 |
|
|
17,701 |
|
|
Series EMTN, 3.00%, 6/30/10 |
|
|
45 |
|
|
15,625 |
|
|
Series GMTN, 6.38%, 9/25/12 (b) |
|
USD |
500 |
|
|
130,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
209,888 |
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies — 3.0% |
|
|
|
|
|
|
|
|
ACCO Brands Corp., 10.63%, 3/15/15 (b) |
|
|
250 |
|
|
271,750 |
|
|
RSC Equipment Rental, Inc., 10.00%, 7/15/17 (b) |
|
|
585 |
|
|
625,950 |
|
|
Scientific Games International, Inc., |
|
|
855 |
|
|
904,162 |
|
|
Waste Services, Inc., 9.50%, 4/15/14 |
|
|
3,000 |
|
|
3,082,500 |
|
|
West Corp.: |
|
|
|
|
|
|
|
|
9.50%, 10/15/14 |
|
|
435 |
|
|
431,738 |
|
|
11.00%, 10/15/16 |
|
|
2,245 |
|
|
2,250,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,566,712 |
|
|
|
|
|
|
|
|
|
|
|
Construction Materials — 1.2% |
|
|
|
|
|
|
|
|
Nortek, Inc., 11.00%, 12/01/13 |
|
|
2,155 |
|
|
2,262,260 |
|
|
Texas Industries, Inc., 7.25%, 7/15/13 |
|
|
785 |
|
|
763,412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,025,672 |
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance — 0.5% |
|
|
|
|
|
|
|
|
Credit Acceptance Corp., 9.13%, 2/01/17 (b) |
|
|
680 |
|
|
676,600 |
|
|
Ford Motor Credit Co. LLC: |
|
|
|
|
|
|
|
|
3.00%, 1/13/12 (d) |
|
|
215 |
|
|
201,562 |
|
|
7.80%, 6/01/12 |
|
|
200 |
|
|
202,114 |
|
|
8.00%, 12/15/16 |
|
|
180 |
|
|
180,745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,261,021 |
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging — 4.0% |
|
|
|
|
|
|
|
|
Berry Plastics Escrow LLC, 8.88%, 9/15/14 (b) |
|
|
470 |
|
|
452,375 |
|
|
Berry Plastics Holding Corp., 8.88%, 9/15/14 |
|
|
1,050 |
|
|
1,010,625 |
|
|
Crown European Holdings SA, 6.25%, 9/01/11 |
|
EUR |
75 |
|
|
104,167 |
|
|
Graphic Packaging International, Inc., |
|
USD |
840 |
|
|
882,000 |
|
|
Impress Holdings BV, 3.38%, 9/15/13 (b)(d) |
|
|
420 |
|
|
391,650 |
|
|
Owens-Brockway Glass Container, Inc.: |
|
|
|
|
|
|
|
|
8.25%, 5/15/13 |
|
|
1,000 |
|
|
1,015,000 |
|
|
6.75%, 12/01/14 |
|
EUR |
155 |
|
|
211,057 |
|
|
Packaging Dynamics Finance Corp., 10.00%, |
|
USD |
1,090 |
|
|
867,912 |
|
|
Pregis Corp., 12.38%, 10/15/13 |
|
|
1,200 |
|
|
1,191,000 |
|
|
Rock-Tenn Co., 8.20%, 8/15/11 |
|
|
2,000 |
|
|
2,155,000 |
|
|
Smurfit Kappa Acquisitions (b): |
|
|
|
|
|
|
|
|
7.25%, 11/15/17 |
|
EUR |
495 |
|
|
660,539 |
|
|
7.75%, 11/15/19 |
|
|
470 |
|
|
636,778 |
|
|
Solo Cup Co., 10.50%, 11/01/13 |
|
USD |
475 |
|
|
497,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,075,666 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services — 1.2% |
|
|
|
|
|
|
|
|
Service Corp. International, 7.00%, 6/15/17 |
|
|
3,000 |
|
|
2,940,000 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services — 8.6% |
|
|
|
|
|
|
|
|
Axcan Intermediate Holdings, Inc., |
|
|
520 |
|
|
562,900 |
|
|
CIT Group, Inc.: |
|
|
|
|
|
|
|
|
7.00%, 5/01/16 |
|
|
1,341 |
|
|
1,187,215 |
|
|
7.00%, 5/01/17 |
|
|
5,740 |
|
|
5,072,796 |
|
|
FCE Bank Plc: |
|
|
|
|
|
|
|
|
7.88%, 2/15/11 |
|
GBP |
700 |
|
|
1,075,371 |
|
|
7.13%, 1/16/12 |
|
EUR |
1,800 |
|
|
2,429,412 |
|
|
7.13%, 1/15/13 |
|
|
1,050 |
|
|
1,401,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par |
|
|
|
|
|
Corporate Bonds |
|
|
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services (concluded) |
|
|
|
|
|
|
|
|
GMAC LLC: |
|
|
|
|
|
|
|
|
7.25%, 3/02/11 |
|
USD |
464 |
|
$ |
468,060 |
|
|
6.88%, 9/15/11 |
|
|
500 |
|
|
500,000 |
|
|
6.88%, 8/28/12 |
|
|
600 |
|
|
594,000 |
|
|
2.45%, 12/01/14 (d) |
|
|
464 |
|
|
396,950 |
|
|
6.75%, 12/01/14 |
|
|
1,020 |
|
|
974,100 |
|
|
8.30%, 2/12/15 (b) |
|
|
2,160 |
|
|
2,178,900 |
|
|
8.00%, 11/01/31 |
|
|
1,140 |
|
|
1,051,650 |
|
|
General Motors Acceptance Corp. of Canada Ltd., |
|
CAD |
300 |
|
|
281,502 |
|
|
Leucadia National Corp., 8.13%, 9/15/15 |
|
USD |
1,325 |
|
|
1,344,875 |
|
|
Reynolds Group DL Escrow, Inc., 7.75%, |
|
|
1,460 |
|
|
1,478,250 |
|
|
Reynolds Group Issuer, Inc., 7.75%, 10/15/16 (b) |
|
EUR |
400 |
|
|
543,306 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,540,431 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services — 3.8% |
|
|
|
|
|
|
|
|
Broadview Networks Holdings, Inc., |
|
USD |
1,035 |
|
|
993,600 |
|
|
GCI, Inc., 8.63%, 11/15/19 (b) |
|
|
1,200 |
|
|
1,219,500 |
|
|
Level 3 Financing, Inc., 10.00%, 2/01/18 (b) |
|
|
680 |
|
|
623,900 |
|
|
Nordic Telephone Co. Holdings ApS, 8.88%, |
|
|
215 |
|
|||